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 811-21864

WisdomTree Trust

(Exact name of registrant as specified in charter)

245 Park Avenue, 35th Floor

New York, NY 10167

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street

Wilmington, DE 19801

(Name and address of agent for service)

Registrant's telephone number, including area code:

(866) 909-9473

Date of fiscal year end: August 31

Date of reporting period: February 29, 2020

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N- CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Reports to Shareholders are attached herewith.

Table of Contents

LOGO

 

LOGO

 

WisdomTree Trust

Semi-Annual Report

February 29, 2020

 

Currency Strategy Funds:

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

WisdomTree Chinese Yuan Strategy Fund (CYB)

WisdomTree Emerging Currency Strategy Fund (CEW)

Fixed Income Funds:

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

WisdomTree Emerging Markets Local Debt Fund (ELD)

WisdomTree Floating Rate Treasury Fund (USFR)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

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

WisdomTree Mortgage Plus Bond Fund (MTGP)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)

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

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

Alternative Funds:

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

WisdomTree Managed Futures Strategy Fund (WTMF)

IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the SEC, paper copies of the WisdomTree Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, annual and semi-annual shareholder reports will be available on the WisdomTree Funds’ website (www.wisdomtree.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank).

You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to request to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.


Table of Contents

Table of Contents

 

Information about Performance and Shareholder Expense Examples (unaudited)

       1  

Performance Summary (unaudited)

       2  

Description of Terms and Indexes (unaudited)

       18  
Schedules of Investments (unaudited)

 

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       24  

WisdomTree Chinese Yuan Strategy Fund

       28  

WisdomTree Emerging Currency Strategy Fund

       29  

WisdomTree Emerging Markets Corporate Bond Fund

       31  

WisdomTree Emerging Markets Local Debt Fund

       35  

WisdomTree Floating Rate Treasury Fund

       38  

WisdomTree Interest Rate Hedged High Yield Bond Fund

       39  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

       50  

WisdomTree Mortgage Plus Bond Fund

       66  

WisdomTree Negative Duration High Yield Bond Fund

       68  

WisdomTree Negative Duration U.S. Aggregate Bond Fund

       76  

WisdomTree Yield Enhanced Global Aggregate Bond Fund

       85  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

       89  

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

       126  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

       133  

WisdomTree Managed Futures Strategy Fund (consolidated)

       134  

Statements of Assets and Liabilities (unaudited)

       136  

Statements of Operations (unaudited)

       140  

Statements of Changes in Net Assets (unaudited)

       144  

Financial Highlights (unaudited)

       150  

Notes to Financial Statements (unaudited)

       158  

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

       178  

General Information (unaudited)

       182  

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


Table of Contents

Information about Performance and Shareholder Expense Examples (unaudited)

Performance

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

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

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

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

Shareholder Expense Examples

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

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2019 to February 29, 2020. Except where noted, expenses are calculated using each Fund’s annualized expense ratio (after the effect of contractual or voluntary fee waivers, if any), multiplied by the average account value for the period, multiplied by 182/366 (to reflect the one-half year period). The annualized expense ratio does not include acquired fund fees and expenses (“AFFEs”), which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

 

WisdomTree Trust      1  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    96.9%  

Exchange-Traded Funds

    2.6%  

Other Assets less Liabilities‡

    0.5%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.58%, 4/16/20

    29.5%  

U.S. Treasury Bill,
1.57%, 3/12/20

    47.2%  

U.S. Treasury Bill,
1.56%, 5/21/20

    20.2%  

WisdomTree Floating Rate Treasury Fund (USFR)

    2.6%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). For a full list of holdings information for the underlying WisdomTree Fund, please see page 38 of this report.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,005.30        0.50   $ 2.49  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.38        0.50   $ 2.51  

Performance

 

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

Fund NAV Returns

     0.53      4.39      1.23      1.68      3.36

Fund Market Price Returns

     0.57      4.95      1.42      1.79      3.46

Bloomberg Dollar Total Return Index

     0.25      3.82      0.81      1.56      3.43

Bloomberg Dollar Spot Index

     -0.58      1.65      -0.81      0.63      2.77
*

Returns of less than one year are cumulative.

1 

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

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

 

2   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    63.8%  

Repurchase Agreement

    30.9%  

Exchange-Traded Funds

    4.7%  

Other Assets less Liabilities‡

    0.6%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.54%, 3/12/20

    32.5%  

U.S. Treasury Bill,
1.58%, 4/16/20

    31.3%  

Citigroup, Inc., tri-party repurchase agreement,
1.61%, 3/2/20††

    30.9%  

WisdomTree Floating Rate Treasury Fund (USFR)

    4.7%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). For a full list of holdings information for the underlying WisdomTree Fund, please see page 38 of this report.

 

††

Fully collateralized by U.S. Government and U.S. Government agency securities.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,036.50        0.45   $ 2.28  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.63        0.45   $ 2.26  

Performance

 

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

Fund NAV Returns

     3.65     -2.16     2.37     0.60     1.08

Fund Market Price Returns

     3.03     -2.29     2.19     0.54     1.01

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

     4.95     -0.76     3.35     2.14     2.06

Chinese yuan

     1.52     -4.64     -0.64     -2.58     -0.26
*

Returns of less than one year are cumulative.

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

 

WisdomTree Trust      3  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    71.0%  

Repurchase Agreement

    27.4%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    -2.9%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill, 1.58%, 4/16/20

    35.7%  

U.S. Treasury Bill, 1.54%, 3/12/20

    35.3%  

Citigroup, Inc., tri-party repurchase agreement, 1.61%, 3/2/20††

    27.4%  

WisdomTree Floating Rate Treasury Fund (USFR)

    4.5%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). For a full list of holdings information for the underlying WisdomTree Fund, please see page 38 of this report.

 

††

Fully collateralized by U.S. Government and U.S. Government agency securities.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 993.90        0.55   $ 2.73  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.13        0.55   $ 2.77  

Performance

 

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

Fund NAV Returns

       -0.61      -3.02      0.43      -0.03      -0.78

Fund Market Price Returns

       -0.40      -2.76      0.60      0.05      -0.78

JP Morgan Emerging Local Markets Index Plus (ELMI+)

       1.27      -0.65      1.88      1.30      0.30

Equal-Weighted Emerging Currency Composite

       0.07      -1.59      1.53      0.98      0.11
*

Returns of less than one year are cumulative.

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

 

4   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown

 

Country   % of Net Assets  

Brazil

    10.2%  

Russia

    7.3%  

India

    6.9%  

China

    6.6%  

Colombia

    6.0%  

Mexico

    5.8%  

United Arab Emirates

    5.8%  

Indonesia

    4.8%  

Turkey

    4.5%  

Chile

    4.4%  

Peru

    4.2%  

Israel

    3.1%  

South Korea

    2.5%  

Luxembourg

    2.2%  

Kuwait

    2.2%  

Thailand

    1.9%  

South Africa

    1.9%  

Netherlands

    1.9%  

Kazakhstan

    1.8%  

Saudi Arabia

    1.7%  

Morocco

    1.6%  

Singapore

    1.6%  

Philippines

    1.3%  

Malaysia

    1.2%  

Egypt

    1.2%  

Ireland

    1.0%  

Others*

    4.1%  

Other Assets less Liabilities‡

    2.3%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

*

Includes countries that are less than 1% of assets.

Top Ten Holdings*

 

Description   % of Net Assets  

Abu Dhabi National Energy Co. PJSC,
4.38%, 6/22/26, Reg S

    3.0%  

Woori Bank,
4.75%, 4/30/24, Reg S

    1.9%  

KazMunayGas National Co. JSC,
4.75%, 4/19/27, Reg S

    1.8%  

Reliance Industries Ltd.,
3.67%, 11/30/27

    1.8%  

Bank of China Ltd.,
5.00%, 11/13/24, Reg S

    1.8%  

Bharti Airtel Ltd.,
4.38%, 6/10/25, Reg S

    1.8%  

Cemex S.A.B. de C.V.,
7.75%, 4/16/26, Reg S

    1.7%  

China Construction Bank Corp.,
3.88%, 5/13/25, Reg S

    1.6%  

Oversea-Chinese Banking Corp., Ltd.,
4.25%, 6/19/24, Reg S

    1.5%  

NBK Tier 1 Financing 2 Ltd.,
4.50%, 11/27/25

    1.4%  
*

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

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,038.40        0.60   $ 3.04  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.88        0.60   $ 3.02  

Performance

 

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

Fund NAV Returns

       3.84      9.47      5.46      4.85      4.36

Fund Market Price Returns

       2.90      8.62      5.08      4.81      4.24

JP Morgan CEMBI Diversified Index

       4.12      10.73      5.94      6.15      5.49

JP Morgan CEMBI Broad Index2

       4.32      11.21      6.18      6.29      5.58
*

Returns of less than one year are cumulative.

 

1 

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

2 

Prior to January 1, 2018, the Fund’s comparative broad-based index was the JP Morgan CEMBI Broad Index. Effective January 1, 2018, the Fund’s comparative broad-based index was changed to the JP Morgan CEMBI Diversified Index, which WisdomTree Asset Management, Inc., the Fund’s adviser, believes is a more appropriate performance comparison.

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

 

WisdomTree Trust      5  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown

 

Country   % of Net Assets  

Brazil

    11.1%  

Russia

    10.7%  

Colombia

    7.6%  

United States

    7.4%  

Indonesia

    7.0%  

Mexico

    5.7%  

Supranational Bonds

    5.3%  

Thailand

    5.1%  

Poland

    5.1%  

South Africa

    4.5%  

India

    3.9%  

China

    3.9%  

Malaysia

    3.8%  

Peru

    3.7%  

Turkey

    3.4%  

Philippines

    2.0%  

Romania

    2.0%  

Hungary

    1.9%  

Chile

    1.9%  

Other Assets less Liabilities‡

    4.0%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
1.61%, 3/2/20††

    7.4%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/27, Series F

    1.9%  

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

    1.9%  

Colombian TES,
10.00%, 7/24/24, Series B

    1.8%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/25, Series F

    1.8%  

Brazil Letras do Tesouro Nacional,
8.51%, 1/1/22, Series LTN

    1.5%  

Republic of Poland Government Bond,
2.50%, 7/25/26, Series 0726

    1.4%  

Thailand Government Bond,
3.40%, 6/17/36

    1.4%  

Republic of Poland Government Bond,
2.50%, 7/25/27, Series 0727

    1.3%  

Peruvian Government International
Bond, 6.95%, 8/12/31, Reg S

    1.3%  
*

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

 

††

Fully collateralized by U.S. Government agency securities.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,015.40        0.55   $ 2.76  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.13        0.55   $ 2.76  

Performance

 

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

Fund NAV Returns

     1.54     3.46     2.44     1.39     0.55

Fund Market Price Returns

     2.09     3.57     2.52     1.36     0.49

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

     1.27     3.73     3.95     2.01     1.22
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on August 9, 2010.

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

 

6   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    99.9%  

Other Assets less Liabilities‡

    0.1%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Floating Rate Note,
1.65%, 4/30/21

    27.3%  

U.S. Treasury Floating Rate Note,
1.73%, 7/31/21

    27.1%  

U.S. Treasury Floating Rate Note,
1.81%, 10/31/21

    26.9%  

U.S. Treasury Floating Rate Note,
1.67%, 1/31/22

    18.6%  
*

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

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

         
      Beginning
Account Value
    

Ending

Account Value

    

Annualized

Expense Ratio

   

Expenses Paid

During the

Period

 

Actual

   $ 1,000.00      $ 1,010.80        0.15   $ 0.75  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.12        0.15   $ 0.75  

Performance

 

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

Fund NAV Returns

       1.08      2.09      1.73      1.17      0.95

Fund Market Price Returns

       1.04      2.05      1.83      1.22      0.93

Bloomberg U.S. Treasury Floating Rate Bond Index

       1.11      2.22      1.90      1.33      1.10
*

Returns of less than one year are cumulative.

 

1 

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

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

 

WisdomTree Trust      7  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Corporate Bonds

    81.7%  

Foreign Corporate Bonds

    14.3%  

Other Assets less Liabilities‡

    4.0%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Sprint Corp.,
7.88%, 9/15/23

    0.8%  

Community Health Systems, Inc.,
6.25%, 3/31/23

    0.7%  

EMC Corp.,
3.38%, 6/1/23

    0.6%  

Tenet Healthcare Corp.,
8.13%, 4/1/22

    0.6%  

T-Mobile USA, Inc.,
4.00%, 4/15/22

    0.6%  

Freeport-McMoRan, Inc.,
3.55%, 3/1/22

    0.5%  

Tenet Healthcare Corp.,
6.75%, 6/15/23

    0.5%  

DISH DBS Corp.,
5.88%, 7/15/22

    0.5%  

Intelsat Jackson Holdings S.A.,
8.50%, 10/15/24

    0.5%  

Telecom Italia SpA,
5.30%, 5/30/24

    0.5%  
*

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

The WisdomTree Interest Rate Hedged High Yield Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term non-investment grade U.S. corporate fixed income securities having effective maturities generally shorter than five years and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

         
     

Beginning

Account Value

    

Ending

Account Value

    

Annualized

Expense Ratio

   

Expenses Paid

During the

Period

 

Actual

   $ 1,000.00      $ 1,000.90        0.43   $ 2.14  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.73        0.43   $ 2.16  

Performance

 

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

Fund NAV Returns

       0.09      1.00      3.22      3.66      3.15

Fund Market Price Returns

       -0.04      1.26      3.09      3.73      3.11

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

       -0.12      0.54      3.41      4.06      3.60
*

Returns of less than one year are cumulative.

 

1 

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

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

 

8   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    41.2%  

U.S. Government Agencies

    27.1%  

U.S. Corporate Bonds

    21.7%  

Foreign Corporate Bonds

    3.6%  

Repurchase Agreement

    2.0%  

Commercial Mortgage-Backed Securities

    1.9%  

Foreign Government Agencies

    1.3%  

Foreign Government Obligations

    1.0%  

Supranational Bonds

    0.9%  

Municipal Bonds

    0.5%  

Asset-Backed Securities

    0.3%  

Other Assets less Liabilities‡

    -1.5%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
1.61%, 3/2/20††

    2.0%  

U.S. Treasury Note,
1.25%, 8/31/24

    1.1%  

U.S. Treasury Bond,
2.50%, 5/15/46

    1.0%  

U.S. Treasury Bond,
1.63%, 8/15/29

    0.9%  

U.S. Treasury Note,
1.75%, 5/15/23

    0.8%  

U.S. Treasury Note,
1.50%, 8/15/26

    0.8%  

U.S. Treasury Note,
2.13%, 3/31/24

    0.7%  

Uniform Mortgage-Backed Security,
3.00%, 3/1/50

    0.7%  

U.S. Treasury Note,
2.50%, 3/31/23

    0.7%  

U.S. Treasury Note,
2.00%, 4/30/24

    0.7%  
*

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

 

††

Fully collateralized by U.S. Government agency securities.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,011.90        0.23   $ 1.15  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,023.72        0.23   $ 1.16  

Performance

 

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

Fund NAV Returns

       1.19      2.88      2.33      1.62      1.39

Fund Market Price Returns

       1.45      3.01      2.39      1.69      1.46

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

       0.99      2.34      2.23      1.77      1.66
*

Returns of less than one year are cumulative.

 

1 

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

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

 

WisdomTree Trust      9  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Agencies

    54.1%  

Collateralized Mortgage Obligations

    28.9%  

Collateralized Loan Obligations

    6.1%  

Commercial Mortgage-Backed Securities

    5.7%  

Asset-Backed Securities

    4.8%  

Other Assets less Liabilities‡

    0.4%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

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

    9.9%  

Federal National Mortgage Association,
3.00%, 11/1/49

    9.7%  

Government National Mortgage Association,
2.16%, 7/20/64

    5.5%  

Federal National Mortgage Association,
3.00%, 3/1/50

    5.0%  

Federal National Mortgage Association,
3.50%, 3/1/50

    4.8%  

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

    4.5%  

Federal Home Loan Mortgage Corp.,
3.50%, 9/1/47

    3.7%  

Federal Home Loan Mortgage Corporation REMIC,
4.00%, 1/15/41, Series 4179, Class AZ

    3.6%  

Federal National Mortgage Association,
4.00%, 11/1/43

    3.5%  

Federal National Mortgage Association,
4.00%, 5/1/47

    3.1%  
*

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

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual1

   $ 1,000.00      $ 1,026.80        0.45   $ 1.35  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.63        0.45   $ 2.26  
1 

Fund commenced operations on November 14, 2019. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 108/366 (to reflect the period since commencement of operations).

 

10   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Corporate Bonds

    87.0%  

Foreign Corporate Bonds

    11.2%  

Other Assets less Liabilities‡

    1.8%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Community Health Systems, Inc.,
6.25%, 3/31/23

    1.1%  

EMC Corp.,
3.38%, 6/1/23

    1.0%  

DISH DBS Corp.,
6.75%, 6/1/21

    0.9%  

T-Mobile USA, Inc.,
4.00%, 4/15/22

    0.8%  

Jaguar Land Rover Automotive PLC,
5.63%, 2/1/23

    0.8%  

Tenet Healthcare Corp.,
8.13%, 4/1/22

    0.8%  

Sprint Corp.,
7.88%, 9/15/23

    0.7%  

Freeport-McMoRan, Inc.,
3.88%, 3/15/23

    0.7%  

Nielsen Finance LLC,
5.00%, 4/15/22

    0.7%  

Solera LLC,
10.50%, 3/1/24

    0.6%  
*

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

The WisdomTree Negative Duration High Yield Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term non-investment grade U.S. corporate fixed income securities having effective maturities generally shorter than five years and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates negative seven years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 965.90        0.48   $ 2.35  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.48        0.48   $ 2.41  

Performance

 

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

Fund NAV Returns

     -3.41      -11.25      -1.44      0.59      -1.27

Fund Market Price Returns

     -2.84      -11.32      -1.88      0.45      -1.37

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

     -2.71      -10.53      -0.55      1.72      -0.05
*

Returns of less than one year are cumulative.

 

1 

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

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

 

WisdomTree Trust      11  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    35.6%  

U.S. Government Agencies

    28.7%  

U.S. Corporate Bonds

    23.0%  

Foreign Corporate Bonds

    3.4%  

Repurchase Agreement

    2.7%  

Commercial Mortgage-Backed Securities

    2.4%  

Supranational Bonds

    1.5%  

Foreign Government Obligations

    1.0%  

Foreign Government Agencies

    0.7%  

Asset-Backed Securities

    0.7%  

Municipal Bonds

    0.4%  

U.S. Government Agencies Sold Short

    -1.3%  

Other Assets less Liabilities‡

    1.2%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
1.61%, 3/2/20††

    2.7%  

U.S. Treasury Note,
1.63%, 10/31/23

    1.4%  

U.S. Treasury Note,
2.00%, 2/15/25

    1.3%  

U.S. Treasury Note,
1.25%, 3/31/21

    1.0%  

U.S. Treasury Note,
1.38%, 9/30/23

    1.0%  

Federal National Mortgage Association,
3.50%, 12/1/47

    1.0%  

U.S. Treasury Note,
2.88%, 5/15/28

    1.0%  

Federal Home Loan Mortgage Corp.,
4.00%, 2/1/41

    0.8%  

U.S. Treasury Note,
2.13%, 2/29/24

    0.8%  

U.S. Treasury Note,
2.25%, 11/15/24

    0.8%  
*

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

 

††

Fully collateralized by U.S. Government agency securities.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 994.00        0.28   $ 1.39  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,023.47        0.28   $ 1.41  

Performance

 

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

Fund NAV Returns

       -0.60      -5.35      -0.72      -0.24      -1.60

Fund Market Price Returns

       -0.55      -5.05      -0.73      -0.21      -1.52

Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration

       -0.86      -5.96      -0.63      0.18      -1.11
*

Returns of less than one year are cumulative.

 

1 

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

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

 

12   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)

 

Country Breakdown

 

Country   % of Net Assets  

United States

    44.9%  

Italy

    12.2%  

Germany

    10.4%  

United Kingdom

    8.5%  

France

    6.2%  

Spain

    3.6%  

Supranational Bonds

    2.6%  

Austria

    2.4%  

Japan

    2.4%  

Netherlands

    2.3%  

Belgium

    2.0%  

Ireland

    1.2%  

Luxembourg

    0.6%  

Sweden

    0.4%  

Portugal

    0.3%  

Poland

    0.2%  

Other Assets less Liabilities‡

    -0.2%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

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

    43.4%  

Spain Government Bond,
4.20%, 1/31/37, Reg S

    1.2%  

French Republic Government Bond OAT,
2.50%, 5/25/30, Reg S

    1.0%  

BMW Finance N.V.,
0.38%, 9/24/27, Reg S

    1.0%  

United Kingdom Gilt,
4.25%, 9/7/39, Reg S

    0.9%  

Italy Buoni Poliennali Del Tesoro,
2.30%, 10/15/21, Reg S

    0.8%  

United Kingdom Gilt,
1.75%, 9/7/37, Reg S

    0.8%  

Italy Buoni Poliennali Del Tesoro,
5.75%, 2/1/33

    0.8%  

United Kingdom Gilt,
3.75%, 9/7/21, Reg S

    0.7%  

United Kingdom Gilt,
1.63%, 10/22/71, Reg S

    0.7%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). For a full list of holdings information for the underlying WisdomTree Fund, please see pages 89-125 of this report.

The WisdomTree Yield Enhanced Global Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays Global Aggregate Enhanced Yield Index (USD Hedged) (the “Index”). In seeking to track the Index, the Fund mainly invests in global investment grade fixed income securities while attempting to neutralize the exposure to the fluctuation in the value of foreign currencies relative to the U.S. dollar. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole. The Fund may invest in exchange-traded funds (each, an “Underlying Fund”) that invests in component securities of the Index or securities that have economic characteristics that are substantially identical to the economic characteristics of such component securities.

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,021.50        0.15 %1    $ 0.75  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.12        0.15 %1    $ 0.75  
1 

WisdomTree Asset Management, Inc. has contractually agreed to waive a portion of its management fee in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investments in each Underlying Fund through December 31, 2021, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. If the impact of AFFEs had been included (as shown in the net expense ratio in the Fund’s prospectus) the “Annualized Net Expense Ratio” would have been higher.

Performance

 

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

Fund NAV Returns

       2.15      12.82      12.74

Fund Market Price Returns

       2.28      12.67      12.17

Bloomberg Barclays Global Aggregate Enhanced Yield Index (USD Hedged)

       2.43      13.41      13.28

Bloomberg Barclays Global Aggregate Bond Index (USD Hedged)

       2.07      10.22      10.10
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 13, 2018.

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

 

WisdomTree Trust      13  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Corporate Bonds

    34.2%  

U.S. Government Agencies

    24.9%  

U.S. Government Obligations

    17.8%  

Foreign Corporate Bonds

    7.4%  

Commercial Mortgage-Backed Securities

    6.8%  

Repurchase Agreement

    3.0%  

Foreign Government Obligations

    2.3%  

Municipal Bonds

    1.7%  

Asset-Backed Securities

    1.4%  

Foreign Government Agencies

    0.4%  

Supranational Bonds

    0.1%  

Other Assets less Liabilities‡

    0.0%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
1.61%, 3/2/20††

    3.0%  

Federal National Mortgage Association,
3.50%, 9/1/45

    0.5%  

Federal National Mortgage Association,
3.00%, 9/1/49

    0.5%  

Federal National Mortgage Association,
3.00%, 10/1/46

    0.4%  

Federal National Mortgage Association,
3.50%, 6/1/49

    0.4%  

Federal National Mortgage Association,
3.50%, 5/1/49

    0.3%  

Federal National Mortgage Association,
3.00%, 10/1/49

    0.3%  

U.S. Treasury Note,
2.00%, 2/15/25

    0.3%  

U.S. Treasury Bond,
6.25%, 5/15/30

    0.3%  

Federal National Mortgage Association,
3.00%, 8/1/49

    0.3%  
*

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

 

††

Fully collateralized by U.S. Government and U.S. Government agency securities.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,037.00        0.12 %1    $ 0.61  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.27        0.12 %1    $ 0.60  
1 

WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2020, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason.

Performance

 

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

Fund NAV Returns

       3.70      13.88      5.80      4.84

Fund Market Price Returns

       3.56      13.60      5.72      4.82

Bloomberg Barclays U.S. Aggregate Enhanced Yield Index

       3.91      14.12      6.08      5.08

Bloomberg Barclays U.S. Aggregate Index

       3.39      11.68      5.01      4.09
*

Returns of less than one year are cumulative.

 

1 

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

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

 

14   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Corporate Bonds

    48.0%  

U.S. Government Obligations

    26.9%  

Commercial Mortgage-Backed Securities

    10.7%  

Foreign Corporate Bonds

    8.4%  

Foreign Government Obligations

    2.7%  

Asset-Backed Securities

    2.4%  

U.S. Government Agencies

    2.0%  

Foreign Government Agencies

    0.1%  

Supranational Bond

    0.0%

Other Assets less Liabilities‡

    -1.2%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

 

*

Represents less than 0.1%.

Top Ten Holdings*

 

Description   % of Net Assets  

U.S. Treasury Note,
2.00%, 5/31/24

    2.6%  

U.S. Treasury Note,
1.50%, 11/30/24

    2.5%  

U.S. Treasury Note,
2.13%, 3/31/24

    2.5%  

U.S. Treasury Note,
2.50%, 8/15/23

    2.3%  

U.S. Treasury Note,
2.88%, 9/30/23

    2.1%  

U.S. Treasury Bill,
1.56%, 3/31/20

    2.0%  

JP Morgan Chase Commercial Mortgage Securities Trust,
4.17%, 12/15/46, Series 2013-C16, Class A4

    1.9%  

Uniform Mortgage-Backed Security,
2.50%, 4/1/35

    1.9%  

U.S. Treasury Note,
1.50%, 10/31/24

    1.9%  

U.S. Treasury Bond,
7.63%, 11/15/22

    1.8%  
*

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

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 1,024.40        0.12 %1    $ 0.60  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.27        0.12 %1    $ 0.60  
1 

WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2020, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason.

Performance

 

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

Fund NAV Returns

       2.44      6.79      3.30

Fund Market Price Returns

       2.52      6.68      3.32

Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index

       2.32      6.37      3.05

Bloomberg Barclays U.S. Short Aggregate Composite Index

       2.65      7.25      3.60
*

Returns of less than one year are cumulative.

 

1 

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

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

 

WisdomTree Trust      15  


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    104.6%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    -9.1%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.55%, 5/14/20

    68.7%  

U.S. Treasury Bill,
1.58%, 5/21/20

    35.9%  

WisdomTree Floating Rate Treasury Fund (USFR)

    4.5%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). For a full list of holdings information for the underlying WisdomTree Fund, please see page 38 of this report.

The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Index”), utilizing a strategy of writing put options on the S&P 500 Index. The strategy is designed to receive a premium from the option buyer by selling (i.e. writing) a sequence of one-month, at-the-money, S&P 500 Index put options.

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 965.20        0.40 %1    $ 1.95  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.87        0.40 %1    $ 2.01  
1 

WisdomTree Asset Management, Inc. had contractually agreed to limit the management fee to 0.38% through December 31, 2019. On December 31, 2019, the contractual waiver expired.

Performance

 

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

Fund NAV Returns

       -3.48      -0.51      1.17      4.34

Fund Market Price Returns

       -4.27      -1.24      0.82      4.08

CBOE S&P 500 PutWrite Index

       -3.45      -0.22      1.67      4.87

S&P 500® Index

       1.92      8.19      9.87      13.45
*

Returns of less than one year are cumulative.

 

1 

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

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

 

16   WisdomTree Trust


Table of Contents

Performance Summary

as of February 29, 2020 (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    86.6%  

Exchange-Traded Funds

    4.7%  

Other Assets less Liabilities‡

    8.7%  

Total

    100.0%  

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.56%, 3/19/20

    84.1%  

WisdomTree Floating Rate Treasury Fund (USFR)

    4.7%  

U.S. Treasury Bill,
1.55%, 3/12/20

    2.5%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). For a full list of holdings information for the underlying WisdomTree Fund, please see page 38 of this report.

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

Shareholder Expense Example (for the six-month period ended February 29, 2020)

 

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

Actual

   $ 1,000.00      $ 928.40        0.65 %1    $ 3.12  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.63        0.65 %1    $ 3.27  
1 

WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.65% through December 31, 2020, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason.

Performance

 

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

Fund NAV Returns

       -7.16      -6.58      -2.46      -2.82      -2.93

Fund Market Price Returns

       -7.14      -6.50      -2.43      -2.85      -2.95

Diversified Trends Indicator/WisdomTree Managed Futures Spliced Index2

       -6.74      -5.77      -1.49      -1.86      -1.89

S&P Diversified Trends Indicator Index

       -7.10      -3.69      -1.78      -1.61      -1.67
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on January 5, 2011.

 

2 

Diversified Trends Indicator Index through June 30, 2016; WisdomTree Managed Futures Index thereafter.

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

 

WisdomTree Trust      17  


Table of Contents

Description of Terms and Indexes (unaudited)

 

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

Bloomberg Barclays Global Aggregate Bond Index (Hedged):

The Bloomberg Barclays Global Aggregate Bond Index (Hedged) represents the Bloomberg Barclays Global Aggregate Index hedged into USD.

Bloomberg Barclays Global Aggregate Enhanced Yield Index:

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

Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration:

The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration combines long positions in the Bloomberg Barclays U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of -5 years. Market values of long and short positions are rebalanced at month-end.

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

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

Bloomberg Barclays U.S. Aggregate Enhanced Yield Index:

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

Bloomberg Barclays U.S. Short Aggregate Composite Index:

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

Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index:

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

Bloomberg Barclays U.S. Aggregate Index:

The Bloomberg Barclays U.S. Aggregate Index represents the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, as well as mortgage- and asset-backed securities.

Bloomberg Dollar Spot Index:

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

 

18   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

Bloomberg Dollar Total Return Index:

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

Bloomberg U.S. Treasury Floating Rate Bond Index:

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

Bond Spread:

A bond spread is the difference between the yields of two bonds with differing credit ratings. Most often, a corporate bond with a certain amount of risk is compared to a standard risk-free Treasury Bond. The bond spread will show the additional yield that could be earned from a bond which has a higher risk. Generally, bond spreads are often a good barometer of economic health - widening (bad) and narrowing (good).

CBOE® S&P 500 PutWrite Index:

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

Consumer Price Index:

The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services.

Diversified Trends Indicator Index:

The Diversified Trends Indicator (“DTI”) Index is a long/short rules-based index that consists of ten commodity sectors and eight financial sectors. Each month the DTI Index sector exposure is rebalanced back to the fixed weights, 50% physical commodities and 50% financials (when energy is long) and approximately 40% commodities and 60% financials (when energy is flat). Each sector (other than the energy sector) is positioned either long or short depending on the current market environment (the energy sector is positioned as either “long” or “flat” (i.e., no exposure)). The DTI Index individual market components, sectors and related weightings, as well as other aspects of the calculation of the DTI Index, are subject to change at any time.

Equal-Weighted Emerging Currency Composite:

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

Gross Domestic Product:

Gross Domestic Product (GDP) is the total monetary or market value of all the finished goods and services produced within a country’s borders in a specific time period. As a

 

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

 

broad measure of overall domestic production, it functions as a comprehensive scorecard of a country’s economic health.

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

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

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

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

ICE BofA Merrill Lynch U.S. Corporate Master Option-Adjusted Spread and the ICE BofA Merrill Lynch U.S. High Yield Option-Adjusted Spread:

The ICE BofA Merrill Lynch Option-Adjusted Spreads (“OAS”) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond weighted by market capitalization. The ICE BofA Merrill Lynch U.S. Corporate Master OAS uses an index of bonds that are considered investment grade (those rated BBB or better) and the ICE BofA Merrill Lynch U.S. High Yield Master OAS uses an index of bonds that are below investment grade (those rated BB or below).

JP Morgan CEMBI Broad Index:

The JP Morgan CEMBI Broad Index is a market capitalization-weighted index consisting

of U.S. dollar-denominated emerging market corporate bonds. The index serves as a global corporate benchmark representing Asia, Latin America, Europe and Middle East/Africa. U.S. dollar-denominated corporate issues from index-eligible countries are narrowed further by only including issues with more than $300 million current face outstanding and at least five years to maturity (at the time of inclusion into the index).

JP Morgan CEMBI Diversified Index:

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

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

The JP Morgan Emerging Local Markets Index Plus (ELMI+) and its underlying country and regional subindices track the total returns for local-currency denominated money market instruments in emerging market countries.

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

The China subindex uses a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the total returns

 

20   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

of an investment in Chinese yuan money market instruments. The returns are reported inU.S. dollar terms.

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

Global Diversified Index:

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

MSCI Emerging Markets Index:

The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure emerging markets equity performance.

Purchasing Managers’ Index:

The Purchasing Managers’ Index (PMI) is an index of the prevailing direction of economic trends in the manufacturing and service sectors. It consists of a diffusion index that summarizes whether market conditions, as viewed by purchasing managers, are expanding, staying the same, or contracting.

Risk-on and Risk-off:

Investors’ appetites for risk rise and fall over time. During periods when risk is perceived as low, the risk-on risk-off theory states that investors tend to engage in higher-risk investments (i.e. “Risk-on”). When risk is perceived to be high, investors have the tendency to gravitate toward lower-risk investments (i.e. “Risk-off”).

S&P 500® Index:

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

S&P Diversified Trends Indicator Index:

The S&P Diversified Trends Indicator Index is a diversified composite of global commodity and financial futures that are highly liquid.

Spot Rate and NDF Rate Returns:

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

WisdomTree Managed Futures Index:

The WisdomTree Managed Futures Index is a long/short, rules-based index designed to provide exposure to a portfolio consisting of diversified futures contracts for

 

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

 

commodities, currencies and interest rates. On a monthly basis, assets with lower realized volatility will be selected, and a determination to go long or short the futures contracts of the selected assets under a proprietary composite momentum framework will be made. The composite momentum framework incorporates multiple momentum signals to decide the direction and weight in the index.

* * * * * *

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”) or Bloomberg licensors own all proprietary rights in the BLOOMBERG BARCLAYS INDICES. Neither Bloomberg nor Barclays Bank Plc or Barclays Capital Inc. or their affiliates (collectively “Barclays”) guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG BARCLAYS INDICES or make any warranty, express or implied, as to the BLOOMBERG BARCLAYS INDICES or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg and its licensors, and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages — whether direct, indirect, consequential, incidental, punitive or otherwise — arising in connection with BLOOMBERG BARCLAYS INDICES or any data or values relating thereto — whether arising from their negligence or otherwise. This documentconstitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG BARCLAYS INDICES shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy,” “sell,” “hold” or enter into any other transaction involving a specific interest) by Bloomberg or its affiliates or licensors or a recommendation as to an investment or other strategy. Data and other information available via the BLOOMBERG BARCLAYS INDICES should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG BARCLAYS INDICES is impersonal and not tailored to the needs of any specific person, entity or group of persons. Bloomberg and its affiliates express no opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. In addition, Barclays is not the issuer or producer of the BLOOMBERG BARCLAYS INDICES and has no responsibilities, obligations or duties to investors in these indices. While Bloomberg may for itself execute transactions with Barclays in or relating to the BLOOMBERG BARCLAYS INDICES, investors in the BLOOMBERG BARCLAYS INDICES do not enter into any relationship with Barclays and Barclays does not sponsor, endorse, sell or promote, and Barclays makes no representation regarding the advisability or use of, the BLOOMBERG BARCLAYS INDICES or any data included therein. Investors should consider obtaining independent advice before making any financial decisions.

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

The CBOE S&P 500 PutWrite Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and CBOE® and has been licensed for use by WisdomTree. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial

 

22   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (concluded)

 

Services LLC (“S&P”); Dow Jones® is registered trademark of Dow Jones Trademarks Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WisdomTree. CBOE® is a trademark of the Chicago Board Options Exchange, Incorporated, and has been licensed for use by SPDJI and WisdomTree. The WisdomTree CBOE S&P 500 PutWrite Strategy Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates or the Chicago Board Options Exchange, Incorporated, and none of such parties make any representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions or interruptions of the CBOE S&P 500 PutWrite Index.

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

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

*    *    *    *    *    *

 

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

 

Currency abbreviations:                    
AUD   Australian dollar   GBP   British pound   PHP   Philippine peso
BRL   Brazilian real   HUF   Hungary forint   PLN   Polish zloty
CAD   Canadian dollar   IDR   Indonesian rupiah   RON   Romanian leu
CHF   Swiss franc   INR   Indian rupee   RUB   Russian ruble
CLP   Chilean peso   JPY   Japanese yen   THB   Thai baht
CNH   Offshore Chinese renminbi   KRW   South Korean won   TRY   Turkish new lira
CNY   Chinese yuan   MXN   Mexican peso   USD   U.S. dollar
COP   Colombian peso   MYR   Malaysian ringgit   ZAR   South African rand
EUR   Euro   PEN   Peruvian nuevo sol    

 

Other abbreviations:
IO   Interest Only
PIK   Payment In Kind
Reg S   Regulation S. This security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. This security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REMIC   Real Estate Mortgage Investment Conduit
STRIPS   Separate Trading of Registered Interest and Principal of Securities

 

 

WisdomTree Trust      23  


Table of Contents

Schedule of Investments (unaudited)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 96.9%

 

U.S. Treasury Bills – 96.9%

 

1.57%, 3/12/20*

   $ 25,905,000      $ 25,894,429  

1.58%, 4/16/20*

     16,204,000        16,176,499  

1.56%, 5/21/20*

     11,100,000        11,068,766  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $53,126,750)

 

 

     53,139,694  
    
Investments
   Shares      Value  
EXCHANGE-TRADED FUND – 2.6%

 

United States – 2.6%

 

WisdomTree Floating Rate Treasury Fund(a)  
(Cost: $1,455,768)      58,000      $ 1,455,220  

TOTAL INVESTMENTS IN SECURITIES – 99.5%

(Cost: $54,582,518)

 

 

     54,594,914  

Other Assets less Liabilities – 0.5%

 

     259,391  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 54,854,305  
* 

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

 

(a) 

Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period.

 

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 29, 2020 were as follows:

 

Investment In Affiliates   Value at
8/31/2019
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/29/2020
    Dividend
Income
 

WisdomTree Floating Rate Treasury Fund

  $ 1,854,440     $     $ 400,902     $ (778   $ 2,460     $ 1,455,220     $ 14,484  

 

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

Bank of America N.A.

    3/4/2020       104,000       AUD       69,466       USD     $     $ (1,713

Bank of America N.A.

    3/4/2020       873,810       AUD       569,244       USD       15        

Bank of America N.A.

    3/4/2020       214,000       CAD       161,783       USD             (2,348

Bank of America N.A.

    3/4/2020       1,794,660       CAD       1,337,014       USD       46        

Bank of America N.A.

    3/4/2020       62,000       CHF       63,082       USD       1,185        

Bank of America N.A.

    3/4/2020       522,480       CHF       541,571       USD       10        

Bank of America N.A.

    3/4/2020       284,000       CNH       40,482       USD       215        

Bank of America N.A.

    3/4/2020       2,382,660       CNH       341,425       USD       8        

Bank of America N.A.

    3/4/2020       398,000       EUR       430,548       USD       8,852        

Bank of America N.A.

    3/4/2020       3,339,420       EUR       3,686,676       USD       115        

Bank of America N.A.

    3/4/2020       118,000       GBP       152,559       USD             (1,261

Bank of America N.A.

    3/4/2020       990,570       GBP       1,270,061       USD       35        

Bank of America N.A.

    3/4/2020       2,865,000       INR       39,975       USD             (280

Bank of America N.A.

    3/4/2020       24,040,800       INR       332,975       USD       114        

Bank of America N.A.

    3/4/2020       21,486,000       JPY       193,262       USD       5,952        

Bank of America N.A.

    3/4/2020       180,271,140       JPY       1,671,403       USD       33        

Bank of America N.A.

    3/4/2020       55,370,000       KRW       46,424       USD             (833

Bank of America N.A.

    3/4/2020       481,777,800       KRW       401,314       USD             (4,621

Bank of America N.A.

    3/4/2020       2,556,000       MXN       137,405       USD             (7,566

Bank of America N.A.

    3/4/2020       22,181,040       MXN       1,126,706       USD       37        

Bank of America N.A.

    3/4/2020       366,373       USD       547,050       AUD       9,987        

Bank of America N.A.

    3/4/2020       1,110,474       USD       1,660,000       AUD       29,036        

Bank of America N.A.

    3/4/2020       850,475       USD       1,125,600       CAD       11,880        

Bank of America N.A.

    3/4/2020       2,564,511       USD       3,400,000       CAD       31,440        

Bank of America N.A.

    3/4/2020       342,976       USD       329,700       CHF       1,222        

Bank of America N.A.

    3/4/2020       997,914       USD       980,000       CHF             (17,915

Bank of America N.A.

    3/4/2020       213,972       USD       1,499,400       CNH             (891

Bank of America N.A.

    3/4/2020       640,556       USD       4,490,000       CNH             (2,858

Bank of America N.A.

    3/4/2020       2,340,059       USD       2,106,300       EUR       14,659        

Bank of America N.A.

    3/4/2020       6,773,970       USD       6,270,000       EUR             (148,245

Bank of America N.A.

    3/4/2020       825,598       USD       624,750       GBP       24,551        

Bank of America N.A.

    3/4/2020       2,418,783       USD       1,860,000       GBP       33,915        

Bank of America N.A.

    3/4/2020       211,371       USD       15,135,750       INR       1,663        

 

See Notes to Financial Statements.

 

24   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

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

Bank of America N.A.

    3/4/2020       630,589       USD       45,270,000       INR     $ 3,367     $  

Bank of America N.A.

    3/4/2020       1,046,938       USD       113,270,850       JPY             (3,285

Bank of America N.A.

    3/4/2020       3,101,886       USD       340,535,000       JPY             (55,482

Bank of America N.A.

    3/4/2020       243,154       USD       289,705,500       KRW       4,611        

Bank of America N.A.

    3/4/2020       744,504       USD       888,000,000       KRW       13,329        

Bank of America N.A.

    3/4/2020       67,448       USD       82,000,000       KRW             (70

Bank of America N.A.

    3/4/2020       706,255       USD       13,401,150       MXN       25,509        

Bank of America N.A.

    3/4/2020       2,193,291       USD       40,855,000       MXN       117,957        

Bank of America N.A.

    4/8/2020       601,727       USD       922,950       AUD             (19

Bank of America N.A.

    4/8/2020       1,379,911       USD       1,852,200       CAD             (46

Bank of America N.A.

    4/8/2020       554,252       USD       533,400       CHF             (24

Bank of America N.A.

    4/8/2020       347,354       USD       2,426,550       CNH             (34

Bank of America N.A.

    4/8/2020       3,792,971       USD       3,428,250       EUR             (8

Bank of America N.A.

    4/8/2020       1,332,738       USD       1,038,450       GBP             (34

Bank of America N.A.

    4/8/2020       341,938       USD       24,790,500       INR             (284

Bank of America N.A.

    4/8/2020       1,692,117       USD       182,163,450       JPY             (69

Bank of America N.A.

    4/8/2020       401,006       USD       481,287,450       KRW       4,524        

Bank of America N.A.

    4/8/2020       1,156,955       USD       22,903,650       MXN             (85

Citibank N.A.

    3/4/2020       873,810       AUD       569,270       USD             (10

Citibank N.A.

    3/4/2020       1,794,660       CAD       1,337,053       USD       6        

Citibank N.A.

    3/4/2020       522,480       CHF       541,582       USD       0        

Citibank N.A.

    3/4/2020       2,382,660       CNH       341,441       USD             (8

Citibank N.A.

    3/4/2020       3,339,420       EUR       3,686,810       USD             (18

Citibank N.A.

    3/4/2020       990,570       GBP       1,270,099       USD             (3

Citibank N.A.

    3/4/2020       24,040,800       INR       332,662       USD       427        

Citibank N.A.

    3/4/2020       180,271,140       JPY       1,671,468       USD             (32

Citibank N.A.

    3/4/2020       481,777,800       KRW       401,548       USD             (4,855

Citibank N.A.

    3/4/2020       22,181,040       MXN       1,126,762       USD             (19

Citibank N.A.

    3/4/2020       366,383       USD       547,050       AUD       9,997        

Citibank N.A.

    3/4/2020       850,490       USD       1,125,600       CAD       11,894        

Citibank N.A.

    3/4/2020       342,983       USD       329,700       CHF       1,229        

Citibank N.A.

    3/4/2020       213,972       USD       1,499,400       CNH             (891

Citibank N.A.

    3/4/2020       2,340,093       USD       2,106,300       EUR       14,692        

Citibank N.A.

    3/4/2020       825,618       USD       624,750       GBP       24,571        

Citibank N.A.

    3/4/2020       210,896       USD       15,135,750       INR       1,188        

Citibank N.A.

    3/4/2020       1,046,957       USD       113,270,850       JPY             (3,266

Citibank N.A.

    3/4/2020       242,431       USD       289,705,500       KRW       3,889        

Citibank N.A.

    3/4/2020       706,253       USD       13,401,150       MXN       25,507        

Citibank N.A.

    4/8/2020       601,722       USD       922,950       AUD             (25

Citibank N.A.

    4/8/2020       1,379,928       USD       1,852,200       CAD             (30

Citibank N.A.

    4/8/2020       554,262       USD       533,400       CHF             (13

Citibank N.A.

    4/8/2020       347,382       USD       2,426,550       CNH             (6

Citibank N.A.

    4/8/2020       3,792,707       USD       3,428,250       EUR             (272

Citibank N.A.

    4/8/2020       1,332,736       USD       1,038,450       GBP             (36

Citibank N.A.

    4/8/2020       340,538       USD       24,790,500       INR             (1,684

Citibank N.A.

    4/8/2020       1,692,120       USD       182,163,450       JPY             (66

Citibank N.A.

    4/8/2020       401,126       USD       481,287,450       KRW       4,644        

Citibank N.A.

    4/8/2020       1,156,943       USD       22,903,650       MXN             (98

HSBC Holdings PLC

    3/4/2020       873,810       AUD       569,259       USD       1        

HSBC Holdings PLC

    3/4/2020       1,794,660       CAD       1,337,056       USD       3        

HSBC Holdings PLC

    3/4/2020       522,480       CHF       541,584       USD             (2

HSBC Holdings PLC

    3/4/2020       2,382,660       CNH       341,412       USD       22        

HSBC Holdings PLC

    3/4/2020       3,339,420       EUR       3,686,790       USD       2        

HSBC Holdings PLC

    3/4/2020       990,570       GBP       1,270,101       USD             (5

HSBC Holdings PLC

    3/4/2020       24,040,800       INR       332,823       USD       266        

 

See Notes to Financial Statements.

 

WisdomTree Trust      25  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

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

HSBC Holdings PLC

    3/4/2020       180,271,140       JPY       1,671,452       USD     $     $ (17

HSBC Holdings PLC

    3/4/2020       481,777,800       KRW       401,428       USD             (4,734

HSBC Holdings PLC

    3/4/2020       22,181,040       MXN       1,126,760       USD             (17

HSBC Holdings PLC

    3/4/2020       366,384       USD       547,050       AUD       9,998        

HSBC Holdings PLC

    3/4/2020       850,497       USD       1,125,600       CAD       11,902        

HSBC Holdings PLC

    3/4/2020       342,987       USD       329,700       CHF       1,233        

HSBC Holdings PLC

    3/4/2020       213,969       USD       1,499,400       CNH             (894

HSBC Holdings PLC

    3/4/2020       2,340,129       USD       2,106,300       EUR       14,728        

HSBC Holdings PLC

    3/4/2020       825,617       USD       624,750       GBP       24,570        

HSBC Holdings PLC

    3/4/2020       210,707       USD       15,135,750       INR       999        

HSBC Holdings PLC

    3/4/2020       1,046,956       USD       113,270,850       JPY             (3,268

HSBC Holdings PLC

    3/4/2020       241,911       USD       289,705,500       KRW       3,369        

HSBC Holdings PLC

    3/4/2020       706,276       USD       13,401,150       MXN       25,530        

HSBC Holdings PLC

    4/8/2020       601,743       USD       922,950       AUD             (3

HSBC Holdings PLC

    4/8/2020       1,379,921       USD       1,852,200       CAD             (37

HSBC Holdings PLC

    4/8/2020       554,263       USD       533,400       CHF             (13

HSBC Holdings PLC

    4/8/2020       347,370       USD       2,426,550       CNH             (18

HSBC Holdings PLC

    4/8/2020       3,792,995       USD       3,428,250       EUR       16        

HSBC Holdings PLC

    4/8/2020       1,332,766       USD       1,038,450       GBP             (6

HSBC Holdings PLC

    4/8/2020       340,964       USD       24,790,500       INR             (1,258

HSBC Holdings PLC

    4/8/2020       1,692,189       USD       182,163,450       JPY       4        

HSBC Holdings PLC

    4/8/2020       400,996       USD       481,287,450       KRW       4,514        

HSBC Holdings PLC

    4/8/2020       1,157,030       USD       22,903,650       MXN             (11

JP Morgan Chase Bank N.A.

    3/4/2020       873,810       AUD       569,253       USD       7        

JP Morgan Chase Bank N.A.

    3/4/2020       1,794,660       CAD       1,337,030       USD       30        

JP Morgan Chase Bank N.A.

    3/4/2020       522,480       CHF       541,575       USD       7        

JP Morgan Chase Bank N.A.

    3/4/2020       2,382,660       CNH       341,434       USD             (1

JP Morgan Chase Bank N.A.

    3/4/2020       3,339,420       EUR       3,686,716       USD       75        

JP Morgan Chase Bank N.A.

    3/4/2020       990,570       GBP       1,270,074       USD       22        

JP Morgan Chase Bank N.A.

    3/4/2020       24,040,800       INR       332,708       USD       381        

JP Morgan Chase Bank N.A.

    3/4/2020       180,271,140       JPY       1,671,410       USD       25        

JP Morgan Chase Bank N.A.

    3/4/2020       481,777,800       KRW       401,542       USD             (4,848

JP Morgan Chase Bank N.A.

    3/4/2020       22,181,040       MXN       1,126,729       USD       14        

JP Morgan Chase Bank N.A.

    3/4/2020       279,134       USD       416,800       AUD       7,602        

JP Morgan Chase Bank N.A.

    3/4/2020       647,971       USD       857,600       CAD       9,041        

JP Morgan Chase Bank N.A.

    3/4/2020       261,309       USD       251,200       CHF       926        

JP Morgan Chase Bank N.A.

    3/4/2020       163,014       USD       1,142,400       CNH             (691

JP Morgan Chase Bank N.A.

    3/4/2020       1,782,873       USD       1,604,800       EUR       11,140        

JP Morgan Chase Bank N.A.

    3/4/2020       629,028       USD       476,000       GBP       18,707        

JP Morgan Chase Bank N.A.

    3/4/2020       160,523       USD       11,532,000       INR       746        

JP Morgan Chase Bank N.A.

    3/4/2020       797,642       USD       86,301,600       JPY             (2,528

JP Morgan Chase Bank N.A.

    3/4/2020       184,594       USD       220,728,000       KRW       2,847        

JP Morgan Chase Bank N.A.

    3/4/2020       538,061       USD       10,210,400       MXN       19,397        

JP Morgan Chase Bank N.A.

    3/4/2020       183,617       USD       3,510,000       MXN       5,317        

JP Morgan Chase Bank N.A.

    4/8/2020       601,684       USD       922,950       AUD             (62

JP Morgan Chase Bank N.A.

    4/8/2020       1,379,854       USD       1,852,200       CAD             (104

JP Morgan Chase Bank N.A.

    4/8/2020       554,244       USD       533,400       CHF             (32

JP Morgan Chase Bank N.A.

    4/8/2020       347,347       USD       2,426,550       CNH             (41

JP Morgan Chase Bank N.A.

    4/8/2020       3,792,975       USD       3,428,250       EUR             (5

JP Morgan Chase Bank N.A.

    4/8/2020       1,332,701       USD       1,038,450       GBP             (72

JP Morgan Chase Bank N.A.

    4/8/2020       340,665       USD       24,790,500       INR             (1,557

JP Morgan Chase Bank N.A.

    4/8/2020       1,692,087       USD       182,163,450       JPY             (99

JP Morgan Chase Bank N.A.

    4/8/2020       401,217       USD       481,287,450       KRW       4,735        

JP Morgan Chase Bank N.A.

    4/8/2020       1,156,916       USD       22,903,650       MXN             (125

Morgan Stanley & Co. International

    3/4/2020       665,760       AUD       433,715       USD       7        

 

See Notes to Financial Statements.

 

26   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 29, 2020

 

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

Morgan Stanley & Co. International

    3/4/2020       1,367,360       CAD       1,018,723       USD     $     $ (11

Morgan Stanley & Co. International

    3/4/2020       398,080       CHF       412,599       USD       34        

Morgan Stanley & Co. International

    3/4/2020       1,815,360       CNH       260,135       USD       4        

Morgan Stanley & Co. International

    3/4/2020       2,544,320       EUR       2,808,599       USD       386        

Morgan Stanley & Co. International

    3/4/2020       754,720       GBP       967,574       USD       119        

Morgan Stanley & Co. International

    3/4/2020       18,316,800       INR       253,292       USD       490        

Morgan Stanley & Co. International

    3/4/2020       137,349,440       JPY       1,273,369       USD       105        

Morgan Stanley & Co. International

    3/4/2020       367,068,800       KRW       305,752       USD             (3,509

Morgan Stanley & Co. International

    3/4/2020       16,899,840       MXN       858,854       USD             (383

Morgan Stanley & Co. International

    3/4/2020       366,400       USD       547,050       AUD       10,014        

Morgan Stanley & Co. International

    3/4/2020       851,022       USD       1,125,600       CAD       12,427        

Morgan Stanley & Co. International

    3/4/2020       342,531       USD       329,700       CHF       777        

Morgan Stanley & Co. International

    3/4/2020       213,951       USD       1,499,400       CNH             (912

Morgan Stanley & Co. International

    3/4/2020       2,338,284       USD       2,106,300       EUR       12,883        

Morgan Stanley & Co. International

    3/4/2020       824,159       USD       624,750       GBP       23,113        

Morgan Stanley & Co. International

    3/4/2020       210,611       USD       15,135,750       INR       903        

Morgan Stanley & Co. International

    3/4/2020       1,046,648       USD       113,270,850       JPY             (3,575

Morgan Stanley & Co. International

    3/4/2020       242,221       USD       289,705,500       KRW       3,679        

Morgan Stanley & Co. International

    3/4/2020       705,416       USD       13,401,150       MXN       24,670        

Morgan Stanley & Co. International

    4/8/2020       458,430       USD       703,200       AUD             (43

Morgan Stanley & Co. International

    4/8/2020       1,051,416       USD       1,411,200       CAD       20        

Morgan Stanley & Co. International

    4/8/2020       422,238       USD       406,400       CHF             (67

Morgan Stanley & Co. International

    4/8/2020       264,660       USD       1,848,800       CNH             (16

Morgan Stanley & Co. International

    4/8/2020       2,889,473       USD       2,612,000       EUR             (416

Morgan Stanley & Co. International

    4/8/2020       1,015,252       USD       791,200       GBP             (194

Morgan Stanley & Co. International

    4/8/2020       259,525       USD       18,888,000       INR             (1,215

Morgan Stanley & Co. International

    4/8/2020       1,289,138       USD       138,791,200       JPY             (146

Morgan Stanley & Co. International

    4/8/2020       305,469       USD       366,695,200       KRW       3,387        

Morgan Stanley & Co. International

    4/8/2020       881,837       USD       17,450,400       MXN       282        
                                            $ 713,787     $ (290,238

 

See Notes to Financial Statements.

 

WisdomTree Trust      27  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 63.8%

 

U.S. Treasury Bills – 63.8%

 

1.54%, 3/12/20*

   $ 8,181,000      $ 8,177,662  

1.58%, 4/16/20*

     7,909,000        7,895,577  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $16,070,592)

              16,073,239  
      Shares          
EXCHANGE-TRADED FUND – 4.7%

 

United States – 4.7%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $1,169,777)      46,600        1,169,194  
Investments    Principal
Amount
     Value  
REPURCHASE AGREEMENT – 30.9%

 

United States – 30.9%

 

Citigroup, Inc., tri-party repurchase agreement dated 02/28/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $7,791,045 (fully collateralized by Fannie Mae Interest STRIPS, 4.50% due 11/1/41, Fannie Mae Pool, 2.50% – 4.50% due 11/1/27 – 9/1/49, Federal Home Loan Bank, 3.50% due 9/8/28, Freddie Mac Gold Pool, 4.00% – 4.50% due 3/1/44 – 1/1/49, Freddie Mac Pool, 3.50% – 4.50% due 11/1/48 – 1/1/50, Ginnie Mae I Single Family, 3.50% – 4.50% due 2/15/26 – 12/15/41, U.S. Treasury Bond, 3.00% due 11/15/44, U.S. Treasury Bond Coupon STRIPS, zero coupon due 5/15/26 – 5/15/40 and U.S. Treasury Bond Principal STRIPS, zero coupon due 11/15/27 – 2/15/43; Market value including accrued interest – $8,114,690)

     
(Cost: $7,790,000)    $ 7,790,000      $ 7,790,000  

TOTAL INVESTMENTS IN SECURITIES – 99.4%

(Cost: $25,030,369)

 

 

     25,032,433  

Other Assets less Liabilities – 0.6%

        159,558  
     

 

 

 
NET ASSETS – 100.0%             $ 25,191,991  
* 

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

 

(a) 

Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period.

 

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 29, 2020 were as follows:

 

               
Investment In Affiliates    Value at
8/31/2019
     Purchases/
Additions
     Sales/
Reductions
     Realized
Gain/(Loss)
     Change in
Unrealized
Appreciation/
Depreciation
     Value at
2/29/2020
     Dividend
Income
 

WisdomTree Floating Rate Treasury Fund

   $ 1,167,796      $      $      $      $ 1,398      $ 1,169,194      $ 10,224  

 

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

Citibank N.A.

    3/12/2020       126,706       USD       890,000       CNH     $     $ (587

HSBC Holdings PLC

    3/12/2020       44,500,000       CNH       6,316,621       USD       47,993        

HSBC Holdings PLC

    3/12/2020       294,983       USD       2,075,000       CNH             (1,794

HSBC Holdings PLC

    3/12/2020       5,923,544       USD       41,535,000       CNH             (17,001

HSBC Holdings PLC

    4/15/2020       11,690,000       CNH       1,670,960       USD             (602

HSBC Holdings PLC

    4/15/2020       39,649,820       CNY       5,665,879       USD       2,616        

HSBC Holdings PLC

    4/15/2020       78,969       USD       556,000       CNH             (476

HSBC Holdings PLC

    4/15/2020       547,336       USD       3,851,000       CNY             (3,218

HSBC Holdings PLC

    5/18/2020       24,699,300       CNY       3,514,414       USD       14,590        

HSBC Holdings PLC

    5/18/2020       327,252       USD       2,305,000       CNY             (2,083

HSBC Holdings PLC

    6/11/2020       42,000,000       CNH       5,975,202       USD       17,093        

Morgan Stanley & Co. International

    4/15/2020       41,268,180       CNY       5,896,718       USD       3,144        

Morgan Stanley & Co. International

    5/18/2020       23,730,700       CNY       3,377,074       USD       13,538        
                                            $ 98,974     $ (25,761

 

See Notes to Financial Statements.

 

28   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 71.0%

 

U.S. Treasury Bills – 71.0%

 

1.54%, 3/12/20*

   $ 6,268,000      $ 6,265,442  

1.58%, 4/16/20*

     6,352,000        6,341,220  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $12,604,554)

 

 

     12,606,662  
      Shares          
EXCHANGE-TRADED FUND - 4.5%

 

United States - 4.5%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $793,239)      31,600        792,844  
Investments    Principal
Amount
     Value  
REPURCHASE AGREEMENT – 27.4%

 

United States – 27.4%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $4,860,652 (fully collateralized by Fannie Mae Interest STRIPS, 3.50% due 2/1/47, Fannie Mae Pool, 3.00% – 6.00% due 11/1/28 – 9/1/49, Federal Home Loan Bank, 3.50% due 9/8/28, Freddie Mac Gold Pool, 4.50% – 5.00% due 6/1/20 – 1/1/49, Freddie Mac Gold STRIPS, 5.50% due 12/1/32, Freddie Mac Participation Certificate, 6.20% due 10/20/27, Freddie Mac Pool, 4.00% due 10/1/38, Ginnie Mae I Single Family, 5.50% – 7.00% due 3/15/28 – 7/15/37, Ginnie Mae I Single Family Platinum, 6.00% due 2/15/24, Resolution Funding Corporation Bond, 8.62% due 1/15/21, Sallie Mae, zero coupon due 10/3/22, U.S. Treasury Bond, 3.00% due 11/15/44, U.S. Treasury Bond Coupon STRIPS zero coupon due 11/15/25 – 5/15/49, U.S. Treasury Bond Principal STRIPS, zero coupon due 11/15/27 – 11/15/28, U.S. Treasury Inflation Indexed Bond, 0.63% due 7/15/21 and U.S. Treasury Notes, 1.38% – 2.50% due 1/31/21 – 1/31/25; Market value including accrued interest – $4,943,484)

     
(Cost: $4,860,000)    $ 4,860,000      $ 4,860,000  

TOTAL INVESTMENTS IN SECURITIES – 102.9%

(Cost: $18,257,793)

 

 

     18,259,506  

Other Assets less Liabilities – (2.9)%

 

     (520,282
  

 

 

 
NET ASSETS – 100.0%

 

   $ 17,739,224  
* 

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

 

(a) 

Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period.

 

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 29, 2020 were as follows:

 

               

Investment In Affiliates

  Value at
8/31/2019
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/29/2020
    Dividend
Income
 

WisdomTree Floating Rate Treasury Fund

  $ 791,896     $     $     $     $ 948     $ 792,844     $ 6,933  

 

See Notes to Financial Statements.

 

WisdomTree Trust      29  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 29, 2020

 

 

 

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

Bank of America N.A.

    5/12/2020       4,215,345,000       COP       1,230,363       USD     $     $ (46,267

Bank of America N.A.

    5/12/2020       23,355,000       MXN       1,228,823       USD             (61,772

Citibank N.A.

    5/12/2020       5,215,000       BRL       1,223,949       USD             (72,259

Citibank N.A.

    5/12/2020       974,825,000       CLP       1,222,811       USD             (34,048

HSBC Holdings PLC

    5/12/2020       38,115,000       THB       1,215,537       USD             (6,086

JP Morgan Chase Bank N.A.

    5/12/2020       8,610,000       CNH       1,227,664       USD       1,665        

JP Morgan Chase Bank N.A.

    5/12/2020       7,500,000       TRY       1,226,055       USD             (63,948

JP Morgan Chase Bank N.A.

    5/12/2020       18,230,000       ZAR       1,220,866       USD             (73,775

Morgan Stanley & Co. International

    5/12/2020       5,040,000       MYR       1,232,575       USD             (38,638

Royal Bank of Canada

    5/12/2020       16,939,395,000       IDR       1,228,204       USD             (54,945

Royal Bank of Canada

    5/12/2020       88,805,000       INR       1,228,285       USD             (7,060

Royal Bank of Canada

    5/12/2020       1,446,830,000       KRW       1,223,711       USD             (31,128

Royal Bank of Canada

    5/12/2020       62,835,000       PHP       1,228,326       USD             (568

UBS AG

    5/12/2020       4,795,000       PLN       1,233,377       USD             (17,173

UBS AG

    5/12/2020       78,095,000       RUB       1,220,340       USD             (68,661
                                            $ 1,665     $ (576,328

 

See Notes to Financial Statements.

 

30   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 0.1%

 

U.S. Treasury Bond – 0.1%

 

3.50%, 2/15/39

     
(Cost: $21,246)    $ 20,000      $ 26,780  
FOREIGN CORPORATE BONDS – 94.7%

 

Argentina – 0.9%

 

YPF S.A.
8.50%, 6/27/29(a)

     400,000        332,000  
Brazil – 10.2%

 

Banco BTG Pactual S.A.
4.50%, 1/10/25, Reg S

     325,000        332,719  

Banco do Brasil S.A.
4.63%, 1/15/25(a)(b)

     350,000        371,328  

Banco Votorantim S.A.
4.50%, 9/24/24(a)

     200,000        210,844  

Braskem Finance Ltd.
6.45%, 2/3/24(b)

     300,000        329,459  

Braskem Netherlands Finance B.V.
4.50%, 1/31/30(a)

     200,000        196,810  

Centrais Eletricas Brasileiras S.A.
4.63%, 2/4/30(a)(b)

     370,000        375,088  

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

     200,000        219,156  

Itau Unibanco Holding S.A.
4.63%, 2/27/25, (4.625% fixed rate until 2/27/25; 5-year Constant Maturity Treasury Rate + 3.222% thereafter)(a)(b)(c)(d)

     300,000        286,500  

Klabin Finance S.A.
4.88%, 9/19/27(a)(b)

     300,000        316,125  

Minerva Luxembourg S.A.
5.88%, 1/19/28(a)

     400,000        405,812  

Petrobras Global Finance B.V.
5.75%, 2/1/29(b)

     335,000        380,493  

St Marys Cement, Inc.
5.75%, 1/28/27, Reg S

     300,000        339,000  
     

 

 

 
Total Brazil

 

     3,763,334  
Chile – 4.4%

 

Celulosa Arauco y Constitucion S.A.
4.20%, 1/29/30(a)

     200,000        205,937  

5.50%, 11/2/47(b)

     325,000        352,472  

Colbun S.A.
3.95%, 10/11/27(a)

     325,000        346,176  

Inversiones CMPC S.A.
4.75%, 9/15/24, Reg S

     250,000        268,555  

SACI Falabella
3.75%, 10/30/27(a)

     250,000        259,844  

Telefonica Chile S.A.
3.88%, 10/12/22, Reg S

     200,000        207,450  
     

 

 

 
Total Chile

 

     1,640,434  
China – 6.6%

 

Bank of China Ltd.
5.00%, 11/13/24, Reg S

     600,000        665,344  

China Construction Bank Corp.
3.88%, 5/13/25, Reg S, (3.875% fixed rate until 5/13/20; 5-year Constant Maturity Treasury Rate + 2.425% thereafter)(c)

   600,000      602,437  

China Evergrande Group
8.75%, 6/28/25, Reg S

     200,000        166,830  

CNAC HK Finbridge Co., Ltd.
4.88%, 3/14/25, Reg S

     300,000        336,609  

5.13%, 3/14/28, Reg S

     200,000        233,531  

CNOOC Finance 2013 Ltd.
3.00%, 5/9/23

     200,000        207,594  

Tencent Holdings Ltd.
3.60%, 1/19/28(a)

     200,000        216,152  
     

 

 

 
Total China

 

     2,428,497  
Colombia – 6.0%

 

Banco Bilbao Vizcaya Argentaria Colombia S.A. 4.88%, 4/21/25, Reg S

     200,000        215,844  

Banco de Bogota S.A.
4.38%, 8/3/27, Reg S

     400,000        428,250  

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

     300,000        307,641  

Ecopetrol S.A.

 

5.38%, 6/26/26

     410,000        461,250  

5.88%, 5/28/45

     149,000        178,893  

Grupo Aval Ltd.
4.38%, 2/4/30(a)

     400,000        398,500  

Transportadora de Gas Internacional S.A. ESP
5.55%, 11/1/28(a)

     200,000        236,026  
     

 

 

 
Total Colombia

 

     2,226,404  
Ghana – 0.4%

 

Tullow Oil PLC
6.25%, 4/15/22, Reg S

     200,000        147,000  
India – 6.9%

 

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

     400,000        424,578  

Bharti Airtel Ltd.
4.38%, 6/10/25, Reg S

     625,000        660,547  

ICICI Bank Ltd.
3.25%, 9/9/22, Reg S

     200,000        205,562  

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

     617,000        666,456  

Vedanta Resources Ltd.
6.38%, 7/30/22, Reg S

     500,000        465,234  

7.13%, 5/31/23, Reg S

     150,000        138,831  
     

 

 

 
Total India

 

     2,561,208  
Indonesia – 4.1%

 

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

     400,000        364,236  

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

     500,000        496,700  

 

See Notes to Financial Statements.

 

WisdomTree Trust      31  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

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

   $ 380,000      $ 408,797  

4.13%, 5/15/27, Reg S

     220,000        236,672  
     

 

 

 
Total Indonesia

 

     1,506,405  
Ireland – 1.0%

 

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

     350,000        369,250  
Israel – 3.1%

 

Bank Leumi Le-Israel BM
3.28%, 1/29/31, Reg S, (3.275% fixed rate until 1/29/26; 5-year Constant Maturity TreasuryRate + 1.631% thereafter)(a)(c)

     300,000        300,810  

Israel Electric Corp., Ltd.
6.88%, 6/21/23, Reg S(b)

     200,000        228,969  

Teva Pharmaceutical Finance Netherlands III B.V. 2.80%, 7/21/23

     250,000        234,336  

3.15%, 10/1/26

     450,000        392,539  
     

 

 

 
Total Israel

 

     1,156,654  
Jamaica – 0.5%

 

Digicel Ltd.
6.00%, 4/15/21, Reg S

     250,000        199,414  
Kazakhstan – 1.8%

 

KazMunayGas National Co. JSC
4.75%, 4/19/27, Reg S

     600,000        666,739  
Kuwait – 2.2%

 

Equate Petrochemical B.V.
3.00%, 3/3/22, Reg S

     280,000        282,975  

NBK Tier 1 Financing 2 Ltd.
4.50%, 11/27/25, (4.50% fixed rate until 11/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(a)(c)(d)

     500,000        511,406  
     

 

 

 
Total Kuwait

 

     794,381  
Luxembourg – 2.2%

 

Altice Financing S.A.
7.50%, 5/15/26, Reg S

     250,000        264,687  

Millicom International Cellular S.A.
6.00%, 3/15/25, Reg S

     330,000        339,333  

5.13%, 1/15/28(a)

     216,000        223,425  
     

 

 

 
Total Luxembourg

 

     827,445  
Malaysia – 1.2%

 

Petronas Capital Ltd.
3.50%, 3/18/25, Reg S

     400,000        430,813  
Mexico – 5.8%

 

Alpek S.A.B. de C.V.
4.25%, 9/18/29(a)

     400,000        417,688  

Banco Mercantil del Norte S.A.
7.50%, 6/27/29, (7.50% fixed rate until 6/27/29; 10-year Constant Maturity Treasury Rate + 5.47% thereafter)(a)(b)(c)(d)

     200,000        228,344  

BBVA Bancomer S.A.
6.75%, 9/30/22, Reg S(b)

     250,000        271,695  

Cemex S.A.B. de C.V.
7.75%, 4/16/26, Reg S

     600,000        636,450  

Grupo Bimbo S.A.B. de C.V.
5.95%, 4/17/23, (5.95% fixed rate until 7/17/23; 5-year Constant Maturity Treasury Rate + 3.28% until 7/17/28; 5-year Constant Maturity Treasury Rate + 3.53% until 7/17/43; 5-year Constant Maturity Treasury Rate + 4.28% thereafter)(a)(b)(c)(d)

   250,000      265,078  

Orbia Advance Corp. S.A.B. de C.V.
4.00%, 10/4/27(a)

     320,000        336,850  
     

 

 

 
Total Mexico

 

     2,156,105  
Morocco – 1.6%

 

OCP S.A.
5.63%, 4/25/24, Reg S

     300,000        333,750  

6.88%, 4/25/44, Reg S

     200,000        264,813  
     

 

 

 
Total Morocco

 

     598,563  
Netherlands – 1.9%

 

Sigma Finance Netherlands B.V.
4.88%, 3/27/28(a)

     300,000        329,250  

VEON Holdings B.V.
4.00%, 4/9/25(a)(b)

     350,000        361,375  
     

 

 

 
Total Netherlands

 

     690,625  
Oman – 0.7%

 

Oztel Holdings SPC Ltd.
5.63%, 10/24/23, Reg S

     250,000        263,398  
Peru – 4.2%

 

Banco de Credito del Peru
6.13%, 4/24/27, Reg S, (6.125% fixed rate until 4/24/22; 3-month U.S. dollar London Interbank Offered Rate + 7.043% thereafter)(b)(c)

     450,000        480,727  

Banco Internacional del Peru S.A.A. Interbank
3.25%, 10/4/26(a)

     200,000        203,134  

Inkia Energy Ltd.
5.88%, 11/9/27, Reg S

     200,000        209,875  

Inretail Pharma S.A.
5.38%, 5/2/23, Reg S

     100,000        105,453  

Kallpa Generacion S.A.
4.13%, 8/16/27, Reg S

     250,000        263,789  

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

     260,000        304,281  
     

 

 

 
Total Peru

 

     1,567,259  
Philippines – 1.3%

 

Power Sector Assets & Liabilities Management Corp.
7.39%, 12/2/24, Reg S

     400,000        495,250  
Russia – 7.3%

 

Alfa Bank AO via Alfa Bond Issuance PLC
6.95%, 4/30/23, Reg S, (6.95% fixed rate until 4/30/23; 5-year Constant Maturity Treasury Rate + 4.572% thereafter)(c)(d)

     250,000        255,469  

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

     350,000        357,492  

ALROSA Finance S.A.
4.65%, 4/9/24(a)

     200,000        212,348  

 

See Notes to Financial Statements.

 

32   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

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

   $ 275,000      $ 296,184  

Gazprom Neft OAO via GPN Capital S.A.
6.00%, 11/27/23, Reg S

     325,000        362,273  

Gazprom PJSC via Gaz Capital S.A.
4.95%, 3/23/27, Reg S

     335,000        371,588  

Novolipetsk Steel via Steel Funding DAC
4.00%, 9/21/24, Reg S

     250,000        262,852  

Severstal OAO Via Steel Capital S.A.
3.15%, 9/16/24(a)

     200,000        200,500  

VTB Bank OJSC via VTB Capital S.A.
6.95%, 10/17/22, Reg S

     353,000        378,592  
     

 

 

 
Total Russia

 

     2,697,298  
Saudi Arabia – 1.7%

 

SABIC Capital II B.V.
4.50%, 10/10/28(a)

     350,000        397,141  

Saudi Electricity Global Sukuk Co. 2
5.06%, 4/8/43, Reg S

     200,000        233,500  
     

 

 

 
Total Saudi Arabia

 

     630,641  
Singapore – 1.6%

 

Oversea-Chinese Banking Corp., Ltd.
4.25%, 6/19/24, Reg S(b)

     525,000        573,070  
South Africa – 1.9%

 

AngloGold Ashanti Holdings PLC
5.13%, 8/1/22

     200,000        212,500  

6.50%, 4/15/40(b)

     162,000        192,021  

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

     275,000        301,039  
     

 

 

 
Total South Africa

 

     705,560  
South Korea – 2.5%

 

Kookmin Bank
4.35%, 7/2/24, (4.35% fixed rate until 7/2/24; 5-year Constant Maturity Treasury Rate + 2.639% thereafter)(a)(c)(d)

     200,000        206,969  

Woori Bank
4.75%, 4/30/24, Reg S(b)

     650,000        714,390  
     

 

 

 
Total South Korea

 

     921,359  
Thailand – 1.9%

 

Bangkok Bank PCL
4.45%, 9/19/28(a)

     300,000        347,250  

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

     325,000        370,703  
     

 

 

 
Total Thailand

 

     717,953  
Turkey – 4.5%

 

QNB Finansbank AS
6.88%, 9/7/24(a)(b)

     200,000        207,084  

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

     200,000        211,156  

Turkiye Garanti Bankasi AS
5.88%, 3/16/23, Reg S(b)

     350,000        352,188  

Turkiye Is Bankasi AS
6.13%, 4/25/24, Reg S

     200,000        197,031  

Turkiye Sinai Kalkinma Bankasi A/S
6.00%, 1/23/25(a)

     200,000        194,750  

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

   300,000      315,609  

Turkiye Vakiflar Bankasi TAO
5.25%, 2/5/25(a)(b)

     200,000        185,500  
     

 

 

 
Total Turkey

 

     1,663,318  
United Arab Emirates – 5.8%

 

Abu Dhabi National Energy Co. PJSC
4.38%, 6/22/26, Reg S

     1,000,000        1,117,812  

DP World Crescent Ltd.
3.91%, 5/31/23, Reg S

     200,000        207,115  

DP World PLC
6.85%, 7/2/37, Reg S

     100,000        126,594  

First Abu Dhabi Bank PJSC
5.25%, 6/17/20, Reg S, (5.25% fixed rate until 6/17/20; 5-year U.S. dollar Swap Rate + 3.35% thereafter)(c)(d)

     200,000        200,750  

MAF Global Securities Ltd.
4.75%, 5/7/24, Reg S

     200,000        214,125  

MHP Lux S.A.
6.25%, 9/19/29(a)

     275,000        273,625  
     

 

 

 
Total United Arab Emirates

 

     2,140,021  
Zambia – 0.5%

 

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

     200,000        191,719  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $33,479,694)

 

 

     35,062,117  
FOREIGN GOVERNMENT OBLIGATIONS – 2.9%

 

Egypt – 1.2%

 

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

     400,000        430,312  
Ghana – 0.5%

 

Ghana Government International Bond
6.38%, 2/11/27, Series 144A(a)

     200,000        198,250  
Indonesia – 0.7%

 

Indonesia Government International Bond
4.75%, 2/11/29

     210,000        243,232  
Nigeria – 0.5%

 

Nigeria Government International Bond
6.50%, 11/28/27, Reg S

     200,000        199,938  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $1,009,471)

 

 

     1,071,732  
      Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 11.5%

 

United States – 11.5%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(e)

     
(Cost: $4,252,403)(f)      4,252,403        4,252,403  

TOTAL INVESTMENTS IN SECURITIES – 109.2%

(Cost: $38,762,814)

 

 

     40,413,032  

Other Assets less Liabilities – (9.2)%

 

     (3,418,213
  

 

 

 
NET ASSETS – 100.0%

 

   $ 36,994,819  

 

See Notes to Financial Statements.

 

WisdomTree Trust      33  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 29, 2020

 

 

 

(a) 

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

 

(b) 

Security, or portion thereof, was on loan at February 29, 2020 (See Note 2).

 

(c) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

(d) 

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

 

(e) 

Rate shown represents annualized 7-day yield as of February 29, 2020.

 

(f) 

At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $4,778,883 and the total market value of the collateral held by the Fund was $4,920,219. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $667,816.

 

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

10 Year U.S. Treasury Note

    29       6/19/20     $ (3,907,750   $ (63,870

U.S. Treasury Long Bond

    1       6/19/20       (170,250     (4,524

Ultra 10 Year U.S. Treasury Note

    13       6/19/20       (1,952,844     (39,203
                    $ (6,030,844   $ (107,597
Long Exposure  

2 Year U.S. Treasury Note

    18       6/30/20     $ 3,929,907     $ 24,188  

5 Year U.S. Treasury Note

    12       6/30/20       1,473,000       18,000  

U.S. Treasury Ultra Long Term Bond

    4       6/19/20       830,000       24,875  
                    $ 6,232,907     $ 67,063  

Total – Net

 

  $ 202,063     $ (40,534
 

As of February 29, 2020, deposits at broker for futures contracts of $38,286 included cash collateral of $51,758 and previously settled variation margin losses on open futures contracts of $13,472.

 

See Notes to Financial Statements.

 

34   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 29, 2020

 

 

 

Investments   

Principal

Amount

     Value  
FOREIGN GOVERNMENT OBLIGATIONS – 83.3%

 

Brazil – 11.1%

 

Brazil Letras do Tesouro Nacional

 

10.26%, 7/1/21, Series LTN(a)

     5,000,000       BRL      $ 1,046,300  

8.51%, 1/1/22, Series LTN(a)

     12,785,000       BRL        2,604,020  

6.26%, 7/1/22, Series LTN(a)

     11,000,000       BRL        2,173,496  

6.65%, 7/1/23, Series LTN(a)

     8,030,000       BRL        1,482,857  

Brazil Notas do Tesouro Nacional

       

10.00%, 1/1/21, Series F

     7,593,000       BRL        1,762,787  

10.00%, 1/1/23, Series F

     13,435,000       BRL        3,337,733  

10.00%, 1/1/25, Series F

     12,249,000       BRL        3,151,033  

10.00%, 1/1/27, Series F

     12,840,000       BRL        3,386,149  

10.00%, 1/1/29, Series F

     2,460,000       BRL        661,297  
       

 

 

 
Total Brazil

 

             19,605,672  
Chile – 1.9%

 

Bonos de la Tesoreria de la Republica en pesos

       

4.00%, 3/1/23, Reg S(b)

     350,000,000       CLP        447,075  

4.50%, 3/1/26

     790,000,000       CLP        1,037,525  

4.70%, 9/1/30, Reg S(b)

     275,000,000       CLP        368,422  

5.00%, 3/1/35

     665,000,000       CLP        922,411  

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

     415,000,000       CLP        653,547  
       

 

 

 
Total Chile

 

             3,428,980  
China – 3.9%

 

China Government Bond

 

3.25%, 7/4/21

     4,000,000       CNY        578,375  

2.36%, 8/18/21, Reg S

     2,500,000       CNY        357,184  

3.10%, 6/29/22

     4,000,000       CNY        580,578  

3.16%, 6/27/23

     3,000,000       CNY        438,548  

3.29%, 10/18/23, Series 1823

     3,000,000       CNY        441,368  

3.19%, 4/11/24, Series 1904

     5,100,000       CNY        748,766  

2.94%, 10/17/24, Series 1913

     2,000,000       CNY        291,539  

3.22%, 12/6/25, Series 1828

     5,000,000       CNY        734,735  

3.25%, 6/6/26, Series 1907

     6,000,000       CNY        882,931  

3.12%, 12/5/26, Series 1916

     2,000,000       CNY        292,551  

3.25%, 11/22/28, Series 1827

     4,000,000       CNY        591,760  

3.29%, 5/23/29, Series 1906

     4,000,000       CNY        596,546  

3.13%, 11/21/29, Series 1915

     2,000,000       CNY        295,797  
       

 

 

 
Total China

 

             6,830,678  
Colombia – 7.6%

 

Colombia Government International Bond
7.75%, 4/14/21

     749,000,000       COP        217,147  

Colombian TES

 

7.00%, 5/4/22, Series B

     5,691,700,000       COP        1,682,372  

10.00%, 7/24/24, Series B

     9,452,700,000       COP        3,171,843  

6.25%, 11/26/25, Series B

     2,397,300,000       COP        703,298  

7.50%, 8/26/26, Series B

     6,409,200,000       COP        1,996,250  

6.00%, 4/28/28, Series B

     7,093,200,000       COP        2,023,957  

7.75%, 9/18/30, Series B

     5,362,200,000       COP        1,740,894  

7.00%, 6/30/32, Series B

     5,237,500,000       COP        1,590,449  

7.25%, 10/18/34, Series B

     1,000,000,000       COP        304,881  
       

 

 

 
Total Colombia

 

             13,431,091  
Hungary – 1.9%

 

Hungary Government Bond

       

7.50%, 11/12/20, Series 20/A

     35,880,000       HUF      122,412  

7.00%, 6/24/22, Series 22/A

     119,950,000       HUF        447,613  

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

     188,360,000       HUF        626,753  

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

     318,610,000       HUF        1,116,543  

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

     322,740,000       HUF        1,129,427  
       

 

 

 
Total Hungary

 

             3,442,748  
India – 3.9%

 

India Government Bond

       

7.68%, 12/15/23

     30,000,000       INR        441,051  

8.40%, 7/28/24

     134,000,000       INR        2,026,712  

7.59%, 3/20/29

     100,000,000       INR        1,476,669  

7.88%, 3/19/30

     100,000,000       INR        1,505,179  

9.20%, 9/30/30

     90,920,000       INR        1,488,630  
       

 

 

 
Total India

 

             6,938,241  
Indonesia – 7.0%

 

Indonesia Treasury Bond

       

8.25%, 7/15/21, Series FR53

     6,636,000,000       IDR        483,449  

7.00%, 5/15/22, Series FR61

     10,109,000,000       IDR        730,124  

8.38%, 3/15/24, Series FR70

     24,665,000,000       IDR        1,872,116  

8.38%, 9/15/26, Series FR56

     23,181,000,000       IDR        1,771,595  

9.00%, 3/15/29, Series FR71

     23,875,000,000       IDR        1,851,675  

8.75%, 5/15/31, Series FR73

     24,189,000,000       IDR        1,859,590  

8.25%, 6/15/32, Series FR58

     15,549,000,000       IDR        1,163,333  

8.38%, 3/15/34, Series FR68

     16,000,000,000       IDR        1,202,161  

8.25%, 5/15/36, Series FR72

     14,563,000,000       IDR        1,068,309  

7.50%, 5/15/38, Series FR75

     300,000,000       IDR        20,700  

8.75%, 2/15/44, Series FR67

     4,390,000,000       IDR        330,455  
       

 

 

 
Total Indonesia

 

             12,353,507  
Malaysia – 3.8%

 

Malaysia Government Bond

 

4.16%, 7/15/21, Series 0111

     1,088,000       MYR        263,602  

3.42%, 8/15/22, Series 0112

     1,743,000       MYR        421,014  

4.18%, 7/15/24, Series 0114

     3,385,000       MYR        852,315  

3.96%, 9/15/25, Series 0115

     5,000,000       MYR        1,260,642  

3.90%, 11/16/27, Series 0417

     4,410,000       MYR        1,125,762  

3.89%, 8/15/29, Series 0219

     3,500,000       MYR        902,955  

4.76%, 4/7/37, Series 0317

     1,700,000       MYR        483,127  

Malaysia Government Investment Issue

       

3.95%, 4/14/22, Series 0317

     895,000       MYR        218,078  

4.09%, 11/30/23, Series 0318

     5,000,000       MYR        1,246,087  
       

 

 

 
Total Malaysia

 

             6,773,582  
Mexico – 5.7%

 

Mexican Bonos

 

6.50%, 6/9/22, Series M

     9,987,000       MXN        503,368  

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

     32,353,000       MXN        1,860,120  

7.50%, 6/3/27, Series M 20

     22,000,000       MXN        1,162,305  

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

     7,455,000       MXN        421,583  

7.75%, 5/29/31, Series M

     25,133,000       MXN        1,359,771  

7.75%, 11/23/34, Series M

     11,319,000       MXN        616,389  

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

     9,237,000       MXN        606,554  

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

     24,854,000       MXN        1,440,192  

7.75%, 11/13/42, Series M

     19,142,000       MXN        1,035,398  

 

See Notes to Financial Statements.

 

WisdomTree Trust      35  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 29, 2020

 

 

 

Investments   

Principal

Amount

     Value  

8.00%, 11/7/47, Series M

     20,000,000       MXN      $ 1,115,829  
       

 

 

 
Total Mexico

 

             10,121,509  
Peru – 3.7%

 

Peru Government Bond
6.15%, 8/12/32, Reg S(b)

     101,000       PEN        33,614  

Peruvian Government International Bond

       

5.70%, 8/12/24, Reg S

     2,935,000       PEN        954,064  

8.20%, 8/12/26, Reg S

     3,868,000       PEN        1,422,791  

6.95%, 8/12/31, Reg S

     6,421,000       PEN        2,269,871  

6.90%, 8/12/37, Reg S

     5,405,000       PEN        1,908,068  
       

 

 

 
Total Peru

 

             6,588,408  
Philippines – 2.0%

 

Philippine Government International Bond

       

4.95%, 1/15/21

     44,000,000       PHP        872,963  

3.90%, 11/26/22

     39,000,000       PHP        766,564  

6.25%, 1/14/36

     80,000,000       PHP        1,971,039  
       

 

 

 
Total Philippines

 

             3,610,566  
Poland – 5.1%

 

Republic of Poland Government Bond

 

4.00%, 10/25/23, Series 1023

     7,301,000       PLN        2,017,557  

3.25%, 7/25/25, Series 0725

     5,565,000       PLN        1,530,991  

2.50%, 7/25/26, Series 0726

     9,495,000       PLN        2,528,966  

2.50%, 7/25/27, Series 0727

     8,905,000       PLN        2,381,671  

2.75%, 10/25/29, Series 1029

     1,750,000       PLN        481,275  
       

 

 

 
Total Poland

 

             8,940,460  
Romania – 2.0%

 

Romania Government Bond

 

3.25%, 3/22/21, Series 5Y

     1,700,000       RON        388,545  

5.95%, 6/11/21, Series 10Y

     2,560,000       RON        604,377  

4.00%, 10/27/21, Series 3Y

     400,000       RON        92,445  

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

     3,470,000       RON        850,000  

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

     3,010,000       RON        722,532  

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

     2,880,000       RON        736,003  

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

     500,000       RON        121,984  
       

 

 

 
Total Romania

 

             3,515,886  
Russia – 10.7%

 

Russian Federal Bond – OFZ

 

7.00%, 12/15/21, Series 5083

     76,235,000       RUB        1,160,995  

7.00%, 1/25/23, Series 6211

     124,349,000       RUB        1,909,830  

7.00%, 8/16/23, Series 6215

     95,305,000       RUB        1,469,952  

6.50%, 2/28/24, Series 6223

     119,910,000       RUB        1,820,937  

7.40%, 7/17/24, Series 6227

     120,000,000       RUB        1,882,598  

7.10%, 10/16/24, Series 6222

     100,000,000       RUB        1,542,850  

7.75%, 9/16/26, Series 6219

     128,000,000       RUB        2,066,324  

7.05%, 1/19/28, Series 6212

     119,885,000       RUB        1,874,550  

6.90%, 5/23/29, Series 6224

     55,000,000       RUB        851,362  

7.65%, 4/10/30, Series 6228

     11,000,000       RUB        179,305  

8.50%, 9/17/31, Series 6218

     76,040,000       RUB        1,321,280  

7.70%, 3/23/33, Series 6221

     83,865,000       RUB        1,378,937  

7.25%, 5/10/34, Series 6225

     90,000,000       RUB        1,422,964  
       

 

 

 
Total Russia

 

             18,881,884  
South Africa – 4.5%

 

Republic of South Africa Government Bond

       

8.00%, 1/31/30, Series 2030

     1,955,000       ZAR      115,431  

7.00%, 2/28/31, Series R213

     30,067,000       ZAR        1,608,708  

8.25%, 3/31/32, Series 2032

     8,000,000       ZAR        462,100  

6.25%, 3/31/36, Series R209

     17,301,600       ZAR        777,648  

8.50%, 1/31/37, Series 2037

     8,000,000       ZAR        444,287  

9.00%, 1/31/40, Series 2040

     30,000,000       ZAR        1,713,782  

8.75%, 1/31/44, Series 2044

     19,155,000       ZAR        1,056,449  

8.75%, 2/28/48, Series 2048

     31,120,000       ZAR        1,706,195  
       

 

 

 
Total South Africa

 

             7,884,600  
Thailand – 5.1%

 

Thailand Government Bond

 

3.85%, 12/12/25

     5,480,000       THB        202,346  

2.13%, 12/17/26

     36,000,000       THB        1,230,005  

2.88%, 12/17/28

     12,615,000       THB        461,657  

4.88%, 6/22/29

     37,602,000       THB        1,588,992  

3.65%, 6/20/31

     55,000,000       THB        2,198,790  

3.40%, 6/17/36

     58,800,000       THB        2,414,622  

2.88%, 6/17/46

     22,985,000       THB        913,817  
       

 

 

 
Total Thailand

 

             9,010,229  
Turkey – 3.4%

 

Turkey Government Bond

 

9.40%, 7/8/20

     10,335,000       TRY        1,644,421  

11.00%, 3/2/22

     8,420,000       TRY        1,316,372  

8.00%, 3/12/25

     10,557,000       TRY        1,397,070  

11.00%, 2/24/27

     5,955,000       TRY        873,823  

10.50%, 8/11/27

     4,910,000       TRY        702,804  
       

 

 

 
Total Turkey

 

             5,934,490  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $160,063,838)

 

 

     147,292,531  
SUPRANATIONAL BONDS – 5.3%

 

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

     12,910,000,000       IDR        911,799  

European Investment Bank

 

7.63%, 1/12/22

     18,000,000       MXN        926,618  

8.13%, 12/21/26

     24,740,000       ZAR        1,697,981  

8.00%, 5/5/27, Reg S

     28,200,000       ZAR        1,895,144  

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

     14,000,000       ZAR        952,096  

International Finance Corp.

 

7.50%, 1/18/28

     37,000,000       MXN        1,930,975  

5.50%, 2/28/28

     75,850,000       RUB        1,149,201  

TOTAL SUPRANATIONAL BONDS

(Cost: $9,580,503)

 

 

     9,463,814  

 

See Notes to Financial Statements.

 

36   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 29, 2020

 

 

 

Investments   

Principal

Amount

     Value  
REPURCHASE AGREEMENT – 7.4%

 

United States – 7.4%

 

Citigroup, Inc., tri-party repurchase agreement dated 28/2/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $13,121,760 (fully collateralized by Fannie Mae Interest STRIPS, zero coupon – 6.50% due 5/1/24 – 2/1/48, Fannie Mae Pool, 3.00% – 8.00% due 9/1/25 – 2/1/50, Freddie Mac Gold Pool, 2.00% – 8.50% due 5/1/20 – 5/1/49, Freddie Mac Gold STRIPS, zero coupon – 6.50% due 12/15/27 – 12/15/40 and Freddie Mac Pool, 2.50% – 8.50% due 8/1/20 – 2/1/50; Market value including accrued interest – $13,619,559)

     
(Cost: $13,120,000)    $ 13,120,000      $ 13,120,000  

TOTAL INVESTMENTS IN SECURITIES – 96.0%

(Cost: $182,764,341)

 

 

     169,876,345  

Other Assets less Liabilities – 4.0%

 

     7,014,864  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 176,891,209  
 

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

 

(a) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of February 29, 2020.

 

(b) 

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

 

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

Bank of America N.A.

    3/18/2020       7,644,000       RUB       118,779       USD     $     $ (5,260

Citibank N.A.

    3/18/2020       7,644,000       RUB       118,862       USD             (5,343

Citibank N.A.

    3/18/2020       1,050,181       USD       19,950,000       MXN       44,796        

Goldman Sachs

    3/18/2020       7,644,000       RUB       118,876       USD             (5,357

JP Morgan Chase Bank N.A.

    3/18/2020       5,824,000       RUB       90,528       USD             (4,038

JP Morgan Chase Bank N.A.

    3/18/2020       111,387       USD       8,000,000       INR       707        

JP Morgan Chase Bank N.A.

    3/18/2020       75,768       USD       5,500,000       INR             (324

JP Morgan Chase Bank N.A.

    3/18/2020       258,526       USD       7,800,000       THB       11,272        

JP Morgan Chase Bank N.A.

    3/18/2020       598,613       USD       18,120,000       THB       24,222        

Morgan Stanley & Co. International

    3/18/2020       17,890,000       PLN       4,684,956       USD             (147,372

Royal Bank of Canada

    3/18/2020       108,463,000       MXN       5,561,247       USD             (95,225

Societe Generale

    3/18/2020       157,945,000       THB       5,213,157       USD             (206,421

State Street Bank and Trust

    3/2/2020       154,436       USD       2,413,845       ZAR       995        

UBS AG

    3/3/2020       3,544,984       USD       70,000,000       MXN       9,006        

UBS AG

    3/18/2020       70,000,000       MXN       3,536,750       USD             (9,081

UBS AG

    3/18/2020       7,644,000       RUB       118,678       USD             (5,159
                                            $ 90,998     $ (483,580

 

See Notes to Financial Statements.

 

WisdomTree Trust      37  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

February 29, 2020

 

 

 

Investments   Principal
Amount
    Value  
U.S. GOVERNMENT OBLIGATIONS – 99.9%

 

U.S. Treasury Notes – 99.9%

 

U.S. Treasury Floating Rate Notes

 

1.65%, 4/30/21, (3-month U.S. Treasury Bill Money Market Yield + 0.139%)*

  $ 465,449,000     $ 465,658,857  

1.73%, 7/31/21, (3-month U.S. Treasury Bill Money Market Yield + 0.22%)*

    461,939,000       462,923,521  

1.81%, 10/31/21, (3-month U.S. Treasury Bill Money Market Yield + 0.30%)*

    457,823,000       459,618,033  

1.67%, 1/31/22, (3-month U.S. Treasury Bill Money Market Yield + 0.154%)*

    317,329,000       317,321,965  

TOTAL INVESTMENTS IN SECURITIES – 99.9%

(Cost: $1,703,167,391)

 

 

    1,705,522,376  

Other Assets less Liabilities – 0.1%

 

    2,304,574  
 

 

 

 
NET ASSETS – 100.0%

 

  $ 1,707,826,950  
* 

Floating rate note. Coupon shown is in effect at February 29, 2020. Date represents the ultimate maturity date.

 

See Notes to Financial Statements.

 

38   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. CORPORATE BONDS – 81.7%

 

United States – 81.7%

 

Acadia Healthcare Co., Inc.
5.13%, 7/1/22

   $ 27,000      $ 27,076  

5.63%, 2/15/23

     685,000        691,566  

ACE Cash Express, Inc.
12.00%, 12/15/22(a)

     50,000        40,625  

Acrisure LLC
8.13%, 2/15/24(a)

     411,000        439,123  

ADT Security Corp. (The)
6.25%, 10/15/21

     360,000        376,034  

3.50%, 7/15/22

     403,000        403,118  

4.13%, 6/15/23

     410,000        418,030  

Advanced Micro Devices, Inc.
7.50%, 8/15/22

     258,000        289,847  

AECOM
5.88%, 10/15/24

     100,000        109,959  

AES Corp.
4.88%, 5/15/23

     560,000        555,999  

Ahern Rentals, Inc.
7.38%, 5/15/23(a)

     221,000        171,625  

Air Medical Group Holdings, Inc.
6.38%, 5/15/23(a)

     131,000        125,487  

AK Steel Corp.
7.63%, 10/1/21

     159,000        159,151  

7.50%, 7/15/23

     150,000        155,563  

Albertsons Cos. LLC
6.63%, 6/15/24

     542,000        558,255  

Aleris International, Inc.
10.75%, 7/15/23(a)

     252,000        260,646  

Allegheny Technologies, Inc.
7.88%, 8/15/23

     480,000        510,137  

Ally Financial, Inc.
7.50%, 9/15/20

     268,000        276,482  

AMC Networks, Inc.
4.75%, 12/15/22(b)

     274,000        276,543  

5.00%, 4/1/24

     503,000        506,773  

American Airlines Group, Inc.
4.63%, 3/1/20(a)(b)

     244,000        244,000  

5.00%, 6/1/22(a)(b)

     544,000        546,323  

American Axle & Manufacturing, Inc.
6.63%, 10/15/22(b)

     175,000        176,258  

American Energy- Permian Basin LLC
12.00%, 10/1/24(a)

     244,000        171,410  

American Midstream Partners L.P.
9.50%, 12/15/21(a)

     229,000        227,374  

AmeriGas Partners L.P.
5.63%, 5/20/24

     248,000        258,463  

AMN Healthcare, Inc.
5.13%, 10/1/24(a)

     236,000        242,588  

Anixter, Inc.
5.13%, 10/1/21

     79,000        82,114  

5.50%, 3/1/23

     340,000        360,541  

Antero Midstream Partners L.P.
5.38%, 9/15/24

     294,000        224,175  

Antero Resources Corp.
5.38%, 11/1/21(b)

   395,000      331,081  

5.13%, 12/1/22(b)

     348,000        216,379  

5.63%, 6/1/23

     343,000        186,078  

Apex Tool Group LLC
9.00%, 2/15/23(a)(b)

     169,000        146,537  

APX Group, Inc.
8.75%, 12/1/20(b)

     176,000        176,378  

7.88%, 12/1/22

     434,000        441,592  

7.63%, 9/1/23(b)

     159,000        151,513  

Archrock Partners L.P.
6.00%, 10/1/22

     68,000        68,121  

Arconic, Inc.
6.15%, 8/15/20

     512,000        519,946  

5.40%, 4/15/21

     747,000        755,605  

5.87%, 2/23/22

     183,000        192,664  

5.13%, 10/1/24

     412,000        442,362  

Ascent Resources Utica Holdings LLC
10.00%, 4/1/22(a)

     472,000        403,425  

Ashland LLC
4.75%, 8/15/22(b)

     73,000        76,103  

Avantor, Inc.
6.00%, 10/1/24(a)(b)

     579,000        608,914  

Ball Corp.
5.00%, 3/15/22

     286,000        298,664  

4.00%, 11/15/23(b)

     679,000        699,397  

Bausch Health Cos., Inc.
6.50%, 3/15/22(a)

     648,000        657,688  

5.50%, 3/1/23(a)

     59,000        59,098  

5.88%, 5/15/23(a)

     77,000        77,337  

7.00%, 3/15/24(a)

     843,000        869,694  

BCD Acquisition, Inc.
9.63%, 9/15/23(a)

     447,000        463,758  

Berry Global, Inc.
5.50%, 5/15/22

     244,000        245,828  

6.00%, 10/15/22

     106,000        107,989  

5.13%, 7/15/23

     429,000        430,278  

Blue Cube Spinco LLC
9.75%, 10/15/23

     259,000        273,323  

Blue Racer Midstream LLC
6.13%, 11/15/22(a)(b)

     411,000        376,484  

BMC East LLC
5.50%, 10/1/24(a)

     80,000        82,633  

Brinker International, Inc.
3.88%, 5/15/23(b)

     134,000        134,335  

Bruin E&P Partners LLC
8.88%, 8/1/23(a)

     229,000        122,038  

Buckeye Partners L.P.
4.15%, 7/1/23(b)

     258,000        260,554  

4.35%, 10/15/24

     172,000        172,430  

6.38%, 1/22/78, (6.375% fixed rate until 1/22/23; 3-month U.S. dollar London Interbank Offered Rate + 4.02% thereafter)(b)(c)

     295,000        237,013  

C&S Group Enterprises LLC
5.38%, 7/15/22(a)(b)

     190,000        193,344  

 

See Notes to Financial Statements.

 

WisdomTree Trust      39  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Cablevision Systems Corp.
5.88%, 9/15/22

   $ 283,000      $ 297,696  

California Resources Corp.
8.00%, 12/15/22(a)

     865,000        196,788  

Callon Petroleum Co.
6.25%, 4/15/23

     247,000        209,335  

6.13%, 10/1/24

     342,000        272,813  

Calpine Corp.
5.50%, 2/1/24(b)

     533,000        525,010  

5.75%, 1/15/25

     350,000        351,925  

Calumet Specialty Products Partners L.P.
7.63%, 1/15/22(b)

  

 

244,000

 

  

 

242,094

 

7.75%, 4/15/23

     94,000        90,514  

Capitol Investment Merger Sub 2 LLC
10.00%, 8/1/24(a)

     255,000        256,381  

Carlson Travel, Inc.
6.75%, 12/15/23(a)(b)

     200,000        200,583  

Carpenter Technology Corp.
5.20%, 7/15/21

     184,000        191,477  

4.45%, 3/1/23

     101,000        107,280  

Carvana Co.
8.88%, 10/1/23(a)

     249,000        258,340  

CCO Holdings LLC
5.25%, 9/30/22

     517,000        523,581  

5.13%, 2/15/23

     391,000        394,906  

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

     199,000        201,486  

5.13%, 5/1/23(a)

     520,000        527,168  

5.75%, 9/1/23

     194,000        196,207  

5.88%, 4/1/24(a)

     761,000        783,286  

CDK Global, Inc.
5.00%, 10/15/24

     100,000        108,669  

CDW LLC
5.50%, 12/1/24

     250,000        275,521  

CEC Entertainment, Inc.
8.00%, 2/15/22

     79,000        76,852  

Cengage Learning, Inc.
9.50%, 6/15/24(a)(b)

     252,000        220,133  

Centene Corp.
4.75%, 5/15/22

     652,000        661,115  

6.13%, 2/15/24

     392,000        404,230  

4.75%, 1/15/25(a)

     500,000        513,482  

Century Aluminum Co.
7.50%, 6/1/21(a)

     143,000        142,342  

CenturyLink, Inc.
5.63%, 4/1/20, Series V

     362,000        363,110  

6.45%, 6/15/21, Series S

     459,000        477,108  

5.80%, 3/15/22, Series T

     689,000        719,785  

6.75%, 12/1/23, Series W

     263,000        289,772  

7.50%, 4/1/24, Series Y(b)

     411,000        460,149  

CF Industries, Inc.
3.45%, 6/1/23(b)

     424,000        430,364  

CGG Holding U.S., Inc.
9.00%, 5/1/23(a)

     200,000        206,400  

Chemours Co. (The)
6.63%, 5/15/23

     368,000        356,697  

Chesapeake Energy Corp.
11.50%, 1/1/25(a)

   1,000,000      572,500  

Cincinnati Bell, Inc.
7.00%, 7/15/24(a)

     298,000        314,015  

Cinemark USA, Inc.
4.88%, 6/1/23

     425,000        423,411  

CIT Group, Inc.
5.00%, 8/15/22

     577,000        604,703  

5.00%, 8/1/23

     288,000        306,960  

4.75%, 2/16/24(b)

     392,000        416,990  

CITGO Petroleum Corp.
6.25%, 8/15/22(a)

     292,000        292,728  

Clear Channel Worldwide Holdings, Inc.
9.25%, 2/15/24(a)(b)

     844,000        899,210  

Clearwater Paper Corp.
4.50%, 2/1/23(b)

     60,000        60,450  

Cleaver-Brooks, Inc.
7.88%, 3/1/23(a)(b)

     134,000        132,381  

Cloud Crane LLC
10.13%, 8/1/24(a)

     87,000        92,184  

CNG Holdings, Inc.
12.50%, 6/15/24(a)

     126,000        119,437  

CNX Resources Corp.
5.88%, 4/15/22

     551,000        509,014  

Cogent Communications Group, Inc.
5.38%, 3/1/22(a)

     244,000        250,786  

Colfax Corp.
6.00%, 2/15/24(a)

     417,000        433,115  

Commercial Metals Co.
4.88%, 5/15/23

     114,000        118,119  

CommScope, Inc.
5.50%, 3/1/24(a)

     466,000        475,173  

5.50%, 6/15/24(a)

     577,000        549,644  

Community Health Systems, Inc.
6.25%, 3/31/23

     1,492,000        1,484,540  

9.88%, 6/30/23(a)(c)

     616,000        585,517  

8.63%, 1/15/24(a)

     244,000        254,221  

8.13%, 6/30/24(a)

     526,000        482,600  

Consolidated Communications, Inc.
6.50%, 10/1/22(b)

     216,000        208,440  

CoreCivic, Inc.
5.00%, 10/15/22

     168,000        173,092  

4.63%, 5/1/23(b)

     290,000        291,363  

Cornerstone Chemical Co.
6.75%, 8/15/24(a)

     278,000        249,390  

Covanta Holding Corp.
5.88%, 3/1/24

     250,000        253,541  

CPG Merger Sub LLC
8.00%, 10/1/21(a)

     223,000        224,204  

Credit Acceptance Corp.
7.38%, 3/15/23

     234,000        238,399  

5.13%, 12/31/24(a)

     152,000        156,940  

Crestwood Midstream Partners L.P.
6.25%, 4/1/23

     523,000        498,045  

Crown Americas LLC
4.50%, 1/15/23

     411,000        417,777  

 

See Notes to Financial Statements.

 

40   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

CSC Holdings LLC
6.75%, 11/15/21

   $ 513,000      $ 543,919  

5.38%, 7/15/23(a)

     455,000        467,051  

5.25%, 6/1/24(b)

     398,000        430,670  

CSI Compressco L.P.
7.25%, 8/15/22

     94,000        84,806  

CVR Partners L.P.
9.25%, 6/15/23(a)

     397,000        405,768  

DaVita, Inc.
5.13%, 7/15/24

     956,000        969,943  

DCP Midstream L.P.
7.38%, 12/15/22, Series A, (7.375% fixed rate until 12/15/22; 3-month U.S. dollar London Interbank Offered Rate + 5.148% thereafter)(b)(c)(d)

     197,000        179,614  

DCP Midstream Operating L.P.
5.35%, 3/15/20(a)

     168,000        168,213  

4.75%, 9/30/21(a)

     223,000        222,208  

4.95%, 4/1/22

     131,000        133,661  

3.88%, 3/15/23

     184,000        184,918  

5.85%, 5/21/43, (5.85% fixed rate until 5/21/23; 3-month U.S. dollar London Interbank Offered Rate + 3.85% thereafter)(a)(b)(c)

     206,000        186,108  

Dell International LLC
5.88%, 6/15/21(a)

     100,000        100,720  

7.13%, 6/15/24(a)

     600,000        628,500  

Dell, Inc.
4.63%, 4/1/21

     289,000        292,800  

Denbury Resources, Inc.
9.00%, 5/15/21(a)

     325,000        285,106  

9.25%, 3/31/22(a)

     386,000        309,885  

7.75%, 2/15/24(a)

     171,000        95,848  

Diamond Offshore Drilling, Inc.
3.45%, 11/1/23

     79,000        56,004  

Diamond Resorts International, Inc.
7.75%, 9/1/23(a)(b)

     204,000        204,508  

10.75%, 9/1/24(a)(b)

     222,000        229,862  

Diebold Nixdorf, Inc.
8.50%, 4/15/24(b)

     40,000        36,117  

DISH DBS Corp.
5.13%, 5/1/20

     527,000        529,071  

6.75%, 6/1/21

     925,000        959,530  

5.88%, 7/15/22

     982,000        1,026,416  

5.00%, 3/15/23

     639,000        644,649  

5.88%, 11/15/24

     500,000        513,907  

Diversified Healthcare Trust
4.75%, 5/1/24(b)

     289,000        309,021  

Downstream Development Authority of the Quapaw Tribe of Oklahoma
10.50%, 2/15/23(a)

     104,000        105,343  

DriveTime Automotive Group, Inc.
8.00%, 6/1/21(a)

     78,000        77,951  

Edgewell Personal Care Co.
4.70%, 5/19/21

     442,000        448,188  

4.70%, 5/24/22

     268,000        275,068  

EIG Investors Corp.
10.88%, 2/1/24

   221,000      231,450  

Elanco Animal Health, Inc.
4.66%, 8/27/21

     235,000        246,498  

5.02%, 8/28/23

     481,000        515,529  

EMC Corp.
2.65%, 6/1/20

     193,000        192,604  

3.38%, 6/1/23

     1,238,000        1,243,868  

Encompass Health Corp.
5.13%, 3/15/23

     235,000        236,273  

Endo Finance LLC
6.00%, 7/15/23(a)(b)

     749,000        589,905  

Energy Transfer Operating L.P.

     

6.25%, 2/15/23, Series A, (6.25% fixed rate until 2/15/23; 3-month U.S. dollar London Interbank Offered Rate + 4.028% thereafter)(b)(c)(d)

     410,000        366,235  

Energy Ventures Gom LLC
11.00%, 2/15/23(a)

     243,000        241,278  

Enerpac Tool Group Corp.
5.63%, 6/15/22

     306,000        308,390  

EnerSys
5.00%, 4/30/23(a)

     199,000        208,867  

EnLink Midstream Partners L.P.

     

6.00%, 12/15/22, Series C, (6.00% fixed rate until 12/15/22; 3-month U.S. dollar London Interbank Offered Rate + 4.11% thereafter)(c)(d)

     157,000        104,159  

4.40%, 4/1/24

     293,000        268,159  

Enova International, Inc.
8.50%, 9/1/24(a)

     222,000        209,698  

Enterprise Development Authority (The)
12.00%, 7/15/24(a)

     294,000        337,487  

Exela Intermediate LLC
10.00%, 7/15/23(a)

     408,000        137,700  

Ferrellgas L.P.
6.50%, 5/1/21(b)

     139,000        119,943  

6.75%, 1/15/22

     181,000        152,549  

6.75%, 6/15/23

     250,000        209,271  

Ferroglobe PLC
9.38%, 3/1/22(a)

     160,000        112,450  

Flex Acquisition Co., Inc.
6.88%, 1/15/25(a)

     350,000        343,879  

Foresight Energy LLC
11.50%, 4/1/23(a)(e)

     193,000        7,238  

Forestar Group, Inc.
8.00%, 4/15/24(a)

     214,000        232,546  

Fortress Transportation & Infrastructure Investors LLC
6.75%, 3/15/22(a)

     248,000        248,942  

Forum Energy Technologies, Inc.
6.25%, 10/1/21

     184,000        155,094  

Freedom Mortgage Corp.
10.75%, 4/1/24(a)

     87,000        89,458  

8.13%, 11/15/24(a)

     240,000        231,700  

 

See Notes to Financial Statements.

 

WisdomTree Trust      41  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Freeport-McMoRan, Inc.
3.55%, 3/1/22

   $ 1,099,000      $ 1,110,737  

3.88%, 3/15/23

     693,000        698,118  

4.55%, 11/14/24

     226,000        229,296  

Fresh Market, Inc. (The)
9.75%, 5/1/23(a)

     226,000        106,909  

Frontier Communications Corp.
8.75%, 4/15/22

     159,000        75,177  

10.50%, 9/15/22

     812,000        370,728  

7.13%, 1/15/23

     330,000        153,450  

FS Energy & Power Fund
7.50%, 8/15/23(a)

     340,000        351,334  

FTS International, Inc.
6.25%, 5/1/22

     281,000        187,480  

GameStop Corp.
6.75%, 3/15/21(a)(b)

     107,000        101,415  

Gap, Inc. (The)
5.95%, 4/12/21

     100,000        101,886  

Genesis Energy L.P.
6.00%, 5/15/23

     234,000        222,982  

Genworth Holdings, Inc.
7.20%, 2/15/21(b)

     78,000        79,006  

7.63%, 9/24/21(b)

     242,000        249,035  

4.90%, 8/15/23(b)

     262,000        254,795  

4.80%, 2/15/24(b)

     358,000        348,155  

GEO Group, Inc. (The)
5.13%, 4/1/23(b)

     74,000        70,130  

Gogo Intermediate Holdings LLC
9.88%, 5/1/24(a)

     440,000        448,485  

Goodyear Tire & Rubber Co. (The)
5.13%, 11/15/23(b)

     368,000        366,046  

Graphic Packaging International LLC
4.75%, 4/15/21

     204,000        207,645  

4.88%, 11/15/22

     285,000        297,914  

Great Lakes Dredge & Dock Corp.
8.00%, 5/15/22

     226,000        237,054  

Great Western Petroleum LLC
9.00%, 9/30/21(a)

     83,000        74,941  

Grinding Media, Inc.
7.38%, 12/15/23(a)

     368,000        364,206  

Group 1 Automotive, Inc.
5.00%, 6/1/22(b)

     150,000        149,814  

GTT Communications, Inc.
7.88%, 12/31/24(a)(b)

     200,000        153,500  

Guitar Center, Inc.
9.50%, 10/15/21(a)

     453,000        434,631  

Gulfport Energy Corp.
6.63%, 5/1/23(b)

     341,000        179,131  

6.00%, 10/15/24

     78,000        26,130  

Hanesbrands, Inc.
4.63%, 5/15/24(a)

     703,000        736,101  

HAT Holdings I LLC
5.25%, 7/15/24(a)

     197,000        206,276  

HCA Healthcare, Inc.
6.25%, 2/15/21

     444,000        461,505  

HCA, Inc.
7.50%, 2/15/22

   764,000      845,733  

5.88%, 5/1/23

     595,000        651,278  

Hecla Mining Co.
6.88%, 5/1/21

     401,000        402,784  

Hertz Corp. (The)
7.63%, 6/1/22(a)

     209,000        211,090  

6.25%, 10/15/22

     195,000        191,122  

5.50%, 10/15/24(a)(b)

     122,000        117,049  

HighPoint Operating Corp.
7.00%, 10/15/22(b)

     104,000        90,772  

Hillman Group, Inc. (The)
6.38%, 7/15/22(a)

     244,000        219,524  

Hilton Domestic Operating Co., Inc.
4.25%, 9/1/24

     516,000        519,222  

Hornbeck Offshore Services, Inc.
5.00%, 3/1/21

     197,000        71,166  

Hughes Satellite Systems Corp.
7.63%, 6/15/21

     413,000        435,665  

Icahn Enterprises L.P.
6.25%, 2/1/22

     566,000        576,697  

6.75%, 2/1/24

     236,000        244,948  

4.75%, 9/15/24(a)

     132,000        134,805  

Immucor, Inc.
11.13%, 2/15/22(a)

     234,000        232,318  

Infor U.S., Inc.
6.50%, 5/15/22

     791,000        793,547  

Ingles Markets, Inc.
5.75%, 6/15/23

     133,000        134,331  

Ingram Micro, Inc.
5.00%, 8/10/22

     25,000        25,470  

5.45%, 12/15/24

     300,000        312,741  

International Game Technology PLC
6.25%, 2/15/22(a)(b)

     712,000        734,763  

Iron Mountain, Inc.
4.38%, 6/1/21(a)

     248,000        247,695  

6.00%, 8/15/23

     298,000        303,836  

5.75%, 8/15/24

     250,000        252,498  

iStar, Inc.
4.75%, 10/1/24

     279,000        285,377  

Jaguar Holding Co. II
6.38%, 8/1/23(a)

     472,000        487,047  

JC Penney Corp., Inc.
5.88%, 7/1/23(a)

     189,000        156,777  

Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22(a)

     211,000        219,441  

KB Home
7.00%, 12/15/21

     394,000        419,275  

7.50%, 9/15/22

     134,000        150,792  

7.63%, 5/15/23

     78,000        87,782  

Kenan Advantage Group, Inc. (The)
7.88%, 7/31/23(a)(b)

     178,000        175,849  

Kennedy-Wilson, Inc.
5.88%, 4/1/24

     537,000        547,074  

KFC Holding Co.
5.00%, 6/1/24(a)

     328,000        331,269  

 

See Notes to Financial Statements.

 

42   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

KGA Escrow LLC
7.50%, 8/15/23(a)

   $ 231,000      $ 239,758  

L Brands, Inc.
5.63%, 2/15/22(b)

     245,000        257,098  

5.63%, 10/15/23

     513,000        553,827  

Ladder Capital Finance Holdings LLLP
5.25%, 3/15/22(a)

     497,000        508,179  

Lamar Media Corp.
5.00%, 5/1/23

     345,000        348,447  

Lee Enterprises, Inc.
9.50%, 3/15/22(a)(b)

     236,000        236,590  

Lennar Corp.
6.63%, 5/1/20

     184,000        185,451  

8.38%, 1/15/21

     232,000        242,788  

4.75%, 4/1/21

     306,000        311,529  

6.25%, 12/15/21

     220,000        230,813  

4.13%, 1/15/22(b)

     272,000        278,316  

4.75%, 11/15/22

     214,000        224,319  

4.88%, 12/15/23

     144,000        154,020  

4.50%, 4/30/24

     328,000        349,046  

5.88%, 11/15/24(b)

     136,000        148,868  

Level 3 Financing, Inc.
5.13%, 5/1/23

     435,000        436,994  

5.38%, 1/15/24

     385,000        385,167  

Lexmark International, Inc.
7.13%, 3/15/20

     148,000        147,772  

Lions Gate Capital Holdings LLC
6.38%, 2/1/24(a)

     324,000        318,327  

5.88%, 11/1/24(a)

     314,000        304,616  

Lonestar Resources America, Inc.
11.25%, 1/1/23(a)

     78,000        51,285  

Louisiana-Pacific Corp.
4.88%, 9/15/24

     372,000        380,524  

LSB Industries, Inc.
9.63%, 5/1/23(a)

     155,000        156,486  

LTF Merger Sub, Inc.
8.50%, 6/15/23(a)

     412,000        417,578  

Mack-Cali Realty L.P.
3.15%, 5/15/23

     334,000        336,730  

Mallinckrodt International Finance S.A.
4.88%, 4/15/20(a)

     252,000        236,424  

5.75%, 8/1/22(a)

     276,000        210,450  

5.63%, 10/15/23(a)

     310,000        179,154  

Martin Midstream Partners L.P.
7.25%, 2/15/21

     412,000        382,295  

MasTec, Inc.
4.88%, 3/15/23

     184,000        184,678  

Match Group, Inc.
6.38%, 6/1/24

     100,000        103,679  

Mattel, Inc.
3.15%, 3/15/23(b)

     344,000        339,843  

Mauser Packaging Solutions Holding Co.
5.50%, 4/15/24(a)(b)

     664,000        662,964  

McGraw-Hill Global Education Holdings LLC
7.88%, 5/15/24(a)(b)

     258,000        220,052  

MDC Holdings, Inc.
5.50%, 1/15/24

   411,000      447,133  

MDC Partners, Inc.
6.50%, 5/1/24(a)

     582,000        532,530  

MEDNAX, Inc.
5.25%, 12/1/23(a)

     445,000        436,472  

Meritage Homes Corp.
7.00%, 4/1/22

     253,000        274,584  

Meritor, Inc.
6.25%, 2/15/24

     218,000        223,845  

MGIC Investment Corp.
5.75%, 8/15/23

     355,000        388,872  

MGM Growth Properties Operating Partnership L.P.
5.63%, 5/1/24(b)

     500,000        542,292  

MGM Resorts International
7.75%, 3/15/22

     511,000        559,177  

6.00%, 3/15/23

     458,000        493,877  

Midas Intermediate Holdco II LLC
7.88%, 10/1/22(a)

     166,000        159,931  

Mohegan Gaming & Entertainment
7.88%, 10/15/24(a)

     232,000        230,164  

Molina Healthcare, Inc.
5.38%, 11/15/22

     354,000        369,045  

Montage Resources Corp.
8.88%, 7/15/23

     245,000        179,387  

MPH Acquisition Holdings LLC
7.13%, 6/1/24(a)(b)

     711,000        663,157  

MSCI, Inc.
5.25%, 11/15/24(a)

     100,000        102,949  

Murray Energy Corp.
11.25%, 4/15/21(a)(e)

     84,000        106  

Nabors Industries, Inc.
5.00%, 9/15/20

     89,000        89,479  

4.63%, 9/15/21

     29,000        28,920  

Nationstar Mortgage Holdings, Inc.
8.13%, 7/15/23(a)

     422,000        439,633  

Navient Corp.
8.00%, 3/25/20

     212,000        213,106  

5.00%, 10/26/20

     268,000        270,908  

5.88%, 3/25/21

     411,000        420,145  

6.63%, 7/26/21

     245,000        252,784  

7.25%, 1/25/22

     278,000        293,090  

6.50%, 6/15/22

     421,000        439,945  

5.50%, 1/25/23

     305,000        312,625  

7.25%, 9/25/23

     375,000        404,059  

6.13%, 3/25/24(b)

     328,000        339,477  

Navios Maritime Acquisition Corp.
8.13%, 11/15/21(a)

     245,000        164,089  

Navios Maritime Holdings, Inc.
7.38%, 1/15/22(a)

     134,000        67,670  

NCL Corp. Ltd.
3.63%, 12/15/24(a)(b)

     100,000        92,891  

NCR Corp.
5.00%, 7/15/22

     401,000        403,506  

6.38%, 12/15/23

     249,000        254,342  

 

See Notes to Financial Statements.

 

WisdomTree Trust      43  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Netflix, Inc.
5.38%, 2/1/21(b)

   $ 244,000      $ 249,429  

5.50%, 2/15/22

     382,000        401,463  

5.75%, 3/1/24(b)

     338,000        373,630  

New Home Co., Inc. (The)
7.25%, 4/1/22

     346,000        352,163  

Newell Brands, Inc.
4.00%, 6/15/22

     80,000        83,281  

3.85%, 4/1/23

     700,000        727,451  

Newmark Group, Inc.
6.13%, 11/15/23

     139,000        152,869  

NextEra Energy Operating Partners L.P.
4.25%, 9/15/24(a)

     516,000        520,533  

NGL Energy Partners L.P.
7.50%, 11/1/23(b)

     319,000        295,869  

Nielsen Co. Luxembourg SARL (The)
5.50%, 10/1/21(a)

     386,000        387,351  

Nielsen Finance LLC
5.00%, 4/15/22(a)

     975,000        973,557  

Noble Holding International Ltd.
7.75%, 1/15/24

     214,000        87,116  

Northern Oil and Gas, Inc.
8.50%, 5/15/23

     291,000        293,183  

Northwest Acquisitions ULC
7.13%, 11/1/22(a)

     104,000        79,225  

Northwest Hardwoods, Inc.
7.50%, 8/1/21(a)

     79,000        41,574  

NortonLifeLock, Inc.
4.20%, 9/15/20(b)

     414,000        415,899  

3.95%, 6/15/22

     78,000        79,718  

NuStar Logistics L.P.
4.80%, 9/1/20

     330,000        333,015  

6.75%, 2/1/21

     108,000        110,484  

4.75%, 2/1/22

     79,000        80,802  

Oasis Petroleum, Inc.
6.88%, 3/15/22(b)

     304,000        239,400  

6.88%, 1/15/23(b)

     137,000        106,518  

Ocwen Loan Servicing LLC
8.38%, 11/15/22(a)

     154,000        136,723  

OI European Group B.V.
4.00%, 3/15/23(a)

     103,000        104,459  

Omnimax International, Inc.
12.00%, 8/15/20(a)

     113,000        112,196  

Ortho-Clinical Diagnostics, Inc.
6.63%, 5/15/22(a)(b)

     668,000        664,455  

Outfront Media Capital LLC
5.63%, 2/15/24

     201,000        205,188  

Owens-Brockway Glass Container, Inc.
5.00%, 1/15/22(a)

     232,000        239,373  

5.88%, 8/15/23(a)(b)

     481,000        509,718  

Party City Holdings, Inc.
6.13%, 8/15/23(a)(b)

     126,000        101,745  

Pattern Energy Group, Inc.
5.88%, 2/1/24(a)

     327,000        334,493  

PBF Logistics L.P.
6.88%, 5/15/23

     403,000        413,796  

PDC Energy, Inc.
6.13%, 9/15/24(b)

   222,000      208,195  

Peabody Energy Corp.
6.00%, 3/31/22(a)(b)

     244,000        209,108  

Penske Automotive Group, Inc.
5.75%, 10/1/22

     255,000        258,186  

Performance Food Group, Inc.
5.50%, 6/1/24(a)

     222,000        224,867  

PetSmart, Inc.
7.13%, 3/15/23(a)

     786,000        768,079  

Pioneer Energy Services Corp.
6.13%, 3/15/22(e)

     84,000        18,690  

Pitney Bowes, Inc.
4.63%, 5/15/22

     48,000        49,095  

5.20%, 4/1/23

     87,000        87,254  

4.63%, 3/15/24(b)

     31,000        29,282  

Plains All American Pipeline L.P.
6.13%, 11/15/22, Series B, (6.125% fixed rate until 11/15/22; 3-month U.S. dollar London Interbank Offered Rate + 4.11% thereafter)(c)(d)

     480,000        425,162  

Plantronics, Inc.
5.50%, 5/31/23(a)

     275,000        250,940  

Polaris Intermediate Corp.
8.50%, 12/1/22, Toggle PIK (8.50% Cash or 9.25% PIK)(a)

     512,000        436,528  

PolyOne Corp.
5.25%, 3/15/23(b)

     331,000        353,339  

Popular, Inc.
6.13%, 9/14/23

     181,000        190,351  

PQ Corp.
6.75%, 11/15/22(a)

     344,000        352,168  

Prestige Brands, Inc.
6.38%, 3/1/24(a)

     242,000        249,965  

Prime Security Services Borrower LLC
5.25%, 4/15/24(a)(b)

     497,000        515,431  

Pyxus International, Inc.
8.50%, 4/15/21(a)

     68,000        65,790  

9.88%, 7/15/21

     223,000        82,510  

QEP Resources, Inc.
5.38%, 10/1/22

     219,000        200,317  

5.25%, 5/1/23

     290,000        255,635  

Quorum Health Corp.
11.63%, 4/15/23(b)

     154,000        132,119  

QVC, Inc.
5.13%, 7/2/22

     408,000        433,360  

4.38%, 3/15/23

     444,000        459,977  

4.85%, 4/1/24

     60,000        62,988  

Qwest Corp.
6.75%, 12/1/21

     413,000        436,876  

Rackspace Hosting, Inc.
8.63%, 11/15/24(a)(b)

     446,000        428,160  

Radiate Holdco LLC
6.88%, 2/15/23(a)

     85,000        85,661  

Range Resources Corp.
5.88%, 7/1/22

     81,000        69,230  

 

See Notes to Financial Statements.

 

44   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

5.00%, 8/15/22(b)

   $ 177,000      $ 145,583  

5.00%, 3/15/23(b)

     246,000        178,889  

Realogy Group LLC
5.25%, 12/1/21(a)

     394,000        396,857  

4.88%, 6/1/23(a)

     337,000        335,947  

Resolute Forest Products, Inc.
5.88%, 5/15/23(b)

     244,000        241,051  

Revlon Consumer Products Corp.
5.75%, 2/15/21(b)

     187,000        164,981  

Reynolds Group Issuer, Inc.
5.13%, 7/15/23(a)

     809,000        818,777  

7.00%, 7/15/24(a)

     100,000        101,126  

RHP Hotel Properties L.P.
5.00%, 4/15/23

     375,000        381,249  

Rite Aid Corp.
6.13%, 4/1/23(a)

     465,000        427,219  

7.50%, 7/1/25(a)

     269,000        269,000  

Riverbed Technology, Inc.
8.88%, 3/1/23(a)

     219,000        149,468  

RR Donnelley & Sons Co.
6.50%, 11/15/23

     263,000        267,054  

Ruby Pipeline LLC
6.50%, 4/1/22(a)

     167,546        169,625  

Sabre GLBL, Inc.
5.38%, 4/15/23(a)

     217,000        217,452  

5.25%, 11/15/23(a)

     399,000        399,076  

Sanchez Energy Corp.
7.25%, 2/15/23(a)(e)

     193,000        110,010  

SBA Communications Corp.
4.00%, 10/1/22

     489,320        495,932  

4.88%, 9/1/24

     350,000        360,428  

Scientific Games International, Inc.
6.63%, 5/15/21

     98,000        98,162  

Sealed Air Corp.
4.88%, 12/1/22(a)

     69,000        71,782  

5.25%, 4/1/23(a)

     326,000        344,473  

Sensata Technologies B.V.
4.88%, 10/15/23(a)(b)

     219,000        231,590  

5.63%, 11/1/24(a)

     155,000        167,503  

SESI LLC
7.13%, 12/15/21(a)

     298,000        245,105  

Sirius XM Radio, Inc.
3.88%, 8/1/22(a)

     596,000        596,073  

4.63%, 5/15/23(a)(b)

     301,000        303,885  

4.63%, 7/15/24(a)

     410,000        423,544  

SM Energy Co.
6.13%, 11/15/22(b)

     224,000        201,110  

5.00%, 1/15/24

     197,000        154,130  

Solera LLC
10.50%, 3/1/24(a)

     820,000        868,655  

Sophia L.P.
9.00%, 9/30/23(a)

     214,000        220,241  

Southwestern Energy Co.
6.20%, 1/23/25

     310,000        230,172  

Spirit AeroSystems, Inc.
3.95%, 6/15/23

     350,000        351,459  

Springleaf Finance Corp.
8.25%, 12/15/20

   268,000      278,988  

7.75%, 10/1/21

     404,000        431,205  

6.13%, 5/15/22

     489,000        516,687  

5.63%, 3/15/23

     527,000        544,465  

6.13%, 3/15/24

     403,000        425,701  

Sprint Communications, Inc.
7.00%, 3/1/20(a)

     245,000        245,000  

7.00%, 8/15/20

     391,000        399,270  

11.50%, 11/15/21(b)

     244,000        279,214  

6.00%, 11/15/22

     614,000        659,669  

Sprint Corp.
7.25%, 9/15/21

     821,000        872,863  

7.88%, 9/15/23

     1,350,000        1,545,190  

7.13%, 6/15/24

     410,000        466,033  

SPX FLOW, Inc.
5.63%, 8/15/24(a)

     247,000        255,903  

Standard Industries, Inc.
5.38%, 11/15/24(a)

     515,000        522,771  

Starwood Property Trust, Inc.
5.00%, 12/15/21

     474,000        469,743  

Stericycle, Inc.
5.38%, 7/15/24(a)

     232,000        244,412  

Suburban Propane Partners L.P.
5.50%, 6/1/24

     365,000        362,084  

Summit Materials LLC
6.13%, 7/15/23

     311,000        313,721  

Summit Midstream Holdings LLC
5.50%, 8/15/22

     124,000        106,524  

Sunoco L.P.
4.88%, 1/15/23(b)

     510,000        509,967  

Synovus Financial Corp.

     

5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(c)

     184,000        189,596  

5.90%, 2/7/29, (5.90% fixed rate until 2/7/24; 5-year U.S. dollar Swap Rate + 3.379% thereafter)(c)

     302,000        325,413  

T-Mobile USA, Inc.
4.00%, 4/15/22

     1,149,000        1,182,026  

6.00%, 4/15/24

     403,000        412,446  

Tallgrass Energy Partners L.P.
4.75%, 10/1/23(a)

     214,000        205,977  

5.50%, 9/15/24(a)

     284,000        264,146  

Tapstone Energy LLC
9.75%, 6/1/22(a)(e)

     79,000        672  

Targa Resources Partners L.P.
5.25%, 5/1/23(b)

     375,000        374,882  

4.25%, 11/15/23

     239,000        235,842  

Taylor Morrison Communities, Inc.
5.88%, 4/15/23(a)

     393,000        421,656  

6.00%, 9/1/23(a)

     452,000        468,295  

Teekay Corp.
9.25%, 11/15/22(a)

     97,000        101,638  

Teekay Offshore Partners L.P.
8.50%, 7/15/23(a)

     465,000        456,530  

 

See Notes to Financial Statements.

 

WisdomTree Trust      45  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

TEGNA, Inc.
4.88%, 9/15/21(a)

   $ 80,000      $ 80,218  

Tempur Sealy International, Inc.
5.63%, 10/15/23

     189,000        192,896  

Tenet Healthcare Corp.
8.13%, 4/1/22

     1,093,000        1,186,156  

6.75%, 6/15/23

     975,000        1,049,768  

4.63%, 7/15/24

     606,000        607,276  

4.63%, 9/1/24(a)

     516,000        525,030  

TerraForm Power Operating LLC
4.25%, 1/31/23(a)

     97,000        98,820  

TIBCO Software, Inc.
11.38%, 12/1/21(a)(b)

     405,000        416,958  

Titan International, Inc.
6.50%, 11/30/23

     164,000        125,118  

TMX Finance LLC
11.13%, 4/1/23(a)(b)

     175,000        162,240  

Toll Brothers Finance Corp.
5.88%, 2/15/22

     195,000        204,750  

4.38%, 4/15/23

     245,000        257,658  

5.63%, 1/15/24(b)

     196,000        215,681  

TPC Group, Inc.
10.50%, 8/1/24(a)

     369,000        375,304  

TransDigm, Inc.
6.50%, 7/15/24

     528,000        540,981  

Transocean Guardian Ltd.
5.88%, 1/15/24(a)

     135,270        134,268  

Transocean Sentry Ltd.
5.38%, 5/15/23(a)

     278,000        269,657  

TreeHouse Foods, Inc.
4.88%, 3/15/22

     235,000        235,073  

6.00%, 2/15/24(a)

     350,000        362,105  

TRI Pointe Group, Inc.
5.88%, 6/15/24

     278,000        302,093  

Trinity Industries, Inc.
4.55%, 10/1/24

     225,000        235,824  

Triumph Group, Inc.
5.25%, 6/1/22

     223,000        218,470  

6.25%, 9/15/24(a)(b)

     200,000        208,167  

Truck Hero, Inc.
8.50%, 4/21/24(a)

     333,000        343,684  

U.S. Concrete, Inc.
6.38%, 6/1/24

     294,000        299,787  

Unit Corp.
6.63%, 5/15/21

     271,000        106,300  

United Airlines Holdings, Inc.
6.00%, 12/1/20

     229,000        233,242  

4.25%, 10/1/22

     183,000        183,229  

5.00%, 2/1/24(b)

     226,000        229,390  

Uniti Group L.P.
6.00%, 4/15/23(a)

     273,000        267,540  

8.25%, 10/15/23

     473,000        441,073  

Univision Communications, Inc.
5.13%, 5/15/23(a)(b)

     958,000        926,386  

Urban One, Inc.
7.38%, 4/15/22(a)

     113,000        112,470  

Vericast Corp.
9.25%, 3/1/21(a)(b)

   402,000      403,005  

8.38%, 8/15/22(a)

     402,000        334,790  

VeriSign, Inc.
4.63%, 5/1/23

     234,000        236,414  

Veritas US, Inc.
10.50%, 2/1/24(a)(b)

     590,000        506,170  

ViacomCBS, Inc.
5.88%, 2/28/57, (5.875% fixed rate until 2/28/22; 3-month U.S. dollar London Interbank Offered Rate + 3.895% thereafter)(c)

     585,800        598,614  

Vine Oil & Gas L.P.
8.75%, 4/15/23(a)

     245,000        106,575  

9.75%, 4/15/23(a)

     164,000        71,340  

Vista Outdoor, Inc.
5.88%, 10/1/23

     244,000        236,781  

Vistra Energy Corp.
5.88%, 6/1/23

     412,000        416,886  

Voyager Aviation Holdings LLC
8.50%, 8/15/21(a)

     250,000        252,600  

W&T Offshore, Inc.
9.75%, 11/1/23(a)

     241,000        214,488  

Warrior Met Coal, Inc.
8.00%, 11/1/24(a)(b)

     200,000        205,605  

Washington Prime Group L.P.
6.45%, 8/15/24(b)

     500,000        412,918  

Watco Cos. LLC
6.38%, 4/1/23(a)

     222,000        224,312  

Weatherford International Ltd.
11.00%, 12/1/24(a)

     800,000        767,120  

WESCO Distribution, Inc.
5.38%, 12/15/21

     182,000        183,014  

WEX, Inc.
4.75%, 2/1/23(a)

     251,000        252,673  

Whiting Petroleum Corp.
5.75%, 3/15/21

     275,000        158,744  

6.25%, 4/1/23

     100,000        45,250  

Williams Scotsman International, Inc.
7.88%, 12/15/22(a)

     209,000        217,948  

6.88%, 8/15/23(a)

     84,000        86,765  

WMG Acquisition Corp.
5.00%, 8/1/23(a)

     318,000        324,492  

Wolverine Escrow LLC
8.50%, 11/15/24(a)

     450,000        439,778  

WPX Energy, Inc.
8.25%, 8/1/23

     593,080        663,013  

5.25%, 9/15/24

     78,000        78,028  

WR Grace & Co-Conn
5.13%, 10/1/21(a)

     382,000        392,887  

Wyndham Destinations, Inc.
5.63%, 3/1/21

     121,000        124,065  

4.25%, 3/1/22

     226,000        223,738  

3.90%, 3/1/23

     305,000        305,114  

5.40%, 4/1/24

     214,000        230,139  

Wynn Las Vegas LLC
4.25%, 5/30/23(a)(b)

     196,000        199,428  

 

See Notes to Financial Statements.

 

46   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Xerox Corp.
3.50%, 8/20/20

   $ 338,000      $ 338,646  

4.50%, 5/15/21

     647,000        659,565  

4.13%, 3/15/23

     517,000        528,472  

3.80%, 5/15/24

     229,000        232,519  

XPO Logistics, Inc.
6.50%, 6/15/22(a)

     413,000        413,487  

6.13%, 9/1/23(a)

     219,000        224,428  

6.75%, 8/15/24(a)

     676,000        714,589  

Yum! Brands, Inc.
3.88%, 11/1/20

     79,000        79,623  

3.75%, 11/1/21

     204,000        204,908  

3.88%, 11/1/23

     417,000        429,045  
TOTAL U.S. CORPORATE BONDS
(Cost: $169,595,966)

 

     165,567,569  
FOREIGN CORPORATE BONDS – 14.3%

 

Australia – 0.6%

 

FMG Resources August 2006 Pty Ltd.
4.75%, 5/15/22(a)

     490,000        499,540  

5.13%, 5/15/24(a)(b)

     497,000        515,223  

Virgin Australia Holdings Ltd.
7.88%, 10/15/21(a)

     132,000        122,813  
     

 

 

 
Total Australia

 

     1,137,576  
Belgium – 0.1%

 

LBC Tank Terminals Holding Netherlands B.V.
6.88%, 5/15/23(a)(b)

     254,000        257,285  
Canada – 5.2%

 

1011778 BC ULC
4.25%, 5/15/24(a)

     682,000        684,070  

Air Canada
7.75%, 4/15/21(a)

     201,000        210,125  

Athabasca Oil Corp.
9.88%, 2/24/22(a)

     254,000        208,042  

Bombardier, Inc.
8.75%, 12/1/21(a)

     830,000        880,439  

5.75%, 3/15/22(a)

     224,000        228,879  

6.00%, 10/15/22(a)(b)

     467,000        458,827  

6.13%, 1/15/23(a)

     488,000        490,091  

7.50%, 12/1/24(a)

     250,000        252,396  

Brookfield Residential Properties, Inc.
6.13%, 7/1/22(a)

     252,000        255,440  

Cooke Omega Investments, Inc.
8.50%, 12/15/22(a)

     149,000        153,144  

Ensign Drilling, Inc.
9.25%, 4/15/24(a)(b)

     386,000        347,886  

Fairstone Financial, Inc.
7.88%, 7/15/24(a)

     319,000        347,045  

Gateway Casinos & Entertainment Ltd.
8.25%, 3/1/24(a)

     274,000        282,334  

GFL Environmental, Inc.
5.63%, 5/1/22(a)

     127,000        128,945  

5.38%, 3/1/23(a)

     266,000        273,647  

Hudbay Minerals, Inc.
7.25%, 1/15/23(a)

     205,000        206,623  

7.63%, 1/15/25(a)(b)

     200,000        193,667  

Kissner Holdings L.P.
8.38%, 12/1/22(a)

   259,000      271,497  

Kronos Acquisition Holdings, Inc.
9.00%, 8/15/23(a)

     352,000        340,706  

MEG Energy Corp.
7.00%, 3/31/24(a)

     234,000        222,203  

Mountain Province Diamonds, Inc.
8.00%, 12/15/22(a)

     120,000        117,414  

New Gold, Inc.
6.25%, 11/15/22(a)

     244,000        246,438  

Norbord, Inc.
6.25%, 4/15/23(a)

     139,000        148,961  

NOVA Chemicals Corp.
5.25%, 8/1/23(a)

     192,000        192,478  

4.88%, 6/1/24(a)(b)

     496,000        480,086  

Open Text Corp.
5.63%, 1/15/23(a)

     459,000        465,036  

Quebecor Media, Inc.
5.75%, 1/15/23

     610,000        648,177  

Rockpoint Gas Storage Canada Ltd.
7.00%, 3/31/23(a)

     345,000        325,306  

Seven Generations Energy Ltd.
6.75%, 5/1/23(a)

     214,000        211,994  

6.88%, 6/30/23(a)

     336,000        338,659  

Taseko Mines Ltd.
8.75%, 6/15/22(a)

     150,000        135,422  

Teine Energy Ltd.
6.88%, 9/30/22(a)(b)

     119,000        118,740  

Tervita Corp.
7.63%, 12/1/21(a)

     183,000        185,242  

Videotron Ltd.
5.00%, 7/15/22

     339,000        350,866  

Xplornet Communications, Inc.
9.63%, 6/1/22, Toggle PIK (9.625% Cash or 10.625% PIK)(a)

     87,675        89,894  
     

 

 

 
Total Canada

 

     10,490,719  
Cayman Islands – 0.5%

 

Global Aircraft Leasing Co., Ltd.
6.50%, 9/15/24, Toggle PIK (6.50% Cash or 7.25% PIK)(a)

     783,000        773,212  

Vantage Drilling International
9.25%, 11/15/23(a)

     244,000        217,059  
     

 

 

 
Total Cayman Islands

 

     990,271  
Denmark – 0.3%

 

DKT Finance ApS
9.38%, 6/17/23(a)

     306,000        325,875  

Welltec A/S
9.50%, 12/1/22(a)

     200,000        202,562  
     

 

 

 
Total Denmark

 

     528,437  
Finland – 0.1%

 

Nokia Oyj
3.38%, 6/12/22

     200,000        201,003  

 

See Notes to Financial Statements.

 

WisdomTree Trust      47  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
Germany – 0.6%

 

Atotech Alpha 2 B.V.
8.75%, 6/1/23, Toggle PIK (8.75% Cash or 9.50% PIK)(a)

   $ 200,000      $ 201,083  

Deutsche Bank AG
4.30%, 5/24/28, (4.296% fixed rate until 5/24/23; 5-year U.S. dollar Swap Rate + 2.248% thereafter)(c)

     650,000        628,131  

Mercer International, Inc.
6.50%, 2/1/24

     303,000        311,079  

7.38%, 1/15/25

     150,000        151,469  
     

 

 

 
Total Germany

 

     1,291,762  
Ireland – 0.6%

 

AerCap Holdings N.V.
5.88%, 10/10/79, (5.875% fixed rate until 10/10/24; 5-year Constant Maturity Treasury Rate + 4.535% thereafter)(b)(c)

     400,000        406,710  

Ardagh Packaging Finance PLC
4.25%, 9/15/22(a)

     558,000        557,449  

Fly Leasing Ltd.
6.38%, 10/15/21(b)

     210,000        213,019  
     

 

 

 
Total Ireland

 

     1,177,178  
Italy – 0.8%

 

Intesa Sanpaolo SpA
5.02%, 6/26/24(a)

     663,000        696,764  

Telecom Italia SpA
5.30%, 5/30/24(a)

     939,000        1,004,720  
     

 

 

 
Total Italy

 

     1,701,484  
Jersey – 0.1%

 

Aston Martin Capital Holdings Ltd.
6.50%, 4/15/22(a)(b)

     250,000        231,250  
Liberia – 0.0%

 

Eletson Holdings, Inc.
9.63%, 1/15/22, Series Ai(e)

     42,264        13,419  
Luxembourg – 1.7%

 

INEOS Group Holdings S.A.
5.63%, 8/1/24(a)(b)

     300,000        301,872  

Intelsat Connect Finance S.A.
9.50%, 2/15/23(a)(b)

     1,060,000        628,050  

Intelsat Jackson Holdings S.A.
9.50%, 9/30/22(a)(b)

     196,000        222,521  

5.50%, 8/1/23(b)

     781,000        673,289  

8.00%, 2/15/24(a)

     410,000        421,105  

8.50%, 10/15/24(a)(b)

     1,179,000        1,020,324  

Intelsat Luxembourg S.A.
8.13%, 6/1/23

     308,000        131,670  
     

 

 

 
Total Luxembourg

 

     3,398,831  
Netherlands – 0.7%

 

InterGen N.V.
7.00%, 6/30/23(a)(b)

     300,000        295,500  

Koninklijke KPN N.V.
7.00%, 3/28/73, (7.00% fixed rate until 3/28/23; 10-year U.S. dollar Swap Rate + 5.21% until 3/28/43; 10-year U.S. dollar Swap Rate + 5.96% thereafter)(a)(b)(c)

   450,000      482,285  

OCI N.V.
6.63%, 4/15/23(a)

     360,000        374,220  

5.25%, 11/1/24(a)

     250,000        256,250  
     

 

 

 
Total Netherlands

 

     1,408,255  
New Zealand – 0.1%

 

Trilogy International Partners LLC
8.88%, 5/1/22(a)

     294,000        272,593  
Norway – 0.2%

 

Aker BP ASA
6.00%, 7/1/22(a)

     359,000        369,134  
Spain – 0.1%

 

Cirsa Finance International SARL
7.88%, 12/20/23(a)

     229,000        239,852  
Sweden – 0.4%

 

Stena AB
7.00%, 2/1/24(a)(b)

     250,000        250,729  

Telefonaktiebolaget LM Ericsson
4.13%, 5/15/22

     483,000        498,453  
     

 

 

 
Total Sweden

 

     749,182  
United Kingdom – 2.2%

 

Algeco Global Finance PLC
8.00%, 2/15/23(a)

     200,000        197,998  

Ardonagh Midco 3 PLC
8.63%, 7/15/23(a)(b)

     400,000        404,834  

Avon International Capital PLC
6.50%, 8/15/22(a)

     100,000        102,911  

Avon International Operations, Inc.
7.88%, 8/15/22(a)

     193,000        196,878  

Avon Products, Inc.
7.00%, 3/15/23

     389,000        424,015  

Fiat Chrysler Automobiles N.V.
4.50%, 4/15/20

     665,000        667,025  

5.25%, 4/15/23

     600,000        628,500  

Global Ship Lease, Inc.
9.88%, 11/15/22(a)(b)

     200,000        206,662  

Ithaca Energy North Sea PLC
9.38%, 7/15/24(a)

     225,000        230,060  

Jaguar Land Rover Automotive PLC
5.63%, 2/1/23(a)(b)

     749,000        727,271  

KCA Deutag UK Finance PLC
9.88%, 4/1/22(a)

     218,000        135,773  

Valaris PLC
4.88%, 6/1/22

     368,000        240,235  

8.00%, 1/31/24

     450,000        217,312  
     

 

 

 
Total United Kingdom

 

     4,379,474  
TOTAL FOREIGN CORPORATE BONDS
(Cost: $29,766,075)

 

     28,837,705  

 

See Notes to Financial Statements.

 

48   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 29, 2020

 

 

 

Investments   Shares      Value  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 13.5%

 

United States – 13.5%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(f)

    
(Cost: $27,377,523)(g)     27,377,523      $ 27,377,523  
TOTAL INVESTMENTS IN SECURITIES – 109.5%
(Cost: $226,739,564)

 

     221,782,797  

Other Assets less Liabilities – (9.5)%

 

     (19,212,118
  

 

 

 
NET ASSETS – 100.0%

 

   $ 202,570,679  

 

(a) 

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

 

(b) 

Security, or portion thereof, was on loan at February 29, 2020 (See Note 2).

 

(c) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

(d) 

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

 

(e) 

Security in default on interest payments.

 

(f) 

Rate shown represents annualized 7-day yield as of February 29, 2020.

 

(g) 

At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $27,276,020 and the total market value of the collateral held by the Fund was $28,297,258. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $919,735.

 

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

2 Year U.S. Treasury Note

    503       6/30/20     $ (109,819,047   $ (616,861

5 Year U.S. Treasury Note

    289       6/30/20       (35,474,750     (404,099
                    $ (145,293,797   $ (1,020,960
 

As of February 29, 2020, deposits at broker for futures contracts of $437,777 included cash collateral of $827,672 and previously settled variation margin losses on open futures contracts of $389,895.

 

See Notes to Financial Statements.

 

WisdomTree Trust      49  


Table of Contents

Schedule of Investments (unaudited)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 27.1%

 

Federal Home Loan Bank – 0.8%

 

1.13%, 7/14/21

   $ 40,000      $ 40,086  

3.00%, 9/10/21

     70,000        72,166  

3.00%, 10/12/21

     75,000        77,469  

3.38%, 9/8/23

     70,000        75,808  

3.38%, 12/8/23

     65,000        70,751  

1.50%, 8/15/24

     85,000        87,015  

3.25%, 11/16/28

     65,000        75,244  

5.50%, 7/15/36

     140,000        213,563  
     

 

 

 
Total Federal Home Loan Bank

 

     712,102  
Federal Home Loan Mortgage Corporation – 6.4%

 

2.38%, 1/13/22

     155,000        159,039  

2.50%, 3/1/28

     38,166        39,390  

3.50%, 1/1/29

     37,637        39,570  

2.50%, 6/1/29

     71,147        73,425  

3.00%, 8/1/29

     34,566        36,266  

2.50%, 1/1/30

     40,628        41,930  

2.50%, 2/1/30

     60,340        62,274  

3.00%, 4/1/30

     61,191        63,624  

3.00%, 5/1/30

     31,464        32,715  

2.50%, 12/1/31

     60,167        62,100  

3.00%, 12/1/31

     57,799        60,101  

6.25%, 7/15/32

     94,000        144,541  

2.50%, 11/1/32

     36,050        37,208  

3.00%, 1/1/33

     35,433        36,843  

4.00%, 11/1/33

     33,067        34,768  

4.00%, 5/1/34

     53,891        58,136  

3.50%, 8/1/34

     32,634        34,488  

3.00%, 5/1/37

     35,191        36,707  

3.00%, 2/1/38

     63,002        65,567  

5.50%, 4/1/38

     41,355        47,657  

4.50%, 12/1/40

     60,129        66,658  

4.00%, 2/1/41

     245,507        267,776  

3.50%, 3/1/42

     72,736        77,450  

3.00%, 6/1/43

     77,130        80,666  

3.00%, 7/1/43

     85,327        90,242  

3.00%, 8/1/43

     116,669        122,109  

4.00%, 12/1/43

     26,942        29,198  

3.00%, 1/1/44

     113,908        119,268  

3.50%, 9/1/44

     110,956        118,121  

4.00%, 9/1/44

     81,797        88,615  

3.50%, 1/1/45

     51,345        54,569  

3.00%, 4/1/45

     181,205        189,455  

4.50%, 7/1/45

     38,492        42,442  

3.50%, 8/1/45

     86,801        91,855  

4.00%, 8/1/45

     47,377        51,136  

3.50%, 9/1/45

     116,860        123,621  

4.00%, 11/1/45

     53,417        57,596  

3.50%, 3/1/46

     62,760        66,389  

3.00%, 4/1/46

     19,330        20,236  

3.50%, 4/1/46

     104,883        110,881  

3.00%, 5/1/46

     160,759        168,922  

3.50%, 5/1/46

     27,785        29,365  

3.00%, 9/1/46

     43,546        45,581  

4.50%, 9/1/46

     99,024        109,775  

3.00%, 10/1/46

     106,235        111,061  

3.00%, 11/1/46

     91,237        95,319  

4.00%, 11/1/46

   28,267      30,269  

3.50%, 12/1/46

     126,482        133,467  

3.00%, 2/1/47

     19,117        19,966  

4.00%, 2/1/47

     28,749        30,743  

4.50%, 4/1/47

     29,864        32,331  

3.50%, 5/1/47

     33,836        35,672  

4.50%, 5/1/47

     52,730        57,129  

3.50%, 8/1/47

     177,264        186,874  

4.00%, 8/1/47

     75,449        80,542  

4.50%, 9/1/47

     28,184        30,515  

3.00%, 10/1/47

     100,850        104,739  

3.50%, 10/1/47

     211,069        222,522  

4.00%, 2/1/48

     43,047        45,847  

4.50%, 2/1/48

     108,361        117,379  

3.50%, 6/1/48

     151,655        158,847  

4.00%, 7/1/48

     203,562        221,902  

4.00%, 9/1/48

     78,602        83,162  

4.00%, 10/1/48

     138,237        146,110  

5.00%, 3/1/49

     147,896        160,151  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     5,492,822  
Federal National Mortgage Association – 10.9%

 

5.50%, 10/1/25

     42,132        45,871  

4.00%, 7/1/26

     7,794        8,189  

1.88%, 9/24/26

     94,000        98,353  

3.50%, 10/1/26

     50,094        52,501  

3.50%, 12/1/26

     11,045        11,577  

3.00%, 6/1/27

     44,883        46,690  

2.50%, 8/1/28

     31,948        32,960  

3.00%, 11/1/28

     15,076        15,732  

3.00%, 7/1/29

     63,915        66,331  

7.25%, 5/15/30

     100,000        155,582  

3.00%, 9/1/30

     35,931        37,345  

3.50%, 4/1/31

     34,580        36,360  

2.50%, 6/1/31

     30,016        30,969  

2.50%, 7/1/31

     30,185        31,143  

2.50%, 10/1/31

     106,115        109,518  

2.50%, 4/1/32

     30,655        31,877  

2.50%, 9/1/32

     84,594        88,085  

3.00%, 10/1/32

     57,326        59,796  

2.50%, 12/1/32

     18,591        19,181  

3.50%, 1/1/33

     38,426        40,405  

3.00%, 3/1/33

     44,146        45,879  

3.00%, 4/1/33

     73,476        76,354  

6.00%, 2/1/34

     54,287        62,305  

3.00%, 6/1/34

     40,733        42,204  

2.50%, 7/1/34

     89,480        91,931  

4.00%, 8/1/34

     18,402        19,787  

3.50%, 1/1/36

     21,116        22,327  

3.50%, 7/1/36

     58,151        61,166  

3.00%, 11/1/36

     86,362        91,127  

3.00%, 2/1/37

     89,993        93,846  

3.50%, 4/1/38

     39,137        41,177  

4.50%, 9/1/39

     25,287        27,883  

4.50%, 8/1/40

     49,977        55,084  

5.50%, 9/1/40

     70,796        81,618  

3.50%, 6/1/42

     18,819        20,031  

4.00%, 7/1/42

     102,097        111,205  

4.00%, 9/1/42

     319,779        346,773  

 

See Notes to Financial Statements.

 

50   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

3.00%, 1/1/43

   $ 94,427      $ 99,587  

3.00%, 4/1/43

     104,601        109,478  

3.50%, 5/1/43

     27,115        28,860  

3.00%, 6/1/43

     109,537        115,794  

4.00%, 6/1/43

     11,152        12,116  

3.00%, 8/1/43

     203,574        214,462  

3.50%, 8/1/43

     230,211        245,075  

4.00%, 11/1/43

     22,438        24,299  

3.00%, 2/1/44

     82,663        86,512  

4.00%, 2/1/44

     138,532        150,298  

4.50%, 2/1/44

     161,478        182,033  

4.50%, 5/1/44

     17,684        19,314  

4.00%, 9/1/44

     88,035        95,378  

4.00%, 10/1/44

     148,096        160,448  

3.50%, 2/1/45

     154,471        164,339  

5.00%, 2/1/45

     76,454        84,764  

3.50%, 3/1/45

     96,944        102,575  

3.50%, 4/1/45

     99,746        106,320  

3.50%, 6/1/45

     155,963        166,585  

4.00%, 8/1/45

     164,351        177,458  

3.50%, 12/1/45

     331,234        350,474  

3.00%, 1/1/46

     159,139        166,552  

3.50%, 1/1/46

     116,330        123,040  

3.50%, 2/1/46

     62,712        66,352  

3.50%, 4/1/46

     26,046        27,542  

4.00%, 4/1/46

     22,725        24,427  

3.00%, 5/1/46

     129,326        135,325  

3.50%, 5/1/46

     202,246        213,298  

4.50%, 5/1/46

     111,132        121,364  

4.00%, 7/1/46

     65,729        70,525  

3.00%, 9/1/46

     107,163        111,972  

3.00%, 10/1/46

     72,574        75,843  

4.00%, 10/1/46

     31,977        34,265  

2.50%, 11/1/46

     20,259        20,805  

3.00%, 11/1/46

     209,319        219,062  

3.50%, 11/1/46

     35,542        37,606  

3.00%, 1/1/47

     77,380        80,771  

3.00%, 2/1/47

     39,729        41,491  

4.00%, 2/1/47

     32,119        34,331  

3.50%, 3/1/47

     17,020        17,932  

4.00%, 3/1/47

     35,260        37,668  

4.00%, 5/1/47

     100,538        107,351  

4.00%, 8/1/47

     104,021        111,863  

3.50%, 11/1/47

     304,737        320,361  

4.50%, 11/1/47

     61,143        66,512  

3.00%, 12/1/47

     169,692        177,273  

3.50%, 12/1/47

     115,760        122,059  

3.00%, 1/1/48

     41,507        42,977  

3.50%, 1/1/48

     131,248        138,205  

4.00%, 7/1/48

     36,795        38,948  

4.50%, 7/1/48

     126,511        135,641  

4.00%, 8/1/48

     200,597        211,972  

4.50%, 9/1/48

     59,415        63,568  

4.00%, 3/1/49

     153,282        161,484  

5.50%, 4/1/49

     60,575        66,154  

4.00%, 6/1/49

     120,591        127,177  

3.00%, 8/1/49

     108,015        111,364  

3.50%, 9/1/49

     507,407        528,504  

2.50%, 1/1/50

   173,905      177,521  
     

 

 

 
Total Federal National Mortgage Association

 

     9,374,436  
Government National Mortgage Association – 7.5%

 

3.00%, 4/20/33

     74,061        77,118  

5.00%, 2/20/43

     43,127        48,216  

3.50%, 3/20/43

     223,257        236,216  

4.00%, 5/20/43

     44,282        47,507  

4.00%, 6/20/43

     82,057        88,059  

3.00%, 8/20/43

     112,122        116,971  

5.00%, 4/20/44

     93,880        104,807  

3.50%, 7/20/44

     143,572        151,332  

4.00%, 7/20/44

     28,013        30,055  

5.00%, 7/20/44

     16,853        18,722  

3.50%, 8/20/44

     180,470        190,226  

5.00%, 8/20/44

     16,196        18,094  

3.00%, 9/20/44

     81,419        85,178  

4.50%, 9/20/44

     62,624        67,824  

3.00%, 1/20/45

     34,518        36,036  

4.00%, 4/20/45

     166,568        178,709  

3.00%, 7/20/45

     251,686        263,795  

3.50%, 11/20/45

     152,254        160,486  

3.00%, 12/20/45

     193,444        201,983  

3.50%, 12/20/45

     268,942        283,482  

4.50%, 12/20/45

     64,680        70,046  

3.00%, 5/20/46

     33,976        35,508  

3.50%, 9/20/46

     166,953        175,875  

3.00%, 10/20/46

     48,082        50,158  

4.00%, 10/20/46

     109,053        115,268  

3.00%, 12/20/46

     23,148        24,125  

4.00%, 12/20/46

     50,314        53,086  

4.00%, 1/20/47

     48,701        51,254  

4.50%, 1/20/47

     54,272        58,657  

3.50%, 2/20/47

     67,307        70,379  

4.00%, 2/20/47

     48,273        50,794  

3.50%, 3/20/47

     138,121        144,776  

3.50%, 4/20/47

     100,290        105,060  

3.00%, 5/20/47

     100,224        104,493  

4.00%, 7/20/47

     71,462        76,080  

3.00%, 8/20/47

     92,472        96,411  

4.00%, 8/20/47

     58,726        62,283  

3.50%, 9/20/47

     138,454        145,795  

4.50%, 10/20/47

     27,035        28,802  

3.00%, 11/20/47

     114,696        119,324  

3.00%, 12/20/47

     96,704        100,561  

3.50%, 1/20/48

     308,273        324,815  

4.00%, 1/20/48

     32,054        33,937  

3.00%, 2/20/48

     167,006        173,605  

4.50%, 6/20/48

     75,976        80,690  

3.50%, 7/20/48

     109,231        113,957  

4.00%, 9/20/48

     110,014        116,026  

4.50%, 9/20/48

     69,067        73,170  

5.50%, 10/20/48

     77,615        83,218  

4.50%, 1/20/49

     81,646        86,092  

5.00%, 3/20/49

     73,812        78,713  

4.00%, 4/20/49

     123,449        129,286  

4.50%, 6/20/49

     200,000        210,573  

3.50%, 8/20/49

     220,089        228,214  

4.00%, 10/20/49

     349,644        366,634  

 

See Notes to Financial Statements.

 

WisdomTree Trust      51  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.50%, 3/1/50(a)

   $ 25,000      $ 25,669  

3.00%, 3/1/50(a)

     25,000        25,837  

3.50%, 3/1/50(a)

     25,000        25,910  

4.00%, 3/1/50(a)

     75,000        78,126  
     

 

 

 
Total Government National Mortgage Association

 

     6,398,023  
Uniform Mortgage-Backed Securities – 1.5%

 

2.00%, 3/1/35(a)

     50,000        50,742  

2.50%, 3/1/35(a)

     100,000        102,711  

3.00%, 3/1/35(a)

     50,000        51,796  

3.50%, 3/1/35(a)

     100,000        104,750  

4.00%, 3/1/35(a)

     25,000        26,249  

2.50%, 3/1/50(a)

     50,000        51,020  

3.00%, 3/1/50(a)

     600,000        618,094  

4.50%, 3/1/50(a)

     200,000        213,535  

5.00%, 3/1/50(a)

     50,000        54,141  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     1,273,038  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $22,213,626)

 

 

     23,250,421  
U.S. GOVERNMENT OBLIGATIONS – 41.2%

 

U.S. Treasury Bonds – 10.1%

 

7.63%, 11/15/22

     188,000        221,924  

6.88%, 8/15/25

     377,000        496,307  

5.25%, 2/15/29

     259,000        351,031  

1.63%, 8/15/29

     750,000        783,765  

6.13%, 8/15/29

     75,000        108,876  

6.25%, 5/15/30

     94,000        140,466  

5.38%, 2/15/31

     23,500        33,700  

5.00%, 5/15/37

     24,000        37,433  

4.38%, 2/15/38

     75,000        110,666  

4.50%, 5/15/38

     24,000        35,966  

3.50%, 2/15/39

     122,000        163,728  

4.25%, 5/15/39

     66,000        97,051  

4.50%, 8/15/39

     118,000        178,936  

4.38%, 11/15/39

     106,000        158,652  

4.63%, 2/15/40

     82,000        126,722  

4.38%, 5/15/40

     50,000        75,151  

3.88%, 8/15/40

     34,000        48,118  

3.00%, 5/15/42

     94,000        118,644  

2.88%, 5/15/43

     71,000        87,976  

3.63%, 8/15/43

     263,500        365,982  

3.75%, 11/15/43

     146,000        206,707  

3.63%, 2/15/44

     141,000        196,315  

3.38%, 5/15/44

     118,000        158,510  

3.13%, 8/15/44

     282,000        364,816  

3.00%, 11/15/44

     145,000        184,028  

2.50%, 2/15/45

     71,000        82,879  

3.00%, 5/15/45

     94,000        119,606  

2.88%, 8/15/45

     94,000        117,302  

3.00%, 11/15/45

     141,000        179,957  

2.50%, 2/15/46

     141,000        165,179  

2.50%, 5/15/46

     715,000        838,840  

2.25%, 8/15/46

     28,000        31,390  

2.88%, 11/15/46

     94,000        118,335  

3.00%, 2/15/47

     240,000        309,436  

3.00%, 5/15/47

     221,000        285,099  

2.75%, 8/15/47

     94,000        116,209  

2.75%, 11/15/47

     169,000        209,240  

3.00%, 2/15/48

   141,000      182,802  

3.13%, 5/15/48

     84,000        111,549  

3.00%, 8/15/48

     141,000        183,655  

3.38%, 11/15/48

     160,000        222,791  

3.00%, 2/15/49

     50,000        65,402  

2.25%, 8/15/49

     425,000        482,690  
     

 

 

 
Total U.S. Treasury Bonds

 

     8,673,831  
U.S. Treasury Notes – 31.1%

 

1.25%, 3/31/21

     200,000        200,422  

2.25%, 3/31/21

     200,000        202,566  

2.38%, 4/15/21

     200,000        202,937  

1.38%, 4/30/21

     376,000        377,307  

2.25%, 4/30/21

     506,000        513,125  

2.63%, 5/15/21

     393,000        400,430  

1.38%, 5/31/21

     188,000        188,808  

2.00%, 5/31/21

     282,000        285,371  

2.13%, 5/31/21

     200,000        202,727  

2.63%, 6/15/21

     282,000        287,805  

1.13%, 6/30/21

     452,000        452,644  

1.63%, 6/30/21

     200,000        201,648  

2.13%, 6/30/21

     200,000        203,000  

1.13%, 7/31/21

     188,000        188,382  

2.25%, 7/31/21

     200,000        203,574  

2.13%, 8/15/21

     94,100        95,666  

1.13%, 8/31/21

     254,000        254,585  

1.13%, 9/30/21

     71,000        71,186  

2.13%, 9/30/21

     282,000        287,210  

1.25%, 10/31/21

     99,000        99,518  

2.00%, 10/31/21

     89,000        90,559  

2.00%, 11/15/21

     113,000        115,053  

1.38%, 1/31/22

     200,000        201,836  

1.50%, 1/31/22

     188,000        190,141  

1.88%, 1/31/22

     188,000        191,466  

2.00%, 2/15/22

     200,000        204,289  

2.50%, 2/15/22

     200,000        206,184  

1.75%, 2/28/22

     200,000        203,375  

1.88%, 2/28/22

     200,000        203,844  

2.38%, 3/15/22

     200,000        206,012  

1.75%, 4/30/22

     250,000        254,614  

1.88%, 4/30/22

     250,000        255,273  

1.75%, 5/15/22

     278,000        283,305  

1.75%, 6/30/22

     500,000        510,039  

1.88%, 7/31/22

     500,000        511,855  

1.63%, 8/15/22

     184,000        187,364  

1.63%, 8/31/22

     188,000        191,474  

1.88%, 8/31/22

     188,000        192,616  

1.75%, 9/30/22

     188,000        192,208  

1.88%, 9/30/22

     188,000        192,817  

1.38%, 10/15/22

     150,000        151,934  

1.63%, 11/15/22

     491,000        500,753  

1.50%, 1/15/23

     500,000        508,818  

1.75%, 1/31/23

     282,000        289,105  

2.38%, 1/31/23

     282,000        294,123  

1.38%, 2/15/23

     200,000        202,941  

1.50%, 3/31/23

     212,000        216,016  

2.50%, 3/31/23

     565,000        592,897  

2.75%, 4/30/23

     188,000        198,939  

1.75%, 5/15/23

     706,000        725,263  

 

See Notes to Financial Statements.

 

52   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.75%, 5/31/23

   $ 188,000      $ 199,203  

1.38%, 6/30/23

     127,000        129,041  

1.25%, 7/31/23

     94,000        95,155  

2.50%, 8/15/23

     188,000        198,292  

1.38%, 9/30/23

     188,000        191,158  

1.63%, 10/31/23

     94,000        96,490  

2.25%, 12/31/23

     376,000        395,130  

2.25%, 1/31/24

     104,000        109,389  

2.75%, 2/15/24

     132,000        141,475  

2.13%, 2/29/24

     329,000        344,717  

2.13%, 3/31/24

     612,000        641,907  

2.00%, 4/30/24

     541,000        565,081  

2.50%, 5/15/24

     282,000        300,490  

2.00%, 5/31/24

     235,000        245,644  

2.38%, 8/15/24

     329,000        349,980  

1.25%, 8/31/24

     900,000        913,254  

1.50%, 9/30/24

     150,000        153,937  

1.50%, 10/31/24

     300,000        307,998  

2.25%, 10/31/24

     250,000        265,171  

2.25%, 11/15/24

     419,000        444,590  

2.13%, 11/30/24

     321,000        338,912  

2.25%, 12/31/24

     349,000        370,833  

2.50%, 1/31/25

     99,000        106,504  

2.00%, 2/15/25

     485,000        510,188  

2.75%, 2/28/25

     99,000        107,794  

2.63%, 3/31/25

     250,000        270,928  

2.88%, 4/30/25

     188,000        206,301  

2.13%, 5/15/25

     282,000        298,925  

2.88%, 5/31/25

     400,000        439,453  

2.75%, 6/30/25

     350,000        382,573  

2.00%, 8/15/25

     254,000        267,985  

2.25%, 11/15/25

     282,000        301,900  

1.63%, 2/15/26

     300,000        310,934  

1.50%, 8/15/26

     682,000        702,274  

2.25%, 2/15/27

     94,000        101,654  

2.38%, 5/15/27

     235,000        256,760  

2.25%, 8/15/27

     207,000        224,842  

2.25%, 11/15/27

     58,000        63,117  

2.75%, 2/15/28

     183,000        206,561  

2.88%, 5/15/28

     235,000        268,203  

2.88%, 8/15/28

     337,000        385,668  

3.13%, 11/15/28

     191,000        223,116  

2.63%, 2/15/29

     400,000        451,742  

2.38%, 5/15/29

     50,000        55,499  

1.75%, 11/15/29

     150,000        158,520  

2.88%, 5/15/49

     200,000        256,152  

2.38%, 11/15/49

     100,000        116,643  
     

 

 

 
Total U.S. Treasury Notes

 

     26,656,107  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $32,613,148)

 

 

     35,329,938  
U.S. CORPORATE BONDS – 21.7%

 

United States – 21.7%

 

3M Co.

     

2.25%, 9/19/26(b)

     5,000        5,149  

3.13%, 9/19/46

     23,000        23,425  

3.63%, 10/15/47

     18,000        20,002  

Abbott Laboratories

     

3.40%, 11/30/23

   14,000      14,973  

6.15%, 11/30/37

     28,000        41,775  

4.75%, 4/15/43

     10,000        13,313  

AbbVie, Inc.

     

3.60%, 5/14/25

     57,000        61,525  

4.70%, 5/14/45

     48,000        56,885  

Activision Blizzard, Inc.

     

2.30%, 9/15/21

     5,000        5,053  

2.60%, 6/15/22

     23,000        23,574  

Aetna, Inc.

     

4.75%, 3/15/44(b)

     18,000        21,093  

3.88%, 8/15/47(b)

     43,000        45,531  

Air Lease Corp.

     

3.38%, 6/1/21

     34,000        34,724  

2.63%, 7/1/22

     5,000        5,068  

3.88%, 7/3/23

     5,000        5,282  

4.25%, 9/15/24

     5,000        5,375  

3.63%, 4/1/27(b)

     23,000        24,414  

3.63%, 12/1/27

     94,000        100,284  

Aircastle Ltd.
5.00%, 4/1/23

     5,000        5,445  

Alexandria Real Estate Equities, Inc.

     

3.90%, 6/15/23

     94,000        100,232  

4.00%, 1/15/24(b)

     5,000        5,460  

3.45%, 4/30/25

     18,000        19,501  

Allergan Funding SCS

     

3.45%, 3/15/22

     23,000        23,836  

4.55%, 3/15/35

     10,000        11,977  

4.75%, 3/15/45

     5,000        6,094  

Allstate Corp. (The)
3.28%, 12/15/26

     18,000        19,587  

Altria Group, Inc.

     

2.85%, 8/9/22

     71,000        72,995  

4.80%, 2/14/29

     25,000        28,590  

5.38%, 1/31/44

     48,000        56,672  

Amazon.com, Inc.

     

4.05%, 8/22/47

     23,000        29,635  

4.25%, 8/22/57

     117,000        157,339  

Ameren Illinois Co.
3.80%, 5/15/28(b)

     48,000        55,231  

American Express Co.

     

3.63%, 12/5/24(b)

     94,000        102,410  

4.05%, 12/3/42

     18,000        22,776  

American Express Credit Corp.

     

2.70%, 3/3/22

     94,000        96,318  

3.30%, 5/3/27(b)

     10,000        10,986  

American Honda Finance Corp.

     

1.70%, 9/9/21

     23,000        23,127  

3.38%, 12/10/21

     18,000        18,670  

2.90%, 2/16/24

     5,000        5,258  

2.30%, 9/9/26

     5,000        5,198  

American International Group, Inc.

     

4.88%, 6/1/22(b)

     5,000        5,331  

4.70%, 7/10/35

     5,000        6,163  

4.75%, 4/1/48(b)

     28,000        35,919  

American Tower Corp.
3.60%, 1/15/28

     33,000        35,681  

 

See Notes to Financial Statements.

 

WisdomTree Trust      53  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

American Water Capital Corp.

     

2.95%, 9/1/27(b)

   $ 29,000      $ 30,815  

3.75%, 9/1/47

     5,000        5,704  

AmerisourceBergen Corp.
3.40%, 5/15/24

     18,000        19,150  

Amgen, Inc.

     

2.25%, 8/19/23(b)

     5,000        5,104  

4.66%, 6/15/51

     82,000        101,682  

Anthem, Inc.

     

3.50%, 8/15/24

     5,000        5,346  

6.38%, 6/15/37(b)

     18,000        24,912  

4.65%, 1/15/43

     65,000        76,307  

Apple, Inc.

     

2.40%, 5/3/23

     18,000        18,595  

3.00%, 2/9/24

     18,000        19,094  

2.85%, 5/11/24

     48,000        50,706  

3.00%, 6/20/27

     23,000        24,929  

2.20%, 9/11/29

     75,000        76,779  

4.45%, 5/6/44(b)

     18,000        23,238  

4.38%, 5/13/45

     18,000        23,023  

3.75%, 11/13/47

     23,000        27,259  

Aptiv Corp.
4.15%, 3/15/24

     5,000        5,457  

Archer-Daniels-Midland Co.

     

3.38%, 3/15/22

     94,000        97,842  

4.02%, 4/16/43

     24,000        29,478  

Ares Capital Corp.
4.25%, 3/1/25

     18,000        19,306  

Ascension Health
4.85%, 11/15/53

     24,000        34,432  

Assurant, Inc.

     

4.00%, 3/15/23

     18,000        19,163  

4.20%, 9/27/23(b)

     18,000        19,385  

AT&T, Inc.

     

4.45%, 5/15/21(b)

     23,000        23,761  

3.00%, 2/15/22

     23,000        23,634  

3.20%, 3/1/22

     48,000        49,525  

3.55%, 6/1/24

     19,000        20,282  

3.80%, 2/15/27

     74,000        81,196  

4.30%, 2/15/30

     50,000        57,277  

5.38%, 10/15/41

     5,000        6,199  

4.30%, 12/15/42(b)

     50,000        56,191  

5.35%, 12/15/43(b)

     24,000        29,747  

4.35%, 6/15/45

     96,000        108,366  

4.75%, 5/15/46

     10,000        11,747  

5.45%, 3/1/47

     10,000        13,012  

AutoNation, Inc.

     

3.50%, 11/15/24

     18,000        19,072  

4.50%, 10/1/25(b)

     18,000        20,150  

AutoZone, Inc.
3.25%, 4/15/25

     18,000        19,360  

AXIS Specialty Finance LLC
3.90%, 7/15/29

     50,000        55,572  

Baker Hughes a GE Co. LLC
3.34%, 12/15/27

     48,000        50,470  

Bank of America Corp.

     

3.50%, 5/17/22, (3.499% fixed rate until 5/17/21; 3-month U.S. dollar London Interbank Offered Rate + 0.63% thereafter)(c)

   10,000      10,229  

3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(c)

     155,000        160,687  

4.13%, 1/22/24

     48,000        52,021  

3.55%, 3/5/24, (3.55% fixed rate until 3/5/23; 3-month U.S. dollar London Interbank Offered Rate + 0.78% thereafter)(c)

     10,000        10,529  

4.20%, 8/26/24

     48,000        52,514  

3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(c)

     94,000        101,664  

7.75%, 5/14/38

     100,000        162,024  

5.88%, 2/7/42

     10,000        14,728  

5.00%, 1/21/44

     10,000        13,568  

4.75%, 4/21/45, Series L

     10,000        12,914  

3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.19% thereafter)(c)

     18,000        21,780  

BankUnited, Inc.
4.88%, 11/17/25(b)

     18,000        20,579  

Baylor Scott & White Holdings
4.19%, 11/15/45

     24,000        29,993  

Becton Dickinson and Co.
2.89%, 6/6/22

     19,000        19,489  

Bemis Co., Inc.
4.50%, 10/15/21(d)

     5,000        5,191  

Berkshire Hathaway Energy Co.

     

3.25%, 4/15/28(b)

     23,000        25,174  

3.80%, 7/15/48

     25,000        28,724  

Berkshire Hathaway Finance Corp.
4.20%, 8/15/48(b)

     20,000        24,473  

Berkshire Hathaway, Inc.
3.75%, 8/15/21

     5,000        5,178  

BlackRock, Inc.
3.50%, 3/18/24

     18,000        19,441  

Boardwalk Pipelines L.P.

     

4.95%, 12/15/24

     5,000        5,475  

4.45%, 7/15/27

     18,000        18,903  

Boeing Co. (The)

     

2.25%, 6/15/26

     5,000        5,026  

5.88%, 2/15/40

     10,000        13,437  

Boston Properties L.P.

     

3.85%, 2/1/23

     5,000        5,314  

3.13%, 9/1/23

     19,000        20,028  

3.65%, 2/1/26

     5,000        5,488  

2.75%, 10/1/26

     24,000        25,419  

BP Capital Markets America, Inc.

     

2.75%, 5/10/23

     28,000        29,095  

3.12%, 5/4/26

     5,000        5,344  

Bristol-Myers Squibb Co.

     

4.00%, 8/15/23(d)

     18,000        19,532  

3.45%, 11/15/27(d)

     28,000        31,196  

3.40%, 7/26/29(d)

     50,000        56,133  

4.25%, 10/26/49(d)

     50,000        64,268  

 

See Notes to Financial Statements.

 

54   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Brixmor Operating Partnership L.P.
3.65%, 6/15/24

   $ 5,000      $ 5,378  

Broadcom Corp.

     

3.63%, 1/15/24

     109,000        114,484  

3.13%, 1/15/25

     5,000        5,171  

3.88%, 1/15/27

     23,000        24,057  

3.50%, 1/15/28

     5,000        5,149  

Burlington Northern Santa Fe LLC

     

3.00%, 4/1/25

     18,000        19,279  

7.00%, 12/15/25(b)

     47,000        60,597  

6.15%, 5/1/37

     10,000        14,537  

5.15%, 9/1/43

     48,000        65,007  

3.90%, 8/1/46

     5,000        5,884  

Burlington Resources LLC
7.40%, 12/1/31

     14,000        20,239  

Capital One Financial Corp.

     

3.45%, 4/30/21

     23,000        23,449  

4.75%, 7/15/21

     5,000        5,213  

3.50%, 6/15/23

     28,000        29,677  

Carlisle Cos., Inc.
3.75%, 12/1/27

     18,000        19,859  

Caterpillar Financial Services Corp.

     

3.15%, 9/7/21(b)

     5,000        5,139  

2.85%, 6/1/22

     5,000        5,156  

2.40%, 6/6/22(b)

     5,000        5,111  

3.75%, 11/24/23

     33,000        35,877  

Cboe Global Markets, Inc.
3.65%, 1/12/27

     5,000        5,555  

CBRE Services, Inc.
4.88%, 3/1/26

     5,000        5,750  

Celanese U.S. Holdings LLC
5.88%, 6/15/21

     5,000        5,262  

Celgene Corp.
4.00%, 8/15/23

     3,000        3,221  

CenterPoint Energy Resources Corp.

     

3.55%, 4/1/23

     9,000        9,515  

4.10%, 9/1/47(b)

     5,000        5,881  

CenterPoint Energy, Inc.
3.85%, 2/1/24

     18,000        19,492  

Charter Communications Operating LLC

     

4.50%, 2/1/24

     18,000        19,663  

5.05%, 3/30/29

     50,000        57,997  

6.38%, 10/23/35

     5,000        6,611  

6.83%, 10/23/55(b)

     23,000        31,159  

Chubb INA Holdings, Inc.

     

2.70%, 3/13/23

     68,000        70,720  

3.15%, 3/15/25(b)

     18,000        19,459  

Church & Dwight Co., Inc.
2.88%, 10/1/22

     5,000        5,180  

Cigna Corp.

     

4.75%, 11/15/21(d)

     5,000        5,260  

3.40%, 3/1/27(d)

     10,000        10,708  

6.13%, 11/15/41(d)

     94,000        128,472  

3.88%, 10/15/47(d)

     5,000        5,303  

Cintas Corp. No. 2

     

2.90%, 4/1/22

     5,000        5,127  

3.25%, 6/1/22

     28,000        28,924  

3.70%, 4/1/27

     23,000        25,959  

Cisco Systems, Inc.

     

1.85%, 9/20/21

   10,000      10,074  

3.00%, 6/15/22

     5,000        5,212  

2.60%, 2/28/23(b)

     5,000        5,194  

5.90%, 2/15/39

     15,000        22,341  

Citigroup, Inc.

     

2.70%, 3/30/21

     94,000        95,003  

3.30%, 4/27/25(b)

     9,000        9,637  

5.50%, 9/13/25

     75,000        88,017  

3.70%, 1/12/26

     9,000        9,871  

4.45%, 9/29/27(b)

     89,000        100,587  

3.52%, 10/27/28, (3.52% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(c)

     74,000        80,646  

3.98%, 3/20/30, (3.98% fixed rate until 3/20/29; 3-month U.S. dollar London Interbank Offered Rate + 1.338% thereafter)(b)(c)

     50,000        56,650  

6.63%, 6/15/32

     5,000        7,014  

6.68%, 9/13/43(b)

     19,000        29,395  

Cleco Corporate Holdings LLC
3.74%, 5/1/26

     23,000        24,861  

CME Group, Inc.

     

3.00%, 3/15/25

     5,000        5,328  

5.30%, 9/15/43

     5,000        7,191  

4.15%, 6/15/48(b)

     5,000        6,495  

CNH Industrial Capital LLC
4.38%, 4/5/22

     5,000        5,253  

Comcast Cable Communications Holdings, Inc.
9.46%, 11/15/22

     5,000        6,074  

Comcast Corp.

     

3.13%, 7/15/22

     5,000        5,213  

3.70%, 4/15/24

     23,000        24,998  

3.30%, 2/1/27

     23,000        25,029  

3.55%, 5/1/28

     236,000        262,705  

6.45%, 3/15/37

     27,000        39,821  

3.40%, 7/15/46

     10,000        10,774  

3.97%, 11/1/47

     28,000        32,993  

4.05%, 11/1/52

     28,000        33,406  

4.95%, 10/15/58(b)

     28,000        38,471  

CommonSpirit Health
3.35%, 10/1/29(b)

     27,000        28,704  

Commonwealth Edison Co.
4.70%, 1/15/44

     15,000        19,304  

Conagra Brands, Inc.
7.00%, 10/1/28

     19,000        24,651  

Concho Resources, Inc.
3.75%, 10/1/27

     23,000        23,927  

Connecticut Light & Power Co. (The)
4.30%, 4/15/44

     15,000        19,167  

ConocoPhillips
6.50%, 2/1/39

     18,000        26,678  

Consolidated Edison Co. of New York, Inc.
4.00%, 11/15/57, Series C

     18,000        21,072  

Constellation Brands, Inc.

     

3.15%, 8/1/29(b)

     50,000        52,571  

5.25%, 11/15/48

     94,000        122,781  

 

See Notes to Financial Statements.

 

WisdomTree Trust      55  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Continental Resources, Inc.
4.50%, 4/15/23

   $ 5,000      $ 5,241  

Corning, Inc.
5.85%, 11/15/68

     18,000        22,118  

Costco Wholesale Corp.

     

2.30%, 5/18/22

     5,000        5,124  

3.00%, 5/18/27(b)

     5,000        5,443  

Crown Castle International Corp.

     

5.25%, 1/15/23

     101,000        110,877  

3.15%, 7/15/23

     18,000        18,779  

CSX Corp.
4.50%, 8/1/54

     18,000        22,361  

CVS Health Corp.

     

4.00%, 12/5/23

     48,000        51,576  

6.25%, 6/1/27

     48,000        59,150  

3.25%, 8/15/29(b)

     25,000        26,374  

4.88%, 7/20/35

     48,000        58,095  

5.30%, 12/5/43(b)

     48,000        59,442  

5.05%, 3/25/48

     10,000        12,314  

Darden Restaurants, Inc.
3.85%, 5/1/27

     18,000        19,745  

Dell International LLC

     

4.42%, 6/15/21(d)

     15,000        15,458  

8.35%, 7/15/46(d)

     23,000        31,381  

Digital Realty Trust L.P.
3.95%, 7/1/22

     19,000        19,944  

Discovery Communications LLC

     

4.38%, 6/15/21

     5,000        5,171  

4.88%, 4/1/43(b)

     23,000        26,021  

5.20%, 9/20/47

     10,000        11,807  

Dominion Energy South Carolina, Inc.
5.10%, 6/1/65

     34,000        49,054  

Dominion Energy, Inc.

     

3.90%, 10/1/25

     5,000        5,525  

5.95%, 6/15/35, Series B(b)

     5,000        6,756  

4.60%, 3/15/49, Series A

     50,000        62,540  

Dover Corp.
3.15%, 11/15/25

     23,000        24,866  

Dow Chemical Co. (The)

     

3.00%, 11/15/22(b)

     5,000        5,219  

7.38%, 11/1/29

     5,000        6,875  

4.25%, 10/1/34

     23,000        25,665  

9.40%, 5/15/39(b)

     5,000        8,540  

4.38%, 11/15/42

     5,000        5,538  

DR Horton, Inc.
4.38%, 9/15/22

     18,000        19,104  

Duke Energy Carolinas LLC
3.70%, 12/1/47

     48,000        55,032  

Duke Energy Corp.
3.15%, 8/15/27(b)

     23,000        24,691  

Duke Energy Florida LLC
6.40%, 6/15/38

     43,500        65,670  

Duke Energy Ohio, Inc.
3.80%, 9/1/23(b)

     18,000        19,252  

DXC Technology Co.
4.75%, 4/15/27(b)

     10,000        11,006  

Eagle Materials, Inc.
4.50%, 8/1/26(b)

     15,000        15,388  

Eastman Chemical Co.

     

3.50%, 12/1/21

   18,000      18,628  

4.80%, 9/1/42

     23,000        27,177  

Eaton Vance Corp.
3.50%, 4/6/27

     18,000        19,593  

Ecolab, Inc.

     

3.25%, 1/14/23

     18,000        18,934  

2.70%, 11/1/26

     5,000        5,356  

Emerson Electric Co.
2.63%, 2/15/23

     5,000        5,182  

Enable Midstream Partners L.P.
3.90%, 5/15/24(b)

     23,000        23,470  

Enbridge Energy Partners L.P.
5.88%, 10/15/25

     5,000        5,989  

Energy Transfer Operating L.P.

     

4.65%, 6/1/21

     94,000        96,980  

4.20%, 9/15/23, Series 5Y

     5,000        5,363  

4.90%, 3/15/35

     88,000        96,373  

6.63%, 10/15/36(b)

     19,000        22,874  

Entergy Louisiana LLC
4.00%, 3/15/33

     5,000        6,051  

Enterprise Products Operating LLC

     

3.35%, 3/15/23

     82,000        85,646  

6.88%, 3/1/33, Series D

     19,000        26,946  

4.25%, 2/15/48

     94,000        100,778  

Equitable Holdings, Inc.
4.35%, 4/20/28

     48,000        54,047  

ERP Operating L.P.
3.00%, 7/1/29

     50,000        54,011  

Exelon Corp.
5.10%, 6/15/45

     33,000        42,733  

Expedia Group, Inc.
3.80%, 2/15/28

     5,000        5,145  

Exxon Mobil Corp.

     

3.04%, 3/1/26

     23,000        24,692  

3.57%, 3/6/45

     23,000        25,552  

FedEx Corp.

     

4.00%, 1/15/24

     5,000        5,413  

3.20%, 2/1/25

     18,000        19,157  

4.20%, 10/17/28(b)

     18,000        20,128  

3.90%, 2/1/35

     94,000        102,369  

3.88%, 8/1/42

     5,000        5,062  

4.75%, 11/15/45

     5,000        5,654  

4.40%, 1/15/47

     18,000        19,143  

Fidelity National Information Services, Inc.
3.50%, 4/15/23

     23,000        24,360  

Fifth Third Bancorp
8.25%, 3/1/38(b)

     20,000        33,371  

FirstEnergy Corp.

     

3.90%, 7/15/27, Series B

     18,000        19,960  

7.38%, 11/15/31, Series C

     5,000        7,310  

Flex Ltd.
5.00%, 2/15/23

     5,000        5,434  

Florida Power & Light Co.

     

3.70%, 12/1/47

     5,000        5,816  

4.13%, 6/1/48(b)

     28,000        35,759  

 

See Notes to Financial Statements.

 

56   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Ford Motor Co.

     

6.63%, 10/1/28(b)

   $ 5,000      $ 5,766  

7.45%, 7/16/31

     50,000        56,788  

4.75%, 1/15/43

     25,000        21,544  

General Dynamics Corp.

     

2.13%, 8/15/26

     18,000        18,530  

3.75%, 5/15/28

     23,000        26,137  

General Electric Co.

     

4.65%, 10/17/21

     51,000        53,203  

6.75%, 3/15/32, Series A

     28,000        38,126  

6.15%, 8/7/37

     24,000        31,554  

5.88%, 1/14/38

     74,000        96,341  

General Mills, Inc.
4.55%, 4/17/38(b)

     28,000        33,692  

General Motors Co.
4.20%, 10/1/27

     71,000        74,598  

General Motors Financial Co., Inc.

     

3.55%, 4/9/21(b)

     5,000        5,082  

3.45%, 4/10/22

     5,000        5,129  

3.15%, 6/30/22

     5,000        5,119  

4.00%, 1/15/25

     76,000        80,640  

4.30%, 7/13/25

     5,000        5,316  

4.35%, 1/17/27(b)

     5,000        5,377  

George Washington University (The)
4.13%, 9/15/48, Series 2018

     26,000        33,360  

Georgia Power Co.
4.30%, 3/15/43

     47,000        56,149  

Georgia-Pacific LLC
7.75%, 11/15/29

     5,000        7,450  

Gilead Sciences, Inc.

     

3.50%, 2/1/25

     5,000        5,421  

3.65%, 3/1/26

     94,000        103,452  

5.65%, 12/1/41

     38,000        54,054  

4.50%, 2/1/45

     18,000        22,146  

Global Payments, Inc.
3.75%, 6/1/23

     23,000        24,376  

GLP Capital L.P.

     

5.38%, 11/1/23

     18,000        19,682  

5.75%, 6/1/28

     18,000        21,143  

Goldman Sachs Capital I
6.35%, 2/15/34

     19,000        26,480  

Goldman Sachs Group, Inc. (The)

     

5.25%, 7/27/21

     28,000        29,390  

3.00%, 4/26/22(b)

     10,000        10,166  

3.63%, 1/22/23

     28,000        29,549  

3.20%, 2/23/23

     28,000        29,264  

3.75%, 2/25/26

     5,000        5,471  

5.95%, 1/15/27

     23,000        28,210  

3.85%, 1/26/27

     23,000        25,282  

3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.51% thereafter)(b)(c)

     23,000        25,175  

3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(c)

     71,000        78,370  

4.22%, 5/1/29, (4.223% fixed rate until 5/1/28; 3-month U.S. dollar London Interbank Offered Rate + 1.301% thereafter)(b)(c)

   50,000      56,755  

6.13%, 2/15/33

     9,000        12,472  

5.15%, 5/22/45

     18,000        23,203  

Halliburton Co.
6.70%, 9/15/38

     18,000        24,831  

HCA, Inc.
4.13%, 6/15/29(b)

     50,000        54,927  

Healthcare Trust of America Holdings L.P.
3.75%, 7/1/27

     5,000        5,527  

Healthpeak Properties, Inc.

     

3.15%, 8/1/22

     28,000        28,969  

3.88%, 8/15/24(b)

     5,000        5,446  

Hershey Co. (The)
2.30%, 8/15/26

     23,000        24,155  

Hess Corp.
6.00%, 1/15/40(b)

     23,000        25,721  

Hewlett Packard Enterprise Co.

     

4.40%, 10/15/22

     48,000        51,194  

6.20%, 10/15/35

     23,000        28,806  

Home Depot, Inc. (The)

     

3.25%, 3/1/22

     94,000        97,589  

2.80%, 9/14/27

     23,000        24,527  

5.88%, 12/16/36

     15,000        21,684  

Honeywell International, Inc.
2.50%, 11/1/26

     10,000        10,645  

HP, Inc.
4.30%, 6/1/21

     76,000        78,152  

Hubbell, Inc.
3.15%, 8/15/27

     23,000        24,390  

Hudson Pacific Properties L.P.
3.95%, 11/1/27

     5,000        5,541  

Humana, Inc.
4.80%, 3/15/47(b)

     23,000        28,121  

Hyatt Hotels Corp.
3.38%, 7/15/23

     48,000        50,511  

Illinois Tool Works, Inc.
2.65%, 11/15/26(b)

     5,000        5,384  

Intel Corp.

     

3.30%, 10/1/21(b)

     10,000        10,319  

4.10%, 5/11/47

     18,000        22,008  

Intercontinental Exchange, Inc.

     

3.75%, 12/1/25

     5,000        5,522  

3.10%, 9/15/27(b)

     5,000        5,423  

International Business Machines Corp.

     

6.22%, 8/1/27(b)

     34,000        43,960  

5.88%, 11/29/32

     24,000        33,245  

4.00%, 6/20/42(b)

     50,000        59,477  

International Flavors & Fragrances, Inc.
5.00%, 9/26/48(b)

     5,000        5,893  

International Lease Finance Corp.
5.88%, 8/15/22

     76,000        82,957  

International Paper Co.

     

3.80%, 1/15/26

     5,000        5,554  

7.30%, 11/15/39(b)

     5,000        7,408  

4.80%, 6/15/44

     5,000        5,751  

4.35%, 8/15/48

     10,000        11,383  

 

See Notes to Financial Statements.

 

WisdomTree Trust      57  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Invesco Finance PLC
4.00%, 1/30/24(b)

   $ 18,000      $ 19,702  

ITC Holdings Corp.
5.30%, 7/1/43

     15,000        20,346  

Jabil, Inc.
4.70%, 9/15/22

     5,000        5,362  

Jefferies Group LLC
6.45%, 6/8/27

     25,000        30,217  

John Deere Capital Corp.

     

2.80%, 3/6/23(b)

     24,000        25,099  

3.45%, 6/7/23(b)

     5,000        5,336  

2.80%, 9/8/27(b)

     69,000        74,452  

Johnson & Johnson

     

2.63%, 1/15/25

     48,000        50,814  

4.50%, 9/1/40

     19,000        25,188  

Johnson Controls International PLC
6.00%, 1/15/36

     18,000        23,821  

JPMorgan Chase & Co.

     

4.63%, 5/10/21

     10,000        10,373  

4.50%, 1/24/22

     104,000        109,643  

3.20%, 1/25/23

     142,000        148,941  

3.56%, 4/23/24, (3.559% fixed rate until 4/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.73% thereafter)(c)

     5,000        5,290  

3.30%, 4/1/26

     10,000        10,893  

3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(c)

     50,000        54,738  

3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(c)

     23,000        25,140  

5.50%, 10/15/40

     35,000        48,605  

5.63%, 8/16/43(b)

     68,000        95,786  

3.90%, 1/23/49, (3.897% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.22% thereafter)(c)

     48,000        57,257  

Kaiser Foundation Hospitals

     

3.15%, 5/1/27(b)

     24,000        26,216  

4.15%, 5/1/47

     9,000        11,383  

Keurig Dr. Pepper, Inc.

     

2.55%, 9/15/26(b)

     23,000        23,524  

4.42%, 12/15/46

     23,000        26,927  

KeyCorp
4.15%, 10/29/25(b)

     19,000        21,371  

Kimco Realty Corp.

     

3.30%, 2/1/25(b)

     18,000        19,308  

2.80%, 10/1/26(b)

     5,000        5,251  

Kinder Morgan Energy Partners L.P.

     

3.45%, 2/15/23

     5,000        5,219  

3.50%, 9/1/23

     5,000        5,227  

5.50%, 3/1/44

     93,000        111,177  

5.40%, 9/1/44

     69,000        80,105  

Kinder Morgan, Inc.
7.75%, 1/15/32

     5,000        7,293  

KLA Corp.
4.13%, 11/1/21

     5,000        5,200  

Kroger Co. (The)

     

3.70%, 8/1/27(b)

   18,000      20,047  

5.15%, 8/1/43

     18,000        22,586  

Laboratory Corp. of America Holdings
3.20%, 2/1/22(b)

     71,000        73,019  

Lam Research Corp.
2.80%, 6/15/21(b)

     5,000        5,082  

Legg Mason, Inc.
5.63%, 1/15/44(b)

     5,000        6,874  

Lincoln National Corp.
3.80%, 3/1/28

     5,000        5,608  

Lockheed Martin Corp.

     

6.15%, 9/1/36, Series B(b)

     39,000        56,593  

4.09%, 9/15/52

     24,000        30,898  

Loews Corp.
3.75%, 4/1/26

     18,000        20,088  

Lowe’s Cos., Inc.

     

3.80%, 11/15/21

     5,000        5,183  

3.12%, 4/15/22

     5,000        5,147  

2.50%, 4/15/26

     5,000        5,176  

4.05%, 5/3/47(b)

     15,000        16,912  

Lubrizol Corp. (The)
6.50%, 10/1/34

     14,000        21,216  

LYB International Finance B.V.
4.88%, 3/15/44

     5,000        5,863  

LYB International Finance II B.V.
3.50%, 3/2/27

     23,000        24,988  

LyondellBasell Industries N.V.
4.63%, 2/26/55

     20,000        22,386  

Macy’s Retail Holdings, Inc.
3.63%, 6/1/24(b)

     5,000        5,078  

Marathon Oil Corp.

     

2.80%, 11/1/22

     24,000        24,418  

3.85%, 6/1/25

     5,000        5,288  

6.80%, 3/15/32

     5,000        6,274  

Marathon Petroleum Corp.
5.38%, 10/1/22(b)

     18,000        18,186  

Marriott International, Inc.
3.13%, 10/15/21, Series N

     5,000        5,104  

Marsh & McLennan Cos., Inc.

     

3.30%, 3/14/23

     18,000        18,878  

4.20%, 3/1/48(b)

     5,000        6,002  

Martin Marietta Materials, Inc.
3.50%, 12/15/27

     5,000        5,490  

Marvell Technology Group Ltd.
4.20%, 6/22/23

     5,000        5,355  

Massachusetts Institute of Technology
3.89%, 7/1/2116

     19,000        25,528  

McCormick & Co., Inc.
2.70%, 8/15/22

     5,000        5,143  

McDonald’s Corp.

     

3.38%, 5/26/25(b)

     5,000        5,403  

6.30%, 10/15/37

     19,000        27,640  

3.70%, 2/15/42

     19,000        20,739  

3.63%, 9/1/49

     25,000        27,295  

McKesson Corp.
3.95%, 2/16/28

     5,000        5,536  

 

See Notes to Financial Statements.

 

58   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Merck & Co., Inc.

     

2.35%, 2/10/22(b)

   $ 51,000      $ 51,834  

2.40%, 9/15/22

     5,000        5,105  

MetLife, Inc.
3.60%, 11/13/25(b)

     94,000        103,685  

Microsoft Corp.

     

3.30%, 2/6/27

     142,000        157,419  

4.10%, 2/6/37(b)

     48,000        59,603  

3.50%, 11/15/42

     23,000        26,873  

4.25%, 2/6/47

     18,000        23,643  

4.50%, 2/6/57(b)

     18,000        25,047  

MidAmerican Energy Co.
4.80%, 9/15/43

     15,000        20,217  

Molson Coors Beverage Co.
5.00%, 5/1/42(b)

     5,000        5,672  

Moody’s Corp.

     

3.25%, 6/7/21

     5,000        5,113  

2.75%, 12/15/21

     5,000        5,123  

3.25%, 1/15/28(b)

     18,000        19,625  

Morgan Stanley

     

5.50%, 7/28/21

     109,000        114,883  

4.88%, 11/1/22

     94,000        101,465  

3.75%, 2/25/23

     28,000        29,755  

3.70%, 10/23/24

     105,000        113,912  

4.00%, 7/23/25

     9,000        9,982  

3.88%, 1/27/26

     9,000        9,955  

3.13%, 7/27/26

     9,000        9,601  

3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.34% thereafter)(c)

     32,000        35,030  

3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.14% thereafter)(c)

     24,000        26,688  

3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(b)(c)

     19,000        22,020  

4.38%, 1/22/47

     34,000        42,992  

Mosaic Co. (The)

     

4.88%, 11/15/41

     10,000        10,819  

5.63%, 11/15/43

     5,000        5,978  

Motorola Solutions, Inc.
3.50%, 3/1/23

     5,000        5,215  

Mount Sinai Hospitals Group, Inc.
3.98%, 7/1/48, Series 2017

     5,000        5,877  

MPLX L.P.
4.00%, 3/15/28(b)

     18,000        18,972  

Mylan N.V.
3.95%, 6/15/26

     10,000        10,883  

National Rural Utilities Cooperative Finance Corp.

     

3.40%, 2/7/28(b)

     5,000        5,618  

3.90%, 11/1/28

     18,000        20,967  

4.02%, 11/1/32(b)

     18,000        22,190  

NBCUniversal Media LLC
5.95%, 4/1/41

     5,000        7,276  

NIKE, Inc.

     

3.88%, 11/1/45(b)

     5,000        6,166  

3.38%, 11/1/46

     5,000        5,757  

NiSource, Inc.

     

3.65%, 6/15/23

   5,000      5,285  

5.25%, 2/15/43

     5,000        6,487  

5.65%, 2/1/45

     5,000        6,826  

3.95%, 3/30/48

     18,000        20,377  

Noble Energy, Inc.
3.90%, 11/15/24(b)

     5,000        5,323  

Nordstrom, Inc.
6.95%, 3/15/28(b)

     5,000        6,189  

Norfolk Southern Corp.

     

3.25%, 12/1/21

     5,000        5,138  

2.90%, 2/15/23

     10,000        10,382  

3.15%, 6/1/27(b)

     23,000        24,911  

4.05%, 8/15/52

     5,000        5,959  

5.10%, 8/1/2118(b)

     25,000        32,833  

Northrop Grumman Corp.

     

3.50%, 3/15/21

     5,000        5,102  

3.25%, 8/1/23

     48,000        50,921  

3.20%, 2/1/27

     23,000        24,696  

NVIDIA Corp.
2.20%, 9/16/21(b)

     5,000        5,062  

NVR, Inc.
3.95%, 9/15/22

     5,000        5,290  

Occidental Petroleum Corp.

     

3.50%, 6/15/25

     43,000        44,400  

5.55%, 3/15/26

     25,000        28,363  

3.40%, 4/15/26

     5,000        5,120  

Omega Healthcare Investors, Inc.

     

4.50%, 4/1/27(b)

     18,000        20,072  

4.75%, 1/15/28(b)

     23,000        25,884  

Oncor Electric Delivery Co. LLC

     

5.75%, 3/15/29

     109,000        142,208  

5.30%, 6/1/42(b)

     48,000        68,460  

ONEOK, Inc.

     

4.00%, 7/13/27

     18,000        19,603  

4.55%, 7/15/28

     78,000        87,426  

Oracle Corp.

     

3.63%, 7/15/23

     23,000        24,704  

2.65%, 7/15/26(b)

     71,000        75,033  

4.50%, 7/8/44(b)

     23,000        29,248  

4.00%, 11/15/47(b)

     18,000        21,821  

Owens Corning
4.30%, 7/15/47

     23,000        25,625  

Packaging Corp. of America
4.50%, 11/1/23

     18,000        19,755  

Parker-Hannifin Corp.

     

3.50%, 9/15/22(b)

     5,000        5,243  

3.30%, 11/21/24

     18,000        19,302  

6.25%, 5/15/38

     15,000        21,389  

People’s United Financial, Inc.
3.65%, 12/6/22

     5,000        5,227  

PepsiCo, Inc.

     

3.00%, 10/15/27

     28,000        30,546  

4.25%, 10/22/44

     23,000        28,849  

Pfizer, Inc.

     

3.00%, 12/15/26(b)

     10,000        10,898  

7.20%, 3/15/39

     89,000        151,053  

4.30%, 6/15/43(b)

     5,000        6,443  

 

See Notes to Financial Statements.

 

WisdomTree Trust      59  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Philip Morris International, Inc.

     

2.50%, 8/22/22(b)

   $ 23,000      $ 23,663  

4.88%, 11/15/43(b)

     32,000        40,032  

Plains All American Pipeline L.P.

     

3.65%, 6/1/22

     114,500        117,756  

6.65%, 1/15/37(b)

     23,000        27,834  

PNC Financial Services Group, Inc. (The)

     

3.90%, 4/29/24

     28,000        30,299  

3.45%, 4/23/29

     50,000        55,238  

Procter & Gamble Co. (The)
2.15%, 8/11/22(b)

     28,000        28,738  

Prologis L.P.
4.38%, 9/15/48

     5,000        6,632  

Prudential Financial, Inc.

     

5.70%, 12/14/36(b)

     5,000        7,166  

6.63%, 12/1/37

     19,000        28,885  

5.88%, 9/15/42, (5.875% fixed rate until 9/15/22; 3-month U.S. dollar London Interbank Offered Rate + 4.175% thereafter)(c)

     5,000        5,318  

4.60%, 5/15/44

     5,000        6,306  

5.38%, 5/15/45, (5.375% fixed rate until 5/15/25; 3-month U.S. dollar London Interbank Offered Rate + 3.031% thereafter)(c)

     5,000        5,468  

5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(b)(c)

     5,000        5,662  

PSEG Power LLC
3.85%, 6/1/23(b)

     5,000        5,323  

Public Service Co. of Colorado
4.30%, 3/15/44

     29,000        36,588  

Public Service Electric & Gas Co.

     

2.38%, 5/15/23

     118,000        121,458  

3.00%, 5/15/27

     19,000        20,556  

QUALCOMM, Inc.

     

3.00%, 5/20/22(b)

     10,000        10,363  

2.60%, 1/30/23(b)

     10,000        10,315  

2.90%, 5/20/24

     122,000        128,489  

Quest Diagnostics, Inc.
4.70%, 4/1/21

     5,000        5,162  

Realty Income Corp.

     

3.25%, 10/15/22

     28,000        29,302  

3.00%, 1/15/27

     5,000        5,368  

Republic Services, Inc.
5.25%, 11/15/21

     5,000        5,331  

Rockwell Collins, Inc.

     

2.80%, 3/15/22

     18,000        18,515  

4.80%, 12/15/43

     10,000        13,167  

Roper Technologies, Inc.

     

2.80%, 12/15/21

     18,000        18,440  

3.80%, 12/15/26

     5,000        5,562  

Royal Caribbean Cruises Ltd.
7.50%, 10/15/27(b)

     9,000        11,674  

RWJ Barnabas Health, Inc.
3.95%, 7/1/46

     24,000        28,479  

Ryder System, Inc.
3.75%, 6/9/23

   48,000      51,210  

Sabra Health Care L.P.
5.13%, 8/15/26

     18,000        20,033  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     23,000        25,242  

Seagate HDD Cayman
4.25%, 3/1/22

     17,000        17,363  

Sempra Energy

     

2.88%, 10/1/22

     5,000        5,156  

4.05%, 12/1/23

     5,000        5,415  

3.25%, 6/15/27(b)

     23,000        24,601  

Service Properties Trust
5.00%, 8/15/22

     5,000        5,306  

Sherwin-Williams Co. (The)

     

2.75%, 6/1/22(b)

     3,000        3,089  

4.50%, 6/1/47(b)

     5,000        6,079  

3.80%, 8/15/49

     20,000        21,985  

Shire Acquisitions Investments Ireland DAC
2.40%, 9/23/21

     10,000        10,136  

Simon Property Group L.P.

     

2.35%, 1/30/22

     5,000        5,070  

2.75%, 2/1/23

     5,000        5,153  

3.75%, 2/1/24(b)

     5,000        5,384  

3.30%, 1/15/26

     5,000        5,432  

3.25%, 11/30/26

     23,000        25,115  

SITE Centers Corp.
4.70%, 6/1/27

     28,000        31,516  

Southern California Edison Co.
4.65%, 10/1/43

     74,000        91,104  

Southern California Gas Co.
4.13%, 6/1/48, Series UU

     5,000        6,113  

Southern Co. (The)
3.25%, 7/1/26(b)

     5,000        5,367  

Southern Co. Gas Capital Corp.
4.40%, 6/1/43(b)

     5,000        5,875  

Southern Power Co.
5.15%, 9/15/41

     19,000        23,735  

Spectra Energy Partners L.P.
3.50%, 3/15/25

     5,000        5,346  

Spirit AeroSystems, Inc.

     

3.95%, 6/15/23

     5,000        5,021  

4.60%, 6/15/28

     18,000        17,893  

Starbucks Corp.

     

3.10%, 3/1/23(b)

     5,000        5,244  

2.45%, 6/15/26(b)

     5,000        5,218  

4.00%, 11/15/28

     5,000        5,723  

State Street Corp.

     

2.65%, 5/15/23, (2.653% fixed rate until 5/15/22; 3-month U.S. dollar London Interbank Offered Rate + 0.635% thereafter)(c)

     5,000        5,113  

3.10%, 5/15/23

     48,000        50,337  

Stryker Corp.
3.38%, 5/15/24

     5,000        5,327  

Sunoco Logistics Partners Operations L.P.
3.90%, 7/15/26

     5,000        5,291  

Synchrony Financial
3.70%, 8/4/26

     5,000        5,265  

 

See Notes to Financial Statements.

 

60   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Synovus Financial Corp.
3.13%, 11/1/22

   $ 5,000      $ 5,133  

Sysco Corp.
3.30%, 7/15/26

     5,000        5,442  

Tampa Electric Co.
4.30%, 6/15/48

     18,000        22,971  

Tapestry, Inc.
4.13%, 7/15/27(b)

     5,000        5,278  

Target Corp.

     

2.90%, 1/15/22

     23,000        23,708  

2.50%, 4/15/26(b)

     5,000        5,308  

TC PipeLines L.P.
4.38%, 3/13/25

     19,000        20,519  

TD Ameritrade Holding Corp.
2.95%, 4/1/22

     10,000        10,258  

Texas Instruments, Inc.

     

2.90%, 11/3/27

     28,000        29,963  

4.15%, 5/15/48

     89,000        113,154  

Time Warner Cable LLC

     

6.75%, 6/15/39

     45,500        59,012  

5.50%, 9/1/41(b)

     5,000        5,853  

4.50%, 9/15/42

     10,000        10,420  

Toyota Motor Credit Corp.

     

2.90%, 4/17/24(b)

     5,000        5,294  

2.15%, 2/13/30

     50,000        50,694  

Travelers Cos., Inc. (The)

     

6.25%, 6/15/37

     10,000        14,904  

4.00%, 5/30/47

     23,000        28,553  

Trimble, Inc.
4.15%, 6/15/23

     5,000        5,318  

Truist Financial Corp.

     

2.05%, 5/10/21

     5,000        5,036  

3.20%, 9/3/21(b)

     5,000        5,134  

2.85%, 10/26/24

     94,000        98,563  

TWDC Enterprises 18 Corp.

     

2.95%, 6/15/27(b)

     23,000        25,176  

3.70%, 12/1/42

     5,000        5,812  

3.00%, 7/30/46(b)

     48,000        51,061  

Tyson Foods, Inc.
2.25%, 8/23/21(b)

     5,000        5,040  

U.S. Bancorp

     

2.63%, 1/24/22, Series V(b)

     5,000        5,121  

3.90%, 4/26/28(b)

     28,000        32,808  

Union Electric Co.
2.95%, 6/15/27

     18,000        19,341  

Union Pacific Corp.

     

3.50%, 6/8/23

     52,000        55,299  

3.75%, 7/15/25

     5,000        5,526  

3.25%, 8/15/25(b)

     5,000        5,431  

2.75%, 3/1/26(b)

     5,000        5,254  

4.00%, 4/15/47

     19,000        21,733  

3.84%, 3/20/60(d)

     24,000        26,501  

4.38%, 11/15/65

     5,000        5,984  

United Parcel Service, Inc.

     

2.45%, 10/1/22(b)

     5,000        5,130  

2.40%, 11/15/26(b)

     5,000        5,206  

3.05%, 11/15/27

     23,000        24,921  

3.40%, 11/15/46

     5,000        5,203  

United Technologies Corp.

     

1.95%, 11/1/21(b)

   23,000      23,238  

3.75%, 11/1/46

     48,000        55,282  

UnitedHealth Group, Inc.

     

2.13%, 3/15/21(b)

     10,000        10,046  

3.15%, 6/15/21

     5,000        5,113  

2.88%, 3/15/22(b)

     5,000        5,133  

2.75%, 2/15/23

     5,000        5,177  

3.70%, 12/15/25

     15,000        16,666  

3.10%, 3/15/26(b)

     94,000        101,227  

3.88%, 12/15/28

     18,000        20,568  

5.80%, 3/15/36

     5,000        6,876  

3.95%, 10/15/42(b)

     5,000        5,766  

3.75%, 10/15/47(b)

     15,000        16,984  

University of Southern California
3.03%, 10/1/39

     24,000        26,754  

Valero Energy Partners L.P.
4.38%, 12/15/26

     18,000        20,112  

Ventas Realty L.P.
4.38%, 2/1/45

     24,000        28,445  

VEREIT Operating Partnership L.P.

     

4.60%, 2/6/24

     18,000        19,816  

3.95%, 8/15/27

     5,000        5,521  

Verizon Communications, Inc.

     

5.15%, 9/15/23(b)

     120,000        135,054  

3.50%, 11/1/24

     23,000        24,916  

5.25%, 3/16/37(b)

     10,000        13,373  

6.55%, 9/15/43

     18,000        28,331  

5.01%, 4/15/49

     23,000        31,793  

ViacomCBS, Inc.

     

3.38%, 3/1/22

     5,000        5,149  

3.38%, 2/15/28

     5,000        5,331  

6.88%, 4/30/36

     5,000        6,847  

4.90%, 8/15/44

     5,000        5,685  

Visa, Inc.
3.65%, 9/15/47

     28,000        33,329  

Vulcan Materials Co.
4.50%, 4/1/25

     18,000        20,170  

Wachovia Corp.
5.50%, 8/1/35(b)

     5,000        6,638  

Walgreens Boots Alliance, Inc.
3.80%, 11/18/24(b)

     28,000        29,898  

Walmart, Inc.

     

3.55%, 6/26/25

     94,000        103,581  

6.50%, 8/15/37

     48,000        74,962  

4.05%, 6/29/48

     10,000        12,614  

Walt Disney Co. (The)

     

6.40%, 12/15/35

     4,000        5,977  

6.65%, 11/15/37(b)

     20,000        30,839  

4.95%, 10/15/45

     5,000        6,879  

Wells Fargo & Co.

     

2.10%, 7/26/21

     9,000        9,084  

2.63%, 7/22/22

     94,000        96,399  

4.13%, 8/15/23(b)

     94,000        101,401  

3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(c)

     64,000        69,629  

 

See Notes to Financial Statements.

 

WisdomTree Trust      61  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

5.38%, 2/7/35

   $ 5,000      $ 6,805  

5.38%, 11/2/43

     47,000        61,962  

4.75%, 12/7/46

     71,000        89,684  

Welltower, Inc.
4.25%, 4/1/26

     23,000        25,895  

Western Midstream Operating L.P.
5.30%, 3/1/48

     94,000        85,239  

Western Union Co. (The)

     

3.60%, 3/15/22

     5,000        5,207  

4.25%, 6/9/23(b)

     5,000        5,381  

Westlake Chemical Corp.
5.00%, 8/15/46(b)

     5,000        5,916  

WestRock MWV LLC
7.95%, 2/15/31

     14,000        19,961  

Whirlpool Corp.
4.50%, 6/1/46

     5,000        5,561  

Williams Cos., Inc. (The)

     

3.75%, 6/15/27

     10,000        10,502  

7.50%, 1/15/31, Series A

     50,000        67,295  

6.30%, 4/15/40

     10,000        12,346  

Wisconsin Public Service Corp.
3.67%, 12/1/42

     38,000        43,510  

WW Grainger, Inc.
3.75%, 5/15/46

     23,000        26,525  

Xilinx, Inc.

     

3.00%, 3/15/21

     5,000        5,080  

2.95%, 6/1/24

     48,000        50,374  

Xylem, Inc.

     

4.88%, 10/1/21

     5,000        5,268  

3.25%, 11/1/26

     5,000        5,441  

Zimmer Biomet Holdings, Inc.
3.15%, 4/1/22

     5,000        5,150  

TOTAL U.S. CORPORATE BONDS

(Cost: $16,736,545)

 

 

     18,608,623  
FOREIGN CORPORATE BONDS – 3.6%

 

Australia – 0.1%

 

BHP Billiton Finance USA Ltd.
5.00%, 9/30/43

     23,000        31,012  

Westpac Banking Corp.

     

3.35%, 3/8/27

     23,000        25,343  

4.32%, 11/23/31, (4.322% fixed rate until 11/23/26; 5-year U.S. dollar ICE Swap Rate + 2.236% thereafter)(c)

     10,000        10,978  
     

 

 

 
Total Australia

 

     67,333  
Belgium – 0.5%

 

Anheuser-Busch Cos. LLC
3.65%, 2/1/26

     329,000        360,073  

Anheuser-Busch InBev Worldwide, Inc.

     

4.90%, 1/23/31

     25,000        30,479  

4.60%, 4/15/48

     19,000        22,842  

4.44%, 10/6/48

     19,000        22,232  
     

 

 

 
Total Belgium

 

     435,626  
Bermuda – 0.0%

 

Aspen Insurance Holdings Ltd.
4.65%, 11/15/23

     18,000        19,896  
Brazil – 0.0%

 

Vale Overseas Ltd.
6.88%, 11/21/36

   10,000      13,207  
Canada – 0.7%

 

Bank of Montreal

     

2.35%, 9/11/22(b)

     94,000        96,124  

3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(b)(c)

     49,000        52,852  

Bank of Nova Scotia (The)

     

3.13%, 4/20/21

     5,000        5,094  

2.45%, 9/19/22

     48,000        49,258  

Brookfield Finance, Inc.

     

3.90%, 1/25/28(b)

     18,000        20,013  

4.70%, 9/20/47

     5,000        6,190  

Canadian Natural Resources Ltd.
3.45%, 11/15/21

     18,000        18,506  

Cenovus Energy, Inc.

     

5.25%, 6/15/37

     28,000        29,934  

6.75%, 11/15/39

     18,000        22,297  

Kinross Gold Corp.
4.50%, 7/15/27

     5,000        5,447  

Magna International, Inc.
3.63%, 6/15/24(b)

     5,000        5,438  

Methanex Corp.
4.25%, 12/1/24

     23,000        24,516  

Nexen, Inc.
6.40%, 5/15/37(b)

     25,000        36,773  

Nutrien Ltd.

     

3.15%, 10/1/22

     18,000        18,688  

5.63%, 12/1/40

     5,000        6,425  

5.25%, 1/15/45

     18,000        22,606  

Rogers Communications, Inc.
3.00%, 3/15/23

     48,000        50,154  

TELUS Corp.
4.60%, 11/16/48

     5,000        6,444  

TransCanada PipeLines Ltd.

     

4.25%, 5/15/28(b)

     19,000        21,302  

4.63%, 3/1/34

     28,000        32,853  

5.85%, 3/15/36

     29,000        37,699  
     

 

 

 
Total Canada

 

     568,613  
Colombia – 0.1%

 

Ecopetrol S.A.
5.88%, 9/18/23

     94,000        104,261  
France – 0.0%

 

Sanofi
3.63%, 6/19/28(b)

     5,000        5,754  

Total Capital International S.A.
3.46%, 7/12/49

     20,000        21,847  
     

 

 

 
Total France

 

     27,601  
Japan – 0.2%

 

Mitsubishi UFJ Financial Group, Inc.

     

3.00%, 2/22/22

     5,000        5,142  

3.76%, 7/26/23

     54,000        57,834  

3.78%, 3/2/25(b)

     5,000        5,483  

3.68%, 2/22/27

     18,000        19,890  

 

See Notes to Financial Statements.

 

62   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Sumitomo Mitsui Financial Group, Inc.

     

2.93%, 3/9/21(b)

   $ 10,000      $ 10,114  

2.63%, 7/14/26(b)

     10,000        10,451  

3.35%, 10/18/27(b)

     23,000        25,233  

3.20%, 9/17/29

     50,000        53,083  
     

 

 

 
Total Japan

 

     187,230  
Mexico – 0.2%

 

Petroleos Mexicanos

     

5.50%, 1/21/21

     10,000        10,190  

6.50%, 3/13/27

     10,000        10,518  

6.63%, 6/15/35(b)

     10,000        10,039  

6.38%, 1/23/45(b)

     10,000        9,397  

6.75%, 9/21/47

     20,000        19,154  

6.35%, 2/12/48

     20,000        18,657  

7.69%, 1/23/50(d)

     30,000        31,355  

6.95%, 1/28/60(d)

     25,000        24,094  
     

 

 

 
Total Mexico

 

     133,404  
Netherlands – 0.2%

 

Cooperatieve Rabobank UA

     

3.88%, 2/8/22

     9,000        9,427  

5.25%, 5/24/41(b)

     24,000        34,544  

Shell International Finance B.V.

     

3.40%, 8/12/23

     47,000        50,132  

5.50%, 3/25/40

     27,000        37,499  
     

 

 

 
Total Netherlands

 

     131,602  
Norway – 0.2%

 

Equinor ASA

     

3.15%, 1/23/22

     19,000        19,653  

2.45%, 1/17/23

     56,000        57,702  

2.65%, 1/15/24(b)

     5,000        5,228  

3.70%, 3/1/24

     5,000        5,425  

3.63%, 9/10/28(b)

     24,000        27,120  

5.10%, 8/17/40(b)

     19,000        25,398  
     

 

 

 
Total Norway

 

     140,526  
Peru – 0.0%

 

Southern Copper Corp.
6.75%, 4/16/40

     5,000        6,884  
Spain – 0.1%

 

Telefonica Emisiones S.A.
7.05%, 6/20/36(b)

     9,000        12,989  

Telefonica Europe B.V.
8.25%, 9/15/30(b)

     47,000        69,525  
     

 

 

 
Total Spain

 

     82,514  
Switzerland – 0.0%

 

Novartis Capital Corp.

     

2.40%, 5/17/22

     5,000        5,127  

3.70%, 9/21/42

     15,000        17,855  

Syngenta Finance N.V.
3.13%, 3/28/22

     19,000        19,380  
     

 

 

 
Total Switzerland

 

     42,362  
United Kingdom – 1.3%

 

Barclays PLC
4.34%, 5/16/24, (4.338% fixed rate until 5/16/23; 3-month U.S. dollar London Interbank Offered Rate + 1.356% thereafter)(b)(c)

   200,000      213,073  

BP Capital Markets PLC

     

3.54%, 11/4/24

     5,000        5,427  

3.28%, 9/19/27

     24,000        25,819  

British Telecommunications PLC
9.63%, 12/15/30

     9,000        14,269  

CNH Industrial N.V.
4.50%, 8/15/23

     95,000        103,490  

HSBC Holdings PLC

     

5.10%, 4/5/21

     95,000        98,409  

4.00%, 3/30/22

     71,000        74,165  

4.38%, 11/23/26

     200,000        217,502  

7.63%, 5/17/32

     24,000        33,510  

Janus Capital Group, Inc.
4.88%, 8/1/25

     18,000        20,141  

Reynolds American, Inc.

     

7.25%, 6/15/37

     23,000        30,463  

5.85%, 8/15/45

     10,000        11,972  

Royal Bank of Scotland Group PLC

     

6.13%, 12/15/22

     23,000        25,110  

6.00%, 12/19/23

     23,000        25,769  

5.13%, 5/28/24

     100,000        109,541  

Unilever Capital Corp.
5.90%, 11/15/32

     5,000        7,059  

Vodafone Group PLC

     

4.38%, 2/19/43

     84,000        96,881  

5.25%, 5/30/48(b)

     30,000        37,875  
     

 

 

 
Total United Kingdom

 

     1,150,475  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $2,859,843)

 

 

     3,111,534  
FOREIGN GOVERNMENT AGENCIES – 1.3%

 

Austria – 0.0%

 

Oesterreichische Kontrollbank AG
2.38%, 10/1/21

     9,000        9,185  
Canada – 0.6%

 

Export Development Canada

     

1.75%, 7/21/20

     10,000        10,022  

2.50%, 1/24/23

     10,000        10,439  

Province of Alberta Canada
3.30%, 3/15/28

     95,000        108,857  

Province of British Columbia Canada
2.00%, 10/23/22

     10,000        10,271  

Province of New Brunswick Canada
3.63%, 2/24/28

     20,000        23,250  

Province of Ontario Canada

     

2.50%, 9/10/21

     10,000        10,210  

2.25%, 5/18/22

     10,000        10,255  

3.20%, 5/16/24

     10,000        10,850  

2.50%, 4/27/26

     80,000        86,070  

Province of Quebec Canada

     

3.50%, 7/29/20

     9,000        9,075  

 

See Notes to Financial Statements.

 

WisdomTree Trust      63  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.63%, 2/13/23

   $ 9,000      $ 9,420  

2.88%, 10/16/24, Series QO

     105,000        113,471  

7.50%, 9/15/29, Series PD

     56,000        85,271  
     

 

 

 
Total Canada

 

     497,461  
Germany – 0.4%

 

Kreditanstalt fuer Wiederaufbau

     

2.75%, 7/15/20

     28,000        28,151  

1.50%, 6/15/21

     188,000        189,122  

2.38%, 8/25/21

     9,000        9,186  

2.13%, 6/15/22(b)

     9,000        9,230  

2.13%, 1/17/23

     33,000        34,055  

2.50%, 11/20/24

     33,000        35,258  

Landwirtschaftliche Rentenbank
2.25%, 10/1/21

     9,000        9,177  
     

 

 

 
Total Germany

 

     314,179  
Japan – 0.3%

 

Japan International Cooperation Agency
2.13%, 10/20/26

     250,000        260,853  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $991,029)

 

 

     1,081,678  
FOREIGN GOVERNMENT OBLIGATIONS – 1.0%

 

Hungary – 0.1%

 

Hungary Government International Bond

     

6.38%, 3/29/21

     24,000        25,165  

5.38%, 3/25/24

     18,000        20,446  
     

 

 

 
Total Hungary

 

     45,611  
Italy – 0.1%

 

Republic of Italy Government International Bond 5.38%, 6/15/33

     81,000        100,657  
Mexico – 0.2%

 

Mexico Government International Bond

     

4.00%, 10/2/23

     107,000        114,535  

5.75%, 10/12/2110

     18,000        22,742  
     

 

 

 
Total Mexico

 

     137,277  
Panama – 0.0%

 

Panama Government International Bond
8.88%, 9/30/27

     19,000        27,391  
Peru – 0.0%

 

Peruvian Government International Bond
4.13%, 8/25/27

     19,000        21,762  
Philippines – 0.3%

 

Philippine Government International Bond
3.95%, 1/20/40

     200,000        243,045  
Poland – 0.2%

 

Republic of Poland Government International Bond

     

5.13%, 4/21/21

     74,000        76,978  

3.00%, 3/17/23

     24,000        25,002  

3.25%, 4/6/26

     47,000        50,911  
     

 

 

 
Total Poland

 

     152,891  
Uruguay – 0.1%

 

Uruguay Government International Bond

     

5.10%, 6/18/50

     78,000        98,451  

4.98%, 4/20/55

   24,000      29,843  
     

 

 

 
Total Uruguay

 

     128,294  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $760,985)

 

 

     856,928  
SUPRANATIONAL BONDS – 0.9%

 

Asian Development Bank

     

2.25%, 1/20/21

     42,000        42,399  

2.75%, 3/17/23

     9,000        9,486  

2.00%, 1/22/25

     5,000        5,230  

Corporacion Andina de Fomento
4.38%, 6/15/22

     5,000        5,326  

Council of Europe Development Bank
1.63%, 3/16/21

     25,000        25,123  

European Investment Bank

     

1.38%, 6/15/20

     71,000        70,993  

2.25%, 3/15/22

     14,000        14,359  

2.25%, 8/15/22

     9,000        9,283  

2.50%, 3/15/23(b)

     141,000        147,406  

3.25%, 1/29/24

     14,000        15,225  

2.38%, 5/24/27

     94,000        102,386  

Inter-American Development Bank

     

1.75%, 9/14/22

     141,000        143,896  

2.50%, 1/18/23

     9,000        9,389  

International Bank for Reconstruction & Development

     

2.13%, 2/13/23

     5,000        5,170  

2.50%, 11/25/24, Series GDIF

     14,000        14,960  

2.13%, 3/3/25, Series GDIF

     50,000        52,610  

2.50%, 7/29/25, Series GDIF

     14,000        15,071  

2.50%, 11/22/27, Series GDIF

     39,000        42,937  

TOTAL SUPRANATIONAL BONDS

(Cost: $693,334)

 

 

     731,249  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.9%

 

United States – 1.9%

 

Bank
3.44%, 9/15/60, Series 2017-BNK7, Class A5

     105,000        117,071  

Benchmark Mortgage Trust
4.02%, 3/15/52, Series 2019-B9, Class A5

     60,000        69,880  

CFCRE Commercial Mortgage Trust
3.83%, 12/15/47, Series 2011-C2, Class A4

     82,887        85,112  

Commercial Mortgage Trust

 

3.60%, 5/10/47, Series 2014-CR17, Class ASB

     46,901        48,801  

2.87%, 2/10/48, Series 2015-DC1, Class A2

     11,203        11,199  

CSAIL Commercial Mortgage Trust
4.10%, 4/15/51, Series 2018-CX11, Class A3

     100,000        110,339  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates

     

2.87%, 12/25/21, Series K017, Class A2

     91,081        93,008  

2.48%, 3/25/25, Series K049, Class A1

     13,484        13,922  

3.43%, 1/25/27, Series K063, Class A2^(c)

     70,000        78,334  

3.69%, 1/25/29, Series K088, Class A2

     115,000        133,599  

3.99%, 8/25/33, Series K157, Class A3^(c)

     70,000        86,024  

 

See Notes to Financial Statements.

 

64   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Federal National Mortgage Association Alternative Credit Enhancement Securities

     

3.21%, 7/25/23, Series 2014-M1, Class A2^(c)

   $ 98,486      $ 103,577  

2.49%, 5/25/26, Series 2016-M6, Class A2

     57,210        60,074  

2.48%, 12/25/26, Series 2017-M3, Class A2^(c)

     45,000        48,050  

3.05%, 3/25/28, Series 2018-M4, Class A2^(c)

     25,000        27,651  

3.05%, 3/25/28, Series 2018-M7, Class A2^(c)

     145,000        160,857  

2.99%, 2/25/30, Series 2018-M3, Class A1^(c)

     24,356        26,281  

JPMBB Commercial Mortgage Securities Trust
4.08%, 2/15/47, Series 2014-C18, Class A5

     50,000        54,632  

Morgan Stanley Bank of America Merrill Lynch Trust

     

3.10%, 5/15/46, Series 2013-C9, Class A4

     105,000        109,838  

3.46%, 12/15/49, Series 2016-C32, Class A3

     100,000        110,265  

WFRBS Commercial Mortgage Trust
4.02%, 12/15/46, Series 2013-C17, Class A4

     100,000        108,388  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $1,535,103)

 

 

     1,656,902  
MUNICIPAL BONDS – 0.5%

 

United States – 0.5%

 

Bay Area Toll Authority
7.04%, 4/1/50, Series S1-SUB

     25,000        46,202  

New Jersey Transportation Trust Fund Authority
5.75%, 12/15/28, Series C

     45,000        53,956  

Port Authority of New York & New Jersey
4.81%, 10/15/65, Series 192

     25,000        37,022  

State of California
7.55%, 4/1/39

     115,000        197,729  

Texas Transportation Commission State Highway Fund
5.18%, 4/1/30, Series B-BUILD

     50,000        63,646  

TOTAL MUNICIPAL BONDS

(Cost: $341,728)

 

 

     398,555  
ASSET-BACKED SECURITIES – 0.3%

 

United States – 0.3%

 

Americredit Automobile Receivables Trust
3.07%, 12/19/22, Series 2018-1, Class A3

     25,671        25,866  

BMW Vehicle Owner Trust
2.51%, 6/25/24, Series 2018-A, Class A4

     10,000        10,184  

CarMax Auto Owner Trust
2.64%, 6/15/23, Series 2018-1, Class A4

     29,000        29,681  

Discover Card Execution Note Trust
3.11%, 1/16/24, Series 2018-A4, Class A4

     30,000        30,767  

Ford Credit Auto Lease Trust
2.22%, 10/15/22, Series 2019-B, Class A3

     20,000        20,241  

GM Financial Consumer Automobile Receivables Trust

     

2.46%, 7/17/23, Series 2018-1, Class A4

     20,000        20,358  

2.65%, 2/16/24, Series 2019-2, Class A3

     20,000        20,341  

Mercedes-Benz Auto Lease Trust
2.51%, 10/16/23, Series 2018-A, Class A4

     20,000        20,049  

World Financial Network Credit Card Master Trust 3.07%, 12/16/24, Series 2018-A, Class A

     67,000        68,083  

TOTAL ASSET-BACKED SECURITIES

(Cost: $240,749)

 

 

     245,570  
REPURCHASE AGREEMENT – 2.0%

 

United States – 2.0%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $1,698,728 (fully collateralized by Fannie Mae Pool, 3.00% – 5.00% due 9/1/25 – 11/1/49, and Freddie Mac Pool, 3.00% due 2/1/50; Market value including accrued interest – $1,783,425)

     
(Cost: $1,698,500)    1,698,500      1,698,500  
      Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 4.6%

 

United States – 4.6%

 

State Street Navigator Securities Lending
Government Money Market Portfolio, 1.61%(e)

     
(Cost: $3,982,803)(f)      3,982,803        3,982,803  

TOTAL INVESTMENTS IN SECURITIES – 106.1%

(Cost: $84,667,393)

 

 

     90,952,701  

Other Assets less Liabilities – (6.1)%

 

     (5,233,969
     

 

 

 
NET ASSETS – 100.0%

 

   $ 85,718,732  
^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

Security, or portion thereof, was on loan at February 29, 2020 (See Note 2).

 

(c) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

(d) 

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

 

(e) 

Rate shown represents annualized 7-day yield as of February 29, 2020.

 

(f) 

At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,906,215 and the total market value of the collateral held by the Fund was $4,023,445. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $40,642.

 

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

2 Year U.S. Treasury Note

    199       6/30/20     $ (43,447,297   $ (172,883

5 Year U.S. Treasury Note

    273       6/30/20       (33,510,750     (392,152

U.S. Treasury Ultra Long Term Bond

    42       6/19/20       (8,715,000     (236,235

Ultra 10 Year U.S. Treasury Note

    69       6/19/20       (10,365,094     (199,553
      $ (96,038,141   $ (1,000,823
 

As of February 29, 2020, deposits at broker for futures contracts of $618,476 included cash collateral of $894,154 and previously settled variation margin losses on open futures contracts of $275,678.

 

See Notes to Financial Statements.

 

WisdomTree Trust      65  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
ASSET-BACKED SECURITIES – 4.8%

 

United States – 4.8%

 

Sofi Consumer Loan Program Trust

 

4.73%, 1/26/26, Series 2017-1, Class B(a)

   $ 230,000      $ 237,296  

3.65%, 2/25/27, Series 2018-1, Class B(a)

     250,000        257,845  

3.79%, 4/26/27, Series 2018-2, Class B(a)

     375,000        386,922  

4.02%, 8/25/27, Series 2018-3, Class B(a)

     100,000        103,986  
TOTAL ASSET-BACKED SECURITIES
(Cost: $975,832)

 

     986,049  
COLLATERALIZED LOAN OBLIGATIONS – 6.1%

 

Cayman Islands – 6.1%

 

BDS Ltd.
4.28%, 2/16/37, Series 2020-FL5, Class D, (1-month U.S. dollar London Interbank Offered Rate + 2.50%)(a)(b)

     300,000        300,800  

LCM 28 Ltd.
3.97%, 10/20/30, Series 28A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 2.15%)(a)(b)

     400,000        400,713  

Magnetite XXIII Ltd.
5.47%, 10/25/32, Series 2019-23A, Class D, (3-month U.S. dollar London Interbank Offered Rate + 3.60%)(a)(b)

     250,000        251,306  

Neuberger Berman Loan Advisers Ltd.
4.47%, 1/19/32, Series 2019-32A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 2.65%)(a)(b)

     300,000        301,138  
TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost: $1,238,468)

 

     1,253,957  
COLLATERALIZED MORTGAGE OBLIGATIONS – 28.9%

 

CSMC Trust
3.97%, 10/25/44, Series 2014-WIN2, Class B1^(a)(b)

     263,249        278,940  

Federal Home Loan Mortgage Corp. REMIC
5.00%, 4/15/40, Series 3658, Class CZ

     343,008        424,895  

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
3.93%, 9/25/30, Series 2018-HQA1, Class M2, (1-month U.S. dollar London Interbank Offered Rate + 2.30%)(b)

     200,000        202,078  

Federal Home Loan Mortgage Corporation REMIC

     

4.00%, 1/15/41, Series 4179, Class AZ

     659,060        747,543  

3.00%, 5/15/43, Series 4322, Class DJ

     253,463        266,699  

Federal National Mortgage Association REMIC

     

4.00%, 8/25/33, Series 2014-58, Class VM

     100,000        110,753  

6.00%, 7/25/36, Series 2006-62, Class PZ

     120,091        181,683  

5.00%, 4/25/37, Series 2007-26, Class JZ

     384,537        434,338  

5.00%, 11/25/39, Series 2009-89, Class PH

     118,000        141,496  

5.00%, 6/25/41, Series 2011-52, Class GB

     286,272        327,030  

4.50%, 9/15/42, Series 4671, Class JM

     404,138        427,861  

3.00%, 2/25/43, Series 2013-1, Class JZ

     430,177        446,525  

Government National Mortgage Association

     

5.50%, 4/20/37, Series 2007-24, Class PC

     129,060        141,927  

2.16%, 7/20/64, Series 2014-H16, Class FL, (1-month U.S. dollar London Interbank Offered Rate + 0.47%)(b)

   1,137,338      1,137,170  

JP Morgan Mortgage Trust

     

3.66%, 5/25/45, Series 2015-3, Class B3^(a)(b)

     226,343        236,277  

4.56%, 5/25/50, Series 2019-INV3, Class B3^(a)(b)

     230,695        253,239  

Sequoia Mortgage Trust
4.00%, 2/25/48, Series 2018-CH1, Class A1^(a)(b)

     169,591        174,797  
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost: $5,768,721)

 

     5,933,251  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 5.7%

 

United States – 5.7%

 

Benchmark Mortgage Trust
2.50%, 12/15/62, Series 2019-B14, Class D(a)

     380,000        338,830  

Cantor Commercial Real Estate Lending
2.50%, 1/15/53, Series 2019-CF3, Class D^(a)(b)

     250,000        219,997  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
3.70%, 3/25/28, Series K077, Class A1

     480,879        535,134  

Wells Fargo Commercial Mortgage Trust
0.84%, 12/15/52, Series 2019-C54, Class XA, IO^(b)(c)

     1,099,546        77,241  
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost: $1,134,125)

 

     1,171,202  
U.S. GOVERNMENT AGENCIES – 54.1%

 

Federal Home Loan Mortgage Corporation – 9.1%

 

4.00%, 1/1/42

     467,650        507,686  

3.50%, 8/1/46

     555,905        593,782  

3.50%, 9/1/47

     710,857        759,180  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     1,860,648  
Federal National Mortgage Association – 40.6%

 

4.00%, 11/1/43

     664,922        724,672  

4.00%, 5/1/47

     575,846        629,010  

4.00%, 12/1/47

     494,400        539,284  

4.00%, 10/1/48

     1,871,968        2,026,710  

3.50%, 9/1/49

     365,302        379,447  

3.00%, 11/1/49

     1,937,589        1,997,676  

3.00%, 3/1/50

     1,000,000        1,032,109  

3.50%, 3/1/50

     950,000        991,915  
     

 

 

 
Total Federal National Mortgage Association

 

     8,320,823  
Government National Mortgage Association – 4.4%

 

3.50%, 7/20/47

     852,912        914,775  
TOTAL U.S. GOVERNMENT AGENCIES
(Cost: $10,914,921)

 

     11,096,246  
TOTAL INVESTMENTS IN SECURITIES – 99.6%
(Cost: $20,032,067)

 

     20,440,705  

Other Assets less Liabilities – 0.4%

 

     73,461  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 20,514,166  

 

See Notes to Financial Statements.

 

66   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Mortgage Plus Bond Fund (MTGP)

February 29, 2020

 

 

 

^

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

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

 

(b) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

(c) 

Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest-only securities do not receive principal payments on the underlying debt obligation(s).

 

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

10 Year U.S. Treasury Note

    2       6/19/20     $ (269,500   $ (4,405

U.S. Treasury Long Bond

    1       6/19/20       (170,250      
      $ (439,750   $ (4,405
Long Exposure  

5 Year U.S. Treasury Note

    2       6/30/20     $ 245,500     $ 3,000  
      $ 245,500     $ 3,000  

Total – Net

 

  $ (194,250   $ (1,405
 

As of February 29, 2020, deposits at broker for futures contracts of $1,317 included cash collateral of $1,782 and previously settled variation margin losses on open futures contracts of $465.

 

See Notes to Financial Statements.

 

WisdomTree Trust      67  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. CORPORATE BONDS – 87.0%      
United States – 87.0%      

Acadia Healthcare Co., Inc.
5.13%, 7/1/22

   $ 16,000      $ 16,045  

5.63%, 2/15/23

     50,000        50,479  

Acrisure LLC
8.13%, 2/15/24(a)

     42,000        44,874  

ADT Security Corp. (The)
6.25%, 10/15/21

     50,000        52,227  

3.50%, 7/15/22

     51,000        51,015  

4.13%, 6/15/23

     42,000        42,823  

Advanced Micro Devices, Inc.
7.50%, 8/15/22

     40,000        44,938  

AECOM
5.88%, 10/15/24

     75,000        82,469  

AES Corp.
4.00%, 3/15/21

     40,000        40,131  

4.50%, 3/15/23

     16,000        15,954  

4.88%, 5/15/23

     45,000        44,678  

Ahern Rentals, Inc.
7.38%, 5/15/23(a)

     13,000        10,096  

Air Medical Group Holdings, Inc.
6.38%, 5/15/23(a)

     23,000        22,032  

AK Steel Corp.
7.50%, 7/15/23

     11,000        11,408  

Albertsons Cos. LLC
6.63%, 6/15/24

     76,000        78,279  

Aleris International, Inc.
10.75%, 7/15/23(a)

     11,000        11,377  

Allegheny Technologies, Inc.
7.88%, 8/15/23

     13,000        13,816  

Ally Financial, Inc.
7.50%, 9/15/20

     23,000        23,728  

AMC Networks, Inc.
5.00%, 4/1/24(b)

     66,000        66,495  

American Airlines Group, Inc.
5.00%, 6/1/22(a)

     76,000        76,325  

American Midstream Partners L.P.
9.50%, 12/15/21(a)

     41,000        40,709  

AmeriGas Partners L.P.
5.63%, 5/20/24

     59,000        61,489  

AMN Healthcare, Inc.
5.13%, 10/1/24(a)

     50,000        51,396  

Anixter, Inc.
5.13%, 10/1/21

     71,000        73,799  

5.50%, 3/1/23

     16,000        16,967  

Antero Midstream Partners L.P.
5.38%, 9/15/24

     110,000        83,875  

Antero Resources Corp.
5.38%, 11/1/21(b)

     41,000        34,365  

5.13%, 12/1/22(b)

     39,000        24,249  

5.63%, 6/1/23

     28,000        15,190  

Apex Tool Group LLC
9.00%, 2/15/23(a)(b)

     16,000        13,873  

APX Group, Inc.
8.75%, 12/1/20(b)

     26,000        26,056  

7.88%, 12/1/22

   67,000      68,172  

7.63%, 9/1/23(b)

     35,000        33,352  

Archrock Partners L.P.
6.00%, 10/1/22

     11,000        11,020  

Arconic, Inc.
6.15%, 8/15/20 74,000 75,148

     

5.40%, 4/15/21

     39,000        39,449  

5.13%, 10/1/24

     100,000        107,369  

Ascent Resources Utica Holdings LLC
10.00%, 4/1/22(a)

     67,000        57,266  

Ashland LLC
4.75%, 8/15/22(b)

     12,000        12,510  

Avantor, Inc.
6.00%, 10/1/24(a)

     60,000        63,100  

Ball Corp.
4.00%, 11/15/23(b)

     77,000        79,313  

Bausch Health Cos., Inc.

     

6.50%, 3/15/22(a)

     42,000        42,628  

5.50%, 3/1/23(a)

     23,000        23,038  

7.00%, 3/15/24(a)

     99,000        102,135  

BCD Acquisition, Inc.
9.63%, 9/15/23(a)

     39,000        40,462  

Berry Global, Inc.
5.50%, 5/15/22

     18,000        18,135  

5.13%, 7/15/23

     61,000        61,182  

Blue Cube Spinco LLC
9.75%, 10/15/23

     35,000        36,935  

Blue Racer Midstream LLC
6.13%, 11/15/22(a)(b)

     37,000        33,893  

Brinker International, Inc.
3.88%, 5/15/23

     16,000        16,040  

Bruin E&P Partners LLC
8.88%, 8/1/23(a)

     23,000        12,257  

Buckeye Partners L.P.
6.38%, 1/22/78, (6.375% fixed rate until 1/22/23; 3-month U.S. dollar London Interbank Offered Rate + 4.02% thereafter)(b)(c)

     16,000        12,855  

C&S Group Enterprises LLC
5.38%, 7/15/22(a)(b)

     14,000        14,246  

Cablevision Systems Corp.
5.88%, 9/15/22

     53,000        55,752  

California Resources Corp.
8.00%, 12/15/22(a)

     115,000        26,162  

Callon Petroleum Co.
6.25%, 4/15/23

     42,000        35,595  

6.13%, 10/1/24

     25,000        19,943  

Calpine Corp.
5.50%, 2/1/24(b)

     64,000        63,041  

Calumet Specialty Products Partners L.P.
7.63%, 1/15/22(b)

     43,000        42,664  

7.75%, 4/15/23

     15,000        14,444  

Carpenter Technology Corp.
4.45%, 3/1/23

     33,000        35,052  

Carvana Co.
8.88%, 10/1/23(a)

     16,000        16,600  

 

See Notes to Financial Statements.

 

68   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

CBL & Associates L.P.
4.60%, 10/15/24

   $ 25,000      $ 10,698  

CCO Holdings LLC
4.00%, 3/1/23(a)(b)

     68,000        68,849  

5.13%, 5/1/23(a)

     86,000        87,186  

5.88%, 4/1/24(a)

     100,000        102,928  

CDK Global, Inc.
5.00%, 10/15/24

     25,000        27,167  

CEC Entertainment, Inc.
8.00%, 2/15/22

     45,000        43,777  

Centene Corp.
4.75%, 1/15/25

     75,000        77,022  

Century Aluminum Co.
7.50%, 6/1/21(a)

     16,000        15,926  

CenturyLink, Inc.
5.63%, 4/1/20, Series V

     41,000        41,126  

6.45%, 6/15/21, Series S

     51,000        53,012  

5.80%, 3/15/22, Series T

     56,000        58,502  

6.75%, 12/1/23, Series W

     62,000        68,311  

7.50%, 4/1/24, Series Y

     66,000        73,893  

CF Industries, Inc.
3.45%, 6/1/23(b)

     71,000        72,066  

Chemours Co. (The)
6.63%, 5/15/23

     85,000        82,389  

Chesapeake Energy Corp.
11.50%, 1/1/25(a)

     100,000        57,250  

Cincinnati Bell, Inc.
7.00%, 7/15/24(a)

     25,000        26,343  

CIT Group, Inc.
4.13%, 3/9/21

     33,000        33,390  

5.00%, 8/15/22

     39,000        40,873  

5.00%, 8/1/23

     43,000        45,831  

4.75%, 2/16/24(b)

     50,000        53,187  

CITGO Petroleum Corp.
6.25%, 8/15/22(a)

     38,000        38,095  

Clear Channel Worldwide Holdings, Inc.
9.25%, 2/15/24(a)(b)

     104,000        110,803  

Clearwater Paper Corp.
4.50%, 2/1/23(b)

     6,000        6,045  

Cleaver-Brooks, Inc.
7.88%, 3/1/23(a)(b)

     13,000        12,843  

Cleveland-Cliffs, Inc.
4.88%, 1/15/24(a)(b)

     14,000        13,866  

CNX Resources Corp.
5.88%, 4/15/22

     74,000        68,361  

Cogent Communications Group, Inc.
5.38%, 3/1/22(a)

     12,000        12,334  

Colfax Corp.
6.00%, 2/15/24(a)

     59,000        61,280  

Commercial Metals Co.
4.88%, 5/15/23

     16,000        16,578  

CommScope, Inc.
5.00%, 6/15/21(a)

     2,000        2,006  

5.50%, 3/1/24(a)

     64,000        65,260  

Community Health Systems, Inc.
6.25%, 3/31/23

     216,000        214,920  

9.88%, 6/30/23(a)(c)

   74,000      70,338  

8.63%, 1/15/24(a)

     34,000        35,424  

Consolidated Communications, Inc.
6.50%, 10/1/22(b)

     13,000        12,545  

CoreCivic, Inc.
4.63%, 5/1/23

     33,000        33,155  

CPG Merger Sub LLC
8.00%, 10/1/21(a)

     21,000        21,113  

Crestwood Midstream Partners L.P.
6.25%, 4/1/23

     68,000        64,755  

Crown Americas LLC
4.50%, 1/15/23

     41,000        41,676  

CSC Holdings LLC
5.25%, 6/1/24(b)

     75,000        81,156  

CSI Compressco L.P.
7.25%, 8/15/22

     16,000        14,435  

CVR Partners L.P.
9.25%, 6/15/23(a)(b)

     39,000        39,861  

DaVita, Inc.
5.13%, 7/15/24

     76,000        77,108  

DCP Midstream Operating L.P.
5.35%, 3/15/20(a)

     38,000        38,048  

4.95%, 4/1/22

     11,000        11,223  

3.88%, 3/15/23

     18,000        18,090  

5.85%, 5/21/43, (5.85% fixed rate until 5/21/23; 3-month U.S. dollar London Interbank Offered Rate + 3.85% thereafter)(a)(b)(c)

     28,000        25,296  

Dell, Inc.
4.63%, 4/1/21

     16,000        16,210  

Denbury Resources, Inc.
9.00%, 5/15/21(a)

     32,000        28,072  

9.25%, 3/31/22(a)

     33,000        26,493  

7.75%, 2/15/24(a)

     40,000        22,421  

Diamond Offshore Drilling, Inc.
3.45%, 11/1/23

     36,000        25,521  

Diamond Resorts International, Inc.
7.75%, 9/1/23(a)

     63,000        63,157  

DISH DBS Corp.
5.13%, 5/1/20

     61,000        61,240  

6.75%, 6/1/21

     164,000        170,122  

5.88%, 7/15/22

     90,000        94,071  

5.00%, 3/15/23

     17,000        17,150  

Diversified Healthcare Trust
4.75%, 5/1/24

     38,000        40,632  

Downstream Development Authority of the Quapaw Tribe of Oklahoma
10.50%, 2/15/23(a)

     11,000        11,142  

DriveTime Automotive Group, Inc.
8.00%, 6/1/21(a)

     11,000        10,993  

Edgewell Personal Care Co.
4.70%, 5/19/21

     50,000        50,700  

4.70%, 5/24/22

     50,000        51,319  

EIG Investors Corp.
10.88%, 2/1/24

     24,000        25,135  

 

See Notes to Financial Statements.

 

WisdomTree Trust      69  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Elanco Animal Health, Inc.
4.66%, 8/27/21

   $ 33,000      $ 34,615  

5.02%, 8/28/23

     62,000        66,451  

EMC Corp.
2.65%, 6/1/20

     28,000        27,943  

3.38%, 6/1/23

     183,000        183,867  

Encompass Health Corp.
5.13%, 3/15/23

     13,000        13,070  

Energy Transfer Operating L.P.
6.25%, 2/15/23, Series A, (6.25% fixed rate until 2/15/23; 3-month U.S. dollar London Interbank Offered Rate + 4.028% thereafter)(b)(c)(d)

     50,000        44,663  

Energy Ventures Gom LLC
11.00%, 2/15/23(a)

     16,000        15,887  

Enerpac Tool Group Corp.
5.63%, 6/15/22

     16,000        16,125  

EnerSys
5.00%, 4/30/23(a)

     26,000        27,289  

EnLink Midstream Partners L.P.
4.40%, 4/1/24

     54,000        49,422  

Enova International, Inc.
8.50%, 9/1/24(a)

     25,000        23,615  

Enterprise Development Authority (The)
12.00%, 7/15/24(a)

     35,000        40,177  

Exela Intermediate LLC
10.00%, 7/15/23(a)

     41,000        13,838  

Extraction Oil & Gas, Inc.
7.38%, 5/15/24(a)

     17,000        5,900  

Ferrellgas L.P.
6.50%, 5/1/21(b)

     16,000        13,806  

6.75%, 1/15/22

     11,000        9,271  

6.75%, 6/15/23

     11,000        9,208  

Foresight Energy LLC
11.50%, 4/1/23(a)(e)

     28,000        1,050  

Forestar Group, Inc.
8.00%, 4/15/24(a)

     17,000        18,473  

Fortress Transportation & Infrastructure Investors LLC
6.75%, 3/15/22(a)

     42,000        42,160  

Forum Energy Technologies, Inc.
6.25%, 10/1/21

     11,000        9,272  

Freeport-McMoRan, Inc.
3.55%, 3/1/22

     97,000        98,036  

3.88%, 3/15/23

     125,000        125,923  

Fresh Market, Inc. (The)
9.75%, 5/1/23(a)

     35,000        16,557  

Frontier Communications Corp.
8.75%, 4/15/22

     33,000        15,603  

10.50%, 9/15/22

     92,000        42,004  

7.13%, 1/15/23

     12,000        5,580  

FS Energy & Power Fund
7.50%, 8/15/23(a)

     35,000        36,167  

FTS International, Inc.
6.25%, 5/1/22

     26,000        17,347  

GameStop Corp.
6.75%, 3/15/21(a)(b)

     16,000        15,165  

Genesis Energy L.P.
6.00%, 5/15/23

   16,000      15,247  

Genworth Holdings, Inc.
7.20%, 2/15/21(b)

     24,000        24,310  

7.63%, 9/24/21(b)

     41,000        42,192  

4.80%, 2/15/24(b)

     21,000        20,423  

GEO Group, Inc. (The)
5.13%, 4/1/23(b)

     16,000        15,163  

Gogo Intermediate Holdings LLC
9.88%, 5/1/24(a)

     71,000        72,369  

Graphic Packaging International LLC
4.88%, 11/15/22

     66,000        68,991  

Great Lakes Dredge & Dock Corp.
8.00%, 5/15/22

     33,000        34,614  

Grinding Media, Inc.
7.38%, 12/15/23(a)

     64,000        63,340  

Guitar Center, Inc.
9.50%, 10/15/21(a)

     40,000        38,378  

Gulfport Energy Corp.
6.00%, 10/15/24

     25,000        8,375  

Hanesbrands, Inc.
4.63%, 5/15/24(a)

     44,000        46,072  

HCA Healthcare, Inc.
6.25%, 2/15/21

     45,000        46,774  

HCA, Inc.
7.50%, 2/15/22

     84,000        92,986  

5.88%, 5/1/23

     54,000        59,108  

Hecla Mining Co.
6.88%, 5/1/21

     23,000        23,102  

Hertz Corp. (The)
7.63%, 6/1/22(a)

     13,000        13,130  

5.50%, 10/15/24(a)

     50,000        47,971  

HighPoint Operating Corp.
7.00%, 10/15/22(b)

     11,000        9,601  

Hillman Group, Inc. (The)
6.38%, 7/15/22(a)

     13,000        11,696  

Hilton Domestic Operating Co., Inc.
4.25%, 9/1/24

     75,000        75,468  

Hughes Satellite Systems Corp.
7.63%, 6/15/21

     49,000        51,689  

Icahn Enterprises L.P.
4.75%, 9/15/24(a)

     100,000        102,125  

Immucor, Inc.
11.13%, 2/15/22(a)

     13,000        12,907  

Ingram Micro, Inc.
5.00%, 8/10/22

     16,000        16,301  

Iron Mountain, Inc.
4.38%, 6/1/21(a)

     37,000        36,954  

iStar, Inc.
5.25%, 9/15/22

     16,000        16,325  

Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22(a)

     35,000        36,400  

K Hovnanian Enterprises, Inc.
10.00%, 11/15/25(a)

     51,000        37,357  

KB Home
7.50%, 9/15/22

       37,000        41,637  

7.63%, 5/15/23

     16,000        18,007  

 

See Notes to Financial Statements.

 

70   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Kenan Advantage Group, Inc. (The)
7.88%, 7/31/23(a)(b)

   $ 40,000      $ 39,517  

Kennedy-Wilson, Inc.
5.88%, 4/1/24

       66,000        67,238  

KGA Escrow LLC
7.50%, 8/15/23(a)

     12,000        12,455  

L Brands, Inc.
5.63%, 2/15/22(b)

     31,000        32,531  

5.63%, 10/15/23

     15,000        16,194  

Ladder Capital Finance Holdings LLLP
5.88%, 8/1/21(a)

     12,000        12,140  

5.25%, 3/15/22(a)

     31,000        31,697  

Lamb Weston Holdings, Inc.
4.63%, 11/1/24(a)

     50,000        52,105  

Lee Enterprises, Inc.
9.50%, 3/15/22(a)(b)

     13,000        13,033  

Lennar Corp.
6.63%, 5/1/20

     33,000        33,260  

8.38%, 1/15/21

     20,000        20,930  

4.75%, 4/1/21

     11,000        11,199  

6.25%, 12/15/21

     25,000        26,229  

4.13%, 1/15/22(b)

     38,000        38,882  

4.75%, 11/15/22

     33,000        34,591  

4.88%, 12/15/23

     43,000        45,992  

4.50%, 4/30/24

     30,000        31,925  

Level 3 Financing, Inc.
5.63%, 2/1/23(b)

     50,000        50,312  

5.13%, 5/1/23

     33,000        33,151  

Lexmark International, Inc.
7.13%, 3/15/20

     16,000        15,975  

Lions Gate Capital Holdings LLC
6.38%, 2/1/24(a)

     27,000        26,527  

5.88%, 11/1/24(a)

     50,000        48,506  

Lonestar Resources America, Inc.
11.25%, 1/1/23(a)

     16,000        10,520  

Louisiana-Pacific Corp.
4.88%, 9/15/24

     35,000        35,802  

LSB Industries, Inc.
9.63%, 5/1/23(a)

     42,000        42,403  

LSC Communications, Inc.
8.75%, 10/15/23(a)

     13,000        7,177  

LTF Merger Sub, Inc.
8.50%, 6/15/23(a)

     16,000        16,217  

Mack-Cali Realty L.P.
3.15%, 5/15/23

     11,000        11,090  

Mallinckrodt International Finance S.A.
4.88%, 4/15/20(a)

     37,000        34,713  

4.75%, 4/15/23

     40,000        19,200  

Martin Midstream Partners L.P.
7.25%, 2/15/21

     13,000        12,063  

MasTec, Inc.
4.88%, 3/15/23

     11,000        11,041  

Mattel, Inc.
3.15%, 3/15/23(b)

     11,000        10,867  

Mauser Packaging Solutions Holding Co.
5.50%, 4/15/24(a)(b)

     89,000        88,861  

McGraw-Hill Global Education Holdings LLC
7.88%, 5/15/24(a)(b)

   17,000      14,500  

MDC Holdings, Inc.
5.50%, 1/15/24

       40,000        43,517  

MDC Partners, Inc.
6.50%, 5/1/24(a)

     67,000        61,305  

MEDNAX, Inc.
5.25%, 12/1/23(a)

     60,000        58,850  

Meritage Homes Corp.
7.00%, 4/1/22

     40,000        43,412  

Meritor, Inc.
6.25%, 2/15/24(b)

     54,000        55,448  

MGIC Investment Corp.
5.75%, 8/15/23

     28,000        30,672  

MGM Growth Properties Operating Partnership L.P.
5.63%, 5/1/24

     54,000        58,568  

MGM Resorts International
7.75%, 3/15/22

     55,000        60,185  

6.00%, 3/15/23

     90,000        97,050  

Midas Intermediate Holdco II LLC
7.88%, 10/1/22(a)

     39,000        37,574  

Molina Healthcare, Inc.
5.38%, 11/15/22

     37,000        38,572  

Montage Resources Corp.
8.88%, 7/15/23(b)

     40,000        29,288  

MPT Operating Partnership L.P.
5.50%, 5/1/24

     42,000        42,787  

Nabors Industries, Inc.
5.00%, 9/15/20

     5,000        5,027  

4.63%, 9/15/21

     3,000        2,992  

Nationstar Mortgage Holdings, Inc.
8.13%, 7/15/23(a)

     61,000        63,549  

Navient Corp.
8.00%, 3/25/20

     23,000        23,120  

5.00%, 10/26/20

     37,000        37,401  

5.88%, 3/25/21

     39,000        39,868  

6.63%, 7/26/21

     28,000        28,890  

7.25%, 1/25/22

     56,000        59,040  

6.50%, 6/15/22

     40,000        41,800  

5.50%, 1/25/23

     39,000        39,975  

7.25%, 9/25/23

     23,000        24,782  

6.13%, 3/25/24(b)

     39,000        40,365  

Netflix, Inc.
5.38%, 2/1/21(b)

     38,000        38,845  

5.75%, 3/1/24(b)

     83,000        91,749  

New Home Co., Inc. (The)
7.25%, 4/1/22

     33,000        33,588  

Newell Brands, Inc.
3.85%, 4/1/23

     100,000        103,922  

Newmark Group, Inc.
6.13%, 11/15/23

     17,000        18,696  

NextEra Energy Operating Partners L.P.
4.25%, 9/15/24(a)

     75,000        75,659  

NGL Energy Partners L.P.
7.50%, 11/1/23(b)

     51,000        47,302  

 

See Notes to Financial Statements.

 

WisdomTree Trust      71  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Nielsen Finance LLC
4.50%, 10/1/20(b)

   $ 16,000      $ 16,040  

5.00%, 4/15/22(a)

     126,000        125,814  

Northwest Hardwoods, Inc.
7.50%, 8/1/21(a)

     16,000        8,420  

NortonLifeLock, Inc.
4.20%, 9/15/20(b)

     41,000        41,188  

3.95%, 6/15/22(b)

     42,000        42,925  

NuStar Logistics L.P.
4.80%, 9/1/20

     64,000        64,585  

6.75%, 2/1/21

     16,000        16,368  

4.75%, 2/1/22(b)

     10,000        10,228  

Oasis Petroleum, Inc.
6.88%, 3/15/22(b)

     42,000        33,075  

6.88%, 1/15/23(b)

     33,000        25,658  

Ocwen Loan Servicing LLC
8.38%, 11/15/22(a)

     36,000        31,961  

OI European Group B.V.
4.00%, 3/15/23(a)

     16,000        16,227  

Omnimax International, Inc.
12.00%, 8/15/20(a)

     15,000        14,893  

Ortho-Clinical Diagnostics, Inc.
6.63%, 5/15/22(a)(b)

     52,000        51,724  

Owens-Brockway Glass Container, Inc.
5.00%, 1/15/22(a)

     16,000        16,508  

5.88%, 8/15/23(a)(b)

     40,000        42,388  

Oxford Finance LLC
6.38%, 12/15/22(a)

     16,000        16,465  

Pacific Drilling S.A.
8.38%, 10/1/23(a)(b)

     35,000        27,737  

Party City Holdings, Inc.
6.13%, 8/15/23(a)(b)

     39,000        31,492  

Pattern Energy Group, Inc.
5.88%, 2/1/24(a)

     24,000        24,550  

PBF Logistics L.P.
6.88%, 5/15/23

     39,000        40,045  

PDC Energy, Inc.
6.13%, 9/15/24(b)

     60,000        56,269  

Peabody Energy Corp.
6.00%, 3/31/22(a)(b)

     17,000        14,569  

Penske Automotive Group, Inc.
3.75%, 8/15/20

     39,000        39,210  

Performance Food Group, Inc.
5.50%, 6/1/24(a)

     50,000        50,646  

PetSmart, Inc.
7.13%, 3/15/23(a)

     86,000        84,039  

Pitney Bowes, Inc.
5.20%, 4/1/23(b)

     34,000        34,099  

Plains All American Pipeline L.P.
6.13%, 11/15/22, Series B, (6.125% fixed rate until 11/15/22; 3-month U.S. dollar London Interbank Offered Rate + 4.11% thereafter)(c)(d)

     40,000        35,430  

Plantronics, Inc.
5.50%, 5/31/23(a)

       16,000        14,600  

Polaris Intermediate Corp.
8.50%, 12/1/22, Toggle PIK (8.50% Cash or 9.25% PIK)(a)

   61,000      52,008  

PolyOne Corp.
5.25%, 3/15/23(b)

       16,000        17,080  

Popular, Inc.
6.13%, 9/14/23

     16,000        16,827  

PQ Corp.
6.75%, 11/15/22(a)

     42,000        42,997  

Prime Security Services Borrower LLC
5.25%, 4/15/24(a)

     50,000        51,854  

Pyxus International, Inc.
8.50%, 4/15/21(a)

     13,000        12,578  

QEP Resources, Inc.
6.88%, 3/1/21(b)

     13,000        12,778  

5.38%, 10/1/22(b)

     16,000        14,635  

5.25%, 5/1/23

     24,000        21,156  

Quorum Health Corp.
11.63%, 4/15/23(b)

     36,000        30,885  

QVC, Inc.
5.13%, 7/2/22

     65,000        69,040  

4.38%, 3/15/23

     37,000        38,331  

4.85%, 4/1/24

     33,000        34,644  

Qwest Corp.
6.75%, 12/1/21

     16,000        16,925  

Radiate Holdco LLC
6.88%, 2/15/23(a)

     13,000        13,101  

Range Resources Corp.
5.88%, 7/1/22

     10,000        8,547  

5.00%, 8/15/22(b)

     17,000        13,983  

5.00%, 3/15/23(b)

     56,000        40,723  

Realogy Group LLC
5.25%, 12/1/21(a)

     74,000        74,536  

4.88%, 6/1/23(a)

     25,000        24,922  

Revlon Consumer Products Corp.
5.75%, 2/15/21(b)

     16,000        14,116  

Reynolds Group Issuer, Inc.
5.13%, 7/15/23(a)

     74,000        74,894  

RHP Hotel Properties L.P.
5.00%, 4/15/23

     29,000        29,483  

Rite Aid Corp.
6.13%, 4/1/23(a)

     44,000        40,425  

7.50%, 7/1/25(a)

     25,000        25,000  

Riverbed Technology, Inc.
8.88%, 3/1/23(a)(b)

     16,000        10,920  

RR Donnelley & Sons Co.
6.00%, 4/1/24

     12,000        12,035  

Ruby Pipeline LLC
6.50%, 4/1/22(a)

     24,985        25,295  

Sabre GLBL, Inc.
5.25%, 11/15/23(a)

     17,000        17,003  

Sanchez Energy Corp.
7.25%, 2/15/23(a)(e)

     16,000        9,120  

SBA Communications Corp.
4.00%, 10/1/22

     40,000        40,541  

4.88%, 9/1/24

     75,000        77,235  

 

See Notes to Financial Statements.

 

72   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Scientific Games International, Inc.
6.63%, 5/15/21

   $ 16,000      $ 16,026  

Sealed Air Corp.
4.88%, 12/1/22(a)

     57,000        59,298  

5.25%, 4/1/23(a)

     39,000        41,210  

Sensata Technologies B.V.
4.88%, 10/15/23(a)(b)

     18,000        19,035  

SESI LLC
7.13%, 12/15/21(a)

     28,000        23,030  

Simmons Foods, Inc.
5.75%, 11/1/24(a)(b)

     50,000        49,854  

Sirius XM Radio, Inc.
3.88%, 8/1/22(a)

     41,000        41,005  

4.63%, 7/15/24(a)

     100,000        103,303  

SM Energy Co.
6.13%, 11/15/22(b)

     11,000        9,876  

Solera LLC
10.50%, 3/1/24(a)

     112,000        118,646  

Sophia L.P.
9.00%, 9/30/23(a)

     18,000        18,525  

Springleaf Finance Corp.
7.75%, 10/1/21

     40,000        42,694  

6.13%, 5/15/22(b)

     61,000        64,454  

5.63%, 3/15/23

     37,000        38,226  

8.25%, 10/1/23

     28,000        32,002  

6.13%, 3/15/24

     51,000        53,873  

Sprint Communications, Inc.
7.00%, 3/1/20(a)

     42,000        42,000  

7.00%, 8/15/20

     61,000        62,290  

11.50%, 11/15/21(b)

     42,000        48,061  

6.00%, 11/15/22

     99,000        106,364  

Sprint Corp.
7.25%, 9/15/21

     25,000        26,579  

7.88%, 9/15/23

     120,000        137,350  

Standard Industries, Inc.
5.38%, 11/15/24(a)

     75,000        76,132  

Starwood Property Trust, Inc.
3.63%, 2/1/21

     14,000        13,918  

5.00%, 12/15/21

     32,000        31,713  

Stericycle, Inc.
5.38%, 7/15/24(a)

     50,000        52,675  

Suburban Propane Partners L.P.
5.50%, 6/1/24

     30,000        29,760  

Synovus Financial Corp.

     

5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(c)

     16,000        16,487  

5.90%, 2/7/29, (5.90% fixed rate until 2/7/24; 5-year U.S. dollar Swap Rate + 3.379% thereafter)(c)

     39,000        42,023  

T-Mobile USA, Inc.
4.00%, 4/15/22

     145,000        149,168  

Tallgrass Energy Partners L.P.
4.75%, 10/1/23(a)

     100,000        96,251  

Tapstone Energy LLC
9.75%, 6/1/22(a)(e)

     16,000        136  

Targa Resources Partners L.P.
5.25%, 5/1/23(b)

   30,000      29,991  

4.25%, 11/15/23

     39,000        38,485  

Taylor Morrison Communities, Inc.
6.00%, 9/1/23(a)

     39,000        40,406  

5.63%, 3/1/24(a)

     39,000        42,331  

Teekay Offshore Partners L.P.
8.50%, 7/15/23(a)

     33,000        32,399  

Tenet Healthcare Corp.
8.13%, 4/1/22

     132,000        143,250  

6.75%, 6/15/23

     100,000        107,668  

4.63%, 7/15/24

     17,000        17,036  

4.63%, 9/1/24(a)

     50,000        50,875  

TerraForm Power Operating LLC
4.25%, 1/31/23(a)

     16,000        16,300  

Titan International, Inc.
6.50%, 11/30/23

     59,000        45,012  

TMX Finance LLC
11.13%, 4/1/23(a)(b)

     15,000        13,906  

Toll Brothers Finance Corp.
5.88%, 2/15/22

     11,000        11,550  

4.38%, 4/15/23

     29,000        30,498  

5.63%, 1/15/24(b)

     14,000        15,406  

Townsquare Media, Inc.
6.50%, 4/1/23(a)

     11,000        11,142  

TPC Group, Inc.
10.50%, 8/1/24(a)

     50,000        50,854  

TransDigm, Inc.
6.50%, 7/15/24(b)

     101,000        103,483  

Transocean Guardian Ltd.
5.88%, 1/15/24(a)

     27,555        27,351  

Transocean Sentry Ltd.
5.38%, 5/15/23(a)

     27,000        26,190  

TRI Pointe Group, Inc.
4.88%, 7/1/21

     16,000        16,406  

5.88%, 6/15/24

     59,000        64,113  

Triumph Group, Inc.
5.25%, 6/1/22

     38,000        37,228  

6.25%, 9/15/24(a)(b)

     25,000        26,021  

Truck Hero, Inc.
8.50%, 4/21/24(a)

     12,000        12,385  

Unit Corp.
6.63%, 5/15/21

     38,000        14,906  

United Airlines Holdings, Inc.
6.00%, 12/1/20

     27,000        27,500  

5.00%, 2/1/24(b)

     40,000        40,600  

Uniti Group L.P.
6.00%, 4/15/23(a)

     80,000        78,400  

8.25%, 10/15/23

     46,000        42,895  

Univision Communications, Inc.
5.13%, 5/15/23(a)(b)

     91,000        87,997  

Urban One, Inc.
7.38%, 4/15/22(a)

     11,000        10,948  

Vericast Corp.
9.25%, 3/1/21(a)(b)

     38,000        38,095  

8.38%, 8/15/22(a)

     33,000        27,483  

 

See Notes to Financial Statements.

 

WisdomTree Trust      73  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

ViacomCBS, Inc.

     

5.88%, 2/28/57, (5.875% fixed rate until 2/28/22; 3-month U.S. dollar London Interbank Offered Rate + 3.895% thereafter)(c)

   $ 36,000      $ 36,787  

Vine Oil & Gas L.P.
8.75%, 4/15/23(a)

       13,000        5,655  

9.75%, 4/15/23(a)

     14,000        6,090  

Vista Outdoor, Inc.
5.88%, 10/1/23

     20,000        19,408  

Voyager Aviation Holdings LLC
8.50%, 8/15/21(a)

     20,000        20,208  

W&T Offshore, Inc.
9.75%, 11/1/23(a)

     25,000        22,250  

Warrior Met Coal, Inc.
8.00%, 11/1/24(a)(b)

     15,000        15,420  

Washington Prime Group L.P.
6.45%, 8/15/24(b)

     50,000        41,292  

Watco Cos. LLC
6.38%, 4/1/23(a)

     41,000        41,427  

Weatherford International Ltd.
11.00%, 12/1/24(a)

     100,000        95,890  

WEX, Inc.
4.75%, 2/1/23(a)

     16,000        16,107  

Whiting Petroleum Corp.
5.75%, 3/15/21(b)

     79,000        45,603  

Williams Scotsman International, Inc.
6.88%, 8/15/23(a)

     11,000        11,362  

WMG Acquisition Corp.
5.00%, 8/1/23(a)

     16,000        16,327  

Wolverine Escrow LLC
8.50%, 11/15/24(a)

     35,000        34,205  

WPX Energy, Inc.
8.25%, 8/1/23

     83,000        92,787  

5.25%, 9/15/24

     15,000        15,005  

WR Grace & Co-Conn
5.13%, 10/1/21(a)

     39,000        40,111  

Wyndham Destinations, Inc.
4.25%, 3/1/22

     81,000        80,189  

3.90%, 3/1/23

     35,000        35,013  

Wynn Las Vegas LLC
4.25%, 5/30/23(a)(b)

     33,000        33,577  

Xerox Corp.
4.50%, 5/15/21

     99,000        100,923  

4.13%, 3/15/23

     65,000        66,442  

XPO Logistics, Inc.
6.50%, 6/15/22(a)

     49,000        49,058  

6.13%, 9/1/23(a)

     23,000        23,570  

6.75%, 8/15/24(a)

     75,000        79,281  

Yum! Brands, Inc.
3.88%, 11/1/20

     16,000        16,126  

3.75%, 11/1/21

     33,000        33,147  

3.88%, 11/1/23

     42,000        43,213  

TOTAL U.S. CORPORATE BONDS

(Cost: $16,946,215)

 

 

     16,480,087  
FOREIGN CORPORATE BONDS – 11.2%

 

Australia – 1.0%

 

FMG Resources August 2006 Pty Ltd.
4.75%, 5/15/22(a)

     51,000      51,993  

5.13%, 3/15/23(a)(b)

     33,000        33,996  

5.13%, 5/15/24(a)(b)

     50,000        51,833  

Virgin Australia Holdings Ltd.
7.88%, 10/15/21(a)

     52,000        48,381  
     

 

 

 
Total Australia

 

     186,203  
Canada – 5.8%

 

1011778 BC ULC
4.25%, 5/15/24(a)

     76,000        76,231  

Air Canada
7.75%, 4/15/21(a)

     16,000        16,726  

Athabasca Oil Corp.
9.88%, 2/24/22(a)

     38,000        31,124  

Baytex Energy Corp.
5.63%, 6/1/24(a)

     25,000        22,573  

Bombardier, Inc.
8.75%, 12/1/21(a)

     51,000        54,099  

5.75%, 3/15/22(a)

     23,000        23,501  

6.00%, 10/15/22(a)(b)

     72,000        70,740  

6.13%, 1/15/23(a)(b)

     68,000        68,291  

7.50%, 12/1/24(a)

     25,000        25,240  

Brookfield Residential Properties, Inc.
6.13%, 7/1/22(a)

     53,000        53,723  

Cooke Omega Investments, Inc.
8.50%, 12/15/22(a)

     16,000        16,445  

Ensign Drilling, Inc.
9.25%, 4/15/24(a)(b)

     55,000        49,569  

Fairstone Financial, Inc.
7.88%, 7/15/24(a)

     25,000        27,198  

GFL Environmental, Inc.
5.63%, 5/1/22(a)

     33,000        33,505  

5.38%, 3/1/23(a)

     11,000        11,316  

Hudbay Minerals, Inc.
7.63%, 1/15/25(a)(b)

     50,000        48,417  

Kissner Holdings L.P.
8.38%, 12/1/22(a)

     13,000        13,627  

Kronos Acquisition Holdings, Inc.
9.00%, 8/15/23(a)

     40,000        38,717  

MEG Energy Corp.
7.00%, 3/31/24(a)(b)

     31,000        29,437  

Mountain Province Diamonds, Inc.
8.00%, 12/15/22(a)

     28,000        27,397  

New Gold, Inc.
6.25%, 11/15/22(a)

     13,000        13,130  

Norbord, Inc.
6.25%, 4/15/23(a)

     15,000        16,075  

NOVA Chemicals Corp.
5.25%, 8/1/23(a)

     40,000        40,100  

4.88%, 6/1/24(a)(b)

     28,000        27,102  

Quebecor Media, Inc.
5.75%, 1/15/23

     86,000        91,382  

Reliance Intermediate Holdings L.P.
6.50%, 4/1/23(a)

     11,000        11,225  

 

See Notes to Financial Statements.

 

74   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Seven Generations Energy Ltd.
6.75%, 5/1/23(a)

   $ 50,000      $ 49,531  

6.88%, 6/30/23(a)

     13,000        13,103  

Taseko Mines Ltd.
8.75%, 6/15/22(a)

     21,000        18,959  

Teine Energy Ltd.
6.88%, 9/30/22(a)(b)

     27,000        26,941  

Tervita Corp.
7.63%, 12/1/21(a)

     11,000        11,135  

Videotron Ltd.
5.00%, 7/15/22

     33,000        34,155  

Xplornet Communications, Inc.
9.63%, 6/1/22, Toggle PIK (9.625% Cash or 10.625% PIK)(a)

     12,348        12,661  
     

 

 

 
Total Canada

 

     1,103,375  
Cayman Islands – 0.5%

 

Global Aircraft Leasing Co., Ltd.
6.50%, 9/15/24, Toggle PIK (6.50% Cash or 7.25% PIK)(a)

     100,000        98,750  
Finland – 0.2%

 

Nokia Oyj
3.38%, 6/12/22

     41,000        41,205  
Germany – 0.2%

 

Mercer International, Inc.
6.50%, 2/1/24

     35,000        35,933  
Luxembourg – 1.6%

 

Intelsat Connect Finance S.A.
9.50%, 2/15/23(a)(b)

     105,000        62,212  

Intelsat Jackson Holdings S.A.
9.50%, 9/30/22(a)(b)

     26,000        29,518  

5.50%, 8/1/23(b)

     89,000        76,726  

8.50%, 10/15/24(a)(b)

     125,000        108,177  

Intelsat Luxembourg S.A.
8.13%, 6/1/23

     83,000        35,483  
     

 

 

 
Total Luxembourg

 

     312,116  
New Zealand – 0.2%

 

Trilogy International Partners LLC
8.88%, 5/1/22(a)

     37,000        34,306  
Sweden – 0.4%

 

Telefonaktiebolaget LM Ericsson
4.13%, 5/15/22

     74,000        76,367  
United Kingdom – 1.3%

 

Avon International Operations, Inc.
7.88%, 8/15/22(a)

     23,000        23,462  

Avon Products, Inc.
7.00%, 3/15/23

     29,000        31,610  

Jaguar Land Rover Automotive PLC
5.63%, 2/1/23(a)

     150,000        145,649  

Valaris PLC
4.88%, 6/1/22

     55,000        35,905  
     

 

 

 
Total United Kingdom

 

     236,626  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $2,262,710)

 

 

     2,124,881  
Investments    Shares      Value  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 16.6%

 

United States – 16.6%

 

State Street Navigator Securities Lending
Government Money Market Portfolio, 1.61%(f)

     
(Cost: $3,142,280)(g)      3,142,280      3,142,280  

TOTAL INVESTMENTS IN SECURITIES – 114.8%

(Cost: $22,351,205)

 

 

     21,747,248  

Other Assets less Liabilities – (14.8)%

 

     (2,802,409
     

 

 

 
NET ASSETS – 100.0%

 

   $ 18,944,839  
(a) 

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

 

(b) 

Security, or portion thereof, was on loan at February 29, 2020 (See Note 2).

 

(c) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

(d) 

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

 

(e) 

Security in default on interest payments.

 

(f) 

Rate shown represents annualized 7-day yield as of February 29, 2020.

 

(g) 

At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,043,788 and the total market value of the collateral held by the Fund was $3,155,228. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $12,948.

 

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

2 Year U.S. Treasury Note

    12       6/30/20     $ (2,619,938   $ (16,031

5 Year U.S. Treasury Note

    26       6/30/20       (3,191,500     (37,348

U.S. Treasury Ultra Long Term Bond

    11       6/19/20       (2,282,500     (61,871

Ultra 10 Year U.S. Treasury Note

    83       6/19/20       (12,468,156     (243,504
      $ (20,562,094   $ (358,754
 

As of February 29, 2020, deposits at broker for futures contracts of $237,470 included cash collateral of $338,857 and previously settled variation margin losses on open futures contracts of $101,387.

 

See Notes to Financial Statements.

 

WisdomTree Trust      75  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 28.7%

 

Federal Home Loan Bank – 0.2%

 

5.50%, 7/15/36

   $ 20,000      $ 30,509  
Federal Home Loan Mortgage Corporation – 7.6%

 

4.00%, 3/1/24

     23,534        24,715  

3.00%, 8/1/29

     34,566        36,266  

2.50%, 9/1/29

     26,271        27,113  

6.75%, 9/15/29, Series GDIF

     13,000        19,239  

2.50%, 2/1/30

     23,893        24,659  

2.50%, 4/1/30

     18,009        18,654  

3.00%, 6/1/30

     18,349        19,078  

3.00%, 12/1/30

     34,017        35,369  

2.50%, 11/1/31

     31,415        32,424  

3.00%, 1/1/33

     17,716        18,422  

3.50%, 9/1/33

     20,829        21,870  

5.00%, 9/1/35

     72,572        82,195  

3.00%, 9/1/36

     16,899        17,630  

3.50%, 4/1/37

     21,222        22,320  

5.50%, 12/1/38

     19,839        22,861  

4.00%, 2/1/41

     149,154        162,152  

4.50%, 5/1/41

     71,081        79,140  

3.00%, 4/1/43

     77,060        80,690  

3.50%, 7/1/43

     36,939        39,335  

3.00%, 8/1/43

     34,470        36,078  

4.00%, 12/1/43

     26,942        29,198  

3.50%, 1/1/44

     67,298        71,428  

4.50%, 4/1/44

     24,998        27,294  

3.50%, 9/1/45

     43,669        46,186  

3.50%, 12/1/45

     44,758        47,400  

3.50%, 5/1/46

     27,785        29,365  

3.50%, 8/1/46

     32,769        35,296  

4.00%, 9/1/46

     28,259        30,293  

3.00%, 10/1/46

     50,422        52,692  

3.00%, 11/1/46

     38,939        40,682  

3.00%, 3/1/47

     39,194        40,900  

4.50%, 3/1/47

     14,576        15,841  

4.50%, 8/1/47

     14,204        15,408  

3.50%, 9/1/47

     73,429        77,457  

4.00%, 1/1/48

     35,332        37,823  

4.00%, 9/1/48

     84,850        89,680  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     1,507,153  
Federal National Mortgage Association – 13.3%

 

2.63%, 9/6/24

     43,000        46,127  

2.13%, 4/24/26

     54,000        57,352  

4.00%, 7/1/26

     7,794        8,189  

3.50%, 12/1/26

     11,045        11,576  

3.50%, 1/1/27

     15,667        16,423  

3.00%, 11/1/28

     15,076        15,732  

2.50%, 4/1/30

     23,917        24,675  

2.50%, 5/1/31

     39,025        40,263  

2.50%, 9/1/31

     27,674        28,638  

4.00%, 11/1/31

     27,197        29,330  

2.50%, 12/1/31

     39,188        40,498  

3.00%, 6/1/32

     19,850        20,814  

3.00%, 12/1/32

     20,873        21,693  

2.50%, 1/1/33

     22,588        23,304  

6.00%, 4/1/33

     29,564        34,241  

2.50%, 7/1/34

   22,370      22,983  

4.00%, 8/1/34

     9,284        9,982  

6.00%, 8/1/34

     20,470        23,912  

4.00%, 10/1/35

     37,388        40,318  

3.50%, 1/1/36

     21,607        22,846  

3.00%, 11/1/36

     34,545        36,451  

3.00%, 3/1/38

     32,793        34,193  

4.50%, 11/1/39

     33,193        36,613  

4.50%, 2/1/41

     28,508        31,463  

4.00%, 2/1/42

     36,005        39,665  

3.50%, 6/1/42

     91,090        97,720  

3.00%, 1/1/43

     47,214        49,794  

3.00%, 4/1/43

     55,835        58,886  

4.00%, 6/1/43

     11,152        12,116  

3.50%, 7/1/43

     106,972        116,669  

3.00%, 9/1/43

     99,561        105,087  

4.00%, 9/1/43

     20,593        22,461  

4.00%, 11/1/43

     22,438        24,299  

4.50%, 5/1/44

     17,684        19,314  

5.00%, 6/1/44

     47,698        53,023  

4.00%, 9/1/44

     22,325        24,187  

4.00%, 10/1/44

     25,262        27,369  

4.00%, 1/1/45

     43,733        47,381  

3.50%, 3/1/46

     49,522        52,353  

3.50%, 4/1/46

     26,046        27,541  

3.50%, 5/1/46

     29,307        30,884  

3.00%, 9/1/46

     36,075        37,659  

3.00%, 10/1/46

     109,732        114,764  

4.00%, 10/1/46

     31,977        34,265  

2.50%, 11/1/46

     20,259        20,805  

3.00%, 11/1/46

     37,109        38,837  

3.50%, 11/1/46

     71,083        75,213  

4.00%, 2/1/47

     84,660        91,874  

4.00%, 3/1/47

     38,465        41,092  

4.00%, 4/1/47

     52,893        56,484  

3.50%, 9/1/47

     18,760        19,782  

3.50%, 10/1/47

     30,450        32,079  

3.50%, 11/1/47

     24,290        25,594  

4.50%, 11/1/47

     15,286        16,628  

3.50%, 12/1/47

     181,573        191,380  

5.00%, 8/1/48

     36,852        39,939  

4.50%, 12/1/48

     63,107        67,356  

3.00%, 7/1/49

     136,946        141,193  

3.00%, 9/1/49

     97,766        100,915  
     

 

 

 
Total Federal National Mortgage Association

 

     2,632,224  
Government National Mortgage Association – 7.0%

 

3.00%, 5/20/42

     63,809        66,548  

3.50%, 6/20/42

     76,844        81,706  

3.00%, 12/20/42

     70,470        73,604  

3.50%, 3/20/43

     56,609        60,402  

3.50%, 4/20/43

     57,832        61,492  

4.50%, 6/20/43

     29,894        32,522  

3.00%, 4/20/44

     20,962        21,869  

5.00%, 8/20/44

     34,209        38,219  

4.00%, 12/20/44

     57,602        61,804  

4.50%, 12/20/44

     47,630        51,579  

3.50%, 7/20/45

     30,684        32,343  

3.50%, 9/20/45

     28,847        30,451  

 

See Notes to Financial Statements.

 

76   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.00%, 12/20/45

   $ 50,939      $ 53,188  

4.00%, 12/20/45

     22,797        24,455  

3.00%, 4/20/46

     18,391        19,231  

3.00%, 5/20/46

     16,988        17,754  

4.00%, 8/20/46

     14,684        15,581  

4.00%, 12/20/46

     15,881        16,756  

4.00%, 1/20/47

     24,350        25,627  

3.50%, 2/20/47

     74,650        78,056  

3.00%, 6/20/47

     91,177        94,756  

3.50%, 8/20/47

     52,372        54,945  

4.00%, 1/20/48

     46,194        48,908  

4.00%, 6/20/48

     62,895        66,061  

5.00%, 6/20/48

     25,059        27,003  

4.50%, 7/20/48

     54,491        58,007  

3.50%, 8/20/48

     116,638        122,099  

4.00%, 5/20/49

     58,592        61,215  
     

 

 

 
Total Government National Mortgage Association

 

     1,396,181  
Tennessee Valley Authority – 0.1%

 

5.25%, 9/15/39

     15,000        22,540  
Uniform Mortgage-Backed Securities – 0.5%

 

3.50%, 3/18/35(a)

     25,000        26,188  

2.50%, 3/12/50(a)

     50,000        51,020  

3.50%, 3/23/50(a)

     25,000        26,160  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     103,368  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $5,447,454)

 

 

     5,691,975  
U.S. GOVERNMENT OBLIGATIONS – 35.6%

 

U.S. Treasury Bonds – 10.1%

 

6.88%, 8/15/25

     54,000        71,089  

6.75%, 8/15/26

     48,000        65,371  

6.50%, 11/15/26

     50,000        67,917  

5.25%, 11/15/28

     44,000        59,268  

5.25%, 2/15/29

     13,000        17,619  

1.63%, 8/15/29

     25,000        26,126  

6.13%, 8/15/29

     50,000        72,584  

6.25%, 5/15/30

     27,000        40,347  

5.38%, 2/15/31

     71,400        102,389  

4.63%, 2/15/40

     95,000        146,812  

4.38%, 5/15/40

     25,000        37,576  

4.75%, 2/15/41

     19,000        30,010  

4.38%, 5/15/41

     22,000        33,281  

3.13%, 2/15/43

     13,000        16,729  

3.63%, 8/15/43

     41,800        58,057  

3.75%, 11/15/43

     13,000        18,405  

3.63%, 2/15/44

     54,000        75,184  

3.13%, 8/15/44

     43,000        55,628  

2.50%, 2/15/45

     69,000        80,544  

3.00%, 5/15/45

     38,000        48,351  

2.88%, 8/15/45

     63,000        78,617  

3.00%, 11/15/45

     71,000        90,617  

2.50%, 2/15/46

     88,000        103,091  

2.50%, 5/15/46

     93,000        109,108  

2.25%, 8/15/46

     12,000        13,453  

2.75%, 8/15/47

     37,000        45,742  

2.75%, 11/15/47

     27,000        33,429  

3.13%, 5/15/48

     58,000        77,022  

3.00%, 8/15/48

   59,000      76,849  

3.38%, 11/15/48

     85,000        118,358  

3.00%, 2/15/49

     20,000        26,161  

2.25%, 8/15/49

     100,000        113,574  
     

 

 

 
Total U.S. Treasury Bonds

 

     2,009,308  
U.S. Treasury Notes – 25.5%

 

1.25%, 3/31/21

     198,000        198,418  

1.25%, 10/31/21

     112,000        112,586  

2.00%, 11/15/21

     83,000        84,508  

2.00%, 12/31/21

     112,000        114,190  

1.88%, 1/31/22

     56,000        57,032  

1.88%, 3/31/22

     75,000        76,516  

1.88%, 4/30/22

     112,000        114,362  

1.75%, 5/15/22

     69,000        70,317  

1.75%, 5/31/22

     132,000        134,542  

1.88%, 10/31/22

     69,000        70,809  

2.00%, 10/31/22

     75,000        77,218  

1.63%, 11/15/22

     113,000        115,245  

2.00%, 11/30/22

     125,000        128,791  

2.13%, 12/31/22

     88,000        91,070  

1.50%, 2/28/23

     27,000        27,499  

1.50%, 3/31/23

     83,000        84,572  

1.75%, 5/15/23

     83,000        85,265  

1.38%, 6/30/23

     43,000        43,691  

2.50%, 8/15/23

     56,000        59,066  

1.38%, 8/31/23

     25,000        25,413  

1.38%, 9/30/23

     194,000        197,259  

1.63%, 10/31/23

     266,000        273,045  

2.75%, 11/15/23

     43,000        45,903  

2.13%, 11/30/23

     139,000        145,279  

2.13%, 2/29/24

     154,000        161,357  

2.13%, 3/31/24

     56,000        58,737  

2.50%, 5/15/24

     13,000        13,852  

2.00%, 5/31/24

     56,000        58,536  

2.00%, 6/30/24

     56,000        58,594  

2.38%, 8/15/24

     58,000        61,699  

1.88%, 8/31/24

     56,000        58,361  

1.50%, 9/30/24

     50,000        51,313  

2.13%, 9/30/24

     83,000        87,487  

1.50%, 10/31/24

     100,000        102,666  

2.25%, 10/31/24

     27,000        28,638  

2.25%, 11/15/24

     146,000        154,917  

2.13%, 11/30/24

     50,000        52,790  

2.50%, 1/31/25

     100,000        107,580  

2.00%, 2/15/25

     239,000        251,412  

2.13%, 5/15/25

     56,000        59,361  

2.00%, 8/15/25

     56,000        59,083  

2.25%, 11/15/25

     104,000        111,339  

1.50%, 8/15/26

     69,000        71,051  

2.00%, 11/15/26

     75,000        79,695  

2.25%, 2/15/27

     56,000        60,560  

2.38%, 5/15/27

     79,000        86,315  

2.25%, 8/15/27

     56,000        60,827  

2.25%, 11/15/27

     56,000        60,940  

2.75%, 2/15/28

     19,000        21,446  

2.88%, 5/15/28

     167,000        190,595  

2.88%, 8/15/28

     113,000        129,319  

2.63%, 2/15/29

     100,000        112,936  

 

See Notes to Financial Statements.

 

WisdomTree Trust      77  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

2.38%, 5/15/29

   $   100,000      $ 110,998  

1.75%, 11/15/29

     25,000        26,420  

2.88%, 5/15/49

     42,000        53,792  

2.38%, 11/15/49

     8,000        9,331  
     

 

 

 
Total U.S. Treasury Notes

 

     5,044,543  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $6,493,761)

 

 

     7,053,851  
U.S. CORPORATE BONDS – 23.0%

 

United States – 23.0%

 

3M Co.
2.88%, 10/15/27(b)

     24,000        25,429  

Abbott Laboratories

 

3.88%, 9/15/25

     12,000        13,361  

4.75%, 11/30/36

     15,000        19,692  

AbbVie, Inc.

 

3.60%, 5/14/25

     12,000        12,953  

4.88%, 11/14/48

     20,000        24,645  

AEP Texas, Inc.
3.80%, 10/1/47

     27,000        30,928  

Air Lease Corp.
3.63%, 4/1/27(b)

     12,000        12,738  

Allergan Funding SCS

 

3.80%, 3/15/25

     5,000        5,468  

4.85%, 6/15/44

     4,000        4,868  

Allstate Corp. (The)
4.20%, 12/15/46

     15,000        19,240  

Altria Group, Inc.
2.85%, 8/9/22

     16,000        16,450  

Amazon.com, Inc.

 

2.50%, 11/29/22

     12,000        12,370  

4.05%, 8/22/47

     7,000        9,019  

American Express Co.
2.50%, 8/1/22

     5,000        5,105  

American Express Credit Corp.
2.70%, 3/3/22

     12,000        12,296  

American International Group, Inc.

 

4.88%, 6/1/22(b)

     16,000        17,058  

3.75%, 7/10/25

     12,000        13,097  

4.50%, 7/16/44

     15,000        18,411  

American Tower Corp.
3.55%, 7/15/27(b)

     24,000        25,977  

American Water Capital Corp.

 

3.40%, 3/1/25

     25,000        27,221  

4.00%, 12/1/46

     13,000        15,245  

Amgen, Inc.
4.66%, 6/15/51

     25,000        31,001  

Anthem, Inc.

 

3.50%, 8/15/24

     4,000        4,277  

5.85%, 1/15/36

     12,000        15,597  

Apache Corp.
4.25%, 1/15/44

     4,000        3,564  

Apple, Inc.

 

3.45%, 5/6/24(b)

     24,000        26,000  

4.65%, 2/23/46

     12,000        16,009  

AT&T, Inc.
3.00%, 2/15/22

     7,000        7,193  

3.00%, 6/30/22

   5,000      5,162  

4.30%, 2/15/30

     12,000        13,747  

4.50%, 5/15/35

     5,000        5,830  

4.80%, 6/15/44

     5,000        5,924  

4.35%, 6/15/45

     12,000        13,546  

5.45%, 3/1/47

     27,000        35,134  

5.70%, 3/1/57

     16,000        22,109  

Bank of America Corp.

     

5.70%, 1/24/22(b)

     7,000        7,573  

3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(c)

     21,000        21,771  

3.88%, 8/1/25(b)

     4,000        4,432  

3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.09% thereafter)(c)

     26,000        27,331  

4.45%, 3/3/26

     15,000        16,933  

3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(c)

     12,000        13,113  

3.59%, 7/21/28, (3.593% fixed rate until 7/21/27; 3-month U.S. dollar London Interbank Offered Rate + 1.37% thereafter)(c)

     5,000        5,466  

4.88%, 4/1/44

     12,000        15,861  

Berkshire Hathaway, Inc.

 

2.75%, 3/15/23

     7,000        7,279  

3.13%, 3/15/26(b)

     26,000        28,182  

Biogen, Inc.
5.20%, 9/15/45

     15,000        19,452  

Boeing Co. (The)
5.88%, 2/15/40

     4,000        5,375  

BorgWarner, Inc.
4.38%, 3/15/45

     4,000        4,406  

Boston Properties L.P.
3.85%, 2/1/23

     25,000        26,572  

BP Capital Markets America, Inc.
3.12%, 5/4/26

     23,000        24,584  

Bristol-Myers Squibb Co.

 

3.88%, 8/15/25(d)

     5,000        5,549  

4.55%, 2/20/48(d)

     12,000        15,852  

Broadcom Corp.
3.00%, 1/15/22

     26,000        26,510  

Burlington Northern Santa Fe LLC
4.55%, 9/1/44

     16,000        19,886  

Capital One Financial Corp.
3.75%, 3/9/27

     19,000        20,723  

Cardinal Health, Inc.
3.41%, 6/15/27

     12,000        12,793  

Caterpillar Financial Services Corp.
1.70%, 8/9/21

     6,000        6,017  

Caterpillar, Inc.
3.80%, 8/15/42

     4,000        4,773  

Charter Communications Operating LLC

 

4.46%, 7/23/22

     12,000        12,725  

6.38%, 10/23/35

     26,000        34,377  

6.48%, 10/23/45

     12,000        15,443  

Chevron Corp.
2.50%, 3/3/22

     43,000        43,908  

 

See Notes to Financial Statements.

 

78   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Cigna Corp.
3.25%, 4/15/25(d)

   $   27,000      $ 28,714  

4.80%, 7/15/46(d)

     16,000        19,278  

Citigroup, Inc.
4.40%, 6/10/25

     33,000        36,810  

4.45%, 9/29/27(b)

     19,000        21,474  

5.30%, 5/6/44

     12,000        15,938  

Clorox Co. (The)
3.10%, 10/1/27

     43,000        46,866  

CME Group, Inc.
3.00%, 9/15/22(b)

     27,000        28,176  

Coca-Cola Co. (The)
3.20%, 11/1/23

     12,000        12,794  

Comcast Corp.

 

3.15%, 3/1/26

     4,000        4,318  

2.35%, 1/15/27(b)

     7,000        7,240  

7.05%, 3/15/33

     6,000        9,055  

3.90%, 3/1/38

     12,000        13,988  

4.05%, 11/1/52

     12,000        14,317  

Concho Resources, Inc.
3.75%, 10/1/27

     16,000        16,645  

ConocoPhillips
6.50%, 2/1/39

     16,000        23,714  

Consolidated Edison Co. of New York, Inc.
4.63%, 12/1/54

     12,000        16,076  

Costco Wholesale Corp.

 

2.30%, 5/18/22

     24,000        24,595  

3.00%, 5/18/27(b)

     15,000        16,329  

Crown Castle International Corp.
4.88%, 4/15/22

     12,000        12,742  

CSX Corp.

 

3.25%, 6/1/27

     19,000        20,438  

4.50%, 8/1/54

     7,000        8,696  

CVS Health Corp.

 

3.38%, 8/12/24

     28,000        29,723  

5.05%, 3/25/48

     14,000        17,240  

Dell International LLC
6.02%, 6/15/26(d)

     26,000        30,494  

Discovery Communications LLC
3.80%, 3/13/24

     24,000        25,724  

Dominion Energy, Inc.
5.75%, 10/1/54, (5.75% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 3.057% thereafter)(c)

     12,000        12,944  

Dow Chemical Co. (The)
4.38%, 11/15/42

     7,000        7,753  

Duke Energy Corp.
3.15%, 8/15/27(b)

     26,000        27,911  

Duke Energy Florida LLC
6.40%, 6/15/38

     14,500        21,890  

Duke Energy Indiana LLC
6.45%, 4/1/39

     12,000        18,725  

DuPont de Nemours, Inc.
5.42%, 11/15/48

     15,000        18,919  

DXC Technology Co.
4.75%, 4/15/27(b)

     7,000        7,704  

Eaton Corp.
2.75%, 11/2/22

     24,000      24,877  

eBay, Inc.
3.80%, 3/9/22(b)

     24,000        24,974  

Ecolab, Inc.
5.50%, 12/8/41

     4,000        5,685  

Eli Lilly & Co.
2.35%, 5/15/22

     4,000        4,092  

Energy Transfer Partners L.P.
4.50%, 11/1/23(b)

     16,000        17,225  

Enterprise Products Operating LLC

 

3.35%, 3/15/23

     16,000        16,711  

4.45%, 2/15/43

     12,000        13,278  

Exelon Corp.
4.45%, 4/15/46

     38,000        46,061  

Exelon Generation Co. LLC
6.25%, 10/1/39

     6,000        7,506  

Exxon Mobil Corp.
2.44%, 8/16/29(b)

     20,000        20,851  

FedEx Corp.

 

4.10%, 4/15/43

     15,000        15,605  

4.55%, 4/1/46

     7,000        7,692  

Fiserv, Inc.
3.85%, 6/1/25(b)

     15,000        16,448  

Florida Power & Light Co.
5.96%, 4/1/39

     12,000        18,098  

Ford Motor Co.
4.75%, 1/15/43

     6,000        5,171  

General Electric Co.
3.10%, 1/9/23(b)

     12,000        12,453  

General Motors Co.
5.15%, 4/1/38

     15,000        15,313  

General Motors Financial Co., Inc.

 

3.45%, 1/14/22

     26,000        26,571  

4.30%, 7/13/25

     14,000        14,885  

George Washington University (The)
4.13%, 9/15/48, Series 2018

     12,000        15,397  

Gilead Sciences, Inc.

 

4.50%, 4/1/21

     7,000        7,263  

3.65%, 3/1/26

     12,000        13,207  

5.65%, 12/1/41

     16,000        22,760  

Goldman Sachs Group, Inc. (The)

 

2.35%, 11/15/21

     5,000        5,028  

3.00%, 4/26/22(b)

     12,000        12,200  

4.00%, 3/3/24

     5,000        5,440  

3.50%, 1/23/25

     5,000        5,339  

4.25%, 10/21/25

     15,000        16,395  

3.85%, 1/26/27

     5,000        5,496  

4.22%, 5/1/29, (4.223% fixed rate until 5/1/28; 3-month U.S. dollar London Interbank Offered Rate + 1.301% thereafter)(b)(c)

     24,000        27,242  

6.13%, 2/15/33

     2,000        2,771  

4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(c)

     5,000        5,682  

 

See Notes to Financial Statements.

 

WisdomTree Trust      79  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Halliburton Co.
4.75%, 8/1/43

   $   15,000      $ 16,357  

Hewlett Packard Enterprise Co.
6.20%, 10/15/35

     15,000        18,787  

Home Depot, Inc. (The)

 

2.63%, 6/1/22

     24,000        24,677  

5.88%, 12/16/36

     15,000        21,684  

3.90%, 6/15/47(b)

     4,000        4,889  

Honeywell International, Inc.
4.25%, 3/1/21

     12,000        12,335  

Humana, Inc.
4.95%, 10/1/44

     12,000        14,804  

Intel Corp.
3.15%, 5/11/27(b)

     15,000        16,350  

International Lease Finance Corp.
5.88%, 8/15/22

     15,000        16,373  

International Paper Co.

 

3.00%, 2/15/27(b)

     12,000        12,892  

4.35%, 8/15/48

     15,000        17,074  

Invesco Finance PLC
5.38%, 11/30/43(b)

     4,000        5,355  

Johnson & Johnson
3.38%, 12/5/23(b)

     7,000        7,557  

Johnson Controls International PLC

 

3.63%, 7/2/24(c)

     12,000        12,872  

6.00%, 1/15/36

     13,000        17,204  

JPMorgan Chase & Co.

 

2.30%, 8/15/21

     18,000        18,044  

4.50%, 1/24/22

     19,000        20,031  

3.25%, 9/23/22

     7,000        7,301  

3.88%, 9/10/24

     12,000        13,001  

3.90%, 7/15/25

     26,000        28,702  

3.30%, 4/1/26

     7,000        7,625  

3.88%, 7/24/38, (3.882% fixed rate until 7/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.36% thereafter)(c)

     5,000        5,721  

5.63%, 8/16/43(b)

     12,000        16,903  

4.03%, 7/24/48, (4.032% fixed rate until 7/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.46% thereafter)(c)

     12,000        14,581  

KeyCorp
5.10%, 3/24/21

     75,000        77,659  

Kinder Morgan Energy Partners L.P.
5.50%, 3/1/44(b)

     13,000        15,541  

Kinder Morgan, Inc.
3.15%, 1/15/23

     18,000        18,669  

Kroger Co. (The)

 

2.65%, 10/15/26(b)

     15,000        15,564  

4.45%, 2/1/47

     4,000        4,536  

Laboratory Corp. of America Holdings
3.20%, 2/1/22

     12,000        12,341  

Lockheed Martin Corp.
4.09%, 9/15/52

     6,000        7,724  

Lowe’s Cos., Inc.
4.05%, 5/3/47(b)

     4,000        4,510  

LYB International Finance B.V.
4.88%, 3/15/44

     4,000        4,691  

Macy’s Retail Holdings, Inc.
2.88%, 2/15/23

   5,000      5,006  

Magellan Midstream Partners L.P.
4.20%, 10/3/47

     4,000        4,505  

Marathon Oil Corp.
6.60%, 10/1/37

     6,000        7,407  

Marathon Petroleum Corp.

 

5.13%, 3/1/21

     16,000        16,548  

4.75%, 9/15/44(b)

     4,000        4,591  

Marsh & McLennan Cos., Inc.
2.75%, 1/30/22

     26,000        26,622  

Medtronic, Inc.
4.38%, 3/15/35

     26,000        33,134  

Merck & Co., Inc.
2.75%, 2/10/25

     7,000        7,379  

MetLife, Inc.
4.60%, 5/13/46

     19,000        24,745  

Microsoft Corp.

 

2.00%, 8/8/23

     4,000        4,099  

3.50%, 2/12/35

     16,000        18,636  

4.00%, 2/12/55

     15,000        19,012  

4.50%, 2/6/57(b)

     24,000        33,396  

MidAmerican Energy Co.
3.10%, 5/1/27

     19,000        20,551  

Molson Coors Beverage Co.
2.10%, 7/15/21(b)

     15,000        15,121  

Morgan Stanley

 

5.50%, 7/28/21

     12,000        12,648  

7.25%, 4/1/32(b)

     13,000        19,314  

4.38%, 1/22/47

     25,000        31,612  

Mosaic Co. (The)
4.88%, 11/15/41

     4,000        4,328  

NIKE, Inc.
2.38%, 11/1/26

     12,000        12,641  

NiSource, Inc.
4.80%, 2/15/44

     13,000        15,791  

Noble Energy, Inc.
5.05%, 11/15/44

     4,000        4,107  

Norfolk Southern Corp.
3.15%, 6/1/27(b)

     12,000        12,997  

Northrop Grumman Corp.

 

2.55%, 10/15/22

     16,000        16,486  

3.25%, 8/1/23

     27,000        28,643  

3.25%, 1/15/28(b)

     15,000        16,198  

NVIDIA Corp.
2.20%, 9/16/21(b)

     7,000        7,086  

Occidental Petroleum Corp.

 

3.40%, 4/15/26

     27,000        27,647  

4.63%, 6/15/45(b)

     7,000        6,819  

Oncor Electric Delivery Co. LLC
5.75%, 3/15/29

     12,000        15,656  

Oracle Corp.

 

3.63%, 7/15/23

     12,000        12,889  

3.25%, 11/15/27

     12,000        13,197  

3.80%, 11/15/37

     26,000        30,089  

4.00%, 7/15/46

     12,000        14,306  

 

See Notes to Financial Statements.

 

80   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Owens Corning
4.30%, 7/15/47

   $ 7,000      $ 7,799  

PepsiCo, Inc.
2.00%, 4/15/21

     54,000        54,469  

2.38%, 10/6/26(b)

     7,000        7,323  

3.45%, 10/6/46

     12,000        13,743  

Pfizer, Inc.
4.00%, 12/15/36

     15,000        18,284  

7.20%, 3/15/39

     14,000        23,761  

Philip Morris International, Inc.
4.88%, 11/15/43(b)

     25,000        31,275  

Phillips 66
4.88%, 11/15/44

     4,000        4,817  

Plains All American Pipeline L.P.
3.65%, 6/1/22

     16,500        16,969  

PNC Financial Services Group, Inc. (The)
3.90%, 4/29/24

     27,000        29,217  

Procter & Gamble Co. (The)

 

1.70%, 11/3/21

     26,000        26,305  

3.10%, 8/15/23(b)

     7,000        7,469  

2.45%, 11/3/26(b)

     7,000        7,567  

3.50%, 10/25/47

     12,000        14,866  

Prudential Financial, Inc.
3.91%, 12/7/47

     12,000        13,593  

QUALCOMM, Inc.
2.60%, 1/30/23(b)

     15,000        15,472  

Realty Income Corp.
3.25%, 10/15/22

     15,000        15,697  

Rockwell Collins, Inc.

 

3.20%, 3/15/24

     12,000        12,772  

4.80%, 12/15/43

     4,000        5,267  

Royal Caribbean Cruises Ltd.
7.50%, 10/15/27(b)

     19,000        24,646  

Sabine Pass Liquefaction LLC
5.63%, 3/1/25

     5,000        5,689  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     36,000        39,509  

Schlumberger Investment S.A.
3.65%, 12/1/23

     7,000        7,474  

Seagate HDD Cayman
4.25%, 3/1/22

     7,000        7,149  

Sempra Energy
6.00%, 10/15/39

     12,000        16,788  

Sherwin-Williams Co. (The)

 

2.75%, 6/1/22(b)

     7,000        7,207  

3.45%, 6/1/27

     5,000        5,455  

Shire Acquisitions Investments Ireland DAC
2.40%, 9/23/21

     16,000        16,217  

Simon Property Group L.P.
3.38%, 12/1/27(b)

     24,000        26,396  

SITE Centers Corp.
4.70%, 6/1/27

     16,000        18,009  

Southern California Edison Co.
4.65%, 10/1/43

     13,000        16,005  

Southern Co. (The)
3.25%, 7/1/26(b)

     26,000        27,910  

Starbucks Corp.
3.85%, 10/1/23(b)

     24,000      25,849  

State Street Corp.
2.65%, 5/19/26(b)

     24,000        25,298  

Sunoco Logistics Partners Operations L.P.
4.00%, 10/1/27

     24,000        25,156  

Synchrony Financial

 

4.25%, 8/15/24

     4,000        4,304  

4.50%, 7/23/25

     12,000        13,200  

Target Corp.
3.90%, 11/15/47

     7,000        8,450  

TD Ameritrade Holding Corp.
3.30%, 4/1/27

     12,000        13,018  

Texas Instruments, Inc.
2.75%, 3/12/21

     15,000        15,173  

Thermo Fisher Scientific, Inc.
2.95%, 9/19/26

     7,000        7,479  

Time Warner Cable LLC

 

7.30%, 7/1/38(b)

     7,000        9,599  

6.75%, 6/15/39

     4,500        5,836  

4.50%, 9/15/42

     7,000        7,294  

TJX Cos., Inc. (The)
2.25%, 9/15/26(b)

     7,000        7,211  

Toyota Motor Credit Corp.
2.60%, 1/11/22(b)

     24,000        24,632  

Transcontinental Gas Pipe Line Co. LLC
7.85%, 2/1/26

     12,000        15,519  

Truist Financial Corp.

 

2.05%, 5/10/21

     31,000        31,226  

2.70%, 1/27/22

     15,000        15,340  

2.85%, 10/26/24

     12,000        12,583  

TWDC Enterprises 18 Corp.

 

2.45%, 3/4/22

     26,000        26,678  

3.00%, 2/13/26(b)

     15,000        16,312  

Tyson Foods, Inc.

 

2.25%, 8/23/21(b)

     26,000        26,208  

3.95%, 8/15/24

     16,000        17,477  

U.S. Bancorp
3.70%, 1/30/24

     23,000        24,909  

Union Pacific Corp.
4.10%, 9/15/67

     10,000        11,548  

United Technologies Corp.

 

2.80%, 5/4/24

     7,000        7,443  

2.65%, 11/1/26(b)

     26,000        28,051  

4.50%, 6/1/42(b)

     15,000        19,273  

UnitedHealth Group, Inc.

 

2.75%, 2/15/23

     16,000        16,567  

3.85%, 6/15/28

     24,000        27,222  

4.25%, 3/15/43

     4,000        4,782  

Ventas Realty L.P.
4.38%, 2/1/45

     23,000        27,259  

VEREIT Operating Partnership L.P.
3.95%, 8/15/27

     27,000        29,815  

Verizon Communications, Inc.

 

4.02%, 12/3/29

     22,000        25,575  

5.25%, 3/16/37(b)

     15,000        20,060  

 

See Notes to Financial Statements.

 

WisdomTree Trust      81  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

4.81%, 3/15/39

   $ 5,000      $ 6,421  

4.67%, 3/15/55

     5,000        6,672  

ViacomCBS, Inc.

     

7.88%, 7/30/30

     19,000        27,474  

4.38%, 3/15/43

     4,000        4,303  

Virginia Electric & Power Co.
3.50%, 3/15/27, Series A

     7,000        7,727  

Visa, Inc.
4.15%, 12/14/35

     19,000        23,593  

Walgreens Boots Alliance, Inc.
3.80%, 11/18/24(b)

     15,000        16,017  

Walmart, Inc.

     

5.88%, 4/5/27

     20,000        25,473  

3.63%, 12/15/47

     15,000        17,976  

Walt Disney Co. (The)
6.65%, 11/15/37(b)

     11,000        16,962  

Waste Management, Inc.

     

3.90%, 3/1/35

     12,000        13,897  

4.10%, 3/1/45(b)

     7,000        8,599  

Wells Fargo & Co.

     

3.50%, 3/8/22

     6,000        6,231  

3.07%, 1/24/23

     56,000        57,462  

4.13%, 8/15/23

     1,000        1,079  

3.00%, 2/19/25

     2,000        2,115  

4.30%, 7/22/27(b)

     2,000        2,245  

4.90%, 11/17/45

     12,000        15,248  

Weyerhaeuser Co.
7.38%, 3/15/32(b)

     8,000        11,626  

Williams Cos., Inc. (The)
4.90%, 1/15/45

     7,000        7,505  

Zoetis, Inc.
3.00%, 9/12/27

     7,000        7,530  

TOTAL U.S. CORPORATE BONDS

(Cost: $4,151,698)

 

 

     4,551,676  
FOREIGN CORPORATE BONDS – 3.4%

 

Belgium – 0.1%

 

Anheuser-Busch Cos. LLC
4.90%, 2/1/46

     23,000        28,398  
Canada – 0.9%

 

Bank of Montreal
1.90%, 8/27/21

     16,000        16,123  

Bank of Nova Scotia (The)
2.45%, 9/19/22

     27,000        27,707  

Barrick Gold Corp.
5.25%, 4/1/42

     7,000        9,282  

Cenovus Energy, Inc.
6.75%, 11/15/39

     15,000        18,581  

Manulife Financial Corp.
4.15%, 3/4/26(b)

     27,000        30,709  

Nexen, Inc.
6.40%, 5/15/37(b)

     5,000        7,354  

Royal Bank of Canada
4.65%, 1/27/26(b)

     18,000        20,834  

Suncor Energy, Inc.
6.85%, 6/1/39

     16,000        23,524  

TELUS Corp.
3.70%, 9/15/27(b)

   4,000      4,453  

Toronto-Dominion Bank (The)
1.80%, 7/13/21(b)

     26,000        26,147  
     

 

 

 
Total Canada

 

     184,714  
Germany – 0.2%

 

Daimler Finance North America LLC
8.50%, 1/18/31

     12,000        18,537  

Deutsche Bank AG
3.70%, 5/30/24(b)

     13,000        13,517  
     

 

 

 
Total Germany

 

     32,054  
Japan – 0.3%

 

Mitsubishi UFJ Financial Group, Inc.
3.29%, 7/25/27

     12,000        12,991  

Sumitomo Mitsui Financial Group, Inc.

     

2.93%, 3/9/21(b)

     27,000        27,307  

3.78%, 3/9/26

     19,000        21,005  
     

 

 

 
Total Japan

 

     61,303  
Mexico – 0.3%

 

Petroleos Mexicanos

 

6.50%, 3/13/27

     20,000        21,037  

6.63%, 6/15/35(b)

     10,000        10,039  

6.75%, 9/21/47

     25,000        23,943  
     

 

 

 
Total Mexico

 

     55,019  
Netherlands – 0.3%

 

Cooperatieve Rabobank UA
5.25%, 5/24/41(b)

     12,000        17,272  

Shell International Finance B.V.

     

3.25%, 5/11/25

     12,000        12,925  

2.88%, 5/10/26(b)

     27,000        28,769  
     

 

 

 
Total Netherlands

 

     58,966  
Norway – 0.3%

 

Equinor ASA

     

2.45%, 1/17/23(b)

     33,000        34,003  

3.95%, 5/15/43(b)

     19,000        22,131  
     

 

 

 
Total Norway

 

     56,134  
Switzerland – 0.2%

 

Novartis Capital Corp.

     

2.40%, 5/17/22

     26,000        26,659  

3.10%, 5/17/27

     15,000        16,351  
     

 

 

 
Total Switzerland

 

     43,010  
United Kingdom – 0.8%

 

AstraZeneca PLC

     

3.38%, 11/16/25

     16,000        17,540  

4.38%, 11/16/45

     7,000        9,089  

BAT Capital Corp.

     

3.22%, 8/15/24(b)

     5,000        5,255  

3.56%, 8/15/27

     7,000        7,348  

4.39%, 8/15/37

     19,000        20,154  

BP Capital Markets PLC
3.72%, 11/28/28(b)

     27,000        30,096  

Diageo Capital PLC
2.63%, 4/29/23

     6,000        6,216  

 

See Notes to Financial Statements.

 

82   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

HSBC Holdings PLC

     

5.10%, 4/5/21

   $   40,000      $ 41,436  

7.63%, 5/17/32

     13,000        18,151  

Vodafone Group PLC
4.38%, 2/19/43

     6,000        6,920  
     

 

 

 
Total United Kingdom

 

     162,205  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $636,972)

 

 

     681,803  
FOREIGN GOVERNMENT AGENCIES – 0.7%

 

Canada – 0.4%

 

Export Development Canada
2.63%, 2/21/24

     25,000        26,575  

Province of Alberta Canada
2.20%, 7/26/22

     10,000        10,266  

Province of Ontario Canada

     

2.25%, 5/18/22

     10,000        10,255  

2.50%, 4/27/26

     16,000        17,214  

Province of Quebec Canada

     

2.38%, 1/31/22

     10,000        10,250  

2.75%, 4/12/27

     10,000        11,018  
     

 

 

 
Total Canada

 

     85,578  
Germany – 0.3%

 

Kreditanstalt fuer Wiederaufbau
2.13%, 3/7/22(b)

     56,000        57,336  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $137,000)

 

 

     142,914  
FOREIGN GOVERNMENT OBLIGATIONS – 1.0%

 

Colombia – 0.2%

 

Colombia Government International Bond
8.13%, 5/21/24

     37,000        45,856  
Hungary – 0.2%

 

Hungary Government International Bond

 

5.75%, 11/22/23

     16,000        18,186  

7.63%, 3/29/41

     16,000        27,420  
     

 

 

 
Total Hungary

 

     45,606  
Italy – 0.1%

 

Republic of Italy Government International Bond
5.38%, 6/15/33

     10,000        12,427  
Mexico – 0.2%

 

Mexico Government International Bond

 

4.00%, 10/2/23

     15,000        16,057  

4.75%, 3/8/44

     12,000        13,931  

5.55%, 1/21/45

     12,000        15,551  
     

 

 

 
Total Mexico

 

     45,539  
Philippines – 0.2%

 

Philippine Government International Bond
9.50%, 2/2/30

     16,000        26,237  
Uruguay – 0.1%

 

Uruguay Government International Bond
5.10%, 6/18/50

     13,000        16,408  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $176,303)

 

 

     192,073  
SUPRANATIONAL BONDS – 1.5%

 

African Development Bank
3.00%, 9/20/23

     25,000      26,784  

Asian Development Bank
1.75%, 6/8/21

     56,000        56,464  

Corporacion Andina de Fomento
4.38%, 6/15/22

     13,000        13,848  

European Investment Bank

     

2.63%, 5/20/22

     50,000        51,852  

2.38%, 5/24/27

     27,000        29,409  

Inter-American Development Bank

     

1.75%, 9/14/22

     12,000        12,246  

2.00%, 7/23/26

     25,000        26,381  

2.38%, 7/7/27

     2,000        2,177  

3.13%, 9/18/28

     2,000        2,314  

International Bank for Reconstruction & Development

     

1.75%, 4/19/23

     23,000        23,574  

2.50%, 11/22/27, Series GDIF

     50,000        55,047  

TOTAL SUPRANATIONAL BONDS

(Cost: $289,801)

 

 

     300,096  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.4%

 

United States – 2.4%

 

Citigroup Commercial Mortgage Trust
3.71%, 4/14/50, Series 2017-P7, Class A4

     50,000        56,271  

Commercial Mortgage Trust
3.08%, 2/10/48, Series 2015-DC1, Class A4

     50,000        52,957  

Commercial Mortgage Trust
3.60%, 5/10/47, Series 2014-CR17, Class ASB

     29,846        31,055  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates

     

2.84%, 10/25/22, Series K029, Class A1

     17,393        17,647  

3.75%, 4/25/33, Series K155, Class A3

     50,000        59,897  

Federal National Mortgage Association Alternative Credit Enhancement Securities

     

3.21%, 7/25/23, Series 2014-M1, Class A2^(c)

     29,921        31,468  

2.90%, 1/25/25, Series 2015-M8, Class A2^(c)

     22,000        23,345  

2.58%, 3/25/26, Series 2016-M4, Class A2

     30,000        31,769  

Morgan Stanley Bank of America Merrill Lynch Trust
3.53%, 12/15/47, Series 2014-C19, Class A4

     25,000        27,127  

Morgan Stanley Capital I Trust
4.18%, 7/15/51, Series 2018-H3, Class A5

     50,000        58,338  

Wells Fargo Commercial Mortgage Trust
3.10%, 6/15/49, Series 2016-C34, Class A4

     30,000        32,287  

WFRBS Commercial Mortgage Trust
4.02%, 12/15/46, Series 2013-C17, Class A4

     45,000        48,775  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $432,356)

 

 

     470,936  
MUNICIPAL BONDS – 0.4%

 

United States – 0.4%

 

New Jersey Turnpike Authority
7.10%, 1/1/41

     12,000        20,293  

State of California
7.55%, 4/1/39

     20,000        34,387  

 

See Notes to Financial Statements.

 

WisdomTree Trust      83  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)

February 29, 2020

 

 

 

Investments in Long Securities    Principal
Amount
    Value  

University of California
4.86%, 5/15/2112, Series AD

   $ 13,000     $ 19,945  

TOTAL MUNICIPAL BONDS

(Cost: $61,527)

 

 

    74,625  
ASSET-BACKED SECURITIES – 0.7%

 

United States – 0.7%

 

Ally Auto Receivables Trust
1.99%, 11/15/21, Series 2017-1, Class A4

     20,000       20,034  

American Express Credit Account Master Trust
2.99%, 12/15/23, Series 2018-4, Class A

     100,000       102,142  

World Financial Network Credit Card Master Trust
2.03%, 4/15/25, Series 2016-A, Class A

     17,000       17,127  

TOTAL ASSET-BACKED SECURITIES

(Cost: $136,467)

 

 

    139,303  
REPURCHASE AGREEMENT – 2.7%

 

United States – 2.7%

 

Citigroup, Inc., tri-party repurchase agreement dated 28/2/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $533,072 (fully collateralized by Fannie Mae Pool, 3.00% – 3.50% due 5/1/31 – 9/1/32 and Ginnie Mae II Single Family, 4.50% due 2/20/49; Market value including accrued interest – $560,217)

    
(Cost: $533,000)      533,000       533,000  
      Shares         
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 5.8%

 

United States – 5.8%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(e)

    
(Cost: $1,159,060)(f)      1,159,060       1,159,060  

TOTAL INVESTMENTS IN LONG SECURITIES BEFORE SECURITIES SOLD SHORT – 105.9%

(Cost: $19,655,399)

 

 

    20,991,312  
Securities Sold Short    Principal
Amount
        
U.S. GOVERNMENT AGENCIES SOLD SHORT – (1.3)%

 

Uniform Mortgage-Backed Securities – (1.3)%

 

2.50%, 3/18/35(a)

   $ (100,000     (102,711

3.00%, 3/12/50(a)

     (75,000     (77,262

5.00%, 3/12/50(a)

     (75,000     (81,211
TOTAL INVESTMENTS IN SECURITIES SOLD SHORT
(Proceeds: $258,266)

 

    (261,184

Other Assets less Liabilities – (4.6)%

 

    (914,658
    

 

 

 
NET ASSETS – 100.0%

 

  $ 19,815,470  
^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

Security, or portion thereof, was on loan at February 29, 2020 (See Note 2).

 

(c) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

(d) 

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

 

(e) 

Rate shown represents annualized 7-day yield as of February 29, 2020.

 

(f) 

At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $1,160,369. The Fund also had security on loan having a total market value of $10,326 that was sold and pending settlement. The total market value of the collateral held by the Fund was $1,205,209. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $46,149.

 

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

5 Year U.S. Treasury Note

    65       6/30/20     $ (7,978,750   $ (86,305

U.S. Treasury Ultra Long Term Bond

    19       6/19/20       (3,942,500     (106,868

Ultra 10 Year U.S. Treasury Note

    82       6/19/20       (12,317,938     (240,570
                    $ (24,239,188   $ (433,743
 

As of February 29, 2020, deposits at broker for futures contracts of $290,258 included cash collateral of $409,652 and previously settled variation margin losses on open futures contracts of $119,394.

 

See Notes to Financial Statements.

 

84   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)

February 29, 2020

 

 

 

Investments    Principal
Amount
            Value  
U.S. CORPORATE BONDS – 1.5%

 

United States – 1.5%

 

General Electric Co.

 

4.13%, 9/19/35, Reg S

     10,000       EUR      $ 14,589  

4.88%, 9/18/37, Reg S

     10,000       GBP        15,317  

Goldman Sachs Group, Inc. (The)

 

4.75%, 10/12/21

     10,000       EUR        11,796  

1.38%, 5/15/24, Reg S

     15,000       EUR        17,014  

Morgan Stanley
2.38%, 3/31/21

     20,000       EUR        22,562  

TOTAL U.S. CORPORATE BONDS

(Cost: $79,270)

 

 

     81,278  
FOREIGN CORPORATE BONDS – 21.1%

 

Austria – 2.0%

 

KAF Kaerntner Ausgleichszahlungs-Fonds
0.01%, 1/14/32, Reg S

     15,000       EUR        16,467  

OMV AG

 

0.01%, 7/3/25, Reg S

     15,000       EUR        16,524  

1.00%, 12/14/26, Reg S

     25,000       EUR        29,266  

Telekom Finanzmanagement GmbH
3.13%, 12/3/21, Reg S

     25,000       EUR        29,070  

Vienna Insurance Group AG Wiener Versicherung Gruppe
3.75%, 3/2/46, Reg S, (3.75% fixed rate until 3/2/26; 3-month Euribor Rate + 3.939% thereafter)(a)

     15,000       EUR        18,564  
       

 

 

 
Total Austria

 

             109,891  
Belgium – 2.0%

 

Anheuser-Busch InBev S.A.

 

0.88%, 3/17/22, Reg S

     25,000       EUR        27,987  

1.75%, 3/7/25, Reg S

     10,000       GBP        13,075  

2.25%, 5/24/29, Reg S

     10,000       GBP        13,307  

1.50%, 4/18/30, Reg S

     25,000       EUR        29,443  

2.75%, 3/17/36, Reg S

     20,000       EUR        26,439  
       

 

 

 
Total Belgium

 

             110,251  
France – 3.0%

 

Caisse de Refinancement de l’Habitat S.A.
2.40%, 1/17/25

     10,000       EUR        12,502  

Credit Mutuel Home Loan SFH S.A.
0.88%, 4/7/26, Reg S

     20,000       EUR        23,599  

Electricite de France S.A.
5.63%, 2/21/33, Reg S

     10,000       EUR        17,483  

Engie Alliance GIE
5.75%, 6/24/23, Reg S

     10,000       EUR        13,169  

LVMH Moet Hennessy Louis Vuitton SE
0.38%, 5/26/22, Reg S

     25,000       EUR        27,791  

mFinance France S.A.
2.00%, 11/26/21, Reg S

     20,000       EUR        22,681  

Peugeot S.A.
2.00%, 3/23/24, Reg S

     25,000       EUR        29,071  

RCI Banque S.A.
1.63%, 5/26/26, Reg S

     15,000       EUR        16,634  
       

 

 

 
Total France

 

             162,930  
Germany – 8.4%

 

BASF Finance Europe N.V.
0.75%, 11/10/26, Reg S

     10,000       EUR      11,615  

Bayerische Landesbank
0.88%, 9/10/25, Reg S

     5,000       EUR        5,886  

Berlin Hyp AG
0.01%, 7/19/27, Reg S

     15,000       EUR        16,887  

Commerzbank AG

 

1.13%, 5/24/24, Reg S

     20,000       EUR        22,654  

1.25%, 1/9/34

     14,000       EUR        18,077  

Daimler AG
1.50%, 7/3/29, Reg S

     10,000       EUR        11,533  

Deutsche Bahn Finance GMBH
1.50%, 12/8/32, Reg S

     10,000       EUR        12,754  

Deutsche Pfandbriefbank AG
1.25%, 4/20/35, Reg S

     15,000       EUR        19,484  

Deutsche Post AG
2.88%, 12/11/24, Reg S

     5,000       EUR        6,270  

Deutsche Telekom AG

 

1.75%, 3/25/31, Reg S

     10,000       EUR        12,222  

3.13%, 2/6/34, Reg S

     10,000       GBP        14,252  

Deutsche Telekom International Finance B.V.

 

0.63%, 4/3/23, Reg S

     25,000       EUR        28,068  

0.88%, 1/30/24, Reg S

     25,000       EUR        28,469  

1.50%, 4/3/28, Reg S

     15,000       EUR        17,989  

2.25%, 4/13/29, Reg S

     5,000       GBP        6,643  

DZ HYP AG
0.38%, 3/31/26, Reg S

     10,000       EUR        11,498  

E.ON International Finance B.V.
6.38%, 6/7/32

     10,000       GBP        18,708  

E.ON SE
1.63%, 5/22/29, Reg S

     12,000       EUR        14,552  

Merck KGaA
2.63%, 12/12/74, Reg S, (2.625% fixed rate until 6/12/21; 5-year Euro Swap Rate + 2.184% until 6/12/26; 5-year Euro Swap Rate + 2.434% until 6/12/41; 5-year Euro Swap Rate + 3.184% thereafter)(a)

     6,000       EUR        6,745  

Muenchener Hypothekenbank eG
0.63%, 11/10/27, Reg S

     15,000       EUR        17,696  

NRW Bank

 

0.88%, 11/10/25, Reg S

     5,000       EUR        5,903  

0.63%, 2/2/29, Reg S

     10,000       EUR        11,880  

Siemens Financieringsmaatschappij N.V.
1.75%, 3/12/21, Reg S

     25,000       EUR        28,034  

UniCredit Bank AG

 

0.50%, 5/4/26, Reg S

     10,000       EUR        11,561  

0.85%, 5/22/34, Reg S

     15,000       EUR        18,447  

Volkswagen Bank GmbH
1.25%, 12/15/25, Reg S

     20,000       EUR        22,735  

Volkswagen Financial Services AG
1.38%, 10/16/23, Reg S

     25,000       EUR        28,380  

Volkswagen Leasing GmbH
1.13%, 4/4/24, Reg S

     25,000       EUR        28,106  
       

 

 

 
Total Germany

 

             457,048  

 

See Notes to Financial Statements.

 

WisdomTree Trust      85  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)

February 29, 2020

 

 

 

Investments    Principal
Amount
            Value  
Ireland – 0.9%

 

Fresenius Finance Ireland PLC
0.88%, 1/31/22, Reg S

     15,000       EUR      $ 16,721  

GE Capital European Funding Unlimited Co.

 

2.63%, 3/15/23, Reg S

     5,000       EUR        5,902  

6.03%, 3/1/38

     10,000       EUR        17,712  

GE Capital UK Funding Unlimited Co.
5.88%, 1/18/33

     5,000       GBP        8,649  
       

 

 

 
Total Ireland

 

             48,984  
Luxembourg – 0.6%

 

HeidelbergCement Finance Luxembourg S.A.
1.50%, 6/14/27, Reg S

     30,000       EUR        34,925  
Netherlands – 2.1%

 

ABN AMRO Bank N.V.
1.00%, 4/16/25, Reg S

     15,000       EUR        17,299  

BMW Finance N.V.

 

1.00%, 1/21/25, Reg S

     10,000       EUR        11,483  

0.38%, 9/24/27, Reg S

     50,000       EUR        54,915  

Evonik Finance B.V.
0.38%, 9/7/24, Reg S

     25,000       EUR        27,934  
       

 

 

 
Total Netherlands

 

             111,631  
Spain – 0.2%

 

Telefonica Europe B.V.
5.88%, 2/14/33, Reg S

     5,000       EUR        8,721  
Sweden – 0.4%

 

Vattenfall AB
5.38%, 4/29/24, Reg S

     15,000       EUR        20,226  
United Kingdom – 1.5%

 

Barclays Bank PLC
5.75%, 9/14/26

     10,000       GBP        15,708  

Broadgate Financing PLC
4.82%, 7/5/33, Series A4, Reg S

     10,000       GBP        17,761  

Hammerson PLC
7.25%, 4/21/28, Reg S

     1,000       GBP        1,678  

Legal & General Finance PLC
5.88%, 12/11/31

     10,000       GBP        18,709  

Lloyds Bank PLC
6.50%, 9/17/40, Reg S

     5,000       GBP        11,001  

Northumbrian Water Finance PLC
5.63%, 4/29/33, Reg S

     10,000       GBP        18,616  
       

 

 

 
Total United Kingdom

 

             83,473  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $1,132,661)

 

 

     1,148,080  
FOREIGN GOVERNMENT AGENCIES – 2.7%

 

France – 0.2%

 

Caisse d’Amortissement de la Dette Sociale
1.38%, 11/25/24, Reg S

     10,000       EUR        11,967  
Germany – 2.0%

 

Kreditanstalt fuer Wiederaufbau

 

0.13%, 10/4/24

     15,000       EUR        16,963  

0.63%, 2/22/27

     10,000       EUR        11,782  

0.63%, 1/7/28

     10,000       EUR        11,851  

Land Berlin
1.38%, 8/27/38, Series 506, Reg S

     10,000       EUR      13,529  

Landwirtschaftliche Rentenbank
0.38%, 1/22/24, Reg S

     10,000       EUR        11,376  

State of Hesse
0.88%, 12/10/24, Reg S

     10,000       EUR        11,690  

State of Lower Saxony
0.50%, 6/13/25, Reg S

     10,000       EUR        11,537  

State of North Rhine-Westphalia Germany

 

0.50%, 4/16/26, Series 1409, Reg S

     10,000       EUR        11,605  

1.55%, 6/16/48, Series 1439, Reg S

     5,000       EUR        7,403  
       

 

 

 
Total Germany

 

             107,736  
Netherlands – 0.2%

 

BNG Bank N.V.
1.13%, 9/4/24, Reg S

     10,000       EUR        11,778  
Spain – 0.3%

 

Autonomous Community of Madrid Spain
2.08%, 3/12/30, Reg S

     10,000       EUR        12,749  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $142,496)

 

 

     144,230  
FOREIGN GOVERNMENT OBLIGATIONS – 28.9%

 

Austria – 0.4%

 

Austria Government Bond
4.15%, 3/15/37, Reg S(b)

     13,000       EUR        24,626  
France – 3.0%

 

French Republic Government Bond OAT

 

2.50%, 5/25/30, Reg S

     40,000       EUR        56,638  

1.50%, 5/25/31, Reg S

     10,000       EUR        13,142  

1.25%, 5/25/34, Reg S

     5,000       EUR        6,530  

1.75%, 6/25/39, Reg S(b)

     10,000       EUR        14,387  

4.50%, 4/25/41, Reg S

     5,000       EUR        10,431  

3.25%, 5/25/45, Reg S

     15,000       EUR        28,286  

4.00%, 4/25/55, Reg S

     10,000       EUR        23,525  

1.75%, 5/25/66, Reg S(b)

     5,000       EUR        8,139  
       

 

 

 
Total France

 

             161,078  
Ireland – 0.3%

 

Ireland Government Bond
2.00%, 2/18/45, Reg S

     10,000       EUR        15,156  
Italy – 12.2%

 

Italy Buoni Poliennali Del Tesoro

 

0.05%, 4/15/21

     23,000       EUR        25,312  

0.45%, 6/1/21, Reg S

     10,000       EUR        11,060  

2.30%, 10/15/21, Reg S

     40,000       EUR        45,601  

1.00%, 7/15/22, Reg S

     20,000       EUR        22,450  

0.90%, 8/1/22, Reg S

     23,000       EUR        25,761  

0.05%, 1/15/23, Reg S(b)

     25,000       EUR        27,360  

0.95%, 3/1/23

     25,000       EUR        28,072  

0.65%, 10/15/23

     24,000       EUR        26,721  

1.85%, 5/15/24

     10,000       EUR        11,651  

0.35%, 2/1/25, Reg S

     35,000       EUR        38,133  

5.00%, 3/1/25, Reg S(b)

     10,000       EUR        13,405  

1.45%, 5/15/25, Reg S

     10,000       EUR        11,494  

1.50%, 6/1/25

     25,000       EUR        28,779  

2.50%, 11/15/25, Reg S

     10,000       EUR        12,133  

 

See Notes to Financial Statements.

 

86   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)

February 29, 2020

 

 

 

Investments    Principal
Amount
            Value  

2.00%, 12/1/25

     25,000       EUR      $ 29,591  

2.20%, 6/1/27

     20,000       EUR        24,077  

2.00%, 2/1/28, Reg S

     20,000       EUR        23,838  

4.75%, 9/1/28, Reg S(b)

     9,000       EUR        12,934  

2.80%, 12/1/28, Reg S

     20,000       EUR        25,293  

3.00%, 8/1/29, Reg S

     15,000       EUR        19,336  

3.50%, 3/1/30, Reg S(b)

     10,000       EUR        13,436  

1.35%, 4/1/30, Reg S

     20,000       EUR        22,431  

1.65%, 3/1/32, Reg S(b)

     10,000       EUR        11,427  

5.75%, 2/1/33

     25,000       EUR        41,566  

3.35%, 3/1/35, Reg S(b)

     20,000       EUR        27,233  

2.95%, 9/1/38, Reg S(b)

     25,000       EUR        32,639  

3.10%, 3/1/40, Reg S(b)

     12,000       EUR        15,952  

3.25%, 9/1/46, Reg S(b)

     10,000       EUR        13,721  

3.45%, 3/1/48, Reg S(b)

     3,000       EUR        4,266  

2.80%, 3/1/67, Reg S(b)

     15,000       EUR        18,772  
       

 

 

 
Total Italy

 

             664,444  
Japan – 2.4%

 

Japan Government Five Year Bond

 

0.10%, 3/20/21, Series 127

     900,000       JPY        8,372  

0.10%, 6/20/22, Series 132

     300,000       JPY        2,805  

0.10%, 12/20/22, Series 134

     1,200,000       JPY        11,241  

0.10%, 3/20/23, Series 135

     300,000       JPY        2,813  

Japan Government Forty Year Bond

 

0.40%, 3/20/56, Series 9

     350,000       JPY        3,347  

0.80%, 3/20/58, Series 11

     700,000       JPY        7,623  

Japan Government Ten Year Bond

 

0.60%, 9/20/23, Series 331

     1,500,000       JPY        14,337  

0.40%, 3/20/25, Series 338

     500,000       JPY        4,793  

0.30%, 12/20/25, Series 341

     700,000       JPY        6,707  

0.10%, 12/20/26, Series 345

     400,000       JPY        3,806  

0.10%, 6/20/28, Series 351

     2,100,000       JPY        20,028  

Japan Government Twenty Year Bond

 

2.10%, 12/20/30, Series 123

     1,100,000       JPY        12,656  

1.80%, 9/20/31, Series 130

     400,000       JPY        4,520  

1.20%, 9/20/35, Series 154

     500,000       JPY        5,455  

0.50%, 6/20/38, Series 165

     1,300,000       JPY        12,876  

0.30%, 9/20/39, Series 170

     950,000       JPY        9,058  
       

 

 

 
Total Japan

 

             130,437  
Poland – 0.2%

 

Republic of Poland Government International Bond
1.00%, 3/7/29, Reg S

     10,000       EUR        12,053  
Portugal – 0.3%

 

Portugal Obrigacoes do Tesouro OT
4.10%, 4/15/37, Reg S(b)

     10,000       EUR        16,887  
Spain – 3.1%

 

Spain Government Bond

 

1.40%, 7/30/28, Reg S(b)

     20,000       EUR        24,244  

1.45%, 4/30/29, Reg S(b)

     25,000       EUR        30,540  

0.60%, 10/31/29, Reg S(b)

     5,000       EUR        5,679  

1.95%, 7/30/30, Reg S(b)

     10,000       EUR        12,846  

4.20%, 1/31/37, Reg S(b)

     38,000       EUR        65,499  

2.90%, 10/31/46, Reg S(b)

     10,000       EUR        15,806  

3.45%, 7/30/66, Reg S(b)

     7,000       EUR        13,356  
       

 

 

 
Total Spain

 

             167,970  
United Kingdom – 7.0%

 

United Kingdom Gilt

 

1.50%, 1/22/21, Reg S

     10,000       GBP      12,890  

3.75%, 9/7/21, Reg S

     30,000       GBP        40,279  

1.00%, 4/22/24, Reg S

     15,000       GBP        19,705  

0.63%, 6/7/25, Reg S

     5,000       GBP        6,487  

2.00%, 9/7/25, Reg S

     20,000       GBP        27,988  

1.50%, 7/22/26, Reg S

     15,000       GBP        20,637  

0.88%, 10/22/29, Reg S

     22,000       GBP        29,316  

1.75%, 9/7/37, Reg S

     30,000       GBP        44,184  

4.75%, 12/7/38, Reg S

     10,000       GBP        21,560  

4.25%, 9/7/39, Reg S

     25,000       GBP        51,532  

1.50%, 7/22/47, Reg S

     12,000       GBP        17,429  

3.75%, 7/22/52, Reg S

     10,000       GBP        23,010  

4.25%, 12/7/55, Reg S

     10,000       GBP        26,034  

1.63%, 10/22/71, Reg S

     22,500       GBP        38,865  
       

 

 

 
Total United Kingdom

 

             379,916  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $1,518,806)

 

 

     1,572,567  
SUPRANATIONAL BONDS – 2.6%

 

Council of Europe Development Bank
0.13%, 4/10/24, Reg S

     8,000       EUR        9,032  

European Financial Stability Facility

 

0.38%, 10/11/24, Reg S

     10,000       EUR        11,423  

1.25%, 5/24/33, Reg S

     10,000       EUR        13,005  

1.45%, 9/5/40, Reg S

     10,000       EUR        13,977  

European Investment Bank

 

2.13%, 1/15/24

     5,000       EUR        6,069  

0.50%, 1/15/27

     20,000       EUR        23,416  

0.88%, 1/14/28, Reg S

     10,000       EUR        12,100  

1.50%, 11/15/47

     10,000       EUR        15,189  

European Stability Mechanism
0.50%, 3/5/29, Reg S

     15,000       EUR        17,723  

European Union
2.50%, 11/4/27, Reg S

     10,000       EUR        13,466  

International Bank for Reconstruction & Development
0.25%, 1/10/50, Series GDIF

     5,000       EUR        5,580  

TOTAL SUPRANATIONAL BONDS

(Cost: $138,922)

 

 

     140,980  
      Shares                 
EXCHANGE-TRADED FUND – 43.4%

 

United States – 43.4%

 

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

       
(Cost: $2,203,182)      43,895                2,361,112  

TOTAL INVESTMENTS IN SECURITIES – 100.2%

(Cost: $5,215,337)

 

 

     5,448,247  

Other Assets less Liabilities – (0.2)%

 

     (11,207
       

 

 

 
NET ASSETS – 100.0%

 

   $ 5,437,040  
 

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

 

(a) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

See Notes to Financial Statements.

 

WisdomTree Trust      87  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)

February 29, 2020

 

 

 

(b) 

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

 

(c) 

Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period.

 

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 29, 2020 were as follows:

 

               

Investment In Affiliates

  Value at
8/31/2019
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/29/2020
    Dividend
Income
 

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

  $ 1,190,982     $ 1,517,451     $ 405,594     $ 9,666     $ 48,607     $ 2,361,112     $ 23,787  

 

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

Bank of America N.A.

    3/4/2020       470,941       USD       424,200       EUR     $ 4,949     $  

Bank of America N.A.

    3/4/2020       118,574       USD       89,880       GBP       3,767        

Bank of America N.A.

    3/4/2020       27,178       USD       2,941,050       JPY             (89

Goldman Sachs

    3/4/2020       175,000       EUR       192,236       USD             (8

Goldman Sachs

    3/4/2020       2,020,000       EUR       2,218,956       USD       51        

Goldman Sachs

    3/4/2020       428,000       GBP       546,687       USD       13        

Goldman Sachs

    3/4/2020       3,812       GBP       4,869       USD             (0 )* 

Goldman Sachs

    3/4/2020       14,005,000       JPY       129,843       USD       3        

Goldman Sachs

    3/4/2020       649       USD       871       CAD             (0 )* 

Goldman Sachs

    3/4/2020       470,916       USD       424,200       EUR       4,925        

Goldman Sachs

    3/4/2020       118,574       USD       89,880       GBP       3,767        

Goldman Sachs

    3/4/2020       27,177       USD       2,941,050       JPY             (91

Goldman Sachs

    3/4/2020       501       USD       53,994       JPY       0 *       

Goldman Sachs

    4/3/2020       2,404,603       USD       2,185,000       EUR             (98

Goldman Sachs

    4/3/2020       556,086       USD       435,000       GBP             (27

Goldman Sachs

    4/3/2020       130,149       USD       14,015,000       JPY             (4

HSBC Holdings PLC

    3/4/2020       470,904       USD       424,200       EUR       4,913        

HSBC Holdings PLC

    3/4/2020       118,568       USD       89,880       GBP       3,761        

HSBC Holdings PLC

    3/4/2020       27,177       USD       2,941,050       JPY             (91

Morgan Stanley & Co. International

    3/4/2020       829,678       USD       747,400       EUR       8,646        

Morgan Stanley & Co. International

    3/4/2020       208,915       USD       158,360       GBP       6,636        

Morgan Stanley & Co. International

    3/4/2020       47,879       USD       5,181,850       JPY             (163
                                            $ 41,431     $ (571
* 

Amount represents less than $1.

 

 

See Notes to Financial Statements.

 

88   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 24.9%      
Federal Home Loan Mortgage Corporation – 4.6%

 

5.50%, 12/1/33

   $ 444,354      $ 502,026  

6.50%, 3/1/36

     300,609        337,595  

5.00%, 6/1/37

     2,650        3,012  

6.00%, 9/1/37

     235,485        272,865  

5.50%, 2/1/40

     10,095        11,619  

4.50%, 8/1/40

     217,798        240,173  

4.00%, 11/1/40

     20,160        21,887  

5.00%, 3/1/41

     326,247        370,123  

5.50%, 6/1/41

     298,808        344,544  

5.00%, 7/1/41

     9,027        10,221  

3.50%, 10/1/41

     743,631        791,407  

3.50%, 2/1/42

     297,332        316,549  

5.00%, 2/1/42

     460,599        518,055  

4.00%, 4/1/42

     841,497        916,287  

3.50%, 6/1/42

     71,979        76,646  

3.00%, 7/1/42

     339,418        355,404  

3.50%, 8/1/42

     340,239        362,315  

3.50%, 9/1/42

     343,401        365,684  

3.00%, 3/1/43

     497,494        520,929  

3.00%, 7/1/43

     1,004,518        1,062,383  

3.50%, 7/1/43

     420,777        448,069  

3.00%, 8/1/43

     95,987        100,462  

3.50%, 1/1/44

     1,029,536        1,097,529  

3.00%, 2/1/44

     228,973        239,747  

3.50%, 2/1/44

     216,106        229,307  

4.00%, 4/1/44

     623,817        676,608  

3.50%, 5/1/44

     92,076        97,374  

4.50%, 5/1/44

     16,314        17,811  

3.50%, 7/1/44

     94,786        100,328  

4.50%, 7/1/44

     183,939        200,917  

4.00%, 8/1/44

     694,146        765,415  

3.50%, 10/1/44

     31,618        33,455  

4.50%, 11/1/44

     196,672        214,786  

3.50%, 12/1/44

     462,420        489,323  

3.50%, 1/1/45

     93,959        99,860  

4.00%, 2/1/45

     177,049        190,317  

4.00%, 3/1/45

     16,976        18,400  

3.00%, 4/1/45

     29,321        30,656  

3.00%, 5/1/45

     119,085        124,690  

3.50%, 5/1/45

     197,768        208,945  

3.50%, 6/1/45

     97,402        103,060  

4.00%, 6/1/45

     255,028        275,790  

3.00%, 7/1/45

     30,685        32,157  

3.00%, 8/1/45

     124,037        129,865  

3.50%, 8/1/45

     1,112,848        1,186,173  

3.50%, 9/1/45

     578,790        612,576  

4.00%, 9/1/45

     159,026        171,459  

3.50%, 10/1/45

     215,370        227,919  

4.00%, 10/1/45

     172,948        186,478  

3.50%, 11/1/45

     103,436        109,535  

4.00%, 11/1/45

     130,004        140,176  

4.50%, 11/1/45

     893,936        978,413  

3.00%, 12/1/45

     125,445        131,338  

4.50%, 12/1/45

     284,389        310,628  

4.00%, 2/1/46

     201,625        217,124  

3.50%, 3/1/46

     247,580        262,021  

4.00%, 3/1/46

     1,087,758        1,176,638  

3.00%, 4/1/46

   643,031      673,171  

3.50%, 4/1/46

     984,673        1,040,981  

4.50%, 4/1/46

     633,037        698,303  

3.50%, 5/1/46

     334,756        353,694  

3.00%, 6/1/46

     137,326        143,764  

3.50%, 6/1/46

     327,928        347,452  

3.00%, 9/1/46

     978,909        1,024,951  

3.50%, 9/1/46

     250,467        265,457  

2.50%, 10/1/46

     122,532        125,896  

3.00%, 10/1/46

     106,217        112,069  

3.50%, 10/1/46

     93,426        98,820  

3.00%, 11/1/46

     1,344,286        1,404,445  

3.50%, 11/1/46

     32,934        34,823  

4.00%, 11/1/46

     56,533        60,538  

4.50%, 11/1/46

     609,571        665,484  

3.00%, 12/1/46

     493,512        515,181  

3.00%, 1/1/47

     877,466        916,847  

4.00%, 1/1/47

     255,125        272,926  

3.00%, 2/1/47

     764,106        798,333  

3.00%, 4/1/47

     1,089,497        1,137,797  

3.50%, 4/1/47

     716,296        754,978  

4.00%, 4/1/47

     248,729        265,813  

3.50%, 5/1/47

     355,281        374,559  

4.00%, 5/1/47

     210,552        224,373  

4.50%, 5/1/47

     52,730        57,129  

4.00%, 6/1/47

     333,996        356,339  

3.00%, 7/1/47

     233,620        243,120  

3.50%, 7/1/47

     372,374        393,038  

4.00%, 7/1/47

     571,851        611,923  

3.50%, 8/1/47

     379,864        400,496  

4.00%, 8/1/47

     1,114,965        1,190,169  

4.50%, 8/1/47

     247,154        268,104  

3.50%, 9/1/47

     842,447        888,459  

4.50%, 9/1/47

     295,932        320,407  

4.50%, 10/1/47

     132,868        144,061  

3.50%, 11/1/47

     1,018,661        1,075,899  

3.50%, 12/1/47

     532,588        562,039  

3.50%, 1/1/48

     309,046        327,098  

4.50%, 2/1/48

     199,511        216,115  

3.50%, 5/1/48

     531,158        557,544  

3.50%, 7/1/48

     1,307,137        1,364,495  

4.00%, 8/1/48

     882,111        930,775  

5.00%, 8/1/48

     164,531        178,438  

3.00%, 9/1/48

     801,308        837,216  

4.00%, 9/1/48

     2,121,862        2,243,267  

4.50%, 10/1/48

     589,689        631,217  

5.00%, 11/1/48

     306,925        332,636  

3.00%, 12/1/48

     1,412,709        1,463,170  

4.00%, 12/1/48

     327,974        346,332  

4.50%, 12/1/48

     156,503        167,178  

5.00%, 12/1/48

     116,540        126,234  

4.00%, 1/1/49

     140,843        148,600  

3.50%, 2/1/49

     261,597        272,240  

4.50%, 3/1/49

     118,057        126,315  

5.00%, 3/1/49

     707,699        766,374  

4.00%, 5/1/49

     1,942,982        2,051,318  

4.50%, 5/1/49

     404,669        432,167  

4.00%, 6/1/49

     399,985        427,307  

4.50%, 7/1/49

     421,730        450,698  

 

See Notes to Financial Statements.

 

WisdomTree Trust      89  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.50%, 8/1/49

   $ 289,141      $ 295,153  

3.00%, 8/1/49

     2,224,753        2,295,076  

5.00%, 10/1/49

     1,836,512        1,987,744  

5.50%, 10/1/49

     1,644,184        1,797,878  

3.00%, 12/1/49

     1,482,507        1,528,482  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     60,157,978  
Federal National Mortgage Association – 19.4%

 

6.00%, 9/1/32

     221,043        256,006  

6.00%, 12/1/32

     460,227        517,971  

5.00%, 8/1/33

     374,489        419,958  

5.50%, 10/1/35

     45,885        52,435  

5.50%, 4/1/37

     415,365        470,627  

5.00%, 5/1/38

     15,220        17,197  

6.00%, 5/1/38

     40,282        47,393  

5.50%, 6/1/38

     123,271        142,144  

5.50%, 11/1/38

     3,088        3,560  

4.50%, 9/1/39

     655,833        723,414  

5.00%, 9/1/39

     279,089        314,219  

5.50%, 10/1/39

     129,248        148,982  

4.50%, 11/1/39

     138,759        153,055  

5.50%, 4/1/40

     17,673        20,315  

4.50%, 8/1/40

     335,793        371,716  

4.50%, 9/1/40

     197,492        217,933  

4.00%, 10/1/40

     214,909        233,484  

3.50%, 1/1/41

     419,923        446,941  

4.50%, 2/1/41

     95,421        105,312  

6.00%, 7/1/41

     619,158        726,616  

4.50%, 8/1/41

     255,492        281,946  

4.00%, 9/1/41

     91,083        98,981  

5.50%, 9/1/41

     67,174        77,444  

4.00%, 10/1/41

     966,800        1,069,390  

4.00%, 11/1/41

     123,447        134,147  

4.00%, 1/1/42

     237,148        258,371  

4.50%, 1/1/42

     215,205        237,864  

6.00%, 1/1/42

     348,007        408,424  

3.00%, 3/1/42

     337,063        352,765  

3.50%, 6/1/42

     595,939        634,305  

4.00%, 6/1/42

     548,733        596,158  

4.00%, 9/1/42

     322,180        358,259  

3.00%, 10/1/42

     454,539        479,374  

4.00%, 12/1/42

     167,556        182,040  

4.00%, 2/1/43

     246,704        267,826  

2.50%, 3/1/43

     25,288        25,969  

3.00%, 4/1/43

     965,236        1,010,239  

2.50%, 5/1/43

     92,658        95,156  

3.00%, 5/1/43

     236,765        247,803  

3.50%, 5/1/43

     54,230        57,721  

3.00%, 6/1/43

     678,255        714,121  

3.00%, 7/1/43

     652,787        689,165  

3.50%, 7/1/43

     1,507,420        1,634,819  

3.00%, 8/1/43

     2,123,996        2,243,143  

3.50%, 8/1/43

     1,083,251        1,157,176  

4.00%, 8/1/43

     82,437        89,303  

3.00%, 9/1/43

     2,985,852        3,119,635  

4.00%, 9/1/43

     451,537        490,949  

4.50%, 9/1/43

     36,296        40,054  

3.50%, 10/1/43

     324,976        345,726  

3.50%, 11/1/43

     486,441        517,602  

4.00%, 11/1/43

   425,719      467,465  

3.50%, 12/1/43

     681,176        724,925  

4.00%, 1/1/44

     757,773        828,585  

4.00%, 2/1/44

     201,018        219,264  

4.00%, 3/1/44

     194,838        211,387  

4.00%, 5/1/44

     16,834        18,228  

4.50%, 5/1/44

     195,067        213,325  

3.50%, 6/1/44

     285,535        303,772  

4.00%, 6/1/44

     84,442        91,952  

4.00%, 7/1/44

     486,835        530,880  

3.00%, 8/1/44

     980,393        1,010,796  

3.50%, 8/1/44

     35,905        38,726  

4.00%, 8/1/44

     98,167        106,354  

4.00%, 9/1/44

     337,449        365,593  

3.00%, 10/1/44

     711,004        744,115  

4.00%, 10/1/44

     318,548        345,116  

4.00%, 11/1/44

     348,683        380,751  

5.00%, 11/1/44

     292,785        329,151  

4.00%, 12/1/44

     113,338        122,791  

3.00%, 1/1/45

     11,624        12,164  

3.50%, 2/1/45

     1,771,052        1,884,189  

4.00%, 2/1/45

     83,785        90,774  

3.00%, 4/1/45

     289,621        303,112  

3.00%, 5/1/45

     705,462        740,558  

3.50%, 5/1/45

     149,022        157,677  

3.00%, 6/1/45

     241,500        252,749  

3.50%, 6/1/45

     333,588        353,084  

4.00%, 6/1/45

     1,239,827        1,342,403  

3.50%, 7/1/45

     288,319        305,065  

3.50%, 8/1/45

     852,578        913,266  

3.50%, 9/1/45

     6,672,764        7,060,354  

4.00%, 9/1/45

     596,832        644,680  

3.00%, 10/1/45

     120,324        125,926  

3.50%, 10/1/45

     190,979        203,116  

4.00%, 10/1/45

     566,549        611,385  

4.50%, 10/1/45

     247,930        273,452  

3.00%, 11/1/45

     115,491        120,865  

3.50%, 11/1/45

     337,554        357,391  

4.00%, 11/1/45

     227,732        243,301  

3.00%, 12/1/45

     1,954,983        2,053,222  

3.50%, 12/1/45

     523,468        553,875  

3.00%, 1/1/46

     272,915        285,618  

3.50%, 1/1/46

     162,321        171,684  

3.00%, 2/1/46

     269,234        281,758  

3.50%, 2/1/46

     1,025,747        1,088,399  

3.50%, 3/1/46

     189,055        199,863  

3.50%, 4/1/46

     2,510,020        2,655,007  

4.00%, 4/1/46

     136,350        146,563  

3.50%, 5/1/46

     415,584        439,036  

4.50%, 5/1/46

     88,780        96,952  

3.00%, 6/1/46

     114,728        120,002  

3.50%, 6/1/46

     217,131        229,311  

4.50%, 6/1/46

     185,614        202,703  

3.50%, 7/1/46

     747,235        789,019  

4.00%, 7/1/46

     114,573        122,963  

2.50%, 8/1/46

     19,449        19,974  

2.50%, 9/1/46

     46,917        48,182  

3.00%, 9/1/46

     1,240,913        1,297,314  

4.00%, 9/1/46

     279,280        302,916  

 

See Notes to Financial Statements.

 

90   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.50%, 10/1/46

   $ 58,769      $ 60,354  

3.00%, 10/1/46

     6,422,823        6,712,667  

4.00%, 10/1/46

     191,862        205,588  

2.50%, 11/1/46

     40,517        41,610  

3.00%, 11/1/46

     3,659,167        3,830,564  

2.50%, 12/1/46

     86,220        88,546  

3.00%, 12/1/46

     2,113,908        2,209,239  

3.50%, 12/1/46

     1,023,507        1,088,504  

4.00%, 12/1/46

     187,909        199,794  

2.50%, 1/1/47

     117,421        120,580  

3.00%, 1/1/47

     819,231        857,599  

3.50%, 1/1/47

     913,690        965,192  

4.50%, 1/1/47

     213,454        232,884  

5.50%, 1/1/47

     476,564        545,002  

3.00%, 2/1/47

     1,378,382        1,439,018  

3.50%, 2/1/47

     3,812,785        4,056,449  

4.00%, 2/1/47

     1,015,919        1,102,491  

3.50%, 3/1/47

     527,616        555,881  

4.00%, 3/1/47

     222,084        237,255  

4.50%, 3/1/47

     134,612        146,597  

3.00%, 4/1/47

     2,487,891        2,598,556  

3.50%, 4/1/47

     1,423,860        1,500,251  

4.00%, 4/1/47

     413,226        441,280  

4.50%, 4/1/47

     365,500        398,558  

3.50%, 5/1/47

     3,821,196        4,049,582  

4.00%, 5/1/47

     5,520,026        5,902,420  

4.50%, 5/1/47

     812,691        891,813  

3.50%, 6/1/47

     311,931        328,668  

4.00%, 6/1/47

     1,107,348        1,182,876  

3.50%, 7/1/47

     1,349,560        1,442,069  

4.00%, 7/1/47

     836,054        893,556  

4.50%, 7/1/47

     774,420        839,527  

5.00%, 7/1/47

     415,603        469,841  

3.50%, 8/1/47

     2,039,563        2,153,468  

4.00%, 8/1/47

     3,953,388        4,231,442  

3.00%, 9/1/47

     184,505        191,813  

4.00%, 9/1/47

     935,896        997,199  

4.50%, 9/1/47

     419,809        456,885  

3.00%, 10/1/47

     819,538        850,733  

3.50%, 10/1/47

     257,775        271,941  

4.00%, 10/1/47

     1,350,615        1,439,199  

4.50%, 10/1/47

     437,996        476,474  

3.50%, 11/1/47

     571,438        601,947  

4.50%, 11/1/47

     583,307        634,528  

3.00%, 12/1/47

     706,690        733,106  

3.50%, 12/1/47

     2,010,116        2,119,153  

4.00%, 12/1/47

     748,242        791,861  

3.00%, 1/1/48

     2,247,257        2,326,990  

3.50%, 1/1/48

     584,824        617,113  

3.50%, 2/1/48

     81,720        86,095  

4.00%, 4/1/48

     1,133,497        1,202,981  

3.50%, 5/1/48

     753,114        791,239  

4.00%, 5/1/48

     712,341        759,577  

4.50%, 5/1/48

     438,877        472,109  

5.00%, 5/1/48

     346,485        376,210  

3.50%, 6/1/48

     301,328        315,905  

4.00%, 6/1/48

     369,468        392,256  

4.50%, 6/1/48

     728,471        781,914  

5.00%, 6/1/48

     91,085        98,725  

3.50%, 7/1/48

   1,956,189      2,066,771  

4.00%, 7/1/48

     2,319,502        2,450,570  

4.50%, 7/1/48

     601,945        646,985  

3.50%, 8/1/48

     1,805,591        1,889,523  

4.00%, 8/1/48

     872,956        924,088  

4.50%, 8/1/48

     545,607        585,101  

5.00%, 8/1/48

     560,176        608,062  

3.00%, 9/1/48

     526,395        552,108  

3.50%, 9/1/48

     882,577        921,953  

4.00%, 9/1/48

     6,250,546        6,611,897  

4.00%, 10/1/48

     1,660,177        1,755,267  

4.50%, 10/1/48

     310,258        332,412  

3.00%, 11/1/48

     4,180,125        4,360,576  

3.50%, 11/1/48

     7,337,019        7,704,390  

4.50%, 11/1/48

     1,958,058        2,107,293  

5.00%, 11/1/48

     452,406        490,278  

3.50%, 12/1/48

     1,019,109        1,061,078  

4.00%, 12/1/48

     3,880,785        4,093,728  

4.50%, 12/1/48

     2,099,605        2,243,468  

5.00%, 12/1/48

     116,600        126,255  

4.00%, 1/1/49

     3,343,790        3,524,994  

4.50%, 1/1/49

     1,316,170        1,413,192  

3.00%, 2/1/49

     952,026        992,960  

3.50%, 2/1/49

     928,626        964,962  

4.00%, 2/1/49

     1,796,950        1,893,093  

4.50%, 2/1/49

     506,215        539,985  

5.00%, 2/1/49

     626,427        678,329  

3.50%, 3/1/49

     1,029,819        1,070,058  

4.00%, 3/1/49

     1,795,069        1,893,469  

4.50%, 3/1/49

     1,791,170        1,914,124  

5.00%, 3/1/49

     47,903        51,925  

3.00%, 4/1/49

     336,825        347,270  

3.50%, 4/1/49

     2,162,898        2,251,112  

4.00%, 4/1/49

     1,272,507        1,341,466  

4.50%, 4/1/49

     434,142        463,904  

3.00%, 5/1/49

     413,139        426,043  

3.50%, 5/1/49

     4,730,239        4,914,715  

4.00%, 5/1/49

     947,084        999,118  

4.50%, 5/1/49

     4,020,588        4,310,026  

5.00%, 5/1/49

     355,677        385,673  

3.00%, 6/1/49

     2,201,539        2,269,811  

3.50%, 6/1/49

     7,930,563        8,248,435  

4.00%, 6/1/49

     947,930        999,701  

4.50%, 6/1/49

     1,188,737        1,272,092  

3.50%, 7/1/49

     5,167,888        5,377,803  

3.00%, 8/1/49

     4,522,051        4,662,644  

4.00%, 8/1/49

     1,018,327        1,075,638  

2.50%, 9/1/49

     2,074,416        2,117,548  

3.00%, 9/1/49

     10,130,895        10,470,806  

3.50%, 9/1/49

     1,392,267        1,452,653  

3.00%, 10/1/49

     4,110,740        4,243,051  

4.00%, 10/1/49

     956,168        1,008,024  

2.50%, 11/1/49

     2,257,253        2,304,187  

2.50%, 12/1/49

     1,561,414        1,593,879  

3.00%, 12/1/49

     3,004,646        3,098,101  

3.00%, 2/1/50

     1,920,267        1,989,177  

2.50%, 3/1/50

     200,000        204,159  
     

 

 

 
Total Federal National Mortgage Association

 

     251,559,805  

 

See Notes to Financial Statements.

 

WisdomTree Trust      91  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
Uniform Mortgage-Backed Securities – 0.9%

 

2.50%, 3/12/50(a)

   $ 700,000      $ 714,288  

3.00%, 3/12/50(a)

     3,400,000        3,502,531  

3.50%, 3/12/50(a)

     1,600,000        1,661,860  

4.00%, 3/12/50(a)

     400,000        421,422  

5.00%, 3/12/50(a)

     500,000        541,406  

5.50%, 3/12/50(a)

     500,000        544,794  

2.50%, 4/15/50(a)

     1,000,000        1,019,197  

3.00%, 4/15/50(a)

     1,700,000        1,749,066  

3.50%, 4/15/50(a)

     1,000,000        1,038,163  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     11,192,727  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $315,411,492)

 

 

     322,910,510  
U.S. GOVERNMENT OBLIGATIONS – 17.8%

 

U.S. Treasury Bonds – 3.8%

 

8.13%, 5/15/21

     750,000        813,318  

8.13%, 8/15/21

     500,000        551,288  

8.00%, 11/15/21

     750,000        839,458  

7.25%, 8/15/22

     700,000        808,213  

7.13%, 2/15/23

     55,000        65,054  

6.25%, 8/15/23

     175,000        206,910  

7.50%, 11/15/24

     175,000        228,023  

6.25%, 5/15/30

     2,760,000        4,124,313  

5.38%, 2/15/31

     2,477,000        3,552,076  

4.50%, 2/15/36

     1,589,000        2,313,640  

4.75%, 2/15/37

     493,000        747,290  

4.50%, 5/15/38

     180,000        269,747  

3.50%, 2/15/39

     285,000        382,479  

4.50%, 8/15/39

     876,000        1,328,372  

4.38%, 11/15/39

     725,000        1,085,121  

4.63%, 2/15/40

     375,000        579,521  

4.38%, 5/15/40

     475,000        713,938  

3.88%, 8/15/40

     678,000        959,529  

4.25%, 11/15/40

     250,000        371,094  

4.75%, 2/15/41

     1,000,000        1,579,492  

4.38%, 5/15/41

     825,000        1,248,054  

3.75%, 8/15/41

     239,000        334,269  

3.13%, 11/15/41

     750,000        963,310  

3.13%, 2/15/42

     330,000        424,475  

3.00%, 5/15/42

     250,000        315,542  

2.75%, 8/15/42

     350,000        424,840  

2.75%, 11/15/42

     700,000        849,885  

3.13%, 2/15/43

     1,000,000        1,286,875  

2.88%, 5/15/43

     535,000        662,919  

3.63%, 8/15/43

     184,000        255,562  

3.63%, 2/15/44

     1,500,000        2,088,457  

3.38%, 5/15/44

     500,000        671,650  

3.00%, 11/15/45

     500,000        638,144  

2.50%, 5/15/46

     1,500,000        1,759,805  

2.25%, 8/15/46

     1,575,000        1,765,692  

2.88%, 11/15/46

     1,850,000        2,328,940  

3.00%, 2/15/47

     1,400,000        1,805,043  

3.00%, 5/15/47

     1,075,000        1,386,792  

2.75%, 8/15/47

     475,000        587,228  

2.75%, 11/15/47

     840,000        1,040,009  

3.00%, 2/15/48

     1,625,000        2,106,755  

3.13%, 5/15/48

     1,325,000        1,759,559  

3.00%, 8/15/48

   625,000      814,075  

3.38%, 11/15/48

     700,000        974,709  

3.00%, 2/15/49

     400,000        523,219  

2.25%, 8/15/49

     160,000        181,719  

2.00%, 2/15/50

     250,000        269,707  
     

 

 

 
Total U.S. Treasury Bonds

 

     48,986,110  
U.S. Treasury Notes – 14.0%

 

1.38%, 4/30/21

     1,000,000        1,003,477  

2.25%, 4/30/21

     1,345,000        1,363,940  

1.38%, 5/31/21

     1,000,000        1,004,297  

2.00%, 5/31/21

     1,365,000        1,381,316  

2.63%, 6/15/21

     1,700,000        1,734,996  

1.13%, 6/30/21

     1,250,000        1,251,782  

1.63%, 6/30/21

     1,000,000        1,008,242  

2.13%, 6/30/21

     1,000,000        1,015,000  

2.63%, 7/15/21

     1,500,000        1,533,135  

1.13%, 7/31/21

     2,300,000        2,304,672  

2.13%, 8/15/21

     1,260,000        1,280,967  

2.75%, 8/15/21

     1,000,000        1,025,645  

1.13%, 8/31/21

     2,700,000        2,706,223  

1.50%, 8/31/21

     3,500,000        3,527,754  

2.00%, 8/31/21

     1,000,000        1,015,391  

2.75%, 9/15/21

     1,500,000        1,540,928  

1.13%, 9/30/21

     3,400,000        3,408,900  

1.50%, 9/30/21

     2,000,000        2,017,187  

2.13%, 9/30/21

     1,000,000        1,018,477  

1.25%, 10/31/21

     1,800,000        1,809,422  

1.50%, 10/31/21

     1,210,000        1,221,296  

2.00%, 10/31/21

     2,200,000        2,238,543  

2.00%, 11/15/21

     2,000,000        2,036,328  

1.75%, 11/30/21

     1,600,000        1,623,000  

1.88%, 11/30/21

     1,500,000        1,524,902  

2.63%, 12/15/21

     750,000        772,559  

2.00%, 12/31/21

     3,200,000        3,262,562  

2.13%, 12/31/21

     1,800,000        1,839,445  

1.50%, 1/31/22

     1,760,000        1,780,041  

1.88%, 1/31/22

     2,400,000        2,444,250  

2.00%, 2/15/22

     1,225,000        1,251,271  

1.75%, 2/28/22

     1,300,000        1,321,937  

1.88%, 2/28/22

     2,150,000        2,191,320  

1.75%, 3/31/22

     1,500,000        1,526,748  

1.88%, 3/31/22

     2,000,000        2,040,430  

2.25%, 4/15/22

     1,500,000        1,542,656  

1.75%, 4/30/22

     1,280,000        1,303,625  

1.88%, 4/30/22

     1,000,000        1,021,094  

1.75%, 5/15/22

     1,000,000        1,019,082  

1.75%, 5/31/22

     2,500,000        2,548,145  

1.88%, 5/31/22

     3,500,000        3,577,383  

1.75%, 6/15/22

     3,701,000        3,774,586  

1.75%, 6/30/22

     2,250,000        2,295,176  

1.75%, 7/15/22

     2,800,000        2,856,820  

1.88%, 7/31/22

     1,998,000        2,045,374  

2.00%, 7/31/22

     1,710,000        1,755,923  

1.50%, 8/15/22

     1,900,000        1,929,057  

1.63%, 8/15/22

     1,000,000        1,018,281  

1.63%, 8/31/22

     1,000,000        1,018,477  

1.50%, 9/15/22

     1,500,000        1,523,672  

1.75%, 9/30/22

     2,000,000        2,044,766  

 

See Notes to Financial Statements.

 

92   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

1.88%, 9/30/22

   $ 880,000      $ 902,550  

1.38%, 10/15/22

     2,000,000        2,025,781  

1.88%, 10/31/22

     3,325,000        3,412,151  

2.00%, 10/31/22

     300,000        308,871  

1.63%, 11/15/22

     2,785,000        2,840,319  

2.00%, 11/30/22

     2,785,000        2,869,475  

1.63%, 12/15/22

     1,800,000        1,837,160  

2.13%, 12/31/22

     2,840,000        2,939,067  

1.50%, 1/15/23

     2,000,000        2,035,273  

1.75%, 1/31/23

     800,000        820,156  

2.38%, 1/31/23

     400,000        417,195  

2.00%, 2/15/23

     780,000        805,700  

1.50%, 2/28/23

     750,000        763,857  

1.50%, 3/31/23

     750,000        764,209  

1.63%, 4/30/23

     700,000        716,270  

2.75%, 4/30/23

     600,000        634,910  

1.75%, 5/15/23

     900,000        924,557  

1.63%, 5/31/23

     750,000        767,681  

2.75%, 5/31/23

     1,230,000        1,303,295  

1.38%, 6/30/23

     480,000        487,716  

2.63%, 6/30/23

     1,215,000        1,284,340  

1.25%, 7/31/23

     680,000        688,354  

2.50%, 8/15/23

     750,000        791,060  

1.38%, 8/31/23

     380,000        386,279  

2.75%, 8/31/23

     625,000        664,905  

1.38%, 9/30/23

     500,000        508,399  

2.88%, 9/30/23

     3,210,000        3,433,822  

1.63%, 10/31/23

     375,000        384,932  

2.88%, 10/31/23

     1,745,000        1,869,025  

2.75%, 11/15/23

     750,000        800,625  

2.13%, 11/30/23

     580,000        606,202  

2.88%, 11/30/23

     1,745,000        1,871,649  

2.25%, 12/31/23

     810,000        851,212  

2.63%, 12/31/23

     750,000        798,574  

2.25%, 1/31/24

     750,000        788,862  

2.50%, 1/31/24

     250,000        265,332  

2.75%, 2/15/24

     635,000        680,579  

2.38%, 2/29/24

     3,500,000        3,701,797  

2.13%, 3/31/24

     1,750,000        1,835,518  

2.00%, 4/30/24

     170,000        177,567  

2.25%, 4/30/24

     1,000,000        1,054,688  

2.50%, 5/15/24

     500,000        532,783  

2.00%, 5/31/24

     1,750,000        1,829,263  

2.00%, 6/30/24

     800,000        837,063  

1.75%, 7/31/24

     1,000,000        1,036,230  

2.13%, 7/31/24

     500,000        526,250  

2.38%, 8/15/24

     2,500,000        2,659,424  

1.25%, 8/31/24

     2,500,000        2,536,816  

1.88%, 8/31/24

     1,100,000        1,146,385  

1.50%, 9/30/24

     1,615,000        1,657,394  

2.13%, 9/30/24

     1,800,000        1,897,312  

1.50%, 10/31/24

     2,000,000        2,053,320  

2.25%, 10/31/24

     1,500,000        1,591,025  

2.25%, 11/15/24

     2,900,000        3,077,115  

1.50%, 11/30/24

     2,000,000        2,054,609  

2.13%, 11/30/24

     2,000,000        2,111,602  

1.75%, 12/31/24

     2,525,000        2,624,175  

2.25%, 12/31/24

     1,500,000        1,593,838  

1.38%, 1/31/25

     1,974,000        2,017,605  

2.50%, 1/31/25

   2,700,000      2,904,662  

2.00%, 2/15/25

     4,000,000        4,207,734  

2.88%, 5/15/49

     350,000        448,267  

2.38%, 11/15/49

     325,000        379,088  
     

 

 

 
Total U.S. Treasury Notes

 

     182,042,374  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $220,960,178)

 

 

     231,028,484  
U.S. CORPORATE BONDS – 34.2%

 

United States – 34.2%

 

3M Co.

     

2.25%, 9/19/26

     180,000        185,361  

2.88%, 10/15/27

     250,000        264,882  

ABB Finance USA, Inc.
3.80%, 4/3/28

     17,000        19,400  

Abbott Laboratories
3.75%, 11/30/26

     394,000        444,830  

AbbVie, Inc.

 

2.90%, 11/6/22

     397,000        409,865  

3.20%, 11/6/22

     50,000        51,772  

2.85%, 5/14/23(b)

     385,000        397,854  

2.60%, 11/21/24(c)

     500,000        516,994  

3.60%, 5/14/25

     825,000        890,488  

3.20%, 5/14/26

     447,000        472,322  

3.20%, 11/21/29(c)

     1,833,000        1,937,355  

4.50%, 5/14/35

     850,000        1,001,691  

4.30%, 5/14/36

     71,000        81,203  

4.05%, 11/21/39(c)

     250,000        277,406  

4.40%, 11/6/42

     790,000        912,426  

4.70%, 5/14/45

     505,000        598,477  

4.45%, 5/14/46

     200,000        231,111  

4.25%, 11/21/49(c)

     460,000        522,364  

Activision Blizzard, Inc.

 

2.30%, 9/15/21

     5,000        5,053  

3.40%, 9/15/26

     189,000        203,463  

4.50%, 6/15/47

     205,000        258,311  

Adventist Health System/West
2.95%, 3/1/29

     50,000        52,602  

Advocate Health & Hospitals Corp.
4.27%, 8/15/48

     500,000        649,183  

AEP Texas, Inc.
3.95%, 6/1/28

     150,000        171,452  

AEP Transmission Co. LLC
3.10%, 12/1/26(b)

     250,000        274,052  

Aetna, Inc.

 

3.50%, 11/15/24

     170,000        182,139  

6.63%, 6/15/36

     75,000        104,201  

6.75%, 12/15/37

     250,000        357,677  

4.50%, 5/15/42

     55,000        62,110  

4.13%, 11/15/42

     125,000        135,902  

4.75%, 3/15/44

     315,000        369,120  

3.88%, 8/15/47

     139,000        147,182  

Aflac, Inc.
3.25%, 3/17/25

     250,000        268,855  

Agilent Technologies, Inc.

 

3.88%, 7/15/23

     52,000        55,359  

2.75%, 9/15/29

     33,000        34,478  

 

See Notes to Financial Statements.

 

WisdomTree Trust      93  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Air Lease Corp.

 

2.75%, 1/15/23

   $ 25,000      $ 25,444  

3.00%, 9/15/23

     45,000        46,428  

4.25%, 2/1/24

     354,000        382,107  

4.25%, 9/15/24

     193,000        207,488  

3.25%, 3/1/25

     110,000        114,140  

3.75%, 6/1/26

     150,000        160,734  

3.63%, 4/1/27

     250,000        265,365  

3.63%, 12/1/27

     120,000        128,022  

4.63%, 10/1/28

     75,000        84,748  

Aircastle Ltd.

 

5.50%, 2/15/22

     60,000        64,149  

4.40%, 9/25/23

     107,000        114,273  

4.13%, 5/1/24

     165,000        174,700  

Alexandria Real Estate Equities, Inc.

 

3.95%, 1/15/28

     100,000        112,446  

3.38%, 8/15/31

     325,000        361,614  

4.00%, 2/1/50

     300,000        364,595  

Allergan Finance LLC
3.25%, 10/1/22

     20,000        20,851  

Allergan Funding SCS

 

3.45%, 3/15/22

     145,000        150,273  

3.85%, 6/15/24

     72,000        78,104  

3.80%, 3/15/25

     346,000        378,352  

4.55%, 3/15/35

     875,000        1,047,960  

4.85%, 6/15/44(b)

     25,000        30,425  

4.75%, 3/15/45

     140,000        170,618  

Allergan, Inc.
2.80%, 3/15/23

     170,000        175,458  

Allstate Corp. (The)
3.28%, 12/15/26

     108,000        117,520  

Altria Group, Inc.

 

3.49%, 2/14/22

     100,000        103,497  

4.00%, 1/31/24

     377,000        407,401  

4.40%, 2/14/26

     500,000        559,855  

2.63%, 9/16/26

     225,000        230,128  

4.80%, 2/14/29

     352,000        402,551  

5.80%, 2/14/39

     170,000        208,787  

4.25%, 8/9/42

     100,000        102,429  

5.38%, 1/31/44

     607,000        716,661  

3.88%, 9/16/46

     282,000        276,279  

5.95%, 2/14/49

     272,000        346,274  

6.20%, 2/14/59

     350,000        458,680  

Amazon.com, Inc.

 

5.20%, 12/3/25

     114,000        135,540  

3.15%, 8/22/27

     366,000        401,649  

Ameren Corp.
3.65%, 2/15/26

     50,000        54,317  

American Airlines Pass Through Trust

 

3.38%, 11/1/28, Series 2015-1, Class A

     78,662        84,633  

3.35%, 4/15/31, Series AA

     22,970        24,889  

American Campus Communities Operating Partnership L.P.

 

3.63%, 11/15/27

     61,000        67,748  

2.85%, 2/1/30

     200,000        208,712  

American Electric Power Co., Inc.
4.30%, 12/1/28, Series J

     50,000        58,203  

American Express Co.
3.13%, 5/20/26

     68,000        73,934  

American Express Credit Corp.
3.30%, 5/3/27

   325,000      357,057  

American Homes 4 Rent L.P.
4.25%, 2/15/28

     230,000        253,935  

American Honda Finance Corp.
3.50%, 2/15/28

     365,000        408,241  

American International Group, Inc.

 

4.88%, 6/1/22

     75,000        79,958  

4.13%, 2/15/24

     64,000        69,701  

3.75%, 7/10/25

     80,000        87,317  

3.90%, 4/1/26

     447,000        495,301  

4.20%, 4/1/28

     468,000        524,147  

3.88%, 1/15/35

     543,000        620,856  

4.50%, 7/16/44

     120,000        147,285  

4.80%, 7/10/45

     507,000        647,406  

4.75%, 4/1/48

     55,000        70,555  

American Tower Corp.

 

3.50%, 1/31/23

     60,000        63,279  

3.00%, 6/15/23

     16,000        16,670  

5.00%, 2/15/24

     43,000        48,276  

4.40%, 2/15/26

     385,000        432,676  

3.38%, 10/15/26

     150,000        161,490  

3.13%, 1/15/27

     445,000        468,459  

3.55%, 7/15/27

     50,000        54,120  

3.80%, 8/15/29

     200,000        220,756  

2.90%, 1/15/30

     500,000        514,603  

American Water Capital Corp.

 

3.85%, 3/1/24

     463,000        504,345  

3.40%, 3/1/25

     40,000        43,554  

2.95%, 9/1/27

     185,000        196,581  

3.75%, 9/1/28

     118,000        132,259  

4.30%, 9/1/45(b)

     430,000        527,105  

4.00%, 12/1/46

     13,000        15,245  

3.75%, 9/1/47

     25,000        28,520  

4.20%, 9/1/48

     30,000        36,028  

Ameriprise Financial, Inc.
2.88%, 9/15/26

     170,000        180,265  

AmerisourceBergen Corp.
3.45%, 12/15/27

     75,000        81,274  

Amgen, Inc.

 

1.85%, 8/19/21

     10,000        10,068  

3.88%, 11/15/21

     139,000        144,082  

2.65%, 5/11/22

     275,000        281,356  

3.63%, 5/15/22

     150,000        155,495  

2.25%, 8/19/23(b)

     135,000        137,807  

3.63%, 5/22/24

     59,000        63,767  

3.13%, 5/1/25

     145,000        155,481  

3.20%, 11/2/27(b)

     200,000        218,787  

4.95%, 10/1/41

     50,000        63,620  

5.15%, 11/15/41

     220,000        286,681  

4.40%, 5/1/45

     569,000        660,100  

4.56%, 6/15/48

     102,000        121,620  

4.66%, 6/15/51

     1,065,000        1,320,624  

Amphenol Corp.

 

3.20%, 4/1/24

     550,000        584,616  

2.80%, 2/15/30

     30,000        30,767  

Analog Devices, Inc.

 

2.88%, 6/1/23

     28,000        29,134  

 

See Notes to Financial Statements.

 

94   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

3.13%, 12/5/23

   $ 91,000      $ 96,176  

3.50%, 12/5/26

     685,000        751,295  

Anthem, Inc.

 

3.13%, 5/15/22

     80,000        82,638  

3.50%, 8/15/24

     40,000        42,770  

3.35%, 12/1/24

     250,000        266,373  

3.65%, 12/1/27

     707,000        774,071  

4.63%, 5/15/42

     160,000        185,884  

4.65%, 1/15/43

     125,000        146,745  

5.10%, 1/15/44

     190,000        235,233  

4.65%, 8/15/44

     200,000        234,080  

4.55%, 3/1/48

     377,000        444,219  

Aon Corp.
4.50%, 12/15/28

     265,000        309,139  

Aon PLC

 

3.50%, 6/14/24

     10,000        10,714  

3.88%, 12/15/25

     175,000        194,618  

4.60%, 6/14/44

     115,000        145,532  

4.75%, 5/15/45

     75,000        98,801  

Apache Corp.

 

5.10%, 9/1/40

     100,000        101,917  

5.25%, 2/1/42

     190,000        196,414  

4.75%, 4/15/43

     435,000        411,530  

4.25%, 1/15/44

     50,000        44,544  

5.35%, 7/1/49(b)

     250,000        259,601  

Apollo Investment Corp.
5.25%, 3/3/25

     15,000        15,828  

Appalachian Power Co.
3.30%, 6/1/27, Series X

     100,000        108,210  

Apple, Inc.

 

4.50%, 2/23/36

     500,000        637,411  

3.85%, 5/4/43

     1,250,000        1,497,895  

4.45%, 5/6/44

     250,000        322,751  

3.45%, 2/9/45

     490,000        553,311  

4.38%, 5/13/45

     490,000        626,746  

4.65%, 2/23/46

     1,250,000        1,667,634  

3.85%, 8/4/46

     500,000        597,463  

4.25%, 2/9/47

     300,000        381,497  

3.75%, 9/12/47

     533,000        630,337  

3.75%, 11/13/47

     555,000        657,771  

2.95%, 9/11/49

     827,000        870,468  

Aptiv Corp.
4.15%, 3/15/24

     25,000        27,283  

Aptiv PLC

 

4.35%, 3/15/29

     75,000        86,548  

4.40%, 10/1/46

     20,000        21,951  

5.40%, 3/15/49

     125,000        151,419  

Arch Capital Finance LLC
4.01%, 12/15/26

     290,000        334,513  

Arch Capital Group US, Inc.
5.14%, 11/1/43

     50,000        69,583  

Archer-Daniels-Midland Co.
2.50%, 8/11/26

     185,000        192,856  

Ares Capital Corp.

 

3.63%, 1/19/22

     25,000        25,653  

3.50%, 2/10/23

     516,000        533,346  

Arrow Electronics, Inc.
3.88%, 1/12/28

     412,000        444,186  

Ascension Health
4.85%, 11/15/53

   626,000      898,109  

Assurant, Inc.

 

4.00%, 3/15/23

     25,000        26,616  

4.90%, 3/27/28

     25,000        29,011  

AT&T, Inc.

 

4.00%, 1/15/22

     166,000        173,723  

3.20%, 3/1/22

     20,000        20,635  

2.63%, 12/1/22(b)

     10,000        10,290  

3.60%, 2/17/23

     350,000        369,606  

3.80%, 3/1/24

     270,000        291,539  

4.45%, 4/1/24

     350,000        385,997  

3.55%, 6/1/24

     631,000        673,587  

3.95%, 1/15/25

     70,000        76,555  

3.40%, 5/15/25

     770,000        820,768  

3.60%, 7/15/25

     210,000        226,525  

3.88%, 1/15/26

     200,000        219,684  

4.13%, 2/17/26

     70,000        77,865  

3.80%, 2/15/27

     315,000        345,631  

4.25%, 3/1/27

     709,000        799,636  

4.10%, 2/15/28

     515,000        577,816  

4.30%, 2/15/30

     430,000        492,583  

4.50%, 5/15/35

     464,000        541,047  

5.25%, 3/1/37

     331,000        410,063  

4.85%, 3/1/39

     530,000        636,629  

6.10%, 7/15/40

     50,000        67,261  

6.00%, 8/15/40

     206,000        277,846  

6.38%, 3/1/41

     175,000        238,629  

5.55%, 8/15/41

     115,000        149,045  

5.15%, 3/15/42

     579,000        707,315  

4.90%, 6/15/42

     479,000        566,027  

4.30%, 12/15/42

     442,000        496,729  

5.35%, 12/15/43

     103,000        127,662  

4.80%, 6/15/44

     259,000        306,853  

4.35%, 6/15/45

     408,000        460,554  

4.85%, 7/15/45

     150,000        175,736  

4.75%, 5/15/46

     630,000        740,081  

5.15%, 11/15/46

     720,000        892,319  

5.65%, 2/15/47

     85,000        113,591  

5.45%, 3/1/47

     305,000        396,880  

4.50%, 3/9/48

     545,000        625,768  

4.55%, 3/9/49

     329,000        381,701  

5.15%, 2/15/50

     370,000        459,987  

5.70%, 3/1/57

     491,000        678,477  

Athene Holding Ltd.
4.13%, 1/12/28

     390,000        415,675  

Autodesk, Inc.

 

4.38%, 6/15/25

     25,000        28,259  

3.50%, 6/15/27

     165,000        181,528  

AutoNation, Inc.
3.80%, 11/15/27

     115,000        123,436  

AutoZone, Inc.

 

2.88%, 1/15/23

     33,000        34,248  

3.13%, 7/15/23

     50,000        52,508  

3.25%, 4/15/25

     73,000        78,515  

3.75%, 6/1/27

     313,000        348,733  

3.75%, 4/18/29

     175,000        194,781  

 

See Notes to Financial Statements.

 

WisdomTree Trust      95  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

AvalonBay Communities, Inc.

 

3.45%, 6/1/25

   $ 203,000      $ 222,091  

2.90%, 10/15/26

     50,000        53,512  

3.35%, 5/15/27

     269,000        296,963  

3.20%, 1/15/28

     75,000        82,400  

3.30%, 6/1/29

     220,000        244,415  

Avangrid, Inc.

 

3.15%, 12/1/24

     50,000        53,062  

3.80%, 6/1/29

     150,000        166,829  

Avery Dennison Corp.
4.88%, 12/6/28

     56,000        67,093  

AXIS Specialty Finance LLC
3.90%, 7/15/29

     200,000        222,287  

AXIS Specialty Finance PLC
4.00%, 12/6/27

     25,000        27,989  

Baker Hughes a GE Co. LLC

 

3.34%, 12/15/27

     50,000        52,572  

3.14%, 11/7/29

     75,000        77,023  

Baltimore Gas & Electric Co.
2.40%, 8/15/26

     290,000        299,404  

Bank of America Corp.

 

4.20%, 8/26/24

     199,000        217,713  

3.95%, 4/21/25, Series L

     148,000        161,613  

3.88%, 8/1/25

     48,000        53,184  

4.45%, 3/3/26

     50,000        56,443  

4.25%, 10/22/26

     50,000        55,877  

3.56%, 4/23/27, (3.559% fixed rate until 4/23/26; 3-month U.S. dollar London Interbank Offered Rate + 1.06% thereafter)(d)

     300,000        325,832  

3.25%, 10/21/27

     420,000        451,154  

4.18%, 11/25/27, Series L

     799,000        889,766  

3.82%, 1/20/28, (3.824% fixed rate until 1/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.575% thereafter)(d)

     100,000        110,320  

3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(d)

     350,000        382,466  

3.59%, 7/21/28, (3.593% fixed rate until 7/21/27; 3-month U.S. dollar London Interbank Offered Rate + 1.37% thereafter)(d)

     602,000        658,110  

3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(d)

     635,000        686,771  

3.97%, 3/5/29, (3.97% fixed rate until 3/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.07% thereafter)(d)

     225,000        252,248  

4.27%, 7/23/29, (4.271% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d)

     396,000        455,902  

3.97%, 2/7/30, (3.974% fixed rate until 2/7/29; 3-month U.S. dollar London Interbank Offered Rate + 1.21% thereafter)(d)

   400,000      454,378  

2.50%, 2/13/31, (2.496% fixed rate until 2/13/30; 3-month U.S. dollar London Interbank Offered Rate + 0.990% thereafter)(d)

     335,000        340,144  

6.11%, 1/29/37

     952,000        1,311,382  

7.75%, 5/14/38

     127,000        205,770  

BankUnited, Inc.
4.88%, 11/17/25

     10,000        11,433  

Baxalta, Inc.

 

4.00%, 6/23/25

     458,000        506,935  

5.25%, 6/23/45

     60,000        84,841  

Baxter International, Inc.
2.60%, 8/15/26

     49,000        51,335  

BBVA USA
2.50%, 8/27/24

     250,000        256,359  

Becton Dickinson and Co.

 

3.36%, 6/6/24

     448,000        475,264  

3.73%, 12/15/24

     70,000        75,860  

3.70%, 6/6/27

     225,000        248,490  

4.69%, 12/15/44

     48,000        59,923  

4.67%, 6/6/47

     325,000        412,055  

Berkshire Hathaway Energy Co.
3.25%, 4/15/28(b)

     170,000        186,071  

Berkshire Hathaway Finance Corp.

 

5.75%, 1/15/40

     81,000        117,362  

4.40%, 5/15/42

     252,000        314,499  

4.30%, 5/15/43

     15,000        18,567  

4.20%, 8/15/48

     734,000        898,177  

4.25%, 1/15/49

     534,000        665,599  

Berkshire Hathaway, Inc.
4.50%, 2/11/43

     292,000        373,605  

Best Buy Co., Inc.
4.45%, 10/1/28

     60,000        69,047  

BGC Partners, Inc.
5.38%, 7/24/23

     150,000        164,267  

Biogen, Inc.
5.20%, 9/15/45

     547,000        709,356  

Black Hills Corp.

 

4.25%, 11/30/23

     26,000        28,264  

4.35%, 5/1/33

     180,000        217,033  

4.20%, 9/15/46

     165,000        195,100  

BlackRock, Inc.
2.40%, 4/30/30

     295,000        307,931  

Block Financial LLC
5.25%, 10/1/25

     22,000        24,937  

Boardwalk Pipelines L.P.

 

3.38%, 2/1/23

     100,000        103,536  

4.95%, 12/15/24

     139,000        152,215  

4.45%, 7/15/27

     100,000        105,016  

Boeing Co. (The)

 

2.60%, 10/30/25

     175,000        179,152  

2.25%, 6/15/26

     50,000        50,256  

2.80%, 3/1/27

     275,000        284,181  

 

See Notes to Financial Statements.

 

96   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Booking Holdings, Inc.

 

3.60%, 6/1/26(b)

   $ 340,000      $ 372,595  

3.55%, 3/15/28

     90,000        98,550  

BorgWarner, Inc.
4.38%, 3/15/45

     96,000        105,753  

Boston Properties L.P.

 

3.13%, 9/1/23

     23,000        24,244  

3.80%, 2/1/24

     50,000        53,996  

3.20%, 1/15/25

     8,000        8,592  

3.65%, 2/1/26

     280,000        307,320  

2.75%, 10/1/26

     65,000        68,843  

4.50%, 12/1/28

     450,000        531,988  

2.90%, 3/15/30

     300,000        317,337  

Boston Scientific Corp.

 

3.45%, 3/1/24

     225,000        239,927  

3.85%, 5/15/25

     153,000        168,698  

3.75%, 3/1/26

     170,000        187,099  

7.00%, 11/15/35

     165,000        243,030  

7.38%, 1/15/40

     2,000        3,206  

4.70%, 3/1/49

     200,000        261,136  

BP Capital Markets America, Inc.

 

3.12%, 5/4/26

     224,000        239,431  

3.02%, 1/16/27

     135,000        143,596  

3.59%, 4/14/27

     192,000        210,994  

4.23%, 11/6/28

     100,000        116,073  

Brighthouse Financial, Inc.

 

3.70%, 6/22/27(b)

     210,000        217,451  

4.70%, 6/22/47

     593,000        600,448  

Bristol-Myers Squibb Co.

 

3.88%, 8/15/25(c)

     444,000        492,744  

3.90%, 2/20/28(c)

     447,000        508,337  

3.40%, 7/26/29(c)

     363,000        407,528  

Brixmor Operating Partnership L.P.

 

3.25%, 9/15/23

     190,000        199,958  

3.65%, 6/15/24

     150,000        161,352  

4.13%, 6/15/26

     30,000        33,294  

Broadcom Corp.

 

3.00%, 1/15/22

     653,000        665,817  

3.63%, 1/15/24

     389,000        408,570  

3.88%, 1/15/27

     1,430,000        1,495,723  

3.50%, 1/15/28

     717,000        738,326  

Broadridge Financial Solutions, Inc.

 

3.40%, 6/27/26

     151,000        163,306  

2.90%, 12/1/29

     150,000        155,476  

Brown & Brown, Inc.
4.20%, 9/15/24

     20,000        21,759  

Bunge Ltd. Finance Corp.

 

3.25%, 8/15/26

     641,000        663,797  

3.75%, 9/25/27

     67,000        70,806  

Burlington Northern Santa Fe LLC

 

3.00%, 4/1/25

     71,000        76,045  

3.65%, 9/1/25

     120,000        132,091  

3.25%, 6/15/27

     40,000        44,237  

CA, Inc.

 

3.60%, 8/15/22

     139,000        143,487  

4.70%, 3/15/27

     55,000        60,530  

California Institute of Technology
3.65%, 9/1/2119

     350,000        418,342  

Campbell Soup Co.

 

3.30%, 3/19/25

   20,000      21,147  

4.80%, 3/15/48

     543,000        663,386  

Capital One Financial Corp.

 

3.05%, 3/9/22

     25,000        25,676  

3.20%, 1/30/23

     530,000        551,123  

3.50%, 6/15/23

     32,000        33,917  

3.30%, 10/30/24

     70,000        74,553  

3.20%, 2/5/25

     20,000        21,110  

4.20%, 10/29/25

     359,000        389,352  

3.75%, 3/9/27

     322,000        351,205  

3.80%, 1/31/28

     342,000        373,692  

Cardinal Health, Inc.

 

3.08%, 6/15/24

     250,000        260,914  

3.50%, 11/15/24

     344,000        366,306  

3.41%, 6/15/27

     184,000        196,163  

4.50%, 11/15/44

     98,000        105,068  

4.90%, 9/15/45

     100,000        113,269  

4.37%, 6/15/47

     155,000        168,243  

Carlisle Cos., Inc.

 

3.50%, 12/1/24

     100,000        107,993  

3.75%, 12/1/27

     25,000        27,582  

Caterpillar Financial Services Corp.
2.40%, 8/9/26

     190,000        198,634  

CBRE Services, Inc.
4.88%, 3/1/26

     153,000        175,946  

Celanese U.S. Holdings LLC
3.50%, 5/8/24

     350,000        371,828  

CenterPoint Energy Houston Electric LLC

 

2.40%, 9/1/26, Series Z

     90,000        93,590  

3.00%, 2/1/27, Series AA

     200,000        216,707  

CenterPoint Energy Resources Corp.

 

3.55%, 4/1/23

     15,000        15,859  

4.00%, 4/1/28

     220,000        246,952  

CenterPoint Energy, Inc.
4.25%, 11/1/28(b)

     190,000        219,664  

Charles Schwab Corp. (The)

 

3.20%, 1/25/28

     250,000        272,931  

3.25%, 5/22/29

     200,000        220,450  

Charter Communications Operating LLC

 

4.46%, 7/23/22

     480,000        509,001  

4.91%, 7/23/25

     1,216,000        1,369,268  

4.20%, 3/15/28

     150,000        163,713  

6.38%, 10/23/35

     550,000        727,212  

5.38%, 4/1/38

     100,000        116,159  

6.48%, 10/23/45

     330,000        424,690  

5.38%, 5/1/47

     674,000        772,282  

5.75%, 4/1/48

     412,000        491,333  

5.13%, 7/1/49

     705,000        793,678  

Cheniere Corpus Christi Holdings LLC

 

5.13%, 6/30/27

     500,000        558,507  

3.70%, 11/15/29(c)

     25,000        25,091  

Chubb INA Holdings, Inc.

 

3.15%, 3/15/25

     241,000        260,529  

3.35%, 5/3/26

     180,000        198,846  

Church & Dwight Co., Inc.

 

2.45%, 8/1/22

     100,000        102,072  

3.15%, 8/1/27

     390,000        424,993  

 

See Notes to Financial Statements.

 

WisdomTree Trust      97  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Cigna Corp.

 

4.75%, 11/15/21(c)

   $ 116,000      $ 122,023  

3.05%, 11/30/22(c)

     85,000        87,870  

3.00%, 7/15/23(c)

     80,000        83,237  

4.13%, 11/15/25

     140,000        156,077  

4.50%, 2/25/26(c)

     110,000        124,569  

3.40%, 3/1/27(c)

     120,000        128,492  

3.05%, 10/15/27(c)

     518,000        543,316  

4.38%, 10/15/28

     862,000        982,277  

4.80%, 8/15/38

     592,000        712,772  

6.13%, 11/15/41(c)

     21,000        28,701  

4.80%, 7/15/46(c)

     375,000        451,819  

3.88%, 10/15/47(c)

     296,000        313,950  

4.90%, 12/15/48

     420,000        521,472  

Cimarex Energy Co.

 

4.38%, 6/1/24

     63,000        66,885  

3.90%, 5/15/27

     474,000        491,991  

Cintas Corp. No. 2
3.70%, 4/1/27

     335,000        378,100  

Cisco Systems, Inc.

 

2.95%, 2/28/26

     275,000        296,731  

2.50%, 9/20/26

     40,000        42,286  

Citigroup, Inc.

 

4.05%, 7/30/22

     202,000        213,239  

3.50%, 5/15/23

     303,000        318,446  

4.00%, 8/5/24

     25,000        27,143  

3.88%, 3/26/25

     167,000        181,014  

3.30%, 4/27/25

     40,000        42,832  

4.40%, 6/10/25

     77,000        85,889  

5.50%, 9/13/25

     200,000        234,712  

4.60%, 3/9/26

     25,000        28,362  

3.40%, 5/1/26

     100,000        108,401  

3.20%, 10/21/26

     244,000        260,025  

4.45%, 9/29/27

     690,000        779,833  

3.89%, 1/10/28, (3.887% fixed rate until 1/10/27; 3-month U.S. dollar London Interbank Offered Rate + 1.563% thereafter)(d)

     20,000        22,187  

6.63%, 1/15/28

     150,000        195,976  

3.67%, 7/24/28, (3.668% fixed rate until 7/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.39% thereafter)(d)

     206,000        226,420  

4.13%, 7/25/28

     354,000        394,242  

3.52%, 10/27/28, (3.52% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d)

     185,000        201,616  

4.08%, 4/23/29, (4.075% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.192% thereafter)(d)

     295,000        335,691  

3.98%, 3/20/30, (3.98% fixed rate until 3/20/29; 3-month U.S. dollar London Interbank Offered Rate + 1.338% thereafter)(d)

     329,000        372,758  

2.98%, 11/5/30, (2.976% fixed rate until 11/5/29; Secured Overnight Financing Rate + 1.422% thereafter)(d)

     250,000        263,026  

2.67%, 1/29/31, (2.666% fixed rate until 1/29/30; Secured Overnight Financing Rate + 1.146% thereafter)(d)

   300,000      307,458  

6.00%, 10/31/33

     50,000        68,239  

6.68%, 9/13/43

     238,000        368,210  

5.30%, 5/6/44

     75,000        99,616  

4.75%, 5/18/46

     471,000        592,050  

Citrix Systems, Inc.
4.50%, 12/1/27

     25,000        27,711  

Cleco Corporate Holdings LLC
3.74%, 5/1/26

     64,000        69,178  

Cleveland Clinic Foundation (The)
4.86%, 1/1/2114

     500,000        742,652  

Clorox Co. (The)
3.10%, 10/1/27

     265,000        288,824  

CME Group, Inc.
5.30%, 9/15/43

     56,000        80,536  

CMS Energy Corp.

 

3.00%, 5/15/26

     250,000        265,583  

3.45%, 8/15/27(b)

     350,000        385,864  

CNA Financial Corp.
5.75%, 8/15/21

     2,000        2,127  

CNOOC Finance 2015 USA LLC
4.38%, 5/2/28

     340,000        392,055  

Coca-Cola Co. (The)

 

2.25%, 9/1/26

     42,000        44,347  

2.90%, 5/25/27

     150,000        164,181  

2.13%, 9/6/29

     145,000        148,322  

Colgate-Palmolive Co.
3.70%, 8/1/47

     700,000        883,489  

Columbia Pipeline Group, Inc.
4.50%, 6/1/25

     48,000        53,542  

Columbia Property Trust Operating Partnership L.P.
4.15%, 4/1/25

     150,000        162,675  

Comcast Corp.

 

3.38%, 8/15/25

     261,000        283,889  

3.95%, 10/15/25

     364,000        407,918  

3.15%, 3/1/26

     51,000        55,060  

2.35%, 1/15/27

     650,000        672,254  

3.30%, 2/1/27

     150,000        163,231  

3.15%, 2/15/28

     230,000        250,024  

CommonSpirit Health

 

4.35%, 11/1/42

     115,000        129,973  

4.19%, 10/1/49

     300,000        329,575  

Conagra Brands, Inc.

 

7.00%, 10/1/28

     23,000        29,840  

4.85%, 11/1/28

     1,197,000        1,394,359  

5.40%, 11/1/48

     225,000        284,874  

Concho Resources, Inc.

 

4.38%, 1/15/25

     337,000        348,850  

3.75%, 10/1/27

     100,000        104,030  

4.30%, 8/15/28

     132,000        143,705  

4.88%, 10/1/47

     440,000        519,136  

4.85%, 8/15/48

     40,000        44,077  

Connecticut Light & Power Co. (The)
3.20%, 3/15/27, Series A

     100,000        109,023  

 

See Notes to Financial Statements.

 

98   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

ConocoPhillips Co.
4.95%, 3/15/26

   $ 277,000      $ 324,099  

ConocoPhillips Holding Co.
6.95%, 4/15/29

     50,000        68,268  

Constellation Brands, Inc.

 

4.75%, 11/15/24

     95,000        108,064  

4.40%, 11/15/25

     142,000        161,380  

3.70%, 12/6/26

     427,000        469,190  

3.50%, 5/9/27

     162,000        175,054  

4.50%, 5/9/47

     530,000        632,369  

4.10%, 2/15/48

     315,000        355,390  

Continental Airlines Pass Through Trust
4.00%, 4/29/26, Series 2012-2, Class A

     11,563        12,519  

Continental Resources, Inc.

 

4.50%, 4/15/23

     114,000        119,493  

4.90%, 6/1/44(b)

     70,000        61,935  

Corning, Inc.

 

2.90%, 5/15/22

     9,000        9,264  

5.75%, 8/15/40

     100,000        128,454  

4.75%, 3/15/42

     235,000        272,465  

5.45%, 11/15/79

     100,000        112,125  

Costco Wholesale Corp.
3.00%, 5/18/27

     80,000        87,089  

Crown Castle International Corp.

 

4.88%, 4/15/22

     166,000        176,264  

3.20%, 9/1/24

     20,000        21,169  

4.45%, 2/15/26

     100,000        112,693  

3.70%, 6/15/26

     80,000        86,943  

4.00%, 3/1/27

     295,000        326,852  

3.65%, 9/1/27

     644,000        702,421  

4.30%, 2/15/29

     250,000        286,128  

3.10%, 11/15/29

     102,000        107,722  

4.75%, 5/15/47

     95,000        117,623  

5.20%, 2/15/49

     50,000        64,929  

CSX Corp.

 

4.25%, 6/1/21

     38,000        39,014  

3.40%, 8/1/24

     25,000        26,771  

3.35%, 11/1/25(b)

     44,000        47,756  

3.25%, 6/1/27

     591,000        635,718  

3.80%, 3/1/28

     705,000        786,482  

6.15%, 5/1/37

     150,000        209,230  

5.50%, 4/15/41

     25,000        33,571  

4.75%, 5/30/42

     117,000        146,711  

4.10%, 3/15/44

     310,000        356,962  

3.80%, 11/1/46

     380,000        426,156  

4.30%, 3/1/48

     360,000        436,346  

3.95%, 5/1/50

     15,000        17,414  

4.50%, 8/1/54

     102,000        126,710  

4.25%, 11/1/66

     20,000        22,918  

4.65%, 3/1/68

     60,000        73,875  

CubeSmart L.P.

 

3.13%, 9/1/26

     35,000        37,357  

4.38%, 2/15/29

     25,000        29,029  

CVS Health Corp.

 

2.13%, 6/1/21

     373,000        375,246  

3.50%, 7/20/22

     126,000        130,913  

4.75%, 12/1/22

     418,000        448,578  

4.00%, 12/5/23

     179,000        192,337  

4.10%, 3/25/25

   250,000      274,244  

3.88%, 7/20/25

     1,002,000        1,095,518  

2.88%, 6/1/26

     150,000        155,711  

4.30%, 3/25/28

     1,797,000        2,014,778  

3.25%, 8/15/29(b)

     472,000        497,943  

4.88%, 7/20/35

     453,000        548,269  

4.78%, 3/25/38

     630,000        741,986  

5.13%, 7/20/45

     675,000        826,349  

5.05%, 3/25/48

     1,228,000        1,512,180  

Dell International LLC

 

4.42%, 6/15/21(c)

     50,000        51,525  

5.45%, 6/15/23(c)

     283,000        312,188  

4.00%, 7/15/24(c)

     35,000        37,600  

6.02%, 6/15/26(c)

     340,000        398,765  

5.30%, 10/1/29(b)(c)

     370,000        425,845  

8.10%, 7/15/36(c)

     1,180,000        1,621,034  

8.35%, 7/15/46(c)

     455,000        620,804  

Delta Air Lines, Inc.
4.38%, 4/19/28

     45,000        47,709  

Devon Energy Corp.

 

5.60%, 7/15/41

     155,000        176,502  

4.75%, 5/15/42

     140,000        143,653  

5.00%, 6/15/45

     61,000        65,662  

DH Europe Finance II Sarl
3.40%, 11/15/49

     450,000        498,699  

Digital Realty Trust L.P.

 

2.75%, 2/1/23

     25,000        25,754  

3.70%, 8/15/27

     288,000        316,775  

4.45%, 7/15/28

     152,000        174,819  

Dignity Health
5.27%, 11/1/64

     10,000        13,310  

Discover Bank

 

4.68%, 8/9/28, (4.682% fixed rate until 8/9/23; 5-year U.S. dollar Swap Rate + 1.73% thereafter)(d)

     200,000        212,703  

4.65%, 9/13/28

     250,000        293,676  

Discover Financial Services

 

3.95%, 11/6/24

     71,000        76,911  

3.75%, 3/4/25

     210,000        225,827  

Discovery Communications LLC

 

4.90%, 3/11/26

     388,000        442,339  

3.95%, 3/20/28

     85,000        92,991  

5.00%, 9/20/37

     938,000        1,077,703  

6.35%, 6/1/40

     50,000        66,263  

4.95%, 5/15/42

     90,000        102,214  

4.88%, 4/1/43

     46,000        52,043  

5.20%, 9/20/47

     90,000        106,259  

5.30%, 5/15/49

     350,000        424,303  

Dollar General Corp.
3.88%, 4/15/27

     362,000        403,712  

Dollar Tree, Inc.

 

3.70%, 5/15/23

     250,000        265,376  

4.00%, 5/15/25

     41,000        45,114  

Dominion Energy Gas Holdings LLC

 

3.60%, 12/15/24

     120,000        129,116  

3.00%, 11/15/29, Series B

     250,000        262,104  

4.60%, 12/15/44

     50,000        59,303  

 

See Notes to Financial Statements.

 

WisdomTree Trust      99  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Dominion Energy, Inc.

 

2.00%, 8/15/21, Series C

   $ 25,000      $ 25,255  

3.07%, 8/15/24(d)

     468,000        491,642  

3.90%, 10/1/25

     295,000        325,988  

4.25%, 6/1/28

     75,000        85,648  

5.25%, 8/1/33, Series F

     45,000        56,594  

7.00%, 6/15/38

     25,000        36,515  

4.90%, 8/1/41, Series C

     70,000        86,766  

4.70%, 12/1/44(b)

     100,000        124,306  

4.60%, 3/15/49, Series A

     56,000        70,045  

5.75%, 10/1/54, (5.75% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 3.057% thereafter)(d)

     6,000        6,472  

Dow Chemical Co. (The)

 

3.00%, 11/15/22

     40,000        41,754  

3.50%, 10/1/24

     238,000        257,044  

4.80%, 11/30/28

     257,000        301,862  

7.38%, 11/1/29

     386,000        530,754  

4.25%, 10/1/34

     70,000        78,111  

5.25%, 11/15/41

     30,000        36,571  

4.38%, 11/15/42

     390,000        431,965  

4.63%, 10/1/44

     80,000        93,635  

4.80%, 5/15/49

     543,000        643,033  

DTE Energy Co.

 

3.70%, 8/1/23, Series D

     305,000        323,739  

3.50%, 6/1/24, Series C

     376,000        400,981  

2.53%, 10/1/24, Series C

     272,000        279,669  

Duke Energy Carolinas LLC

 

2.95%, 12/1/26

     120,000        128,715  

3.95%, 11/15/28

     200,000        231,138  

Duke Energy Corp.

 

3.05%, 8/15/22

     130,000        133,937  

3.95%, 10/15/23

     125,000        134,258  

3.75%, 4/15/24

     350,000        376,353  

2.65%, 9/1/26

     137,000        142,847  

3.15%, 8/15/27

     175,000        187,862  

3.40%, 6/15/29

     42,000        46,240  

4.80%, 12/15/45

     35,000        44,099  

3.75%, 9/1/46

     209,000        232,096  

3.95%, 8/15/47(b)

     250,000        283,121  

Duke Energy Florida LLC
3.20%, 1/15/27

     55,000        59,860  

Duke Energy Progress LLC

 

3.25%, 8/15/25

     40,000        43,338  

3.70%, 9/1/28

     50,000        56,764  

3.45%, 3/15/29

     54,000        60,377  

Duke Realty L.P.

 

3.75%, 12/1/24

     230,000        250,624  

3.25%, 6/30/26

     265,000        286,568  

4.00%, 9/15/28

     60,000        69,126  

Duke University Health System, Inc.
3.92%, 6/1/47, Series 2017

     200,000        253,564  

DuPont de Nemours, Inc.

 

4.21%, 11/15/23

     25,000        27,282  

4.49%, 11/15/25

     1,079,000        1,223,083  

4.73%, 11/15/28

     562,000        653,912  

5.42%, 11/15/48

     300,000        378,377  

DXC Technology Co.

 

4.25%, 4/15/24

   323,000      346,778  

4.75%, 4/15/27

     387,000        425,929  

Eagle Materials, Inc.
4.50%, 8/1/26

     300,000        307,759  

Eastman Chemical Co.

 

3.60%, 8/15/22

     50,000        52,227  

3.80%, 3/15/25

     388,000        423,217  

4.50%, 12/1/28

     40,000        46,744  

4.65%, 10/15/44

     100,000        116,918  

Eaton Corp.
3.10%, 9/15/27

     400,000        436,806  

Eaton Vance Corp.
3.50%, 4/6/27

     118,000        128,440  

eBay, Inc.

 

3.80%, 3/9/22

     327,000        340,270  

2.75%, 1/30/23

     30,000        30,879  

3.45%, 8/1/24

     37,000        39,292  

3.60%, 6/5/27

     165,000        180,159  

4.00%, 7/15/42

     160,000        161,266  

Ecolab, Inc.

 

2.70%, 11/1/26

     440,000        471,287  

3.25%, 12/1/27

     25,000        27,701  

Edison International
4.13%, 3/15/28(b)

     45,000        49,148  

Eli Lilly & Co.
3.38%, 3/15/29

     387,000        434,890  

Enable Midstream Partners L.P.

 

3.90%, 5/15/24

     78,000        79,592  

4.40%, 3/15/27

     35,000        34,986  

4.95%, 5/15/28

     170,000        169,565  

4.15%, 9/15/29

     250,000        237,161  

Enbridge Energy Partners L.P.

 

5.88%, 10/15/25

     25,000        29,944  

7.38%, 10/15/45

     50,000        79,254  

Energy Transfer Operating L.P.

 

4.65%, 6/1/21

     10,000        10,317  

4.75%, 1/15/26

     424,000        467,807  

5.50%, 6/1/27

     100,000        113,452  

5.25%, 4/15/29

     100,000        112,598  

3.75%, 5/15/30

     400,000        406,440  

6.63%, 10/15/36

     100,000        120,391  

5.80%, 6/15/38, Series 20Y

     146,000        166,843  

7.50%, 7/1/38

     40,000        52,593  

6.05%, 6/1/41

     42,000        46,790  

6.50%, 2/1/42

     408,000        492,392  

5.95%, 10/1/43

     71,000        79,203  

5.15%, 3/15/45

     255,000        266,636  

6.13%, 12/15/45

     305,000        344,611  

5.30%, 4/15/47

     25,000        26,004  

5.00%, 5/15/50

     200,000        202,746  

Energy Transfer Partners L.P.
5.00%, 10/1/22

     175,000        187,171  

Entergy Corp.
2.95%, 9/1/26

     519,000        547,247  

Entergy Texas, Inc.
4.50%, 3/30/39

     200,000        249,859  

 

See Notes to Financial Statements.

 

100   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Enterprise Products Operating LLC

 

3.35%, 3/15/23

   $ 300,000      $ 313,340  

3.90%, 2/15/24

     115,000        123,851  

3.75%, 2/15/25

     218,000        237,560  

4.15%, 10/16/28

     443,000        498,363  

3.13%, 7/31/29

     262,000        274,377  

6.13%, 10/15/39

     250,000        343,671  

5.95%, 2/1/41

     700,000        908,320  

4.85%, 8/15/42

     541,000        630,300  

4.45%, 2/15/43

     97,000        107,333  

5.10%, 2/15/45

     315,000        374,774  

4.90%, 5/15/46

     411,000        480,911  

4.25%, 2/15/48

     35,000        37,524  

4.20%, 1/31/50

     150,000        158,510  

4.95%, 10/15/54

     150,000        173,023  

5.25%, 8/16/77, Series E, (5.25% fixed rate until 8/16/27; 3-month U.S. dollar London Interbank Offered Rate + 3.033% thereafter)(d)

     518,000        526,674  

EOG Resources, Inc.
4.15%, 1/15/26

     100,000        112,301  

EPR Properties

 

4.75%, 12/15/26

     250,000        281,496  

4.50%, 6/1/27

     250,000        279,239  

Equifax, Inc.
2.30%, 6/1/21

     80,000        80,916  

Equitable Holdings, Inc.

 

4.35%, 4/20/28

     513,000        577,627  

5.00%, 4/20/48

     95,000        107,784  

ERP Operating L.P.

 

3.25%, 8/1/27

     308,000        332,449  

3.50%, 3/1/28

     312,000        343,429  

4.15%, 12/1/28

     253,000        293,998  

Essential Utilities, Inc.
3.57%, 5/1/29

     562,000        624,821  

Essex Portfolio L.P.

 

3.25%, 5/1/23

     185,000        194,397  

3.50%, 4/1/25

     80,000        86,774  

4.00%, 3/1/29

     100,000        114,002  

3.00%, 1/15/30

     175,000        185,840  

Estee Lauder Cos., Inc. (The)
3.15%, 3/15/27

     60,000        66,317  

Eversource Energy

 

2.75%, 3/15/22, Series K

     282,000        289,125  

2.90%, 10/1/24, Series L

     326,000        341,969  

Exelon Corp.

 

3.50%, 6/1/22

     100,000        103,784  

3.95%, 6/15/25

     565,000        623,703  

3.40%, 4/15/26

     75,000        81,083  

4.95%, 6/15/35

     20,000        24,529  

5.10%, 6/15/45

     100,000        129,494  

4.45%, 4/15/46

     65,000        78,788  

Exelon Generation Co. LLC

 

6.25%, 10/1/39

     75,000        93,830  

5.60%, 6/15/42

     97,000        115,808  

Expedia Group, Inc.

 

4.50%, 8/15/24

     30,000        32,742  

5.00%, 2/15/26

     350,000        394,615  

3.25%, 2/15/30(c)

   150,000      146,805  

Exxon Mobil Corp.

 

3.57%, 3/6/45

     577,000        641,026  

4.11%, 3/1/46

     800,000        968,159  

3.10%, 8/16/49

     327,000        337,975  

Federal Realty Investment Trust
3.20%, 6/15/29

     321,000        349,857  

FedEx Corp.

 

2.63%, 8/1/22

     155,000        159,125  

4.00%, 1/15/24

     20,000        21,654  

3.25%, 4/1/26

     106,000        113,794  

3.30%, 3/15/27

     79,000        84,413  

3.10%, 8/5/29

     277,000        290,116  

3.88%, 8/1/42

     70,000        70,868  

4.10%, 4/15/43

     206,000        214,312  

5.10%, 1/15/44

     77,000        90,374  

4.75%, 11/15/45

     855,000        966,773  

4.55%, 4/1/46

     145,000        159,332  

4.40%, 1/15/47

     370,000        393,501  

4.05%, 2/15/48

     200,000        203,457  

Fidelity National Financial, Inc.
4.50%, 8/15/28

     220,000        253,290  

Fidelity National Information Services, Inc.

 

3.00%, 8/15/26

     70,000        74,866  

4.25%, 5/15/28, Series 10Y

     72,000        83,241  

3.75%, 5/21/29

     141,000        159,139  

Fifth Third Bancorp

 

4.30%, 1/16/24

     225,000        244,193  

8.25%, 3/1/38

     100,000        166,856  

First Republic Bank
4.63%, 2/13/47

     300,000        384,989  

FirstEnergy Corp.

 

3.90%, 7/15/27, Series B

     100,000        110,887  

7.38%, 11/15/31, Series C

     424,000        619,857  

4.85%, 7/15/47, Series C

     75,000        92,460  

Fiserv, Inc.

 

4.20%, 10/1/28

     637,000        730,403  

4.40%, 7/1/49

     746,000        896,512  

Flex Ltd.
4.88%, 6/15/29

     100,000        110,771  

Florida Power & Light Co.

 

5.63%, 4/1/34

     300,000        432,601  

4.13%, 2/1/42

     527,000        649,034  

4.05%, 6/1/42

     310,000        384,120  

3.80%, 12/15/42

     25,000        29,887  

3.70%, 12/1/47

     95,000        110,502  

3.95%, 3/1/48

     415,000        513,734  

4.13%, 6/1/48

     125,000        159,638  

3.99%, 3/1/49

     188,000        234,556  

3.15%, 10/1/49

     350,000        389,414  

Flowers Foods, Inc.
3.50%, 10/1/26

     8,000        8,665  

Fluor Corp.

 

3.50%, 12/15/24

     200,000        193,862  

4.25%, 9/15/28(b)

     270,000        253,177  

FMC Corp.

 

3.45%, 10/1/29

     60,000        65,857  

4.50%, 10/1/49

     271,000        330,704  

 

See Notes to Financial Statements.

 

WisdomTree Trust      101  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Ford Motor Co.

 

4.35%, 12/8/26

   $ 135,000      $ 136,096  

6.63%, 10/1/28(b)

     40,000        46,126  

7.45%, 7/16/31

     630,000        715,532  

4.75%, 1/15/43

     175,000        150,807  

7.40%, 11/1/46

     25,000        27,749  

5.29%, 12/8/46

     322,000        295,549  

Ford Motor Credit Co. LLC

 

4.14%, 2/15/23

     250,000        257,433  

3.81%, 1/9/24

     500,000        506,043  

4.69%, 6/9/25

     237,000        246,056  

4.13%, 8/4/25

     207,000        210,238  

3.82%, 11/2/27(b)

     550,000        524,421  

5.11%, 5/3/29

     500,000        504,203  

Fortive Corp.
3.15%, 6/15/26

     200,000        211,460  

Fox Corp.

 

3.67%, 1/25/22(c)

     100,000        104,174  

4.03%, 1/25/24(c)

     545,000        590,474  

4.71%, 1/25/29(c)

     33,000        38,866  

5.48%, 1/25/39(c)

     112,000        143,689  

5.58%, 1/25/49(c)

     365,000        490,889  

Franklin Resources, Inc.
2.85%, 3/30/25

     145,000        154,914  

GATX Corp.

 

3.25%, 3/30/25

     170,000        180,782  

3.85%, 3/30/27

     360,000        391,123  

3.50%, 3/15/28

     300,000        321,486  

4.55%, 11/7/28

     90,000        103,341  

4.70%, 4/1/29

     70,000        82,138  

GE Capital International Funding Co. Unlimited Co.

 

3.37%, 11/15/25

     300,000        320,072  

4.42%, 11/15/35

     920,000        1,053,068  

General Dynamics Corp.

 

3.50%, 5/15/25

     65,000        71,443  

2.13%, 8/15/26

     54,000        55,589  

2.63%, 11/15/27

     62,000        65,794  

3.75%, 5/15/28

     100,000        113,638  

General Electric Co.

 

4.65%, 10/17/21

     248,000        258,713  

2.70%, 10/9/22

     198,000        202,404  

6.75%, 3/15/32, Series A

     710,000        966,773  

6.15%, 8/7/37

     60,000        78,884  

5.88%, 1/14/38

     857,000        1,115,730  

6.88%, 1/10/39

     385,000        537,049  

4.13%, 10/9/42

     4,000        4,295  

4.50%, 3/11/44

     50,000        58,491  

General Mills, Inc.

 

3.65%, 2/15/24

     2,000        2,145  

3.20%, 2/10/27(b)

     378,000        409,813  

4.20%, 4/17/28

     309,000        355,887  

4.55%, 4/17/38

     206,000        247,877  

5.40%, 6/15/40

     39,000        51,760  

4.15%, 2/15/43

     135,000        153,589  

4.70%, 4/17/48

     45,000        56,326  

General Motors Co.

 

4.00%, 4/1/25

     39,000        41,190  

4.20%, 10/1/27

     100,000        105,068  

5.00%, 4/1/35

   90,000      93,987  

6.60%, 4/1/36

     380,000        460,422  

5.15%, 4/1/38

     1,050,000        1,071,928  

6.25%, 10/2/43

     280,000        315,635  

5.20%, 4/1/45

     75,000        74,979  

6.75%, 4/1/46

     175,000        205,495  

General Motors Financial Co., Inc.

 

3.20%, 7/6/21

     30,000        30,362  

4.38%, 9/25/21

     297,000        307,121  

3.45%, 1/14/22

     170,000        173,731  

3.45%, 4/10/22

     84,000        86,161  

3.15%, 6/30/22

     330,000        337,826  

4.00%, 1/15/25

     283,000        300,278  

4.35%, 4/9/25

     75,000        80,340  

4.30%, 7/13/25

     111,000        118,019  

5.25%, 3/1/26

     60,000        66,477  

4.00%, 10/6/26

     100,000        103,226  

4.35%, 1/17/27

     410,000        440,873  

3.85%, 1/5/28

     111,000        113,208  

Genpact Luxembourg SARL
3.70%, 4/1/22

     130,000        135,318  

Georgia Power Co.

 

3.25%, 3/30/27

     425,000        458,930  

2.65%, 9/15/29, Series B

     10,000        10,341  

Gilead Sciences, Inc.
2.95%, 3/1/27

     449,000        479,528  

Global Payments, Inc.

 

3.75%, 6/1/23

     35,000        37,094  

4.80%, 4/1/26

     125,000        143,478  

4.45%, 6/1/28

     160,000        183,981  

3.20%, 8/15/29

     299,000        318,150  

Globe Life, Inc.
4.55%, 9/15/28

     450,000        525,304  

GLP Capital L.P.

 

5.25%, 6/1/25

     250,000        280,410  

5.38%, 4/15/26

     105,000        118,716  

5.75%, 6/1/28

     169,000        198,510  

Goldman Sachs Group, Inc. (The)

 

3.75%, 5/22/25

     147,000        159,223  

4.25%, 10/21/25

     276,000        301,662  

3.75%, 2/25/26

     125,000        136,767  

3.50%, 11/16/26

     100,000        107,481  

5.95%, 1/15/27

     150,000        183,981  

3.85%, 1/26/27

     70,000        76,945  

3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.51% thereafter)(d)

     721,000        789,187  

3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(d)

     900,000        993,421  

6.75%, 10/1/37

     1,072,000        1,522,825  

5.15%, 5/22/45

     575,000        741,210  

Halliburton Co.

 

3.50%, 8/1/23

     50,000        52,679  

3.80%, 11/15/25

     324,000        355,647  

4.85%, 11/15/35

     55,000        63,632  

 

See Notes to Financial Statements.

 

102   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

6.70%, 9/15/38

   $ 183,000      $ 252,446  

7.45%, 9/15/39

     78,000        115,862  

4.50%, 11/15/41

     2,000        2,194  

5.00%, 11/15/45

     550,000        597,763  

Hartford Financial Services Group, Inc. (The)

 

4.30%, 4/15/43

     65,000        79,297  

4.40%, 3/15/48

     320,000        399,772  

Hasbro, Inc.

 

3.50%, 9/15/27

     205,000        214,540  

6.35%, 3/15/40

     356,000        447,686  

HCA, Inc.

 

4.75%, 5/1/23

     25,000        27,073  

5.25%, 4/15/25

     325,000        369,581  

5.13%, 6/15/39

     710,000        826,954  

5.50%, 6/15/47

     300,000        356,849  

5.25%, 6/15/49

     350,000        408,650  

Healthcare Realty Trust, Inc.
3.63%, 1/15/28

     25,000        27,270  

Healthcare Trust of America Holdings L.P.
3.10%, 2/15/30

     300,000        314,122  

Healthpeak Properties, Inc.

 

4.25%, 11/15/23

     20,000        21,781  

4.20%, 3/1/24

     15,000        16,372  

3.88%, 8/15/24

     55,000        59,902  

3.40%, 2/1/25

     59,000        63,422  

4.00%, 6/1/25

     120,000        133,297  

3.25%, 7/15/26

     361,000        389,840  

6.75%, 2/1/41

     32,000        49,260  

Hershey Co. (The)
2.30%, 8/15/26

     85,000        89,269  

Hess Corp.

 

4.30%, 4/1/27

     100,000        105,954  

7.13%, 3/15/33

     100,000        126,950  

6.00%, 1/15/40

     225,000        251,621  

5.60%, 2/15/41

     100,000        108,056  

5.80%, 4/1/47

     350,000        387,866  

Hewlett Packard Enterprise Co.

 

4.90%, 10/15/25

     584,000        664,107  

6.20%, 10/15/35

     50,000        62,622  

6.35%, 10/15/45

     340,000        425,694  

Hexcel Corp.

 

4.70%, 8/15/25

     133,000        148,880  

3.95%, 2/15/27

     150,000        163,327  

Highwoods Realty L.P.

 

4.13%, 3/15/28

     25,000        28,286  

4.20%, 4/15/29

     100,000        114,565  

3.05%, 2/15/30(b)

     250,000        262,468  

Home Depot, Inc. (The)

 

3.35%, 9/15/25

     255,000        279,508  

3.00%, 4/1/26

     155,000        167,488  

2.80%, 9/14/27

     105,000        111,973  

2.95%, 6/15/29

     145,000        156,725  

Honeywell International, Inc.
2.50%, 11/1/26

     301,000        320,411  

Host Hotels & Resorts L.P.

 

4.75%, 3/1/23, Series C

     40,000        43,340  

4.00%, 6/15/25, Series E

     21,000        22,971  

HP, Inc.
6.00%, 9/15/41

   350,000      401,865  

Hubbell, Inc.

 

3.63%, 11/15/22

     25,000        26,374  

3.15%, 8/15/27

     8,000        8,484  

3.50%, 2/15/28

     96,000        104,672  

Hudson Pacific Properties L.P.

 

3.95%, 11/1/27

     175,000        193,948  

4.65%, 4/1/29

     185,000        216,031  

Humana, Inc.

 

3.15%, 12/1/22

     15,000        15,589  

3.95%, 3/15/27

     315,000        349,018  

4.95%, 10/1/44

     377,000        465,093  

Huntington Bancshares, Inc.

 

2.63%, 8/6/24

     111,000        115,318  

4.00%, 5/15/25

     437,000        487,374  

Huntington Ingalls Industries, Inc.
3.48%, 12/1/27

     25,000        27,082  

Huntsman International LLC
4.50%, 5/1/29

     529,000        583,231  

Illinois Tool Works, Inc.
2.65%, 11/15/26

     99,000        106,601  

Ingersoll-Rand Global Holding Co., Ltd.

 

2.90%, 2/21/21

     75,000        75,900  

4.25%, 6/15/23

     218,000        238,383  

5.75%, 6/15/43

     130,000        185,528  

Ingersoll-Rand Luxembourg Finance S.A.

 

3.55%, 11/1/24

     98,000        105,928  

3.80%, 3/21/29(b)

     150,000        168,895  

Ingredion, Inc.
3.20%, 10/1/26

     109,000        116,382  

Intel Corp.

 

3.70%, 7/29/25

     193,000        213,211  

2.60%, 5/19/26(b)

     100,000        104,781  

3.15%, 5/11/27(b)

     441,000        480,677  

Intercontinental Exchange, Inc.

 

3.75%, 12/1/25

     136,000        150,189  

3.10%, 9/15/27

     90,000        97,613  

3.75%, 9/21/28

     408,000        458,255  

International Business Machines Corp.

 

7.00%, 10/30/25

     129,000        164,461  

3.45%, 2/19/26

     160,000        175,221  

3.30%, 5/15/26

     300,000        328,183  

3.30%, 1/27/27

     150,000        164,525  

3.50%, 5/15/29

     550,000        617,478  

International Flavors & Fragrances, Inc.

 

4.38%, 6/1/47

     177,000        189,569  

5.00%, 9/26/48

     50,000        58,927  

International Lease Finance Corp.
8.63%, 1/15/22

     30,000        33,487  

International Paper Co.

 

3.65%, 6/15/24

     163,000        176,076  

3.80%, 1/15/26

     155,000        172,187  

3.00%, 2/15/27(b)

     748,000        803,579  

7.30%, 11/15/39

     100,000        148,165  

6.00%, 11/15/41

     75,000        100,103  

4.80%, 6/15/44

     55,000        63,260  

 

See Notes to Financial Statements.

 

WisdomTree Trust      103  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

4.40%, 8/15/47

   $ 85,000      $ 95,805  

4.35%, 8/15/48

     100,000        113,828  

Interpublic Group of Cos., Inc. (The)

 

4.20%, 4/15/24

     176,000        194,063  

5.40%, 10/1/48(b)

     135,000        180,864  

Interstate Power & Light Co.

 

6.25%, 7/15/39

     10,000        14,283  

3.70%, 9/15/46

     700,000        791,307  

ITC Holdings Corp.

 

3.25%, 6/30/26

     75,000        79,271  

5.30%, 7/1/43

     67,000        90,879  

Jabil, Inc.
3.95%, 1/12/28

     134,000        146,019  

Jefferies Group LLC

 

4.85%, 1/15/27

     153,000        169,643  

4.15%, 1/23/30

     603,000        656,875  

6.25%, 1/15/36(b)

     121,000        148,800  

6.50%, 1/20/43

     125,000        155,323  

JetBlue Pass Through Trust
2.75%, 11/15/33, Series AA

     301,000        318,534  

JM Smucker Co. (The)

 

4.25%, 3/15/35

     418,000        488,689  

4.38%, 3/15/45

     5,000        5,731  

John Deere Capital Corp.

 

3.45%, 3/13/25

     149,000        162,320  

3.05%, 1/6/28

     25,000        27,436  

2.80%, 7/18/29

     300,000        322,588  

Johns Hopkins Health System Corp. (The)
3.84%, 5/15/46

     98,000        120,954  

Johnson & Johnson

 

3.55%, 3/1/36

     72,000        84,364  

3.63%, 3/3/37

     400,000        460,996  

3.40%, 1/15/38

     725,000        826,987  

4.50%, 12/5/43

     500,000        650,183  

3.70%, 3/1/46

     350,000        425,801  

3.75%, 3/3/47

     807,000        993,263  

3.50%, 1/15/48

     309,000        369,225  

Johnson Controls International PLC

 

3.90%, 2/14/26

     10,000        11,160  

4.63%, 7/2/44

     180,000        221,713  

5.13%, 9/14/45

     11,000        14,429  

4.50%, 2/15/47

     25,000        31,012  

JPMorgan Chase & Co.

 

3.90%, 7/15/25

     50,000        55,197  

3.30%, 4/1/26

     59,000        64,269  

3.20%, 6/15/26

     284,000        305,429  

2.95%, 10/1/26

     53,000        56,247  

7.63%, 10/15/26

     517,000        686,021  

4.13%, 12/15/26

     62,000        69,900  

3.96%, 1/29/27, (3.96% fixed rate until 1/29/26; 3-month U.S. dollar London Interbank Offered Rate + 1.245% thereafter)(d)

     250,000        278,237  

8.00%, 4/29/27

     1,000        1,372  

4.25%, 10/1/27

     144,000        162,943  

3.63%, 12/1/27

     35,000        37,783  

3.78%, 2/1/28, (3.782% fixed rate until 2/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.337% thereafter)(d)

   289,000      319,928  

3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d)

     240,000        262,744  

3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(d)

     285,000        311,513  

4.01%, 4/23/29, (4.005% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.12% thereafter)(d)

     282,000        318,069  

4.20%, 7/23/29, (4.203% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.26% thereafter)(d)

     305,000        351,754  

4.45%, 12/5/29, (4.452% fixed rate until 12/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.33% thereafter)(d)

     411,000        479,838  

Juniper Networks, Inc.
4.50%, 3/15/24

     25,000        27,614  

5.95%, 3/15/41

     161,000        198,834  

Kaiser Foundation Hospitals
4.88%, 4/1/42

     165,000        224,924  

4.15%, 5/1/47

     750,000        948,608  

3.27%, 11/1/49, Series 2019

     40,000        44,410  

Kansas City Southern
4.30%, 5/15/43

     19,000        23,068  

4.70%, 5/1/48

     125,000        163,222  

Kellogg Co.
2.65%, 12/1/23

     16,000        16,677  

3.25%, 4/1/26

     145,000        157,620  

3.40%, 11/15/27

     155,000        168,697  

7.45%, 4/1/31, Series B

     50,000        73,071  

4.50%, 4/1/46

     112,000        133,332  

Kemper Corp.
4.35%, 2/15/25

     125,000        137,467  

Kennametal, Inc.
4.63%, 6/15/28

     240,000        269,227  

Keurig Dr. Pepper, Inc.
4.06%, 5/25/23

     421,000        453,346  

4.42%, 5/25/25

     65,000        72,938  

2.55%, 9/15/26

     25,000        25,569  

3.43%, 6/15/27

     140,000        149,650  

4.60%, 5/25/28

     170,000        196,583  

4.99%, 5/25/38

     115,000        141,169  

4.50%, 11/15/45

     100,000        116,614  

5.09%, 5/25/48

     125,000        159,761  

KeyCorp
4.15%, 10/29/25

     253,000        284,571  

4.10%, 4/30/28

     290,000        331,501  

2.55%, 10/1/29

     90,000        92,164  

 

See Notes to Financial Statements.

 

104   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Kilroy Realty L.P.
3.45%, 12/15/24

   $ 87,000      $ 93,352  

4.38%, 10/1/25

     160,000        179,980  

4.25%, 8/15/29

     50,000        57,587  

3.05%, 2/15/30

     120,000        125,454  

Kimberly-Clark Corp.
3.20%, 4/25/29

     517,000        575,470  

Kimco Realty Corp.
3.30%, 2/1/25

     142,000        152,318  

2.80%, 10/1/26

     197,000        206,900  

4.25%, 4/1/45

     94,000        109,756  

4.45%, 9/1/47

     105,000        124,367  

3.70%, 10/1/49

     150,000        161,029  

Kinder Morgan Energy Partners L.P.
3.50%, 3/1/21

     30,000        30,358  

3.50%, 9/1/23

     25,000        26,137  

7.30%, 8/15/33

     1,000        1,378  

6.95%, 1/15/38

     90,000        120,748  

6.50%, 9/1/39

     123,000        156,964  

6.55%, 9/15/40

     250,000        323,805  

6.38%, 3/1/41

     8,000        10,024  

5.63%, 9/1/41

     313,000        360,025  

5.00%, 8/15/42

     25,000        27,162  

5.00%, 3/1/43

     328,000        358,230  

5.40%, 9/1/44

     75,000        87,071  

Kinder Morgan, Inc.
4.30%, 6/1/25

     286,000        315,615  

4.30%, 3/1/28

     500,000        558,265  

7.75%, 1/15/32

     150,000        218,800  

5.30%, 12/1/34

     543,000        647,310  

5.55%, 6/1/45

     291,000        346,347  

5.05%, 2/15/46

     80,000        90,990  

5.20%, 3/1/48(b)

     100,000        118,598  

Kirby Corp.
4.20%, 3/1/28

     30,000        33,129  

KLA Corp.
4.65%, 11/1/24

     425,000        480,046  

Kohl’s Corp.
4.25%, 7/17/25

     85,000        91,958  

5.55%, 7/17/45

     377,000        404,231  

Kraft Heinz Foods Co.
3.00%, 6/1/26

     456,000        455,741  

Kroger Co. (The)
2.80%, 8/1/22

     519,000        537,693  

2.65%, 10/15/26(b)

     425,000        440,985  

3.70%, 8/1/27

     245,000        272,864  

5.40%, 7/15/40

     60,000        75,454  

5.00%, 4/15/42

     66,000        79,216  

5.15%, 8/1/43

     50,000        62,738  

4.45%, 2/1/47

     280,000        317,542  

4.65%, 1/15/48(b)

     199,000        226,393  

3.95%, 1/15/50

     200,000        208,117  

L3Harris Technologies, Inc.
3.95%, 5/28/24(c)

     5,000        5,449  

3.83%, 4/27/25

     300,000        330,715  

4.40%, 6/15/28

     55,000        63,871  

4.40%, 6/15/28(c)

     276,000        320,518  

4.85%, 4/27/35

   67,000      83,278  

5.05%, 4/27/45

     50,000        65,571  

Laboratory Corp. of America Holdings
3.25%, 9/1/24

     100,000        106,134  

3.60%, 2/1/25

     456,000        492,053  

3.60%, 9/1/27

     225,000        247,041  

4.70%, 2/1/45

     75,000        90,535  

Lam Research Corp.
3.80%, 3/15/25

     88,000        96,903  

3.75%, 3/15/26(b)

     50,000        55,282  

4.00%, 3/15/29

     632,000        717,732  

Las Vegas Sands Corp.
3.50%, 8/18/26

     150,000        156,886  

Lear Corp.
4.25%, 5/15/29

     250,000        270,036  

Legg Mason, Inc.
5.63%, 1/15/44

     285,000        391,815  

Leggett & Platt, Inc.
3.50%, 11/15/27

     25,000        27,063  

Leland Stanford Junior University (The)
3.65%, 5/1/48

     300,000        384,345  

LifeStorage L.P.
3.50%, 7/1/26

     60,000        64,636  

3.88%, 12/15/27

     25,000        27,809  

Lincoln National Corp.
4.00%, 9/1/23

     492,000        531,972  

4.35%, 3/1/48

     53,000        62,490  

Lockheed Martin Corp.
3.55%, 1/15/26

     245,000        271,775  

Loews Corp.
3.75%, 4/1/26

     5,000        5,580  

Lowe’s Cos., Inc.
3.12%, 4/15/22

     303,000        311,934  

3.38%, 9/15/25

     355,000        386,343  

2.50%, 4/15/26

     25,000        25,882  

4.65%, 4/15/42

     275,000        336,623  

4.25%, 9/15/44

     172,000        195,380  

4.38%, 9/15/45

     78,000        91,338  

3.70%, 4/15/46

     817,000        874,140  

4.05%, 5/3/47

     670,000        755,393  

LYB International Finance B.V.
4.00%, 7/15/23

     45,000        48,551  

5.25%, 7/15/43

     700,000        857,300  

4.88%, 3/15/44(b)

     390,000        457,348  

LYB International Finance II B.V.
3.50%, 3/2/27

     20,000        21,729  

LyondellBasell Industries N.V.
5.75%, 4/15/24

     200,000        229,496  

Macy’s Retail Holdings, Inc.
2.88%, 2/15/23

     30,000        30,035  

3.63%, 6/1/24(b)

     87,000        88,354  

4.50%, 12/15/34

     23,000        21,316  

Magellan Midstream Partners L.P.
5.15%, 10/15/43

     72,000        88,294  

4.20%, 10/3/47

     160,000        180,207  

4.85%, 2/1/49

     185,000        222,739  

 

See Notes to Financial Statements.

 

WisdomTree Trust      105  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Marathon Oil Corp.
2.80%, 11/1/22

   $ 30,000      $ 30,523  

3.85%, 6/1/25

     30,000        31,725  

4.40%, 7/15/27

     165,000        180,567  

6.60%, 10/1/37

     669,000        825,846  

Marathon Petroleum Corp.
6.50%, 3/1/41

     100,000        135,017  

4.75%, 9/15/44

     51,000        58,540  

4.50%, 4/1/48

     25,000        28,553  

5.00%, 9/15/54

     195,000        218,260  

Markel Corp.
3.50%, 11/1/27

     100,000        109,235  

5.00%, 4/5/46

     165,000        202,218  

4.30%, 11/1/47

     85,000        95,304  

5.00%, 5/20/49

     250,000        314,987  

Marriott International, Inc.
2.30%, 1/15/22

     10,000        10,133  

3.25%, 9/15/22

     29,000        30,078  

4.15%, 12/1/23, Series Z

     29,000        31,550  

3.13%, 6/15/26, Series R

     100,000        105,041  

Marsh & McLennan Cos., Inc.
3.50%, 3/10/25

     35,000        37,681  

3.75%, 3/14/26

     246,000        270,923  

4.38%, 3/15/29

     71,000        82,854  

Martin Marietta Materials, Inc.
3.45%, 6/1/27

     25,000        26,917  

4.25%, 12/15/47

     180,000        202,879  

Massachusetts Institute of Technology
2.99%, 7/1/50, Series F

     200,000        223,181  

5.60%, 7/1/2111

     250,000        459,478  

4.68%, 7/1/2114

     350,000        552,505  

3.89%, 7/1/2116

     300,000        403,072  

Mastercard, Inc.
2.95%, 11/21/26

     100,000        108,198  

3.50%, 2/26/28

     52,000        58,121  

2.95%, 6/1/29

     145,000        157,307  

McCormick & Co., Inc.
3.40%, 8/15/27

     110,000        120,156  

McDonald’s Corp.
3.35%, 4/1/23

     35,000        36,988  

3.38%, 5/26/25

     192,000        207,491  

3.70%, 1/30/26

     604,000        663,909  

3.80%, 4/1/28(b)

     968,000        1,084,334  

4.70%, 12/9/35

     81,000        101,687  

6.30%, 3/1/38

     18,000        26,083  

4.88%, 7/15/40

     310,000        386,025  

4.60%, 5/26/45

     92,000        114,880  

4.88%, 12/9/45

     110,000        142,558  

4.45%, 3/1/47

     35,000        42,608  

4.45%, 9/1/48

     467,000        572,132  

McKesson Corp.
3.80%, 3/15/24

     40,000        43,045  

4.75%, 5/30/29

     95,000        111,585  

4.88%, 3/15/44

     100,000        119,475  

Medtronic Global Holdings SCA
3.35%, 4/1/27

     185,000        204,909  

Medtronic, Inc.
3.50%, 3/15/25

     172,000        188,785  

Memorial Sloan-Kettering Cancer Center
4.13%, 7/1/52

   500,000      633,808  

4.20%, 7/1/55, Series 2015

     385,000        498,518  

Merck & Co., Inc.
3.40%, 3/7/29

     263,000        294,164  

Mercury General Corp.
4.40%, 3/15/27

     160,000        175,073  

MetLife, Inc.
6.40%, 12/15/66

     100,000        123,656  

Micron Technology, Inc.
5.33%, 2/6/29

     312,000        358,721  

Microsoft Corp.
3.50%, 2/12/35

     750,000        873,567  

4.20%, 11/3/35

     50,000        62,518  

3.45%, 8/8/36

     260,000        300,516  

4.10%, 2/6/37

     1,100,000        1,365,913  

5.20%, 6/1/39

     750,000        1,070,895  

4.50%, 10/1/40

     350,000        457,758  

5.30%, 2/8/41

     245,000        353,980  

3.50%, 11/15/42

     525,000        613,414  

3.75%, 5/1/43

     250,000        299,173  

4.88%, 12/15/43

     275,000        381,187  

3.75%, 2/12/45

     757,000        921,250  

4.45%, 11/3/45

     765,000        1,024,266  

3.70%, 8/8/46

     925,000        1,124,907  

4.25%, 2/6/47

     815,000        1,070,506  

4.00%, 2/12/55

     707,000        896,096  

4.75%, 11/3/55

     525,000        750,929  

3.95%, 8/8/56

     1,025,000        1,305,428  

4.50%, 2/6/57

     850,000        1,182,787  

Mid-America Apartments L.P.
3.75%, 6/15/24

     37,000        40,078  

3.60%, 6/1/27

     125,000        136,549  

3.95%, 3/15/29

     340,000        389,657  

MidAmerican Energy Co.
3.10%, 5/1/27

     200,000        216,325  

Molson Coors Beverage Co.
3.00%, 7/15/26

     157,000        164,288  

5.00%, 5/1/42

     100,000        113,435  

4.20%, 7/15/46

     630,000        654,924  

Mondelez International, Inc.
4.00%, 2/1/24

     90,000        97,882  

3.63%, 2/13/26

     100,000        111,567  

4.63%, 5/7/48

     165,000        214,803  

Moody’s Corp.
4.88%, 2/15/24

     442,000        492,910  

Morgan Stanley
4.88%, 11/1/22

     440,000        474,944  

4.00%, 7/23/25

     64,000        70,980  

5.00%, 11/24/25

     306,000        353,360  

3.88%, 1/27/26

     416,000        460,155  

4.35%, 9/8/26

     250,000        279,921  

3.63%, 1/20/27

     277,000        303,255  

3.95%, 4/23/27

     440,000        482,830  

3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.34% thereafter)(d)

     630,000        689,650  

 

See Notes to Financial Statements.

 

106   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.14% thereafter)(d)

   $ 442,000      $ 491,502  

4.43%, 1/23/30, (4.431% fixed rate until 1/23/29; 3-month U.S. dollar London Interbank Offered Rate + 1.628% thereafter)(d)

     525,000        611,065  

2.70%, 1/22/31, (2.699% fixed rate until 1/22/30; Secured Overnight Financing Rate + 1.143% thereafter)(d)

     250,000        258,318  

Mosaic Co. (The)
4.25%, 11/15/23

     100,000        107,711  

4.05%, 11/15/27

     289,000        306,021  

4.88%, 11/15/41

     68,000        73,571  

5.63%, 11/15/43

     38,000        45,435  

Motorola Solutions, Inc.
4.00%, 9/1/24

     262,000        284,162  

4.60%, 2/23/28

     50,000        56,539  

4.60%, 5/23/29

     50,000        57,405  

5.50%, 9/1/44

     100,000        118,681  

MPLX L.P.
4.50%, 7/15/23

     60,000        64,750  

4.88%, 12/1/24

     257,000        285,281  

5.25%, 1/15/25(c)

     381,000        402,716  

4.00%, 2/15/25

     157,000        167,844  

4.88%, 6/1/25

     106,000        118,101  

4.13%, 3/1/27

     419,000        449,830  

4.25%, 12/1/27(c)

     50,000        54,521  

4.00%, 3/15/28

     190,000        200,257  

5.20%, 3/1/47

     235,000        255,150  

5.20%, 12/1/47(c)

     25,000        26,289  

4.70%, 4/15/48

     459,000        465,756  

5.50%, 2/15/49

     295,000        335,659  

4.90%, 4/15/58

     30,000        30,022  

MUFG Americas Holdings Corp.
3.00%, 2/10/25

     17,000        18,035  

Mylan N.V.
3.95%, 6/15/26

     554,000        602,918  

5.25%, 6/15/46

     90,000        108,252  

Mylan, Inc.
4.55%, 4/15/28(b)

     175,000        197,557  

5.40%, 11/29/43

     445,000        537,410  

Nasdaq, Inc.
4.25%, 6/1/24

     154,000        168,877  

National Fuel Gas Co.
3.95%, 9/15/27

     150,000        158,298  

4.75%, 9/1/28

     65,000        71,221  

National Grid USA
5.80%, 4/1/35

     145,000        187,081  

National Oilwell Varco, Inc.
3.95%, 12/1/42

     105,000        100,363  

National Retail Properties, Inc.
3.80%, 10/15/22

     8,000        8,480  

3.30%, 4/15/23

     25,000        26,178  

3.50%, 10/15/27

     15,000        16,430  

National Rural Utilities Cooperative Finance Corp.
3.40%, 2/7/28

   100,000      112,368  

3.70%, 3/15/29

     167,000        191,563  

NetApp, Inc.
3.30%, 9/29/24

     25,000        26,653  

Newmont Corp.
3.50%, 3/15/22

     112,000        114,733  

3.70%, 3/15/23

     244,000        259,335  

2.80%, 10/1/29

     85,000        88,626  

6.25%, 10/1/39

     362,000        517,615  

4.88%, 3/15/42

     292,000        367,564  

5.45%, 6/9/44

     25,000        33,654  

NextEra Energy Capital Holdings, Inc.
3.15%, 4/1/24

     250,000        265,140  

3.25%, 4/1/26

     175,000        187,181  

3.55%, 5/1/27

     200,000        217,635  

3.50%, 4/1/29

     527,000        578,730  

2.75%, 11/1/29

     500,000        523,489  

4.80%, 12/1/77, (4.80% fixed rate until 12/1/27; 3-month U.S. dollar London Interbank Offered Rate + 2.409% thereafter)(d)

     33,000        35,368  

NIKE, Inc.
2.38%, 11/1/26

     424,000        446,662  

NiSource, Inc.
3.49%, 5/15/27

     200,000        218,071  

5.95%, 6/15/41

     2,000        2,764  

5.25%, 2/15/43

     203,000        263,361  

4.80%, 2/15/44

     206,000        250,229  

5.65%, 2/1/45

     394,000        537,885  

4.38%, 5/15/47

     25,000        29,376  

3.95%, 3/30/48

     75,000        84,904  

Noble Energy, Inc.
3.90%, 11/15/24

     271,000        288,500  

3.85%, 1/15/28

     163,000        168,944  

6.00%, 3/1/41

     410,000        470,492  

5.05%, 11/15/44

     135,000        138,602  

4.95%, 8/15/47

     69,000        72,724  

Nordstrom, Inc.
4.00%, 3/15/27

     20,000        21,342  

6.95%, 3/15/28

     30,000        37,133  

5.00%, 1/15/44

     327,000        331,314  

Norfolk Southern Corp.
3.25%, 12/1/21

     410,000        421,302  

2.90%, 6/15/26

     23,000        24,631  

3.15%, 6/1/27

     100,000        108,310  

3.80%, 8/1/28

     448,000        512,906  

3.94%, 11/1/47

     271,000        316,373  

4.05%, 8/15/52

     387,000        461,240  

5.10%, 8/1/2118

     200,000        262,662  

Northern Trust Corp.
3.15%, 5/3/29

     256,000        281,492  

3.38%, 5/8/32, (3.375% fixed rate until 5/8/27; 3-month U.S. dollar London Interbank Offered Rate + 1.131% thereafter)(d)

     30,000        32,440  

 

See Notes to Financial Statements.

 

WisdomTree Trust      107  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Northrop Grumman Corp.
3.50%, 3/15/21

   $ 117,000      $ 119,381  

2.55%, 10/15/22

     25,000        25,760  

3.25%, 8/1/23

     11,000        11,669  

2.93%, 1/15/25

     250,000        265,126  

3.20%, 2/1/27

     100,000        107,373  

3.25%, 1/15/28

     100,000        107,984  

5.05%, 11/15/40

     26,000        33,970  

4.75%, 6/1/43

     60,000        77,937  

3.85%, 4/15/45

     315,000        358,961  

4.03%, 10/15/47

     300,000        359,803  

Northrop Grumman Systems Corp.
7.75%, 2/15/31

     170,000        252,827  

Northwestern University
4.64%, 12/1/44

     500,000        694,834  

NSTAR Electric Co.
3.20%, 5/15/27

     250,000        271,893  

Nucor Corp.
4.00%, 8/1/23

     21,000        22,618  

6.40%, 12/1/37

     27,000        39,522  

O’Reilly Automotive, Inc.
4.35%, 6/1/28

     35,000        40,412  

Occidental Petroleum Corp.
6.95%, 7/1/24

     72,000        84,827  

3.50%, 6/15/25

     350,000        361,392  

5.55%, 3/15/26

     235,000        266,611  

3.40%, 4/15/26

     90,000        92,158  

3.00%, 2/15/27

     200,000        198,600  

3.50%, 8/15/29(b)

     527,000        530,632  

7.88%, 9/15/31

     69,000        90,077  

6.45%, 9/15/36

     295,000        349,385  

7.95%, 6/15/39

     100,000        134,701  

6.60%, 3/15/46

     552,000        671,506  

4.40%, 4/15/46

     25,000        22,708  

4.10%, 2/15/47

     100,000        91,412  

4.40%, 8/15/49(b)

     771,000        734,105  

Office Properties Income Trust
4.25%, 5/15/24

     50,000        52,813  

Oglethorpe Power Corp.
5.38%, 11/1/40

     52,000        68,171  

5.25%, 9/1/50

     195,000        247,601  

Oklahoma Gas & Electric Co.
3.80%, 8/15/28

     135,000        153,307  

Old Republic International Corp.
3.88%, 8/26/26

     110,000        121,729  

Omega Healthcare Investors, Inc.
4.95%, 4/1/24

     300,000        333,441  

4.50%, 4/1/27

     80,000        89,210  

4.75%, 1/15/28

     60,000        67,523  

3.63%, 10/1/29

     100,000        105,318  

Oncor Electric Delivery Co. LLC
2.95%, 4/1/25

     169,000        181,253  

ONEOK Partners L.P.
5.00%, 9/15/23

     150,000        164,935  

6.20%, 9/15/43

     50,000        62,832  

ONEOK, Inc.
4.00%, 7/13/27

     630,000        686,112  

4.55%, 7/15/28

   357,000      400,143  

4.95%, 7/13/47

     190,000        209,024  

Oracle Corp.
2.65%, 7/15/26

     200,000        211,362  

3.25%, 11/15/27

     582,000        640,066  

Oshkosh Corp.
4.60%, 5/15/28

     32,000        36,282  

Owens Corning
4.20%, 12/1/24

     25,000        27,248  

3.40%, 8/15/26

     200,000        209,615  

7.00%, 12/1/36

     32,000        43,509  

Packaging Corp. of America
3.65%, 9/15/24

     42,000        45,579  

Parker-Hannifin Corp.
3.25%, 3/1/27(b)

     100,000        108,416  

3.25%, 6/14/29

     1,197,000        1,302,720  

PayPal Holdings, Inc.
2.40%, 10/1/24

     350,000        359,435  

2.85%, 10/1/29

     250,000        262,786  

Pentair Finance Sarl
4.50%, 7/1/29

     583,000        656,863  

PepsiCo, Inc.
2.75%, 4/30/25

     145,000        153,726  

3.00%, 10/15/27

     452,000        493,094  

Perrigo Finance Unlimited Co.
4.90%, 12/15/44

     390,000        420,390  

Pfizer, Inc.
2.75%, 6/3/26(b)

     100,000        106,793  

3.00%, 12/15/26

     175,000        190,716  

3.45%, 3/15/29

     484,000        542,810  

Philip Morris International, Inc.
3.38%, 8/11/25

     260,000        282,717  

2.75%, 2/25/26

     44,000        45,858  

3.13%, 8/17/27

     35,000        37,485  

3.13%, 3/2/28

     73,000        77,888  

Phillips 66
4.65%, 11/15/34

     147,000        177,180  

5.88%, 5/1/42

     125,000        170,096  

4.88%, 11/15/44

     315,000        379,338  

Phillips 66 Partners L.P.
3.75%, 3/1/28

     245,000        264,380  

4.90%, 10/1/46

     100,000        113,838  

Physicians Realty L.P.
3.95%, 1/15/28

     25,000        27,601  

Piedmont Natural Gas Co., Inc.
3.50%, 6/1/29

     78,000        87,180  

Pioneer Natural Resources Co.
3.95%, 7/15/22

     100,000        104,677  

4.45%, 1/15/26

     50,000        55,910  

Plains All American Pipeline L.P.
3.65%, 6/1/22

     40,000        41,138  

3.60%, 11/1/24(b)

     542,000        561,050  

4.65%, 10/15/25

     240,000        261,504  

4.50%, 12/15/26

     320,000        348,681  

4.70%, 6/15/44

     47,000        43,568  

4.90%, 2/15/45

     105,000        104,214  

 

See Notes to Financial Statements.

 

108   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Plains All American Pipeline L.P. / PAA Finance Corp.
3.55%, 12/15/29

   $ 50,000      $ 49,256  

PNC Bank NA
3.25%, 6/1/25

     458,000        492,335  

3.25%, 1/22/28

     625,000        678,333  

PNC Financial Services Group, Inc. (The)
3.45%, 4/23/29

     328,000        362,359  

PPG Industries, Inc.
2.80%, 8/15/29

     82,000        86,085  

PPL Capital Funding, Inc.
4.70%, 6/1/43

     280,000        337,595  

5.00%, 3/15/44

     70,000        86,745  

Praxair, Inc.
3.20%, 1/30/26

     200,000        216,715  

President & Fellows of Harvard College
3.15%, 7/15/46

     316,000        364,337  

Princeton University
5.70%, 3/1/39

     215,000        323,881  

Principal Financial Group, Inc.
3.40%, 5/15/25

     25,000        27,122  

3.10%, 11/15/26

     25,000        26,943  

3.70%, 5/15/29

     21,000        23,925  

Procter & Gamble Co. (The)
5.50%, 2/1/34

     201,000        286,739  

3.50%, 10/25/47

     250,000        309,716  

Progress Energy, Inc.
6.00%, 12/1/39

     200,000        286,085  

Progressive Corp. (The)
2.45%, 1/15/27

     25,000        26,319  

6.63%, 3/1/29

     75,000        104,125  

Prologis L.P.
3.75%, 11/1/25

     170,000        188,802  

4.38%, 2/1/29

     60,000        71,087  

Prudential Financial, Inc.

     

5.20%, 3/15/44, (5.20% fixed rate until 3/15/24; 3-month U.S. dollar London Interbank Offered Rate + 3.04% thereafter)(d)

     30,000        32,074  

5.38%, 5/15/45, (5.375% fixed rate until 5/15/25; 3-month U.S. dollar London Interbank Offered Rate + 3.031% thereafter)(d)

     88,000        96,239  

4.50%, 9/15/47, (4.50% fixed rate until 9/15/27; 3-month U.S. dollar London Interbank Offered Rate + 2.38% thereafter)(d)

     108,000        114,331  

5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(d)

     200,000        226,499  

PSEG Power LLC
8.63%, 4/15/31

     100,000        142,866  

Public Service Co. of Colorado
3.70%, 6/15/28

     110,000        126,481  

Public Service Electric & Gas Co.
2.25%, 9/15/26

     139,000        143,929  

3.00%, 5/15/27

     35,000        37,867  

3.20%, 5/15/29

     270,000        299,525  

Public Service Enterprise Group, Inc.
2.65%, 11/15/22

   200,000      205,581  

Public Storage
3.09%, 9/15/27

     90,000        97,445  

Puget Energy, Inc.
3.65%, 5/15/25

     265,000        284,821  

QUALCOMM, Inc.
3.45%, 5/20/25

     160,000        174,062  

3.25%, 5/20/27

     421,000        454,134  

Quest Diagnostics, Inc.
2.95%, 6/30/30

     355,000        367,788  

QVC, Inc.
4.38%, 3/15/23

     48,000        49,727  

4.85%, 4/1/24

     116,000        121,778  

4.45%, 2/15/25

     188,000        192,876  

4.75%, 2/15/27

     250,000        246,956  

Raymond James Financial, Inc.
3.63%, 9/15/26

     20,000        22,061  

4.95%, 7/15/46

     55,000        70,498  

Raytheon Co.
7.20%, 8/15/27

     30,000        40,497  

Realty Income Corp.
4.13%, 10/15/26

     95,000        108,910  

3.00%, 1/15/27

     146,000        156,731  

3.65%, 1/15/28

     25,000        28,074  

Regency Centers L.P.
3.60%, 2/1/27

     135,000        147,922  

2.95%, 9/15/29

     272,000        287,896  

4.40%, 2/1/47

     13,000        16,208  

Regions Financial Corp.
3.80%, 8/14/23

     25,000        26,927  

7.38%, 12/10/37

     50,000        73,552  

RenaissanceRe Finance, Inc.
3.45%, 7/1/27

     25,000        27,468  

Republic Services, Inc.
3.20%, 3/15/25

     125,000        134,287  

3.95%, 5/15/28

     60,000        68,894  

Rockwell Automation, Inc.
3.50%, 3/1/29

     218,000        248,959  

Rockwell Collins, Inc.
3.70%, 12/15/23

     8,000        8,583  

3.20%, 3/15/24

     60,000        63,860  

3.50%, 3/15/27

     180,000        200,463  

4.80%, 12/15/43

     82,000        107,973  

4.35%, 4/15/47

     605,000        778,149  

Rohm & Haas Co.
7.85%, 7/15/29

     116,000        158,005  

Roper Technologies, Inc.
3.80%, 12/15/26

     90,000        100,117  

Royal Caribbean Cruises Ltd.
5.25%, 11/15/22

     125,000        134,514  

7.50%, 10/15/27

     50,000        64,857  

3.70%, 3/15/28(b)

     115,000        118,218  

RPM International, Inc.
3.75%, 3/15/27

     73,000        79,502  

4.55%, 3/1/29

     100,000        115,687  

4.25%, 1/15/48

     355,000        391,857  

 

See Notes to Financial Statements.

 

WisdomTree Trust      109  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Ryder System, Inc.
3.88%, 12/1/23

   $ 144,000      $ 154,888  

S&P Global, Inc.
4.00%, 6/15/25

     164,000        184,536  

2.95%, 1/22/27

     5,000        5,358  

Sabine Pass Liquefaction LLC
5.75%, 5/15/24

     150,000        168,822  

5.63%, 3/1/25

     475,000        540,501  

5.88%, 6/30/26

     200,000        232,305  

5.00%, 3/15/27

     150,000        165,945  

4.20%, 3/15/28

     584,000        620,217  

Sabra Health Care L.P.
3.90%, 10/15/29

     250,000        265,887  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     1,042,000        1,143,573  

Seagate HDD Cayman
4.75%, 6/1/23

     31,000        32,757  

4.75%, 1/1/25

     350,000        370,304  

4.88%, 6/1/27

     309,000        329,870  

Sempra Energy
2.88%, 10/1/22

     59,000        60,838  

4.05%, 12/1/23

     106,000        114,805  

3.25%, 6/15/27(b)

     70,000        74,873  

3.40%, 2/1/28(b)

     452,000        486,667  

3.80%, 2/1/38

     450,000        504,586  

6.00%, 10/15/39

     227,000        317,568  

Service Properties Trust
4.50%, 3/15/25

     112,000        118,467  

3.95%, 1/15/28

     15,000        15,340  

4.38%, 2/15/30

     185,000        187,792  

Sherwin-Williams Co. (The)
2.75%, 6/1/22

     7,000        7,207  

3.45%, 8/1/25

     25,000        26,936  

3.45%, 6/1/27

     432,000        471,282  

2.95%, 8/15/29

     110,000        115,459  

4.55%, 8/1/45

     12,000        14,446  

4.50%, 6/1/47

     126,000        153,200  

Shire Acquisitions Investments Ireland DAC
2.40%, 9/23/21

     145,000        146,969  

2.88%, 9/23/23

     96,000        99,721  

3.20%, 9/23/26

     478,000        513,776  

Simon Property Group L.P.
3.50%, 9/1/25(b)

     145,000        157,607  

3.30%, 1/15/26

     115,000        124,929  

3.38%, 6/15/27

     175,000        191,934  

2.45%, 9/13/29

     542,000        553,282  

SITE Centers Corp.
3.63%, 2/1/25

     100,000        106,260  

4.70%, 6/1/27

     30,000        33,767  

Snap-on, Inc.
3.25%, 3/1/27(b)

     150,000        163,468  

Sonoco Products Co.
5.75%, 11/1/40

     14,000        18,844  

Southern California Edison Co.
3.65%, 3/1/28, Series B

     100,000        111,800  

4.20%, 3/1/29, Series A

     200,000        231,400  

6.65%, 4/1/29

     108,000        136,568  

Southern California Gas Co.
2.55%, 2/1/30, Series XX

   100,000      105,709  

4.30%, 1/15/49, Series VV

     135,000        173,217  

3.95%, 2/15/50, Series WW

     200,000        247,952  

Southern Co. (The)
2.95%, 7/1/23

     50,000        52,116  

3.25%, 7/1/26

     160,000        171,751  

4.25%, 7/1/36

     460,000        544,952  

4.40%, 7/1/46

     434,000        508,284  

Southern Co. Gas Capital Corp.
2.45%, 10/1/23

     25,000        25,717  

5.88%, 3/15/41

     162,000        227,954  

4.40%, 6/1/43

     29,000        34,076  

4.40%, 5/30/47

     3,000        3,666  

Southern Natural Gas Co. LLC
4.40%, 6/15/21

     5,000        5,144  

Southern Power Co.
5.25%, 7/15/43

     15,000        18,742  

4.95%, 12/15/46, Series F

     160,000        198,935  

Southwest Airlines Co.
3.45%, 11/16/27

     100,000        108,842  

Southwestern Electric Power Co.
2.75%, 10/1/26, Series K

     5,000        5,261  

4.10%, 9/15/28, Series M

     229,000        262,561  

6.20%, 3/15/40

     40,000        57,391  

3.90%, 4/1/45, Series J

     120,000        134,387  

Spectra Energy Partners L.P.
3.38%, 10/15/26

     40,000        43,014  

5.95%, 9/25/43

     500,000        648,545  

4.50%, 3/15/45

     334,000        386,042  

Spirit Airlines Pass Through Trust
4.10%, 10/1/29, Series A

     172,160        187,999  

Spirit Realty L.P.
4.45%, 9/15/26

     120,000        134,681  

3.40%, 1/15/30

     250,000        266,721  

Stanford Health Care
3.80%, 11/15/48, Series 2018

     350,000        433,087  

Stanley Black & Decker, Inc.
3.40%, 3/1/26

     165,000        180,512  

4.25%, 11/15/28

     225,000        263,712  

Starbucks Corp.
3.85%, 10/1/23

     27,000        29,081  

3.80%, 8/15/25

     147,000        162,246  

2.45%, 6/15/26

     116,000        121,060  

4.00%, 11/15/28

     476,000        544,796  

3.55%, 8/15/29

     391,000        438,832  

3.75%, 12/1/47

     45,000        49,600  

4.50%, 11/15/48

     135,000        160,768  

4.45%, 8/15/49

     200,000        243,163  

State Street Corp.
3.55%, 8/18/25

     80,000        88,187  

2.65%, 5/19/26

     55,000        57,974  

3.03%, 11/1/34, (3.031% fixed rate until 11/1/29; Secured Overnight Financing Rate + 1.490% thereafter)(d)

     160,000        171,211  

Steel Dynamics, Inc.

 

2.80%, 12/15/24

     250,000        259,227  

3.45%, 4/15/30

     24,000        25,334  

 

See Notes to Financial Statements.

 

110   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Steelcase, Inc.
5.13%, 1/18/29

   $ 170,000      $ 202,996  

Stifel Financial Corp.
4.25%, 7/18/24

     25,000        27,494  

STORE Capital Corp.

 

4.50%, 3/15/28

     30,000        33,781  

4.63%, 3/15/29

     25,000        28,490  

Stryker Corp.

 

3.50%, 3/15/26

     40,000        43,818  

4.10%, 4/1/43

     202,000        238,193  

4.63%, 3/15/46

     30,000        38,871  

Sunoco Logistics Partners Operations L.P.

 

4.00%, 10/1/27

     820,000        859,489  

4.95%, 1/15/43

     4,000        3,988  

5.30%, 4/1/44

     73,000        76,637  

5.35%, 5/15/45

     866,000        930,651  

5.40%, 10/1/47

     335,000        354,574  

SVB Financial Group
3.50%, 1/29/25

     220,000        238,450  

Synchrony Bank
3.00%, 6/15/22

     500,000        512,814  

Synchrony Financial

 

4.25%, 8/15/24

     224,000        240,999  

4.50%, 7/23/25

     43,000        47,298  

3.70%, 8/4/26

     99,000        104,252  

3.95%, 12/1/27

     423,000        454,523  

Synovus Financial Corp.
3.13%, 11/1/22

     25,000        25,666  

Sysco Corp.

 

3.30%, 7/15/26

     160,000        174,128  

3.25%, 7/15/27

     550,000        600,436  

5.38%, 9/21/35

     22,000        30,101  

4.85%, 10/1/45

     400,000        515,667  

Tanger Properties L.P.
3.13%, 9/1/26

     90,000        92,693  

Tapestry, Inc.

 

4.25%, 4/1/25

     36,000        38,175  

4.13%, 7/15/27

     59,000        62,276  

Target Corp.
3.38%, 4/15/29

     480,000        534,657  

TC PipeLines L.P.
3.90%, 5/25/27

     317,000        338,425  

TD Ameritrade Holding Corp.
3.30%, 4/1/27

     385,000        417,666  

Tech Data Corp.
4.95%, 2/15/27(b)

     184,000        193,991  

Texas Instruments, Inc.

 

2.90%, 11/3/27

     65,000        69,558  

2.25%, 9/4/29

     100,000        102,402  

Textron, Inc.

 

3.88%, 3/1/25

     8,000        8,686  

3.38%, 3/1/28

     450,000        477,213  

Thermo Fisher Scientific, Inc.

 

4.15%, 2/1/24

     80,000        87,308  

3.20%, 8/15/27

     630,000        682,700  

2.60%, 10/1/29

     110,000        115,085  

4.10%, 8/15/47

     190,000        238,556  

Time Warner Cable LLC

 

6.55%, 5/1/37

   101,000      131,646  

7.30%, 7/1/38

     329,000        451,139  

6.75%, 6/15/39

     477,000        618,652  

4.50%, 9/15/42

     125,000        130,247  

Time Warner Entertainment Co. L.P.

 

8.38%, 3/15/23

     400,000        476,456  

8.38%, 7/15/33

     250,000        368,043  

Timken Co. (The)

 

3.88%, 9/1/24

     101,000        109,494  

4.50%, 12/15/28

     256,000        292,617  

TJX Cos., Inc. (The)
2.25%, 9/15/26

     80,000        82,415  

Transatlantic Holdings, Inc.
8.00%, 11/30/39

     8,000        13,344  

Transcontinental Gas Pipe Line Co. LLC
4.00%, 3/15/28

     45,000        49,033  

Trimble, Inc.
4.90%, 6/15/28

     50,000        57,525  

Truist Bank

 

3.63%, 9/16/25

     250,000        273,965  

3.30%, 5/15/26

     40,000        43,269  

Trustees of the University of Pennsylvania (The)
3.61%, 2/15/2119

     150,000        185,827  

Tucson Electric Power Co.
3.05%, 3/15/25

     176,000        188,208  

TWDC Enterprises 18 Corp.

 

3.00%, 2/13/26

     100,000        108,750  

1.85%, 7/30/26

     81,000        82,770  

2.95%, 6/15/27(b)

     212,000        232,060  

Tyson Foods, Inc.

 

3.95%, 8/15/24

     200,000        218,457  

4.00%, 3/1/26

     378,000        422,395  

4.35%, 3/1/29(b)

     518,000        609,025  

4.88%, 8/15/34

     141,000        174,297  

5.15%, 8/15/44

     205,000        261,768  

4.55%, 6/2/47

     50,000        60,167  

5.10%, 9/28/48

     221,000        288,346  

U.S. Bancorp

 

3.10%, 4/27/26

     25,000        26,974  

3.15%, 4/27/27, Series X

     532,000        582,705  

3.00%, 7/30/29

     120,000        128,222  

UDR, Inc.

 

2.95%, 9/1/26

     90,000        96,069  

3.50%, 1/15/28

     25,000        26,959  

4.40%, 1/26/29

     79,000        91,010  

3.20%, 1/15/30

     215,000        227,425  

3.00%, 8/15/31

     70,000        73,261  

Union Pacific Corp.

 

3.50%, 6/8/23

     350,000        372,202  

3.75%, 7/15/25

     81,000        89,515  

3.25%, 8/15/25(b)

     180,000        195,504  

2.75%, 3/1/26

     334,000        350,942  

3.00%, 4/15/27

     280,000        299,902  

3.60%, 9/15/37

     487,000        539,773  

4.38%, 9/10/38

     367,000        438,706  

4.30%, 6/15/42

     10,000        11,847  

 

See Notes to Financial Statements.

 

WisdomTree Trust      111  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

4.05%, 11/15/45

   $ 30,000      $ 34,530  

4.05%, 3/1/46

     99,000        112,740  

4.00%, 4/15/47

     265,000        303,112  

4.50%, 9/10/48

     29,000        35,521  

3.80%, 10/1/51

     435,000        490,364  

3.88%, 2/1/55

     30,000        33,065  

3.84%, 3/20/60(c)

     500,000        552,110  

4.38%, 11/15/65

     275,000        329,128  

4.10%, 9/15/67

     30,000        34,645  

United Airlines Pass Through Trust

 

4.30%, 2/15/27, Series A

     149,184        163,940  

4.00%, 10/11/27, Series A

     125,416        137,758  

3.75%, 3/3/28, Series A

     13,151        14,399  

3.45%, 1/7/30, Series A

     43,404        46,841  

United Parcel Service, Inc.

 

3.05%, 11/15/27

     49,000        53,092  

3.40%, 3/15/29

     350,000        386,083  

United Technologies Corp.

 

2.80%, 5/4/24

     202,000        214,791  

3.95%, 8/16/25

     45,000        50,388  

3.13%, 5/4/27

     75,000        81,618  

4.13%, 11/16/28

     903,000        1,058,715  

6.13%, 7/15/38

     323,000        481,265  

4.45%, 11/16/38

     172,000        215,578  

5.70%, 4/15/40

     15,000        21,930  

4.50%, 6/1/42

     445,000        571,764  

4.15%, 5/15/45

     299,000        362,600  

3.75%, 11/1/46

     711,000        818,866  

4.05%, 5/4/47

     60,000        73,727  

4.63%, 11/16/48

     605,000        812,821  

UnitedHealth Group, Inc.

 

3.75%, 7/15/25

     135,000        149,722  

3.10%, 3/15/26

     652,000        702,127  

3.45%, 1/15/27

     103,000        112,725  

3.38%, 4/15/27

     195,000        212,486  

2.95%, 10/15/27

     100,000        106,726  

3.85%, 6/15/28

     495,000        561,450  

3.88%, 12/15/28

     190,000        217,111  

University of Chicago (The)
4.00%, 10/1/53

     75,000        97,765  

University of Notre Dame du Lac
3.39%, 2/15/48, Series 2017

     12,000        14,297  

University of Southern California
3.03%, 10/1/39

     524,000        584,129  

Unum Group
5.75%, 8/15/42

     122,000        146,865  

Valero Energy Corp.

 

3.65%, 3/15/25

     105,000        113,319  

3.40%, 9/15/26

     60,000        64,119  

4.35%, 6/1/28

     563,000        633,925  

4.00%, 4/1/29

     150,000        162,344  

6.63%, 6/15/37

     120,000        163,155  

4.90%, 3/15/45

     213,000        244,298  

Valero Energy Partners L.P.

 

4.38%, 12/15/26

     285,000        318,437  

4.50%, 3/15/28

     50,000        56,176  

Valmont Industries, Inc.
5.00%, 10/1/44

     105,000        120,961  

Ventas Realty L.P.

 

3.50%, 4/15/24

   41,000      43,877  

2.65%, 1/15/25

     395,000        409,769  

3.50%, 2/1/25

     140,000        149,453  

3.25%, 10/15/26

     85,000        91,287  

4.00%, 3/1/28

     55,000        61,158  

4.40%, 1/15/29

     60,000        68,701  

3.00%, 1/15/30

     200,000        208,057  

4.38%, 2/1/45

     112,000        132,742  

VEREIT Operating Partnership L.P.

 

4.88%, 6/1/26

     45,000        51,486  

3.95%, 8/15/27

     195,000        215,333  

Verisk Analytics, Inc.

 

5.80%, 5/1/21

     25,000        26,221  

4.00%, 6/15/25

     150,000        166,580  

5.50%, 6/15/45

     25,000        33,619  

Verizon Communications, Inc.

 

2.95%, 3/15/22

     35,000        36,069  

3.13%, 3/16/22

     162,000        167,990  

2.45%, 11/1/22

     76,000        78,049  

3.50%, 11/1/24

     332,000        359,662  

3.38%, 2/15/25

     406,000        439,844  

2.63%, 8/15/26

     663,000        696,384  

4.13%, 3/16/27

     646,000        735,453  

4.33%, 9/21/28

     1,230,000        1,447,195  

3.88%, 2/8/29

     250,000        286,408  

4.02%, 12/3/29

     473,000        549,869  

4.50%, 8/10/33

     611,000        749,693  

4.40%, 11/1/34

     941,000        1,150,851  

5.25%, 3/16/37

     200,000        267,466  

4.81%, 3/15/39

     500,000        642,114  

3.85%, 11/1/42

     100,000        113,488  

4.13%, 8/15/46

     238,000        288,083  

4.86%, 8/21/46

     315,000        416,432  

5.50%, 3/16/47

     200,000        292,975  

4.52%, 9/15/48

     1,000,000        1,295,249  

5.01%, 4/15/49

     452,000        624,798  

5.01%, 8/21/54

     50,000        70,264  

4.67%, 3/15/55

     105,000        140,120  

ViacomCBS, Inc.

 

2.50%, 2/15/23

     532,000        545,579  

4.25%, 9/1/23

     154,000        166,644  

3.88%, 4/1/24

     101,000        108,691  

3.70%, 8/15/24

     88,000        94,538  

3.50%, 1/15/25

     35,000        37,428  

2.90%, 1/15/27(b)

     92,000        94,420  

3.38%, 2/15/28

     160,000        170,605  

3.70%, 6/1/28

     134,000        144,961  

7.88%, 7/30/30

     47,000        67,962  

6.88%, 4/30/36

     472,000        646,373  

4.85%, 7/1/42

     135,000        153,212  

4.38%, 3/15/43

     250,000        268,911  

5.85%, 9/1/43

     141,000        178,396  

5.25%, 4/1/44

     30,000        35,360  

4.90%, 8/15/44

     275,000        312,691  

4.60%, 1/15/45

     90,000        98,881  

Virginia Electric & Power Co.

 

2.95%, 11/15/26, Series B

     185,000        197,412  

3.50%, 3/15/27, Series A

     397,000        438,212  

 

See Notes to Financial Statements.

 

112   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Visa, Inc.

 

4.15%, 12/14/35

   $ 680,000      $ 844,380  

4.30%, 12/14/45

     865,000        1,129,556  

3.65%, 9/15/47

     580,000        690,389  

VMware, Inc.
3.90%, 8/21/27

     180,000        193,869  

Vulcan Materials Co.

 

3.90%, 4/1/27

     25,000        27,688  

4.50%, 6/15/47

     80,000        94,377  

4.70%, 3/1/48

     30,000        37,144  

Walgreen Co.
3.10%, 9/15/22

     42,000        43,287  

Walgreens Boots Alliance, Inc.

 

3.30%, 11/18/21

     225,000        230,922  

3.80%, 11/18/24

     100,000        106,779  

3.45%, 6/1/26

     175,000        184,189  

4.50%, 11/18/34(b)

     35,000        37,944  

4.80%, 11/18/44

     552,000        576,726  

4.65%, 6/1/46

     65,000        68,075  

Walmart, Inc.
5.25%, 9/1/35

     279,000        392,768  

Walmart, Inc.

 

6.50%, 8/15/37

     238,000        371,687  

6.20%, 4/15/38

     100,000        154,271  

3.95%, 6/28/38

     533,000        649,787  

5.00%, 10/25/40(b)

     62,000        85,895  

5.63%, 4/15/41

     225,000        337,854  

4.00%, 4/11/43

     66,000        81,051  

3.63%, 12/15/47

     976,000        1,169,619  

4.05%, 6/29/48

     685,000        864,046  

2.95%, 9/24/49

     627,000        674,157  

Walt Disney Co. (The)

 

3.70%, 10/15/25

     470,000        524,019  

3.38%, 11/15/26

     65,000        72,003  

Waste Connections, Inc.
3.50%, 5/1/29

     75,000        83,299  

Waste Management, Inc.

 

2.90%, 9/15/22

     47,000        48,655  

3.13%, 3/1/25(b)

     125,000        133,320  

3.15%, 11/15/27

     25,000        26,952  

3.45%, 6/15/29

     434,000        480,593  

3.90%, 3/1/35

     172,000        199,190  

4.00%, 7/15/39

     195,000        234,840  

4.10%, 3/1/45

     40,000        49,138  

4.15%, 7/15/49

     375,000        468,285  

Wells Fargo & Co.

 

3.55%, 9/29/25

     83,000        90,318  

3.00%, 4/22/26

     201,000        213,166  

4.10%, 6/3/26

     479,000        529,118  

3.00%, 10/23/26

     826,000        875,671  

4.30%, 7/22/27

     279,000        313,131  

3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d)

     538,000        585,316  

4.15%, 1/24/29(b)

     610,000        703,873  

Wells Fargo Capital X
5.95%, 12/1/86

     213,000        278,299  

Welltower, Inc.

 

4.00%, 6/1/25

   420,000      464,014  

4.25%, 4/1/26

     120,000        135,105  

4.25%, 4/15/28

     75,000        85,751  

4.13%, 3/15/29

     99,000        113,465  

3.10%, 1/15/30

     364,000        390,278  

6.50%, 3/15/41

     241,000        357,477  

4.95%, 9/1/48

     35,000        45,459  

Western Midstream Operating L.P.

 

5.38%, 6/1/21

     73,000        75,306  

3.95%, 6/1/25

     100,000        101,446  

4.65%, 7/1/26

     80,000        84,054  

4.05%, 2/1/30

     250,000        245,609  

5.45%, 4/1/44

     75,000        70,783  

5.50%, 8/15/48

     56,000        52,226  

Western Union Co. (The)
4.25%, 6/9/23

     165,000        177,569  

Westinghouse Air Brake Technologies Corp.

 

3.45%, 11/15/26

     70,000        73,246  

4.95%, 9/15/28

     418,000        479,858  

Westlake Chemical Corp.

 

3.60%, 8/15/26

     90,000        96,329  

5.00%, 8/15/46

     55,000        65,079  

4.38%, 11/15/47(b)

     435,000        473,194  

WestRock MWV LLC
8.20%, 1/15/30

     36,000        50,798  

WestRock RKT LLC
4.00%, 3/1/23

     74,000        78,680  

Weyerhaeuser Co.

 

3.25%, 3/15/23

     38,000        39,636  

6.95%, 10/1/27

     75,000        98,565  

4.00%, 11/15/29

     100,000        114,284  

7.38%, 3/15/32

     150,000        217,980  

Williams Cos., Inc. (The)

 

3.60%, 3/15/22

     868,000        895,356  

4.30%, 3/4/24

     561,000        606,567  

4.55%, 6/24/24

     125,000        136,543  

3.90%, 1/15/25

     100,000        107,322  

4.00%, 9/15/25

     68,000        73,672  

3.75%, 6/15/27

     214,000        224,752  

8.75%, 3/15/32

     45,000        68,481  

6.30%, 4/15/40

     265,000        327,173  

5.75%, 6/24/44

     102,000        120,985  

4.90%, 1/15/45

     210,000        225,138  

5.10%, 9/15/45

     50,000        54,844  

Willis North America, Inc.

 

3.60%, 5/15/24

     505,000        544,260  

4.50%, 9/15/28

     50,000        57,777  

WR Berkley Corp.
4.75%, 8/1/44

     8,000        10,100  

WRKCo, Inc.

 

3.75%, 3/15/25

     250,000        270,730  

4.65%, 3/15/26

     100,000        115,244  

4.00%, 3/15/28

     85,000        93,994  

4.90%, 3/15/29

     162,000        190,181  

Xcel Energy, Inc.
2.40%, 3/15/21

     209,000        210,832  

 

See Notes to Financial Statements.

 

WisdomTree Trust      113  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Zimmer Biomet Holdings, Inc.

 

3.38%, 11/30/21

   $ 6,000      $ 6,163  

3.70%, 3/19/23

     350,000        370,522  

3.55%, 4/1/25

     150,000        161,149  

Zoetis, Inc.

 

3.25%, 2/1/23

     88,000        92,273  

3.00%, 9/12/27

     247,000        265,688  

4.70%, 2/1/43

     25,000        32,302  

3.95%, 9/12/47

     25,000        29,497  

4.45%, 8/20/48

     200,000        257,936  

TOTAL U.S. CORPORATE BONDS

(Cost: $413,295,050)

 

 

     443,572,473  
FOREIGN CORPORATE BONDS – 7.4%

 

Australia – 0.1%

 

Rio Tinto Finance USA Ltd.

 

3.75%, 6/15/25

     154,000        170,553  

7.13%, 7/15/28

     548,000        762,222  

Westpac Banking Corp.

 

4.32%, 11/23/31, (4.322% fixed rate until 11/23/26; 5-year U.S. dollar ICE Swap Rate + 2.236% thereafter)(d)

     272,000        298,612  

4.42%, 7/24/39(b)

     330,000        386,285  
     

 

 

 
Total Australia

 

     1,617,672  
Belgium – 0.8%

 

Anheuser-Busch Cos. LLC

 

3.65%, 2/1/26

     628,000        687,313  

4.70%, 2/1/36

     200,000        239,841  

4.90%, 2/1/46

     1,315,000        1,623,605  

Anheuser-Busch InBev Finance, Inc.

 

3.65%, 2/1/26

     264,000        288,520  

4.63%, 2/1/44

     190,000        228,509  

Anheuser-Busch InBev Worldwide, Inc.

 

4.15%, 1/23/25

     89,000        99,252  

4.00%, 4/13/28

     350,000        395,437  

4.75%, 1/23/29

     792,000        939,322  

4.90%, 1/23/31

     350,000        426,704  

4.38%, 4/15/38

     230,000        266,617  

8.20%, 1/15/39

     150,000        248,014  

8.00%, 11/15/39

     96,000        156,078  

4.95%, 1/15/42

     533,000        669,736  

3.75%, 7/15/42

     350,000        376,623  

4.60%, 4/15/48

     150,000        180,334  

4.44%, 10/6/48

     586,000        685,676  

5.55%, 1/23/49

     740,000        1,006,999  

4.75%, 4/15/58

     445,000        540,879  

5.80%, 1/23/59

     572,000        813,659  
     

 

 

 
Total Belgium

 

     9,873,118  
Bermuda – 0.1%

 

Enstar Group Ltd.
4.95%, 6/1/29

     196,000        222,236  

RenaissanceRe Holdings Ltd.
3.60%, 4/15/29

     125,000        140,877  

XLIT Ltd.

 

4.45%, 3/31/25

     10,000        11,200  

5.50%, 3/31/45(b)

     435,000        622,659  
     

 

 

 
Total Bermuda

 

     996,972  
Brazil – 0.1%

 

Embraer Netherlands Finance B.V.

 

5.05%, 6/15/25

   282,000      308,202  

5.40%, 2/1/27

     100,000        112,786  

Fibria Overseas Finance Ltd.
5.25%, 5/12/24

     200,000        215,787  

Vale Overseas Ltd.
6.88%, 11/21/36

     200,000        264,145  

Vale S.A.
5.63%, 9/11/42

     415,000        486,975  
     

 

 

 
Total Brazil

 

     1,387,895  
Canada – 1.3%

 

Bank of Montreal

     

3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d)

     504,000        543,622  

Barrick Gold Corp.
5.25%, 4/1/42

     206,000        273,151  

Barrick North America Finance LLC

 

5.70%, 5/30/41

     130,000        176,727  

5.75%, 5/1/43

     82,000        115,823  

Bell Canada, Inc.
4.30%, 7/29/49

     450,000        545,982  

Brookfield Asset Management, Inc.
4.00%, 1/15/25

     110,000        121,375  

Brookfield Finance, Inc.
3.90%, 1/25/28

     50,000        55,593  

Canadian National Railway Co.
6.90%, 7/15/28

     325,000        448,300  

Canadian Natural Resources Ltd.

 

3.45%, 11/15/21

     15,000        15,422  

2.95%, 1/15/23

     125,000        129,091  

3.85%, 6/1/27

     556,000        591,262  

7.20%, 1/15/32

     30,000        41,503  

6.50%, 2/15/37

     4,000        5,352  

6.25%, 3/15/38

     605,000        789,827  

6.75%, 2/1/39

     15,000        21,039  

4.95%, 6/1/47

     35,000        41,674  

Canadian Pacific Railway Co.

 

4.00%, 6/1/28

     46,000        53,139  

4.80%, 9/15/35

     45,000        57,858  

4.80%, 8/1/45

     175,000        236,427  

Cenovus Energy, Inc.

 

4.25%, 4/15/27(b)

     250,000        268,328  

5.25%, 6/15/37

     90,000        96,216  

6.75%, 11/15/39

     371,000        459,574  

5.40%, 6/15/47(b)

     195,000        214,078  

Emera U.S. Finance L.P.

 

3.55%, 6/15/26

     446,000        484,742  

4.75%, 6/15/46

     410,000        504,757  

Enbridge, Inc.

 

4.00%, 10/1/23

     50,000        53,493  

4.25%, 12/1/26

     15,000        16,781  

3.70%, 7/15/27

     250,000        272,259  

4.50%, 6/10/44

     388,000        448,038  

Fairfax Financial Holdings Ltd.
4.85%, 4/17/28

     150,000        169,413  

 

See Notes to Financial Statements.

 

114   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Fortis, Inc.
3.06%, 10/4/26

   $ 206,000      $ 218,804  

Magna International, Inc.
4.15%, 10/1/25

     114,000        127,964  

Manulife Financial Corp.

 

4.15%, 3/4/26

     255,000        290,027  

4.06%, 2/24/32, (4.061% fixed rate until 2/24/27; 5-year U.S. dollar ICE Swap Rate + 1.647% thereafter)(d)

     25,000        26,912  

Methanex Corp.

 

4.25%, 12/1/24

     6,000        6,395  

5.25%, 12/15/29

     85,000        90,569  

Nutrien Ltd.

 

3.15%, 10/1/22

     15,000        15,573  

3.50%, 6/1/23

     200,000        211,018  

3.63%, 3/15/24

     24,000        25,811  

4.20%, 4/1/29

     182,000        207,162  

4.13%, 3/15/35

     55,000        61,242  

5.88%, 12/1/36

     50,000        64,633  

5.63%, 12/1/40

     30,000        38,548  

6.13%, 1/15/41

     226,000        301,419  

4.90%, 6/1/43

     82,000        95,184  

5.25%, 1/15/45

     30,000        37,677  

Ovintiv, Inc.

 

3.90%, 11/15/21

     55,000        56,750  

8.13%, 9/15/30

     35,000        44,134  

7.38%, 11/1/31

     35,000        42,617  

6.50%, 8/15/34

     120,000        129,422  

6.63%, 8/15/37

     65,000        71,967  

6.50%, 2/1/38

     212,000        234,368  

Rogers Communications, Inc.

 

4.10%, 10/1/23

     552,000        600,614  

4.50%, 3/15/43

     340,000        403,257  

5.45%, 10/1/43

     107,000        143,549  

5.00%, 3/15/44

     343,000        442,933  

4.30%, 2/15/48

     100,000        118,307  

Royal Bank of Canada
4.65%, 1/27/26

     177,000        204,866  

Suncor Energy, Inc.

 

3.60%, 12/1/24

     344,000        372,125  

7.15%, 2/1/32

     122,000        179,877  

5.95%, 12/1/34

     141,000        195,204  

5.95%, 5/15/35

     36,000        49,746  

6.80%, 5/15/38

     318,000        464,243  

6.50%, 6/15/38

     70,000        99,763  

6.85%, 6/1/39

     100,000        147,023  

4.00%, 11/15/47

     350,000        384,690  

Teck Resources Ltd.

 

6.13%, 10/1/35

     130,000        154,806  

6.00%, 8/15/40

     200,000        226,809  

5.40%, 2/1/43

     230,000        236,162  

TELUS Corp.
3.70%, 9/15/27

     120,000        133,592  

Thomson Reuters Corp.

 

5.85%, 4/15/40

     110,000        145,435  

5.65%, 11/23/43

     90,000        120,769  

Toronto-Dominion Bank (The)

     

3.63%, 9/15/31, (3.625% fixed rate until 9/15/26; 5-year U.S. dollar Swap Rate + 2.205% thereafter)(b)(d)

   180,000      196,178  

TransCanada PipeLines Ltd.

 

3.75%, 10/16/23

     25,000        26,663  

4.25%, 5/15/28(b)

     435,000        487,690  

4.63%, 3/1/34

     760,000        891,712  

6.20%, 10/15/37

     65,000        88,209  

7.25%, 8/15/38

     100,000        151,443  

7.63%, 1/15/39

     65,000        101,711  

6.10%, 6/1/40

     538,000        752,282  

5.10%, 3/15/49

     50,000        62,362  
     

 

 

 
Total Canada

 

     17,231,062  
China – 0.1%

 

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

     230,000        247,925  

Baidu, Inc.
3.63%, 7/6/27

     400,000        432,403  

CNOOC Finance 2013 Ltd.
2.88%, 9/30/29

     250,000        261,342  
     

 

 

 
Total China

 

     941,670  
Colombia – 0.1%

 

Ecopetrol S.A.

 

5.88%, 9/18/23

     205,000        227,379  

4.13%, 1/16/25

     212,000        223,960  

5.38%, 6/26/26

     200,000        224,430  

7.38%, 9/18/43

     208,000        284,741  

5.88%, 5/28/45

     400,000        479,374  
     

 

 

 
Total Colombia

 

     1,439,884  
France – 0.1%

 

Orange S.A.

 

9.00%, 3/1/31

     384,000        615,657  

5.38%, 1/13/42

     25,000        34,872  

Veolia Environnement S.A.
6.75%, 6/1/38

     33,000        49,567  
     

 

 

 
Total France

 

     700,096  
Germany – 0.1%

 

Deutsche Bank AG

 

3.70%, 5/30/24

     205,000        213,147  

4.10%, 1/13/26

     75,000        78,968  

Deutsche Telekom International Finance B.V.

 

8.75%, 6/15/30

     831,000        1,259,576  

9.25%, 6/1/32

     48,000        79,443  
     

 

 

 
Total Germany

 

     1,631,134  
Ireland – 0.1%

 

AerCap Ireland Capital DAC

 

5.00%, 10/1/21

     175,000        183,404  

3.95%, 2/1/22

     150,000        155,496  

4.88%, 1/16/24

     276,000        300,681  

3.65%, 7/21/27

     200,000        206,430  
     

 

 

 
Total Ireland

 

     846,011  

 

See Notes to Financial Statements.

 

WisdomTree Trust      115  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
Japan – 0.3%

 

Beam Suntory, Inc.
3.25%, 5/15/22

   $ 35,000      $ 36,181  

Mitsubishi UFJ Financial Group, Inc.

 

3.29%, 7/25/27

     375,000        405,960  

3.96%, 3/2/28

     215,000        242,827  

4.05%, 9/11/28

     10,000        11,353  

3.74%, 3/7/29

     606,000        680,423  

Mizuho Financial Group, Inc.

 

3.17%, 9/11/27

     325,000        350,638  

4.02%, 3/5/28

     425,000        485,260  

ORIX Corp.
3.70%, 7/18/27

     80,000        88,109  

Sumitomo Mitsui Financial Group, Inc.

 

2.63%, 7/14/26

     180,000        188,121  

3.45%, 1/11/27

     153,000        167,176  

3.36%, 7/12/27

     8,000        8,762  

3.54%, 1/17/28

     300,000        331,856  

3.94%, 7/19/28

     329,000        374,114  

4.31%, 10/16/28

     636,000        744,328  

3.04%, 7/16/29

     250,000        265,984  

Takeda Pharmaceutical Co., Ltd.
5.00%, 11/26/28

     245,000        299,471  
     

 

 

 
Total Japan

 

     4,680,563  
Luxembourg – 0.1%

 

ArcelorMittal S.A.

 

6.13%, 6/1/25

     318,000        368,352  

4.55%, 3/11/26

     327,000        354,798  

7.00%, 10/15/39

     96,000        121,326  
     

 

 

 
Total Luxembourg

 

     844,476  
Macau – 0.0%

 

Sands China Ltd.
5.40%, 8/8/28

     200,000        227,030  
Mexico – 0.7%

 

America Movil S.A.B. de C.V.
3.63%, 4/22/29

     415,000        460,962  

Grupo Televisa S.A.B.

     

6.63%, 3/18/25

     300,000        361,928  

6.63%, 1/15/40

     50,000        68,703  

5.00%, 5/13/45

     200,000        234,445  

Petroleos Mexicanos

     

4.63%, 9/21/23(b)

     35,000        36,319  

4.50%, 1/23/26

     100,000        98,035  

6.88%, 8/4/26

     998,000        1,082,683  

6.50%, 3/13/27

     1,255,000        1,320,069  

6.84%, 1/23/30(c)

     203,000        212,287  

5.95%, 1/28/31(c)

     500,000        487,750  

6.63%, 6/15/35

     950,000        953,738  

6.63%, 6/15/38

     50,000        49,022  

6.50%, 6/2/41

     250,000        241,641  

5.50%, 6/27/44

     809,000        714,214  

6.38%, 1/23/45

     470,000        441,652  

6.75%, 9/21/47

     754,000        722,117  

6.35%, 2/12/48

     240,000        223,880  

7.69%, 1/23/50(c)

     1,051,000        1,098,458  

6.95%, 1/28/60(c)

     500,000        481,875  
     

 

 

 
Total Mexico

 

     9,289,778  
Netherlands – 0.8%

 

Cooperatieve Rabobank UA

 

4.63%, 12/1/23

   250,000      271,946  

3.75%, 7/21/26

     775,000        840,883  

5.25%, 5/24/41

     665,000        957,169  

5.75%, 12/1/43

     275,000        385,037  

ING Groep N.V.

 

3.95%, 3/29/27

     500,000        560,754  

4.55%, 10/2/28

     250,000        295,731  

4.05%, 4/9/29(b)

     250,000        284,904  

Koninklijke Ahold Delhaize N.V.
5.70%, 10/1/40

     340,000        460,934  

Koninklijke Philips N.V.
5.00%, 3/15/42

     302,000        407,016  

NXP B.V.
5.35%, 3/1/26(c)

     102,000        117,469  

Shell International Finance B.V.

 

4.13%, 5/11/35

     984,000        1,186,233  

6.38%, 12/15/38

     450,000        678,866  

3.63%, 8/21/42

     200,000        215,809  

4.55%, 8/12/43

     78,000        97,540  

4.38%, 5/11/45

     1,023,000        1,262,554  

4.00%, 5/10/46

     550,000        644,673  

3.75%, 9/12/46

     700,000        800,601  

3.13%, 11/7/49

     805,000        832,700  
     

 

 

 
Total Netherlands

 

     10,300,819  
Norway – 0.1%

 

Equinor ASA

 

5.10%, 8/17/40

     500,000        668,365  

4.25%, 11/23/41

     360,000        438,193  

3.25%, 11/18/49

     803,000        857,364  
     

 

 

 
Total Norway

 

     1,963,922  
Peru – 0.1%

 

Southern Copper Corp.

 

3.88%, 4/23/25

     65,000        69,547  

6.75%, 4/16/40

     35,000        48,189  

5.25%, 11/8/42

     339,000        395,422  

5.88%, 4/23/45

     611,000        785,122  
     

 

 

 
Total Peru

 

     1,298,280  
Spain – 0.2%

 

Banco Santander S.A.

 

4.25%, 4/11/27

     200,000        222,833  

3.80%, 2/23/28

     600,000        649,302  

Telefonica Emisiones S.A.

 

7.05%, 6/20/36

     195,000        281,416  

4.67%, 3/6/38

     250,000        290,108  

5.21%, 3/8/47

     275,000        338,391  

4.90%, 3/6/48

     250,000        304,572  

5.52%, 3/1/49

     350,000        455,972  

Telefonica Europe B.V.
8.25%, 9/15/30

     345,000        510,344  
     

 

 

 
Total Spain

 

     3,052,938  
Switzerland – 0.4%

 

Credit Suisse Group Funding Guernsey Ltd.

 

3.75%, 3/26/25

     300,000        318,981  

4.88%, 5/15/45

     555,000        725,644  

 

See Notes to Financial Statements.

 

116   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Novartis Capital Corp.

 

2.20%, 8/14/30

   $ 500,000      $ 517,172  

3.70%, 9/21/42

     450,000        535,658  

4.40%, 5/6/44

     755,000        970,380  

4.00%, 11/20/45

     275,000        343,797  

2.75%, 8/14/50

     500,000        519,842  

Syngenta Finance N.V.
3.13%, 3/28/22

     614,000        626,282  

Tyco Electronics Group S.A.
3.13%, 8/15/27

     120,000        130,547  
     

 

 

 
Total Switzerland

 

     4,688,303  
United Kingdom – 1.8%

 

AstraZeneca PLC

 

2.38%, 6/12/22

     250,000        255,550  

3.38%, 11/16/25

     394,000        431,921  

3.13%, 6/12/27

     307,000        333,331  

6.45%, 9/15/37

     490,000        726,223  

4.00%, 9/18/42

     125,000        149,686  

4.38%, 11/16/45

     340,000        441,462  

4.38%, 8/17/48(b)

     30,000        38,341  

Barclays PLC

     

4.61%, 2/15/23, (4.61% fixed rate until 2/15/22; 3-month U.S. dollar London Interbank Offered Rate + 1.40% thereafter)(d)

     340,000        357,497  

4.34%, 5/16/24, (4.338% fixed rate until 5/16/23; 3-month U.S. dollar London Interbank Offered Rate + 1.356% thereafter)(d)

     245,000        261,014  

3.93%, 5/7/25, (3.932% fixed rate until 5/7/24; 3-month U.S. dollar London Interbank Offered Rate + 1.61% thereafter)(d)

     200,000        213,200  

4.38%, 1/12/26

     200,000        221,161  

4.97%, 5/16/29, (4.972% fixed rate until 5/16/28; 3-month U.S. dollar London Interbank Offered Rate + 1.902% thereafter)(d)

     575,000        665,114  

5.25%, 8/17/45

     200,000        255,248  

4.95%, 1/10/47

     250,000        312,335  

BAT Capital Corp.

     

3.22%, 8/15/24

     300,000        315,272  

3.56%, 8/15/27

     1,133,000        1,189,405  

4.39%, 8/15/37

     250,000        265,189  

4.54%, 8/15/47

     217,000        226,268  

BP Capital Markets PLC

     

3.51%, 3/17/25

     133,000        144,707  

3.28%, 9/19/27

     656,000        705,713  

3.72%, 11/28/28(b)

     493,000        549,528  

British Telecommunications PLC

     

5.13%, 12/4/28

     250,000        300,839  

9.63%, 12/15/30

     302,000        478,819  

CNH Industrial N.V.
3.85%, 11/15/27(b)

     25,000        26,678  

GlaxoSmithKline Capital, Inc.

     

3.63%, 5/15/25

     149,000        164,351  

3.88%, 5/15/28

     949,000        1,089,272  

HSBC Holdings PLC

     

4.25%, 8/18/25

   358,000      388,014  

4.38%, 11/23/26

       250,000        271,877  

4.04%, 3/13/28, (4.041% fixed rate until 3/13/27; 3-month U.S. dollar London Interbank Offered Rate + 1.546% thereafter)(d)

     506,000        555,023  

3.97%, 5/22/30, (3.973% fixed rate until 5/22/29; 3-month U.S. dollar London Interbank Offered Rate + 1.61% thereafter)(d)

     765,000        838,209  

Janus Capital Group, Inc.
4.88%, 8/1/25

     2,000        2,238  

Lloyds Banking Group PLC

     

4.45%, 5/8/25

     205,000        228,950  

4.58%, 12/10/25

     250,000        273,315  

4.65%, 3/24/26

     320,000        350,707  

4.55%, 8/16/28

     550,000        632,934  

3.57%, 11/7/28, (3.574% fixed rate until 11/7/27; 3-month U.S. dollar London Interbank Offered Rate + 1.205% thereafter)(d)

     450,000        477,282  

5.30%, 12/1/45

     245,000        316,705  

Reynolds American, Inc.

     

4.45%, 6/12/25

     190,000        209,527  

5.70%, 8/15/35

     125,000        149,131  

6.15%, 9/15/43

     570,000        688,131  

5.85%, 8/15/45

     534,000        639,292  

Royal Bank of Scotland Group PLC

     

3.50%, 5/15/23, (3.498% fixed rate until 5/15/22; 3-month U.S. dollar London Interbank Offered Rate + 1.48% thereafter)(d)

     200,000        206,932  

3.88%, 9/12/23

     205,000        217,902  

6.00%, 12/19/23

     433,000        485,133  

5.13%, 5/28/24

     475,000        520,321  

4.52%, 6/25/24, (4.519% fixed rate until 6/25/23; 3-month U.S. dollar London Interbank Offered Rate + 1.55% thereafter)(d)

     225,000        241,937  

4.89%, 5/18/29, (4.892% fixed rate until 5/18/28; 3-month U.S. dollar London Interbank Offered Rate + 1.754% thereafter)(d)

     230,000        268,820  

5.08%, 1/27/30, (5.076% fixed rate until 1/27/29; 3-month U.S. dollar London Interbank Offered Rate + 1.905% thereafter)(d)

     200,000        237,010  

Santander UK Group Holdings PLC

     

3.57%, 1/10/23

     400,000        412,432  

3.82%, 11/3/28, (3.823% fixed rate until 11/3/27; 3-month U.S. dollar London Interbank Offered Rate + 1.40% thereafter)(d)

     600,000        652,921  

Unilever Capital Corp.

     

2.90%, 5/5/27

     295,000        318,942  

3.50%, 3/22/28

     320,000        357,797  

 

See Notes to Financial Statements.

 

WisdomTree Trust      117  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Vodafone Group PLC

     

3.75%, 1/16/24

   $ 328,000      $ 352,875  

4.13%, 5/30/25

     95,000        106,161  

4.38%, 5/30/28

     852,000        979,620  

7.88%, 2/15/30

     174,000        250,899  

6.25%, 11/30/32

     265,000        359,868  

6.15%, 2/27/37

     405,000        562,407  

5.00%, 5/30/38

     82,000        100,543  

4.38%, 2/19/43

     125,000        144,168  

5.25%, 5/30/48

     100,000        126,251  

4.25%, 9/17/50

     180,000        198,978  

5.13%, 6/19/59

     110,000        134,811  

WPP Finance 2010

     

3.63%, 9/7/22

     6,000        6,304  

3.75%, 9/19/24

     380,000        413,784  
     

 

 

 
Total United Kingdom

 

     23,796,275  
TOTAL FOREIGN CORPORATE BONDS
(Cost: $90,194,775)

 

     96,807,898  
FOREIGN GOVERNMENT AGENCIES – 0.4%

 

Canada – 0.1%

 

Hydro-Quebec
9.38%, 4/15/30, Series HK

     10,000        16,796  

Province of New Brunswick Canada
3.63%, 2/24/28

     1,279,000        1,486,818  
     

 

 

 
Total Canada

 

     1,503,614  
Germany – 0.0%

 

Kreditanstalt fuer Wiederaufbau
0.00%, 6/29/37(e)

     377,000        282,641  
Japan – 0.3%

 

Japan Bank for International Cooperation

     

2.13%, 2/10/25, Series DTC

     200,000        208,380  

1.88%, 7/21/26

     250,000        258,614  

2.88%, 6/1/27

     570,000        630,193  

2.88%, 7/21/27

     1,150,000        1,274,178  

3.50%, 10/31/28

     500,000        584,972  
     

 

 

 
Total Japan

 

     2,956,337  
TOTAL FOREIGN GOVERNMENT AGENCIES
(Cost: $4,374,254)

 

     4,742,592  
FOREIGN GOVERNMENT OBLIGATIONS – 2.3%

 

Chile – 0.1%

 

Chile Government International Bond

     

3.13%, 1/21/26

     360,000        381,739  

3.24%, 2/6/28

     518,000        557,826  
     

 

 

 
Total Chile

 

     939,565  
Colombia – 0.3%

 

Colombia Government International Bond

     

4.50%, 1/28/26

     550,000        609,936  

3.88%, 4/25/27

     770,000        829,557  

7.38%, 9/18/37

     662,000        976,076  

6.13%, 1/18/41

     280,000        379,074  

5.63%, 2/26/44

     200,000        257,689  

5.00%, 6/15/45

     450,000        545,371  

5.20%, 5/15/49

     200,000        252,187  
     

 

 

 
Total Colombia

 

     3,849,890  
Hungary – 0.1%

 

Hungary Government International Bond

     

5.38%, 2/21/23

   36,000      39,549  

5.75%, 11/22/23

     576,000        654,699  

5.38%, 3/25/24

     200,000        227,180  

7.63%, 3/29/41

     200,000        342,753  
     

 

 

 
Total Hungary

 

     1,264,181  
Indonesia – 0.1%

 

Indonesia Government International Bond

     

4.45%, 2/11/24

     205,000        222,707  

3.50%, 1/11/28

     200,000        211,820  

4.10%, 4/24/28

     460,000        506,416  

4.35%, 1/11/48

     250,000        283,137  

5.35%, 2/11/49

     200,000        263,346  
     

 

 

 
Total Indonesia

 

     1,487,426  
Israel – 0.0%

 

Israel Government International Bond
2.88%, 3/16/26

     400,000        423,784  
Italy – 0.1%

 

Republic of Italy Government International Bond

 

6.88%, 9/27/23

     300,000        350,433  

2.38%, 10/17/24

     300,000        302,676  

2.88%, 10/17/29

     350,000        350,929  

5.38%, 6/15/33

     443,000        550,509  
     

 

 

 
Total Italy

 

     1,554,547  
Mexico – 0.6%

 

Mexico Government International Bond

     

3.63%, 3/15/22

     872,000        905,145  

4.00%, 10/2/23

     182,000        194,817  

3.60%, 1/30/25

     225,000        241,337  

4.13%, 1/21/26

     600,000        657,606  

4.15%, 3/28/27

     957,000        1,052,949  

4.50%, 4/22/29

     370,000        418,840  

7.50%, 4/8/33, Series MTNA

     105,000        155,437  

6.75%, 9/27/34, Series MTNA

     140,000        203,225  

6.05%, 1/11/40

     326,000        438,371  

4.75%, 3/8/44

     814,000        945,001  

5.55%, 1/21/45

     209,000        270,850  

4.35%, 1/15/47

     705,000        777,922  

4.60%, 2/10/48

     200,000        229,189  

5.75%, 10/12/2110

     960,000        1,212,898  
     

 

 

 
Total Mexico

 

     7,703,587  
Panama – 0.2%

 

Panama Government International Bond

     

3.75%, 3/16/25

     650,000        699,026  

8.88%, 9/30/27

     256,000        369,051  

3.88%, 3/17/28

     200,000        221,877  

9.38%, 4/1/29

     171,000        264,256  

6.70%, 1/26/36

     250,000        363,049  

4.50%, 5/15/47

     200,000        249,939  

4.50%, 4/16/50

     350,000        436,956  

4.30%, 4/29/53

     285,000        351,176  
     

 

 

 
Total Panama

 

     2,955,330  

 

See Notes to Financial Statements.

 

118   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
Peru – 0.2%

 

Peruvian Government International Bond

     

7.35%, 7/21/25

   $   110,000      $ 140,296  

4.13%, 8/25/27

     154,000        176,385  

2.84%, 6/20/30

     300,000        320,300  

8.75%, 11/21/33

     261,000        441,745  

6.55%, 3/14/37

     80,000        121,676  

5.63%, 11/18/50

     708,000        1,093,814  
     

 

 

 
Total Peru

 

     2,294,216  
Philippines – 0.3%

 

Philippine Government International Bond

     

5.50%, 3/30/26

     600,000        719,235  

3.00%, 2/1/28

     450,000        481,255  

9.50%, 2/2/30

     557,000        913,374  

7.75%, 1/14/31

     125,000        190,020  

6.38%, 1/15/32

     285,000        401,165  

3.95%, 1/20/40

     200,000        243,045  

3.70%, 3/1/41

     300,000        357,854  

3.70%, 2/2/42

     700,000        835,480  
     

 

 

 
Total Philippines

 

     4,141,428  
Poland – 0.1%

 

Republic of Poland Government International Bond
3.25%, 4/6/26

     568,000        615,260  
Uruguay – 0.2%

 

Uruguay Government International Bond

     

4.50%, 8/14/24

     300,000        327,878  

4.38%, 10/27/27

     135,000        151,923  

4.38%, 1/23/31

     250,000        287,815  

7.63%, 3/21/36

     30,000        46,341  

4.13%, 11/20/45

     313,000        354,768  

5.10%, 6/18/50

     400,000        504,878  

4.98%, 4/20/55

     440,000        547,116  
     

 

 

 
Total Uruguay

 

     2,220,719  
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $26,938,919)

 

     29,449,933  
SUPRANATIONAL BONDS – 0.1%

 

Deutsche Bank AG
3.95%, 2/27/23

     290,000        302,079  

European Investment Bank
4.88%, 2/15/36

     260,000        378,152  

Inter-American Development Bank
3.20%, 8/7/42

     427,000        539,599  

International Bank for Reconstruction & Development
4.75%, 2/15/35

     255,000        364,426  
TOTAL SUPRANATIONAL BONDS
(Cost: $1,457,899)

 

     1,584,256  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 6.8%

 

United States – 6.8%

 

Banc of America Commercial Mortgage Trust

     

3.17%, 7/15/49, Series 2016-UB10, Class A4

     255,000        274,414  

3.12%, 2/15/50, Series 2017-BNK3, Class A2

     200,000        205,441  

3.37%, 2/15/50, Series 2017-BNK3, Class ASB

   500,000      537,078  

3.57%, 2/15/50, Series 2017-BNK3, Class A4

     100,000        111,460  

Bank

     

4.01%, 2/15/52, Series 2019-BN16, Class A4

     350,000        408,919  

2.85%, 10/17/52, Series 2019-BN21, Class A5

     500,000        540,805  

3.02%, 6/15/60, Series 2017-BNK5, Class A3

     500,000        528,483  

3.39%, 6/15/60, Series 2017-BNK5, Class A5

     190,000        210,018  

4.23%, 9/15/60, Series 2018-BN14, Class A4^(d)

     1,577,767        1,858,984  

3.43%, 2/15/61, Series 2018-BN10, Class A4

     10,000        11,158  

4.26%, 5/15/61, Series 2018-BN12, Class A4^(d)

     210,000        246,647  

3.33%, 5/15/62, Series 2019-BN18, Class A3

     300,000        334,942  

2.76%, 9/15/62, Series 2019-BN20, Class A2

     500,000        537,193  

Barclays Commercial Mortgage Trust

     

3.67%, 2/15/50, Series 2017-C1, Class A4

     400,000        448,603  

2.92%, 8/15/52, Series 2019-C4, Class A5

     750,000        808,844  

Benchmark Mortgage Trust

     

3.62%, 2/15/51, Series 2018-B2, Class A4

     350,000        392,869  

3.88%, 2/15/51, Series 2018-B2, Class A5^(d)

     230,000        263,209  

3.76%, 4/10/51, Series 2018-B3, Class A4

     350,000        397,355  

3.96%, 1/15/52, Series 2018-B8, Class A4

     400,000        461,522  

3.75%, 3/15/52, Series 2019-B9, Class A4

     118,000        134,867  

4.02%, 3/15/52, Series 2019-B9, Class A5

     500,000        582,332  

2.95%, 8/15/57, Series 2019-B13, Class A4

     750,000        815,100  

CD Mortgage Trust

     

2.46%, 8/10/49, Series 2016-CD1, Class A3

     340,000        353,963  

3.33%, 11/13/50, Series 2017-CD6, Class ASB

     104,000        112,567  

4.21%, 8/15/51, Series 2018-CD7, Class ASB

     300,000        342,692  

4.28%, 8/15/51, Series 2018-CD7, Class A4

     250,000        294,449  

CFCRE Commercial Mortgage Trust

 

3.87%, 1/10/48, Series 2016-C3, Class A3

     200,000        221,705  

3.69%, 5/10/58, Series 2016-C4, Class AM

     500,000        542,614  

Citigroup Commercial Mortgage Trust

 

2.94%, 4/10/48, Series 2015-GC29, Class A3

     65,000        68,989  

 

See Notes to Financial Statements.

 

WisdomTree Trust      119  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

3.76%, 6/10/48, Series 2015-GC31, Class A4

   $   340,116      $ 375,658  

3.62%, 2/10/49, Series 2016-GC36, Class A5

     500,000        552,768  

3.46%, 12/10/49, Series 2016-P6, Class A4

     500,000        553,583  

3.72%, 12/10/49, Series 2016-P6, Class A5^(d)

     100,000        112,331  

3.47%, 9/15/50, Series 2017-P8, Class A4

     300,000        333,692  

3.74%, 3/10/51, Series 2018-B2, Class A3

     200,000        226,531  

4.41%, 11/10/51, Series 2018-C6, Class A4

     500,000        597,256  

3.04%, 11/10/52, Series 2019-GC43, Class A4

     380,000        414,910  

3.52%, 9/10/58, Series 2015-GC33, Class AAB

     300,000        317,747  

Commercial Mortgage Trust

 

3.91%, 5/15/45, Series 2012-CR1, Class AM

     245,000        255,892  

3.92%, 8/10/46, Series 2013-CR10, Class A3

     99,733        107,335  

4.21%, 8/10/46, Series 2013-CR10, Class A4^(d)

     195,000        212,097  

4.05%, 10/10/46, Series 2013-CR12, Class A4

     500,000        542,510  

4.19%, 11/10/46, Series 2013-CR13, Class A4^(d)

     500,000        545,895  

3.78%, 4/10/47, Series 2014-CR16, Class A3

     400,000        433,516  

3.50%, 8/10/47, Series 2014-CR19, Class ASB

     272,574        284,814  

3.59%, 11/10/47, Series 2014-CR20, Class A4

     500,000        542,784  

3.08%, 2/10/48, Series 2015-DC1, Class A4

     400,000        423,658  

3.50%, 5/10/48, Series 2015-CR23, Class A4

     50,000        54,505  

3.51%, 8/10/48, Series 2015-CR25, Class A3

     570,857        619,856  

3.76%, 8/10/48, Series 2015-CR25, Class A4

     300,000        332,483  

3.63%, 10/10/48, Series 2015-CR26, Class A4

     218,000        239,927  

3.53%, 2/10/49, Series 2016-CR28, Class ASB

     400,000        423,873  

4.26%, 8/10/50, Series 2013-CR11, Class A4

     600,000        655,157  

3.96%, 5/10/51, Series 2018-COR3, Class A2

     400,000        456,293  

4.23%, 5/10/51, Series 2018-COR3, Class A3

     500,000        582,974  

4.05%, 3/15/52, Series 2019-C15, Class A4

     300,000        349,356  

CSAIL Commercial Mortgage Trust

 

3.49%, 11/15/48, Series 2016-C5, Class A4

     350,000        369,411  

3.81%, 11/15/48, Series 2015-C4, Class A4

     750,000        832,808  

3.31%, 11/15/49, Series 2016-C7, Class ASB

   210,000      220,683  

3.79%, 4/15/50, Series 2015-C1, Class AS^(d)

     82,000        89,289  

3.46%, 11/15/50, Series 2017-CX10, Class A5^(d)

     500,000        555,277  

3.02%, 9/15/52, Series 2019-C17, Class A5

     343,000        372,767  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates

     

2.57%, 9/25/20, Series K504, Class A2^(d)

     74,724        74,759  

3.03%, 10/25/20, Series K714, Class A2^(d)

     180,007        180,555  

4.33%, 10/25/20, Series K010, Class A2^(d)

     146,992        148,484  

3.97%, 1/25/21, Series K013, Class A2^(d)

     200,000        203,502  

2.87%, 12/25/21, Series K017, Class A2

     45,540        46,504  

2.27%, 3/25/22, Series K019, Class A2

     495,875        503,506  

2.79%, 6/25/22, Series KS03, Class A2

     550,000        566,798  

2.51%, 11/25/22, Series K026, Class A2

     250,000        257,324  

2.62%, 3/25/23, Series K035, Class A1

     94,311        95,717  

3.30%, 4/25/23, Series K031, Class A2^(d)

     370,000        391,917  

3.31%, 5/25/23, Series K032, Class A2^(d)

     1,000,000        1,061,443  

3.46%, 8/25/23, Series K035, Class A2^(d)

     775,000        828,127  

3.06%, 11/25/23, Series K724, Class A2^(d)

     400,000        421,848  

3.00%, 1/25/24, Series K725, Class A2

     1,000,000        1,057,735  

3.06%, 8/25/24, Series K728, Class A2^(d)

     500,000        533,404  

2.49%, 11/25/24, Series K045, Class A1

     189,365        194,164  

2.67%, 12/25/24, Series K042, Class A2

     160,000        169,320  

3.06%, 12/25/24, Series K043, Class A2

     199,000        214,116  

3.02%, 1/25/25, Series K045, Class A2

     55,000        59,188  

3.16%, 5/25/25, Series KS03, Class A4^(d)

     565,000        606,664  

3.33%, 5/25/25, Series K047, Class A2^(d)

     200,000        218,823  

3.28%, 6/25/25, Series K048, Class A2^(d)

     600,000        655,393  

3.01%, 7/25/25, Series K049, Class A2

     360,000        388,905  

3.75%, 8/25/25, Series K733, Class A2

     750,000        829,951  

3.15%, 11/25/25, Series K052, Class A2

     125,000        136,275  

2.34%, 7/25/26, Series K058, Class A1

     532,113        552,016  

2.86%, 10/25/26, Series K065, Class A1

     307,267        324,757  

3.22%, 3/25/27, Series K064, Class A2

     1,500,000        1,660,140  

3.33%, 5/25/27, Series K065, Class AM

     59,000        65,613  

3.36%, 11/25/27, Series K071, Class AM^(d)

     200,000        223,202  

3.44%, 12/25/27, Series K072, Class A2

     420,000        473,866  

3.35%, 1/25/28, Series K073, Class A2

     300,000        336,672  

3.93%, 6/25/28, Series K079, Class A2

     400,000        468,902  

3.86%, 11/25/28, Series K086, Class A2^(d)

     400,000        469,335  

3.77%, 12/25/28, Series K087, Class A2

     1,050,000        1,225,260  

3.56%, 1/25/29, Series K089, Class A2

     1,040,000        1,198,015  

3.63%, 1/25/29, Series K089, Class AM^(d)

     750,000        863,699  

3.29%, 3/25/29, Series K153, Class A2^(d)

     615,000        695,777  

3.51%, 3/25/29, Series K091, Class A2

     1,000,000        1,148,440  

3.30%, 4/25/29, Series K092, Class A2

     1,000,000        1,133,563  

2.65%, 11/25/29, Series K103, Class A2

     700,000        762,824  

3.75%, 11/25/29, Series K155, Class A1

     1,494,463        1,665,827  

3.95%, 12/25/29, Series K159, Class A1

     199,956        228,506  

Federal National Mortgage Association Alternative Credit Enhancement Securities

     

2.73%, 10/25/21, Series 2012-M1, Class A2

     354,633        361,245  

 

See Notes to Financial Statements.

 

120   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.72%, 2/25/22, Series 2012-M2, Class A2

   $ 339,655      $ 345,887  

2.38%, 5/25/22, Series 2012-M13, Class A2

     68,458        70,045  

2.30%, 9/25/22, Series 2012-M14, Class A2^(d)

     37,933        38,744  

2.62%, 4/25/23, Series 2013-M14, Class APT^(d)

     35,391        36,415  

2.16%, 10/25/23, Series 2016-M7, Class AV2

     499,947        511,291  

3.33%, 10/25/23, Series 2013-M14, Class A2^(d)

     83,726        89,085  

3.48%, 1/25/24, Series 2014-M3, Class A2^(d)

     84,899        91,304  

3.10%, 7/25/24, Series 2014-M9, Class A2^(d)

     584,345        622,072  

2.30%, 10/25/24, Series 2015-M3, Class A1

     22,935        22,936  

2.58%, 3/25/26, Series 2016-M4, Class A2

     268,000        283,805  

2.14%, 5/25/26, Series 2016-M6, Class A1

     162,461        166,594  

2.00%, 6/25/26, Series 2016-M9, Class A1

     402,671        411,090  

2.50%, 9/25/26, Series 2016-M7, Class A2

     190,000        200,416  

2.42%, 10/25/26, Series 2017-M1, Class A2^(d)

     500,000        530,180  

2.80%, 2/25/27, Series 2017-M2, Class A2^(d)

     1,000,000        1,085,710  

2.63%, 4/25/27, Series 2015-M10, Class A1

     631,882        655,911  

3.14%, 11/25/27, Series 2017-M15, Class ATS2^(d)

     500,000        544,316  

3.05%, 3/25/28, Series 2018-M7, Class A2^(d)

     615,000        682,257  

3.33%, 6/25/28, Series 2018-M8, Class A2^(d)

     80,000        90,395  

3.30%, 8/1/28, Series 2019-M6, Class A1

     983,447        1,066,121  

3.45%, 1/1/29, Series 2019-M6, Class A2

     210,000        238,698  

3.27%, 1/25/29, Series 2019 -M5, Class A2

     750,000        845,454  

3.18%, 4/25/29, Series 2017-M5, Class A2^(d)

     64,000        71,818  

2.99%, 2/25/30, Series 2018-M3, Class A1^(d)

     971,663        1,048,426  

3.70%, 9/25/30, Series 2018-M13, Class A2^(d)

     300,000        353,554  

2.94%, 7/25/39, Series 2016-M11, Class AL

     850,036        873,941  

GS Mortgage Securities Trust

 

4.24%, 8/10/46, Series 2013-GC14, Class A5

     85,000        92,191  

4.00%, 4/10/47, Series 2014-GC20, Class A5

     250,000        272,166  

3.86%, 6/10/47, Series 2014-GC22, Class A5

     70,000        76,263  

3.67%, 9/10/47, Series 2014-GC24, Class A4

   300,000      325,091  

3.93%, 9/10/47, Series 2014-GC24, Class A5

     500,000        547,303  

3.47%, 11/10/48, Series 2015-GS1, Class A2

     850,000        929,696  

2.85%, 10/10/49, Series 2016-GS3, Class A4

     235,000        249,916  

3.44%, 11/10/49, Series 2016-GS4, Class A4^(d)

     265,000        291,269  

3.43%, 5/10/50, Series 2017-GS6, Class A3

     400,000        440,899  

3.43%, 8/10/50, Series 2017-GS7, Class A4

     520,000        577,900  

3.99%, 3/10/51, Series 2018-GS9, Class A4^(d)

     500,000        573,763  

3.70%, 2/10/52, Series 2019-GC38, Class A3

     300,000        342,645  

3.97%, 2/10/52, Series 2019-GC38, Class A4

     300,000        348,990  

JP Morgan Chase Commercial Mortgage Securities Trust

     

4.08%, 1/15/46, Series 2013-C13, Class AS^(d)

     425,000        457,470  

3.81%, 7/15/47, Series 2014-C20, Class A5

     500,000        543,692  

2.82%, 8/15/49, Series 2016-JP2, Class A4

     200,000        212,950  

2.87%, 8/15/49, Series 2016-JP3, Class A5

     375,000        400,633  

JPMBB Commercial Mortgage Securities Trust

     

3.66%, 7/15/45, Series 2013-C12, Class A5

     100,000        106,622  

4.13%, 8/15/46, Series 2013-C14, Class A4^(d)

     95,000        102,836  

3.93%, 1/15/47, Series 2013-C17, Class A3

     91,925        99,062  

4.00%, 4/15/47, Series 2014-C19, Class A4

     200,000        218,299  

3.37%, 11/15/47, Series 2014-C24, Class A4A1

     800,000        858,945  

3.29%, 1/15/48, Series 2014-C26, Class ASB

     140,977        146,620  

3.34%, 5/15/48, Series 2015-C29, Class A3A1

     250,000        267,964  

3.60%, 11/15/48, Series 2015-C32, Class A5

     500,000        549,826  

JPMCC Commercial Mortgage Securities Trust

     

3.46%, 3/15/50, Series 2017-JP5, Class A4

     400,000        443,972  

3.39%, 6/13/52, Series 2019-COR5, Class A4

     500,000        556,534  

JPMDB Commercial Mortgage Securities Trust 3.41%, 3/15/50, Series 2017-C5, Class A4

     550,000        604,245  

Morgan Stanley Bank of America Merrill Lynch Trust

     

3.48%, 11/15/45, Series 2012-C6, Class AS

     100,000        104,234  

 

See Notes to Financial Statements.

 

WisdomTree Trust      121  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.92%, 2/15/46, Series 2013-C7, Class A4

   $ 2,035,000      $ 2,108,146  

3.89%, 6/15/47, Series 2014-C16, Class A5

     70,000        76,226  

3.53%, 12/15/47, Series 2014-C19, Class A4

     365,167        396,231  

3.07%, 2/15/48, Series 2015-C20, Class ASB

     246,408        255,252  

3.25%, 2/15/48, Series 2015-C20, Class A4

     200,000        214,784  

3.08%, 3/15/48, Series 2015-C21, Class A3

     622,012        660,862  

3.04%, 4/15/48, Series 2015-C22, Class ASB

     200,000        207,185  

3.31%, 4/15/48, Series 2015-C22, Class A4

     95,000        102,594  

3.73%, 5/15/48, Series 2015-C24, Class A4

     250,000        275,317  

3.10%, 11/15/49, Series 2016-C31, Class A5

     500,000        541,053  

3.72%, 7/15/50, Series 2015-C23, Class A4

     175,000        193,033  

Morgan Stanley Capital I Trust

     

3.77%, 3/15/45, Series 2012-C4, Class AS

     280,000        290,539  

2.86%, 11/15/49, Series 2016-BNK2, Class ASB

     300,000        315,442  

3.26%, 6/15/50, Series 2017-H1, Class A4

     500,000        545,513  

3.81%, 3/15/52, Series 2019-L2, Class A3

     275,000        314,951  

3.01%, 7/15/52, Series 2019-H7, Class A3

     400,000        434,907  

SG Commercial Mortgage Securities Trust
3.06%, 10/10/48, Series 2016-C5, Class A4

     300,000        320,797  

UBS Commercial Mortgage Trust

     

3.47%, 11/15/50

     300,000        333,940  

3.78%, 11/15/50, Series 2017-C5, Class AS^(d)

     400,000        446,472  

3.68%, 12/15/50, Series 2017-C7, Class A4

     250,000        281,861  

4.45%, 12/15/51, Series 2018-C14, Class A4

     1,000,000        1,194,705  

UBS-Citigroup Commercial Mortgage Trust
3.60%, 1/10/45, Series 2011-C1, Class A3

     163,235        166,651  

Wells Fargo Commercial Mortgage Trust

     

2.92%, 10/15/45, Series 2012-LC5, Class A3

     176,445        182,023  

2.91%, 2/15/48, Series 2015-C26, Class A3

     453,940        480,055  

3.17%, 2/15/48, Series 2015-C26, Class A4

     200,000        213,921  

3.64%, 6/15/48, Series 2015-C29, Class A4

     250,000        274,223  

3.70%, 11/15/48, Series 2015-C31, Class A4

     100,000        110,487  

2.65%, 8/15/49, Series 2016-BNK1, Class A3

   500,000      525,675  

2.40%, 11/15/49, Series 2016-NXS6, Class A2

     350,000        353,847  

2.92%, 11/15/49, Series 2016-NXS6, Class A4

     265,000        283,278  

3.45%, 7/15/50, Series 2017-C38, Class A5

     200,000        222,081  

3.82%, 8/15/50, Series 2014-LC16, Class A5

     256,000        278,514  

3.58%, 10/15/50, Series 2017-C40, Class A4

     200,000        223,456  

3.47%, 11/15/50, Series 2017-C41, Class A4

     250,000        277,480  

4.21%, 5/15/51, Series 2018-C44, Class A5

     400,000        465,792  

4.15%, 6/15/51, Series 2018-C45, Class ASB

     395,000        446,105  

3.73%, 5/15/52, Series 2019-C50, Class A5

     500,000        572,081  

4.02%, 5/15/52, Series 2019-C50, Class ASB

     500,000        571,923  

3.66%, 9/15/58, Series 2015-C30, Class A4

     500,000        550,355  

3.64%, 1/15/59, Series 2016-NXS5, Class A6

     320,000        353,479  

3.12%, 1/15/60, Series 2017-RC1, Class A2

     120,000        123,328  

WFRBS Commercial Mortgage Trust

     

2.88%, 12/15/45, Series 2012-C10, Class A3

     500,000        516,696  

4.15%, 8/15/46, Series 2013-C15, Class A4^(d)

     200,000        216,806  

4.42%, 9/15/46, Series 2013-C16, Class A5

     100,000        109,225  

3.03%, 12/15/46, Series 2013-C18, Class A2

     156        157  

4.02%, 12/15/46, Series 2013-C17, Class A4

     60,000        65,033  

4.10%, 3/15/47, Series 2014-C19, Class A5

     775,000        848,687  

3.41%, 8/15/47, Series 2014-C21, Class A4

     225,000        239,962  

3.43%, 11/15/47, Series 2014-C25, Class A3

     40,000        41,204  

3.63%, 11/15/47, Series 2014-C25, Class A5

     100,000        108,884  
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost: $84,794,309)

 

     88,786,618  
MUNICIPAL BONDS – 1.7%

 

Denmark – 0.0%

 

Univ. of California
5.95%, 5/15/45

     

(Cost: $362,871)

     265,000        392,854  
United States – 1.7%

 

Alameda County Joint Powers Authority
7.05%, 12/1/44

     150,000        259,806  

 

See Notes to Financial Statements.

 

122   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Bay Area Toll Authority

 

2.57%, 4/1/31

   $ 1,225,000      $ 1,297,348  

6.26%, 4/1/49

     680,000        1,171,511  

City of Houston TX
3.96%, 3/1/47

     750,000        950,475  

Commonwealth of Massachusetts
2.81%, 9/1/43, Series D

     150,000        159,233  

Dallas Area Rapid Transit

     

6.00%, 12/1/44

     175,000        275,938  

5.02%, 12/1/48

     130,000        194,099  

Los Angeles County Public Works Financing Authority
7.62%, 8/1/40

     100,000        169,324  

Los Angeles Department of Water & Power Power System Rev.
6.57%, 7/1/45

     70,000        120,837  

Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd
4.05%, 7/1/26, Class B

     100,000        113,098  

Metropolitan Transportation Authority
7.34%, 11/15/39

     275,000        471,017  

Municipal Electric Authority of Georgia
6.64%, 4/1/57

     725,000        1,093,554  

New Jersey Transportation Trust Fund Authority

 

5.75%, 12/15/28, Series C

     245,000        293,760  

6.10%, 12/15/28, Series C

     85,000        88,260  

New York City Water & Sewer System

 

5.75%, 6/15/41

     320,000        507,690  

6.01%, 6/15/42

     225,000        368,460  

5.44%, 6/15/43

     500,000        781,900  

Ohio State University (The)
4.91%, 6/1/40

     380,000        534,983  

Port Authority of New York & New Jersey

 

5.65%, 11/1/40

     525,000        782,990  

4.93%, 10/1/51

     700,000        1,046,031  

4.46%, 10/1/62

     200,000        273,896  

Sales Tax Securitization Corp.

 

4.64%, 1/1/40, Series A

     100,000        125,748  

3.82%, 1/1/48

     680,000        793,601  

San Jose Redevelopment Agency Successor Agency
3.38%, 8/1/34, Series A-T

     510,000        555,018  

State of California

 

4.50%, 4/1/33

     1,650,000        1,972,212  

7.55%, 4/1/39

     635,000        1,091,806  

7.60%, 11/1/40

     275,000        486,667  

State of Illinois

 

4.95%, 6/1/23

     270,545        286,275  

5.10%, 6/1/33

     1,395,000        1,633,405  

6.63%, 2/1/35

     100,000        125,831  

State of Oregon Department of Transportation 5.83%, 11/15/34

     515,000        744,041  

Texas Private Activity Bond Surface Transportation Corp.
3.92%, 12/31/49

     500,000        578,780  

Texas Transportation Commission State Highway Fund
5.18%, 4/1/30, Series B-BUILD

   820,000      1,043,794  

University of California

 

4.60%, 5/15/31, Series AJ

     350,000        423,857  

5.77%, 5/15/43

     230,000        339,538  

4.86%, 5/15/2112, Series AD

     250,000        383,550  

University of Virginia

 

4.18%, 9/1/2117, Series C

     400,000        589,520  

3.23%, 9/1/2119, Series A

     150,000        174,911  
TOTAL MUNICIPAL BONDS
(Cost: $20,596,066)

 

     22,695,618  
ASSET-BACKED SECURITIES – 1.4%

 

United States – 1.4%

 

Ally Auto Receivables Trust

     

3.09%, 6/15/23, Series 2018-2, Class A4

     485,000        498,586  

2.91%, 9/15/23, Series 2019-1, Class A3

     107,000        109,178  

American Express Credit Account Master Trust

     

3.06%, 2/15/24, Series 2018-6, Class A

     1,250,000        1,280,969  

3.18%, 4/15/24, Series 2018-8, Class A

     100,000        103,075  

2.87%, 10/15/24, Series 2019-1, Class A

     400,000        413,884  

2.67%, 11/15/24, Series 2019-2, Class A

     505,000        520,614  

Americredit Automobile Receivables Trust
2.97%, 11/20/23, Series 2019-1, Class A3

     200,000        203,929  

Barclays Dryrock Issuance Trust
1.96%, 5/15/25, Series 2019-1, Class A

     200,000        203,650  

BMW Vehicle Owner Trust
2.51%, 6/25/24, Series 2018-A, Class A4

     50,000        50,922  

Capital One Multi-Asset Execution Trust

     

2.84%, 12/15/24, Series 2019-A1, Class A1

     854,000        880,336  

2.29%, 7/15/25, Series 2017-A6, Class A6

     1,200,000        1,236,477  

Capital One Prime Auto Receivables Trust
1.92%, 5/15/24, Series 2019-2, Class A3

     555,000        562,765  

CarMax Auto Owner Trust

     

3.05%, 3/15/24, Series 2019-1, Class A3

     525,000        539,784  

3.27%, 3/15/24, Series 2018-3, Class A4

     500,000        522,121  

3.26%, 8/15/24, Series 2019-1, Class A4

     256,000        269,457  

Citibank Credit Card Issuance Trust

     

2.49%, 1/20/23, Series 2018-A1, Class A1

     1,650,000        1,665,827  

3.21%, 12/7/24, Series 2018-A6, Class A6

     350,000        369,714  

Discover Card Execution Note Trust

     

3.11%, 1/16/24, Series 2018-A4, Class A4

     160,000        164,095  

 

See Notes to Financial Statements.

 

WisdomTree Trust      123  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

3.32%, 3/15/24, Series 2018-A5, Class A5

   $ 500,000      $ 515,768  

3.04%, 7/15/24, Series 2019-A1, Class A1

     385,000        398,202  

Drive Auto Receivables Trust
4.09%, 6/15/26, Series 2019-1, Class D

     300,000        310,931  

Ford Credit Auto Lease Trust
2.90%, 5/15/22, Series 2019-A, Class A3

     500,000        506,644  

Ford Credit Auto Owner Trust
2.78%, 9/15/23, Series 2019-A, Class A3

     150,000        153,103  

GM Financial Automobile Leasing Trust
2.98%, 12/20/21, Series 2019-1, Class A3

     200,000        202,480  

GM Financial Consumer Automobile Receivables Trust

     

3.02%, 5/16/23, Series 2018-3, Class A3

     140,000        142,009  

2.97%, 11/16/23, Series 2019-1, Class A3

     55,000        56,107  

2.65%, 2/16/24, Series 2019-2, Class A3

     495,000        503,427  

3.32%, 6/17/24, Series 2018-4, Class A4

     74,000        77,683  

Honda Auto Receivables Owner Trust

     

2.83%, 3/20/23, Series 2019-1, Class A3

     425,000        433,412  

2.21%, 3/21/24, Series 2017-4, Class A4

     60,000        60,574  

3.16%, 8/19/24, Series 2018-2, Class A4

     640,000        659,790  

Hyundai Auto Receivables Trust
2.79%, 7/15/22, Series 2018-A, Class A3

     155,000        156,224  

Nissan Auto Lease Trust

     

2.76%, 3/15/22, Series 2019-A, Class A3

     25,000        25,359  

2.27%, 7/15/22, Series 2019-B, Class A3

     100,000        101,197  

Nissan Auto Receivables Owner Trust

     

1.95%, 10/16/23, Series 2017-B, Class A4

     485,000        488,670  

2.90%, 10/16/23, Series 2019-A, Class A3

     250,000        255,935  

Santander Drive Auto Receivables Trust
3.42%, 4/15/25, Series 2019-1, Class C

     200,000        203,924  

Synchrony Card Funding LLC

     

2.95%, 3/15/25, Series 2019-A1, Class A

     140,000        145,004  

2.34%, 6/15/25, Series 2019-A2, Class A

     125,000        128,306  

Toyota Auto Receivables Owner Trust
3.00%, 5/15/24, Series 2019-A, Class A4

     895,000        936,373  

Volkswagen Auto Lease Trust
2.00%, 3/21/22, Series 2019-A, Class A2A

   500,000      503,610  

World Financial Network Credit Card Master Trust
3.07%, 12/16/24, Series 2018-A, Class A

     500,000        508,084  

World Omni Auto Receivables Trust

     

2.24%, 6/15/23, Series 2017-A, Class A4

     75,000        75,782  

3.33%, 4/15/24, Series 2018-D, Class A3

     566,000        582,110  

3.04%, 5/15/24, Series 2019-A, Class A3

     109,000        111,941  

World Omni Automobile Lease Securitization Trust
3.19%, 12/15/21, Series 2018-B, Class A3

     300,000        304,723  
TOTAL ASSET-BACKED SECURITIES
(Cost: $17,904,515)

 

     18,142,755  
REPURCHASE AGREEMENT – 3.0%

 

United States – 3.0%

 

Citigroup, Inc., tri-party repurchase agreement dated 28/2/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $38,525,168 (fully collateralized by Fannie Mae Interest STRIPS, zero coupon – 5.50% due 5/15/30 – 2/1/47, Fannie Mae Pool, 4.00% – 8.00% due 2/1/21 – 1/1/50, Freddie Mac Gold Pool, 8.00% due 7/1/26, Freddie Mac Gold STRIPS, zero coupon – 4.50% due 12/1/32 – 8/15/48, Freddie Mac Pool, 4.00% – 5.00% due 8/1/38 – 1/1/50, Ginnie Mae I Non-level Payment, 3.50% due 8/15/59, Ginnie Mae I Single Family Platinum, 5.50% due 4/15/21, Ginnie Mae I Single Family, 6.00% due 3/15/33, Ginnie Mae II Single Family, 3.50% due 9/20/21, Resolution Funding Interest STRIPS, zero coupon due 1/15/23 – 1/15/28, U.S. Treasury Bond Coupon STRIPS, zero coupon due 5/15/24 – 11/15/33 and U.S. Treasury Bond Principal STRIPS, zero coupon due 11/15/45; Market value including accrued interest – $39,603,128)

     
(Cost: $38,520,000)      38,520,000        38,520,000  

 

See Notes to Financial Statements.

 

124   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 29, 2020

 

 

 

Investments    Shares      Value  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 1.0%

 

United States – 1.0%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(f)

     
(Cost: $13,023,825)(g)      13,023,825      $ 13,023,825  
TOTAL INVESTMENTS IN SECURITIES – 101.0%
(Cost: $1,247,471,282)

 

     1,311,264,962  

Other Assets less Liabilities – (1.0)%

 

     (13,351,291
     

 

 

 
NET ASSETS – 100.0%

 

   $ 1,297,913,671  
^

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

Security, or portion thereof, was on loan at February 29, 2020 (See Note 2).

 

(c) 

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

 

(d) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

(e) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of February 29, 2020.

 

(f) 

Rate shown represents annualized 7-day yield as of February 29, 2020.

 

(g) 

At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $13,861,817 and the total market value of the collateral held by the Fund was $14,256,456. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $1,232,631.

 

See Notes to Financial Statements.

 

WisdomTree Trust      125  


Table of Contents

Schedule of Investments (unaudited)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 2.0%

 

Federal Home Loan Bank – 0.1%

 

3.63%, 6/11/21

   $ 100,000      $ 103,329  
Uniform Mortgage-Backed Security – 1.9%

 

2.50%, 4/1/35(a)

     1,500,000        1,539,448  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $1,629,973)

 

 

     1,642,777  
U.S. GOVERNMENT OBLIGATIONS – 26.9%

 

U.S. Treasury Bills – 3.6%

 

1.56%, 3/31/20*

     1,865,000        1,862,874  

1.57%, 5/14/20*

     1,120,000        1,117,081  
     

 

 

 
Total U.S. Treasury Bills

 

     2,979,955  
U.S. Treasury Bond – 1.8%

 

7.63%, 11/15/22

     1,222,000        1,442,509  
U.S. Treasury Notes – 21.5%

 

1.50%, 4/15/20

     2,000        2,000  

1.38%, 5/31/20

     1,000        1,000  

1.13%, 6/30/21

     1,165,000        1,166,661  

1.63%, 6/30/21

     1,100,000        1,109,066  

2.63%, 7/15/21

     1,059,300        1,082,700  

2.00%, 11/15/21

     53,000        53,963  

1.88%, 1/31/22

     596,000        606,989  

1.75%, 6/30/22

     1,000        1,020  

2.13%, 12/31/22

     461,000        477,081  

2.63%, 6/30/23

     332,800        351,793  

2.50%, 8/15/23

     1,801,000        1,899,598  

2.75%, 8/31/23

     1,309,200        1,392,789  

2.88%, 9/30/23

     1,614,000        1,726,538  

2.13%, 3/31/24

     1,935,000        2,029,558  

2.00%, 5/31/24

     2,000,000        2,090,586  

1.50%, 10/31/24

     1,475,000        1,514,324  

1.50%, 11/30/24

     2,000,000        2,054,609  
     

 

 

 
Total U.S. Treasury Notes

 

     17,560,275  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $21,206,654)

 

 

     21,982,739  
U.S. CORPORATE BONDS – 48.0%

 

United States – 48.0%

 

3M Co.
2.25%, 3/15/23

     113,000        115,947  

ABB Finance USA, Inc.
2.88%, 5/8/22

     746,000        770,491  

AbbVie, Inc.
2.90%, 11/6/22

     449,000        463,550  

2.85%, 5/14/23

     165,000        170,509  

2.60%, 11/21/24(b)

     4,000        4,136  

Aetna, Inc.
3.50%, 11/15/24

     45,000        48,213  

Affiliated Managers Group, Inc.
4.25%, 2/15/24

     25,000        27,181  

Air Lease Corp.
3.88%, 4/1/21

     111,000        113,719  

2.25%, 1/15/23

     200,000        201,169  

Aircastle Ltd.
4.13%, 5/1/24

     247,000        261,521  

Allergan Finance LLC
3.25%, 10/1/22

    142,000      148,039  

Allergan Funding SCS
3.45%, 3/15/22

     71,000        73,582  

3.85%, 6/15/24

     5,000        5,424  

Altria Group, Inc.
4.00%, 1/31/24

     118,000        127,515  

American Electric Power Co., Inc.
2.15%, 11/13/20

     2,000        2,009  

American Express Co.
2.65%, 12/2/22

     124,000        128,064  

3.00%, 10/30/24

     31,000        32,815  

American Honda Finance Corp.
3.45%, 7/14/23

     75,000        79,994  

2.15%, 9/10/24

     400,000        409,060  

American Tower Corp.
3.45%, 9/15/21

     25,000        25,742  

2.25%, 1/15/22

     86,000        87,136  

3.50%, 1/31/23

     358,000        377,566  

3.00%, 6/15/23

     5,000        5,209  

Amgen, Inc.
3.63%, 5/15/22

     164,000        170,007  

2.25%, 8/19/23

     24,000        24,499  

3.63%, 5/22/24

     95,000        102,676  

Amphenol Corp.
3.20%, 4/1/24

     50,000        53,147  

Anthem, Inc.
3.30%, 1/15/23

     169,000        176,838  

2.38%, 1/15/25

     150,000        154,124  

Apple, Inc.
2.40%, 5/3/23

     150,000        154,956  

Ares Capital Corp.
3.63%, 1/19/22

     75,000        76,959  

4.20%, 6/10/24

     144,000        153,045  

Arrow Electronics, Inc.
3.50%, 4/1/22

     65,000        67,275  

3.25%, 9/8/24

     251,000        259,603  

Associated Bank N.A.
3.50%, 8/13/21

     264,000        270,811  

Assurant, Inc.
4.20%, 9/27/23

     64,000        68,923  

AT&T, Inc.
4.00%, 1/15/22

     17,000        17,791  

3.00%, 2/15/22

     200,000        205,510  

3.20%, 3/1/22

     16,000        16,508  

4.45%, 4/1/24

     216,000        238,215  

3.55%, 6/1/24

     247,000        263,670  

Bank of America Corp.
5.70%, 1/24/22

     135,000        146,050  

3.12%, 1/20/23, (3.124% fixed rate until 1/20/22; 3-month U.S. dollar London Interbank Offered Rate + 1.16% thereafter)(c)

     30,000        30,801  

2.88%, 4/24/23, (2.881% fixed rate until 4/24/22; 3-month U.S. dollar London Interbank Offered Rate + 1.021% thereafter)(c)

     140,000        143,847  

 

See Notes to Financial Statements.

 

126   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

2.82%, 7/21/23, (2.816% fixed rate until 7/21/22; 3-month U.S. dollar London Interbank Offered Rate + 0.93% thereafter)(c)

   $  175,000      $ 179,913  

3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(c)

     150,000        155,504  

4.00%, 4/1/24

     117,000        127,436  

3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.09% thereafter)(c)

     207,000        217,599  

Bank of New York Mellon Corp. (The)
2.95%, 1/29/23

     111,000        115,338  

Becton Dickinson and Co.
2.89%, 6/6/22

     82,000        84,111  

BGC Partners, Inc.
5.38%, 7/24/23

     231,000        252,971  

Black Hills Corp.
4.25%, 11/30/23

     121,000        131,535  

BlackRock, Inc.
3.50%, 3/18/24

     34,000        36,722  

Block Financial LLC
5.50%, 11/1/22

     43,000        46,577  

Boardwalk Pipelines L.P.
4.95%, 12/15/24

     67,000        73,370  

Boeing Co. (The)
8.75%, 8/15/21

     243,000        266,796  

2.80%, 3/1/23

     250,000        257,531  

BP Capital Markets America, Inc.
3.25%, 5/6/22

     87,000        90,363  

2.75%, 5/10/23

     452,000        469,676  

Bristol-Myers Squibb Co.
3.25%, 8/15/22(b)

     209,000        218,611  

3.25%, 11/1/23

     3,000        3,195  

Broadcom Corp.
3.00%, 1/15/22

     352,000        358,909  

3.63%, 1/15/24

     295,000        309,841  

Broadcom, Inc.
3.13%, 10/15/22(b)

     145,000        149,950  

CA, Inc.
3.60%, 8/15/22

     100,000        103,228  

Campbell Soup Co.
3.65%, 3/15/23

     35,000        37,014  

Capital One Financial Corp.
4.75%, 7/15/21

     126,000        131,375  

3.50%, 6/15/23

     48,000        50,875  

Cardinal Health, Inc.
2.62%, 6/15/22

     136,000        139,232  

Caterpillar Financial Services Corp.
2.95%, 2/26/22

     191,000        197,235  

2.15%, 11/8/24

     74,000        75,929  

Caterpillar, Inc.
3.40%, 5/15/24

     81,000        87,010  

CC Holdings GS V LLC
3.85%, 4/15/23

     247,000        262,397  

Celanese U.S. Holdings LLC
5.88%, 6/15/21

     174,000        183,133  

3.50%, 5/8/24

     141,000        149,794  

Charter Communications Operating LLC
4.46%, 7/23/22

    203,000      215,265  

Cigna Corp.
3.30%, 2/25/21(b)

     233,000        236,286  

4.75%, 11/15/21(b)

     222,000        233,526  

3.75%, 7/15/23

     171,000        182,426  

3.50%, 6/15/24(b)

     249,000        265,917  

Cimarex Energy Co.
4.38%, 6/1/24

     52,000        55,206  

Citibank N.A.
3.40%, 7/23/21

     350,000        357,946  

Citigroup, Inc.
4.50%, 1/14/22

     80,000        84,225  

2.70%, 10/27/22

     8,000        8,240  

3.88%, 10/25/23

     487,000        526,018  

3.35%, 4/24/25, (3.352% fixed rate until 4/24/24; 3-month U.S. dollar London Interbank Offered Rate + 0.897% thereafter)(c)

     95,000        100,611  

CNH Industrial Capital LLC
4.38%, 11/6/20

     191,000        194,517  

4.88%, 4/1/21

     81,000        83,760  

4.38%, 4/5/22

     50,000        52,529  

Comcast Corp.
3.60%, 3/1/24

     50,000        54,016  

Comerica, Inc.
3.70%, 7/31/23

     83,000        89,198  

CommonSpirit Health
2.95%, 11/1/22

     278,000        286,240  

Constellation Brands, Inc.
4.25%, 5/1/23

     372,000        402,122  

4.75%, 11/15/24

     132,000        150,152  

Crown Castle International Corp.
2.25%, 9/1/21

     153,000        154,193  

5.25%, 1/15/23

     81,000        88,921  

3.15%, 7/15/23

     178,000        185,703  

3.20%, 9/1/24

     48,000        50,805  

CVS Health Corp.
3.35%, 3/9/21

     3,000        3,050  

3.70%, 3/9/23

     235,000        248,358  

Dell International LLC
4.00%, 7/15/24(b)

     140,000        150,401  

Delta Air Lines, Inc.
2.60%, 12/4/20

     58,000        58,460  

Discover Bank
2.45%, 9/12/24

     250,000        255,814  

Dollar General Corp.
3.25%, 4/15/23

     290,000        304,571  

Dominion Energy, Inc.
2.00%, 8/15/21, Series C

     33,000        33,337  

3.07%, 8/15/24(c)

     188,000        197,497  

Dow Chemical Co. (The)
3.00%, 11/15/22

     163,000        170,148  

DTE Energy Co.
2.60%, 6/15/22, Series B

     150,000        153,054  

Duke Energy Carolinas LLC
3.05%, 3/15/23

     385,000        403,551  

 

See Notes to Financial Statements.

 

WisdomTree Trust      127  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Eastman Chemical Co.
3.50%, 12/1/21

   $  115,000      $ 119,011  

Eaton Corp.
2.75%, 11/2/22

     191,000        197,980  

Energy Transfer Operating L.P.
4.65%, 6/1/21

     120,000        123,804  

5.20%, 2/1/22

     79,000        83,304  

Energy Transfer Partners L.P.
4.50%, 11/1/23

     137,000        147,493  

Enterprise Products Operating LLC
4.05%, 2/15/22

     2,000        2,105  

3.90%, 2/15/24

     186,000        200,315  

Exelon Generation Co. LLC
3.40%, 3/15/22

     11,000        11,345  

4.25%, 6/15/22

     163,000        171,699  

FedEx Corp.
2.63%, 8/1/22

     10,000        10,266  

Fifth Third Bancorp
3.50%, 3/15/22

     200,000        207,930  

Fiserv, Inc.
2.75%, 7/1/24

     150,000        156,528  

Ford Motor Credit Co. LLC
3.47%, 4/5/21

     195,000        197,131  

3.81%, 10/12/21

     90,000        91,860  

3.35%, 11/1/22

     350,000        353,279  

Fox Corp.
3.67%, 1/25/22(b)

     250,000        260,436  

4.03%, 1/25/24(b)

     29,000        31,420  

General Dynamics Corp.
3.38%, 5/15/23

     23,000        24,405  

General Electric Co.
2.70%, 10/9/22

     575,000        587,790  

3.10%, 1/9/23

     289,000        299,906  

General Mills, Inc.
2.60%, 10/12/22

     200,000        206,064  

3.70%, 10/17/23

     84,000        90,411  

General Motors Co.
4.88%, 10/2/23

     83,000        90,289  

General Motors Financial Co., Inc.
3.55%, 4/9/21

     198,000        201,241  

3.45%, 1/14/22

     155,000        158,402  

3.45%, 4/10/22

     80,000        82,058  

3.15%, 6/30/22

     161,000        164,818  

3.25%, 1/5/23

     60,000        61,748  

3.70%, 5/9/23

     148,000        153,804  

5.10%, 1/17/24

     18,000        19,734  

Georgia Power Co.
2.20%, 9/15/24, Series A

     250,000        256,059  

Gilead Sciences, Inc.
3.25%, 9/1/22

     111,000        115,891  

3.70%, 4/1/24

     118,000        126,767  

Global Payments, Inc.
3.80%, 4/1/21

     28,000        28,633  

Goldman Sachs Group, Inc. (The)
5.75%, 1/24/22

     316,000        340,405  

2.91%, 7/24/23, (2.905% fixed rate until 7/24/22; 3-month U.S. dollar London Interbank Offered Rate + 0.99% thereafter)(c)

    175,000      179,881  

4.00%, 3/3/24

     165,000        179,510  

Hershey Co. (The)
3.38%, 5/15/23

     7,000        7,478  

Hess Corp.
3.50%, 7/15/24

     135,000        140,298  

Hewlett Packard Enterprise Co.
3.60%, 10/15/20

     213,000        214,833  

Host Hotels & Resorts L.P.
4.75%, 3/1/23, Series C

     105,000        113,767  

HP, Inc.
3.75%, 12/1/20

     17,000        17,201  

4.65%, 12/9/21

     223,000        233,750  

Huntington Bancshares, Inc.
3.15%, 3/14/21

     80,000        81,060  

Ingersoll-Rand Global Holding Co., Ltd.
2.90%, 2/21/21

     100,000        101,201  

International Flavors & Fragrances, Inc.
3.20%, 5/1/23

     109,000        113,285  

International Lease Finance Corp.
8.25%, 12/15/20

     16,000        16,771  

Invesco Finance PLC
4.00%, 1/30/24

     68,000        74,430  

Jabil, Inc.
4.70%, 9/15/22

     110,000        117,959  

Jefferies Financial Group, Inc.
5.50%, 10/18/23

     80,000        87,419  

Jefferies Group LLC
6.88%, 4/15/21

     5,000        5,279  

5.13%, 1/20/23

     5,000        5,462  

John Deere Capital Corp.
2.70%, 1/6/23

     1,000        1,039  

3.65%, 10/12/23

     82,000        88,945  

2.65%, 6/24/24

     24,000        25,279  

JPMorgan Chase & Co.
4.63%, 5/10/21

     36,000        37,343  

2.30%, 8/15/21

     36,000        36,088  

4.35%, 8/15/21

     56,000        58,254  

4.50%, 1/24/22

     310,000        326,821  

2.78%, 4/25/23, (2.776% fixed rate until 4/25/22; 3-month U.S. dollar London Interbank Offered Rate + 0.935% thereafter)(c)

     156,000        159,912  

3.63%, 5/13/24

     119,000        129,135  

3.80%, 7/23/24, (3.797% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.89% thereafter)(c)

     100,000        107,054  

3.88%, 9/10/24

     189,000        204,770  

4.02%, 12/5/24, (4.023% fixed rate until 12/5/23; 3-month U.S. dollar London Interbank Offered Rate + 1.00% thereafter)(c)

     170,000        184,400  

Kellogg Co.
4.00%, 12/15/20

     5,000        5,091  

Keurig Dr. Pepper, Inc.
3.55%, 5/25/21

     75,000        76,864  

 

See Notes to Financial Statements.

 

128   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Kilroy Realty L.P.
3.45%, 12/15/24

   $  249,000      $ 267,179  

Kinder Morgan Energy Partners L.P.
3.95%, 9/1/22

     291,000        304,915  

4.15%, 2/1/24

     47,000        50,644  

KLA Corp.
4.13%, 11/1/21

     100,000        103,993  

4.65%, 11/1/24

     24,000        27,109  

Kroger Co. (The)
2.60%, 2/1/21

     130,000        130,963  

2.80%, 8/1/22

     400,000        414,407  

L3Harris Technologies, Inc.
3.85%, 6/15/23(b)

     217,000        232,460  

Lockheed Martin Corp.
3.10%, 1/15/23

     75,000        78,484  

M&T Bank Corp.
3.55%, 7/26/23

     150,000        160,746  

McCormick & Co., Inc.
3.15%, 8/15/24

     17,000        18,130  

Micron Technology, Inc.
4.64%, 2/6/24

     465,000        509,396  

Microsoft Corp.
3.63%, 12/15/23

     138,000        149,429  

Molson Coors Beverage Co.
2.10%, 7/15/21

     172,000        173,386  

Moody’s Corp.
2.75%, 12/15/21

     2,000        2,049  

Morgan Stanley
5.50%, 7/28/21

     80,000        84,318  

2.75%, 5/19/22

     126,000        129,576  

4.88%, 11/1/22

     258,000        278,490  

3.75%, 2/25/23

     103,000        109,457  

3.88%, 4/29/24, Series F

     141,000        153,184  

3.70%, 10/23/24

     15,000        16,273  

Motorola Solutions, Inc.
3.75%, 5/15/22

     169,000        175,765  

MPLX L.P.
4.50%, 7/15/23

     57,000        61,513  

Newfield Exploration Co.
5.75%, 1/30/22

     22,000        23,598  

Newmont Corp.
3.50%, 3/15/22

     73,000        74,782  

Northrop Grumman Corp.
3.25%, 8/1/23

     514,000        545,275  

Nucor Corp.
4.00%, 8/1/23

     125,000        134,630  

Occidental Petroleum Corp.
2.90%, 8/15/24

     255,000        259,489  

Office Properties Income Trust
4.00%, 7/15/22

     5,000        5,188  

Omnicom Group, Inc.
3.63%, 5/1/22

     25,000        26,148  

ONEOK, Inc.
4.25%, 2/1/22

     82,000        85,376  

Oracle Corp.
2.95%, 11/15/24

     95,000        100,920  

Philip Morris International, Inc.
2.63%, 2/18/22

     85,000        87,044  

Plains All American Pipeline L.P.
3.60%, 11/1/24

    150,000      155,272  

PNM Resources, Inc.
3.25%, 3/9/21

     13,000        13,185  

Primerica, Inc.
4.75%, 7/15/22

     120,000        129,491  

Private Export Funding Corp.
2.80%, 5/15/22, Series EE

     41,000        42,506  

Regions Financial Corp.
3.80%, 8/14/23

     150,000        161,560  

Rockwell Collins, Inc.
2.80%, 3/15/22

     25,000        25,715  

Roper Technologies, Inc.
2.80%, 12/15/21

     5,000        5,122  

3.13%, 11/15/22

     4,000        4,168  

3.65%, 9/15/23

     309,000        331,012  

2.35%, 9/15/24

     258,000        266,380  

Royal Caribbean Cruises Ltd.
2.65%, 11/28/20

     135,000        135,280  

Ryder System, Inc.
2.80%, 3/1/22

     269,000        276,072  

Sabine Pass Liquefaction LLC
6.25%, 3/15/22

     385,000        414,363  

Santander Holdings USA, Inc.
3.70%, 3/28/22

     369,000        384,602  

Sempra Energy
4.05%, 12/1/23

     56,000        60,652  

Sherwin-Williams Co. (The)
2.75%, 6/1/22

     86,000        88,541  

Simon Property Group L.P.
2.00%, 9/13/24

     150,000        152,400  

Southern California Edison Co.
1.85%, 2/1/22

     38,857        38,707  

Southwest Airlines Co.
2.75%, 11/16/22

     11,000        11,330  

Stanley Black & Decker, Inc.
3.40%, 12/1/21

     2,000        2,062  

Synchrony Financial
2.85%, 7/25/22

     150,000        153,494  

Synovus Financial Corp.
3.13%, 11/1/22

     4,000        4,107  

Tapestry, Inc.
3.00%, 7/15/22

     115,000        118,387  

Tech Data Corp.
3.70%, 2/15/22

     40,000        40,847  

Time Warner Cable LLC
4.00%, 9/1/21

     176,000        180,944  

Timken Co. (The)
3.88%, 9/1/24

     100,000        108,410  

Toyota Motor Credit Corp.
3.35%, 1/8/24

     15,000        16,134  

Trimble, Inc.
4.75%, 12/1/24

     48,000        53,574  

Truist Bank

     

3.69%, 8/2/24, (3.689% fixed rate until 8/2/23; 3-month U.S. dollar London Interbank Offered Rate + 0.735% thereafter)(c)

     83,000        88,454  

 

See Notes to Financial Statements.

 

WisdomTree Trust      129  


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Truist Financial Corp.
2.90%, 3/3/21

   $ 81,000      $ 81,922  

3.75%, 12/6/23

     113,000        121,754  

2.50%, 8/1/24

     150,000        154,995  

2.85%, 10/26/24

     50,000        52,427  

Tyson Foods, Inc.
4.50%, 6/15/22

     161,000        170,323  

3.90%, 9/28/23

     171,000        184,148  

United Technologies Corp.
3.35%, 8/16/21

     150,000        154,208  

3.10%, 6/1/22

     579,000        598,087  

2.80%, 5/4/24

     121,000        128,662  

UnitedHealth Group, Inc.
3.50%, 2/15/24

     20,000        21,404  

2.38%, 8/15/24

     200,000        206,543  

Ventas Realty L.P.
3.50%, 4/15/24

     124,000        132,702  

Verizon Communications, Inc.
3.13%, 3/16/22

     140,000        145,176  

2.45%, 11/1/22

     44,000        45,187  

ViacomCBS, Inc.
3.38%, 3/1/22

     172,000        177,138  

4.25%, 9/1/23

     117,000        126,606  

Walgreen Co.
3.10%, 9/15/22

     167,000        172,118  

Walmart, Inc.
3.40%, 6/26/23

     300,000        320,679  

Waste Management, Inc.
4.75%, 6/30/20

     2,000        2,021  

2.40%, 5/15/23

     87,000        89,447  

Wells Fargo & Co.
2.50%, 3/4/21

     84,000        84,663  

3.50%, 3/8/22

     244,000        253,390  

2.63%, 7/22/22

     266,000        272,790  

2.41%, 10/30/25, (2.406% fixed rate until 10/30/24; 3-month U.S. dollar London Interbank Offered Rate + 0.825% thereafter)(c)

     4,000        4,097  

Welltower, Inc.
3.63%, 3/15/24

     250,000        269,358  

Western Midstream Operating L.P.
5.38%, 6/1/21

     29,000        29,916  

WestRock RKT LLC
4.90%, 3/1/22

     17,000        18,096  

4.00%, 3/1/23

     159,000        169,055  

Williams Cos., Inc. (The)
3.60%, 3/15/22

     225,000        232,091  

Willis North America, Inc.
3.60%, 5/15/24

     155,000        167,050  

Willis Towers Watson PLC
5.75%, 3/15/21

     46,000        47,895  

WRKCo, Inc.
3.00%, 9/15/24

     190,000        199,686  

TOTAL U.S. CORPORATE BONDS

(Cost: $37,831,329)

              39,248,710  
FOREIGN CORPORATE BONDS – 8.4%      
Australia – 0.3%      

Westpac Banking Corp.
3.30%, 2/26/24

    250,000      265,444  
Canada – 0.4%      

Canadian Natural Resources Ltd.
3.45%, 11/15/21

     3,000        3,084  

Emera U.S. Finance L.P.
2.70%, 6/15/21

     111,000        112,757  

Enbridge, Inc.
4.00%, 10/1/23

     18,000        19,258  

Kinross Gold Corp.
5.13%, 9/1/21

     25,000        25,900  

Rogers Communications, Inc.
3.00%, 3/15/23

     24,000        25,077  

TransCanada PipeLines Ltd.
2.50%, 8/1/22

     126,000        128,833  
     

 

 

 
Total Canada               314,909  
France – 0.2%

 

Total Capital Canada Ltd.
2.75%, 7/15/23

     169,000        176,090  
Germany – 0.6%

 

Deutsche Bank AG
4.25%, 10/14/21

     483,000        498,636  
Ireland – 0.2%

 

AerCap Ireland Capital DAC
4.88%, 1/16/24

     98,000        106,764  
Japan – 2.3%

 

Mitsubishi UFJ Financial Group, Inc.
3.00%, 2/22/22

     391,000        402,132  

3.22%, 3/7/22

     109,000        112,596  

2.67%, 7/25/22

     389,000        399,323  

Mizuho Financial Group, Inc.
2.95%, 2/28/22

     190,000        195,506  

3.92%, 9/11/24, (3.922% fixed rate until 9/11/23; 3-month U.S. dollar London Interbank Offered Rate + 1.00% thereafter)(c)

     172,000        183,444  

Sumitomo Mitsui Financial Group, Inc.
2.93%, 3/9/21

     175,000        176,991  

2.06%, 7/14/21

     102,000        102,759  

2.44%, 10/19/21

     290,000        294,409  

2.85%, 1/11/22

     23,000        23,580  
     

 

 

 
Total Japan

 

     1,890,740  
Luxembourg – 0.0%

 

ArcelorMittal S.A.
6.25%, 2/25/22

     8,000        8,591  
Netherlands – 0.7%

 

Cooperatieve Rabobank UA
3.88%, 2/8/22

     308,000        322,620  

NXP B.V.
4.88%, 3/1/24(b)

     141,000        155,510  

Shell International Finance B.V.
2.38%, 8/21/22

     96,000        98,401  
     

 

 

 
Total Netherlands

 

     576,531  

 

See Notes to Financial Statements.

 

130   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
Peru – 0.3%

 

Southern Copper Corp.
3.50%, 11/8/22

   $  208,000      $ 215,398  
Spain – 0.5%

 

Banco Santander S.A.
3.50%, 4/11/22

     400,000        415,503  
United Kingdom – 2.9%

 

Barclays PLC

     

4.34%, 5/16/24, (4.338% fixed rate until 5/16/23; 3-month U.S. dollar London Interbank Offered Rate + 1.356% thereafter)(c)

     150,000        159,805  

BAT Capital Corp.
2.76%, 8/15/22

     392,000        402,703  

GlaxoSmithKline Capital, Inc.
2.80%, 3/18/23

     127,000        132,250  

HSBC Holdings PLC
4.00%, 3/30/22

     18,000        18,802  

Reynolds American, Inc.
4.00%, 6/12/22

     121,000        127,437  

4.85%, 9/15/23

     50,000        55,480  

Royal Bank of Scotland Group PLC
3.88%, 9/12/23

     341,000        362,461  

4.52%, 6/25/24, (4.519% fixed rate until 6/25/23; 3-month U.S. dollar London Interbank Offered Rate + 1.55% thereafter)(c)

     327,000        351,615  

Santander UK Group Holdings PLC
3.13%, 1/8/21

     84,000        85,105  

Santander UK PLC
2.88%, 6/18/24

     200,000        208,860  

Unilever Capital Corp.
3.25%, 3/7/24

     125,000        133,718  

Vodafone Group PLC
2.95%, 2/19/23

     249,000        258,698  

WPP Finance 2010
3.63%, 9/7/22

     70,000        73,547  
     

 

 

 
Total United Kingdom

 

     2,370,481  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $6,553,108)

 

 

     6,839,087  
FOREIGN GOVERNMENT AGENCIES – 0.1%

 

Canada – 0.0%

 

Province of Quebec Canada
2.63%, 2/13/23

     26,000        27,213  
Germany – 0.1%

 

Kreditanstalt fuer Wiederaufbau
2.63%, 1/25/22

     41,000        42,242  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $66,707)

 

 

     69,455  
FOREIGN GOVERNMENT OBLIGATIONS – 2.7%

 

Colombia – 0.5%

 

Colombia Government International Bond
4.38%, 7/12/21

     30,000        30,952  

4.00%, 2/26/24

     337,000        358,679  

8.13%, 5/21/24

     16,000        19,830  
     

 

 

 
Total Colombia

 

     409,461  
Hungary – 0.1%

 

Hungary Government International Bond
6.38%, 3/29/21

   72,000      75,494  
Italy – 0.8%

 

Republic of Italy Government International Bond
2.38%, 10/17/24

     624,000        629,565  
Mexico – 0.4%

 

Mexico Government International Bond
3.63%, 3/15/22

     284,000        294,795  

4.00%, 10/2/23

     78,000        83,493  
     

 

 

 
Total Mexico

 

     378,288  
Panama – 0.3%

 

Panama Government International Bond
4.00%, 9/22/24

     250,000        270,752  
Poland – 0.5%

 

Republic of Poland Government International Bond
5.13%, 4/21/21

     26,000        27,046  

3.00%, 3/17/23

     365,000        380,239  
     

 

 

 
Total Poland

 

     407,285  
Uruguay – 0.1%

 

Uruguay Government International Bond
8.00%, 11/18/22

     55,000        61,161  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $2,170,807)

 

 

     2,232,006  
SUPRANATIONAL BOND – 0.0%

 

European Investment Bank
2.88%, 8/15/23

(Cost: $1,007)

     1,000        1,066  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 10.7%

 

United States – 10.7%

 

Citigroup Commercial Mortgage Trust

     

2.95%, 9/10/58, Series 2015-GC33, Class A2

     246,243        247,126  

Commercial Mortgage Trust

     

3.29%, 12/10/44, Series 2012-LC4, Class A4

     457,851        469,894  

3.80%, 8/10/46, Series 2013-CR10, Class ASB

     58,165        60,532  

2.85%, 5/10/48, Series 2015-CR23, Class A2

     42,209        42,194  

3.04%, 11/10/49, Series 2016-CD2, Class A2

     1,061,000        1,082,110  

CSAIL Commercial Mortgage Trust

     

2.99%, 6/15/50, Series 2017-C8, Class A2

     344,000        353,604  

Deutsche Bank Commercial Mortgage Trust
1.89%, 8/10/49, Series 2016-C3, Class A2

     318,000        318,603  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
4.19%, 12/25/20, Series K012, Class A2^(c)

     144,281        146,740  

2.79%, 1/25/22, Series K718, Class A2

     300,000        306,742  

JP Morgan Chase Commercial Mortgage Securities Trust

     

4.17%, 12/15/46, Series 2013-C16, Class A4

     1,432,000        1,561,453  

JPMBB Commercial Mortgage Securities Trust

     

4.00%, 4/15/47, Series 2014-C19, Class A4

     550,000        600,321  

3.01%, 8/15/48, Series 2015-C31, Class A2

     13,502        13,527  

JPMCC Commercial Mortgage Securities Trust
3.24%, 3/15/50, Series 2017-JP5, Class A2

     680,000        697,807  

 

See Notes to Financial Statements.

 

WisdomTree Trust      131  


Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  

Morgan Stanley Bank of America Merrill Lynch Trust
3.18%, 8/15/45, Series 2012-C5, Class A4

   $  505,700      $ 523,060  

4.05%, 4/15/47, Series 2014-C15, Class A4

     250,000        273,396  

3.44%, 8/15/47, Series 2014-C17, Class A4

     270,643        289,504  

3.53%, 8/15/47, Series 2014-C17, Class A3

     205,000        209,634  

2.74%, 4/15/48, Series 2015-C22, Class A2

     619,556        619,280  

2.70%, 12/15/48, Series 2013-C8, Class ASB

     31,326        31,685  

UBS-Barclays Commercial Mortgage Trust
2.85%, 12/10/45, Series 2012-C4, Class A5

     320,600        331,250  

Wells Fargo Commercial Mortgage Trust

     

2.53%, 10/15/45, Series 2012-LC5, Class ASB

     23,522        23,777  

2.60%, 6/15/49, Series 2016-C34, Class A2

     75,000        75,714  

3.12%, 1/15/60, Series 2017-RC1, Class A2

     471,000        484,063  

WFRBS Commercial Mortgage Trust

     

2.45%, 12/15/45, Series 2012-C10, Class ASB

     29,721        30,120  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $8,609,005)

 

 

     8,792,136  
ASSET-BACKED SECURITIES – 2.4%

 

United States – 2.4%

 

Americredit Automobile Receivables Trust
2.41%, 7/8/22, Series 2016-4, Class C

   400,000      402,225  

Carmax Auto Owner Trust
2.30%, 4/15/25, Series 2019-3, Class A4

     100,000        103,354  

Ford Credit Auto Owner Trust
2.85%, 8/15/24, Series 2019-A, Class A4

     100,000        104,597  

Honda Auto Receivables Owner Trust
2.90%, 6/18/24, Series 2019-1, Class A4

     200,000        207,600  

Synchrony Card Funding LLC
2.95%, 3/15/25, Series 2019-A1, Class A

     100,000        103,574  

World Omni Auto Receivables Trust

     

3.17%, 1/15/25, Series 2018-B, Class B, ABS

     1,000,000        1,035,097  

TOTAL ASSET-BACKED SECURITIES

(Cost: $1,926,580)

 

 

     1,956,447  

TOTAL INVESTMENTS IN SECURITIES – 101.2%

(Cost: $79,995,170)

 

 

     82,764,423  

Other Assets less Liabilities – (1.2)%

 

     (1,004,855
     

 

 

 
NET ASSETS – 100.0%

 

   $ 81,759,568  
* 

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

 

^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

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

 

(c) 

Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates.

 

See Notes to Financial Statements.

 

132   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

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

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 104.6%

 

U.S. Treasury Bills – 104.6%

 

1.55%, 5/14/20*

   $  134,000,000      $ 133,650,769  

1.58%, 5/21/20*

     70,000,000        69,803,028  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $203,338,791)

 

     203,453,797  
      Shares          
EXCHANGE-TRADED FUND – 4.5%

 

United States – 4.5%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $8,803,368)      351,502        8,819,185  
TOTAL INVESTMENTS IN SECURITIES – 109.1%
(Cost: $212,142,159)

 

     212,272,982  

Other Assets less Liabilities – (9.1)%

 

     (17,725,207
     

 

 

 
NET ASSETS – 100.0%

 

   $ 194,547,775  
* 

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

 

(a) 

Affiliated holdings. See below table for additional information on investments in affiliates during the fiscal period.

 

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 29, 2020 were as follows:

 

               

Investment In Affiliates

  Value at
8/31/2019
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/29/2020
    Dividend
Income
 

WisdomTree Floating Rate Treasury Fund

  $     $ 9,617,280     $ 814,831     $ 919     $ 15,817     $ 8,819,185     $ 48,279  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
WRITTEN PUT OPTION CONTRACTS (EXCHANGE-TRADED)  
Description   Number of
Contracts
    Notional
Amount1
    Strike
Price
    Expiration
Date
    Premiums Paid/
(Received)
    Unrealized
Depreciation
    Value  

S&P 500 Index

    (659   $ (220,106,000   $ 3,340       3/20/2020     $ (3,749,070   $ (21,688,330   $ (25,437,400
1

Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price.

 

See Notes to Financial Statements.

 

WisdomTree Trust      133  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

February 29, 2020

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 86.6%      
U.S. Treasury Bills – 86.6%      

1.55%, 3/12/20*(a)

   $ 3,448,000      $ 3,446,594  

1.56%, 3/19/20*

     115,640,000        115,562,443  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $118,998,118)

 

     119,009,037  
      Shares          
EXCHANGE-TRADED FUND – 4.7%

 

United States – 4.7%

 

WisdomTree Floating Rate Treasury Fund(b)

     
(Cost: $6,395,376)      255,254        6,404,323  

TOTAL INVESTMENTS IN SECURITIES – 91.3%

(Cost: $125,393,494)

 

 

     125,413,360  

Other Assets less Liabilities – 8.7%

 

     12,021,906  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 137,435,266  
* 

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

 

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $3,446,594 as of February 29, 2020.

 

(b) 

Affiliated holdings. See below table for additional information on investments in affiliates during the fiscal period.

 

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 29, 2020 were as follows:

 

               

Investment In Affiliates

  Value at
8/31/2019
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/29/2020
    Dividend
Income
 

WisdomTree Floating Rate Treasury Fund

  $     $ 8,963,588     $ 2,568,340     $ 128     $ 8,947     $ 6,404,323     $ 37,876  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
   

Amount and

Description of
Currency to be

Purchased

   

Amount and

Description of
Currency to

be Sold

    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of Montreal

    3/18/2020       5,853,000       JPY       54,267       USD     $ 40     $  

Bank of Montreal

    3/18/2020       13,823,000       JPY       127,737       USD       519        

Bank of Montreal

    3/18/2020       2,488,958       USD       269,369,000       JPY             (10,371

Canadian Imperial Bank of Commerce

    3/18/2020       88,268,000       JPY       817,738       USD       1,253        

Canadian Imperial Bank of Commerce

    3/18/2020       6,924,000       JPY       64,083       USD       161        

Canadian Imperial Bank of Commerce

    3/18/2020       20,512,000       JPY       188,419       USD       1,900        

Canadian Imperial Bank of Commerce

    3/18/2020       19,885,000       JPY       183,890       USD       612        

Canadian Imperial Bank of Commerce

    3/18/2020       15,435,000       JPY       140,832       USD       2,381        

Canadian Imperial Bank of Commerce

    3/18/2020       10,842,000       JPY       97,307       USD       3,290        

Canadian Imperial Bank of Commerce

    3/18/2020       19,920,000       JPY       181,345       USD       3,482        

Canadian Imperial Bank of Commerce

    3/18/2020       879,644,000       JPY       8,158,676       USD       3,066        

Canadian Imperial Bank of Commerce

    3/18/2020       6,364,106       USD       692,164,000       JPY             (58,110

Canadian Imperial Bank of Commerce

    3/18/2020       981,731       USD       106,133,000       JPY             (3,020

Canadian Imperial Bank of Commerce

    6/17/2020       8,194,245       USD       879,644,000       JPY             (4,161

Canadian Imperial Bank of Commerce

    6/17/2020       77,560       USD       8,326,000       JPY             (39

Goldman Sachs

    3/18/2020       7,541,000       JPY       69,297       USD       671        

Goldman Sachs

    3/18/2020       189,648       USD       20,981,000       JPY             (5,023
                                            $ 17,375     $ (80,724

 

See Notes to Financial Statements.

 

134   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

February 29, 2020

 

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

Australian Dollar Currency

    123       6/15/20     $ (8,036,820   $ (504

British Pound Currency

    67       6/15/20       (5,369,631     (364

Canadian Dollar Currency

    109       6/16/20       (8,131,945     342  

Copper

    85       5/27/20       (5,397,500     (33,100

Corn

    436       7/14/20       (8,120,500     381,112  

Cotton No. 2

    171       7/09/20       (5,324,085     (752

Euro Currency

    59       6/15/20       (8,181,825     (214

Live Cattle

    130       6/30/20       (5,262,400     494,950  

Soybean

    179       7/14/20       (8,068,425     (10,105

Swiss Franc Currency

    42       6/15/20       (5,474,175     10  
      $ (67,367,306   $ 831,375  
Long Exposure  

10 Year U.S. Treasury Note

    61       6/19/20     $ 8,219,750     $ 195,622  

Gold 100 Ounce

    49       6/26/20       7,701,820       (89,250

Silver

    61       7/29/20       5,040,125       (488,050

Sugar

    510       4/30/20       8,076,768       (121,330

U.S. Treasury Long Bond

    48       6/19/20       8,172,000       364,679  

Wheat

    307       7/14/20       8,077,937       (379,575
      $ 45,288,400     $ (517,904

Total – Net

 

  $ (22,078,906   $ 313,471  

 

See Notes to Financial Statements.

 

WisdomTree Trust      135  


Table of Contents

Statements of Assets and Liabilities (unaudited)

WisdomTree Trust

February 29, 2020

 

 

 

      WisdomTree
Bloomberg
U.S. Dollar
Bullish Fund
     WisdomTree
Chinese Yuan
Strategy Fund
     WisdomTree
Emerging
Currency
Strategy Fund
     WisdomTree
Emerging
Markets
Corporate
Bond Fund
     WisdomTree
Emerging
Markets Local
Debt Fund
 

ASSETS:

              

Investments, at cost

   $ 53,126,750      $ 16,070,592      $ 12,604,554      $ 38,762,814      $ 169,644,341  

Investment in affiliates, at cost (Note 3)

     1,455,768        1,169,777        793,239                

Repurchase agreements, at cost

            7,790,000        4,860,000               13,120,000  

Foreign currency, at cost

            61                      313,030  

Investments in securities, at value1,2 (Note 2)

     53,139,694        16,073,239        12,606,662        40,413,032        156,756,345  

Investment in affiliates, at value (Note 3)

     1,455,220        1,169,194        792,844                

Repurchase agreements, at value (Note 2)

            7,790,000        4,860,000               13,120,000  

Cash

     350,851        94,822        61,839        360,480        901,405  

Deposits at broker for futures contracts

                          38,286         

Foreign currency, at value

            60                      316,448  

Unrealized appreciation on foreign currency contracts

     713,787        98,974        1,665               90,998  

Receivables:

              

Investment securities sold

                                 3,490,867  

Dividends

                                 4,142  

Securities lending income

                          440        101  

Interest

            697        435        480,004        2,800,950  

Foreign tax reclaims

                                 81,756  

Total Assets

     55,659,552        25,226,986        18,323,445        41,292,242        177,563,012  

LIABILITIES:

              

Unrealized depreciation on foreign currency contracts

     290,238        25,761        576,328               483,580  

Payables:

              

Cash collateral received for securities loaned (Note 2)

                          4,252,403         

Investment securities purchased

     498,660                              

Advisory fees (Note 3)

     16,204        9,143        7,829        17,828        80,154  

Service fees (Note 2)

     145        91        64        130        641  

Net variation margin on futures contracts

                          27,062         

Foreign capital gains tax

                                 107,428  

Total Liabilities

     805,247        34,995        584,221        4,297,423        671,803  

NET ASSETS

   $ 54,854,305      $ 25,191,991      $ 17,739,224      $ 36,994,819      $ 176,891,209  

NET ASSETS:

              

Paid-in capital

   $ 63,189,002      $ 26,323,853      $ 65,363,524      $ 44,504,586      $ 223,537,248  

Total distributable earnings (loss)

     (8,334,697      (1,131,862      (47,624,300      (7,509,767      (46,646,039

NET ASSETS

   $ 54,854,305      $ 25,191,991      $ 17,739,224      $ 36,994,819      $ 176,891,209  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     2,000,000        1,000,000        1,000,000        500,000        5,200,000  

Net asset value per share

   $ 27.43      $ 25.19      $ 17.74      $ 73.99      $ 34.02  

1 Includes market value of securities out on loan of:

                        $ 4,778,883         

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

 

See Notes to Financial Statements.

 

136   WisdomTree Trust


Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Trust

February 29, 2020

 

 

 

      WisdomTree
Floating Rate
Treasury Fund
     WisdomTree
Interest Rate
Hedged
High Yield
Bond Fund
     WisdomTree
Interest Rate
Hedged
U.S. Aggregate
Bond Fund
     WisdomTree
Mortgage Plus
Bond Fund
     WisdomTree
Negative
Duration
High Yield
Bond Fund
 

ASSETS:

              

Investments, at cost

   $ 1,703,167,391      $ 226,739,564      $ 82,968,893      $ 20,032,067      $ 22,351,205  

Repurchase agreements, at cost

                   1,698,500                

Investments in securities, at value1,2 (Note 2)

     1,705,522,376        221,782,797        89,254,201        20,440,705        21,747,248  

Repurchase agreements, at value (Note 2)

                   1,698,500                

Cash

     19,327        4,001,537        196,805        20,610         

Deposits at broker for futures contracts

            437,777        618,476        1,317        237,470  

Receivables:

              

Investment securities sold

     133,897,164        962,354        5,374,842               99,188  

Capital shares sold

     12,549,117                              

Securities lending income

            11,508        407               1,089  

Interest

     2,486,319        3,452,701        472,031        59,357        345,939  

Foreign tax reclaims

            897                      134  

Total Assets

     1,854,474,303        230,649,571        97,615,262        20,521,989        22,431,068  

LIABILITIES:

              

Due to custodian

                                 78,881  

Payables:

              

Cash collateral received for securities loaned (Note 2)

            27,377,523        3,982,803               3,142,280  

Investment securities purchased

     146,439,756               7,172,550                

Advisory fees (Note 3)

     201,682        69,592        15,731        6,816        7,631  

Service fees (Note 2)

     5,915        712        301        67        70  

Net variation margin on futures contracts

            631,065        725,145        940        257,367  

Total Liabilities

     146,647,353        28,078,892        11,896,530        7,823        3,486,229  

NET ASSETS

   $ 1,707,826,950      $ 202,570,679      $ 85,718,732      $ 20,514,166      $ 18,944,839  

NET ASSETS:

              

Paid-in capital

   $ 1,706,778,210      $ 221,364,812      $ 88,976,448      $ 20,109,190      $ 27,796,840  

Total distributable earnings (loss)

     1,048,740        (18,794,133      (3,257,716      404,976        (8,852,001

NET ASSETS

   $ 1,707,826,950      $ 202,570,679      $ 85,718,732      $ 20,514,166      $ 18,944,839  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     68,050,000        9,000,000        1,800,000        400,002        1,100,000  

Net asset value per share

   $ 25.10      $ 22.51      $ 47.62      $ 51.29      $ 17.22  

1 Includes market value of securities out on loan of:

          $ 27,276,020      $ 3,906,215             $ 3,043,788  

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

 

See Notes to Financial Statements.

 

WisdomTree Trust      137  


Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Trust

February 29, 2020

 

 

 

      WisdomTree
Negative
Duration
U.S. Aggregate
Bond Fund
     WisdomTree
Yield Enhanced
Global Aggregate
Bond Fund
     WisdomTree
Yield Enhanced
U.S. Aggregate
Bond Fund
     WisdomTree
Yield Enhanced
U.S. Short-Term
Aggregate
Bond Fund
     WisdomTree
CBOE S&P 500
PutWrite
Strategy Fund
 

ASSETS:

              

Investments, at cost

   $ 19,122,399      $ 3,012,155      $ 1,208,951,282      $ 79,995,170      $ 203,338,791  

Investment in affiliates, at cost (Note 3)

            2,203,182                      8,803,368  

Repurchase agreements, at cost

     533,000               38,520,000                

Foreign currency, at cost

            9,244                       

Investments in securities, at value1,2 (Note 2)

     20,458,312        3,087,135        1,272,744,962        82,764,423        203,453,797  

Investment in affiliates, at value (Note 3)

            2,361,112                      8,819,185  

Repurchase agreements, at value (Note 2)

     533,000               38,520,000                

Cash

     40,569        7,780        6,476,031               7,782,846  

Deposits at broker for futures contracts

     290,258                              

Foreign currency, at value

            9,196                       

Unrealized appreciation on foreign currency contracts

            41,431                       

Receivables:

              

Investment securities sold

     342,026        189,747        24,817,922        1,529,385         

Capital shares sold

                   5,355,345                

Securities lending income

     126               1,339                

Interest

     108,956        24,247        8,366,036        584,210         

Foreign tax reclaims

            99                       

Total Assets

     21,773,247        5,720,747        1,356,281,635        84,878,018        220,055,828  

LIABILITIES:

              

Due to custodian

                          60,809         

Unrealized depreciation on foreign currency contracts

            571                       

Securities sold short, at value3

     261,184                              

Written options, at value4

                                 25,437,400  

Payables:

              

Cash collateral received for securities loaned (Note 2)

     1,159,060               13,023,825                

Investment securities purchased

     218,303        282,497        45,223,643        3,049,688         

Advisory fees (Note 3)

     4,509        620        116,234        7,672        69,943  

Service fees (Note 2)

     71        19        4,262        281        710  

Net variation margin on futures contracts

     314,349                              

Interest on securities sold short

     301                              

Total Liabilities

     1,957,777        283,707        58,367,964        3,118,450        25,508,053  

NET ASSETS

   $ 19,815,470      $ 5,437,040      $ 1,297,913,671      $ 81,759,568      $ 194,547,775  

NET ASSETS:

              

Paid-in capital

   $ 25,565,334      $ 5,149,153      $ 1,229,863,871      $ 78,732,580      $ 218,152,802  

Total distributable earnings (loss)

     (5,749,864      287,887        68,049,800        3,026,988        (23,605,027

NET ASSETS

   $ 19,815,470      $ 5,437,040      $ 1,297,913,671      $ 81,759,568      $ 194,547,775  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     500,000        200,000        24,100,000        1,600,000        7,450,000  

Net asset value per share

   $ 39.63      $ 27.19      $ 53.86      $ 51.10      $ 26.11  

1 Includes market value of securities out on loan of:

   $ 1,160,369             $ 13,861,817                

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

3 Proceeds received on securities sold short:

   $ 258,266                              

4 Premiums received on written options:

                               $ 3,749,070  

 

See Notes to Financial Statements.

 

138   WisdomTree Trust


Table of Contents

Statements of Assets and Liabilities (unaudited) (concluded)

WisdomTree Trust

February 29, 2020

 

 

 

      WisdomTree
Managed
Futures
Strategy Fund

(consolidated)
 

ASSETS:

  

Investments, at cost

   $ 118,998,118  

Investment in affiliates, at cost (Note 3)

     6,395,376  

Investments in securities, at value

     119,009,037  

Investment in affiliates, at value (Note 3)

     6,404,323  

Cash

     14,335,442  

Unrealized appreciation on foreign currency contracts

     17,375  

Total Assets

     139,766,177  

LIABILITIES:

  

Unrealized depreciation on foreign currency contracts

     80,724  

Payables:

  

Capital shares redeemed

     1,791,765  

Advisory fees (Note 3)

     71,466  

Service fees (Note 2)

     489  

Net variation margin on futures contracts

     386,467  

Total Liabilities

     2,330,911  

NET ASSETS

   $ 137,435,266  

NET ASSETS:

  

Paid-in capital

   $ 159,546,666  

Total distributable earnings (loss)

     (22,111,400

NET ASSETS

   $ 137,435,266  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     3,850,000  

Net asset value per share

   $ 35.70  

 

See Notes to Financial Statements.

 

WisdomTree Trust      139  


Table of Contents

Statements of Operations (unaudited)

WisdomTree Trust

For the Six Months Ended February 29, 2020

 

 

 

      WisdomTree
Bloomberg
U.S. Dollar
Bullish Fund
     WisdomTree
Chinese Yuan
Strategy
Fund
     WisdomTree
Emerging
Currency
Strategy Fund
     WisdomTree
Emerging
Markets
Corporate
Bond Fund
    

WisdomTree
Emerging

Markets Local
Debt Fund

 

INVESTMENT INCOME:

              

Dividends from affiliates (Note 3)

   $ 14,484      $ 10,224      $ 6,933      $      $  

Interest1

     334,090        215,808        162,623        846,571        5,601,765  

Securities lending income (Note 2)

                          3,282        101  

Total investment income

     348,574        226,032        169,556        849,853        5,601,866  

EXPENSES:

              

Advisory fees (Note 3)

     100,821        59,131        53,428        110,067        524,402  

Service fees (Note 2)

     887        579        428        807        4,196  

Total expenses

     101,708        59,710        53,856        110,874        528,598  

Expense waivers (Note 3)

     (1,231      (872      (591              

Net expenses

     100,477        58,838        53,265        110,874        528,598  

Net investment income

     248,097        167,194        116,291        738,979        5,073,268  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions2

     670        (6      (3      367,453        (10,780,001

Investment transactions in affiliates (Note 3)

     (778                            

In-kind redemptions

                                 (1,150,160

Futures contracts

                          (6,577       

Foreign currency contracts

     (304,660      (255,184      (272,559             464,801  

Foreign currency related transactions

     1                             (248,802

Net realized gain (loss)

     (304,767      (255,190      (272,562      360,876        (11,714,162

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions3

     6,221        (209      (193      337,064        10,415,086  

Investment transactions in affiliates (Note 3)

     2,460        1,398        948                

Futures contracts

                          (49,964       

Foreign currency contracts

     144,163        1,021,680        110,187               (364,234

Translation of assets and liabilities denominated in foreign currencies

            1                      162,319  

Net increase in unrealized appreciation/depreciation

     152,844        1,022,870        110,942        287,100        10,213,171  

Net realized and unrealized gain (loss) on investments

     (151,923      767,680        (161,620      647,976        (1,500,991

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 96,174      $ 934,874      $ (45,329    $ 1,386,955      $ 3,572,277  

1 Net of foreign withholding tax of:

                        $ 93      $ 131,571  

2 Net of foreign capital gains tax of:

                               $ 5,897  

3 Includes net increase (decrease) in accrued foreign capital gain taxes of:

                               $ 18,767  

 

See Notes to Financial Statements.

 

140   WisdomTree Trust


Table of Contents

Statements of Operations (unaudited) (continued)

WisdomTree Trust

For the Six Months or Period Ended February 29, 2020

 

 

 

      WisdomTree
Floating Rate
Treasury Fund
     WisdomTree
Interest Rate
Hedged
High Yield
Bond Fund
     WisdomTree
Interest Rate
Hedged
U.S. Aggregate
Bond Fund
     WisdomTree
Mortgage Plus
Bond Fund1
     WisdomTree
Negative
Duration
High Yield
Bond Fund
 

INVESTMENT INCOME:

              

Interest

   $ 15,585,586      $ 6,655,622      $ 1,190,652      $ 105,287      $ 685,046  

Securities lending income (Note 2)

            78,487        2,713               9,775  

Total investment income

     15,585,586        6,734,109        1,193,365        105,287        694,821  

EXPENSES:

              

Advisory fees (Note 3)

     1,284,540        486,359        95,563        17,965        58,496  

Service fees (Note 2)

     37,680        4,977        1,828        176        536  

Total expenses

     1,322,220        491,336        97,391        18,141        59,032  

Net investment income

     14,263,366        6,242,773        1,095,974        87,146        635,789  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     (109,059      (655,932      202,050        2,241        (81,069

In-kind redemptions

     148,464        121,104                      (10,863

Futures contracts

            (82,284      (782,630      2,057        29,055  

Net realized gain (loss)

     39,405        (617,112      (580,580      4,298        (62,877

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions

     3,613,088        (3,774,494      1,522,822        408,638        (469,213

Futures contracts

            (946,567      (1,066,145      (1,405      (407,146

Net increase (decrease) in unrealized appreciation/depreciation

     3,613,088        (4,721,061      456,677        407,233        (876,359

Net realized and unrealized gain (loss) on investments

     3,652,493        (5,338,173      (123,903      411,531        (939,236

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 17,915,859      $ 904,600      $ 972,071      $ 498,677      $ (303,447

1 For the period November 14, 2019 (commencement of operations) through February 29, 2020.

  

 

See Notes to Financial Statements.

 

WisdomTree Trust      141  


Table of Contents

Statements of Operations (unaudited) (continued)

WisdomTree Trust

For the Six Months Ended February 29, 2020

 

 

 

      WisdomTree
Negative
Duration
U.S. Aggregate
Bond Fund
     WisdomTree
Yield Enhanced
Global Aggregate
Bond Fund
     WisdomTree
Yield Enhanced
U.S. Aggregate
Bond Fund
     WisdomTree
Yield Enhanced
U.S. Short-Term
Aggregate
Bond Fund
     WisdomTree
CBOE S&P 500
PutWrite
Strategy Fund
 

INVESTMENT INCOME:

              

Dividends from affiliates (Note 3)

   $      $ 23,787      $      $      $ 48,279  

Interest

     304,704        9,728        15,052,896        1,176,729        1,674,954  

Securities lending income (Note 2)

     796               17,628                

Total investment income

     305,500        33,515        15,070,524        1,176,729        1,723,233  

EXPENSES:

              

Advisory fees (Note 3)

     30,422        3,431        1,026,665        83,052        457,828  

Service fees (Note 2)

     478        76        22,586        1,827        4,578  

Total expenses

     30,900        3,507        1,049,251        84,879        462,406  

Expense waivers (Note 3)

            (923      (410,666      (33,221      (46,931

Net expenses

     30,900        2,584        638,585        51,658        415,475  

Net investment income

     274,600        30,931        14,431,939        1,125,071        1,307,758  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     169,542        30,565        6,421,153        118,613        (9,066

Investment transactions in affiliates (Note 3)

            9,666                      919  

In-kind redemptions

     317,528               1,233,107        179,998         

Futures contracts

     (119,571                            

Written options

                                 15,864,284  

Securities sold short

     (1,466                            

Foreign currency contracts

            (291                     

Foreign currency related transactions

            1                       

Net realized gain

     366,033        39,941        7,654,260        298,611        15,856,137  

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions

     (165,181      (12,283      20,868,912        489,884        106,924  

Investment transactions in affiliates (Note 3)

            48,607                      15,817  

Futures contracts

     (495,397                            

Written options

                                 (23,698,389

Securities sold short

     (1,292                            

Foreign currency contracts

            25,321                       

Translation of assets and liabilities denominated in foreign currencies

            (21                     

Net increase (decrease) in unrealized appreciation/depreciation

     (661,870      61,624        20,868,912        489,884        (23,575,648

Net realized and unrealized gain (loss) on investments

     (295,837      101,565        28,523,172        788,495        (7,719,511

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (21,237    $ 132,496      $ 42,955,111      $ 1,913,566      $ (6,411,753

 

See Notes to Financial Statements.

 

142   WisdomTree Trust


Table of Contents

Statements of Operations (unaudited) (concluded)

WisdomTree Trust

For the Six Months Ended February 29, 2020

 

 

 

      WisdomTree
Managed
Futures
Strategy Fund

(consolidated)
 

INVESTMENT INCOME:

 

Dividends from affiliates (Note 3)

   $ 37,876  

Interest

     1,424,378  

Total investment income

     1,462,254  

EXPENSES:

 

Advisory fees (Note 3)

     659,994  

Service fees (Note 2)

     3,872  

Total expenses

     663,866  

Expense waivers (Note 3)

     (91,667

Net expenses

     572,199  

Net investment income

     890,055  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

 

Net realized gain (loss) from:

 

Investment transactions

     16,093  

Investment transactions in affiliates (Note 3)

     128  

Futures contracts

     (6,505,744

Foreign currency contracts

     (628,229

Foreign currency related transactions

     1  

Net realized loss

     (7,117,751

Net increase (decrease) in unrealized appreciation/depreciation:

 

Investment transactions

     (31,362

Investment transactions in affiliates (Note 3)

     8,947  

Futures contracts

     (7,153,519

Foreign currency contracts

     179,312  

Net decrease in unrealized appreciation/depreciation

     (6,996,622

Net realized and unrealized loss on investments

     (14,114,373

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (13,224,318

 

See Notes to Financial Statements.

 

WisdomTree Trust      143  


Table of Contents

Statements of Changes in Net Assets

WisdomTree Trust

 

 

 

 

     WisdomTree Bloomberg
U.S. Dollar Bullish Fund
    WisdomTree Chinese
Yuan Strategy Fund
    WisdomTree Emerging
Currency Strategy Fund
 
     For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

  $ 248,097     $ 1,101,680     $ 167,194     $ 535,885     $ 116,291     $ 352,935  

Net realized gain (loss) on investments, foreign currency contracts and foreign currency related transactions

    (304,767     2,710,118       (255,190     (973,508     (272,562     (423,264

Net increase (decrease) in unrealized appreciation/depreciation on investments, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    152,844       (413,060     1,022,870       121,377       110,942       680,877  

Net increase (decrease) in net assets resulting from operations

    96,174       3,398,738       934,874       (316,246     (45,329     610,548  

DISTRIBUTIONS TO SHAREHOLDERS:

 

Distributable earnings

    (1,101,951     (740,869     (535,878     (348,348     (352,930     (371,701

CAPITAL SHARE TRANSACTIONS:

 

Net proceeds from sale of shares

    23,285,813       17,885,528                         3,756,468  

Cost of shares redeemed

    (12,399,511     (66,454,058     (1,251,076     (5,152,775     (1,871,545     (12,732,023

Net increase (decrease) in net assets resulting from capital share transactions

    10,886,302       (48,568,530     (1,251,076     (5,152,775     (1,871,545     (8,975,555

Net Increase (Decrease) in Net Assets

    9,880,525       (45,910,661     (852,080     (5,817,369     (2,269,804     (8,736,708

NET ASSETS:

 

Beginning of period

  $ 44,973,780     $ 90,884,441     $ 26,044,071     $ 31,861,440     $ 20,009,028     $ 28,745,736  

End of period

  $ 54,854,305     $ 44,973,780     $ 25,191,991     $ 26,044,071     $ 17,739,224     $ 20,009,028  

SHARES CREATED AND REDEEMED:

 

Shares outstanding, beginning of period

    1,600,000       3,400,000       1,050,000       1,250,000       1,100,000       1,600,000  

Shares created

    850,000       650,000                         200,000  

Shares redeemed

    (450,000     (2,450,000     (50,000     (200,000     (100,000     (700,000

Shares outstanding, end of period

    2,000,000       1,600,000       1,000,000       1,050,000       1,000,000       1,100,000  

 

See Notes to Financial Statements.

 

144   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

     WisdomTree Emerging Markets
Corporate Bond Fund
    WisdomTree Emerging Markets
Local Debt Fund
    WisdomTree Floating Rate
Treasury Fund
 
     For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

  $ 738,979     $ 1,664,290     $ 5,073,268     $ 10,784,666     $ 14,263,366     $ 38,502,995  

Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions

    360,876       (604,838     (11,714,162     (17,462,838     39,405       (1,663,637

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    287,100       2,927,807       10,213,171       26,516,506       3,613,088       (1,293,067

Net increase in net assets resulting from operations

    1,386,955       3,987,259       3,572,277       19,838,334       17,915,859       35,546,291  

DISTRIBUTIONS TO SHAREHOLDERS:

 

Distributable earnings

    (754,000     (1,662,000     (4,756,000     (4,473,616     (15,030,362     (37,766,900

Tax return of capital

                      (5,422,384            

Total distributions to shareholders

    (754,000     (1,662,000     (4,756,000     (9,896,000     (15,030,362     (37,766,900

CAPITAL SHARE TRANSACTIONS:

 

Net proceeds from sale of shares

                      53,828,320       238,144,057       2,556,559,282  

Cost of shares redeemed

          (7,113,818     (17,708,017     (40,070,641     (185,563,982     (1,174,021,291

Net increase (decrease) in net assets resulting from capital share transactions

          (7,113,818     (17,708,017     13,757,679       52,580,075       1,382,537,991  

Net Increase (Decrease) in Net Assets

    632,955       (4,788,559     (18,891,740     23,700,013       55,465,572       1,380,317,382  

NET ASSETS:

 

Beginning of period

  $ 36,361,864     $ 41,150,423     $ 195,782,949     $ 172,082,936     $ 1,652,361,378     $ 272,043,996  

End of period

  $ 36,994,819     $ 36,361,864     $ 176,891,209     $ 195,782,949     $ 1,707,826,950     $ 1,652,361,378  

SHARES CREATED AND REDEEMED:

 

Shares outstanding, beginning of period

    500,000       600,000       5,700,000       5,300,000       65,950,000       10,850,000  

Shares created

                      1,600,000       9,500,000       101,900,000  

Shares redeemed

          (100,000     (500,000     (1,200,000     (7,400,000     (46,800,000

Shares outstanding, end of period

    500,000       500,000       5,200,000       5,700,000       68,050,000       65,950,000  

 

See Notes to Financial Statements.

 

WisdomTree Trust      145  


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

      WisdomTree Interest Rate Hedged
High Yield Bond Fund
     WisdomTree Interest Rate Hedged
U.S. Aggregate Bond Fund
     WisdomTree
Mortgage
Plus Bond Fund
 
      For the Six
Months Ended
February 29, 2020
(unaudited)
     For the
Year Ended
August 31, 2019
     For the Six
Months Ended
February 29, 2020
(unaudited)
     For the
Year Ended
August 31, 2019
     For the Period
November 14, 2019*
through
February 29, 2020
(unaudited)
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

   $ 6,242,773      $ 14,605,553      $ 1,095,974      $ 2,120,745      $ 87,146  

Net realized gain (loss) on investments and futures contracts

     (617,112      (12,391,990      (580,580      (5,366,610      4,298  

Net increase (decrease) in unrealized appreciation/depreciation on investments and futures contracts

     (4,721,061      (475,899      456,677        5,398,184        407,233  

Net increase in net assets resulting from operations

     904,600        1,737,664        972,071        2,152,319        498,677  

DISTRIBUTIONS TO SHAREHOLDERS:

 

Distributable earnings

     (6,327,350      (15,068,128      (1,163,240      (2,155,448      (93,701

CAPITAL SHARE TRANSACTIONS:

 

Net proceeds from sale of shares

     6,894,337        82,954,300        9,572,787        28,501,336        20,109,090  

Cost of shares redeemed

     (46,366,411      (84,490,516             (4,767,532       

Net increase (decrease) in net assets resulting from capital share transactions

     (39,472,074      (1,536,216      9,572,787        23,733,804        20,109,090  

Net Increase (Decrease) in Net Assets

     (44,894,824      (14,866,680      9,381,618        23,730,675        20,514,066  

NET ASSETS:

 

Beginning of period

   $ 247,465,503      $ 262,332,183      $ 76,337,114      $ 52,606,439      $ 100  

End of period

   $ 202,570,679      $ 247,465,503      $ 85,718,732      $ 76,337,114      $ 20,514,166  

SHARES CREATED AND REDEEMED:

 

Shares outstanding, beginning of period

     10,700,000        10,900,000        1,600,000        1,100,000        2  

Shares created

     300,000        3,500,000        200,000        600,000        400,000  

Shares redeemed

     (2,000,000      (3,700,000             (100,000       

Shares outstanding, end of period

     9,000,000        10,700,000        1,800,000        1,600,000        400,002  
*

Commencement of operations.

 

See Notes to Financial Statements.

 

146   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

     WisdomTree Negative Duration
High Yield Bond Fund
    WisdomTree Negative Duration
U.S. Aggregate Bond Fund
    WisdomTree Yield Enhanced
Global Aggregate Bond Fund
 
     For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
   

For the Six

Months Ended
February 29, 2020
(unaudited)

    For the
Year Ended
August 31, 2019
    For the Six
Months Ended
February 29, 2020
(unaudited)
    For the Period
December 13, 2018*
through
August 31, 2019
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

  $ 635,789     $ 2,731,181     $ 274,600     $ 852,119     $ 30,931     $ 43,397  

Net realized gain (loss) on investments, futures contracts, securities sold short, foreign currency contracts and foreign currency related transactions

    (62,877     (6,542,863     366,033       (4,201,704     39,941       68,808  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, securities sold short, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (876,359     56,853       (661,870     1,987,817       61,624       211,869  

Net increase (decrease) in net assets resulting from operations

    (303,447     (3,754,829     (21,237     (1,361,768     132,496       324,074  

DISTRIBUTIONS TO SHAREHOLDERS:

 

Distributable earnings

    (645,500     (2,758,596     (295,400     (902,450     (125,322     (43,361

CAPITAL SHARE TRANSACTIONS:

 

Net proceeds from sale of shares

          18,775,214       4,114,296       13,207,707       2,649,158       2,500,000  

Cost of shares redeemed

    (13,096,941     (36,293,179     (8,229,361     (17,063,055           (105

Net increase (decrease) in net assets resulting from capital share transactions

    (13,096,941     (17,517,965     (4,115,065     (3,855,348     2,649,158       2,499,895  

Net Increase (Decrease) in Net Assets

    (14,045,888     (24,031,390     (4,431,702     (6,119,566     2,656,332       2,780,608  

NET ASSETS:

 

Beginning of period

  $ 32,990,727     $ 57,022,117     $ 24,247,172     $ 30,366,738     $ 2,780,708     $ 100  

End of period

  $ 18,944,839     $ 32,990,727     $ 19,815,470     $ 24,247,172     $ 5,437,040     $ 2,780,708  

SHARES CREATED AND REDEEMED:

 

Shares outstanding, beginning of period

    1,800,000       2,700,000       600,000       700,000       100,000       4  

Shares created

          900,000       100,000       300,000       100,000       100,000  

Shares redeemed

    (700,000     (1,800,000     (200,000     (400,000           (4

Shares outstanding, end of period

    1,100,000       1,800,000       500,000       600,000       200,000       100,000  
*

Commencement of operations.

 

See Notes to Financial Statements.

 

WisdomTree Trust      147  


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

     WisdomTree Yield Enhanced
U.S. Aggregate Bond Fund
    WisdomTree Yield Enhanced
U.S. Short-Term
Aggregate Bond Fund
    WisdomTree CBOE S&P 500
PutWrite Strategy Fund
 
     For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the Six
Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

  $ 14,431,939     $ 17,117,128     $ 1,125,071     $ 1,707,559     $ 1,307,758     $ 4,151,819  

Net realized gain (loss) on investments and written options

    7,654,260       (134,829     298,611       (108,977     15,856,137       (17,495,534

Net increase (decrease) in unrealized appreciation/depreciation on investments and written options

    20,868,912       52,480,153       489,884       2,647,541       (23,575,648     273,411  

Net increase (decrease) in net assets resulting from operations

    42,955,111       69,462,452       1,913,566       4,246,123       (6,411,753     (13,070,304

DISTRIBUTIONS TO SHAREHOLDERS:

 

Distributable earnings

    (15,454,200     (17,594,752     (1,149,100     (1,700,000     (3,011,616     (13,395,542

CAPITAL SHARE TRANSACTIONS:

 

Net proceeds from sale of shares

    447,698,503       463,132,846       5,075,318       64,023,477       15,316,409       79,579,882  

Cost of shares redeemed

    (57,478,714     (53,469,693     (15,131,980     (14,621,599     (22,695,461     (80,198,284

Net increase (decrease) in net assets resulting from capital share transactions

    390,219,789       409,663,153       (10,056,662     49,401,878       (7,379,052     (618,402

Net Increase (Decrease) in Net Assets

    417,720,700       461,530,853       (9,292,196     51,948,001       (16,802,421     (27,084,248

NET ASSETS:

 

Beginning of period

  $ 880,192,971     $ 418,662,118     $ 91,051,764     $ 39,103,763     $ 211,350,196     $ 238,434,444  

End of period

  $ 1,297,913,671     $ 880,192,971     $ 81,759,568     $ 91,051,764     $ 194,547,775     $ 211,350,196  

SHARES CREATED AND REDEEMED:

 

Shares outstanding, beginning of period

    16,700,000       8,600,000       1,800,000       800,000       7,700,000       7,800,000  

Shares created

    8,500,000       9,200,000       100,000       1,300,000       550,000       2,900,000  

Shares redeemed

    (1,100,000     (1,100,000     (300,000     (300,000     (800,000     (3,000,000

Shares outstanding, end of period

    24,100,000       16,700,000       1,600,000       1,800,000       7,450,000       7,700,000  

 

See Notes to Financial Statements.

 

148   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (concluded)

WisdomTree Trust

 

 

 

 

     

WisdomTree
Managed Futures Strategy Fund

(consolidated)

 
      For the Six
Months Ended
February 29, 2020
(unaudited)
     For the
Year Ended
August 31, 2019
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

   $ 890,055      $ 3,051,135  

Net realized loss on investments, futures contracts and foreign currency contracts

     (7,117,751      (9,017,131

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and foreign currency contracts

     (6,996,622      5,254,038  

Net decrease in net assets resulting from operations

     (13,224,318      (711,958

DISTRIBUTIONS TO SHAREHOLDERS:

 

Distributable earnings

     (2,475,949      (9,119,434

CAPITAL SHARE TRANSACTIONS:

 

Net proceeds from sale of shares

     1,804,584        147,370,468  

Cost of shares redeemed

     (65,543,621      (80,914,698

Net increase (decrease) in net assets resulting from capital share transactions

     (63,739,037      66,455,770  

Net Increase (Decrease) in Net Assets

     (79,439,304      56,624,378  

NET ASSETS:

 

Beginning of period

   $ 216,874,570      $ 160,250,192  

End of period

   $ 137,435,266      $ 216,874,570  

SHARES CREATED AND REDEEMED:

 

Shares outstanding, beginning of period

     5,550,000        3,950,000  

Shares created

     50,000        3,700,000  

Shares redeemed

     (1,750,000      (2,100,000

Shares outstanding, end of period

     3,850,000        5,550,000  

 

See Notes to Financial Statements.

 

WisdomTree Trust      149  


Table of Contents

Financial Highlights

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Bloomberg
U.S. Dollar Bullish Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 28.11     $ 26.73     $ 25.64     $ 26.34     $ 28.63     $ 25.11  

Investment operations:

 

Net investment income (loss)1

    0.17       0.47       0.21       0.00 2      (0.10     (0.13

Net realized and unrealized gain (loss)

    (0.03     1.15       0.88 3      (0.70     (0.42 )3      4.08  

Total from investment operations

    0.14       1.62       1.09       (0.70     (0.52     3.95  

Dividends and distributions to shareholders:

 

Net investment income

    (0.82     (0.24                        

Capital gains

                            (1.77     (0.43

Total dividends and distributions to shareholders

    (0.82     (0.24                 (1.77     (0.43

Net asset value, end of period

  $ 27.43     $ 28.11     $ 26.73     $ 25.64     $ 26.34     $ 28.63  

TOTAL RETURN4

    0.53     6.09     4.25 %5      (2.66 )%      (2.05 )%6      15.83

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 54,854     $ 44,974     $ 90,884     $ 138,462     $ 237,059     $ 340,684  

Ratios to average net assets of:

 

Expenses

    0.50 %7,8,9      0.50 %8,9      0.50 %8,9      0.50     0.50     0.50

Net investment income (loss)

    1.23 %7,9      1.71 %9      0.83 %9      0.00 %10      (0.35 )%      (0.48 )% 

Portfolio turnover rate11

    0     23     0     0     0     0

 

WisdomTree Chinese Yuan
Strategy Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 24.80     $ 25.49     $ 25.54     $ 24.42     $ 24.67     $ 25.35  

Investment operations:

 

Net investment income1

    0.16       0.47       0.24       0.02       0.06       0.06  

Net realized and unrealized gain (loss)

    0.74       (0.87     (0.29     1.10       (0.31     (0.64

Total from investment operations

    0.90       (0.40     (0.05     1.12       (0.25     (0.58

Dividends and distributions to shareholders:

 

Net investment income

    (0.51     (0.29                        

Capital gains

                                  (0.10

Total dividends and distributions to shareholders

    (0.51     (0.29                       (0.10

Net asset value, end of period

  $ 25.19     $ 24.80     $ 25.49     $ 25.54     $ 24.42     $ 24.67  

TOTAL RETURN4

    3.65     (1.59 )%      (0.20 )%      4.59     (1.01 )%      (2.30 )% 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 25,192     $ 26,044     $ 31,861     $ 38,312     $ 48,843     $ 88,827  

Ratios to average net assets of:

 

Expenses

    0.45 %7,8,9      0.45 %8,9      0.45 %8,9      0.45     0.45     0.45

Net investment income

    1.27 %7,9      1.82 %9      0.92 %9      0.09     0.26     0.24

Portfolio turnover rate11

    0     0     0     0     0     0
1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Includes a voluntary reimbursement from the sub-advisor of less than $0.01 per share and $0.01 per share for investment losses on certain foreign exchange transactions during the fiscal years ended August 31, 2018 and 2016, respectively.

 

4 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

5 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged.

 

6 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.04% lower.

 

7 

Annualized.

 

8 

The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged.

 

9 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

10 

Amount represents less than 0.005%.

 

11 

Portfolio turnover rate is not annualized. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

150   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Emerging
Currency Strategy Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 18.19     $ 17.97     $ 19.14     $ 17.97     $ 17.01     $ 20.43  

Investment operations:

           

Net investment income (loss)1

    0.11       0.31       0.16       0.00 2      (0.07     (0.10

Net realized and unrealized gain (loss)

    (0.21     0.25       (1.33     1.17       1.03       (3.32

Total from investment operations

    (0.10     0.56       (1.17     1.17       0.96       (3.42

Dividends to shareholders:

           

Net investment income

    (0.35     (0.34                        

Net asset value, end of period

  $ 17.74     $ 18.19     $ 17.97     $ 19.14     $ 17.97     $ 17.01  

TOTAL RETURN3

    (0.61 )%      3.12     (6.11 )%      6.51     5.64     (16.74 )% 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 17,739     $ 20,009     $ 28,746     $ 49,755     $ 43,130     $ 52,719  

Ratios to average net assets of:

           

Expenses

    0.55 %4,5,6      0.55 %5,6      0.55 %5,6      0.55     0.55     0.55

Net investment income (loss)

    1.20 %4,6      1.68 %6      0.82 %6      0.01     (0.41 )%      (0.52 )% 

Portfolio turnover rate7

    0     0     0     0     0     0

 

             
WisdomTree Emerging Markets
Corporate Bond Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 72.72     $ 68.58     $ 72.91     $ 71.93     $ 69.13     $ 77.82  

Investment operations:

 

Net investment income1

    1.48       3.00       2.84       2.87       2.97       3.51  

Net realized and unrealized gain (loss)

    1.30       4.17       (4.30     0.98       2.82       (8.61

Total from investment operations

    2.78       7.17       (1.46     3.85       5.79       (5.10

Dividends and distributions to shareholders:

 

Net investment income

    (1.51     (3.03     (2.87     (2.87     (2.99     (3.56

Tax return of capital

                                  (0.03

Total dividends and distributions to shareholders

    (1.51     (3.03     (2.87     (2.87     (2.99     (3.59

Net asset value, end of period

  $ 73.99     $ 72.72     $ 68.58     $ 72.91     $ 71.93     $ 69.13  

TOTAL RETURN3

    3.84     10.69     (2.08 )%      5.51     8.71     (6.69 )% 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 36,995     $ 36,362     $ 41,150     $ 51,035     $ 57,543     $ 82,956  

Ratios to average net assets of:

 

Expenses

    0.60 %4      0.60     0.60     0.60     0.60     0.60

Net investment income

    4.03 %4      4.26     3.96     4.03     4.35     4.79

Portfolio turnover rate7

    24     54     132     36     21     25
1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Emerging Currency Strategy Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Annualized.

 

5 

The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged.

 

6 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

7 

Portfolio turnover rate is not annualized. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

WisdomTree Trust      151  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Emerging Markets
Local Debt Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 34.35     $ 32.47     $ 38.92     $ 37.59     $ 35.77     $ 47.13  

Investment operations:

 

Net investment income1

    0.93       1.96       2.15       2.07       2.00       2.17  

Net realized and unrealized gain (loss)

    (0.38     1.72       (6.48     1.00       1.57       (11.46

Total from investment operations

    0.55       3.68       (4.33     3.07       3.57       (9.29

Dividends and distributions to shareholders:

 

Net investment income

    (0.88     (0.82     (2.06     (0.82     (0.59     (1.95

Tax return of capital

          (0.98     (0.06     (0.92     (1.16     (0.12

Total dividends and distributions to shareholders

    (0.88     (1.80     (2.12     (1.74     (1.75     (2.07

Net asset value, end of period

  $ 34.02     $ 34.35     $ 32.47     $ 38.92     $ 37.59     $ 35.77  

TOTAL RETURN2

    1.54     11.54     (11.66 )%      8.46     10.34     (20.19 )% 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 176,891     $ 195,783     $ 172,083     $ 256,851     $ 327,034     $ 479,267  

Ratios to average net assets of:

 

Expenses

    0.55 %3      0.55     0.55     0.55     0.55     0.55

Net investment income

    5.32 %3      5.77     5.71     5.51     5.59     5.22

Portfolio turnover rate4

    16     27     44     39     46     22

 

             
WisdomTree Floating Rate
Treasury Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 25.05     $ 25.07     $ 25.07     $ 25.03     $ 24.99     $ 24.99  

Investment operations:

 

Net investment income (loss)1

    0.21       0.56       0.45       0.17       0.05       (0.01

Net realized and unrealized gain (loss)

    0.06       (0.05     (0.07     0.04       0.02       0.01  

Total from investment operations

    0.27       0.51       0.38       0.21       0.07       (0.00 )5 

Dividends and distributions to shareholders:

 

Net investment income

    (0.22     (0.53     (0.35     (0.17     (0.03      

Capital gains

                (0.03                  

Total dividends and distributions to shareholders

    (0.22     (0.53     (0.38     (0.17     (0.03      

Net asset value, end of period

  $ 25.10     $ 25.05     $ 25.07     $ 25.07     $ 25.03     $ 24.99  

TOTAL RETURN2

    1.08     2.06     1.53     0.85     0.28     0.00

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 1,707,827     $ 1,652,361     $ 272,044     $ 1,254     $ 1,251     $ 1,250  

Ratios to average net assets of:

 

Expenses, net of expense waivers

    0.15 %3      0.15     0.15     0.15     0.15     0.15

Expenses, prior to expense waivers

    0.15 %3      0.15     0.17     0.20     0.20     0.20

Net investment income (loss)

    1.67 %3      2.22     1.83     0.68     0.20     (0.06 )% 

Portfolio turnover rate4

    80     170     170     160     157     118
1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Floating Rate Treasury Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5 

Amount represents less than $0.005.

 

See Notes to Financial Statements.

 

152   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Interest Rate Hedged
High Yield Bond Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 23.13     $ 24.07     $ 23.91     $ 23.39     $ 23.18     $ 24.86  

Investment operations:

 

Net investment income1

    0.64       1.30       1.23       1.24       1.10       0.90  

Net realized and unrealized gain (loss)

    (0.61     (0.91     0.10       0.53       0.20       (1.67

Total from investment operations

    0.03       0.39       1.33       1.77       1.30       (0.77

Dividends and distributions to shareholders:

 

Net investment income

    (0.65     (1.30     (1.17     (1.25     (1.09     (0.91

Capital gains

          (0.03                        

Total dividends and distributions to shareholders

    (0.65     (1.33     (1.17     (1.25     (1.09     (0.91

Net asset value, end of period

  $ 22.51     $ 23.13     $ 24.07     $ 23.91     $ 23.39     $ 23.18  

TOTAL RETURN2

    0.09     1.68     5.68     7.73     5.92     (3.15 )% 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 202,571     $ 247,466     $ 262,332     $ 54,997     $ 14,037     $ 20,859  

Ratios to average net assets of:

 

Expenses

    0.43 %3      0.43     0.43     0.43     0.43     0.43

Net investment income

    5.52 %3      5.52     5.14     5.19     4.90     3.75

Portfolio turnover rate4

    26     61     60     57     44     55

 

             
WisdomTree Interest Rate Hedged
U.S. Aggregate Bond Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 47.71     $ 47.82     $ 47.89     $ 48.01     $ 48.21     $ 49.78  

Investment operations:

 

Net investment income1

    0.63       1.36       1.18       0.95       0.77       0.68  

Net realized and unrealized loss

    (0.06     (0.10     (0.07     (0.03     (0.13     (1.50

Total from investment operations

    0.57       1.26       1.11       0.92       0.64       (0.82

Dividends and distributions to shareholders:

 

Net investment income

    (0.66     (1.37     (1.18     (1.04     (0.84     (0.75

Tax return of capital

                                  (0.00 )5 

Total dividends and distributions to shareholders

    (0.66     (1.37     (1.18     (1.04     (0.84     (0.75

Net asset value, end of period

  $ 47.62     $ 47.71     $ 47.82     $ 47.89     $ 48.01     $ 48.21  

TOTAL RETURN2

    1.19     2.69     2.35     1.93     1.35     (1.66 )% 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 85,719     $ 76,337     $ 52,606     $ 23,945     $ 24,005     $ 28,923  

Ratios to average net assets of:

 

Expenses

    0.23 %3      0.23     0.23     0.23     0.23     0.23

Net investment income

    2.64 %3      2.86     2.46     1.99     1.60     1.39

Portfolio turnover rate4,6

    24     39     81     187     226     359
1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5 

Amount represents less than $0.005.

 

6 

The portfolio turnover rates excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018, August 31, 2017, August 31, 2016 and August 31, 2015 were 16%, 12%, 28%, 45%, 33% and 95%, respectively.

 

See Notes to Financial Statements.

 

WisdomTree Trust      153  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Mortgage Plus Bond Fund                                            For the Period
November 14, 2019*
through
February 29, 2020
(unaudited)
 

Net asset value, beginning of period

                                                $ 50.26  

Investment operations:

                 

Net investment income1

                    0.32  

Net realized and unrealized gain

                                                  1.02  

Total from investment operations

                                                  1.34  

Dividends to shareholders:

                 

Net investment income

                                                  (0.31

Net asset value, end of period

                                                $ 51.29  

TOTAL RETURN2

                                                  2.68

RATIOS/SUPPLEMENTAL DATA:

                 

Net assets, end of period (000’s omitted)

                  $ 20,514  

Ratios to average net assets of:

                 

Expenses

                    0.45 %3 

Net investment income

                                                  2.18 %3 

Portfolio turnover rate4

                                                  5

 

             
WisdomTree Negative Duration
High Yield Bond Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 18.33     $ 21.12     $ 20.40     $ 19.42     $ 20.83     $ 22.99  

Investment operations:

           

Net investment income1

    0.48       1.11       1.07       1.04       0.93       0.83  

Net realized and unrealized gain (loss)

    (1.07     (2.77     0.68       0.97       (1.41     (2.17

Total from investment operations

    (0.59     (1.66     1.75       2.01       (0.48     (1.34

Dividends to shareholders:

           

Net investment income

    (0.52     (1.13     (1.03     (1.03     (0.93     (0.82

Net asset value, end of period

  $ 17.22     $ 18.33     $ 21.12     $ 20.40     $ 19.42     $ 20.83  

TOTAL RETURN2

    (3.41 )%      (8.18 )%      8.72     10.44     (2.22 )%      (5.91 )% 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 18,945     $ 32,991     $ 57,022     $ 16,319     $ 9,712     $ 12,499  

Ratios to average net assets of:

           

Expenses

    0.48 %3      0.48     0.48     0.48     0.48     0.48

Net investment income

    5.22 %3      5.45     5.09     5.03     4.78     3.82

Portfolio turnover rate4

    26     66     98     71     43     34
*

Commencement of operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

154   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Negative Duration
U.S. Aggregate Bond Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 40.41     $ 43.38     $ 42.88     $ 42.26     $ 44.42     $ 46.65  

Investment operations:

 

Net investment income1

    0.52       1.21       1.06       0.83       0.70       0.62  

Net realized and unrealized gain (loss)

    (0.75     (2.89     0.47       0.67       (2.07     (2.18

Total from investment operations

    (0.23     (1.68     1.53       1.50       (1.37     (1.56

Dividends and distributions to shareholders:

 

Net investment income

    (0.55     (1.29     (1.03     (0.88     (0.79     (0.67

Tax return of capital

                      (0.00 )2             

Total dividends and distributions to shareholders

    (0.55     (1.29     (1.03     (0.88     (0.79     (0.67

Net asset value, end of period

  $ 39.63     $ 40.41     $ 43.38     $ 42.88     $ 42.26     $ 44.42  

TOTAL RETURN3

    (0.60 )%      (3.98 )%      3.58     3.55     (3.11 )%      (3.36 )% 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of period (000’s omitted)

  $ 19,815     $ 24,247     $ 30,367     $ 17,152     $ 12,679     $ 17,767  

Ratios to average net assets of:

 

Expenses

    0.28 %4      0.28     0.28     0.28     0.28     0.28

Net investment income

    2.53 %4      2.83     2.44     1.91     1.61     1.38

Portfolio turnover rate5,6

    30     88     169     209     226     424

 

     
WisdomTree Yield Enhanced Global Aggregate Bond Fund    For the
Six Months Ended
February 29, 2020
(unaudited)
     For the Period
December 13, 2018*
through
August 31, 2019
 

Net asset value, beginning of period

   $ 27.81      $ 24.97  

Investment operations:

     

Net investment income1

     0.24        0.43  

Net realized and unrealized gain

     0.32        2.84  

Total from investment operations

     0.56        3.27  

Dividends and distributions to shareholders:

     

Net investment income

     (0.76      (0.43

Capital gains

     (0.42       

Total dividends and distributions to shareholders

     (1.18      (0.43

Net asset value, end of period

   $ 27.19      $ 27.81  

TOTAL RETURN3

     2.15      13.24

RATIOS/SUPPLEMENTAL DATA:

     

Net assets, end of period (000’s omitted)

   $ 5,437      $ 2,781  

Ratios to average net assets7 of:

     

Expenses, net of expense waivers

     0.15 %4       0.14 %4 

Expenses, prior to expense waivers

     0.20 %4       0.20 %4 

Net investment income

     1.80 %4       2.31 %4 

Portfolio turnover rate5

     34      31
*

Commencement of operations.

 

1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Yield Enhanced Global Aggregate Bond Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6 

The portfolio turnover rates excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018, August 31, 2017, August 31, 2016 and August 31, 2015 were 17%, 52%, 117%, 94%, 56% and 163%, respectively.

 

7 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

See Notes to Financial Statements.

 

WisdomTree Trust      155  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Yield Enhanced
U.S. Aggregate Bond Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the Period
July 9, 2015*
through
August 31, 2015
 

Net asset value, beginning of period

  $ 52.71     $ 48.68     $ 50.94     $ 52.04     $ 49.64     $ 49.78  

Investment operations:

           

Net investment income1

    0.73       1.61       1.53       1.35       1.31       0.16  

Net realized and unrealized gain (loss)

    1.20       4.05       (2.26     (0.85     2.50       (0.18

Total from investment operations

    1.93       5.66       (0.73     0.50       3.81       (0.02

Dividends and distributions to shareholders:

           

Net investment income

    (0.78     (1.63     (1.53     (1.38     (1.41     (0.12

Capital gains

                      (0.22            

Total dividends and distributions to shareholders

    (0.78     (1.63     (1.53     (1.60     (1.41     (0.12

Net asset value, end of period

  $ 53.86     $ 52.71     $ 48.68     $ 50.94     $ 52.04     $ 49.64  

TOTAL RETURN2

    3.70     11.92     (1.44 )%      1.05     7.81     (0.04 )% 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 1,297,914     $ 880,193     $ 418,662     $ 168,105     $ 109,285     $ 4,964  

Ratios to average net assets of:

           

Expenses, net of expense waivers

    0.12 %3      0.12     0.12     0.12     0.12     0.12 %3 

Expenses, prior to expense waivers

    0.20 %3      0.20     0.20     0.20     0.20     0.20 %3 

Net investment income

    2.81 %3      3.25     3.10     2.69     2.59     2.21 %3 

Portfolio turnover rate4,5

    24     54     82     134     141     51

 

         
WisdomTree Yield Enhanced U.S. Short-Term
Aggregate Bond Fund
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the Period
May 18, 2017*
through
August 31, 2017
 

Net asset value, beginning of period

  $ 50.58     $ 48.88     $ 50.25     $ 50.06  

Investment operations:

       

Net investment income1

    0.68       1.40       1.17       0.26  

Net realized and unrealized gain (loss)

    0.54       1.69       (1.41     0.17  

Total from investment operations

    1.22       3.09       (0.24     0.43  

Dividends and distributions to shareholders:

       

Net investment income

    (0.70     (1.39     (1.07     (0.24

Capital gains

                (0.06      

Total dividends and distributions to shareholders

    (0.70     (1.39     (1.13     (0.24

Net asset value, end of period

  $ 51.10     $ 50.58     $ 48.88     $ 50.25  

TOTAL RETURN2

    2.44     6.43     (0.47 )%      0.86

RATIOS/SUPPLEMENTAL DATA:

       

Net assets, end of period (000’s omitted)

  $ 81,760     $ 91,052     $ 39,104     $ 5,025  

Ratios to average net assets of:

       

Expenses, net of expense waivers

    0.12 %3      0.12     0.12     0.12 %3 

Expenses, prior to expense waivers

    0.20 %3      0.20     0.20     0.20 %3 

Net investment income

    2.71 %3      2.83     2.40     1.76 %3 

Portfolio turnover rate4,6

    29     49     177     44
*

Commencement of operations.

 

1

Based on average shares outstanding.

 

2

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3

Annualized.

 

4

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5

The portfolio turnover rate excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018, August 31, 2017, August 31, 2016 and August 31, 2015, were 22%, 44%, 38%, 59%, 51% and 6%, respectively.

 

6 

The portfolio turnover rate excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018 and August 31, 2017 were 16%, 24%, 120% and 22%, respectively.

 

See Notes to Financial Statements.

 

156   WisdomTree Trust


Table of Contents

Financial Highlights (concluded)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree CBOE S&P 500 PutWrite
Strategy Fund
          For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the Period
February 24, 2016*
through
August 31, 2016
 

Net asset value, beginning of period

           $ 27.45     $ 30.57     $ 29.23     $ 27.05     $ 25.10  

Investment operations:

            

Net investment income (loss)1

       0.18       0.49       0.22       0.06       (0.02

Net realized and unrealized gain (loss)

             (1.10     (1.96     2.15       2.74       1.97  

Total from investment operations

             (0.92     (1.47     2.37       2.80       1.95  

Dividends and distributions to shareholders:

            

Net investment income

       (0.42     (0.25     (0.06            

Capital gains

                   (1.40     (0.97     (0.62      

Total dividends and distributions to shareholders

             (0.42     (1.65     (1.03     (0.62      

Net asset value, end of period

           $ 26.11     $ 27.45     $ 30.57     $ 29.23     $ 27.05  

TOTAL RETURN2

             (3.48 )%      (4.72 )%      8.28     10.52     7.77

RATIOS/SUPPLEMENTAL DATA:

            

Net assets, end of period (000’s omitted)

     $ 194,548     $ 211,350     $ 238,434     $ 204,635     $ 16,229  

Ratios to average net assets of:

            

Expenses, net of expense waivers

       0.40 %3,4      0.38     0.38     0.38     0.38 %3 

Expenses, prior to expense waivers

       0.44 %3,4      0.44     0.44     0.44     0.44 %3 

Net investment income (loss)

             1.26 %3,4      1.78     0.76     0.21     (0.18 )%3 

Portfolio turnover rate5

             12     0     0     0     0

 

             
WisdomTree Managed Futures
Strategy Fund
(consolidated)
  For the
Six Months Ended
February 29, 2020
(unaudited)
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
    For the
Year Ended
August 31, 2016
    For the
Year Ended
August 31, 2015
 

Net asset value, beginning of period

  $ 39.08     $ 40.57     $ 38.84     $ 41.12     $ 41.17     $ 42.15  

Investment operations:

           

Net investment income (loss)1

    0.19       0.55       0.26       (0.07     (0.33     (0.40

Net realized and unrealized gain (loss)

    (2.97     (0.65     1.47       (2.21     0.28       (0.58

Total from investment operations

    (2.78     (0.10     1.73       (2.28     (0.05     (0.98

Dividends to shareholders:

           

Net investment income

    (0.60     (1.39                        

Net asset value, end of period

  $ 35.70     $ 39.08     $ 40.57     $ 38.84     $ 41.12     $ 41.17  

TOTAL RETURN2

    (7.16 )%      (0.22 )%6      4.45     (5.54 )%7      (0.12 )%      (2.33 )% 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 137,435     $ 216,875     $ 160,250     $ 170,879     $ 180,941     $ 214,083  

Ratios to average net assets of:

           

Expenses, net of expense waivers

    0.65 %3,4      0.65     0.65     0.65     0.91     0.95

Expenses, prior to expense waivers

    0.75 %3,4      0.75     0.75     0.75     0.92     0.95

Net investment income (loss)

    1.01 %3,4      1.40     0.66     (0.18 )%      (0.80 )%      (0.93 )% 

Portfolio turnover rate5

    48     0     0     0     0     0
*

Commencement of operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3 

Annualized.

 

4 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

5 

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged.

 

7 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.08% lower.

 

See Notes to Financial Statements.

 

WisdomTree Trust      157  


Table of Contents

Notes to Financial Statements (unaudited)

 

1. ORGANIZATION

WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust on December 15, 2005 and is authorized to have multiple series of portfolios (each a “Fund”, collectively, the “Funds”). These notes relate only to the Funds listed below. In accordance with Accounting Standards Update (“ASU”) 2013-08, Financial Services-Investment Companies, each Fund listed below qualifies as an investment company and is applying the accounting and reporting guidance for investment companies.

 

   
Fund    Commencement
of Operations
 

WisdomTree Bloomberg U.S. Dollar Bullish Fund (“U.S. Dollar Bullish Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’)

     December 18, 2013  

WisdomTree Chinese Yuan Strategy Fund (“Chinese Yuan Strategy Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’)

     May 14, 2008  

WisdomTree Emerging Currency Strategy Fund (“Emerging Currency Strategy Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’)

     May 6, 2009  

WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund’’)

     March 8, 2012  

WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund’’)

     August 9, 2010  

WisdomTree Floating Rate Treasury Fund (“Floating Rate Treasury Fund’’)

     February 4, 2014  

WisdomTree Interest Rate Hedged High Yield Bond Fund (“Interest Rate Hedged High Yield Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’)

     December 18, 2013  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (“Interest Rate Hedged U.S. Aggregate Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’)

     December 18, 2013  

WisdomTree Mortgage Plus Bond Fund (“Mortgage Plus Bond Fund’’)

     November 14, 2019  

WisdomTree Negative Duration High Yield Bond Fund (“Negative Duration High Yield Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’)

     December 18, 2013  

WisdomTree Negative Duration U.S. Aggregate Bond Fund (“Negative Duration U.S. Aggregate Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’)

     December 18, 2013  

WisdomTree Yield Enhanced Global Aggregate Bond Fund (“Yield Enhanced Global Aggregate Bond Fund’’)

     December 13, 2018  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (“Yield Enhanced U.S. Aggregate Bond Fund’’)

     July 9, 2015  

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

     May 18, 2017  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (“CBOE S&P 500 PutWrite Strategy Fund’’)

     February 24, 2016  

WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund’’) (consolidated)

     January 5, 2011  

In the normal course of business, the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and believes such exposure to be remote.

2. SIGNIFICANT ACCOUNTING POLICIES

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.

The following is a summary of significant accounting policies followed by the Funds:

Basis of Consolidation The financial statements of the Managed Futures Strategy Fund (the “Parent Fund”), include the accounts of WisdomTree Managed Futures Portfolio I, a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). For the Parent Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The Parent Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. The Parent Fund’s investment in its Subsidiary may not exceed 25% of the Parent Fund’s total assets at the end of each fiscal quarter in order to meet the requirements for qualification as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”).

Use of Estimates — The preparation of financial statements in conformity with GAAP, requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.

Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day a Fund is open for business as of the regularly scheduled close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”). NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. Each

 

158   WisdomTree Trust


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund issues and redeems shares at NAV only in large blocks of shares known as creation units, which only certain institutions (e.g. broker-dealers) may purchase or redeem. Shares of each Fund are listed on a national securities exchange and trade at market prices. Most investors will buy and sell shares in the secondary market through brokers. Because Fund shares trade at market prices rather than NAV, shares may trade at a price greater than NAV or less than NAV. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees of the Trust (the “Board of Trustees”). Fixed income securities (including short-term debt securities with remaining maturities of 60 days or less and to-be-announced (‘‘TBA’’) securities) generally are valued at current market quotations or mean prices obtained from broker-dealers or independent pricing service providers. Broker-dealers or independent pricing service providers, in determining the value of securities, may consider such factors as recent transactions, indications from broker-dealers yields and quoted prices on similar securities, and market sentiment for the type of security. U.S. fixed income securities may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. Repurchase agreements are valued at par which represents their fair value. Except for U.S. Dollar Bullish Fund, foreign currency contracts are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London time. U.S. Dollar Bullish Fund uses WM/Reuters closing spot and forward rates as of 4:00 p.m. Eastern time to value foreign currency contracts daily. For the Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund and the Emerging Markets Local Debt Fund, WM/Reuters closing spot and forward rates as of 2:00 p.m. Singapore time are used to value forward foreign currency contracts in the following Asian currencies: Chinese renminbi, Chinese yuan, Hong Kong dollar, Indian rupee, Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, South Korean won, Taiwan dollar, and the Thai baht. Futures contracts generally are valued at the settlement price, the price at which a futures contract settles once a given trading day has ended, on the primary exchange on which they trade. Option contracts generally are valued at the mean of the closing bid/ask price on which they trade. Equity securities (including preferred stock) traded on any recognized U.S. or non-U.S. exchange are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Unlisted equity securities (including preferred stock) are valued at the last quoted sale price or, if no sale price is available, at the mean between the highest bid and lowest ask price. Each Fund may invest in money market funds which are valued at their NAV per share and exchange-traded funds (“ETFs” or “ETF”) or exchange-traded notes (“ETNs” or “ETN”) which are valued at their last sale or official closing price on the exchange on which they are principally traded or at their NAV per share in instances where the ETF or ETN has not traded on its principal exchange.

In certain instances, such as when reliable market valuations are not readily available or are not deemed to reflect current market values, a Fund’s investments, which include derivatives, will be fair valued in accordance with the Fund’s pricing policy. The Board of Trustees has established a pricing committee (the “Pricing Committee”) which is comprised of senior representatives of WisdomTree Asset Management, Inc. (‘‘WTAM’’) and which reports to the Board of Trustees on a quarterly basis. In the event that a financial instrument cannot be valued based upon a price from a national securities exchange, independent pricing service provider or broker-dealer quotation, or such prices are deemed to not reflect current market value, the Pricing Committee may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Securities that may be valued using “fair value” pricing may include, but are not limited to, securities for which there are no current market quotations, securities whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV Calculation Time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities.

Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that each Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. ASC 820 established a three-tier hierarchy of inputs to be used when determining fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including each Fund’s assumptions in determining the fair value of investments)

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation or market activity; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).

The valuation techniques and significant inputs used in determining the fair market value measurements for Level 2 and Level 3 positions are as follows:

Financial instruments are generally valued by independent pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. Depending on the type of financial instrument, the independent pricing service providers’ internal pricing models may use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Financial instruments that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate. Over-the-counter financial derivative instruments derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued on the basis of broker-dealer quotations or prices obtained from independent pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative instruments can be estimated by an independent pricing service provider using a series of techniques including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as issuer details, indices, credit risks/spreads, interest rates, yield curves, default and exchange rates. Derivative contracts that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate.

Determination of a fair value by the Pricing Committee may include significant unobservable inputs and therefore such financial instruments would be reflected as a Level 3 of the fair value hierarchy. The Pricing Committee may employ a market-based valuation approach which may use, among other potential considerations, related or comparable securities, recent transactions, market multiples, and other relevant information to determine fair value. The Pricing Committee may also use an income-based valuation approach in which anticipated future cash flows of the financial instrument are discounted to calculate fair value.

The following is a summary of the fair valuations according to the inputs used as of February 29, 2020 in valuing each Fund’s assets:

 

       
Bloomberg U.S. Dollar Bullish Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $      $ 53,139,694      $  

Exchange-Traded Fund

     1,455,220                

Total

   $ 1,455,220      $ 53,139,694      $  

Unrealized Appreciation on Foreign Currency Contracts

            713,787         

Unrealized Depreciation on Foreign Currency Contracts

            (290,238       

Total - Net

   $ 1,455,220      $ 53,563,243      $  
        
       
Chinese Yuan Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $      $ 16,073,239      $  

Exchange-Traded Fund

     1,169,194                

Repurchase Agreement

            7,790,000         

Total

   $ 1,169,194      $ 23,863,239      $  

Unrealized Appreciation on Foreign Currency Contracts

            98,974         

Unrealized Depreciation on Foreign Currency Contracts

            (25,761       

Total - Net

   $ 1,169,194      $ 23,936,452      $  

 

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Notes to Financial Statements (unaudited) (continued)

 

       
Emerging Currency Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $      $ 12,606,662      $  

Exchange-Traded Fund

     792,844                

Repurchase Agreement

            4,860,000         

Total

   $ 792,844      $ 17,466,662      $  

Unrealized Appreciation on Foreign Currency Contracts

            1,665         

Unrealized Depreciation on Foreign Currency Contracts

            (576,328       

Total - Net

   $ 792,844      $ 16,891,999      $  
        
       
Emerging Markets Corporate Bond Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $      $ 26,780      $  

Foreign Corporate Bonds

            35,062,117         

Foreign Government Obligations

            1,071,732         

Investment of Cash Collateral for Securities Loaned

            4,252,403         

Total

   $      $ 40,413,032      $  

Unrealized Appreciation on Futures Contracts

     67,063                

Unrealized Depreciation on Futures Contracts

     (107,597              

Total - Net

   $ (40,534    $ 40,413,032      $  
        
       
Emerging Markets Local Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Obligations

   $      $ 147,292,531      $  

Supranational Bonds

            9,463,814         

Repurchase Agreement

            13,120,000         

Total

   $      $ 169,876,345      $  

Unrealized Appreciation on Foreign Currency Contracts

            90,998         

Unrealized Depreciation on Foreign Currency Contracts

            (483,580       

Total - Net

   $      $ 169,483,763      $  
        
       
Floating Rate Treasury Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $      $ 1,705,522,376      $  

Total

   $      $ 1,705,522,376      $  
        
       
Interest Rate Hedged High Yield Bond Fund    Level 1      Level 2      Level 3  

U.S. Corporate Bonds

   $      $ 165,567,569      $  

Foreign Corporate Bonds

            28,837,705         

Investment of Cash Collateral for Securities Loaned

            27,377,523         

Total

   $      $ 221,782,797      $  

Unrealized Depreciation on Futures Contracts

     (1,020,960              

Total - Net

   $ (1,020,960    $ 221,782,797      $  
        

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

       
Interest Rate Hedged U.S. Aggregate Bond Fund    Level 1      Level 2      Level 3  

U.S. Government Agencies

   $      $ 23,250,421      $  

U.S. Government Obligations

            35,329,938         

U.S. Corporate Bonds

            18,608,623         

Foreign Corporate Bonds

            3,111,534         

Foreign Government Agencies

            1,081,678         

Foreign Government Obligations

            856,928         

Supranational Bonds

            731,249         

Commercial Mortgage-Backed Securities

            1,656,902         

Municipal Bonds

            398,555         

Asset-Backed Securities

            245,570         

Repurchase Agreement

            1,698,500         

Investment of Cash Collateral for Securities Loaned

            3,982,803         

Total

   $      $ 90,952,701      $  

Unrealized Depreciation on Futures Contracts

     (1,000,823              

Total - Net

   $ (1,000,823    $ 90,952,701      $  
        
       
Mortgage Plus Bond Fund    Level 1      Level 2      Level 3  

Asset-Backed Securities

   $      $ 986,049      $  

Collateralized Loan Obligations

            1,253,957         

Collateralized Mortgage Obligations

            5,933,251         

Commercial Mortgage-Backed Securities

            1,171,202         

U.S. Government Agencies

            11,096,246         

Total

   $      $ 20,440,705      $  

Unrealized Appreciation on Futures Contracts

     3,000                

Unrealized Depreciation on Futures Contracts

     (4,405              

Total - Net

   $ (1,405    $ 20,440,705      $  
        
       
Negative Duration High Yield Bond Fund    Level 1      Level 2      Level 3  

U.S. Corporate Bonds

   $      $ 16,480,087      $  

Foreign Corporate Bonds

            2,124,881         

Investment of Cash Collateral for Securities Loaned

            3,142,280         

Total

   $      $ 21,747,248      $  

Unrealized Depreciation on Futures Contracts

     (358,754              

Total - Net

   $ (358,754    $ 21,747,248      $  
        

 

162   WisdomTree Trust


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

       
Negative Duration U.S. Aggregate Bond Fund    Level 1      Level 2      Level 3  

U.S. Government Agencies

   $      $ 5,691,975      $  

U.S. Government Obligations

            7,053,851         

U.S. Corporate Bonds

            4,551,676         

Foreign Corporate Bonds

            681,803         

Foreign Government Agencies

            142,914         

Foreign Government Obligations

            192,073         

Supranational Bonds

            300,096         

Commercial Mortgage-Backed Securities

            470,936         

Municipal Bonds

            74,625         

Asset-Backed Securities

            139,303         

Repurchase Agreement

            533,000         

Investment of Cash Collateral for Securities Loaned

            1,159,060         

Total

   $      $ 20,991,312      $  

Unrealized Depreciation on Futures Contracts

     (433,743              

U.S. Government Agencies Sold Short

            (261,184       

Total - Net

   $ (433,743    $ 20,730,128      $  
        
       
Yield Enhanced Global Aggregate Bond Fund    Level 1      Level 2      Level 3  

U.S. Corporate Bonds

   $      $ 81,278      $  

Foreign Corporate Bonds

            1,148,080         

Foreign Government Agencies

            144,230         

Foreign Government Obligations

            1,572,567         

Supranational Bonds

            140,980         

Exchange-Traded Fund

     2,361,112                

Total

   $ 2,361,112      $ 3,087,135      $  

Unrealized Appreciation on Foreign Currency Contracts

            41,431         

Unrealized Depreciation on Foreign Currency Contracts

            (571       

Total - Net

   $ 2,361,112      $ 3,127,995      $  
        
       
Yield Enhanced U.S. Aggregate Bond Fund    Level 1      Level 2      Level 3  

U.S. Government Agencies

   $      $ 322,910,510      $  

U.S. Government Obligations

            231,028,484         

U.S. Corporate Bonds

            443,572,473         

Foreign Corporate Bonds

            96,807,898         

Foreign Government Agencies

            4,742,592         

Foreign Government Obligations

            29,449,933         

Supranational Bonds

            1,584,256         

Commercial Mortgage-Backed Securities

            88,786,618         

Municipal Bonds

            22,695,618         

Asset-Backed Securities

            18,142,755         

Repurchase Agreement

            38,520,000         

Investment of Cash Collateral for Securities Loaned

            13,023,825         

Total

   $      $ 1,311,264,962      $  
        

 

WisdomTree Trust      163  


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

       
Yield Enhanced U.S. Short-Term Aggregate Bond Fund    Level 1      Level 2      Level 3  

U.S. Government Agencies

   $      $ 1,642,777      $  

U.S. Government Obligations

            21,982,739         

U.S. Corporate Bonds

            39,248,710         

Foreign Corporate Bonds

            6,839,087         

Foreign Government Agencies

            69,455         

Foreign Government Obligations

            2,232,006         

Supranational Bond

            1,066         

Commercial Mortgage-Backed Securities

            8,792,136         

Asset-Backed Securities

            1,956,447         

Total

   $      $ 82,764,423      $  
        
       
CBOE S&P 500 PutWrite Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $      $ 203,453,797      $  

Exchange-Traded Fund

     8,819,185                

Total

   $ 8,819,185      $ 203,453,797      $  

Written Options

     (25,437,400              

Total - Net

   $ (16,618,215    $ 203,453,797      $  
        
       
Managed Futures Strategy Fund (consolidated)    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $      $ 119,009,037      $  

Exchange-Traded Fund

     6,404,323                

Total

   $ 6,404,323      $ 119,009,037      $  

Unrealized Appreciation on Foreign Currency Contracts

            17,375         

Unrealized Depreciation on Foreign Currency Contracts

            (80,724       

Unrealized Appreciation on Futures Contracts

     1,436,715                

Unrealized Depreciation on Futures Contracts

     (1,123,244              

Total - Net

   $ 6,717,794      $ 118,945,688      $  

During the six months or period ended February 29, 2020, there were no significant transfers into or out of Level 3 of the fair value hierarchy.

Derivatives and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically foreign currency contracts, futures contracts and options contracts during the period ended February 29, 2020 and open positions in such derivatives as of February 29, 2020 are detailed in each Fund’s Schedule of Investments. All of the derivative instruments disclosed and described herein are subject to credit risk. Credit risk is where the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security or where the counterparty to a derivative contract might default on its obligations. The Funds’ derivative agreements also contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV over a specified time period. If an event occurred at February 29, 2020 that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivatives agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund, as disclosed on pages 171 and 172. Information with respect to the amounts and types of collateral received and/or posted for derivative instruments as of February 29, 2020, if any, is reflected as a footnote below the respective derivatives tables on each Fund’s Schedule of Investments.

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

As of February 29, 2020, the effects of such derivative instruments on each Fund’s financial position as reflected in the Statements of Assets and Liabilities are presented in the summary below:

 

     
     Asset Derivatives      Liability Derivatives  
Fund    Balance Sheet Location    Value      Balance Sheet Location    Value  

U.S. Dollar Bullish Fund

 

Foreign exchange contracts

   Unrealized appreciation on foreign currency contracts    $     713,787      Unrealized depreciation on foreign currency contracts    $ 290,238  

Chinese Yuan Strategy Fund

 

Foreign exchange contracts

   Unrealized appreciation on foreign currency contracts      98,974      Unrealized depreciation on foreign currency contracts      25,761  

Emerging Currency Strategy Fund

 

Foreign exchange contracts

   Unrealized appreciation on foreign currency contracts      1,665      Unrealized depreciation on foreign currency contracts      576,328  

Emerging Markets Corporate Bond Fund

 

Interest rate contracts

   Unrealized appreciation on futures contracts*      67,063      Unrealized depreciation on futures contracts*      107,597  

Emerging Markets Local Debt Fund

 

Foreign exchange contracts

   Unrealized appreciation on foreign currency contracts      90,998      Unrealized depreciation on foreign currency contracts      483,580  

Interest Rate Hedged High Yield Bond Fund

 

Interest rate contracts

   Unrealized appreciation on futures contracts*           Unrealized depreciation on futures contracts*      1,020,960  

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Interest rate contracts

   Unrealized appreciation on futures contracts*           Unrealized depreciation on futures contracts*      1,000,823  

Mortgage Plus Bond Fund

 

Interest rate contracts

   Unrealized appreciation on futures contracts*      3,000      Unrealized depreciation on futures contracts*      4,405  

Negative Duration High Yield Bond Fund

 

Interest rate contracts

   Unrealized appreciation on futures contracts*           Unrealized depreciation on futures contracts*      358,754  

Negative Duration U.S. Aggregate Bond Fund

 

Interest rate contracts

   Unrealized appreciation on futures contracts*           Unrealized depreciation on futures contracts*      433,743  

Yield Enhanced Global Aggregate Bond Fund

 

Foreign exchange contracts

   Unrealized appreciation on foreign currency contracts      41,431      Unrealized depreciation on foreign currency contracts      571  

CBOE S&P 500 PutWrite Strategy Fund

 

Equity contracts

                 Written options, at value      25,437,400  

Managed Futures Strategy Fund (consolidated)

 

Foreign exchange contracts

   Unrealized appreciation on foreign currency contracts      17,375      Unrealized depreciation on
foreign currency contracts
     80,724  
     Unrealized appreciation on futures contracts*      352      Unrealized depreciation on futures contracts*      1,082  

Commodity contracts

   Unrealized appreciation on futures contracts*      876,062      Unrealized depreciation on futures contracts*      1,122,162  

Interest rate contracts

   Unrealized appreciation on futures contracts*      560,301      Unrealized depreciation on futures contracts*       
  *

Includes cumulative appreciation (depreciation) of futures contracts as reported in each Fund’s Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Please see Note 2 (Futures Contracts) on page 169 for additional information regarding balance sheet location of balances associated with futures contracts.

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

For the six months or period ended February 29, 2020, the effects of derivative instruments on each Fund’s financial performance as reflected in the Statements of Operations are presented in the summary below:

 

     
Fund    Amount of Realized Gain
or (Loss) on Derivatives
Recognized1
     Change in Unrealized
Appreciation or
(Depreciation) on
Derivatives  Recognized2
 

U.S. Dollar Bullish Fund

 

Foreign exchange contracts

   $ (304,660    $ 144,163  

Chinese Yuan Strategy Fund

 

Foreign exchange contracts

     (255,184      1,021,680  

Emerging Currency Strategy Fund

 

Foreign exchange contracts

     (272,559      110,187  

Emerging Markets Corporate Bond Fund

 

Interest rate contracts

     (6,577      (49,964

Emerging Markets Local Debt Fund

 

Foreign exchange contracts

     464,801        (364,234

Interest Rate Hedged High Yield Bond Fund

 

Interest rate contracts

     (82,284      (946,567

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Interest rate contracts

     (782,630      (1,066,145

Mortgage Plus Bond Fund3

 

Interest rate contracts

     2,057        (1,405

Negative Duration High Yield Bond Fund

 

Interest rate contracts

     29,055        (407,146

Negative Duration U.S. Aggregate Bond Fund

 

Interest rate contracts

     (119,571      (495,397

Yield Enhanced Global Aggregate Bond Fund

 

Foreign exchange contracts

     (291      25,321  

CBOE S&P 500 PutWrite Strategy Fund

 

Equity contracts

     15,864,284        (23,698,389

Managed Futures Strategy Fund (consolidated)

 

Foreign exchange contracts

     (1,601,282      179,919  

Commodity contracts

     (6,306,959      (6,535,726

Interest rate contracts

     774,268        (618,400

 

  1 

Realized gains (losses) on derivatives are located on the Statements of Operations as follows:

 

Equity contracts

   Net realized gain (loss) from written options

Foreign exchange contracts

   Net realized gain (loss) from foreign currency contracts and futures contracts

Commodity contracts

   Net realized gain (loss) from futures contracts

Interest rate contracts

   Net realized gain (loss) from futures contracts

 

  2 

Change in unrealized appreciation (depreciation) is located on the Statements of Operations as follows:

 

Equity contracts

   Net increase (decrease) in unrealized appreciation/depreciation from written options

Foreign exchange contracts

   Net increase (decrease) in unrealized appreciation/depreciation from futures contracts and foreign currency contracts

Commodity contracts

   Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Interest rate contracts

   Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

 

  3 

For the period November 14, 2019 (commencement of operations) through February 29, 2020.

 

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During the six months or period ended February 29, 2020, the volume of derivative activity (based on the average of month-end balances) for each Fund was as follows:

 

   
     Average Notional  
Fund    Foreign currency
contracts
(to deliver
USD)
     Foreign currency
contracts
(to receive
USD)
     Futures
contracts
(long)
     Futures
contracts
(short)
     Written
options
 

U.S. Dollar Bullish Fund

 

Foreign exchange contracts

   $ 45,111,760      $ 87,571,509      $      $      $  

Chinese Yuan Strategy Fund

 

Foreign exchange contracts

     34,062,855        7,882,342                       

Emerging Currency Strategy Fund

 

Foreign exchange contracts

     25,964,852        6,203,818                       

Emerging Markets Corporate Bond Fund

 

Interest rate contracts

                   5,402,328        5,198,134         

Emerging Markets Local Debt Fund

 

Foreign exchange contracts

     14,889,647        1,618,134                       

Interest Rate Hedged High Yield Bond Fund

 

Interest rate contracts

                          161,979,683         

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Interest rate contracts

                          88,336,210         

Mortgage Plus Bond Fund1

 

Interest rate contracts

                   61,375        175,766         

Negative Duration High Yield Bond Fund

 

Interest rate contracts

                          26,447,176         

Negative Duration U.S. Aggregate Bond Fund

 

Interest rate contracts

                          25,892,587         

Yield Enhanced Global Aggregate Bond Fund

 

Foreign exchange contracts

     2,006,493        3,917,626                       

CBOE S&P 500 PutWrite Strategy Fund

 

Equity contracts

                                 214,192,143  

Managed Futures Strategy Fund (consolidated)

 

Commodity contracts

                   44,891,608        41,219,145         

Foreign exchange contracts

     11,570,738        11,626,974        7,546,806        34,845,298         

Interest rate contracts

                   18,481,098                
  1 

For the period November 14, 2019 (commencement of operations) through February 29, 2020.

Investment Transactions and Investment Income Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Interest income (including amortization of premiums and accretion of discounts), net of any foreign taxes withheld, is accrued daily. Generally, amortization of premiums and accretion of discounts are recognized daily using the effective interest method (also known as scientific amortization method). Payment-in-kind (‘‘PIK’’) interest income is accrued daily and the increase in a security’s principal amount related to such PIK interest income is recorded on the coupon payment date. Dividend income is recognized on the ex-dividend date.

Foreign Currency Translation — The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM. Realized and unrealized foreign exchange gains and losses on investments are included as a component of net realized gain (loss) from investment transactions and net increase (decrease) in unrealized appreciation (depreciation) from investment transactions, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses from foreign currency contracts are included in net realized gain (loss) from foreign currency contracts and net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, currency gains or losses recognized between the trade and settlement dates on investment transactions, and the difference between the amounts of dividends/interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) from foreign currency related transactions and/or increase (decrease) in unrealized appreciation (depreciation) from translation of assets and liabilities denominated in foreign currencies in the Statements of Operations. Certain foreign exchange gains and losses included in realized and unrealized gains or losses are included in, or are a reduction of, ordinary income in accordance with U.S. Federal income tax regulations.

 

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Expenses/Reimbursements — Under the investment advisory agreement for each Fund, except for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of trustees who are not interested persons of the Funds (“Independent Trustees”); (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer (‘‘CCO’’); (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (viii) the advisory fee payable to WTAM.

Under the investment advisory agreement for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions (including without limitation any fees, charges, taxes, levies or expenses related to the purchase or sale of an amount of any currency, or the partition or repatriation of any security or other asset, related to the execution of portfolio transactions or any creation or redemption transactions); (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of each Independent Trustee; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s CCO; (vi) extraordinary expenses (in each case as determined by a majority of the Independent Trustees); (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature (including, but not limited to, income, excise, transfer and withholding taxes); (ix) fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to WTAM.

Acquired fund fees and expenses (“AFFEs”) (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) are not operating expenses of the Funds and are not paid by WTAM.

Pursuant to a separate contractual arrangement, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees. WTAM receives a fee, as shown on the Statements of Operations under “Service fees”, of up to 0.0044% per annum of each Fund’s average daily net assets for providing such services and paying such expenses. WTAM provides CCO services to the Trust.

Repurchase Agreements — Each Fund may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. A repurchase agreement is a transaction in which a Fund acquires securities or other obligations as collateral from a commercial bank or securities broker-dealer and simultaneously commits to resell them to the counterparty at an agreed upon date or upon demand and at a price reflecting a market rate of interest unrelated to the coupon rate or maturity of the acquired obligations. This is designed to result in a fixed rate of return for the Fund insulated from market fluctuations during the holding period. Each Fund maintains custody of the acquired collateral prior to their repurchase, either through its regular custodian or through a special “tri-party” custodian or sub-custodian that maintains separate accounts for both the Fund and the counterparty. Because repurchase agreements are collateralized by securities, they are subject to market and credit risk on the acquired collateral in addition to counterparty credit risk. The acquired collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. If the acquired collateral declines in value and becomes less than the repurchase price, plus any agreed-upon additional amount, the counterparty must provide additional collateral so that at all times the collateral value is at least equal to the repurchase price plus any agreed-upon additional amount. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Forward Foreign Currency Contracts — The Currency Strategy Funds, except the U.S. Dollar Bullish Fund, utilized forward foreign currency contracts (‘‘Forward Contract’’) to obtain net long exposure to foreign currencies consistent with each Currency Strategy Fund’s investment strategy. The U.S. Dollar Bullish Fund utilized Forward Contracts to obtain net short exposure to foreign currencies consistent with its investment strategy. The Emerging Markets Local Debt Fund utilized Forward Contracts to obtain long and short exposures to foreign currencies consistent with its investment objective. The Yield Enhanced Global Aggregate Bond Fund utilized Forward Contracts to offset applicable foreign currency exposure on its international bonds. The Managed Futures Strategy Fund utilized Forward Contracts to obtain long and short exposures to the Japanese Yen consistent with its investment objective. A Forward Contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A Forward Contract generally does not require an initial margin deposit and no commissions are charged at any stage for trades. However, if a Fund is in an unrealized loss position on a Forward Contract, it may be required to pledge collateral (or additional collateral) to the counterparty. If a Fund is in an unrealized gain position on a Forward Contract, it may receive collateral from the counterparty.

 

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Risks may arise upon entering into Forward Contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.

Fluctuations in the value of open Forward Contracts are recorded for book purposes as unrealized gains or losses on Forward Contracts by the Funds and included in net increase (decrease) in unrealized appreciation (depreciation) from foreign currency contracts on the Statements of Operations. Realized gains and losses on Forward Contracts include net gains or losses recognized by the Funds on contracts which have settled are included in net realized gain (loss) from foreign currency contracts on the Statements of Operations.

Futures Contracts — The Duration Funds utilized futures contracts to obtain short exposure to U.S. Treasury bonds to hedge against a rise in interest rates. The Emerging Markets Corporate Bond Fund and the Mortgage Plus Bond Fund each utilized futures contracts on U.S. Treasury bonds to manage interest rate risk. The Managed Futures Strategy Fund utilized futures contracts to obtain long and short exposures to currencies, commodities and interest rates consistent with its investment objective. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange’s clearing corporation.

Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, generally are made or received by the Fund each day or at other agreed-upon time periods depending on the fluctuations in the value of the underlying futures contracts, except that in the case of certain futures contracts variation margin payments may be made or received when the futures contract expires. Variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized gain or loss on futures. The current one-day variation margin on open futures contracts is shown on the Statements of Assets and Liabilities as either a receivable or a payable for ‘‘Net variation margin on futures contracts’’. The variation margins received or paid by the Funds on both open and closed futures contracts are shown in the Statements of Assets and Liabilities, in whole or in part, as a component of, or an offset to, ‘‘Deposits at broker for futures contracts’’. When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, a Fund will segregate assets consisting of, or take other measures with respect to, cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, will “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. This will function as a practical limit on the amount of leverage which a Fund may undertake and on the potential increase in the speculative character of a Fund’s outstanding portfolio securities.

Options Contracts — The CBOE S&P 500 PutWrite Strategy Fund (the “Fund”) utilized option contracts by writing put options on the S&P 500 Index consistent with its investment objective. A put option gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security or financial instrument. A call option gives the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security or financial instrument. A premium is paid to the writer of an option as consideration for undertaking the obligation in the contract. The Fund may purchase and write options on an exchange or over the counter (“OTC”). OTC options differ from exchange-traded options in several respects. They are transacted directly with dealers and not with a clearing corporation, and therefore entail the risk of nonperformance by the dealer. OTC options are available for a greater variety of securities and for a wider range of expiration dates and exercise prices than are available for exchange-traded options. Because OTC options are not traded on an exchange, pricing is done normally by reference to information from a market maker.

When the Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an asset, the value of which is marked-to-market to reflect the current market value of the option purchased. If the purchased option expires, the Fund realizes a loss equal to the amount of premium paid. When a security or financial instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis of the security or financial instrument acquired or deducted from the proceeds of the security or financial instrument sold.

When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased.

 

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The purchaser or writer of an option may close the position before the exercise of the option by entering into a closing transaction. In the case of a written option, the cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund. With respect to a purchased option, the original premium paid is deducted from the proceeds received from a closing transaction resulting in a realized gain or loss to the Fund.

Written options may constitute a fair value guarantee on a financial asset under the provisions of FASB Codification Topic 460 — Guarantees. The Fund’s maximum payout for written put options is limited to the number of contracts written and the associated strike prices. At February 29, 2020, the maximum payout for written put options for the CBOE S&P 500 PutWrite Strategy Fund was $220,106,000. The maximum payout for written call options is potentially unlimited to the extent that the written call option is uncovered.

The Fund’s risk associated with purchasing put and call options is limited to the premiums paid. The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

Other significant risks associated with the Fund’s use of options contracts may include the following: (1) the success of a strategy may depend on the Fund adviser’s ability to predict movements in the prices of individual commodities, currencies or securities, fluctuations in markets and movements in interest rates; (2) there may be an imperfect or no correlation between the changes in market value of the commodities, currencies or securities and the price of options; (3) although the Fund intends to enter into options contracts only if there is an active market for such contracts, there is no assurance that an active market will exist for the contracts at any particular time; (4) trading restrictions or limitations may be imposed by an exchange; and (5) government regulations may restrict trading in options contracts.

Securities Lending — Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or high-grade debt obligations, equivalent to at least 100% of the market value of securities, is maintained at all times. The cash collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. The values of the investments of cash collateral for securities on loan along with the obligations to return such collateral are included on the Statements of Assets and Liabilities. The total value of securities received as collateral for securities on loan is included in a footnote following each Schedule of Investments, but is not included within the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees, all of which are included in the securities lending income earned by the Funds and disclosed on the Statements of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. Dividends received while a security is out on loan are not considered Qualified Dividend Income (“QDI”) under the specific criteria issued by the Internal Revenue Service and are subject to taxation at the shareholder’s ordinary income tax rate instead of the lower long-term capital gains tax rate. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults. In the event of a borrower default with respect to the failure to return to each Fund some or all of the securities loaned, the securities lending agent shall indemnify each Fund against the failure of the borrower.

Master Netting Arrangements — ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) is generally intended to (i) help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position, (ii) improve transparency in the reporting of how companies mitigate credit risk, and (iii) facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of international financial reporting standards. ASU 2011-11 requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is limited in scope to the following financial instruments, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement: (i) recognized derivative instruments accounted for under ASC 815 (Derivatives and Hedging); (ii) repurchase agreements and reverse repurchase agreements; and (iii) securities borrowing and securities lending transactions.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar

 

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agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter derivatives (“OTC”), such as Forward Contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g. foreign exchange contracts, options and certain swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivatives counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from a counterparty’s non-performance.

Repurchase agreements are subject to the terms and conditions of a Master Repurchase Agreement (“Master Repurchase Agreement”) between a Fund and a counterparty. In the event of a default or failure by a party to perform an obligation with respect to a repurchase transaction, the Master Repurchase Agreement gives the non-defaulting party the right to set-off claims and to apply collateral held by it in connection with a repurchase transaction against obligations owed to the non-defaulting party.

The Funds’ security lending activities are governed by a Securities Lending Authorization Agreement (“Lending Agreement”) between the Funds and the lending agent. The Lending Agreement authorizes the lending agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each a “Borrower”). To mitigate borrower risk, a Fund typically receives from a Borrower collateral in the form of U.S. dollar cash and/or securities issued or guaranteed by the U.S. government or its agencies in excess of the market value of the securities loaned. Under the provisions of the Lending Agreement, a Fund shall have, as to the collateral, all of the rights and remedies of a secured party under applicable law. A Fund is exposed to risk of loss if a Borrower defaults on its obligation to return borrowed securities and the value of the collateral a Fund received is insufficient to cover the market value of the securities loaned. Also, the lending agent is permitted to invest the cash collateral it receives from a Borrower into a money market fund which is subject to market fluctuation. Therefore, a Fund is exposed to risk of loss if the value of invested cash collateral is insufficient to satisfy the Fund’s obligation to return the full amount owed to such Borrower.

The Funds’ futures contracts and option contracts are all exchange traded and are not subject to master netting arrangements. Therefore, all futures contracts and option contracts are excluded from the netting table below.

For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, Master Repurchase Agreement or Lending Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of February 29, 2020, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement, Master Repurchase Agreement and the Lending Agreement are detailed in the following table:

 

     
    Assets     Liabilities  
    Gross Amounts
in the
Statements of
Assets and
Liabilities
    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
   

Net Amount

    Gross Amounts
in the
Statements of
Assets and
Liabilities
    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
   

Net Amount

 
Fund   Financial
Instruments
    Collateral
Received
    Financial
Instruments
    Collateral
Posted
 

U.S. Dollar Bullish Fund

 

Foreign Currency Contracts

  $ 713,787     $ (290,238   $     $ 423,549     $ 290,238     $ (290,238   $     $  

Chinese Yuan Strategy Fund

 

Repurchase Agreements

    7,790,000             (7,790,000 )1                               

Foreign Currency Contracts

    98,974       (25,174           73,800       25,761       (25,174           587  

Emerging Currency Strategy Fund

 

Repurchase Agreements

    4,860,000             (4,860,000 )1                               

Foreign Currency Contracts

    1,665       (1,665                 576,328       (1,665           574,663  

Emerging Markets Corporate Bond Fund

 

Securities Lending

    4,778,883             (4,778,883 )1                               

Emerging Markets Local Debt Fund

 

Repurchase Agreements

    13,120,000             (13,120,000 )1                               

Foreign Currency Contracts

    90,998       (18,711           72,287       483,580       (18,711           464,869  

 

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Notes to Financial Statements (unaudited) (continued)

 

     
    Assets     Liabilities  
    Gross Amounts
in the
Statements of
Assets and
Liabilities
    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
   

Net Amount

    Gross Amounts
in the
Statements of
Assets and
Liabilities
    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
   

Net Amount

 
Fund   Financial
Instruments
    Collateral
Received
    Financial
Instruments
    Collateral
Posted
 

Interest Rate Hedged High Yield Bond Fund

 

Securities Lending

  $ 27,276,020     $     $ (27,276,020 )1    $     $     $     $     $  

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Securities Lending

    3,906,215             (3,906,215 )1                               

Repurchase Agreements

    1,698,500             (1,698,500 )1                               

Negative Duration High Yield Bond Fund

 

Securities Lending

    3,043,788             (3,043,788 )1                               

Negative Duration U.S. Aggregate Bond Fund

 

Securities Lending

    1,160,369             (1,160,369 )1                               

Repurchase Agreements

    533,000             (533,000 )1                               

Yield Enhanced Global Aggregate Bond Fund

 

Foreign Currency Contracts

    41,431       (571           40,860       571       (571            

Yield Enhanced U.S. Aggregate Bond Fund

 

Securities Lending

    13,861,817             (13,861,817 )1                               

Repurchase Agreements

    38,520,000             (38,520,000 )1                               

Managed Futures Strategy Fund (consolidated)

 

Foreign Currency Contracts

    17,375       (17,375                 80,724       (17,375           63,349  
  1 

The amount of collateral presented has been limited such that the net amount by counterparty cannot be less than zero.

Short-Term Investments — Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. government, its agencies, non-U.S. government agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.

Interest-Only and Principal-Only Securities — The Funds may invest in interest-only (“IO”) and principal-only (“PO”) securities which are typically created by splitting a traditional mortgage-backed security or pool of loans into an IO and a PO security. In general, the IO security is entitled to receive the interest payments on the underlying debt obligation(s) and the PO security is entitled to receive the principal payments of the underlying debt obligation(s). Both IO and PO securities are subject to prepayments and therefore prepayment risk. IO securities are at risk for faster than anticipated prepayments and PO securities are at risk for slower than anticipated prepayments. Assumptions regarding the rates of prepayment play a significant role in the value of these securities. If the underlying debt obligation experiences greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in the IO security.

Collateralized Loan Obligations — The Funds may invest in collateralized loan obligations (“CLOs”). CLOs bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As CLOs are backed by pools of loans, they also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk profile and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The value of an investment in a CLO may decline as a result of, but not limited to, underlying loan defaults and/or market anticipation of defaults, credit impairment on the underlying loans or the disappearance of one of more subordinate tranches resulting from changes in the credit profile of the underlying loans.

To-be-announced Transactions — Interest Rate Hedged U.S. Aggregate Bond Fund, Negative Duration U.S. Aggregate Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund invest in U.S. agency mortgage-backed pass-through securities which are securities issued by entities such as Government National Mortgage Association and Federal National Mortgage Association that are backed by pools of mortgages. Most transactions in mortgage-backed pass-through securities occur for future delivery in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement, referred to as a “to-be-announced transaction” or “TBA Transaction.” In a TBA Transaction, the buyer and seller agree upon general trade parameters such as agency, settlement date, par amount and price. The actual pools delivered generally are determined a few days prior to the settlement date; however, it is not anticipated that the Interest Rate Hedged U.S. Aggregate Bond Fund, Negative Duration U.S. Aggregate Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund will take delivery of pools, but instead will participate in rolling TBA Transactions whereby instead of

 

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receiving pools on the purchase settlement date, the position is offset by a current sale of the TBA security with a simultaneous forward purchase of a substantially similar TBA security (i.e. same type, coupon, maturity) to settle on a specified future date.

Short Sale Transactions — Each Fund may enter into “short sale” transactions in which a Fund sells a security that it does not own in anticipation of a decline in the market price of that security. When a Fund enters into a short sale transaction, the Fund will borrow the security and deliver it to the counterparty to which the Fund sold the security short. An amount equal to the proceeds received by the Fund is reflected as an asset in ‘‘Receivables for investment securities sold’’ and an equivalent liability in ‘‘Securities sold short, at value’’ on the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the securities sold short. Any interest or dividends that accrue on the securities borrowed are shown as an interest expense or dividend expense in the Statement of Operations of the Fund. A realized gain, limited to the proceeds received at which the Fund sold the security short, or a realized loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the cost to close out the short sale transaction is either less than (in the case of a gain) or greater than (in the case of a loss) the proceeds received. The risk of loss on a short sale transaction is potentially unlimited unlike the risk of loss on a long position, which is limited to the amount paid for the investment plus transaction costs. Funds entering into short sale transactions are exposed to the risk that they may be unable to close out a short sale position at any particular time or at an acceptable price.

Tax Information and Dividends and Distributions to Shareholders — It is each Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. In order to qualify for the special tax treatment accorded RICs and their shareholders, each Fund must, among other things, distribute with respect to each taxable year an amount equal to or greater than the sum of 90% of its investment company taxable income and 90% of its net tax-exempt interest income. There can be no guarantee that a Fund will pay dividends. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. The Funds may occasionally be required to make supplemental distributions at some other time during the year. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of each Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with the requirements of the Code and the U.S. Treasury regulations. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profit for tax purposes are reported for tax purposes as a return of capital.

3. ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

WTAM has overall responsibility for the general management and administration of the Trust. WTAM provides an investment program for each Fund. WTAM has arranged for Mellon Investments Corporation (‘‘Mellon’’) to provide sub-advisory services to the Funds, except for Yield Enhanced U.S. Short-Term Aggregate Bond Fund, Emerging Markets Corporate Bond Fund and Mortgage Plus Bond Fund which are sub-advised by Voya Investment Management Co., LLC (‘‘Voya IM’’). Mellon and Voya IM are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund accounting, fund administration, securities lending and all other non-distribution related services necessary for the Funds to operate, which are generally under separate agreements entered into between the Trust on behalf of the Funds and the applicable service provider. Under the investment advisory agreement for each Fund, WTAM agrees to pay all expenses of the Funds, except for certain expenses described in Note 2.

Pursuant to a separate contractual arrangement, as also described in Note 2, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees in exchange for a fee, accrued daily and paid monthly in arrears, of up to 0.0044% per annum of each Fund’s average daily net assets. WTAM expects to receive advisory fees from each Fund, based on a percentage of the Fund’s average daily net assets, as shown in the following table:

 

       
Fund   

Advisory

Fee Rate

(before fee waiver)

    

Advisory

Fee Waiver1

    

Advisory Fee
Waiver

Expiration Date

 

U.S. Dollar Bullish Fund

     0.50              

Chinese Yuan Strategy Fund

     0.45              

Emerging Currency Strategy Fund

     0.55              

Emerging Markets Corporate Bond Fund

     0.60              

Emerging Markets Local Debt Fund

     0.55              

 

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Notes to Financial Statements (unaudited) (continued)

 

       
Fund   

Advisory

Fee Rate

(before fee waiver)

    

Advisory

Fee Waiver1

   

Advisory Fee
Waiver

Expiration Date

 

Floating Rate Treasury Fund

     0.15             

Interest Rate Hedged High Yield Bond Fund

     0.43             

Interest Rate Hedged U.S. Aggregate Bond Fund

     0.23             

Mortgage Plus Bond Fund

     0.45             

Negative Duration High Yield Bond Fund

     0.48             

Negative Duration U.S. Aggregate Bond Fund

     0.28             

Yield Enhanced Global Aggregate Bond Fund

     0.20      (0.06 )%      December 31, 2021  

Yield Enhanced U.S. Aggregate Bond Fund

     0.20      (0.08 )%      December 31, 2020  

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

     0.20      (0.08 )%      December 31, 2020  

CBOE S&P 500 PutWrite Strategy Fund

     0.44      (0.06 )%2      December 31, 2020  

Managed Futures Strategy Fund (consolidated)

     0.75      (0.10 )%      December 31, 2020  
  1 

WTAM has contractually agreed to waive a portion of its advisory fee by the waiver amount listed per annum based on the average daily net assets through the expiration date listed, unless earlier terminated by the Board of Trustees of the Trust for any reason. The dollar amount of contractual fee waivers are included in “Expense waivers” on the Statements of Operations.

 

  2 

WTAM had contractually agreed to limit the management fee to 0.38% through December 31, 2019. On December 31, 2019, the contractual waiver expired.

Each Fund may purchase shares of affiliated ETFs in secondary market transactions to reduce cash balances and/or to implement its investment strategy. For these transactions, WTAM waives its advisory fees for each Fund’s investment in affiliated funds. The dollar amount of advisory fees waived during the period for the Funds, if any, are shown in the Statements of Operations in “Expense waivers”.

Related Party Transactions — WTAM or its affiliates may from time to time own shares of a Fund. As of and for the six months ended February 29, 2020, WTAM held shares of and received distributions from the following Funds which were purchased through an unaffiliated broker in ordinary brokerage transactions in the secondary market in which the Funds’ shares trade:

 

       
Fund    Fund Shares
held by WTAM
    

Market Value of

Fund Shares

held by WTAM

    

Dividends and

Distributions paid to

WTAM on

Fund Shares

held by WTAM

 

Emerging Markets Corporate Bond Fund

          $      $ 6  

Emerging Markets Local Debt Fund

     67        2,284        64  

Floating Rate Treasury Fund

     445,654        11,181,459        99,918  

Interest Rate Hedged U.S. Aggregate Bond Fund

     23        1,098        12  

Mortgage Plus Bond Fund

     200,416        10,274,346        31,484 1 

Yield Enhanced Global Aggregate Bond Fund

                   43,474  

Yield Enhanced U.S. Aggregate Bond Fund

     1,961        105,482        1,381  

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

     263        13,443        224  

CBOE S&P 500 PutWrite Strategy Fund

     231        5,985        108  

Managed Futures Strategy Fund

                   119  
  1 

For the period November 14, 2019 (commencement of operations) through February 29, 2020.

4. CAPITAL SHARE TRANSACTIONS

As of February 29, 2020, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Trust. Shares are issued and redeemed by each Fund only in creation units or multiples thereof. Except when aggregated in creation units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets. Generally, Funds issue and redeem shares on a cash basis, however, shares may also be issued or redeemed in kind. Investors purchasing and redeeming creation units may be charged a purchase transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of creation units.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments (excluding purchases and sales resulting from in-kind capital share transactions and short-term investments) and the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions (excluding short-term investments) for the six months or period ended February 29, 2020 are shown in the following table. Realized gains and

 

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losses on sales resulting from in-kind capital share redemptions, as shown on the Statements of Operations, are not recognized by the Funds for tax purposes.

 

       
    Non-U.S. Government Securities     U.S. Government Securities     In-kind Capital Share Transactions  
Fund   Purchases     Sales     Purchases     Sales     Purchases     Sales  

U.S. Dollar Bullish Fund

  $     $ 400,902     $     $     $     $  

Chinese Yuan Strategy Fund

                                   

Emerging Currency Strategy Fund

                                   

Emerging Markets Corporate Bond Fund

    8,732,754       7,424,264       138,631       1,163,709              

Emerging Markets Local Debt Fund

    27,495,659       37,436,147                         8,114,356  

Floating Rate Treasury Fund

                1,401,110,790       1,374,320,735       181,289,500       155,688,102  

Interest Rate Hedged High Yield Bond Fund

    56,270,461       60,239,771                         37,419,354  

Interest Rate Hedged U.S. Aggregate Bond Fund

    3,541,692       3,896,812       24,149,007       15,731,348              

Mortgage Plus Bond Fund1

    3,781,982       26,140       16,959,056       669,250              

Negative Duration High Yield Bond Fund

    6,046,630       12,054,318                         6,497,603  

Negative Duration U.S. Aggregate Bond Fund

    255,744       1,098,555       5,907,349       6,850,747       2,442,274       4,937,375  

Yield Enhanced Global Aggregate Bond Fund

    2,494,780       1,178,593                   1,338,910        

Yield Enhanced U.S. Aggregate Bond Fund

    85,247,420       71,180,937       370,345,988       174,878,444       196,571,623       45,026,655  

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

    2,877,947       3,991,521       20,604,117       20,221,497       3,967,212       13,404,880  

CBOE S&P 500 PutWrite Strategy Fund

    9,617,280       814,831                          

Managed Futures Strategy Fund (consolidated)

    8,963,589       2,568,340                          
  1 

For the period November 14, 2019 (commencement of operations) through February 29, 2020.

6. FEDERAL INCOME TAXES

At February 29, 2020, the cost of investments (including securities on loan, derivatives and securities sold short) for Federal income tax purposes was as follows:

 

         
    Investments in Long Securities          

Investments in Securities Sold Short and

Financial Derivatives1

       
Fund   Tax Cost     Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net Unrealized
Appreciation/
(Depreciation)
           Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
   

Net Unrealized
Appreciation/

(Depreciation)

   

Total Net
Unrealized
Appreciation/

(Depreciation)

 

U.S. Dollar Bullish Fund

  $ 54,582,898     $ 13,011     $ (995   $ 12,016             $     $     $     $ 12,016  

Chinese Yuan Strategy Fund

    25,030,369       2,646       (582     2,064                                 2,064  

Emerging Currency Strategy Fund

    18,257,793       2,108       (395     1,713                     (100,237     (100,237     (98,524

Emerging Markets Corporate Bond Fund

    38,762,814       1,996,893       (346,675     1,650,218                                 1,650,218  

Emerging Markets Local Debt Fund

    184,735,910       3,830,326       (18,689,891     (14,859,565             35,494       (206,421     (170,927     (15,030,492

Floating Rate Treasury Fund

    1,703,283,795       2,428,492       (189,911     2,238,581                                 2,238,581  

Interest Rate Hedged High Yield Bond Fund

    227,185,884       2,970,365       (8,373,452     (5,403,087                               (5,403,087

Interest Rate Hedged U.S. Aggregate Bond Fund

    84,668,773       6,293,802       (9,874     6,283,928                                 6,283,928  

Mortgage Plus Bond Fund

    20,032,067       410,521       (1,883     408,638                                 408,638  

Negative Duration High Yield Bond Fund

    22,365,853       280,715       (899,320     (618,605                               (618,605

Negative Duration U.S. Aggregate Bond Fund

    19,663,710       1,339,565       (11,963     1,327,602                                       1,327,602  

Yield Enhanced Global Aggregate Bond Fund

    5,215,337       246,726       (13,816     232,910                                 232,910  

Yield Enhanced U.S. Aggregate Bond Fund

    1,247,510,805       64,399,188       (645,031     63,754,157                                 63,754,157  

 

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Notes to Financial Statements (unaudited) (continued)

 

         
    Investments in Long Securities          

Investments in Securities Sold Short and

Financial Derivatives1

       
Fund   Tax Cost     Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net Unrealized
Appreciation/
(Depreciation)
           Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
   

Net Unrealized
Appreciation/

(Depreciation)

   

Total Net
Unrealized
Appreciation/

(Depreciation)

 

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

    79,998,353       2,773,615       (7,545     2,766,070                                 2,766,070  

CBOE S&P 500 PutWrite Strategy Fund

    212,142,159       130,823             130,823                                 130,823  

Managed Futures Strategy Fund (consolidated)2

    206,180,966       17,546       (79,735,462     (79,717,916                               (79,717,916
  1 

Certain financial derivatives may be considered section 1256 contracts under the Code. Each section 1256 contract held at the close of a taxable year shall be treated as sold for its fair market value on the last business day of such taxable year (and any realized gain and loss shall be taken into account for the taxable year). As such, the unrealized appreciation/(depreciation) for financial derivatives on a tax basis may not correspond to the unrealized appreciation/(depreciation) on a GAAP basis. The unrealized appreciation/(depreciation) for financial derivatives on a GAAP basis is located in the respective financial derivatives tables in each Fund’s Schedule of Investments.

 

  2 

“Tax Cost” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the Parent Fund’s investment in the Subsidiary. “Gross Unrealized Depreciation” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the tax-basis unrealized depreciation associated with the Parent Fund’s investment in the Subsidiary.

7. SUBSEQUENT EVENT

At the recommendation of WTAM, the investment adviser of the WisdomTree Negative Duration U.S. Aggregate Bond Fund, WisdomTree Negative Duration High Yield Bond Fund and WisdomTree Yield Enhanced Global Aggregate Bond Fund (the “Affected Funds”), after continued review of the product lineup and anticipated limited future prospect of investor demand for the Affected Funds, among other considerations, the Board of Trustees determined to close and liquidate the Affected Funds.

After the close of business on May 27, 2020, the Affected Funds will no longer accept creation orders. The last day of secondary market trading of the Affected Funds’ shares will also be May 27, 2020. Shareholders are able to sell Affected Fund shares through a broker in the standard manner through this date. Customary brokerage charges may apply to such transactions. When the Affected Funds commence liquidation of their portfolios, which is anticipated to occur on or around May 28, 2020, but may occur before May 28, 2020, and at different times for each Affected Fund, the liquidation process will result in each Affected Fund increasing its cash holdings and deviating from the investment objective and strategies stated in its prospectus.

It is anticipated that shareholders remaining in the Affected Funds after the last day of trading will have their shares redeemed automatically on or around June 9, 2020 and will receive cash through their broker or other applicable financial intermediary thereafter in an amount equal to the net asset value of their shares as calculated on or about June 8, 2020. This amount is expected to include any accrued capital gains and dividends. Shareholders remaining in an Affected Fund and that receive cash will not be charged any transaction fees by the Affected Fund. Whether shareholders sell their shares or are automatically redeemed as described above, shareholders will generally recognize a capital gain (or loss) equal to the amount received for their shares above (or below) the adjusted cost basis in such shares.

*    *    *    *    *    *

At the recommendation of WTAM, the investment adviser of the WisdomTree Interest Rate Hedged High Yield Bond Fund (the “Fund”), the Board of Trustees of the Trust, with respect to the Fund, has approved changing the Fund’s index, investment objective, investment strategies, and sub-adviser. These changes to the index, investment objective and investment strategies are now scheduled to go into effect on or about June 1, 2020. In connection with the Fund’s index change, the Fund’s portfolio will transition to the new index over the course of a few days. The change to the Fund’s sub-adviser is expected to go into effect on or about June 4, 2020. These changes will not affect the management fee or expense ratio of the Fund. Please see the Fund’s current prospectus dated January 1, 2020, as supplemented April 17, 2020, for additional information on these changes.

8. ADDITIONAL INFORMATION

A recent outbreak of a respiratory disease caused by a novel coronavirus first detected in China in December 2019 has spread globally in a short period of time. In an organized attempt to contain and mitigate the effects of the spread of the coronavirus known as COVID-19, governments and businesses world-wide have taken aggressive measures, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations. COVID-19 has resulted in the disruption of and delays in the delivery of healthcare services and processes, the cancellation of organized events and educational institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and

 

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general concern and uncertainty, all of which have contributed to increased volatility in global markets. The effects of COVID-19 likely will affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of each Fund’s investments in those sectors or industries. COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Funds of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the NAV and/or risk profile of the Funds.

 

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

 

Consideration of the Renewal of Investment Advisory and Sub-Advisory Agreements

 

(all applicable Funds except the WisdomTree Mortgage Plus Bond Fund)

At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of the WisdomTree Trust (the “Trust”) held on September 12-13, 2019 (the “Meeting”), the Trustees, including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the renewal of (i) the Investment Advisory Agreements between WisdomTree Asset Management, Inc. (“WTAM”) and the Trust, on behalf of its applicable series (each, a “Fund,” and, collectively, the “Funds”), pursuant to which WTAM provides the Funds with investment advisory services (the “Advisory Agreements”); (ii) the Sub-Advisory Agreement (the “Mellon Sub-Advisory Agreement”), pursuant to which Mellon Investments Corporation (“Mellon”) coordinates the investment and reinvestment of the assets of the applicable Funds; and (iii) the Investment Sub-Advisory Agreement (the “Voya Sub-Advisory Agreement”, collectively with the Mellon Sub-Advisory Agreement, the “Sub-Advisory Agreements”), pursuant to which Voya Investment Management Co. LLC (“Voya,” and, together with Mellon, the “Sub-Advisers”) coordinates the investment and reinvestment of the assets of the applicable Funds.

The Trustees requested, and WTAM provided, such information as the Trustees, with advice from counsel to the Trust and independent legal counsel, deemed reasonably necessary to evaluate the Agreements. At a meeting of a committee of Independent Trustees (the “Contracts Review Committee”) held on August 5, 2019, representatives from WTAM presented preliminary information to the Trustees relating to the continuance of the Agreements, and the Trustees, including the Independent Trustees, reviewed and discussed such information. Further information was presented at the Board’s request at the Meeting.

The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Advisers. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services Provided to the Funds. The Board considered information provided to them at the Meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the Funds, recognizing WTAM’s and the Sub-Advisers’ operational capabilities and resources. The Board also noted the extensive responsibilities that WTAM has as investment adviser to the Funds, including: the selection of, and supervisory responsibilities and activities over, the Sub-Advisers, including oversight of the Sub-Advisers’ adherence to each Fund’s investment strategy and restrictions, monitoring of the Sub-Advisers’ buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Advisers and oversight of, and the provision of consultation to, the Sub-Advisers with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Funds’ portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Funds. The Board also considered research support available to, and management capabilities of, the Funds’ management personnel and that WTAM provides oversight of day-to-day Fund operations, including fund accounting, tax matters, administration and legal assistance in meeting disclosure and regulatory requirements. Based on management’s representations, the Board expected that there would be no reduction in the scope of services required by or provided by WTAM and the Sub-Advisers under the relevant Agreements. The Board noted that WTAM has continued to commit significant resources toward the fund complex and has made substantial investments to improve the services offered by WTAM, which benefit Fund shareholders.

Based on review of this information and the other factors considered at the Meeting, the Board concluded that the nature, extent and quality of services provided by WTAM and the Sub-Advisers under the Advisory Agreements and Sub-Advisory Agreements, respectively, are adequate and appropriate and supported the Board’s approval of the renewal of the Agreements.

Comparative Analysis of the Funds’ Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information (1) measuring each index Fund’s performance by how well it tracked the relevant benchmark index, (2) comparing, with respect to the actively-managed Funds, each Fund’s performance with the performance of a group of comparable funds (the “Performance Group”) for various periods ended May 31, 2019, and (3) comparing each Fund’s actual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and, with respect to total expenses, with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Contracts Review Committee and the Independent Trustees previously had reviewed and discussed the methodology Broadridge used to select the Performance Groups, Expense Groups and Expense Universes. The Board noted that the Performance Groups, Expense Groups and Expense Universes included only pure-index and index-based exchange traded funds (“ETFs”) as comparison funds. The Board also noted that due to the special characteristics of certain Funds, there are limitations in providing comparable funds in the Performance Groups, Expense Groups and Expense Universes, and the information in the Broadridge reports may or may not provide meaningful direct comparisons to the Funds. The Board also reviewed reports prepared by WTAM presenting performance data for Funds with ten years of performance history and for WisdomTree indexes with at least three years of performance history that are tracked by an index Fund.

 

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

 

The Board discussed the index Funds’ performance. During the prior year, the Board received periodic reports on the Funds’ performance in comparison to their relevant benchmark indexes. The Board also discussed the performance of the actively-managed Funds and noted that total return performance of the Funds was variously above, at and below the relevant Performance Group medians for the time periods measured. In response to questions from the Independent Trustees, WTAM representatives discussed the relative performance of the Funds and the factors affecting such performance. On that basis, the Board determined to monitor carefully in the coming year disparities in performance—both positive and negative—but did not believe that the disparities in the past reflected any characteristics requiring immediate action by WTAM or a Sub-Adviser.

The Board also reviewed the range of actual management fees and total expenses of the Expense Group funds and, with respect to total expenses, Expense Universe funds, as well as the advisory fees and total expenses of certain funds not included in the Broadridge reports that WTAM considers to be significant competitors of the Funds, and discussed the results of the comparisons. With respect to comparisons of actual management fees, the Board noted the Funds’ unitary fee structure and that the Expense Groups and Expense Universes generally included both ETFs with and without a unitary fee structure. The Board also noted that certain comparison funds in certain Expense Groups and Expense Universes benefited from waivers of all or a portion of their management fees and reimbursement of certain operating expenses. The Board noted that the total expenses of many of the Funds were within five basis points of the median or average total expenses of the funds in the Funds’ respective Expense Groups. In those specific instances where a Fund’s total expenses departed more significantly from comparative funds, the Independent Trustees sought explanations from WTAM, which generally attributed the disparities to the limitations within peer data and/or the unique attributes of a Fund.

The Board considered the fees to the Sub-Advisers in relation to the fees paid to WTAM by the Funds and the respective services provided by the Sub-Advisers and WTAM. The Board also noted that the Sub-Advisers’ fees are paid by WTAM (out of its fee paid by the relevant Funds) and not the Funds. The Board considered the meaningful differences in the services that WTAM provides to the Funds as compared to the Sub-Advisers, including that the role of a Sub-Adviser in making investment recommendations with respect to a Fund tracking an index is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered the entrepreneurial and expense risk borne by WTAM that is associated with Funds’ unitary fee structure, which frequently includes minimum fees (such as those to a Sub-Adviser), regardless of whether the asset size of a Fund has grown to a sufficient size.

Based on this review and the other factors considered at the Meeting, the Board concluded that, with respect to each Fund, the Fund’s performance, the fees paid to WTAM and the relevant Sub-Adviser and the Fund’s total expenses supported the Board’s approval of the renewal of the relevant Agreements.

Analysis of Profitability and Economies of Scale. WTAM representatives reviewed the expenses allocated and profit received by WTAM and the resulting profitability percentage for managing each Fund and the aggregate profitability percentage to WTAM for managing the WisdomTree fund complex, and the method used to determine the expenses and profit.

The Board considered the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements bear a reasonable relationship to the mix of services provided by WTAM and the Sub-Advisers, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for each Fund and the extent to which economies of scale would be realized if the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. WTAM representatives noted that a discussion of economies of scale is predicated on a Fund having achieved a substantial size and that, if a Fund’s assets had been decreasing, the possibility that WTAM may have realized material economies of scale would be less. WTAM representatives also noted that, as a result of shared and allocated costs among the WisdomTree funds, the extent of economies of scale could depend substantially on the level of assets in the fund complex as a whole and the relative size and asset size changes among the Funds. The Board noted that certain Funds had grown rapidly over a relatively short period of time after longer periods of slow or no growth, during which there were years of losses for WTAM in managing such Funds that had only recently turned profitable and years of substantial cumulative losses to WTAM in managing the fund complex as a whole. WTAM representatives stated that there has been significant volatility in the assets of individual Funds and in the fund complex as a whole over time (including volatility in profitability) and that it was not clear that current asset levels will be maintained. WTAM representatives noted that assets in certain Funds have diminished at times at a rapid rate (including during the last year) and could continue to do so. WTAM representatives also noted that economies of scale currently are shared with the Funds by way of the unitary fee structure of the Trust, as well as through additional investment in the WisdomTree business. The Board noted that the Contracts Review Committee had focused on the issue of economies of scale during its meetings. The Board also noted that it would continue to monitor the sharing of economies of scale, focusing in particular on Funds that have experienced significant asset growth, to determine the appropriateness of adding breakpoints in the future. The Board also considered potential benefits to WTAM and the Sub-Advisers from acting as investment adviser and sub- advisers, respectively, and noted that there were no soft dollar arrangements in effect for trading the Funds’ investments. Based on this review, the Board concluded that the profitability results were consistent with the services rendered and service levels provided by WTAM and the entrepreneurial risk WTAM has undertaken over time.

 

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

 

*    *    *    *    *    *

At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its previous knowledge, gained through meetings and other interactions with WTAM and the Sub-Advisers, of the Funds and the services provided to the Funds by WTAM and the Sub-Advisers. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the Funds and the investment advisory and other services provided under the Agreements. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the renewal of the Agreements.

Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements

WisdomTree Mortgage Plus Bond Fund (the “Fund”)

At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on March 28-29, 2019, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide the Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which Voya Investment Management Co. LLC (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.

In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc., an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding the Fund’s proposed investment objective and principal investment strategies and risks at a meeting of the Trust’s Investment Committee, a committee of Independent Trustees, held on March 21, 2019. The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. It was noted that the Fund will be actively managed. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of each Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Funds’ portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Fund. The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.

Based on review of this information and the other factors considered at the meeting, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.

Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses. As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.

The Board considered the fees to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by the Fund) and not the Fund. The Board considered the meaningful differences in the services that WTAM will provide to the Fund as compared to

 

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

 

the Sub-Adviser. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.

Analysis of Profitability and Economies of Scale. As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.

*    *    *    *    *    *

In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.

 

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General Information (unaudited)

 

Proxy Voting Policies, Procedures and Record

A complete copy of the Proxy Voting Policy may be obtained upon request, at no charge, by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o Foreside Fund Services, LLC, Three Canal Plaza Suite 100, Portland, ME, 04101.

The Trust is required to disclose annually the Funds’ complete proxy voting record on Form N-PX covering the most recent 12-month period ended June 30 and to file Form N-PX with the SEC no later than August 31 of each year. The current Form N-PX for the Funds is available at no charge upon request by calling 1-866-909-WISE (9473) or through the Trust’s website at www.wisdomtree.com. The Funds’ Form N-PX is also available on the SEC’s website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

Previously, the Funds were required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Beginning in April 2019, the Funds ceased filing Form N-Q and commenced filing Form N-PORT. Part F of each Fund’s Form N-PORT filings for the first and third fiscal quarters contain the complete schedule of portfolio holdings in the same manner as previously filed on Form N-Q. Copies of the filings are available, without charge, on the SEC’s website at www.sec.gov and are also available by calling the Trust at 1-866-909-WISE (9473). Copies of the filings may also be obtained, after paying a duplicating fee, by electronic request at the following E-mail address: publicinfo@sec.gov.

Information about each Fund’s portfolio holdings is available daily, without charge, at www.wisdomtree.com.

The Statement of Additional Information (“SAI”) has additional information about the Funds’ Trustees and Officers and is available without charge upon request. Contact your financial representative for a free prospectus or SAI.

Frequency Distribution of Discounts & Premiums

Information about differences between the per share net asset value of each Fund and the market trading price of shares of each Fund are available, without charge, at www.wisdomtree.com.

 

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The WisdomTree Funds are exchange traded funds (“ETFs”) registered with the United States Securities and Exchange Commission as separate series (“Funds”) of WisdomTree Trust (“Trust”). WisdomTree Asset Management, Inc., a wholly owned subsidiary of WisdomTree Investments, Inc., serves as the investment adviser to the Trust. None of the WisdomTree entities are affiliated with Foreside Fund Services, LLC, the Funds’ distributor. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, delays, or for any actions taken in reliance on information contained herein.

Investors should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. A prospectus, containing this and other information, is available at www.wisdomtree.com, or by calling 1-866-909-WISE (9473). Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal. Past performance does not guarantee future results. Indexes are unmanaged and you cannot invest directly in an index.

There are risks associated with investing including possible loss of principal. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Investments in real estate involve additional special risks, such as credit risk, interest rate fluctuations and the effect of varied economic conditions. Funds that focus their investments in one country or region may be significantly impacted by events and developments associated with the region which can adversely affect performance. Funds focusing on a single sector and/or smaller companies generally experience greater price volatility. Investments in emerging, offshore or frontier markets are generally less liquid and less efficient than investments in developed markets and are subject to additional risks, such as risks of adverse governmental regulation and intervention or political developments. Investments in currency involve additional special risks, such as credit risk and interest rate fluctuations. Derivative investments can be volatile and these investments may be less liquid than other securities, and more sensitive to the effect of varied economic conditions. As these Funds can have a high concentration in some issuers the Funds can be adversely impacted by changes affecting such issuers.

Fixed income investments are subject to interest rate risk; their value will normally decline as interest rates rise. In addition, when interest rates fall, income may decline. Fixed income investments are also subject to credit risk, the risk that the issuer of a bond will fail to pay interest and principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. High-yield or “junk” bonds have lower credit ratings and involve a greater risk to principal. One of the risks associated with the Managed Futures Strategy Fund (WTMF) is the complexity of the different factors which contribute to the Fund’s performance, as well as their correlation (or non-correlation) to other asset classes. These factors include use of long and short positions in commodity futures contracts, currency forward contracts, swaps and other derivatives. An investment in WTMF is speculative and involves a substantial degree of risk. WTMF should not be used as a proxy for taking long only (or short only) positions in commodities or currencies. In markets without sustained price trends or markets that quickly reverse or “whipsaw” WTMF may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the actively managed Currency Strategy Funds, actively managed Fixed Income Funds or WTMF attempt to track or replicate. Thus, the ability of these Funds to achieve their objectives will depend on the effectiveness of the portfolio manager. Due to the investment strategy of certain Funds they may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Transactions in Fund shares will result in brokerage commissions and will generate tax consequences. Shares may be sold through brokerage accounts, but may be redeemed from the Funds by Authorized Participants in large creation unit sizes of shares.


Table of Contents

WisdomTree Trust

245 Park Avenue, 35th Floor

New York, NY 10167

 

LOGO

 

LOGO

 

WisdomTree Fund shares are distributed by Foreside Fund Services, LLC, in the U.S. only.

WTGM-3274

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a)Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b)Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

(a)The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b)There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a- 3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. Exhibits.

(a)(1)    Not applicable.

(a)(2)    Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)    Not applicable.

(a)(4)    Not applicable.

(b)Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)

WisdomTree Trust

By (Signature and Title)

/s/ Jonathan L. Steinberg

 

Jonathan L. Steinberg, President

 

(principal executive officer)

Date: May 4, 2020

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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 (Signature and Title)

/s/ Jonathan L. Steinberg

 

Jonathan L. Steinberg, President

 

(principal executive officer)

Date: May 4, 2020

 

By (Signature and Title)

/s/ David Castano

 

David Castano, Treasurer

 

(principal financial officer)

Date: May 4, 2020

 

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and

Section 302 of the Sarbanes-Oxley Act

I, Jonathan L. Steinberg, certify that:

1.I have reviewed this report on Form N-CSR of the WisdomTree 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 registrant's 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 registrant's 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 registrant's 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 registrant's internal control over financial reporting; and

5.The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (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 registrant's 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 registrant's internal control over financial reporting.

Date:    May 4, 2020

 

/s/ Jonathan L. Steinberg

 

 

 

Jonathan L. Steinberg, President

 

 

 

(principal executive officer)

 

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and

Section 302 of the Sarbanes-Oxley Act

I, David Castano, certify that:

1.I have reviewed this report on Form N-CSR of the WisdomTree 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 registrant's 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 registrant's 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 registrant's 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 registrant's internal control over financial reporting; and

5.The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (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 registrant's 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 registrant's internal control over financial reporting.

Date:    May 4, 2020

 

/s/ David Castano

 

 

 

David Castano, Treasurer

 

 

 

(principal financial officer)

Certification Pursuant to Rule 30a-2(b) under the 1940 Act

and Section 906 of the Sarbanes-Oxley Act

I, Jonathan L. Steinberg, President of the WisdomTree Trust (the "Registrant"), certify that:

1.The Form N-CSR of the Registrant (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 Registrant.

Date:    May 4, 2020

 

/s/ Jonathan L. Steinberg

 

 

 

Jonathan L. Steinberg, President

 

 

 

(principal executive officer)

I, David Castano, Treasurer of the WisdomTree Trust (the "Registrant"), certify that:

1.The Form N-CSR of the Registrant (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 Registrant.

Date:    May 4, 2020

 

/s/ David Castano

 

 

 

David Castano, Treasurer

 

 

 

(principal financial officer)