UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-23222
HARTFORD FUNDS EXCHANGE-TRADED TRUST
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania 19087
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (610)386-4068
Date of fiscal year end: July 31
Date of reporting period: January 31, 2019
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
A MESSAGE FROM THE PRESIDENT
Dear Fellow Shareholders:
Thank you for investing in Hartford Exchange-Traded Funds. The following is the Funds’ Semi-Annual Report, covering the period from August 1, 2018 through January 31, 2019.
Market Review
During the six months ended January 31, 2019, U.S. stocks, as measured by the S&P 500 Index (the “Index”)1, experienced a loss of 3.00%. The market was particularly
volatile at the end of 2018, and, for the first time since 2008, the Index closed the year with a negative return.
Rising interest rates, inflation anxiety, slowing global growth, and concerns surrounding U.S. tariffs and foreign policy have all contributed to increased market volatility.
Throughout 2018, the U.S. Federal Reserve (Fed) continued its cycle of interest-rate increases. At the time of this writing, the current short-term rate is 2.5%, but the Fed recently indicated that it would not raise rates again in the near future. Last year, central banks overseas also began to unwind their accommodative policies by raising interest rates.
Domestic and foreign politics are likely to play a key role in market movements in 2019. For example, ongoing trade tensions with China could impact U.S. markets significantly. Late December 2018 well into January 2019 saw the longest government shutdown in U.S. history, as the divided government failed to reach a budget agreement due to disagreement surrounding the construction of a U.S.-Mexico border wall. Abroad, uncertainties surrounding the future of the “Brexit” undertaking for the United Kingdom to leave the European Union may impact global markets.
Despite increased volatility, unemployment remains low in the U.S. and the U.S. economy currently continues to exhibit a strong job market, increases in wages, and business optimism.
We encourage you to maintain a strong relationship with your financial advisor, who can help guide you through shifting markets confidently. He or she can help you proactively build a portfolio that takes market uncertainty into account, along with your unique investment goals and risk tolerances. Your advisor can help you find a fit within our family of funds as you work toward those goals.
Thank you again for investing in Hartford Exchange-Traded Funds. For the mostup-to-date information on our funds, please take advantage of all the resources available at hartfordfunds.com.
James Davey
President
Hartford Funds
1 | S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. The index is unmanaged and not available for direct investment. Past performance is not indicative of future results. |
Hartford Active Fixed Income ETFs
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How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records | 63 | |||
63 |
Hartford Municipal Opportunities ETF |
January 31, 2019 (Unaudited)
inception 12/13/2017 (sub-advised by Wellington Management Company LLP) | Investment objective – The Fund seeks to provide current income that is generally exempt from federal income taxes and long-term total return. |
The chart above represents the hypothetical growth of a $10,000 investment in the Fund.
Average Annual Total Returns
for the Periods Ending1/31/19
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Municipal Opportunities ETF (NAV Return) | 2.15% | 3.36% | 2.43% | |||||||||
Municipal Opportunities ETF (Market Price Return) | 2.07% | 2.94% | 2.36% | |||||||||
Bloomberg Barclays Municipal Bond1-15 Year Blend(1-17) Index | 2.19% | 3.34% | 2.19% |
1 | Not Annualized |
2 | Inception: 12/13/2017. |
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recentmonth-end, please visit our website www.hartfordfunds.com.
Total returns are calculated using the daily 4:00 pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.
The Fund’s Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Owners of the Shares may acquire those Shares from the Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.
Bloomberg Barclays Municipal Bond1-15 Year Blend(1-17) Index(reflects no deduction for fees, expenses or taxes) is asub-index of the Bloomberg Barclays Municipal Bond Index. It is a rules-based market value-weighted index of bonds with maturities of one year to 17 years engineered for thetax-exempt bond market.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.30%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2019.
Important Risks
Investing involves risk, including the possible loss of principal. The net asset value (NAV) of the Fund’s shares may fluctuate due to changes in the market value of the Fund’s holdings. The Fund’s share price may fluctuate due to changes in the relative supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index.• Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall.• Investments in high-yield (“junk”) bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities.• Municipal securities may be adversely impacted by state/local, political, economic, or market conditions. Investors may be subject to the federal Alternative Minimum Tax as well as state and local income taxes. Capital gains, if any, are taxable.• In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or
| 2 |
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Hartford Municipal Opportunities ETF |
Fund Overview – (continued)
January 31, 2019 (Unaudited)
wholly for cash, rather thanin-kind, which may make the Fund lesstax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition of Municipal Bonds(1)
as of January 31, 2019
Municipal Bonds | Percentage of Net Assets | |||
Airport | 9.3 | % | ||
Development | 0.6 | |||
Education | 2.2 | |||
Facilities | 0.6 | |||
General Obligation | 12.8 | |||
Higher Education | 2.4 | |||
Housing | 1.0 | |||
Medical | 5.5 | |||
Mello-Roos District | 0.1 | |||
Nursing Homes | 2.5 | |||
Other(2) | 16.5 | |||
Pollution | 1.6 | |||
Power | 7.0 | |||
School District | 10.1 | |||
Single Family Housing | 4.1 | |||
Tobacco | 3.1 | |||
Transportation | 9.4 | |||
Utilities | 2.7 | |||
Water | 2.6 | |||
Short-Term Investments | 5.9 | |||
|
| |||
Total | 100.0 | % | ||
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(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | Other refers to Special Tax District Bonds, Tax Increment Bonds and certain Community Development District bonds. |
| 3 |
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Hartford SchrodersTax-Aware Bond ETF |
Fund Overview
January 31, 2019 (Unaudited)
inception 04/18/2018 (sub-advised by Schroder Investment Management North America Inc.) | Investment objective – The Fund seeks total return on anafter-tax basis. |
The chart above represents the hypothetical growth of a $10,000 investment in the Fund.
Cumulative Total Returns
for the Periods Ending1/31/19
6 Months1 | Since Inception2 | |||||||
Tax-Aware Bond ETF (NAV Return) | 2.46% | 2.85% | ||||||
Tax-Aware Bond ETF (Market Price Return) | 2.06% | 2.54% | ||||||
Bloomberg Barclays Municipal Bond Index | 2.05% | 3.05% |
1 | Not Annualized |
2 | Inception: 04/18/2018. Cumulative returns not annualized. |
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recentmonth-end, please visit our website www.hartfordfunds.com.
Total returns are calculated using the daily 4:00 pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.
The Fund’s Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Owners of the Shares may acquire those Shares from the Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.
Bloomberg Barclays Municipal Bond Index(reflects no deduction for fees, expenses or taxes) is designed to cover the USD-denominated long-term tax exempt bond market.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.39%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2019.
Important Risks
The Fund is new and has a limited operating history. Investing involves risk, including the possible loss of principal. The net asset value (NAV) of the Fund’s shares may fluctuate due to changes in the market value of the Fund’s holdings. The Fund’s share price may fluctuate due to changes in the relative supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index.• Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall.• Mortgage related- and asset-backed securities’ risks include credit, interest-rate, prepayment, and extension risk.• The purchase of securities in theTo-Be-Announced (TBA) market can result in additional price and counterparty risk.• Obligations of U.S. Government agencies are supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government.• Derivatives are generally more volatile and sensitive to changes in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index, pricing, and counterparty risk.• Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments.
| 4 |
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Hartford SchrodersTax-Aware Bond ETF |
Fund Overview – (continued)
January 31, 2019 (Unaudited)
• Municipal securities may be adversely impacted by state/local, political, economic, or market conditions; these risks may be magnified if the Fund focuses its assets in municipal securities of issuers in a few select states. Investors may be subject to the federal Alternative Minimum Tax as well as state and local income taxes. Capital gains, if any, are taxable.• In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather thanin-kind, which may make the Fund lesstax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition by Security Type(1)
as of January 31, 2019
Category | Percentage of Net Assets | |||
Fixed Income Securities |
| |||
Corporate Bonds | 12.6 | % | ||
Municipal Bonds | 75.9 | |||
U.S. Government Agencies | 6.0 | |||
U.S. Government Securities | 3.8 | |||
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Total | 98.3 | % | ||
|
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Short-Term Investments | 1.8 | |||
Other Assets & Liabilities | (0.1 | ) | ||
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Total | 100.0 | % | ||
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(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| 5 |
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Hartford Short Duration ETF |
Fund Overview
January 31, 2019 (Unaudited)
inception 05/30/2018 (sub-advised by Wellington Management Company LLP) | Investment objective – The Fund seeks to provide current income and long-term total return. |
The chart above represents the hypothetical growth of a $10,000 investment in the Fund.
Cumulative Total Returns
for the Periods Ending1/31/19
6 Months1 | Since Inception2 | |||||||
Short Duration ETF (NAV Return) | 1.57% | 1.88% | ||||||
Short Duration ETF (Market Price Return) | 1.67% | 2.03% | ||||||
Bloomberg Barclays1-3 Year U.S. Government/Credit Index | 1.86% | 1.93% |
1 | Not Annualized |
2 | Inception: 05/30/2018. Cumulative returns not annualized. |
Information regarding how often shares of the Fund traded on Cboe BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recentmonth-end, please visit our website www.hartfordfunds.com.
Total returns are calculated using the daily 4:00 pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.
The Fund’s Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Owners of the Shares may acquire those Shares from the Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.
Bloomberg Barclays1-3 Year U.S. Government/Credit Index(reflects no deduction for fees, expenses or taxes) is an unmanaged index comprised of the U.S. Government/Credit component of the U.S. Aggregate Index. The1-3 Year Government/Credit Index includes securities in the1-3 year maturity range in the Government/Credit Index.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.32%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2019.
Important Risks
The Fund is new and has a limited operating history. Investing involves risk, including the possible loss of principal. As part of its investment strategy, the Fund may allocate a portion of its assets among specialist portfolio managers. The net asset value (NAV) of the Fund’s shares may fluctuate due to changes in the market value of the Fund’s holdings. The Fund’s share price may fluctuate due to changes in the relative supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index.• Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall.• Loans can be difficult to value and highly illiquid; they are also subject to nonpayment, collateral, bankruptcy, default, extension, prepayment and insolvency risks.• Obligations of U.S. Government agencies are supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government.
| 6 |
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Hartford Short Duration ETF |
Fund Overview – (continued)
January 31, 2019 (Unaudited)
• Investments in high-yield (“junk”) bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities.• The risks associated with mortgage related- and asset-backed securities as well as collateralized loan obligations (CLOs) include credit, interest-rate, prepayment, liquidity, default and extension risk.• Derivatives are generally more volatile and sensitive to changes in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index, pricing, and counterparty risk.• Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments.• Privately placed, restricted (Rule 144A) securities may be more difficult to sell and price than other securities.• In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather thanin-kind, which may make the Fund lesstax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition by Security Type(1)
as of January 31, 2019
Category | Percentage of Net Assets | |||
Fixed Income Securities |
| |||
Asset & Commercial Mortgage Backed Securities | 9.2 | % | ||
Corporate Bonds | 60.1 | |||
Senior Floating Rate Interests | 22.3 | |||
U.S. Government Agencies | 9.6 | |||
|
| |||
Total | 101.2 | % | ||
|
| |||
Short-Term Investments | 1.8 | |||
Other Assets & Liabilities | (3.0 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| 7 |
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Hartford Total Return Bond ETF |
Fund Overview
January 31, 2019 (Unaudited)
inception 09/27/2017 (sub-advised by Wellington Management Company LLP) | Investment objective – The Fund seeks a competitive total return, with income as a secondary objective. |
The chart above represents the hypothetical growth of a $10,000 investment in the Fund.
Average Annual Total Returns
for the Periods Ending1/31/19
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Total Return Bond ETF (NAV Return) | 2.24% | 1.95% | 1.12% | |||||||||
Total Return Bond Fund (Market Price Return) | 2.09% | 1.69% | 0.99% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 2.71% | 2.25% | 1.14% |
1 | Not Annualized |
2 | Inception: 09/27/2017. |
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at www.hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recentmonth-end, please visit our website www.hartfordfunds.com.
Total returns are calculated using the daily 4:00 pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.
The Fund’s Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Owners of the Shares may acquire those Shares from the Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.
Bloomberg Barclays U.S. Aggregate Bond Index(reflects no deduction for fees, expenses or taxes) is an unmanaged index and is composed of securities that are SEC – registered, taxable, and dollar denominated. The index covers the U.S. investment grade
fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus, as supplemented, was 0.30%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2019.
Important Risks
Investing involves risk, including the possible loss of principal. The Fund seeks to achieve its investment objective by allocating assets among different portfolio management teams. The net asset value (NAV) of the Fund’s shares may fluctuate due to changes in the market value of the Fund’s holdings. The Fund’s share price may fluctuate due to changes in the relative supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. • Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall.• Investments in high-yield (“junk”) bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities. • Obligations of U.S. Government agencies are supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government. • The risks associated with mortgage related- and asset-backed securities as well as collateralized loan obligations (CLOs) include credit, interest-rate,
| 8 |
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Hartford Total Return Bond ETF |
Fund Overview – (continued)
January 31, 2019 (Unaudited)
prepayment, liquidity, credit and extension risks.• The Fund may purchase securities inthe To-Be-Announced (TBA) market, which can subject the Fund to additional price and counterparty risk. • Derivatives are generally more volatile and sensitive to changes in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index, pricing, and counterparty risk.• Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be greater for investments in emerging markets.• Privately placed, restricted (Rule 144A) securities may be more difficult to sell and price than other securities.• In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather thanin-kind, which may make the Fund lesstax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition by Security Type(1)
as of January 31, 2019
Category | Percentage of Net Assets | |||
Fixed Income Securities |
| |||
Asset & Commercial Mortgage Backed Securities | 22.7 | % | ||
Corporate Bonds | 31.9 | |||
Foreign Government Obligations | 8.0 | |||
Municipal Bonds | 0.5 | |||
Senior Floating Rate Interests | 4.6 | |||
U.S. Government Agencies | 50.3 | |||
U.S. Government Securities | 25.4 | |||
|
| |||
Total | 143.4 | % | ||
|
| |||
Short-Term Investments | 5.1 | |||
Purchased Options | 0.2 | |||
Other Assets & Liabilities | (48.7 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| 9 |
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Hartford Active Fixed Income ETFs |
Your Fund’s Expenses
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including investment management fees and certain other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period of August 1, 2018 through January 31, 2019. To the extent a Fund was subject to acquired fund fees and expenses during the period, acquired fund fees and expenses are not included in the annualized expense ratio below.
Actual Expenses
The first set of columns of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second set of columns of the table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the second set of columns of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would be higher. Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (including expenses of the independent trustees and their counsel, extraordinary expenses and interest expense). Expenses are equal to a Fund’s annualized expense ratio multiplied by average account value over the period, multiplied by 184/365 (to reflect theone-half year period).
Actual Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||
Beginning Account Value August 1, 2018 | Ending Account Value January 31, 2019 | Expenses paid during the period August 1, 2018 through January 31, 2019 | Beginning Account Value August 1, 2018 | Ending Account Value January 31, 2019 | Expenses paid during the period August 1, 2018 through January 31, 2019 | Annualized expense ratio | ||||||||||||||||||||||
Hartford Municipal Opportunities ETF | $ | 1,000.00 | $ | 1,021.50 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | 0.29 | % | ||||||||||||||
Hartford SchrodersTax-Aware Bond ETF | $ | 1,000.00 | $ | 1,024.60 | $ | 1.99 | $ | 1,000.00 | $ | 1,023.24 | $ | 1.99 | 0.39 | % | ||||||||||||||
Hartford Short Duration ETF | $ | 1,000.00 | $ | 1,015.70 | $ | 1.47 | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | 0.29 | % | ||||||||||||||
Hartford Total Return Bond ETF | $ | 1,000.00 | $ | 1,022.40 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | 0.29 | % |
| 10 |
|
Hartford Municipal Opportunities ETF |
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 94.1% | ||||||||||
Alabama - 2.5% | ||||||||||
$ | 1,100,000 | Birmingham, AL, Water Works Board Water Rev 5.00%, 01/01/2027 | $ | 1,325,973 | ||||||
90,000 | Jefferson County, AL 5.00%, 04/01/2024 | 102,538 | ||||||||
100,000 | Jefferson County, AL, Board of Education 5.00%, 02/01/2042 | 111,051 | ||||||||
1,000,000 | State of Alabama Docks Department 5.00%, 10/01/2026 | 1,151,970 | ||||||||
|
| |||||||||
2,691,532 | ||||||||||
|
| |||||||||
Arizona - 1.4% | ||||||||||
480,000 | Coconino County, AZ, Pollution Control Corp 1.80%, 09/01/2032(1) | 477,187 | ||||||||
185,000 | Maricopa County, AZ, Industrial Dev Auth 5.00%, 09/01/2031 | 214,589 | ||||||||
750,000 | Maricopa County, AZ, Pollution Control Corp. 5.00%, 06/01/2035 | 759,195 | ||||||||
110,000 | Tempe, AZ, Industrial Dev Auth 4.00%, 10/01/2023(2) | 110,416 | ||||||||
|
| |||||||||
1,561,387 | ||||||||||
|
| |||||||||
California - 4.0% | ||||||||||
145,000 | California County Tobacco Securitization Agency 5.00%, 06/01/2020 | 149,691 | ||||||||
City of Los Angeles, CA, Department of Airports |
| |||||||||
1,450,000 | 5.00%, 05/15/2035 | 1,671,908 | ||||||||
1,500,000 | 5.00%, 05/15/2040 | 1,557,345 | ||||||||
150,000 | Fresno, CA, Unified School Dist 0.00%, 08/01/2032(3) | 93,019 | ||||||||
500,000 | Golden State Tobacco Securitization Corp., CA 5.00%, 06/01/2032 | 559,630 | ||||||||
100,000 | Romoland, CA, School Dist 5.00%, 09/01/2043 | 108,384 | ||||||||
San Joaquin Hills, CA, Transportation Corridor Agency |
| |||||||||
215,000 | 0.00%, 01/15/2032(3) | 130,926 | ||||||||
70,000 | 0.00%, 01/15/2035(3) | 36,875 | ||||||||
|
| |||||||||
4,307,778 | ||||||||||
|
| |||||||||
Colorado - 2.1% | ||||||||||
720,000 | Arapahoe County, CO, School Dist No. 6 Littleton 5.50%, 12/01/2031 | 908,539 | ||||||||
175,000 | Denver Urban Renewal Auth 5.25%, 12/01/2039(2) | 174,109 | ||||||||
1,030,000 | Park Creek Metropolitan Dist 5.00%, 12/01/2029 | 1,206,048 | ||||||||
|
| |||||||||
2,288,696 | ||||||||||
|
| |||||||||
Connecticut - 3.1% | ||||||||||
100,000 | City of Bridgeport, CT 5.00%, 07/15/2034 | 112,920 | ||||||||
1,000,000 | Connecticut Housing Finance Auth 4.25%, 05/15/2042 | 1,074,740 | ||||||||
State of Connecticut |
| |||||||||
380,000 | 5.00%, 11/15/2025 | 435,328 | ||||||||
1,000,000 | 5.00%, 09/15/2027 | 1,158,200 | ||||||||
500,000 | 5.00%, 04/15/2029 | 570,220 | ||||||||
|
| |||||||||
3,351,408 | ||||||||||
|
| |||||||||
District of Columbia - 3.4% | ||||||||||
3,100,000 | District of Columbia 5.00%, 06/01/2027 | 3,699,137 | ||||||||
|
| |||||||||
Florida - 4.6% | ||||||||||
125,000 | Atlantic Beach, FL 5.00%, 11/15/2043 | 131,816 | ||||||||
1,000,000 | Greater Orlando Aviation Auth 5.00%, 10/01/2037 | 1,122,280 | ||||||||
JEA, FL, Electric System Rev |
| |||||||||
1,550,000 | 5.00%, 10/01/2022 | 1,700,551 | ||||||||
1,500,000 | 5.00%, 10/01/2028 | 1,749,855 | ||||||||
35,000 | Putnam County, FL, Development Auth 5.00%, 03/15/2042 | 38,687 | ||||||||
250,000 | South Miami, FL, Health Facs Auth 5.00%, 08/15/2019 | 254,258 | ||||||||
|
| |||||||||
4,997,447 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 94.1% - (continued) | ||||||||||
Georgia - 2.4% | ||||||||||
Burke County, GA, Development Auth Rev |
| |||||||||
$ | 1,000,000 | 2.05%, 10/01/2032(1) | $ | 978,130 | ||||||
200,000 | 3.00%, 11/01/2045(1) | 199,552 | ||||||||
200,000 | Main Street, GA, Natural Gas, Inc. 5.50%, 09/15/2023 | 226,920 | ||||||||
1,000,000 | Municipal Electric Auth, GA 5.00%, 01/01/2028 | 1,132,750 | ||||||||
|
| |||||||||
2,537,352 | ||||||||||
|
| |||||||||
Hawaii - 0.1% | ||||||||||
100,000 | State of Hawaii Airports System Rev 5.00%, 07/01/2031 | 116,286 | ||||||||
|
| |||||||||
Illinois - 12.0% | ||||||||||
Chicago, IL, Board of Education |
| |||||||||
105,000 | 0.00%, 12/01/2023(3) | 89,025 | ||||||||
110,000 | 0.00%, 12/01/2026(3) | 82,060 | ||||||||
65,000 | 5.00%, 12/01/2020 | 66,880 | ||||||||
250,000 | 5.00%, 12/01/2024 | 263,528 | ||||||||
250,000 | 5.00%, 04/01/2033 | 272,403 | ||||||||
Chicago, IL, Transit Auth |
| |||||||||
1,490,000 | 5.00%, 12/01/2021 | 1,602,152 | ||||||||
445,000 | 5.00%, 06/01/2024 | 500,736 | ||||||||
130,000 | 5.25%, 12/01/2024 | 140,205 | ||||||||
105,000 | 5.25%, 12/01/2025 | 113,003 | ||||||||
400,000 | City of Chicago, IL 5.00%, 01/01/2024 | 424,976 | ||||||||
City of Chicago, IL, Wastewater Transmission Rev | ||||||||||
90,000 | 5.00%, 01/01/2027 | 99,716 | ||||||||
50,000 | 5.50%, 01/01/2030 | 57,487 | ||||||||
100,000 | Cook County, IL, GO 5.00%, 11/15/2021 | 107,145 | ||||||||
1,075,000 | Decatur, IL, GO 5.00%, 03/01/2035 | 1,188,413 | ||||||||
205,000 | Illinois Metropolitan Pier & Exposition Auth 0.00%, 12/15/2025(3) | 159,500 | ||||||||
150,000 | Illinois State Finance Auth Rev 5.00%, 11/15/2045 | 160,200 | ||||||||
Illinois State Toll Highway Auth |
| |||||||||
150,000 | 5.00%, 01/01/2030 | 177,075 | ||||||||
500,000 | 5.00%, 01/01/2031 | 592,575 | ||||||||
Kane McHenry Cook & DeKalb Counties, IL, Unified School Dist, No. 300 | ||||||||||
1,000,000 | 5.00%, 01/01/2021 | 1,058,390 | ||||||||
100,000 | 5.00%, 01/01/2032 | 112,523 | ||||||||
150,000 | Kendall Kane & Will Counties, IL, Unified School Dist 0.00%, 02/01/2027(3) | 118,794 | ||||||||
100,000 | Metropolitan Pier & Exposition Auth, IL 0.00%, 06/15/2019(3) | 99,023 | ||||||||
Railsplitter, IL, Tobacco Settlement Auth |
| |||||||||
150,000 | 5.00%, 06/01/2022 | 163,040 | ||||||||
75,000 | 5.25%, 06/01/2021 | 80,049 | ||||||||
150,000 | Regional Transportation Auth, IL 5.00%, 06/01/2024 | 170,391 | ||||||||
500,000 | Sales Tax Securitization Corp., IL 5.00%, 01/01/2029 | 569,685 | ||||||||
State of Illinois | ||||||||||
1,040,000 | 5.00%, 03/01/2021 | 1,082,162 | ||||||||
1,250,000 | 5.00%, 06/15/2022 | 1,329,787 | ||||||||
450,000 | 5.00%, 12/01/2024 | 484,286 | ||||||||
1,000,000 | 5.00%, 02/01/2027 | 1,082,750 | ||||||||
115,000 | 5.00%, 06/15/2027 | 124,709 | ||||||||
300,000 | 5.00%, 11/01/2027 | 325,386 | ||||||||
100,000 | Village of Bolingbrook, IL 5.00%, 01/01/2028 | 117,162 | ||||||||
|
| |||||||||
13,015,216 | ||||||||||
|
| |||||||||
Iowa - 0.6% | ||||||||||
575,000 | State of Iowa, Fin Auth 5.00%, 02/15/2027 | 678,080 | ||||||||
|
| |||||||||
Kentucky - 1.4% | ||||||||||
110,000 | Kentucky Bond Dev Corp. 5.00%, 09/01/2023 | 123,709 | ||||||||
100,000 | Kentucky Public Energy Auth 4.00%, 01/01/2049(1) | 106,606 |
The accompanying notes are an integral part of these financial statements.
| 11 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 94.1% - (continued) | ||||||||||
Kentucky - 1.4% - (continued) | ||||||||||
$ | 1,250,000 | Louisville, KY, Regional Airport Auth 5.00%, 07/01/2021 | $ | 1,332,238 | ||||||
|
| |||||||||
1,562,553 | ||||||||||
|
| |||||||||
Maryland - 0.0% | ||||||||||
40,000 | Maryland Health & Higher Educational Facs. Auth 2.88%, 07/01/2023 | 39,745 | ||||||||
|
| |||||||||
Massachusetts - 2.3% | ||||||||||
1,500,000 | Commonwealth of Massachusetts GO 5.00%, 01/01/2042 | 1,710,300 | ||||||||
Massachusetts Dev Finance Agency | ||||||||||
250,000 | 5.00%, 07/01/2020 | 259,402 | ||||||||
255,000 | 5.00%, 07/01/2031 | 281,339 | ||||||||
100,000 | 5.00%, 07/01/2034 | 108,691 | ||||||||
100,000 | 5.00%, 07/01/2048 | 108,181 | ||||||||
|
| |||||||||
2,467,913 | ||||||||||
|
| |||||||||
Michigan - 3.8% | ||||||||||
345,000 | City of Detroit, MI, GO 5.00%, 04/01/2022 | 363,392 | ||||||||
Michigan Finance Auth | ||||||||||
1,100,000 | 5.00%, 07/01/2035 | 1,214,939 | ||||||||
500,000 | 5.00%, 11/01/2035 | 581,155 | ||||||||
1,250,000 | Michigan State Housing Dev Auth 4.25%, 06/01/2049 | 1,342,175 | ||||||||
500,000 | Wayne County, MI, Airport Auth Rev 5.00%, 12/01/2025 | 578,305 | ||||||||
|
| |||||||||
4,079,966 | ||||||||||
|
| |||||||||
Minnesota - 1.4% | ||||||||||
275,000 | Duluth, MN, Independent School Dist, No. 709 5.00%, 02/01/2022 | 294,965 | ||||||||
1,000,000 | Minneapolis-St Paul, MN, Metropolitan Airports Commission 5.00%, 01/01/2035 | 1,026,670 | ||||||||
200,000 | Saint Francis, MN, Independent School Dist, No. 15 4.00%, 02/01/2030 | 210,678 | ||||||||
|
| |||||||||
1,532,313 | ||||||||||
|
| |||||||||
Mississippi - 1.9% | ||||||||||
750,000 | Mississippi Dev Bank 5.00%, 10/01/2027 | 888,720 | ||||||||
1,000,000 | State of Mississippi 5.00%, 10/15/2029 | 1,192,220 | ||||||||
|
| |||||||||
2,080,940 | ||||||||||
|
| |||||||||
Missouri - 1.1% | ||||||||||
500,000 | Kirkwood, MO, Industrial Dev Auth Retirement Community 5.25%, 05/15/2042 | 524,240 | ||||||||
650,000 | State Louis County, MO, Industrial Dev Auth 5.00%, 09/01/2028 | 680,186 | ||||||||
|
| |||||||||
1,204,426 | ||||||||||
|
| |||||||||
Nevada - 1.6% | ||||||||||
280,000 | City of Reno, NV 5.00%, 06/01/2033 | 321,600 | ||||||||
1,000,000 | Clark County, NV, School Dist 5.00%, 06/15/2026 | 1,165,670 | ||||||||
200,000 | Las Vegas, NV, New Convention Center Auth 5.00%, 07/01/2029 | 225,480 | ||||||||
|
| |||||||||
1,712,750 | ||||||||||
|
| |||||||||
New Jersey - 2.6% | ||||||||||
1,000,000 | City of Bayonne, NJ 0.00%, 07/01/2023(3) | 903,710 | ||||||||
New Jersey Economic Development Auth |
| |||||||||
400,000 | 5.00%, 06/15/2022 | 430,984 | ||||||||
150,000 | 5.00%, 06/15/2023 | 164,172 | ||||||||
255,000 | New Jersey Educational Facs Auth 5.00%, 06/01/2020 | 264,300 | ||||||||
125,000 | New Jersey Transportation Trust Fund Auth 5.00%, 12/15/2023 | 137,899 | ||||||||
250,000 | New Jersey Turnpike Auth 4.00%, 01/01/2033 | 265,590 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 94.1% - (continued) | ||||||||||
New Jersey - 2.6% - (continued) | ||||||||||
Tobacco Settlement Financing Corp., NJ |
| |||||||||
$ | 340,000 | 5.00%, 06/01/2024 | $ | 381,582 | ||||||
250,000 | 5.00%, 06/01/2029 | 288,857 | ||||||||
|
| |||||||||
2,837,094 | ||||||||||
|
| |||||||||
New Mexico - 0.1% | ||||||||||
100,000 | New Mexico Mortgage Finance Auth 4.00%, 01/01/2049 | 106,066 | ||||||||
|
| |||||||||
New York - 7.9% | ||||||||||
480,000 | Metropolitan Transportation Auth, NY 5.00%, 11/15/2020 | 507,043 | ||||||||
1,250,000 | New York City, NY, Water & Sewer System 5.25%, 06/15/2040 | 1,265,350 | ||||||||
New York City, NY, Transitional Finance Auth |
| |||||||||
100,000 | 4.50%, 11/01/2019 | 102,180 | ||||||||
2,000,000 | 5.00%, 08/01/2035 | 2,346,300 | ||||||||
New York State Dormitory Auth Rev | ||||||||||
160,000 | 3.00%, 07/01/2019 | 160,912 | ||||||||
200,000 | 5.00%, 02/15/2031 | 236,846 | ||||||||
1,000,000 | 5.00%, 03/15/2035 | 1,175,060 | ||||||||
750,000 | 5.00%, 03/15/2037 | 873,765 | ||||||||
1,000,000 | 5.00%, 02/15/2038 | 1,135,670 | ||||||||
275,000 | New York State Thruway Auth Rev 4.00%, 05/01/2019 | 276,645 | ||||||||
500,000 | Town of Oyster Bay, NY, GO 4.00%, 02/15/2020 | 508,500 | ||||||||
|
| |||||||||
8,588,271 | ||||||||||
|
| |||||||||
Ohio - 3.5% | ||||||||||
1,000,000 | American Municipal Power, Inc., OH 2.35%, 02/15/2038 | 1,000,970 | ||||||||
1,200,000 | Buckeye, OH, Tobacco Settlement Finance Auth 5.88%, 06/01/2047 | 1,114,428 | ||||||||
1,105,000 | City of Cleveland, OH, Airport System Rev 5.25%, 01/01/2020 | 1,138,161 | ||||||||
100,000 | Cleveland, OH, Department of Public Utilities 5.00%, 11/15/2030 | 117,774 | ||||||||
County of Lucas, OH |
| |||||||||
250,000 | 5.00%, 11/15/2019 | 255,300 | ||||||||
100,000 | 5.00%, 11/15/2020 | 104,681 | ||||||||
|
| |||||||||
3,731,314 | ||||||||||
|
| |||||||||
Oklahoma - 0.1% | ||||||||||
Oklahoma Dev Finance Auth |
| |||||||||
30,000 | 5.25%, 08/15/2048 | 32,674 | ||||||||
30,000 | 5.50%, 08/15/2057 | 33,260 | ||||||||
|
| |||||||||
65,934 | ||||||||||
|
| |||||||||
Oregon - 0.6% | ||||||||||
30,000 | Benton & Linn Counties, OR, Consolidated School Dist No. 509J & 509A Corvallis 5.00%, 06/15/2038(4) | 32,405 | ||||||||
100,000 | Clackamas County, OR, Hospital Facs Auth 2.60%, 11/15/2023 | 98,800 | ||||||||
20,000 | Marion County, OR, School Dist No. 15 North Marion 0.00%, 06/15/2037(3) | 9,689 | ||||||||
Salem Hospital Fac Auth |
| |||||||||
40,000 | 5.00%, 05/15/2038 | 43,554 | ||||||||
30,000 | 5.00%, 05/15/2048 | 32,281 | ||||||||
200,000 | State of Oregon 4.00%, 12/01/2048 | 211,092 | ||||||||
115,000 | State of Oregon Housing & Community Services Department 4.50%, 01/01/2049 | 124,256 | ||||||||
100,000 | Washington Clackamas & Yamhill Counties, OR, School Dist No. 88J 0.00%, 06/15/2034(3) | 57,199 | ||||||||
|
| |||||||||
609,276 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 12 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 94.1% - (continued) | ||||||||||
Pennsylvania - 5.5% | ||||||||||
Montgomery County, PA, Industrial Dev Auth | ||||||||||
$ | 230,000 | 5.00%, 12/01/2030 | $ | 245,520 | ||||||
100,000 | 5.00%, 12/01/2046 | 103,400 | ||||||||
Pennsylvania Commonwealth Financing Auth | ||||||||||
490,000 | 5.00%, 06/01/2020 | 509,179 | ||||||||
100,000 | 5.00%, 06/01/2027 | 116,152 | ||||||||
1,000,000 | Pennsylvania Economic Dev Financing Auth 2.63%, 11/01/2021 | 1,004,330 | ||||||||
Pennsylvania Higher Educational Facs Auth |
| |||||||||
250,000 | 5.00%, 05/01/2025 | 289,817 | ||||||||
750,000 | 5.00%, 05/01/2037 | 841,860 | ||||||||
445,000 | Pennsylvania Housing Finance Agency 3.10%, 04/01/2023 | 449,299 | ||||||||
Pennsylvania Turnpike Commission Rev | ||||||||||
150,000 | 5.00%, 12/01/2030 | 173,552 | ||||||||
1,095,000 | 5.00%, 12/01/2032 | 1,263,652 | ||||||||
750,000 | 5.00%, 12/01/2034 | 850,582 | ||||||||
95,000 | 5.00%, 12/01/2037 | 101,778 | ||||||||
|
| |||||||||
5,949,121 | ||||||||||
|
| |||||||||
Puerto Rico - 0.2% | ||||||||||
250,000 | Commonwealth of Puerto Rico, GO 8.00%, 07/01/2035(5) | 115,000 | ||||||||
Puerto Rico Electric Power Auth | ||||||||||
50,000 | 5.00%, 07/01/2019 | 50,332 | ||||||||
35,000 | 5.25%, 07/01/2019 | 35,267 | ||||||||
|
| |||||||||
200,599 | ||||||||||
|
| |||||||||
South Carolina - 2.1% | ||||||||||
390,000 | SCAGO Educational Facs Corp. for Pickens School Dist, SC 5.00%, 12/01/2029 | 443,083 | ||||||||
1,000,000 | South Carolina Jobs-Economic Dev Auth 5.00%, 05/01/2028 | 1,174,450 | ||||||||
South Carolina State Public Service Auth | ||||||||||
500,000 | 5.00%, 12/01/2034 | 539,460 | ||||||||
125,000 | 5.00%, 12/01/2050 | 130,992 | ||||||||
|
| |||||||||
2,287,985 | ||||||||||
|
| |||||||||
South Dakota - 1.0% | ||||||||||
1,000,000 | South Dakota Housing Dev Auth 4.50%, 11/01/2048 | 1,087,830 | ||||||||
|
| |||||||||
Tennessee - 1.5% | ||||||||||
Tennessee Energy Acquisition Corp. | ||||||||||
500,000 | 5.00%, 02/01/2022 | 535,515 | ||||||||
300,000 | 5.00%, 02/01/2023 | 326,655 | ||||||||
455,000 | 5.00%, 02/01/2027 | 517,158 | ||||||||
175,000 | Tennessee Housing Development Agency 4.00%, 01/01/2049 | 185,696 | ||||||||
|
| |||||||||
1,565,024 | ||||||||||
|
| |||||||||
Texas - 10.4% | ||||||||||
1,125,000 | Arlington, TX, Independent School Dist 5.00%, 02/15/2028 | 1,323,495 | ||||||||
750,000 | City of Houston, TX 0.00%, 09/01/2025(3) | 634,492 | ||||||||
65,000 | City of Houston, TX Combined Utility System Rev 5.00%, 05/15/2026 | 74,689 | ||||||||
1,385,000 | City of San Antonio, TX, Electric & Gas Systems Rev 5.00%, 02/01/2028 | 1,646,239 | ||||||||
100,000 | Harris County-Houston, TX, Sports Auth 5.00%, 11/15/2020 | 105,381 | ||||||||
1,370,000 | Keller, TX, Independent School Dist 5.00%, 02/15/2022 | 1,501,712 | ||||||||
100,000 | Kerrville, TX, Health Facs Development Corp. 5.00%, 08/15/2024 | 112,343 | ||||||||
150,000 | Lower, TX, Colorado River Auth 5.00%, 05/15/2019 | 151,374 | ||||||||
500,000 | New Hope, TX, Cultural Education Facs Finance Corp. 5.00%, 11/01/2046 | 511,560 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 94.1% - (continued) | ||||||||||
Texas - 10.4% - (continued) | ||||||||||
$ | 1,720,000 | North East Texas Independent School Dist 5.00%, 02/01/2020 | $ | 1,776,089 | ||||||
300,000 | North East Texas Regional Mobility Auth 5.00%, 01/01/2021 | 312,288 | ||||||||
North Texas Tollway Auth Rev |
| |||||||||
225,000 | 5.00%, 01/01/2048 | 251,546 | ||||||||
70,000 | 6.25%, 02/01/2023 | 72,555 | ||||||||
1,000,000 | Rockwall, TX, Independent School Dist 5.00%, 02/15/2028 | 1,219,940 | ||||||||
1,500,000 | Texas Municipal Gas Acquisition & Supply Corp. III 5.00%, 12/15/2019 | 1,536,750 | ||||||||
|
| |||||||||
11,230,453 | ||||||||||
|
| |||||||||
Utah - 3.2% | ||||||||||
1,000,000 | Salt Lake City, UT, Corp. Airport Rev 5.00%, 07/01/2029 | 1,185,380 | ||||||||
590,000 | Salt Lake County, UT 5.13%, 02/15/2033 | 684,052 | ||||||||
1,250,000 | Utah Transit Auth 5.25%, 06/15/2029 | 1,562,262 | ||||||||
|
| |||||||||
3,431,694 | ||||||||||
|
| |||||||||
Virginia - 1.2% | ||||||||||
1,295,000 | Virginia College Building Auth 5.00%, 02/01/2020 | 1,337,489 | ||||||||
|
| |||||||||
Washington - 1.6% | ||||||||||
Port of Seattle, WA | ||||||||||
1,000,000 | 5.00%, 06/01/2030 | 1,039,410 | ||||||||
500,000 | 5.00%, 05/01/2036 | 560,335 | ||||||||
160,000 | 5.50%, 09/01/2020 | 169,048 | ||||||||
|
| |||||||||
1,768,793 | ||||||||||
|
| |||||||||
Wisconsin - 2.9% | ||||||||||
Public Finance Auth, WI | ||||||||||
250,000 | 5.00%, 09/30/2024 | 280,395 | ||||||||
100,000 | 5.00%, 09/01/2025(2) | 106,801 | ||||||||
1,000,000 | 5.00%, 07/01/2036 | 1,110,480 | ||||||||
100,000 | 5.00%, 10/01/2043(2) | 100,832 | ||||||||
1,000,000 | Univ. of Wisconsin Hospitals & Clinics 5.00%, 04/01/2030 | 1,179,450 | ||||||||
400,000 | Wisconsin Health & Educational Facs Auth 5.00%, 11/15/2033 | 408,200 | ||||||||
|
| |||||||||
3,186,158 | ||||||||||
|
| |||||||||
Total Municipal Bonds | $ | 101,908,026 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 101,908,026 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 5.9% | ||||||||||
Other Investment Pools & Funds - 5.9% | ||||||||||
6,367,379 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.37%(6) | �� | 6,367,379 | |||||||
|
| |||||||||
Total Short-Term Investments | $ | 6,367,379 | ||||||||
|
|
Total Investments | 100.0 | % | $ | 108,275,405 | ||||||||||
Other Assets & Liabilities | 0.0 | % | 8,581 | |||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 108,283,986 | ||||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The accompanying notes are an integral part of these financial statements.
| 13 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(1) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At January 31, 2019, the aggregate value of these securities was $492,158, representing 0.5% of net assets. |
(3) | Security is azero-coupon bond. |
(4) | Security is a“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(5) | Non-income producing. For long-term debt securities, items identified are in default as to payment of interest and/or principal. |
(6) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
GLOSSARY: (abbreviations used in preceding Schedule of Investments) | ||
Municipal Abbreviations: | ||
Auth | Authority | |
Dev | Development | |
Facs | Facilities | |
GO | General Obligation | |
Rev | Revenue |
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Municipal Bonds | $ | 101,908,026 | $ | — | $ | 101,908,026 | $ | — | ||||||||
Short-Term Investments | 6,367,379 | 6,367,379 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 108,275,405 | $ | 6,367,379 | $ | 101,908,026 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2019, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
| 14 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 12.6% | ||||||||||
Aerospace/Defense - 1.0% | ||||||||||
$ | 211,000 | United Technologies Corp. 4.13%, 11/16/2028 | $ | 217,030 | ||||||
|
| |||||||||
Agriculture - 0.1% | ||||||||||
18,000 | Reynolds American, Inc. 5.70%, 08/15/2035 | 18,089 | ||||||||
|
| |||||||||
Beverages - 0.5% | ||||||||||
109,000 | Anheuser-Busch InBev Worldwide, Inc. 4.15%, 01/23/2025 | 111,950 | ||||||||
|
| |||||||||
Commercial Banks - 5.5% | ||||||||||
185,000 | Citigroup, Inc. 3.20%, 10/21/2026 | 177,993 | ||||||||
114,000 | Fifth Third Bancorp 3.65%, 01/25/2024 | 114,870 | ||||||||
102,000 | Goldman Sachs Group, Inc. 3.50%, 11/16/2026 | 98,276 | ||||||||
164,000 | Morgan Stanley 3 mo. USD LIBOR + 1.628%, 4.43%, 01/23/2030(1) | 170,390 | ||||||||
265,000 | PNC Financial Services Group, Inc. 3.50%, 01/23/2024 | 267,693 | ||||||||
125,000 | Regions Financial Corp. 3.80%, 08/14/2023 | 126,029 | ||||||||
193,000 | Wells Fargo & Co. 3.75%, 01/24/2024 | 196,368 | ||||||||
|
| |||||||||
1,151,619 | ||||||||||
|
| |||||||||
Healthcare-Services - 0.5% | ||||||||||
120,000 | Cigna Holding Co. 3.05%, 10/15/2027 | 111,161 | ||||||||
|
| |||||||||
Insurance - 1.9% | ||||||||||
194,000 | MetLife, Inc. 6.40%, 12/15/2066 | 207,580 | ||||||||
218,000 | Prudential Financial, Inc. 3 mo. USD LIBOR + 2.380%, 4.50%, 09/15/2047(1) | 200,778 | ||||||||
|
| |||||||||
408,358 | ||||||||||
|
| |||||||||
Media - 0.7% | ||||||||||
135,000 | Fox Corp. 4.71%, 01/25/2029(2) | 140,834 | ||||||||
|
| |||||||||
Oil & Gas - 1.0% | ||||||||||
176,000 | Marathon Petroleum Corp. 4.75%, 09/15/2044 | 163,369 | ||||||||
57,000 | Petroleos Mexicanos 5.63%, 01/23/2046 | 45,167 | ||||||||
|
| |||||||||
208,536 | ||||||||||
|
| |||||||||
Pipelines - 0.4% | ||||||||||
84,000 | Enterprise Products Operating LLC 5.10%, 02/15/2045 | 86,933 | ||||||||
|
| |||||||||
REITS - 1.0% | ||||||||||
210,000 | Crown Castle International Corp. 4.30%, 02/15/2029 | 210,830 | ||||||||
|
| |||||||||
Total Corporate Bonds | $ | 2,665,340 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 75.9% | ||||||||||
California - 0.8% | ||||||||||
155,000 | MSR Public Power Agency, CA 6.00%, 07/01/2022 | 168,962 | ||||||||
|
| |||||||||
Connecticut - 1.4% | ||||||||||
275,000 | Connecticut Housing Finance Auth 4.25%, 05/15/2042 | 295,554 | ||||||||
|
| |||||||||
Delaware - 2.8% | ||||||||||
485,000 | State of Delaware 5.00%, 01/01/2027 | 592,122 | ||||||||
|
| |||||||||
District of Columbia - 5.5% | ||||||||||
505,000 | Dist of Columbia 5.00%, 06/01/2036 | 584,134 | ||||||||
525,000 | Dist of Columbia Water & Sewer Auth 5.00%, 10/01/2049 | 597,250 | ||||||||
|
| |||||||||
1,181,384 | ||||||||||
|
| |||||||||
Florida - 0.5% | ||||||||||
95,000 | Florida Housing Finance Corp. 4.00%, 07/01/2049 | 100,884 | ||||||||
|
| |||||||||
Georgia - 1.7% | ||||||||||
335,000 | Main Street, GA, Natural Gas, Inc. 4.00%, 08/01/2048(3) | 355,355 | ||||||||
|
| |||||||||
Illinois - 3.8% | ||||||||||
130,000 | Chicago, IL, Board of Education 5.00%, 12/01/2020 | 133,761 | ||||||||
65,000 | Chicago, IL, Metropolitan Water Reclamation Dist GO 5.25%, 12/01/2032 | 79,301 | ||||||||
165,000 | Illinois Housing Dev Auth 4.50%, 10/01/2048 | 179,119 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 75.9% - (continued) | ||||||||||
Illinois - 3.8% - (continued) | ||||||||||
$ | 175,000 | Railsplitter, IL, Tobacco Settlement Auth 5.00%, 06/01/2027 | $ | 201,330 | ||||||
195,000 | State of Illinois 5.00%, 11/01/2028 | 210,598 | ||||||||
|
| |||||||||
804,109 | ||||||||||
|
| |||||||||
Indiana - 0.5% | ||||||||||
100,000 | Indiana Housing & Community Dev Auth 4.00%, 07/01/2048 | 106,208 | ||||||||
|
| |||||||||
Iowa - 0.4% | ||||||||||
80,000 | Iowa Finance Auth 4.00%, 07/01/2048 | 85,090 | ||||||||
|
| |||||||||
Kentucky - 4.0% | ||||||||||
600,000 | Kentucky Public Energy Auth 4.00%, 12/01/2049(3) | 632,304 | ||||||||
Kentucky State Property & Building Commission |
| |||||||||
60,000 | 5.00%, 05/01/2024 | 67,607 | ||||||||
105,000 | 5.00%, 08/01/2024 | 118,853 | ||||||||
40,000 | 5.00%, 05/01/2025 | 45,595 | ||||||||
|
| |||||||||
864,359 | ||||||||||
|
| |||||||||
Louisiana - 0.2% | ||||||||||
40,000 | Louisiana Housing Corp. 4.50%, 12/01/2047 | 43,404 | ||||||||
|
| |||||||||
Maine - 1.0% | ||||||||||
195,000 | Maine State Housing Auth 4.00%, 11/15/2048 | 207,400 | ||||||||
|
| |||||||||
Maryland - 3.9% | ||||||||||
490,000 | Howard County, MD 5.00%, 02/15/2027 | 597,334 | ||||||||
210,000 | Maryland Community Dev Administration 4.50%, 09/01/2048 | 227,556 | ||||||||
|
| |||||||||
824,890 | ||||||||||
|
| |||||||||
Minnesota - 0.7% | ||||||||||
145,000 | Coon Rapids, MN, MF Rev 2.20%, 04/01/2021(3) | 145,463 | ||||||||
|
| |||||||||
Missouri - 2.0% | ||||||||||
Missouri Housing Dev Commission |
| |||||||||
210,000 | 4.25%, 05/01/2049 | 225,821 | ||||||||
180,000 | 4.75%, 05/01/2049 | 197,597 | ||||||||
|
| |||||||||
423,418 | ||||||||||
|
| |||||||||
Nebraska - 0.7% | ||||||||||
135,000 | Nebraska Investment Finance Auth Rev 4.00%, 09/01/2048 | 143,400 | ||||||||
|
| |||||||||
Nevada - 2.8% | ||||||||||
510,000 | Clark County, NV 5.00%, 06/01/2037 | 591,065 | ||||||||
|
| |||||||||
New Jersey - 5.9% | ||||||||||
New Jersey Economic Dev Auth |
| |||||||||
160,000 | 5.00%, 03/01/2026 | 172,759 | ||||||||
90,000 | 5.00%, 11/01/2026 | 101,950 | ||||||||
New Jersey Transportation Trust Fund Auth |
| |||||||||
40,000 | 5.00%, 06/15/2024 | 44,776 | ||||||||
150,000 | 5.00%, 12/15/2028 | 170,504 | ||||||||
495,000 | New Jersey Turnpike Auth 5.00%, 01/01/2037 | 566,463 | ||||||||
175,000 | Tobacco Settlement Financing Corp., NJ 5.00%, 06/01/2029 | 202,200 | ||||||||
|
| |||||||||
1,258,652 | ||||||||||
|
| |||||||||
New Mexico - 0.5% | ||||||||||
105,000 | New Mexico Mortgage Finance Auth 4.00%, 01/01/2049 | 111,556 | ||||||||
|
| |||||||||
New York - 2.7% | ||||||||||
505,000 | Metropolitan Transportation Auth, NY 5.00%, 11/15/2035 | 572,690 | ||||||||
|
| |||||||||
Ohio - 4.3% | ||||||||||
175,000 | Ohio Housing Finance Agency 4.50%, 09/01/2048 | 189,772 | ||||||||
295,000 | Ohio Turnpike & Infrastructure Commission 0.00%, 02/15/2041(4) | 123,546 |
The accompanying notes are an integral part of these financial statements.
| 15 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 75.9% - (continued) | ||||||||||
Ohio - 4.3% - (continued) | ||||||||||
$ | 495,000 | State of Ohio 5.00%, 08/01/2026 | $ | 597,460 | ||||||
|
| |||||||||
910,778 | ||||||||||
|
| |||||||||
Pennsylvania - 2.6% | ||||||||||
110,000 | Geisinger, PA, Health System Auth 5.00%, 02/15/2032 | 127,039 | ||||||||
375,000 | Pennsylvania Turnpike Commission 5.00%, 12/01/2034 | 428,381 | ||||||||
|
| |||||||||
555,420 | ||||||||||
|
| |||||||||
Rhode Island - 1.1% | ||||||||||
215,000 | Rhode Island Housing & Mortgage Finance Corp. 4.00%, 10/01/2048 | 228,321 | ||||||||
|
| |||||||||
South Carolina - 3.0% | ||||||||||
590,000 | Patriots Energy Group Financing Agency, SC 4.00%, 10/01/2048(3) | 626,533 | ||||||||
10,000 | Tobacco Settlement Revenue Mgmt Auth, SC 6.38%, 05/15/2030 | 13,455 | ||||||||
|
| |||||||||
639,988 | ||||||||||
|
| |||||||||
Tennessee - 0.9% | ||||||||||
25,000 | Metropolitan Gov’t Nashville & Davidson County, TN Health & Educational Facs Bd 4.88%, 11/01/2028 | 28,468 | ||||||||
145,000 | Tennessee Housing Dev Agency 4.50%, 07/01/2049 | 157,509 | ||||||||
|
| |||||||||
185,977 | ||||||||||
|
| |||||||||
Texas - 14.1% | ||||||||||
495,000 | Cypress-Fairbanks, TX, Independent School Dist 5.00%, 02/15/2026 | 591,941 | ||||||||
360,000 | Denton, TX, Independent School Dist 5.00%, 08/15/2048 | 406,753 | ||||||||
245,000 | Grand Parkway Transportation Corp., TX 5.00%, 10/01/2048 | 276,439 | ||||||||
505,000 | Harris County, TX 5.00%, 10/01/2038 | 579,821 | ||||||||
285,000 | Mesquite, TX, Independent School Dist 5.00%, 08/15/2048 | 321,560 | ||||||||
95,000 | North Texas Tollway Auth Rev 5.00%, 01/01/2048 | 105,899 | ||||||||
105,000 | Texas Department of Housing & Community Affairs 4.75%, 03/01/2049 | 114,899 | ||||||||
495,000 | University of Texas, Permanent University Fund 5.00%, 07/01/2027 | 591,129 | ||||||||
|
| |||||||||
2,988,441 | ||||||||||
|
| |||||||||
Utah - 0.3% | ||||||||||
55,000 | Salt Lake City, UT, Corp. Airport Rev 5.00%, 07/01/2048 | 61,986 | ||||||||
|
| |||||||||
Virginia - 5.6% | ||||||||||
490,000 | Fairfax County, VA, Water Auth 5.00%, 04/01/2029 | 592,135 | ||||||||
495,000 | Virginia Public Building Auth 5.00%, 08/01/2029 | 605,707 | ||||||||
|
| |||||||||
1,197,842 | ||||||||||
|
| |||||||||
Washington - 1.5% | ||||||||||
295,000 | Washington State Housing Finance Commission 4.00%, 12/01/2048 | 313,845 | ||||||||
|
| |||||||||
Wyoming - 0.7% | ||||||||||
140,000 | Wyoming Community Dev Auth 4.00%, 06/01/2043 | 148,564 | ||||||||
|
| |||||||||
Total Municipal Bonds | $ | 16,107,127 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 6.0% | ||||||||||
Mortgage-Backed Agencies - 6.0% | ||||||||||
FNMA | ||||||||||
$ | 419,098 | 3.50%, 11/01/2047 | $ | 421,225 | ||||||
420,426 | 3.50%, 12/01/2047 | 422,561 | ||||||||
|
| |||||||||
843,786 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 6.0% - (continued) | ||||||||||
GNMA | ||||||||||
$ | 407,203 | 4.00%, 10/20/2048 | $ | 419,137 | ||||||
|
| |||||||||
1,262,923 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 1,262,923 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 3.8% | ||||||||||
U.S. Treasury Securities - 3.8% | ||||||||||
U.S. Treasury Notes - 3.8% | ||||||||||
$ | 712,365 | 0.75%, 07/15/2028(5) | 712,374 | |||||||
93,500 | 2.88%, 08/15/2028 | 95,381 | ||||||||
|
| |||||||||
807,755 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 807,755 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 20,843,145 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||||
Other Investment Pools & Funds - 1.8% | ||||||||||
$ | 385,403 | Morgan Stanley Institutional Liquidity Funds Treasury Portfolio, Institutional Class, 2.25%(6) | 385,403 | |||||||
|
| |||||||||
Total Short-Term Investments | $ | 385,403 | ||||||||
|
|
Total Investments | 100.1 | % | $ | 21,228,548 | ||||||||||
Other Assets & Liabilities | (0.1 | )% | (12,571 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 21,215,977 | ||||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(1) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2019. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At January 31, 2019, the aggregate value of this security was $140,834, representing 0.7% of net assets. |
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | Security is azero-coupon bond. |
(5) | The principal amount for this security is adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(6) | Current yield as of period end. |
The accompanying notes are an integral part of these financial statements.
| 16 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Futures Contracts Outstanding at January 31, 2019 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury10-Year Note Future | 3 | 03/20/2019 | $ | 367,406 | $ | (2,162 | ) | |||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (2,162 | ) | ||||||||||||
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
GLOSSARY: (abbreviations used in preceding Schedule of Investments) | ||
Currency Abbreviations: | ||
USD | United States Dollar | |
Other Abbreviations: | ||
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
LIBOR | London Interbank Offered Rate |
Municipal Abbreviations: | ||
Auth | Authority | |
Dev | Development | |
GO | General Obligation | |
Mgmt | Management | |
Rev | Revenue |
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets | ||||||||||||||||
Corporate Bonds | $ | 2,665,340 | $ | — | $ | 2,665,340 | $ | — | ||||||||
Municipal Bonds | 16,107,127 | — | 16,107,127 | — | ||||||||||||
U.S. Government Agencies | 1,262,923 | — | 1,262,923 | — | ||||||||||||
U.S. Government Securities | 807,755 | — | 807,755 | — | ||||||||||||
Short-Term Investments | 385,403 | 385,403 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,228,548 | $ | 385,403 | $ | 20,843,145 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Futures Contracts(2) | $ | (2,162 | ) | $ | (2,162 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,162 | ) | $ | (2,162 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2019, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
| 17 |
|
Hartford Short Duration ETF |
Schedule of Investments
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 9.2% | ||||||||||
Asset-Backed - Automobile - 0.3% | ||||||||||
$ | 345,000 | Chesapeake Funding II LLC 3.39%, 01/15/2031(1) | $ | 347,292 | ||||||
|
| |||||||||
Asset-Backed - Finance & Insurance - 2.7% | ||||||||||
418,000 | Bellemeade Re Ltd. 1 mo. USD LIBOR + 1.200%, 3.71%, 10/25/2027(1)(2) | 417,209 | ||||||||
192,382 | Finance of America Structured Securities Trust 3.38%, 09/25/2028(1)(3) | 192,527 | ||||||||
95,571 | NRZ Excess Spread-Collateralized Notes 3.19%, 01/25/2023(1) | 95,048 | ||||||||
365,000 | OBX Trust 4.00%, 11/25/2048(1)(3)(4)(5) | 366,074 | ||||||||
49,875 | Planet Fitness Master Issuer LLC 4.26%, 09/05/2048(1) | 50,163 | ||||||||
Regional Management Issuance Trust | ||||||||||
100,000 | 3.83%, 07/15/2027(1) | 100,463 | ||||||||
275,000 | 4.56%, 01/18/2028(1) | 276,753 | ||||||||
78,814 | SoFi Consumer Loan Program LLC 3.28%, 01/26/2026(1) | 78,794 | ||||||||
234,210 | Symphony CLO XIV Ltd. 3 mo. USD LIBOR + 1.280%, 4.08%, 07/14/2026(1)(2) | 234,597 | ||||||||
Towd Point Mortgage Trust | ||||||||||
318,052 | 2.75%, 10/25/2057(1)(3) | 309,480 | ||||||||
90,855 | 3.75%, 05/25/2058(1)(3) | 91,231 | ||||||||
339,433 | Vantage Data Centers Issuer LLC 4.20%, 11/16/2043(1) | 339,433 | ||||||||
340,000 | Wingstop Funding LLC 4.97%, 12/05/2048(1) | 348,153 | ||||||||
|
| |||||||||
2,899,925 | ||||||||||
|
| |||||||||
Collateralized - Mortgage Obligations - 0.5% | ||||||||||
480,000 | FREMF 3.36%, 05/25/2045(1)(3) | 478,566 | ||||||||
|
| |||||||||
Commercial Mortgage - Backed Securities - 0.6% | ||||||||||
504,961 | New Residential Funding LLC 3.99%, 11/25/2048(1)(3) | 508,795 | ||||||||
83,289 | Verus Securitization Trust 3.68%, 06/01/2058(1)(3) | 83,219 | ||||||||
|
| |||||||||
592,014 | ||||||||||
|
| |||||||||
Other ABS - 1.3% | ||||||||||
685,000 | Taco Bell Funding LLC 4.32%, 11/25/2048(1) | 694,563 | ||||||||
379,185 | Towd Point Mortgage Trust 3.25%, 07/25/2058(1)(3) | 374,015 | ||||||||
168,921 | VOLT LXX LLC 4.12%, 09/25/2048(1)(6) | 168,777 | ||||||||
155,006 | VOLT LXXI LLC 3.97%, 09/25/2048(1)(6) | 154,303 | ||||||||
|
| |||||||||
1,391,658 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 3.8% | ||||||||||
87,376 | Angel Oak Mortgage Trust I LLC 3.67%, 07/27/2048(1)(3) | 87,372 | ||||||||
250,000 | Colombia Cent CLO 27 Ltd. 3 mo. USD LIBOR + 1.150%, 3.64%, 10/25/2028(1)(2) | 248,734 | ||||||||
COLT Mortgage Loan Trust | ||||||||||
72,434 | 3.47%, 07/27/2048(1)(3) | 72,210 | ||||||||
105,081 | 3.69%, 10/26/2048(1)(3) | 105,259 | ||||||||
507,117 | 4.01%, 12/28/2048(1)(3) | 508,606 | ||||||||
200,993 | CSMC Trust 4.13%, 07/25/2058(1)(3) | 200,839 | ||||||||
441,949 | Deephaven Residential Mortgage Trust 3.79%, 08/25/2058(1)(3) | 443,298 | ||||||||
260,925 | Flagstar Mortgage Trust 4.00%, 09/25/2048(1)(3) | 263,107 | ||||||||
200,000 | Home Re Ltd. 1 mo. USD LIBOR + 1.600%, 4.11%, 10/25/2028(1)(2) | 200,233 | ||||||||
Mill City Mortgage Loan Trust | ||||||||||
88,395 | 3.25%, 05/25/2062(1)(3) | 87,135 | ||||||||
89,636 | 3.50%, 05/25/2058(1)(3) | 88,957 | ||||||||
293,146 | 3.50%, 08/25/2058(1)(3) | 289,247 | ||||||||
86,048 | New Residential Mortgage LLC 3.79%, 07/25/2054(1) | 86,897 | ||||||||
New Residential Mortgage Loan Trust | ||||||||||
467,891 | 1 mo. USD LIBOR + 0.750%, 3.26%, 01/25/2048(1)(2) | 465,437 | ||||||||
471,883 | 4.00%, 02/25/2057(1)(3) | 474,780 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 9.2% - (continued) | ||||||||||
Whole Loan Collateral CMO - 3.8% - (continued) | ||||||||||
$ | 159,805 | 4.00%, 09/25/2057(1)(3) | $ | 160,651 | ||||||
Sequoia Mortgage Trust | ||||||||||
95,462 | 4.00%, 09/25/2048(1)(3) | 96,581 | ||||||||
86,222 | 4.50%, 08/25/2048(1)(3) | 88,035 | ||||||||
|
| |||||||||
3,967,378 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage Backed Securities | $ | 9,676,833 | ||||||||
|
| |||||||||
CORPORATE BONDS - 60.1% | ||||||||||
Aerospace/Defense - 0.6% | ||||||||||
300,000 | L3 Technologies, Inc. 3.85%, 06/15/2023 | 303,128 | ||||||||
350,000 | United Technologies Corp. 3.65%, 08/16/2023 | 355,220 | ||||||||
|
| |||||||||
658,348 | ||||||||||
|
| |||||||||
Agriculture - 0.3% | ||||||||||
300,000 | Reynolds American, Inc. 3.25%, 06/12/2020 | 300,026 | ||||||||
|
| |||||||||
Auto Manufacturers - 1.9% | ||||||||||
75,000 | American Honda Finance Corp. 1.70%, 09/09/2021 | 72,515 | ||||||||
150,000 | Daimler Finance NA LLC 2.25%, 09/03/2019(1) | 149,229 | ||||||||
Ford Motor Credit Co. LLC | ||||||||||
200,000 | 2.02%, 05/03/2019 | 199,414 | ||||||||
250,000 | 8.13%, 01/15/2020 | 259,853 | ||||||||
General Motors Financial Co., Inc. | ||||||||||
125,000 | 3.15%, 06/30/2022 | 120,860 | ||||||||
375,000 | 3.20%, 07/13/2020 | 373,929 | ||||||||
200,000 | 3.45%, 04/10/2022 | 195,547 | ||||||||
75,000 | Harley-Davidson Financial Services, Inc. 3.55%, 05/21/2021(1) | 74,619 | ||||||||
Hyundai Capital America | ||||||||||
100,000 | 2.60%, 03/19/2020(1) | 98,926 | ||||||||
50,000 | 4.13%, 06/08/2023(1) | 50,203 | ||||||||
400,000 | Volkswagen Group of America Finance LLC 4.25%, 11/13/2023(1) | 404,572 | ||||||||
|
| |||||||||
1,999,667 | ||||||||||
|
| |||||||||
Auto Parts & Equipment - 0.2% | ||||||||||
200,000 | Aptiv plc 3.15%, 11/19/2020 | 199,383 | ||||||||
|
| |||||||||
Beverages - 0.9% | ||||||||||
62,000 | Anheuser-Busch InBev Finance, Inc. 2.65%, 02/01/2021 | 61,746 | ||||||||
175,000 | Anheuser-Busch InBev Worldwide, Inc. 3.75%, 01/15/2022 | 178,217 | ||||||||
Constellation Brands, Inc. | ||||||||||
175,000 | 2.65%, 11/07/2022 | 169,244 | ||||||||
100,000 | 2.70%, 05/09/2022 | 97,456 | ||||||||
100,000 | 3.20%, 02/15/2023 | 98,330 | ||||||||
300,000 | Molson Coors Brewing Co. 2.10%, 07/15/2021 | 292,363 | ||||||||
|
| |||||||||
897,356 | ||||||||||
|
| |||||||||
Biotechnology - 0.3% | ||||||||||
Celgene Corp. | ||||||||||
150,000 | 2.88%, 08/15/2020 | 149,721 | ||||||||
150,000 | 2.88%, 02/19/2021 | 149,301 | ||||||||
|
| |||||||||
299,022 | ||||||||||
|
| |||||||||
Chemicals - 1.4% | ||||||||||
425,000 | DowDuPont, Inc. 4.21%, 11/15/2023 | 440,522 | ||||||||
450,000 | Eastman Chemical Co. 3.50%, 12/01/2021 | 451,608 | ||||||||
225,000 | International Flavors & Fragrances, Inc. 3.40%, 09/25/2020 | 225,831 | ||||||||
50,000 | Nutrien Ltd. 6.50%, 05/15/2019 | 50,467 | ||||||||
300,000 | Sherwin-Williams Co. 4.20%, 01/15/2022 | 304,845 | ||||||||
|
| |||||||||
1,473,273 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 18 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 60.1% - (continued) | ||||||||||
Commercial Banks - 18.4% | ||||||||||
$ | 200,000 | ABN Amro Bank N.V. 3.40%, 08/27/2021(1) | $ | 200,905 | ||||||
Bank of America Corp. | ||||||||||
125,000 | 2.15%, 11/09/2020 | 123,341 | ||||||||
300,000 | 2.50%, 10/21/2022 | 293,179 | ||||||||
325,000 | 2.63%, 04/19/2021 | 322,650 | ||||||||
200,000 | Bank of New York Mellon Corp. 2.50%, 04/15/2021 | 198,370 | ||||||||
100,000 | Bank of Nova Scotia 2.70%, 03/07/2022 | 98,650 | ||||||||
400,000 | Barclays plc 3.25%, 01/12/2021 | 395,696 | ||||||||
100,000 | BB&T Corp. 2.05%, 05/10/2021 | 98,100 | ||||||||
BNP Paribas S.A. | ||||||||||
200,000 | 2.38%, 05/21/2020 | 198,623 | ||||||||
200,000 | 3.50%, 03/01/2023(1) | 198,285 | ||||||||
BPCE S.A. | ||||||||||
250,000 | 3.00%, 05/22/2022(1) | 244,086 | ||||||||
250,000 | 4.00%, 09/12/2023(1) | 249,127 | ||||||||
250,000 | Canadian Imperial Bank of Commerce 3.50%, 09/13/2023 | 253,089 | ||||||||
Capital One Financial Corp. | ||||||||||
200,000 | 2.50%, 05/12/2020 | 198,592 | ||||||||
200,000 | 3.05%, 03/09/2022 | 197,425 | ||||||||
Citigroup, Inc. | ||||||||||
325,000 | 2.70%, 03/30/2021 | 322,797 | ||||||||
200,000 | 2.90%, 12/08/2021 | 198,745 | ||||||||
250,000 | Citizens Bank NA/Providence 3.70%, 03/29/2023 | 252,129 | ||||||||
275,000 | Citizens Financial Group, Inc. 2.38%, 07/28/2021 | 268,856 | ||||||||
300,000 | Comerica, Inc. 3.70%, 07/31/2023 | 302,800 | ||||||||
250,000 | Compass Bank 3.50%, 06/11/2021 | 250,397 | ||||||||
Cooperatieve Rabobank UA | ||||||||||
250,000 | 2.75%, 01/10/2022 | 247,698 | ||||||||
300,000 | 3.88%, 09/26/2023(1) | 304,970 | ||||||||
250,000 | Credit Suisse Group AG 3.57%, 01/09/2023(1) | 247,352 | ||||||||
Danske Bank A/S | ||||||||||
200,000 | 3.88%, 09/12/2023(1) | 191,447 | ||||||||
390,000 | 5.00%, 01/12/2022(1) | 395,471 | ||||||||
Deutsche Bank AG | ||||||||||
150,000 | 3.15%, 01/22/2021 | 145,824 | ||||||||
150,000 | 3.30%, 11/16/2022 | 140,274 | ||||||||
100,000 | 4.25%, 10/14/2021 | 98,984 | ||||||||
250,000 | Discover Bank 3.10%, 06/04/2020 | 249,397 | ||||||||
250,000 | DNB Bank ASA 2.38%, 06/02/2021(1) | 245,435 | ||||||||
Fifth Third Bancorp | ||||||||||
350,000 | 2.60%, 06/15/2022 | 341,804 | ||||||||
75,000 | 2.88%, 07/27/2020 | 74,907 | ||||||||
Goldman Sachs Group, Inc. | ||||||||||
300,000 | 2.35%, 11/15/2021 | 293,304 | ||||||||
200,000 | 2.88%, 02/25/2021 | 199,265 | ||||||||
300,000 | 3.00%, 04/26/2022 | 296,718 | ||||||||
250,000 | 5.25%, 07/27/2021 | 262,166 | ||||||||
200,000 | 5.75%, 01/24/2022 | 214,608 | ||||||||
HSBC Holdings plc | ||||||||||
200,000 | 2.95%, 05/25/2021 | 199,245 | ||||||||
200,000 | 3.40%, 03/08/2021 | 201,051 | ||||||||
200,000 | HSBC USA, Inc. 2.35%, 03/05/2020 | 198,756 | ||||||||
Huntington Bancshares, Inc. | ||||||||||
300,000 | 2.30%, 01/14/2022 | 292,017 | ||||||||
300,000 | 3.15%, 03/14/2021 | 300,635 | ||||||||
575,000 | ING Groep N.V. 4.10%, 10/02/2023 | 582,153 | ||||||||
200,000 | Intesa Sanpaolo S.p.A. 3.13%, 07/14/2022(1) | 187,940 | ||||||||
JP Morgan Chase & Co. | ||||||||||
200,000 | 2.30%, 08/15/2021 | 196,567 | ||||||||
325,000 | 2.40%, 06/07/2021 | 320,837 | ||||||||
150,000 | 2.75%, 06/23/2020 | 149,726 | ||||||||
300,000 | 2.97%, 01/15/2023 | 297,659 | ||||||||
250,000 | KeyBank NA 2.40%, 06/09/2022 | 243,764 | ||||||||
225,000 | KeyCorp 5.10%, 03/24/2021 | 234,453 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 60.1% - (continued) | ||||||||||
Commercial Banks - 18.4% - (continued) | ||||||||||
$ | 200,000 | Macquarie Group Ltd. 3 mo. USD LIBOR + 1.023%, 3.19%, 11/28/2023(1)(2) | $ | 193,205 | ||||||
250,000 | Manufacturers & Traders Trust Co. 2.63%, 01/25/2021 | 248,182 | ||||||||
Morgan Stanley | ||||||||||
250,000 | 2.50%, 04/21/2021 | 246,795 | ||||||||
325,000 | 2.63%, 11/17/2021 | 320,509 | ||||||||
325,000 | 2.75%, 05/19/2022 | 320,153 | ||||||||
125,000 | 5.63%, 09/23/2019 | 127,158 | ||||||||
250,000 | National Australia Bank Ltd. 2.50%, 01/12/2021 | 247,159 | ||||||||
200,000 | Nordea Bank AB 2.13%, 05/29/2020(1) | 197,731 | ||||||||
PNC Bank NA | ||||||||||
250,000 | 2.15%, 04/29/2021 | 245,341 | ||||||||
375,000 | 2.45%, 11/05/2020 | 371,578 | ||||||||
Regions Financial Corp. | ||||||||||
200,000 | 2.75%, 08/14/2022 | 195,149 | ||||||||
250,000 | 3.20%, 02/08/2021 | 249,951 | ||||||||
525,000 | Royal Bank of Canada 3.70%, 10/05/2023 | 533,971 | ||||||||
125,000 | Santander Holdings USA, Inc. 3.70%, 03/28/2022 | 124,846 | ||||||||
Santander UK plc | ||||||||||
275,000 | 2.13%, 11/03/2020 | 269,533 | ||||||||
100,000 | 2.38%, 03/16/2020 | 99,299 | ||||||||
200,000 | 3.40%, 06/01/2021 | 200,180 | ||||||||
Standard Chartered plc | ||||||||||
200,000 | 2.25%, 04/17/2020(1) | 197,244 | ||||||||
375,000 | 3 mo. USD LIBOR + 1.150%, 4.25%, 01/20/2023(1)(2) | 375,310 | ||||||||
300,000 | SunTrust Bank 3 mo. USD LIBOR + 0.500%, 3.53%, 10/26/2021(2) | 301,413 | ||||||||
225,000 | SunTrust Banks, Inc. 2.70%, 01/27/2022 | 221,140 | ||||||||
350,000 | Svenska Handelsbanken AB 2.45%, 03/30/2021 | 345,835 | ||||||||
200,000 | Toronto-Dominion Bank 2.13%, 04/07/2021 | 196,787 | ||||||||
300,000 | UBS AG 2.45%, 12/01/2020(1) | 295,916 | ||||||||
UniCredit S.p.A. | ||||||||||
200,000 | 3.75%, 04/12/2022(1) | 194,493 | ||||||||
350,000 | 6.57%, 01/14/2022(1) | 357,551 | ||||||||
Wells Fargo & Co. | ||||||||||
375,000 | 2.50%, 03/04/2021 | 371,112 | ||||||||
155,000 | 3.75%, 01/24/2024 | 157,705 | ||||||||
100,000 | 3 mo. USD LIBOR + 1.230%, 3.97%, 10/31/2023(2) | 101,051 | ||||||||
|
| |||||||||
19,526,566 | ||||||||||
|
| |||||||||
Commercial Services - 0.9% | ||||||||||
ERAC USA Finance LLC | ||||||||||
100,000 | 2.35%, 10/15/2019(1) | 99,504 | ||||||||
280,000 | 2.60%, 12/01/2021(1) | 273,064 | ||||||||
IHS Markit Ltd. | ||||||||||
60,000 | 4.13%, 08/01/2023 | 59,742 | ||||||||
250,000 | 5.00%, 11/01/2022(1) | 255,425 | ||||||||
300,000 | Total System Services, Inc. 3.80%, 04/01/2021 | 300,872 | ||||||||
|
| |||||||||
988,607 | ||||||||||
|
| |||||||||
Construction Materials - 0.3% | ||||||||||
350,000 | Fortune Brands Home & Security, Inc. 4.00%, 09/21/2023 | 349,675 | ||||||||
|
| |||||||||
Diversified Financial Services - 3.6% | ||||||||||
150,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.13%, 07/03/2023 | 147,978 | ||||||||
300,000 | AIG Global Funding 2.70%, 12/15/2021(1) | 295,378 | ||||||||
Air Lease Corp. | ||||||||||
75,000 | 2.13%, 01/15/2020 | 74,312 | ||||||||
75,000 | 2.63%, 07/01/2022 | 72,005 | ||||||||
375,000 | 3.50%, 01/15/2022 | 371,999 |
The accompanying notes are an integral part of these financial statements.
| 19 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 60.1% - (continued) | ||||||||||
Diversified Financial Services - 3.6% - (continued) | ||||||||||
Aircastle Ltd. | ||||||||||
$ | 420,000 | 4.40%, 09/25/2023 | $ | 415,841 | ||||||
165,000 | 5.13%, 03/15/2021 | 169,134 | ||||||||
250,000 | 7.63%, 04/15/2020 | 261,158 | ||||||||
350,000 | Ally Financial, Inc. 4.63%, 05/19/2022 | 356,825 | ||||||||
250,000 | Capital One Bank USA NA 2.30%, 06/05/2019 | 249,558 | ||||||||
375,000 | Credit Agricole S.A. 2.38%, 07/01/2021(1) | 367,323 | ||||||||
400,000 | GE Capital International Funding Co. 2.34%, 11/15/2020 | 390,553 | ||||||||
250,000 | Navient Corp. 5.50%, 01/25/2023 | 241,250 | ||||||||
300,000 | Synchrony Financial 2.70%, 02/03/2020 | 296,857 | ||||||||
|
| |||||||||
3,710,171 | ||||||||||
|
| |||||||||
Electric - 4.2% | ||||||||||
175,000 | AEP Texas, Inc. 2.40%, 10/01/2022 | 168,795 | ||||||||
450,000 | CenterPoint Energy, Inc. 3.85%, 02/01/2024 | 453,122 | ||||||||
125,000 | Dominion Energy, Inc. 2.75%, 01/15/2022 | 122,090 | ||||||||
335,000 | Duquesne Light Holdings, Inc. 6.40%, 09/15/2020(1) | 349,209 | ||||||||
250,000 | EDP Finance B.V. 5.25%, 01/14/2021(1) | 255,545 | ||||||||
50,000 | Emera U.S. Finance L.P. 2.70%, 06/15/2021 | 48,984 | ||||||||
Enel Finance International N.V. | ||||||||||
400,000 | 2.88%, 05/25/2022(1) | 384,631 | ||||||||
250,000 | 4.25%, 09/14/2023(1) | 248,966 | ||||||||
165,000 | Eversource Energy 3.80%, 12/01/2023 | 167,619 | ||||||||
Exelon Corp. | ||||||||||
125,000 | 3.50%, 06/01/2022 | 124,039 | ||||||||
125,000 | 5.15%, 12/01/2020 | 128,695 | ||||||||
150,000 | FirstEnergy Corp. 2.85%, 07/15/2022 | 146,246 | ||||||||
300,000 | Fortis, Inc. 2.10%, 10/04/2021 | 288,969 | ||||||||
175,000 | ITC Holdings Corp. 2.70%, 11/15/2022 | 169,324 | ||||||||
100,000 | NextEra Energy Capital Holdings, Inc. 2.30%, 04/01/2019 | 99,926 | ||||||||
150,000 | Pacific Gas & Electric Co. 3.85%, 11/15/2023* | 124,500 | ||||||||
105,000 | Potomac Electric Power Co. 3.05%, 04/01/2022 | 104,610 | ||||||||
250,000 | Public Service Enterprise Group, Inc. 2.65%, 11/15/2022 | 244,477 | ||||||||
375,000 | South Carolina Electric & Gas Co. 3.50%, 08/15/2021 | 379,822 | ||||||||
300,000 | Southern Co. 2.35%, 07/01/2021 | 293,920 | ||||||||
150,000 | Southwestern Electric Power Co. 3.55%, 02/15/2022 | 150,091 | ||||||||
|
| |||||||||
4,453,580 | ||||||||||
|
| |||||||||
Electronics - 0.2% | ||||||||||
175,000 | Keysight Technologies, Inc. 3.30%, 10/30/2019 | 174,828 | ||||||||
|
| |||||||||
Entertainment - 0.3% | ||||||||||
200,000 | Discovery Communications LLC 2.80%, 06/15/2020(1) | 198,327 | ||||||||
100,000 | Eldorado Resorts, Inc. 7.00%, 08/01/2023 | 104,500 | ||||||||
|
| |||||||||
302,827 | ||||||||||
|
| |||||||||
Food - 1.7% | ||||||||||
Conagra Brands, Inc. | ||||||||||
540,000 | 3.80%, 10/22/2021 | 542,068 | ||||||||
225,000 | 4.30%, 05/01/2024 | 226,387 | ||||||||
450,000 | Danone S.A. 3.00%, 06/15/2022(1) | 444,947 | ||||||||
Kraft Heinz Foods Co. | ||||||||||
150,000 | 3.50%, 07/15/2022 | 150,154 | ||||||||
65,000 | 4.00%, 06/15/2023 | 66,173 | ||||||||
50,000 | Kroger Co. 3.85%, 08/01/2023 | 50,513 | ||||||||
300,000 | Tyson Foods, Inc. 2.25%, 08/23/2021 | 292,367 | ||||||||
|
| |||||||||
1,772,609 | ||||||||||
|
| |||||||||
Forest Products & Paper - 0.2% | ||||||||||
Georgia-Pacific LLC | ||||||||||
75,000 | 2.54%, 11/15/2019(1) | 74,783 | ||||||||
150,000 | 5.40%, 11/01/2020(1) | 155,561 | ||||||||
|
| |||||||||
230,344 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 60.1% - (continued) | ||||||||||
Gas - 0.1% | ||||||||||
$ | 150,000 | CenterPoint Energy Resources Corp. 4.50%, 01/15/2021 | $ | 153,246 | ||||||
|
| |||||||||
Healthcare-Products - 0.3% | ||||||||||
250,000 | Life Technologies Corp. 5.00%, 01/15/2021 | 255,982 | ||||||||
75,000 | Thermo Fisher Scientific, Inc. 3.30%, 02/15/2022 | 75,252 | ||||||||
|
| |||||||||
331,234 | ||||||||||
|
| |||||||||
Healthcare-Services - 1.4% | ||||||||||
Anthem, Inc. | ||||||||||
100,000 | 2.25%, 08/15/2019 | 99,723 | ||||||||
175,000 | 2.95%, 12/01/2022 | 173,189 | ||||||||
150,000 | Cigna Corp. 3.20%, 09/17/2020(1) | 150,187 | ||||||||
100,000 | Cigna Holding Co. 4.00%, 02/15/2022 | 101,452 | ||||||||
240,000 | Halfmoon Parent, Inc. 3.75%, 07/15/2023(1) | 243,212 | ||||||||
150,000 | Laboratory Corp. of America Holdings 3.20%, 02/01/2022 | 149,641 | ||||||||
550,000 | UnitedHealth Group, Inc. 3.50%, 02/15/2024 | 559,342 | ||||||||
|
| |||||||||
1,476,746 | ||||||||||
|
| |||||||||
Insurance - 2.1% | ||||||||||
125,000 | Assurant, Inc. 4.20%, 09/27/2023 | 125,540 | ||||||||
75,000 | Jackson National Life Global Funding 2.50%, 06/27/2022(1) | 72,876 | ||||||||
Liberty Mutual Group, Inc. | ||||||||||
250,000 | 4.95%, 05/01/2022(1) | 260,553 | ||||||||
275,000 | 5.00%, 06/01/2021(1) | 284,059 | ||||||||
165,000 | Marsh & McLennan Cos., Inc. 3.88%, 03/15/2024 | 168,403 | ||||||||
100,000 | Principal Financial Group, Inc. 3.13%, 05/15/2023 | 99,062 | ||||||||
Protective Life Global Funding | ||||||||||
150,000 | 2.70%, 11/25/2020(1) | 148,744 | ||||||||
150,000 | 3.40%, 06/28/2021(1) | 150,089 | ||||||||
250,000 | Reinsurance Group of America, Inc. 5.00%, 06/01/2021 | 259,168 | ||||||||
350,000 | Torchmark Corp. 7.88%, 05/15/2023 | 406,654 | ||||||||
300,000 | Unum Group 3.00%, 05/15/2021 | 296,270 | ||||||||
|
| |||||||||
2,271,418 | ||||||||||
|
| |||||||||
Internet - 0.4% | ||||||||||
200,000 | Alibaba Group Holding Ltd. 2.80%, 06/06/2023 | 194,564 | ||||||||
75,000 | Netflix, Inc. 5.50%, 02/15/2022 | 77,854 | ||||||||
200,000 | Tencent Holdings Ltd. 2.99%, 01/19/2023(1) | 195,806 | ||||||||
|
| |||||||||
468,224 | ||||||||||
|
| |||||||||
Iron/Steel - 0.9% | ||||||||||
ArcelorMittal | ||||||||||
275,000 | 5.13%, 06/01/2020 | 280,989 | ||||||||
200,000 | 6.25%, 02/25/2022 | 212,330 | ||||||||
Steel Dynamics, Inc. | ||||||||||
250,000 | 5.13%, 10/01/2021 | 251,875 | ||||||||
250,000 | 5.25%, 04/15/2023 | 253,125 | ||||||||
|
| |||||||||
998,319 | ||||||||||
|
| |||||||||
IT Services - 0.6% | ||||||||||
125,000 | Dell International LLC / EMC Corp. 3.48%, 06/01/2019(1) | 125,042 | ||||||||
175,000 | DXC Technology Co. 2.88%, 03/27/2020 | 173,944 | ||||||||
250,000 | Hewlett Packard Enterprise Co. 3.50%, 10/05/2021 | 252,026 | ||||||||
100,000 | NCR Corp. 4.63%, 02/15/2021 | 98,750 | ||||||||
|
| |||||||||
649,762 | ||||||||||
|
| |||||||||
Lodging - 0.5% | ||||||||||
225,000 | Marriott International, Inc. 2.30%, 01/15/2022 | 217,581 | ||||||||
250,000 | MGM Resorts International 6.00%, 03/15/2023 | 259,375 | ||||||||
|
| |||||||||
476,956 | ||||||||||
|
| |||||||||
Machinery-Diversified - 0.4% | ||||||||||
75,000 | CNH Industrial Capital LLC 4.38%, 11/06/2020 | 75,469 | ||||||||
200,000 | John Deere Capital Corp. 2.15%, 09/08/2022 | 193,887 |
The accompanying notes are an integral part of these financial statements.
| 20 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 60.1% - (continued) | ||||||||||
Machinery-Diversified - 0.4% - (continued) | ||||||||||
Roper Technologies, Inc. | ||||||||||
$ | 100,000 | 3.00%, 12/15/2020 | $ | 99,714 | ||||||
100,000 | 3.65%, 09/15/2023 | 100,053 | ||||||||
|
| |||||||||
469,123 | ||||||||||
|
| |||||||||
Media - 1.9% | ||||||||||
100,000 | CBS Corp. 2.90%, 06/01/2023 | 96,239 | ||||||||
250,000 | CCO Holdings LLC / CCO Holdings Capital Corp. 5.13%, 05/01/2023(1) | 253,345 | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||||
225,000 | 3.58%, 07/23/2020 | 225,581 | ||||||||
200,000 | 4.50%, 02/01/2024 | 203,735 | ||||||||
345,000 | Comcast Corp. 3.70%, 04/15/2024 | 353,158 | ||||||||
145,000 | Cox Communications, Inc. 2.95%, 06/30/2023(1) | 140,931 | ||||||||
Discovery Communications LLC | ||||||||||
50,000 | 2.20%, 09/20/2019 | 49,638 | ||||||||
196,000 | 3.25%, 04/01/2023 | 190,711 | ||||||||
Fox Corp. | ||||||||||
50,000 | 3.67%, 01/25/2022(1) | 50,493 | ||||||||
65,000 | 4.03%, 01/25/2024(1) | 66,304 | ||||||||
200,000 | Sky plc 2.63%, 09/16/2019(1) | 199,011 | ||||||||
225,000 | Videotron Ltd. 5.00%, 07/15/2022 | 231,345 | ||||||||
|
| |||||||||
2,060,491 | ||||||||||
|
| |||||||||
Mining - 0.5% | ||||||||||
Anglo American Capital plc | ||||||||||
200,000 | 3.75%, 04/10/2022(1) | 198,167 | ||||||||
200,000 | 4.13%, 04/15/2021(1) | 199,714 | ||||||||
100,000 | Glencore Funding LLC 3.00%, 10/27/2022(1) | 96,741 | ||||||||
|
| |||||||||
494,622 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.2% | ||||||||||
250,000 | Pentair Finance S.a.r.l. 2.65%, 12/01/2019 | 248,224 | ||||||||
|
| |||||||||
Office/Business Equipment - 0.4% | ||||||||||
400,000 | Xerox Corp. 2.75%, 09/01/2020 | 389,000 | ||||||||
|
| |||||||||
Oil & Gas - 1.3% | ||||||||||
219,000 | Anadarko Petroleum Corp. 4.85%, 03/15/2021 | 224,442 | ||||||||
150,000 | Canadian Natural Resources Ltd. 3.45%, 11/15/2021 | 149,916 | ||||||||
250,000 | Eni S.p.A. 4.00%, 09/12/2023(1) | 252,164 | ||||||||
250,000 | EOG Resources, Inc. 4.10%, 02/01/2021 | 254,938 | ||||||||
100,000 | EQT Corp. 2.50%, 10/01/2020 | 97,582 | ||||||||
150,000 | Marathon Oil Corp. 2.70%, 06/01/2020 | 148,322 | ||||||||
300,000 | Pioneer Natural Resources Co. 3.45%, 01/15/2021 | 299,884 | ||||||||
|
| |||||||||
1,427,248 | ||||||||||
|
| |||||||||
Oil & Gas Services - 0.3% | ||||||||||
Schlumberger Holdings Corp. | ||||||||||
225,000 | 3.00%, 12/21/2020(1) | 223,896 | ||||||||
100,000 | 3.63%, 12/21/2022(1) | 100,553 | ||||||||
|
| |||||||||
324,449 | ||||||||||
|
| |||||||||
Pharmaceuticals - 3.7% | ||||||||||
AbbVie, Inc. | ||||||||||
75,000 | 2.30%, 05/14/2021 | 73,658 | ||||||||
250,000 | 3.75%, 11/14/2023 | 253,073 | ||||||||
Allergan Funding SCS | ||||||||||
200,000 | 3.00%, 03/12/2020 | 199,834 | ||||||||
200,000 | 3.45%, 03/15/2022 | 199,560 | ||||||||
Bayer U.S. Finance LLC | ||||||||||
200,000 | 2.38%, 10/08/2019(1) | 198,609 | ||||||||
200,000 | 3.50%, 06/25/2021(1) | 199,450 | ||||||||
125,000 | Cardinal Health, Inc. 3.20%, 06/15/2022 | 123,296 | ||||||||
CVS Health Corp. | ||||||||||
300,000 | 3.35%, 03/09/2021 | 301,292 | ||||||||
300,000 | 3.70%, 03/09/2023 | 302,595 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 60.1% - (continued) | ||||||||||
Pharmaceuticals - 3.7% - (continued) | ||||||||||
Elanco Animal Health, Inc. | ||||||||||
$ | 450,000 | 3.91%, 08/27/2021(1) | $ | 450,580 | ||||||
105,000 | 4.27%, 08/28/2023(1) | 105,742 | ||||||||
420,000 | McKesson Corp. 3.65%, 11/30/2020 | 422,804 | ||||||||
Mylan N.V. | ||||||||||
100,000 | 3.15%, 06/15/2021 | 97,812 | ||||||||
125,000 | 3.75%, 12/15/2020 | 124,840 | ||||||||
275,000 | Shire Acquisitions Investments Ireland DAC 1.90%, 09/23/2019 | 272,861 | ||||||||
205,000 | Takeda Pharmaceutical Co., Ltd. 3.80%, 11/26/2020(1) | 207,141 | ||||||||
175,000 | Teva Pharmaceutical Finance Netherlands B.V. 1.70%, 07/19/2019 | 172,594 | ||||||||
250,000 | Zoetis, Inc. 3.45%, 11/13/2020 | 250,840 | ||||||||
|
| |||||||||
3,956,581 | ||||||||||
|
| |||||||||
Pipelines - 2.6% | ||||||||||
200,000 | Andeavor Logistics L.P. / Tesoro Logistics Finance Corp. 3.50%, 12/01/2022 | 197,992 | ||||||||
Energy Transfer Operating L.P. | ||||||||||
120,000 | 4.20%, 09/15/2023 | 120,911 | ||||||||
135,000 | 4.50%, 04/15/2024 | 137,515 | ||||||||
100,000 | 4.65%, 06/01/2021 | 102,378 | ||||||||
Enterprise Products Operating LLC | ||||||||||
100,000 | 2.55%, 10/15/2019 | 99,815 | ||||||||
75,000 | 2.85%, 04/15/2021 | 74,822 | ||||||||
150,000 | 4.05%, 02/15/2022 | 153,614 | ||||||||
275,000 | EQT Midstream Partners L.P. 4.75%, 07/15/2023 | 278,898 | ||||||||
Kinder Morgan Energy Partners L.P. | ||||||||||
175,000 | 3.95%, 09/01/2022 | 177,350 | ||||||||
150,000 | 4.15%, 03/01/2022 | 152,891 | ||||||||
100,000 | MPLX L.P. 3.38%, 03/15/2023 | 99,201 | ||||||||
250,000 | Southern Natural Gas Co. LLC / Southern Natural Issuing Corp. 4.40%, 06/15/2021 | 255,455 | ||||||||
200,000 | Sunoco Logistics Partners Operations L.P. 4.40%, 04/01/2021 | 203,296 | ||||||||
650,000 | Western Gas Partners L.P. 4.00%, 07/01/2022 | 652,202 | ||||||||
|
| |||||||||
2,706,340 | ||||||||||
|
| |||||||||
Real Estate - 0.3% | ||||||||||
300,000 | WEA Finance LLC / Westfield UK & Europe Finance plc 2.70%, 09/17/2019(1) | 299,252 | ||||||||
|
| |||||||||
Real Estate Investment Trusts - 1.7% | ||||||||||
American Tower Corp. | ||||||||||
200,000 | 3.30%, 02/15/2021 | 199,997 | ||||||||
100,000 | 5.00%, 02/15/2024 | 105,574 | ||||||||
250,000 | Brandywine Operating Partnership L.P. 3.95%, 02/15/2023 | 249,487 | ||||||||
Crown Castle International Corp. | ||||||||||
300,000 | 3.15%, 07/15/2023 | 293,063 | ||||||||
100,000 | 5.25%, 01/15/2023 | 105,352 | ||||||||
200,000 | Host Hotels & Resorts L.P. 5.25%, 03/15/2022 | 206,695 | ||||||||
200,000 | Liberty Property L.P. 4.13%, 06/15/2022 | 204,460 | ||||||||
150,000 | Realty Income Corp. 3.25%, 10/15/2022 | 149,379 | ||||||||
100,000 | Simon Property Group L.P. 2.75%, 06/01/2023 | 97,411 | ||||||||
200,000 | Welltower, Inc. 3.95%, 09/01/2023 | 201,551 | ||||||||
|
| |||||||||
1,812,969 | ||||||||||
|
| |||||||||
Retail - 0.5% | ||||||||||
175,000 | Alimentation Couche-Tard, Inc. 2.35%, 12/13/2019(1) | 173,729 | ||||||||
250,000 | AutoNation, Inc. 3.35%, 01/15/2021 | 248,599 | ||||||||
150,000 | Dollar Tree, Inc. 3.70%, 05/15/2023 | 148,226 | ||||||||
|
| |||||||||
570,554 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 21 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 60.1% - (continued) | ||||||||||
Semiconductors - 0.7% | ||||||||||
$ | 300,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd. 2.38%, 01/15/2020 | $ | 297,677 | ||||||
250,000 | Microchip Technology, Inc. 4.33%, 06/01/2023(1) | 246,288 | ||||||||
155,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(1) | 159,009 | ||||||||
75,000 | QUALCOMM, Inc. 3.00%, 05/20/2022 | 74,857 | ||||||||
|
| |||||||||
777,831 | ||||||||||
|
| |||||||||
Software - 1.1% | ||||||||||
250,000 | Activision Blizzard, Inc. 2.60%, 06/15/2022 | 244,218 | ||||||||
Fidelity National Information Services, Inc. | ||||||||||
300,000 | 2.25%, 08/15/2021 | 291,717 | ||||||||
275,000 | 3.63%, 10/15/2020 | 276,808 | ||||||||
310,000 | Fiserv, Inc. 3.80%, 10/01/2023 | 310,263 | ||||||||
|
| |||||||||
1,123,006 | ||||||||||
|
| |||||||||
Telecommunications - 0.7% | ||||||||||
AT&T, Inc. | ||||||||||
100,000 | 2.80%, 02/17/2021 | 99,488 | ||||||||
125,000 | 3.00%, 06/30/2022 | 124,018 | ||||||||
150,000 | Nokia Oyj 3.38%, 06/12/2022 | 147,563 | ||||||||
Telefonica Emisiones SAU | ||||||||||
200,000 | 5.13%, 04/27/2020 | 204,459 | ||||||||
200,000 | 5.46%, 02/16/2021 | 208,851 | ||||||||
|
| |||||||||
784,379 | ||||||||||
|
| |||||||||
Transportation - 1.4% | ||||||||||
400,000 | Canadian Pacific Railway Co. 4.50%, 01/15/2022 | 410,886 | ||||||||
250,000 | CSX Corp. 4.25%, 06/01/2021 | 255,634 | ||||||||
Penske Truck Leasing Co. L.P. / PTL Finance Corp. | ||||||||||
175,000 | 2.50%, 06/15/2019(1) | 174,653 | ||||||||
175,000 | 2.70%, 03/14/2023(1) | 167,238 | ||||||||
250,000 | 4.13%, 08/01/2023(1) | 251,389 | ||||||||
200,000 | 4.25%, 01/17/2023(1) | 202,211 | ||||||||
|
| |||||||||
1,462,011 | ||||||||||
|
| |||||||||
Trucking & Leasing - 0.7% | ||||||||||
200,000 | Aviation Capital Group LLC 3.88%, 05/01/2023(1) | 197,099 | ||||||||
GATX Corp. | ||||||||||
250,000 | 2.50%, 07/30/2019 | 249,197 | ||||||||
250,000 | 4.35%, 02/15/2024 | 253,821 | ||||||||
|
| |||||||||
700,117 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 63,768,384 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 22.3%(7) | ||||||||||
Aerospace/Defense - 0.3% | ||||||||||
$ | 298,249 | TransDigm, Inc. 1 mo. USD LIBOR + 2.500%, 5.00%, 06/09/2023 | $ | 291,663 | ||||||
|
| |||||||||
Airlines - 0.1% | ||||||||||
118,763 | American Airlines, Inc. 1 mo. USD LIBOR + 2.000%, 4.52%, 10/12/2021 | 117,074 | ||||||||
|
| |||||||||
Auto Parts & Equipment - 0.2% | ||||||||||
161,922 | Altra Industrial Motion Corp. 1 mo. USD LIBOR + 2.000%, 4.50%, 10/01/2025 | 158,818 | ||||||||
|
| |||||||||
Chemicals - 0.8% | ||||||||||
345,000 | Cabot Microelectronics Corp. 1 mo. ICE LIBOR + 2.250%, 4.75%, 11/14/2025 | 341,981 | ||||||||
285,000 | Platform Specialty Products Corp. 1 mo. ICE LIBOR + 2.250%, 0.00%, 11/14/2025(8) | 281,557 | ||||||||
Starfruit Finco B.V | ||||||||||
EUR | 100,000 | 3 mo. EURIBOR + 3.750%, 3.75%, 10/01/2025 | 114,626 | |||||||
$ | 100,000 | 1 mo. USD LIBOR + 3.250%, 5.75%, 10/01/2025 | 97,688 | |||||||
|
| |||||||||
835,852 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 22.3%(7) - (continued) | ||||||||||
Commercial Services - 3.2% | ||||||||||
$ | 220,000 | Allied Universal Holdco LLC 2 mo. USD LIBOR + 4.250%, 6.75%, 07/28/2022 | $ | 211,750 | ||||||
175,000 | Blackhawk Network Holdings, Inc. 1 mo. USD LIBOR + 3.000%, 0.00%, 06/15/2025(8) | 171,587 | ||||||||
125,000 | BrightView Landscapes, LLC 1 mo. USD LIBOR + 2.500%, 0.00%, 08/15/2025(8) | 123,438 | ||||||||
465,000 | Global Payments Inc. 3 mo. USD LIBOR + 1.750%, 4.25%, 10/17/2025 | 454,733 | ||||||||
170,000 | Quad/Graphics, Inc. 1 mo. USD LIBOR + 5.000%, 0.00%, 01/31/2026(8) | 169,362 | ||||||||
200,000 | Quikrete Holdings, Inc. 1 mo. USD LIBOR + 2.750%, 5.25%, 11/15/2023 | 193,594 | ||||||||
163,740 | Russell Investments U.S. Inst’l Holdco, Inc. 3 mo. USD LIBOR + 3.250%, 5.75%, 06/01/2023 | 161,284 | ||||||||
EUR | 170,000 | Techem GmbH 3 mo. EURIBOR + 3.750%, 3.75%, 07/31/2025 | 195,310 | |||||||
$ | 124,684 | Tempo Acquisition LLC 1 mo. USD LIBOR + 3.000%, 5.50%, 05/01/2024 | 122,235 | |||||||
224,500 | Trans Union LLC 1 mo. USD LIBOR + 2.000%, 4.50%, 06/19/2025 | 221,373 | ||||||||
927,675 | United Rentals, Inc. 1 mo. ICE LIBOR + 1.750%, 4.25%, 10/31/2025 | 921,682 | ||||||||
EUR | 340,000 | Verisure Holding AB 3 mo. EURIBOR + 3.500%, 0.00%, 10/21/2022(8) | 388,128 | |||||||
|
| |||||||||
3,334,476 | ||||||||||
|
| |||||||||
Construction Materials - 0.5% | ||||||||||
$ | 518,697 | NCI Building Systems, Inc. 3 mo. USD LIBOR + 3.750%, 6.55%, 04/12/2025 | 493,410 | |||||||
|
| |||||||||
Distribution/Wholesale - 0.6% | ||||||||||
199,497 | Beacon Roofing Supply, Inc. 1 mo. USD LIBOR + 2.250%, 4.77%, 01/02/2025 | 193,584 | ||||||||
99,500 | Hamilton Holdco LLC 1 mo. USD LIBOR + 2.000%, 4.81%, 07/02/2025 | 98,381 | ||||||||
374,063 | HD Supply, Inc. 1 mo. USD LIBOR + 1.750%, 4.25%, 10/17/2023 | 369,465 | ||||||||
|
| |||||||||
661,430 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.6% | ||||||||||
199,492 | AlixPartners LLP 3 mo. USD LIBOR + 2.750%, 5.25%, 04/04/2024 | 196,811 | ||||||||
198,998 | Crown Finance U.S., Inc. 1 mo. USD LIBOR + 2.500%, 5.00%, 02/28/2025 | 193,973 | ||||||||
125,000 | Financial & Risk US Holdings, Inc. 1 mo. USD LIBOR + 3.750%, 6.25%, 10/01/2025 | 119,922 | ||||||||
129,669 | NFP Corp. 1 mo. USD LIBOR + 3.000%, 5.50%, 01/08/2024 | 124,353 | ||||||||
33,761 | SS&C European Holdings S.a.r.l. 1 mo. USD LIBOR + 2.250%, 4.75%, 04/16/2025 | 33,053 | ||||||||
|
| |||||||||
668,112 | ||||||||||
|
| |||||||||
Electric - 0.2% | ||||||||||
194,005 | NRG Energy, Inc. 3 mo. USD LIBOR + 1.750%, 4.25%, 06/30/2023 | 190,610 | ||||||||
|
| |||||||||
Energy-Alternate Sources - 0.3% | ||||||||||
174,561 | BCP Renaissance Parent LLC 3 mo. USD LIBOR + 3.500%, 6.24%, 10/31/2024 | 172,561 | ||||||||
149,373 | Vistra Energy Corp. 1 mo. USD LIBOR + 2.000%, 4.51%, 12/31/2025 | 146,428 | ||||||||
|
| |||||||||
318,989 | ||||||||||
|
| |||||||||
Engineering & Construction - 0.2% | ||||||||||
166,667 | DAE Aviation Holdings, Inc. 1 mo. ICE LIBOR + 4.000%, 0.00%, 01/23/2026(8) | 165,952 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 22 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 22.3%(7) - (continued) | ||||||||||
Entertainment - 0.1% | ||||||||||
$ | 114,033 | Hilton Worldwide Finance LLC 1 mo. USD LIBOR + 1.750%, 4.26%, 10/25/2023 | $ | 112,708 | ||||||
|
| |||||||||
Environmental Control - 0.3% | ||||||||||
348,232 | Clean Harbors, Inc. 1 mo. USD LIBOR + 1.750%, 4.25%, 06/28/2024 | 344,315 | ||||||||
|
| |||||||||
Food - 0.3% | ||||||||||
189,523 | IRB Holding Corp 1 mo. USD LIBOR + 3.250%, 5.76%, 02/05/2025 | 184,257 | ||||||||
135,279 | Post Holdings, Inc. 1 mo. USD LIBOR + 2.000%, 4.52%, 05/24/2024 | 133,419 | ||||||||
|
| |||||||||
317,676 | ||||||||||
|
| |||||||||
Food Service - 0.4% | ||||||||||
393,500 | Aramark Services, Inc. 3 mo. USD LIBOR + 1.750%, 4.25%, 03/11/2025 | 390,549 | ||||||||
|
| |||||||||
Gas - 0.3% | ||||||||||
190,000 | Messer Industries GmbH 1 mo. USD LIBOR + 2.500%, 0.00%, 10/01/2025(8) | 185,725 | ||||||||
EUR | 100,000 | 3 mo. EURIBOR + 2.750% , 0.00%, 10/01/2025(8) | 114,601 | |||||||
|
| |||||||||
300,326 | ||||||||||
|
| |||||||||
Healthcare-Products - 0.3% | ||||||||||
$ | 125,000 | Avantor, Inc. 1 mo. USD LIBOR + 4.000%, 6.57%, 11/21/2024 | 124,469 | |||||||
248,741 | Parexel International Corp. 1 mo. USD LIBOR + 2.750%, 5.25%, 09/27/2024 | 235,060 | ||||||||
|
| |||||||||
359,529 | ||||||||||
|
| |||||||||
Healthcare-Services - 1.9% | ||||||||||
460,000 | Envision Healthcare Corp. 1 mo. USD LIBOR + 3.750%, 6.25%, 10/10/2025 | 432,630 | ||||||||
168,047 | Gentiva Health Services, Inc. 1 mo. USD LIBOR + 3.750%, 6.25%, 07/02/2025 | 166,787 | ||||||||
EUR | 189,050 | IQVIA, Inc. 3 mo. EURIBOR + 2.000%, 2.50%, 06/11/2025 | 216,520 | |||||||
$ | 274,306 | Surgery Center Holdings, Inc. 1 mo. USD LIBOR + 3.250%, 5.75%, 09/02/2024 | 266,693 | |||||||
200,000 | Syneos Health, Inc. 1 mo. USD LIBOR + 2.000%, 0.00%, 08/01/2024(8) | 196,416 | ||||||||
690,000 | Universal Health Services, Inc. 1 mo. USD LIBOR + 1.750%, 4.25%, 10/31/2025 | 688,275 | ||||||||
|
| |||||||||
1,967,321 | ||||||||||
|
| |||||||||
Household Products - 0.1% | ||||||||||
124,685 | Diamond (BC) B.V. 2 mo. USD LIBOR + 3.000%, 5.74%, 09/06/2024 | 117,283 | ||||||||
|
| |||||||||
Insurance - 0.9% | ||||||||||
Asurion LLC | ||||||||||
91,716 | 1 mo. USD LIBOR + 3.000%, 5.50%, 08/04/2022 | 90,176 | ||||||||
233,825 | 1 mo. USD LIBOR + 3.000%, 5.50%, 11/03/2024 | 229,927 | ||||||||
100,000 | 1 mo. USD LIBOR + 6.500%, 9.00%, 08/04/2025 | 100,500 | ||||||||
249,373 | Hub International Ltd. 2 mo. USD LIBOR + 2.750%, 5.51%, 04/25/2025 | 240,099 | ||||||||
320,000 | Sedgwick Claims Management Services, Inc. 1 mo. USD LIBOR + 3.250%, 5.75%, 12/31/2025 | 311,466 | ||||||||
|
| |||||||||
972,168 | ||||||||||
|
| |||||||||
IT Services - 0.4% | ||||||||||
473,813 | Science Applications International Corp. 1 mo. ICE LIBOR + 0.017%, 4.25%, 10/31/2025 | 466,312 | ||||||||
|
| |||||||||
Leisure Time - 0.7% | ||||||||||
248,870 | Caesars Resort Collection LLC 1 mo. USD LIBOR + 2.750%, 5.25%, 12/22/2024 | 245,170 | ||||||||
225,000 | Delta (LUX) S.a.r.l. 1 mo. USD LIBOR + 2.500%, 5.00%, 02/01/2024 | 216,094 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 22.3%(7) - (continued) | ||||||||||
Leisure Time - 0.7% - (continued) | ||||||||||
$ | 250,000 | Penn National Gaming, Inc. 3 mo. USD LIBOR + 2.250%, 0.00%, 10/15/2025(8) | $ | 246,510 | ||||||
|
| |||||||||
707,774 | ||||||||||
|
| |||||||||
Lodging - 1.1% | ||||||||||
299,177 | Boyd Gaming Corp. 1 Week USD LIBOR + 2.250%, 4.66%, 09/15/2023 | 294,878 | ||||||||
373,055 | Caesars Entertainment Operating Co. 1 mo. USD LIBOR + 2.000%, 4.50%, 10/06/2024 | 365,128 | ||||||||
99,250 | Las Vegas Sands LLC 1 mo. USD LIBOR + 1.750%, 4.25%, 03/27/2025 | 97,307 | ||||||||
400,000 | Wynn Resorts, Limited 1 mo. USD LIBOR + 2.250%, 4.75%, 10/30/2024 | 389,428 | ||||||||
|
| |||||||||
1,146,741 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.1% | ||||||||||
110,000 | Brookfield WEC Holdings, Inc. 1 mo. USD LIBOR + 3.750%, 6.25%, 08/01/2025 | 109,352 | ||||||||
|
| |||||||||
Media - 2.2% | ||||||||||
520,000 | CSC Holdings, LLC 1 mo. ICE LIBOR + 2.250%, 4.76%, 01/15/2026 | 500,500 | ||||||||
430,000 | Gray Television, Inc. 1 mo. ICE LIBOR + 2.500%, 5.02%, 01/02/2026 | 423,731 | ||||||||
48,146 | Mission Broadcasting, Inc. 1 mo. ICE LIBOR + 2.250%, 0.00%, 01/17/2024(8) | 46,521 | ||||||||
150,000 | MTN Infrastructure TopCo, Inc. 1 mo. USD LIBOR + 3.000%, 5.50%, 11/15/2024 | 147,638 | ||||||||
278,500 | Nexstar Broadcasting, Inc. 1 mo. ICE LIBOR + 2.250%, 0.00%, 01/17/2024(8) | 269,100 | ||||||||
124,373 | PSAV Holdings LLC 3 mo. USD LIBOR + 3.250%, 5.88%, 03/01/2025 | 118,673 | ||||||||
125,000 | Telenet Financing USD LLC 1 mo. USD LIBOR + 2.250%, 4.76%, 08/15/2026 | 121,510 | ||||||||
300,000 | Tribune Media Co. 1 mo. USD LIBOR + 3.000%, 5.50%, 01/27/2024 | 298,125 | ||||||||
400,000 | Unitymedia Finance LLC 1 mo. USD LIBOR + 2.250%, 0.00%, 09/30/2025(8) | 393,436 | ||||||||
|
| |||||||||
2,319,234 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.4% | ||||||||||
259,790 | H.B. Fuller Co. 1 mo. USD LIBOR + 2.000%, 4.50%, 10/20/2024 | 254,594 | ||||||||
223,304 | USI, Inc. 3 mo. USD LIBOR + 3.000%, 5.80%, 05/16/2024 | 213,814 | ||||||||
|
| |||||||||
468,408 | ||||||||||
|
| |||||||||
Oil & Gas - 0.2% | ||||||||||
159,600 | Grizzly Acquisitions, Inc. 1 mo. USD LIBOR + 3.250%, 6.05%, 10/01/2025 | 158,636 | ||||||||
99,750 | Traverse Midstream Partners LLC 3 mo. USD LIBOR + 4.000%, 6.60%, 09/27/2024 | 99,106 | ||||||||
|
| |||||||||
257,742 | ||||||||||
|
| |||||||||
Packaging & Containers - 1.0% | ||||||||||
200,000 | Berry Global, Inc. 1 mo. USD LIBOR + 2.000%, 4.52%, 10/01/2022 | 197,876 | ||||||||
134,325 | Flex Acquisition Co., Inc. 1 mo. USD LIBOR + 3.250%, 5.77%, 06/29/2025 | 130,362 | ||||||||
274,307 | Multi Color Corp. 1 mo. USD LIBOR + 2.000%, 4.50%, 10/31/2024 | 267,965 | ||||||||
249,621 | Plastipak Packaging, Inc. 1 mo. USD LIBOR + 2.500%, 5.00%, 10/14/2024 | 243,174 | ||||||||
199,491 | Reynolds Group Holdings, Inc. 1 mo. USD LIBOR + 2.750%, 5.25%, 02/05/2023 | 196,481 | ||||||||
|
| |||||||||
1,035,858 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 23 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 22.3%(7) - (continued) | ||||||||||
Pharmaceuticals - 0.8% | ||||||||||
$ | 380,188 | Bausch Health Companies Inc. 1 mo. USD LIBOR + 2.750%, 5.26%, 11/27/2025 | $ | 374,602 | ||||||
124,684 | Endo Luxembourg Finance Co. S.a r.l. 1 mo. USD LIBOR + 4.250%, 6.75%, 04/29/2024 | 123,333 | ||||||||
100,000 | IQVIA, Inc. 3 mo. USD LIBOR + 2.000%, 4.80%, 03/07/2024 | 99,050 | ||||||||
299,250 | NVA Holdings, Inc. 3 mo. USD LIBOR + 2.750%, 5.25%, 02/02/2025 | 285,784 | ||||||||
|
| |||||||||
882,769 | ||||||||||
|
| |||||||||
Real Estate - 0.1% | ||||||||||
100,000 | VICI Properties LLC 1 mo. USD LIBOR + 2.000%, 4.50%, 12/20/2024 | 98,094 | ||||||||
|
| |||||||||
Retail - 1.2% | ||||||||||
223,295 | American Builders & Contractors Supply Co., Inc. 1 mo. USD LIBOR + 2.000%, 4.50%, 10/31/2023 | 217,601 | ||||||||
275,000 | B.C. Unlimited Liability Co. 1 mo. USD LIBOR + 2.250%, 4.75%, 02/16/2024 | 270,188 | ||||||||
389,015 | Bass Pro Group LLC 1 mo. USD LIBOR + 5.000%, 7.50%, 09/25/2024 | 384,152 | ||||||||
150,000 | Belron Finance U.S. LLC 1 mo. USD LIBOR + 2.500%, 5.12%, 11/13/2025 | 147,938 | ||||||||
249,361 | U.S. Foods, Inc. 1 mo. USD LIBOR + 2.000%, 4.50%, 06/27/2023 | 244,997 | ||||||||
|
| |||||||||
1,264,876 | ||||||||||
|
| |||||||||
Semiconductors - 0.3% | ||||||||||
350,000 | Microchip Technology, Inc. 1 mo. USD LIBOR + 2.000%, 4.50%, 05/29/2025 | 343,875 | ||||||||
|
| |||||||||
Software - 1.7% | ||||||||||
218,750 | Change Healthcare Holdings LLC 1 mo. USD LIBOR + 2.750%, 5.25%, 03/01/2024 | 213,937 | ||||||||
First Data Corp. | ||||||||||
238,517 | 1 mo. USD LIBOR + 2.000%, 4.52%, 07/08/2022 | 237,484 | ||||||||
225,000 | 1 mo. USD LIBOR + 2.000%, 4.52%, 04/26/2024 | 224,087 | ||||||||
200,000 | Go Daddy Operating Co. LLC 1 mo. USD LIBOR + 2.250%, 0.00%, 02/15/2024(8) | 197,286 | ||||||||
19,298 | MA FinanceCo. LLC 1 mo. USD LIBOR + 2.500%, 0.00%, 06/21/2024(8) | 18,639 | ||||||||
130,324 | Seattle Spinco, Inc. 1 mo. USD LIBOR + 2.500%, 0.00%, 06/21/2024(8) | 125,871 | ||||||||
466,821 | SS&C Technologies, Inc. 1 mo. USD LIBOR + 2.250%, 4.75%, 04/16/2025 | 457,494 | ||||||||
100,000 | Web.com Group, Inc. 3 mo. USD LIBOR + 3.750%, 6.27%, 10/10/2025 | 96,500 | ||||||||
249,361 | WEX, Inc. 1 mo. USD LIBOR + 2.250%, 4.75%, 06/30/2023 | 245,309 | ||||||||
|
| |||||||||
1,816,607 | ||||||||||
|
| |||||||||
Telecommunications - 0.4% | ||||||||||
472,661 | Sprint Communications, Inc. 1 mo. USD LIBOR + 2.500%, 5.00%, 02/02/2024 | 461,435 | ||||||||
|
| |||||||||
Transportation - 0.1% | ||||||||||
148,691 | Savage Enterprises LLC 1 mo. USD LIBOR + 4.500%, 7.02%, 08/01/2025 | 148,227 | ||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 23,645,565 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 9.6% | ||||||||||
Mortgage-Backed Agencies - 9.6% | ||||||||||
FHLMC - 3.2% | ||||||||||
$ | 575,000 | 1.13%, 08/12/2021 | $ | 556,935 | ||||||
366,194 | 1.50%, 01/15/2027 | 353,109 | ||||||||
422,222 | 2.00%, 09/15/2041 | 406,618 |
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 9.6% - (continued) | ||||||||||
Mortgage-Backed Agencies - 9.6% - (continued) | ||||||||||
FHLMC - 3.2% - (continued) | ||||||||||
$ | 365,101 | 3.00%, 01/01/2033 | $ | 365,690 | ||||||
503,031 | 3.00%, 05/15/2037 | 504,050 | ||||||||
500,000 | 1 mo. USD LIBOR + 0.750%, 3.26%, 10/25/2048(1)(2) | 498,924 | ||||||||
319,721 | 3.50%, 09/15/2043 | 326,629 | ||||||||
304,916 | 3.75%, 05/15/2039 | 310,262 | ||||||||
53,532 | 3.82%, 05/25/2048(1)(3) | 53,506 | ||||||||
|
| |||||||||
3,375,723 | ||||||||||
|
| |||||||||
FNMA - 5.1% | ||||||||||
382,733 | 2.00%, 07/25/2039 | 373,873 | ||||||||
577,254 | 2.50%, 03/25/2035 | 563,450 | ||||||||
212,612 | 2.55%, 07/25/2044 | 209,488 | ||||||||
395,122 | 3.00%, 11/01/2032 | 396,186 | ||||||||
868,088 | 3.00%, 02/25/2043 | 867,759 | ||||||||
282,704 | 3.00%, 04/25/2043 | 284,188 | ||||||||
429,892 | 3.00%, 05/25/2047 | 427,827 | ||||||||
286,760 | 3.50%, 03/01/2033 | 292,160 | ||||||||
1,050,000 | 3.50%, 02/01/2034(9) | 1,069,605 | ||||||||
639,780 | 3.50%, 10/25/2035 | 649,358 | ||||||||
277,373 | 3.50%, 07/25/2054 | 281,027 | ||||||||
|
| |||||||||
5,414,921 | ||||||||||
|
| |||||||||
GNMA - 1.3% | ||||||||||
$ | 491,862 | 2.00%, 05/20/2046 | $ | 470,659 | ||||||
957,531 | 2.50%, 10/20/2041 | 945,554 | ||||||||
|
| |||||||||
1,416,213 | ||||||||||
|
| |||||||||
10,206,857 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 10,206,857 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 107,297,639 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||||
Other Investment Pools & Funds - 1.8% | ||||||||||
1,930,324 | Fidelity Institutional Government Fund, Institutional Class, 2.31%(10) | 1,930,324 | ||||||||
|
| |||||||||
Total Short-Term Investments (cost $1,930,324) | $ | 1,930,324 | ||||||||
|
|
Total Investments | 103.0 | % | $ | 109,227,963 | ||||||||||
Other Assets and Liabilities | (3.0 | )% | (3,140,220 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 106,087,743 | ||||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
* | Non-income producing. For long-term debt securities, items identified are in default as to payment of interest and/or principal. |
The accompanying notes are an integral part of these financial statements.
| 24 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At January 31, 2019, the aggregate value of these securities was $25,130,220, representing 23.7% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2019. |
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | This security is valued in good faith at fair value as determined under policies and procedures established by and under the supervision of the Board of Trustees. At January 31, 2019, the aggregate fair value of this security was $366,074, which represented 0.3% of total net assets. This amount excludes securities that are principally traded in certain foreign markets and whose prices are adjusted pursuant to a third party pricing service methodology approved by the Board of Trustees. |
(5) | Investment valued using significant unobservable inputs. |
(6) | Security is a“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(7) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the LIBOR, and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit rate or other base lending rates used by commercial lenders. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of January 31, 2019. |
(8) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(9) | Represents or includes a TBA transaction. |
(10) | Current yield as of period end. |
Futures Contracts Outstanding at January 31, 2019 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
U.S. Treasury2-Year Note Future | 61 | 03/29/2019 | $ | 12,952,016 | $ | 91,982 | ||||||||||
|
| |||||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury5-Year Note Future | 119 | 03/29/2019 | $ | 13,668,266 | $ | (233,702 | ) | |||||||||
U.S. Treasury10-Year Note Future | 25 | 03/20/2019 | 3,061,719 | (83,468 | ) | |||||||||||
|
| |||||||||||||||
Total |
| $ | (317,170 | ) | ||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (225,188 | ) | ||||||||||||
|
|
Foreign Currency Contracts Outstanding at January 31, 2019 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
1,020,770 | USD | 899,000 | EUR | GSC | 02/28/19 | $ | — | $ | (13,224 | ) | ||||||||||||||
|
|
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
GLOSSARY: (abbreviations used in preceding Schedule of Investments) | ||
Counterparty Abbreviations: | ||
GSC | Goldman Sachs & Co. | |
Currency Abbreviations: | ||
EUR | Euro | |
USD | United States Dollar | |
Index Abbreviations: | ||
ICE | Intercontinental Exchange, Inc. |
Other Abbreviations: | ||
CLO | Collateralized Loan Obligation | |
CMO | Collateralized Mortgage Obligation | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
LIBOR | London Interbank Offered Rate | |
TBA | To Be Announced |
The accompanying notes are an integral part of these financial statements.
| 25 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage Backed Securities | $ | 9,676,833 | $ | — | $ | 9,310,759 | $ | 366,074 | ||||||||
Corporate Bonds | 63,768,384 | — | 63,768,384 | — | ||||||||||||
Senior Floating Rate Interests | 23,645,565 | — | 23,645,565 | — | ||||||||||||
U.S. Government Agencies | 10,206,857 | — | 10,206,857 | — | ||||||||||||
Short-Term Investments | 1,930,324 | 1,930,324 | — | — | ||||||||||||
Futures Contracts(2) | 91,982 | 91,982 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 109,319,945 | $ | 2,022,306 | $ | 106,931,565 | $ | 366,074 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Foreign Currency Contracts(2) | $ | (13,224 | ) | $ | — | $ | (13,224 | ) | $ | — | ||||||
Futures Contracts(2) | (317,170 | ) | (317,170 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (330,394 | ) | $ | (317,170 | ) | $ | (13,224 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2019, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for thesix-month period ended January 31, 2019 is not presented.
The accompanying notes are an integral part of these financial statements.
| 26 |
|
Hartford Total Return Bond ETF |
Schedule of Investments
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 22.7% | ||||||||||
Asset-Backed - Finance & Insurance - 5.7% | ||||||||||
$ | 85,755 | Ajax Mortgage Loan Trust 3.16%, 09/25/2056(1)(2) | $ | 84,759 | ||||||
Apidos CLO |
| |||||||||
1,060,000 | 3 mo. USD LIBOR + 0.930%, 3.71%, 07/18/2027(1)(3) | 1,050,516 | ||||||||
975,000 | 3 mo. USD LIBOR + 1.080%, 3.87%, 04/15/2031(1)(3) | 965,718 | ||||||||
340,000 | Atlas Senior Loan Fund Ltd. 3 mo. USD LIBOR + 0.870%, 3.63%, 04/20/2028(1)(3) | 336,348 | ||||||||
250,000 | Avery Point CLO Ltd. 3 mo. USD LIBOR + 1.050%, 3.63%, 08/05/2027(1)(3) | 248,412 | ||||||||
104,193 | Bayview Koitere Fund Trust 3.50%, 07/28/2057(1)(2) | 103,339 | ||||||||
73,020 | Bayview Opportunity Master Fund Trust 3.50%, 10/28/2057(1)(2) | 72,445 | ||||||||
Bellemeade Re Ltd. |
| |||||||||
950,000 | 1 mo. USD LIBOR + 0.950%, 3.46%, 08/25/2028(1)(3) | 949,373 | ||||||||
1,327,000 | 1 mo. USD LIBOR + 1.200%, 3.71%, 10/25/2027(1)(3) | 1,324,490 | ||||||||
BlueMountain CLO Ltd. |
| |||||||||
600,000 | 3 mo. USD LIBOR + 0.930%, 3.71%, 07/18/2027(1)(3) | 593,815 | ||||||||
1,050,000 | 3 mo. USD LIBOR + 1.180%, 3.94%, 10/22/2030(1)(3) | 1,043,634 | ||||||||
970,000 | Bowman Park CLO Ltd. 3 mo. USD LIBOR + 1.180%, 3.86%, 11/23/2025(1)(3) | 970,655 | ||||||||
Carlyle Global Market Strategies CLO Ltd. |
| |||||||||
1,095,000 | 1 mo. USD LIBOR + 0.780%, 3.55%, 04/27/2027(1)(3) | 1,089,090 | ||||||||
950,000 | 3 mo. USD LIBOR + 1.000%, 3.79%, 01/15/2031(1)(3) | 937,899 | ||||||||
330,000 | CIFC Funding Ltd. 3 mo. USD LIBOR + 0.870%, 3.63%, 04/19/2029(1)(3) | 325,436 | ||||||||
375,000 | Cirrus Funding Ltd. 4.80%, 01/25/2037(1) | 381,729 | ||||||||
1,550,000 | Cole Park CLO Ltd. 3 mo. USD LIBOR + 1.05%, 3.81%, 10/20/2028(1)(3) | 1,541,909 | ||||||||
49,625 | Domino’s Pizza Master Issuer LLC 4.12%, 07/25/2048(1) | 49,554 | ||||||||
261,819 | Drug Royalty L.P. 3 mo. USD LIBOR + 1.60%, 4.39%, 10/15/2031(1)(3) | 261,814 | ||||||||
1,550,000 | Dryden Senior Loan Fund 3 mo. USD LIBOR + 1.430%, 4.22%, 10/16/2028(1)(3) | 1,550,635 | ||||||||
433,000 | Eagle Re Ltd. 1 mo. USD LIBOR + 1.700%, 4.21%, 11/25/2028(1)(3) | 432,999 | ||||||||
1,550,000 | KKR CLO Ltd. 3 mo. USD LIBOR + 1.340%, 4.13%, 04/15/2029(1)(3) | 1,548,648 | ||||||||
250,000 | Magnetite Ltd. 3 mo. USD LIBOR + 0.800%, 3.59%, 01/15/2028(1)(3) | 245,653 | ||||||||
204,731 | MFA Trust 3.35%, 11/25/2047(1)(4) | 202,336 | ||||||||
495,555 | Oak Hill Advisors Residential Loan Trust 3.00%, 06/25/2057(1)(4) | 486,265 | ||||||||
1,000,000 | Octagon Investment Partners Ltd. 3 mo. USD LIBOR + 1.020%, 3.79%, 07/17/2030(1)(3) | 982,782 | ||||||||
95,021 | Preston Ridge Partners Mortgage Trust, LLC. 4.00%, 08/25/2023(1)(2) | 94,496 | ||||||||
1,560,000 | Regional Management Issuance Trust 4.56%, 01/18/2028(1) | 1,569,944 | ||||||||
Sound Point CLO Ltd. |
| |||||||||
250,000 | 3 mo. USD LIBOR + 1.070%, 3.84%, 01/26/2031(1)(3) | 246,802 | ||||||||
1,295,000 | 3 mo. USD LIBOR + 1.100%, 3.86%, 07/20/2028(1)(3) | 1,286,694 | ||||||||
950,000 | 1 mo. USD LIBOR + 1.150%, 3.93%, 04/18/2031(1)(3) | 940,784 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 22.7% - (continued) | ||||||||||
Asset-Backed - Finance & Insurance - 5.7% - (continued) | ||||||||||
Towd Point Mortgage Trust |
| |||||||||
$ | 1,532,059 | 2.75%, 10/25/2056(1)(2) | $ | 1,499,348 | ||||||
1,971,818 | 2.75%, 06/25/2057(1)(2) | 1,926,957 | ||||||||
2,639,143 | 2.75%, 10/25/2057(1)(2) | 2,568,018 | ||||||||
127,198 | 3.75%, 05/25/2058(1)(2) | 127,723 | ||||||||
765,000 | Treman Park CLO Ltd. 3 mo. USD LIBOR + 1.070%, 3.83%, 10/20/2028(1)(3) | 762,283 | ||||||||
1,008,317 | Vantage Data Centers Issuer LLC 4.20%, 11/16/2043(1) | 1,008,317 | ||||||||
955,000 | Voya CLO Ltd. 3 mo. USD LIBOR + 0.900%, 3.68%, 01/18/2029(1)(3) | 943,201 | ||||||||
608,850 | Wendy’s Funding LLC 3.88%, 03/15/2048(1) | 596,557 | ||||||||
270,000 | Wingstop Funding LLC 4.97%, 12/05/2048(1) | 276,475 | ||||||||
|
| |||||||||
31,627,852 | ||||||||||
|
| |||||||||
Asset-Backed - Home Equity - 0.5% | ||||||||||
94,922 | Legacy Mortgage Asset Trust 4.00%, 03/25/2058(1)(4) | 94,624 | ||||||||
New Residential Mortgage Loan Trust |
| |||||||||
893,740 | 4.00%, 08/27/2057(1)(2) | 898,330 | ||||||||
1,546,020 | 4.00%, 12/25/2057(1)(2) | 1,567,824 | ||||||||
|
| |||||||||
2,560,778 | ||||||||||
|
| |||||||||
Collateralized - Mortgage Obligations - 0.3% | ||||||||||
1,590,000 | Structured Agency Credit Risk Trust 1 mo. USD LIBOR + 0.750%, 3.26%, 09/25/2048(1)(3) | 1,588,307 | ||||||||
|
| |||||||||
Commercial Mortgage - Backed Securities - 5.9% | ||||||||||
Banc of America Commercial Mortgage Trust |
| |||||||||
7,073,947 | 0.75%, 11/15/2050(2)(5) | 369,723 | ||||||||
4,493,209 | 0.82%, 11/15/2054(2)(5) | 249,591 | ||||||||
Benchmark Mortgage Trust |
| |||||||||
11,751,319 | 0.53%, 01/15/2051(2)(5) | 430,716 | ||||||||
21,283,889 | 0.54%, 07/15/2051(2)(5) | 785,663 | ||||||||
785,000 | CAMB Commercial Mortgage Trust 1 mo. USD LIBOR + 2.55%, 5.05%, 12/15/2037(1)(3)(6) | 785,330 | ||||||||
150,000 | CD Commercial Mortgage Trust 3.63%, 02/10/2050 | 152,026 | ||||||||
Citigroup Commercial Mortgage Trust |
| |||||||||
1,100,000 | 2.94%, 04/10/2048 | 1,080,558 | ||||||||
1,375,000 | 3.19%, 04/10/2048 | 1,368,174 | ||||||||
1,300,000 | 3.62%, 07/10/2047 | 1,327,168 | ||||||||
216,651 | Citigroup Mortgage Loan Trust 3.25%, 03/25/2061(1)(2) | 216,122 | ||||||||
Commercial Mortgage Pass-Through Certificates |
| |||||||||
11,281,296 | 0.63%, 02/10/2047(2)(5) | 292,023 | ||||||||
360,000 | 4.24%, 02/10/2047(2) | 376,748 | ||||||||
Commercial Mortgage Trust |
| |||||||||
1,300,000 | 2.94%, 01/10/2046 | 1,292,125 | ||||||||
700,000 | 3.18%, 02/10/2035(1) | 695,737 | ||||||||
150,000 | 3.50%, 05/10/2048 | 151,779 | ||||||||
455,000 | 3.62%, 07/10/2050 | 461,976 | ||||||||
1,120,000 | 3.69%, 08/10/2047 | 1,139,510 | ||||||||
900,000 | 3.80%, 08/10/2047 | 927,219 | ||||||||
1,095,125 | 3.96%, 03/10/2047 | 1,126,909 | ||||||||
1,000,000 | 4.23%, 07/10/2045(2) | 1,046,167 | ||||||||
CSAIL Commercial Mortgage Trust |
| |||||||||
14,374,201 | 0.80%, 06/15/2057(2)(5) | 545,929 | ||||||||
340,000 | 3.50%, 06/15/2057 | 343,246 | ||||||||
965,000 | 3.72%, 08/15/2048 | 982,194 | ||||||||
935,000 | GS Mortgage Securities Corp. 3.38%, 05/10/2050 | 940,623 | ||||||||
GS Mortgage Securities Trust |
| |||||||||
280,007 | 2.85%, 10/10/2049 | 269,844 | ||||||||
205,000 | 3.44%, 11/10/2049(2) | 205,313 | ||||||||
890,000 | 3.63%, 11/10/2047 | 906,355 | ||||||||
100,000 | 4.07%, 01/10/2047 | 103,627 |
The accompanying notes are an integral part of these financial statements.
| 27 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 22.7% - (continued) | ||||||||||
Commercial Mortgage - Backed Securities - 5.9% - (continued) | ||||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||
$ | 994,625 | 3.36%, 07/15/2045 | $ | 1,003,793 | ||||||
1,285,456 | 3.49%, 01/15/2048 | 1,300,902 | ||||||||
100,000 | 3.93%, 09/15/2047 | 103,384 | ||||||||
100,000 | 4.00%, 04/15/2047 | 103,846 | ||||||||
150,000 | JPMDB Commercial Mortgage Securities Trust 3.14%, 12/15/2049 | 147,135 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||||
1,300,000 | 3.25%, 10/15/2048 | 1,298,454 | ||||||||
179,000 | 3.31%, 04/15/2048 | 178,857 | ||||||||
1,300,000 | 3.53%, 12/15/2047 | 1,315,636 | ||||||||
150,000 | 3.64%, 10/15/2048 | 152,323 | ||||||||
4,519,038 | Morgan Stanley Capital Trust 1.45%, 06/15/2050(2)(5) | 365,797 | ||||||||
1,490,687 | New Residential Mortgage Loan Trust 4.75%, 12/25/2057 | 1,537,413 | ||||||||
1,005,120 | UBS-Barclays Commercial Mortgage Trust 3.24%, 04/10/2046 | 1,010,073 | ||||||||
1,166,051 | Verus Securitization Trust 3.68%, 06/01/2058(1)(2) | 1,165,062 | ||||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||||
904,297 | 2.92%, 10/15/2045 | 896,185 | ||||||||
910,000 | 3.41%, 12/15/2047 | 914,292 | ||||||||
WF-RBS Commercial Mortgage Trust |
| |||||||||
1,170,000 | 2.88%, 12/15/2045 | 1,155,705 | ||||||||
1,025,000 | 3.61%, 11/15/2047 | 1,037,304 | ||||||||
100,000 | 4.00%, 05/15/2047 | 103,650 | ||||||||
100,000 | 4.05%, 03/15/2047 | 103,792 | ||||||||
|
| |||||||||
32,465,998 | ||||||||||
|
| |||||||||
Other ABS - 3.7% | ||||||||||
975,000 | ALM XII Ltd. 3 mo. USD LIBOR + 0.890%, 3.67%, 04/16/2027(1)(3) | 970,810 | ||||||||
980,000 | ALM XVI Ltd. 3 mo. USD LIBOR + 0.900%, 3.69%, 07/15/2027(1)(3) | 974,663 | ||||||||
Benefit Street Partners CLO Ltd. |
| |||||||||
250,000 | 3 mo. USD LIBOR + 1.250%, 4.01%, 07/20/2029(1)(3) | 249,412 | ||||||||
635,000 | 3 mo. USD LIBOR + 1.490%, 4.25%, 01/20/2029(1)(3) | 634,674 | ||||||||
250,000 | Carlyle US CLO Ltd. 3 mo. USD LIBOR + 1.220%, 3.69%, 07/20/2031(1)(3) | 248,708 | ||||||||
970,000 | CIFC Funding Ltd. 3 mo. USD LIBOR + 1.000%, 3.78%, 04/18/2031(1)(3) | 955,506 | ||||||||
260,000 | Dewolf Park CLO Ltd. 3 mo. USD LIBOR + 1.210%, 4.00%, 10/15/2030(1)(3) | 259,380 | ||||||||
Dryden Senior Loan Fund |
| |||||||||
1,605,000 | 3 mo. USD LIBOR + 0.970%, 3.76%, 04/15/2031(1)(3) | 1,584,493 | ||||||||
2,035,000 | 3 mo. USD LIBOR + 1.18%, 3.90%, 01/15/2029(1)(3)(6)(7)(8) | 2,035,000 | ||||||||
250,000 | Madison Park Funding Ltd. 3 mo. USD LIBOR + 0.950%, 3.71%, 04/19/2030(1)(3) | 247,514 | ||||||||
250,000 | Neuberger Berman CLO Ltd. 3 mo. USD LIBOR + 0.800%, 3.59%, 07/15/2027(1)(3) | 248,187 | ||||||||
925,000 | OCP CLO Ltd. 3 mo. USD LIBOR + 1.120%, 3.90%, 10/18/2028(1)(3) | 919,370 | ||||||||
550,000 | OZLM Ltd. 3 mo. USD LIBOR + 1.280%, 3.75%, 10/20/2031(1)(3) | 547,496 | ||||||||
1,426,877 | Preston Ridge Partners Mortgage LLC 4.48%, 10/25/2023(1)(2) | 1,433,148 | ||||||||
674,940 | Pretium Mortgage Credit Partners LLC 4.83%, 09/25/2058(1)(4) | 676,143 | ||||||||
778,700 | STRU BA 1405 JA 3.50%, 05/01/2041(6)(7)(8) | 784,297 | ||||||||
1,339,695 | TICP CLO Ltd. 3 mo. USD LIBOR + 0.840%, 3.60%, 04/20/2028(1)(3) | 1,322,787 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 22.7% - (continued) | ||||||||||
Other ABS - 3.7% - (continued) | ||||||||||
$ | 331,787 | Towd Point Mortgage Trust 3.25%, 07/25/2058(1)(2) | $ | 327,263 | ||||||
771,998 | VOLT LXIV LLC 3.38%, 10/25/2047(1)(4) | 769,396 | ||||||||
1,010,799 | VOLT LXVI 4.34%, 05/25/2048(1)(4) | 1,010,006 | ||||||||
112,614 | VOLT LXX LLC 4.12%, 09/25/2048(1)(4) | 112,518 | ||||||||
905,563 | VOLT LXXI LLC 3.97%, 09/25/2048(1)(4) | 901,458 | ||||||||
980,000 | VOLT LXXIII LLC 4.46%, 10/25/2048(1)(4) | 978,191 | ||||||||
1,521,613 | VOLT LXXIV LLC 4.58%, 11/25/2048(1)(4) | 1,524,930 | ||||||||
705,000 | Voya CLO Ltd. 3 mo. USD LIBOR + 1.190%, 3.97%, 10/18/2031(1)(3) | 702,405 | ||||||||
|
| |||||||||
20,417,755 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 6.6% | ||||||||||
159,608 | Bear Stearns ARM Trust 4.42%, 08/25/2035(2) | 158,147 | ||||||||
99,472 | CIM Trust 3.00%, 04/25/2057(1)(2) | 98,807 | ||||||||
140,115 | CSMC Trust 4.13%, 07/25/2058(1)(2) | 140,008 | ||||||||
1,511,503 | Deephaven Residential Mortgage Trust 4.08%, 10/25/2058(1)(2) | 1,523,690 | ||||||||
Fannie Mae Connecticut Avenue Securities |
| |||||||||
46,620 | 1 mo. USD LIBOR + 0.550%, 3.06%, 01/25/2030(3) | 46,577 | ||||||||
92,233 | 1 mo. USD LIBOR + 0.600%, 3.11%, 07/25/2030(3) | 92,044 | ||||||||
1,643,290 | 1 mo. USD LIBOR + 0.650%, 3.16%, 05/25/2030(3) | 1,641,264 | ||||||||
408,536 | 1 mo. USD LIBOR + 0.650%, 3.16%, 08/25/2030(3) | 408,336 | ||||||||
337,329 | 1 mo. USD LIBOR + 0.680%, 3.19%, 10/25/2030(3) | 336,665 | ||||||||
100,015 | 1 mo. USD LIBOR + 0.720%, 3.23%, 01/25/2031(3) | 99,869 | ||||||||
105,637 | 1 mo. USD LIBOR + 0.750%, 3.26%, 02/25/2030(3) | 105,592 | ||||||||
71,918 | 1 mo. USD LIBOR + 0.850%, 3.36%, 11/25/2029(3) | 71,974 | ||||||||
119,814 | 1 mo. USD LIBOR + 0.950%, 3.46%, 10/25/2029(3) | 120,007 | ||||||||
61,207 | 1 mo. USD LIBOR + 1.150%, 3.66%, 09/25/2029(3) | 61,394 | ||||||||
56,972 | 1 mo. USD LIBOR + 1.300%, 3.81%, 04/25/2029(3) | 57,273 | ||||||||
28,993 | 1 mo. USD LIBOR + 1.600%, 4.11%, 01/25/2024(3) | 29,051 | ||||||||
200,000 | 1 mo. USD LIBOR + 2.200%, 4.71%, 08/25/2030(3) | 199,601 | ||||||||
200,000 | 1 mo. USD LIBOR + 2.250%, 4.76%, 07/25/2030(3) | 201,650 | ||||||||
200,000 | 1 mo. USD LIBOR + 2.350%, 4.86%, 01/25/2031(3) | 200,467 | ||||||||
210,000 | 1 mo. USD LIBOR + 2.600%, 5.11%, 05/25/2024(3) | 219,364 | ||||||||
1,408,529 | 1 mo. USD LIBOR + 3.000%, 5.51%, 07/25/2024(3) | 1,494,969 | ||||||||
890,000 | 1 mo. USD LIBOR + 3.550%, 6.06%, 07/25/2029(3) | 959,162 | ||||||||
1,745,000 | 1 mo. USD LIBOR + 4.250%, 6.76%, 01/25/2029(3) | 1,940,853 | ||||||||
865,000 | 1 mo. USD LIBOR + 4.350%, 6.86%, 05/25/2029(3) | 945,287 | ||||||||
1,500,000 | 1 mo. USD LIBOR + 4.400%, 6.91%, 01/25/2024(3) | 1,677,209 | ||||||||
799,430 | 1 mo. USD LIBOR + 4.900%, 7.41%, 11/25/2024(3) | 897,947 | ||||||||
2,129,674 | 1 mo. USD LIBOR + 5.000%, 7.51%, 07/25/2025(3) | 2,372,708 |
The accompanying notes are an integral part of these financial statements.
| 28 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 22.7% - (continued) | ||||||||||
Whole Loan Collateral CMO - 6.6% - (continued) | ||||||||||
$ | 1,468,557 | 1 mo. USD LIBOR + 5.700%, 8.21%, 04/25/2028(3) | $ | 1,683,624 | ||||||
593,000 | 1 mo. USD LIBOR + 6.000%, 8.51%, 09/25/2028(3) | 680,047 | ||||||||
1,055,000 | 1 mo. USD LIBOR + 6.750%, 9.26%, 08/25/2028(3) | 1,236,570 | ||||||||
975,000 | Home Re Ltd. 1 mo. USD LIBOR + 1.600%, 4.11%, 10/25/2028(1)(3) | 976,136 | ||||||||
LSTAR Securities Investment Ltd. |
| |||||||||
525,074 | 1 mo. USD LIBOR + 1.550%, 4.07%, 02/01/2023(1)(3) | 513,974 | ||||||||
945,310 | 1 mo. USD LIBOR + 1.750%, 4.27%, 10/01/2022(1)(3) | 941,886 | ||||||||
Mill City Mortgage Loan Trust |
| |||||||||
90,303 | 2.75%, 01/25/2061(1)(2) | 88,153 | ||||||||
1,573,433 | 3.25%, 05/25/2062(1)(2) | 1,550,992 | ||||||||
1,252,003 | New Residential Mortgage LLC 3.79%, 07/25/2054(1) | 1,264,343 | ||||||||
New Residential Mortgage Loan Trust |
| |||||||||
610,486 | 1 mo. USD LIBOR + 0.750%, 3.26%, 01/25/2048(1)(3) | 607,285 | ||||||||
1,575,084 | 3.50%, 12/25/2057(1)(2) | 1,570,164 | ||||||||
896,521 | 4.00%, 04/25/2057(1)(2) | 910,761 | ||||||||
1,085,507 | 4.00%, 09/25/2057(1)(2) | 1,091,253 | ||||||||
OZLM Ltd. |
| |||||||||
250,000 | 3 mo. USD LIBOR + 1.010%, 3.78%, 07/17/2029(1)(3) | 247,170 | ||||||||
950,000 | 3 mo. USD LIBOR + 1.050%, 3.80%, 04/30/2027(1)(3) | 943,780 | ||||||||
1,200,000 | 3 mo. USD LIBOR + 1.250%, 4.01%, 07/20/2030(1)(3) | 1,207,684 | ||||||||
Structured Agency Credit Risk Trust |
| |||||||||
1,665,056 | 1 mo. USD LIBOR + 1.650%, 4.16%, 04/25/2043(1)(3) | 1,676,073 | ||||||||
55,000 | 1 mo. USD LIBOR + 2.100%, 4.61%, 09/25/2048(1)(3) | 54,003 | ||||||||
1,510,404 | Towd Point Mortgage Trust 1 mo. USD LIBOR + 0.600%, 3.11%, 02/25/2057(1)(3) | 1,511,588 | ||||||||
1,832,905 | Verus Securitization Trust 4.15%, 10/25/2058(1)(2) | 1,846,751 | ||||||||
|
| |||||||||
36,702,152 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage Backed Securities | $ | 125,362,842 | ||||||||
|
| |||||||||
CORPORATE BONDS - 31.9% | ||||||||||
Aerospace/Defense - 0.5% | ||||||||||
Lockheed Martin Corp. |
| |||||||||
$ | 345,000 | 4.09%, 09/15/2052 | $ | 339,360 | ||||||
195,000 | 4.50%, 05/15/2036 | 204,369 | ||||||||
United Technologies Corp. |
| |||||||||
590,000 | 2.80%, 05/04/2024 | 571,026 | ||||||||
995,000 | 3.65%, 08/16/2023 | 1,009,841 | ||||||||
540,000 | 3.95%, 08/16/2025 | 552,493 | ||||||||
10,000 | 4.63%, 11/16/2048 | 10,282 | ||||||||
|
| |||||||||
2,687,371 | ||||||||||
|
| |||||||||
Agriculture - 0.7% | ||||||||||
Altria Group, Inc. |
| |||||||||
290,000 | 2.63%, 09/16/2026 | 256,900 | ||||||||
835,000 | 2.85%, 08/09/2022 | 816,795 | ||||||||
175,000 | 3.88%, 09/16/2046 | 135,762 | ||||||||
190,000 | 4.25%, 08/09/2042 | 155,351 | ||||||||
BAT Capital Corp. |
| |||||||||
110,000 | 2.30%, 08/14/2020 | 108,509 | ||||||||
235,000 | 3.22%, 08/15/2024 | 224,760 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Agriculture - 0.7% - (continued) | ||||||||||
$ | 870,000 | 3.56%, 08/15/2027 | $ | 795,988 | ||||||
995,000 | 4.39%, 08/15/2037 | 847,842 | ||||||||
365,000 | Imperial Brands Finance plc 3.75%, 07/21/2022(1) | 363,861 | ||||||||
|
| |||||||||
3,705,768 | ||||||||||
|
| |||||||||
Airlines - 0.1% | ||||||||||
Delta Air Lines, Inc. |
| |||||||||
130,000 | 3.63%, 03/15/2022 | 129,149 | ||||||||
470,000 | 3.80%, 04/19/2023 | 458,460 | ||||||||
|
| |||||||||
587,609 | ||||||||||
|
| |||||||||
Auto Manufacturers - 0.5% | ||||||||||
Ford Motor Co. |
| |||||||||
65,000 | 4.75%, 01/15/2043 | 49,334 | ||||||||
245,000 | 5.29%, 12/08/2046 | 196,319 | ||||||||
200,000 | Ford Motor Credit Co. LLC 3.82%, 11/02/2027(9) | 168,332 | ||||||||
General Motors Co. |
| |||||||||
30,000 | 5.40%, 04/01/2048 | 26,563 | ||||||||
130,000 | 5.95%, 04/01/2049 | 121,353 | ||||||||
255,000 | 6.25%, 10/02/2043 | 247,708 | ||||||||
410,000 | 6.75%, 04/01/2046 | 420,918 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||
280,000 | 3.95%, 04/13/2024 | 268,233 | ||||||||
255,000 | 4.30%, 07/13/2025 | 244,294 | ||||||||
935,000 | Volkswagen Group of America Finance LLC 3.88%, 11/13/2020(1) | 945,586 | ||||||||
|
| |||||||||
2,688,640 | ||||||||||
|
| |||||||||
Auto Parts & Equipment - 0.0% | ||||||||||
30,000 | Goodyear Tire & Rubber Co. 5.00%, 05/31/2026 | 27,555 | ||||||||
|
| |||||||||
Beverages - 1.7% | ||||||||||
2,190,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 3.65%, 02/01/2026(1) | 2,151,682 | ||||||||
465,000 | Anheuser-Busch InBev Finance, Inc. 3.30%, 02/01/2023 | 463,925 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
395,000 | 3.50%, 01/12/2024 | 396,382 | ||||||||
17,000 | 3.75%, 07/15/2042 | 13,932 | ||||||||
415,000 | 4.15%, 01/23/2025 | 426,232 | ||||||||
1,325,000 | 4.60%, 04/15/2048 | 1,199,450 | ||||||||
370,000 | 4.75%, 01/23/2029 | 383,991 | ||||||||
20,000 | 4.75%, 04/15/2058 | 17,792 | ||||||||
2,630,000 | 5.45%, 01/23/2039 | 2,747,830 | ||||||||
Constellation Brands, Inc. |
| |||||||||
5,000 | 2.65%, 11/07/2022 | 4,836 | ||||||||
105,000 | 2.70%, 05/09/2022 | 102,329 | ||||||||
950,000 | 3.60%, 02/15/2028 | 908,228 | ||||||||
290,000 | 4.40%, 11/15/2025 | 298,869 | ||||||||
10,000 | 4.50%, 05/09/2047 | 9,275 | ||||||||
436,000 | 4.75%, 12/01/2025 | 457,098 | ||||||||
|
| |||||||||
9,581,851 | ||||||||||
|
| |||||||||
Biotechnology - 0.1% | ||||||||||
410,000 | Amgen, Inc. 2.65%, 05/11/2022 | 404,311 | ||||||||
200,000 | Gilead Sciences, Inc. 3.25%, 09/01/2022 | 201,459 | ||||||||
|
| |||||||||
605,770 | ||||||||||
|
| |||||||||
Chemicals - 1.1% | ||||||||||
115,000 | CF Industries, Inc. 4.95%, 06/01/2043 | 95,341 | ||||||||
290,000 | Chemours Co. 5.38%, 05/15/2027 | 278,400 | ||||||||
DowDuPont, Inc. | ||||||||||
1,010,000 | 4.21%, 11/15/2023 | 1,046,887 | ||||||||
1,050,000 | 4.73%, 11/15/2028 | 1,112,848 | ||||||||
310,000 | LyondellBasell Industries N.V. 4.63%, 02/26/2055 | 272,438 | ||||||||
Methanex Corp. |
| |||||||||
375,000 | 4.25%, 12/01/2024 | 357,193 | ||||||||
145,000 | 5.65%, 12/01/2044 | 131,113 | ||||||||
105,000 | Olin Corp. 5.13%, 09/15/2027(9) | 102,375 |
The accompanying notes are an integral part of these financial statements.
| 29 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Chemicals - 1.1% - (continued) | ||||||||||
$ | 730,000 | SABIC Capital II B.V. 4.00%, 10/10/2023(1) | $ | 738,030 | ||||||
Sherwin-Williams Co. |
| |||||||||
155,000 | 3.13%, 06/01/2024 | 150,852 | ||||||||
415,000 | 3.45%, 06/01/2027 | 396,295 | ||||||||
Syngenta Finance N.V. |
| |||||||||
520,000 | 4.89%, 04/24/2025(1) | 509,049 | ||||||||
895,000 | 5.18%, 04/24/2028(1) | 852,432 | ||||||||
|
| |||||||||
6,043,253 | ||||||||||
|
| |||||||||
Commercial Banks - 9.5% | ||||||||||
400,000 | Banco Santander S.A. 3.80%, 02/23/2028 | 374,096 | ||||||||
Bank of America Corp. |
| |||||||||
565,000 | 3 mo. USD LIBOR + 0.790%, 3.00%, 12/20/2023(3) | 557,791 | ||||||||
135,000 | 3 mo. USD LIBOR + 1.160%, 3.12%, 01/20/2023(3) | 134,529 | ||||||||
105,000 | 3 mo. USD LIBOR + 0.810%, 3.37%, 01/23/2026(3) | 103,432 | ||||||||
2,030,000 | 3 mo. USD LIBOR + 1.040%, 3.42%, 12/20/2028(3) | 1,958,602 | ||||||||
1,865,000 | 3 mo. USD LIBOR + 1.512%, 3.71%, 04/24/2028(3) | 1,838,837 | ||||||||
860,000 | 3 mo. USD LIBOR + 0.940%, 3.86%, 07/23/2024(3) | 874,240 | ||||||||
1,070,000 | 4.00%, 01/22/2025 | 1,078,409 | ||||||||
BNP Paribas S.A. |
| |||||||||
1,345,000 | 3.38%, 01/09/2025(1) | 1,295,419 | ||||||||
1,075,000 | 5 year USD Swap + 2.838%, 5.13%, 11/15/2027(1)(3)(10) | 944,656 | ||||||||
575,000 | BPCE S.A. 3.00%, 05/22/2022(1) | 561,398 | ||||||||
Citigroup, Inc. |
| |||||||||
855,000 | 3 mo. USD LIBOR + 0.950%, 2.88%, 07/24/2023(3) | 839,207 | ||||||||
1,705,000 | 3.20%, 10/21/2026 | 1,640,424 | ||||||||
500,000 | 3 mo. USD LIBOR + 1.151%, 3.52%, 10/27/2028(3) | 482,530 | ||||||||
5,000 | 4.13%, 07/25/2028 | 4,958 | ||||||||
EUR | 200,000 | Cooperatieve Rabobank UA 5 year EUR Swap + 6.697%, 6.63%, 06/29/2021(3)(10)(11) | 253,586 | |||||||
Credit Agricole S.A. |
| |||||||||
$ | 520,000 | 5 year USD Swap +1.644%, 4.00%, 01/10/2033(1)(3) | 487,060 | |||||||
925,000 | 5 year USD Swap + 4.898%, 7.88%, 01/23/2024(1)(3)(10) | 970,023 | ||||||||
600,000 | 5 year USD Swap + 6.185%, 8.13%, 12/23/2025(1)(3)(10) | 650,250 | ||||||||
1,850,000 | Credit Suisse Group AG 5 year USD Swap + 3.455%, 6.25%, 12/18/2024(3)(10)(11) | 1,829,032 | ||||||||
Danske Bank A/S |
| |||||||||
915,000 | 5.00%, 01/12/2022(1) | 927,837 | ||||||||
1,010,000 | 5.38%, 01/12/2024(1) | 1,024,334 | ||||||||
EUR | 600,000 | 5 year EUR Swap + 5.471%, 5.88%, 04/06/2022(3)(10)(11) | 692,773 | |||||||
$ | 800,000 | DNB Bank ASA 5 year USD Swap + 5.080%, 6.50%, 03/26/2022(3)(10)(11) | 806,000 | |||||||
Goldman Sachs Group, Inc. |
| |||||||||
20,000 | 3 mo. USD LIBOR + 0.821%, 2.88%, 10/31/2022(3) | 19,704 | ||||||||
100,000 | 3 mo. USD LIBOR + 0.990%, 2.91%, 07/24/2023(3) | 97,860 | ||||||||
230,000 | 3.50%, 01/23/2025 | 226,672 | ||||||||
2,420,000 | 3.50%, 11/16/2026 | 2,331,658 | ||||||||
1,450,000 | 3 mo. USD LIBOR + 1.510%, 3.69%, 06/05/2028(3) | 1,407,105 | ||||||||
260,000 | 3 mo. USD LIBOR + 1.158%, 3.81%, 04/23/2029(3) | 253,072 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Commercial Banks - 9.5% - (continued) | ||||||||||
$ | 140,000 | 3 mo. USD LIBOR + 1.373%, 4.02%, 10/31/2038(3) | $ | 131,442 | ||||||
40,000 | 5.15%, 05/22/2045 | 41,089 | ||||||||
435,000 | 6.75%, 10/01/2037 | 529,726 | ||||||||
HSBC Holdings plc |
| |||||||||
200,000 | 3 mo. USD LIBOR + 0.923%, 3.03%, 11/22/2023(3) | 196,852 | ||||||||
280,000 | 3.40%, 03/08/2021 | 281,471 | ||||||||
895,000 | 3 mo. USD LIBOR + 1.535%, 4.58%, 06/19/2029(3) | 914,702 | ||||||||
1,650,000 | 5 year USD ICE Swap + 4.368%, 6.38%, 03/30/2025(3)(10) | 1,656,188 | ||||||||
Intesa Sanpaolo S.p.A. |
| |||||||||
EUR | 200,000 | 5 year EUR Swap + 6.884%, 7.00%, 01/19/2021(3)(10)(11) | 234,354 | |||||||
$ | 1,150,000 | 5 year USD Swap + 5.462%, 7.70%, 09/17/2025(1)(3)(9)(10) | 1,053,688 | |||||||
JP Morgan Chase & Co. |
| |||||||||
470,000 | 2.40%, 06/07/2021 | 463,980 | ||||||||
230,000 | 3 mo. USD LIBOR + 1.155%, 3.22%, 03/01/2025(3) | 226,187 | ||||||||
15,000 | 3 mo. USD LIBOR + 0.945%, 3.51%, 01/23/2029(3) | 14,566 | ||||||||
2,390,000 | 3 mo. USD LIBOR + 0.890%, 3.80%, 07/23/2024(3) | 2,429,955 | ||||||||
935,000 | 3 mo. USD LIBOR + 1.245%, 3.96%, 01/29/2027(3) | 951,537 | ||||||||
620,000 | 3 mo. USD LIBOR + 1.120%, 4.01%, 04/23/2029(3) | 625,860 | ||||||||
Morgan Stanley |
| |||||||||
1,015,000 | 2.50%, 04/21/2021 | 1,001,987 | ||||||||
125,000 | 2.75%, 05/19/2022 | 123,136 | ||||||||
2,145,000 | 3.13%, 07/27/2026 | 2,057,323 | ||||||||
975,000 | 3 mo. USD LIBOR + 1.340%, 3.59%, 07/22/2028(3) | 951,582 | ||||||||
225,000 | 4.00%, 07/23/2025 | 230,458 | ||||||||
450,000 | 3 mo. USD LIBOR + 1.628%, 4.43%, 01/23/2030(3) | 467,534 | ||||||||
375,000 | 5.00%, 11/24/2025 | 396,246 | ||||||||
200,000 | Royal Bank of Scotland Group plc 5 year USD Swap + 7.598%, 8.63%, 08/15/2021(3)(10) | 212,940 | ||||||||
470,000 | Santander Holdings USA, Inc. 3.70%, 03/28/2022 | 469,422 | ||||||||
Societe Generale S.A. |
| |||||||||
625,000 | 5 year USD Swap + 6.238%, 7.38%, 09/13/2021(1)(3)(10) | 645,625 | ||||||||
1,125,000 | 5 year USD Swap + 4.979%, 7.88%, 12/18/2023(1)(3)(10) | 1,152,394 | ||||||||
Standard Chartered plc |
| |||||||||
1,000,000 | 5 year USD Swap + 6.301%, 7.50%, 04/02/2022(1)(3)(10) | 1,040,000 | ||||||||
200,000 | 5 year USD Swap + 6.301%, 7.50%, 04/02/2022(3)(10)(11) | 208,000 | ||||||||
255,000 | UBS AG 2.45%, 12/01/2020(1) | 251,529 | ||||||||
UBS Group Funding Switzerland AG |
| |||||||||
680,000 | 2.65%, 02/01/2022(1) | 664,950 | ||||||||
400,000 | 5 year USD ICE Swap + 5.497%, 6.88%, 03/22/2021(3)(10)(11) | 410,500 | ||||||||
1,125,000 | 5 year USD Swap + 4.866%, 7.00%, 02/19/2025(3)(10)(11) | 1,189,688 | ||||||||
UniCredit S.p.A. |
| |||||||||
EUR | 1,525,000 | 5 year EUR Swap + 4.925%, 5.38%, 06/03/2025(3)(10)(11) | 1,492,614 | |||||||
$ | 650,000 | 6.57%, 01/14/2022(1) | 664,023 |
The accompanying notes are an integral part of these financial statements.
| 30 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Commercial Banks - 9.5% - (continued) | ||||||||||
Wells Fargo & Co. |
| |||||||||
$ | 305,000 | 2.63%, 07/22/2022 | $ | 299,227 | ||||||
865,000 | 3.00%, 04/22/2026 | 829,080 | ||||||||
140,000 | 3.00%, 10/23/2026 | 133,823 | ||||||||
2,445,000 | 3.07%, 01/24/2023 | 2,431,647 | ||||||||
385,000 | 3.75%, 01/24/2024 | 391,718 | ||||||||
470,000 | 4.75%, 12/07/2046 | 481,862 | ||||||||
|
| |||||||||
52,614,399 | ||||||||||
|
| |||||||||
Commercial Services - 0.4% | ||||||||||
1,580,000 | IHS Markit Ltd. 4.13%, 08/01/2023 | 1,573,206 | ||||||||
380,000 | United Rentals North America, Inc. 5.88%, 09/15/2026 | 385,700 | ||||||||
|
| |||||||||
1,958,906 | ||||||||||
|
| |||||||||
Construction Materials - 0.1% | ||||||||||
450,000 | Standard Industries, Inc. 6.00%, 10/15/2025(1) | 452,250 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.3% | ||||||||||
635,000 | American Express Co. 3.40%, 02/27/2023 | 637,198 | ||||||||
500,000 | Capital One Financial Corp. 3.90%, 01/29/2024 | 503,551 | ||||||||
380,000 | Navient Corp. 7.25%, 01/25/2022 | 394,250 | ||||||||
|
| |||||||||
1,534,999 | ||||||||||
|
| |||||||||
Electric - 2.1% | ||||||||||
1,380,000 | Acwa Power Management And Investments One Ltd. 5.95%, 12/15/2039(11) | 1,352,290 | ||||||||
AES Corp. |
| |||||||||
80,000 | 4.00%, 03/15/2021 | 79,800 | ||||||||
140,000 | 4.88%, 05/15/2023 | 141,400 | ||||||||
125,000 | 5.13%, 09/01/2027 | 127,500 | ||||||||
40,000 | Appalachian Power Co. 6.38%, 04/01/2036 | 46,732 | ||||||||
325,000 | Berkshire Hathaway Energy Co. 3.25%, 04/15/2028 | 314,527 | ||||||||
335,000 | DTE Energy Co. 1.50%, 10/01/2019 | 331,449 | ||||||||
350,000 | Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 352,620 | ||||||||
1,280,000 | Duke Energy Corp. 2.65%, 09/01/2026 | 1,193,447 | ||||||||
295,000 | Duke Energy Progress LLC 3.60%, 09/15/2047 | 270,524 | ||||||||
Exelon Corp. |
| |||||||||
725,000 | 2.85%, 06/15/2020 | 720,915 | ||||||||
725,000 | 3.95%, 06/15/2025 | 727,544 | ||||||||
140,000 | Fortis, Inc. 2.10%, 10/04/2021 | 134,852 | ||||||||
1,353,000 | Georgia Power Co. 2.00%, 09/08/2020 | 1,333,236 | ||||||||
460,000 | IPALCO Enterprises, Inc. 3.70%, 09/01/2024 | 451,717 | ||||||||
30,000 | ITC Holdings Corp. 3.25%, 06/30/2026 | 28,791 | ||||||||
145,000 | Oncor Electric Delivery Co. LLC 5.75%, 03/15/2029 | 169,127 | ||||||||
Pacific Gas & Electric Co. |
| |||||||||
450,000 | 2.95%, 03/01/2026 | 359,055 | ||||||||
135,000 | 3.30%, 12/01/2027 | 108,135 | ||||||||
1,205,000 | 3.40%, 08/15/2024 | 997,137 | ||||||||
250,000 | 3.50%, 06/15/2025 | 204,350 | ||||||||
520,000 | 6.05%, 03/01/2034 | 456,300 | ||||||||
South Carolina Electric & Gas Co. |
| |||||||||
15,000 | 3.50%, 08/15/2021 | 15,193 | ||||||||
560,000 | 4.25%, 08/15/2028 | 586,466 | ||||||||
425,000 | 4.50%, 06/01/2064 | 409,711 | ||||||||
Southern Co. |
| |||||||||
115,000 | 2.95%, 07/01/2023 | 112,941 | ||||||||
515,000 | 3.25%, 07/01/2026 | 491,585 | ||||||||
10,000 | 4.40%, 07/01/2046 | 9,670 | ||||||||
|
| |||||||||
11,527,014 | ||||||||||
|
| |||||||||
Electronics - 0.1% | ||||||||||
335,000 | Fortive Corp. 2.35%, 06/15/2021 | 327,229 | ||||||||
|
| |||||||||
Engineering & Construction - 0.1% | ||||||||||
680,000 | Fluor Corp. 4.25%, 09/15/2028 | 657,386 | ||||||||
200,000 | Mexico City Airport Trust 3.88%, 04/30/2028(1) | 176,550 | ||||||||
|
| |||||||||
833,936 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Entertainment - 0.1% | ||||||||||
$ | 370,000 | GLP Capital L.P. / GLP Financing II, Inc. 5.30%, 01/15/2029 | $ | 374,063 | ||||||
445,000 | WMG Acquisition Corp. 4.88%, 11/01/2024(1) | 436,100 | ||||||||
|
| |||||||||
810,163 | ||||||||||
|
| |||||||||
Food - 0.5% | ||||||||||
Conagra Brands, Inc. |
| |||||||||
45,000 | 3.80%, 10/22/2021 | 45,172 | ||||||||
555,000 | 4.30%, 05/01/2024 | 558,422 | ||||||||
215,000 | 4.60%, 11/01/2025 | 217,725 | ||||||||
100,000 | 5.30%, 11/01/2038 | 96,052 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||
470,000 | 4.38%, 06/01/2046 | 404,915 | ||||||||
1,120,000 | 4.63%, 01/30/2029 | 1,138,292 | ||||||||
475,000 | Sysco Corp. 2.50%, 07/15/2021 | 465,857 | ||||||||
|
| |||||||||
2,926,435 | ||||||||||
|
| |||||||||
Food Service - 0.1% | ||||||||||
420,000 | Aramark Services, Inc. 5.00%, 02/01/2028(1) | 410,025 | ||||||||
|
| |||||||||
Forest Products & Paper - 0.1% | ||||||||||
690,000 | Suzano Austria GmbH 6.00%, 01/15/2029(1) | 721,912 | ||||||||
|
| |||||||||
Gas - 0.1% | ||||||||||
AmeriGas Partners L.P. / AmeriGas Finance Corp. |
| |||||||||
85,000 | 5.63%, 05/20/2024 | 83,937 | ||||||||
140,000 | 5.88%, 08/20/2026 | 137,942 | ||||||||
435,000 | Sempra Energy 2.40%, 02/01/2020 | 430,866 | ||||||||
|
| |||||||||
652,745 | ||||||||||
|
| |||||||||
Healthcare-Products - 0.5% | ||||||||||
Becton Dickinson and Co. |
| |||||||||
1,130,000 | 3.36%, 06/06/2024 | 1,107,349 | ||||||||
785,000 | 3.70%, 06/06/2027 | 765,594 | ||||||||
650,000 | Boston Scientific Corp. 4.00%, 03/01/2028 | 654,259 | ||||||||
Thermo Fisher Scientific, Inc. |
| |||||||||
85,000 | 2.95%, 09/19/2026 | 80,500 | ||||||||
145,000 | 3.00%, 04/15/2023 | 142,944 | ||||||||
|
| |||||||||
2,750,646 | ||||||||||
|
| |||||||||
Healthcare-Services - 1.0% | ||||||||||
205,000 | Aetna, Inc. 2.80%, 06/15/2023 | 199,368 | ||||||||
Anthem, Inc. |
| |||||||||
50,000 | 2.25%, 08/15/2019 | 49,862 | ||||||||
1,490,000 | 3.65%, 12/01/2027 | 1,465,486 | ||||||||
Cigna Corp. | ||||||||||
500,000 | 4.13%, 11/15/2025(1) | 510,133 | ||||||||
1,900,000 | 4.38%, 10/15/2028(1) | 1,950,971 | ||||||||
160,000 | Cigna Holding Co. 3.88%, 10/15/2047 | 140,773 | ||||||||
Community Health Systems, Inc. |
| |||||||||
70,000 | 5.13%, 08/01/2021(9) | 67,288 | ||||||||
20,000 | 6.25%, 03/31/2023(9) | 19,100 | ||||||||
5,000 | Humana, Inc. 2.50%, 12/15/2020 | 4,942 | ||||||||
UnitedHealth Group, Inc. |
| |||||||||
430,000 | 3.50%, 06/15/2023 | 439,617 | ||||||||
305,000 | 3.70%, 12/15/2025 | 313,284 | ||||||||
280,000 | 3.75%, 10/15/2047 | 268,427 | ||||||||
|
| |||||||||
5,429,251 | ||||||||||
|
| |||||||||
Home Builders - 0.2% | ||||||||||
Lennar Corp. |
| |||||||||
190,000 | 4.75%, 11/29/2027 | 180,025 | ||||||||
200,000 | 5.25%, 06/01/2026 | 195,000 | ||||||||
70,000 | PulteGroup, Inc. 5.50%, 03/01/2026 | 70,350 | ||||||||
435,000 | Toll Brothers Finance Corp. 4.88%, 11/15/2025 | 423,037 | ||||||||
|
| |||||||||
868,412 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 31 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Insurance - 0.3% | ||||||||||
$ | 45,000 | Berkshire Hathaway Finance Corp. 4.20%, 08/15/2048 | $ | 46,178 | ||||||
90,000 | CNO Financial Group, Inc. 5.25%, 05/30/2025 | 91,125 | ||||||||
110,000 | Genworth Holdings, Inc. 4.90%, 08/15/2023 | 96,525 | ||||||||
Marsh & McLennan Cos., Inc. |
| |||||||||
420,000 | 3.88%, 03/15/2024 | 428,663 | ||||||||
270,000 | 4.38%, 03/15/2029 | 279,269 | ||||||||
220,000 | 4.75%, 03/15/2039 | 228,791 | ||||||||
40,000 | Massachusetts Mutual Life Insurance Co. 8.88%, 06/01/2039(1) | 60,221 | ||||||||
275,000 | Willis North America, Inc. 3.60%, 05/15/2024 | 269,480 | ||||||||
|
| |||||||||
1,500,252 | ||||||||||
|
| |||||||||
Internet - 0.6% | ||||||||||
Alibaba Group Holding Ltd. |
| |||||||||
895,000 | 3.40%, 12/06/2027 | 854,675 | ||||||||
445,000 | 4.20%, 12/06/2047 | 416,501 | ||||||||
Amazon.com, Inc. |
| |||||||||
545,000 | 2.80%, 08/22/2024 | 541,110 | ||||||||
585,000 | 3.88%, 08/22/2037 | 587,182 | ||||||||
Tencent Holdings Ltd. |
| |||||||||
200,000 | 2.99%, 01/19/2023(1) | 195,806 | ||||||||
620,000 | 3.60%, 01/19/2028(1) | 603,050 | ||||||||
|
| |||||||||
3,198,324 | ||||||||||
|
| |||||||||
Iron/Steel - 0.3% | ||||||||||
20,000 | ArcelorMittal 6.13%, 06/01/2025(9) | 21,510 | ||||||||
200,000 | Commercial Metals Co. 5.38%, 07/15/2027 | 182,000 | ||||||||
Steel Dynamics, Inc. |
| |||||||||
215,000 | 4.13%, 09/15/2025 | 204,250 | ||||||||
175,000 | 5.50%, 10/01/2024 | 180,653 | ||||||||
Vale Overseas Ltd. |
| |||||||||
1,105,000 | 6.25%, 08/10/2026 | 1,178,206 | ||||||||
170,000 | 6.88%, 11/10/2039 | 188,683 | ||||||||
|
| |||||||||
1,955,302 | ||||||||||
|
| |||||||||
IT Services - 0.2% | ||||||||||
Apple, Inc. |
| |||||||||
15,000 | 3.00%, 02/09/2024 | 15,075 | ||||||||
490,000 | 3.35%, 02/09/2027 | 491,605 | ||||||||
110,000 | 3.45%, 02/09/2045 | 100,223 | ||||||||
260,000 | Hewlett Packard Enterprise Co. 6.35%, 10/15/2045 | 264,894 | ||||||||
|
| |||||||||
871,797 | ||||||||||
|
| |||||||||
Lodging - 0.1% | ||||||||||
450,000 | Hilton Domestic Operating Co., Inc. 5.13%, 05/01/2026(1) | 453,375 | ||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. |
| |||||||||
16,000 | 5.25%, 05/15/2027(1) | 14,960 | ||||||||
5,000 | 5.50%, 03/01/2025(1) | 4,863 | ||||||||
|
| |||||||||
473,198 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.0% | ||||||||||
50,000 | Caterpillar Financial Services Corp. 1.85%, 09/04/2020 | 49,346 | ||||||||
|
| |||||||||
Media - 2.0% | ||||||||||
475,000 | CCO Holdings LLC / CCO Holdings Capital Corp. 5.13%, 05/01/2027(1) | 458,954 | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital |
| |||||||||
1,415,000 | 4.20%, 03/15/2028 | 1,367,249 | ||||||||
915,000 | 5.38%, 05/01/2047 | 870,646 | ||||||||
1,020,000 | 5.75%, 04/01/2048 | 1,016,274 | ||||||||
Comcast Corp. |
| |||||||||
425,000 | 2.35%, 01/15/2027 | 388,613 | ||||||||
50,000 | 3.15%, 02/15/2028 | 47,923 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Media - 2.0% - (continued) | ||||||||||
$ | 305,000 | 3.20%, 07/15/2036 | $ | 265,717 | ||||||
110,000 | 3.95%, 10/15/2025 | 113,836 | ||||||||
180,000 | 4.05%, 11/01/2052 | 167,226 | ||||||||
95,000 | 4.15%, 10/15/2028 | 98,367 | ||||||||
320,000 | 4.25%, 10/15/2030 | 331,704 | ||||||||
425,000 | 4.60%, 10/15/2038 | 439,297 | ||||||||
80,000 | 4.95%, 10/15/2058 | 84,475 | ||||||||
Cox Communications, Inc. |
| |||||||||
125,000 | 2.95%, 06/30/2023(1) | 121,492 | ||||||||
455,000 | 3.15%, 08/15/2024(1) | 441,590 | ||||||||
245,000 | 4.80%, 02/01/2035(1) | 226,592 | ||||||||
30,000 | 8.38%, 03/01/2039(1) | 38,195 | ||||||||
Discovery Communications LLC |
| |||||||||
310,000 | 3.95%, 06/15/2025(1) | 300,777 | ||||||||
580,000 | 4.90%, 03/11/2026 | 593,463 | ||||||||
270,000 | 5.00%, 09/20/2037 | 252,870 | ||||||||
DISH DBS Corp. |
| |||||||||
230,000 | 5.88%, 07/15/2022 | 218,500 | ||||||||
60,000 | 6.75%, 06/01/2021 | 61,111 | ||||||||
710,000 | Fox Corp. 4.03%, 01/25/2024(1) | 724,239 | ||||||||
160,000 | Liberty Interactive LLC 8.25%, 02/01/2030 | 162,000 | ||||||||
150,000 | TEGNA, Inc. 5.50%, 09/15/2024(1) | 147,720 | ||||||||
Viacom, Inc. |
| |||||||||
815,000 | 4.25%, 09/01/2023 | 826,463 | ||||||||
425,000 | 4.38%, 03/15/2043 | 363,390 | ||||||||
200,000 | Videotron Ltd. 5.38%, 06/15/2024(1) | 208,880 | ||||||||
Warner Media LLC |
| |||||||||
615,000 | 2.95%, 07/15/2026 | 568,222 | ||||||||
330,000 | 3.80%, 02/15/2027 | 321,897 | ||||||||
|
| |||||||||
11,227,682 | ||||||||||
|
| |||||||||
Mining - 0.2% | ||||||||||
Anglo American Capital plc |
| |||||||||
745,000 | 4.75%, 04/10/2027(1) | 743,347 | ||||||||
200,000 | 4.88%, 05/14/2025(1) | 203,685 | ||||||||
|
| |||||||||
947,032 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||
280,000 | Ingersoll-Rand Global Holding Co., Ltd. 2.90%, 02/21/2021 | 277,420 | ||||||||
|
| |||||||||
Office/Business Equipment - 0.0% | ||||||||||
205,000 | Pitney Bowes, Inc. 4.70%, 04/01/2023 | 188,985 | ||||||||
|
| |||||||||
Oil & Gas - 1.1% | ||||||||||
Anadarko Petroleum Corp. |
| |||||||||
90,000 | 4.50%, 07/15/2044 | 81,363 | ||||||||
95,000 | 6.60%, 03/15/2046 | 113,104 | ||||||||
875,000 | Canadian Natural Resources Ltd. 3.85%, 06/01/2027 | 857,413 | ||||||||
330,000 | EnCana Corp. 3.90%, 11/15/2021 | 332,374 | ||||||||
Hess Corp. |
| |||||||||
740,000 | 4.30%, 04/01/2027 | 714,099 | ||||||||
135,000 | 5.60%, 02/15/2041 | 129,352 | ||||||||
690,000 | 7.13%, 03/15/2033 | 760,961 | ||||||||
130,000 | Marathon Oil Corp. 3.85%, 06/01/2025 | 127,715 | ||||||||
230,000 | Marathon Petroleum Corp. 3.80%, 04/01/2028(1) | 220,575 | ||||||||
Petroleos Mexicanos |
| |||||||||
400,000 | 6.50%, 01/23/2029 | 376,900 | ||||||||
220,000 | 6.75%, 09/21/2047 | 191,730 | ||||||||
425,000 | QEP Resources, Inc. 5.25%, 05/01/2023 | 411,213 | ||||||||
220,000 | SM Energy Co. 6.13%, 11/15/2022 | 220,550 | ||||||||
600,000 | Tullow Oil plc 7.00%, 03/01/2025(1) | 584,411 | ||||||||
670,000 | Valero Energy Corp. 3.40%, 09/15/2026 | 638,590 | ||||||||
365,000 | WPX Energy, Inc. 5.25%, 09/15/2024 | 359,525 | ||||||||
|
| |||||||||
6,119,875 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 32 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Packaging & Containers - 0.2% | ||||||||||
$ | 430,000 | Owens-Brockway Glass Container, Inc. 5.88%, 08/15/2023(1) | $ | 445,050 | ||||||
220,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.13%, 07/15/2023(1) | 220,407 | ||||||||
695,000 | WRKCo, Inc. 4.65%, 03/15/2026(1) | 715,737 | ||||||||
|
| |||||||||
1,381,194 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.5% | ||||||||||
295,000 | Allergan Funding SCS 3.45%, 03/15/2022 | 294,351 | ||||||||
20,000 | AstraZeneca plc 3.38%, 11/16/2025 | 19,637 | ||||||||
205,000 | Bausch Health Cos., Inc. 7.00%, 03/15/2024(1) | 215,373 | ||||||||
165,000 | Baxalta, Inc. 3.60%, 06/23/2022 | 164,531 | ||||||||
1,140,000 | Bayer U.S. Finance LLC 4.25%, 12/15/2025(1) | 1,135,064 | ||||||||
615,000 | Cardinal Health, Inc. 2.62%, 06/15/2022 | 595,297 | ||||||||
CVS Health Corp. |
| |||||||||
2,320,000 | 4.10%, 03/25/2025 | 2,362,052 | ||||||||
560,000 | 5.05%, 03/25/2048 | 574,866 | ||||||||
15,000 | 5.13%, 07/20/2045 | 15,499 | ||||||||
Elanco Animal Health, Inc. |
| |||||||||
330,000 | 3.91%, 08/27/2021(1) | 330,426 | ||||||||
340,000 | 4.27%, 08/28/2023(1) | 342,402 | ||||||||
630,000 | GlaxoSmithKline Capital, Inc. 3.63%, 05/15/2025 | 644,680 | ||||||||
270,000 | IQVIA, Inc. 4.88%, 05/15/2023(1) | 274,050 | ||||||||
Mylan N.V. |
| |||||||||
50,000 | 3.75%, 12/15/2020 | 49,936 | ||||||||
693,000 | 3.95%, 06/15/2026 | 654,649 | ||||||||
Mylan, Inc. |
| |||||||||
250,000 | 4.55%, 04/15/2028 | 240,065 | ||||||||
160,000 | 5.20%, 04/15/2048 | 138,653 | ||||||||
425,000 | Shire Acquisitions Investments Ireland DAC 2.40%, 09/23/2021 | 413,630 | ||||||||
|
| |||||||||
8,465,161 | ||||||||||
|
| |||||||||
Pipelines - 1.0% | ||||||||||
580,000 | Andeavor Logistics L.P. / Tesoro Logistics Finance Corp. 4.25%, 12/01/2027 | 564,151 | ||||||||
180,000 | DCP Midstream Operating L.P. 3.88%, 03/15/2023 | 175,050 | ||||||||
135,000 | Energy Transfer L.P. 5.50%, 06/01/2027 | 140,062 | ||||||||
10,000 | Energy Transfer Operating L.P. 4.20%, 09/15/2023 | 10,076 | ||||||||
Energy Transfer Operating L.P. |
| |||||||||
335,000 | 4.50%, 04/15/2024 | 341,242 | ||||||||
110,000 | 5.25%, 04/15/2029 | 113,866 | ||||||||
115,000 | 6.25%, 04/15/2049 | 122,445 | ||||||||
160,000 | Energy Transfer Partners L.P. 5.15%, 03/15/2045 | 145,388 | ||||||||
EQT Midstream Partners L.P. |
| |||||||||
260,000 | 4.75%, 07/15/2023 | 263,685 | ||||||||
330,000 | 5.50%, 07/15/2028 | 330,826 | ||||||||
MPLX L.P. |
| |||||||||
150,000 | 4.00%, 03/15/2028 | 144,644 | ||||||||
315,000 | 4.13%, 03/01/2027 | 308,019 | ||||||||
360,000 | 5.20%, 03/01/2047 | 352,542 | ||||||||
70,000 | Sabine Pass Liquefaction LLC 4.20%, 03/15/2028 | 68,699 | ||||||||
Texas Eastern Transmission L.P. |
| |||||||||
465,000 | 2.80%, 10/15/2022(1) | 450,037 | ||||||||
70,000 | 3.50%, 01/15/2028(1) | 66,711 | ||||||||
TransCanada PipeLines Ltd. |
| |||||||||
225,000 | 4.75%, 05/15/2038 | 228,829 | ||||||||
15,000 | 6.10%, 06/01/2040 | 17,423 | ||||||||
Valero Energy Partners L.P. |
| |||||||||
470,000 | 4.38%, 12/15/2026 | 473,288 | ||||||||
155,000 | 4.50%, 03/15/2028 | 156,364 | ||||||||
Western Gas Partners L.P. |
| |||||||||
360,000 | 4.50%, 03/01/2028 | 347,354 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Pipelines - 1.0% - (continued) | ||||||||||
$ | 290,000 | 4.75%, 08/15/2028 | $ | 283,411 | ||||||
210,000 | 5.50%, 08/15/2048 | 196,582 | ||||||||
Williams Cos., Inc. |
| |||||||||
275,000 | 4.30%, 03/04/2024 | 281,775 | ||||||||
35,000 | 6.30%, 04/15/2040 | 40,003 | ||||||||
|
| |||||||||
5,622,472 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 0.1% | ||||||||||
Crown Castle International Corp. |
| |||||||||
240,000 | 3.15%, 07/15/2023 | 234,450 | ||||||||
170,000 | 3.20%, 09/01/2024 | 162,892 | ||||||||
Equinix, Inc. |
| |||||||||
135,000 | 5.75%, 01/01/2025 | 139,388 | ||||||||
205,000 | 5.88%, 01/15/2026 | 211,724 | ||||||||
|
| |||||||||
748,454 | ||||||||||
|
| |||||||||
Retail - 0.6% | ||||||||||
Home Depot, Inc. |
| |||||||||
260,000 | 3.50%, 09/15/2056 | 226,485 | ||||||||
20,000 | 4.20%, 04/01/2043 | 20,273 | ||||||||
Lowe’s Cos., Inc. |
| |||||||||
865,000 | 3.38%, 09/15/2025 | 845,444 | ||||||||
75,000 | 3.70%, 04/15/2046 | 63,713 | ||||||||
515,000 | McDonald’s Corp. 3.35%, 04/01/2023 | 519,447 | ||||||||
465,000 | Starbucks Corp. 3.80%, 08/15/2025 | 468,815 | ||||||||
80,000 | United Rentals North America, Inc. 4.88%, 01/15/2028 | 75,900 | ||||||||
1,040,000 | Walmart, Inc. 3.40%, 06/26/2023 | 1,065,793 | ||||||||
|
| |||||||||
3,285,870 | ||||||||||
|
| |||||||||
Semiconductors - 0.9% | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. |
| |||||||||
1,395,000 | 3.13%, 01/15/2025 | 1,291,274 | ||||||||
310,000 | 3.63%, 01/15/2024 | 301,459 | ||||||||
1,315,000 | 3.88%, 01/15/2027 | 1,208,279 | ||||||||
255,000 | Intel Corp. 4.10%, 05/19/2046 | 259,679 | ||||||||
470,000 | Microchip Technology, Inc. 4.33%, 06/01/2023(1) | 463,022 | ||||||||
1,230,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(1) | 1,261,808 | ||||||||
|
| |||||||||
4,785,521 | ||||||||||
|
| |||||||||
Software - 0.8% | ||||||||||
235,000 | Fidelity National Information Services, Inc. 4.25%, 05/15/2028 | 235,247 | ||||||||
445,000 | First Data Corp. 5.00%, 01/15/2024(1) | 454,734 | ||||||||
Microsoft Corp. |
| |||||||||
730,000 | 3.30%, 02/06/2027 | 739,838 | ||||||||
240,000 | 3.70%, 08/08/2046 | 238,339 | ||||||||
290,000 | 3.95%, 08/08/2056 | 291,015 | ||||||||
175,000 | MSCI, Inc. 5.75%, 08/15/2025(1) | 181,563 | ||||||||
330,000 | Open Text Corp. 5.88%, 06/01/2026(1) | 340,725 | ||||||||
250,000 | Oracle Corp. 4.00%, 11/15/2047 | 241,560 | ||||||||
salesforce.com, Inc. |
| |||||||||
305,000 | 3.25%, 04/11/2023 | 309,811 | ||||||||
265,000 | 3.70%, 04/11/2028 | 270,969 | ||||||||
1,085,000 | Western Digital Corp. 4.75%, 02/15/2026 | 1,009,050 | ||||||||
|
| |||||||||
4,312,851 | ||||||||||
|
| |||||||||
Telecommunications - 1.7% | ||||||||||
AT&T, Inc. |
| |||||||||
10,000 | 4.25%, 03/01/2027 | 10,121 | ||||||||
1,210,000 | 4.30%, 02/15/2030 | 1,198,961 | ||||||||
265,000 | 4.75%, 05/15/2046 | 247,903 | ||||||||
Nokia Oyj |
| |||||||||
485,000 | 4.38%, 06/12/2027 | 469,383 | ||||||||
60,000 | 6.63%, 05/15/2039 | 62,400 | ||||||||
300,000 | Sprint Corp. 7.13%, 06/15/2024 | 306,938 |
The accompanying notes are an integral part of these financial statements.
| 33 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 31.9% - (continued) | ||||||||||
Telecommunications - 1.7% - (continued) | ||||||||||
$ | 1,445,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.15%, 09/20/2029(1) | $ | 1,455,375 | ||||||
160,000 | Telecom Italia Capital S.A. 6.00%, 09/30/2034 | 139,248 | ||||||||
1,230,000 | Telecom Italia S.p.A. 5.30%, 05/30/2024(1) | 1,168,500 | ||||||||
Telefonica Emisiones SAU |
| |||||||||
340,000 | 4.90%, 03/06/2048 | 317,873 | ||||||||
325,000 | 5.21%, 03/08/2047 | 314,825 | ||||||||
45,000 | 7.05%, 06/20/2036 | 52,865 | ||||||||
Verizon Communications, Inc. |
| |||||||||
1,210,000 | 4.50%, 08/10/2033 | 1,230,125 | ||||||||
20,000 | 4.52%, 09/15/2048 | 19,489 | ||||||||
1,115,000 | 4.81%, 03/15/2039 | 1,133,302 | ||||||||
10,000 | 5.01%, 08/21/2054 | 10,197 | ||||||||
15,000 | 5.25%, 03/16/2037 | 16,123 | ||||||||
1,240,000 | Vodafone Group plc 4.38%, 05/30/2028 | 1,234,803 | ||||||||
|
| |||||||||
9,388,431 | ||||||||||
|
| |||||||||
Transportation - 0.3% | ||||||||||
780,000 | CSX Corp. 3.25%, 06/01/2027 | 752,285 | ||||||||
200,000 | FedEx Corp. 4.05%, 02/15/2048 | 173,445 | ||||||||
860,000 | Union Pacific Corp. 4.38%, 09/10/2038 | 871,113 | ||||||||
|
| |||||||||
1,796,843 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 176,342,149 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 8.0% | ||||||||||
Argentina - 0.1% | ||||||||||
EUR | 420,000 | Argentine Republic Government International Bond 5.25%, 01/15/2028 | $ | 377,495 | ||||||
|
| |||||||||
Egypt - 0.0% | ||||||||||
$ | 200,000 | Egypt Government International Bond 8.50%, 01/31/2047(11) | 192,284 | |||||||
|
| |||||||||
Ghana - 0.1% | ||||||||||
400,000 | Ghana Government International Bond 8.63%, 06/16/2049(11) | 371,687 | ||||||||
|
| |||||||||
Hungary - 0.0% | ||||||||||
200,000 | Hungary Government International Bond 6.38%, 03/29/2021 | 212,019 | ||||||||
|
| |||||||||
Japan - 7.2% | ||||||||||
Japan Treasury Discount Bill |
| |||||||||
JPY | 1,800,000,000 | 0.21%, 02/18/2019(12) | 16,540,335 | |||||||
2,500,000,000 | 1.00%, 02/04/2019(12) | 22,971,607 | ||||||||
|
| |||||||||
39,511,942 | ||||||||||
|
| |||||||||
Mexico - 0.1% | ||||||||||
$ | 420,000 | Mexico Government International Bond 4.50%, 04/22/2029 | 421,050 | |||||||
|
| |||||||||
Oman - 0.1% | ||||||||||
700,000 | Oman Government International Bond 4.75%, 06/15/2026(1) | 623,000 | ||||||||
|
| |||||||||
Panama - 0.1% | ||||||||||
720,000 | Panama Government International Bond 4.30%, 04/29/2053 | 705,600 | ||||||||
|
| |||||||||
Romania - 0.2% | ||||||||||
968,000 | Romanian Government International Bond 6.13%, 01/22/2044(11) | 1,077,384 | ||||||||
|
| |||||||||
Tunisia - 0.1% | ||||||||||
EUR | 515,000 | Banque Centrale de Tunisie International Bond 6.75%, 10/31/2023(1) | 577,743 | |||||||
|
| |||||||||
Total Foreign Government Obligations | $ | 44,070,204 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 0.5% | ||||||||||
Education - 0.1% | ||||||||||
Chicago, IL, Board of Education |
| |||||||||
$ | 5,000 | 6.14%, 12/01/2039 | $ | 4,776 | ||||||
380,000 | 6.32%, 11/01/2029 | 374,809 | ||||||||
|
| |||||||||
379,585 | ||||||||||
|
| |||||||||
General Obligation - 0.3% | ||||||||||
1,187,000 | City of Chicago, IL, GO 7.38%, 01/01/2033 | 1,294,115 | ||||||||
40,000 | Illinois State, GO 5.88%, 03/01/2019 | 40,084 | ||||||||
State of Illinois |
| |||||||||
390,000 | 4.95%, 06/01/2023 | 394,594 | ||||||||
120,000 | 5.00%, 01/01/2023 | 122,261 | ||||||||
180,000 | 5.56%, 02/01/2021 | 185,296 | ||||||||
|
| |||||||||
2,036,350 | ||||||||||
|
| |||||||||
Utility - Electric - 0.1% | ||||||||||
314,000 | Municipal Electric Auth, GA 6.64%, 04/01/2057 | 335,101 | ||||||||
|
| |||||||||
Total Municipal Bonds | $ | 2,751,036 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 4.6%(13) | ||||||||||
Aerospace/Defense - 0.1% | ||||||||||
TransDigm, Inc. |
| |||||||||
$ | 150,000 | 1 mo. USD LIBOR + 2.500%, 5.00%, 06/09/2023 | $ | 146,688 | ||||||
323,371 | 1 mo. USD LIBOR + 2.500%, 5.00%, 05/30/2025 | 314,792 | ||||||||
|
| |||||||||
461,480 | ||||||||||
|
| |||||||||
Airlines - 0.0% | ||||||||||
98,969 | American Airlines, Inc. 1 mo. USD LIBOR + 2.000%, 4.52%, 10/12/2021 | 97,562 | ||||||||
|
| |||||||||
Auto Manufacturers - 0.0% | ||||||||||
99,000 | Navistar International Corp. 1 mo. USD LIBOR + 3.500%, 6.02%, 11/06/2024 | 97,330 | ||||||||
|
| |||||||||
Auto Parts & Equipment - 0.0% | ||||||||||
122,668 | Altra Industrial Motion Corp. 1 mo. USD LIBOR + 2.000%, 4.50%, 10/01/2025 | 120,316 | ||||||||
|
| |||||||||
Biotechnology - 0.1% | ||||||||||
292,509 | Sotera Health Holdings LLC 1 mo. USD LIBOR + 3.000%, 5.50%, 05/15/2022 | 284,673 | ||||||||
|
| |||||||||
Chemicals - 0.1% | ||||||||||
190,000 | Cabot Microelectronics Corp. 1 mo. ICE LIBOR + 2.250%, 4.75%, 11/14/2025 | 188,338 | ||||||||
|
| |||||||||
99,750 | LTI Holdings, Inc. 1 mo. USD LIBOR + 3.500%, 6.00%, 09/06/2025 | 96,217 | ||||||||
|
| |||||||||
185,000 | Platform Specialty Products Corp. 1 mo. ICE LIBOR + 2.250%, 0.00%, 11/14/2025(14) | 182,765 | ||||||||
|
| |||||||||
467,320 | ||||||||||
|
| |||||||||
Coal - 0.0% | ||||||||||
130,000 | Foresight Energy LLC 3 mo. USD LIBOR + 5.750%, 8.25%, 03/28/2022 | 128,335 | ||||||||
|
| |||||||||
Commercial Services - 0.4% | ||||||||||
100,000 | Allied Universal Holdco LLC 2 mo. USD LIBOR + 4.250%, 6.75%, 07/28/2022 | 96,250 | ||||||||
350,000 | Blackhawk Network Holdings, Inc. 1 mo. USD LIBOR + 3.000%, 0.00%, 06/15/2025(14) | 343,175 | ||||||||
400,000 | BrightView Landscapes, LLC 1 mo. USD LIBOR + 2.500%, 0.00%, 08/15/2025(14) | 395,000 | ||||||||
190,000 | Quad/Graphics, Inc. 1 mo. USD LIBOR + 5.000%, 0.00%, 01/31/2026(14) | 189,288 | ||||||||
250,000 | Quikrete Holdings, Inc. 1 mo. USD LIBOR + 2.750%, 5.25%, 11/15/2023 | 241,992 | ||||||||
199,494 | Tempo Acquisition LLC 1 mo. USD LIBOR + 3.000%, 5.50%, 05/01/2024 | 195,576 |
The accompanying notes are an integral part of these financial statements.
| 34 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.6%(13) - (continued) | ||||||||||
Commercial Services - 0.4% - (continued) | ||||||||||
$ | 250,000 | Trans Union LLC 1 mo. USD LIBOR + 2.000%, 0.00%, 06/19/2025(14) | $ | 246,517 | ||||||
EUR | 200,000 | Verisure Holding AB 3 mo. EURIBOR + 3.500%, 0.00%, 10/21/2022(14) | 228,310 | |||||||
|
| |||||||||
1,936,108 | ||||||||||
|
| |||||||||
Construction Materials - 0.1% | ||||||||||
$ | 369,073 | NCI Building Systems, Inc. 3 mo. USD LIBOR + 3.750%, 6.55%, 04/12/2025 | 351,080 | |||||||
|
| |||||||||
Distribution/Wholesale - 0.1% | ||||||||||
374,309 | Beacon Roofing Supply, Inc. 1 mo. USD LIBOR + 2.250%, 4.77%, 01/02/2025 | 363,215 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.2% | ||||||||||
429,088 | AlixPartners LLP 3 mo. USD LIBOR + 2.750%, 5.25%, 04/04/2024 | 423,321 | ||||||||
349,499 | Crown Finance U.S., Inc. 1 mo. USD LIBOR + 2.500%, 5.00%, 02/28/2025 | 340,674 | ||||||||
190,000 | Financial & Risk US Holdings, Inc. 1 mo. USD LIBOR + 3.750%, 6.25%, 10/01/2025 | 182,282 | ||||||||
60,771 | SS&C European Holdings S.a.r.l. 1 mo. USD LIBOR + 2.250%, 4.75%, 04/16/2025 | 59,496 | ||||||||
|
| |||||||||
1,005,773 | ||||||||||
|
| |||||||||
Energy-Alternate Sources - 0.1% | ||||||||||
299,248 | BCP Renaissance Parent LLC 3 mo. USD LIBOR + 3.500%, 6.24%, 10/31/2024 | 295,819 | ||||||||
199,499 | Vistra Energy Corp. 1 mo. USD LIBOR + 2.000%, 4.51%, 12/31/2025 | 195,564 | ||||||||
|
| |||||||||
491,383 | ||||||||||
|
| |||||||||
Engineering & Construction - 0.1% | ||||||||||
252,468 | Brand Energy & Infrastructure Services, Inc. 3 mo. USD LIBOR + 4.250%, 6.96%, 06/21/2024 | 241,602 | ||||||||
219,299 | DAE Aviation Holdings, Inc. 1 mo. ICE LIBOR + 4.000%, 0.00%, 01/23/2026(14) | 218,358 | ||||||||
|
| |||||||||
459,960 | ||||||||||
|
| |||||||||
Entertainment - 0.0% | ||||||||||
114,033 | Hilton Worldwide Finance LLC 1 mo. USD LIBOR + 1.750%, 4.26%, 10/25/2023 | 112,708 | ||||||||
|
| |||||||||
Food - 0.1% | ||||||||||
129,347 | Hostess Brands LLC 1 mo. USD LIBOR + 2.250%, 4.90%, 08/03/2022 | 124,712 | ||||||||
129,673 | IRB Holding Corp 1 mo. USD LIBOR + 3.250%, 5.76%, 02/05/2025 | 126,071 | ||||||||
156,718 | Post Holdings, Inc. 1 mo. USD LIBOR + 2.000%, 4.52%, 05/24/2024 | 154,563 | ||||||||
|
| |||||||||
405,346 | ||||||||||
|
| |||||||||
Food Service - 0.0% | ||||||||||
275,000 | Aramark Services, Inc. 3 mo. USD LIBOR + 1.750%, 4.25%, 03/11/2025 | 272,938 | ||||||||
Gas - 0.1% | ||||||||||
300,000 | Messer Industries GmbH 1 mo. USD LIBOR + 2.500%, 0.00%, 10/01/2025(14) | 293,250 | ||||||||
Healthcare-Products - 0.1% | ||||||||||
244,862 | Avantor, Inc. 1 mo. USD LIBOR + 4.000%, 6.57%, 11/21/2024 | 243,821 | ||||||||
224,496 | Parexel International Corp. 1 mo. USD LIBOR + 2.750%, 5.25%, 09/27/2024 | 212,149 | ||||||||
|
| |||||||||
455,970 | ||||||||||
|
| |||||||||
Healthcare-Services - 0.2% | ||||||||||
300,000 | Envision Healthcare Corp. 1 mo. USD LIBOR + 3.750%, 6.25%, 10/10/2025 | 282,150 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.6%(13) - (continued) | ||||||||||
Healthcare-Services - 0.2% - (continued) | ||||||||||
$ | 258,660 | Jaguar Holding Co. 3 mo. USD LIBOR + 2.500%, 5.00%, 08/18/2022 | $ | 253,163 | ||||||
375,308 | MPH Acquisition Holdings LLC 3 mo. USD LIBOR + 2.750%, 5.55%, 06/07/2023 | 362,758 | ||||||||
200,000 | Syneos Health, Inc. 1 mo. USD LIBOR + 2.000%, 0.00%, 08/01/2024(14) | 196,416 | ||||||||
270,000 | Universal Health Services, Inc. 1 mo. USD LIBOR + 1.750%, 4.25%, 10/31/2025 | 269,325 | ||||||||
|
| |||||||||
1,363,812 | ||||||||||
|
| |||||||||
Household Products - 0.0% | ||||||||||
278,969 | Diamond (BC) B.V. 2 mo. USD LIBOR + 3.000%, 5.74%, 09/06/2024 | 262,407 | ||||||||
|
| |||||||||
Insurance - 0.3% | ||||||||||
Asurion LLC |
| |||||||||
304,000 | 1 mo. USD LIBOR + 6.500%, 0.00%, 08/04/2025(14) | 305,520 | ||||||||
444,676 | 1 mo. USD LIBOR + 3.000%, 5.50%, 08/04/2022 | 437,209 | ||||||||
374,060 | Hub International Ltd. 2 mo. USD LIBOR + 2.750%, 5.51%, 04/25/2025 | 360,149 | ||||||||
430,000 | Sedgwick Claims Management Services, Inc. | 418,532 | ||||||||
|
| |||||||||
1,521,410 | ||||||||||
|
| |||||||||
Leisure Time - 0.2% | ||||||||||
278,969 | Caesars Resort Collection LLC 1 mo. USD LIBOR + 2.750%, 5.25%, 12/22/2024 | 274,821 | ||||||||
425,000 | Delta (LUX) S.a.r.l. 1 mo. USD LIBOR + 2.500%, 5.00%, 02/01/2024 | 408,178 | ||||||||
250,000 | Penn National Gaming, Inc. 3 mo. USD LIBOR + 2.250%, 0.00%, 10/15/2025(14) | 246,510 | ||||||||
|
| |||||||||
929,509 | ||||||||||
|
| |||||||||
Lodging - 0.2% | ||||||||||
354,026 | Boyd Gaming Corp. 1 Week USD LIBOR + 2.250%, 4.66%, 09/15/2023 | 348,939 | ||||||||
427,843 | Caesars Entertainment Operating Co. | 418,751 | ||||||||
200,000 | Station Casinos LLC 1 mo. USD LIBOR + 2.500%, 0.00%, 06/08/2023(14) | 197,350 | ||||||||
|
| |||||||||
965,040 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.0% | ||||||||||
110,000 | Brookfield WEC Holdings, Inc. 1 mo. USD LIBOR + 3.750%, 6.25%, 08/01/2025 | 109,352 | ||||||||
|
| |||||||||
Machinery-Diversified - 0.0% | ||||||||||
258,690 | Gates Global LLC 3 mo. USD LIBOR + 2.750%, 5.25%, 04/01/2024 | 252,958 | ||||||||
|
| |||||||||
Media - 0.5% | ||||||||||
388,040 | Charter Communications Operating LLC 1 mo. USD LIBOR + 2.000%, 4.50%, 04/30/2025 | 382,394 | ||||||||
349,121 | CSC Holdings LLC 1 mo. USD LIBOR + 2.500%, 5.01%, 01/25/2026 | 340,682 | ||||||||
280,000 | Gray Television, Inc. 1 mo. ICE LIBOR + 2.500%, 5.02%, 01/02/2026 | 275,918 | ||||||||
300,000 | MTN Infrastructure TopCo, Inc. 1 mo. USD LIBOR + 3.000%, 5.50%, 11/15/2024 | 295,275 | ||||||||
149,621 | Numericable Group S.A. 3 mo. USD LIBOR + 3.688%, 6.20%, 01/31/2026 | 139,790 | ||||||||
149,248 | PSAV Holdings LLC 3 mo. USD LIBOR + 3.250%, 5.88%, 03/01/2025 | 142,408 | ||||||||
151,272 | Shutterfly, Inc. 1 mo. USD LIBOR + 2.750%, 5.25%, 08/17/2024 | 147,426 |
The accompanying notes are an integral part of these financial statements.
| 35 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.6%(13) - (continued) | ||||||||||
Media - 0.5% - (continued) | ||||||||||
$ | 170,000 | Telenet Financing USD LLC 1 mo. USD LIBOR + 2.250%, 4.76%, 08/15/2026 | $ | 165,254 | ||||||
325,000 | Tribune Media Co. 1 mo. USD LIBOR + 3.000%, 5.50%, 01/27/2024 | 322,969 | ||||||||
305,000 | Unitymedia Finance LLC 1 mo. USD LIBOR + 2.250%, 4.76%, 09/30/2025 | 299,995 | ||||||||
195,000 | UPC Financing Partnership 1 mo. USD LIBOR + 2.500%, 5.01%, 01/15/2026 | 191,831 | ||||||||
|
| |||||||||
2,703,942 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||
138,595 | H.B. Fuller Co. 1 mo. USD LIBOR + 2.000%, 4.50%, 10/20/2024 | 135,823 | ||||||||
299,496 | USI, Inc. 3 mo. USD LIBOR + 3.000%, 5.80%, 05/16/2024 | 286,768 | ||||||||
|
| |||||||||
422,591 | ||||||||||
|
| |||||||||
Oil & Gas - 0.0% | ||||||||||
75,000 | California Resources Corp. 1 mo. USD LIBOR + 4.750%, 7.25%, 12/31/2022 | 73,375 | ||||||||
119,700 | Grizzly Acquisitions, Inc. 1 mo. USD LIBOR + 3.250%, 6.05%, 10/01/2025 | 118,977 | ||||||||
|
| |||||||||
192,352 | ||||||||||
|
| |||||||||
Packaging & Containers - 0.2% | ||||||||||
Berry Global, Inc. |
| |||||||||
183,750 | 3 mo. USD LIBOR + 1.750%, 4.27%, 02/08/2020 | 182,763 | ||||||||
275,000 | 1 mo. USD LIBOR + 2.000%, 4.52%, 10/01/2022 | 272,080 | ||||||||
279,342 | Flex Acquisition Co., Inc. 3 mo. USD LIBOR + 3.000%, 5.52%, 12/29/2023 | 270,495 | ||||||||
300,000 | Plastipak Packaging, Inc. 1 mo. USD LIBOR + 2.500%, 0.00%, 10/14/2024(14) | 292,251 | ||||||||
323,350 | Reynolds Group Holdings, Inc. 1 mo. USD LIBOR + 2.750%, 5.25%, 02/05/2023 | 318,471 | ||||||||
|
| |||||||||
1,336,060 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.2% | ||||||||||
221,375 | Bausch Health Companies Inc. 1 mo. USD LIBOR + 2.750%, 5.26%, 11/27/2025 | 218,123 | ||||||||
249,367 | Endo Luxembourg Finance Co. S.a r.l. 1 mo. USD LIBOR + 4.250%, 6.75%, 04/29/2024 | 246,666 | ||||||||
200,000 | IQVIA, Inc. 3 mo. USD LIBOR + 2.000%, 4.80%, 03/07/2024 | 198,100 | ||||||||
179,550 | NVA Holdings, Inc. 3 mo. USD LIBOR + 2.750%, 5.25%, 02/02/2025 | 171,470 | ||||||||
126,508 | Valeant Pharmaceuticals International, Inc. 1 mo. USD LIBOR + 3.000%, 5.51%, 06/02/2025 | 125,042 | ||||||||
|
| |||||||||
959,401 | ||||||||||
|
| |||||||||
Real Estate - 0.0% | ||||||||||
130,000 | VICI Properties LLC 1 mo. USD LIBOR + 2.000%, 4.50%, 12/20/2024 | 127,522 | ||||||||
|
| |||||||||
Retail - 0.3% | ||||||||||
275,000 | American Builders & Contractors Supply Co., Inc. 1 mo. USD LIBOR + 2.000%, 0.00%, 10/31/2023(14) | 267,987 | ||||||||
275,000 | B.C. Unlimited Liability Co. 1 mo. USD LIBOR + 2.250%, 4.75%, 02/16/2024 | 270,187 | ||||||||
269,318 | Bass Pro Group LLC 1 mo. USD LIBOR + 5.000%, 7.50%, 09/25/2024 | 265,952 | ||||||||
200,000 | Belron Finance U.S. LLC 1 mo. USD LIBOR + 2.500%, 5.12%, 11/13/2025 | 197,250 | ||||||||
194,836 | Harbor Freight Tools USA, Inc. 1 mo. USD LIBOR + 2.500%, 5.00%, 08/18/2023 | 188,122 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.6%(13) - (continued) | ||||||||||
Retail - 0.3% - (continued) | ||||||||||
$ | 129,319 | Neiman Marcus Group Ltd. LLC 1 mo. USD LIBOR + 3.250%, 5.76%, 10/25/2020 | $ | 114,383 | ||||||
129,673 | Staples, Inc. 3 mo. USD LIBOR + 4.000%, 6.54%, 09/12/2024 | 127,274 | ||||||||
229,081 | U.S. Foods, Inc. 1 mo. USD LIBOR + 2.000%, 4.50%, 06/27/2023 | 225,072 | ||||||||
|
| |||||||||
1,656,227 | ||||||||||
|
| |||||||||
Semiconductors - 0.0% | ||||||||||
200,000 | Microchip Technology, Inc. 1 mo. USD LIBOR + 2.000%, 4.50%, 05/29/2025 | 196,500 | ||||||||
|
| |||||||||
Software - 0.5% | ||||||||||
228,005 | Change Healthcare Holdings LLC 1 mo. USD LIBOR + 2.750%, 5.25%, 03/01/2024 | 222,989 | ||||||||
First Data Corp. |
| |||||||||
89,788 | 1 mo. USD LIBOR + 2.000%, 4.52%, 07/08/2022 | 89,400 | ||||||||
635,332 | 1 mo. USD LIBOR + 2.000%, 4.52%, 04/26/2024 | 632,753 | ||||||||
300,000 | Go Daddy Operating Co. LLC 1 mo. USD LIBOR + 2.250%, 0.00%, 02/15/2024(14) | 295,929 | ||||||||
323,367 | Hyland Software, Inc. 1 mo. USD LIBOR + 3.500%, 6.00%, 07/01/2024 | 318,804 | ||||||||
100,000 | Infor U.S., Inc. 1 mo. USD LIBOR + 2.750%, 5.25%, 02/01/2022 | 99,325 | ||||||||
35,381 | MA FinanceCo. LLC 1 mo. USD LIBOR + 2.500%, 0.00%, 06/21/2024(14) | 34,172 | ||||||||
238,927 | Seattle Spinco, Inc. 1 mo. USD LIBOR + 2.500%, 0.00%, 06/21/2024(14) | 230,763 | ||||||||
74,609 | SkillSoft Corp. 3 mo. USD LIBOR + 4.750%, 7.25%, 04/28/2021 | 60,673 | ||||||||
SS&C Technologies, Inc. |
| |||||||||
99,749 | 1 mo. USD LIBOR + 2.250%, 0.00%, 04/16/2025(14) | 97,778 | ||||||||
157,997 | 1 mo. USD LIBOR + 2.250%, 4.75%, 04/16/2025 | 154,683 | ||||||||
267,000 | Web.com Group, Inc. 3 mo. USD LIBOR + 3.750%, 6.27%, 10/10/2025 | 257,655 | ||||||||
274,297 | WEX, Inc. 1 mo. USD LIBOR + 2.250%, 4.75%, 06/30/2023 | 269,839 | ||||||||
|
| |||||||||
2,764,763 | ||||||||||
|
| |||||||||
Telecommunications - 0.2% | ||||||||||
150,000 | CenturyLink, Inc. 1 mo. USD LIBOR + 2.750%, 0.00%, 01/31/2025(14) | 143,203 | ||||||||
325,000 | Level 3 Financing, Inc. 1 mo. USD LIBOR + 2.250%, 4.76%, 02/22/2024 | 318,906 | ||||||||
511,146 | Sprint Communications, Inc. 1 mo. USD LIBOR + 2.500%, 5.00%, 02/02/2024 | 499,006 | ||||||||
194,467 | Univision Communications, Inc. 1 mo. USD LIBOR + 2.750%, 5.25%, 03/15/2024 | 180,734 | ||||||||
|
| |||||||||
1,141,849 | ||||||||||
|
| |||||||||
Textiles - 0.0% | ||||||||||
250,000 | ASP Unifrax Holdings Inc 6.53%, 12/12/2025 | 235,000 | ||||||||
|
| |||||||||
Transportation - 0.1% | ||||||||||
446,074 | Savage Enterprises LLC 1 mo. USD LIBOR + 4.500%, 7.02%, 08/01/2025 | 444,682 | ||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 25,390,124 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 50.3% | ||||||||||
Mortgage-Backed Agencies - 50.3% | ||||||||||
FHLMC | ||||||||||
$ | 184,569 | 1 mo. USD LIBOR + 0.450%, 2.96%, 07/25/2030(3) | $ | 183,834 |
The accompanying notes are an integral part of these financial statements.
| 36 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 50.3% - (continued) | ||||||||||
Mortgage-Backed Agencies - 50.3% - (continued) | ||||||||||
FHLMC - (continued) | ||||||||||
$ | 2,500,000 | 3.00%, 02/01/2034(15) | $ | 2,503,906 | ||||||
10,658 | 3.00%, 05/15/2041 | 10,703 | ||||||||
8,480,000 | 3.00%, 02/01/2049(15) | 8,334,636 | ||||||||
159,467 | 1 mo. USD LIBOR + 0.550%, 3.06%, 04/25/2030(3) | 159,314 | ||||||||
40,000 | 3.24%, 08/25/2027 | 40,123 | ||||||||
912,091 | 1 mo. USD LIBOR + 0.750%, 3.26%, 03/25/2030(3) | 911,463 | ||||||||
700,000 | 3.50%, 02/01/2034(15) | 712,787 | ||||||||
660,582 | 3.50%, 01/01/2048 | 664,338 | ||||||||
26,398 | 3.50%, 03/01/2048 | 26,550 | ||||||||
984,618 | 3.50%, 06/01/2048 | 990,267 | ||||||||
12,310,000 | 3.50%, 02/01/2049(15) | 12,378,041 | ||||||||
216,059 | 1 mo. USD LIBOR + 1.200%, 3.71%, 10/25/2029(3) | 217,425 | ||||||||
4,450,000 | 4.00%, 02/01/2049(15) | 4,557,686 | ||||||||
4,400,000 | 4.00%, 03/13/2049 | 4,501,922 | ||||||||
585,000 | 1 mo. USD LIBOR + 1.800%, 4.31%, 07/25/2030(3) | 571,783 | ||||||||
2,925,000 | 4.50%, 02/01/2049(15) | 3,041,829 | ||||||||
1,403,910 | 1 mo. USD LIBOR + 2.200%, 4.71%, 02/25/2024(3) | 1,429,374 | ||||||||
2,200,000 | 5.00%, 02/01/2049(15) | 2,313,824 | ||||||||
1,365,495 | 1 mo. USD LIBOR + 4.250%, 6.76%, 11/25/2023(3) | 1,490,451 | ||||||||
800,000 | 1 mo. USD LIBOR + 5.550%, 8.06%, 07/25/2028(3) | 950,237 | ||||||||
|
| |||||||||
45,990,493 | ||||||||||
|
| |||||||||
FNMA | ||||||||||
9,633 | 2.00%, 09/25/2041 | 9,285 | ||||||||
18,810 | 2.00%, 12/25/2041 | 18,229 | ||||||||
707,812 | 2.00%, 03/25/2044 | 680,856 | ||||||||
1,207,705 | 2.00%, 05/25/2044 | 1,161,563 | ||||||||
18,877 | 2.50%, 12/25/2041 | 18,558 | ||||||||
22,035 | 2.50%, 03/25/2046 | 21,663 | ||||||||
1,195,000 | 2.85%, 12/01/2027 | 1,159,641 | ||||||||
370,000 | 2.88%, 11/01/2027 | 360,151 | ||||||||
255,000 | 3.00%, 07/01/2027 | 250,711 | ||||||||
330,000 | 3.00%, 12/01/2029 | 319,167 | ||||||||
500,000 | 3.00%, 02/01/2034(15) | 500,684 | ||||||||
25,490 | 3.00%, 02/25/2043 | 25,376 | ||||||||
162,590 | 3.00%, 01/25/2046 | 161,773 | ||||||||
152,611 | 3.00%, 05/25/2047 | 151,878 | ||||||||
48,308 | 3.00%, 09/25/2047 | 48,375 | ||||||||
6,500,000 | 3.00%, 02/01/2049(15) | 6,385,488 | ||||||||
64,290 | 3.00%, 12/25/2054 | 63,932 | ||||||||
200,000 | 3.10%, 02/01/2027 | 199,756 | ||||||||
505,000 | 3.10%, 12/01/2027 | 496,243 | ||||||||
345,000 | 3.16%, 08/01/2027 | 342,599 | ||||||||
600,000 | 3.18%, 02/01/2027 | 596,659 | ||||||||
335,893 | 3.22%, 07/01/2032 | 328,843 | ||||||||
2,000,000 | 3.50%, 10/01/2028 | 2,021,618 | ||||||||
1,675,000 | 3.50%, 02/01/2034(15) | 1,706,275 | ||||||||
11,303 | 3.50%, 05/25/2042 | 11,571 | ||||||||
650,623 | 3.50%, 07/25/2044 | 660,364 | ||||||||
26,810 | 3.50%, 03/25/2045 | 27,220 | ||||||||
1,768,044 | 3.50%, 01/01/2048 | 1,777,019 | ||||||||
96,639 | 3.50%, 02/25/2048 | 98,093 | ||||||||
21,849 | 3.50%, 04/25/2048 | 22,637 | ||||||||
395,722 | 3.50%, 06/01/2048 | 397,731 | ||||||||
85,890,000 | 3.50%, 02/01/2049(15) | 86,314,418 | ||||||||
915,332 | 3.50%, 07/25/2054 | 927,389 | ||||||||
277,047 | 3.50%, 10/25/2056 | 281,972 | ||||||||
2,704,767 | 3.56%, 10/01/2028 | 2,763,956 |
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 50.3% - (continued) | ||||||||||
Mortgage-Backed Agencies - 50.3% - (continued) | ||||||||||
FNMA - (continued) | ||||||||||
$ | 3,000,000 | 3.85%, 12/01/2028 | $ | 3,127,273 | ||||||
1,763,271 | 4.00%, 12/01/2028 | 1,865,590 | ||||||||
32,760,000 | 4.00%, 02/01/2049(15) | 33,532,931 | ||||||||
20,100,000 | 4.00%, 03/01/2049(15) | 20,553,820 | ||||||||
4,000,000 | 4.50%, 02/01/2049(15) | 4,157,344 | ||||||||
2,320,410 | 4.50%, 01/01/2051 | 2,419,337 | ||||||||
5,700,000 | 5.00%, 02/01/2049(15) | 5,996,178 | ||||||||
|
| |||||||||
181,964,166 | ||||||||||
|
| |||||||||
GNMA | ||||||||||
935,968 | 2.00%, 01/20/2042 | 899,426 | ||||||||
387,135 | 2.00%, 06/16/2042 | 372,714 | ||||||||
370,731 | 2.50%, 05/20/2040 | 366,166 | ||||||||
4,500,000 | 3.00%, 02/01/2049(15) | 4,466,953 | ||||||||
18,930,000 | 3.50%, 02/01/2049(15) | 19,169,952 | ||||||||
8,100,000 | 4.00%, 02/01/2049(15) | 8,333,824 | ||||||||
1,700,000 | 4.00%, 03/01/2049(15) | 1,747,215 | ||||||||
11,310,000 | 4.50%, 02/01/2049(15) | 11,742,961 | ||||||||
2,400,000 | 5.00%, 02/01/2049(15) | 2,506,238 | ||||||||
|
| |||||||||
49,605,449 | ||||||||||
|
| |||||||||
277,560,108 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 277,560,108 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 25.4% | ||||||||||
U.S. Treasury Securities - 25.4% | ||||||||||
U.S. Treasury Bonds - 9.8% | ||||||||||
$ | 2,580,000 | 2.75%, 08/15/2047(9) | $ | 2,450,698 | ||||||
700,000 | 3.00%, 02/15/2047 | 700,137 | ||||||||
360,000 | 3.00%, 08/15/2048 | 359,086 | ||||||||
6,000,000 | 3.13%, 05/15/2048 | 6,131,953 | ||||||||
8,925,000 | 3.63%, 08/15/2043 | 9,916,512 | ||||||||
23,260,000 | 3.63%, 02/15/2044 | 25,858,578 | ||||||||
3,573,000 | 3.75%, 11/15/2043(16) | 4,049,493 | ||||||||
520,000 | 4.38%, 02/15/2038 | 640,230 | ||||||||
3,475,000 | 5.50%, 08/15/2028 | 4,308,185 | ||||||||
|
| |||||||||
54,414,872 | ||||||||||
|
| |||||||||
U.S. Treasury Notes - 15.6% | ||||||||||
551,285 | 0.38%, 07/15/2027(17) | 535,084 | ||||||||
18,452,812 | 0.75%, 07/15/2028(17) | 18,453,052 | ||||||||
4,572,077 | 0.88%, 01/15/2029(17) | 4,608,213 | ||||||||
1,945,000 | 1.13%, 02/28/2021(16)(18) | 1,892,348 | ||||||||
10,850,000 | 1.13%, 08/31/2021 | 10,490,594 | ||||||||
1,885,000 | 1.38%, 08/31/2023 | 1,797,966 | ||||||||
9,800,000 | 1.50%, 02/28/2023 | 9,443,219 | ||||||||
420,000 | 1.75%, 05/15/2023 | 408,105 | ||||||||
2,745,000 | 1.88%, 02/28/2022(16)(18) | 2,699,214 | ||||||||
3,490,000 | 2.75%, 08/15/2021 | 3,514,812 | ||||||||
8,690,000 | 2.75%, 02/15/2028 | 8,779,616 | ||||||||
15,000,000 | 2.88%, 11/15/2021 | 15,172,851 | ||||||||
8,200,000 | 2.88%, 09/30/2023 | 8,354,711 | ||||||||
|
| |||||||||
86,149,785 | ||||||||||
|
| |||||||||
140,564,657 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 140,564,657 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 792,041,120 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 37 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SHORT-TERM INVESTMENTS - 5.1% | ||||||||||
Other Investment Pools & Funds - 4.9% | ||||||||||
$ | 27,057,935 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.37%(19) | $ | 27,057,935 | ||||||
|
| |||||||||
Securities Lending Collateral - 0.2% | ||||||||||
816,320 | State Street Navigator Securities Lending Government Money Market Portfolio, 2.43%(19) | 816,320 | ||||||||
|
| |||||||||
Total Short-Term Investments | $ | 27,874,255 | ||||||||
|
|
Total Investments Excluding Purchased Options | 148.5 | % | $ | 819,915,375 | ||||||||||
Total Purchased Options | 0.2 | % | $ | 1,463,360 | ||||||||||
|
|
|
| |||||||||||
Total Investments | 148.7 | % | $ | 821,378,735 | ||||||||||
Other Assets & Liabilities | (48.7 | )% | (269,093,823 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 552,284,912 | ||||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At January 31, 2019, the aggregate value of these securities was $116,063,373, representing 21.0% of net assets. |
(2) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(3) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2019. |
(4) | Security is a“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(5) | Securities disclosed are interest-only strips. |
(6) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $3,604,297 at January 31, 2019. |
(7) | These securities are valued in good faith at fair value as determined under policies and procedures established by and under the supervision of the Board of Trustees. At January 31, 2019, the aggregate fair value of these securities was $2,819,297, which represented 0.5% of total net assets. This amount excludes securities that are principally traded in certain foreign markets and whose prices are adjusted pursuant to a third party pricing service methodology approved by the Board of Trustees. |
(8) | Investment valued using significant unobservable inputs. |
(9) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(10) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
(11) | Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2019, the aggregate value of these securities was $10,110,192, representing 1.8% of net assets. |
(12) | The rate shown represents current yield to maturity. |
(13) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the LIBOR, and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit rate or other base lending rates used by commercial lenders. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of January 31, 2019. |
(14) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(15) | Represents or includes a TBA transaction. |
(16) | This security, or a portion of this security, has been pledged as collateral in connection with centrally cleared swap contracts. |
(17) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(18) | This security, or a portion of this security, has been pledged as collateral in connection with futures contracts. |
(19) | Current yield as of period end. |
OTC Swaption Contracts Outstanding at January 31, 2019 | ||||||||||||||||||||||||||||||||||
Description | Counter- | Exercise Price/ | Pay/ Receive Floating Rate | Expiration Date | Notional | Number of Contracts | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Purchased swaption contracts: | ||||||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 08/04/57* | HSBC | 2.45% | Pay | 08/02/27 | USD | 4,625,000 | 4,625,000 | $ | 480,075 | $ | 517,537 | $ | (37,462 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 38 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
OTC Swaption Contracts Outstanding at January 31, 2019 – (continued) | ||||||||||||||||||||||||||||||||||
Description | Counter- | Exercise Price/ | Pay/ Receive Floating Rate | Expiration Date | Notional | Number of Contracts | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 05/15/29* | BOA | 3.25% | Receive | 05/13/19 | USD | 163,000 | 163,000 | $ | 72 | $ | 2,561 | $ | (2,489 | ) | ||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 05/15/29* | BOA | 3.25% | Receive | 05/13/19 | USD | 510,000 | 510,000 | 226 | 8,211 | (7,985 | ) | |||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 05/31/29* | BOA | 3.20% | Receive | 05/29/19 | USD | 2,499,000 | 2,499,000 | 1,959 | 28,238 | (26,279 | ) | |||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 06/03/29* | DEUT | 3.20% | Receive | 05/30/19 | USD | 500,000 | 500,000 | 400 | 7,451 | (7,051 | ) | |||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 06/03/29* | BOA | 3.20% | Receive | 05/30/19 | USD | 515,000 | 515,000 | 411 | 8,008 | (7,597 | ) | |||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 06/03/29* | BOA | 3.20% | Receive | 05/30/19 | USD | 2,200,000 | 2,200,000 | 1,758 | 31,856 | (30,098 | ) | |||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 09/27/29* | BOA | 3.30% | Receive | 09/25/19 | USD | 1,850,000 | 1,850,000 | 3,815 | 34,965 | (31,150 | ) | |||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 10/02/29* | BOA | 3.30% | Receive | 09/30/19 | USD | 4,600,000 | 4,600,000 | 9,881 | 95,450 | (85,569 | ) | |||||||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 10/02/29* | MSC | 3.30% | Receive | 09/30/19 | USD | 2,660,000 | 2,660,000 | 5,714 | 49,210 | (43,496 | ) | |||||||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 10/02/29* | DEUT | 3.20% | Receive | 09/30/19 | USD | 7,260,000 | 7,260,000 | 22,317 | 82,219 | (59,902 | ) | |||||||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 12/11/29* | MSC | 3.20% | Receive | 12/09/19 | USD | 14,510,000 | 14,510,000 | 69,082 | 194,144 | (125,062 | ) | |||||||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 08/04/57* | HSBC | 2.45% | Receive | 08/02/27 | USD | 4,625,000 | 4,625,000 | 867,650 | 881,064 | (13,414 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Puts |
| 41,892,000 | $ | 983,285 | $ | 1,423,377 | $ | (440,092 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total purchased swaption contracts | 46,517,000 | $ | 1,463,360 | $ | 1,940,914 | $ | (477,554 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at January 31, 2019 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
U.S. Treasury2-Year Note Future | 127 | 03/29/2019 | $ | 26,965,672 | $ | (2,093 | ) | |||||||||
U.S. Treasury5-Year Note Future | 33 | 03/29/2019 | 3,790,359 | 9,023 | ||||||||||||
U.S. Treasury Ultra Bond Future | 3 | 03/20/2019 | 483,375 | 3,844 | ||||||||||||
|
| |||||||||||||||
Total |
| $ | 10,774 | |||||||||||||
|
| |||||||||||||||
Short position contracts: | ||||||||||||||||
Canadian Government10-Year Bond Future | 35 | 03/20/2019 | $ | 3,668,164 | $ | (10,214 | ) | |||||||||
U.S. Treasury10-Year Note Future | 135 | 03/20/2019 | 16,533,281 | (84,471 | ) | |||||||||||
U.S. Treasury10-Year Ultra Future | 243 | 03/20/2019 | 31,757,063 | (879,616 | ) | |||||||||||
U.S. Treasury Long Bond Future | 10 | 03/20/2019 | 1,466,875 | (10,272 | ) | |||||||||||
|
| |||||||||||||||
Total |
| $ | (984,573 | ) | ||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (973,799 | ) | ||||||||||||
|
|
TBA Sale Commitments Outstanding at January 31, 2019 | ||||||||||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||||
FNMA, 3.00% | $ | 4,300,000 | 02/01/2049 | $ | (4,224,246 | ) | $ | (39,137 | ) | |||||||
|
|
|
| |||||||||||||
Total (proceeds receivable $4,185,109) |
| $ | (4,224,246 | ) | $ | (39,137 | ) | |||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 39 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
At January 31, 2019, the aggregate market value of TBA Sale Commitments represents (0.8)% of total net assets.
OTC Credit Default Swap Contracts Outstanding at January 31, 2019 | ||||||||||||||||||||||||||||||||||||
Reference Entity | Counter-party | Notional Amount(a) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
Credit default swaps on indices: | ||||||||||||||||||||||||||||||||||||
Sell protection: | ||||||||||||||||||||||||||||||||||||
CMBX.NA.BB.6 | GSC | USD | 1,475,000 | 5.00% | 05/11/63 | Monthly | $ | — | $ | (370,073 | ) | $ | (353,002 | ) | $ | 17,071 | ||||||||||||||||||||
CMBX.NA.BB.8 | GSC | USD | 1,360,000 | 5.00% | 10/17/57 | Monthly | — | (254,479 | ) | (240,443 | ) | 14,036 | ||||||||||||||||||||||||
CMBX.NA.BBB- 6 | MSC | USD | 2,775,000 | 3.00% | 05/11/63 | Monthly | — | (382,389 | ) | (365,692 | ) | 16,697 | ||||||||||||||||||||||||
CMBX.NA.BBB- 6 | DEUT | USD | 175,000 | 3.00% | 05/11/63 | Monthly | — | (25,015 | ) | (23,076 | ) | 1,939 | ||||||||||||||||||||||||
South Africa Government International Bond | GSC | USD | 365,000 | 1.00% | 12/20/23 | Quarterly | — | (17,717 | ) | (11,921 | ) | 5,796 | ||||||||||||||||||||||||
South Africa Government International Bond | MSC | USD | 365,000 | 1.00% | 12/20/23 | Quarterly | — | (17,412 | ) | (11,922 | ) | 5,490 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total | $ | — | $ | (1,067,085 | ) | $ | (1,006,056 | ) | $ | 61,029 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total traded indices | $ | — | $ | (1,067,085 | ) | $ | (1,006,056 | ) | $ | 61,029 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total OTC contracts | $ | — | $ | (1,067,085 | ) | $ | (1,006,056 | ) | $ | 61,029 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2019 | ||||||||||||||||||||||||||||||
Reference Entity | Notional Amount(a) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Credit default swaps on indices: | ||||||||||||||||||||||||||||||
Buy protection: | ||||||||||||||||||||||||||||||
CDX.NA.IG.31.V1 | USD | 4,830,000 | (1.00 | %) | 12/20/23 | Quarterly | $ | (47,973 | ) | $ | (78,210 | ) | $ | (30,237 | ) | |||||||||||||||
ITRAXX.EUR.30.V1 | EUR | 7,615,000 | (1.00 | %) | 12/20/23 | Quarterly | (80,037 | ) | (135,442 | ) | (55,405 | ) | ||||||||||||||||||
ITRAXX.XOV.30.V2 | EUR | 3,887,440 | (5.00 | %) | 12/20/23 | Quarterly | (321,630 | ) | (395,116 | ) | (73,486 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total |
| $ | (449,640 | ) | $ | (608,768 | ) | $ | (159,128 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Credit default swaps on indices: | ||||||||||||||||||||||||||||||
Sell protection: | ||||||||||||||||||||||||||||||
CDX.EM.30 | USD | 8,585,000 | 1.00 | % | 12/20/23 | Quarterly | $ | (400,721 | ) | $ | (251,320 | ) | $ | 149,401 | ||||||||||||||||
CDX.NA.HY.31.V1 | USD | 13,426,000 | 5.00 | % | 12/20/23 | Quarterly | 590,775 | 870,347 | 279,572 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total |
| $ | 190,054 | $ | 619,027 | $ | 428,973 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total |
| $ | (259,586 | ) | $ | 10,259 | $ | 269,845 | ||||||||||||||||||||||
|
|
|
|
|
|
(a) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2019 | ||||||||||||||||||||||||||||||
Payments made | Payments received | Notional | Expiration Date | Periodic | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
3 Mo. USD LIBOR | 2.00% Fixed | USD | 4,135,000 | 03/21/23 | Semi-Annual | $ | 95,823 | $ | — | $ | 68,780 | $ | (27,043 | ) | ||||||||||||||||
3 Mo. USD LIBOR | 3.00% Fixed | USD | 3,578,000 | 04/30/25 | Semi-Annual | — | (79,005 | ) | (118,659 | ) | (39,654 | ) | ||||||||||||||||||
3 Mo. USD LIBOR | 2.64% Fixed | USD | 7,887,000 | 02/01/26 | Semi-Annual | — | — | (31,695 | ) | (31,695 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.25% Fixed | USD | 24,761,000 | 06/20/28 | Semi-Annual | 1,817,231 | — | 838,452 | (978,779 | ) | ||||||||||||||||||||
3 Mo. USD LIBOR | 2.72% Fixed | USD | 9,199,000 | 02/01/29 | Semi-Annual | — | — | (48,760 | ) | (48,760 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.81% Fixed | USD | 1,219,000 | 05/15/44 | Semi-Annual | 10,980 | — | (689 | ) | (11,669 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.75% Fixed | USD | 120,000 | 12/20/47 | Semi-Annual | — | (2,594 | ) | 1,321 | 3,915 | ||||||||||||||||||||
3 Mo. USD LIBOR | 2.86% Fixed | USD | 525,000 | 02/01/49 | Semi-Annual | — | — | (6,358 | ) | (6,358 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total |
| $ | 1,924,034 | $ | (81,599 | ) | $ | 702,392 | $ | (1,140,043 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 40 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2019 (Unaudited)
Foreign Currency Contracts Outstanding at January 31, 2019 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
3,370,000 | EGP | 177,555 | USD | GSC | 04/22/19 | $ | 8,352 | $ | — | |||||||||||||||
3,320,000 | EGP | 176,034 | USD | GSC | 04/22/19 | 7,115 | — | |||||||||||||||||
3,320,000 | EGP | 177,683 | USD | GSC | 04/22/19 | 5,467 | — | |||||||||||||||||
2,310,000 | EGP | 123,861 | USD | GSC | 04/22/19 | 3,572 | — | |||||||||||||||||
1,200,000 | EGP | 62,927 | USD | GSC | 04/22/19 | 3,272 | — | |||||||||||||||||
690,000 | EGP | 35,622 | USD | GSC | 04/22/19 | 2,442 | — | |||||||||||||||||
2,860,199 | USD | 2,519,000 | EUR | GSC | 02/28/19 | — | (37,053 | ) | ||||||||||||||||
970,441 | USD | 849,000 | EUR | BOA | 03/20/19 | — | (7,848 | ) | ||||||||||||||||
22,165,656 | USD | 2,500,000,000 | JPY | ANZ | 02/04/19 | — | (814,048 | ) | ||||||||||||||||
16,071,170 | USD | 1,800,000,000 | JPY | ANZ | 02/19/19 | — | (491,995 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 30,220 | $ | (1,350,944 | ) | |||||||||||||||||||
|
|
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
GLOSSARY: (abbreviations used in preceding Schedule of Investments) | ||
Counterparty Abbreviations: | ||
ANZ | Australia and New Zealand Banking Group | |
BOA | Banc of America Securities LLC | |
DEUT | Deutsche Bank Securities, Inc. | |
GSC | Goldman Sachs & Co. | |
HSBC | HSBC Bank USA | |
MSC | Morgan Stanley | |
Currency Abbreviations: | ||
EGP | Egyptian Pound | |
EUR | Euro | |
JPY | Japanese Yen | |
USD | United States Dollar | |
Index Abbreviations: | ||
CDX.EM | Credit Derivatives Emerging Markets | |
CDX.NA.HY | Credit Derivatives North American High Yield | |
CDX.NA.IG | Credit Derivatives North American Investment Grade |
Index Abbreviations: – (continued) | ||
CMBX.NA | Markit Commercial Mortgage Backed North American | |
ICE | Intercontinental Exchange, Inc. | |
ITRAXX.EUR | Markit iTraxx - Europe | |
ITRAXX.XOV | Markit iTraxx Index - Europe Crossover | |
Other Abbreviations: | ||
Auth | Authority | |
CLO | Collateralized Loan Obligation | |
CMO | Collateralized Mortgage Obligation | |
EM | Emerging Markets | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
LIBOR | London Interbank Offered Rate | |
OTC | Over-the-Counter | |
TBA | To Be Announced | |
Municipal Abbreviations: | ||
GO | General Obligation |
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage Backed Securities | $ | 125,362,842 | $ | — | $ | 122,543,545 | $ | 2,819,297 | ||||||||
Corporate Bonds | 176,342,149 | — | 176,342,149 | — | ||||||||||||
Foreign Government Obligations | 44,070,204 | — | 44,070,204 | — | ||||||||||||
Municipal Bonds | 2,751,036 | — | 2,751,036 | — | ||||||||||||
Senior Floating Rate Interests | 25,390,124 | — | 25,390,124 | — | ||||||||||||
U.S. Government Agencies | 277,560,108 | — | 277,560,108 | — | ||||||||||||
U.S. Government Securities | 140,564,657 | — | 140,564,657 | — | ||||||||||||
Short-Term Investments | 27,874,255 | 27,874,255 | — | — | ||||||||||||
Purchased Options | 1,463,360 | — | 1,463,360 | — | ||||||||||||
Foreign Currency Contracts(2) | 30,220 | — | 30,220 | — | ||||||||||||
Futures Contracts(2) | 12,867 | 12,867 | — | — | ||||||||||||
Swaps - Credit Default(2) | 490,002 | — | 490,002 | — | ||||||||||||
Swaps - Interest Rate(2) | 3,915 | — | 3,915 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 821,915,739 | $ | 27,887,122 | $ | 791,209,320 | $ | 2,819,297 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Foreign Currency Contracts(2) | $ | (1,350,944 | ) | $ | — | $ | (1,350,944 | ) | $ | — | ||||||
Futures Contracts(2) | (986,666 | ) | (986,666 | ) | — | — | ||||||||||
Swaps - Credit Default(2) | (159,128 | ) | — | (159,128 | ) | — | ||||||||||
Swaps - Interest Rate(2) | (1,143,958 | ) | — | (1,143,958 | ) | — | ||||||||||
TBA Sale Commitments | (4,224,246 | ) | — | (4,224,246 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (7,864,942 | ) | $ | (986,666 | ) | $ | (6,878,276 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2019, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for thesix-month period ended January 31, 2019 is not presented.
The accompanying notes are an integral part of these financial statements.
| 41 |
|
Hartford Active Fixed Income ETFs |
Statements of Assets and Liabilities
January 31, 2019 (Unaudited)
Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||
Assets: |
| |||||||||||||||
Investments in securities, at market value(1) | $ | 108,275,405 | $ | 21,228,548 | $ | 109,227,963 | $ | 821,378,735 | ||||||||
Cash | — | — | — | 5,165 | ||||||||||||
Foreign currency | — | — | 511,766 | 229,486 | ||||||||||||
Unrealized appreciation on OTC swap contracts | — | — | — | 61,029 | ||||||||||||
Unrealized appreciation on foreign currency contracts | — | — | — | 30,220 | ||||||||||||
Receivables: |
| |||||||||||||||
Investment securities sold | — | — | 365,212 | 115,142,847 | ||||||||||||
Dividends and interest | 1,034,807 | 205,366 | 629,716 | 3,794,982 | ||||||||||||
Securities lending income | — | 75 | — | 1,486 | ||||||||||||
Tax reclaims | — | — | 1,937 | 18,195 | ||||||||||||
Variation margin on futures contracts | — | — | 86,143 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 109,310,212 | 21,433,989 | 110,822,737 | 940,662,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Unrealized depreciation on foreign currency contracts | — | — | 13,224 | 1,350,944 | ||||||||||||
Bank overdraft | — | 1,406 | 36 | — | ||||||||||||
Obligation to return securities lending collateral | — | — | — | 816,320 | ||||||||||||
TBA sale commitments, at market value | — | — | — | 4,224,246 | ||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 1,000,000 | 208,868 | 4,695,737 | 380,345,668 | ||||||||||||
Investment management fees | 26,226 | 6,982 | 25,997 | 132,873 | ||||||||||||
Variation margin on centrally cleared swap contracts | — | — | — | 237,171 | ||||||||||||
Variation margin on futures contracts | — | 756 | — | 202,926 | ||||||||||||
OTC swap contracts premiums received | — | — | — | 1,067,085 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 1,026,226 | 218,012 | 4,734,994 | 388,377,233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 108,283,986 | $ | 21,215,977 | $ | 106,087,743 | $ | 552,284,912 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Summary of Net Assets: |
| |||||||||||||||
Paid-in-capital | $ | 106,215,967 | $ | 21,012,226 | $ | 106,090,041 | $ | 543,132,242 | ||||||||
Distributable earnings | 2,068,019 | 203,751 | (2,298 | ) | 9,152,670 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 108,283,986 | $ | 21,215,977 | $ | 106,087,743 | $ | 552,284,912 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share | $ | 40.11 | $ | 20.21 | $ | 40.03 | $ | 39.31 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares issued and outstanding | 2,700,000 | 1,050,000 | 2,650,000 | 14,050,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments | $ | 106,351,994 | $ | 21,015,111 | $ | 109,086,848 | $ | 812,844,610 | ||||||||
Cost of foreign currency | $ | — | $ | — | $ | 511,766 | $ | 229,494 | ||||||||
Proceeds receivable of TBA sale commitments | $ | — | $ | — | $ | — | $ | 4,185,109 | ||||||||
(1) Includes Investment in securities on loan, at market value | $ | — | $ | — | $ | — | $ | 2,739,892 |
The accompanying notes are an integral part of these financial statements.
| 42 |
|
Hartford Active Fixed Income ETFs |
For theSix-Month Period Ended January 31, 2019 (Unaudited)
Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 919,357 | $ | 307,000 | $ | 1,380,129 | $ | 5,052,697 | ||||||||
Securities lending | — | 345 | — | 4,919 | ||||||||||||
Less: Foreign tax withheld | — | — | — | (9,771 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income, net | 919,357 | 307,345 | 1,380,129 | 5,047,845 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Investment management fees | 91,856 | 40,995 | 116,100 | 431,218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 91,856 | 40,995 | 116,100 | 431,218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 827,501 | 266,350 | 1,264,029 | 4,616,627 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions: | ||||||||||||||||
Net realized gain (loss) on investments | 134,539 | (1,322 | ) | 7,623 | 4,720,170 | |||||||||||
Net realized gain (loss) on futures contracts | — | 2,440 | (25,069 | ) | (932,457 | ) | ||||||||||
Net realized gain (loss) on written options contracts | — | — | — | 196,668 | ||||||||||||
Net realized gain (loss) on swap contracts | — | — | — | (209,043 | ) | |||||||||||
Net realized gain (loss) on other foreign currency transactions | — | — | 34,283 | (151,650 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 134,539 | 1,118 | 16,837 | 3,623,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions: | ||||||||||||||||
Net unrealized appreciation (depreciation) of investments | 1,981,649 | 235,881 | 187,419 | 9,467,072 | ||||||||||||
Net unrealized appreciation (depreciation) of purchased options contracts | — | — | — | (468,339 | ) | |||||||||||
Net unrealized appreciation (depreciation) of futures contracts | — | (2,162 | ) | (226,261 | ) | (973,794 | ) | |||||||||
Net unrealized appreciation (depreciation) of swap contracts | — | — | — | (839,380 | ) | |||||||||||
Net unrealized appreciation (depreciation) of foreign currency contracts | — | — | (13,067 | ) | (1,381,308 | ) | ||||||||||
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies | — | — | (2,749 | ) | (2,441 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | 1,981,649 | 233,719 | (54,658 | ) | 5,801,810 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 2,116,188 | 234,837 | (37,821 | ) | 9,425,498 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 2,943,689 | $ | 501,187 | $ | 1,226,208 | $ | 14,042,125 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 43 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets
Hartford Municipal Opportunities ETF | Hartford SchrodersTax-Aware Bond ETF | |||||||||||||||
For the Six-Month Period Ended January 31, 2019 (Unaudited) | For the Period Ended July 31, 2018(1) | For the Six-Month Period Ended January 31, 2019 (Unaudited) | For the Period Ended July 31, 2018(2) | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 827,501 | $ | 161,755 | $ | 266,350 | $ | 115,201 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 134,539 | (51,955 | ) | 1,118 | (22,358 | ) | ||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 1,981,649 | (58,238 | ) | 233,719 | (22,444 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,943,689 | 51,562 | 501,187 | 70,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders:(3) | (772,490 | ) | (154,742 | ) | (268,395 | ) | (99,439 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: | ||||||||||||||||
Sold | 94,172,993 | 11,997,920 | — | 20,991,274 | ||||||||||||
Redeemed | — | (80 | ) | — | (40 | ) | ||||||||||
Other Capital | 23,538 | 21,596 | — | 20,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions | 94,196,531 | 12,019,436 | — | 21,012,225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 96,367,730 | 11,916,256 | 232,792 | 20,983,185 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 11,916,256 | — | 20,983,185 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 108,283,986 | $ | 11,916,256 | $ | 21,215,977 | $ | 20,983,185 | ||||||||
|
|
|
|
|
|
|
|
(1) | Commenced operations on December 13, 2017. |
(2) | Commenced operations on April 18, 2018. |
(3) | Per the Securities and Exchange Commission Release#33-10532 “Disclosure Update and Simplification,” it is no longer required to differentiate distributions from earnings as either net investment income or net realized capital gains or disclose a Fund’s undistributed net investment income within a Fund’s Statement of Changes in Net Assets. The presentation within the Fund’s Statement of Changes in Net Assets for the year ended July 31, 2018 has been modified accordingly. See Note 2, Significant Accounting Policies, in Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements.
| 44 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets – (continued)
Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||||
For the Six-Month Period Ended January 31, 2019 (Unaudited) | For the Period Ended July 31, 2018(4) | For the Six-Month Period Ended January 31, 2019 (Unaudited) | For the Period Ended July 31, 2018(5) | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,264,029 | $ | 93,141 | $ | 4,616,627 | $ | 396,696 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 16,837 | 1,883 | 3,623,688 | (162,977 | ) | |||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (54,658 | ) | (45,946 | ) | 5,801,810 | (412,880 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,226,208 | 49,078 | 14,042,125 | (179,161 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders:(3) | (1,201,496 | ) | (76,088 | ) | (4,349,191 | ) | (361,103 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: | ||||||||||||||||
Sold | 86,037,022 | 20,000,040 | 534,076,686 | 45,335,134 | ||||||||||||
Redeemed | — | (40 | ) | (36,776,448 | ) | (80 | ) | |||||||||
Other Capital | 43,019 | 10,000 | 456,682 | 40,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions | 86,080,041 | 20,010,000 | 497,756,920 | 45,375,322 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 86,104,753 | 19,982,990 | 507,449,854 | 44,835,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 19,982,990 | — | 44,835,058 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 106,087,743 | $ | 19,982,990 | $ | 552,284,912 | $ | 44,835,058 | ||||||||
|
|
|
|
|
|
|
|
(3) | Per the Securities and Exchange Commission Release#33-10532 “Disclosure Update and Simplification,” it is no longer required to differentiate distributions from earnings as either net investment income or net realized capital gains or disclose a Fund’s undistributed net investment income within a Fund’s Statement of Changes in Net Assets. The presentation within the Fund’s Statement of Changes in Net Assets for the year ended July 31, 2018 has been modified accordingly. See Note 2, Significant Accounting Policies, in Notes to Financial Statements for additional information. |
(4) | Commenced operations on May 30, 2018. |
(5) | Commenced operations on September 27, 2017. |
The accompanying notes are an integral part of these financial statements.
| 45 |
|
Hartford Active Fixed Income ETFs |
— SelectedPer-Share Data(1)— | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Other Capital | Dividends from Net Investment Income | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | |||||||||||||||||||||||||||||||||||||||||||
Hartford Municipal Opportunities ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2019 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 39.72 | $ | 0.52 | $ | 0.31 | $ | 0.83 | $ | 0.01 | $ | (0.45 | ) | $ | (0.45 | ) | $ | 40.11 | 2.15 | %(5) | $ | 108,284 | 0.29 | %(6) | 0.29 | %(6) | 2.61 | %(6) | 24 | % | |||||||||||||||||||||||||||
For the Period Ended July 31, 2018(7) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.00 | $ | 0.54 | $ | (0.37 | ) | $ | 0.17 | $ | 0.07 | $ | (0.52 | ) | $ | (0.52 | ) | $ | 39.72 | 0.60 | %(5) | $ | 11,916 | 0.34 | %(6) | 0.34 | %(6) | 2.18 | %(6) | 37 | % | ||||||||||||||||||||||||||
Hartford SchrodersTax-Aware Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2019 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 19.98 | $ | 0.25 | $ | 0.24 | $ | 0.49 | $ | — | $ | (0.26 | ) | $ | (0.26 | ) | $ | 20.21 | 2.46 | %(5) | $ | 21,216 | 0.39 | %(6) | 0.39 | %(6) | 2.53 | %(6) | 65 | % | |||||||||||||||||||||||||||
For the Period Ended July 31, 2018(8) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 20.00 | $ | 0.11 | $ | (0.06 | ) | $ | 0.05 | $ | 0.02 | $ | (0.09 | ) | $ | (0.09 | ) | $ | 19.98 | 0.37 | %(5) | $ | 20,983 | 0.39 | %(6) | 0.39 | %(6) | 1.93 | %(6) | 60 | % | ||||||||||||||||||||||||||
Hartford Short Duration ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2019 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 39.97 | $ | 0.63 | $ | (0.03 | ) | $ | 0.60 | $ | 0.02 | $ | (0.56 | ) | $ | (0.56 | ) | $ | 40.03 | 1.57 | %(5) | $ | 106,088 | 0.29 | %(6) | 0.29 | %(6) | 3.16 | %(6) | 5 | % | ||||||||||||||||||||||||||
For the Period Ended July 31, 2018(9) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.00 | $ | 0.19 | $ | (0.09 | ) | $ | 0.10 | $ | 0.02 | $ | (0.15 | ) | $ | (0.15 | ) | $ | 39.97 | 0.31 | %(5) | $ | 19,983 | 0.29 | %(6) | 0.29 | %(6) | 2.75 | %(6) | 1 | % | ||||||||||||||||||||||||||
Hartford Total Return Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2019 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 38.99 | $ | 0.60 | $ | 0.20 | $ | 0.80 | $ | 0.06 | $ | (0.54 | ) | $ | (0.54 | ) | $ | 39.31 | 2.24 | %(5) | $ | 552,285 | 0.29 | %(6) | 0.29 | %(6) | 3.10 | %(6) | 14 | % | |||||||||||||||||||||||||||
For the Period Ended July 31, 2018(10) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.00 | $ | 0.77 | $ | (1.14 | ) | $ | (0.37 | ) | $ | 0.08 | $ | (0.72 | ) | $ | (0.72 | ) | $ | 38.99 | (0.71 | )%(5) | $ | 44,835 | 0.38 | %(6) | 0.38 | %(6) | 2.35 | %(6) | 46 | % |
(1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
(2) | Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at market price at the end of the distribution day. |
(3) | There were no waivers or reimbursements for the periods shown. |
(4) | Portfolio turnover rate excludes securities received or delivered fromin-kind processing of creations or redemptions. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Commenced operations on December 13, 2017. |
(8) | Commenced operations on April 18, 2018. |
(9) | Commenced operations on May 30, 2018. |
(10) | Commenced operations on September 27, 2017. |
The accompanying notes are an integral part of these financial statements.
| 46 |
|
Hartford Active Fixed Income ETFs |
January 31, 2019 (Unaudited)
1. | Organization: |
Hartford Funds Exchange-Traded Trust (the “Trust”) is anopen-end registered management investment company comprised of four operational series as of January 31, 2019. Financial statements for the series of the Trust listed below (each, a “Fund” and collectively, the “Funds”) are included in this report.
Hartford Funds Exchange-Traded Trust:
Hartford Municipal Opportunities ETF (the “Municipal Opportunities ETF”)
Hartford SchrodersTax-Aware Bond ETF (the“Tax-Aware Bond ETF”)
Hartford Short Duration ETF (the “Short Duration ETF”)
Hartford Total Return Bond ETF (the “Total Return Bond ETF”)
Municipal Opportunities ETF commenced operations on December 13, 2017. Total Return Bond ETF commenced operations on September 27, 2017.Tax-Aware Bond ETF commenced on operations on April 18, 2018. Short Duration ETF commenced operation on May 30, 2018. Each Fund is an exchange-traded fund (‘‘ETF’’). ETFs are funds that trade on an exchange like other publicly traded securities. Each Fund is actively managed. Shares of Municipal Opportunities ETF,Tax-Aware Bond ETF and Total Return Bond ETF are listed and traded on NYSE Arca, Inc. (“NYSE Arca”). Shares of Short Duration ETF are listed and traded on Cboe BZX Exchange, Inc. (“Cboe BZX”). Each share of a Fund represents a partial ownership in securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund in Creation Units at net asset value (“NAV”) only by certain large institutional investors (‘‘Authorized Participants’’) who have entered into agreements with ALPS Distributors, Inc. (‘‘ALPS’’ or the ‘‘Distributor’’), the Funds’ Distributor.
The assets of each Fund are separate, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust was organized as a Delaware statutory trust on September 20, 2010 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The shares (‘‘Shares’’) of the Funds are registered under the Securities Act of 1933, as amended (the ‘‘Securities Act’’). Each Fund is a diversifiedopen-end management investment company. Each Fund applies specialized accounting and reporting standards under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”
2. | Significant Accounting Policies: |
The following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles (“U.S. GAAP”). The preparation of financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
a) | Determination of Net Asset Value – The net asset value per share (“NAV”) is determined as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that the Exchange is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The net asset value for the shares is determined by dividing the value of the Fund’s net assets attributable to the shares by the number of shares outstanding. Information that becomes known to a Fund after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day. |
b) | Investment Valuation and Fair Value Measurements –For purposes of calculating the NAV, portfolio securities and other assets held in a Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. |
If market prices are not readily available or are deemed unreliable, a Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of Trustees of the Trust (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade, do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV.
| 47 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, sell or redeem shares of the Fund.
Fixed income investments (other than short-term obligations) held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term exceeded 60 days.
Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange (“Exchange Close”). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close.Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures.
Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, redeem or sell shares of a Fund.
Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date.
Investments inopen-end mutual funds, if any, are valued at the respective NAV of eachopen-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Suchopen-end mutual funds and listed investment companies may use fair value pricing as disclosed in their prospectuses.
Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures.
U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are:
• | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
• | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange-traded instruments and which are valued using independent pricing services; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
• | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
The Board of Trustees has delegated theday-to-day responsibility for implementing the valuation procedures to the Valuation Committee. The Valuation Committee will consider all relevant factors in determining an investment’s fair value, and may seek the advice of such Fund’ssub-adviser, as applicable, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board of Trustees.
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Valuation levels are not necessarily indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances dictate.
For additional information, refer to the Fair Valuation Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.
c) | Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. |
The trade date for senior floating rate interests purchased in the primary loan market is considered the date on which the loan allocations are determined. The trade date for senior floating rate interests purchased in the secondary loan market is the date on which the transaction is entered into.
Dividend income from domestic securities is accrued on theex-dividend date. In general, dividend income from foreign securities is recorded on theex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal receivedin-kind in lieu of cash, is accrued on a daily basis. Paydown gains and losses on mortgage-related and other asset-backed securities are included in interest income in the Statements of Operations, as applicable.
Please refer to note 8 for Securities Lending information.
d) | Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such a Fund invests. A Fund may also be subject to taxes withheld on foreign dividends and interest from securities in which a Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net investment income or net realized gain on investments in these securities, if applicable. |
e) | Foreign Currency Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. |
A Fund does not isolate that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the net realized and unrealized gain or loss on investments in the accompanying financial statements.
Net realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates.
f) | Dividend Distributions to Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded onex-date. The policy of each Fund is to pay dividends from net investment income, if any, monthly. Dividends from realized gains, if any, are paid at least once a year. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code. |
Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing (see Federal Income Taxes: Distributions and Components of Distributable Earnings and Reclassification of Capital Accounts notes).
g) | Disclosure Update and Simplification – Per the SEC Release#33-10532 “Disclosure Update and Simplification”, it is no longer required to differentiate distributions from earnings as either net investment income or net realized capital gains or disclose a Fund’s undistributed net investment income within a Fund’s Statement of Changes in Net Assets. The presentation within a Fund’s Statement of Changes in Net Assets for the year/period ended July 31, 2018 has been modified accordingly. |
Below is the characterization of the Fund distributions for the period ended July 31, 2018 as previously disclosed in the Statement of Changes in Net Assets within the July 31, 2018 Annual Report:
Distributions to Shareholders Period Ended July 31, 2018: | ||||||||
From net investment income | ||||||||
Fund | ||||||||
Hartford Municipal Opportunities ETF | $ | (154,742 | ) | |||||
Hartford SchrodersTax-Aware Bond ETF | (99,439 | ) | ||||||
Hartford Short Duration ETF | (76,088 | ) | ||||||
Hartford Total Return Bond ETF | (361,103 | ) |
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Below is the Undistributed Net Investment Income for the period ended July 31, 2018 as previously disclosed in the Statement of Changes in Net Assets within the July 31, 2018 Annual Report:
Fund | Undistributed Net Investment Income | |||
Hartford Municipal Opportunities ETF | $ | 7,013 | ||
Hartford SchrodersTax-Aware Bond ETF | 15,762 | |||
Hartford Short Duration ETF | 19,330 | |||
Hartford Total Return Bond ETF | 109,471 |
3. | Securities and Other Investments: |
a) | Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments. |
b) | Investments Purchased on a When-Issued or Delayed-Delivery Basis – Delivery and payment for investments that have been purchased by a Fund on a forward commitment, or when-issued or delayed-delivery basis, take place beyond the customary settlement period. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery investments before they are delivered, which may result in a realized gain or loss. During this period, such investments are subject to market fluctuations, and a Fund identifies investments segregated in its records with a value at least equal to the amount of the commitment. See each Fund’s Schedule of Investments, if applicable, for when-issued or delayed-delivery investments as of January 31, 2019. |
In connection with a Fund’s ability to purchase investments on a when-issued or forward commitment basis, the Fund may enter intoto-be announced (“TBA”) commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed-upon future settlement date. The specific securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate and mortgage terms. Although a Fund may enter into TBA commitments with the intention of acquiring or delivering securities for its portfolio, the Fund can extend the settlement date, roll the transaction, or dispose of a commitment prior to settlement if deemed appropriate to do so. If the TBA commitment is closed through the acquisition of an offsetting TBA commitment, a Fund realizes a gain or loss. In a TBA roll transaction, a Fund generally purchases or sells the initial TBA commitment prior to the agreed upon settlement date and enters into a new TBA commitment for future delivery or receipt of the mortgage backed securities. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. These transactions are excluded from a Fund’s portfolio turnover rate. See each Fund’s Schedule of Investments, if applicable, for TBA commitments as of January 31, 2019.
c) | Senior Floating Rate Interests – Certain Funds may invest in senior floating rate interests. Senior floating rate interests generally hold the most senior position in the capital structure of a business entity (the “Borrower”), are typically secured by specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debtholders and stockholders of the Borrower. Senior floating rate interests are typically structured and administered by a financial institution that acts as the agent of the lenders participating in the senior floating rate interest. A Fund may invest in multiple series or tranches of a senior floating rate interest, which may have varying terms and carry different associated risks. A Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the Borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statements of Operations. |
Senior floating rate interests are typically rated below-investment-grade, which suggests they are more likely to default and generally pay higher interest rates than investment-grade loans. A default could lead tonon-payment of income, which would result in a reduction of income to a Fund, and there can be no assurance that the liquidation of any collateral would satisfy the Borrower’s obligation in the event ofnon-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated. See each Fund’s Schedule of Investments, if applicable, for outstanding senior floating rate interests as of January 31, 2019.
d) | Mortgage-Related and Other Asset-Backed Securities – A Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity |
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
loans, and student loans. These securities provide a monthly payment that consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the United States Government. Mortgage-related and other asset-backed securities created and guaranteed bynon-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. See each Fund’s Schedule of Investments, if applicable, for mortgage-related and other asset-backed securities as of January 31, 2019. |
4. | Financial Derivative Instruments: |
The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as ofperiod-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations.
a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant (“FCM”) an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value (“variation margin”) is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
During thesix-month period ended January 31, 2019,Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF had entered into Futures Contracts.
b) | Foreign Currency Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. |
Foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of the contracts and from unanticipated movements in the value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure thereunder.
During thesix-month period ended January 31, 2019, Short Duration ETF and Total Return Bond ETF had entered into Foreign Currency Contracts.
c) | Options Contracts – An option contract is a contract sold by one party to another party that offers the buyer the right, but not the obligation, to buy (call) or sell (put) an investment or other financial asset at an agreed-upon price during a specific period of time or on a specific date. Option contracts are either over-the-counter (“OTC”) options or executed in a registered exchange (“exchange-traded options”). A Fund may write (sell) covered call and put options on futures, swaps (“swaptions”), securities, commodities or currencies. “Covered” means that so long as a Fund is obligated as the writer of an option, it will own either the underlying investments or currency or an option to purchase the same underlying investments or currency having an expiration date of the covered option and an exercise price equal to or less than the exercise price of the covered option, or will segregate or earmark cash or other liquid investments having, for written call options, a value equal to the greater of the exercise price or the market value of the underlying instrument and, for written put options, a value equal to the exercise price. Writing put options may increase a Fund’s exposure to the underlying instrument. Writing call options may decrease a Fund’s exposure to the underlying instrument. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset amounts paid on the underlying futures, swap, investment or currency transaction to determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument |
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. A Fund may also purchase put and call options. Purchasing call options may increase a Fund’s exposure to the underlying instrument. Purchasing put options may decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included on the Fund’s Statements of Assets and Liabilities as an investment and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is generally limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. Entering into OTC options also exposes a Fund to counterparty risk. Counterparty risk is the possibility that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements. |
During thesix-month period ended January 31, 2019, Total Return Bond ETF had entered into Options Contracts.
d) | Swap Contracts – A Fund may invest in swap contracts. Swap contracts are agreements to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap contracts are either privately negotiated in theover-the-counter market (“OTC swaps”) or cleared through a central counterparty or derivatives clearing organization (“centrally cleared swaps”). A Fund may enter into credit default, total return, cross-currency, interest rate, inflation and other forms of swap contracts to manage its exposure to credit, currency, interest rate, commodity and inflation risk. Swap contracts are also used to gain exposure to certain markets. In connection with these contracts, investments or cash may be identified as collateral or margin in accordance with the terms of the respective swap contracts and/or master netting arrangement to provide assets of value and recourse in the event of default or bankruptcy/insolvency. |
Swaps are valued in accordance with the Valuation Procedures. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation or depreciation on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value (“variation margin”) on the Statements of Assets and Liabilities. Realized gains or losses on centrally cleared swaps are recorded upon the termination of the swap. OTC swap payments received or paid at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap contract to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). These upfront premiums are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as a realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Entering into these contracts involves, to varying degrees, elements of liquidation, counterparty, credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contracts may default on its obligation to perform or disagree as to the meaning of contractual terms in the contracts, and that there may be unfavorable changes in market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors).
A Fund’s maximum risk of loss from counterparty risk for OTC swaps is the net value of the discounted cash flows to be received from the counterparty over the contract’s remaining life, and current market value, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between a Fund and the counterparty, which allows for the netting of payments made or received (although such amounts are presented on a gross basis within the Statements of Assets and Liabilities, as applicable) as well as the posting of collateral to a Fund to cover the Fund’s exposure to the counterparty. In a centrally cleared swap, while a Fund enters into an agreement with a clearing broker to execute contracts with a counterparty, the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s exposure to counterparty risk. However, the Fund is still exposed to a certain amount of counterparty risk through the clearing broker and clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin requirements and required segregation of customer balances.
Credit Default Swap Contracts – The credit default swap market allows a Fund to manage credit risk through buying and selling credit protection on a specific issuer, asset or basket of assets. Certain credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying investment or index in the event of a credit event, such as payment default or bankruptcy.
Under a credit default swap contract, one party acts as guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying investment at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. A “buyer” of credit protection agrees to pay a counterparty to assume the credit risk of an issuer upon the
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Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
occurrence of certain events. The “seller” of the protection receives periodic payments and agrees to assume the credit risk of an issuer upon the occurrence of certain events. Although specified events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. A “seller’s” exposure is limited to the total notional amount of the credit default swap contract. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or upfront payments received upon entering into the contract.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap contracts on corporate issues, sovereign government issues or U.S. municipal issues as ofyear-end are disclosed in the notes to the Schedules of Investments, as applicable, and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and there may also be upfront payments required to be made to enter into the contract. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. For credit default swap contracts on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced equity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
During thesix-month period ended January 31, 2019, Total Return Bond ETF had entered into Credit Default Swap Contracts.
Interest Rate Swap Contracts – Certain Funds are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. A Fund may use interest rate swaps to hedge interest rate and duration risk across a portfolio at particular duration points to maintain its ability to generate income at prevailing market rates. In a typical interest rate swap, one party agrees to make regular payments equal to a floating interest rate, based on a specified interest rate or benchmark (e.g. London Interbank Offered Rate (“LIBOR”)), multiplied by a notional amount, in return for payments equal to a fixed rate multiplied by the same amount, for a specific period of time. The net interest received or paid on interest rate swap contracts is recorded as a realized gain or loss. Interest rate swaps are marked to market daily and the change, if any, is recorded as an unrealized gain or loss in the Statements of Operations. When the interest rate swap contract is terminated early, a Fund records a realized gain or loss equal to the difference between the current market value and the upfront premium or cost.
If an interest rate swap contract provides for payments in different currencies, the parties might agree to exchange the notional amount as well. Interest rate swaps may also depend on other prices or rates, such as the value of an index. The risks of interest rate swaps include changes in market conditions, which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the contract. A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive.
During thesix-month period ended January 31, 2019, Total Return Bond ETF had entered into Interest Rate Swap Contracts.
e) | Additional Derivative Instrument Information: |
Tax-Aware Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2019:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 2,162 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,162 | ||||||||||||||
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| |||||||||||||||
Total | $ | 2,162 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,162 | ||||||||||||||
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(1) | Amount represents the cumulative appreciation (depreciation) on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Tax-Aware Bond ETF – (continued)
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2019
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | 2,440 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,440 | ||||||||||||||
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| |||||||||||||||
Total | $ | 2,440 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,440 | ||||||||||||||
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Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | (2,162 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (2,162 | ) | ||||||||||||
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Total | $ | (2,162 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (2,162 | ) | ||||||||||||
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For the period ended January 31, 2019, the average amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Futures Contracts Short at Number of Contracts | (3 | ) |
Short Duration ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2019:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(1) | $ | 91,982 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 91,982 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 91,982 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 91,982 | ||||||||||||||
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|
|
|
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|
|
| |||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 317,170 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 317,170 | ||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 13,224 | — | — | — | — | 13,224 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 317,170 | $ | 13,224 | $ | — | $ | — | $ | — | $ | — | $ | 330,394 | ||||||||||||||
|
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|
(1) | Amount represents the cumulative appreciation (depreciation) on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2019
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | (25,069 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (25,069 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (25,069 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (25,069 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | (226,261 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (226,261 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | (13,067 | ) | — | — | — | — | (13,067 | ) | |||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (226,261 | ) | $ | (13,067 | ) | $ | — | $ | — | $ | — | $ | — | $ | (239,328 | ) | |||||||||||
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| 54 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Short Duration ETF – (continued)
For the period ended January 31, 2019, the average amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Futures Contracts Long at Number of Contracts | 46 | |||
Futures Contracts Short at Number of Contracts | (109 | ) | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 778,375 |
Total Return Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2019:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Investments in securities, at value (purchased options), market value | $ | 1,463,360 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,463,360 | ||||||||||||||
Unrealized appreciation on futures contracts(1) | 12,867 | — | — | — | — | — | 12,867 | |||||||||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 30,220 | — | — | — | — | 30,220 | |||||||||||||||||||||
Unrealized appreciation on swap contracts(2) | 3,915 | — | 490,002 | — | — | — | 493,917 | |||||||||||||||||||||
|
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|
|
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|
|
| |||||||||||||||
Total | $ | 1,480,142 | $ | 30,220 | $ | 490,002 | $ | — | $ | — | $ | — | $ | 2,000,364 | ||||||||||||||
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| |||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 986,666 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 986,666 | ||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 1,350,944 | — | — | — | — | 1,350,944 | |||||||||||||||||||||
Unrealized depreciation on swap contracts(2) | 1,143,958 | — | 159,128 | — | — | — | 1,303,086 | |||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||
Total | $ | 2,130,624 | $ | 1,350,944 | $ | 159,128 | $ | — | $ | — | $ | — | $ | 3,640,696 | ||||||||||||||
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(1) | Amount represents the cumulative appreciation (depreciation) on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
(2) | Amount represents the cumulative appreciation (depreciation) on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statement of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation (depreciation) on OTC swap contracts, if applicable. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2019
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | (932,457 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (932,457 | ) | ||||||||||||
Net realized gain (loss) on written options contracts | 196,668 | — | — | — | — | — | 196,668 | |||||||||||||||||||||
Net realized gain (loss) on swap contracts | (34,146 | ) | — | (174,897 | ) | — | — | — | (209,043 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (769,935 | ) | $ | — | $ | (174,897 | ) | $ | — | $ | — | $ | — | $ | (944,832 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of investments in purchased options contracts | $ | (468,339 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (468,339 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | (973,794 | ) | — | — | — | — | — | (973,794 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) of swap contracts | (1,134,959 | ) | — | 295,579 | — | — | — | (839,380 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | (1,381,308 | ) | — | — | — | — | (1,381,308 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (2,577,092 | ) | $ | (1,381,308 | ) | $ | 295,579 | $ | — | $ | — | $ | — | $ | (3,662,821 | ) | |||||||||||
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| 55 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Total Return Bond ETF – (continued)
For the period ended January 31, 2019, the average amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Purchased Options Contracts at Number of Contracts | 20,707,167 | |||
Futures Contracts Long at Number of Contracts | 88 | |||
Futures Contracts Short at Number of Contracts | (278 | ) | ||
Written Options Contracts at Number of Contracts | (57,319,000 | ) | ||
Swap Contracts at Notional Amount | $ | 44,128,240 | ||
Foreign Currency Contracts Purchased at Contract Amount | $ | 495,094 | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 29,304,913 |
f) | Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund’s custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at a Fund’s custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy. |
The following tables present a Fund’s derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement (“MNA”) and net of the related collateral received/pledged by a Fund as of January 31, 2019:
Tax-Aware Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | — | $ | (2,162 | ) | |||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (2,162 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | — | 2,162 | ||||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | — | $ | — | ||||
|
|
|
|
Short Duration ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Foreign currency contracts | $ | — | $ | (13,224 | ) | |||
Futures contracts | 91,982 | (317,170 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 91,982 | (330,394 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (91,982 | ) | 317,170 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | — | $ | (13,224 | ) | |||
|
|
|
|
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||||||||||||
Goldman Sachs & Co. | $ | (13,224 | ) | $ | — | $ | — | $ | — | $ | (13,224 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
| 56 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Total Return Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||||||||
Foreign currency contracts | $ | 30,220 | $ | (1,350,944 | ) | |||||||||
Futures contracts | 12,867 | (986,666 | ) | |||||||||||
Purchased options | 1,463,360 | — | ||||||||||||
Swap contracts | 493,917 | (1,303,086 | ) | |||||||||||
|
|
|
| |||||||||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 2,000,364 | (3,640,696 | ) | |||||||||||
|
|
|
| |||||||||||
Derivatives not subject to a MNA | (445,755 | ) | 2,289,752 | |||||||||||
|
|
|
| |||||||||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | 1,554,609 | $ | (1,350,944 | ) | |||||||||
|
|
|
|
Total Return Bond ETF
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||||||||||||
Banc of America Securities LLC | $ | 18,122 | $ | (7,848 | ) | $ | — | $ | — | $ | 10,274 | |||||||||
Deutsche Bank Securities, Inc. | 24,656 | — | — | — | 24,656 | |||||||||||||||
Goldman Sachs & Co. | 67,123 | (37,053 | ) | — | — | 30,070 | ||||||||||||||
HSBC Bank USA | 1,347,725 | — | — | — | 1,347,725 | |||||||||||||||
Morgan Stanley | 96,983 | — | — | — | 96,983 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,554,609 | $ | (44,901 | ) | $ | — | $ | — | $ | 1,509,708 | |||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||||||||||||
Australia and New Zealand Banking Group | $ | (1,306,043 | ) | $ | — | $ | — | $ | — | $ | (1,306,043 | ) | ||||||||
Banc of America Securities LLC | (7,848 | ) | 7,848 | — | — | — | ||||||||||||||
Goldman Sachs & Co. | (37,053 | ) | 37,053 | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,350,944 | ) | $ | 44,901 | $ | — | $ | — | $ | (1,306,043 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
5. | Principal Risks: |
A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund’s prospectus provides details of its principal risks.
Certain investments held by a Fund expose the Fund to various risks which may include, but are not limited to, interest rate, prepayment, and extension risks. Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the values of certain fixed income securities held by a Fund are likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e., yield) movements. Senior floating rate interests and securities subject to prepayment and extension risk generally offer less potential for gains when interest rates decline. Rising interest rates may cause prepayments to occur at a slower than expected rate, thereby effectively lengthening the maturity of the security and making the security more sensitive to interest rate changes. Prepayment and extension risk are major risks of mortgage-backed securities, senior floating rate interests and certain asset-backed securities. For certain asset-backed securities, the actual maturity may be less than the stated maturity shown in the Schedule of Investments, if applicable. As a result, the timing of income recognition relating to these securities may vary based upon the actual maturity.
Investing in the securities ofnon-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. These risks are heightened for investments in issuers from countries with less developed markets.
| 57 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings.
Credit risk depends largely on the perceived financial health of bond issuers. In general, the credit rating is inversely related to the credit risk of the issuer. Higher rated bonds generally are deemed to have less credit risk, while lower or unrated bonds are deemed to have higher risk of default. The share price, yield and total return of a fund that holds securities with higher credit risk may be more volatile than those of a fund that holds bonds with lower credit risk. A Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default.
6. | Federal Income Taxes: |
a) | Each Fund intends to continue to qualify as a Regulated Investment Company (“RIC”) under Subchapter M of the Internal Revenue Code (“IRC”) by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to distribute substantially all of its income and capital gains during the calendar year ending December 31, 2018. Accordingly, no provision for federal income or excise taxes has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
b) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. |
Fund | Unlimited Short-Term Capital Loss Carryforward | Unlimited Long-Term Capital Loss Carryforward | ||||||
Municipal Opportunities ETF | $ | 50,989 | $ | — | ||||
Tax-Aware Bond ETF | 18,273 | — | ||||||
Total Return Bond ETF | 198,608 | 20,609 |
Short Duration ETF had no capital loss carryforwards for U.S. federal income tax purposes as of July 31, 2018.
c) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at January 31, 2019 was substantially the same for book purposes. The net unrealized appreciation/(depreciation) on investments, which consists of gross unrealized appreciation and depreciation, is disclosed below: |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
Municipal Opportunities ETF | $ | 106,351,994 | $ | 2,064,466 | $ | (141,055 | ) | $ | 1,923,411 | |||||||
Tax-Aware Bond ETF | 21,015,111 | 256,509 | (45,234 | ) | 211,275 | |||||||||||
Short Duration ETF | 109,086,848 | 668,588 | (765,886 | ) | (97,298 | ) | ||||||||||
Total Return Bond ETF | 812,844,610 | 11,117,771 | (5,726,475 | ) | 5,391,296 |
7. | Expenses: |
a) | Investment Management Agreement – Hartford Funds Management Company, LLC (“HFMC” or the “Adviser”) serves as each Fund’s investment manager pursuant to an Investment Management Agreement with the Trust. HFMC is an indirect subsidiary of The Hartford Financial Services Group, Inc. (“The Hartford”). HFMC has overall investment supervisory responsibility for each Fund. In addition, HFMC provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. HFMC has contracted with Wellington Management Company LLP (“Wellington Management”) under asub-advisory agreement pursuant to which Wellington Management performs the daily investment of the assets of each of Municipal Opportunities ETF, Short Duration ETF, and Total Return Bond ETF in accordance with each Fund’s investment objective and policies. HFMC has contracted with Schroder Investment Management North America Inc. (“SIMNA”) under asub-advisory agreement pursuant to which SIMNA performs the daily investment of the assets ofTax-Aware Bond ETF in accordance with the Fund’s investment objective and policies. Each Fund pays a fee to HFMC, a portion of which may be used to compensate theapplicable sub-adviser. |
Under the Investment Management Agreement, the Adviser agrees to pay all expenses of the Trust, except (i) brokerage expenses and other expenses (such as stamp taxes and acquired fund fees and expenses) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) extraordinary expenses; (iv) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule12b-1 under the 1940 Act; and (v) the advisory fee payable
| 58 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
to the Adviser hereunder. The payment or assumption by the Adviser of any expense of the Trust that the Adviser is not required by the Investment Management Agreement to pay or assume shall not obligate the Adviser to pay or assume the same or any similar expense of the Trust on any subsequent occasion.
The schedule below reflects the rates of compensation paid to HFMC for investment management services rendered as of January 31, 2019; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates:
Fund | Management Fee Rates | |
Municipal Opportunities ETF | 0.29% | |
Tax-Aware Bond ETF | 0.39% | |
Short Duration ETF | 0.29% | |
Total Return Bond ETF | 0.29% |
b) | Distribution Plans – Each Fund has adopted a Rule12b-1 Distribution and Service Plan in accordance with Rule12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its Shares. The Board has determined that the Funds may not make payments under the Rule12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule12b-1 fees are charged in the future, they will be paid out of the respective Fund’s assets, and over time, these fees increase the cost of your investment and they may cost you more than certain other types of asset-based charges. |
For the period ended January 31, 2019, the Funds did not pay any Rule12b-1 fees.
c) | Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For thesix-month period ended January 31, 2019, a portion of the Trust’s Chief Compliance Officer’s (“CCO”) compensation was paid by HFMC. As part of each Fund’s Investment Management Agreement, HFMC also pays any CCO compensation on behalf of the Funds. |
8. | Securities Lending: |
Each Fund may lend Fund securities to certain creditworthy borrowers in U.S. andnon-U.S. markets in an amount not to exceed one third (331⁄3%) of the value of its total assets. The borrowers provide collateral that is marked to market daily, in an amount at least equal to the current market value of the securities loaned. A Fund may terminate a loan at any time and recall the securities loaned. A Fund receives the value of any interest or cash ornon-cash distributions paid on the loaned securities. A Fund cannot vote proxies for securities on loan, but may recall loans to vote proxies if a material issue affecting the Fund’s economic interest in the investment is to be voted upon. Interest earned on securities out on loan is not eligible for qualified interest income for federal tax purposes. Should the borrower of the securities fail financially, a Fund may experience delays in recovering the securities or exercising its rights in the collateral. Loans are made only to borrowers that are deemed by the securities lending agent to be of good financial standing. In a loan transaction, a Fund will also bear the risk of any decline in value of securities acquired with cash collateral received by the Fund. Each Fund will seek to minimize this risk by limiting the investment of cash collateral to high quality instruments of short maturity. This strategy is not used to leverage a Fund.
With respect to loans that are collateralized by cash, the borrower will be entitled to receive a fee based on the amount of cash collateral. A Fund is compensated by the difference between the amount earned on the reinvestment of cash collateral and the fee paid to the borrower. In the case of collateral other than cash, a Fund is compensated by a fee paid by the borrower equal to a percentage of the market value of the loaned securities. Any cash collateral may be reinvested in certain short-term instruments either directly on behalf of the lending Fund or through one or more joint accounts or money market funds, which may include those managed by the Adviser. Anynon-cash collateral received cannot be sold,re-invested or pledged by the Fund, except in the event of borrower default.
A Fund may pay a portion of the interest or fees earned from securities lending to a borrower as described above, and to one or more securities lending agents approved by the Board who administer the lending program for the Funds in accordance with guidelines approved by the Board. In such capacity, the lending agent causes the delivery of loaned securities from a Fund to borrowers, arranges for the return of loaned securities to the Fund at the termination of a loan, requests deposit of collateral, monitors the daily value of the loaned securities and collateral, requests that borrowers add to the collateral when required by the loan agreements, and provides recordkeeping and accounting services necessary for the operation of the program. State Street has been approved by the Board to serve as securities lending agent for the Funds and the Trust has entered into an agreement with State Street for such services. Among other matters, the Trust has agreed to indemnify State Street for certain liabilities. Any securities lending income earned by a Fund appears on the Statements of Operations net of any fees paid to State Street for serving as the securities lending agent.
Securities lending involves exposure to certain risks, including operational risk (i.e., the risk of losses resulting from problems in the settlement and accounting process – especially in certain international markets such as Taiwan), ‘‘gap’’ risk (i.e., the risk of a mismatch between the return on cash collateral reinvestments and the fees a Fund has agreed to pay a borrower), risk of loss of collateral, credit, legal, counterparty and market risk. Although State Street has agreed to provide a Fund with indemnification in the event of a borrower default, a Fund is still exposed to the risk of losses in the event a borrower does not return a Fund’s securities as agreed. For example, delays in recovery of securities loaned may cause a Fund to lose the opportunity to sell the securities at a desirable price.
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
At January 31, 2019, the following Funds had securities on loan at market value, cash collateral andnon-cash collateral as follows:
Fund | Market Value of Securities on Loan(1) | Cash Collateral | Non-Cash Collateral(2) | |||||||||
Total Return Bond ETF | $ | 2,739,892 | $ | 816,320 | $ | 2,027,880 |
(1) | It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. |
(2) | These securities are held for the benefit of the Fund at the Fund’s custodian. The Fund cannot repledge or resell this collateral. As such, collateral is excluded from the Statement of Assets and Liabilities. |
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of January 31, 2019.
Total Return Bond ETF
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions(1) |
| |||||||||||||||||||
Corporate Bonds | $ | 816,320 | $ | — | $ | — | $ | — | $ | 816,320 | ||||||||||
|
|
|
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|
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|
|
|
| |||||||||||
Total Borrowings | $ | 816,320 | $ | — | $ | — | $ | — | $ | 816,320 | ||||||||||
|
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|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 816,320 | |||||||||||||||||
|
|
(1) | Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand. |
9. | Custodian and Transfer Agent: |
State Street serves as Custodian for the Funds pursuant to a custodian agreement (“Custodian Agreement”) dated December 31, 2014, as amended November 21, 2017. As Custodian, State Street holds each Fund’s assets, calculates the net asset value of the Shares and calculates net income and realized capital gains or losses. State Street serves as Transfer Agent of each Fund pursuant to a transfer agency agreement (“Transfer Agency Agreement”) dated February 13, 2018. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation Units.
For the services provided under the Custodian Agreement and Transfer Agency Agreement, HFMC, and not the Funds, compensates State Street pursuant to the Funds’ unitary management fee structure.
10. | Affiliate Holdings: |
As of January 31, 2019, affiliated funds of funds in the aggregate owned a portion of the Funds identified below. Therefore, these Funds may experience relatively large purchases or redemptions of their shares from these affiliated funds of funds. Affiliated funds of funds owned shares in the Fund listed below as follows:
Fund | Percentage of Fund | |
Short Duration ETF | 43% | |
Total Return Bond ETF | 97% |
11. | Investment Transactions: |
For thesix-month period ended January 31, 2019, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows:
Fund | Cost of Purchases Excluding U.S. Government Obligations | Sales Proceeds Excluding U.S. Government Obligations | Cost of Purchases For U.S. Government Obligations | Sales Proceeds For U.S. Government Obligations | Total Cost of Purchases | Total Sales Proceeds | ||||||||||||||||||
Municipal Opportunities ETF | $ | 103,090,202 | $ | 14,205,662 | $ | — | $ | — | $ | 103,090,202 | $ | 14,205,662 | ||||||||||||
Tax-Aware Bond ETF | 8,183,062 | 5,036,369 | 6,980,050 | 7,446,279 | 15,163,112 | 12,482,648 | ||||||||||||||||||
Short Duration ETF | 80,341,863 | 2,989,745 | 8,081,448 | 373,007 | 88,423,311 | 3,362,752 | ||||||||||||||||||
Total Return Bond ETF | 289,180,280 | 26,475,025 | 189,368,355 | 10,212,998 | 478,548,635 | 36,688,023 |
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
12. | Share Transactions: |
Each Fund will issue and redeem Shares at NAV only with certain Authorized Participants in large increments known as ‘‘Creation Units.” Purchases of Creation Units are made by tendering a basket of designated securities to a Fund and redemption proceeds are paid with a basket of securities from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an amount equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. Each Fund’s Shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized Participants may be required to pay a transaction fee when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.
Purchase or redemption of Creation Units is only available to an Authorized Participant. An Authorized Participant is either (1) a ‘‘Participating Party,’’ (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (‘‘Clearing Process’’), or (2) a participant of DTC (‘‘DTC Participant’’), and, in each case, must have executed an agreement (‘‘Participation Agreement’’) with the Distributor with respect to creations and redemptions of Creation Units.
If a Creation Unit is purchased or redeemed for cash or outside of the Clearing Process, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown for each Fund:
Fund | Standard Creation Unit Shares | Standard Cash Creation Fee | Value at January 31, 2019 | Standard Cash Redemption Fee | ||||||||||||
Municipal Opportunities ETF | 50,000 | $ | 100 | $ | 2,005,500 | $ | 100 | |||||||||
Tax-Aware Bond ETF | 50,000 | $ | 100 | 1,010,500 | $ | 100 | ||||||||||
Short Duration ETF | 50,000 | $ | 100 | 2,001,500 | $ | 100 | ||||||||||
Total Return Bond ETF | 50,000 | $ | 100 | 1,965,500 | $ | 100 |
Shares of Municipal Opportunities ETF,Tax-Aware Bond ETF and Total Return Bond ETF are listed and traded throughout the day on the NYSE Arca and shares of Short Duration ETF are listed and traded on Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares.
Because each Fund is structured as an ETF, individual Shares may only be purchased and sold on a listing exchange through a broker-dealer. The price of Shares is based on market price, and because ETF shares trade at market prices rather than at NAV, Shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). Each Fund will only issue or redeem Creation Units (50,000 shares) to Authorized Participants who have entered into agreements with the Distributor. The Funds generally will issue or redeem Creation Units in return for a designated basket of securities (and an amount of cash) that the Fund specifies each day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time.
The following information is for thesix-month period ended January 31, 2019, and the period ended July 31, 2018:
For the Six-Month Period Ended January 31, 2019 | For the Period Ended July 31, 2018(1) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Municipal Opportunities ETF | ||||||||||||||||
Shares Sold | 2,400,000 | $ | 94,172,993 | 300,002 | $ | 11,997,920 | ||||||||||
Shares Redeemed | — | — | (2 | ) | (80 | ) | ||||||||||
Other Capital | — | 23,538 | — | 21,596 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 2,400,000 | 94,196,531 | 300,000 | 12,019,436 | ||||||||||||
|
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|
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| |||||||||
For theSix-Month Period Ended January 31, 2019 | For the Period Ended July 31, 2018(2) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Tax-Aware Bond ETF | ||||||||||||||||
Shares Sold | — | $ | — | 1,050,002 | $ | 20,991,274 | ||||||||||
Shares Redeemed | — | — | (2 | ) | (40 | ) | ||||||||||
Other Capital | — | — | — | 20,991 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Net Increase (Decrease) | — | — | 1,050,000 | 21,012,225 | ||||||||||||
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| 61 |
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2019 (Unaudited)
For theSix-Month Period Ended January 31, 2019 | For the Period Ended July 31, 2018(3) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short Duration ETF | ||||||||||||||||
Shares Sold | 2,150,000 | $ | 86,037,022 | 500,001 | $ | 20,000,040 | ||||||||||
Shares Redeemed | — | — | (1 | ) | (40 | ) | ||||||||||
Other Capital | — | 43,019 | — | 10,000 | ||||||||||||
|
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|
|
|
|
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| |||||||||
Net Increase (Decrease) | 2,150,000 | 86,080,041 | 500,000 | 20,010,000 | ||||||||||||
|
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| |||||||||
For theSix-Month Period Ended January 31, 2019 | For the Period Ended July 31, 2018(4) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Total Return Bond ETF | ||||||||||||||||
Shares Sold | 13,850,000 | $ | 534,076,686 | 1,150,002 | $ | 45,335,134 | ||||||||||
Shares Redeemed | (950,000 | ) | (36,776,448 | ) | (2 | ) | (80 | ) | ||||||||
Other Capital | — | 456,682 | — | 40,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 12,900,000 | 497,756,920 | 1,150,000 | 45,375,322 | ||||||||||||
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(1) | Commenced operations on December 13, 2017. |
(2) | Commenced operations on April 18, 2018. |
(3) | Commenced operations on May 30, 2018. |
(4) | Commenced operations on September 27, 2017. |
13. | Indemnifications: |
Under the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
14. | Recent Accounting Pronouncement: |
The FASB recently issued ASU2017-08 (the “ASU” or “Update”) to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. The ASU becomes effective for public entities for fiscal years beginning after December 15, 2018, and for private entities one year later. Management is currently evaluating the implication, if any, of additional disclosure and its impact on the Funds’ financial statements.
In August 2018, the FASB issued Accounting Standards Update2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements.
ASU2018-13 is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years, however, an entity is permitted to early adopt either the entire standard or only the provisions that eliminate or modify requirements. Management has elected to early adopt the provisions of ASU2018-13 that eliminate disclosure requirements effective with the current reporting period. The impact of the Funds’ early adoption of these provisions was limited to changes in the Funds’ financial statement disclosures regarding fair value, primarily those disclosures related to transfers between Level 1 and Level 2 of the fair value hierarchy and the timing of transfers between levels of the fair value hierarchy. Management is currently evaluating the potential impact of adopting the additional provisions ofASU 2018-13.
15. | Subsequent Events: |
Management has evaluated all subsequent transactions and events through the date on which these financial statements were issued and has determined that no additional items require adjustment to or disclosure in these financial statements.
Effective September 21, 2018, two series of the Trust – Hartford Quality Bond ETF and Hartford Corporate Bond ETF were liquidated.
| 62 |
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Hartford Active Fixed Income ETFs |
HOW TO OBTAIN A COPY OF EACH FUND’S PROXY VOTING POLICIES AND VOTING RECORDS (UNAUDITED)
A description of the policies and procedures that each Fund uses to determine how to vote proxies relating to portfolio securities and information about how each Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 are available (1) without charge, upon request, by calling888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)
Each Fund has filed a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-Q. Effective April 30, 2019, each Fund will be required to file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-PORT. As of that same date, each Fund will no longer be required to file FormsN-Q. Each Fund’s FormsN-Q andN-PORT (when available) are available (1) without charge, upon request, by calling888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.
| 63 |
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THIS PRIVACY POLICY IS NOT PART OF THIS REPORT
CUSTOMER PRIVACY NOTICE
The Hartford Financial Services Group, Inc. and Affiliates*
(herein called “we, our, and us”)
This Privacy Policy applies to our United States Operations
We value your trust. We are committed to the responsible:
a) management;
b) use; and
c) protection;
ofPersonal Information.
This notice describes how we collect, disclose, and protectPersonal Information.
We collectPersonal Information to:
a) service yourTransactionswith us; and
b) support our business functions.
We may obtainPersonal Information from:
a)You;
b) yourTransactionswith us; and
c) third parties such as a consumer-reporting agency.
Based on the type of product or serviceYou apply for or get from us,Personal Information such as:
a) your name;
b) your address;
c) your income;
d) your payment; or
e) your credit history;
may be gathered from sources such as applications,Transactions, and consumer reports.
To serveYou and service our business, we may share certainPersonal Information. We will sharePersonal Information, only as allowed by law, with affiliates such as:
a) our insurance companies;
b) our employee agents;
c) our brokerage firms; and
d) our administrators.
As allowed by law, we may sharePersonal Financial Information with our affiliates to:
a) market our products; or
b) market our services;
toYou without providingYou with an option to prevent these disclosures.
We may also sharePersonal Information, only as allowed by law, with unaffiliated third parties including:
a) independent agents;
b) brokerage firms;
c) insurance companies;
d) administrators; and
e) service providers;
who help us serveYou and service our business.
When allowed by law, we may share certainPersonal Financial Information with other unaffiliated third parties who assist us by performing services or functions such as:
a) taking surveys;
b) marketing our products or services; or
c) offering financial products or services under a joint agreement between us and one or more financial institutions.
We, and third parties we partner with, may track some of the pagesYou visit through the use of:
a) cookies;
b) pixel tagging; or
c) other technologies;
and currently do not process or comply with any web browser’s “do not track” signal or other similar mechanism that indicates a request to disable online tracking of individual users who visit our websites or use our services.
For more information, our Online Privacy Policy, which governs information we collect on our website and our affiliate websites, is available at https://www.thehartford.com/online-privacy-policy.
We will not sell or share yourPersonal Financial Information with anyone for purposes unrelated to our business functions without offeringYou the opportunity to:
a)“opt-out;” or
b)“opt-in;”
as required by law.
We only disclosePersonal Health Information with:
a) your authorization; or
b) as otherwise allowed or required by law.
Our employees have access toPersonal Information in the course of doing their jobs, such as:
a) underwriting policies;
b) paying claims;
c) developing new products; or
d) advising customers of our products and services.
We use manual and electronic security procedures to maintain:
a) the confidentiality; and
b) the integrity of;
Personal Information that we have. We use these procedures to guard against unauthorized access.
Some techniques we use to protectPersonal Information include:
a) secured files;
b) user authentication;
c) encryption;
d) firewall technology; and
e) the use of detection software.
We are responsible for and must:
a) identify information to be protected;
b) provide an adequate level of protection for that data; and
c) grant access to protected data only to those people who must use it in the performance of theirjob-related duties.
Employees who violate our privacy policies and procedures may be subject to discipline, which may include termination of their employment with us.
We will continue to follow our Privacy Policy regardingPersonal Information even when a business relationship no longer exists between us.
As used in this Privacy Notice:
Application means your request for our product or service.
Personal Financial Information means financial information such as:
a) credit history;
b) income;
c) financial benefits; or
d) policy or claim information.
Personal Financial Informationmay include Social Security Numbers, Driver’s license numbers, or other government-issued identification numbers, or credit, debit card, or bank account numbers.
Personal Health Information means health information such as:
a) your medical records; or
b) information about your illness, disability or injury.
Personal Information means information that identifiesYou personally and is not otherwise available to the public. It includes:
a)Personal Financial Information; and
b)Personal Health Information.
Transaction means your business dealings with us, such as:
a) yourApplication;
b) your request for us to pay a claim; and
c) your request for us to take an action on your account.
You means an individual who has given usPersonal Information in conjunction with:
a) asking about;
b) applying for; or
c) obtaining;
a financial product or service from us if the product or service is used mainly for personal, family, or household purposes.
If you have any questions or comments about this privacy notice, please feel free to contact us at The Hartford – Law Department, Privacy Law, One Hartford Plaza, Hartford, CT 06155, or at CorporatePrivacyOffice@thehartford.com.
This Customer Privacy Notice is being provided on behalf of The Hartford Financial Services Group, Inc. and its affiliates (including the following as of March 2019), to the extent required by the Gramm-Leach-Bliley Act and implementing regulations.
1stAGChoice, Inc.; Access CoverageCorp, Inc.; Access CoverageCorp Technologies, Inc.; Business Management Group, Inc.; Cervus Claim Solutions, LLC; First State Insurance Company; FTC Resolution Company LLC; Hart Re Group L.L.C.; Hartford Accident and Indemnity Company; Hartford Administrative Services Company; Hartford Casualty General Agency, Inc.; Hartford Casualty Insurance Company; Hartford Fire General Agency, Inc.; Hartford Fire Insurance Company; Hartford Funds Distributors, LLC; Hartford Funds Management Company, LLC; Hartford Funds Management Group, Inc.; Hartford Group Benefits Holding Company; Hartford Holdings, Inc.; Hartford Insurance Company of Illinois; Hartford Insurance Company of the Midwest; Hartford Insurance Company of the Southeast; Hartford Insurance, Ltd.; Hartford Integrated Technologies, Inc.; Hartford Investment Management Company; Hartford Life and Accident Insurance Company; Hartford Life, Ltd.; Hartford Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford Management, Ltd.; Hartford of Texas General Agency, Inc.; Hartford Residual Market, L.C.C.; Hartford Specialty Insurance Services of Texas, LLC; Hartford STAG Ventures LLC; Hartford Strategic Investments, LLC; Hartford Underwriters General Agency, Inc.; Hartford Underwriters Insurance Company; Heritage Holdings, Inc.; Heritage Reinsurance Company, Ltd.; HIMCO Distribution Services Company; HLA LLC; HL Investment Advisors, LLC; Horizon Management Group, LLC; HRA Brokerage Services, Inc.; Lattice Strategies LLC; Maxum Casualty Insurance Company; Maxum Indemnity Company; Maxum Specialty Services Corporation; MPC Resolution Company LLC; New England Insurance Company; New England Reinsurance Corporation; New Ocean Insurance Co., Ltd.; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company of Hartford; Renato Acquisition Co.; Sentinel Insurance Company, Ltd; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company;Y-Risk, LLC.
Revised March 2019
This report is submitted for the general information of the shareholders of the Funds referenced in this report. It is not authorized for distribution to persons who are not shareholders of one or more Funds referenced in this report unless preceded or accompanied by a current prospectus for the relevant Funds. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of any Fund listed in this report. Such offering is only made by prospectus, which includes details as to the offering price and other material information.
The information cannot be used or relied upon for the purpose of avoiding IRS penalties. These materials are not intended to provide tax, accounting or legal advice. As with all matters of a tax or legal nature, you should consult your own tax or legal counsel for advice.
Investors should carefully consider a fund’s investment objectives, risks, charges and expenses. This and other important information is contained in the fund’s prospectus and summary prospectus, which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.
Hartford Funds Management Company, LLC (HFMC) is the investment manager for the active ETFs. Hartford Municipal Opportunities ETF, Hartford Short Duration ETF and Hartford Total Return Bond ETF are sub-advised by Wellington Management Company LLP (Wellington). Hartford Schroders Tax-Aware Bond ETF is subadvised by Schroder Investment Management North America Inc. (Schroders). The ETFs are distributed by ALPS Distributors, Inc., which is not affiliated with Wellington, Schroders or HFMC.
ETFSAR-AFI19 03/19 210262 HFA000431 09/19 Printed in U.S.A.
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments to the Registrant’s Code of Ethics during the reporting period for this formN-CSR. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable |
(f) | A copy of the code of ethics is filed herewith. |
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the semi-annual report filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees during the period covered by this report.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of 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 forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of Ethics is filed herewith. | |
(a)(2) | Separate certifications for each principal executive officer and principal financial officer of the registrant as required by Rule30a-2(a) under the 1940 Act (17 CFR270.30a-2(a)) and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
HARTFORD FUNDSEXCHANGE-TRADED TRUST | ||||
Date: April 8, 2019 | By: | /s/ James E. Davey | ||
James E. Davey, President and | ||||
Chief Executive Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Date: April 8, 2019 | By: | /s/ James E. Davey | ||
James E. Davey, President and Chief Executive Officer |
Date: April 8, 2019 | By: | /s/ Amy N. Furlong | ||
Amy N. Furlong, Treasurer (Principal Financial Officer and Principal Accounting Officer) |