UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08839
SPDR® SERIES TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean O’Malley, Esq.
Senior Vice President and Deputy General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: June 30, 2020
Item 1. Reports to Shareholders.
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF |
SPDR Bloomberg Barclays International Corporate Bond ETF |
SPDR Bloomberg Barclays International Treasury Bond ETF |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF |
SPDR FTSE International Government Inflation-Protected Bond ETF |
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
Schedules of Investments (Unaudited) | |
6 | |
15 | |
29 | |
45 | |
50 | |
56 | |
64 | |
69 | |
78 |
Description | % of Net Assets | ||
Brazil Notas do Tesouro Nacional Serie F 10.00% 1/1/2023 | 1.2% | ||
Poland Government Bond 2.75% 4/25/2028 | 1.0 | ||
Korea Treasury Bond 2.63% 3/10/2048 | 0.9 | ||
Indonesia Treasury Bond 8.13% 5/15/2024 | 0.9 | ||
South Africa Government Bond 10.50% 12/21/2026 | 0.9 | ||
TOTAL | 4.9% |
% of Net Assets | |||
Foreign Government Obligations | 97.8% | ||
Other Assets in Excess of Liabilities | 2.2 | ||
TOTAL | 100.0% |
Description | % of Total Investments | ||
South Korea | 12.6% | ||
China | 10.3 | ||
Indonesia | 7.0 | ||
Thailand | 6.4 | ||
Malaysia | 6.3 | ||
Brazil | 6.0 | ||
Philippines | 5.0 | ||
Mexico | 4.6 | ||
Israel | 4.6 | ||
South Africa | 4.5 | ||
TOTAL | 67.3% |
Description | % of Net Assets | ||
Orange SA 8.13% 1/28/2033 | 0.6% | ||
Total Capital Canada, Ltd. 2.13% 9/18/2029 | 0.5 | ||
Anheuser-Busch InBev SA 2.75% 3/17/2036 | 0.5 | ||
Wells Fargo & Co. 1.50% 5/24/2027 | 0.5 | ||
Volkswagen International Finance NV 1.88% 3/30/2027 | 0.5 | ||
TOTAL | 2.6% |
% of Net Assets | |||
Corporate Bonds & Notes | 98.5% | ||
Short-Term Investments | 1.8 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
China Government Bond 3.29% 10/18/2023 | 2.0% | ||
China Government Bond 3.25% 11/22/2028 | 0.8 | ||
China Government Bond 4.08% 10/22/2048 | 0.8 | ||
Korea Treasury Bond 5.50% 3/10/2028 | 0.6 | ||
Indonesia Treasury Bond 6.13% 5/15/2028 | 0.5 | ||
TOTAL | 4.7% |
% of Net Assets | |||
Foreign Government Obligations | 99.1% | ||
Short-Term Investments | 0.1 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
Description | % of Total Investments | ||
Japan | 23.1% | ||
United Kingdom | 5.4 | ||
France | 5.1 | ||
Italy | 4.6 | ||
Australia | 4.6 | ||
Belgium | 4.6 | ||
South Korea | 4.6 | ||
Germany | 4.6 | ||
Spain | 4.5 | ||
Canada | 4.5 | ||
TOTAL | 65.6% |
Description | % of Net Assets | ||
Korea Treasury Bond 1.25% 12/10/2022 | 4.5% | ||
China Government Bond 3.17% 10/11/2021 | 3.6 | ||
Government of Japan 5 Year Bond 0.10% 3/20/2022 | 2.3 | ||
Government of Japan 5 Year Bond 0.10% 9/20/2021 | 2.3 | ||
Government of Japan 5 Year Bond 0.10% 12/20/2021 | 1.8 | ||
TOTAL | 14.5% |
% of Net Assets | |||
Foreign Government Obligations | 99.0% | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
Description | % of Total Investments | ||
Japan | 23.2% | ||
Italy | 9.4 | ||
France | 7.7 | ||
Germany | 7.3 | ||
Canada | 4.6 | ||
United Kingdom | 4.6 | ||
Spain | 4.6 | ||
South Korea | 4.5 | ||
China | 3.6 | ||
Australia | 3.5 | ||
TOTAL | 73.0% |
Description | % of Net Assets | ||
French Republic Government Bond OAT 1.85% 7/25/2027 | 1.4% | ||
United Kingdom Gilt Inflation Linked 1.25% 11/22/2055 | 1.4 | ||
United Kingdom Gilt Inflation Linked 0.50% 3/22/2050 | 1.4 | ||
Deutsche Bundesrepublik Inflation Linked Bond 0.50% 4/15/2030 | 1.4 | ||
Bonos de la Tesoreria de la Republica 3.00% 1/1/2044 | 1.4 | ||
TOTAL | 7.0% |
% of Net Assets | |||
Foreign Government Obligations | 99.6% | ||
Short-Term Investment | 0.2 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
Description | % of Total Investments | ||
United Kingdom | 22.5% | ||
France | 9.3 | ||
Italy | 6.6 | ||
Brazil | 6.3 | ||
Germany | 4.7 | ||
Turkey | 4.6 | ||
Canada | 4.6 | ||
Australia | 4.6 | ||
Japan | 4.6 | ||
Spain | 4.6 | ||
TOTAL | 72.4% |
Security Description | Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 97.8% | ||||||
BRAZIL — 5.8% | ||||||
Brazil Letras do Tesouro Nacional: | ||||||
Series LTN, Zero Coupon, 7/1/2021 | BRL | 14,450,000 | $ 2,570,987 | |||
Series LTN, Zero Coupon, 10/1/2021 | BRL | 18,200,000 | 3,206,512 | |||
Series LTN, Zero Coupon, 1/1/2022 | BRL | 26,735,000 | 4,658,699 | |||
Series LTN, Zero Coupon, 4/1/2022 | BRL | 3,000,000 | 516,016 | |||
Series LTN, Zero Coupon, 7/1/2022 | BRL | 23,000,000 | 3,904,068 | |||
Series LTN, Zero Coupon, 7/1/2023 | BRL | 24,200,000 | 3,845,869 | |||
Series LTN, Zero Coupon, 1/1/2024 | BRL | 14,100,000 | 2,156,745 | |||
Brazil Notas do Tesouro Nacional Serie F: | ||||||
Series NTNF, 10.00%, 1/1/2023 | BRL | 43,310,000 | 8,962,197 | |||
Series NTNF, 10.00%, 1/1/2025 | BRL | 28,850,000 | 6,156,824 | |||
Series NTNF, 10.00%, 1/1/2027 | BRL | 19,575,000 | 4,233,502 | |||
Series NTNF, 10.00%, 1/1/2029 | BRL | 11,890,000 | 2,605,431 | |||
Brazilian Government International Bond: | ||||||
8.50%, 1/5/2024 | BRL | 350,000 | 69,480 | |||
10.25%, 1/10/2028 | BRL | 1,000,000 | 212,628 | |||
12.50%, 1/5/2022 | BRL | 350,000 | 71,576 | |||
43,170,534 | ||||||
CHILE — 2.6% | ||||||
Bonos de la Tesoreria de la Republica en pesos: | ||||||
4.00%, 3/1/2023 (a) | CLP | 1,820,000,000 | 2,433,076 | |||
4.50%, 3/1/2026 | CLP | 2,725,000,000 | 3,886,076 | |||
4.70%, 9/1/2030 (a) | CLP | 2,240,000,000 | 3,285,364 | |||
5.00%, 3/1/2035 | CLP | 3,160,000,000 | 4,785,006 | |||
5.10%, 7/15/2050 | CLP | 950,000,000 | 1,589,396 | |||
Series 10YR, 6.00%, 1/1/2022 | CLP | 65,000,000 | 85,999 | |||
Series 30YR, 6.00%, 1/1/2043 | CLP | 1,970,000,000 | 3,542,927 | |||
19,607,844 | ||||||
CHINA — 10.0% | ||||||
China Development Bank: | ||||||
Series 1903, 3.30%, 2/1/2024 | CNY | 21,000,000 | 3,009,156 | |||
Series 1908, 3.42%, 7/2/2024 | CNY | 11,300,000 | 1,625,027 |
Security Description | Principal Amount | Value | |||
Series 1518, 3.74%, 9/10/2025 | CNY | 2,000,000 | $ 290,167 | ||
Series 1605, 3.80%, 1/25/2036 | CNY | 6,500,000 | 927,794 | ||
Series 1516, 3.94%, 7/10/2022 | CNY | 3,000,000 | 434,886 | ||
Series 1213, 4.21%, 3/22/2022 | CNY | 10,000,000 | 1,450,906 | ||
Series 1510, 4.21%, 4/13/2025 | CNY | 9,000,000 | 1,332,284 | ||
Series 1708, 4.30%, 8/21/2024 | CNY | 10,000,000 | 1,477,360 | ||
Series 1712, 4.44%, 11/9/2022 | CNY | 1,000,000 | 146,999 | ||
Series 1804, 4.69%, 3/23/2023 | CNY | 11,000,000 | 1,631,302 | ||
Series 1805, 4.88%, 2/9/2028 | CNY | 3,000,000 | 465,850 | ||
Series 1421, 5.10%, 8/7/2021 | CNY | 10,000,000 | 1,455,519 | ||
China Government Bond: | |||||
Series INBK, 1.99%, 4/9/2025 | CNY | 17,000,000 | 2,343,271 | ||
Series INBK, 2.20%, 2/13/2022 | CNY | 20,000,000 | 2,825,038 | ||
Series INBK, 2.24%, 3/5/2023 | CNY | 22,000,000 | 3,101,384 | ||
Series INBK, 2.68%, 5/21/2030 | CNY | 13,000,000 | 1,810,897 | ||
Series 1903, 2.69%, 3/7/2022 | CNY | 25,000,000 | 3,565,012 | ||
Series 1909, 2.74%, 7/11/2021 | CNY | 17,000,000 | 2,417,366 | ||
Series 1911, 2.75%, 8/8/2022 | CNY | 23,000,000 | 3,286,739 | ||
Series INBK, 2.85%, 6/4/2027 | CNY | 24,000,000 | 3,395,508 | ||
Series 1913, 2.94%, 10/17/2024 | CNY | 11,000,000 | 1,581,450 | ||
Series 1916, 3.12%, 12/5/2026 | CNY | 17,000,000 | 2,442,020 | ||
Series 1915, 3.13%, 11/21/2029 | CNY | 10,000,000 | 1,442,473 | ||
Series 1904, 3.19%, 4/11/2024 | CNY | 27,000,000 | 3,908,735 | ||
Series 1828, 3.22%, 12/6/2025 | CNY | 7,790,000 | 1,127,965 | ||
Series 1907, 3.25%, 6/6/2026 | CNY | 18,800,000 | 2,731,558 | ||
Series 1823, 3.29%, 10/18/2023 | CNY | 20,000,000 | 2,902,242 | ||
Series 1906, 3.29%, 5/23/2029 | CNY | 12,600,000 | 1,830,660 | ||
Series INBK, 3.39%, 3/16/2050 | CNY | 11,000,000 | 1,494,946 | ||
Series 1626, 3.48%, 11/21/2066 | CNY | 6,700,000 | 911,970 |
Security Description | Principal Amount | Value | |||
Series 1710, 3.52%, 5/4/2027 | CNY | 5,000,000 | $ 738,516 | ||
Series 1608, 3.52%, 4/25/2046 | CNY | 6,000,000 | 834,925 | ||
Series 1819, 3.54%, 8/16/2028 | CNY | 10,000,000 | 1,475,236 | ||
Series 1521, 3.74%, 9/22/2035 | CNY | 17,800,000 | 2,649,881 | ||
Series 1525, 3.74%, 10/20/2045 | CNY | 3,000,000 | 428,095 | ||
Series 1910, 3.86%, 7/22/2049 | CNY | 10,500,000 | 1,549,344 | ||
Series 1817, 3.97%, 7/23/2048 | CNY | 10,000,000 | 1,507,903 | ||
Series 1908, 4.00%, 6/24/2069 | CNY | 9,000,000 | 1,322,793 | ||
Series 1715, 4.05%, 7/24/2047 | CNY | 15,000,000 | 2,290,800 | ||
Series 1824, 4.08%, 10/22/2048 | CNY | 2,300,000 | 349,506 | ||
Series 1508, 4.09%, 4/27/2035 | CNY | 1,000,000 | 155,180 | ||
Series 1806, 4.22%, 3/19/2048 | CNY | 6,000,000 | 941,779 | ||
Series 1722, 4.28%, 10/23/2047 | CNY | 3,250,000 | 514,887 | ||
Series 1116, 4.50%, 6/23/2041 | CNY | 14,000,000 | 2,268,154 | ||
74,393,483 | |||||
COLOMBIA — 3.8% | |||||
Colombia Government International Bond: | |||||
4.38%, 3/21/2023 | COP | 1,610,000,000 | 431,276 | ||
9.85%, 6/28/2027 | COP | 115,000,000 | 38,719 | ||
Colombian TES: | |||||
Series B, 5.75%, 11/3/2027 | COP | 5,900,000,000 | 1,586,537 | ||
Series B, 6.00%, 4/28/2028 | COP | 14,715,000,000 | 3,995,457 | ||
Series B, 6.25%, 11/26/2025 | COP | 18,795,000,000 | 5,444,826 | ||
Series B, 7.00%, 5/4/2022 | COP | 12,254,000,000 | 3,501,638 | ||
Series B, 7.00%, 6/30/2032 | COP | 13,764,000,000 | 3,774,448 | ||
Series B, 7.25%, 10/18/2034 | COP | 7,825,000,000 | 2,175,582 | ||
Series B, 7.50%, 8/26/2026 | COP | 18,102,000,000 | 5,509,135 | ||
Series B, 7.75%, 9/18/2030 | COP | 5,200,000,000 | 1,523,017 | ||
27,980,635 |
Security Description | Principal Amount | Value | |||
CZECH REPUBLIC — 4.3% | |||||
Czech Republic Government Bond: | |||||
Series 100, 0.25%, 2/10/2027 | CZK | 70,100,000 | $ 2,872,632 | ||
Series 97, 0.45%, 10/25/2023 | CZK | 30,340,000 | 1,282,615 | ||
Series 94, 0.95%, 5/15/2030 | CZK | 72,470,000 | 3,091,422 | ||
Series 95, 1.00%, 6/26/2026 | CZK | 38,470,000 | 1,657,169 | ||
Series 103, 2.00%, 10/13/2033 | CZK | 28,850,000 | 1,377,357 | ||
Series 89, 2.40%, 9/17/2025 | CZK | 110,820,000 | 5,106,702 | ||
Series 78, 2.50%, 8/25/2028 | CZK | 78,240,000 | 3,761,061 | ||
Series 105, 2.75%, 7/23/2029 | CZK | 53,450,000 | 2,652,212 | ||
Series 61, 3.85%, 9/29/2021 | CZK | 76,070,000 | 3,354,344 | ||
Series 49, 4.20%, 12/4/2036 | CZK | 38,830,000 | 2,393,419 | ||
Series 52, 4.70%, 9/12/2022 | CZK | 17,200,000 | 798,032 | ||
Series 53, 4.85%, 11/26/2057 | CZK | 12,300,000 | 889,266 | ||
Series 58, 5.70%, 5/25/2024 | CZK | 54,750,000 | 2,786,979 | ||
32,023,210 | |||||
HUNGARY — 3.4% | |||||
Hungary Government Bond: | |||||
Series 25/C, 1.00%, 11/26/2025 | HUF | 160,000,000 | 498,616 | ||
Series 22/C, 1.50%, 8/24/2022 | HUF | 40,000,000 | 128,685 | ||
Series 22/B, 1.75%, 10/26/2022 | HUF | 1,038,500,000 | 3,362,233 | ||
Series 21/B, 2.50%, 10/27/2021 | HUF | 404,900,000 | 1,318,845 | ||
Series 24/C, 2.50%, 10/24/2024 | HUF | 902,600,000 | 3,017,535 | ||
Series 26/D, 2.75%, 12/22/2026 | HUF | 561,000,000 | 1,910,171 | ||
Series 24/B, 3.00%, 6/26/2024 | HUF | 500,330,000 | 1,701,977 | ||
Series 27/A, 3.00%, 10/27/2027 | HUF | 1,153,880,000 | 3,982,569 | ||
Series 30/A, 3.00%, 8/21/2030 | HUF | 340,000,000 | 1,160,239 | ||
Series 38/A, 3.00%, 10/27/2038 | HUF | 100,000,000 | 325,151 | ||
Series 31/A, 3.25%, 10/22/2031 | HUF | 515,000,000 | 1,798,839 | ||
Series 25/B, 5.50%, 6/24/2025 | HUF | 639,220,000 | 2,437,061 |
Security Description | Principal Amount | Value | |||
Series 23/A, 6.00%, 11/24/2023 | HUF | 197,340,000 | $ 728,949 | ||
Series 28/A, 6.75%, 10/22/2028 | HUF | 217,000,000 | 946,688 | ||
Series 22/A, 7.00%, 6/24/2022 | HUF | 422,790,000 | 1,507,607 | ||
24,825,165 | |||||
INDONESIA — 6.9% | |||||
Indonesia Treasury Bond: | |||||
Series FR63, 5.63%, 5/15/2023 | IDR | 26,555,000,000 | 1,833,475 | ||
Series FR64, 6.13%, 5/15/2028 | IDR | 41,000,000,000 | 2,686,741 | ||
Series FR62, 6.38%, 4/15/2042 | IDR | 1,700,000,000 | 98,787 | ||
Series FR81, 6.50%, 6/15/2025 | IDR | 70,000,000,000 | 4,883,584 | ||
Series FR61, 7.00%, 5/15/2022 | IDR | 26,633,000,000 | 1,920,335 | ||
Series FR59, 7.00%, 5/15/2027 | IDR | 50,000,000,000 | 3,500,175 | ||
Series FR82, 7.00%, 9/15/2030 | IDR | 33,500,000,000 | 2,306,892 | ||
Series FR76, 7.38%, 5/15/2048 | IDR | 7,700,000,000 | 515,040 | ||
Series FR74, 7.50%, 8/15/2032 | IDR | 26,300,000,000 | 1,811,451 | ||
Series FR80, 7.50%, 6/15/2035 | IDR | 23,600,000,000 | 1,631,101 | ||
Series FR75, 7.50%, 5/15/2038 | IDR | 16,910,000,000 | 1,158,782 | ||
Series FR83, 7.50%, 4/15/2040 | IDR | 23,000,000,000 | 1,586,251 | ||
Series FR85, 7.75%, 4/15/2031 | IDR | 3,000,000,000 | 212,183 | ||
Series FR77, 8.13%, 5/15/2024 | IDR | 86,000,000,000 | 6,357,438 | ||
Series FR53, 8.25%, 7/15/2021 | IDR | 15,475,000,000 | 1,118,620 | ||
Series FR78, 8.25%, 5/15/2029 | IDR | 26,400,000,000 | 1,966,925 | ||
Series FR58, 8.25%, 6/15/2032 | IDR | 3,710,000,000 | 269,842 | ||
Series FR72, 8.25%, 5/15/2036 | IDR | 33,090,000,000 | 2,401,428 | ||
Series FR70, 8.38%, 3/15/2024 | IDR | 56,100,000,000 | 4,166,755 | ||
Series FR68, 8.38%, 3/15/2034 | IDR | 44,400,000,000 | 3,266,982 | ||
Series FR79, 8.38%, 4/15/2039 | IDR | 21,000,000,000 | 1,543,724 | ||
Series FR73, 8.75%, 5/15/2031 | IDR | 9,050,000,000 | 687,382 | ||
Series FR67, 8.75%, 2/15/2044 | IDR | 7,050,000,000 | 526,245 | ||
Series FR71, 9.00%, 3/15/2029 | IDR | 6,000,000,000 | 465,047 |
Security Description | Principal Amount | Value | |||
Series FR57, 9.50%, 5/15/2041 | IDR | 1,000,000,000 | $ 79,468 | ||
Series FR45, 9.75%, 5/15/2037 | IDR | 1,250,000,000 | 100,298 | ||
Series FR34, 12.80%, 6/15/2021 | IDR | 350,000,000 | 26,285 | ||
Perusahaan Penerbit SBSN Indonesia: | |||||
Series PBS, 6.63%, 10/15/2024 | IDR | 10,000,000,000 | 703,885 | ||
Series PBS, 8.75%, 8/15/2023 | IDR | 3,800,000,000 | 283,331 | ||
Series PBS, 8.88%, 11/15/2031 | IDR | 34,200,000,000 | 2,640,475 | ||
50,748,927 | |||||
ISRAEL — 4.5% | |||||
Israel Government Bond: | |||||
Series 0425, 0.50%, 4/30/2025 | ILS | 2,300,000 | 668,578 | ||
Series 0722, 0.75%, 7/31/2022 | ILS | 1,200,000 | 349,775 | ||
Series 1122, 1.25%, 11/30/2022 | ILS | 7,760,000 | 2,302,556 | ||
Series 1123, 1.50%, 11/30/2023 | ILS | 9,335,000 | 2,816,088 | ||
Series 0825, 1.75%, 8/31/2025 | ILS | 1,080,000 | 334,858 | ||
Series 0327, 2.00%, 3/31/2027 | ILS | 11,850,000 | 3,780,889 | ||
Series 0928, 2.25%, 9/28/2028 | ILS | 10,595,000 | 3,483,868 | ||
Series 0324, 3.75%, 3/31/2024 | ILS | 7,500,000 | 2,451,887 | ||
Series 0347, 3.75%, 3/31/2047 | ILS | 7,875,000 | 3,359,149 | ||
Series 0323, 4.25%, 3/31/2023 | ILS | 9,350,000 | 3,003,843 | ||
Series 0122, 5.50%, 1/31/2022 | ILS | 7,495,000 | 2,351,173 | ||
Series 0142, 5.50%, 1/31/2042 | ILS | 9,010,000 | 4,636,132 | ||
Series 1026, 6.25%, 10/30/2026 | ILS | 8,125,000 | 3,206,544 | ||
Israel Government Bond - Fixed Series 0330, 1.00%, 3/31/2030 | ILS | 1,000,000 | 298,955 | ||
33,044,295 | |||||
MALAYSIA — 6.2% | |||||
Malaysia Government Bond: | |||||
Series 0313, 3.48%, 3/15/2023 | MYR | 1,860,000 | 447,776 | ||
Series 0313, 3.48%, 3/15/2023 | MYR | 7,500,000 | 1,805,548 | ||
Series 0319, 3.48%, 6/14/2024 | MYR | 2,800,000 | 678,835 |
Security Description | Principal Amount | Value | |||
Series 0307, 3.50%, 5/31/2027 | MYR | 7,600,000 | $ 1,859,934 | ||
Series 0218, 3.76%, 4/20/2023 | MYR | 10,200,000 | 2,475,856 | ||
Series 0519, 3.76%, 5/22/2040 | MYR | 1,950,000 | 462,553 | ||
Series 0215, 3.80%, 9/30/2022 | MYR | 4,795,000 | 1,157,645 | ||
Series 0116, 3.80%, 8/17/2023 | MYR | 4,131,000 | 1,006,237 | ||
Series 0419, 3.83%, 7/5/2034 | MYR | 2,000,000 | 492,065 | ||
Series 0413, 3.84%, 4/15/2033 | MYR | 6,360,000 | 1,560,903 | ||
Series 0118, 3.88%, 3/14/2025 | MYR | 2,800,000 | 692,238 | ||
Series 0212, 3.89%, 3/15/2027 | MYR | 600,000 | 149,585 | ||
Series 0219, 3.89%, 8/15/2029 | MYR | 7,100,000 | 1,786,913 | ||
Series 0316, 3.90%, 11/30/2026 | MYR | 3,315,000 | 826,115 | ||
Series 0417, 3.90%, 11/16/2027 | MYR | 2,550,000 | 637,556 | ||
Series 0119, 3.91%, 7/15/2026 | MYR | 2,240,000 | 557,646 | ||
Series 0115, 3.96%, 9/15/2025 | MYR | 7,362,000 | 1,840,225 | ||
Series 0314, 4.05%, 9/30/2021 | MYR | 2,420,000 | 578,346 | ||
Series 0217, 4.06%, 9/30/2024 | MYR | 915,000 | 227,211 | ||
Series 0412, 4.13%, 4/15/2032 | MYR | 800,000 | 202,046 | ||
Series 0114, 4.18%, 7/15/2024 | MYR | 3,797,000 | 945,410 | ||
Series 0415, 4.25%, 5/31/2035 | MYR | 1,650,000 | 420,198 | ||
Series 0318, 4.64%, 11/7/2033 | MYR | 4,180,000 | 1,110,848 | ||
Series 0216, 4.74%, 3/15/2046 | MYR | 4,425,000 | 1,144,744 | ||
Series 0317, 4.76%, 4/7/2037 | MYR | 3,135,000 | 841,224 | ||
Series 3/05, 4.84%, 7/15/2025 | MYR | 170,000 | 43,889 | ||
Series 0418, 4.89%, 6/8/2038 | MYR | 4,000,000 | 1,087,883 | ||
Series 0518, 4.92%, 7/6/2048 | MYR | 3,000,000 | 804,325 | ||
Series 0713, 4.94%, 9/30/2043 | MYR | 300,000 | 80,222 | ||
Malaysia Government Investment Issue: | |||||
Series 0220, 3.47%, 10/15/2030 | MYR | 3,000,000 | 737,223 |
Security Description | Principal Amount | Value | |||
Series 0419, 3.66%, 10/15/2024 | MYR | 7,500,000 | $ 1,830,489 | ||
Series 0418, 3.73%, 3/31/2022 | MYR | 1,630,000 | 390,456 | ||
Series 0317, 3.95%, 4/14/2022 | MYR | 2,120,000 | 509,961 | ||
Series 0217, 4.05%, 8/15/2024 | MYR | 3,400,000 | 842,033 | ||
Series 0316, 4.07%, 9/30/2026 | MYR | 4,425,000 | 1,113,453 | ||
Series 0318, 4.09%, 11/30/2023 | MYR | 4,570,000 | 1,125,672 | ||
Series 0118, 4.13%, 8/15/2025 | MYR | 3,350,000 | 840,652 | ||
Series 0119, 4.13%, 7/9/2029 | MYR | 6,000,000 | 1,525,603 | ||
Series 0115, 4.19%, 7/15/2022 | MYR | 4,020,000 | 975,192 | ||
Series 0117, 4.26%, 7/26/2027 | MYR | 5,920,000 | 1,514,920 | ||
Series 0218, 4.37%, 10/31/2028 | MYR | 6,980,000 | 1,801,004 | ||
Series 0116, 4.39%, 7/7/2023 | MYR | 2,390,000 | 590,342 | ||
Series 0813, 4.44%, 5/22/2024 | MYR | 2,300,000 | 576,238 | ||
Series 0219, 4.47%, 9/15/2039 | MYR | 4,200,000 | 1,078,538 | ||
Series 0513, 4.58%, 8/30/2033 | MYR | 7,400,000 | 1,932,293 | ||
Series 0519, 4.64%, 11/15/2049 | MYR | 3,500,000 | 903,433 | ||
Series 0517, 4.76%, 8/4/2037 | MYR | 3,300,000 | 882,906 | ||
Series 0615, 4.79%, 10/31/2035 | MYR | 810,000 | 215,500 | ||
Series 0417, 4.90%, 5/8/2047 | MYR | 1,500,000 | 402,585 | ||
45,712,469 | |||||
MEXICO — 4.5% | |||||
Mexican Bonos: | |||||
Series M, 5.75%, 3/5/2026 | MXN | 46,640,000 | 2,071,904 | ||
Series M, 6.50%, 6/9/2022 | MXN | 77,278,000 | 3,457,461 | ||
Series M, 6.75%, 3/9/2023 | MXN | 22,000,000 | 1,000,659 | ||
Series M, 7.25%, 12/9/2021 | MXN | 36,240,000 | 1,623,750 | ||
Series M 20, 7.50%, 6/3/2027 | MXN | 74,430,000 | 3,587,599 | ||
Series M, 7.75%, 5/29/2031 | MXN | 43,028,000 | 2,104,288 | ||
Series M, 7.75%, 11/13/2042 | MXN | 26,980,000 | 1,275,300 | ||
Series M, 8.00%, 12/7/2023 | MXN | 67,680,000 | 3,226,597 |
Security Description | Principal Amount | Value | |||
Series M, 8.00%, 9/5/2024 | MXN | 51,200,000 | $ 2,476,975 | ||
Series M, 8.00%, 11/7/2047 | MXN | 37,420,000 | 1,814,482 | ||
Series M 20, 8.50%, 5/31/2029 | MXN | 69,485,000 | 3,559,411 | ||
Series M 30, 8.50%, 11/18/2038 | MXN | 87,240,000 | 4,479,606 | ||
Series M 20, 10.00%, 12/5/2024 | MXN | 49,695,000 | 2,587,594 | ||
33,265,626 | |||||
PERU — 3.0% | |||||
Peru Government Bond: | |||||
5.35%, 8/12/2040 (a) | PEN | 3,900,000 | 1,107,021 | ||
5.40%, 8/12/2034 (a) | PEN | 3,850,000 | 1,147,303 | ||
5.94%, 2/12/2029 (a) | PEN | 5,825,000 | 1,901,761 | ||
6.15%, 8/12/2032 (a) | PEN | 12,657,000 | 4,090,639 | ||
6.71%, 2/12/2055 | PEN | 1,000,000 | 332,248 | ||
6.90%, 8/12/2037 | PEN | 11,075,000 | 3,762,802 | ||
6.95%, 8/12/2031 | PEN | 8,370,000 | 2,881,674 | ||
8.20%, 8/12/2026 | PEN | 1,300,000 | 475,384 | ||
Peruvian Government International Bond: | |||||
Series REGS, 5.70%, 8/12/2024 | PEN | 1,400,000 | 460,153 | ||
Series REGS, 6.35%, 8/12/2028 | PEN | 6,910,000 | 2,314,438 | ||
Series REGS, 6.71%, 2/12/2055 | PEN | 475,000 | 157,818 | ||
Series REGS, 6.85%, 2/12/2042 | PEN | 3,425,000 | 1,139,668 | ||
Series REGS, 8.20%, 8/12/2026 | PEN | 6,935,000 | 2,535,994 | ||
22,306,903 | |||||
PHILIPPINES — 4.9% | |||||
Philippine Government Bond: | |||||
Series 7-57, 3.50%, 3/20/2021 | PHP | 77,450,000 | 1,571,054 | ||
Series 7-58, 3.50%, 4/21/2023 | PHP | 3,500,000 | 72,635 | ||
Series R105, 3.50%, 9/20/2026 | PHP | 22,000,000 | 460,338 | ||
Series 2020, 3.63%, 3/21/2033 | PHP | 18,150,000 | 363,800 | ||
Series 5-74, 4.00%, 1/26/2022 | PHP | 173,800,000 | 3,588,001 | ||
Series 1059, 4.13%, 8/20/2024 | PHP | 13,700,000 | 292,113 | ||
Series 3-23, 4.25%, 1/25/2021 | PHP | 59,050,000 | 1,201,201 | ||
Series 7-59, 4.50%, 4/20/2024 | PHP | 68,200,000 | 1,476,670 | ||
Series R511, 4.63%, 12/4/2022 | PHP | 41,850,000 | 888,410 |
Security Description | Principal Amount | Value | |||
Series 2511, 4.63%, 9/9/2040 | PHP | 68,100,000 | $ 1,533,836 | ||
Series 3-24, 4.75%, 7/4/2022 | PHP | 27,000,000 | 569,969 | ||
Series 1061, 4.75%, 5/4/2027 | PHP | 173,450,000 | 3,893,929 | ||
Series 2021, 5.25%, 5/18/2037 | PHP | 48,800,000 | 1,202,892 | ||
Series 5-75, 5.50%, 3/8/2023 | PHP | 32,000,000 | 697,761 | ||
Series 7-61, 5.75%, 4/12/2025 | PHP | 89,500,000 | 2,073,932 | ||
Series R251, 6.13%, 10/24/2037 | PHP | 72,000,000 | 1,880,580 | ||
Series 7-62, 6.25%, 2/14/2026 | PHP | 105,000,000 | 2,526,363 | ||
Series 1063, 6.25%, 3/22/2028 | PHP | 97,700,000 | 2,442,508 | ||
Series 1054, 6.38%, 1/19/2022 | PHP | 4,700,000 | 100,372 | ||
Series 2023, 6.75%, 1/24/2039 | PHP | 57,000,000 | 1,676,228 | ||
Series 1064, 6.88%, 1/10/2029 | PHP | 34,000,000 | 897,746 | ||
Series 2017, 8.00%, 7/19/2031 | PHP | 166,737,338 | 4,974,293 | ||
Series 25-8, 8.13%, 12/16/2035 | PHP | 13,300,000 | 409,005 | ||
Philippine Government International Bond: | |||||
3.90%, 11/26/2022 | PHP | 31,000,000 | 628,513 | ||
6.25%, 1/14/2036 | PHP | 20,000,000 | 494,841 | ||
35,916,990 | |||||
POLAND — 4.2% | |||||
Poland Government Bond: | |||||
Series 0425, 0.75%, 4/25/2025 | PLN | 20,000,000 | 5,083,342 | ||
Series 1030, 1.25%, 10/25/2030 | PLN | 15,000,000 | 3,744,393 | ||
Series 0422, 2.25%, 4/25/2022 | PLN | 8,900,000 | 2,338,323 | ||
Series 1024, 2.25%, 10/25/2024 | PLN | 6,000,000 | 1,626,616 | ||
Series 0123, 2.50%, 1/25/2023 | PLN | 9,580,000 | 2,564,347 | ||
Series 0424, 2.50%, 4/25/2024 | PLN | 10,000,000 | 2,725,218 | ||
Series 0428, 2.75%, 4/25/2028 | PLN | 26,700,000 | 7,492,103 | ||
Series 1029, 2.75%, 10/25/2029 | PLN | 340,000 | 96,624 | ||
Series 1023, 4.00%, 10/25/2023 | PLN | 4,960,000 | 1,403,493 | ||
Series 1021, 5.75%, 10/25/2021 | PLN | 14,820,000 | 4,026,106 | ||
31,100,565 |
Security Description | Principal Amount | Value | |||
ROMANIA — 3.1% | |||||
Romania Government Bond: | |||||
Series 7Y, 3.25%, 4/29/2024 | RON | 1,300,000 | $ 297,951 | ||
Series 5Y, 3.40%, 3/8/2022 | RON | 11,410,000 | 2,647,991 | ||
Series 5Y, 3.65%, 7/28/2025 | RON | 4,000,000 | 924,435 | ||
Series 15Y, 3.65%, 9/24/2031 | RON | 6,750,000 | 1,482,350 | ||
Series 3Y, 4.00%, 10/27/2021 | RON | 6,510,000 | 1,524,957 | ||
Series 3Y, 4.00%, 8/8/2022 | RON | 2,750,000 | 645,530 | ||
Series 3Y, 4.00%, 10/25/2023 | RON | 2,000,000 | 470,195 | ||
Series 5Y, 4.25%, 6/28/2023 | RON | 10,590,000 | 2,506,938 | ||
Series 4.3Y, 4.40%, 9/25/2023 | RON | 4,100,000 | 975,535 | ||
Series 5Y, 4.50%, 6/17/2024 | RON | 14,200,000 | 3,401,660 | ||
Series 10Y, 4.75%, 2/24/2025 | RON | 7,625,000 | 1,847,953 | ||
Series 7Y, 4.85%, 4/22/2026 | RON | 6,175,000 | 1,511,414 | ||
Series 10Y, 5.00%, 2/12/2029 | RON | 12,025,000 | 2,996,274 | ||
Series 15YR, 5.80%, 7/26/2027 | RON | 1,640,000 | 426,718 | ||
Series 10Y, 5.85%, 4/26/2023 | RON | 4,000,000 | 985,941 | ||
22,645,842 | |||||
RUSSIA — 4.3% | |||||
Russian Federal Bond - OFZ: | |||||
Series 5084, 5.30%, 10/4/2023 | RUB | 28,000,000 | 399,756 | ||
Series 6223, 6.50%, 2/28/2024 | RUB | 30,000,000 | 442,187 | ||
Series 6224, 6.90%, 5/23/2029 | RUB | 65,000,000 | 986,698 | ||
Series 5083, 7.00%, 12/15/2021 | RUB | 65,630,000 | 953,856 | ||
Series 6211, 7.00%, 1/25/2023 | RUB | 35,900,000 | 532,844 | ||
Series 6215, 7.00%, 8/16/2023 | RUB | 172,000,000 | 2,571,368 | ||
Series 6212, 7.05%, 1/19/2028 | RUB | 43,115,000 | 660,009 | ||
Series 6222, 7.10%, 10/16/2024 | RUB | 165,241,000 | 2,504,783 | ||
Series 6229, 7.15%, 11/12/2025 | RUB | 112,500,000 | 1,719,699 | ||
Series 6225, 7.25%, 5/10/2034 | RUB | 134,270,000 | 2,091,656 |
Security Description | Principal Amount | Value | |||
Series 6220, 7.40%, 12/7/2022 | RUB | 40,951,000 | $ 611,785 | ||
Series 6227, 7.40%, 7/17/2024 | RUB | 254,500,000 | 3,886,020 | ||
Series 6209, 7.60%, 7/20/2022 | RUB | 179,630,000 | 2,672,654 | ||
Series 6228, 7.65%, 4/10/2030 | RUB | 60,000,000 | 954,804 | ||
Series 6221, 7.70%, 3/23/2033 | RUB | 221,060,000 | 3,549,803 | ||
Series 6230, 7.70%, 3/16/2039 | RUB | 32,500,000 | 534,107 | ||
Series 6219, 7.75%, 9/16/2026 | RUB | 122,790,000 | 1,941,961 | ||
Series 6226, 7.95%, 10/7/2026 | RUB | 144,400,000 | 2,303,367 | ||
Series 6218, 8.50%, 9/17/2031 | RUB | 163,892,000 | 2,778,816 | ||
32,096,173 | |||||
SOUTH AFRICA — 4.4% | |||||
South Africa Government Bond: | |||||
Series R209, 6.25%, 3/31/2036 | ZAR | 25,761,000 | 984,486 | ||
Series R214, 6.50%, 2/28/2041 | ZAR | 14,330,000 | 524,705 | ||
Series R214, 6.50%, 2/28/2041 | ZAR | 18,400,000 | 673,731 | ||
Series R213, 7.00%, 2/28/2031 | ZAR | 23,352,000 | 1,105,037 | ||
Series R213, 7.00%, 2/28/2031 | ZAR | 15,500,000 | 733,473 | ||
Series 2023, 7.75%, 2/28/2023 | ZAR | 42,580,000 | 2,615,576 | ||
Series 2030, 8.00%, 1/31/2030 | ZAR | 80,855,000 | 4,298,657 | ||
Series 2032, 8.25%, 3/31/2032 | ZAR | 35,370,000 | 1,775,176 | ||
Series 2037, 8.50%, 1/31/2037 | ZAR | 61,847,000 | 2,877,190 | ||
Series 2044, 8.75%, 1/31/2044 | ZAR | 57,526,000 | 2,609,942 | ||
Series 2048, 8.75%, 2/28/2048 | ZAR | 35,180,000 | 1,594,084 | ||
Series 2048, 8.75%, 2/28/2048 | ZAR | 57,000,000 | 2,582,797 | ||
Series 2035, 8.88%, 2/28/2035 | ZAR | 45,230,000 | 2,238,533 | ||
Series 2040, 9.00%, 1/31/2040 | ZAR | 34,290,000 | 1,631,118 | ||
Series R186, 10.50%, 12/21/2026 | ZAR | 96,705,000 | 6,348,301 | ||
32,592,806 |
Security Description | Principal Amount | Value | |||
SOUTH KOREA — 12.4% | |||||
Korea Treasury Bond: | |||||
Series 2306, 1.00%, 6/10/2023 | KRW | 1,500,000,000 | $ 1,252,303 | ||
Series 3909, 1.13%, 9/10/2039 | KRW | 1,000,000,000 | 766,650 | ||
Series 2212, 1.25%, 12/10/2022 | KRW | 2,859,000,000 | 2,399,637 | ||
Series 2109, 1.38%, 9/10/2021 | KRW | 5,412,800,000 | 4,539,282 | ||
Series 2409, 1.38%, 9/10/2024 | KRW | 2,000,000,000 | 1,683,688 | ||
Series 2912, 1.38%, 12/10/2029 | KRW | 3,400,000,000 | 2,822,868 | ||
Series 3006, 1.38%, 6/10/2030 | KRW | 2,100,000,000 | 1,743,864 | ||
Series 2612, 1.50%, 12/10/2026 | KRW | 4,344,000,000 | 3,663,753 | ||
Series 3609, 1.50%, 9/10/2036 | KRW | 5,363,000,000 | 4,453,709 | ||
Series 5003, 1.50%, 3/10/2050 | KRW | 2,480,000,000 | 2,002,946 | ||
Series 2206, 1.63%, 6/10/2022 | KRW | 1,900,000,000 | 1,604,392 | ||
Series 2403, 1.88%, 3/10/2024 | KRW | 2,650,000,000 | 2,272,691 | ||
Series 2606, 1.88%, 6/10/2026 | KRW | 2,209,000,000 | 1,903,220 | ||
Series 2906, 1.88%, 6/10/2029 | KRW | 4,520,000,000 | 3,916,872 | ||
Series 2209, 2.00%, 9/10/2022 | KRW | 200,000 | 170 | ||
Series 4603, 2.00%, 3/10/2046 | KRW | 1,370,000,000 | 1,230,049 | ||
Series 4903, 2.00%, 3/10/2049 | KRW | 5,135,000,000 | 4,639,396 | ||
Series 2706, 2.13%, 6/10/2027 | KRW | 6,062,000,000 | 5,317,817 | ||
Series 4703, 2.13%, 3/10/2047 | KRW | 5,812,000,000 | 5,359,917 | ||
Series 2309, 2.25%, 9/10/2023 | KRW | 5,590,000,000 | 4,838,125 | ||
Series 2506, 2.25%, 6/10/2025 | KRW | 30,000,000 | 26,225 | ||
Series 3709, 2.25%, 9/10/2037 | KRW | 3,570,000,000 | 3,283,632 | ||
Series 2303, 2.38%, 3/10/2023 | KRW | 3,918,000,000 | 3,386,412 | ||
Series 2712, 2.38%, 12/10/2027 | KRW | 5,600,000,000 | 5,003,445 | ||
Series 2812, 2.38%, 12/10/2028 | KRW | 1,839,000,000 | 1,650,895 | ||
Series 3809, 2.38%, 9/10/2038 | KRW | 3,209,000,000 | 3,002,572 | ||
Series 2806, 2.63%, 6/10/2028 | KRW | 5,735,000,000 | 5,226,405 |
Security Description | Principal Amount | Value | |||
Series 3509, 2.63%, 9/10/2035 | KRW | 870,000,000 | $ 834,676 | ||
Series 4803, 2.63%, 3/10/2048 | KRW | 6,754,000,000 | 6,870,246 | ||
Series 2303, 3.00%, 3/10/2023 | KRW | 2,580,000,000 | 2,265,775 | ||
Series 4212, 3.00%, 12/10/2042 | KRW | 265,000,000 | 277,788 | ||
Series 2403, 3.50%, 3/10/2024 | KRW | 2,640,000,000 | 2,393,340 | ||
Series 2206, 3.75%, 6/10/2022 | KRW | 580,000,000 | 509,477 | ||
Series 3112, 4.00%, 12/10/2031 | KRW | 395,000,000 | 417,731 | ||
91,559,968 | |||||
SUPRANATIONAL — 0.1% | |||||
International Bank for Reconstruction & Development Series GDIF, 4.00%, 5/30/2023 | PEN | 3,500,000 | 1,051,218 | ||
THAILAND — 6.2% | |||||
Thailand Government Bond: | |||||
1.45%, 12/17/2024 | THB | 47,680,000 | 1,588,506 | ||
1.60%, 12/17/2029 | THB | 15,000,000 | 502,492 | ||
1.60%, 6/17/2035 | THB | 27,000,000 | 878,689 | ||
1.88%, 6/17/2022 | THB | 47,380,000 | 1,575,401 | ||
2.00%, 12/17/2022 | THB | 76,602,000 | 2,569,867 | ||
2.13%, 12/17/2026 | THB | 96,880,000 | 3,355,116 | ||
2.40%, 12/17/2023 | THB | 112,400,000 | 3,859,147 | ||
2.88%, 12/17/2028 | THB | 87,510,000 | 3,211,466 | ||
2.88%, 6/17/2046 | THB | 56,715,000 | 2,153,974 | ||
3.30%, 6/17/2038 | THB | 10,000,000 | 401,649 | ||
3.40%, 6/17/2036 | THB | 68,460,000 | 2,764,931 | ||
3.58%, 12/17/2027 | THB | 4,650,000 | 177,109 | ||
3.60%, 6/17/2067 | THB | 33,200,000 | 1,419,216 | ||
3.63%, 6/16/2023 | THB | 9,000 | 317 | ||
3.65%, 12/17/2021 | THB | 84,611,000 | 2,865,779 | ||
3.65%, 6/20/2031 | THB | 19,575,000 | 772,985 | ||
3.78%, 6/25/2032 | THB | 98,120,000 | 3,957,083 | ||
3.80%, 6/14/2041 | THB | 12,750,000 | 543,724 | ||
3.85%, 12/12/2025 | THB | 19,632,000 | 734,765 | ||
3.85%, 12/12/2025 | THB | 34,250,000 | 1,281,871 | ||
4.00%, 6/17/2066 | THB | 54,280,000 | 2,528,743 | ||
4.68%, 6/29/2044 | THB | 64,500,000 | 3,153,958 | ||
4.85%, 6/17/2061 | THB | 48,195,000 | 2,556,095 | ||
4.88%, 6/22/2029 | THB | 22,564,000 | 949,382 | ||
4.88%, 6/22/2029 | THB | 44,720,000 | 1,881,598 | ||
5.67%, 3/13/2028 | THB | 10,000,000 | 431,693 | ||
46,115,556 | |||||
TURKEY — 3.2% | |||||
Turkey Government Bond: | |||||
7.10%, 3/8/2023 | TRY | 2,225,000 | 305,036 | ||
8.00%, 3/12/2025 | TRY | 8,130,000 | 1,084,040 |
Security Description | Principal Amount | Value | ||||
8.50%, 9/14/2022 | TRY | 12,050,000 | $ 1,733,294 | |||
8.80%, 9/27/2023 | TRY | 2,300,000 | 325,803 | |||
9.00%, 7/24/2024 | TRY | 13,050,000 | 1,835,253 | |||
9.20%, 9/22/2021 | TRY | 17,160,000 | 2,513,387 | |||
10.40%, 3/20/2024 | TRY | 1,760,000 | 260,223 | |||
10.50%, 8/11/2027 | TRY | 9,580,000 | 1,333,283 | |||
10.60%, 2/11/2026 | TRY | 7,104,000 | 1,020,816 | |||
10.70%, 8/17/2022 | TRY | 11,190,000 | 1,678,153 | |||
11.00%, 3/2/2022 | TRY | 22,200,000 | 3,329,312 | |||
11.00%, 2/24/2027 | TRY | 13,298,000 | 1,897,289 | |||
12.20%, 1/18/2023 | TRY | 26,470,000 | 4,089,388 | |||
12.40%, 3/8/2028 | TRY | 8,050,000 | 1,227,215 | |||
16.20%, 6/14/2023 | TRY | 5,850,000 | 989,970 | |||
23,622,462 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $745,690,136) | 723,780,671 | |||||
TOTAL INVESTMENTS — 97.8% (Cost $745,690,136) | 723,780,671 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.2% | 16,557,212 | |||||
NET ASSETS — 100.0% | $ 740,337,883 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.9% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peru Nuevo Sol |
PHP | Philippines Peso |
PLN | Polish Zloty |
RON | Romania New Leu |
RUB | Russian Ruble |
THB | Thai Baht |
TRY | Turkish New Lira |
ZAR | South African Rand |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Barclays Capital | USD 5,501,892 | 39,000,000 | 08/06/2020 | $ 6,458 | ||||
Citibank N.A. | USD 4,938,968 | 35,000,000 | 08/06/2020 | 4,423 | ||||
Goldman Sachs Capital Markets L.P. | CNH 7,000,000 | 989,248 | 07/07/2020 | (936) | ||||
Goldman Sachs Capital Markets L.P. | USD 989,305 | 7,000,000 | 07/07/2020 | 879 | ||||
Goldman Sachs Capital Markets L.P. | CNH 7,000,000 | 987,745 | 08/06/2020 | (933) | ||||
HSBC Bank USA | USD 3,233,504 | 100,000,000 | 07/07/2020 | 2,106 | ||||
HSBC Bank USA | THB 100,000,000 | 3,237,713 | 07/07/2020 | 2,103 | ||||
HSBC Bank USA | USD 3,238,447 | 100,000,000 | 08/06/2020 | (3,091) | ||||
HSBC Bank USA | THB 100,000,000 | 3,237,312 | 08/06/2020 | 1,957 | ||||
JP Morgan Chase Bank, N.A. | CNH 5,000,000 | 701,286 | 07/07/2020 | (5,988) | ||||
JP Morgan Chase Bank, N.A. | CNH 72,000,000 | 10,157,330 | 07/07/2020 | (27,420) | ||||
JP Morgan Chase Bank, N.A. | USD 7,819,451 | 31,000,000 | 07/07/2020 | 17,653 | ||||
JP Morgan Chase Bank, N.A. | PLN 31,000,000 | 7,801,859 | 07/07/2020 | (35,245) | ||||
JP Morgan Chase Bank, N.A. | USD 10,884,623 | 77,000,000 | 07/07/2020 | 7,401 | ||||
JP Morgan Chase Bank, N.A. | USD 7,802,692 | 31,000,000 | 08/06/2020 | 35,266 | ||||
JP Morgan Chase Bank, N.A. | CNH 77,000,000 | 10,868,108 | 08/06/2020 | (7,353) | ||||
Societe Generale | USD 799,689 | 2,985,000,000 | 07/07/2020 | (1,753) | ||||
Societe Generale | COP 2,800,000,000 | 750,872 | 07/07/2020 | 2,389 | ||||
Societe Generale | COP 185,000,000 | 49,307 | 07/07/2020 | (146) | ||||
Societe Generale | USD 49,189 | 185,000,000 | 08/06/2020 | 133 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Societe Generale | COP 1,200,000,000 | 318,895 | 08/06/2020 | $ (1,034) | ||||
Standard Chartered Bank | USD 1,775,322 | 6,650,000,000 | 07/07/2020 | 2,325 | ||||
Standard Chartered Bank | PHP 115,000,000 | 2,294,493 | 07/07/2020 | (16,401) | ||||
Standard Chartered Bank | COP 6,650,000,000 | 1,770,548 | 07/07/2020 | (7,099) | ||||
Standard Chartered Bank | USD 2,307,893 | 115,000,000 | 07/07/2020 | 3,001 | ||||
Standard Chartered Bank | USD 1,770,497 | 6,650,000,000 | 08/06/2020 | 2,440 | ||||
Standard Chartered Bank | PHP 115,000,000 | 2,303,847 | 08/06/2020 | (4,069) | ||||
Westpac Banking Corp. | PLN 10,000,000 | 2,522,569 | 08/06/2020 | (5,805) | ||||
Westpac Banking Corp. | PLN 13,000,000 | 3,286,463 | 08/06/2020 | (422) | ||||
Total | $(29,161) |
COP | Colombian Peso |
PHP | Philippines Peso |
PLN | Polish Zloty |
THB | Thai Baht |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government Obligations | $— | $723,780,671 | $— | $723,780,671 | ||||
TOTAL INVESTMENTS | $— | $723,780,671 | $— | $723,780,671 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | — | 88,534 | — | 88,534 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $— | $723,751,510 | $— | $723,751,510 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | — | (117,695) | — | (117,695) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $ (117,695) | $— | $ (117,695) |
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,199,472 | $5,199,472 | $123,912,309 | $129,111,781 | $— | $— | — | $— | $32,482 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 18,381,600 | 18,381,600 | — | — | — | — | 485 | ||||||||
Total | $5,199,472 | $142,293,909 | $147,493,381 | $— | $— | $— | $32,967 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 98.5% | ||||||
AUSTRALIA — 1.2% | ||||||
Australia & New Zealand Banking Group, Ltd. 0.75%, 9/29/2026 | EUR | 100,000 | $ 116,833 | |||
BHP Billiton Finance, Ltd. Series 12, 4.30%, 9/25/2042 | GBP | 200,000 | 362,328 | |||
National Australia Bank, Ltd.: | ||||||
Series GMTN, 1.25%, 5/18/2026 | EUR | 200,000 | 239,186 | |||
Series GMTN, 1.38%, 8/30/2028 | EUR | 100,000 | 122,648 | |||
Series EMTN, 2.75%, 8/8/2022 | EUR | 250,000 | 297,227 | |||
Telstra Corp., Ltd.: | ||||||
Series EMTN, 2.50%, 9/15/2023 | EUR | 100,000 | 120,274 | |||
Series EMTN, 3.50%, 9/21/2022 | EUR | 200,000 | 240,781 | |||
Westpac Banking Corp. Series EMTN, 0.25%, 1/17/2022 | EUR | 150,000 | 169,093 | |||
1,668,370 | ||||||
AUSTRIA — 0.1% | ||||||
OMV AG Series EMTN, 1.00%, 12/14/2026 | EUR | 100,000 | 116,867 | |||
BELGIUM — 2.5% | ||||||
Anheuser-Busch InBev SA: | ||||||
Series EMTN, 0.80%, 4/20/2023 | EUR | 100,000 | 114,129 | |||
Series EMTN, 0.88%, 3/17/2022 | EUR | 300,000 | 340,998 | |||
Series EMTN, 1.13%, 7/1/2027 | EUR | 200,000 | 229,193 | |||
Series EMTN, 1.15%, 1/22/2027 | EUR | 100,000 | 114,842 | |||
Series EMTN, 1.50%, 3/17/2025 (a) | EUR | 300,000 | 354,120 | |||
Series EMTN, 1.50%, 4/18/2030 | EUR | 200,000 | 231,686 | |||
Series EMTN, 1.65%, 3/28/2031 | EUR | 500,000 | 578,213 | |||
Series EMTN, 2.00%, 3/17/2028 | EUR | 380,000 | 459,470 | |||
Series EMTN, 2.25%, 5/24/2029 | GBP | 100,000 | 127,607 | |||
Series EMTN, 2.75%, 3/17/2036 | EUR | 600,000 | 742,947 | |||
Series EMTN, 2.85%, 5/25/2037 | GBP | 100,000 | 131,151 | |||
KBC Group NV Series EMTN, 0.75%, 3/1/2022 | EUR | 200,000 | 226,579 | |||
3,650,935 |
Security Description | Principal Amount | Value | |||
CANADA — 0.9% | |||||
Bank of Montreal Series EMTN, 0.25%, 11/17/2021 | EUR | 200,000 | $ 225,064 | ||
Bank of Nova Scotia Series EMTN, 0.50%, 4/30/2024 | EUR | 100,000 | 112,370 | ||
Canadian Imperial Bank of Commerce 0.75%, 3/22/2023 | EUR | 300,000 | 343,134 | ||
Federation des Caisses Desjardins du Quebec Series EMTN, 0.25%, 9/27/2021 | EUR | 100,000 | 112,724 | ||
Royal Bank of Canada 0.13%, 7/23/2024 | EUR | 100,000 | 111,383 | ||
Toronto-Dominion Bank: | |||||
Series EMTN, 0.38%, 4/25/2024 | EUR | 100,000 | 112,546 | ||
Series EMTN, 0.63%, 7/20/2023 | EUR | 300,000 | 343,416 | ||
1,360,637 | |||||
CAYMAN ISLANDS — 0.2% | |||||
CK Hutchison Finance 16, Ltd. Series A, 1.25%, 4/6/2023 | EUR | 300,000 | 340,618 | ||
DENMARK — 0.6% | |||||
Carlsberg Breweries A/S Series EMTN, 2.50%, 5/28/2024 | EUR | 100,000 | 121,111 | ||
Danske Bank A/S: | |||||
Series EMTN, 0.75%, 6/2/2023 | EUR | 200,000 | 228,565 | ||
Series EMTN, 0.88%, 5/22/2023 | EUR | 200,000 | 224,132 | ||
3 Month USD LIBOR + 1.15%, 0.50%, 8/27/2025 (b) | EUR | 200,000 | 219,737 | ||
793,545 | |||||
FINLAND — 0.6% | |||||
Nordea Bank Abp Series EMTN, 0.88%, 6/26/2023 | EUR | 400,000 | 455,482 | ||
OP Corporate Bank PLC: | |||||
Series EMTN, 0.50%, 8/12/2025 | EUR | 100,000 | 113,709 | ||
Series EMTN, 0.75%, 3/3/2022 | EUR | 200,000 | 227,267 | ||
796,458 | |||||
FRANCE — 17.8% | |||||
Air Liquide Finance SA Series EMTN, 1.25%, 6/13/2028 | EUR | 100,000 | 121,920 | ||
Airbus Finance B.V. Series EMTN, 2.38%, 4/2/2024 | EUR | 200,000 | 236,648 |
Security Description | Principal Amount | Value | |||
Auchan Holding SA Series EMTN, 2.38%, 4/25/2025 | EUR | 200,000 | $ 222,595 | ||
Auchan Holding SADIR Series EMTN, 2.63%, 1/30/2024 | EUR | 200,000 | 228,792 | ||
Autoroutes du Sud de la France SA: | |||||
Series EMTN, 1.25%, 1/18/2027 | EUR | 300,000 | 358,092 | ||
Series EMTN, 1.38%, 1/22/2030 | EUR | 200,000 | 243,824 | ||
Series EMTN, 5.63%, 7/4/2022 | EUR | 200,000 | 248,656 | ||
Banque Federative du Credit Mutuel SA: | |||||
Series EMTN, 0.13%, 8/30/2021 | EUR | 200,000 | 224,742 | ||
Series EMTN, 0.13%, 2/5/2024 | EUR | 100,000 | 111,989 | ||
Series EMTN, 0.38%, 1/13/2022 | EUR | 100,000 | 112,726 | ||
Series EMTN, 0.75%, 7/17/2025 | EUR | 400,000 | 460,980 | ||
Series EMTN, 0.75%, 6/8/2026 | EUR | 100,000 | 114,923 | ||
Series EMTN, 1.25%, 1/14/2025 | EUR | 200,000 | 235,266 | ||
Series EMTN, 1.25%, 5/26/2027 | EUR | 200,000 | 239,851 | ||
Series EMTN, 1.38%, 7/16/2028 | EUR | 100,000 | 121,767 | ||
Series EMTN, 1.63%, 1/19/2026 | EUR | 200,000 | 241,684 | ||
Series EMTN, 1.75%, 3/15/2029 | EUR | 300,000 | 365,372 | ||
Series EMTN, 2.63%, 3/18/2024 | EUR | 300,000 | 367,494 | ||
Series EMTN, 3.00%, 11/28/2023 | EUR | 200,000 | 246,534 | ||
Series EMTN, 3.25%, 8/23/2022 | EUR | 200,000 | 239,695 | ||
BNP Paribas SA: | |||||
Series EMTN, 0.13%, 9/4/2026 | EUR | 200,000 | 215,389 | ||
Series EMTN, 0.50%, 2/19/2028 (b) | EUR | 200,000 | 218,224 | ||
Series EMTN, 0.75%, 11/11/2022 | EUR | 250,000 | 285,232 | ||
Series EMTN, 1.13%, 1/15/2023 | EUR | 92,000 | 106,099 | ||
Series EMTN, 1.13%, 10/10/2023 | EUR | 150,000 | 171,572 | ||
Series EMTN, 1.13%, 6/11/2026 | EUR | 300,000 | 342,602 | ||
Series EMTN, 1.38%, 5/28/2029 | EUR | 200,000 | 233,623 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.50%, 11/17/2025 | EUR | 200,000 | $ 234,034 | ||
Series EMTN, 1.50%, 5/23/2028 | EUR | 200,000 | 235,691 | ||
Series EMTN, 1.50%, 5/25/2028 | EUR | 200,000 | 249,622 | ||
Series EMTN, 1.63%, 2/23/2026 | EUR | 100,000 | 122,774 | ||
1.88%, 12/14/2027 | GBP | 100,000 | 124,057 | ||
Series EMTN, 2.38%, 5/20/2024 | EUR | 100,000 | 122,489 | ||
Series EMTN, 2.88%, 10/24/2022 | EUR | 200,000 | 239,124 | ||
Series EMTN, 2.88%, 9/26/2023 | EUR | 100,000 | 122,603 | ||
Series EMTN, 3.38%, 1/23/2026 | GBP | 100,000 | 134,749 | ||
Series EMTN, 4.13%, 1/14/2022 | EUR | 100,000 | 119,245 | ||
Series EMTN, 4.50%, 3/21/2023 | EUR | 100,000 | 125,891 | ||
Series EMTN, 3 Month USD LIBOR + 1.80%, 2.13%, 1/23/2027 (b) | EUR | 200,000 | 240,049 | ||
Bpce SA 1.00%, 7/15/2024 | EUR | 300,000 | 347,542 | ||
BPCE SA: | |||||
Series EMTN, 0.63%, 9/26/2023 | EUR | 200,000 | 227,929 | ||
Series EMTN, 0.88%, 1/31/2024 | EUR | 200,000 | 226,639 | ||
Series EMTN, 1.00%, 4/1/2025 | EUR | 100,000 | 113,685 | ||
Series EMTN, 1.00%, 10/5/2028 | EUR | 300,000 | 355,669 | ||
Series EMTN, 1.13%, 1/18/2023 | EUR | 500,000 | 568,875 | ||
Capgemini SE: | |||||
2.38%, 4/15/2032 | EUR | 200,000 | 246,624 | ||
2.50%, 7/1/2023 | EUR | 100,000 | 118,849 | ||
Carrefour SA Series EMTN, 1.75%, 7/15/2022 | EUR | 200,000 | 230,235 | ||
Cie de Saint-Gobain Series EMTN, 1.88%, 3/15/2031 | EUR | 100,000 | 120,881 | ||
Cie Generale des Etablissements Michelin SCA 1.75%, 9/3/2030 | EUR | 100,000 | 126,706 | ||
Credit Agricole SA: | |||||
Series EMTN, 0.75%, 12/5/2023 | EUR | 100,000 | 114,909 | ||
1.00%, 7/3/2029 | EUR | 200,000 | 238,901 | ||
Series EMTN, 1.25%, 4/14/2026 | EUR | 300,000 | 358,030 | ||
Series EMTN, 1.38%, 3/13/2025 | EUR | 200,000 | 232,526 | ||
Series EMTN, 1.38%, 5/3/2027 | EUR | 200,000 | 242,261 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.75%, 3/5/2029 | EUR | 100,000 | $ 120,556 | ||
Series EMTN, 1.88%, 12/20/2026 | EUR | 100,000 | 120,375 | ||
Series EMTN, 2.38%, 5/20/2024 | EUR | 300,000 | 367,023 | ||
Series EMTN, 3.13%, 7/17/2023 | EUR | 100,000 | 123,061 | ||
Series EMTN, 3.13%, 2/5/2026 | EUR | 300,000 | 393,263 | ||
Series EMTN, Update Replacements.xls: EUR003M + 1.250%, 1.00%, 4/22/2026 (b) | EUR | 300,000 | 339,785 | ||
Danone SA: | |||||
Series EMTN, 0.42%, 11/3/2022 | EUR | 200,000 | 226,336 | ||
Series EMTN, 0.71%, 11/3/2024 | EUR | 200,000 | 231,033 | ||
Series EMTN, 1.21%, 11/3/2028 | EUR | 100,000 | 121,689 | ||
Series EMTN, 2.25%, 11/15/2021 | EUR | 100,000 | 115,113 | ||
Dassault Systemes SE 0.38%, 9/16/2029 | EUR | 200,000 | 222,797 | ||
Engie Alliance GIE Series EMTN, 5.75%, 6/24/2023 | EUR | 150,000 | 196,806 | ||
Engie SA: | |||||
Series EMTN, 2.38%, 5/19/2026 | EUR | 200,000 | 251,870 | ||
Series EMTN, 5.00%, 10/1/2060 | GBP | 150,000 | 353,715 | ||
EssilorLuxottica SA: | |||||
Series EMTN, 0.01%, 5/27/2023 | EUR | 300,000 | 335,659 | ||
Series EMTN, 0.13%, 5/27/2025 | EUR | 200,000 | 223,165 | ||
Series EMTN, 0.38%, 11/27/2027 | EUR | 100,000 | 111,815 | ||
0.75%, 11/27/2031 | EUR | 200,000 | 226,496 | ||
Holding d'Infrastructures de Transport SASU 4.88%, 10/27/2021 | EUR | 150,000 | 177,153 | ||
HSBC France SA Series EMTN, 0.25%, 5/17/2024 | EUR | 100,000 | 112,532 | ||
LVMH Moet Hennessy Louis Vuitton SE: | |||||
Series EMTN, 0.01%, 2/11/2024 | EUR | 200,000 | 223,246 | ||
0.13%, 2/11/2028 | EUR | 100,000 | 110,171 | ||
0.38%, 2/11/2031 | EUR | 300,000 | 329,754 | ||
Series EMTN, 0.75%, 5/26/2024 | EUR | 500,000 | 573,642 | ||
Series EMTN, 1.00%, 2/11/2023 | GBP | 100,000 | 124,586 |
Security Description | Principal Amount | Value | |||
Orange SA: | |||||
Series EMTN, 1.13%, 7/15/2024 | EUR | 100,000 | $ 115,496 | ||
Series EMTN, 1.38%, 3/20/2028 | EUR | 100,000 | 119,346 | ||
Series EMTN, 1.38%, 1/16/2030 | EUR | 100,000 | 120,462 | ||
Series EMTN, 2.00%, 1/15/2029 | EUR | 100,000 | 125,399 | ||
Series EMTN, 3.00%, 6/15/2022 | EUR | 100,000 | 118,833 | ||
Series EMTN, 3.25%, 1/15/2032 | GBP | 100,000 | 143,933 | ||
Series EMTN, 8.13%, 1/28/2033 | EUR | 400,000 | 813,306 | ||
Pernod Ricard SA 1.13%, 4/7/2025 | EUR | 200,000 | 231,791 | ||
Sanofi: | |||||
Series EMTN, 0.50%, 1/13/2027 | EUR | 500,000 | 574,906 | ||
Series EMTN, 1.13%, 3/10/2022 | EUR | 300,000 | 342,872 | ||
Series 12FX, 1.38%, 3/21/2030 | EUR | 200,000 | 247,571 | ||
Series EMTN, 1.50%, 4/1/2030 | EUR | 100,000 | 124,648 | ||
Series EMTN, 1.75%, 9/10/2026 | EUR | 200,000 | 246,913 | ||
Series 20FX, 1.88%, 3/21/2038 | EUR | 100,000 | 133,294 | ||
Series EMTN, 2.50%, 11/14/2023 | EUR | 200,000 | 242,726 | ||
Schneider Electric SE Series EMTN, 0.25%, 9/9/2024 | EUR | 200,000 | 225,823 | ||
Societe Generale SA: | |||||
Series EMTN, 0.25%, 1/18/2022 | EUR | 100,000 | 112,567 | ||
Series EMTN, 0.75%, 5/26/2023 | EUR | 300,000 | 342,117 | ||
Series EMTN, 1.00%, 4/1/2022 | EUR | 300,000 | 339,694 | ||
Series EMTN, 1.13%, 1/23/2025 | EUR | 300,000 | 339,308 | ||
Series EMTN, 1.75%, 3/22/2029 | EUR | 200,000 | 234,196 | ||
Series ETMN, 2.13%, 9/27/2028 | EUR | 200,000 | 240,562 | ||
Series EMTN, 4.25%, 7/13/2022 | EUR | 300,000 | 364,058 | ||
Total Capital Canada, Ltd.: | |||||
Series EMTN, 1.13%, 3/18/2022 | EUR | 100,000 | 114,258 | ||
Series EMTN, 2.13%, 9/18/2029 | EUR | 600,000 | 768,607 |
Security Description | Principal Amount | Value | |||
Total Capital International SA: | |||||
Series EMTN, 0.25%, 7/12/2023 | EUR | 300,000 | $ 338,394 | ||
Series EMTN, 0.75%, 7/12/2028 | EUR | 100,000 | 114,302 | ||
Series EMTN, 1.99%, 4/8/2032 | EUR | 100,000 | 126,455 | ||
Series EMTN, 2.50%, 3/25/2026 | EUR | 200,000 | 252,350 | ||
Vinci SA Series EMTN, 1.75%, 9/26/2030 | EUR | 100,000 | 126,119 | ||
25,728,827 | |||||
GERMANY — 9.3% | |||||
Allianz Finance II B.V.: | |||||
Series EMTN, 3.50%, 2/14/2022 | EUR | 200,000 | 237,691 | ||
Series 62, 4.50%, 3/13/2043 | GBP | 100,000 | 198,986 | ||
BASF SE: | |||||
0.88%, 11/15/2027 | EUR | 100,000 | 118,124 | ||
Series 10Y, 2.00%, 12/5/2022 | EUR | 200,000 | 235,251 | ||
BMW Finance NV: | |||||
Series EMTN, 0.13%, 11/29/2021 | EUR | 100,000 | 112,379 | ||
Series EMTN, 0.50%, 11/22/2022 | EUR | 100,000 | 112,983 | ||
Series EMTN, 0.63%, 10/6/2023 | EUR | 200,000 | 226,628 | ||
Series EMTN, 1.00%, 11/14/2024 | EUR | 100,000 | 115,034 | ||
BMW US Capital LLC: | |||||
Series EMTN, 0.63%, 4/20/2022 | EUR | 300,000 | 339,815 | ||
Series EMTN, 1.13%, 9/18/2021 | EUR | 100,000 | 113,729 | ||
Commerzbank AG: | |||||
Series EMTN, 0.50%, 8/28/2023 | EUR | 200,000 | 224,615 | ||
Series EMTN, 0.50%, 9/13/2023 | EUR | 100,000 | 110,140 | ||
Series EMTN, 0.63%, 8/28/2024 | EUR | 100,000 | 112,235 | ||
Series EMTN, 1.00%, 3/4/2026 | EUR | 300,000 | 341,684 | ||
Daimler AG: | |||||
Series EMTN, 0.85%, 2/28/2025 | EUR | 400,000 | 442,975 | ||
Series EMTN, 1.00%, 11/15/2027 | EUR | 200,000 | 217,419 | ||
Series EMTN, 1.13%, 11/6/2031 | EUR | 200,000 | 213,545 | ||
Series EMTN, 1.38%, 5/11/2028 | EUR | 100,000 | 112,495 | ||
Series EMTN, 1.40%, 1/12/2024 | EUR | 193,000 | 219,987 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.50%, 3/9/2026 | EUR | 100,000 | $ 113,988 | ||
Series EMTN, 1.50%, 7/3/2029 | EUR | 400,000 | 453,063 | ||
Series EMTN, 2.13%, 7/3/2037 (a) | EUR | 150,000 | 174,757 | ||
Daimler International Finance B.V.: | |||||
Series EMTN, 0.25%, 5/11/2022 | EUR | 200,000 | 223,404 | ||
Series EMTN, 0.88%, 4/9/2024 | EUR | 200,000 | 223,613 | ||
Series EMTN, 1.00%, 11/11/2025 | EUR | 300,000 | 333,602 | ||
Deutsche Bank AG: | |||||
MTN, 1.13%, 8/30/2023 | EUR | 400,000 | 458,650 | ||
Series EMTN, 1.50%, 1/20/2022 | EUR | 200,000 | 225,185 | ||
Series EMTN, 1.63%, 1/20/2027 | EUR | 300,000 | 332,980 | ||
Series EMTN, 2.38%, 1/11/2023 | EUR | 200,000 | 229,505 | ||
Deutsche Telekom AG Series EMTN, 0.50%, 7/5/2027 | EUR | 200,000 | 224,713 | ||
Deutsche Telekom International Finance B.V.: | |||||
Series EMTN, 1.50%, 4/3/2028 | EUR | 350,000 | 418,827 | ||
Series EMTN, 2.00%, 12/1/2029 | EUR | 100,000 | 124,968 | ||
Series EMTN, 4.25%, 7/13/2022 | EUR | 150,000 | 181,976 | ||
Series EMTN, 6.50%, 4/8/2022 | GBP | 40,000 | 54,348 | ||
Series EMTN, 6.50%, 4/8/2022 | GBP | 70,000 | 95,109 | ||
E.ON International Finance B.V.: | |||||
Series EMTN, 5.88%, 10/30/2037 | GBP | 100,000 | 191,611 | ||
Series EMTN, 6.38%, 6/7/2032 | GBP | 120,000 | 220,802 | ||
Series EMTN, 6.75%, 1/27/2039 | GBP | 100,000 | 211,184 | ||
E.ON SE Series EMTN, 0.38%, 9/29/2027 | EUR | 100,000 | 111,832 | ||
HeidelbergCement AG: | |||||
Series EMTN, 1.50%, 2/7/2025 | EUR | 100,000 | 114,337 | ||
Series EMTN, 2.25%, 3/30/2023 | EUR | 148,000 | 172,167 | ||
innogy Finance B.V.: | |||||
Series EMTN, 6.13%, 7/6/2039 | GBP | 50,000 | 100,528 | ||
Series EMTN, 6.25%, 6/3/2030 | GBP | 150,000 | 261,774 |
Security Description | Principal Amount | Value | |||
Series EMTN, 6.50%, 8/10/2021 | EUR | 100,000 | $ 120,124 | ||
Linde Finance B.V. Series EMTN, 0.25%, 1/18/2022 | EUR | 100,000 | 112,847 | ||
SAP SE: | |||||
1.25%, 3/10/2028 | EUR | 100,000 | 120,740 | ||
1.63%, 3/10/2031 | EUR | 300,000 | 377,044 | ||
Series EMTN, 1.75%, 2/22/2027 | EUR | 150,000 | 185,025 | ||
Siemens Financieringsmaatschappij NV: | |||||
0.13%, 9/5/2029 | EUR | 300,000 | 327,637 | ||
Series EMTN, 2.88%, 3/10/2028 | EUR | 200,000 | 268,356 | ||
Volkswagen Financial Services AG Series EMTN, 1.50%, 10/1/2024 | EUR | 200,000 | 226,457 | ||
Volkswagen International Finance NV: | |||||
Series EMTN, 0.88%, 1/16/2023 | EUR | 50,000 | 55,881 | ||
Series EMTN, 1.63%, 1/16/2030 | EUR | 100,000 | 111,288 | ||
Series 10Y, 1.88%, 3/30/2027 | EUR | 600,000 | 689,933 | ||
Volkswagen Leasing GmbH: | |||||
Series EMTN, 1.13%, 4/4/2024 | EUR | 200,000 | 223,558 | ||
Series EMTN, 1.38%, 1/20/2025 | EUR | 300,000 | 336,994 | ||
Series EMTN, 2.38%, 9/6/2022 | EUR | 100,000 | 115,434 | ||
Series EMTN, 2.63%, 1/15/2024 | EUR | 335,000 | 394,565 | ||
Vonovia Finance B.V. Series EMTN, 2.25%, 12/15/2023 | EUR | 100,000 | 119,721 | ||
Wintershall Dea Finance B.V.: | |||||
0.45%, 9/25/2023 | EUR | 200,000 | 216,697 | ||
0.84%, 9/25/2025 | EUR | 100,000 | 106,233 | ||
1.33%, 9/25/2028 | EUR | 100,000 | 104,858 | ||
1.82%, 9/25/2031 | EUR | 100,000 | 104,694 | ||
13,376,724 | |||||
HONG KONG — 0.2% | |||||
Hutchison Whampoa Finance 14, Ltd. 1.38%, 10/31/2021 | EUR | 200,000 | 227,105 | ||
IRELAND — 0.3% | |||||
Abbott Ireland Financing DAC: | |||||
0.88%, 9/27/2023 | EUR | 150,000 | 172,271 | ||
1.50%, 9/27/2026 | EUR | 250,000 | 299,904 | ||
472,175 |
Security Description | Principal Amount | Value | |||
ITALY — 4.2% | |||||
Assicurazioni Generali SpA Series EMTN, 5.13%, 9/16/2024 | EUR | 250,000 | $ 334,909 | ||
Enel Finance International NV: | |||||
Series EMTN, 0.01%, 6/17/2024 | EUR | 100,000 | 110,927 | ||
Series EMTN, 1.00%, 9/16/2024 | EUR | 200,000 | 231,755 | ||
Series EMTN, 1.13%, 9/16/2026 | EUR | 200,000 | 235,614 | ||
Series EMTN, 1.50%, 7/21/2025 | EUR | 200,000 | 237,812 | ||
Series EMTN, 1.97%, 1/27/2025 | EUR | 250,000 | 302,344 | ||
Series EMTN, 5.00%, 9/14/2022 | EUR | 150,000 | 186,759 | ||
Series EMTN, 5.63%, 8/14/2024 | GBP | 50,000 | 72,756 | ||
Series EMTN, 5.75%, 9/14/2040 | GBP | 150,000 | 285,531 | ||
Eni SpA: | |||||
Series EMTN, 3.25%, 7/10/2023 | EUR | 100,000 | 122,400 | ||
Series EMTN, 3.63%, 1/29/2029 | EUR | 300,000 | 413,772 | ||
Series EMTN, 3.75%, 9/12/2025 (a) | EUR | 350,000 | 458,536 | ||
Intesa Sanpaolo SpA: | |||||
Series EMTN, 1.00%, 7/4/2024 | EUR | 100,000 | 111,597 | ||
Series EMTN, 1.13%, 3/4/2022 | EUR | 327,000 | 369,152 | ||
Series EMTN, 1.38%, 1/18/2024 | EUR | 200,000 | 226,281 | ||
Series EMTN, 1.75%, 3/20/2028 | EUR | 300,000 | 340,785 | ||
Series EMTN, 1.75%, 7/4/2029 | EUR | 200,000 | 224,871 | ||
Series EMTN, 2.13%, 8/30/2023 | EUR | 100,000 | 116,480 | ||
Series EMTN, 4.00%, 10/30/2023 | EUR | 100,000 | 123,165 | ||
Snam SpA Series EMTN, 0.88%, 10/25/2026 | EUR | 200,000 | 230,806 | ||
Terna Rete Elettrica Nazionale SpA: | |||||
Series EMTN, 0.88%, 2/2/2022 | EUR | 148,000 | 167,532 | ||
Series EMTN, 1.38%, 7/26/2027 | EUR | 200,000 | 238,234 | ||
UniCredit SpA: | |||||
Series EMTN, 0.50%, 4/9/2025 | EUR | 100,000 | 108,168 | ||
Series EMTN, 2.00%, 3/4/2023 | EUR | 257,000 | 297,330 |
Security Description | Principal Amount | Value | |||
Series EMTN, 2.13%, 10/24/2026 | EUR | 100,000 | $ 117,580 | ||
Series EMTN, 3 Month USD LIBOR + 1.55%, 1.25%, 6/25/2025 (b) | EUR | 400,000 | 448,403 | ||
6,113,499 | |||||
JAPAN — 0.7% | |||||
Sumitomo Mitsui Financial Group, Inc.: | |||||
Series EMTN, 0.63%, 10/23/2029 | EUR | 200,000 | 217,758 | ||
1.55%, 6/15/2026 | EUR | 200,000 | 239,801 | ||
Takeda Pharmaceutical Co., Ltd.: | |||||
Series REGS, 1.13%, 11/21/2022 | EUR | 200,000 | 228,466 | ||
Series REGS, 2.25%, 11/21/2026 | EUR | 100,000 | 122,905 | ||
Series REGS, 3.00%, 11/21/2030 | EUR | 200,000 | 263,164 | ||
1,072,094 | |||||
LUXEMBOURG — 2.0% | |||||
CK Hutchison Group Telecom Finance SA: | |||||
0.38%, 10/17/2023 | EUR | 100,000 | 111,284 | ||
1.13%, 10/17/2028 | EUR | 400,000 | 442,656 | ||
HeidelbergCement Finance Luxembourg SA Series EMTN, 1.63%, 4/7/2026 | EUR | 100,000 | 114,738 | ||
Holcim Finance Luxembourg SA Series EMTN, 2.25%, 5/26/2028 | EUR | 200,000 | 247,483 | ||
Logicor Financing Sarl Series EMTN, 1.63%, 7/15/2027 | EUR | 300,000 | 338,530 | ||
Medtronic Global Holdings SCA: | |||||
Series 0000, 0.38%, 3/7/2023 | EUR | 200,000 | 225,003 | ||
1.63%, 3/7/2031 | EUR | 100,000 | 122,308 | ||
2.25%, 3/7/2039 | EUR | 100,000 | 126,018 | ||
Nestle Finance International, Ltd.: | |||||
Series EMTN, 1.13%, 4/1/2026 | EUR | 100,000 | 118,630 | ||
Series EMTN, 1.50%, 4/1/2030 | EUR | 200,000 | 247,808 | ||
Novartis Finance SA 0.13%, 9/20/2023 | EUR | 200,000 | 226,337 | ||
Richemont International Holding SA: | |||||
1.00%, 3/26/2026 | EUR | 100,000 | 117,390 | ||
1.50%, 3/26/2030 | EUR | 200,000 | 245,370 |
Security Description | Principal Amount | Value | |||
2.00%, 3/26/2038 | EUR | 200,000 | $ 253,093 | ||
2,936,648 | |||||
MEXICO — 0.4% | |||||
America Movil SAB de CV: | |||||
Series EMTN, 0.75%, 6/26/2027 | EUR | 200,000 | 220,306 | ||
4.38%, 8/7/2041 | GBP | 100,000 | 161,851 | ||
Fomento Economico Mexicano SAB de CV 1.75%, 3/20/2023 | EUR | 100,000 | 115,202 | ||
497,359 | |||||
NETHERLANDS — 9.9% | |||||
ABN AMRO Bank NV: | |||||
Series EMTN, 0.50%, 7/17/2023 | EUR | 300,000 | 341,720 | ||
Series EMTN, 1.00%, 4/16/2025 | EUR | 343,000 | 403,076 | ||
Series EMTN, 2.50%, 11/29/2023 | EUR | 300,000 | 365,096 | ||
Series EMTN, 4.13%, 3/28/2022 | EUR | 160,000 | 192,497 | ||
Airbus SE Series EMTN, 2.38%, 4/7/2032 | EUR | 300,000 | 369,265 | ||
ASML Holding NV 1.38%, 7/7/2026 | EUR | 100,000 | 119,982 | ||
Bayer Capital Corp B.V. 2.13%, 12/15/2029 | EUR | 100,000 | 124,925 | ||
Bayer Capital Corp. B.V.: | |||||
0.63%, 12/15/2022 | EUR | 100,000 | 113,299 | ||
1.50%, 6/26/2026 | EUR | 300,000 | 354,163 | ||
BMW Finance NV: | |||||
Series EMTN, 0.38%, 7/10/2023 | EUR | 257,000 | 288,583 | ||
Series EMTN, 1.50%, 2/6/2029 | EUR | 300,000 | 353,404 | ||
Cooperatieve Rabobank UA: | |||||
Series GMTN, 0.50%, 12/6/2022 | EUR | 100,000 | 113,899 | ||
Series EMTN, 0.63%, 2/27/2024 | EUR | 100,000 | 113,380 | ||
Series GMTN, 0.75%, 8/29/2023 | EUR | 100,000 | 113,677 | ||
Series GMTN, 1.13%, 5/7/2031 | EUR | 100,000 | 116,854 | ||
Series GMTN, 1.25%, 3/23/2026 | EUR | 300,000 | 360,010 | ||
Series GMTN, 1.38%, 2/3/2027 | EUR | 100,000 | 122,239 | ||
Series GMTN, 2.25%, 3/23/2022 | GBP | 50,000 | 63,474 | ||
Series EMTN, 2.38%, 5/22/2023 | EUR | 200,000 | 240,592 | ||
Series GMTN, 4.00%, 1/11/2022 | EUR | 200,000 | 238,691 | ||
4.13%, 7/14/2025 | EUR | 350,000 | 474,588 |
Security Description | Principal Amount | Value | |||
Series EMTN, 4.75%, 6/6/2022 | EUR | 500,000 | $ 614,001 | ||
Daimler International Finance B.V.: | |||||
Series EMTN, 0.25%, 8/9/2021 | EUR | 200,000 | 224,382 | ||
Series EMTN, 0.63%, 2/27/2023 | EUR | 200,000 | 224,134 | ||
Deutsche Telekom International Finance B.V.: | |||||
Series EMTN, 0.63%, 4/3/2023 | EUR | 200,000 | 227,242 | ||
Series EMTN, 0.88%, 1/30/2024 | EUR | 100,000 | 115,244 | ||
Series EMTN, 1.38%, 1/30/2027 | EUR | 200,000 | 237,511 | ||
EDP Finance B.V. Series EMTN, 1.13%, 2/12/2024 | EUR | 100,000 | 115,359 | ||
Enel Finance International NV 1.38%, 6/1/2026 | EUR | 300,000 | 358,479 | ||
Heineken NV Series EMTN, 1.00%, 5/4/2026 | EUR | 100,000 | 115,828 | ||
ING Bank NV: | |||||
Series GMTN, 0.01%, 4/8/2022 | EUR | 100,000 | 112,000 | ||
Series EMTN, 4.50%, 2/21/2022 | EUR | 200,000 | 240,941 | ||
ING Groep NV: | |||||
Series EMTN, 0.75%, 3/9/2022 (a) | EUR | 200,000 | 226,409 | ||
Series EMTN, 1.00%, 9/20/2023 | EUR | 200,000 | 229,173 | ||
Series EMTN, 1.13%, 2/14/2025 | EUR | 100,000 | 115,391 | ||
Series EMTN, 1.38%, 1/11/2028 | EUR | 200,000 | 237,808 | ||
Series EMTN, 2.00%, 9/20/2028 | EUR | 300,000 | 374,169 | ||
Series EMTN, 2.50%, 11/15/2030 | EUR | 100,000 | 132,568 | ||
Series EMTN, 3.00%, 2/18/2026 | GBP | 100,000 | 133,424 | ||
Series EMTN, 3 Month USD LIBOR + 0.60%, 0.10%, 9/3/2025 (b) | EUR | 200,000 | 219,434 | ||
innogy Finance B.V. Series EMTN, 1.50%, 7/31/2029 | EUR | 100,000 | 120,143 | ||
Koninklijke KPN NV Series GMTN, 5.75%, 9/17/2029 | GBP | 150,000 | 232,725 | ||
LeasePlan Corp. NV 0.13%, 9/13/2023 | EUR | 200,000 | 216,061 | ||
Naturgy Finance B.V.: | |||||
Series EMTN, 1.25%, 1/15/2026 | EUR | 100,000 | 116,757 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.38%, 1/19/2027 | EUR | 100,000 | $ 118,058 | ||
Schlumberger Finance B.V. 1.38%, 10/28/2026 | EUR | 200,000 | 229,502 | ||
Shell International Finance B.V.: | |||||
Series EMTN, 0.13%, 11/8/2027 | EUR | 200,000 | 219,460 | ||
Series EMTN, 0.38%, 2/15/2025 | EUR | 200,000 | 227,277 | ||
Series EMTN, 0.75%, 8/15/2028 | EUR | 100,000 | 114,498 | ||
Series EMTN, 0.88%, 11/8/2039 | EUR | 100,000 | 103,347 | ||
Series EMTN, 1.00%, 4/6/2022 | EUR | 100,000 | 114,286 | ||
Series EMTN, 1.25%, 5/12/2028 | EUR | 400,000 | 475,361 | ||
Series EMTN, 1.63%, 1/20/2027 | EUR | 300,000 | 365,117 | ||
Series EMTN, 1.88%, 9/15/2025 | EUR | 200,000 | 244,517 | ||
Series EMTN, 1.88%, 4/7/2032 | EUR | 200,000 | 247,563 | ||
Series EMTN, 2.50%, 3/24/2026 | EUR | 100,000 | 126,805 | ||
Siemens Financieringsmaatschappij NV: | |||||
Series EMTN, 0.01%, 2/20/2026 | EUR | 100,000 | 111,217 | ||
Series EMTN, 0.38%, 9/6/2023 | EUR | 400,000 | 454,049 | ||
Series EMTN, 1.38%, 9/6/2030 | EUR | 500,000 | 610,377 | ||
Unilever NV: | |||||
Series EMTN, 1.25%, 3/25/2025 | EUR | 200,000 | 237,348 | ||
1.75%, 3/25/2030 | EUR | 100,000 | 127,259 | ||
Vonovia Finance B.V. Series EMTN, 1.25%, 12/6/2024 | EUR | 200,000 | 232,936 | ||
14,281,574 | |||||
NORWAY — 0.3% | |||||
DNB Bank ASA Series EMTN, 4.25%, 1/18/2022 | EUR | 400,000 | 478,587 | ||
PORTUGAL — 0.1% | |||||
EDP Finance B.V. Series EMTN, 2.63%, 1/18/2022 | EUR | 127,000 | 148,022 | ||
SPAIN — 5.4% | |||||
Abertis Infraestructuras SA: | |||||
1.38%, 5/20/2026 | EUR | 100,000 | 107,758 | ||
Series EMTN, 2.38%, 9/27/2027 | EUR | 200,000 | 225,591 | ||
Series EMTN, 3.00%, 3/27/2031 | EUR | 100,000 | 115,820 |
Security Description | Principal Amount | Value | |||
Banco Bilbao Vizcaya Argentaria SA: | |||||
Series EMTN, 0.38%, 11/15/2026 | EUR | 200,000 | $ 221,439 | ||
Series GMTN, 0.63%, 1/17/2022 | EUR | 300,000 | 339,099 | ||
Series GMTN, 0.75%, 9/11/2022 | EUR | 100,000 | 112,671 | ||
1.00%, 6/21/2026 | EUR | 400,000 | 446,537 | ||
Series GMTN, 1.38%, 5/14/2025 | EUR | 100,000 | 114,307 | ||
Banco de Sabadell SA: | |||||
Series EMTN, 0.88%, 3/5/2023 | EUR | 100,000 | 109,765 | ||
Series EMTN, 1.75%, 5/10/2024 | EUR | 300,000 | 318,556 | ||
Banco Santander SA: | |||||
Series EMTN, 0.25%, 6/19/2024 | EUR | 200,000 | 223,964 | ||
Series EMTN, 0.30%, 10/4/2026 | EUR | 100,000 | 111,788 | ||
Series EMTN, 1.13%, 1/17/2025 | EUR | 500,000 | 568,673 | ||
1.38%, 2/9/2022 | EUR | 100,000 | 113,671 | ||
Series EMTN, 1.38%, 12/14/2022 | EUR | 200,000 | 231,464 | ||
1.38%, 7/31/2024 | GBP | 100,000 | 123,752 | ||
CaixaBank SA: | |||||
Series EMTN, 1.13%, 1/12/2023 | EUR | 200,000 | 224,814 | ||
Series EMTN, 1.13%, 5/17/2024 | EUR | 200,000 | 227,833 | ||
Series EMTN, 1.13%, 3/27/2026 | EUR | 200,000 | 228,152 | ||
Series EMTN, 1.38%, 6/19/2026 | EUR | 300,000 | 335,520 | ||
Series EMTN, 2.38%, 2/1/2024 | EUR | 200,000 | 233,203 | ||
Criteria Caixa SA Series EMTN, 1.63%, 4/21/2022 | EUR | 100,000 | 114,689 | ||
Iberdrola Finanzas SA Series EMTN, 1.00%, 3/7/2025 | EUR | 200,000 | 232,465 | ||
Iberdrola International B.V. Series EMTN, 1.13%, 4/21/2026 | EUR | 100,000 | 117,802 | ||
Mapfre SA 1.63%, 5/19/2026 | EUR | 100,000 | 119,811 | ||
Repsol International Finance B.V. Series EMTN, 3.63%, 10/7/2021 | EUR | 100,000 | 116,875 | ||
Santan Consumer Finance SA Series EMTN, 1.00%, 2/27/2024 | EUR | 100,000 | 113,635 |
Security Description | Principal Amount | Value | |||
Santander Consumer Finance SA: | |||||
Series EMTN, 0.38%, 6/27/2024 | EUR | 100,000 | $ 110,831 | ||
0.88%, 1/24/2022 | EUR | 200,000 | 225,922 | ||
Telefonica Emisiones SA: | |||||
Series EMTN, 1.07%, 2/5/2024 | EUR | 200,000 | 230,575 | ||
Series EMTN, 1.45%, 1/22/2027 | EUR | 100,000 | 117,886 | ||
Series EMTN, 1.46%, 4/13/2026 | EUR | 300,000 | 353,455 | ||
Series EMTN, 1.50%, 9/11/2025 | EUR | 100,000 | 117,883 | ||
Series EMTN, 1.53%, 1/17/2025 | EUR | 300,000 | 353,305 | ||
Series EMTN, 1.72%, 1/12/2028 | EUR | 300,000 | 361,651 | ||
Series EMTN, 1.79%, 3/12/2029 | EUR | 100,000 | 120,366 | ||
Series EMTN, 2.24%, 5/27/2022 | EUR | 200,000 | 233,554 | ||
7,775,082 | |||||
SWEDEN — 1.7% | |||||
Nordea Bank Abp: | |||||
Series EMTN, 1.00%, 2/22/2023 | EUR | 200,000 | 230,769 | ||
Series EMTN, 1.13%, 2/12/2025 | EUR | 100,000 | 118,188 | ||
Series EMTN, 1.13%, 9/27/2027 | EUR | 100,000 | 119,881 | ||
Skandinaviska Enskilda Banken AB: | |||||
0.05%, 7/1/2024 | EUR | 200,000 | 224,008 | ||
Series GMTN, 0.50%, 3/13/2023 | EUR | 100,000 | 113,728 | ||
Series EMTN, 0.63%, 11/12/2029 (a) | EUR | 300,000 | 334,619 | ||
Series GMTN, 0.75%, 8/24/2021 | EUR | 100,000 | 113,317 | ||
Svenska Handelsbanken AB: | |||||
Series EMTN, 0.25%, 2/28/2022 | EUR | 200,000 | 225,631 | ||
0.50%, 2/18/2030 | EUR | 100,000 | 109,877 | ||
Series EMTN, 1.13%, 12/14/2022 | EUR | 400,000 | 461,754 | ||
Series EMTN, 2.63%, 8/23/2022 | EUR | 200,000 | 237,146 | ||
Series EMTN, 4.38%, 10/20/2021 | EUR | 100,000 | 118,856 | ||
2,407,774 | |||||
SWITZERLAND — 3.0% | |||||
Credit Suisse AG: | |||||
Series EMTN, 1.00%, 6/7/2023 | EUR | 100,000 | 115,241 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.38%, 1/31/2022 | EUR | 300,000 | $ 343,947 | ||
Series EMTN, 1.50%, 4/10/2026 | EUR | 300,000 | 363,453 | ||
Credit Suisse Group AG: | |||||
Series EMTN, 1 year GBP Swap + 0.75%, 1.25%, 7/17/2025 (b) | EUR | 200,000 | 228,810 | ||
Series EMTN, 1 year GBP Swap + 1.05%, 1.00%, 6/24/2027 (b) | EUR | 200,000 | 224,258 | ||
1 year GBP Swap + 1.23%, 2.13%, 9/12/2025 (b) | GBP | 100,000 | 125,943 | ||
Series EMTN, Update Replacements.xls: EUSA1 + .770%, 0.65%, 1/14/2028 (b) | EUR | 300,000 | 327,059 | ||
Credit Suisse Group Funding Guernsey, Ltd.: | |||||
Series EMTN, 1.00%, 4/14/2023 | CHF | 125,000 | 134,486 | ||
Series EMTN, 1.25%, 4/14/2022 | EUR | 255,000 | 291,153 | ||
Glencore Finance Europe, Ltd. Series EMTN, 1.88%, 9/13/2023 | EUR | 200,000 | 227,108 | ||
Roche Finance Europe B.V. Series EMTN, 0.88%, 2/25/2025 | EUR | 100,000 | 117,093 | ||
UBS AG: | |||||
Series EMTN, 0.25%, 1/10/2022 | EUR | 200,000 | 225,251 | ||
Series EMTN, 1.25%, 9/3/2021 | EUR | 300,000 | 342,170 | ||
UBS Group AG: | |||||
Series EMTN, 1.25%, 9/1/2026 | EUR | 500,000 | 582,466 | ||
1.50%, 11/30/2024 | EUR | 300,000 | 347,764 | ||
1.75%, 11/16/2022 | EUR | 300,000 | 347,997 | ||
4,344,199 | |||||
UNITED KINGDOM — 11.2% | |||||
Barclays PLC: | |||||
Series EMTN, 1.88%, 12/8/2023 | EUR | 100,000 | 115,940 | ||
Series EMTN, 3.13%, 1/17/2024 | GBP | 100,000 | 128,440 | ||
Series EMTN, 3.25%, 2/12/2027 | GBP | 100,000 | 131,101 | ||
Series EMTN, 3.25%, 1/17/2033 | GBP | 300,000 | 390,231 | ||
Series EMTN, 1 year GBP Swap + 0.78%, 1.38%, 1/24/2026 (b) | EUR | 400,000 | 451,966 | ||
1 year GBP Swap + 1.32%, 2.38%, 10/6/2023 (b) | GBP | 200,000 | 250,068 |
Security Description | Principal Amount | Value | |||
BAT International Finance PLC Series EMTN, 2.25%, 1/16/2030 | EUR | 200,000 | $ 232,305 | ||
BG Energy Capital PLC: | |||||
Series EMTN, 5.00%, 11/4/2036 | GBP | 100,000 | 181,651 | ||
Series EMTN, 5.13%, 12/1/2025 | GBP | 100,000 | 151,487 | ||
BP Capital Markets PLC: | |||||
Series EMTN, 1.11%, 2/16/2023 | EUR | 100,000 | 114,854 | ||
Series EMTN, 1.23%, 5/8/2031 | EUR | 300,000 | 332,477 | ||
Series EMTN, 1.37%, 3/3/2022 | EUR | 200,000 | 228,782 | ||
Series EMTN, 1.53%, 9/26/2022 | EUR | 200,000 | 231,077 | ||
Series EMTN, 1.57%, 2/16/2027 | EUR | 500,000 | 583,800 | ||
Series EMTN, 2.97%, 2/27/2026 | EUR | 300,000 | 377,248 | ||
British Telecommunications PLC: | |||||
Series EMTN, 1.00%, 11/21/2024 | EUR | 100,000 | 113,905 | ||
Series EMTN, 1.50%, 6/23/2027 | EUR | 100,000 | 116,740 | ||
Series EMTN, 1.75%, 3/10/2026 | EUR | 300,000 | 355,744 | ||
Cadent Finance PLC: | |||||
Series EMTN, 2.13%, 9/22/2028 | GBP | 100,000 | 130,706 | ||
Series EMTN, 2.75%, 9/22/2046 | GBP | 200,000 | 283,771 | ||
Centrica PLC Series EMTN, 7.00%, 9/19/2033 | GBP | 100,000 | 184,589 | ||
Connect Plus M25 Issuer PLC 2.61%, 3/31/2039 | GBP | 96,278 | 133,092 | ||
GlaxoSmithKline Capital PLC: | |||||
Series EMTN, 1.25%, 5/21/2026 | EUR | 200,000 | 237,765 | ||
Series EMTN, 1.38%, 12/2/2024 | EUR | 150,000 | 177,475 | ||
Series EMTN, 4.25%, 12/18/2045 | GBP | 100,000 | 188,315 | ||
Series EMTN, 5.25%, 12/19/2033 | GBP | 168,000 | 307,870 | ||
Series EMTN, 5.25%, 4/10/2042 | GBP | 100,000 | 203,842 | ||
Series EMTN, 6.38%, 3/9/2039 | GBP | 100,000 | 217,720 | ||
Heathrow Funding, Ltd.: | |||||
Series EMTN, 4.63%, 10/31/2046 | GBP | 100,000 | 163,829 | ||
Series REGS, 5.23%, 2/15/2023 | GBP | 100,000 | 132,538 |
Security Description | Principal Amount | Value | |||
Series EMTN, 5.88%, 5/13/2043 | GBP | 100,000 | $ 182,190 | ||
Series REGS, 6.45%, 12/10/2031 | GBP | 150,000 | 258,375 | ||
Series EMTN, 6.75%, 12/3/2028 | GBP | 100,000 | 153,822 | ||
HSBC Holdings PLC: | |||||
0.88%, 9/6/2024 | EUR | 400,000 | 457,437 | ||
Series EMTN, 1.50%, 3/15/2022 | EUR | 300,000 | 344,296 | ||
Series EMTN, 2.50%, 3/15/2027 (a) | EUR | 300,000 | 383,053 | ||
2.63%, 8/16/2028 | GBP | 200,000 | 257,344 | ||
1 year GBP Swap + 0.94%, 2.18%, 6/27/2023 (b) | GBP | 100,000 | 124,818 | ||
1 year GBP Swap + 1.04%, 2.26%, 11/13/2026 (b) | GBP | 200,000 | 250,781 | ||
1 year GBP Swap + 1.65%, 3.00%, 7/22/2028 (b) | GBP | 100,000 | 130,783 | ||
Series EMTN, 3 Month USD LIBOR + 1.36%, 1.50%, 12/4/2024 (b) | EUR | 250,000 | 290,573 | ||
Imperial Brands Finance PLC Series EMTN, 9.00%, 2/17/2022 | GBP | 50,000 | 69,506 | ||
Lloyds Bank PLC Series EMTN, 6.50%, 9/17/2040 | GBP | 90,000 | 191,245 | ||
Lloyds Banking Group PLC: | |||||
Series EMTN, 1.50%, 9/12/2027 (a) | EUR | 400,000 | 471,192 | ||
Series EMTN, 2.25%, 10/16/2024 | GBP | 200,000 | 254,702 | ||
Series EMTN, 1 year GBP Swap + 0.47%, 0.63%, 1/15/2024 (b) | EUR | 500,000 | 557,756 | ||
Logicor 2019-1 UK PLC 1.88%, 11/17/2026 | GBP | 100,000 | 123,908 | ||
Nationwide Building Society 3 Month USD LIBOR + 0.93%, 1.50%, 3/8/2026 (b) | EUR | 200,000 | 232,443 | ||
Royal Bank of Scotland Group PLC: | |||||
Series EMTN, 2.50%, 3/22/2023 | EUR | 222,000 | 259,348 | ||
Series EMTN, 1 year GBP Swap + 1.49%, 2.88%, 9/19/2026 (b) | GBP | 100,000 | 128,277 | ||
Series EMTN, 3 Month USD LIBOR - 2.04%, 2.00%, 3/8/2023 (b) | EUR | 300,000 | 342,501 | ||
Series EMTN, 3 Month USD LIBOR + 1.08%, 1.75%, 3/2/2026 (b) | EUR | 500,000 | 574,547 | ||
Santander UK Group Holdings PLC 1.13%, 9/8/2023 | EUR | 100,000 | 112,867 |
Security Description | Principal Amount | Value | |||
Sky, Ltd.: | |||||
Series EMTN, 1.50%, 9/15/2021 | EUR | 222,000 | $ 253,102 | ||
Series EMTN, 2.50%, 9/15/2026 | EUR | 100,000 | 126,372 | ||
THFC Funding No. 3 PLC Series EMTN, 5.20%, 10/11/2043 | GBP | 150,000 | 295,886 | ||
University of Oxford 2.54%, 12/8/2117 | GBP | 150,000 | 275,707 | ||
Vodafone Group PLC: | |||||
Series EMTN, 0.38%, 11/22/2021 | EUR | 200,000 | 225,430 | ||
Series EMTN, 1.13%, 11/20/2025 | EUR | 100,000 | 116,178 | ||
Series EMTN, 1.60%, 7/29/2031 | EUR | 100,000 | 118,949 | ||
1.63%, 11/24/2030 | EUR | 100,000 | 119,150 | ||
Series EMTN, 1.75%, 8/25/2023 | EUR | 300,000 | 352,209 | ||
Series EMTN, 1.88%, 9/11/2025 | EUR | 150,000 | 180,198 | ||
Series EMTN, 2.20%, 8/25/2026 | EUR | 228,000 | 281,295 | ||
Series EMTN, 3.00%, 8/12/2056 | GBP | 50,000 | 67,238 | ||
Series EMTN, 3.38%, 8/8/2049 | GBP | 100,000 | 142,853 | ||
Series EMTN, 4.65%, 1/20/2022 | EUR | 100,000 | 120,205 | ||
Wellcome Trust, Ltd. 2.52%, 2/7/2118 | GBP | 100,000 | 190,778 | ||
Western Power Distribution East Midlands PLC Series EMTN, 5.25%, 1/17/2023 | GBP | 100,000 | 136,711 | ||
Western Power Distribution West Midlands PLC Series EMTN, 5.75%, 4/16/2032 | GBP | 100,000 | 177,212 | ||
16,180,565 | |||||
UNITED STATES — 25.9% | |||||
AbbVie, Inc. 1.38%, 5/17/2024 | EUR | 214,000 | 247,671 | ||
Altria Group, Inc.: | |||||
1.00%, 2/15/2023 | EUR | 100,000 | 113,260 | ||
2.20%, 6/15/2027 | EUR | 200,000 | 236,052 | ||
3.13%, 6/15/2031 (a) | EUR | 100,000 | 122,192 | ||
American Honda Finance Corp.: | |||||
0.35%, 8/26/2022 | EUR | 100,000 | 111,834 | ||
1.95%, 10/18/2024 | EUR | 200,000 | 236,784 | ||
American International Group, Inc. 1.88%, 6/21/2027 | EUR | 100,000 | 117,863 | ||
Amgen, Inc.: | |||||
1.25%, 2/25/2022 | EUR | 200,000 | 228,176 | ||
4.00%, 9/13/2029 | GBP | 100,000 | 151,361 | ||
Apple, Inc.: | |||||
0.50%, 11/15/2031 | EUR | 100,000 | 114,410 |
Security Description | Principal Amount | Value | |||
0.88%, 5/24/2025 | EUR | 100,000 | $ 117,387 | ||
Series EMTN, 1.00%, 11/10/2022 | EUR | 100,000 | 115,290 | ||
Series EMTN, 1.00%, 11/10/2022 | EUR | 50,000 | 57,645 | ||
1.38%, 1/17/2024 | EUR | 100,000 | 118,314 | ||
1.38%, 5/24/2029 | EUR | 300,000 | 370,141 | ||
1.63%, 11/10/2026 | EUR | 300,000 | 369,734 | ||
2.00%, 9/17/2027 | EUR | 100,000 | 127,314 | ||
3.05%, 7/31/2029 | GBP | 100,000 | 147,704 | ||
Series MTN, 3.70%, 8/28/2022 | AUD | 150,000 | 109,847 | ||
AT&T, Inc.: | |||||
0.80%, 3/4/2030 | EUR | 100,000 | 107,027 | ||
1.30%, 9/5/2023 | EUR | 100,000 | 114,371 | ||
1.45%, 6/1/2022 | EUR | 400,000 | 457,010 | ||
2.35%, 9/5/2029 | EUR | 200,000 | 244,639 | ||
2.40%, 3/15/2024 | EUR | 400,000 | 475,359 | ||
2.45%, 3/15/2035 | EUR | 100,000 | 119,190 | ||
2.50%, 3/15/2023 | EUR | 200,000 | 235,857 | ||
2.65%, 12/17/2021 | EUR | 100,000 | 115,525 | ||
3.15%, 9/4/2036 | EUR | 303,000 | 384,598 | ||
3.50%, 12/17/2025 | EUR | 100,000 | 128,028 | ||
3.55%, 12/17/2032 | EUR | 300,000 | 404,039 | ||
4.38%, 9/14/2029 | GBP | 50,000 | 73,259 | ||
4.88%, 6/1/2044 | GBP | 350,000 | 578,449 | ||
Series EMTN, 7.00%, 4/30/2040 | GBP | 100,000 | 200,477 | ||
Bank of America Corp.: | |||||
Series EMTN, 0.75%, 7/26/2023 | EUR | 200,000 | 226,755 | ||
Series EMTN, 1.38%, 9/10/2021 | EUR | 100,000 | 113,976 | ||
Series EMTN, 1.63%, 9/14/2022 | EUR | 200,000 | 231,108 | ||
Series EMTN, 2.30%, 7/25/2025 | GBP | 100,000 | 130,088 | ||
Series EMTN, 7.00%, 7/31/2028 | GBP | 150,000 | 264,093 | ||
Series EMTN, 3 Month USD LIBOR + 0.73%, 0.58%, 8/8/2029 (b) | EUR | 100,000 | 108,451 | ||
Series EMTN, 3 Month USD LIBOR + 0.89%, 1.66%, 4/25/2028 (b) | EUR | 200,000 | 236,338 | ||
Series EMTN, 3 Month USD LIBOR + 0.91%, 1.38%, 5/9/2030 (b) | EUR | 300,000 | 346,487 | ||
Series EMTN, 3 Month USD LIBOR + 1.03%, 1.38%, 2/7/2025 (b) | EUR | 500,000 | 577,465 | ||
Series EMTN, 3 Month USD LIBOR + 1.20%, 1.78%, 5/4/2027 (a)(b) | EUR | 200,000 | 237,333 | ||
Berkshire Hathaway Finance Corp.: | |||||
2.38%, 6/19/2039 | GBP | 100,000 | 140,191 |
Security Description | Principal Amount | Value | |||
2.63%, 6/19/2059 | GBP | 100,000 | $ 153,246 | ||
Berkshire Hathaway, Inc.: | |||||
0.01%, 3/12/2025 | EUR | 100,000 | 111,226 | ||
1.13%, 3/16/2027 | EUR | 300,000 | 354,529 | ||
1.30%, 3/15/2024 | EUR | 50,000 | 58,491 | ||
1.63%, 3/16/2035 | EUR | 200,000 | 252,643 | ||
Booking Holdings, Inc.: | |||||
0.80%, 3/10/2022 | EUR | 100,000 | 112,629 | ||
0.80%, 3/10/2022 | EUR | 100,000 | 112,629 | ||
1.80%, 3/3/2027 | EUR | 100,000 | 116,240 | ||
2.38%, 9/23/2024 | EUR | 100,000 | 119,306 | ||
Citigroup, Inc.: | |||||
Series EMTN, 0.75%, 10/26/2023 | EUR | 200,000 | 227,319 | ||
1.25%, 4/10/2029 | EUR | 200,000 | 232,846 | ||
Series EMTN, 1.38%, 10/27/2021 | EUR | 100,000 | 114,256 | ||
Series EMTN, 1.50%, 10/26/2028 | EUR | 200,000 | 238,016 | ||
1.75%, 1/28/2025 | EUR | 450,000 | 534,048 | ||
Series EMTN, 2.38%, 5/22/2024 | EUR | 100,000 | 120,507 | ||
2.75%, 1/24/2024 | GBP | 100,000 | 129,757 | ||
Series EMTN, 3 Month USD LIBOR + 1.07%, 1.50%, 7/24/2026 (b) | EUR | 300,000 | 347,993 | ||
Coca-Cola Co.: | |||||
0.13%, 9/22/2022 | EUR | 100,000 | 112,284 | ||
0.75%, 3/9/2023 | EUR | 300,000 | 342,267 | ||
1.13%, 3/9/2027 | EUR | 200,000 | 235,310 | ||
1.63%, 3/9/2035 | EUR | 200,000 | 246,471 | ||
1.88%, 9/22/2026 | EUR | 100,000 | 123,476 | ||
Comcast Corp.: | |||||
0.75%, 2/20/2032 | EUR | 100,000 | 109,125 | ||
1.88%, 2/20/2036 | GBP | 100,000 | 127,605 | ||
DH Europe Finance II Sarl: | |||||
0.20%, 3/18/2026 | EUR | 100,000 | 110,422 | ||
0.45%, 3/18/2028 | EUR | 100,000 | 109,638 | ||
0.75%, 9/18/2031 | EUR | 300,000 | 324,148 | ||
1.35%, 9/18/2039 | EUR | 200,000 | 213,595 | ||
Digital Euro Finco LLC 2.50%, 1/16/2026 | EUR | 100,000 | 121,356 | ||
Eli Lilly & Co. 1.70%, 11/1/2049 | EUR | 100,000 | 116,581 | ||
Equinix, Inc. 2.88%, 10/1/2025 | EUR | 300,000 | 341,945 | ||
Exxon Mobil Corp.: | |||||
0.14%, 6/26/2024 | EUR | 300,000 | 336,935 | ||
0.84%, 6/26/2032 | EUR | 200,000 | 221,766 | ||
FedEx Corp. 1.63%, 1/11/2027 | EUR | 200,000 | 228,682 | ||
Fidelity National Information Services, Inc.: | |||||
0.75%, 5/21/2023 | EUR | 100,000 | 113,050 | ||
1.50%, 5/21/2027 | EUR | 200,000 | 232,052 | ||
2.00%, 5/21/2030 | EUR | 200,000 | 239,943 | ||
General Electric Co.: | |||||
0.88%, 5/17/2025 | EUR | 400,000 | 432,586 |
Security Description | Principal Amount | Value | |||
2.13%, 5/17/2037 | EUR | 200,000 | $ 203,992 | ||
Goldman Sachs Group Inc Series EMTN, 2.00%, 11/1/2028 | EUR | 300,000 | 363,806 | ||
Goldman Sachs Group, Inc.: | |||||
Series EMTN, 1.25%, 5/1/2025 | EUR | 300,000 | 341,289 | ||
Series EMTN, 1.38%, 5/15/2024 | EUR | 200,000 | 228,629 | ||
Series EMTN, 1.63%, 7/27/2026 | EUR | 300,000 | 351,463 | ||
Series EMTN, 2.00%, 7/27/2023 | EUR | 300,000 | 350,944 | ||
Series EMTN, 2.13%, 9/30/2024 | EUR | 100,000 | 118,327 | ||
Series EMTN, 2.50%, 10/18/2021 | EUR | 100,000 | 115,649 | ||
Series EMTN, 3.00%, 2/12/2031 | EUR | 100,000 | 132,407 | ||
Series EMTN, 3.25%, 2/1/2023 | EUR | 200,000 | 240,199 | ||
Series EMTN, 4.25%, 1/29/2026 | GBP | 300,000 | 422,668 | ||
Honeywell International, Inc. 1.30%, 2/22/2023 | EUR | 200,000 | 230,693 | ||
International Business Machines Corp.: | |||||
0.30%, 2/11/2028 | EUR | 200,000 | 218,356 | ||
0.50%, 9/7/2021 | EUR | 300,000 | 338,572 | ||
0.65%, 2/11/2032 | EUR | 300,000 | 324,561 | ||
Series EMTN, 0.88%, 1/31/2025 | EUR | 100,000 | 115,023 | ||
0.95%, 5/23/2025 | EUR | 100,000 | 115,573 | ||
1.25%, 5/26/2023 | EUR | 230,000 | 265,888 | ||
1.50%, 5/23/2029 | EUR | 100,000 | 119,729 | ||
1.75%, 1/31/2031 | EUR | 100,000 | 122,335 | ||
Series EMTN, 2.88%, 11/7/2025 | EUR | 100,000 | 126,809 | ||
Johnson & Johnson: | |||||
0.25%, 1/20/2022 | EUR | 100,000 | 113,201 | ||
1.65%, 5/20/2035 | EUR | 300,000 | 395,169 | ||
JPMorgan Chase & Co.: | |||||
Series EMTN, 0.63%, 1/25/2024 | EUR | 200,000 | 226,450 | ||
Series EMTN, 1.50%, 10/26/2022 | EUR | 200,000 | 231,157 | ||
Series EMTN, 1.50%, 1/27/2025 | EUR | 100,000 | 117,745 | ||
Series EMTN, 1.50%, 10/29/2026 | EUR | 100,000 | 119,627 | ||
Series EMTN, 2.75%, 8/24/2022 | EUR | 200,000 | 236,594 | ||
Series EMTN, 2.75%, 2/1/2023 | EUR | 200,000 | 238,978 | ||
Series EMTN, 2.88%, 5/24/2028 | EUR | 100,000 | 132,446 |
Security Description | Principal Amount | Value | |||
Series EMTN, 3 Month USD LIBOR + 0.76%, 1.09%, 3/11/2027 (b) | EUR | 400,000 | $ 458,402 | ||
Series EMTN, 3 Month USD LIBOR + 0.84%, 1.64%, 5/18/2028 (b) | EUR | 500,000 | 591,538 | ||
Series EMTN, 3 Month USD LIBOR + 0.85%, 1.00%, 7/25/2031 (b) | EUR | 300,000 | 335,988 | ||
Series EMTN, 3 Month USD LIBOR + 0.87%, 1.05%, 11/4/2032 (b) | EUR | 100,000 | 112,033 | ||
Series EMTN, 3 Month USD LIBOR + 0.95%, 1.81%, 6/12/2029 (b) | EUR | 100,000 | 122,446 | ||
McDonald's Corp. Series GMTN, 1.00%, 11/15/2023 | EUR | 100,000 | 114,999 | ||
Medtronic Global Holdings SCA: | |||||
0.25%, 7/2/2025 | EUR | 100,000 | 111,681 | ||
1.13%, 3/7/2027 | EUR | 200,000 | 234,472 | ||
1.50%, 7/2/2039 | EUR | 200,000 | 224,024 | ||
1.75%, 7/2/2049 | EUR | 100,000 | 109,338 | ||
Merck & Co., Inc.: | |||||
1.13%, 10/15/2021 | EUR | 100,000 | 113,608 | ||
1.88%, 10/15/2026 | EUR | 200,000 | 248,447 | ||
Metropolitan Life Global Funding I 0.38%, 4/9/2024 | EUR | 200,000 | 225,680 | ||
Microsoft Corp.: | |||||
2.13%, 12/6/2021 | EUR | 250,000 | 288,199 | ||
3.13%, 12/6/2028 | EUR | 200,000 | 280,441 | ||
Morgan Stanley: | |||||
Series GMTN, 1.00%, 12/2/2022 | EUR | 100,000 | 113,564 | ||
Series GMTN, 1.38%, 10/27/2026 | EUR | 50,000 | 58,617 | ||
Series GMTN, 1.75%, 3/11/2024 | EUR | 300,000 | 351,752 | ||
Series GMTN, 1.75%, 1/30/2025 | EUR | 200,000 | 236,291 | ||
1.88%, 3/30/2023 | EUR | 200,000 | 233,043 | ||
Series GMTN, 1.88%, 4/27/2027 (a) | EUR | 300,000 | 364,473 | ||
Series GMTN, 2.63%, 3/9/2027 | GBP | 100,000 | 133,987 | ||
Series EMTN, 3 Month USD LIBOR + 0.75%, 0.64%, 7/26/2024 (b) | EUR | 140,000 | 157,260 | ||
Series EMTN, 3 Month USD LIBOR + 0.83%, 1.34%, 10/23/2026 (b) | EUR | 100,000 | 115,698 | ||
Mylan NV 2.25%, 11/22/2024 | EUR | 200,000 | 235,188 | ||
PepsiCo, Inc.: | |||||
0.25%, 5/6/2024 | EUR | 100,000 | 112,951 | ||
Series EMTN, 0.50%, 5/6/2028 | EUR | 200,000 | 226,142 |
Security Description | Principal Amount | Value | |||
Pfizer, Inc.: | |||||
0.25%, 3/6/2022 | EUR | 100,000 | $ 112,771 | ||
Series REGS, 2.74%, 6/15/2043 | GBP | 200,000 | 299,387 | ||
Philip Morris International, Inc. Series EMTN, 2.88%, 3/3/2026 | EUR | 100,000 | 124,916 | ||
Procter & Gamble Co.: | |||||
1.13%, 11/2/2023 | EUR | 200,000 | 233,907 | ||
2.00%, 8/16/2022 | EUR | 100,000 | 117,272 | ||
4.88%, 5/11/2027 | EUR | 100,000 | 149,664 | ||
Thermo Fisher Scientific, Inc.: | |||||
0.75%, 9/12/2024 | EUR | 48,000 | 54,585 | ||
Series EMTN, 1.88%, 10/1/2049 | EUR | 100,000 | 107,107 | ||
Toyota Motor Credit Corp.: | |||||
Series EMTN, 0.75%, 7/21/2022 | EUR | 300,000 | 340,274 | ||
Series EMTN, 1.00%, 9/10/2021 | EUR | 100,000 | 113,345 | ||
US Bancorp Series EMTN, 0.85%, 6/7/2024 | EUR | 200,000 | 227,741 | ||
Verizon Communications, Inc.: | |||||
0.88%, 4/2/2025 | EUR | 100,000 | 114,507 | ||
0.88%, 4/8/2027 | EUR | 100,000 | 113,625 | ||
1.25%, 4/8/2030 | EUR | 300,000 | 347,583 | ||
1.38%, 10/27/2026 | EUR | 100,000 | 117,409 | ||
1.38%, 11/2/2028 | EUR | 100,000 | 118,061 | ||
2.63%, 12/1/2031 | EUR | 200,000 | 262,975 | ||
Series 20Y, 2.88%, 1/15/2038 | EUR | 200,000 | 270,145 | ||
Series EMTN, 3.25%, 2/17/2026 | EUR | 250,000 | 321,691 | ||
3.38%, 10/27/2036 | GBP | 100,000 | 150,196 | ||
Walmart, Inc.: | |||||
4.88%, 9/21/2029 | EUR | 121,000 | 190,710 | ||
5.25%, 9/28/2035 | GBP | 168,000 | 325,197 | ||
5.63%, 3/27/2034 | GBP | 100,000 | 192,773 | ||
Wells Fargo & Co.: | |||||
Series EMTN, 0.50%, 4/26/2024 | EUR | 100,000 | 111,441 | ||
Series EMTN, 0.63%, 3/25/2030 | EUR | 100,000 | 106,166 | ||
Series EMTN, 1.00%, 2/2/2027 | EUR | 300,000 | 338,964 | ||
Series EMTN, 1.13%, 10/29/2021 | EUR | 100,000 | 113,912 | ||
Series EMTN, 1.38%, 10/26/2026 | EUR | 300,000 | 347,261 | ||
Series EMTN, 1.50%, 9/12/2022 | EUR | 100,000 | 114,862 | ||
Series EMTN, 1.50%, 5/24/2027 | EUR | 600,000 | 697,112 | ||
Series EMTN, 1.63%, 6/2/2025 | EUR | 150,000 | 175,638 | ||
Series EMTN, 2.00%, 7/28/2025 | GBP | 100,000 | 126,557 |
Security Description | Principal Amount | Value | |||
Series EMTN, 2.00%, 4/27/2026 | EUR | 300,000 | $ 359,657 | ||
Series EMTN, 2.25%, 5/2/2023 | EUR | 100,000 | 117,771 | ||
Series EMTN, 2.63%, 8/16/2022 | EUR | 250,000 | 293,364 | ||
4.63%, 11/2/2035 (a) | GBP | 150,000 | 248,908 | ||
37,364,005 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $145,557,779) | 142,131,669 |
Shares | |||
SHORT-TERM INVESTMENTS — 1.8% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c) (d) | 3,209 | 3,209 | |
State Street Navigator Securities Lending Portfolio II (e) (f) | 2,542,145 | 2,542,145 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $2,545,354) | 2,545,354 | ||
TOTAL INVESTMENTS — 100.3% (Cost $148,103,133) | 144,677,023 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (418,727) | ||
NET ASSETS — 100.0% | $ 144,258,296 |
(a) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $142,131,669 | $— | $142,131,669 | ||||
Short-Term Investments | 2,545,354 | — | — | 2,545,354 | ||||
TOTAL INVESTMENTS | $2,545,354 | $142,131,669 | $— | $144,677,023 |
% of Total Investments | ||
Financial | 45.2% | |
Consumer, Non-cyclical | 14.9 | |
Communications | 11.1 | |
Consumer, Cyclical | 7.0 | |
Energy | 6.1 | |
Utilities | 4.6 | |
Technology | 4.1 | |
Industrial | 3.6 | |
Basic Materials | 0.9 | |
Diversified | 0.4 | |
Update Category Library | 0.2 | |
Unknown B1 | 0.1 | |
Short-Term Investments | 1.8 | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 45,509 | $45,509 | $ 589,830 | $ 632,130 | $— | $— | 3,209 | $ 3,209 | $ 161 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 9,547,886 | 7,005,741 | — | — | 2,542,145 | 2,542,145 | 4,178 | ||||||||
Total | $45,509 | $10,137,716 | $7,637,871 | $— | $— | $2,545,354 | $4,339 |
Security Description | Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 99.1% | ||||||
AUSTRALIA — 4.6% | ||||||
Australia Government Bond: | ||||||
Series 159, 0.25%, 11/21/2024 | AUD | 300,000 | $ 205,517 | |||
Series 160, 1.00%, 12/21/2030 | AUD | 170,000 | 117,919 | |||
Series 158, 1.25%, 5/21/2032 | AUD | 800,000 | 567,183 | |||
Series 157, 1.50%, 6/21/2031 | AUD | 1,852,000 | 1,348,939 | |||
Series 151, 2.00%, 12/21/2021 | AUD | 1,340,000 | 946,274 | |||
Series 153, 2.25%, 11/21/2022 | AUD | 1,675,000 | 1,208,005 | |||
Series 149, 2.25%, 5/21/2028 | AUD | 2,730,000 | 2,100,108 | |||
Series 155, 2.50%, 5/21/2030 | AUD | 2,730,000 | 2,168,481 | |||
Series 137, 2.75%, 4/21/2024 | AUD | 2,910,000 | 2,187,977 | |||
Series 148, 2.75%, 11/21/2027 | AUD | 1,350,000 | 1,069,334 | |||
Series 148, 2.75%, 11/21/2027 | AUD | 1,490,000 | 1,180,228 | |||
Series 152, 2.75%, 11/21/2028 | AUD | 2,595,000 | 2,074,452 | |||
Series 154, 2.75%, 11/21/2029 | AUD | 2,615,000 | 2,110,125 | |||
Series 145, 2.75%, 6/21/2035 | AUD | 624,000 | 520,417 | |||
Series 156, 2.75%, 5/21/2041 | AUD | 525,000 | 434,087 | |||
Series 150, 3.00%, 3/21/2047 | AUD | 1,105,000 | 968,177 | |||
Series 139, 3.25%, 4/21/2025 | AUD | 2,332,000 | 1,823,655 | |||
Series 138, 3.25%, 4/21/2029 | AUD | 2,995,000 | 2,490,680 | |||
Series 147, 3.25%, 6/21/2039 | AUD | 925,000 | 818,738 | |||
3.75%, 4/21/2037 | AUD | 1,056,000 | 986,461 | |||
Series 142, 4.25%, 4/21/2026 | AUD | 2,765,000 | 2,312,886 | |||
Series 140, 4.50%, 4/21/2033 | AUD | 1,160,000 | 1,133,287 | |||
Series 136, 4.75%, 4/21/2027 | AUD | 2,515,000 | 2,211,747 | |||
Series 133, 5.50%, 4/21/2023 | AUD | 2,505,000 | 1,977,221 | |||
Series 128, 5.75%, 7/15/2022 | AUD | 2,005,000 | 1,534,377 | |||
34,496,275 |
Security Description | Principal Amount | Value | |||
AUSTRIA — 3.2% | |||||
Austria Government Bond: | |||||
0.01%, 9/20/2022 (a) | EUR | 590,000 | $ 671,579 | ||
0.01%, 7/15/2023 (a) | EUR | 815,000 | 931,540 | ||
0.01%, 7/15/2024 (a) | EUR | 350,000 | 401,924 | ||
0.50%, 4/20/2027 (a) | EUR | 740,000 | 883,324 | ||
0.50%, 2/20/2029 (a) | EUR | 950,000 | 1,140,333 | ||
0.75%, 10/20/2026 (a) | EUR | 1,080,000 | 1,306,020 | ||
0.75%, 2/20/2028 (a) | EUR | 805,000 | 981,109 | ||
1.20%, 10/20/2025 (a) | EUR | 810,000 | 993,492 | ||
1.50%, 2/20/2047 (a) | EUR | 635,000 | 938,169 | ||
1.50%, 11/2/2086 (a) | EUR | 160,000 | 275,060 | ||
Series 1, 1.65%, 10/21/2024 (a) | EUR | 850,000 | 1,047,050 | ||
1.75%, 10/20/2023 (a) | EUR | 1,050,000 | 1,271,690 | ||
2.10%, 9/20/2117 (a) | EUR | 480,000 | 1,058,148 | ||
2.40%, 5/23/2034 (a) | EUR | 685,000 | 1,028,631 | ||
3.15%, 6/20/2044 (a) | EUR | 586,000 | 1,112,715 | ||
3.40%, 11/22/2022 (a) | EUR | 802,000 | 987,636 | ||
3.50%, 9/15/2021 (a) | EUR | 1,220,000 | 1,437,385 | ||
3.65%, 4/20/2022 (a) | EUR | 704,000 | 851,657 | ||
3.80%, 1/26/2062 (a) | EUR | 317,000 | 817,883 | ||
4.15%, 3/15/2037 (a) | EUR | 1,185,000 | 2,236,034 | ||
4.85%, 3/15/2026 (a) | EUR | 780,000 | 1,147,167 | ||
6.25%, 7/15/2027 | EUR | 825,000 | 1,365,716 | ||
Republic of Austria Government Bond: | |||||
0.01%, 4/20/2023 (a) | EUR | 500,000 | 570,774 | ||
0.01%, 2/20/2030 (a) | EUR | 150,000 | 172,122 | ||
0.75%, 3/20/2051 (a) | EUR | 250,000 | 315,104 | ||
0.85%, 6/30/2120 (a) | EUR | 150,000 | 186,811 | ||
24,129,073 | |||||
BELGIUM — 4.5% | |||||
Belgium Government Bond: | |||||
Series 79, 0.20%, 10/22/2023 (a) | EUR | 655,000 | 754,677 | ||
Series 82, 0.50%, 10/22/2024 (a) | EUR | 870,000 | 1,020,346 | ||
Series 74, 0.80%, 6/22/2025 (a) | EUR | 1,101,000 | 1,316,477 | ||
Series 81, 0.80%, 6/22/2027 (a) | EUR | 1,000,000 | 1,212,777 | ||
Series 85, 0.80%, 6/22/2028 (a) | EUR | 1,202,000 | 1,467,527 | ||
Series 87, 0.90%, 6/22/2029 (a) | EUR | 1,150,000 | 1,421,144 | ||
Series 77, 1.00%, 6/22/2026 (a) | EUR | 1,090,000 | 1,328,112 | ||
Series 75, 1.00%, 6/22/2031 (a) | EUR | 1,180,000 | 1,481,121 | ||
Series 86, 1.25%, 4/22/2033 | EUR | 580,000 | 754,405 | ||
Series 84, 1.45%, 6/22/2037 (a) | EUR | 395,000 | 531,175 | ||
Series 78, 1.60%, 6/22/2047 (a) | EUR | 735,000 | 1,038,414 |
Security Description | Principal Amount | Value | |||
Series 88, 1.70%, 6/22/2050 (a) | EUR | 550,000 | $ 803,144 | ||
Series 76, 1.90%, 6/22/2038 (a) | EUR | 660,000 | 948,573 | ||
Series 80, 2.15%, 6/22/2066 (a) | EUR | 490,000 | 864,237 | ||
Series 68, 2.25%, 6/22/2023 | EUR | 910,000 | 1,109,259 | ||
Series 83, 2.25%, 6/22/2057 (a) | EUR | 396,000 | 677,269 | ||
Series 72, 2.60%, 6/22/2024 (a) | EUR | 1,126,000 | 1,424,392 | ||
Series 73, 3.00%, 6/22/2034 (a) | EUR | 631,000 | 994,833 | ||
Series 71, 3.75%, 6/22/2045 | EUR | 695,000 | 1,373,700 | ||
Series 48, 4.00%, 3/28/2022 | EUR | 955,000 | 1,159,500 | ||
Series 66, 4.00%, 3/28/2032 | EUR | 647,000 | 1,070,833 | ||
Series 61, 4.25%, 9/28/2021 (a) | EUR | 1,135,000 | 1,351,738 | ||
Series 65, 4.25%, 9/28/2022 (a) | EUR | 1,140,000 | 1,421,352 | ||
Series 60, 4.25%, 3/28/2041 (a) | EUR | 1,180,000 | 2,334,811 | ||
Series 64, 4.50%, 3/28/2026 (a) | EUR | 761,000 | 1,099,081 | ||
Series 44, 5.00%, 3/28/2035 (a) | EUR | 1,402,000 | 2,689,875 | ||
Series 31, 5.50%, 3/28/2028 | EUR | 1,508,000 | 2,462,424 | ||
Kingdom of Belgium Government Bond Series 90, 0.40%, 6/22/2040 (a) | EUR | 200,000 | 224,661 | ||
34,335,857 | |||||
CANADA — 4.5% | |||||
Canadian Government Bond: | |||||
0.50%, 3/1/2022 | CAD | 2,170,000 | 1,599,825 | ||
0.50%, 9/1/2025 | CAD | 1,160,000 | 857,608 | ||
0.75%, 9/1/2021 | CAD | 1,735,000 | 1,281,696 | ||
1.00%, 9/1/2022 | CAD | 2,230,000 | 1,662,742 | ||
1.00%, 6/1/2027 | CAD | 1,074,000 | 820,159 | ||
1.25%, 11/1/2021 | CAD | 1,240,000 | 922,762 | ||
1.25%, 3/1/2025 | CAD | 1,470,000 | 1,123,946 | ||
1.25%, 6/1/2030 | CAD | 1,149,000 | 902,032 | ||
1.50%, 8/1/2021 | CAD | 1,230,000 | 915,609 | ||
1.50%, 2/1/2022 | CAD | 1,510,000 | 1,130,560 | ||
1.50%, 6/1/2023 | CAD | 1,425,000 | 1,082,309 | ||
1.50%, 9/1/2024 | CAD | 1,880,000 | 1,446,441 | ||
1.50%, 6/1/2026 | CAD | 1,350,000 | 1,056,330 | ||
1.75%, 3/1/2023 | CAD | 2,362,000 | 1,800,843 | ||
2.00%, 9/1/2023 | CAD | 1,225,000 | 946,965 | ||
2.00%, 6/1/2028 | CAD | 1,350,000 | 1,110,043 | ||
2.00%, 12/1/2051 | CAD | 1,080,000 | 1,008,769 |
Security Description | Principal Amount | Value | |||
2.25%, 3/1/2024 | CAD | 1,200,000 | $ 942,643 | ||
2.25%, 6/1/2025 | CAD | 810,000 | 649,267 | ||
2.25%, 6/1/2029 | CAD | 1,230,000 | 1,041,861 | ||
2.50%, 6/1/2024 | CAD | 1,380,000 | 1,098,468 | ||
2.75%, 6/1/2022 | CAD | 1,520,000 | 1,168,905 | ||
2.75%, 12/1/2048 | CAD | 1,270,000 | 1,338,852 | ||
2.75%, 12/1/2064 | CAD | 475,000 | 568,288 | ||
3.50%, 12/1/2045 | CAD | 1,325,000 | 1,523,516 | ||
4.00%, 6/1/2041 | CAD | 1,133,000 | 1,314,713 | ||
5.00%, 6/1/2037 | CAD | 1,020,000 | 1,240,603 | ||
Series WL43, 5.75%, 6/1/2029 | CAD | 1,070,000 | 1,145,356 | ||
5.75%, 6/1/2033 | CAD | 955,000 | 1,138,469 | ||
Series A55, 8.00%, 6/1/2023 | CAD | 240,000 | 215,440 | ||
Series VW17, 8.00%, 6/1/2027 | CAD | 350,000 | 389,345 | ||
Series A-76, 9.00%, 6/1/2025 | CAD | 230,000 | 239,676 | ||
33,684,041 | |||||
CHILE — 0.3% | |||||
Bonos de la Tesoreria de la Republica en pesos: | |||||
4.00%, 3/1/2023 (a) | CLP | 210,000,000 | 280,740 | ||
4.50%, 3/1/2026 | CLP | 300,000,000 | 427,825 | ||
4.70%, 9/1/2030 (a) | CLP | 245,000,000 | 359,337 | ||
5.00%, 3/1/2035 | CLP | 340,000,000 | 514,842 | ||
5.10%, 7/15/2050 | CLP | 85,000,000 | 142,209 | ||
Series 30YR, 6.00%, 1/1/2043 | CLP | 260,000,000 | 467,594 | ||
2,192,547 | |||||
CHINA — 3.6% | |||||
China Government Bond: | |||||
Series 1814, 3.24%, 7/5/2021 | CNY | 450,000 | 64,399 | ||
Series 1827, 3.25%, 11/22/2028 | CNY | 43,000,000 | 6,219,898 | ||
Series 1823, 3.29%, 10/18/2023 | CNY | 103,500,000 | 15,019,100 | ||
Series 1824, 4.08%, 10/22/2048 | CNY | 39,500,000 | 6,002,390 | ||
27,305,787 | |||||
CYPRUS — 0.2% | |||||
Cyprus Government International Bond: | |||||
Series EMTN, 1.25%, 1/21/2040 | EUR | 100,000 | 109,239 | ||
Series EMTN, 2.38%, 9/25/2028 | EUR | 200,000 | 251,875 | ||
Series EMTN, 2.75%, 6/27/2024 | EUR | 50,000 | 61,526 | ||
Series EMTN, 2.75%, 2/26/2034 | EUR | 100,000 | 132,227 | ||
Series EMTN, 2.75%, 5/3/2049 | EUR | 100,000 | 138,582 |
Security Description | Principal Amount | Value | |||
Series EMTN, 3.75%, 7/26/2023 | EUR | 110,000 | $ 136,934 | ||
Series EMTN, 3.88%, 5/6/2022 | EUR | 130,000 | 156,137 | ||
Series EMTN, 4.25%, 11/4/2025 | EUR | 100,000 | 134,209 | ||
Series EMTN, 4.25%, 11/4/2025 | EUR | 70,000 | 93,947 | ||
1,214,676 | |||||
CZECH REPUBLIC — 0.7% | |||||
Czech Republic Government Bond: | |||||
Series 100, 0.25%, 2/10/2027 | CZK | 9,360,000 | 383,564 | ||
Series 97, 0.45%, 10/25/2023 | CZK | 8,450,000 | 357,221 | ||
Series 94, 0.95%, 5/15/2030 | CZK | 8,580,000 | 366,005 | ||
Series 95, 1.00%, 6/26/2026 | CZK | 9,920,000 | 427,323 | ||
Series 121, 1.20%, 3/13/2031 | CZK | 5,000,000 | 217,093 | ||
Series 120, 1.25%, 2/14/2025 | CZK | 8,500,000 | 369,374 | ||
Series 103, 2.00%, 10/13/2033 | CZK | 9,000,000 | 429,678 | ||
Series 89, 2.40%, 9/17/2025 | CZK | 9,440,000 | 435,005 | ||
Series 78, 2.50%, 8/25/2028 | CZK | 9,350,000 | 449,462 | ||
Series 105, 2.75%, 7/23/2029 | CZK | 8,370,000 | 415,323 | ||
Series 61, 3.85%, 9/29/2021 | CZK | 7,940,000 | 350,118 | ||
Series 49, 4.20%, 12/4/2036 | CZK | 4,030,000 | 248,403 | ||
Series 52, 4.70%, 9/12/2022 | CZK | 8,460,000 | 392,521 | ||
Series 53, 4.85%, 11/26/2057 | CZK | 1,750,000 | 126,522 | ||
Series 58, 5.70%, 5/25/2024 | CZK | 7,290,000 | 371,088 | ||
5,338,700 | |||||
DENMARK — 1.1% | |||||
Denmark Government Bond: | |||||
Series 3Y, 0.25%, 11/15/2022 (a) | DKK | 1,690,000 | 259,586 | ||
Series 10Y, 0.50%, 11/15/2027 | DKK | 6,768,000 | 1,090,183 | ||
Series 10YR, 0.50%, 11/15/2029 (a) | DKK | 4,473,000 | 726,983 | ||
1.50%, 11/15/2023 | DKK | 4,735,000 | 763,628 | ||
1.75%, 11/15/2025 | DKK | 5,405,000 | 915,628 | ||
3.00%, 11/15/2021 | DKK | 5,465,000 | 863,733 | ||
4.50%, 11/15/2039 | DKK | 12,555,000 | 3,571,164 |
Security Description | Principal Amount | Value | |||
7.00%, 11/10/2024 | DKK | 670,000 | $ 134,642 | ||
8,325,547 | |||||
ESTONIA — 0.0% (b) | |||||
Estonia Government International Bond 0.13%, 6/10/2030 | EUR | 100,000 | 112,426 | ||
FINLAND — 1.3% | |||||
Finland Government Bond: | |||||
Series 5Y, 0.01%, 4/15/2022 (a) | EUR | 35,000 | 39,737 | ||
0.01%, 9/15/2023 (a) | EUR | 595,000 | 681,373 | ||
0.01%, 9/15/2024 (a) | EUR | 355,000 | 408,481 | ||
0.13%, 4/15/2036 (a) | EUR | 250,000 | 283,823 | ||
0.50%, 4/15/2026 (a) | EUR | 531,000 | 630,510 | ||
0.50%, 9/15/2027 (a) | EUR | 590,000 | 706,082 | ||
0.50%, 9/15/2028 (a) | EUR | 378,000 | 453,887 | ||
0.50%, 9/15/2029 (a) | EUR | 450,000 | 541,029 | ||
0.75%, 4/15/2031 (a) | EUR | 410,000 | 507,176 | ||
0.88%, 9/15/2025 (a) | EUR | 393,000 | 474,005 | ||
1.13%, 4/15/2034 (a) | EUR | 415,000 | 539,737 | ||
Series 30Y, 1.38%, 4/15/2047 (a) | EUR | 289,000 | 425,653 | ||
1.50%, 4/15/2023 (a) | EUR | 430,000 | 511,628 | ||
1.63%, 9/15/2022 (a) | EUR | 440,000 | 518,911 | ||
2.00%, 4/15/2024 (a) | EUR | 397,000 | 490,510 | ||
2.63%, 7/4/2042 (a) | EUR | 391,000 | 679,218 | ||
2.75%, 7/4/2028 (a) | EUR | 465,000 | 653,353 | ||
4.00%, 7/4/2025 (a) | EUR | 662,000 | 916,264 | ||
9,461,377 | |||||
FRANCE — 5.1% | |||||
France Government Bond OAT: | |||||
0.01%, 2/25/2022 | EUR | 525,000 | 595,620 | ||
0.01%, 5/25/2022 | EUR | 427,000 | 485,180 | ||
0.01%, 3/25/2023 | EUR | 856,000 | 977,768 | ||
0.01%, 3/25/2024 | EUR | 800,000 | 918,160 | ||
0.01%, 3/25/2025 | EUR | 755,000 | 869,356 | ||
0.25%, 11/25/2026 | EUR | 747,000 | 875,253 | ||
0.50%, 5/25/2025 | EUR | 870,000 | 1,027,258 | ||
0.50%, 5/25/2026 | EUR | 768,000 | 912,186 | ||
0.50%, 5/25/2029 | EUR | 633,000 | 758,072 | ||
0.75%, 5/25/2028 | EUR | 758,000 | 923,593 | ||
0.75%, 11/25/2028 | EUR | 821,000 | 1,002,354 | ||
1.00%, 11/25/2025 | EUR | 720,000 | 874,882 | ||
1.00%, 5/25/2027 | EUR | 670,000 | 824,795 | ||
1.25%, 5/25/2034 | EUR | 735,000 | 959,579 | ||
1.25%, 5/25/2036 (a) | EUR | 760,000 | 997,331 | ||
1.50%, 5/25/2031 | EUR | 895,000 | 1,182,598 | ||
1.50%, 5/25/2050 (a) | EUR | 480,000 | 677,556 | ||
1.75%, 5/25/2023 | EUR | 905,000 | 1,086,399 | ||
1.75%, 11/25/2024 | EUR | 800,000 | 990,978 | ||
1.75%, 6/25/2039 (a) | EUR | 550,000 | 786,133 | ||
1.75%, 5/25/2066 (a) | EUR | 285,000 | 456,040 | ||
2.00%, 5/25/2048 (a) | EUR | 535,000 | 831,428 |
Security Description | Principal Amount | Value | |||
2.25%, 10/25/2022 | EUR | 740,000 | $ 886,631 | ||
2.25%, 5/25/2024 | EUR | 740,000 | 923,968 | ||
2.50%, 5/25/2030 | EUR | 895,000 | 1,274,075 | ||
2.75%, 10/25/2027 | EUR | 910,000 | 1,258,978 | ||
3.00%, 4/25/2022 | EUR | 890,000 | 1,065,577 | ||
3.25%, 10/25/2021 | EUR | 735,000 | 867,468 | ||
3.25%, 5/25/2045 | EUR | 485,000 | 900,806 | ||
3.50%, 4/25/2026 | EUR | 810,000 | 1,122,928 | ||
4.00%, 10/25/2038 | EUR | 570,000 | 1,071,943 | ||
4.00%, 4/25/2055 | EUR | 304,000 | 704,922 | ||
4.00%, 4/25/2060 | EUR | 325,000 | 794,525 | ||
4.25%, 10/25/2023 | EUR | 850,000 | 1,110,317 | ||
4.50%, 4/25/2041 | EUR | 860,000 | 1,773,737 | ||
4.75%, 4/25/2035 | EUR | 615,000 | 1,165,453 | ||
5.50%, 4/25/2029 | EUR | 750,000 | 1,275,977 | ||
5.75%, 10/25/2032 | EUR | 636,000 | 1,226,673 | ||
6.00%, 10/25/2025 | EUR | 700,000 | 1,062,463 | ||
8.50%, 4/25/2023 | EUR | 110,000 | 155,519 | ||
French Republic Government Bond OAT: | |||||
0.01%, 11/25/2029 | EUR | 550,000 | 628,938 | ||
0.75%, 5/25/2052 (a) | EUR | 100,000 | 117,000 | ||
38,400,417 | |||||
GERMANY — 4.5% | |||||
Bundesobligation Series 181, 0.01%, 4/11/2025 | EUR | 300,000 | 348,493 | ||
Bundesrepublik Deutschland: | |||||
0.01%, 9/10/2021 | EUR | 250,000 | 282,962 | ||
0.01%, 12/10/2021 | EUR | 400,000 | 453,747 | ||
0.01%, 8/15/2026 | EUR | 687,000 | 804,633 | ||
0.01%, 8/15/2029 | EUR | 600,000 | 707,370 | ||
0.01%, 8/15/2030 | EUR | 150,000 | 176,545 | ||
0.01%, 8/15/2050 | EUR | 350,000 | 394,207 | ||
0.25%, 2/15/2027 | EUR | 800,000 | 954,518 | ||
0.25%, 8/15/2028 (c) | EUR | 630,000 | 757,331 | ||
0.50%, 8/15/2027 | EUR | 820,000 | 997,892 | ||
0.50%, 2/15/2028 | EUR | 595,000 | 726,746 | ||
1.25%, 8/15/2048 | EUR | 514,000 | 786,258 | ||
Series 98, 4.75%, 7/4/2028 | EUR | 419,000 | 676,409 | ||
Series 08, 4.75%, 7/4/2040 | EUR | 100,000 | 225,879 | ||
Series 94, 6.25%, 1/4/2024 | EUR | 265,000 | 371,292 | ||
Bundesrepublik Deutschland Bundesanleihe 0.01%, 2/15/2030 | EUR | 650,000 | 765,855 | ||
Federal Republic of Germany: | |||||
Series 174, 0.01%, 10/8/2021 | EUR | 450,000 | 509,595 | ||
Series 175, 0.01%, 4/8/2022 | EUR | 545,000 | 619,615 |
Security Description | Principal Amount | Value | |||
Series 176, 0.01%, 10/7/2022 | EUR | 510,000 | $ 582,057 | ||
Series 177, 0.01%, 4/14/2023 | EUR | 465,000 | 532,892 | ||
Series 178, 0.01%, 10/13/2023 | EUR | 405,000 | 465,854 | ||
Series 179, 0.01%, 4/5/2024 | EUR | 550,000 | 634,673 | ||
Series 180, 0.01%, 10/18/2024 | EUR | 300,000 | 347,384 | ||
0.25%, 2/15/2029 | EUR | 600,000 | 722,529 | ||
0.50%, 2/15/2025 | EUR | 698,000 | 828,958 | ||
0.50%, 2/15/2026 | EUR | 785,000 | 942,275 | ||
1.00%, 8/15/2024 | EUR | 565,000 | 680,323 | ||
1.00%, 8/15/2025 | EUR | 618,000 | 756,072 | ||
1.50%, 9/4/2022 | EUR | 520,000 | 612,467 | ||
1.50%, 2/15/2023 | EUR | 560,000 | 666,186 | ||
1.50%, 5/15/2023 | EUR | 695,000 | 831,054 | ||
1.50%, 5/15/2024 | EUR | 574,000 | 701,110 | ||
1.75%, 7/4/2022 | EUR | 650,000 | 766,105 | ||
1.75%, 2/15/2024 | EUR | 550,000 | 674,067 | ||
2.00%, 1/4/2022 | EUR | 650,000 | 760,197 | ||
2.00%, 8/15/2023 | EUR | 550,000 | 671,045 | ||
2.25%, 9/4/2021 | EUR | 350,000 | 406,547 | ||
2.50%, 7/4/2044 | EUR | 682,000 | 1,252,746 | ||
2.50%, 8/15/2046 | EUR | 717,000 | 1,350,101 | ||
3.25%, 7/4/2021 | EUR | 430,000 | 501,851 | ||
3.25%, 7/4/2042 | EUR | 450,000 | 890,662 | ||
Series 05, 4.00%, 1/4/2037 | EUR | 642,000 | 1,241,157 | ||
Series 2007, 4.25%, 7/4/2039 | EUR | 450,000 | 942,917 | ||
Series 03, 4.75%, 7/4/2034 | EUR | 655,000 | 1,276,928 | ||
Series 08, 4.75%, 7/4/2040 | EUR | 425,000 | 959,986 | ||
Series 00, 5.50%, 1/4/2031 | EUR | 490,000 | 903,692 | ||
Series 98, 5.63%, 1/4/2028 | EUR | 425,000 | 705,485 | ||
Series 00, 6.25%, 1/4/2030 | EUR | 239,000 | 445,929 | ||
Series 97, 6.50%, 7/4/2027 | EUR | 350,000 | 594,026 | ||
34,206,622 | |||||
HONG KONG — 0.1% | |||||
Hong Kong Government Bond Programme: | |||||
1.10%, 1/17/2023 | HKD | 1,400,000 | 184,342 | ||
1.16%, 5/18/2022 | HKD | 750,000 | 98,308 | ||
1.25%, 6/29/2027 | HKD | 450,000 | 61,465 | ||
1.68%, 1/21/2026 | HKD | 300,000 | 41,502 | ||
1.89%, 3/2/2032 | HKD | 200,000 | 29,178 | ||
1.97%, 1/17/2029 | HKD | 400,000 | 57,796 | ||
2.02%, 3/7/2034 | HKD | 300,000 | 45,034 | ||
2.22%, 8/7/2024 | HKD | 750,000 | 104,388 |
Security Description | Principal Amount | Value | |||
2.46%, 8/4/2021 | HKD | 1,150,000 | $ 151,917 | ||
773,930 | |||||
HUNGARY — 0.5% | |||||
Hungary Government Bond: | |||||
Series 22/C, 1.50%, 8/24/2022 | HUF | 34,000,000 | 109,382 | ||
Series 22/B, 1.75%, 10/26/2022 | HUF | 101,020,000 | 327,061 | ||
Series 21/B, 2.50%, 10/27/2021 | HUF | 61,950,000 | 201,784 | ||
Series 24/C, 2.50%, 10/24/2024 | HUF | 26,000,000 | 86,922 | ||
Series 26/D, 2.75%, 12/22/2026 | HUF | 84,930,000 | 289,181 | ||
Series 24/B, 3.00%, 6/26/2024 | HUF | 118,130,000 | 401,844 | ||
Series 27/A, 3.00%, 10/27/2027 | HUF | 156,260,000 | 539,325 | ||
Series 30/A, 3.00%, 8/21/2030 | HUF | 40,000,000 | 136,499 | ||
Series 38/A, 3.00%, 10/27/2038 | HUF | 6,500,000 | 21,135 | ||
Series 31/A, 3.25%, 10/22/2031 | HUF | 27,000,000 | 94,308 | ||
Series 25/B, 5.50%, 6/24/2025 | HUF | 88,720,000 | 338,250 | ||
Series 23/A, 6.00%, 11/24/2023 | HUF | 99,460,000 | 367,393 | ||
Series 28/A, 6.75%, 10/22/2028 | HUF | 92,270,000 | 402,539 | ||
Series 22/A, 7.00%, 6/24/2022 | HUF | 54,000,000 | 192,556 | ||
3,508,179 | |||||
INDONESIA — 2.1% | |||||
Indonesia Treasury Bond: | |||||
Series FR63, 5.63%, 5/15/2023 | IDR | 27,835,000,000 | 1,921,852 | ||
Series FR64, 6.13%, 5/15/2028 | IDR | 61,260,000,000 | 4,014,385 | ||
Series FR65, 6.63%, 5/15/2033 | IDR | 60,700,000,000 | 3,876,982 | ||
Series FR59, 7.00%, 5/15/2027 | IDR | 24,050,000,000 | 1,683,584 | ||
Series FR75, 7.50%, 5/15/2038 | IDR | 28,200,000,000 | 1,932,445 | ||
Series FR70, 8.38%, 3/15/2024 | IDR | 32,920,000,000 | 2,445,091 | ||
15,874,339 | |||||
IRELAND — 1.7% | |||||
Ireland Government Bond: | |||||
0.01%, 10/18/2022 | EUR | 425,000 | 483,059 | ||
0.20%, 10/18/2030 | EUR | 200,000 | 229,248 | ||
0.40%, 5/15/2035 | EUR | 400,000 | 459,458 | ||
0.80%, 3/15/2022 | EUR | 595,000 | 683,444 | ||
0.90%, 5/15/2028 | EUR | 699,000 | 852,015 |
Security Description | Principal Amount | Value | |||
1.00%, 5/15/2026 | EUR | 1,100,000 | $ 1,331,362 | ||
1.10%, 5/15/2029 | EUR | 900,000 | 1,118,428 | ||
1.30%, 5/15/2033 | EUR | 380,000 | 490,936 | ||
1.35%, 3/18/2031 | EUR | 439,000 | 563,532 | ||
1.50%, 5/15/2050 | EUR | 400,000 | 553,345 | ||
1.70%, 5/15/2037 | EUR | 485,000 | 667,901 | ||
2.00%, 2/18/2045 | EUR | 665,000 | 1,008,520 | ||
2.40%, 5/15/2030 | EUR | 750,000 | 1,045,793 | ||
3.40%, 3/18/2024 | EUR | 620,000 | 796,639 | ||
3.90%, 3/20/2023 | EUR | 615,000 | 774,178 | ||
5.40%, 3/13/2025 | EUR | 1,025,000 | 1,468,525 | ||
12,526,383 | |||||
ISRAEL — 0.8% | |||||
Israel Government Bond: | |||||
Series 0722, 0.75%, 7/31/2022 | ILS | 1,120,000 | 326,457 | ||
Series 1122, 1.25%, 11/30/2022 | ILS | 930,000 | 275,950 | ||
Series 1123, 1.50%, 11/30/2023 | ILS | 1,490,000 | 449,488 | ||
Series 0825, 1.75%, 8/31/2025 | ILS | 1,704,000 | 528,331 | ||
Series 0327, 2.00%, 3/31/2027 | ILS | 1,490,000 | 475,403 | ||
Series 0928, 2.25%, 9/28/2028 | ILS | 1,450,000 | 476,792 | ||
Series 0324, 3.75%, 3/31/2024 | ILS | 1,517,000 | 495,935 | ||
Series 0347, 3.75%, 3/31/2047 | ILS | 1,335,000 | 569,456 | ||
Series 0323, 4.25%, 3/31/2023 | ILS | 1,469,000 | 471,941 | ||
Series 0122, 5.50%, 1/31/2022 | ILS | 1,577,500 | 494,860 | ||
Series 0142, 5.50%, 1/31/2042 | ILS | 1,755,000 | 903,042 | ||
Series 1026, 6.25%, 10/30/2026 | ILS | 1,470,000 | 580,138 | ||
Israel Government Bond - Fixed Series 0330, 1.00%, 3/31/2030 | ILS | 325,000 | 97,160 | ||
6,144,953 | |||||
ITALY — 4.6% | |||||
Italy Buoni Poliennali Del Tesoro: | |||||
0.35%, 11/1/2021 | EUR | 175,000 | 197,674 | ||
0.35%, 2/1/2025 | EUR | 225,000 | 249,904 | ||
0.65%, 10/15/2023 | EUR | 370,000 | 420,344 | ||
0.90%, 8/1/2022 | EUR | 370,000 | 422,448 | ||
0.95%, 3/1/2023 | EUR | 435,000 | 498,036 | ||
0.95%, 3/15/2023 | EUR | 365,000 | 417,944 | ||
1.00%, 7/15/2022 | EUR | 400,000 | 457,556 | ||
1.20%, 4/1/2022 | EUR | 585,000 | 669,800 | ||
1.25%, 12/1/2026 | EUR | 530,000 | 609,454 | ||
1.35%, 4/1/2030 | EUR | 500,000 | 568,343 |
Security Description | Principal Amount | Value | |||
1.45%, 11/15/2024 | EUR | 310,000 | $ 361,622 | ||
1.45%, 5/15/2025 | EUR | 350,000 | 407,851 | ||
1.45%, 3/1/2036 (a) | EUR | 200,000 | 217,838 | ||
1.60%, 6/1/2026 | EUR | 393,000 | 461,658 | ||
1.65%, 12/1/2030 (a) | EUR | 200,000 | 231,823 | ||
1.75%, 7/1/2024 | EUR | 150,000 | 176,645 | ||
1.85%, 5/15/2024 | EUR | 355,000 | 419,863 | ||
2.00%, 2/1/2028 | EUR | 555,000 | 667,357 | ||
2.05%, 8/1/2027 | EUR | 290,000 | 349,488 | ||
2.20%, 6/1/2027 | EUR | 485,000 | 589,945 | ||
2.25%, 9/1/2036 (a) | EUR | 295,000 | 356,775 | ||
2.30%, 10/15/2021 | EUR | 215,000 | 248,892 | ||
Series 5Y, 2.45%, 10/1/2023 | EUR | 385,000 | 462,158 | ||
2.45%, 9/1/2033 (a) | EUR | 340,000 | 423,021 | ||
2.50%, 11/15/2025 | EUR | 300,000 | 368,077 | ||
2.80%, 12/1/2028 | EUR | 540,000 | 688,881 | ||
2.80%, 3/1/2067 (a) | EUR | 295,000 | 368,527 | ||
2.95%, 9/1/2038 (a) | EUR | 289,000 | 378,901 | ||
3.00%, 8/1/2029 | EUR | 470,000 | 611,011 | ||
3.10%, 3/1/2040 (a) | EUR | 200,000 | 267,238 | ||
3.45%, 3/1/2048 (a) | EUR | 357,000 | 506,295 | ||
3.75%, 8/1/2021 (a) | EUR | 400,000 | 468,052 | ||
3.85%, 9/1/2049 (a) | EUR | 280,000 | 424,836 | ||
7.25%, 11/1/2026 | EUR | 366,000 | 572,067 | ||
9.00%, 11/1/2023 | EUR | 250,000 | 361,233 | ||
Republic of Italy: | |||||
1.35%, 4/15/2022 | EUR | 550,000 | 631,609 | ||
1.45%, 9/15/2022 | EUR | 360,000 | 415,954 | ||
1.50%, 6/1/2025 | EUR | 354,000 | 413,737 | ||
1.65%, 3/1/2032 (a) | EUR | 460,000 | 531,031 | ||
2.00%, 12/1/2025 | EUR | 407,000 | 487,855 | ||
2.15%, 12/15/2021 | EUR | 500,000 | 579,652 | ||
2.50%, 12/1/2024 | EUR | 420,000 | 510,774 | ||
2.70%, 3/1/2047 (a) | EUR | 335,000 | 418,199 | ||
3.25%, 9/1/2046 (a) | EUR | 360,000 | 492,406 | ||
3.50%, 3/1/2030 (a) | EUR | 601,000 | 814,160 | ||
3.75%, 9/1/2024 | EUR | 430,000 | 546,222 | ||
4.00%, 2/1/2037 (a) | EUR | 640,000 | 943,877 | ||
4.50%, 5/1/2023 | EUR | 430,000 | 540,849 | ||
4.50%, 3/1/2024 | EUR | 505,000 | 650,781 | ||
4.50%, 3/1/2026 (a) | EUR | 494,000 | 668,728 | ||
4.75%, 9/1/2021 | EUR | 407,000 | 482,944 | ||
4.75%, 8/1/2023 (a) | EUR | 530,000 | 676,545 | ||
4.75%, 9/1/2028 (a) | EUR | 675,000 | 974,738 | ||
4.75%, 9/1/2044 (a) | EUR | 315,000 | 529,858 | ||
5.00%, 3/1/2022 | EUR | 585,000 | 711,660 | ||
5.00%, 3/1/2025 (a) | EUR | 550,000 | 741,590 | ||
5.00%, 8/1/2034 (a) | EUR | 452,000 | 720,972 | ||
5.00%, 8/1/2039 (a) | EUR | 510,000 | 855,486 | ||
5.00%, 9/1/2040 (a) | EUR | 470,000 | 791,599 | ||
5.25%, 11/1/2029 | EUR | 557,000 | 848,952 | ||
5.50%, 9/1/2022 | EUR | 400,000 | 501,509 | ||
5.50%, 11/1/2022 | EUR | 650,000 | 820,286 | ||
5.75%, 2/1/2033 | EUR | 444,000 | 739,217 |
Security Description | Principal Amount | Value | |||
6.00%, 5/1/2031 | EUR | 550,000 | $ 904,236 | ||
6.50%, 11/1/2027 | EUR | 430,000 | 667,800 | ||
34,514,783 | |||||
JAPAN — 22.9% | |||||
Government of Japan 2 Year Bond Series 402, 0.10%, 7/1/2021 | JPY | 37,500,000 | 348,576 | ||
Government of Japan 5 Year Bond: | |||||
Series 129, 0.10%, 9/20/2021 | JPY | 161,500,000 | 1,501,770 | ||
Series 130, 0.10%, 12/20/2021 | JPY | 98,500,000 | 916,469 | ||
Series 131, 0.10%, 3/20/2022 | JPY | 164,800,000 | 1,533,861 | ||
Series 132, 0.10%, 6/20/2022 | JPY | 147,000,000 | 1,369,007 | ||
Series 133, 0.10%, 9/20/2022 | JPY | 146,150,000 | 1,361,998 | ||
Series 134, 0.10%, 12/20/2022 | JPY | 172,150,000 | 1,605,111 | ||
Series 135, 0.10%, 3/20/2023 | JPY | 169,300,000 | 1,579,370 | ||
Series 136, 0.10%, 6/20/2023 | JPY | 235,000,000 | 2,193,602 | ||
Series 137, 0.10%, 9/20/2023 | JPY | 188,200,000 | 1,757,394 | ||
Series 138, 0.10%, 12/20/2023 | JPY | 201,000,000 | 1,878,056 | ||
Series 139, 0.10%, 3/20/2024 | JPY | 275,000,000 | 2,570,448 | ||
Series 140, 0.10%, 6/20/2024 | JPY | 153,000,000 | 1,430,869 | ||
Series 141, 0.10%, 9/20/2024 | JPY | 112,000,000 | 1,047,756 | ||
Government of Japan 10 Year Bond: | |||||
Series 342, 0.10%, 3/20/2026 | JPY | 180,500,000 | 1,692,452 | ||
Series 343, 0.10%, 6/20/2026 | JPY | 190,000,000 | 1,782,268 | ||
Series 344, 0.10%, 9/20/2026 | JPY | 182,550,000 | 1,713,044 | ||
Series 345, 0.10%, 12/20/2026 | JPY | 162,250,000 | 1,523,001 | ||
Series 346, 0.10%, 3/20/2027 | JPY | 122,250,000 | 1,148,313 | ||
Series 347, 0.10%, 6/20/2027 | JPY | 107,000,000 | 1,005,008 | ||
Series 348, 0.10%, 9/20/2027 | JPY | 154,000,000 | 1,446,930 | ||
Series 349, 0.10%, 12/20/2027 | JPY | 220,200,000 | 2,068,943 | ||
Series 350, 0.10%, 3/20/2028 | JPY | 277,550,000 | 2,606,940 | ||
Series 351, 0.10%, 6/20/2028 | JPY | 197,500,000 | 1,854,378 |
Security Description | Principal Amount | Value | |||
Series 352, 0.10%, 9/20/2028 | JPY | 136,150,000 | $ 1,277,704 | ||
Series 353, 0.10%, 12/20/2028 | JPY | 165,000,000 | 1,547,178 | ||
Series 354, 0.10%, 3/20/2029 | JPY | 150,000,000 | 1,405,288 | ||
Series 355, 0.10%, 6/20/2029 | JPY | 210,000,000 | 1,965,885 | ||
Series 356, 0.10%, 9/20/2029 | JPY | 155,000,000 | 1,449,401 | ||
Series 337, 0.30%, 12/20/2024 | JPY | 116,750,000 | 1,102,213 | ||
Series 341, 0.30%, 12/20/2025 | JPY | 174,150,000 | 1,649,845 | ||
Series 338, 0.40%, 3/20/2025 | JPY | 194,450,000 | 1,844,846 | ||
Series 339, 0.40%, 6/20/2025 | JPY | 217,500,000 | 2,065,771 | ||
Series 340, 0.40%, 9/20/2025 | JPY | 347,150,000 | 3,302,824 | ||
Series 335, 0.50%, 9/20/2024 | JPY | 219,250,000 | 2,086,010 | ||
Series 336, 0.50%, 12/20/2024 | JPY | 98,700,000 | 940,022 | ||
Series 328, 0.60%, 3/20/2023 | JPY | 191,000,000 | 1,805,883 | ||
Series 331, 0.60%, 9/20/2023 | JPY | 77,000,000 | 730,531 | ||
Series 332, 0.60%, 12/20/2023 | JPY | 245,000,000 | 2,328,482 | ||
Series 333, 0.60%, 3/20/2024 | JPY | 238,250,000 | 2,268,084 | ||
Series 334, 0.60%, 6/20/2024 | JPY | 252,950,000 | 2,412,151 | ||
Series 326, 0.70%, 12/20/2022 | JPY | 46,500,000 | 439,967 | ||
Series 324, 0.80%, 6/20/2022 | JPY | 89,950,000 | 849,158 | ||
Series 325, 0.80%, 9/20/2022 | JPY | 175,000,000 | 1,656,064 | ||
Series 327, 0.80%, 12/20/2022 | JPY | 120,600,000 | 1,143,780 | ||
Series 329, 0.80%, 6/20/2023 | JPY | 230,000,000 | 2,190,975 | ||
Series 330, 0.80%, 9/20/2023 | JPY | 195,750,000 | 1,869,010 | ||
Series 322, 0.90%, 3/20/2022 | JPY | 85,000,000 | 801,987 | ||
Series 323, 0.90%, 6/20/2022 | JPY | 95,500,000 | 903,269 | ||
Series 318, 1.00%, 9/20/2021 | JPY | 109,000,000 | 1,024,692 | ||
Series 320, 1.00%, 12/20/2021 | JPY | 120,650,000 | 1,137,309 | ||
Series 321, 1.00%, 3/20/2022 | JPY | 170,000,000 | 1,606,652 |
Security Description | Principal Amount | Value | |||
Series 317, 1.10%, 9/20/2021 | JPY | 70,000,000 | $ 658,857 | ||
Series 319, 1.10%, 12/20/2021 | JPY | 100,000,000 | 944,014 | ||
Government of Japan 20 Year Bond: | |||||
Series 157, 0.20%, 6/20/2036 | JPY | 124,650,000 | 1,138,135 | ||
Series 156, 0.40%, 3/20/2036 | JPY | 93,900,000 | 885,020 | ||
Series 168, 0.40%, 3/20/2039 | JPY | 80,000,000 | 742,947 | ||
Series 158, 0.50%, 9/20/2036 | JPY | 71,300,000 | 680,907 | ||
Series 164, 0.50%, 3/20/2038 | JPY | 95,000,000 | 901,692 | ||
Series 165, 0.50%, 6/20/2038 | JPY | 70,000,000 | 663,607 | ||
Series 167, 0.50%, 12/20/2038 | JPY | 65,000,000 | 614,863 | ||
Series 159, 0.60%, 12/20/2036 | JPY | 90,050,000 | 872,329 | ||
Series 161, 0.60%, 6/20/2037 | JPY | 97,150,000 | 940,010 | ||
Series 162, 0.60%, 9/20/2037 | JPY | 80,000,000 | 773,394 | ||
Series 163, 0.60%, 12/20/2037 | JPY | 66,000,000 | 637,671 | ||
Series 160, 0.70%, 3/20/2037 | JPY | 71,450,000 | 702,427 | ||
Series 166, 0.70%, 9/20/2038 | JPY | 65,000,000 | 636,860 | ||
Series 62, 0.80%, 6/20/2023 | JPY | 60,000,000 | 571,559 | ||
Series 61, 1.00%, 3/20/2023 | JPY | 47,500,000 | 453,919 | ||
Series 155, 1.00%, 12/20/2035 | JPY | 117,500,000 | 1,207,706 | ||
Series 151, 1.20%, 12/20/2034 | JPY | 130,000,000 | 1,369,600 | ||
Series 152, 1.20%, 3/20/2035 | JPY | 95,000,000 | 1,001,135 | ||
Series 154, 1.20%, 9/20/2035 | JPY | 104,950,000 | 1,107,303 | ||
Series 153, 1.30%, 6/20/2035 | JPY | 110,000,000 | 1,174,727 | ||
Series 60, 1.40%, 12/20/2022 | JPY | 50,000,000 | 481,119 | ||
Series 150, 1.40%, 9/20/2034 | JPY | 170,000,000 | 1,832,363 | ||
1.50%, 3/20/2033 | JPY | 24,300,000 | 263,015 | ||
Series 148, 1.50%, 3/20/2034 | JPY | 110,000,000 | 1,197,015 | ||
Series 149, 1.50%, 6/20/2034 | JPY | 100,000,000 | 1,089,160 | ||
Series 136, 1.60%, 3/20/2032 | JPY | 92,150,000 | 1,000,654 |
Security Description | Principal Amount | Value | |||
Series 143, 1.60%, 3/20/2033 | JPY | 60,000,000 | $ 656,354 | ||
Series 147, 1.60%, 12/20/2033 | JPY | 120,000,000 | 1,318,771 | ||
Series 140, 1.70%, 9/20/2032 | JPY | 100,000,000 | 1,100,885 | ||
Series 141, 1.70%, 12/20/2032 | JPY | 130,000,000 | 1,433,585 | ||
Series 145, 1.70%, 6/20/2033 | JPY | 156,150,000 | 1,729,424 | ||
Series 146, 1.70%, 9/20/2033 | JPY | 175,000,000 | 1,941,440 | ||
Series 122, 1.80%, 9/20/2030 | JPY | 25,050,000 | 273,420 | ||
Series 130, 1.80%, 9/20/2031 | JPY | 110,000,000 | 1,212,717 | ||
Series 133, 1.80%, 12/20/2031 | JPY | 100,000,000 | 1,104,945 | ||
Series 142, 1.80%, 12/20/2032 | JPY | 130,000,000 | 1,448,334 | ||
Series 58, 1.90%, 9/20/2022 | JPY | 37,000,000 | 358,545 | ||
Series 65, 1.90%, 12/20/2023 | JPY | 55,000,000 | 545,697 | ||
Series 108, 1.90%, 12/20/2028 | JPY | 48,200,000 | 519,935 | ||
Series 109, 1.90%, 3/20/2029 | JPY | 54,300,000 | 587,523 | ||
Series 121, 1.90%, 9/20/2030 | JPY | 48,600,000 | 534,882 | ||
Series 127, 1.90%, 3/20/2031 | JPY | 25,000,000 | 276,651 | ||
Series 73, 2.00%, 12/20/2024 | JPY | 35,000,000 | 355,165 | ||
Series 77, 2.00%, 3/20/2025 | JPY | 30,000,000 | 305,673 | ||
Series 93, 2.00%, 3/20/2027 | JPY | 30,000,000 | 317,357 | ||
Series 124, 2.00%, 12/20/2030 | JPY | 30,000,000 | 333,986 | ||
Series 52, 2.10%, 9/21/2021 | JPY | 40,000,000 | 381,039 | ||
Series 72, 2.10%, 9/20/2024 | JPY | 70,000,000 | 709,882 | ||
Series 82, 2.10%, 9/20/2025 | JPY | 45,000,000 | 465,120 | ||
Series 92, 2.10%, 12/20/2026 | JPY | 55,000,000 | 582,556 | ||
Series 94, 2.10%, 3/20/2027 | JPY | 50,000,000 | 532,099 | ||
Series 96, 2.10%, 6/20/2027 | JPY | 13,000,000 | 138,971 | ||
Series 99, 2.10%, 12/20/2027 | JPY | 90,000,000 | 970,417 | ||
Series 105, 2.10%, 9/20/2028 | JPY | 54,000,000 | 589,102 |
Security Description | Principal Amount | Value | |||
Series 107, 2.10%, 12/20/2028 | JPY | 50,000,000 | $ 547,217 | ||
Series 113, 2.10%, 9/20/2029 | JPY | 96,250,000 | 1,064,482 | ||
Series 117, 2.10%, 3/20/2030 | JPY | 59,650,000 | 663,960 | ||
Series 90, 2.20%, 9/20/2026 | JPY | 40,000,000 | 423,866 | ||
Series 97, 2.20%, 9/20/2027 | JPY | 39,700,000 | 428,934 | ||
Series 100, 2.20%, 3/20/2028 | JPY | 83,000,000 | 904,380 | ||
Series 106, 2.20%, 9/20/2028 | JPY | 50,000,000 | 549,289 | ||
Series 115, 2.20%, 12/20/2029 | JPY | 25,000,000 | 279,469 | ||
Series 125, 2.20%, 3/20/2031 | JPY | 48,650,000 | 552,680 | ||
Series 95, 2.30%, 6/20/2027 | JPY | 50,000,000 | 541,002 | ||
Series 102, 2.40%, 6/20/2028 | JPY | 58,600,000 | 649,823 | ||
Government of Japan 30 Year Bond: | |||||
Series 51, 0.30%, 6/20/2046 | JPY | 60,000,000 | 524,909 | ||
Series 64, 0.40%, 9/20/2049 | JPY | 60,000,000 | 528,752 | ||
Series 52, 0.50%, 9/20/2046 | JPY | 62,500,000 | 574,524 | ||
Series 62, 0.50%, 3/20/2049 | JPY | 40,000,000 | 363,190 | ||
Series 53, 0.60%, 12/20/2046 | JPY | 14,650,000 | 137,807 | ||
Series 59, 0.70%, 6/20/2048 | JPY | 57,000,000 | 546,880 | ||
Series 61, 0.70%, 12/20/2048 | JPY | 55,000,000 | 526,157 | ||
Series 50, 0.80%, 3/20/2046 | JPY | 59,650,000 | 589,218 | ||
Series 54, 0.80%, 3/20/2047 | JPY | 48,150,000 | 474,172 | ||
Series 55, 0.80%, 6/20/2047 | JPY | 44,650,000 | 439,605 | ||
Series 56, 0.80%, 9/20/2047 | JPY | 48,750,000 | 480,315 | ||
Series 57, 0.80%, 12/20/2047 | JPY | 68,250,000 | 672,119 | ||
Series 58, 0.80%, 3/20/2048 | JPY | 77,150,000 | 759,014 | ||
Series 60, 0.90%, 9/20/2048 | JPY | 51,650,000 | 519,425 | ||
Series 48, 1.40%, 9/20/2045 | JPY | 59,000,000 | 660,799 | ||
Series 49, 1.40%, 12/20/2045 | JPY | 59,650,000 | 668,184 |
Security Description | Principal Amount | Value | |||
Series 45, 1.50%, 12/20/2044 | JPY | 50,000,000 | $ 569,458 | ||
Series 46, 1.50%, 3/20/2045 | JPY | 69,650,000 | 793,533 | ||
Series 47, 1.60%, 6/20/2045 | JPY | 55,000,000 | 639,236 | ||
Series 11, 1.70%, 6/20/2033 | JPY | 42,150,000 | 466,828 | ||
Series 41, 1.70%, 12/20/2043 | JPY | 38,000,000 | 446,916 | ||
Series 42, 1.70%, 3/20/2044 | JPY | 49,650,000 | 584,479 | ||
Series 43, 1.70%, 6/20/2044 | JPY | 50,000,000 | 589,164 | ||
Series 44, 1.70%, 9/20/2044 | JPY | 47,000,000 | 554,329 | ||
Series 38, 1.80%, 3/20/2043 | JPY | 50,000,000 | 595,954 | ||
Series 40, 1.80%, 9/20/2043 | JPY | 45,000,000 | 537,860 | ||
Series 37, 1.90%, 9/20/2042 | JPY | 85,000,000 | 1,026,721 | ||
Series 39, 1.90%, 6/20/2043 | JPY | 41,450,000 | 502,994 | ||
Series 13, 2.00%, 12/20/2033 | JPY | 20,000,000 | 229,628 | ||
Series 33, 2.00%, 9/20/2040 | JPY | 81,200,000 | 981,219 | ||
Series 35, 2.00%, 9/20/2041 | JPY | 82,500,000 | 1,005,577 | ||
Series 36, 2.00%, 3/20/2042 | JPY | 85,000,000 | 1,039,524 | ||
Series 34, 2.20%, 3/20/2041 | JPY | 65,550,000 | 819,623 | ||
Series 21, 2.30%, 12/20/2035 | JPY | 30,000,000 | 362,914 | ||
Series 25, 2.30%, 12/20/2036 | JPY | 18,400,000 | 224,786 | ||
Series 30, 2.30%, 3/20/2039 | JPY | 55,900,000 | 695,852 | ||
Series 32, 2.30%, 3/20/2040 | JPY | 63,650,000 | 799,641 | ||
Series 26, 2.40%, 3/20/2037 | JPY | 40,000,000 | 495,717 | ||
Series 29, 2.40%, 9/20/2038 | JPY | 50,000,000 | 628,109 | ||
Series 16, 2.50%, 9/20/2034 | JPY | 20,000,000 | 244,028 | ||
Series 20, 2.50%, 9/20/2035 | JPY | 30,000,000 | 370,183 | ||
Series 22, 2.50%, 3/20/2036 | JPY | 40,000,000 | 496,380 | ||
Series 24, 2.50%, 9/20/2036 | JPY | 30,000,000 | 374,312 | ||
Series 27, 2.50%, 9/20/2037 | JPY | 47,950,000 | 604,450 |
Security Description | Principal Amount | Value | |||
Government of Japan 40 Year Bond: | |||||
Series 9, 0.40%, 3/20/2056 | JPY | 82,250,000 | $ 710,010 | ||
Series 12, 0.50%, 3/20/2059 | JPY | 65,000,000 | 577,213 | ||
Series 11, 0.80%, 3/20/2058 | JPY | 58,000,000 | 569,796 | ||
Series 10, 0.90%, 3/20/2057 | JPY | 76,750,000 | 776,542 | ||
Series 8, 1.40%, 3/20/2055 | JPY | 58,750,000 | 678,687 | ||
Series 7, 1.70%, 3/20/2054 | JPY | 55,000,000 | 679,627 | ||
Series 6, 1.90%, 3/20/2053 | JPY | 40,000,000 | 513,094 | ||
Series 5, 2.00%, 3/20/2052 | JPY | 40,000,000 | 520,154 | ||
Series 2, 2.20%, 3/20/2049 | JPY | 29,650,000 | 392,536 | ||
Series 3, 2.20%, 3/20/2050 | JPY | 29,650,000 | 395,084 | ||
Series 4, 2.20%, 3/20/2051 | JPY | 38,050,000 | 510,830 | ||
Series 1, 2.40%, 3/20/2048 | JPY | 30,000,000 | 408,969 | ||
Japan Government 10 Year Bond: | |||||
Series 357, 0.10%, 12/20/2029 | JPY | 265,000,000 | 2,474,840 | ||
Series 358, 0.10%, 3/20/2030 | JPY | 42,500,000 | 396,747 | ||
Japan Government 2 Year Bond: | |||||
Series 407, 0.10%, 12/1/2021 | JPY | 40,000,000 | 372,111 | ||
Series 408, 0.10%, 1/1/2022 | JPY | 62,000,000 | 576,881 | ||
Series 409, 0.10%, 2/1/2022 | JPY | 40,000,000 | 372,267 | ||
Series 411, 0.10%, 4/1/2022 | JPY | 47,000,000 | 437,553 | ||
Japan Government 20 Year Bond Series 171, 0.30%, 12/20/2039 | JPY | 60,000,000 | 545,308 | ||
Japan Government 30 Year Bond Series 65, 0.40%, 12/20/2049 | JPY | 30,000,000 | 264,078 | ||
Japan Government Thirty Year Bond Series 66, 0.40%, 3/20/2050 | JPY | 65,000,000 | 571,525 | ||
Japan Government Twenty Year Bond Series 170, 0.30%, 9/20/2039 | JPY | 125,000,000 | 1,137,345 | ||
172,637,812 |
Security Description | Principal Amount | Value | |||
LATVIA — 0.1% | |||||
Republic of Latvia: | |||||
0.38%, 10/7/2026 | EUR | 150,000 | $ 173,737 | ||
Series GMTN, 1.38%, 9/23/2025 | EUR | 100,000 | 121,297 | ||
1.38%, 5/16/2036 | EUR | 150,000 | 196,736 | ||
Series 7, 2.25%, 2/15/2047 | EUR | 100,000 | 159,397 | ||
Series EMTN, 2.88%, 4/30/2024 | EUR | 100,000 | 125,793 | ||
776,960 | |||||
LITHUANIA — 0.1% | |||||
Lithuania Government International Bond: | |||||
Series EMTN, 0.95%, 5/26/2027 | EUR | 170,000 | 206,884 | ||
Series EMTN, 1.25%, 10/22/2025 | EUR | 50,000 | 60,791 | ||
Series EMTN, 2.10%, 5/26/2047 | EUR | 55,000 | 84,320 | ||
Series EMTN, 2.13%, 10/29/2026 | EUR | 100,000 | 129,579 | ||
Series EMTN, 2.13%, 10/22/2035 | EUR | 190,000 | 270,682 | ||
Series EMTN, 3.38%, 1/22/2024 | EUR | 100,000 | 127,483 | ||
879,739 | |||||
LUXEMBOURG — 0.1% | |||||
Luxembourg Government Bond: | |||||
0.63%, 2/1/2027 | EUR | 250,000 | 300,211 | ||
2.13%, 7/10/2023 | EUR | 290,000 | 352,229 | ||
2.25%, 3/21/2022 | EUR | 100,000 | 117,750 | ||
2.25%, 3/19/2028 | EUR | 80,000 | 108,267 | ||
878,457 | |||||
MALAYSIA — 1.9% | |||||
Malaysia Government Bond: | |||||
Series 0313, 3.48%, 3/15/2023 | MYR | 1,700,000 | 409,258 | ||
Series 0416, 3.62%, 11/30/2021 | MYR | 1,000,000 | 238,412 | ||
Series 0513, 3.73%, 6/15/2028 | MYR | 2,300,000 | 567,523 | ||
Series 0215, 3.80%, 9/30/2022 | MYR | 1,280,000 | 309,027 | ||
Series 0116, 3.80%, 8/17/2023 | MYR | 1,500,000 | 365,373 | ||
Series 0413, 3.84%, 4/15/2033 | MYR | 1,700,000 | 417,222 | ||
Series 0117, 3.88%, 3/10/2022 | MYR | 1,000,000 | 240,042 | ||
Series 0316, 3.90%, 11/30/2026 | MYR | 1,000,000 | 249,205 | ||
Series 0417, 3.90%, 11/16/2027 | MYR | 2,070,000 | 517,546 |
Security Description | Principal Amount | Value | |||
Series 0115, 3.96%, 9/15/2025 | MYR | 1,350,000 | $ 337,450 | ||
Series 0314, 4.05%, 9/30/2021 | MYR | 1,350,000 | 322,631 | ||
Series 0217, 4.06%, 9/30/2024 | MYR | 2,500,000 | 620,795 | ||
Series 0412, 4.13%, 4/15/2032 | MYR | 1,500,000 | 378,836 | ||
Series 0111, 4.16%, 7/15/2021 | MYR | 1,050,000 | 250,387 | ||
Series 0114, 4.18%, 7/15/2024 | MYR | 1,295,000 | 322,440 | ||
Series 0411, 4.23%, 6/30/2031 | MYR | 1,720,000 | 439,151 | ||
Series 0415, 4.25%, 5/31/2035 | MYR | 1,350,000 | 343,799 | ||
Series 0311, 4.39%, 4/15/2026 | MYR | 1,300,000 | 330,195 | ||
Series 0216, 4.74%, 3/15/2046 | MYR | 1,970,000 | 509,638 | ||
Series 0317, 4.76%, 4/7/2037 | MYR | 1,920,000 | 515,200 | ||
Series 0713, 4.94%, 9/30/2043 | MYR | 1,110,000 | 296,822 | ||
Malaysia Government Investment Issue: | |||||
Series 0216, 3.74%, 8/26/2021 | MYR | 723,000 | 171,845 | ||
Series 0113, 3.87%, 8/8/2028 | MYR | 1,250,000 | 311,988 | ||
Series 0317, 3.95%, 4/14/2022 | MYR | 1,312,000 | 315,599 | ||
Series 0415, 3.99%, 10/15/2025 | MYR | 1,250,000 | 312,062 | ||
Series 0217, 4.05%, 8/15/2024 | MYR | 1,850,000 | 458,165 | ||
Series 0316, 4.07%, 9/30/2026 | MYR | 3,300,000 | 830,371 | ||
Series 0115, 4.19%, 7/15/2022 | MYR | 565,000 | 137,061 | ||
Series 0315, 4.25%, 9/30/2030 | MYR | 1,000,000 | 258,175 | ||
Series 0117, 4.26%, 7/26/2027 | MYR | 2,920,000 | 747,224 | ||
Series 0116, 4.39%, 7/7/2023 | MYR | 125,000 | 30,876 | ||
Series 0813, 4.44%, 5/22/2024 | MYR | 1,630,000 | 408,377 | ||
Series 0513, 4.58%, 8/30/2033 | MYR | 1,385,000 | 361,652 | ||
Series 0617, 4.72%, 6/15/2033 | MYR | 1,600,000 | 428,643 | ||
Series 0517, 4.76%, 8/4/2037 | MYR | 2,100,000 | 561,849 | ||
Series 0615, 4.79%, 10/31/2035 | MYR | 920,000 | 244,765 |
Security Description | Principal Amount | Value | |||
Series 0417, 4.90%, 5/8/2047 | MYR | 1,580,000 | $ 424,057 | ||
Series 0913, 4.94%, 12/6/2028 | MYR | 725,000 | 194,260 | ||
14,177,921 | |||||
MEXICO — 1.5% | |||||
Mexican Bonos: | |||||
Series M, 5.75%, 3/5/2026 | MXN | 15,745,000 | 699,445 | ||
Series M, 6.50%, 6/9/2022 | MXN | 25,800,000 | 1,154,306 | ||
Series M, 7.25%, 12/9/2021 | MXN | 17,115,000 | 766,846 | ||
Series M 20, 7.50%, 6/3/2027 | MXN | 28,185,000 | 1,358,545 | ||
Series M, 7.75%, 5/29/2031 | MXN | 13,130,000 | 642,124 | ||
Series M, 7.75%, 11/23/2034 | MXN | 9,290,000 | 456,423 | ||
Series M, 7.75%, 11/13/2042 | MXN | 17,010,000 | 804,035 | ||
Series M, 8.00%, 12/7/2023 | MXN | 18,940,000 | 902,951 | ||
Series M, 8.00%, 9/5/2024 | MXN | 19,300,000 | 933,703 | ||
Series M, 8.00%, 11/7/2047 | MXN | 11,540,000 | 559,570 | ||
Series M 20, 8.50%, 5/31/2029 | MXN | 18,210,000 | 932,818 | ||
Series M 30, 8.50%, 11/18/2038 | MXN | 15,605,000 | 801,287 | ||
Series M 20, 10.00%, 12/5/2024 | MXN | 23,860,000 | 1,242,378 | ||
Series M 30, 10.00%, 11/20/2036 | MXN | 6,600,000 | 385,812 | ||
11,640,243 | |||||
NETHERLANDS — 4.1% | |||||
Kingdom of Netherlands: | |||||
0.01%, 1/15/2022 (a) | EUR | 1,249,000 | 1,416,166 | ||
0.25%, 7/15/2025 (a) | EUR | 1,205,000 | 1,411,862 | ||
0.50%, 1/15/2040 (a) | EUR | 661,000 | 821,517 | ||
1.75%, 7/15/2023 (a) | EUR | 1,460,000 | 1,760,324 | ||
2.00%, 7/15/2024 (a) | EUR | 1,145,000 | 1,424,399 | ||
2.25%, 7/15/2022 (a) | EUR | 1,445,000 | 1,719,579 | ||
2.50%, 1/15/2033 (a) | EUR | 1,320,000 | 1,999,105 | ||
2.75%, 1/15/2047 (a) | EUR | 1,350,000 | 2,619,781 | ||
3.25%, 7/15/2021 (a) | EUR | 1,055,000 | 1,232,285 | ||
3.75%, 1/15/2023 (a) | EUR | 906,000 | 1,132,611 | ||
3.75%, 1/15/2042 (a) | EUR | 1,385,000 | 2,836,258 | ||
4.00%, 1/15/2037 (a) | EUR | 1,270,000 | 2,409,676 | ||
5.50%, 1/15/2028 | EUR | 1,290,000 | 2,109,400 | ||
Netherlands Government Bond: | |||||
0.01%, 1/15/2024 (a) | EUR | 1,219,000 | 1,400,144 | ||
0.01%, 7/15/2030 (a) | EUR | 200,000 | 231,636 |
Security Description | Principal Amount | Value | |||
0.25%, 7/15/2029 (a) | EUR | 1,270,000 | $ 1,508,048 | ||
0.50%, 7/15/2026 (a) | EUR | 1,325,000 | 1,583,875 | ||
0.75%, 7/15/2027 (a) | EUR | 1,380,000 | 1,686,485 | ||
0.75%, 7/15/2028 (a) | EUR | 1,350,000 | 1,663,284 | ||
30,966,435 | |||||
NEW ZEALAND — 0.5% | |||||
New Zealand Government Bond: | |||||
0.50%, 5/15/2024 | NZD | 750,000 | 484,973 | ||
1.50%, 5/15/2031 | NZD | 540,000 | 367,721 | ||
Series 0425, 2.75%, 4/15/2025 | NZD | 865,000 | 617,757 | ||
Series 0437, 2.75%, 4/15/2037 | NZD | 630,000 | 497,678 | ||
Series 0429, 3.00%, 4/20/2029 | NZD | 730,000 | 557,393 | ||
Series 0433, 3.50%, 4/14/2033 | NZD | 450,000 | 375,255 | ||
Series 0427, 4.50%, 4/15/2027 | NZD | 610,000 | 493,518 | ||
Series 0423, 5.50%, 4/15/2023 | NZD | 880,000 | 647,878 | ||
4,042,173 | |||||
NORWAY — 0.4% | |||||
Norway Government Bond: | |||||
Series 482, 1.38%, 8/19/2030 (a) | NOK | 2,600,000 | 289,170 | ||
Series 478, 1.50%, 2/19/2026 (a) | NOK | 2,992,000 | 329,406 | ||
Series 477, 1.75%, 3/13/2025 (a) | NOK | 3,160,000 | 349,559 | ||
Series 479, 1.75%, 2/17/2027 (a) | NOK | 3,255,000 | 365,864 | ||
Series 481, 1.75%, 9/6/2029 (a) | NOK | 3,590,000 | 410,533 | ||
Series 475, 2.00%, 5/24/2023 (a) | NOK | 6,300,000 | 686,385 | ||
Series 480, 2.00%, 4/26/2028 (a) | NOK | 3,080,000 | 355,169 | ||
Series 476, 3.00%, 3/14/2024 (a) | NOK | 4,597,000 | 524,971 | ||
3,311,057 | |||||
POLAND — 1.3% | |||||
Poland Government Bond: | |||||
Series 0721, 1.75%, 7/25/2021 | PLN | 2,670,000 | 687,211 | ||
Series 0422, 2.25%, 4/25/2022 | PLN | 3,425,000 | 899,860 | ||
Series 1024, 2.25%, 10/25/2024 | PLN | 1,650,000 | 447,319 | ||
Series 0123, 2.50%, 1/25/2023 | PLN | 2,370,000 | 634,395 | ||
Series 0424, 2.50%, 4/25/2024 | PLN | 2,950,000 | 803,939 |
Security Description | Principal Amount | Value | |||
Series 0726, 2.50%, 7/25/2026 | PLN | 3,705,000 | $ 1,021,175 | ||
Series 0727, 2.50%, 7/25/2027 | PLN | 2,725,000 | 751,492 | ||
Series 0428, 2.75%, 4/25/2028 | PLN | 3,020,000 | 847,421 | ||
Series 1029, 2.75%, 10/25/2029 | PLN | 2,500,000 | 710,473 | ||
Series 0725, 3.25%, 7/25/2025 | PLN | 2,340,000 | 665,261 | ||
Series 1023, 4.00%, 10/25/2023 | PLN | 2,580,000 | 730,043 | ||
Series 0447, 4.00%, 4/25/2047 | PLN | 440,000 | 157,055 | ||
Series 1021, 5.75%, 10/25/2021 | PLN | 1,320,000 | 358,601 | ||
Series 0922, 5.75%, 9/23/2022 | PLN | 1,984,000 | 564,156 | ||
Series 0429, 5.75%, 4/25/2029 | PLN | 885,000 | 306,489 | ||
9,584,890 | |||||
PORTUGAL — 1.9% | |||||
Portugal Obrigacoes do Tesouro OT: | |||||
0.48%, 10/18/2030 (a) | EUR | 450,000 | 505,400 | ||
1.95%, 6/15/2029 (a) | EUR | 950,000 | 1,214,654 | ||
2.13%, 10/17/2028 (a) | EUR | 970,000 | 1,251,806 | ||
2.20%, 10/17/2022 (a) | EUR | 875,000 | 1,043,306 | ||
Series 15Y, 2.25%, 4/18/2034 (a) | EUR | 633,000 | 847,882 | ||
2.88%, 10/15/2025 (a) | EUR | 1,185,000 | 1,539,330 | ||
2.88%, 7/21/2026 (a) | EUR | 870,000 | 1,147,837 | ||
3.88%, 2/15/2030 (a) | EUR | 540,000 | 802,462 | ||
4.10%, 4/15/2037 (a) | EUR | 805,000 | 1,343,987 | ||
4.10%, 2/15/2045 (a) | EUR | 280,000 | 501,556 | ||
4.13%, 4/14/2027 (a) | EUR | 830,000 | 1,184,996 | ||
4.95%, 10/25/2023 (a) | EUR | 1,074,000 | 1,420,192 | ||
5.65%, 2/15/2024 (a) | EUR | 1,000,000 | 1,367,267 | ||
14,170,675 | |||||
RUSSIA — 1.2% | |||||
Russian Federal Bond - OFZ: | |||||
Series 6232, 6.00%, 10/6/2027 | RUB | 10,500,000 | 151,783 | ||
Series 6223, 6.50%, 2/28/2024 | RUB | 35,600,000 | 524,729 | ||
Series 6224, 6.90%, 5/23/2029 | RUB | 37,000,000 | 561,659 | ||
Series 5083, 7.00%, 12/15/2021 | RUB | 24,420,000 | 354,916 | ||
Series 6211, 7.00%, 1/25/2023 | RUB | 12,330,000 | 183,008 | ||
Series 6215, 7.00%, 8/16/2023 | RUB | 30,120,000 | 450,288 |
Security Description | Principal Amount | Value | |||
Series 6212, 7.05%, 1/19/2028 | RUB | 28,910,000 | $ 442,557 | ||
Series 6222, 7.10%, 10/16/2024 | RUB | 39,690,000 | 601,636 | ||
Series 6229, 7.15%, 11/12/2025 | RUB | 13,500,000 | 206,364 | ||
Series 6225, 7.25%, 5/10/2034 | RUB | 31,630,000 | 492,732 | ||
Series 6220, 7.40%, 12/7/2022 | RUB | 36,430,000 | 544,243 | ||
Series 6227, 7.40%, 7/17/2024 | RUB | 32,300,000 | 493,196 | ||
Series 6217, 7.50%, 8/18/2021 | RUB | 24,950,000 | 361,954 | ||
Series 6209, 7.60%, 7/20/2022 | RUB | 29,160,000 | 433,862 | ||
Series 6228, 7.65%, 4/10/2030 | RUB | 6,250,000 | 99,459 | ||
Series 6221, 7.70%, 3/23/2033 | RUB | 38,180,000 | 613,098 | ||
Series 6230, 7.70%, 3/16/2039 | RUB | 25,000,000 | 410,852 | ||
Series 6219, 7.75%, 9/16/2026 | RUB | 25,480,000 | 402,974 | ||
Series 6226, 7.95%, 10/7/2026 | RUB | 35,000,000 | 558,295 | ||
Series 6207, 8.15%, 2/3/2027 | RUB | 31,365,000 | 507,325 | ||
Series 6218, 8.50%, 9/17/2031 | RUB | 30,040,000 | 509,333 | ||
8,904,263 | |||||
SINGAPORE — 1.0% | |||||
Singapore Government Bond: | |||||
1.25%, 10/1/2021 | SGD | 719,000 | 521,539 | ||
1.75%, 4/1/2022 | SGD | 295,000 | 216,814 | ||
1.75%, 2/1/2023 | SGD | 530,000 | 393,756 | ||
1.88%, 3/1/2050 | SGD | 100,000 | 81,896 | ||
2.00%, 2/1/2024 | SGD | 130,000 | 98,469 | ||
2.13%, 6/1/2026 | SGD | 445,000 | 346,643 | ||
2.25%, 8/1/2036 | SGD | 395,000 | 324,285 | ||
2.38%, 6/1/2025 | SGD | 340,000 | 265,521 | ||
2.38%, 7/1/2039 | SGD | 150,000 | 127,424 | ||
2.63%, 5/1/2028 | SGD | 490,000 | 399,154 | ||
2.75%, 7/1/2023 | SGD | 785,000 | 602,463 | ||
2.75%, 4/1/2042 | SGD | 460,000 | 419,719 | ||
2.75%, 3/1/2046 | SGD | 660,000 | 616,801 | ||
2.88%, 7/1/2029 | SGD | 690,000 | 578,174 | ||
2.88%, 9/1/2030 | SGD | 350,000 | 296,933 | ||
3.00%, 9/1/2024 | SGD | 750,000 | 593,930 | ||
3.13%, 9/1/2022 | SGD | 520,000 | 395,377 | ||
3.38%, 9/1/2033 | SGD | 550,000 | 503,343 | ||
3.50%, 3/1/2027 | SGD | 730,000 | 617,709 | ||
7,399,950 |
Security Description | Principal Amount | Value | |||
SLOVAKIA — 0.6% | |||||
Slovakia Government Bond: | |||||
Series 230, 0.01%, 11/13/2023 | EUR | 110,000 | $ 124,881 | ||
Series 231, 0.63%, 5/22/2026 | EUR | 220,000 | 259,119 | ||
Series 234, 1.00%, 6/12/2028 | EUR | 270,000 | 330,037 | ||
Series 228, 1.38%, 1/21/2027 | EUR | 450,000 | 555,221 | ||
Series 229, 1.63%, 1/21/2031 | EUR | 360,000 | 471,892 | ||
Series 232, 1.88%, 3/9/2037 | EUR | 265,000 | 371,129 | ||
Series 233, 2.00%, 10/17/2047 | EUR | 178,000 | 266,018 | ||
Series 235, 2.25%, 6/12/2068 | EUR | 70,000 | 122,182 | ||
Series 225, 3.00%, 2/28/2023 | EUR | 302,000 | 369,358 | ||
Series 223, 3.38%, 11/15/2024 | EUR | 345,000 | 449,548 | ||
Series 227, 3.63%, 1/16/2029 | EUR | 430,000 | 633,837 | ||
Series 216, 4.35%, 10/14/2025 | EUR | 180,000 | 251,209 | ||
4,204,431 | |||||
SLOVENIA — 0.4% | |||||
Slovenia Government Bond: | |||||
Series RS80, 1.00%, 3/6/2028 | EUR | 235,000 | 283,078 | ||
Series RS81, 1.19%, 3/14/2029 | EUR | 200,000 | 243,741 | ||
Series RS79, 1.25%, 3/22/2027 | EUR | 200,000 | 244,215 | ||
Series RS74, 1.50%, 3/25/2035 | EUR | 275,000 | 348,418 | ||
Series RS78, 1.75%, 11/3/2040 | EUR | 280,000 | 365,909 | ||
Series RS75, 2.13%, 7/28/2025 | EUR | 180,000 | 225,519 | ||
Series RS73, 2.25%, 3/25/2022 | EUR | 155,000 | 181,791 | ||
Series RS77, 2.25%, 3/3/2032 | EUR | 190,000 | 259,115 | ||
Series RS76, 3.13%, 8/7/2045 | EUR | 145,000 | 242,709 | ||
Series RS66, 4.63%, 9/9/2024 | EUR | 210,000 | 283,678 | ||
Series RS70, 5.13%, 3/30/2026 | EUR | 135,000 | 197,471 | ||
2,875,644 | |||||
SOUTH KOREA — 4.5% | |||||
Korea Treasury Bond: | |||||
Series 2109, 1.38%, 9/10/2021 | KRW | 1,509,740,000 | 1,266,098 |
Security Description | Principal Amount | Value | |||
Series 2612, 1.50%, 12/10/2026 | KRW | 1,139,150,000 | $ 960,765 | ||
Series 3609, 1.50%, 9/10/2036 | KRW | 685,690,000 | 569,432 | ||
Series 2606, 1.88%, 6/10/2026 | KRW | 866,000,000 | 746,124 | ||
Series 2209, 2.00%, 9/10/2022 | KRW | 768,690,000 | 655,241 | ||
Series 4603, 2.00%, 3/10/2046 | KRW | 1,625,000,000 | 1,458,999 | ||
Series 4903, 2.00%, 3/10/2049 | KRW | 1,724,000,000 | 1,557,608 | ||
Series 2706, 2.13%, 6/10/2027 | KRW | 3,349,870,000 | 2,938,633 | ||
Series 4703, 2.13%, 3/10/2047 | KRW | 4,220,330,000 | 3,892,054 | ||
Series 2506, 2.25%, 6/10/2025 | KRW | 1,049,940,000 | 917,830 | ||
Series 2512, 2.25%, 12/10/2025 | KRW | 921,000,000 | 807,645 | ||
Series 3709, 2.25%, 9/10/2037 | KRW | 500,000,000 | 459,892 | ||
Series 3509, 2.63%, 9/10/2035 | KRW | 939,210,000 | 901,076 | ||
Series 4412, 2.75%, 12/10/2044 | KRW | 1,248,000,000 | 1,274,090 | ||
Series 2409, 3.00%, 9/10/2024 | KRW | 1,644,000,000 | 1,474,960 | ||
Series 4212, 3.00%, 12/10/2042 | KRW | 1,421,780,000 | 1,490,393 | ||
Series 2309, 3.38%, 9/10/2023 | KRW | 1,609,090,000 | 1,440,034 | ||
Series 2403, 3.50%, 3/10/2024 | KRW | 955,830,000 | 866,525 | ||
Series 2206, 3.75%, 6/10/2022 | KRW | 1,967,000,000 | 1,727,830 | ||
Series 3312, 3.75%, 12/10/2033 | KRW | 1,336,250,000 | 1,421,248 | ||
Series 3112, 4.00%, 12/10/2031 | KRW | 1,622,640,000 | 1,716,019 | ||
Series 3012, 4.75%, 12/10/2030 | KRW | 885,050,000 | 974,749 | ||
Series 2803, 5.50%, 3/10/2028 | KRW | 4,337,000,000 | 4,700,735 | ||
34,217,980 | |||||
SPAIN — 4.5% | |||||
Kingdom of Spain: | |||||
1.40%, 4/30/2028 (a) | EUR | 465,000 | 570,543 | ||
1.40%, 7/30/2028 (a) | EUR | 815,000 | 1,000,896 | ||
1.60%, 4/30/2025 (a) | EUR | 642,000 | 781,616 | ||
1.85%, 7/30/2035 (a) | EUR | 448,000 | 578,480 | ||
1.95%, 4/30/2026 (a) | EUR | 650,000 | 814,113 | ||
1.95%, 7/30/2030 (a) | EUR | 820,000 | 1,059,335 | ||
2.15%, 10/31/2025 (a) | EUR | 700,000 | 879,473 | ||
Series 30Y, 2.70%, 10/31/2048 (a) | EUR | 488,000 | 739,583 |
Security Description | Principal Amount | Value | |||
2.75%, 10/31/2024 (a) | EUR | 735,000 | $ 930,729 | ||
3.80%, 4/30/2024 (a) | EUR | 640,000 | 830,800 | ||
4.20%, 1/31/2037 (a) | EUR | 615,000 | 1,050,074 | ||
4.40%, 10/31/2023 (a) | EUR | 808,000 | 1,050,558 | ||
4.65%, 7/30/2025 (a) | EUR | 620,000 | 865,093 | ||
4.70%, 7/30/2041 (a) | EUR | 640,000 | 1,215,728 | ||
4.80%, 1/31/2024 (a) | EUR | 579,000 | 768,958 | ||
4.90%, 7/30/2040 (a) | EUR | 585,000 | 1,123,387 | ||
5.15%, 10/31/2028 (a) | EUR | 675,000 | 1,062,365 | ||
5.15%, 10/31/2044 (a) | EUR | 415,000 | 863,143 | ||
5.40%, 1/31/2023 (a) | EUR | 630,000 | 812,986 | ||
5.75%, 7/30/2032 | EUR | 825,000 | 1,487,810 | ||
5.85%, 1/31/2022 (a) | EUR | 780,000 | 963,433 | ||
5.90%, 7/30/2026 (a) | EUR | 593,000 | 904,309 | ||
6.00%, 1/31/2029 | EUR | 942,000 | 1,569,183 | ||
Spain Government Bond: | |||||
0.01%, 4/30/2023 | EUR | 175,000 | 198,206 | ||
0.05%, 10/31/2021 | EUR | 655,000 | 740,382 | ||
Series 5YR, 0.25%, 7/30/2024 (a) | EUR | 521,000 | 596,270 | ||
0.35%, 7/30/2023 | EUR | 670,000 | 767,395 | ||
0.40%, 4/30/2022 | EUR | 650,000 | 740,903 | ||
0.45%, 10/31/2022 | EUR | 525,000 | 601,095 | ||
0.60%, 10/31/2029 (a) | EUR | 750,000 | 861,542 | ||
0.75%, 7/30/2021 | EUR | 719,000 | 818,143 | ||
1.20%, 10/31/2040 (a) | EUR | 200,000 | 230,223 | ||
1.25%, 10/31/2030 (a) | EUR | 500,000 | 605,725 | ||
1.30%, 10/31/2026 (a) | EUR | 701,000 | 850,040 | ||
1.45%, 10/31/2027 (a) | EUR | 812,000 | 996,759 | ||
1.45%, 4/30/2029 (a) | EUR | 710,000 | 875,936 | ||
1.50%, 4/30/2027 (a) | EUR | 570,000 | 701,467 | ||
2.35%, 7/30/2033 (a) | EUR | 670,000 | 911,104 | ||
2.90%, 10/31/2046 (a) | EUR | 500,000 | 777,501 | ||
3.45%, 7/30/2066 (a) | EUR | 480,000 | 886,688 | ||
34,081,974 | |||||
SWEDEN — 0.6% | |||||
Kingdom of Sweden: | |||||
Series 1060, 0.75%, 5/12/2028 | SEK | 3,635,000 | 418,070 | ||
Series 1061, 0.75%, 11/12/2029 (a) | SEK | 4,485,000 | 518,064 | ||
Series 1059, 1.00%, 11/12/2026 | SEK | 5,120,000 | 593,271 | ||
Series 1057, 1.50%, 11/13/2023 (a) | SEK | 7,070,000 | 806,000 | ||
Series 1056, 2.25%, 6/1/2032 | SEK | 1,800,000 | 240,802 | ||
Series 1058, 2.50%, 5/12/2025 | SEK | 5,340,000 | 652,195 | ||
Series 1054, 3.50%, 6/1/2022 | SEK | 8,375,000 | 965,539 | ||
Series 1053, 3.50%, 3/30/2039 | SEK | 4,305,000 | 722,704 | ||
4,916,645 |
Security Description | Principal Amount | Value | |||
SWITZERLAND — 0.9% | |||||
Switzerland Government Bond: | |||||
0.01%, 6/22/2029 | CHF | 250,000 | $ 275,574 | ||
0.50%, 5/27/2030 | CHF | 195,000 | 225,307 | ||
0.50%, 6/27/2032 | CHF | 130,000 | 151,730 | ||
0.50%, 6/28/2045 | CHF | 70,000 | 88,335 | ||
0.50%, 5/24/2055 | CHF | 130,000 | 178,003 | ||
0.50%, 5/30/2058 | CHF | 105,000 | 148,244 | ||
1.25%, 6/11/2024 | CHF | 285,000 | 323,394 | ||
1.25%, 5/28/2026 | CHF | 240,000 | 281,425 | ||
1.25%, 6/27/2037 | CHF | 310,000 | 412,336 | ||
1.50%, 7/24/2025 | CHF | 210,000 | 245,802 | ||
1.50%, 4/30/2042 | CHF | 295,000 | 432,614 | ||
2.00%, 5/25/2022 | CHF | 300,000 | 332,753 | ||
2.00%, 6/25/2064 | CHF | 240,000 | 534,965 | ||
2.25%, 6/22/2031 | CHF | 170,000 | 232,963 | ||
2.50%, 3/8/2036 | CHF | 245,000 | 373,444 | ||
3.25%, 6/27/2027 | CHF | 220,000 | 295,051 | ||
3.50%, 4/8/2033 | CHF | 260,000 | 412,504 | ||
4.00%, 2/11/2023 | CHF | 395,000 | 468,264 | ||
4.00%, 4/8/2028 | CHF | 485,000 | 695,384 | ||
4.00%, 1/6/2049 | CHF | 225,000 | 539,349 | ||
6,647,441 | |||||
THAILAND — 1.9% | |||||
Thailand Government Bond: | |||||
1.88%, 6/17/2022 | THB | 15,800,000 | 525,355 | ||
2.00%, 12/17/2022 | THB | 15,065,000 | 505,405 | ||
2.13%, 12/17/2026 | THB | 57,250,000 | 1,982,663 | ||
2.40%, 12/17/2023 | THB | 8,000,000 | 274,672 | ||
2.88%, 6/17/2046 | THB | 19,850,000 | 753,881 | ||
3.40%, 6/17/2036 | THB | 17,710,000 | 715,263 | ||
3.58%, 12/17/2027 | THB | 16,000,000 | 609,406 | ||
3.63%, 6/16/2023 | THB | 20,640,000 | 727,668 | ||
3.65%, 12/17/2021 | THB | 29,260,000 | 991,038 | ||
3.78%, 6/25/2032 | THB | 26,000,000 | 1,048,555 | ||
3.85%, 12/12/2025 | THB | 15,850,000 | 593,216 | ||
4.00%, 6/17/2066 | THB | 16,530,000 | 770,083 | ||
4.26%, 12/12/2037 | THB | 45,700,000 | 2,050,353 | ||
4.68%, 6/29/2044 | THB | 18,340,000 | 896,800 | ||
4.75%, 12/20/2024 | THB | 5,000,000 | 189,978 | ||
4.85%, 6/17/2061 | THB | 19,010,000 | 1,008,224 | ||
4.88%, 6/22/2029 | THB | 23,455,000 | 986,872 | ||
14,629,432 | |||||
UNITED KINGDOM — 5.3% | |||||
UK TSY Bond: | |||||
0.13%, 1/30/2026 | GBP | 170,000 | 211,577 | ||
0.13%, 1/31/2028 | GBP | 150,000 | 185,978 | ||
United Kingdom Gilt 0.63%, 10/22/2050 | GBP | 100,000 | 123,108 | ||
United Kingdom Treasury Bond: | |||||
0.50%, 7/22/2022 | GBP | 555,000 | 694,087 |
Security Description | Principal Amount | Value | |||
0.63%, 6/7/2025 | GBP | 470,000 | $ 600,172 | ||
0.75%, 7/22/2023 | GBP | 760,000 | 962,755 | ||
0.88%, 10/22/2029 | GBP | 750,000 | 991,227 | ||
1.00%, 4/22/2024 | GBP | 625,000 | 803,924 | ||
1.25%, 7/22/2027 | GBP | 570,000 | 765,950 | ||
1.50%, 7/22/2026 | GBP | 650,000 | 878,796 | ||
1.50%, 7/22/2047 | GBP | 475,000 | 712,342 | ||
1.63%, 10/22/2028 | GBP | 665,000 | 928,919 | ||
1.63%, 10/22/2054 | GBP | 250,000 | 405,628 | ||
1.63%, 10/22/2071 | GBP | 290,000 | 542,775 | ||
1.75%, 9/7/2022 | GBP | 705,000 | 905,970 | ||
1.75%, 9/7/2037 | GBP | 590,000 | 873,683 | ||
1.75%, 1/22/2049 | GBP | 530,000 | 844,860 | ||
1.75%, 7/22/2057 | GBP | 465,000 | 797,815 | ||
2.00%, 9/7/2025 | GBP | 775,000 | 1,062,169 | ||
2.25%, 9/7/2023 | GBP | 610,000 | 809,374 | ||
2.50%, 7/22/2065 | GBP | 445,000 | 974,882 | ||
2.75%, 9/7/2024 | GBP | 630,000 | 870,412 | ||
3.25%, 1/22/2044 | GBP | 540,000 | 1,047,215 | ||
3.50%, 1/22/2045 | GBP | 540,000 | 1,099,771 | ||
3.50%, 7/22/2068 | GBP | 460,000 | 1,278,267 | ||
3.75%, 9/7/2021 | GBP | 580,000 | 748,567 | ||
3.75%, 7/22/2052 | GBP | 535,000 | 1,264,828 | ||
4.00%, 3/7/2022 | GBP | 805,000 | 1,063,047 | ||
4.00%, 1/22/2060 | GBP | 460,000 | 1,260,514 | ||
4.25%, 12/7/2027 | GBP | 720,000 | 1,169,046 | ||
4.25%, 6/7/2032 | GBP | 830,000 | 1,502,634 | ||
4.25%, 3/7/2036 | GBP | 615,000 | 1,194,374 | ||
4.25%, 9/7/2039 | GBP | 449,000 | 926,960 | ||
4.25%, 12/7/2040 | GBP | 499,000 | 1,050,884 | ||
4.25%, 12/7/2046 | GBP | 438,000 | 1,015,934 | ||
4.25%, 12/7/2049 | GBP | 440,000 | 1,070,968 | ||
4.25%, 12/7/2055 | GBP | 515,000 | 1,377,486 | ||
4.50%, 9/7/2034 | GBP | 760,000 | 1,469,890 | ||
4.50%, 12/7/2042 | GBP | 550,000 | 1,233,434 | ||
4.75%, 12/7/2030 | GBP | 860,000 | 1,565,757 | ||
4.75%, 12/7/2038 | GBP | 500,000 | 1,075,519 | ||
5.00%, 3/7/2025 | GBP | 725,000 | 1,108,120 | ||
6.00%, 12/7/2028 | GBP | 445,000 | 821,882 | ||
40,291,500 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $751,125,193) | 747,781,534 |
Shares | |||
SHORT-TERM INVESTMENTS — 0.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (d) (e) | 12,778 | 12,778 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (f) (g) | 673,530 | $ 673,530 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $686,308) | 686,308 | |||||
TOTAL INVESTMENTS — 99.2% (Cost $751,811,501) | 748,467,842 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 5,824,527 | |||||
NET ASSETS — 100.0% | $ 754,292,369 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 20.1% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Amount is less than 0.05% of net assets. |
(c) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government Obligations | $ — | $747,781,534 | $— | $747,781,534 | ||||
Short-Term Investments | 686,308 | — | — | 686,308 | ||||
TOTAL INVESTMENTS | $686,308 | $747,781,534 | $— | $748,467,842 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 516,327 | $ 516,327 | $11,477,733 | $11,981,282 | $— | $— | 12,778 | $ 12,778 | $1,396 | ||||||||
State Street Navigator Securities Lending Portfolio II | 660,550 | 660,550 | 61,985 | 49,005 | — | — | 673,530 | 673,530 | 1,968 | ||||||||
Total | $1,176,877 | $11,539,718 | $12,030,287 | $— | $— | $686,308 | $3,364 |
Security Description | Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 99.0% | ||||||
AUSTRALIA — 3.4% | ||||||
Australia Government Bond: | ||||||
Series 151, 2.00%, 12/21/2021 | AUD | 1,926,000 | $ 1,360,092 | |||
Series 153, 2.25%, 11/21/2022 | AUD | 2,870,000 | 2,069,836 | |||
Series 133, 5.50%, 4/21/2023 | AUD | 3,790,000 | 2,991,484 | |||
Series 128, 5.75%, 7/15/2022 | AUD | 2,900,000 | 2,219,299 | |||
8,640,711 | ||||||
AUSTRIA — 2.6% | ||||||
Austria Government Bond: | ||||||
0.01%, 9/20/2022 (a) | EUR | 800,000 | 910,616 | |||
3.40%, 11/22/2022 (a) | EUR | 1,240,000 | 1,527,019 | |||
3.50%, 9/15/2021 (a) | EUR | 1,875,000 | 2,209,096 | |||
3.65%, 4/20/2022 (a) | EUR | 1,001,000 | 1,210,950 | |||
Republic of Austria Government Bond 0.01%, 4/20/2023 (a) | EUR | 700,000 | 799,083 | |||
6,656,764 | ||||||
BELGIUM — 3.4% | ||||||
Belgium Government Bond: | ||||||
Series 68, 2.25%, 6/22/2023 | EUR | 600,000 | 731,380 | |||
Series 48, 4.00%, 3/28/2022 | EUR | 2,070,000 | 2,513,262 | |||
Series 61, 4.25%, 9/28/2021 (a) | EUR | 2,170,000 | 2,584,379 | |||
Series 65, 4.25%, 9/28/2022 (a) | EUR | 2,120,000 | 2,643,216 | |||
8,472,237 | ||||||
CANADA — 4.6% | ||||||
Canadian Government Bond: | ||||||
0.50%, 3/1/2022 | CAD | 2,010,000 | 1,481,866 | |||
0.75%, 9/1/2021 | CAD | 2,295,000 | 1,695,385 | |||
1.00%, 9/1/2022 | CAD | 2,240,000 | 1,670,198 | |||
1.25%, 11/1/2021 | CAD | 1,050,000 | 781,371 | |||
1.50%, 8/1/2021 | CAD | 1,250,000 | 930,497 | |||
1.50%, 2/1/2022 | CAD | 710,000 | 531,588 | |||
1.50%, 5/1/2022 | CAD | 1,145,000 | 859,675 | |||
1.50%, 6/1/2023 | CAD | 1,400,000 | 1,063,321 | |||
1.75%, 3/1/2023 | CAD | 1,880,000 | 1,433,355 | |||
2.75%, 6/1/2022 | CAD | 1,310,000 | 1,007,411 | |||
Series A55, 8.00%, 6/1/2023 | CAD | 180,000 | 161,580 | |||
11,616,247 |
Security Description | Principal Amount | Value | |||
CHILE — 0.2% | |||||
Bonos de la Tesoreria de la Republica en pesos: | |||||
4.00%, 3/1/2023 (a) | CLP | 285,000,000 | $ 381,003 | ||
Series 10YR, 6.00%, 1/1/2022 | CLP | 30,000,000 | 39,692 | ||
420,695 | |||||
CHINA — 3.6% | |||||
China Government Bond Series 1821, 3.17%, 10/11/2021 | CNY | 63,200,000 | 9,072,257 | ||
CYPRUS — 0.1% | |||||
Cyprus Government International Bond Series EMTN, 3.88%, 5/6/2022 | EUR | 150,000 | 180,158 | ||
CZECH REPUBLIC — 0.5% | |||||
Czech Republic Government Bond: | |||||
Series 61, 3.85%, 9/29/2021 | CZK | 16,180,000 | 713,465 | ||
Series 52, 4.70%, 9/12/2022 | CZK | 12,550,000 | 582,285 | ||
1,295,750 | |||||
DENMARK — 0.7% | |||||
Denmark Government Bond: | |||||
Series 3Y, 0.25%, 11/15/2022 (a) | DKK | 4,430,000 | 680,454 | ||
3.00%, 11/15/2021 | DKK | 7,699,000 | 1,216,813 | ||
1,897,267 | |||||
FINLAND — 0.8% | |||||
Finland Government Bond: | |||||
Series 5Y, 0.01%, 4/15/2022 (a) | EUR | 620,000 | 703,917 | ||
1.50%, 4/15/2023 (a) | EUR | 600,000 | 713,899 | ||
1.63%, 9/15/2022 (a) | EUR | 570,000 | 672,226 | ||
2,090,042 | |||||
FRANCE — 7.7% | |||||
France Government Bond OAT: | |||||
0.01%, 2/25/2022 | EUR | 1,930,000 | 2,189,612 | ||
0.01%, 5/25/2022 | EUR | 2,050,000 | 2,329,318 | ||
0.01%, 2/25/2023 | EUR | 1,000,000 | 1,140,959 | ||
0.01%, 3/25/2023 | EUR | 2,285,000 | 2,610,047 | ||
1.75%, 5/25/2023 | EUR | 2,527,000 | 3,033,514 | ||
2.25%, 10/25/2022 | EUR | 1,900,000 | 2,276,484 | ||
3.00%, 4/25/2022 | EUR | 2,361,000 | 2,826,773 | ||
3.25%, 10/25/2021 | EUR | 1,930,000 | 2,277,841 | ||
8.25%, 4/25/2022 | EUR | 80,000 | 104,400 | ||
8.50%, 4/25/2023 | EUR | 400,000 | 565,523 | ||
19,354,471 |
Security Description | Principal Amount | Value | |||
GERMANY — 7.2% | |||||
Bundesrepublik Deutschland: | |||||
0.01%, 9/10/2021 | EUR | 500,000 | $ 565,924 | ||
0.01%, 12/10/2021 | EUR | 1,000,000 | 1,134,368 | ||
Bundesschatzanweisungen: | |||||
0.01%, 3/11/2022 | EUR | 750,000 | 852,098 | ||
0.01%, 6/10/2022 | EUR | 500,000 | 569,210 | ||
Federal Republic of Germany: | |||||
Series 174, 0.01%, 10/8/2021 | EUR | 1,070,000 | 1,211,703 | ||
Series 175, 0.01%, 4/8/2022 | EUR | 970,000 | 1,102,801 | ||
Series 176, 0.01%, 10/7/2022 | EUR | 1,200,000 | 1,369,547 | ||
Series 177, 0.01%, 4/14/2023 | EUR | 1,437,000 | 1,646,809 | ||
1.50%, 9/4/2022 | EUR | 970,000 | 1,142,486 | ||
1.50%, 2/15/2023 | EUR | 1,200,000 | 1,427,542 | ||
1.50%, 5/15/2023 | EUR | 1,210,000 | 1,446,871 | ||
1.75%, 7/4/2022 | EUR | 1,520,000 | 1,791,506 | ||
2.00%, 1/4/2022 | EUR | 1,120,000 | 1,309,878 | ||
2.25%, 9/4/2021 | EUR | 1,200,000 | 1,393,874 | ||
3.25%, 7/4/2021 | EUR | 1,035,000 | 1,207,943 | ||
18,172,560 | |||||
HONG KONG — 0.2% | |||||
Hong Kong Government Bond Programme: | |||||
1.10%, 1/17/2023 | HKD | 2,100,000 | 276,513 | ||
1.16%, 5/18/2022 | HKD | 1,050,000 | 137,631 | ||
2.46%, 8/4/2021 | HKD | 1,700,000 | 224,573 | ||
638,717 | |||||
HUNGARY — 0.4% | |||||
Hungary Government Bond: | |||||
Series 22/C, 1.50%, 8/24/2022 | HUF | 47,000,000 | 151,205 | ||
Series 22/B, 1.75%, 10/26/2022 | HUF | 127,200,000 | 411,821 | ||
Series 21/B, 2.50%, 10/27/2021 | HUF | 59,900,000 | 195,107 | ||
Series 22/A, 7.00%, 6/24/2022 | HUF | 78,500,000 | 279,919 | ||
1,038,052 | |||||
INDONESIA — 1.2% | |||||
Indonesia Treasury Bond Series FR61, 7.00%, 5/15/2022 | IDR | 39,915,000,000 | 2,878,016 | ||
Perusahaan Penerbit SBSN Indonesia Series PBS, 6.50%, 5/15/2021 | IDR | 3,595,000,000 | 254,657 | ||
3,132,673 |
Security Description | Principal Amount | Value | |||
IRELAND — 1.0% | |||||
Ireland Government Bond: | |||||
0.01%, 10/18/2022 | EUR | 500,000 | $ 568,305 | ||
0.80%, 3/15/2022 | EUR | 890,000 | 1,022,294 | ||
3.90%, 3/20/2023 | EUR | 819,000 | 1,030,979 | ||
2,621,578 | |||||
ISRAEL — 0.9% | |||||
Israel Government Bond: | |||||
Series 0722, 0.75%, 7/31/2022 | ILS | 870,000 | 253,587 | ||
Series 1122, 1.25%, 11/30/2022 | ILS | 1,380,000 | 409,475 | ||
Series 0323, 4.25%, 3/31/2023 | ILS | 2,220,000 | 713,212 | ||
Series 0122, 5.50%, 1/31/2022 | ILS | 2,810,000 | 881,494 | ||
2,257,768 | |||||
ITALY — 9.3% | |||||
Italy Buoni Poliennali Del Tesoro: | |||||
0.05%, 1/15/2023 (a) | EUR | 1,258,000 | 1,408,034 | ||
0.35%, 11/1/2021 | EUR | 925,000 | 1,044,848 | ||
0.60%, 6/15/2023 | EUR | 1,000,000 | 1,134,719 | ||
0.90%, 8/1/2022 | EUR | 1,216,000 | 1,388,370 | ||
0.95%, 3/1/2023 | EUR | 1,000,000 | 1,144,910 | ||
0.95%, 3/15/2023 | EUR | 700,000 | 801,536 | ||
1.00%, 7/15/2022 | EUR | 990,000 | 1,132,451 | ||
1.20%, 4/1/2022 | EUR | 949,000 | 1,086,564 | ||
2.30%, 10/15/2021 | EUR | 800,000 | 926,108 | ||
3.75%, 8/1/2021 (a) | EUR | 1,330,000 | 1,556,272 | ||
Italy Certificati di Credito del Tesoro Zero Coupon, 11/29/2021 | EUR | 1,300,000 | 1,459,533 | ||
Italy Certificati di Credito del Tesoro Zero Coupon Zero Coupon, 5/30/2022 | EUR | 500,000 | 559,707 | ||
Republic of Italy: | |||||
1.35%, 4/15/2022 | EUR | 1,000,000 | 1,148,380 | ||
1.45%, 9/15/2022 | EUR | 650,000 | 751,028 | ||
2.15%, 12/15/2021 | EUR | 997,000 | 1,155,826 | ||
4.50%, 5/1/2023 | EUR | 1,000,000 | 1,257,789 | ||
4.75%, 9/1/2021 | EUR | 1,400,000 | 1,661,232 | ||
5.00%, 3/1/2022 | EUR | 950,000 | 1,155,687 | ||
5.50%, 9/1/2022 | EUR | 950,000 | 1,191,084 | ||
5.50%, 11/1/2022 | EUR | 1,150,000 | 1,451,275 | ||
23,415,353 | |||||
JAPAN — 22.9% | |||||
Government of Japan 5 Year Bond: | |||||
Series 129, 0.10%, 9/20/2021 | JPY | 626,000,000 | 5,821,101 | ||
Series 130, 0.10%, 12/20/2021 | JPY | 494,400,000 | 4,600,026 |
Security Description | Principal Amount | Value | |||
Series 131, 0.10%, 3/20/2022 | JPY | 635,000,000 | $ 5,910,206 | ||
Series 132, 0.10%, 6/20/2022 | JPY | 392,500,000 | 3,655,341 | ||
Series 133, 0.10%, 9/20/2022 | JPY | 425,000,000 | 3,960,652 | ||
Series 134, 0.10%, 12/20/2022 | JPY | 372,000,000 | 3,468,494 | ||
Series 135, 0.10%, 3/20/2023 | JPY | 432,000,000 | 4,030,051 | ||
Series 136, 0.10%, 6/20/2023 | JPY | 455,000,000 | 4,247,187 | ||
Government of Japan 10 Year Bond: | |||||
Series 328, 0.60%, 3/20/2023 | JPY | 164,500,000 | 1,555,328 | ||
Series 324, 0.80%, 6/20/2022 | JPY | 354,000,000 | 3,341,877 | ||
Series 325, 0.80%, 9/20/2022 | JPY | 401,500,000 | 3,799,485 | ||
Series 321, 1.00%, 3/20/2022 | JPY | 400,000,000 | 3,780,359 | ||
Series 317, 1.10%, 9/20/2021 | JPY | 402,000,000 | 3,783,722 | ||
Series 319, 1.10%, 12/20/2021 | JPY | 200,000,000 | 1,888,029 | ||
Government of Japan 2 Year Bond Series 403, 0.10%, 8/1/2021 | JPY | 201,000,000 | 1,868,498 | ||
Japan Government 2 Year Bond Series 406, 0.10%, 11/1/2021 | JPY | 140,000,000 | 1,302,168 | ||
Japan Government Two Year Bond Series 405, 0.10%, 10/1/2021 | JPY | 100,000,000 | 929,972 | ||
57,942,496 | |||||
MALAYSIA — 1.6% | |||||
Malaysia Government Bond: | |||||
Series 0112, 3.42%, 8/15/2022 | MYR | 3,350,000 | 801,246 | ||
Series 0313, 3.48%, 3/15/2023 | MYR | 4,550,000 | 1,095,366 | ||
Series 0314, 4.05%, 9/30/2021 | MYR | 2,855,000 | 682,305 | ||
Series 0111, 4.16%, 7/15/2021 | MYR | 4,430,000 | 1,056,396 | ||
Malaysia Government Investment Issue Series 0216, 3.74%, 8/26/2021 | MYR | 1,250,000 | 297,104 | ||
3,932,417 | |||||
MEXICO — 1.4% | |||||
Mexican Bonos: | |||||
Series M, 6.50%, 6/9/2022 | MXN | 34,650,000 | 1,550,260 | ||
Series M, 6.75%, 3/9/2023 | MXN | 19,700,000 | 896,045 |
Security Description | Principal Amount | Value | |||
Series M, 7.25%, 12/9/2021 | MXN | 24,100,000 | $ 1,079,812 | ||
3,526,117 | |||||
NETHERLANDS — 3.4% | |||||
Kingdom of Netherlands: | |||||
0.01%, 1/15/2022 (a) | EUR | 1,600,000 | 1,814,144 | ||
2.25%, 7/15/2022 (a) | EUR | 2,675,000 | 3,183,304 | ||
3.25%, 7/15/2021 (a) | EUR | 1,800,000 | 2,102,476 | ||
3.75%, 1/15/2023 (a) | EUR | 1,100,000 | 1,375,135 | ||
8,475,059 | |||||
NEW ZEALAND — 0.4% | |||||
New Zealand Government Bond Series 0423, 5.50%, 4/15/2023 | NZD | 1,420,000 | 1,045,439 | ||
NORWAY — 0.4% | |||||
Norway Government Bond Series 475, 2.00%, 5/24/2023 (a) | NOK | 9,100,000 | 991,444 | ||
POLAND — 2.0% | |||||
Poland Government Bond: | |||||
Series 0721, 1.75%, 7/25/2021 | PLN | 4,520,000 | 1,163,369 | ||
Series 0422, 2.25%, 4/25/2022 | PLN | 4,830,000 | 1,269,000 | ||
Series 0123, 2.50%, 1/25/2023 | PLN | 4,900,000 | 1,311,618 | ||
Series 1021, 5.75%, 10/25/2021 | PLN | 1,900,000 | 516,167 | ||
Series 0922, 5.75%, 9/23/2022 | PLN | 2,630,000 | 747,848 | ||
Republic of Poland Government Bond Series 0722, Zero Coupon, 7/25/2022 | PLN | 400,000 | 100,890 | ||
5,108,892 | |||||
PORTUGAL — 0.6% | |||||
Portugal Obrigacoes do Tesouro OT 2.20%, 10/17/2022 (a) | EUR | 1,270,000 | 1,514,284 | ||
RUSSIA — 0.9% | |||||
Russian Federal Bond - OFZ: | |||||
Series 5083, 7.00%, 12/15/2021 | RUB | 34,800,000 | 505,778 | ||
Series 6211, 7.00%, 1/25/2023 | RUB | 19,700,000 | 292,396 | ||
Series 6220, 7.40%, 12/7/2022 | RUB | 38,600,000 | 576,662 | ||
Series 6217, 7.50%, 8/18/2021 | RUB | 37,200,000 | 539,667 | ||
Series 6209, 7.60%, 7/20/2022 | RUB | 33,050,000 | 491,740 | ||
2,406,243 |
Security Description | Principal Amount | Value | |||
SINGAPORE — 1.0% | |||||
Singapore Government Bond: | |||||
1.25%, 10/1/2021 | SGD | 1,051,000 | $ 762,361 | ||
1.75%, 4/1/2022 | SGD | 720,000 | 529,173 | ||
1.75%, 2/1/2023 | SGD | 850,000 | 631,496 | ||
3.13%, 9/1/2022 | SGD | 690,000 | 524,635 | ||
2,447,665 | |||||
SLOVAKIA — 0.2% | |||||
Slovakia Government Bond Series 225, 3.00%, 2/28/2023 | EUR | 400,000 | 489,216 | ||
SLOVENIA — 0.2% | |||||
Slovenia Government Bond Series RS73, 2.25%, 3/25/2022 | EUR | 400,000 | 469,137 | ||
SOUTH KOREA — 4.5% | |||||
Korea Treasury Bond Series 2212, 1.25%, 12/10/2022 | KRW | 13,480,000,000 | 11,314,131 | ||
SPAIN — 4.6% | |||||
Kingdom of Spain: | |||||
5.40%, 1/31/2023 (a) | EUR | 1,356,000 | 1,749,856 | ||
5.85%, 1/31/2022 (a) | EUR | 1,870,000 | 2,309,769 | ||
Spain Government Bond: | |||||
0.01%, 4/30/2023 | EUR | 450,000 | 509,672 | ||
0.05%, 10/31/2021 | EUR | 1,420,000 | 1,605,103 | ||
0.40%, 4/30/2022 | EUR | 1,300,000 | 1,481,807 | ||
0.45%, 10/31/2022 | EUR | 1,906,000 | 2,182,262 | ||
0.75%, 7/30/2021 | EUR | 1,477,000 | 1,680,664 | ||
11,519,133 | |||||
SWEDEN — 0.6% | |||||
Kingdom of Sweden Series 1054, 3.50%, 6/1/2022 | SEK | 12,305,000 | 1,418,622 | ||
SWITZERLAND — 0.4% | |||||
Switzerland Government Bond: | |||||
2.00%, 5/25/2022 | CHF | 450,000 | 499,129 | ||
4.00%, 2/11/2023 | CHF | 530,000 | 628,304 | ||
1,127,433 | |||||
THAILAND — 1.5% | |||||
Thailand Government Bond: | |||||
1.88%, 6/17/2022 | THB | 38,150,000 | 1,268,500 | ||
2.00%, 12/17/2022 | THB | 41,100,000 | 1,378,835 | ||
3.63%, 6/16/2023 | THB | 8,200,000 | 289,093 | ||
3.65%, 12/17/2021 | THB | 26,350,000 | 892,476 | ||
3,828,904 | |||||
UNITED KINGDOM — 4.6% | |||||
United Kingdom Treasury Bond: | |||||
0.13%, 1/31/2023 | GBP | 1,010,000 | 1,253,285 |
Security Description | Principal Amount | Value | ||||
0.50%, 7/22/2022 | GBP | 1,955,000 | $ 2,444,937 | |||
1.75%, 9/7/2022 | GBP | 1,890,000 | 2,428,772 | |||
3.75%, 9/7/2021 | GBP | 1,760,000 | 2,271,514 | |||
4.00%, 3/7/2022 | GBP | 2,410,000 | 3,182,539 | |||
11,581,047 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $249,284,521) | 250,110,979 | |||||
TOTAL INVESTMENTS — 99.0% (Cost $249,284,521) | 250,110,979 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0% | 2,440,043 | |||||
NET ASSETS — 100.0% | $ 252,551,022 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 13.1% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
EMTN | Euro Medium Term Note |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government Obligations | $— | $250,110,979 | $— | $250,110,979 | ||||
TOTAL INVESTMENTS | $— | $250,110,979 | $— | $250,110,979 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 15,997 | $15,997 | $17,446,017 | $17,462,014 | $— | $— | — | $— | $778 |
Security Description | Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 99.6% | ||||||
AUSTRALIA — 4.6% | ||||||
Australia Government Bond: | ||||||
Series 27CI, 0.75%, 11/21/2027 | AUD | 2,703,360 | $ 1,985,422 | |||
Series 50CI, 1.00%, 2/21/2050 | AUD | 1,813,000 | 1,504,886 | |||
Series 22CI, 1.25%, 2/21/2022 | AUD | 2,932,438 | 2,054,672 | |||
Series 40CI, 1.25%, 8/21/2040 | AUD | 2,459,025 | 2,045,881 | |||
Series 35CI, 2.00%, 8/21/2035 | AUD | 2,050,200 | 1,834,388 | |||
Series 30CI, 2.50%, 9/20/2030 | AUD | 2,470,089 | 2,162,993 | |||
Series 25CI, 3.00%, 9/20/2025 | AUD | 4,812,054 | 3,858,758 | |||
Series 20CI, 4.00%, 8/20/2020 | AUD | 141,240 | 97,634 | |||
15,544,634 | ||||||
BRAZIL — 6.2% | ||||||
Brazil Notas do Tesouro Nacional Serie B: | ||||||
Series NTNB, 6.00%, 8/15/2022 | BRL | 14,016,649 | 2,847,102 | |||
Series NTNB, 6.00%, 5/15/2023 | BRL | 10,277,292 | 2,140,502 | |||
Series NTNB, 6.00%, 8/15/2024 | BRL | 11,200,142 | 2,389,415 | |||
Series NTNB, 6.00%, 5/15/2025 | BRL | 3,623,575 | 761,399 | |||
Series NTNB, 6.00%, 8/15/2026 | BRL | 7,247,151 | 1,579,938 | |||
Series NTNB, 6.00%, 8/15/2028 | BRL | 3,881,592 | 861,587 | |||
Series NTNB, 6.00%, 8/15/2030 | BRL | 3,425,926 | 768,914 | |||
Series NTNB, 6.00%, 5/15/2035 | BRL | 5,764,777 | 1,310,792 | |||
Series NTNB, 6.00%, 8/15/2040 | BRL | 4,776,467 | 1,096,353 | |||
Series NTNB, 6.00%, 5/15/2045 | BRL | 9,684,829 | 2,232,871 | |||
Series NTNB, 6.00%, 8/15/2050 | BRL | 14,988,426 | 3,529,871 | |||
Series NTNB, 6.00%, 5/15/2055 | BRL | 6,061,254 | 1,450,288 | |||
20,969,032 | ||||||
CANADA — 4.6% | ||||||
Canadian Government Real Return Bond: | ||||||
Series CPI, 0.50%, 12/1/2050 | CAD | 1,644,835 | 1,422,927 | |||
Series CPI, 1.25%, 12/1/2047 | CAD | 2,091,710 | 2,086,381 |
Security Description | Principal Amount | Value | |||
Series CPI, 1.50%, 12/1/2044 | CAD | 1,849,255 | $ 1,862,425 | ||
Series CPI, 2.00%, 12/1/2041 | CAD | 2,019,746 | 2,102,182 | ||
Series CPI, 3.00%, 12/1/2036 | CAD | 1,950,448 | 2,139,807 | ||
Series CPI, 4.00%, 12/1/2031 | CAD | 2,547,291 | 2,782,364 | ||
Series CPI, 4.25%, 12/1/2021 | CAD | 1,952,369 | 1,508,155 | ||
Series CPI, 4.25%, 12/1/2026 | CAD | 1,738,631 | 1,646,083 | ||
15,550,324 | |||||
CHILE — 4.4% | |||||
Bonos de la Tesoreria de la Republica: | |||||
1.30%, 3/1/2023 | CLP | 717,410,500 | 912,719 | ||
1.50%, 3/1/2026 | CLP | 2,094,838,660 | 2,811,217 | ||
1.90%, 9/1/2030 | CLP | 1,061,767,540 | 1,571,944 | ||
2.00%, 3/1/2035 | CLP | 1,347,012,670 | 2,109,509 | ||
2.10%, 7/15/2050 | CLP | 430,446,300 | 767,639 | ||
Series 30YR, 3.00%, 1/1/2044 | CLP | 2,310,042,610 | 4,556,824 | ||
Bonos del Banco Central de Chile en UF: | |||||
Series 10YR, 3.00%, 3/1/2022 | CLP | 315,660,620 | 415,062 | ||
Series 10YR, 3.00%, 3/1/2023 | CLP | 26,880 | 37 | ||
Series 20YR, 3.00%, 5/1/2028 | CLP | 114,785,680 | 179,984 | ||
Series 20YR, 3.00%, 2/1/2031 | CLP | 401,749,880 | 657,461 | ||
Series 30YR, 3.00%, 2/1/2041 | CLP | 401,749,880 | 764,892 | ||
14,747,288 | |||||
COLOMBIA — 3.7% | |||||
Colombian TES: | |||||
Series UVR, 3.00%, 3/25/2033 | COP | 6,625,908,000 | 1,692,484 | ||
Series UVR, 3.30%, 3/17/2027 | COP | 9,165,839,400 | 2,528,077 | ||
Series UVR, 3.50%, 5/7/2025 | COP | 4,886,607,150 | 1,377,988 | ||
Series UVR, 3.75%, 2/25/2037 | COP | 3,417,618,650 | 942,320 | ||
Series UVR, 3.75%, 6/16/2049 | COP | 1,932,556,500 | 525,958 | ||
Series UVR, 4.75%, 2/23/2023 | COP | 12,368,361,600 | 3,539,124 | ||
Series UVR, 4.75%, 4/4/2035 | COP | 6,418,839,950 | 1,966,861 | ||
12,572,812 |
Security Description | Principal Amount | Value | |||
FRANCE — 9.3% | |||||
French Republic Government Bond OAT: | |||||
Series OATE, 0.10%, 3/1/2021 | EUR | 970,168 | $ 1,086,103 | ||
Series OATI, 0.10%, 7/25/2021 | EUR | 668,866 | 756,721 | ||
Series OATI, 0.10%, 3/1/2025 | EUR | 1,183,547 | 1,386,460 | ||
Series OATI, 0.10%, 3/1/2028 | EUR | 1,307,502 | 1,576,898 | ||
Series OATE, 0.10%, 3/1/2029 | EUR | 908,232 | 1,115,764 | ||
Series OATE, 0.10%, 7/25/2036 (a) | EUR | 1,031,250 | 1,334,302 | ||
Series OATE, 0.10%, 7/25/2047 (a) | EUR | 1,203,406 | 1,667,070 | ||
Series OATE, 0.25%, 7/25/2024 | EUR | 2,156,787 | 2,544,242 | ||
Series OATE, 0.70%, 7/25/2030 (a) | EUR | 1,393,105 | 1,833,789 | ||
Series OATE, 1.10%, 7/25/2022 | EUR | 2,331,588 | 2,721,115 | ||
Series OATE, 1.80%, 7/25/2040 (a) | EUR | 1,741,146 | 3,017,441 | ||
Series OATE, 1.85%, 7/25/2027 | EUR | 3,552,999 | 4,815,398 | ||
Series OATI, 2.10%, 7/25/2023 | EUR | 2,508,792 | 3,069,657 | ||
Series OATE, 2.25%, 7/25/2020 | EUR | 19 | 21 | ||
Series OATE, 3.15%, 7/25/2032 | EUR | 1,549,078 | 2,634,303 | ||
Series OATI, 3.40%, 7/25/2029 | EUR | 1,014,008 | 1,606,167 | ||
31,165,451 | |||||
GERMANY — 4.7% | |||||
Deutsche Bundesrepublik Inflation Linked Bond: | |||||
Series I/L, 0.10%, 4/15/2023 | EUR | 3,484,931 | 3,986,863 | ||
Series I/L, 0.10%, 4/15/2026 | EUR | 3,423,516 | 4,110,743 | ||
Series I/L, 0.10%, 4/15/2046 | EUR | 1,894,952 | 2,927,009 | ||
Series I/L, 0.50%, 4/15/2030 | EUR | 3,522,756 | 4,635,613 | ||
15,660,228 | |||||
ISRAEL — 4.5% | |||||
Israel Government Bond - CPI Linked: | |||||
Series 0529, 0.50%, 5/31/2029 | ILS | 2,465,035 | 790,296 | ||
0.75%, 10/31/2025 | ILS | 2,920,048 | 906,143 | ||
Series 0527, 0.75%, 5/31/2027 | ILS | 2,735,173 | 870,011 |
Security Description | Principal Amount | Value | |||
1.00%, 5/31/2045 | ILS | 5,155,964 | $ 1,798,832 | ||
1.75%, 9/29/2023 | ILS | 3,926,552 | 1,215,376 | ||
Series 0922, 2.75%, 9/30/2022 | ILS | 4,985,960 | 1,536,823 | ||
Series 0841, 2.75%, 8/30/2041 | ILS | 4,828,988 | 2,239,854 | ||
Series 0536, 4.00%, 5/30/2036 | ILS | 5,304,280 | 2,632,250 | ||
Israel Government Bond - Galil: | |||||
Series 5903, 4.00%, 7/30/2021 | ILS | 5,657,433 | 1,706,907 | ||
Series 5904, 4.00%, 7/31/2024 | ILS | 4,333,639 | 1,485,439 | ||
15,181,931 | |||||
ITALY — 6.6% | |||||
Italy Buoni Poliennali Del Tesoro: | |||||
Series CPI, 0.10%, 5/15/2022 (a) | EUR | 1,278,909 | 1,424,430 | ||
Series CPI, 0.10%, 5/15/2023 | EUR | 825,864 | 918,840 | ||
Series CPI, 0.40%, 5/15/2030 (a) | EUR | 984,288 | 1,063,795 | ||
Series CPI, 1.25%, 9/15/2032 (a) | EUR | 1,675,744 | 1,954,547 | ||
Series CPI, 1.30%, 5/15/2028 (a) | EUR | 2,251,222 | 2,629,986 | ||
Series CPI, 2.10%, 9/15/2021 (a) | EUR | 2,612,662 | 2,999,508 | ||
Series CPI, 2.35%, 9/15/2024 (a) | EUR | 1,685,888 | 2,045,580 | ||
Series CPI, 2.35%, 9/15/2035 (a) | EUR | 1,848,765 | 2,478,930 | ||
Series CPI, 2.55%, 9/15/2041 (a) | EUR | 1,636,973 | 2,304,961 | ||
Series CPI, 2.60%, 9/15/2023 (a) | EUR | 2,034,951 | 2,457,667 | ||
Series CPI, 3.10%, 9/15/2026 (a) | EUR | 1,417,686 | 1,840,295 | ||
22,118,539 | |||||
JAPAN — 4.6% | |||||
Japanese Government CPI Linked Bond: | |||||
Series 17, 0.10%, 9/10/2023 | JPY | 43,050,000 | 398,988 | ||
Series 18, 0.10%, 3/10/2024 | JPY | 95,225,900 | 884,364 | ||
Series 19, 0.10%, 9/10/2024 | JPY | 196,910,000 | 1,821,023 | ||
Series 20, 0.10%, 3/10/2025 | JPY | 314,253,000 | 2,898,491 | ||
Series 21, 0.10%, 3/10/2026 | JPY | 209,312,480 | 1,930,987 | ||
Series 22, 0.10%, 3/10/2027 | JPY | 207,885,141 | 1,918,860 |
Security Description | Principal Amount | Value | |||
Series 23, 0.10%, 3/10/2028 | JPY | 326,207,390 | $ 3,014,134 | ||
Series 24, 0.10%, 3/10/2029 | JPY | 266,782,960 | 2,473,019 | ||
15,339,866 | |||||
MEXICO — 4.5% | |||||
Mexican Udibonos: | |||||
Series S, 2.00%, 6/9/2022 | MXN | 53,999,895 | 2,354,617 | ||
Series S, 3.50%, 11/16/2023 | MXN | 11,600,209 | 533,920 | ||
Series S, 4.00%, 11/30/2028 | MXN | 48,006,340 | 2,382,595 | ||
Series S, 4.00%, 11/15/2040 | MXN | 55,416,723 | 2,730,066 | ||
Series S, 4.00%, 11/8/2046 | MXN | 51,229,876 | 2,568,522 | ||
Series S, 4.00%, 11/3/2050 | MXN | 13,533,623 | 688,249 | ||
Series S, 4.50%, 12/4/2025 | MXN | 48,586,282 | 2,405,785 | ||
Series S, 4.50%, 11/22/2035 | MXN | 29,254,870 | 1,546,772 | ||
15,210,526 | |||||
NEW ZEALAND — 2.1% | |||||
New Zealand Government Bond: | |||||
Series 0925, 2.00%, 9/20/2025 | NZD | 2,516,605 | 1,787,655 | ||
Series 0935, 2.50%, 9/20/2035 | NZD | 2,801,821 | 2,398,656 | ||
Series 0940, 2.50%, 9/20/2040 | NZD | 2,003,438 | 1,807,113 | ||
Series 0930, 3.00%, 9/20/2030 | NZD | 1,370,750 | 1,140,093 | ||
7,133,517 | |||||
SOUTH AFRICA — 4.5% | |||||
South Africa Government Bond - CPI Linked: | |||||
Series 2029, 1.88%, 3/31/2029 | ZAR | 11,908,304 | 561,647 | ||
Series 2033, 1.88%, 2/28/2033 | ZAR | 19,040,229 | 804,457 | ||
Series 2025, 2.00%, 1/31/2025 | ZAR | 32,757,568 | 1,738,516 | ||
Series 2038, 2.25%, 1/31/2038 | ZAR | 35,735,219 | 1,460,230 | ||
Series 2046, 2.50%, 3/31/2046 | ZAR | 28,067,676 | 1,087,761 | ||
Series 2050, 2.50%, 12/31/2050 | ZAR | 44,628,327 | 1,642,495 | ||
Series R210, 2.60%, 3/31/2028 | ZAR | 30,684,016 | 1,564,382 | ||
Series R212, 2.75%, 1/31/2022 | ZAR | 24,749,870 | 1,429,319 |
Security Description | Principal Amount | Value | |||
Series R202, 3.45%, 12/7/2033 | ZAR | 47,543,583 | $ 2,398,330 | ||
Series R197, 5.50%, 12/7/2023 | ZAR | 37,899,603 | 2,372,177 | ||
15,059,314 | |||||
SOUTH KOREA — 0.9% | |||||
Inflation Linked Korea Treasury Bond: | |||||
Series 2606, 1.00%, 6/10/2026 | KRW | 183,532,800 | 154,706 | ||
Series 2106, 1.50%, 6/10/2021 | KRW | 1,543,275,870 | 1,298,149 | ||
Series 2806, 1.75%, 6/10/2028 | KRW | 1,612,096,000 | 1,423,150 | ||
2,876,005 | |||||
SPAIN — 4.6% | |||||
Spain Government Inflation Linked Bond: | |||||
0.15%, 11/30/2023 | EUR | 710,458 | 818,980 | ||
0.30%, 11/30/2021 | EUR | 1,494,426 | 1,693,086 | ||
0.65%, 11/30/2027 (a) | EUR | 2,769,250 | 3,377,529 | ||
0.70%, 11/30/2033 (a) | EUR | 1,559,920 | 1,971,740 | ||
1.00%, 11/30/2030 (a) | EUR | 2,826,927 | 3,629,486 | ||
1.80%, 11/30/2024 (a) | EUR | 3,076,178 | 3,828,281 | ||
15,319,102 | |||||
SWEDEN — 2.8% | |||||
Sweden Inflation Linked Bond: | |||||
Series 3112, 0.13%, 6/1/2026 | SEK | 10,028,015 | 1,189,558 | ||
Series 3113, 0.13%, 12/1/2027 | SEK | 13,606,217 | 1,652,406 | ||
Series 3111, 0.13%, 6/1/2032 (a) | SEK | 11,303,246 | 1,462,588 | ||
Series 3108, 0.25%, 6/1/2022 (a) | SEK | 15,080,843 | 1,673,978 | ||
Series 3109, 1.00%, 6/1/2025 (a) | SEK | 11,194,921 | 1,358,922 | ||
Series 3104, 3.50%, 12/1/2028 (a) | SEK | 12,280,340 | 1,917,392 | ||
9,254,844 | |||||
TURKEY — 4.6% | |||||
Turkey Government Bond: | |||||
Series CPI, 1.00%, 5/3/2023 | TRY | 7,792,541 | 1,148,342 | ||
Series CPI, 2.00%, 10/26/2022 | TRY | 9,765,586 | 1,471,050 | ||
Series CPI, 2.00%, 9/18/2024 | TRY | 7,052,633 | 1,046,486 | ||
Series CPI, 2.00%, 4/16/2025 | TRY | 6,667,110 | 991,015 | ||
Series CPI, 2.40%, 5/8/2024 | TRY | 6,730,588 | 1,016,468 |
Security Description | Principal Amount | Value | |||
Series CPI, 2.70%, 1/14/2026 | TRY | 9,248,588 | $ 1,421,982 | ||
Series CPI, 2.80%, 11/8/2023 | TRY | 4,781,338 | 732,412 | ||
Series CPI, 2.90%, 7/7/2027 | TRY | 4,396,553 | 686,530 | ||
Series CPI, 2.90%, 1/12/2028 | TRY | 1,402,397 | 219,107 | ||
Series CPI, 3.00%, 7/21/2021 | TRY | 9,770,755 | 1,482,733 | ||
Series CPI, 3.00%, 2/23/2022 | TRY | 8,585,853 | 1,302,860 | ||
Series CPI, 3.00%, 8/2/2023 | TRY | 10,391,704 | 1,607,311 | ||
3.20%, 11/6/2024 | TRY | 3,210,461 | 500,049 | ||
Series CPI, 3.30%, 6/28/2028 | TRY | 6,592,231 | 1,058,498 | ||
4.10%, 6/5/2024 | TRY | 448,349 | 71,658 | ||
Series CPI, 4.20%, 1/10/2024 | TRY | 5,130,539 | 818,109 | ||
15,574,610 | |||||
UNITED KINGDOM — 22.4% | |||||
United Kingdom Gilt Inflation Linked: | |||||
Series 3MO, 0.13%, 3/22/2024 | GBP | 914,906 | 1,249,813 | ||
Series 3MO, 0.13%, 3/22/2026 | GBP | 1,087,738 | 1,585,338 | ||
Series 3MO, 0.13%, 8/10/2028 | GBP | 859,233 | 1,351,422 | ||
Series 3MO, 0.13%, 3/22/2029 | GBP | 1,478,904 | 2,364,040 | ||
Series 3MO, 0.13%, 11/22/2036 | GBP | 1,069,045 | 2,073,178 | ||
Series 3MO, 0.13%, 8/10/2041 | GBP | 1,044,800 | 2,224,983 | ||
Series 3MO, 0.13%, 3/22/2044 | GBP | 1,538,899 | 3,440,444 | ||
Series 3MO, 0.13%, 3/22/2046 | GBP | 1,248,533 | 2,898,867 | ||
Series 3MO, 0.13%, 8/10/2048 | GBP | 921,052 | 2,246,292 | ||
Series 3MO, 0.13%, 11/22/2056 | GBP | 734,586 | 2,129,359 | ||
Series 3MO, 0.13%, 3/22/2058 | GBP | 737,538 | 2,188,125 | ||
Series 3MO, 0.13%, 11/22/2065 | GBP | 617,939 | 2,156,651 | ||
Series 3MO, 0.13%, 3/22/2068 | GBP | 1,113,220 | 4,135,163 | ||
Series 3MO, 0.25%, 3/22/2052 | GBP | 1,148,394 | 3,091,908 | ||
Series 3MO, 0.38%, 3/22/2062 | GBP | 874,715 | 2,986,656 | ||
Series 3MO, 0.50%, 3/22/2050 | GBP | 1,713,912 | 4,650,917 |
Security Description | Principal Amount | Value | |||
Series 3MO, 0.63%, 3/22/2040 | GBP | 1,216,224 | $ 2,711,735 | ||
Series 3MO, 0.63%, 11/22/2042 | GBP | 1,349,638 | 3,211,047 | ||
Series 3MO, 0.75%, 3/22/2034 | GBP | 1,467,855 | 2,872,161 | ||
Series 3MO, 0.75%, 11/22/2047 | GBP | 1,006,964 | 2,733,584 | ||
Series 3MO, 1.13%, 11/22/2037 | GBP | 1,475,737 | 3,352,635 | ||
Series 3MO, 1.25%, 11/22/2027 | GBP | 1,884,657 | 3,116,927 | ||
Series 3MO, 1.25%, 11/22/2032 | GBP | 1,819,057 | 3,621,204 | ||
Series 3MO, 1.25%, 11/22/2055 | GBP | 1,294,016 | 4,657,939 | ||
Series 3MO, 1.88%, 11/22/2022 | GBP | 1,991,850 | 2,729,056 | ||
Series 8MO, 2.00%, 1/26/2035 | GBP | 963,854 | 2,176,017 | ||
Series 8MO, 2.50%, 7/17/2024 | GBP | 1,266,281 | 1,894,815 | ||
Series 8MO, 4.13%, 7/22/2030 | GBP | 646,188 | 1,438,951 | ||
75,289,227 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $325,552,531) | 334,567,250 |
Shares | |||
SHORT-TERM INVESTMENT — 0.2% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (b) (c) (Cost $652,310) | 652,310 | 652,310 | |
TOTAL INVESTMENTS — 99.8% (Cost $326,204,841) | 335,219,560 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 589,932 | ||
NET ASSETS — 100.0% | $ 335,809,492 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 14.4% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2020. |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
TRY | Turkish New Lira |
ZAR | South African Rand |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government Obligations | $ — | $334,567,250 | $— | $334,567,250 | ||||
Short-Term Investment | 652,310 | — | — | 652,310 | ||||
TOTAL INVESTMENTS | $652,310 | $334,567,250 | $— | $335,219,560 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 69,368 | $69,368 | $6,934,584 | $6,351,642 | $— | $— | 652,310 | $652,310 | $1,031 |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | SPDR Bloomberg Barclays International Corporate Bond ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value* | $ 723,780,671 | $142,131,669 | |
Investments in affiliated issuers, at value | — | 2,545,354 | |
Total Investments | 723,780,671 | 144,677,023 | |
Foreign currency, at value | 4,357,742 | 131,145 | |
Receivable for investments sold | 52,630,085 | 2,801,263 | |
Receivable for fund shares sold | — | — | |
Unrealized appreciation on forward foreign currency exchange contracts | 88,534 | — | |
Dividends receivable — affiliated issuers | 4,406 | 1 | |
Interest receivable — unaffiliated issuers | 9,266,877 | 1,094,693 | |
Securities lending income receivable — unaffiliated issuers | 485 | 1,119 | |
Receivable for foreign taxes recoverable | 83,535 | 2,450 | |
Other Receivable | 5,843,788 | — | |
TOTAL ASSETS | 796,056,123 | 148,707,694 | |
LIABILITIES | |||
Due to custodian | 205,265 | — | |
Payable upon return of securities loaned | — | 2,542,145 | |
Payable for investments purchased | 10,203,166 | 1,842,844 | |
Payable for fund shares repurchased | 44,738,092 | — | |
Unrealized depreciation on forward foreign currency exchange contracts | 117,695 | — | |
Deferred foreign taxes payable | 227,444 | — | |
Advisory fee payable | 226,578 | 60,935 | |
Trustees’ fees and expenses payable | — | 3,474 | |
TOTAL LIABILITIES | 55,718,240 | 4,449,398 | |
NET ASSETS | $ 740,337,883 | $144,258,296 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $ 810,394,250 | $150,327,048 | |
Total distributable earnings (loss)** | (70,056,367) | (6,068,752) | |
NET ASSETS | $ 740,337,883 | $144,258,296 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $ 26.25 | $ 33.55 | |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 28,200,000 | 4,300,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $ 745,690,136 | $145,557,779 | |
Investments in affiliated issuers | — | 2,545,354 | |
Total cost of investments | $ 745,690,136 | $148,103,133 | |
Foreign currency, at cost | $3,382,573,968 | $ 131,394 | |
* Includes investments in securities on loan, at value | $ — | $ 2,537,009 | |
** Includes deferred foreign taxes | $ 189,673 | $ — |
SPDR Bloomberg Barclays International Treasury Bond ETF | SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||
$747,781,534 | $250,110,979 | $334,567,250 | ||
686,308 | — | 652,310 | ||
748,467,842 | 250,110,979 | 335,219,560 | ||
2,235,843 | 1,546,745 | 847,288 | ||
11,223,316 | 19,289,263 | 2,646,178 | ||
— | 3,043,418 | — | ||
— | — | — | ||
8 | 81 | 181 | ||
4,897,444 | 1,787,390 | 1,600,758 | ||
257 | — | — | ||
681,028 | 162,614 | — | ||
969 | 7,609 | 1,444,974 | ||
767,506,707 | 275,948,099 | 341,758,939 | ||
— | 475 | 1,444,974 | ||
673,530 | — | — | ||
12,258,955 | 23,315,570 | 4,360,003 | ||
— | — | — | ||
— | — | — | ||
58,727 | 7,868 | 1,927 | ||
219,565 | 68,568 | 138,204 | ||
3,561 | 4,596 | 4,339 | ||
13,214,338 | 23,397,077 | 5,949,447 | ||
$754,292,369 | $252,551,022 | $335,809,492 | ||
$765,772,413 | $257,087,466 | $342,812,356 | ||
(11,480,044) | (4,536,444) | (7,002,864) | ||
$754,292,369 | $252,551,022 | $335,809,492 | ||
$ 28.79 | $ 30.43 | $ 52.47 | ||
26,200,038 | 8,300,000 | 6,400,483 | ||
$751,125,193 | $249,284,521 | $325,552,531 | ||
686,308 | — | 652,310 | ||
$751,811,501 | $249,284,521 | $326,204,841 | ||
$ 14,251,826 | $ 1,553,174 | $ 872,220 | ||
$ 663,336 | $ — | $ — | ||
$ 58,727 | $ 7,868 | $ — |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | SPDR Bloomberg Barclays International Corporate Bond ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 23,508,348 | $ 984,243 | |
Dividend income — affiliated issuers | 32,482 | 161 | |
Unaffiliated securities lending income | — | — | |
Affiliated securities lending income | 485 | 4,178 | |
Foreign taxes withheld | (612,927) | — | |
TOTAL INVESTMENT INCOME (LOSS) | 22,928,388 | 988,582 | |
EXPENSES | |||
Advisory fee | 1,434,086 | 413,579 | |
Trustees’ fees and expenses | 10,161 | — | |
TOTAL EXPENSES | 1,444,247 | 413,579 | |
NET INVESTMENT INCOME (LOSS) | $ 21,484,141 | $ 575,003 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments—unaffiliated issuers* | (28,624,726) | (2,517,736) | |
In-kind redemptions — unaffiliated issuers | 3,107,563 | (209,028) | |
Forward foreign currency exchange contracts | 40,892 | — | |
Foreign currency transactions | 3,373,813,125 | (101,566) | |
Net realized gain (loss) | 3,348,336,854 | (2,828,330) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers** | (43,953,590) | 29,736 | |
Forward foreign currency exchange contracts | (135,745) | — | |
Foreign currency translations | (3,378,750,230) | (29,029) | |
Net change in unrealized appreciation/depreciation | (3,422,839,565) | 707 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (74,502,711) | (2,827,623) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (53,018,570) | $(2,252,620) | |
* Includes foreign capital gain taxes | $ (68,748) | $ — | |
** Includes foreign deferred taxes | $ 84,431 | $ — |
SPDR Bloomberg Barclays International Treasury Bond ETF | SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||
$ 7,795,670 | $ 906,112 | $ 3,987,375 | ||
1,396 | 778 | 1,031 | ||
12 | — | — | ||
1,968 | — | — | ||
(154,893) | (31,866) | (10,863) | ||
7,644,153 | 875,024 | 3,977,543 | ||
1,571,524 | 441,151 | 878,537 | ||
1,323 | — | — | ||
1,572,847 | 441,151 | 878,537 | ||
$ 6,071,306 | $ 433,873 | $ 3,099,006 | ||
(5,453,873) | (4,814,399) | (12,485,538) | ||
(3,533,611) | (1,064,260) | 2,650,176 | ||
— | — | — | ||
10,695,384 | (101,910) | (780,585) | ||
1,707,900 | (5,980,569) | (10,615,947) | ||
1,898,985 | 120,199 | (12,585,832) | ||
— | — | — | ||
(12,068,750) | (40,274) | (59,427) | ||
(10,169,765) | 79,925 | (12,645,259) | ||
(8,461,865) | (5,900,644) | (23,261,206) | ||
$ (2,390,559) | $(5,466,771) | $(20,162,200) | ||
$ (15,307) | $ (11,259) | $ (6,004) | ||
$ 22,768 | $ 2,853 | $ 42,500 |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | |||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||
Net investment income (loss) | $ 21,484,141 | $ 20,770,689 | $ 36,200,827 | ||
Net realized gain (loss) | 3,348,336,854 | (21,114,549) | (23,459,125) | ||
Net change in unrealized appreciation/depreciation | (3,422,839,565) | 27,339,901 | 40,737,222 | ||
Net increase (decrease) in net assets resulting from operations | (53,018,570) | 26,996,041 | 53,478,924 | ||
Distributions to shareholders: | (16,305,936) | (1,987,352) | (18,596,461) | ||
Return of capital | — | (21,574,785) | (12,351,842) | ||
Total Distributions to shareholders | (16,305,936) | (23,562,137) | (30,948,303) | ||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||
Proceeds from shares sold | 147,489,918 | 222,765,636 | 283,813,595 | ||
Cost of shares redeemed | (353,921,776) | (21,644,038) | (16,273,520) | ||
Other Capital | 465,209 | 335,816 | 591,371 | ||
Net increase (decrease) in net assets from beneficial interest transactions | (205,966,649) | 201,457,414 | 268,131,446 | ||
Contribution from Affiliate (Note 5) | — | — | 142,298 | ||
Net increase (decrease) in net assets during the period | (275,291,155) | 204,891,318 | 290,804,365 | ||
Net assets at beginning of period | 1,015,629,038 | 810,737,720 | 519,933,355 | ||
NET ASSETS AT END OF PERIOD | $ 740,337,883 | $1,015,629,038 | $810,737,720 | ||
SHARES OF BENEFICIAL INTEREST: | |||||
Shares sold | 5,400,000 | 8,100,000 | 10,600,000 | ||
Shares redeemed | (13,700,000) | (800,000) | (600,000) | ||
Net increase (decrease) from share transactions | (8,300,000) | 7,300,000 | 10,000,000 |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays International Corporate Bond ETF | SPDR Bloomberg Barclays International Treasury Bond ETF | |||||||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | |||||
$ 575,003 | $ 721,641 | $ 1,628,186 | $ 6,071,306 | $ 7,133,359 | $ 15,953,339 | |||||
(2,828,330) | (1,475,355) | (6,055,393) | 1,707,900 | (2,204,516) | (17,770,790) | |||||
707 | 814,963 | 5,954,873 | (10,169,765) | (3,085,816) | 51,709,951 | |||||
(2,252,620) | 61,249 | 1,527,666 | (2,390,559) | 1,843,027 | 49,892,500 | |||||
(390,349) | (499,181) | — | (4,161,666) | (7,025,941) | (13,509,746) | |||||
— | (159,224) | (1,352,194) | — | — | — | |||||
(390,349) | (658,405) | (1,352,194) | (4,161,666) | (7,025,941) | (13,509,746) | |||||
16,805,151 | 46,924,212 | 9,941,724 | 31,813,700 | 89,142,321 | 296,314,744 | |||||
(60,177,217) | (23,493,520) | (73,064,672) | (300,066,124) | (178,026,850) | (729,733,193) | |||||
385 | 81,587 | 19,650 | 242,045 | 56,593 | 270,459 | |||||
(43,371,681) | 23,512,279 | (63,103,298) | (268,010,379) | (88,827,936) | (433,147,990) | |||||
— | — | — | — | — | — | |||||
(46,014,650) | 22,915,123 | (62,927,826) | (274,562,604) | (94,010,850) | (396,765,236) | |||||
190,272,946 | 167,357,823 | 230,285,649 | 1,028,854,973 | 1,122,865,823 | 1,519,631,059 | |||||
$144,258,296 | $190,272,946 | $167,357,823 | $ 754,292,369 | $1,028,854,973 | $1,122,865,823 | |||||
500,000 | 1,400,000 | 300,000 | 1,100,000 | 3,100,000 | 10,700,000 | |||||
(1,800,000) | (700,000) | (2,200,000) | (10,700,000) | (6,200,000) | (26,300,000) | |||||
(1,300,000) | 700,000 | (1,900,000) | (9,600,000) | (3,100,000) | (15,600,000) |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | |||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | |||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||
Net investment income (loss) | $ 433,873 | $ 650,533 | $ 1,439,783 | ||
$Net realized gain (loss) | (5,980,569) | (3,250,719) | (2,158,472) | ||
Net change in unrealized appreciation/depreciation | 79,925 | 1,721,876 | 1,978,189 | ||
Net increase (decrease) in net assets resulting from operations | (5,466,771) | (878,310) | 1,259,500 | ||
Distributions to shareholders: | (281,867) | — | (3,097,036) | ||
Return of capital | — | (667,017) | (606,203) | ||
Total Distributions to shareholders | (281,867) | (667,017) | (3,703,239) | ||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||
Proceeds from shares sold | 24,375,784 | 33,490,820 | 64,766,646 | ||
Cost of shares redeemed | (65,608,409) | (30,583,886) | (96,823,406) | ||
Other Capital | 35,988 | 16,994 | 35,702 | ||
Net increase (decrease) in net assets from beneficial interest transactions | (41,196,637) | 2,923,928 | (32,021,058) | ||
Net increase (decrease) in net assets during the period | (46,945,275) | 1,378,601 | (34,464,797) | ||
Net assets at beginning of period | 299,496,297 | 298,117,696 | 332,582,493 | ||
NET ASSETS AT END OF PERIOD | $252,551,022 | $299,496,297 | $298,117,696 | ||
SHARES OF BENEFICIAL INTEREST: | |||||
Shares sold | 800,000 | 1,100,000 | 2,100,000 | ||
Shares redeemed | (2,200,000) | (1,000,000) | (3,100,000) | ||
Net increase (decrease) from share transactions | (1,400,000) | 100,000 | (1,000,000) |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR FTSE International Government Inflation-Protected Bond ETF | ||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | ||
$ 3,099,006 | $ 5,438,873 | $ 16,759,415 | ||
(10,615,947) | 1,352,754 | (27,735,476) | ||
(12,645,259) | (46,949) | 28,930,152 | ||
(20,162,200) | 6,744,678 | 17,954,091 | ||
(2,354,246) | (7,249,343) | — | ||
— | (138,032) | (16,623,886) | ||
(2,354,246) | (7,387,375) | (16,623,886) | ||
— | 11,029,696 | 21,554,235 | ||
(72,984,516) | (54,943,938) | (115,583,422) | ||
93,962 | 59,664 | 254,750 | ||
(72,890,554) | (43,854,578) | (93,774,437) | ||
(95,407,000) | (44,497,275) | (92,444,232) | ||
431,216,492 | 475,713,767 | 568,157,999 | ||
$335,809,492 | $431,216,492 | $ 475,713,767 | ||
— | 200,000 | 400,000 | ||
(1,400,000) | (1,000,000) | (2,200,000) | ||
(1,400,000) | (800,000) | (1,800,000) |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | |||||||
Net asset value, beginning of period | $ 27.83 | $ 27.76 | $ 27.08 | $ 28.99 | $ 27.74 | $ 27.08 | $ 31.25 | ||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss) | 0.59 | 0.65 | 1.51 | 1.41 | 1.38 | 1.47 | 1.43 | ||||||
Net realized and unrealized gain (loss) (b) | (1.74) | 0.15 | 0.45 | (2.28) | (0.18) | (0.90) | (5.64) | ||||||
Total from investment operations | (1.15) | 0.80 | 1.96 | (0.87) | 1.20 | 0.57 | (4.21) | ||||||
Contribution from Affiliate | — | — | 0.01 | — | — | — | — | ||||||
Other capital (c) | 0.01 | 0.01 | 0.02 | 0.06 | 0.05 | 0.09 | 0.04 | ||||||
Distributions to shareholders from: | |||||||||||||
Net investment income | (0.44) | (0.07) | (0.79) | (0.67) | — | — | — | ||||||
Return of Capital | — | (0.67) | (0.52) | (0.43) | — | — | — | ||||||
Total distributions | (0.44) | (0.74) | (1.31) | (1.10) | — | — | — | ||||||
Net asset value, end of period | $ 26.25 | $ 27.83 | $ 27.76 | $ 27.08 | $ 28.99 | $ 27.74 | $ 27.08 | ||||||
Total return (d) | (4.03)% | 2.94% | 7.70%(e) | (3.03)% | 4.49% | 2.44% | (13.35)% | ||||||
Ratios and Supplemental Data: | |||||||||||||
Net assets, end of period (in 000s) | $740,338 | $1,015,629 | $810,738 | $519,933 | $130,438 | $205,272 | $97,487 | ||||||
Ratios to average net assets: | |||||||||||||
Total expenses | 0.30%(f) | 0.30%(f) | 0.39% | 0.41% | 0.47% | 0.50% | 0.500% | ||||||
Net expenses | 0.30%(f) | 0.30%(f) | 0.38% | 0.41% | 0.46% | 0.50% | 0.50% | ||||||
Net investment income (loss) | 4.49%(f) | 4.69%(f) | 5.68% | 4.81% | 4.95% | 5.67% | 4.94% | ||||||
Portfolio turnover rate (g) | 25%(h) | 18%(h) | 43% | 83% | 42% | 44% | 35% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | If an Affiliate had not made a contribution during the year ended June 30, 2019, the total return would have been 7.66%. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays International Corporate Bond ETF | |||||||||||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | |||||||
Net asset value, beginning of period | $ 33.98 | $ 34.15 | $ 33.87 | $ 33.17 | $ 32.44 | $ 31.34 | $ 37.68 | ||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss) | 0.11 | 0.14 | 0.29 | 0.25 | 0.42 | 0.57 | 0.49 | ||||||
Net realized and unrealized gain (loss) (b) | (0.46) | (0.20) | 0.23 | 0.63 | 0.30 | 0.53 | (6.50) | ||||||
Total from investment operations | (0.35) | (0.06) | 0.52 | 0.88 | 0.72 | 1.10 | (6.01) | ||||||
Other capital (c) | 0.00 | 0.02 | 0.00(d) | 0.04 | 0.01 | (0.00)(d) | 0.01 | ||||||
Distributions to shareholders from: | |||||||||||||
Net investment income | (0.08) | (0.10) | — | (0.22) | — | (0.00)(d) | (0.33) | ||||||
Net realized gains | — | — | — | — | (0.00)(d) | — | (0.01) | ||||||
Return of Capital | — | (0.03) | (0.24) | — | — | — | — | ||||||
Total distributions | (0.08) | (0.13) | (0.24) | (0.22) | (0.00)(d) | (0.00)(d) | (0.34) | ||||||
Net asset value, end of period | $ 33.55 | $ 33.98 | $ 34.15 | $ 33.87 | $ 33.17 | $ 32.44 | $ 31.34 | ||||||
Total return (e) | (1.03)% | (0.15)% | 1.59% | 2.71% | 2.26% | 3.54% | (16.02)% | ||||||
Ratios and Supplemental Data: | |||||||||||||
Net assets, end of period (in 000s) | $144,258 | $190,273 | $167,358 | $230,286 | $149,286 | $139,508 | $191,155 | ||||||
Ratios to average net assets: | |||||||||||||
Total expenses | 0.50%(f) | 0.50%(f) | 0.51% | 0.50% | 0.50% | 0.50% | 0.54% | ||||||
Net investment income (loss) | 0.70%(f) | 0.81%(f) | 0.88% | 0.72% | 1.30% | 1.80% | 1.43% | ||||||
Portfolio turnover rate (g) | 11%(h) | 5%(h) | 16% | 23% | 14% | 19% | 28% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays International Treasury Bond ETF | |||||||||||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | |||||||
Net asset value, beginning of period | $ 28.74 | $ 28.87 | $ 27.88 | $ 27.56 | $ 28.60 | $ 26.08 | $ 30.34 | ||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss) (b) | 0.19 | 0.19 | 0.39 | 0.31 | 0.46 | 0.50 | 0.46 | ||||||
Net realized and unrealized gain (loss) (c) | (0.02) | (0.13) | 0.92 | 0.24 | (1.51) | 2.01 | (4.37) | ||||||
Total from investment operations | 0.17 | 0.06 | 1.31 | 0.55 | (1.05) | 2.51 | (3.91) | ||||||
Net equalization credits and charges (b) | — | — | — | — | — | — | (0.02) | ||||||
Other capital (b) | 0.01 | 0.00(d) | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | ||||||
Distributions to shareholders from: | |||||||||||||
Net investment income | (0.13) | (0.19) | (0.33) | (0.24) | — | — | (0.18) | ||||||
Net realized gains | — | — | — | — | — | — | (0.16) | ||||||
Total distributions | (0.13) | (0.19) | (0.33) | (0.24) | — | — | (0.34) | ||||||
Net asset value, end of period | $ 28.79 | $ 28.74 | $ 28.87 | $ 27.88 | $ 27.56 | $ 28.60 | $ 26.08 | ||||||
Total return (e) | 0.64% | 0.20% | 4.78% | 2.02% | (3.61)% | 9.67% | (13.01)% | ||||||
Ratios and Supplemental Data: | |||||||||||||
Net assets, end of period (in 000s) | $754,292 | $1,028,855 | $1,122,866 | $1,519,631 | $1,568,418 | $1,675,762 | $1,449,792 | ||||||
Ratios to average net assets: | |||||||||||||
Total expenses | 0.35%(f) | 0.35%(f) | 0.38% | 0.50% | 0.50% | 0.50% | 0.50% | ||||||
Net investment income (loss) | 1.35%(f) | 1.31%(f) | 1.42% | 1.09% | 1.46% | 1.86% | 1.62% | ||||||
Portfolio turnover rate (g) | 7%(h) | 7%(h) | 18% | 29% | 25% | 24% | 19% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | |||||||||||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | |||||||
Net asset value, beginning of period | $ 30.88 | $ 31.05 | $ 31.38 | $ 31.23 | $ 31.48 | $ 30.71 | $ 36.48 | ||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss) (b) | 0.05 | 0.07 | 0.16 | 0.00(c) | 0.03 | 0.17 | 0.19 | ||||||
Net realized and unrealized gain (loss) (d) | (0.47) | (0.17) | (0.10) | 0.28 | (0.42) | 0.59 | (5.91) | ||||||
Total from investment operations | (0.42) | (0.10) | 0.06 | 0.28 | (0.39) | 0.76 | (5.72) | ||||||
Net equalization credits and charges (b) | — | — | — | — | — | — | (0.01) | ||||||
Voluntary contribution from Adviser | — | — | — | — | 0.18 | — | — | ||||||
Other capital (b) | 0.00(c) | 0.00(c) | 0.00(c) | 0.01 | 0.00(c) | 0.03 | 0.02 | ||||||
Distributions to shareholders from: | |||||||||||||
Net investment income | (0.03) | — | (0.33) | (0.14) | — | — | (0.01) | ||||||
Net realized gains | — | — | — | — | (0.04) | (0.02) | (0.05) | ||||||
Return of Capital | — | (0.07) | (0.06) | — | — | — | — | ||||||
Total distributions | (0.03) | (0.07) | (0.39) | (0.14) | (0.04) | (0.02) | (0.06) | ||||||
Net asset value, end of period | $ 30.43 | $ 30.88 | $ 31.05 | $ 31.38 | $ 31.23 | $ 31.48 | $ 30.71 | ||||||
Total return (e) | (1.34)% | (0.36)% | 0.21% | 0.90% | (0.66)%(f) | 2.56% | (15.67)% | ||||||
Ratios and Supplemental Data: | |||||||||||||
Net assets, end of period (in 000s) | $252,551 | $299,496 | $298,118 | $332,582 | $196,749 | $182,560 | $199,591 | ||||||
Ratios to average net assets: | |||||||||||||
Total expenses | 0.35%(g) | 0.35%(g) | 0.36% | 0.35% | 0.35% | 0.35% | 0.35% | ||||||
Net investment income (loss) | 0.34%(g) | 0.43%(g) | 0.51% | 0.01% | 0.11% | 0.55% | 0.59% | ||||||
Portfolio turnover rate (h) | 36%(i) | 31%(i) | 66% | 63% | 74% | 85% | 83% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amount is less than $0.005 per share. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If the Adviser had not made a one-time voluntary contribution during the period ended June 30, 2017, the total return would have been (1.24)%. |
(g) | Annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
SPDR FTSE International Government Inflation-Protected Bond ETF | |||||||||||||
Six-Months Ended 6/30/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | |||||||
Net asset value, beginning of period | $ 55.28 | $ 55.31 | $ 54.63 | $ 55.75 | $ 55.13 | $ 54.61 | $ 62.28 | ||||||
Income (loss) from investment operations: | |||||||||||||
Net investment income (loss) (b) | 0.46 | 0.66 | 1.92 | 1.73 | 1.86 | 1.39 | 1.36 | ||||||
Net realized and unrealized gain (loss) (c) | (2.93) | 0.19 | 0.57 | (1.11) | (0.65) | (0.37) | (8.43) | ||||||
Total from investment operations | (2.47) | 0.85 | 2.49 | 0.62 | 1.21 | 1.02 | (7.07) | ||||||
Contribution from Affiliate | — | — | — | 0.00(d) | — | — | — | ||||||
Other capital (b) | 0.01 | 0.01 | 0.03 | 0.11 | 0.07 | 0.08 | 0.10 | ||||||
Distributions to shareholders from: | |||||||||||||
Net investment income | (0.35) | (0.87) | — | (1.18) | — | (0.05) | (0.43) | ||||||
Net realized gains | — | — | — | (0.47) | (0.66) | (0.53) | (0.27) | ||||||
Return of Capital | — | (0.02) | (1.84) | (0.20) | — | — | — | ||||||
Total distributions | (0.35) | (0.89) | (1.84) | (1.85) | (0.66) | (0.58) | (0.70) | ||||||
Net asset value, end of period | $ 52.47 | $ 55.28 | $ 55.31 | $ 54.63 | $ 55.75 | $ 55.13 | $ 54.61 | ||||||
Total return (e) | (4.47)% | 1.58% | 4.78% | 1.21% | 2.39% | 2.12% | (11.25)% | ||||||
Ratios and Supplemental Data: | |||||||||||||
Net assets, end of period (in 000s) | $335,809 | $431,216 | $475,714 | $568,158 | $496,236 | $617,443 | $769,996 | ||||||
Ratios to average net assets: | |||||||||||||
Total expenses | 0.50%(f) | 0.50%(f) | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | ||||||
Net investment income (loss) | 1.76%(f) | 2.39%(f) | 3.60% | 3.02% | 3.39% | 2.63% | 2.35% | ||||||
Portfolio turnover rate (g) | 17%(h) | 8%(h) | 37% | 32% | 42% | 52% | 36% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF |
SPDR Bloomberg Barclays International Corporate Bond ETF |
SPDR Bloomberg Barclays International Treasury Bond ETF |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF |
SPDR FTSE International Government Inflation-Protected Bond ETF |
Funds | Strategies |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | Efficient portfolio management to reduce the currency deviation of the fund versus the Index |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $88,534 | $— | $— | $— | $88,534 |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $(117,695) | $— | $— | $— | $(117,695) |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $40,892 | $— | $— | $— | $40,892 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $(135,745) | $— | $— | $— | $(135,745) |
Offsetting of Financial Assets and Derivative Assets | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Barclays Capital | $ 6,458 | $ — | $— | $ 6,458 | ||||
Citibank N.A. | 4,423 | — | — | 4,423 | ||||
Goldman Sachs Capital Markets L.P. | 879 | (879) | — | — | ||||
HSBC Bank USA | 6,166 | (3,091) | — | 3,075 | ||||
JP Morgan Chase Bank, N.A. | 60,320 | (60,320) | — | — | ||||
Societe Generale | 2,522 | (2,522) | — | — | ||||
Standard Chartered Bank | 7,766 | (7,766) | — | — | ||||
$88,534 | $(74,578) | $— | $13,956 |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Goldman Sachs Capital Markets L.P. | $ (1,869) | $ 879 | $— | $ (990) | ||||
HSBC Bank USA | (3,091) | 3,091 | — | — | ||||
JP Morgan Chase Bank, N.A. | (76,006) | 60,320 | — | (15,686) | ||||
Societe Generale | (2,933) | 2,522 | — | (411) | ||||
Standard Chartered Bank | (27,569) | 7,766 | — | (19,803) | ||||
Westpac Banking Corp. | (6,227) | — | — | (6,227) | ||||
$(117,695) | $74,578 | $— | $(43,117) |
Annual Rate | |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 0.30% |
SPDR Bloomberg Barclays International Corporate Bond ETF | 0.50 |
SPDR Bloomberg Barclays International Treasury Bond ETF | 0.35 |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | 0.35 |
SPDR FTSE International Government Inflation-Protected Bond ETF | 0.50 |
Purchases | Sales | ||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | $229,118,477 | $343,832,295 | |
SPDR Bloomberg Barclays International Corporate Bond ETF | 17,890,770 | 33,557,044 | |
SPDR Bloomberg Barclays International Treasury Bond ETF | 63,897,394 | 101,707,687 | |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | 91,629,614 | 92,939,980 | |
SPDR FTSE International Government Inflation-Protected Bond ETF | 61,678,302 | 92,736,659 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | $38,823,865 | $118,522,627 | $ 3,107,563 | ||
SPDR Bloomberg Barclays International Corporate Bond ETF | 16,540,068 | 42,794,727 | (209,028) | ||
SPDR Bloomberg Barclays International Treasury Bond ETF | 27,328,712 | 243,787,051 | (3,533,611) | ||
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | 18,933,124 | 47,353,699 | (1,064,260) | ||
SPDR FTSE International Government Inflation-Protected Bond ETF | — | 43,854,550 | 2,650,176 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | $748,179,062 | $17,103,968 | $41,531,520 | $(24,427,552) | |||
SPDR Bloomberg Barclays International Corporate Bond ETF | 148,132,375 | 1,344,548 | 4,799,900 | (3,455,352) | |||
SPDR Bloomberg Barclays International Treasury Bond ETF | 752,706,663 | 23,646,413 | 27,885,234 | (4,238,821) | |||
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | 249,496,856 | 2,087,243 | 1,473,120 | 614,123 | |||
SPDR FTSE International Government Inflation-Protected Bond ETF | 329,672,126 | 22,782,339 | 17,234,905 | 5,547,434 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||
SPDR Bloomberg Barclays International Corporate Bond ETF | $ 2,537,009 | $ 2,542,145 | $ — | $ 2,542,145 | ||||
SPDR Bloomberg Barclays International Treasury Bond ETF | 663,336 | 673,530 | — | 673,530 |
Remaining Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
SPDR Bloomberg Barclays International Corporate Bond ETF | Corporate Bonds & Notes | $2,542,145 | $— | $— | $— | $2,542,145 | $2,542,145 | |||||||
SPDR Bloomberg Barclays International Treasury Bond ETF | Foreign Government Obligations | 673,530 | — | — | — | 673,530 | 673,530 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 0.30% | $ 959.70 | $1.46 | $1,023.40 | $1.51 | ||||
SPDR Bloomberg Barclays International Corporate Bond ETF | 0.50 | 989.70 | 2.47 | 1,022.40 | 2.51 | ||||
SPDR Bloomberg Barclays International Treasury Bond ETF | 0.35 | 1,000.00 | 1.74 | 1,023.10 | 1.76 | ||||
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | 0.35 | 986.60 | 1.73 | 1,023.10 | 1.76 | ||||
SPDR FTSE International Government Inflation- Protected Bond ETF | 0.50 | 955.30 | 2.43 | 1,022.40 | 2.51 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
and Transfer Agent
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
One Iron Street
Boston, MA 02210
Item 2. Code of Ethics.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 6. Investments.
(a) | A Schedule of Investments for each applicable series of the registrant is included as a part of the report to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed 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”) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are 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.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) | Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report. |
(a)(2) |
(a)(3) | Not applicable to the registrant. |
(a)(4) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SPDR® Series Trust
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | September 3, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | September 3, 2020 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | September 3, 2020 |