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 R. 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: July 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 Shareholders:
Thank you for investing in Hartford Exchange-Traded Funds. The following is the Funds’ Annual Report covering the year from August 1, 2018 through July 31, 2019.
Market Review
During the 12 months ended July 31, 2019, U.S. stocks, as measured by the S&P 500 Index (the “Index”)1 gained 7.99%.
The positive returns for the period were noteworthy because, despite increased volatility and nearly falling into bear market territory during the fourth quarter of 2018, the Index closed on a decidedly positive note. The Index closed at anall-time high of 3,026 on July 26, and closed above 3,000 nine times during the month of July.
According to the National Bureau of Economic Research, July 1, 2019 marked a significant milestone — 121 consecutive months of U.S. economic expansion, the longest on record since World War II. The current expansion began in June 2009. In addition, as of July 31, 2019, the unemployment rate remains low and long-stagnant wages began rising.
That said, ongoing trade disputes, threats of tariffs, related supply-chain concerns, and an unpredictable political climate continue to weigh on markets and seem unlikely to be resolved in the short term. Additionally, the U.S. Federal Reserve made history on July 31 when it cut rates for the first time while the unemployment rate was below 4%. Given these factors, we believe that it is reasonable to expect volatility to remain a constant for investors going forward.
We encourage you to maintain a strong relationship with your financial advisor no matter the market environment. 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 financial 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 ETFs, 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. |
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How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records (Unaudited) | 81 | |||
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The views expressed in each Fund’s Manager Discussion contained in the Fund Overview section are views of that Fund’ssub-adviser and portfolio management team through the end of the period and are subject to change based on market and other conditions. Each Fund’s Manager Discussion is for informational purposes only and does not represent an offer, recommendation or solicitation to buy, hold or sell any security. The specific securities identified and described, if any, do not represent all of the securities purchased or sold and you should not assume that investments in the securities identified and discussed will be profitable.
Hartford Municipal Opportunities ETF |
July 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 Ending 7/31/19
1 Year | Since Inception1 | |||||||
Municipal Opportunities ETF (NAV Return) | 7.68% | 5.03% | ||||||
Municipal Opportunities ETF (Market Price Return) | 7.76% | 5.07% | ||||||
Bloomberg Barclays Municipal Bond1-15 Year Blend(1-17) Index | 6.62% | 4.20% |
1 | 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/activeETFs.
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/activeETFs.
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.
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.
See “Benchmark Glossary” for benchmark descriptions.
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 year ended July 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 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 redemptionsin-kind.
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Hartford Municipal Opportunities ETF |
Fund Overview – (continued)
July 31, 2019 (Unaudited)
Composition of Municipal Bonds(1)
as of July 31, 2019
Municipal Bonds | Percentage of Net Assets | |||
Airport | 9.4 | % | ||
Development | 1.2 | |||
Education | 2.2 | |||
Facilities | 0.4 | |||
General Obligation | 12.3 | |||
Higher Education | 2.2 | |||
Housing | 1.0 | |||
Medical | 7.1 | |||
Mello-Roos District | 0.1 | |||
Multifamily Housing | 0.2 | |||
Nursing Homes | 4.2 | |||
Other(2) | 18.8 | |||
Pollution | 1.2 | |||
Power | 5.4 | |||
School District | 12.6 | |||
Single Family Housing | 4.2 | |||
Student Loan | 1.0 | |||
Tobacco | 3.2 | |||
Transportation | 8.0 | |||
Utilities | 1.2 | |||
Water | 3.7 | |||
Short-Term Investments | 1.0 | |||
Other Assets & Liabilities | (0.6 | ) | ||
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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 and 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. |
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Hartford Municipal Opportunities ETF |
Fund Overview – (continued)
For Year Ending July 31, 2019
Manager Discussion and Analysis
Brad W. Libby
Managing Director and Fixed Income Portfolio Manager / Credit Analyst
Wellington Management Company LLP
Timothy D. Haney, CFA
Senior Managing Director and Fixed Income Portfolio Manager
Wellington Management Company LLP
How did the Fund perform during the period?
Hartford Municipal Opportunities ETF returned 7.68% for the period from August 1, 2018 through July 31, 2019, outperforming the Fund’s benchmark, the Bloomberg Barclays Municipal Bond1-15 Year Blend(1-17) Index, which returned 6.62% for the same period. The Fund also outperformed the 6.43% average return of the Lipper Intermediate Municipal Debt Funds peer group, a group of funds with investment strategies similar to those of the Fund, during the period.
Why did the Fund perform this way?
For the twelve-month period ended July 31, 2019, the United States fixed income markets largely generated positive total returns over the trailing twelve months ended July 31, 2019 as U.S. Treasury yields declined as the Federal Reserve (Fed) did not increase rates as much as the market had expected and then lowered rates by 0.25% in July 2019. Early in the period, sovereign debt yields generally moved higher, driven by continued global growth momentum and rising inflation expectations. However, later in the period, sovereign debt yields declined sharply amid prospects of deteriorating global growth and central bank policies favoring lower interest rates. Geopolitical uncertainty remained elevated throughout the period.
Monetary policy continued to favor interest rate increases during the 2018 portion of the period, but most central banks shifted to a lower interest rate bias in 2019 on account of tepid economic data, trade policy uncertainty, and continuing low inflation. The Fed increased interest rates two times in the second half of 2018 and projected additional future increases; however, at the end of the period the Fed cut rates for the first time since 2008. The European Central Bank (ECB) concluded its quantitative easing program in late 2018 and anticipated a second half of 2019 rate increase; however, by the end of the period, the ECB raised the prospects for a fresh round of quantitative easing alongside rate cuts later in 2019. Similarly, the Bank of Japan committed to extremely low rates “at least through spring 2020.”
Global economic momentum slowed over the last few months of the period but generally remained supportive of the bond markets. In the U.S., gross domestic product (GDP) growth beat expectations in the second quarter of 2019, but lagged the 3.1% annualized growth rate of the first quarter of 2019. U.S. housing activity appeared mixed, and consumer confidence slipped as escalating trade tensions weighed on Americans’ assessments of the economy and labor market at the end of the period. The Eurozone manufacturing Purchasing Managers’ Index (PMI) contracted during the first quarter of 2019 due to sharp drops in output and new orders and remained in contractionary territory through the end of the period.
Absolute returns across most major fixed income credit risk sectors were positive for the twelve-month period, driven by a decrease in government bond yields.
On an excess return basis, most spread sectors, such as investment grade corporates and high yield, posted positive returns over the same period. The Bloomberg Barclays U.S. Corporate Investment Grade Index and the Bloomberg Barclays U.S. Corporate High Yield Bond Index outperformed like-duration U.S. Treasuries over the trailing12-month period.
Credit spreads remained generally stable as concerns over increased leverage from a pickup in mergers and acquisitions activity were offset by generally solid U.S. economic data and positive earnings trends. Investment grade corporate spreads, as measured by the Bloomberg Barclays U.S. Corporate Investment Grade Index, tightened by 0.01%, while high yield corporate spreads, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index, widened by 0.35%.
Over the period,tax-exempt municipal bonds, as represented by the ICE Bank of America Merrill Lynch U.S. Municipal Securities Index, posted an excess return over duration-equivalent Treasuries. The yield on10-year AAA rated general obligation municipal bonds (GOs) increased during the period as did the yield on10-year Treasuries. The ratio of yields on10-year AAA GOs to yields on10-year Treasuries decreased over the period, falling from 82.7% to 75.2%. Over the period, technical factors were generally positive as demand from municipal funds and individual bond investors were relatively strong while supply was measured.
The Fund’s duration and yield curve positioning was the primary driver of outperformance relative to the Bloomberg Barclays Municipal Bond1-15 Year Blend(1-17) Index during the period. A long duration position had a positive impact during the second period of 2019 as interest rates fell. Security selection within investment grade GOs and revenue bonds also contributed positively to outperformance relative to the Bloomberg Barclays Municipal Bond1-15 Year Blend(1-17) Index particularly within local municipal debt and Utilities. The Fund’s allocation to high yield revenue bonds detracted from relative performance during the period, particularly within the tobacco sector.
Derivatives were not used in this Fund and, therefore, did not have an impact on Fund performance during the period.
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Hartford Municipal Opportunities ETF |
Fund Overview – (continued)
For Year Ending July 31, 2019
What is the outlook?
U.S. economic growth is decelerating from above trend levels, but we believe the risk of recession is low. As a result, we maintained the Fund’s moderatelypro-cyclical risk posture. Even with the slight year to date spread rally, we believe there is still room to add selectively toA-rated andBBB-rated names. We remain positive on revenue bond fundamentals, with the possible exception of Healthcare where we feel we have likely seen peak financial results. However, we believe there are opportunities within Healthcare to selectively add to improving credit
stories. Within transportation, we remain positive on toll roads as we believe fundamentals and spread levels are slightly more attractive in that space. Toll road revenues continue to grow as auto travel remains strong. Within GO credits, we are positive on select state and local issuers that we believe are supported by adequate reserve levels, steady revenue growth, and more stable fiscal conditions. We believe supply and demand technical dynamicswill remain positive as supply continues to be lower than previous periods while retail demand has been strong.
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Hartford SchrodersTax-Aware Bond ETF |
Fund Overview
July 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.
Average Annual Total Returns
for the Periods Ending 7/31/19
1 Year | Since Inception1 | |||||||
Tax-Aware Bond ETF (NAV Return) | 7.62% | 6.19% | ||||||
Tax-Aware Bond ETF (Market Price Return) | 7.61% | 6.27% | ||||||
Bloomberg Barclays Municipal Bond Index | 7.31% | 6.45% |
1 | Inception: 04/18/2018. |
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/activeETFs.
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/activeETFs.
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.
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.
See “Benchmark Glossary” for benchmark descriptions.
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 July 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.• 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.• 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 redemptionsin-kind.
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Hartford SchrodersTax-Aware Bond ETF |
Fund Overview – (continued)
July 31, 2019 (Unaudited)
Composition by Security Type(1)
as of July 31, 2019
Category | Percentage of Net Assets | |||
Fixed Income Securities | ||||
Corporate Bonds | 15.3 | % | ||
Municipal Bonds | 57.8 | |||
U.S. Government Securities | 10.4 | |||
U.S. Government Agencies | 15.7 | |||
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Total | 99.2 | % | ||
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Short-Term Investments | 1.6 | |||
Other Assets & Liabilities | (0.8 | ) | ||
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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. |
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Hartford SchrodersTax-Aware Bond ETF |
Fund Overview – (continued)
For Year Ending July 31, 2019
Manager Discussion and Analysis
Andrew B.J. Chorlton, CFA
Portfolio Manager
Schroder Investment Management North America Inc.
Neil G. Sutherland, CFA
Portfolio Manager
Schroder Investment Management North America Inc.
Julio C. Bonilla, CFA
Portfolio Manager
Schroder Investment Management North America Inc.
Lisa Hornby, CFA
Portfolio Manager
Schroder Investment Management North America Inc.
How did the Fund perform during the period?
Hartford SchrodersTax-Aware Bond ETF returned 7.62% for the twelve-month period ending July 31, 2019, outperforming the Fund’s benchmark, the Bloomberg Barclays Municipal Bond Index, which returned 7.31% for the same period. The Fund also outperformed the 6.83% average return of the Lipper General & Insured Municipal Debt Funds peer group, a group of funds with investment strategies similar to those of the Fund, during the period.
Why did the Fund perform this way?
As of July 2019, the U.S. economy entered its longest economic expansion in its history. While the economy is still in expansionary mode, data indicate that the pace of economic growth has slowed as trade policy uncertainty takes its toll on business confidence and capital expenditures. We are also seeing the lagging effects of reduced fiscal stimulus and a stronger dollar weighing on economic output. One bright spot remains the U.S. consumer, who has benefited from an unemployment rate at generational lows in addition to lower taxes and modest wage gains. Consumer leverage remains modest and a still-elevated household savings rate suggests that consumption growth will remain elevated.
The municipal bond market, as measured by the Bloomberg Barclays Municipal Bond Index, generated a 7.31% return for the twelve months ending July 31, 2019. Municipal bonds have exhibited strong performance (July 2019 was the ninth consecutive month of positive performance) during the period. Meanwhile, lowermunicipal-to-Treasury yield ratios have not detracted from demand for municipal bonds from the retail driven market, as investors appear more concerned about producingtax-exempt income than about valuations. This dynamic is evidenced by strong inflows into municipal bond focused funds during the period. The municipal bond market is also continuing to adjust to apost-tax reform environment. Since issuers may not be able to take advantage oftax-exempt advance refundings, we expectsupply-and-demand dynamics to continue to pose a challenge as we look for yield opportunities within the sector.
The Fund outperformed the benchmark primarily due to strong security selection within municipals.Tax-exempt federal agency bonds and
tax-exempt housing securities stood out for their contribution to security selection, outperforming the Bloomberg Barclays Municipal Bond Index. On the other hand, sector allocation was the main detractor from performance. The Fund’s allocation to Treasury bonds and an underweight position intax-exempt municipals were the main factors impacting sector allocation during a period when municipal bonds had strong performance. Duration and yield curve positioning combined had an overall positive impact as the Treasury curve flattened and yields generally fell during this period while the Fund typically had a lower duration versus the Bloomberg Barclays Municipal Bond Index. Although the Fund is not managed against the Bloomberg Barclays Municipal Bond Index, the index is a broad representation of the municipal bond universe.
Derivatives were not used in a significant manner in the Fund during the period and did not have a material impact on performance during the period.
What is the outlook?
Looking forward to the end of the year, macroeconomic events will likely continue to be the primary drivers of market movements. Markets will need to navigate various cross-currents in the second half of 2019: uncertainty with regard to trade, a U.S. Federal Reserve (Fed) that is easing amidst a cyclical slowdown, the U.K.’s expected exit from the E.U. and theramp-up of the 2020 U.S. election cycle. Our view is that risk assets will face some challenges ahead. With regard to interest rates, we believe the peak in yields was seen in 2019. Although the current market pricing of imminent rate cuts is probably exaggerated, a more patient Fed and slower growth suggest that fixed income assets are likely to remain well supported in our view.
In regards to municipals, exceptionally strong demand relative to strong supply continue to be strong drivers of performance, as summer 2019 maturities continue to support the market. We believe that supply should increase in the second half of 2019, due to low interest rates,tax-exempt refundings of callable Build America Bonds (BABs), which are taxable municipal bonds that featured tax credits and/or federal subsidies as part of former President Obama’s 2009 American Recovery and Reinvestment Act, and an increase in new money issuance as the
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Hartford SchrodersTax-Aware Bond ETF |
Fund Overview – (continued)
For Year Ending July 31, 2019
expectation of a federal infrastructure package fades until 2021 or later. We continue to focus more on shortening our municipal duration as we do not see rewards in taking duration risk. We also continue to look for select opportunities within the municipal sector, but this remains difficult due to the net negative supply environment and expensive valuations for municipal bonds. As we continue to seek what we consider to be attractive yields while avoiding high-risk bets, we believe the valuation backdrop in many municipal sectors is far less compelling than it has been in years.
Outside of municipals, we expect that portfolio allocations will generally remain stable within the Fund, but we look to move away from
corporates as valuations in the credit sectors are now approaching the more expensive end of their cyclical range. The liquidity environment will likely keep risk assets supported, but it is difficult to see material appreciation absent a change in the underlying fundamentals. Overall, we prefer mortgages over other spread markets as valuations are near their cheapest levels of the post-crisis period. Fundamentals are also preferable, as debt growth in the mortgage market has significantly lagged that of the corporate market.
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Hartford Short Duration ETF |
Fund Overview
July 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.
Average Annual Total Returns
for the Periods Ending 7/31/19
1 Year | Since Inception1 | |||||||
Short Duration ETF (NAV Return) | 5.20% | 4.70% | ||||||
Short Duration ETF (Market Price Return) | 5.22% | 4.76% | ||||||
Bloomberg Barclays1-3 Year U.S. Government/Credit Index | 4.15% | 3.60% |
1 | Inception: 05/30/2018. |
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/activeETFs.
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/activeETFs.
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.
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.
See “Benchmark Glossary” for benchmark descriptions.
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 July 31, 2019.
Important Risks
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.• 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 redemptionsin-kind.
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Hartford Short Duration ETF |
Fund Overview – (continued)
July 31, 2019 (Unaudited)
Composition by Security Type(1)
as of July 31, 2019
Category | Percentage of Net Assets | |||
Fixed Income Securities | ||||
Asset & Commercial Mortgage Backed Securities | 11.3 | % | ||
Corporate Bonds | 58.5 | |||
Foreign Government Obligations | 0.6 | |||
Municipal Bonds | 0.2 | |||
Senior Floating Rate Interests | 20.0 | |||
U.S. Government Agencies | 10.3 | |||
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Total | 100.9 | % | ||
|
| |||
Short-Term Investments | 1.8 | |||
Other Assets & Liabilities | (2.7 | ) | ||
|
| |||
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. |
| 11 |
|
Hartford Short Duration ETF |
Fund Overview – (continued)
For Year Ending July 31, 2019
Manager Discussion and Analysis
Timothy E. Smith
Senior Managing Director and Fixed Income Portfolio Manager
Wellington Management Company LLP
How did the Fund perform during the period?
Hartford Short Duration ETF returned 5.20% for the period from August 1, 2018 through July 31, 2019, outperforming the Fund’s benchmark, the Bloomberg Barclays1-3 Year U.S. Government/Credit Index, which returned 4.15% for the same period. The Fund also outperformed the 3.99% average return of the Lipper Short Investment Grade Debt Funds peer group, a group of funds with investment strategies similar to those of the Fund, during the period.
Why did the Fund perform this way?
For the twelve-month period ended July 31, 2019, the United States fixed income markets largely generated positive total returns over the trailing twelve months ended July 31, 2019 as U.S. Treasury yields declined as the Federal Reserve (Fed) did not increase rates as much as the market had expected and then lowered rates by 0.25% in July 2019. Early in the period, sovereign debt yields generally moved higher, driven by continued global growth momentum and rising inflation expectations. However, later in the period, sovereign debt yields declined sharply amid prospects of deteriorating global growth and central bank policies favoring lower interest rates. Geopolitical uncertainty remained elevated throughout the period.
Monetary policy continued to favor interest rate increases during the 2018 portion of the period, but most central banks shifted to a lower interest rate bias in 2019 on account of tepid economic data, trade policy uncertainty, and continuing low inflation. The Fed increased interest rates two times in the second half of 2018 and projected additional future increases; however, at the end of the period the Fed cut rates for the first time since 2008. The European Central Bank (ECB) concluded its quantitative easing program in late 2018 and anticipated a second half of 2019 rate increase; however, by the end of the period, the ECB raised the prospects for a fresh round of quantitative easing alongside rate cuts later in 2019. Similarly, the Bank of Japan committed to extremely low rates “at least through spring 2020.”
Global economic momentum slowed over the last few months of the period but generally remained supportive of the bond markets. In the U.S., gross domestic product (GDP) growth beat expectations in the second quarter of 2019, but lagged the 3.1% annualized growth rate of the first quarter of 2019. U.S. housing activity appeared mixed, and consumer confidence slipped as escalating trade tensions weighed on Americans’ assessments of the economy and labor market at the end of the period. The Eurozone manufacturing Purchasing Managers’ Index (PMI) contracted during the first quarter of 2019 due to sharp drops in output and new orders and remained in contractionary territory through the end of the period.
Over the period, perceived safe-haven currencies like the U.S. dollar and Japanese yen rallied versus most currencies. Emerging market currencies declined, led by the Argentine peso, Colombian peso, and the Turkish lira as country-specific issues and broader external debt sustainability concerns led to a loss of market confidence. Commodity and trade-linked currencies including the Australian dollar and the
Swedish krona were among the primary decliners in developed market currencies. The euro and British pound also weakened due to domestic political uncertainty and policy divergence versus the U.S.
Absolute returns across most major fixed income credit risk sectors were positive for the twelve-month period, driven by a decrease in government bond yields. On an excess return basis, most spread sectors, such as investment grade corporates and high yield, posted positive returns over the same period. The Bloomberg Barclays U.S. Corporate Investment Grade Index and the Bloomberg Barclays U.S. Corporate High Yield Bond Index outperformed like-duration US Treasuries over the trailing12-month period.
Investment-grade credit markets outperformed Treasuries.Credit spreads remained generally stable as concerns over increased leverage from a pickup in mergers and acquisitions activity were offset by generally solid U.S. economic data and positive earnings trends. Investment grade corporate spreads, as measured by the Bloomberg Barclays U.S. Corporate Investment Grade Index, tightened by 0.01%, while high yield corporate spreads, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index, widened by 0.35%.
The Fund’s overweight to investment grade (IG) corporate credit was the primary driver of the Fund’s outperformance versus the Bloomberg Barclays1-3 Year U.S. Government/Credit Index over the period, primarily with respect to Industrials and Financials. Positioning withinnon-corporate credit slightly detracted from relative performance. The Fund’sout-of-benchmark allocation to bank loans and Mortgage-Backed Securities (MBS) also contributed positively to outperformance versus the Bloomberg Barclays1-3 Year U.S. Government/Credit Index over the period. Duration and yield curve positioning were slightly additive to benchmark relative returns for the period.
Derivatives were not used in a significant manner in the Fund and did not have a material impact on performance during the period.
What is the outlook?
At the end of the period, we maintained exposure to bank loans and high yield credit and continued to overweight investment grade corporate credit, favoring Financials and Industrials. We maintained allocations to agency MBS andnon-agency MBS on attractive valuations. We also continued to favor ABS, higher quality collateralized loan obligations (CLOs), as well as commercial MBS (CMBS). We are positioned with apro-cyclical risk positioning in corporate bonds based on what we consider to be slower but still positive U.S. economic growth in the second half of 2019, stable corporate fundamentals, and supportive technicals. We believe that U.S. inflation will be range-bound. We expect that Fed policy is leaning toward stable to lower interest rates and that the Fed will likely cut rates further this year. Economic data does not currently warrant easier policy in our view; however, we believe the Fed is determined to support the current expansion. We also believe the market continues to price in a much more aggressive path of rate cuts than the Fed’s projections. As a result, the portfolio is positioned with a short duration bias.
| 12 |
|
Hartford Total Return Bond ETF |
Fund Overview
July 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 Ending 7/31/19
1 Year | Since Inception1 | |||||||
Total Return Bond ETF (NAV Return) | 8.14% | 3.94% | ||||||
Total Return Bond ETF (Market Price Return) | 8.24% | 3.97% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.08% | 3.66% |
1 | 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/activeETFs.
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/activeETFs.
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.
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.
See “Benchmark Glossary” for benchmark descriptions.
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 year ended July 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, 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 redemptionsin-kind.
| 13 |
|
Hartford Total Return Bond ETF |
Fund Overview – (continued)
July 31, 2019 (Unaudited)
Composition by Security Type(1)
as of July 31, 2019
Category | Percentage of Net Assets | |||
Fixed Income Securities | ||||
Corporate Bonds | 32.2 | % | ||
Foreign Government Obligations | 5.2 | |||
Municipal Bonds | 0.7 | |||
Senior Floating Rate Interests | 4.4 | |||
U.S. Government Agencies | 47.6 | |||
U.S. Government Securities | 23.7 | |||
Asset & Commercial Mortgage Backed Securities | 19.0 | |||
|
| |||
Total | 132.8 | % | ||
|
| |||
Short-Term Investments | 1.4 | |||
Purchased Options | 0.2 | |||
Other Assets & Liabilities | (34.4 | ) | ||
|
| |||
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. |
| 14 |
|
Hartford Total Return Bond ETF |
Fund Overview – (continued)
For Year Ending July 31, 2019
Manager Discussion and Analysis
Joseph F. Marvan, CFA
Senior Managing Director and Fixed Income Portfolio Manager
Wellington Management Company LLP
Campe Goodman, CFA
Senior Managing Director and Fixed Income Portfolio Manager
Wellington Management Company LLP
Robert D. Burn, CFA
Managing Director and Fixed Income Portfolio Manager
Wellington Management Company LLP
How did the Fund perform during the period?
Hartford Total Return Bond ETF returned 8.14% for the period from August 1, 2018 through July 31, 2019, outperforming the Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 8.08% for the same period. The Fund also outperformed the 7.63% average return of the Lipper Core Bond Funds peer group, a group of funds with investment strategies similar to those of the Fund, during the period.
Why did the Fund perform this way?
For the twelve-month period ended July 31, 2019, the United States fixed income markets largely generated positive total returns over the trailing twelve months ended July 31, 2019 as U.S. Treasury yields declined as the Federal Reserve (Fed) did not increase rates as much as the market had expected and then lowered rates by 0.25% in July 2019. Early in the period, sovereign debt yields generally moved higher, driven by continued global growth momentum and rising inflation expectations. However, later in the period, sovereign debt yields declined sharply amid prospects of deteriorating global growth and central bank policies favoring lower interest rates. Geopolitical uncertainty remained elevated throughout the period.
Monetary policy continued to favor interest rate increases during the 2018 portion of the period, but most central banks shifted to a lower interest rate bias in 2019 on account of tepid economic data, trade policy uncertainty, and continuing low inflation. The Fed increased interest rates two times in the second half of 2018 and projected additional future increases; however, at the end of the period the Fed cut rates for the first time since 2008. The European Central Bank (ECB) concluded its quantitative easing program in late 2018 and anticipated a second half of 2019 rate increase; however, by the end of the period, the ECB raised the prospects for a fresh round of quantitative easing alongside rate cuts later in 2019. Similarly, the Bank of Japan committed to extremely low rates “at least through spring 2020.” The People’s Bank of China pumped liquidity into its banking system through its medium term lending facility and also intervened in the foreign exchange markets to support its currency amid the ongoing trade tensions with the U.S. Norges Bank, the central bank of Norway, was an exception as it continued to raise interest rates and indicated further rate increases may occur even while acknowledging uncertainty over trade tensions.
Global economic momentum slowed over the last few months of the period but generally remained supportive of the bond markets. In the U.S., gross domestic product (GDP) growth beat expectations in the
second quarter of 2019, but lagged the 3.1% annualized growth rate of the first quarter of 2019. U.S. housing activity appeared mixed, and consumer confidence slipped as escalating trade tensions weighed on Americans’ assessments of the economy and labor market at the end of the period. The Eurozone manufacturing Purchasing Managers’ Index (PMI) contracted during the first quarter of 2019 due to sharp drops in output and new orders and remained in contractionary territory through the end of the period. China’s economy grew at the slowest pace since the early 1990s year-over-year in the second quarter of 2019. The intensifying trade war with the U.S. took a toll on China’s manufacturing and services activity, as the PMIs of both sectors contracted.
Over the period, perceived safe-haven currencies like the U.S. dollar and Japanese yen rallied versus most currencies. Emerging market (EM) currencies declined, led by the Argentine peso, Colombian peso, and the Turkish lira as country-specific issues and broader external debt sustainability concerns led to a loss of market confidence. Commodity and trade-linked currencies, including the Australian dollar and the Swedish krona, were among the primary decliners in developed market currencies. The euro and British pound also weakened due to domestic political uncertainty and policy divergence versus the U.S.
Absolute returns across most major fixed income credit risk sectors were positive for the twelve-month period, driven by a decrease in government bond yields. On an excess return basis, most spread sectors, such as investment grade corporates and high yield, posted positive returns over the same period. The Bloomberg Barclays U.S. Corporate Investment Grade Index and the Bloomberg Barclays U.S. Corporate High Yield Bond Index outperformed like-duration US Treasuries over the trailing12-month period.
Credit spreads remained generally stable as concerns over increased leverage from a pickup in mergers and acquisitions activity were offset by generally solid U.S. economic data and positive earnings trends. Investment grade corporate spreads, as measured by the Bloomberg Barclays U.S. Corporate Investment Grade Index, tightened by 0.01%, while high yield corporate spreads, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index, widened by 0.35%.
The Fund’s credit positioning was a primary driver of the Fund’s outperformance relative to the Bloomberg Barclays U.S. Aggregate Bond Index. Investment grade credit (IG) positioning within Industrials and Financials benefited relative results whileout-of-benchmark allocations to bank loans and high yield instruments also had a positive impact on
| 15 |
|
Hartford Total Return Bond ETF |
Fund Overview – (continued)
For Year Ending July 31, 2019
returns. The Fund’s allocation to securitized sectors such asnon-agency residential mortgage-backed securities (RMBS), collateralized loan obligations (CLOs), and commercial mortgage-backed securities (CMBS), all contributed positively to results relative to the Bloomberg Barclays U.S. Aggregate Bond Index. The Fund held directional interest rate positions during the period, which were expressed through derivatives and purchases and sales of bonds which detracted from relative performance. The types of derivatives used in the Fund over the period includes futures contracts, foreign currency contracts, options contracts, swap contracts, credit default swap contracts, interest rate swaps contracts and total return swap contracts. The Fund’s allocation to Treasury Inflation Protected Securities (TIPS) detracted from relative results following consistently low market inflation expectations.
What is the outlook?
As of July 31, 2019, we continued to position the Fund with a moderatelypro-cyclical risk posture in credit markets. We believe the global monetary policy tilt toward stable to lower interest rates could help to dampen volatility over the balance of the year but, as of July 31, 2019, we were still positioned fairly defensively in credit. Inflation expectations remain consistently below central banks’ targets. Inflation breakeven positioning is near neutral, but we would consider adding to the position if the interest rate environment stabilizes. We ended the period with an underweight positioning to investment grade credit. The Fund maintained anout-of-benchmark allocation to selectnon-agency RMBS. The Fund also held senior CMBS with attractive collateral as well as high quality CLOs. We believe high yield credit and bank loans are supported by positive consumer fundamentals. As of July 31, 2019, the Fund held select exposure to EM debt.
| 16 |
|
Hartford Active Fixed Income ETFs |
Bloomberg Barclays1-3 Year U.S. Government/Credit Index(reflects no deduction for fees, expenses or taxes) is 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.
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.
Bloomberg Barclays Municipal Bond Index(reflects no deduction for fees, expenses or taxes) is designed to cover theUSD-denominated long-term tax exempt bond market.
Bloomberg Barclays U.S. Aggregate Bond Index(reflects no deduction for fees, expenses or taxes) is composed of securities that are Securities and Exchange Commission 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.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
| 17 |
|
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 February 1, 2019 through July 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 181/365 (to reflect theone-half year period).
Actual Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||
Beginning Account Value February 1, 2019 | Ending Account Value July 31, 2019 | Expenses paid during the period February 1, 2019 through July 31, 2019 | Beginning Account Value February 1, 2019 | Ending Account Value July 31, 2019 | Expenses paid during the period February 1, 2019 through July 31, 2019 | Annualized expense ratio | ||||||||||||||||||||||
Hartford Municipal Opportunities ETF | $ | 1,000.00 | $ | 1,054.20 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | 0.29 | % | ||||||||||||||
Hartford SchrodersTax-Aware Bond ETF | $ | 1,000.00 | $ | 1,050.30 | $ | 1.98 | $ | 1,000.00 | $ | 1,022.86 | $ | 1.96 | 0.39 | % | ||||||||||||||
Hartford Short Duration ETF | $ | 1,000.00 | $ | 1,035.70 | $ | 1.46 | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | 0.29 | % | ||||||||||||||
Hartford Total Return Bond ETF | $ | 1,000.00 | $ | 1,057.70 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | 0.29 | % |
| 18 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 99.6% | ||||||||||
Alabama - 3.6% | ||||||||||
$ | 1,100,000 | Birmingham, AL, Water Works Board Water Rev 5.00%, 01/01/2027 | $ | 1,368,873 | ||||||
100,000 | Jefferson County, AL, Board of Education 5.00%, 02/01/2042 | 117,690 | ||||||||
90,000 | Jefferson County, AL, GO 5.00%, 04/01/2024 | 104,138 | ||||||||
1,000,000 | Lower Alabama Gas Dist 5.00%, 09/01/2031 | 1,249,420 | ||||||||
1,590,000 | State of Alabama Docks Department 5.00%, 10/01/2026 | 1,903,882 | ||||||||
245,000 | Tuscaloosa County, AL, Industrial Dev Auth 5.25%, 05/01/2044(1) | 271,801 | ||||||||
|
| |||||||||
5,015,804 | ||||||||||
|
| |||||||||
Arizona - 1.1% | �� | |||||||||
480,000 | Coconino County, AZ, Pollution Control Corp. 1.80%, 09/01/2032(2) | 481,066 | ||||||||
185,000 | Maricopa County, AZ, Industrial Dev Auth 5.00%, 09/01/2031 | 225,668 | ||||||||
750,000 | Maricopa County, AZ, Pollution Control Corp. 5.00%, 06/01/2035 | 767,670 | ||||||||
110,000 | Tempe, AZ, Industrial Dev Auth 4.00%, 10/01/2023(1) | 111,195 | ||||||||
|
| |||||||||
1,585,599 | ||||||||||
|
| |||||||||
California - 5.1% | ||||||||||
145,000 | California County, CA, Tobacco Securitization Agency 5.00%, 06/01/2020 | 148,622 | ||||||||
1,000,000 | California State, GO Taxable 5.00%, 04/01/2035 | 1,274,320 | ||||||||
City of Los Angeles, CA, Department of Airports |
| |||||||||
1,450,000 | 5.00%, 05/15/2035 | 1,766,492 | ||||||||
1,500,000 | 5.00%, 05/15/2040 | 1,544,685 | ||||||||
150,000 | Fresno, CA, Unified School Dist 0.00%, 08/01/2032(3) | 100,613 | ||||||||
500,000 | Golden State Tobacco Securitization Corp., CA 5.00%, 06/01/2032 | 590,225 | ||||||||
100,000 | Romoland, CA, School Dist 5.00%, 09/01/2043 | 114,160 | ||||||||
San Joaquin Hills, CA, Transportation Corridor Agency | ||||||||||
80,000 | 0.00%, 01/15/2026(3) | 68,025 | ||||||||
215,000 | 0.00%, 01/15/2032(3) | 146,004 | ||||||||
70,000 | 0.00%, 01/15/2035(3) | 42,139 | ||||||||
1,300,000 | Tender Option Bond Trust Receipts/Certificates 1.43%, 12/01/2022(1)(2) | 1,300,000 | ||||||||
|
| |||||||||
7,095,285 | ||||||||||
|
| |||||||||
Colorado - 1.7% | ||||||||||
720,000 | Arapahoe County, CO, School Dist No. 6 Littleton | 951,790 | ||||||||
175,000 | Denver, CO, Urban Renewal Auth 5.25%, 12/01/2039(1) | 185,461 | ||||||||
1,030,000 | Park Creek, CO, Metropolitan Dist Rev 5.00%, 12/01/2029 | 1,278,776 | ||||||||
|
| |||||||||
2,416,027 | ||||||||||
|
| |||||||||
Connecticut - 2.5% | ||||||||||
100,000 | City of Bridgeport, CT, GO 5.00%, 07/15/2034 | 119,356 | ||||||||
1,000,000 | Connecticut Housing Finance Auth 4.25%, 05/15/2042 | 1,097,140 | ||||||||
State of Connecticut, GO | ||||||||||
380,000 | 5.00%, 11/15/2025 | 458,854 | ||||||||
1,000,000 | 5.00%, 09/15/2027 | 1,245,670 | ||||||||
500,000 | 5.00%, 04/15/2029 | 611,115 | ||||||||
|
| |||||||||
3,532,135 | ||||||||||
|
| |||||||||
District of Columbia - 2.8% | ||||||||||
250,000 | Dist of Columbia Rev 5.00%, 07/01/2037 | 268,852 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 99.6% - (continued) | ||||||||||
District of Columbia - 2.8% - (continued) | ||||||||||
Dist of Columbia, GO | ||||||||||
$ | 1,500,000 | 5.00%, 06/01/2027 | $ | 1,850,190 | ||||||
1,100,000 | 5.00%, 06/01/2042 | 1,313,598 | ||||||||
455,000 | 5.00%, 07/01/2042 | 484,953 | ||||||||
|
| |||||||||
3,917,593 | ||||||||||
|
| |||||||||
Florida - 4.5% | ||||||||||
125,000 | City of Atlantic Beach, FL, Health Care Facs Auth 5.00%, 11/15/2043 | 141,493 | ||||||||
1,000,000 | Greater Orlando, FL, Aviation Auth 5.00%, 10/01/2037 | 1,188,310 | ||||||||
JEA, FL, Electric System Rev |
| |||||||||
1,550,000 | 5.00%, 10/01/2022 | 1,715,664 | ||||||||
1,500,000 | 5.00%, 10/01/2028 | 1,861,395 | ||||||||
190,000 | Polk County, FL, Industrial Dev Auth | 210,161 | ||||||||
725,000 | 5.00%, 01/01/2029 | 832,836 | ||||||||
35,000 | Putnam County, FL, Dev Auth 5.00%, 03/15/2042 | 41,224 | ||||||||
250,000 | South Miami, FL, Health Facs Auth 5.00%, 08/15/2019 | 250,335 | ||||||||
|
| |||||||||
6,241,418 | ||||||||||
|
| |||||||||
Georgia - 2.5% | ||||||||||
Burke County, GA, Dev Auth Rev |
| |||||||||
1,000,000 | 2.05%, 10/01/2032(2) | 1,006,880 | ||||||||
200,000 | 3.00%, 11/01/2045(2) | 205,074 | ||||||||
665,000 | Main Street, GA, Natural Gas, Inc. | 809,864 | ||||||||
200,000 | 5.50%, 09/15/2023 | 230,508 | ||||||||
1,000,000 | Municipal Electric Auth, GA 5.00%, 01/01/2028 | 1,195,850 | ||||||||
|
| |||||||||
3,448,176 | ||||||||||
|
| |||||||||
Hawaii - 0.1% | ||||||||||
100,000 | State of Hawaii Airports System Rev 5.00%, 07/01/2031 | 123,079 | ||||||||
|
| |||||||||
Illinois - 11.1% | ||||||||||
Chicago, IL, Board of Education, GO |
| |||||||||
105,000 | 0.00%, 12/01/2023(3) | 94,371 | ||||||||
110,000 | 0.00%, 12/01/2026(3) | 89,669 | ||||||||
65,000 | 5.00%, 12/01/2020 | 67,721 | ||||||||
250,000 | 5.00%, 12/01/2024 | 277,678 | ||||||||
250,000 | 5.00%, 04/01/2033 | 283,602 | ||||||||
Chicago, IL, Transit Auth |
| |||||||||
1,490,000 | 5.00%, 12/01/2021 | 1,610,288 | ||||||||
445,000 | 5.00%, 06/01/2024 | 511,821 | ||||||||
130,000 | 5.25%, 12/01/2024 | 141,049 | ||||||||
105,000 | 5.25%, 12/01/2025 | 113,634 | ||||||||
400,000 | City of Chicago, IL, GO 5.00%, 01/01/2024 | 436,272 | ||||||||
City of Chicago, IL, Wastewater Transmission Rev | ||||||||||
90,000 | 5.00%, 01/01/2027 | 101,175 | ||||||||
50,000 | 5.50%, 01/01/2030 | 62,274 | ||||||||
1,075,000 | City of Decatur, IL, GO 5.00%, 03/01/2035 | 1,235,874 | ||||||||
100,000 | Cook County, IL, GO 5.00%, 11/15/2021 | 107,319 | ||||||||
270,000 | Illinois Housing Dev Auth 4.00%, 02/01/2035 | 278,810 | ||||||||
150,000 | Illinois State Finance Auth Rev 5.00%, 11/15/2045 | 167,013 | ||||||||
Illinois State Toll Highway Auth | ||||||||||
150,000 | 5.00%, 01/01/2030 | 186,141 | ||||||||
500,000 | 5.00%, 01/01/2031 | 624,280 | ||||||||
Kane McHenry Cook & DeKalb Counties, IL, Unified School Dist, No. 300 | ||||||||||
1,000,000 | 5.00%, 01/01/2021 | 1,052,670 | ||||||||
100,000 | 5.00%, 01/01/2032 | 117,858 | ||||||||
150,000 | Kendall Kane & Will Counties, IL, Unified School Dist, GO 0.00%, 02/01/2027(3) | 126,842 | ||||||||
205,000 | Metropolitan Pier & Exposition Auth, IL 0.00%, 12/15/2025(3) | 175,857 |
The accompanying notes are an integral part of these financial statements.
| 19 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 99.6% - (continued) | ||||||||||
Illinois - 11.1% - (continued) | ||||||||||
Railsplitter, IL, Tobacco Settlement Auth | ||||||||||
$ | 150,000 | 5.00%, 06/01/2022 | $ | 164,534 | ||||||
75,000 | 5.25%, 06/01/2021 | 80,105 | ||||||||
Regional Transportation, IL, Auth Rev |
| |||||||||
150,000 | 5.00%, 06/01/2024 | 174,414 | ||||||||
1,000,000 | 6.00%, 07/01/2024 | 1,167,170 | ||||||||
500,000 | Sales Tax Securitization Corp., IL 5.00%, 01/01/2029 | 594,605 | ||||||||
State of Illinois, GO |
| |||||||||
1,040,000 | 5.00%, 03/01/2021 | 1,085,302 | ||||||||
1,250,000 | 5.00%, 06/15/2022 | 1,346,475 | ||||||||
450,000 | 5.00%, 12/01/2024 | 497,200 | ||||||||
1,000,000 | 5.00%, 02/01/2027 | 1,142,080 | ||||||||
115,000 | 5.00%, 06/15/2027 | 131,017 | ||||||||
300,000 | 5.00%, 11/01/2027 | 340,755 | ||||||||
750,000 | 5.25%, 12/01/2030 | 850,950 | ||||||||
100,000 | Village of Bolingbrook, IL, GO 5.00%, 01/01/2028 | 122,541 | ||||||||
|
| |||||||||
15,559,366 | ||||||||||
|
| |||||||||
Indiana - 0.2% | ||||||||||
284,698 | City of Evansville, IN 3.00%, 06/01/2034 | 291,024 | ||||||||
|
| |||||||||
Iowa - 1.1% | ||||||||||
Iowa Student Loan Liquidity Corp. |
| |||||||||
400,000 | 5.00%, 12/01/2020 | 417,484 | ||||||||
350,000 | 5.00%, 12/01/2025 | 410,347 | ||||||||
575,000 | State of Iowa, Fin Auth 5.00%, 02/15/2027 | 709,021 | ||||||||
|
| |||||||||
1,536,852 | ||||||||||
|
| |||||||||
Kentucky - 1.1% | ||||||||||
110,000 | Kentucky Bond Dev Corp. 5.00%, 09/01/2023 | 125,499 | ||||||||
100,000 | Kentucky Public Energy Auth 4.00%, 01/01/2049(2) | 110,781 | ||||||||
1,250,000 | Louisville, KY, Regional Airport Auth 5.00%, 07/01/2021 | 1,331,975 | ||||||||
|
| |||||||||
1,568,255 | ||||||||||
|
| |||||||||
Maine - 0.2% | ||||||||||
305,000 | Finance Auth of Maine 5.00%, 12/01/2021 | 328,747 | ||||||||
|
| |||||||||
Maryland - 0.9% | ||||||||||
40,000 | Maryland Health & Higher Educational Facs Auth 2.88%, 07/01/2023 | 41,635 | ||||||||
1,000,000 | State of Maryland, GO 5.00%, 03/15/2028 | 1,256,170 | ||||||||
|
| |||||||||
1,297,805 | ||||||||||
|
| |||||||||
Massachusetts - 3.1% | ||||||||||
1,500,000 | Commonwealth of Massachusetts, GO 5.00%, 01/01/2042 | 1,803,315 | ||||||||
Massachusetts Dev Finance Agency | ||||||||||
250,000 | 5.00%, 07/01/2020 | 257,818 | ||||||||
660,000 | 5.00%, 07/01/2031 | 792,443 | ||||||||
675,000 | 5.00%, 07/01/2034 | 816,136 | ||||||||
500,000 | 5.00%, 07/01/2043 | 590,445 | ||||||||
100,000 | 5.00%, 07/01/2048 | 117,695 | ||||||||
|
| |||||||||
4,377,852 | ||||||||||
|
| |||||||||
Michigan - 4.9% | ||||||||||
345,000 | City of Detroit, MI, GO 5.00%, 04/01/2022 | 366,732 | ||||||||
1,250,000 | Lincoln Park School Dist, GO 5.00%, 05/01/2032 | 1,560,862 | ||||||||
Michigan Finance Auth |
| |||||||||
1,100,000 | 5.00%, 07/01/2035 | 1,268,300 | ||||||||
500,000 | 5.00%, 11/01/2035 | 613,745 | ||||||||
Michigan State Housing Dev Auth |
| |||||||||
1,235,000 | 4.25%, 06/01/2049 | 1,353,881 | ||||||||
680,000 | 4.25%, 12/01/2049 | 748,456 | ||||||||
275,000 | New Haven Community Schools 5.00%, 05/01/2032 | 339,036 | ||||||||
500,000 | Wayne County, MI, Airport Auth Rev 5.00%, 12/01/2025 | 599,335 | ||||||||
|
| |||||||||
6,850,347 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 99.6% - (continued) | ||||||||||
Minnesota - 2.9% | ||||||||||
$ | 750,000 | Duluth, MN, Independent School Dist, No. 709 5.00%, 02/01/2022 | $ | 813,997 | ||||||
2,000,000 | Minneapolis-St Paul Housing & Redev. Auth, MN 0.77%, 08/15/2025(2) | 2,000,000 | ||||||||
1,000,000 | Minneapolis-St. Paul, MN, Metropolitan Airports Commission 5.00%, 01/01/2035 | 1,015,330 | ||||||||
200,000 | St. Francis, MN, Independent School Dist, No. 15 4.00%, 02/01/2030 | 214,590 | ||||||||
|
| |||||||||
4,043,917 | ||||||||||
|
| |||||||||
Mississippi - 1.6% | ||||||||||
750,000 | Mississippi Dev Bank, GO 5.00%, 10/01/2027 | 936,982 | ||||||||
1,000,000 | State of Mississippi 5.00%, 10/15/2029 | 1,266,400 | ||||||||
|
| |||||||||
2,203,382 | ||||||||||
|
| |||||||||
Missouri - 1.7% | ||||||||||
400,000 | City of State Louis, MO, Airport Rev 5.00%, 07/01/2031 | 496,776 | ||||||||
510,000 | Kansas City Industrial Dev Auth 5.00%, 03/01/2032 | 630,335 | ||||||||
500,000 | Kirkwood, MO, Industrial Dev Auth Retirement Community 5.25%, 05/15/2042 | 554,840 | ||||||||
650,000 | St. Louis County, MO, Industrial Dev Auth 5.00%, 09/01/2028 | 748,273 | ||||||||
|
| |||||||||
2,430,224 | ||||||||||
|
| |||||||||
Nevada - 1.5% | ||||||||||
275,000 | City of North Las Vegas, NV 4.50%, 06/01/2039 | 286,476 | ||||||||
280,000 | City of Reno, NV 5.00%, 06/01/2033 | 341,426 | ||||||||
1,000,000 | Clark County, NV, School Dist, GO 5.00%, 06/15/2026 | 1,207,580 | ||||||||
200,000 | Las Vegas, NV, New Convention Center Auth 5.00%, 07/01/2029 | 231,050 | ||||||||
|
| |||||||||
2,066,532 | ||||||||||
|
| |||||||||
New Jersey - 2.1% | ||||||||||
1,000,000 | City of Bayonne, NJ 0.00%, 07/01/2023(3) | 938,490 | ||||||||
New Jersey Economic Dev Auth |
| |||||||||
400,000 | 5.00%, 06/15/2022 | 438,088 | ||||||||
150,000 | 5.00%, 06/15/2023 | 168,711 | ||||||||
255,000 | New Jersey Educational Facs Auth 5.00%, 06/01/2020 | 262,357 | ||||||||
125,000 | New Jersey Transportation Trust Fund Auth 5.00%, 12/15/2023 | 142,461 | ||||||||
250,000 | New Jersey Turnpike Auth 4.00%, 01/01/2033 | 283,003 | ||||||||
Tobacco Settlement Financing Corp., NJ |
| |||||||||
340,000 | 5.00%, 06/01/2024 | 387,991 | ||||||||
250,000 | 5.00%, 06/01/2029 | 303,322 | ||||||||
|
| |||||||||
2,924,423 | ||||||||||
|
| |||||||||
New Mexico - 0.1% | ||||||||||
95,000 | New Mexico Mortgage Finance Auth 4.00%, 01/01/2049 | 103,319 | ||||||||
|
| |||||||||
New York - 7.8% | ||||||||||
480,000 | Metropolitan Transportation Auth, NY, Rev 5.00%, 11/15/2020 | 503,645 | ||||||||
New York City Transitional Finance Auth Future Tax Secured Rev | ||||||||||
100,000 | 4.50%, 11/01/2019 | 100,850 | ||||||||
2,000,000 | 5.00%, 08/01/2035 | 2,480,940 | ||||||||
2,000,000 | New York City, NY, Water & Sewer System 1.48%, 06/15/2050(2) | 2,000,000 | ||||||||
New York State Dormitory Auth Rev | ||||||||||
200,000 | 5.00%, 02/15/2031 | 248,362 | ||||||||
1,000,000 | 5.00%, 03/15/2035 | 1,247,070 | ||||||||
750,000 | 5.00%, 03/15/2037 | 925,740 | ||||||||
1,000,000 | 5.00%, 02/15/2038 | 1,193,000 | ||||||||
1,000,000 | 5.00%, 03/15/2048 | 1,205,210 |
The accompanying notes are an integral part of these financial statements.
| 20 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 99.6% - (continued) | ||||||||||
New York - 7.8% - (continued) | ||||||||||
$ | 390,000 | Syracuse, NY, Industrial Dev Agency 5.00%, 01/01/2031 | $ | 429,534 | ||||||
500,000 | Town of Oyster Bay, NY, GO 4.00%, 02/15/2020 | 506,380 | ||||||||
|
| |||||||||
10,840,731 | ||||||||||
|
| |||||||||
Ohio - 4.1% | ||||||||||
1,000,000 | American Municipal Power, Inc., OH 2.30%, 02/15/2038(2) | 1,018,480 | ||||||||
2,200,000 | Buckeye, OH, Tobacco Settlement Finance Auth 5.88%, 06/01/2047 | 2,158,420 | ||||||||
City of Cleveland, OH, Airport System Rev | ||||||||||
1,000,000 | 1.43%, 01/01/2024(2) | 1,000,000 | ||||||||
1,105,000 | 5.25%, 01/01/2020 | 1,123,177 | ||||||||
100,000 | Cleveland, OH, Department of Public Utilities 5.00%, 11/15/2030 | 123,440 | ||||||||
County of Lucas, OH |
| |||||||||
250,000 | 5.00%, 11/15/2019 | 252,358 | ||||||||
100,000 | 5.00%, 11/15/2020 | 104,152 | ||||||||
|
| |||||||||
5,780,027 | ||||||||||
|
| |||||||||
Oklahoma - 0.6% | ||||||||||
Oklahoma Dev Finance Auth |
| |||||||||
30,000 | 5.25%, 08/15/2048 | 35,339 | ||||||||
30,000 | 5.50%, 08/15/2057 | 35,560 | ||||||||
700,000 | Oklahoma Housing Finance Agency 5.00%, 09/01/2043 | 727,762 | ||||||||
|
| |||||||||
798,661 | ||||||||||
|
| |||||||||
Oregon - 0.5% | ||||||||||
30,000 | Benton & Linn Counties, OR, Consolidated School Dist No. 509J & 509A Corvallis 5.00%, 06/15/2038 | 35,292 | ||||||||
100,000 | Clackamas County, OR, Hospital Facs Auth 2.60%, 11/15/2023 | 100,030 | ||||||||
20,000 | Marion County, OR, School Dist No. 15 North Marion 0.00%, 06/15/2037(3) | 10,694 | ||||||||
115,000 | Multnomah & Clackamas Counties, OR, School Dist No. 10JT Gresham-Barlow 0.00%, 06/15/2038(3) | 62,429 | ||||||||
Salem Hospital Facs Auth, OR | ||||||||||
40,000 | 5.00%, 05/15/2038 | 46,104 | ||||||||
30,000 | 5.00%, 05/15/2048 | 34,199 | ||||||||
110,000 | State of Oregon Housing & Community Services Department 4.50%, 01/01/2049 | 120,760 | ||||||||
190,000 | State of Oregon, GO 4.00%, 12/01/2048 | 204,383 | ||||||||
100,000 | Washington Clackamas & Yamhill Counties, OR, School Dist No. 88J 0.00%, 06/15/2034(3) | 62,519 | ||||||||
|
| |||||||||
676,410 | ||||||||||
|
| |||||||||
Pennsylvania - 6.8% | ||||||||||
585,000 | Allegheny County, PA, Airport Auth 5.00%, 01/01/2026 | 628,664 | ||||||||
City of Philadelphia, PA, Airport Rev |
| |||||||||
125,000 | 5.00%, 07/01/2026 | 152,104 | ||||||||
565,000 | 5.00%, 02/01/2035 | 698,442 | ||||||||
Commonwealth Finance Auth, PA |
| |||||||||
490,000 | 5.00%, 06/01/2020 | 505,210 | ||||||||
100,000 | 5.00%, 06/01/2027 | 122,589 | ||||||||
590,000 | Erie, PA, City School Dist, GO 5.00%, 04/01/2028 | 734,373 | ||||||||
Montgomery County, PA, Industrial Dev Auth Rev | ||||||||||
230,000 | 5.00%, 12/01/2030 | 262,605 | ||||||||
240,000 | 5.00%, 12/01/2044 | 274,327 | ||||||||
100,000 | 5.00%, 12/01/2046 | 109,963 | ||||||||
1,000,000 | Pennsylvania Economic Dev Financing Auth 2.63%, 11/01/2021 | 1,022,930 | ||||||||
Pennsylvania Higher Educational Facs Auth | ||||||||||
250,000 | 5.00%, 05/01/2025 | 296,590 | ||||||||
750,000 | 5.00%, 05/01/2037 | 885,120 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 99.6% - (continued) | ||||||||||
Pennsylvania - 6.8% - (continued) | ||||||||||
$ | 445,000 | Pennsylvania Housing Finance Agency 3.10%, 04/01/2023 | $ | 454,790 | ||||||
Pennsylvania Turnpike Commission Rev | ||||||||||
150,000 | 5.00%, 12/01/2030 | 182,164 | ||||||||
1,095,000 | 5.00%, 12/01/2032 | 1,342,700 | ||||||||
750,000 | 5.00%, 12/01/2034 | 896,715 | ||||||||
95,000 | 5.00%, 12/01/2037 | 104,175 | ||||||||
265,000 | Pittsburgh Water & Sewer Auth 5.00%, 09/01/2034 | 330,860 | ||||||||
375,000 | Wilkes-Barre Area, PA, School Dist 5.00%, 04/15/2059 | 439,924 | ||||||||
|
| |||||||||
9,444,245 | ||||||||||
|
| |||||||||
Puerto Rico - 0.5% | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev | ||||||||||
675,000 | 0.00%, 07/01/2051(3) | 114,217 | ||||||||
625,000 | 5.00%, 07/01/2058 | 624,969 | ||||||||
|
| |||||||||
739,186 | ||||||||||
|
| |||||||||
Rhode Island - 0.2% | ||||||||||
200,000 | Rhode Island Student Loan Auth 5.00%, 12/01/2027 | 243,038 | ||||||||
|
| |||||||||
South Carolina - 1.7% | ||||||||||
390,000 | SCAGO Educational Facs Corp. for Pickens School Dist, SC 5.00%, 12/01/2029 | 457,564 | ||||||||
1,000,000 | South Carolina Jobs-Economic Dev Auth 5.00%, 05/01/2028 | 1,255,620 | ||||||||
South Carolina State Public Service Auth | ||||||||||
500,000 | 5.00%, 12/01/2034 | 570,710 | ||||||||
125,000 | 5.00%, 12/01/2050 | 140,897 | ||||||||
|
| |||||||||
2,424,791 | ||||||||||
|
| |||||||||
South Dakota - 0.8% | ||||||||||
1,000,000 | South Dakota Housing Dev Auth 4.50%, 11/01/2048 | 1,109,770 | ||||||||
|
| |||||||||
Tennessee - 1.5% | ||||||||||
125,000 | Metropolitan Nashville Airport Auth 5.00%, 07/01/2027 | 146,888 | ||||||||
Tennessee Energy Acquisition Corp. | ||||||||||
500,000 | 5.00%, 02/01/2022 | 538,955 | ||||||||
300,000 | 5.00%, 02/01/2023 | 331,734 | ||||||||
295,000 | 5.00%, 02/01/2025 | 340,268 | ||||||||
455,000 | 5.00%, 02/01/2027 | 541,591 | ||||||||
165,000 | Tennessee Housing Dev Agency 4.00%, 01/01/2049 | 178,967 | ||||||||
|
| |||||||||
2,078,403 | ||||||||||
|
| |||||||||
Texas - 10.5% | ||||||||||
1,125,000 | Arlington, TX, Independent School Dist 5.00%, 02/15/2028 | 1,363,511 | ||||||||
405,000 | Austin, TX, Independent School Dist 4.00%, 08/01/2033 | 468,767 | ||||||||
750,000 | City of Houston, TX 0.00%, 09/01/2025(3) | 675,495 | ||||||||
65,000 | City of Houston, TX Combined Utility System Rev 5.00%, 05/15/2026 | 75,840 | ||||||||
1,385,000 | City of San Antonio, TX, Electric & Gas Systems Rev 5.00%, 02/01/2028 | 1,710,877 | ||||||||
1,650,000 | Frenship Independent School Dist, GO 4.00%, 02/15/2020 | 1,675,855 | ||||||||
100,000 | Harris County - Houston, TX, Sports Auth 5.00%, 11/15/2020 | 104,663 | ||||||||
1,370,000 | Keller, TX, Independent School Dist 5.00%, 02/15/2022 | 1,502,671 | ||||||||
100,000 | Kerrville, TX, Health Facs Dev Corp. 5.00%, 08/15/2024 | 116,112 | ||||||||
500,000 | New Hope, TX, Cultural Education Facs Finance Corp. 5.00%, 11/01/2046 | 531,480 |
The accompanying notes are an integral part of these financial statements.
| 21 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 99.6% - (continued) | ||||||||||
Texas - 10.5% - (continued) | ||||||||||
$ | 1,720,000 | North East Texas Independent School Dist 5.00%, 02/01/2020 | $ | 1,753,523 | ||||||
300,000 | North East Texas Regional Mobility Auth 5.00%, 01/01/2021 | 313,110 | ||||||||
North Texas Tollway Auth Rev |
| |||||||||
225,000 | 5.00%, 01/01/2048 | 265,199 | ||||||||
70,000 | 6.25%, 02/01/2023 | 71,599 | ||||||||
1,000,000 | Rockwall, TX, Independent School Dist 5.00%, 02/15/2028 | 1,270,830 | ||||||||
1,500,000 | Texas Municipal Gas Acquisition & Supply Corp. Rev 5.00%, 12/15/2019 | 1,519,350 | ||||||||
200,000 | Texas Transportation Commission 0.00%, 08/01/2038(3) | 93,542 | ||||||||
1,000,000 | Wylie, TX, Independent School Dist 4.00%, 08/15/2035 | 1,151,550 | ||||||||
|
| |||||||||
14,663,974 | ||||||||||
|
| |||||||||
Utah - 2.6% | ||||||||||
1,000,000 | Salt Lake City, UT, Corp. Airport Rev 5.00%, 07/01/2029 | 1,246,250 | ||||||||
590,000 | Salt Lake County, UT 5.13%, 02/15/2033 | 703,174 | ||||||||
1,250,000 | Utah Transit Auth 5.25%, 06/15/2029 | 1,640,937 | ||||||||
|
| |||||||||
3,590,361 | ||||||||||
|
| |||||||||
Virginia - 0.9% | ||||||||||
1,295,000 | Virginia College Building Auth 5.00%, 02/01/2020 | 1,320,304 | ||||||||
|
| |||||||||
Washington - 1.3% | ||||||||||
Port of Seattle, WA |
| |||||||||
1,000,000 | 5.00%, 06/01/2030 | 1,030,110 | ||||||||
500,000 | 5.00%, 05/01/2036 | 590,910 | ||||||||
160,000 | 5.50%, 09/01/2020 | 167,363 | ||||||||
|
| |||||||||
1,788,383 | ||||||||||
|
| |||||||||
West Virginia - 0.3% | ||||||||||
390,000 | West Virginia State Economic Dev Auth 2.55%, 03/01/2040(2) | 400,553 | ||||||||
|
| |||||||||
Wisconsin - 3.1% | ||||||||||
Public Finance Auth, WI |
| |||||||||
100,000 | 5.00%, 09/01/2025(1) | 110,746 | ||||||||
1,000,000 | 5.00%, 07/01/2036 | 1,188,980 | ||||||||
100,000 | 5.00%, 10/01/2043(1) | 110,080 | ||||||||
465,000 | 5.00%, 10/01/2044 | 551,546 | ||||||||
700,000 | 5.00%, 10/01/2048(1) | 768,509 | ||||||||
1,000,000 | Univ. of Wisconsin Hospitals & Clinics 5.00%, 04/01/2030 | 1,251,710 | ||||||||
400,000 | Wisconsin Health & Educational Facs Auth 5.00%, 11/15/2033 | 404,052 | ||||||||
|
| |||||||||
4,385,623 | ||||||||||
|
| |||||||||
Total Municipal Bonds | $ | 139,241,621 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SHORT-TERM INVESTMENTS - 1.0% | ||||||||||
Other Investment Pools & Funds - 1.0% | ||||||||||
1,332,359 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.25%(4) | $ | 1,332,359 | |||||||
|
| |||||||||
Total Short-Term Investments | $ | 1,332,359 | ||||||||
|
|
Total Investments | 100.6 | % | $ | 140,573,980 | ||||||||||
Other Assets & Liabilities | (0.6 | )% | (801,115 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 139,772,865 | ||||||||||
|
|
|
|
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. |
See “Glossary” for abbreviation descriptions. |
(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 July 31, 2019, the aggregate value of these securities was $2,857,792, representing 2.0% 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) | Security is azero-coupon bond. |
(4) | Current yield as of period end. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Municipal Bonds | $ | 139,241,621 | $ | — | $ | 139,241,621 | $ | — | ||||||||
Short-Term Investments | 1,332,359 | 1,332,359 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 140,573,980 | $ | 1,332,359 | $ | 139,241,621 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | For the year ended July 31, 2019, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
| 22 |
|
Hartford SchrodersTax-Aware Bond ETF |
Schedule of Investments
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 15.3% | ||||||||||
Agriculture - 0.4% | ||||||||||
$ | 93,000 | Altria Group, Inc. 3.80%, 02/14/2024 | $ | 96,817 | ||||||
|
| |||||||||
Commercial Banks - 9.9% | ||||||||||
235,000 | Bank of Nova Scotia 2.38%, 01/18/2023 | 235,174 | ||||||||
408,000 | Canadian Imperial Bank of Commerce 2.61%, 07/22/2023, (2.61% fixed rate until 07/22/2022; 3 mo. USD LIBOR + 0.785% thereafter)(1) | 407,766 | ||||||||
114,000 | Fifth Third Bancorp 3.65%, 01/25/2024 | 119,311 | ||||||||
200,000 | HSBC Holdings plc 3.97%, 05/22/2030, (3.97% fixed rate until 05/22/2029; 3 mo. USD LIBOR + 1.610% thereafter)(1) | 209,257 | ||||||||
265,000 | PNC Financial Services Group, Inc. 3.50%, 01/23/2024 | 277,318 | ||||||||
125,000 | Regions Financial Corp. 3.80%, 08/14/2023 | 130,930 | ||||||||
430,000 | Royal Bank of Canada 2.80%, 04/29/2022 | 434,685 | ||||||||
240,000 | SunTrust Bank 2.80%, 05/17/2022 | 242,437 | ||||||||
437,000 | Toronto-Dominion Bank 2.65%, 06/12/2024 | 440,449 | ||||||||
193,000 | Wells Fargo & Co. 3.75%, 01/24/2024 | 202,221 | ||||||||
|
| |||||||||
2,699,548 | ||||||||||
|
| |||||||||
Healthcare - Services - 0.8% | ||||||||||
220,000 | UnitedHealth Group, Inc. 2.38%, 08/15/2024 | 219,942 | ||||||||
|
| |||||||||
Pharmaceuticals - 1.2% | ||||||||||
320,000 | Bristol-Myers Squibb Co. 2.90%, 07/26/2024(2) | 327,231 | ||||||||
|
| |||||||||
Real Estate Investment Trusts - 1.8% | ||||||||||
221,000 | Boston Properties L.P. 3.40%, 06/21/2029 | 227,066 | ||||||||
115,000 | ERP Operating L.P. 3.00%, 07/01/2029 | 116,642 | ||||||||
145,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 143,797 | ||||||||
|
| |||||||||
487,505 | ||||||||||
|
| |||||||||
Retail - 1.2% | ||||||||||
130,000 | Home Depot, Inc. 2.95%, 06/15/2029 | 132,946 | ||||||||
201,000 | Walmart, Inc. 2.85%, 07/08/2024 | 206,680 | ||||||||
|
| |||||||||
339,626 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 4,170,669 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 57.8% | ||||||||||
California - 6.0% | ||||||||||
$ | 600,000 | City & County of San Francisco, CA 1.34%, 07/01/2057(3) | $ | 600,000 | ||||||
135,000 | MSR Public Power Agency, CA 6.00%, 07/01/2022 | 148,574 | ||||||||
130,000 | Pasadena, CA, Independent School Dist, GO 1.45%, 02/01/2035(3) | 130,000 | ||||||||
745,000 | Southern California Metropolitan Water Dist 1.00%, 07/01/2035(3) | 745,000 | ||||||||
|
| |||||||||
1,623,574 | ||||||||||
|
| |||||||||
Connecticut - 1.1% | ||||||||||
275,000 | Connecticut Housing Finance Auth 4.25%, 05/15/2042 | 301,714 | ||||||||
|
| |||||||||
District of Columbia - 2.2% | ||||||||||
505,000 | Dist of Columbia, GO 5.00%, 06/01/2036 | 612,413 | ||||||||
|
| |||||||||
Florida - 0.4% | ||||||||||
95,000 | Florida Housing Finance Corp. 4.00%, 07/01/2049 | 103,370 | ||||||||
|
| |||||||||
Georgia - 1.3% | ||||||||||
335,000 | Main Street, GA, Natural Gas, Inc. 4.00%, 08/01/2048(3) | 367,153 | ||||||||
|
| |||||||||
Illinois - 2.5% | ||||||||||
65,000 | Chicago, IL, Metropolitan Water Reclamation Dist, GO 5.25%, 12/01/2032 | 85,036 | ||||||||
160,000 | Illinois Housing Dev Auth 4.50%, 10/01/2048 | 177,171 | ||||||||
175,000 | Railsplitter, IL, Tobacco Settlement Auth 5.00%, 06/01/2027 | 210,171 | ||||||||
195,000 | State of Illinois, GO 5.00%, 11/01/2028 | 220,280 | ||||||||
|
| |||||||||
692,658 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 57.8% - (continued) | ||||||||||
Indiana - 2.2% | ||||||||||
$ | 500,000 | Indiana Finance Auth 1.40%, 12/01/2031(3) | $ | 500,000 | ||||||
100,000 | Indiana Housing & Community Dev Auth 4.00%, 07/01/2048 | 108,622 | ||||||||
|
| |||||||||
608,622 | ||||||||||
|
| |||||||||
Iowa - 0.3% | ||||||||||
80,000 | Iowa Finance Auth 4.00%, 07/01/2048 | 87,045 | ||||||||
|
| |||||||||
Kentucky - 3.3% | ||||||||||
600,000 | Kentucky Public Energy Auth 4.00%, 12/01/2049(3) | 664,314 | ||||||||
Kentucky State Property & Building Commission |
| |||||||||
60,000 | 5.00%, 05/01/2024 | 69,491 | ||||||||
105,000 | 5.00%, 08/01/2024 | 122,193 | ||||||||
40,000 | 5.00%, 05/01/2025 | 47,237 | ||||||||
|
| |||||||||
903,235 | ||||||||||
|
| |||||||||
Louisiana - 0.2% | ||||||||||
40,000 | Louisiana Housing Corp. 4.50%, 12/01/2047 | 44,331 | ||||||||
|
| |||||||||
Maine - 0.8% | ||||||||||
195,000 | Maine State Housing Auth 4.00%, 11/15/2048 | 212,244 | ||||||||
|
| |||||||||
Maryland - 3.2% | ||||||||||
205,000 | Maryland Community Dev Administration 4.50%, 09/01/2048 | 227,384 | ||||||||
650,000 | Maryland Health & Higher Educational Facs Auth 1.35%, 07/01/2034(3) | 650,000 | ||||||||
|
| |||||||||
877,384 | ||||||||||
|
| |||||||||
Massachusetts - 4.7% | ||||||||||
Massachusetts Educational Financing Auth |
| |||||||||
60,000 | 3.17%, 07/01/2025 | 62,247 | ||||||||
45,000 | 3.27%, 07/01/2026 | 47,126 | ||||||||
50,000 | 3.38%, 07/01/2027 | 52,704 | ||||||||
55,000 | 3.46%, 07/01/2028 | 58,225 | ||||||||
45,000 | 3.51%, 07/01/2029 | 47,639 | ||||||||
800,000 | Massachusetts Health & Educational Facs Auth 1.37%, 07/01/2027(3) | 800,000 | ||||||||
210,000 | Massachusetts Water Resource Auth 1.43%, 08/01/2037(3) | 210,000 | ||||||||
|
| |||||||||
1,277,941 | ||||||||||
|
| |||||||||
Minnesota - 0.5% | ||||||||||
145,000 | Coon Rapids, MN, Multi-family Housing Auth Rev 2.20%, 04/01/2021(3) | 145,783 | ||||||||
|
| |||||||||
Missouri - 1.6% | ||||||||||
Missouri Housing Dev Commission |
| |||||||||
210,000 | 4.25%, 05/01/2049 | 231,609 | ||||||||
175,000 | 4.75%, 05/01/2049 | 196,663 | ||||||||
|
| |||||||||
428,272 | ||||||||||
|
| |||||||||
Nebraska - 0.5% | ||||||||||
130,000 | Nebraska Investment Finance Auth Rev 4.00%, 09/01/2048 | 141,167 | ||||||||
|
| |||||||||
Nevada - 0.6% | ||||||||||
155,000 | Nevada Housing Division 4.00%, 10/01/2049 | 171,475 | ||||||||
|
| |||||||||
New Jersey - 2.7% | ||||||||||
New Jersey Economic Dev Auth |
| |||||||||
160,000 | 5.00%, 03/01/2026 | 175,578 | ||||||||
90,000 | 5.00%, 11/01/2026 | 107,316 | ||||||||
New Jersey Transportation Trust Fund Auth |
| |||||||||
40,000 | 5.00%, 06/15/2024 | 46,334 | ||||||||
150,000 | 5.00%, 12/15/2028 | 182,143 | ||||||||
175,000 | Tobacco Settlement Financing Corp., NJ 5.00%, 06/01/2029 | 212,326 | ||||||||
|
| |||||||||
723,697 | ||||||||||
|
| |||||||||
New Mexico - 0.4% | ||||||||||
105,000 | New Mexico Mortgage Finance Auth 4.00%, 01/01/2049 | 114,461 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 23 |
|
Hartford SchrodersTax-Aware Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 57.8% - (continued) | ||||||||||
New York - 2.4% | ||||||||||
$ | 655,000 | City of New York, NY 1.44%, 04/01/2042(3) | $ | 655,000 | ||||||
|
| |||||||||
North Carolina - 2.8% | ||||||||||
770,000 | Charlotte, NC, Water & Sewer System Rev 1.39%, 07/01/2036(3) | 770,000 | ||||||||
|
| |||||||||
Ohio - 1.3% | ||||||||||
175,000 | Ohio Housing Finance Agency 4.50%, 09/01/2048 | 194,152 | ||||||||
295,000 | Ohio Turnpike & Infrastructure Commission 0.00%, 02/15/2041(4) | 152,158 | ||||||||
|
| |||||||||
346,310 | ||||||||||
|
| |||||||||
Pennsylvania - 0.5% | ||||||||||
110,000 | Geisinger, PA, Health System Auth 5.00%, 02/15/2032 | 132,157 | ||||||||
|
| |||||||||
Rhode Island - 0.9% | ||||||||||
215,000 | Rhode Island Housing & Mortgage Finance Corp. 4.00%, 10/01/2048 | 233,957 | ||||||||
|
| |||||||||
South Carolina - 2.4% | ||||||||||
590,000 | Patriots Energy Group Financing Agency, SC 4.00%, 10/01/2048(3) | 648,257 | ||||||||
10,000 | Tobacco Settlement Revenue Mgmt Auth, SC 6.38%, 05/15/2030 | 14,146 | ||||||||
|
| |||||||||
662,403 | ||||||||||
|
| |||||||||
Tennessee - 0.7% | ||||||||||
25,000 | Metropolitan Gov’t Nashville & Davidson County, TN Health & Educational Facs Bd 4.88%, 11/01/2028 | 29,131 | ||||||||
135,000 | Tennessee Housing Dev Agency 4.50%, 07/01/2049 | 149,488 | ||||||||
|
| |||||||||
178,619 | ||||||||||
|
| |||||||||
Texas - 5.8% | ||||||||||
70,000 | Bexar County, TX, Hospital Dist, GO 5.00%, 02/15/2030 | 87,896 | ||||||||
505,000 | Harris County, TX, GO 5.00%, 10/01/2038 | 612,237 | ||||||||
Texas Department of Housing & Community Affairs |
| |||||||||
130,000 | 4.00%, 03/01/2050 | 145,112 | ||||||||
105,000 | 4.75%, 03/01/2049 | 116,926 | ||||||||
495,000 | University of Texas, Permanent University Fund 5.00%, 07/01/2027 | 610,954 | ||||||||
|
| |||||||||
1,573,125 | ||||||||||
|
| |||||||||
Virginia - 4.7% | ||||||||||
490,000 | Fairfax County, VA, Water Auth 5.00%, 04/01/2029 | 617,233 | ||||||||
650,000 | Virginia Small Business Financing Auth 1.42%, 07/01/2042(3) | 650,000 | ||||||||
|
| |||||||||
1,267,233 | ||||||||||
|
| |||||||||
Washington - 1.2% | ||||||||||
290,000 | Washington State Housing Finance Commission 4.00%, 12/01/2048 | 315,694 | ||||||||
|
| |||||||||
Wyoming - 0.6% | ||||||||||
140,000 | Wyoming Community Dev Auth 4.00%, 06/01/2043 | 151,851 | ||||||||
|
| |||||||||
Total Municipal Bonds | $ | 15,722,888 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 15.7% | ||||||||||
Mortgage-Backed Agencies - 15.7% | ||||||||||
FHLMC - 4.4% | ||||||||||
$ | 405,478 | 3.50%, 03/01/2048 | $ | 417,799 | ||||||
333,366 | 3.50%, 01/01/2047 | 349,155 | ||||||||
437,041 | 3.00%, 06/01/2049 | 441,168 | ||||||||
|
| |||||||||
1,208,122 | ||||||||||
|
| |||||||||
FNMA - 7.1% | ||||||||||
680,952 | 3.50%, 11/01/2047 | 701,116 | ||||||||
402,241 | 3.50%, 12/01/2047 | 414,675 | ||||||||
378,248 | 4.00%, 12/01/2047 | 395,230 |
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 15.7% - (continued) | ||||||||||
Mortgage-Backed Agencies - 15.7% - (continued) | ||||||||||
FNMA - 7.1% - (continued) | ||||||||||
$ | 416,316 | 3.50%, 11/01/2048 | $ | 425,707 | ||||||
|
| |||||||||
1,936,728 | ||||||||||
|
| |||||||||
GNMA - 4.2% | ||||||||||
369,662 | 4.00%, 10/20/2048 | 384,069 | ||||||||
398,467 | 3.50%, 04/20/2043 | 413,073 | ||||||||
328,492 | 4.00%, 05/20/2049 | 341,497 | ||||||||
|
| |||||||||
1,138,639 | ||||||||||
|
| |||||||||
4,283,489 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 4,283,489 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 10.4% | ||||||||||
U.S. Treasury Securities - 10.4% | ||||||||||
U.S. Treasury Notes - 10.4% | ||||||||||
$ | 483,959 | 0.75%, 07/15/2028(5) | $ | 504,975 | ||||||
475,000 | 1.75%, 06/15/2022 | 473,905 | ||||||||
694,000 | 2.38%, 02/29/2024 | 710,103 | ||||||||
207,000 | 2.38%, 05/15/2029 | 213,469 | ||||||||
886,000 | 2.75%, 02/15/2028 | 939,022 | ||||||||
|
| |||||||||
2,841,474 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 2,841,474 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 27,018,520 | ||||||||
|
| |||||||||
SHORT-TERMINVESTMENTS - 1.6% | ||||||||||
Other Investment Pools &Funds - 1.6% | ||||||||||
431,612 | Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 1.99%(6) | $ | 431,612 | |||||||
|
| |||||||||
Total Short-Term Investments | $ | 431,612 | ||||||||
|
|
Total Investments | 100.8 | % | $ | 27,450,132 | ||||||||||
Other Assets & Liabilities | (0.8 | )% | (220,271 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 27,229,861 | ||||||||||
|
|
|
|
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. |
See “Glossary” for abbreviation descriptions. |
(1) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2019. Rate will reset at a future date as disclosed. |
(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 July 31, 2019, the aggregate value of this security was $327,231, representing 1.2% 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. |
The accompanying notes are an integral part of these financial statements.
| 24 |
|
Hartford SchrodersTax-Aware Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
(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. |
Futures Contracts Outstanding at July 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 | 09/19/2019 | $ | 382,266 | $ | (6,736 | ) | |||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (6,736 | ) | ||||||||||||
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets | ||||||||||||||||
Corporate Bonds | $ | 4,170,669 | $ | — | $ | 4,170,669 | $ | — | ||||||||
Municipal Bonds | 15,722,888 | — | 15,722,888 | — | ||||||||||||
U.S. Government Agencies | 4,283,489 | — | 4,283,489 | — | ||||||||||||
U.S. Government Securities | 2,841,474 | — | 2,841,474 | — | ||||||||||||
Short-Term Investments | 431,612 | 431,612 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 27,450,132 | $ | 431,612 | $ | 27,018,520 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Futures Contracts(2) | $ | (6,736 | ) | $ | (6,736 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (6,736 | ) | $ | (6,736 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For the year ended July 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.
| 25 |
|
Hartford Short Duration ETF |
Schedule of Investments
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKEDSECURITIES - 11.3% | ||||||||||
Asset-Backed - Automobile - 0.3% | ||||||||||
$ | 335,895 | Chesapeake Funding LLC 3.39%, 01/15/2031(1) | $ | 340,393 | ||||||
|
| |||||||||
Asset-Backed - Finance & Insurance - 2.8% | ||||||||||
280,000 | DB Master Finance LLC 3.79%, 05/20/2049(1) | 286,524 | ||||||||
129,003 | Finance of America Structured Securities Trust 3.38%, 09/25/2028(1)(2) | 129,321 | ||||||||
83,778 | NRZ Excess Spread-Collateralized Notes 3.19%, 01/25/2023(1) | 84,001 | ||||||||
287,409 | OBX Trust 4.00%, 11/25/2048(1)(2) | 294,634 | ||||||||
297,750 | Planet Fitness Master Issuer LLC 4.26%, 09/05/2048(1) | 305,885 | ||||||||
Regional Management Issuance Trust |
| |||||||||
100,000 | 3.83%, 07/15/2027(1) | 100,358 | ||||||||
275,000 | 4.56%, 01/18/2028(1) | 280,778 | ||||||||
54,539 | SoFi Consumer Loan Program LLC 3.28%, 01/26/2026(1) | 54,878 | ||||||||
208,008 | Symphony CLO Ltd. 3.58%, 07/14/2026, 3 mo. USD LIBOR + 1.280%(1)(3) | 208,176 | ||||||||
Towd Point Mortgage Trust |
| |||||||||
295,211 | 2.75%, 10/25/2057(1)(2) | 295,771 | ||||||||
83,913 | 3.75%, 05/25/2058(1)(2) | 86,602 | ||||||||
Vantage Data Centers Issuer LLC |
| |||||||||
225,000 | 3.19%, 07/15/2044 | 225,000 | ||||||||
337,733 | 4.20%, 11/16/2043(1) | 347,310 | ||||||||
339,150 | Wingstop Funding LLC 4.97%, 12/05/2048(1) | 351,271 | ||||||||
|
| |||||||||
3,050,509 | ||||||||||
|
| |||||||||
Collateralized - Mortgage Obligations - 0.5% | ||||||||||
480,000 | FREMF Mortgage Trust 3.31%, 05/25/2045(1)(2) | 479,713 | ||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities - 0.4% | ||||||||||
436,316 | New Residential Mortgage Loan Trust 3.99%, 11/25/2048(1)(2) | 440,607 | ||||||||
|
| |||||||||
Other ABS - 1.5% | ||||||||||
243,708 | Barings BDC Static CLO Ltd. 3.32%, 04/15/2027, 3 mo. USD LIBOR + 1.020%(1)(3) | 243,787 | ||||||||
132,329 | Finance of America Structured Securities Trust 3.28%, 04/25/2029(1)(2) | 132,536 | ||||||||
681,575 | Taco Bell Funding LLC 4.32%, 11/25/2048(1) | 702,792 | ||||||||
348,671 | Towd Point Mortgage Trust 3.25%, 07/25/2058(1)(2) | 352,531 | ||||||||
147,030 | VOLT LXX LLC 4.12%, 09/25/2048(1)(4) | 147,208 | ||||||||
99,684 | VOLT LXXI LLC 3.97%, 09/25/2048(1)(4) | 99,887 | ||||||||
|
| |||||||||
1,678,741 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 5.8% | ||||||||||
Angel Oak Mortgage Trust LLC |
| |||||||||
430,000 | 2.99%, 07/26/2049(1)(2) | 429,995 | ||||||||
70,002 | 3.67%, 07/27/2048(1)(2) | 70,711 | ||||||||
490,000 | Arroyo Mortgage Trust 2.96%, 10/25/2048(1)(2) | 489,523 | ||||||||
418,000 | Bellemeade Re Ltd. 3.47%, 10/25/2027, 1 mo. USD LIBOR + 1.200%(1)(3) | 417,999 | ||||||||
118,350 | Bunker Hill Loan Depositary Trust 3.61%, 10/26/2048(1)(4) | 119,524 | ||||||||
250,000 | Colombia Cent CLO Ltd. 3.43%, 10/25/2028, 3 mo. USD LIBOR + 1.150%(1)(3) | 250,142 | ||||||||
COLT Mortgage Loan Trust |
| |||||||||
214,419 | 2.76%, 08/25/2049(1)(2) | 214,121 | ||||||||
49,151 | 3.47%, 07/27/2048(1)(2) | 49,222 | ||||||||
80,633 | 3.69%, 10/26/2048(1)(2) | 81,331 | ||||||||
410,965 | 4.01%, 12/28/2048(1)(2) | 417,199 | ||||||||
188,725 | CSMC Trust 4.13%, 07/25/2058(1)(2) | 190,209 | ||||||||
332,618 | Deephaven Residential Mortgage Trust 3.79%, 08/25/2058(1)(2) | 336,202 | ||||||||
199,340 | Flagstar Mortgage Trust 4.00%, 09/25/2048 | 202,149 | ||||||||
200,000 | Home Re Ltd. 3.87%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(3) | 199,689 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKEDSECURITIES - 11.3% - (continued) | ||||||||||
Whole Loan Collateral CMO - 5.8% - (continued) | ||||||||||
$ | 119,798 | LSTAR Securities Investment Trust 3.90%, 04/01/2024, 1 mo. USD LIBOR + 1.500%(1)(3) | $ | 119,750 | ||||||
Mill City Mortgage Loan Trust |
| |||||||||
80,857 | 3.25%, 05/25/2062(1)(2) | 81,750 | ||||||||
80,437 | 3.50%, 05/25/2058(1)(2) | 81,721 | ||||||||
271,684 | 3.50%, 08/25/2058(1)(2) | 277,130 | ||||||||
75,266 | New Residential Mortgage LLC 3.79%, 07/25/2054(1) | 76,074 | ||||||||
New Residential Mortgage Loan Trust |
| |||||||||
397,401 | 3.02%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | 396,579 | ||||||||
430,146 | 4.00%, 02/25/2057(1)(2) | 444,487 | ||||||||
151,128 | 4.00%, 09/25/2057(1)(2) | 154,509 | ||||||||
470,000 | NRZ Advance Receivables Trust 2.59%, 07/15/2052(1) | 469,947 | ||||||||
Sequoia Mortgage Trust |
| |||||||||
77,104 | 4.00%, 09/25/2048(1)(2) | 78,574 | ||||||||
69,764 | 4.50%, 08/25/2048(1)(2) | 72,103 | ||||||||
246,320 | Spruce Hill Mortgage Loan Trust 3.40%, 04/29/2049 | 248,389 | ||||||||
66,693 | Verus Securitization Trust 3.68%, 06/01/2058(1)(2) | 67,293 | ||||||||
356,184 | Wells Fargo Mortgage Backed Securities Trust 4.00%, 04/25/2049(1)(2) | 363,530 | ||||||||
|
| |||||||||
6,399,852 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage Backed Securities | $ | 12,389,815 | ||||||||
|
| |||||||||
CORPORATE BONDS - 58.5% | ||||||||||
Aerospace/Defense - 0.6% | ||||||||||
$ | 300,000 | L3Harris Technologies, Inc. 3.85%, 06/15/2023(1) | $ | 313,573 | ||||||
350,000 | United Technologies Corp. 3.65%, 08/16/2023 | 366,633 | ||||||||
|
| |||||||||
680,206 | ||||||||||
|
| |||||||||
Agriculture - 0.5% | ||||||||||
250,000 | Altria Group, Inc. 3.49%, 02/14/2022 | 255,338 | ||||||||
300,000 | Reynolds American, Inc. 3.25%, 06/12/2020 | 301,560 | ||||||||
|
| |||||||||
556,898 | ||||||||||
|
| |||||||||
Auto Manufacturers - 1.5% | ||||||||||
150,000 | Daimler Finance North America LLC 2.25%, 09/03/2019(1) | 149,953 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||
275,000 | 3.35%, 11/01/2022(5) | 274,723 | ||||||||
250,000 | 8.13%, 01/15/2020 | 256,052 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||
125,000 | 3.15%, 06/30/2022 | 125,952 | ||||||||
200,000 | 3.45%, 04/10/2022 | 202,560 | ||||||||
75,000 | Harley-Davidson Financial Services, Inc. 3.55%, 05/21/2021(1) | 75,958 | ||||||||
Hyundai Capital America |
| |||||||||
100,000 | 2.60%, 03/19/2020(1) | 99,984 | ||||||||
50,000 | 4.13%, 06/08/2023(1) | 52,033 | ||||||||
400,000 | Volkswagen Group of America Finance LLC 4.25%, 11/13/2023(1) | 424,807 | ||||||||
|
| |||||||||
1,662,022 | ||||||||||
|
| |||||||||
Beverages - 0.8% | ||||||||||
150,000 | Anheuser-Busch InBev Worldwide, Inc. 4.15%, 01/23/2025 | 161,453 | ||||||||
Constellation Brands, Inc. |
| |||||||||
175,000 | 2.65%, 11/07/2022 | 175,653 | ||||||||
100,000 | 2.70%, 05/09/2022 | 100,310 | ||||||||
100,000 | 3.20%, 02/15/2023 | 102,061 | ||||||||
300,000 | Molson Coors Brewing Co. 2.10%, 07/15/2021 | 298,222 | ||||||||
|
| |||||||||
837,699 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 26 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 58.5% - (continued) | ||||||||||
Biotechnology - 0.1% | ||||||||||
$ | 150,000 | Celgene Corp. 2.88%, 02/19/2021 | $ | 150,748 | ||||||
|
| |||||||||
Chemicals - 1.7% | ||||||||||
Celanese U.S. Holdings LLC |
| |||||||||
80,000 | 3.50%, 05/08/2024 | 82,168 | ||||||||
280,000 | 4.63%, 11/15/2022 | 295,954 | ||||||||
425,000 | DuPont de Nemours, Inc. 4.21%, 11/15/2023 | 452,428 | ||||||||
450,000 | Eastman Chemical Co. 3.50%, 12/01/2021 | 458,754 | ||||||||
225,000 | International Flavors & Fragrances, Inc. 3.40%, 09/25/2020 | 227,086 | ||||||||
300,000 | Sherwin-Williams Co. 4.20%, 01/15/2022 | 310,556 | ||||||||
|
| |||||||||
1,826,946 | ||||||||||
|
| |||||||||
Commercial Banks - 14.1% | ||||||||||
200,000 | ABN Amro Bank N.V. 3.40%, 08/27/2021(1) | 203,952 | ||||||||
300,000 | Bank of America Corp. 2.50%, 10/21/2022 | 300,155 | ||||||||
400,000 | Barclays plc 3.25%, 01/12/2021 | 402,358 | ||||||||
250,000 | BBVA USA 3.50%, 06/11/2021 | 254,172 | ||||||||
200,000 | BNP Paribas S.A. 3.50%, 03/01/2023(1) | 205,105 | ||||||||
BPCE S.A. |
| |||||||||
250,000 | 3.00%, 05/22/2022(1) | 252,321 | ||||||||
250,000 | 4.00%, 09/12/2023(1)(6) | 261,325 | ||||||||
250,000 | Canadian Imperial Bank of Commerce 3.50%, 09/13/2023 | 260,741 | ||||||||
Capital One Financial Corp. |
| |||||||||
200,000 | 2.50%, 05/12/2020 | 199,940 | ||||||||
200,000 | 3.05%, 03/09/2022 | 202,654 | ||||||||
CIT Group, Inc. |
| |||||||||
135,000 | 5.00%, 08/15/2022 | 143,100 | ||||||||
340,000 | 5.00%, 08/01/2023 | 364,225 | ||||||||
525,000 | Citibank NA 3.17%, 02/19/2022, (3.17% fixed rate until 02/19/2021; 3 mo. USD LIBOR + 0.530% thereafter)(7) | 530,630 | ||||||||
200,000 | Citigroup, Inc. 2.90%, 12/08/2021 | 202,257 | ||||||||
250,000 | Citizens Bank NA 3.70%, 03/29/2023 | 260,040 | ||||||||
275,000 | Citizens Financial Group, Inc. 2.38%, 07/28/2021 | 273,886 | ||||||||
300,000 | Comerica, Inc. 3.70%, 07/31/2023 | 312,655 | ||||||||
300,000 | Cooperatieve Rabobank UA 3.88%, 09/26/2023(1) | 315,368 | ||||||||
250,000 | Credit Suisse Group AG 3.57%, 01/09/2023(1) | 254,255 | ||||||||
Danske Bank A/S |
| |||||||||
200,000 | 3.88%, 09/12/2023(1) | 205,726 | ||||||||
390,000 | 5.00%, 01/12/2022(1) | 408,483 | ||||||||
100,000 | Deutsche Bank AG 4.25%, 10/14/2021 | 101,072 | ||||||||
250,000 | Discover Bank 3.10%, 06/04/2020 | 250,977 | ||||||||
350,000 | Fifth Third Bancorp 2.60%, 06/15/2022 | 352,169 | ||||||||
Goldman Sachs Group, Inc. |
| |||||||||
300,000 | 2.35%, 11/15/2021 | 298,901 | ||||||||
300,000 | 3.00%, 04/26/2022 | 302,403 | ||||||||
250,000 | 5.25%, 07/27/2021 | 263,188 | ||||||||
200,000 | 5.75%, 01/24/2022 | 215,385 | ||||||||
200,000 | HSBC Holdings plc 2.95%, 05/25/2021 | 201,532 | ||||||||
300,000 | Huntington Bancshares, Inc. 2.30%, 01/14/2022 | 298,967 | ||||||||
575,000 | ING Groep N.V. 4.10%, 10/02/2023 | 607,870 | ||||||||
200,000 | Intesa Sanpaolo S.p.A. 3.13%, 07/14/2022(1) | 199,723 | ||||||||
JP Morgan Chase & Co. |
| |||||||||
325,000 | 2.40%, 06/07/2021 | 325,344 | ||||||||
300,000 | 2.97%, 01/15/2023 | 303,834 | ||||||||
250,000 | KeyBank NA 2.40%, 06/09/2022 | 250,615 | ||||||||
225,000 | KeyCorp 5.10%, 03/24/2021 | 234,649 | ||||||||
200,000 | Macquarie Group Ltd. 3.19%, 11/28/2023, (3.19% fixed rate until 11/28/2022; 3 mo. USD LIBOR + 1.023% thereafter)(1)(7) | 203,098 | ||||||||
490,000 | Mitsubishi UFJ Financial Group, Inc. 2.62%, 07/18/2022 | 490,387 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 58.5% - (continued) | ||||||||||
Commercial Banks - 14.1% - (continued) | ||||||||||
$ | 250,000 | Mizuho Financial Group, Inc. 2.72%, 07/16/2023, (2.72% fixed rate until 07/16/2022; 3 mo. USD LIBOR + 0.840% thereafter)(7) | $ | 250,866 | ||||||
Morgan Stanley |
| |||||||||
325,000 | 2.63%, 11/17/2021 | 326,793 | ||||||||
325,000 | 2.75%, 05/19/2022 | 327,357 | ||||||||
350,000 | NatWest Markets plc 3.63%, 09/29/2022(1) | 354,793 | ||||||||
Regions Financial Corp. |
| |||||||||
200,000 | 2.75%, 08/14/2022 | 201,263 | ||||||||
250,000 | 3.20%, 02/08/2021 | 252,529 | ||||||||
525,000 | Royal Bank of Canada 3.70%, 10/05/2023 | 550,510 | ||||||||
Santander Holdings USA, Inc. |
| |||||||||
275,000 | 3.50%, 06/07/2024 | 278,723 | ||||||||
125,000 | 3.70%, 03/28/2022 | 127,697 | ||||||||
Santander UK plc |
| |||||||||
275,000 | 2.13%, 11/03/2020 | 273,418 | ||||||||
200,000 | 3.40%, 06/01/2021 | 203,124 | ||||||||
Standard Chartered plc |
| |||||||||
200,000 | 2.25%, 04/17/2020(1) | 199,392 | ||||||||
375,000 | 4.25%, 01/20/2023, (4.25% fixed rate until 01/20/2022; 3 mo. USD LIBOR + 1.150% thereafter)(1)(7) | 386,267 | ||||||||
225,000 | SunTrust Banks, Inc. 2.70%, 01/27/2022 | 226,005 | ||||||||
UniCredit S.p.A. |
| |||||||||
200,000 | 3.75%, 04/12/2022(1) | 203,476 | ||||||||
350,000 | 6.57%, 01/14/2022(1) | 374,547 | ||||||||
Wells Fargo & Co. |
| |||||||||
100,000 | 3.49%, 10/31/2023, 3 mo. USD LIBOR + 1.230%(3) | 101,866 | ||||||||
155,000 | 3.75%, 01/24/2024 | 162,405 | ||||||||
|
| |||||||||
15,514,493 | ||||||||||
|
| |||||||||
Commercial Services - 0.9% | ||||||||||
ERAC USA Finance LLC |
| |||||||||
100,000 | 2.35%, 10/15/2019(1) | 99,968 | ||||||||
280,000 | 2.60%, 12/01/2021(1) | 280,433 | ||||||||
IHS Markit Ltd. |
| |||||||||
60,000 | 4.13%, 08/01/2023 | 62,640 | ||||||||
250,000 | 5.00%, 11/01/2022(1) | 264,325 | ||||||||
300,000 | Total System Services, Inc. | 305,316 | ||||||||
|
| |||||||||
1,012,682 | ||||||||||
|
| |||||||||
Construction Materials - 0.3% | ||||||||||
350,000 | Fortune Brands Home & Security, Inc. | 367,674 | ||||||||
|
| |||||||||
Diversified Financial Services - 3.5% | ||||||||||
150,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.13%, 07/03/2023 | 156,535 | ||||||||
300,000 | AIG Global Funding 2.70%, 12/15/2021(1) | 301,488 | ||||||||
Air Lease Corp. |
| |||||||||
75,000 | 2.13%, 01/15/2020 | 74,844 | ||||||||
75,000 | 2.63%, 07/01/2022 | 74,739 | ||||||||
375,000 | 3.50%, 01/15/2022(6) | 384,133 | ||||||||
Aircastle Ltd. |
| |||||||||
420,000 | 4.40%, 09/25/2023 | 436,449 | ||||||||
165,000 | 5.13%, 03/15/2021 | 170,690 | ||||||||
250,000 | 7.63%, 04/15/2020 | 257,992 | ||||||||
325,000 | Ally Financial, Inc. 3.88%, 05/21/2024 | 335,563 | ||||||||
300,000 | CNA Financial Corp. 7.25%, 11/15/2023 | 350,329 | ||||||||
375,000 | Credit Agricole S.A. 2.38%, 07/01/2021(1) | 374,883 | ||||||||
400,000 | GE Capital International Funding Co. 2.34%, 11/15/2020 | 398,281 | ||||||||
Synchrony Financial |
| |||||||||
300,000 | 2.70%, 02/03/2020 | 299,940 | ||||||||
180,000 | 2.85%, 07/25/2022 | 180,084 | ||||||||
95,000 | 4.38%, 03/19/2024(6) | 100,036 | ||||||||
|
| |||||||||
3,895,986 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 27 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 58.5% - (continued) | ||||||||||
Electric - 3.9% | ||||||||||
$ | 175,000 | AEP Texas, Inc. 2.40%, 10/01/2022 | $ | 174,693 | ||||||
450,000 | CenterPoint Energy, Inc. 3.85%, 02/01/2024 | 470,783 | ||||||||
Dominion Energy, Inc. |
| |||||||||
125,000 | 2.75%, 01/15/2022 | 125,653 | ||||||||
200,000 | 3.07%, 08/15/2024(4)(6) | 201,760 | ||||||||
335,000 | Duquesne Light Holdings, Inc. 6.40%, 09/15/2020(1) | 347,605 | ||||||||
Edison International |
| |||||||||
200,000 | 2.40%, 09/15/2022 | 195,796 | ||||||||
250,000 | 2.95%, 03/15/2023 | 247,253 | ||||||||
250,000 | EDP Finance B.V. 5.25%, 01/14/2021(1) | 258,825 | ||||||||
50,000 | Emera U.S. Finance L.P. 2.70%, 06/15/2021 | 50,056 | ||||||||
Enel Finance International N.V. |
| |||||||||
400,000 | 2.88%, 05/25/2022(1) | 402,401 | ||||||||
250,000 | 4.25%, 09/14/2023(1) | 263,245 | ||||||||
165,000 | Eversource Energy 3.80%, 12/01/2023 | 173,725 | ||||||||
Exelon Corp. |
| |||||||||
125,000 | 3.50%, 06/01/2022 | 127,977 | ||||||||
125,000 | 5.15%, 12/01/2020 | 128,531 | ||||||||
150,000 | FirstEnergy Corp. 2.85%, 07/15/2022 | 151,443 | ||||||||
300,000 | Fortis, Inc. 2.10%, 10/04/2021 | 297,029 | ||||||||
175,000 | �� | ITC Holdings Corp. 2.70%, 11/15/2022 | 175,504 | |||||||
105,000 | Potomac Electric Power Co. 3.05%, 04/01/2022 | 107,094 | ||||||||
250,000 | Public Service Enterprise Group, Inc. 2.65%, 11/15/2022 | 251,507 | ||||||||
150,000 | Southwestern Electric Power Co. 3.55%, 02/15/2022 | 153,109 | ||||||||
|
| |||||||||
4,303,989 | ||||||||||
|
| |||||||||
Electronics - 0.2% | ||||||||||
175,000 | Keysight Technologies, Inc. 3.30%, 10/30/2019 | 175,101 | ||||||||
|
| |||||||||
Entertainment - 0.1% | ||||||||||
100,000 | Eldorado Resorts, Inc. 7.00%, 08/01/2023 | 104,500 | ||||||||
|
| |||||||||
Environmental Control - 0.4% | ||||||||||
250,000 | Republic Services, Inc. 2.50%, 08/15/2024(5) | 249,602 | ||||||||
170,000 | Waste Management, Inc. 2.95%, 06/15/2024 | 174,040 | ||||||||
|
| |||||||||
423,642 | ||||||||||
|
| |||||||||
Food - 1.7% | ||||||||||
Conagra Brands, Inc. |
| |||||||||
540,000 | 3.80%, 10/22/2021 | 554,721 | ||||||||
225,000 | 4.30%, 05/01/2024 | 238,939 | ||||||||
450,000 | Danone S.A. 3.00%, 06/15/2022(1) | 457,475 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||
150,000 | 3.50%, 07/15/2022 | 153,306 | ||||||||
65,000 | 4.00%, 06/15/2023 | 67,981 | ||||||||
50,000 | Kroger Co. 3.85%, 08/01/2023 | 52,288 | ||||||||
300,000 | Tyson Foods, Inc. 2.25%, 08/23/2021 | 298,710 | ||||||||
|
| |||||||||
1,823,420 | ||||||||||
|
| |||||||||
Forest Products & Paper - 0.1% | ||||||||||
150,000 | Georgia-Pacific LLC 5.40%, 11/01/2020(1) | 155,491 | ||||||||
|
| |||||||||
Gas - 0.1% | ||||||||||
150,000 | CenterPoint Energy Resources Corp. 4.50%, 01/15/2021 | 153,434 | ||||||||
|
| |||||||||
Healthcare - Products - 0.5% | ||||||||||
180,000 | Boston Scientific Corp. 3.45%, 03/01/2024 | 186,889 | ||||||||
250,000 | Life Technologies Corp. 5.00%, 01/15/2021 | 257,163 | ||||||||
75,000 | Thermo Fisher Scientific, Inc. 3.30%, 02/15/2022 | 76,747 | ||||||||
|
| |||||||||
520,799 | ||||||||||
|
| |||||||||
Healthcare - Services - 0.8% | ||||||||||
175,000 | Anthem, Inc. 2.95%, 12/01/2022 | 177,231 | ||||||||
Cigna Corp. |
| |||||||||
150,000 | 3.20%, 09/17/2020(1) | 151,064 | ||||||||
240,000 | 3.75%, 07/15/2023(1) | 249,270 | ||||||||
100,000 | Cigna Holding Co. 4.00%, 02/15/2022 | 103,133 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 58.5% - (continued) | ||||||||||
Healthcare - Services - 0.8% - (continued) | ||||||||||
$ | 150,000 | Laboratory Corp. of America Holdings 3.20%, 02/01/2022 | $ | 152,454 | ||||||
|
| |||||||||
833,152 | ||||||||||
|
| |||||||||
Home Builders - 0.2% | ||||||||||
175,000 | Toll Brothers Finance Corp. 5.88%, 02/15/2022 | 185,937 | ||||||||
|
| |||||||||
Household Products/Wares - 0.3% | ||||||||||
315,000 | Church & Dwight Co., Inc. 2.88%, 10/01/2022 | 318,348 | ||||||||
|
| |||||||||
Insurance - 2.3% | ||||||||||
125,000 | Assurant, Inc. 4.20%, 09/27/2023 | 129,787 | ||||||||
75,000 | Jackson National Life Global Funding 2.50%, 06/27/2022(1) | 74,961 | ||||||||
Liberty Mutual Group, Inc. |
| |||||||||
250,000 | 4.95%, 05/01/2022(1) | 263,871 | ||||||||
275,000 | 5.00%, 06/01/2021(1) | 285,811 | ||||||||
165,000 | Marsh & McLennan Cos., Inc. 3.88%, 03/15/2024 | 174,731 | ||||||||
100,000 | Principal Financial Group, Inc. 3.13%, 05/15/2023 | 101,992 | ||||||||
Protective Life Global Funding |
| |||||||||
150,000 | 2.70%, 11/25/2020(1) | 150,710 | ||||||||
150,000 | 3.40%, 06/28/2021(1) | 152,514 | ||||||||
250,000 | Reinsurance Group of America, Inc. 5.00%, 06/01/2021 | 261,121 | ||||||||
350,000 | Torchmark Corp. 7.88%, 05/15/2023 | 415,708 | ||||||||
300,000 | Unum Group 3.00%, 05/15/2021 | 301,664 | ||||||||
200,000 | Willis North America, Inc. 3.60%, 05/15/2024 | 206,813 | ||||||||
|
| |||||||||
2,519,683 | ||||||||||
|
| |||||||||
Internet - 0.2% | ||||||||||
75,000 | Netflix, Inc. 5.50%, 02/15/2022 | 79,477 | ||||||||
200,000 | Tencent Holdings Ltd. 2.99%, 01/19/2023(1) | 201,985 | ||||||||
|
| |||||||||
281,462 | ||||||||||
|
| |||||||||
Iron/Steel - 0.9% | ||||||||||
ArcelorMittal |
| |||||||||
275,000 | 5.13%, 06/01/2020 | 280,620 | ||||||||
200,000 | 6.25%, 02/25/2022 | 216,420 | ||||||||
Steel Dynamics, Inc. |
| |||||||||
250,000 | 5.13%, 10/01/2021 | 250,625 | ||||||||
250,000 | 5.25%, 04/15/2023 | 255,000 | ||||||||
|
| |||||||||
1,002,665 | ||||||||||
|
| |||||||||
IT Services - 0.8% | ||||||||||
250,000 | Hewlett Packard Enterprise Co. 3.50%, 10/05/2021 | 254,442 | ||||||||
500,000 | International Business Machines Corp. 3.00%, 05/15/2024 | 511,585 | ||||||||
100,000 | NCR Corp. 4.63%, 02/15/2021 | 100,125 | ||||||||
|
| |||||||||
866,152 | ||||||||||
|
| |||||||||
Lodging - 0.9% | ||||||||||
450,000 | Las Vegas Sands Corp. 3.20%, 08/08/2024 | 452,066 | ||||||||
225,000 | Marriott International, Inc. 2.30%, 01/15/2022 | 223,898 | ||||||||
250,000 | MGM Resorts International 6.00%, 03/15/2023 | 271,250 | ||||||||
|
| |||||||||
947,214 | ||||||||||
|
| |||||||||
Machinery - Diversified - 0.2% | ||||||||||
75,000 | CNH Industrial Capital LLC 4.38%, 11/06/2020 | 76,514 | ||||||||
100,000 | Roper Technologies, Inc. 3.65%, 09/15/2023 | 104,060 | ||||||||
|
| |||||||||
180,574 | ||||||||||
|
| |||||||||
Media - 2.1% | ||||||||||
100,000 | CBS Corp. 2.90%, 06/01/2023 | 100,607 | ||||||||
250,000 | CCO Holdings LLC / CCO Holdings Capital Corp. 5.13%, 05/01/2023(1) | 255,975 | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||||
225,000 | 3.58%, 07/23/2020 | 226,704 | ||||||||
200,000 | 4.50%, 02/01/2024 | 212,220 |
The accompanying notes are an integral part of these financial statements.
| 28 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 58.5% - (continued) | ||||||||||
Media - 2.1% - (continued) | ||||||||||
$ | 345,000 | Comcast Corp. 3.70%, 04/15/2024 | $ | 364,807 | ||||||
145,000 | Cox Communications, Inc. 2.95%, 06/30/2023(1) | 146,460 | ||||||||
Discovery Communications LLC |
| |||||||||
50,000 | 2.20%, 09/20/2019 | 49,972 | ||||||||
200,000 | 2.80%, 06/15/2020 | 200,152 | ||||||||
196,000 | 3.25%, 04/01/2023(6) | 199,461 | ||||||||
Fox Corp. |
| |||||||||
50,000 | 3.67%, 01/25/2022(1) | 51,534 | ||||||||
65,000 | 4.03%, 01/25/2024(1) | 68,833 | ||||||||
200,000 | Sky Ltd. 2.63%, 09/16/2019(1) | 199,988 | ||||||||
225,000 | Videotron Ltd. 5.00%, 07/15/2022 | 235,057 | ||||||||
|
| |||||||||
2,311,770 | ||||||||||
|
| |||||||||
Mining - 0.5% | ||||||||||
Anglo American Capital plc |
| |||||||||
200,000 | 3.75%, 04/10/2022(1) | 204,438 | ||||||||
200,000 | 4.13%, 04/15/2021(1) | 204,000 | ||||||||
100,000 | Glencore Funding LLC 3.00%, 10/27/2022(1) | 100,460 | ||||||||
|
| |||||||||
508,898 | ||||||||||
|
| |||||||||
MiscellaneousManufacturing - 0.4% | ||||||||||
150,000 | Parker-Hannifin Corp. 2.70%, 06/14/2024 | 150,931 | ||||||||
250,000 | Pentair Finance S.a.r.l. 2.65%, 12/01/2019 | 249,759 | ||||||||
|
| |||||||||
400,690 | ||||||||||
|
| |||||||||
Office/Business Equipment - 0.7% | ||||||||||
350,000 | Pitney Bowes, Inc. 3.88%, 09/15/2020 | 348,687 | ||||||||
400,000 | Xerox Corp. 2.75%, 09/01/2020(6) | 399,360 | ||||||||
|
| |||||||||
748,047 | ||||||||||
|
| |||||||||
Oil & Gas - 1.9% | ||||||||||
275,000 | Aker BP ASA 4.75%, 06/15/2024(1) | 283,250 | ||||||||
219,000 | Anadarko Petroleum Corp. 4.85%, 03/15/2021 | 225,848 | ||||||||
150,000 | Canadian Natural Resources Ltd. 3.45%, 11/15/2021 | 152,819 | ||||||||
400,000 | Cimarex Energy Co. 4.38%, 06/01/2024 | 421,551 | ||||||||
250,000 | Eni S.p.A. 4.00%, 09/12/2023(1) | 260,945 | ||||||||
100,000 | EQT Corp. 2.50%, 10/01/2020 | 99,272 | ||||||||
150,000 | Marathon Oil Corp. 2.70%, 06/01/2020 | 150,078 | ||||||||
EUR | 215,000 | Petroleos Mexicanos 3.13%, 11/27/2020(8) | 244,994 | |||||||
$ | 300,000 | Pioneer Natural Resources Co. 3.45%, 01/15/2021 | 303,851 | |||||||
|
| |||||||||
2,142,608 | ||||||||||
|
| |||||||||
Pharmaceuticals - 3.4% | ||||||||||
AbbVie, Inc. |
| |||||||||
75,000 | 2.30%, 05/14/2021 | 74,892 | ||||||||
250,000 | 3.75%, 11/14/2023 | 260,423 | ||||||||
Allergan Funding SCS |
| |||||||||
200,000 | 3.00%, 03/12/2020 | 200,426 | ||||||||
200,000 | 3.45%, 03/15/2022 | 203,739 | ||||||||
Bayer U.S. Finance LLC |
| |||||||||
200,000 | 2.38%, 10/08/2019(1) | 199,817 | ||||||||
200,000 | 3.50%, 06/25/2021(1) | 202,782 | ||||||||
525,000 | Bristol-Myers Squibb Co. 2.60%, 05/16/2022(1) | 529,978 | ||||||||
125,000 | Cardinal Health, Inc. 3.20%, 06/15/2022(6) | 126,518 | ||||||||
Elanco Animal Health, Inc. |
| |||||||||
450,000 | 3.91%, 08/27/2021 | 459,562 | ||||||||
105,000 | 4.27%, 08/28/2023 | 110,441 | ||||||||
420,000 | McKesson Corp. 3.65%, 11/30/2020 | 426,348 | ||||||||
Mylan N.V. |
| |||||||||
100,000 | 3.15%, 06/15/2021 | 100,848 | ||||||||
125,000 | 3.75%, 12/15/2020 | 126,969 | ||||||||
275,000 | Shire Acquisitions Investments Ireland DAC 1.90%, 09/23/2019 | 274,780 | ||||||||
205,000 | Takeda Pharmaceutical Co., Ltd. 3.80%, 11/26/2020(1) | 208,435 | ||||||||
250,000 | Teva Pharmaceutical Finance Netherlands B.V. 2.20%, 07/21/2021 | 234,612 | ||||||||
|
| |||||||||
3,740,570 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 58.5% - (continued) | ||||||||||
Pipelines - 2.6% | ||||||||||
$ | 200,000 | Andeavor Logistics L.P. / Tesoro Logistics Finance Corp. 3.50%, 12/01/2022 | $ | 204,171 | ||||||
Energy Transfer Operating L.P. |
| |||||||||
120,000 | 4.20%, 09/15/2023 | 125,793 | ||||||||
135,000 | 4.50%, 04/15/2024 | 143,424 | ||||||||
100,000 | 4.65%, 06/01/2021 | 103,475 | ||||||||
150,000 | Enterprise Products Operating LLC 4.05%, 02/15/2022 | 155,917 | ||||||||
275,000 | EQT Midstream Partners L.P. 4.75%, 07/15/2023 | 281,422 | ||||||||
Kinder Morgan Energy Partners L.P. |
| |||||||||
175,000 | 3.95%, 09/01/2022 | 181,458 | ||||||||
150,000 | 4.15%, 03/01/2022 | 155,855 | ||||||||
100,000 | MPLX L.P. 3.38%, 03/15/2023 | 102,371 | ||||||||
250,000 | Southern Natural Gas Co. LLC / Southern Natural Issuing Corp. 4.40%, 06/15/2021 | 257,024 | ||||||||
200,000 | Sunoco Logistics Partners Operations L.P. 4.40%, 04/01/2021 | 205,314 | ||||||||
650,000 | Western Midstream Operating L.P. 4.00%, 07/01/2022 | 661,568 | ||||||||
262,000 | Williams Cos., Inc. 4.30%, 03/04/2024 | 277,602 | ||||||||
|
| |||||||||
2,855,394 | ||||||||||
|
| |||||||||
Real Estate - 0.3% | ||||||||||
300,000 | WEA Finance LLC / Westfield UK & Europe Finance plc 2.70%, 09/17/2019(1) | 299,949 | ||||||||
|
| |||||||||
Real Estate Investment Trusts - 2.2% | ||||||||||
American Tower Corp. |
| |||||||||
200,000 | 3.30%, 02/15/2021 | 202,491 | ||||||||
150,000 | 3.38%, 05/15/2024 | 154,217 | ||||||||
100,000 | 5.00%, 02/15/2024 | 109,717 | ||||||||
250,000 | Brandywine Operating Partnership L.P. 3.95%, 02/15/2023 | 258,925 | ||||||||
Crown Castle International Corp. |
| |||||||||
300,000 | 3.15%, 07/15/2023 | 305,860 | ||||||||
100,000 | 5.25%, 01/15/2023 | 108,506 | ||||||||
200,000 | Host Hotels & Resorts L.P. 5.25%, 03/15/2022 | 210,933 | ||||||||
200,000 | Liberty Property L.P. 4.13%, 06/15/2022 | 207,737 | ||||||||
150,000 | Realty Income Corp. 3.25%, 10/15/2022 | 153,635 | ||||||||
100,000 | Simon Property Group L.P. 2.75%, 06/01/2023(6) | 101,163 | ||||||||
400,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 396,682 | ||||||||
200,000 | Welltower, Inc. 3.95%, 09/01/2023 | 210,059 | ||||||||
|
| |||||||||
2,419,925 | ||||||||||
|
| |||||||||
Retail - 1.1% | ||||||||||
175,000 | Alimentation Couche-Tard, Inc. 2.35%, 12/13/2019(1) | 174,860 | ||||||||
250,000 | AutoNation, Inc. 3.35%, 01/15/2021 | 252,056 | ||||||||
CVS Health Corp. |
| |||||||||
300,000 | 3.35%, 03/09/2021 | 303,911 | ||||||||
300,000 | 3.70%, 03/09/2023 | 309,526 | ||||||||
150,000 | Dollar Tree, Inc. 3.70%, 05/15/2023 | 154,670 | ||||||||
|
| |||||||||
1,195,023 | ||||||||||
|
| |||||||||
Semiconductors - 0.8% | ||||||||||
300,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd. 2.38%, 01/15/2020 | 299,582 | ||||||||
Broadcom, Inc. |
| |||||||||
150,000 | 3.13%, 10/15/2022(1) | 150,515 | ||||||||
150,000 | 3.63%, 10/15/2024(1)(6) | 150,359 | ||||||||
155,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(1) | 166,254 | ||||||||
75,000 | QUALCOMM, Inc. 3.00%, 05/20/2022 | 76,267 | ||||||||
|
| |||||||||
842,977 | ||||||||||
|
| |||||||||
Software - 1.0% | ||||||||||
250,000 | Activision Blizzard, Inc. 2.60%, 06/15/2022 | 250,978 | ||||||||
Fidelity National Information Services, Inc. |
| |||||||||
300,000 | 2.25%, 08/15/2021 | 298,866 | ||||||||
275,000 | 3.63%, 10/15/2020 | 278,385 |
The accompanying notes are an integral part of these financial statements.
| 29 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 58.5% - (continued) | ||||||||||
Software - 1.0% - (continued) | ||||||||||
$ | 310,000 | Fiserv, Inc. 3.80%, 10/01/2023 | $ | 324,862 | ||||||
|
| |||||||||
1,153,091 | ||||||||||
|
| |||||||||
Telecommunications - 1.5% | ||||||||||
AT&T, Inc. |
| |||||||||
125,000 | 3.00%, 06/30/2022 | 126,890 | ||||||||
200,000 | 3.60%, 02/17/2023 | 207,148 | ||||||||
150,000 | Nokia Oyj 3.38%, 06/12/2022 | 152,373 | ||||||||
270,000 | Sprint Communications, Inc. 7.00%, 03/01/2020(1) | 275,737 | ||||||||
323,438 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 3.36%, 03/20/2023(1) | 324,408 | ||||||||
Telefonica Emisiones S.A. |
| |||||||||
200,000 | 5.13%, 04/27/2020 | 203,678 | ||||||||
200,000 | 5.46%, 02/16/2021 | 208,703 | ||||||||
150,000 | Verizon Communications, Inc. 5.15%, 09/15/2023 | 166,367 | ||||||||
|
| |||||||||
1,665,304 | ||||||||||
|
| |||||||||
Transportation - 1.5% | ||||||||||
400,000 | Canadian Pacific Railway Co. 4.50%, 01/15/2022 | 419,129 | ||||||||
250,000 | CSX Corp. 4.25%, 06/01/2021 | 257,008 | ||||||||
Penske Truck Leasing Co. L.P. / PTL Finance Corp. |
| |||||||||
175,000 | 2.70%, 03/14/2023(1) | 174,999 | ||||||||
250,000 | 4.13%, 08/01/2023(1) | 261,930 | ||||||||
200,000 | 4.25%, 01/17/2023(1) | 209,778 | ||||||||
355,000 | TTX Co. 3.60%, 01/15/2025(1) | 374,399 | ||||||||
|
| |||||||||
1,697,243 | ||||||||||
|
| |||||||||
Trucking & Leasing - 0.9% | ||||||||||
200,000 | Aviation Capital Group LLC 3.88%, 05/01/2023(1) | 206,175 | ||||||||
Avolon Holdings Funding Ltd. |
| |||||||||
250,000 | 3.63%, 05/01/2022(1) | 253,425 | ||||||||
250,000 | 5.13%, 10/01/2023(1) | 265,650 | ||||||||
250,000 | GATX Corp. 4.35%, 02/15/2024 | 264,629 | ||||||||
|
| |||||||||
989,879 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 64,272,285 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 0.6% | ||||||||||
Qatar - 0.6% | ||||||||||
$ | 600,000 | Qatar Government International Bond | $ | 624,000 | ||||||
|
| |||||||||
Total Foreign Government Obligations | $ | 624,000 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 0.2% | ||||||||||
Transportation - 0.2% | ||||||||||
$ | 210,000 | Chicago Transit Auth 5.37%, 12/01/2022 | $ | 227,932 | ||||||
|
| |||||||||
Total Municipal Bonds | $ | 227,932 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 20.0%(9) | ||||||||||
Aerospace/Defense - 0.3% | ||||||||||
$ | 296,746 | TransDigm, Inc. 4.83%, 06/09/2023, 1 mo. USD LIBOR + 2.500% | $ | 295,031 | ||||||
|
| |||||||||
Airlines - 0.1% | ||||||||||
118,763 | American Airlines, Inc. 4.38%, 10/12/2021, 1 mo. USD LIBOR + 2.000% | 118,664 | ||||||||
|
| |||||||||
Auto Parts & Equipment - 0.6% | ||||||||||
110,000 | Adient U.S. LLC 6.87%, 05/06/2024, 1 mo. USD LIBOR + 4.250% | 105,600 | ||||||||
155,149 | Altra Industrial Motion Corp. 4.23%, 10/01/2025, 1 mo. USD LIBOR + 2.000% | 154,568 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.0%(9) - (continued) | ||||||||||
Auto Parts & Equipment - 0.6% - (continued) | ||||||||||
$ | 100,000 | IAA, Inc. 0.00%, 06/28/2026, 1 mo. USD LIBOR + 2.250%(10) | $ | 100,375 | ||||||
Panther BF Aggregator L.P. |
| |||||||||
EUR | 150,000 | 3.75%, 04/30/2026, 1 mo. EUR LIBOR + 3.750% | 167,010 | |||||||
$ | 180,000 | 5.73%, 04/30/2026, 1 mo. USD LIBOR + 3.500% | 179,888 | |||||||
|
| |||||||||
707,441 | ||||||||||
|
| |||||||||
Chemicals - 0.8% | ||||||||||
310,881 | Cabot Microelectronics Corp. 4.50%, 11/14/2025, 1 mo. ICE LIBOR + 2.250% | 311,269 | ||||||||
283,575 | Platform Specialty Products Corp. 4.48%, 01/30/2026, 1 mo. ICE LIBOR + 2.250% | 283,340 | ||||||||
Starfruit Finco B.V. |
| |||||||||
EUR | 100,000 | 3.75%, 10/01/2025, 3 mo. EURIBOR + 3.750% | 110,976 | |||||||
$ | 99,750 | 5.61%, 10/01/2025, 1 mo. USD LIBOR + 3.250% | 97,922 | |||||||
81,679 | Univar, Inc. 4.73%, 07/01/2024, 1 mo. ICE LIBOR + 2.500% | 81,564 | ||||||||
|
| |||||||||
885,071 | ||||||||||
|
| |||||||||
Commercial Services - 2.5% | ||||||||||
174,121 | Blackhawk Network Holdings, Inc. 5.23%, 06/15/2025, 1 mo. USD LIBOR + 3.000% | 173,612 | ||||||||
124,372 | BrightView Landscapes LLC 4.78%, 08/15/2025, 1 mo. USD LIBOR + 2.500% | 124,475 | ||||||||
200,000 | Dun & Bradstreet Corp. 7.24%, 02/06/2026, 1 mo. USD LIBOR + 5.000% | 201,188 | ||||||||
462,675 | Global Payments Inc. 3.98%, 10/17/2025, 3 mo. USD LIBOR + 1.750% | 462,532 | ||||||||
200,000 | Quikrete Holdings, Inc. 4.98%, 11/15/2023, 1 mo. USD LIBOR + 2.750% | 198,194 | ||||||||
162,901 | Russell Investments U.S. Inst’l Holdco, Inc. 5.48%, 06/01/2023, 3 mo. USD LIBOR + 3.250% | 161,611 | ||||||||
124,051 | Tempo Acquisition LLC 5.23%, 05/01/2024, 1 mo. USD LIBOR + 3.000% | 124,206 | ||||||||
223,372 | Trans Union LLC 4.23%, 06/19/2025, 1 mo. USD LIBOR + 2.000% | 223,651 | ||||||||
673,653 | United Rentals, Inc. 3.98%, 10/31/2025, 1 mo. ICE LIBOR + 1.750% | 673,821 | ||||||||
EUR | 340,000 | Verisure Holding AB 3.50%, 10/21/2022, 3 mo. EURIBOR + 3.500% | 379,158 | |||||||
|
| |||||||||
2,722,448 | ||||||||||
|
| |||||||||
Construction Materials - 0.2% | ||||||||||
$ | 267,347 | NCI Building Systems, Inc. 6.12%, 04/12/2025, 3 mo. USD LIBOR + 3.750% | 260,885 | |||||||
|
| |||||||||
Distribution/Wholesale - 0.6% | ||||||||||
198,492 | Beacon Roofing Supply, Inc. 4.62%, 01/02/2025, 1 mo. USD LIBOR + 2.250% | 197,444 | ||||||||
99,000 | Hamilton Holdco LLC 4.33%, 07/02/2025, 1 mo. USD LIBOR + 2.000% | 98,876 | ||||||||
372,188 | HD Supply, Inc. 3.98%, 10/17/2023, 1 mo. USD LIBOR + 1.750% | 372,839 | ||||||||
|
| |||||||||
669,159 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.7% | ||||||||||
198,477 | AlixPartners LLP 4.98%, 04/04/2024, 3 mo. USD LIBOR + 2.750% | 198,654 | ||||||||
164,829 | Crown Finance U.S., Inc. 4.48%, 02/28/2025, 1 mo. USD LIBOR + 2.250% | 164,137 | ||||||||
124,375 | Financial & Risk U.S. Holdings, Inc. 5.98%, 10/01/2025, 1 mo. USD LIBOR + 3.750% | 124,242 | ||||||||
129,008 | NFP Corp. 5.23%, 01/08/2024, 1 mo. USD LIBOR + 3.000% | 127,072 | ||||||||
178,364 | Victory Capital Holdings, Inc. 5.57%, 07/01/2026, 1 mo. USD LIBOR + 3.250% | 179,311 | ||||||||
|
| |||||||||
793,416 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 30 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.0%(9) - (continued) | ||||||||||
Energy - Alternate Sources - 0.2% | ||||||||||
$ | 173,684 | BCP Renaissance Parent LLC 5.76%, 10/31/2024, 3 mo. USD LIBOR + 3.500% | $ | 173,431 | ||||||
|
| |||||||||
Environmental Control - 0.3% | ||||||||||
346,465 | Clean Harbors, Inc. 3.98%, 06/28/2024, 1 mo. USD LIBOR + 1.750% | 347,158 | ||||||||
|
| |||||||||
Food - 0.1% | ||||||||||
135,279 | Post Holdings, Inc. 4.27%, 05/24/2024, 1 mo. USD LIBOR + 2.000% | 135,241 | ||||||||
|
| |||||||||
Food Service - 0.4% | ||||||||||
393,500 | Aramark Services, Inc. 4.08%, 03/11/2025, 3 mo. USD LIBOR + 1.750% | 393,335 | ||||||||
|
| |||||||||
Gas - 0.3% | ||||||||||
Messer Industries GmbH |
| |||||||||
EUR | 100,000 | 2.75%, 03/01/2026, 3 mo. EURIBOR + 2.750% | 111,340 | |||||||
$ | 189,525 | 4.83%, 03/01/2026, 1 mo. USD LIBOR + 2.500% | 188,577 | |||||||
|
| |||||||||
299,917 | ||||||||||
|
| |||||||||
Healthcare - Products - 0.1% | ||||||||||
50,622 | Avantor, Inc. 5.23%, 11/21/2024, 1 mo. USD LIBOR + 3.750% | 51,044 | ||||||||
100,000 | Emerald TopCo, Inc. 0.00%, 07/24/2026, 1 mo. USD LIBOR + 3.500%(10) | 99,725 | ||||||||
|
| |||||||||
150,769 | ||||||||||
|
| |||||||||
Healthcare - Services - 1.4% | ||||||||||
457,700 | Envision Healthcare Corp. 5.98%, 10/10/2025, 1 mo. USD LIBOR + 3.750% | 392,382 | ||||||||
167,205 | Gentiva Health Services, Inc. 6.00%, 07/02/2025, 1 mo. USD LIBOR + 3.750% | 168,041 | ||||||||
EUR | 188,100 | IQVIA, Inc. 2.50%, 06/11/2025, 3 mo. EURIBOR + 2.000% | 210,002 | |||||||
$ | 125,000 | MPH Acquisition Holdings LLC 5.08%, 06/07/2023, 3 mo. USD LIBOR + 2.750% | 121,250 | |||||||
123,676 | Surgery Center Holdings, Inc. 5.49%, 09/02/2024, 1 mo. USD LIBOR + 3.250% | 119,348 | ||||||||
149,478 | Syneos Health, Inc. 4.23%, 08/01/2024, 1 mo. USD LIBOR + 2.000% | 149,049 | ||||||||
362,365 | Universal Health Services, Inc. 3.98%, 10/31/2025, 1 mo. USD LIBOR + 1.750% | 362,665 | ||||||||
|
| |||||||||
1,522,737 | ||||||||||
|
| |||||||||
Household Products - 0.1% | ||||||||||
124,055 | Diamond (BC) B.V. 5.26%, 09/06/2024, 2 mo. USD LIBOR + 3.000% | 112,167 | ||||||||
|
| |||||||||
Insurance - 0.9% | ||||||||||
Asurion LLC |
| |||||||||
90,620 | 5.23%, 08/04/2022, 1 mo. USD LIBOR + 3.000% | 90,766 | ||||||||
232,650 | 5.23%, 11/03/2024, 1 mo. USD LIBOR + 3.000% | 233,066 | ||||||||
100,000 | 8.73%, 08/04/2025, 1 mo. USD LIBOR + 6.500% | 101,708 | ||||||||
248,120 | Hub International Ltd. 5.27%, 04/25/2025, 2 mo. USD LIBOR + 3.000% | 245,379 | ||||||||
318,400 | Sedgwick Claims Management Services, Inc. | 313,169 | ||||||||
|
| |||||||||
984,088 | ||||||||||
|
| |||||||||
IT Services - 0.2% | ||||||||||
247,565 | Science Applications International Corp. | 246,637 | ||||||||
|
| |||||||||
Leisure Time - 0.6% | ||||||||||
247,613 | Caesars Resort Collection LLC | 245,487 | ||||||||
225,000 | Delta (LUX) S.a.r.l. | 221,987 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.0%(9) - (continued) | ||||||||||
Leisure Time - 0.6% - (continued) | ||||||||||
$ | 248,750 | Penn National Gaming, Inc. 4.48%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | $ | 249,031 | ||||||
|
| |||||||||
716,505 | ||||||||||
|
| |||||||||
Lodging - 1.1% | ||||||||||
279,313 | Boyd Gaming Corp. 4.62%, 09/15/2023, 1 week USD LIBOR + 2.250% | 279,104 | ||||||||
371,171 | Caesars Entertainment Operating Co. 4.23%, 10/06/2024, 1 mo. USD LIBOR + 2.000% | 370,151 | ||||||||
114,033 | Hilton Worldwide Finance LLC 4.02%, 06/22/2026, 1 mo. USD LIBOR + 1.750% | 114,330 | ||||||||
398,000 | Wynn Resorts, Limited 4.66%, 10/30/2024, 1 mo. USD LIBOR + 2.250% | 398,298 | ||||||||
|
| |||||||||
1,161,883 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.1% | ||||||||||
109,450 | Brookfield WEC Holdings, Inc. | 109,724 | ||||||||
|
| |||||||||
Media - 2.8% | ||||||||||
517,400 | CSC Holdings LLC 4.58%, 01/15/2026, 1 mo. ICE LIBOR + 2.250% | 515,460 | ||||||||
427,850 | Gray Television, Inc. 4.83%, 01/02/2026, 1 mo. ICE LIBOR + 2.500% | 428,689 | ||||||||
346,659 | ION Media Networks, Inc. 0.00%, 12/18/2024, 1 mo. USD LIBOR + 3.000%(10) | 346,118 | ||||||||
47,905 | Mission Broadcasting, Inc. 4.65%, 01/17/2024, 1 mo. ICE LIBOR + 2.250% | 47,665 | ||||||||
149,244 | MTN Infrastructure TopCo, Inc. | 148,498 | ||||||||
Nexstar Broadcasting, Inc. |
| |||||||||
205,000 | 0.00%, 06/19/2026, 1 mo. USD LIBOR + 2.750%(10) | 204,957 | ||||||||
240,482 | 4.49%, 01/17/2024, 1 mo. ICE LIBOR + 2.250% | 239,279 | ||||||||
123,747 | PSAV Holdings LLC 5.61%, 03/01/2025, 3 mo. USD LIBOR + 3.250% | 120,267 | ||||||||
116,071 | Sinclair Television Group, Inc. 0.00%, 07/17/2026, 1 mo. USD LIBOR + 2.500%(10) | 116,216 | ||||||||
125,000 | Telenet Financing USD LLC 4.58%, 08/15/2026, 1 mo. USD LIBOR + 2.250% | 124,414 | ||||||||
300,000 | Tribune Media Co. 5.23%, 01/27/2024, 1 mo. USD LIBOR + 3.000% | 299,439 | ||||||||
400,000 | Unitymedia Finance LLC 4.60%, 09/30/2025, 1 mo. USD LIBOR + 2.250% | 399,656 | ||||||||
90,868 | Web.com Group, Inc. 6.08%, 10/10/2025, 3 mo. USD LIBOR + 3.750% | 90,340 | ||||||||
|
| |||||||||
3,080,998 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.4% | ||||||||||
241,935 | H.B. Fuller Co. 4.27%, 10/20/2024, 1 mo. USD LIBOR + 2.000% | 240,423 | ||||||||
222,173 | USI, Inc. 5.33%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 218,887 | ||||||||
|
| |||||||||
459,310 | ||||||||||
|
| |||||||||
Oil & Gas - 0.1% | ||||||||||
99,250 | Traverse Midstream Partners LLC 6.26%, 09/27/2024, 3 mo. USD LIBOR + 4.000% | 96,967 | ||||||||
|
| |||||||||
Oil & Gas Services - 0.1% | ||||||||||
100,000 | Lower Cadence Holdings LLC 6.27%, 05/22/2026, 1 mo. USD LIBOR + 4.000% | 99,708 | ||||||||
|
| |||||||||
Packaging & Containers - 0.7% | ||||||||||
Berry Global, Inc. |
| |||||||||
EUR | 100,000 | 2.50%, 07/01/2026, 3 mo. USD LIBOR + 2.500% | 111,374 | |||||||
$ | 200,000 | 4.63%, 10/01/2022, 1 mo. USD LIBOR + 2.250% | 199,864 | |||||||
140,000 | 4.90%, 07/01/2026, 3 mo. USD LIBOR + 2.500% | 139,811 |
The accompanying notes are an integral part of these financial statements.
| 31 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.0%(9) - (continued) | ||||||||||
Packaging & Containers -0.7% - (continued) | ||||||||||
$ | 132,100 | Flex Acquisition Co., Inc. 5.57%, 06/29/2025, 1 mo. USD LIBOR + 3.250% | $ | 126,362 | ||||||
198,473 | Reynolds Group Holdings, Inc. 4.98%, 02/05/2023, 1 mo. USD LIBOR + 2.750% | 198,338 | ||||||||
|
| |||||||||
775,749 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.6% | ||||||||||
370,313 | Bausch Health Companies Inc. 5.13%, 11/27/2025, 1 mo. USD LIBOR + 2.750% | 370,083 | ||||||||
99,750 | Catalent Pharma Solutions, Inc. 4.48%, 05/18/2026, 1 mo. USD LIBOR + 2.250% | 100,187 | ||||||||
124,051 | Endo Luxembourg Finance Co., S.a r.l. 6.50%, 04/29/2024, 1 mo. USD LIBOR + 4.250% | 112,964 | ||||||||
100,000 | IQVIA, Inc. 4.33%, 03/07/2024, 3 mo. USD LIBOR + 2.000% | 100,188 | ||||||||
|
| |||||||||
683,422 | ||||||||||
|
| |||||||||
Real Estate - 0.1% | ||||||||||
100,000 | VICI Properties LLC 4.27%, 12/20/2024, 1 mo. USD LIBOR + 2.000% | 99,734 | ||||||||
|
| |||||||||
Retail - 1.3% | ||||||||||
222,159 | American Builders & Contractors Supply Co., Inc. 4.23%, 10/31/2023, 1 mo. USD LIBOR + 2.000% | 220,770 | ||||||||
273,601 | B.C. Unlimited Liability Co. 4.48%, 02/16/2024, 1 mo. USD LIBOR + 2.250% | 273,532 | ||||||||
237,805 | Bass Pro Group LLC 7.23%, 09/25/2024, 1 mo. USD LIBOR + 5.000% | 224,640 | ||||||||
149,250 | Belron Finance U.S. LLC 5.04%, 11/13/2025, 1 mo. USD LIBOR + 2.500% | 149,810 | ||||||||
125,000 | Staples, Inc. 7.33%, 04/16/2026, 3 mo. USD LIBOR + 5.000% | 121,797 | ||||||||
215,000 | Sunshine Luxembourg S.a.r.l. 0.00%, 07/16/2026, 1 mo. USD LIBOR + 4.250%(10) | 215,699 | ||||||||
248,082 | U.S. Foods, Inc. 4.23%, 06/27/2023, 1 mo. USD LIBOR + 2.000% | 247,638 | ||||||||
|
| |||||||||
1,453,886 | ||||||||||
|
| |||||||||
Semiconductors - 0.2% | ||||||||||
222,498 | Microchip Technology, Inc. 4.24%, 05/29/2025, 1 mo. USD LIBOR + 2.000% | 222,220 | ||||||||
|
| |||||||||
Software - 1.2% | ||||||||||
181,740 | Change Healthcare Holdings LLC 4.73%, 03/01/2024, 1 mo. USD LIBOR + 2.500% | 181,257 | ||||||||
150,151 | Go Daddy Operating Co. LLC 4.23%, 02/15/2024, 1 mo. USD LIBOR + 2.000% | 150,573 | ||||||||
18,638 | MA FinanceCo. LLC 4.73%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 18,483 | ||||||||
125,866 | Seattle Spinco, Inc. 4.73%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 124,817 | ||||||||
31,065 | SS&C Technologies Holdings Europe S.a.r.l. 4.48%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 31,046 | ||||||||
422,742 | SS&C Technologies, Inc. 4.48%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 422,586 | ||||||||
100,000 | Ultimate Software Group, Inc. 6.08%, 05/04/2026, 1 mo. USD LIBOR + 3.750% | 100,734 | ||||||||
248,099 | WEX, Inc. 4.48%, 05/15/2026, 1 mo. USD LIBOR + 2.250% | 248,233 | ||||||||
|
| |||||||||
1,277,729 | ||||||||||
|
| |||||||||
Telecommunications - 0.6% | ||||||||||
198,990 | CenturyLink, Inc. 4.98%, 01/31/2025, 1 mo. USD LIBOR + 2.750% | 197,635 | ||||||||
470,256 | Sprint Communications, Inc. 4.75%, 02/02/2024, 1 mo. USD LIBOR + 2.500% | 468,962 | ||||||||
|
| |||||||||
666,597 | ||||||||||
|
| |||||||||
Transportation - 0.3% | ||||||||||
58,275 | B.C. Unlimited Liability Co. 6.33%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | 58,599 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.0%(9) - (continued) | ||||||||||
Transportation - 0.3% - (continued) | ||||||||||
$ | 108,392 | Dynasty Acquisition Co., Inc. 6.33%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | $ | 108,994 | ||||||
135,177 | Savage Enterprises LLC 6.88%, 08/01/2025, 1 mo. USD LIBOR + 4.500% | 135,473 | ||||||||
|
| |||||||||
303,066 | ||||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 22,025,093 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 10.3% | ||||||||||
Mortgage-Backed Agencies - 10.3% | ||||||||||
FHLMC - 2.9% | ||||||||||
$ | 575,000 | 1.13%, 08/12/2021 | $ | 565,758 | ||||||
320,334 | 1.50%, 01/15/2027 | 314,217 | ||||||||
383,972 | 2.00%, 09/15/2041 | 379,331 | ||||||||
340,764 | 3.00%, 01/01/2033 | 348,149 | ||||||||
439,237 | 3.00%, 05/15/2037 | 443,382 | ||||||||
500,000 | 3.02%, 10/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | 500,565 | ||||||||
289,355 | 3.50%, 09/15/2043 | 296,903 | ||||||||
274,491 | 3.75%, 05/15/2039(4) | 282,157 | ||||||||
47,468 | 3.82%, 05/25/2048(1)(2) | 47,604 | ||||||||
|
| |||||||||
3,178,066 | ||||||||||
|
| |||||||||
FNMA - 6.1% | ||||||||||
335,626 | 2.00%, 07/25/2039 | 334,565 | ||||||||
527,292 | 2.50%, 03/25/2035 | 523,728 | ||||||||
196,042 | 2.55%, 07/25/2044 | 196,291 | ||||||||
365,810 | 3.00%, 11/01/2032 | 373,931 | ||||||||
794,586 | 3.00%, 02/25/2043 | 809,417 | ||||||||
258,449 | 3.00%, 04/25/2043 | 264,616 | ||||||||
391,180 | 3.00%, 05/25/2047 | 397,473 | ||||||||
865,506 | 3.25%, 11/25/2043 | 886,266 | ||||||||
262,739 | 3.50%, 03/01/2033 | 272,011 | ||||||||
1,050,000 | 3.50%, 08/01/2034(11) | 1,084,173 | ||||||||
590,648 | 3.50%, 10/25/2035 | 615,206 | ||||||||
675,473 | 3.50%, 07/25/2045 | 693,026 | ||||||||
249,404 | 3.50%, 07/25/2054 | 256,306 | ||||||||
|
| |||||||||
6,707,009 | ||||||||||
|
| |||||||||
GNMA - 1.3% | ||||||||||
440,887 | 2.00%, 05/20/2046 | 437,580 | ||||||||
858,032 | 2.50%, 10/20/2041 | 861,870 | ||||||||
167,536 | 2.50%, 07/20/2042 | 167,036 | ||||||||
|
| |||||||||
1,466,486 | ||||||||||
|
| |||||||||
11,351,561 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 11,351,561 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 110,890,686 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||||
Other Investment Pools & Funds - 1.6% | ||||||||||
1,730,850 | Fidelity Institutional Government Fund, Institutional Class, 2.20%(12) | $ | 1,730,850 | |||||||
|
| |||||||||
Securities Lending Collateral - 0.2% | ||||||||||
188,210 | State Street Navigator Securities Lending Government Money Market Portfolio, 2.32%(12) | 188,210 | ||||||||
|
| |||||||||
Total Short-Term Investments | $ | 1,919,060 | ||||||||
|
|
Total Investments | 102.7 | % | $ | 112,809,746 | ||||||||||||
Other Assets and Liabilities | (2.7 | )% | (2,920,989 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total Net Assets | 100.0 | % | $ | 109,888,757 | ||||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 32 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
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. |
See “Glossary” for abbreviation descriptions. |
(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 July 31, 2019, the aggregate value of these securities was $28,772,554, representing 26.2% 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 July 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) | 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 $524,457 at July 31, 2019. |
(6) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(7) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2019. Rate will reset at a future date as disclosed. |
(8) | 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 July 31, 2019, the aggregate value of this security was $244,994, representing 0.2% of net assets. |
(9) | 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 July 31, 2019. |
(10) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(11) | Represents or includes a TBA transaction. |
(12) | Current yield as of period end. |
Futures Contracts Outstanding at July 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 | 84 | 09/30/2019 | $ | 18,010,125 | $ | 19,518 | ||||||||||
|
| |||||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury5-Year Note Future | 70 | 09/30/2019 | $ | 8,228,828 | $ | (61,402 | ) | |||||||||
U.S. Treasury10-Year Note Future | 25 | 09/19/2019 | 3,185,547 | (55,327 | ) | |||||||||||
|
| |||||||||||||||
Total |
| $ | (116,729 | ) | ||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (97,211 | ) | ||||||||||||
|
|
Foreign Currency Contracts Outstanding at July 31, 2019 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
253,147 | USD | 222,000 | EUR | BCLY | 08/06/19 | $ | 5,856 | $ | — | |||||||||||||||
1,282,226 | USD | 1,148,000 | EUR | GSC | 08/30/19 | 829 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 6,685 | $ | — | ||||||||||||||||||||
|
|
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The accompanying notes are an integral part of these financial statements.
| 33 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
July 31, 2019
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets | ||||||||||||||||
Asset & Commercial Mortgage Backed Securities | $ | 12,389,815 | $ | — | $ | 12,389,815 | $ | — | ||||||||
Corporate Bonds | 64,272,285 | — | 64,272,285 | — | ||||||||||||
Foreign Government Obligations | 624,000 | — | 624,000 | — | ||||||||||||
Municipal Bonds | 227,932 | — | 227,932 | — | ||||||||||||
Senior Floating Rate Interests | 22,025,093 | — | 22,025,093 | — | ||||||||||||
U.S. Government Agencies | 11,351,561 | — | 11,351,561 | — | ||||||||||||
Short-Term Investments | 1,919,060 | 1,919,060 | — | — | ||||||||||||
Foreign Currency Contracts(2) | 6,685 | — | 6,685 | — | ||||||||||||
Futures Contracts(2) | 19,518 | 19,518 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 112,835,949 | $ | 1,938,578 | $ | 110,897,371 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Futures Contracts(2) | $ | (116,729 | ) | $ | (116,729 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (116,729 | ) | $ | (116,729 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For the year ended July 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.
| 34 |
|
Hartford Total Return Bond ETF |
Schedule of Investments
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 19.0% | ||||||||||
Agency Collat PAC CMO - 0.0% | ||||||||||
$ | 744,725 | Freddie Mac Strips 5.00%, 09/15/2036(1) | $ | 144,156 | ||||||
|
| |||||||||
Asset-Backed - Finance & Insurance - 5.5% | ||||||||||
80,695 | Ajax Mortgage Loan Trust 3.16%, 09/25/2056(2)(3) | 80,950 | ||||||||
Apidos CLO |
| |||||||||
1,060,000 | 3.23%, 07/18/2027, 3 mo. USD LIBOR + 0.930%(2)(4) | 1,059,730 | ||||||||
975,000 | 3.38%, 04/15/2031, 3 mo. USD LIBOR + 1.080%(2)(4) | 968,977 | ||||||||
340,000 | Atlas Senior Loan Fund Ltd. 3.63%, 04/20/2028, 3 mo. USD LIBOR + 0.870%(2)(4) | 338,372 | ||||||||
250,000 | Avery Point CLO Ltd. 3.62%, 08/05/2027, 3 mo. USD LIBOR + 1.050%(2)(4) | 250,003 | ||||||||
93,018 | Bayview Koitere Fund Trust 3.50%, 07/28/2057(2)(3) | 94,408 | ||||||||
63,935 | Bayview Opportunity Master Fund Trust 3.50%, 10/28/2057(2)(3) | 64,944 | ||||||||
Bellemeade Re Ltd. |
| |||||||||
544,327 | 3.22%, 08/25/2028, 1 mo. USD LIBOR + 0.950%(2)(4) | 544,769 | ||||||||
500,000 | 3.49%, 07/25/2029, 1 mo. USD LIBOR + 1.100%(2)(4) | 500,081 | ||||||||
BlueMountain CLO Ltd. |
| |||||||||
600,000 | 3.23%, 07/18/2027, 3 mo. USD LIBOR + 0.930%(2)(4) | 597,125 | ||||||||
1,050,000 | 3.46%, 10/22/2030, 3 mo. USD LIBOR + 1.180%(2)(4) | 1,048,096 | ||||||||
853,060 | Bowman Park CLO Ltd. 3.70%, 11/23/2025, 3 mo. USD LIBOR + 1.180%(2)(4) | 853,387 | ||||||||
Carlyle Global Market Strategies CLO Ltd. |
| |||||||||
1,064,794 | 3.04%, 04/27/2027, 1 mo. USD LIBOR + 0.780%(2)(4) | 1,063,341 | ||||||||
950,000 | 3.30%, 01/15/2031, 3 mo. USD LIBOR + 1.000%(2)(4) | 940,773 | ||||||||
330,000 | CIFC Funding Ltd. 3.17%, 04/19/2029, 3 mo. USD LIBOR + 0.870%(2)(4) | 327,938 | ||||||||
375,000 | Cirrus Funding Ltd. 4.80%, 01/25/2037(2) | 397,105 | ||||||||
1,550,000 | Cole Park CLO Ltd. 3.33%, 10/20/2028, 3 mo. USD LIBOR + 1.05%(2)(4) | 1,552,683 | ||||||||
745,000 | DB Master Finance LLC 3.79%, 05/20/2049(2) | 762,359 | ||||||||
Domino’s Pizza Master Issuer LLC |
| |||||||||
1,685,600 | 3.08%, 07/25/2047(2) | 1,687,454 | ||||||||
49,375 | 4.12%, 07/25/2048(2) | 50,718 | ||||||||
232,878 | Drug Royalty L.P. 3.90%, 10/15/2031, 3 mo. USD LIBOR + 1.60%(2)(4) | 232,927 | ||||||||
433,000 | Eagle RE Ltd. 3.97%, 11/25/2028, 1 mo. USD LIBOR + 1.700%(2)(4) | 432,506 | ||||||||
1,550,000 | KKR Clo 17 Ltd. 3.64%, 04/15/2029, 3 mo. USD LIBOR + 1.340%(2)(4) | 1,549,698 | ||||||||
250,000 | Magnetite VII Ltd. 3.10%, 01/15/2028, 3 mo. USD LIBOR + 0.800%(2)(4) | 247,735 | ||||||||
185,668 | MFA Trust 3.35%, 11/25/2047(2)(5) | 184,927 | ||||||||
445,481 | Oak Hill Advisors Residential Loan Trust 3.00%, 06/25/2057(2)(5) | 444,627 | ||||||||
1,000,000 | Octagon Investment Partners Ltd. 3.32%, 07/17/2030, 3 mo. USD LIBOR + 1.020%(2)(4) | 986,666 | ||||||||
80,859 | Preston Ridge Partners Mortgage Trust LLC 4.00%, 08/25/2023(2)(3) | 81,443 | ||||||||
897,000 | Radnor RE Ltd. 3.52%, 02/25/2029, 1 mo. USD LIBOR + 1.250%(2)(4) | 896,902 | ||||||||
1,560,000 | Regional Management Issuance Trust 4.56%, 01/18/2028(2) | 1,592,777 | ||||||||
869,741 | Seasoned Credit Risk Transfer Trust 3.50%, 08/25/2058 | 906,048 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 19.0% - (continued) | ||||||||||
Asset-Backed - Finance & Insurance - 5.5% - (continued) | ||||||||||
Sound Point CLO Ltd. |
| |||||||||
$ | 250,000 | 3.34%, 01/26/2031, 3 mo. USD LIBOR + 1.070%(2)(4) | $ | 247,320 | ||||||
1,295,000 | 3.38%, 07/20/2028, 3 mo. USD LIBOR + 1.100%(2)(4) | 1,294,342 | ||||||||
950,000 | 3.45%, 04/18/2031, 1 mo. USD LIBOR + 1.150%(2)(4) | 942,620 | ||||||||
Towd Point Mortgage Trust |
| |||||||||
1,380,744 | 2.75%, 10/25/2056(2)(3) | 1,385,822 | ||||||||
1,819,910 | 2.75%, 06/25/2057(2)(3) | 1,819,558 | ||||||||
2,448,998 | 2.75%, 10/25/2057(2)(3) | 2,453,640 | ||||||||
117,478 | 3.75%, 05/25/2058(2)(3) | 121,243 | ||||||||
765,000 | Treman Park CLO Ltd. 3.35%, 10/20/2028, 3 mo. USD LIBOR + 1.070%(2)(4) | 765,660 | ||||||||
1,003,267 | Vantage Data Centers Issuer LLC 4.20%, 11/16/2043(2) | 1,031,715 | ||||||||
955,000 | Voya CLO Ltd. 3.20%, 01/18/2029, 3 mo. USD LIBOR + 0.900%(2)(4) | 949,032 | ||||||||
605,775 | Wendy’s Funding LLC 3.88%, 03/15/2048(2) | 610,082 | ||||||||
269,325 | Wingstop Funding LLC 4.97%, 12/05/2048(2) | 278,951 | ||||||||
|
| |||||||||
32,639,454 | ||||||||||
|
| |||||||||
Asset-Backed - Home Equity - 0.0% | ||||||||||
91,505 | Legacy Mortgage Asset Trust 4.00%, 03/25/2058(2)(5) | 92,423 | ||||||||
|
| |||||||||
Collateralized - Mortgage Obligations - 0.3% | ||||||||||
1,429,853 | Structured Agency Credit Risk Trust 3.02%, 09/25/2048, 1 mo. USD LIBOR + 0.750%(2)(4) | 1,431,722 | ||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities - 4.0% | ||||||||||
Banc of America Commercial Mortgage Trust |
| |||||||||
7,059,514 | 0.75%, 11/15/2050(1)(3) | 362,050 | ||||||||
4,479,993 | 0.82%, 11/15/2054(1)(3) | 243,647 | ||||||||
Bank |
| |||||||||
16,343,884 | 0.74%, 02/15/2061(1)(3) | 859,401 | ||||||||
3,514,786 | 0.91%, 05/15/2062(1)(3) | 256,646 | ||||||||
Benchmark Mortgage Trust |
| |||||||||
11,733,061 | 0.53%, 01/15/2051(1)(3) | 417,726 | ||||||||
21,242,022 | 0.54%, 07/15/2051(1)(3) | 767,933 | ||||||||
785,000 | CAMB Commercial Mortgage Trust 4.88%, 12/15/2037, 3 mo. USD LIBOR + 2.550%(2)(4) | 793,839 | ||||||||
1,300,000 | Citigroup Commercial Mortgage Trust 3.62%, 07/10/2047 | 1,370,195 | ||||||||
206,081 | Citigroup Mortgage Loan Trust 3.25%, 03/25/2061(2)(3) | 209,052 | ||||||||
Commercial Mortgage Trust |
| |||||||||
11,172,784 | 0.62%, 02/10/2047(1)(3) | 261,977 | ||||||||
1,300,000 | 2.94%, 01/10/2046 | 1,325,118 | ||||||||
700,000 | 3.18%, 02/10/2035(2) | 725,729 | ||||||||
1,120,000 | 3.69%, 08/10/2047 | 1,182,646 | ||||||||
900,000 | 3.80%, 08/10/2047 | 955,070 | ||||||||
1,095,125 | 3.96%, 03/10/2047 | 1,162,933 | ||||||||
1,000,000 | 4.23%, 07/10/2045(3) | 1,067,743 | ||||||||
360,000 | 4.24%, 02/10/2047(3) | 386,243 | ||||||||
14,107,436 | CSAIL Commercial Mortgage Trust 0.78%, 06/15/2057(1)(3) | 496,901 | ||||||||
2,000,000 | FREMF Mortgage Trust 2.59%, 02/25/2020, 1 mo. USD LIBOR + 0.320%(4) | 1,999,958 | ||||||||
GS Mortgage Securities Trust |
| |||||||||
890,000 | 3.63%, 11/10/2047 | 939,943 | ||||||||
100,000 | 4.07%, 01/10/2047 | 106,654 | ||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||
858,821 | 3.36%, 07/15/2045 | 886,990 | ||||||||
100,000 | 3.93%, 09/15/2047 | 106,915 | ||||||||
100,000 | 4.00%, 04/15/2047 | 106,350 |
The accompanying notes are an integral part of these financial statements.
| 35 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 19.0% - (continued) | ||||||||||
Commercial Mortgage-Backed Securities - 4.0% - (continued) | ||||||||||
$ | 1,300,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | $ | 1,364,565 | ||||||
4,499,114 | Morgan Stanley Capital Trust 1.44%, 06/15/2050(1)(3) | 345,256 | ||||||||
670,000 | MTRO Commercial Mortgage Trust 4.13%, 12/15/2033, 1 mo. USD LIBOR + 1.800%(2)(4) | 670,627 | ||||||||
1,005,120 | UBS-Barclays Commercial Mortgage Trust 3.24%, 04/10/2046 | 1,034,544 | ||||||||
895,320 | Wells Fargo Commercial Mortgage Trust 2.92%, 10/15/2045 | 908,978 | ||||||||
WF-RBS Commercial Mortgage Trust |
| |||||||||
1,170,000 | 2.88%, 12/15/2045 | 1,187,923 | ||||||||
1,025,000 | 3.61%, 11/15/2047 | 1,079,413 | ||||||||
100,000 | 4.00%, 05/15/2047 | 106,739 | ||||||||
100,000 | 4.05%, 03/15/2047 | 106,628 | ||||||||
|
| |||||||||
23,796,332 | ||||||||||
|
| |||||||||
Other ABS - 3.2% | ||||||||||
895,949 | ALM XII Ltd. 3.67%, 04/16/2027, 3 mo. USD LIBOR + 0.890%(2)(4) | 895,794 | ||||||||
980,000 | ALM XVI Ltd. 3.20%, 07/15/2027, 3 mo. USD LIBOR + 0.900%(2)(4) | 977,691 | ||||||||
Benefit Street Partners CLO Ltd. |
| |||||||||
635,000 | 3.53%, 01/20/2029, 3 mo. USD LIBOR + 1.250%(2)(4) | 635,133 | ||||||||
250,000 | 3.53%, 07/20/2029, 3 mo. USD LIBOR + 1.250%(2)(4) | 250,288 | ||||||||
250,000 | Carlyle U.S. CLO Ltd. 3.50%, 07/20/2031, 3 mo. USD LIBOR + 1.220%(2)(4) | 249,381 | ||||||||
970,000 | CIFC Funding Ltd. 3.78%, 04/18/2031, 3 mo. USD LIBOR + 1.000%(2)(4) | 959,356 | ||||||||
260,000 | Dewolf Park CLO Ltd. 3.51%, 10/15/2030, 3 mo. USD LIBOR + 1.210%(2)(4) | 259,639 | ||||||||
Dryden Senior Loan Fund |
| |||||||||
1,605,000 | 3.27%, 04/15/2031, 3 mo. USD LIBOR + 0.970%(2)(4) | 1,590,341 | ||||||||
1,550,000 | 3.53%, 04/15/2029, 3 mo. USD LIBOR + 1.123%(2)(4) | 1,550,420 | ||||||||
250,000 | Madison Park Funding Ltd. 3.25%, 04/19/2030, 3 mo. USD LIBOR + 0.950%(2)(4) | 249,166 | ||||||||
250,000 | Neuberger Berman CLO Ltd. 3.10%, 07/15/2027, 3 mo. USD LIBOR + 0.800%(2)(4) | 249,062 | ||||||||
925,000 | OCP CLO Ltd. 3.42%, 10/18/2028, 3 mo. USD LIBOR + 1.120%(2)(4) | 925,035 | ||||||||
550,000 | OZLM Ltd. 3.56%, 10/20/2031, 3 mo. USD LIBOR + 1.280%(2)(4) | 547,749 | ||||||||
1,278,102 | Preston Ridge Partners Mortgage Trust LLC 4.48%, 10/25/2023(2)(3) | 1,284,098 | ||||||||
539,588 | Pretium Mortgage Credit Partners LLC 4.83%, 09/25/2058(2)(5) | 544,427 | ||||||||
1,339,695 | TICP CLO Ltd. 3.12%, 04/20/2028, 3 mo. USD LIBOR + 0.840%(2)(4) | 1,331,079 | ||||||||
305,087 | Towd Point Mortgage Trust 3.25%, 07/25/2058(2)(3) | 308,465 | ||||||||
623,915 | Vericrest Opportunity Loan Trust 3.97%, 03/25/2049(2)(5) | 627,795 | ||||||||
646,690 | VOLT LXIV LLC 3.38%, 10/25/2047(2)(5) | 646,165 | ||||||||
900,026 | VOLT LXVI LLC 4.34%, 05/25/2048(2)(5) | 900,601 | ||||||||
98,020 | VOLT LXX LLC 4.12%, 09/25/2048(2)(5) | 98,139 | ||||||||
582,362 | VOLT LXXI LLC 3.97%, 09/25/2048(2)(5) | 583,552 | ||||||||
791,350 | VOLT LXXIII LLC 4.46%, 10/25/2048(2)(5) | 794,266 | ||||||||
1,315,739 | VOLT LXXIV LLC 4.58%, 11/25/2048(2)(5) | 1,319,970 | ||||||||
705,000 | Voya CLO Ltd. 3.49%, 10/18/2031, 3 mo. USD LIBOR + 1.190%(2)(4) | 704,286 | ||||||||
|
| |||||||||
18,481,898 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 19.0% - (continued) | ||||||||||
Whole Loan Collateral CMO - 6.0% | ||||||||||
$ | 133,421 | Bear Stearns Adjustable Rate Mortgage Trust 4.56%, 08/25/2035(3) | $ | 133,788 | ||||||
Bellemeade Re Ltd. |
| |||||||||
1,327,000 | 3.47%, 10/25/2027, 1 mo. USD LIBOR + 1.200%(2)(4) | 1,326,998 | ||||||||
1,157,070 | 3.57%, 03/25/2029, 1 mo. USD LIBOR + 1.300%(2)(4) | 1,157,277 | ||||||||
87,311 | CIM Trust 3.00%, 04/25/2057(2)(3) | 87,233 | ||||||||
131,563 | CSMC Trust 4.13%, 07/25/2058(2)(3) | 132,598 | ||||||||
Fannie Mae Connecticut Avenue Securities |
| |||||||||
26,515 | 2.82%, 01/25/2030, 1 mo. USD LIBOR + 0.550%(4) | 26,518 | ||||||||
88,176 | 2.87%, 07/25/2030, 1 mo. USD LIBOR + 0.600%(4) | 88,176 | ||||||||
49,800 | 2.92%, 05/25/2030, 1 mo. USD LIBOR + 0.650%(4) | 49,795 | ||||||||
1,153,242 | 2.92%, 05/28/2030, 1 mo. USD LIBOR + 0.650%(4) | 1,153,770 | ||||||||
259,137 | 2.92%, 08/25/2030, 1 mo. USD LIBOR + 0.650%(4) | 259,155 | ||||||||
302,279 | 2.95%, 10/25/2030, 1 mo. USD LIBOR + 0.680%(4) | 302,480 | ||||||||
94,890 | 2.99%, 01/25/2031, 1 mo. USD LIBOR + 0.720%(4) | 94,964 | ||||||||
59,181 | 3.02%, 02/25/2030, 1 mo. USD LIBOR + 0.750%(4) | 59,194 | ||||||||
51,063 | 3.12%, 11/25/2029, 1 mo. USD LIBOR + 0.850%(4) | 51,135 | ||||||||
95,129 | 3.22%, 10/25/2029, 1 mo. USD LIBOR + 0.950%(4) | 95,402 | ||||||||
41,704 | 3.42%, 09/25/2029, 1 mo. USD LIBOR + 1.150%(4) | 41,810 | ||||||||
40,592 | 3.57%, 04/25/2029, 1 mo. USD LIBOR + 1.300%(4) | 40,744 | ||||||||
7,004 | 3.87%, 01/25/2024, 1 mo. USD LIBOR + 1.600%(4) | 7,009 | ||||||||
200,000 | 4.47%, 08/25/2030, 1 mo. USD LIBOR + 2.200%(4) | 201,509 | ||||||||
200,000 | 4.52%, 07/25/2030, 1 mo. USD LIBOR + 2.250%(4) | 202,094 | ||||||||
200,000 | 4.62%, 01/25/2031, 1 mo. USD LIBOR + 2.350%(4) | 202,014 | ||||||||
207,287 | 4.87%, 05/25/2024, 1 mo. USD LIBOR + 2.600%(4) | 216,100 | ||||||||
1,324,950 | 5.27%, 07/25/2024, 1 mo. USD LIBOR + 3.000%(4) | 1,401,215 | ||||||||
890,000 | 5.82%, 07/25/2029, 1 mo. USD LIBOR + 3.550%(4) | 939,913 | ||||||||
1,745,000 | 6.52%, 01/25/2029, 1 mo. USD LIBOR + 4.250%(4) | 1,861,128 | ||||||||
844,312 | 6.62%, 05/25/2029, 1 mo. USD LIBOR + 4.350%(4) | 902,054 | ||||||||
1,500,000 | 6.67%, 01/25/2024, 1 mo. USD LIBOR + 4.400%(4) | 1,644,791 | ||||||||
748,076 | 7.17%, 11/25/2024, 1 mo. USD LIBOR + 4.900%(4) | 828,666 | ||||||||
1,930,650 | 7.27%, 07/25/2025, 1 mo. USD LIBOR + 5.000%(4) | 2,075,243 | ||||||||
1,355,978 | 7.97%, 04/25/2028, 1 mo. USD LIBOR + 5.700%(4) | 1,500,093 | ||||||||
551,324 | 8.27%, 09/25/2028, 1 mo. USD LIBOR + 6.000%(4) | 607,696 | ||||||||
970,038 | 9.02%, 08/25/2028, 1 mo. USD LIBOR + 6.750%(4) | 1,087,955 |
The accompanying notes are an integral part of these financial statements.
| 36 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 19.0% - (continued) | ||||||||||
Whole Loan Collateral CMO - 6.0% - (continued) | ||||||||||
$ | 975,000 | Home Re Ltd. 3.87%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(2)(4) | $ | 973,486 | ||||||
713,091 | LSTAR Securities Investment Trust 4.10%, 03/01/2024, 1 mo. USD LIBOR + 1.700%(2)(4) | 714,805 | ||||||||
80,300 | Mill City Mortgage Loan Trust 2.75%, 01/25/2061(2)(3) | 80,474 | ||||||||
1,095,122 | New Residential Mortgage LLC 3.79%, 07/25/2054(2) | 1,106,876 | ||||||||
New Residential Mortgage Loan Trust |
| |||||||||
518,514 | 3.02%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(2)(4) | 517,441 | ||||||||
1,495,075 | 3.50%, 12/25/2057(2)(3) | 1,522,221 | ||||||||
800,273 | 4.00%, 04/25/2057(2)(3) | 826,798 | ||||||||
818,642 | 4.00%, 08/27/2057(2)(3) | 844,663 | ||||||||
1,026,567 | 4.00%, 09/25/2057(2)(3) | 1,049,531 | ||||||||
2,115,000 | NRZ Advance Receivables Trust 2.59%, 07/15/2052(2) | 2,114,763 | ||||||||
OZLM Ltd. |
| |||||||||
250,000 | 3.31%, 07/17/2029, 3 mo. USD LIBOR + 1.010%(2)(4) | 248,275 | ||||||||
950,000 | 3.32%, 04/30/2027, 3 mo. USD LIBOR + 1.050%(2)(4) | 948,396 | ||||||||
1,200,000 | 3.53%, 07/20/2030, 3 mo. USD LIBOR + 1.250%(2)(4) | 1,194,844 | ||||||||
941,809 | PMT Credit Risk Transfer Trust 4.40%, 03/27/2024, 1 mo. USD LIBOR + 2.000%(2)(4) | 942,613 | ||||||||
Seasoned Credit Risk Transfer Trust |
| |||||||||
598,990 | 3.50%, 11/25/2057 | 629,563 | ||||||||
1,576,530 | 3.50%, 07/25/2058 | 1,654,783 | ||||||||
Structured Agency Credit Risk Trust |
| |||||||||
1,398,458 | 3.92%, 04/25/2043, 1 mo. USD LIBOR + 1.650%(2)(4) | 1,399,624 | ||||||||
55,000 | 4.37%, 09/25/2048, 1 mo. USD LIBOR + 2.100%(2)(4) | 55,155 | ||||||||
|
| |||||||||
35,602,828 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage Backed Securities | $ | 112,188,813 | ||||||||
|
| |||||||||
CORPORATE BONDS - 32.2% | ||||||||||
Aerospace/Defense - 0.6% | ||||||||||
$ | 600,000 | Boeing Co. 3.25%, 02/01/2035 | $ | 604,029 | ||||||
Lockheed Martin Corp. |
| |||||||||
245,000 | 4.09%, 09/15/2052 | 269,299 | ||||||||
195,000 | 4.50%, 05/15/2036 | 225,821 | ||||||||
United Technologies Corp. |
| |||||||||
590,000 | 2.80%, 05/04/2024 | 599,399 | ||||||||
995,000 | 3.65%, 08/16/2023 | 1,042,284 | ||||||||
540,000 | 3.95%, 08/16/2025 | 581,339 | ||||||||
390,000 | 4.45%, 11/16/2038 | 447,489 | ||||||||
10,000 | 4.63%, 11/16/2048 | 11,843 | ||||||||
|
| |||||||||
3,781,503 | ||||||||||
|
| |||||||||
Agriculture - 0.7% | ||||||||||
Altria Group, Inc. | ||||||||||
290,000 | 2.63%, 09/16/2026 | 281,152 | ||||||||
240,000 | 3.80%, 02/14/2024 | 249,852 | ||||||||
175,000 | 3.88%, 09/16/2046 | 156,495 | ||||||||
255,000 | 4.40%, 02/14/2026 | 271,989 | ||||||||
700,000 | 4.80%, 02/14/2029 | 755,348 | ||||||||
780,000 | 5.80%, 02/14/2039 | 895,009 | ||||||||
410,000 | 5.95%, 02/14/2049 | 477,068 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Agriculture - 0.7% - (continued) | ||||||||||
$ | 995,000 | BAT Capital Corp. 4.39%, 08/15/2037 | $ | 958,950 | ||||||
365,000 | Imperial Brands Finance plc 3.75%, 07/21/2022(2) | 374,976 | ||||||||
|
| |||||||||
4,420,839 | ||||||||||
|
| |||||||||
Airlines - 0.1% | ||||||||||
Delta Air Lines, Inc. | ||||||||||
75,000 | 3.63%, 03/15/2022 | 76,457 | ||||||||
470,000 | 3.80%, 04/19/2023 | 484,791 | ||||||||
|
| |||||||||
561,248 | ||||||||||
|
| |||||||||
Auto Manufacturers - 0.7% | ||||||||||
300,000 | Daimler Finance North America LLC 2.93%, 01/06/2020, 3 mo. USD LIBOR + 0.630%(4)(6) | 300,590 | ||||||||
245,000 | Ford Motor Co. 5.29%, 12/08/2046 | 226,817 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||
200,000 | 3.82%, 11/02/2027(7) | 191,159 | ||||||||
325,000 | 4.54%, 08/01/2026 | 327,761 | ||||||||
200,000 | 5.11%, 05/03/2029 | 203,814 | ||||||||
General Motors Co. |
| |||||||||
115,000 | 5.20%, 04/01/2045 | 112,268 | ||||||||
30,000 | 5.40%, 04/01/2048 | 29,785 | ||||||||
130,000 | 5.95%, 04/01/2049 | 138,910 | ||||||||
255,000 | 6.25%, 10/02/2043 | 276,193 | ||||||||
410,000 | 6.75%, 04/01/2046 | 470,223 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||
170,000 | 3.11%, 11/06/2020, 3 mo. USD LIBOR + 0.540%(4) | 169,497 | ||||||||
250,000 | 3.15%, 01/15/2020 | 250,374 | ||||||||
300,000 | 3.23%, 04/13/2020, 3 mo. USD LIBOR + 0.930%(4) | 300,785 | ||||||||
280,000 | 3.95%, 04/13/2024 | 287,044 | ||||||||
255,000 | 4.30%, 07/13/2025 | 262,628 | ||||||||
CAD | 400,000 | Toyota Credit Canada, Inc. 1.80%, 02/19/2020(6) | 304,236 | |||||||
610,000 | VW Credit Canada, Inc. 2.50%, 10/01/2019(6) | 464,797 | ||||||||
|
| |||||||||
4,316,881 | ||||||||||
|
| |||||||||
Auto Parts & Equipment - 0.0% | ||||||||||
$ | 30,000 | Goodyear Tire & Rubber Co. 5.00%, 05/31/2026(7) | 29,930 | |||||||
|
| |||||||||
Beverages - 0.9% | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
205,000 | 3.75%, 07/15/2042 | 200,012 | ||||||||
1,325,000 | 4.60%, 04/15/2048 | 1,444,817 | ||||||||
1,473,000 | 5.45%, 01/23/2039 | 1,782,897 | ||||||||
Constellation Brands, Inc. |
| |||||||||
5,000 | 2.65%, 11/07/2022 | 5,019 | ||||||||
300,000 | 3.60%, 02/15/2028 | 312,882 | ||||||||
290,000 | 4.40%, 11/15/2025 | 317,830 | ||||||||
436,000 | 4.75%, 12/01/2025 | 484,907 | ||||||||
610,000 | Molson Coors Brewing Co. 3.00%, 07/15/2026 | 608,583 | ||||||||
|
| |||||||||
5,156,947 | ||||||||||
|
| |||||||||
Biotechnology - 0.1% | ||||||||||
410,000 | Amgen, Inc. 2.65%, 05/11/2022 | 412,383 | ||||||||
200,000 | Gilead Sciences, Inc. 3.25%, 09/01/2022 | 205,336 | ||||||||
|
| |||||||||
617,719 | ||||||||||
|
| |||||||||
Chemicals - 0.7% | ||||||||||
290,000 | Chemours Co. 5.38%, 05/15/2027 | 255,200 | ||||||||
DuPont de Nemours, Inc. |
| |||||||||
1,010,000 | 4.21%, 11/15/2023 | 1,075,182 | ||||||||
160,000 | 4.73%, 11/15/2028 | 179,987 | ||||||||
Methanex Corp. |
| |||||||||
375,000 | 4.25%, 12/01/2024 | 383,043 | ||||||||
145,000 | 5.65%, 12/01/2044 | 139,864 | ||||||||
130,000 | Nutrien Ltd. 4.20%, 04/01/2029 | 140,306 | ||||||||
105,000 | Olin Corp. 5.13%, 09/15/2027 | 105,572 |
The accompanying notes are an integral part of these financial statements.
| 37 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Chemicals - 0.7% - (continued) | ||||||||||
$ | 530,000 | SABIC Capital II B.V. 4.00%, 10/10/2023(2) | $ | 554,942 | ||||||
Sherwin-Williams Co. |
| |||||||||
155,000 | 3.13%, 06/01/2024 | 158,147 | ||||||||
415,000 | 3.45%, 06/01/2027 | 425,429 | ||||||||
520,000 | Syngenta Finance N.V. 4.89%, 04/24/2025(2) | 544,624 | ||||||||
|
| |||||||||
3,962,296 | ||||||||||
|
| |||||||||
Commercial Banks - 9.6% | ||||||||||
Bank of America Corp. |
| |||||||||
1,020,000 | 3.19%, 07/23/2030, (3.19% fixed rate until 07/23/2029; 3 mo. USD LIBOR + 1.180% thereafter)(8) | 1,028,362 | ||||||||
105,000 | 3.37%, 01/23/2026, (3.37% fixed rate until 01/23/2025; 3 mo. USD LIBOR + 0.810% thereafter)(8) | 108,000 | ||||||||
2,030,000 | 3.42%, 12/20/2028, (3.42% fixed rate until 12/20/2027; 3 mo. USD LIBOR + 1.040% thereafter)(8) | 2,091,561 | ||||||||
1,865,000 | 3.71%, 04/24/2028, (3.71% fixed rate until 04/24/2027; 3 mo. USD LIBOR + 1.512% thereafter)(8) | 1,959,940 | ||||||||
860,000 | 3.86%, 07/23/2024, (3.86% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.940% thereafter)(8) | 901,651 | ||||||||
515,000 | 3.97%, 02/07/2030, (3.97% fixed rate until 02/07/2029; 3 mo. USD LIBOR + 1.210% thereafter)(8) | 551,837 | ||||||||
1,070,000 | 4.00%, 01/22/2025 | 1,123,122 | ||||||||
200,000 | Bank of China Hong Kong Ltd. 5.55%, 02/11/2020(6) | 202,816 | ||||||||
550,000 | Bank of China Ltd. 3.30%, 02/14/2020, 3 mo. USD LIBOR + 0.770%(4)(6) | 550,314 | ||||||||
450,000 | Barclays plc 3.93%, 05/07/2025, (3.93% fixed rate until 05/07/2024; 3 mo. USD LIBOR + 1.610% thereafter)(8) | 454,631 | ||||||||
AUD | 2,070,000 | BNG Bank N.V. 1.90%, 11/26/2025(6) | 1,459,356 | |||||||
BNP Paribas S.A. |
| |||||||||
$ | 1,075,000 | 5.13%, 11/15/2027, (5.13% fixed rate until 11/15/2027; 5 year USD Swap + 2.838% thereafter)(2)(8)(9) | 1,016,950 | |||||||
475,000 | 7.38%, 08/19/2025,(7.38% fixed rate until 08/19/2025; 5 year USD Swap + 5.150% thereafter)(2)(8)(9) | 526,062 | ||||||||
575,000 | BPCE S.A. 3.00%, 05/22/2022(2) | 580,337 | ||||||||
500,000 | Capital One Financial Corp. 3.90%, 01/29/2024 | 526,662 | ||||||||
Citigroup, Inc. |
| |||||||||
AUD | 45,000 | 2.80%, 08/07/2019, 3 mo. BBSW + 1.250%(4) | 31,025 | |||||||
$ | 630,000 | 2.88%, 07/24/2023, (2.88% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.950% thereafter)(8) | 635,184 | |||||||
1,705,000 | 3.20%, 10/21/2026 | 1,742,458 | ||||||||
750,000 | 3.35%, 04/24/2025, (3.35% fixed rate until 04/24/2024; 3 mo. USD LIBOR + 0.897% thereafter)(8) | 770,114 | ||||||||
500,000 | 3.52%, 10/27/2028, (3.52% fixed rate until 10/27/2027; 3 mo. USD LIBOR + 1.151% thereafter)(8) | 516,074 | ||||||||
895,000 | 3.98%, 03/20/2030, (3.98% fixed rate until 03/20/2029; 3 mo. USD LIBOR + 1.338% thereafter)(8) | 956,358 | ||||||||
5,000 | 4.13%, 07/25/2028 | 5,287 | ||||||||
EUR | 200,000 | Cooperatieve Rabobank UA 6.63%, 06/29/2021, (6.63% fixed rate until 06/29/2021; 5 year EUR Swap + 6.697% thereafter)(6)(8)(9) | 245,505 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Commercial Banks - 9.6% - (continued) | ||||||||||
Credit Agricole S.A. |
| |||||||||
$ | 600,000 | 7.88%, 01/23/2024, (7.88% fixed rate until 01/23/2024; 5 year USD Swap + 4.898% thereafter)(2)(8)(9) | $ | 662,250 | ||||||
600,000 | 8.13%, 12/23/2025, (8.13% fixed rate until 12/23/2025 ; 5 year USD Swap + 6.185% thereafter)(2)(8)(9) | 695,250 | ||||||||
1,550,000 | Credit Suisse Group AG 6.25%, 12/18/2024, (6.25% fixed until 12/18/2024; 5 year USD Swap + 3.455% thereafter)(6)(8)(9) | 1,632,342 | ||||||||
390,000 | Credit Suisse Group Funding Guernsey Ltd. 4.59%, 04/16/2021, 3 mo. USD LIBOR + 2.290%(4) | 401,807 | ||||||||
Danske Bank A/S |
| |||||||||
510,000 | 5.00%, 01/12/2022(2) | 534,171 | ||||||||
530,000 | 5.38%, 01/12/2024(2) | 576,926 | ||||||||
EUR | 775,000 | 5.88%, 04/06/2022, (5.88% fixed rate until 04/06/2022; 5 year EUR Swap + 5.471% therafter)(6)(8)(9) | 913,579 | |||||||
$ | 375,000 | DNB Bank ASA 6.50%, 03/26/2022, (6.50% fixed rate until 03/26/2022; 5 year USD Swap + 5.080% thereafter)(6)(8)(9) | 395,269 | |||||||
Goldman Sachs Group, Inc. |
| |||||||||
20,000 | 2.88%, 10/31/2022, (2.88% fixed rate until 10/31/2021; 3 mo. USD LIBOR + 0.821% thereafter)(8) | 20,123 | ||||||||
100,000 | 2.91%, 07/24/2023, (2.91% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.990% thereafter)(8) | 100,756 | ||||||||
2,420,000 | 3.50%, 11/16/2026 | 2,486,862 | ||||||||
1,450,000 | 3.69%, 06/05/2028, (3.69% fixed rate until 06/05/2027; 3 mo. USD LIBOR + 1.510% thereafter)(8) | 1,507,319 | ||||||||
260,000 | 3.81%, 04/23/2029, (3.81% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.158% thereafter)(8) | 272,076 | ||||||||
140,000 | 4.02%, 10/31/2038, (4.02% fixed rate until 10/31/2037; 3 mo. USD LIBOR + 1.373% thereafter)(8) | 145,437 | ||||||||
40,000 | 5.15%, 05/22/2045 | 46,357 | ||||||||
435,000 | 6.75%, 10/01/2037 | 576,776 | ||||||||
CAD | 500,000 | HSBC Bank Canada 2.94%, 01/14/2020 | 382,413 | |||||||
HSBC Holdings plc |
| |||||||||
$ | 280,000 | 3.40%, 03/08/2021 | 283,843 | |||||||
895,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD LIBOR + 1.535% thereafter)(8) | 973,146 | ||||||||
1,250,000 | 6.38%, 03/30/2025, (6.38% fixed rate until 03/30/2025; 5 year USD ICE Swap + 4.368% thereafter)(8)(9) | 1,316,250 | ||||||||
Industrial & Commercial Bank of China Ltd. |
| |||||||||
200,000 | 3.07%, 04/16/2021, 3 mo. USD LIBOR + 0.750%(4)(6) | 200,295 | ||||||||
250,000 | 3.29%, 05/23/2020, 3 mo. USD LIBOR + 0.770%(4)(6) | 250,302 | ||||||||
Intesa Sanpaolo S.p.A. |
| |||||||||
EUR | 200,000 | 7.00%, 01/19/2021, (7.00% fixed rate until 01/19/2021; 5 year EUR Swap + 6.884% thereafter)(6)(8)(9) | 232,701 | |||||||
$ | 675,000 | 7.70%, 09/17/2025, (7.70% fixed rate until 09/17/2025; 5 year USD Swap + 5.462% thereafter)(2)(7)(8)(9) | 672,469 | |||||||
JP Morgan Chase & Co. |
| |||||||||
325,000 | 2.40%, 06/07/2021 | 325,344 | ||||||||
230,000 | 3.22%, 03/01/2025, (3.22% fixed rate until 03/01/2024; 3 mo. USD LIBOR + 1.155% thereafter)(8) | 236,067 |
The accompanying notes are an integral part of these financial statements.
| 38 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Commercial Banks - 9.6% - (continued) | ||||||||||
$ | 15,000 | 3.51%, 01/23/2029, (3.51% fixed rate until 01/23/2028; 3 mo. USD LIBOR + 0.945% thereafter)(8) | $ | 15,633 | ||||||
1,100,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD LIBOR + 1.160% thereafter)(8) | 1,164,931 | ||||||||
2,390,000 | 3.80%, 07/23/2024, (3.80% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.890% thereafter)(8) | 2,501,893 | ||||||||
935,000 | 3.96%, 01/29/2027, (3.96% fixed rate until 01/29/2026; 3 mo. USD LIBOR + 1.245% thereafter)(8) | 1,000,305 | ||||||||
620,000 | 4.01%, 04/23/2029, (4.01% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.120% thereafter)(8) | 668,482 | ||||||||
Morgan Stanley |
| |||||||||
1,015,000 | 2.50%, 04/21/2021 | 1,016,934 | ||||||||
125,000 | 2.75%, 05/19/2022 | 125,907 | ||||||||
2,145,000 | 3.13%, 07/27/2026 | 2,174,957 | ||||||||
685,000 | 3.59%, 07/22/2028, (3.59% fixed rate until 07/22/2027; 3 mo. USD LIBOR + 1.340% thereafter)(8) | 711,472 | ||||||||
75,000 | 4.00%, 07/23/2025 | 79,940 | ||||||||
375,000 | 5.00%, 11/24/2025 | 414,414 | ||||||||
Royal Bank of Canada |
| |||||||||
595,000 | 2.55%, 07/16/2024 | 594,829 | ||||||||
1,185,000 | 2.80%, 04/29/2022 | 1,197,912 | ||||||||
200,000 | Royal Bank of Scotland Group plc 8.00%, 08/10/2025, (8.00% fixed rate until 08/10/2025, 5 year USD Swap + 5.720% thereafter)(8)(9) | 214,250 | ||||||||
470,000 | Santander Holdings USA, Inc. 3.70%, 03/28/2022 | 480,139 | ||||||||
825,000 | Societe Generale S.A. 7.38%, 09/13/2021, (7.38% fixed rate until 09/13/2021; 5 year USD Swap + 6.238% thereafter)(2)(8)(9) | 859,031 | ||||||||
Standard Chartered plc |
| |||||||||
875,000 | 7.50%, 04/02/2022, (7.50% fixed rate until 04/02/2022; 5 year USD Swap + 6.301% thereafter)(2)(8)(9) | 927,062 | ||||||||
200,000 | 7.50%, 04/02/2022, (7.50% fixed rate until 04/02/2022; 5 year USD Swap + 6.301% thereafter)(6)(8)(9) | 211,900 | ||||||||
UBS Group Funding Switzerland AG |
| |||||||||
680,000 | 2.65%, 02/01/2022(2) | 682,892 | ||||||||
325,000 | 7.00%, 01/31/2024, (7.00% fixed rate until 01/31/2024; 3 mo. USD LIBOR + 4.344% thereafter)(2)(8)(9) | 342,875 | ||||||||
1,125,000 | 7.00%, 02/19/2025, (7.00% fixed rate until 02/29/2025; 5 year USD Swap + 4.866% thereafter)(6)(8)(9) | 1,236,094 | ||||||||
UniCredit S.p.A. |
| |||||||||
EUR | 775,000 | 5.38%, 06/03/2025, (5.38% fixed rate until 06/03/2025; 5 year EUR Swap + 4.925% thereafter)(6)(8)(9) | 813,730 | |||||||
$ | 650,000 | 6.57%, 01/14/2022(2) | 695,587 | |||||||
Wells Fargo & Co. |
| |||||||||
305,000 | 2.63%, 07/22/2022 | 306,738 | ||||||||
865,000 | 3.00%, 04/22/2026 | 875,374 | ||||||||
140,000 | 3.00%, 10/23/2026 | 141,589 | ||||||||
2,445,000 | 3.07%, 01/24/2023 | 2,480,762 | ||||||||
385,000 | 3.75%, 01/24/2024 | 403,394 | ||||||||
470,000 | 4.75%, 12/07/2046 | 540,398 | ||||||||
|
| |||||||||
56,703,160 | ||||||||||
|
| |||||||||
Commercial Services - 0.4% | ||||||||||
1,580,000 | IHS Markit Ltd. 4.13%, 08/01/2023 | 1,649,520 | ||||||||
45,000 | Service Corp. International 5.13%, 06/01/2029 | 47,433 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Commercial Services - 0.4% - (continued) | ||||||||||
$ | 380,000 | United Rentals North America, Inc. 5.88%, 09/15/2026 | $ | 404,225 | ||||||
|
| |||||||||
2,101,178 | ||||||||||
|
| |||||||||
Construction Materials - 0.1% | ||||||||||
450,000 | Standard Industries, Inc. 6.00%, 10/15/2025(2) | 473,063 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.3% | ||||||||||
635,000 | American Express Co. 3.40%, 02/27/2023 | 655,695 | ||||||||
AUD | 410,000 | GE Capital Australia Funding Pty Ltd. 5.00%, 09/26/2019(6) | 283,836 | |||||||
CAD | 370,000 | GE Capital Canada Funding Co. 5.68%, 09/10/2019 | 282,774 | |||||||
$ | 380,000 | Navient Corp. 7.25%, 01/25/2022 | 413,250 | |||||||
CAD | 500,000 | Nissan Canada, Inc. 1.58%, 10/07/2019 | 380,448 | |||||||
|
| |||||||||
2,016,003 | ||||||||||
|
| |||||||||
Electric - 1.7% | ||||||||||
AES Corp. |
| |||||||||
$ | 140,000 | 4.88%, 05/15/2023 | 141,753 | |||||||
125,000 | 5.13%, 09/01/2027 | 132,325 | ||||||||
40,000 | Appalachian Power Co. 6.38%, 04/01/2036 | 51,693 | ||||||||
325,000 | Berkshire Hathaway Energy Co. 3.25%, 04/15/2028 | 337,414 | ||||||||
20,000 | Cleco Corporate Holdings LLC 4.97%, 05/01/2046 | 21,693 | ||||||||
395,000 | Commonwealth Edison Co. 3.65%, 06/15/2046 | 412,160 | ||||||||
560,000 | Dominion Energy South Carolina, Inc. 4.25%, 08/15/2028 | 626,087 | ||||||||
335,000 | DTE Energy Co. 1.50%, 10/01/2019 | 334,538 | ||||||||
350,000 | Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 386,814 | ||||||||
1,280,000 | Duke Energy Corp. 2.65%, 09/01/2026 | 1,266,883 | ||||||||
295,000 | Duke Energy Progress LLC 3.60%, 09/15/2047 | 300,770 | ||||||||
Exelon Corp. |
| |||||||||
725,000 | 2.85%, 06/15/2020 | 726,821 | ||||||||
725,000 | 3.95%, 06/15/2025 | 772,572 | ||||||||
140,000 | Fortis, Inc. 2.10%, 10/04/2021 | 138,613 | ||||||||
1,053,000 | Georgia Power Co. 2.00%, 09/08/2020 | 1,047,715 | ||||||||
460,000 | IPALCO Enterprises, Inc. 3.70%, 09/01/2024 | 472,873 | ||||||||
30,000 | ITC Holdings Corp. 3.25%, 06/30/2026 | 30,717 | ||||||||
765,000 | NextEra Energy Capital Holdings, Inc. 3.15%, 04/01/2024 | 785,506 | ||||||||
145,000 | Oncor Electric Delivery Co. LLC 5.75%, 03/15/2029 | 180,357 | ||||||||
525,000 | Public Service Enterprise Group, Inc. 2.88%, 06/15/2024 | 531,041 | ||||||||
600,000 | Puget Energy, Inc. 3.65%, 05/15/2025 | 614,572 | ||||||||
Southern Co. |
| |||||||||
115,000 | 2.95%, 07/01/2023 | 117,417 | ||||||||
515,000 | 3.25%, 07/01/2026 | 525,530 | ||||||||
10,000 | 4.40%, 07/01/2046 | 10,666 | ||||||||
|
| |||||||||
9,966,530 | ||||||||||
|
| |||||||||
Electronics - 0.1% | ||||||||||
335,000 | Fortive Corp. 2.35%, 06/15/2021 | 333,659 | ||||||||
|
| |||||||||
Engineering & Construction - 0.3% | ||||||||||
680,000 | Fluor Corp. 4.25%, 09/15/2028 | 708,129 | ||||||||
1,150,000 | International Airport Finance S.A. 12.00%, 03/15/2033(2) | 1,292,600 | ||||||||
|
| |||||||||
2,000,729 | ||||||||||
|
| |||||||||
Entertainment - 0.1% | ||||||||||
370,000 | GLP Capital L.P. / GLP Financing II, Inc. 5.30%, 01/15/2029 | 400,784 | ||||||||
445,000 | WMG Acquisition Corp. 4.88%, 11/01/2024(2) | 457,237 | ||||||||
|
| |||||||||
858,021 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 39 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Environmental Control - 0.1% | ||||||||||
Clean Harbors, Inc. |
| |||||||||
$ | 65,000 | 4.88%, 07/15/2027(2) | $ | 66,869 | ||||||
45,000 | 5.13%, 07/15/2029(2) | 47,432 | ||||||||
Waste Management, Inc. |
| |||||||||
370,000 | 3.20%, 06/15/2026 | 384,756 | ||||||||
115,000 | 3.45%, 06/15/2029 | 121,062 | ||||||||
75,000 | 4.15%, 07/15/2049 | 82,898 | ||||||||
|
| |||||||||
703,017 | ||||||||||
|
| |||||||||
Food - 0.4% | ||||||||||
Conagra Brands, Inc. |
| |||||||||
40,000 | 4.30%, 05/01/2024 | 42,478 | ||||||||
215,000 | 4.60%, 11/01/2025 | 233,727 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||
765,000 | 3.00%, 06/01/2026 | 752,424 | ||||||||
10,000 | 4.38%, 06/01/2046 | 9,602 | ||||||||
1,440,000 | NBM U.S. Holdings, Inc. 7.00%, 05/14/2026(2) | 1,485,360 | ||||||||
|
| |||||||||
2,523,591 | ||||||||||
|
| |||||||||
Food Service - 0.1% | ||||||||||
420,000 | Aramark Services, Inc. 5.00%, 02/01/2028(2) | 437,850 | ||||||||
|
| |||||||||
Forest Products & Paper - 0.4% | ||||||||||
Suzano Austria GmbH |
| |||||||||
1,445,000 | 5.00%, 01/15/2030(2) | 1,479,680 | ||||||||
690,000 | 6.00%, 01/15/2029(2) | 761,553 | ||||||||
|
| |||||||||
2,241,233 | ||||||||||
|
| |||||||||
Gas - 0.1% | ||||||||||
AmeriGas Partners L.P. / AmeriGas Finance Corp. |
| |||||||||
85,000 | 5.63%, 05/20/2024 | 90,206 | ||||||||
140,000 | 5.88%, 08/20/2026 | 148,400 | ||||||||
435,000 | Sempra Energy 2.40%, 02/01/2020 | 434,555 | ||||||||
|
| |||||||||
673,161 | ||||||||||
|
| |||||||||
Healthcare - Products - 0.4% | ||||||||||
Becton Dickinson and Co. |
| |||||||||
975,000 | 3.36%, 06/06/2024 | 1,007,423 | ||||||||
388,000 | 3.70%, 06/06/2027 | 406,270 | ||||||||
410,000 | Boston Scientific Corp. 4.00%, 03/01/2028 | 443,126 | ||||||||
Thermo Fisher Scientific, Inc. |
| |||||||||
85,000 | 2.95%, 09/19/2026 | 85,973 | ||||||||
145,000 | 3.00%, 04/15/2023 | 147,938 | ||||||||
|
| |||||||||
2,090,730 | ||||||||||
|
| |||||||||
Healthcare - Services - 1.0% | ||||||||||
205,000 | Aetna, Inc. 2.80%, 06/15/2023 | 205,404 | ||||||||
990,000 | Anthem, Inc. 3.65%, 12/01/2027 | 1,025,322 | ||||||||
CHS/Community Health Systems, Inc. |
| |||||||||
70,000 | 5.13%, 08/01/2021 | 69,300 | ||||||||
20,000 | 6.25%, 03/31/2023 | 19,150 | ||||||||
Cigna Corp. |
| |||||||||
500,000 | 4.13%, 11/15/2025(2) | 530,971 | ||||||||
1,900,000 | 4.38%, 10/15/2028(2) | 2,060,673 | ||||||||
65,000 | Cigna Holding Co. 3.88%, 10/15/2047 | 61,089 | ||||||||
615,000 | HCA, Inc. 4.13%, 06/15/2029 | 629,988 | ||||||||
5,000 | Humana, Inc. 2.50%, 12/15/2020 | 4,997 | ||||||||
UnitedHealth Group, Inc. |
| |||||||||
395,000 | 2.38%, 08/15/2024 | 394,896 | ||||||||
230,000 | 3.50%, 08/15/2039 | 231,614 | ||||||||
305,000 | 3.70%, 12/15/2025 | 324,829 | ||||||||
95,000 | 3.70%, 08/15/2049 | 96,079 | ||||||||
196,000 | 3.75%, 10/15/2047 | 200,800 | ||||||||
|
| |||||||||
5,855,112 | ||||||||||
|
| |||||||||
Home Builders - 0.2% | ||||||||||
Lennar Corp. |
| |||||||||
190,000 | 4.75%, 11/29/2027 | 199,500 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Home Builders - 0.2% - (continued) | ||||||||||
$ | 200,000 | 5.25%, 06/01/2026 | $ | 212,540 | ||||||
70,000 | PulteGroup, Inc. 5.50%, 03/01/2026 | 75,425 | ||||||||
435,000 | Toll Brothers Finance Corp. 4.88%, 11/15/2025 | 457,837 | ||||||||
|
| |||||||||
945,302 | ||||||||||
|
| |||||||||
Insurance - 0.3% | ||||||||||
45,000 | Berkshire Hathaway Finance Corp. 4.20%, 08/15/2048 | 50,696 | ||||||||
90,000 | CNO Financial Group, Inc. 5.25%, 05/30/2025 | 96,975 | ||||||||
110,000 | Genworth Holdings, Inc. 4.90%, 08/15/2023 | 102,300 | ||||||||
Marsh & McLennan Cos., Inc. |
| |||||||||
420,000 | 3.88%, 03/15/2024 | 444,771 | ||||||||
270,000 | 4.38%, 03/15/2029 | 300,443 | ||||||||
305,000 | 4.75%, 03/15/2039 | 356,392 | ||||||||
40,000 | Massachusetts Mutual Life Insurance Co. 8.88%, 06/01/2039(2) | 66,186 | ||||||||
190,000 | Unum Group 4.00%, 06/15/2029 | 194,967 | ||||||||
275,000 | Willis North America, Inc. 3.60%, 05/15/2024 | 284,368 | ||||||||
|
| |||||||||
1,897,098 | ||||||||||
|
| |||||||||
Internet - 0.7% | ||||||||||
Alibaba Group Holding Ltd. |
| |||||||||
895,000 | 3.40%, 12/06/2027 | 912,570 | ||||||||
445,000 | 4.20%, 12/06/2047 | 476,281 | ||||||||
Amazon.com, Inc. |
| |||||||||
545,000 | 2.80%, 08/22/2024 | 558,252 | ||||||||
585,000 | 3.88%, 08/22/2037 | 647,835 | ||||||||
Tencent Holdings Ltd. |
| |||||||||
200,000 | 2.99%, 01/19/2023(2) | 201,985 | ||||||||
620,000 | 3.60%, 01/19/2028(2) | 639,328 | ||||||||
715,000 | 3.98%, 04/11/2029(2) | 753,779 | ||||||||
|
| |||||||||
4,190,030 | ||||||||||
|
| |||||||||
Iron/Steel - 0.2% | ||||||||||
200,000 | Commercial Metals Co. 5.38%, 07/15/2027 | 201,000 | ||||||||
175,000 | Steel Dynamics, Inc. 5.50%, 10/01/2024 | 180,637 | ||||||||
Vale Overseas Ltd. |
| |||||||||
495,000 | 6.25%, 08/10/2026 | 557,370 | ||||||||
170,000 | 6.88%, 11/10/2039 | 208,046 | ||||||||
|
| |||||||||
1,147,053 | ||||||||||
|
| |||||||||
IT Services - 0.5% | ||||||||||
Apple, Inc. |
| |||||||||
490,000 | 3.35%, 02/09/2027 | 515,690 | ||||||||
110,000 | 3.45%, 02/09/2045 | 110,668 | ||||||||
65,000 | Hewlett Packard Enterprise Co. 6.35%, 10/15/2045 | 73,472 | ||||||||
International Business Machines Corp. |
| |||||||||
575,000 | 3.00%, 05/15/2024 | 588,322 | ||||||||
895,000 | 3.30%, 05/15/2026 | 929,376 | ||||||||
895,000 | 3.50%, 05/15/2029 | 937,995 | ||||||||
|
| |||||||||
3,155,523 | ||||||||||
|
| |||||||||
Lodging - 0.1% | ||||||||||
450,000 | Hilton Domestic Operating Co., Inc. 5.13%, 05/01/2026 | 467,487 | ||||||||
285,000 | Las Vegas Sands Corp. 3.50%, 08/18/2026 | 286,018 | ||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. |
| |||||||||
16,000 | 5.25%, 05/15/2027(2) | 16,400 | ||||||||
14,000 | 5.50%, 03/01/2025(2) | 14,683 | ||||||||
|
| |||||||||
784,588 | ||||||||||
|
| |||||||||
Media - 1.7% | ||||||||||
300,000 | CBS Corp. 4.20%, 06/01/2029 | 318,466 | ||||||||
475,000 | CCO Holdings LLC / CCO Holdings Capital Corp. 5.13%, 05/01/2027(2) | 489,844 |
The accompanying notes are an integral part of these financial statements.
| 40 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Media - 1.7% - (continued) | ||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||||
$ | 1,295,000 | 4.20%, 03/15/2028 | $ | 1,344,529 | ||||||
915,000 | 5.38%, 05/01/2047 | 963,181 | ||||||||
475,000 | 5.75%, 04/01/2048 | 521,222 | ||||||||
Comcast Corp. |
| |||||||||
425,000 | 2.35%, 01/15/2027 | 415,011 | ||||||||
305,000 | 3.20%, 07/15/2036 | 300,701 | ||||||||
180,000 | 4.05%, 11/01/2052 | 191,634 | ||||||||
95,000 | 4.15%, 10/15/2028 | 104,700 | ||||||||
320,000 | 4.25%, 10/15/2030 | 358,253 | ||||||||
425,000 | 4.60%, 10/15/2038 | 492,450 | ||||||||
80,000 | 4.95%, 10/15/2058 | 97,217 | ||||||||
Cox Communications, Inc. |
| |||||||||
455,000 | 3.15%, 08/15/2024(2) | 463,067 | ||||||||
250,000 | 4.80%, 02/01/2035(2) | 257,036 | ||||||||
30,000 | 8.38%, 03/01/2039(2) | 42,386 | ||||||||
Discovery Communications LLC |
| |||||||||
310,000 | 3.95%, 06/15/2025 | 321,122 | ||||||||
580,000 | 4.90%, 03/11/2026 | 636,045 | ||||||||
270,000 | 5.00%, 09/20/2037 | 286,141 | ||||||||
115,000 | 5.30%, 05/15/2049 | 124,195 | ||||||||
500,000 | 6.35%, 06/01/2040 | 592,391 | ||||||||
DISH DBS Corp. |
| |||||||||
230,000 | 5.88%, 07/15/2022 | 232,477 | ||||||||
60,000 | 6.75%, 06/01/2021 | 62,457 | ||||||||
710,000 | Fox Corp. 4.03%, 01/25/2024(2) | 751,871 | ||||||||
75,000 | TEGNA, Inc. 5.50%, 09/15/2024(2) | 77,344 | ||||||||
Viacom, Inc. |
| |||||||||
145,000 | 4.25%, 09/01/2023 | 152,721 | ||||||||
425,000 | 4.38%, 03/15/2043 | 423,053 | ||||||||
200,000 | Videotron Ltd. 5.38%, 06/15/2024(2) | 214,000 | ||||||||
|
| |||||||||
10,233,514 | ||||||||||
|
| |||||||||
Mining - 0.3% | ||||||||||
Anglo American Capital plc |
| |||||||||
200,000 | 4.50%, 03/15/2028(2) | 209,330 | ||||||||
745,000 | 4.75%, 04/10/2027(2) | 790,198 | ||||||||
785,000 | Glencore Funding LLC 4.88%, 03/12/2029(2) | 832,467 | ||||||||
|
| |||||||||
1,831,995 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.0% | ||||||||||
280,000 | Ingersoll-Rand Global Holding Co., Ltd. 2.90%, 02/21/2021(7) | 281,411 | ||||||||
|
| |||||||||
Oil & Gas - 1.6% | ||||||||||
150,000 | Anadarko Petroleum Corp. 4.50%, 07/15/2044 | 149,998 | ||||||||
Canadian Natural Resources Ltd. |
| |||||||||
CAD | 310,000 | 2.05%, 06/01/2020 | 235,738 | |||||||
530,000 | 2.60%, 12/03/2019 | 404,255 | ||||||||
$ | 875,000 | 3.85%, 06/01/2027 | 905,169 | |||||||
760,000 | Cimarex Energy Co. 4.38%, 03/15/2029 | 795,538 | ||||||||
330,000 | EnCana Corp. 3.90%, 11/15/2021 | 337,197 | ||||||||
Hess Corp. |
| |||||||||
135,000 | 5.60%, 02/15/2041 | 142,722 | ||||||||
690,000 | 7.13%, 03/15/2033 | 842,294 | ||||||||
205,000 | 7.30%, 08/15/2031 | 250,437 | ||||||||
130,000 | Marathon Oil Corp. 3.85%, 06/01/2025 | 134,548 | ||||||||
95,000 | Marathon Petroleum Corp. 3.80%, 04/01/2028 | 97,155 | ||||||||
885,000 | Medco Oak Tree Pte Ltd. 7.38%, 05/14/2026(2) | 892,813 | ||||||||
490,000 | Noble Energy, Inc. 5.05%, 11/15/2044 | 522,883 | ||||||||
Petroleos Mexicanos |
| |||||||||
150,000 | 6.00%, 03/05/2020 | 152,034 | ||||||||
340,000 | 6.50%, 01/23/2029 | 332,265 | ||||||||
220,000 | 6.75%, 09/21/2047 | 199,408 | ||||||||
425,000 | QEP Resources, Inc. 5.25%, 05/01/2023 | 386,750 | ||||||||
600,000 | Saudi Arabian Oil Co. 2.88%, 04/16/2024(2) | 605,066 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Oil & Gas - 1.6% - (continued) | ||||||||||
$ | 200,000 | Sinopec Group Overseas Development Ltd. 1.75%, 09/29/2019(6) | $ | 199,772 | ||||||
220,000 | SM Energy Co. 6.13%, 11/15/2022 | 215,050 | ||||||||
600,000 | Tullow Oil plc 7.00%, 03/01/2025(2) | 603,750 | ||||||||
Valero Energy Corp. |
| |||||||||
220,000 | 4.00%, 04/01/2029 | 229,493 | ||||||||
305,000 | 4.35%, 06/01/2028(7) | 326,507 | ||||||||
365,000 | WPX Energy, Inc. 5.25%, 09/15/2024 | 366,825 | ||||||||
|
| |||||||||
9,327,667 | ||||||||||
|
| |||||||||
Packaging & Containers - 0.2% | ||||||||||
430,000 | Owens-Brockway Glass Container, Inc. 5.88%, 08/15/2023(2) | 462,788 | ||||||||
220,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.13%, 07/15/2023(2) | 223,850 | ||||||||
695,000 | WRKCo, Inc. 4.65%, 03/15/2026 | 756,284 | ||||||||
|
| |||||||||
1,442,922 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.3% | ||||||||||
320,000 | Allergan Finance LLC 4.63%, 10/01/2042 | 323,076 | ||||||||
295,000 | Allergan Funding SCS 3.45%, 03/15/2022 | 300,515 | ||||||||
205,000 | Bausch Health Cos., Inc. 7.00%, 03/15/2024(2) | 216,275 | ||||||||
165,000 | Baxalta, Inc. 3.60%, 06/23/2022 | 168,599 | ||||||||
1,140,000 | Bayer U.S. Finance LLC 4.25%, 12/15/2025(2) | 1,196,764 | ||||||||
380,000 | Bristol-Myers Squibb Co. 3.40%, 07/26/2029(2) | 397,181 | ||||||||
CVS Health Corp. |
| |||||||||
1,365,000 | 4.10%, 03/25/2025 | 1,436,413 | ||||||||
770,000 | 5.05%, 03/25/2048 | 834,579 | ||||||||
15,000 | 5.13%, 07/20/2045 | 16,265 | ||||||||
95,000 | Express Scripts Holding Co. 3.27%, 11/30/2020, 3 mo. USD LIBOR + 0.750%(4) | 95,022 | ||||||||
630,000 | GlaxoSmithKline Capital, Inc. 3.63%, 05/15/2025 | 668,705 | ||||||||
270,000 | IQVIA, Inc. 4.88%, 05/15/2023(2) | 276,143 | ||||||||
155,000 | Mylan N.V. 5.25%, 06/15/2046 | 159,035 | ||||||||
250,000 | Mylan, Inc. 4.55%, 04/15/2028 | 263,237 | ||||||||
425,000 | Shire Acquisitions Investments Ireland DAC 2.40%, 09/23/2021 | 424,031 | ||||||||
835,000 | Teva Pharmaceutical Finance Netherlands B.V. 3.15%, 10/01/2026 | 651,206 | ||||||||
|
| |||||||||
7,427,046 | ||||||||||
|
| |||||||||
Pipelines - 1.3% | ||||||||||
250,000 | Andeavor Logistics L.P. / Tesoro Logistics Finance Corp. 4.25%, 12/01/2027 | 262,359 | ||||||||
180,000 | DCP Midstream Operating L.P. 3.88%, 03/15/2023 | 182,475 | ||||||||
Enbridge, Inc. |
| |||||||||
CAD | 260,000 | 4.53%, 03/09/2020 | 200,779 | |||||||
425,000 | 4.77%, 09/02/2019 | 324,364 | ||||||||
Energy Transfer Operating L.P. |
| |||||||||
$ | 10,000 | 4.20%, 09/15/2023 | 10,483 | |||||||
335,000 | 4.50%, 04/15/2024 | 355,904 | ||||||||
160,000 | 5.15%, 03/15/2045 | 163,907 | ||||||||
890,000 | 5.25%, 04/15/2029 | 994,565 | ||||||||
135,000 | 5.50%, 06/01/2027 | 151,255 | ||||||||
115,000 | 6.25%, 04/15/2049 | 136,747 | ||||||||
440,000 | Enterprise Products Operating LLC 3.13%, 07/31/2029 | 442,513 | ||||||||
EQM Midstream Partners L.P. |
| |||||||||
197,000 | 4.13%, 12/01/2026 | 188,831 | ||||||||
330,000 | 5.50%, 07/15/2028 | 331,606 | ||||||||
260,000 | EQT Midstream Partners L.P. 4.75%, 07/15/2023 | 266,072 | ||||||||
MPLX L.P. |
| |||||||||
35,000 | 4.70%, 04/15/2048 | 35,376 | ||||||||
360,000 | 5.20%, 03/01/2047 | 385,950 | ||||||||
70,000 | Sabine Pass Liquefaction LLC 4.20%, 03/15/2028 | 73,163 |
The accompanying notes are an integral part of these financial statements.
| 41 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Pipelines - 1.3% - (continued) | ||||||||||
$ | 280,000 | Sunoco Logistics Partners Operations L.P. 4.00%, 10/01/2027 | $ | 288,937 | ||||||
Texas Eastern Transmission L.P. |
| |||||||||
465,000 | 2.80%, 10/15/2022(2) | 463,575 | ||||||||
70,000 | 3.50%, 01/15/2028(2) | 71,855 | ||||||||
TransCanada PipeLines Ltd. |
| |||||||||
505,000 | 4.63%, 03/01/2034 | 563,077 | ||||||||
225,000 | 4.75%, 05/15/2038 | 248,784 | ||||||||
15,000 | 6.10%, 06/01/2040 | 18,757 | ||||||||
Valero Energy Partners L.P. |
| |||||||||
470,000 | 4.38%, 12/15/2026 | 505,272 | ||||||||
155,000 | 4.50%, 03/15/2028 | 167,081 | ||||||||
Western Midstream Operating L.P. |
| |||||||||
320,000 | 4.50%, 03/01/2028 | 318,442 | ||||||||
290,000 | 4.75%, 08/15/2028 | 290,961 | ||||||||
210,000 | 5.50%, 08/15/2048 | 197,386 | ||||||||
35,000 | Williams Cos., Inc. 6.30%, 04/15/2040 | 42,784 | ||||||||
|
| |||||||||
7,683,260 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 0.1% | ||||||||||
Equinix, Inc. |
| |||||||||
135,000 | 5.75%, 01/01/2025 | 139,560 | ||||||||
205,000 | 5.88%, 01/15/2026 | 217,751 | ||||||||
210,000 | HCP, Inc. 3.25%, 07/15/2026 | 212,462 | ||||||||
|
| |||||||||
569,773 | ||||||||||
|
| |||||||||
Retail - 0.5% | ||||||||||
CAD | 428,000 | Alimentation Couche-Tard, Inc. 3.32%, 11/01/2019 | 326,843 | |||||||
Lowe’s Cos., Inc. |
| |||||||||
$ | 865,000 | 3.38%, 09/15/2025 | 896,862 | |||||||
75,000 | 3.70%, 04/15/2046 | 71,357 | ||||||||
515,000 | McDonald’s Corp. 3.35%, 04/01/2023 | 533,732 | ||||||||
80,000 | United Rentals North America, Inc. 4.88%, 01/15/2028 | 81,591 | ||||||||
845,000 | Walmart, Inc. 3.40%, 06/26/2023 | 883,407 | ||||||||
|
| |||||||||
2,793,792 | ||||||||||
|
| |||||||||
Semiconductors - 1.3% | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. |
| |||||||||
1,395,000 | 3.13%, 01/15/2025 | 1,353,585 | ||||||||
310,000 | 3.63%, 01/15/2024 | 313,233 | ||||||||
1,315,000 | 3.88%, 01/15/2027 | 1,286,329 | ||||||||
1,020,000 | Broadcom, Inc. 4.75%, 04/15/2029(2) | 1,038,990 | ||||||||
255,000 | Intel Corp. 4.10%, 05/19/2046 | 282,735 | ||||||||
470,000 | Microchip Technology, Inc. 4.33%, 06/01/2023 | 489,002 | ||||||||
1,465,000 | Micron Technology, Inc. 4.98%, 02/06/2026 | 1,552,264 | ||||||||
1,230,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(2) | 1,319,302 | ||||||||
|
| |||||||||
7,635,440 | ||||||||||
|
| |||||||||
Software - 0.6% | ||||||||||
235,000 | Fidelity National Information Services, Inc. 4.25%, 05/15/2028 | 257,507 | ||||||||
445,000 | First Data Corp. 5.00%, 01/15/2024(2) | 455,903 | ||||||||
490,000 | Fiserv, Inc. 3.20%, 07/01/2026 | 499,993 | ||||||||
Microsoft Corp. |
| |||||||||
730,000 | 3.30%, 02/06/2027 | 773,503 | ||||||||
240,000 | 3.70%, 08/08/2046 | 260,145 | ||||||||
125,000 | 3.95%, 08/08/2056 | 138,481 | ||||||||
175,000 | MSCI, Inc. 5.75%, 08/15/2025(2) | 182,385 | ||||||||
330,000 | Open Text Corp. 5.88%, 06/01/2026(2) | 352,179 | ||||||||
250,000 | Oracle Corp. 4.00%, 11/15/2047 | 268,177 | ||||||||
120,000 | Western Digital Corp. 4.75%, 02/15/2026 | 118,650 | ||||||||
|
| |||||||||
3,306,923 | ||||||||||
|
| |||||||||
Telecommunications - 1.9% | ||||||||||
AT&T, Inc. |
| |||||||||
615,000 | 2.95%, 07/15/2026 | 616,954 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.2% - (continued) | ||||||||||
Telecommunications - 1.9% - (continued) | ||||||||||
$ | 330,000 | 3.80%, 02/15/2027 | $ | 344,175 | ||||||
10,000 | 4.25%, 03/01/2027 | 10,756 | ||||||||
1,210,000 | 4.30%, 02/15/2030 | 1,299,693 | ||||||||
660,000 | 4.35%, 03/01/2029 | 712,763 | ||||||||
80,000 | 4.35%, 06/15/2045 | 80,465 | ||||||||
265,000 | 4.75%, 05/15/2046 | 280,125 | ||||||||
Nokia Oyj |
| |||||||||
140,000 | 4.38%, 06/12/2027 | 144,550 | ||||||||
60,000 | 6.63%, 05/15/2039 | 67,200 | ||||||||
CAD | 250,000 | Rogers Communications, Inc. 5.38%, 11/04/2019 | 191,890 | |||||||
$ | 300,000 | Sprint Corp. 7.13%, 06/15/2024 | 328,500 | |||||||
1,445,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.15%, 09/20/2029(2) | 1,535,313 | ||||||||
160,000 | Telecom Italia Capital S.A. 6.00%, 09/30/2034 | 162,400 | ||||||||
630,000 | Telefonica Celular del Paraguay S.A. 5.88%, 04/15/2027(2) | 664,070 | ||||||||
Telefonica Emisiones S.A. |
| |||||||||
340,000 | 4.90%, 03/06/2048 | 372,124 | ||||||||
325,000 | 5.21%, 03/08/2047 | 367,509 | ||||||||
220,000 | 5.52%, 03/01/2049 | 260,786 | ||||||||
45,000 | 7.05%, 06/20/2036 | 60,681 | ||||||||
Verizon Communications, Inc. |
| |||||||||
275,000 | 3.88%, 02/08/2029 | 296,174 | ||||||||
1,210,000 | 4.50%, 08/10/2033 | 1,370,053 | ||||||||
1,115,000 | 4.81%, 03/15/2039 | 1,281,724 | ||||||||
660,000 | Vodafone Group plc 4.38%, 05/30/2028 | 716,859 | ||||||||
|
| |||||||||
11,164,764 | ||||||||||
|
| |||||||||
Transportation - 0.4% | ||||||||||
570,000 | CSX Corp. 3.25%, 06/01/2027 | 588,205 | ||||||||
645,000 | Penske Truck Leasing Co. L.P. / PTL Finance Corp. 3.45%, 07/01/2024(2) | 665,559 | ||||||||
860,000 | Union Pacific Corp. 4.38%, 09/10/2038 | 958,709 | ||||||||
|
| |||||||||
2,212,473 | ||||||||||
|
| |||||||||
Trucking & Leasing - 0.1% | ||||||||||
435,000 | Avolon Holdings Funding Ltd. 4.38%, 05/01/2026(2) | 449,886 | ||||||||
|
| |||||||||
Water - 0.0% | ||||||||||
260,000 | American Water Capital Corp. 4.15%, 06/01/2049 | 284,941 | ||||||||
|
| |||||||||
Total Corporate Bonds | $ | 190,589,801 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 5.2% | ||||||||||
Argentina - 0.1% | ||||||||||
EUR | 420,000 | Argentine Republic Government International Bond 5.25%, 01/15/2028 | $ | 348,266 | ||||||
|
| |||||||||
Canada - 0.2% | ||||||||||
CAD | 500,000 | City of Montreal Canada 5.45%, 12/01/2019 | 385,299 | |||||||
118,000 | City of Quebec Canada 4.35%, 12/16/2019 | 90,538 | ||||||||
400,000 | Hydro Quebec Interest Strip 0.00%, 08/15/2019(10) | 304,422 | ||||||||
125,000 | Province of Manitoba Canada T-Bill 0.00%, 09/18/2019(10) | 94,968 | ||||||||
300,000 | Province of Ontario Canada 2.10%, 09/08/2019 | 228,499 | ||||||||
|
| |||||||||
1,103,726 | ||||||||||
|
| |||||||||
Dominican Republic - 0.2% | ||||||||||
$ | 1,335,000 | Dominican Republic International Bond 6.40%, 06/05/2049(2) | 1,421,788 | |||||||
|
| |||||||||
Egypt - 0.0% | ||||||||||
200,000 | Egypt Government International Bond 8.50%, 01/31/2047(6) | 218,040 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 42 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 5.2% - (continued) | ||||||||||
Ghana - 0.1% | ||||||||||
$ | 400,000 | Ghana Government International Bond 8.63%, 06/16/2049(6) | $ | 405,393 | ||||||
|
| |||||||||
Hungary - 0.0% | ||||||||||
200,000 | Hungary Government International Bond 6.38%, 03/29/2021 | 212,368 | ||||||||
|
| |||||||||
Italy - 0.3% | ||||||||||
EUR | 625,000 | Italy Buoni Ordinari del Tesoro BOT 0.00%, 10/14/2019(6)(10) | 696,205 | |||||||
Italy Buoni Poliennali Del Tesoro |
| |||||||||
440,000 | 1.50%, 08/01/2019 | 489,896 | ||||||||
250,000 | 4.25%, 09/01/2019(6) | 279,304 | ||||||||
|
| |||||||||
1,465,405 | ||||||||||
|
| |||||||||
Japan - 2.2% | ||||||||||
Japan Treasury Discount Bill |
| |||||||||
JPY | 846,850,000 | 0.13%, 10/28/2019(11) | 7,801,965 | |||||||
25,000,000 | 0.14%, 10/21/2019(11) | 230,316 | ||||||||
59,950,000 | 0.14%, 09/09/2019(11) | 552,214 | ||||||||
50,000,000 | 0.15%, 09/17/2019(11) | 460,575 | ||||||||
11,100,000 | 0.15%, 08/26/2019(11) | 102,240 | ||||||||
199,900,000 | 0.15%, 08/19/2019(11) | 1,841,211 | ||||||||
16,500,000 | 0.16%, 09/02/2019(11) | 151,982 | ||||||||
221,600,000 | 0.16%, 08/13/2019(11) | 2,041,048 | ||||||||
|
| |||||||||
13,181,551 | ||||||||||
|
| |||||||||
Panama - 0.1% | ||||||||||
$ | 405,000 | Panama Government International Bond 3.16%, 01/23/2030 | 408,645 | |||||||
|
| |||||||||
Qatar - 0.7% | ||||||||||
Qatar Government International Bond |
| |||||||||
2,010,000 | 4.00%, 03/14/2029(2) | 2,189,577 | ||||||||
1,430,000 | 4.82%, 03/14/2049(2) | 1,655,225 | ||||||||
|
| |||||||||
3,844,802 | ||||||||||
|
| |||||||||
Romania - 0.4% | ||||||||||
Romanian Government International Bond |
| |||||||||
EUR | 332,000 | 4.63%, 04/03/2049(2) | 459,379 | |||||||
1,225,000 | 4.63%, 04/03/2049(6) | 1,695,000 | ||||||||
$ | 290,000 | 6.13%, 01/22/2044(6) | 367,801 | |||||||
|
| |||||||||
2,522,180 | ||||||||||
|
| |||||||||
Senegal - 0.1% | ||||||||||
590,000 | Senegal Government International Bond 6.25%, 05/23/2033(6) | 584,425 | ||||||||
|
| |||||||||
South Korea - 0.1% | ||||||||||
300,000 | Export-Import Bank of Korea 3.41%, 03/17/2021, 3 mo. USD LIBOR + 1.000%(4)(6) | 302,651 | ||||||||
Korea Development Bank |
| |||||||||
310,000 | 2.97%, 02/27/2020, 3 mo. USD LIBOR + 0.450%(4) | 310,296 | ||||||||
200,000 | 2.99%, 03/12/2021, 3 mo. USD LIBOR + 0.550%(4) | 200,515 | ||||||||
|
| |||||||||
813,462 | ||||||||||
|
| |||||||||
Supranational - 0.5% | ||||||||||
AUD | 3,945,000 | Inter-American Development Bank 2.75%, 10/30/2025(6) | 2,930,824 | |||||||
|
| |||||||||
Tunisia - 0.2% | ||||||||||
Banque Centrale de Tunisie International Bond |
| |||||||||
EUR | 555,000 | 6.38%, 07/15/2026(2) | 618,135 | |||||||
515,000 | 6.75%, 10/31/2023(2) | 590,660 | ||||||||
|
| |||||||||
1,208,795 | ||||||||||
|
| |||||||||
Total Foreign Government Obligations | $ | 30,669,670 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 0.7% | ||||||||||
Development - 0.1% | ||||||||||
$ | 460,000 | California State, GO Taxable 7.30%, 10/01/2039 | $ | 699,702 | ||||||
|
| |||||||||
Education - 0.1% | ||||||||||
Chicago, IL, Board of Education, GO |
| |||||||||
160,000 | 6.04%, 12/01/2029 | 170,829 | ||||||||
5,000 | 6.14%, 12/01/2039 | 5,405 | ||||||||
380,000 | 6.32%, 11/01/2029 | 414,675 | ||||||||
|
| |||||||||
590,909 | ||||||||||
|
| |||||||||
General Obligation - 0.4% | ||||||||||
532,000 | City of Chicago, IL, GO 7.38%, 01/01/2033 | 630,542 | ||||||||
State of Illinois, GO |
| |||||||||
877,091 | 4.95%, 06/01/2023 | 914,534 | ||||||||
120,000 | 5.00%, 01/01/2023 | 124,799 | ||||||||
180,000 | 5.56%, 02/01/2021 | 186,163 | ||||||||
250,000 | 6.88%, 07/01/2025 | 284,255 | ||||||||
|
| |||||||||
2,140,293 | ||||||||||
|
| |||||||||
Utility - Electric - 0.1% | ||||||||||
477,000 | Municipal Electric Auth, GA 6.64%, 04/01/2057 | 612,554 | ||||||||
|
| |||||||||
Total Municipal Bonds | $ | 4,043,458 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 4.4%(12) | ||||||||||
Aerospace/Defense - 0.1% | ||||||||||
TransDigm, Inc. |
| |||||||||
$ | 149,244 | 4.83%, 06/09/2023, 1 mo. USD LIBOR + 2.500% | $ | 148,382 | ||||||
321,742 | 4.83%, 05/30/2025, 1 mo. USD LIBOR + 2.500% | 318,949 | ||||||||
|
| |||||||||
467,331 | ||||||||||
|
| |||||||||
Airlines - 0.0% | ||||||||||
98,969 | American Airlines, Inc. 4.38%, 10/12/2021, 1 mo. USD LIBOR + 2.000% | 98,887 | ||||||||
|
| |||||||||
Auto Manufacturers - 0.0% | ||||||||||
98,500 | Navistar International Corp. 5.83%, 11/06/2024, 1 mo. USD LIBOR + 3.500% | 98,685 | ||||||||
|
| |||||||||
Auto Parts & Equipment - 0.1% | ||||||||||
135,000 | Adient U.S. LLC 6.87%, 05/06/2024, 1 mo. USD LIBOR + 4.250% | 129,600 | ||||||||
117,537 | Altra Industrial Motion Corp. 4.23%, 10/01/2025, 1 mo. USD LIBOR + 2.000% | 117,097 | ||||||||
235,000 | Panther BF Aggregator L.P. 5.73%, 04/30/2026, 1 mo. USD LIBOR + 3.500% | 234,854 | ||||||||
|
| |||||||||
481,551 | ||||||||||
|
| |||||||||
Biotechnology - 0.0% | ||||||||||
291,020 | Sotera Health Holdings LLC 5.23%, 05/15/2022, 1 mo. USD LIBOR + 3.000% | 287,746 | ||||||||
|
| |||||||||
Chemicals - 0.1% | ||||||||||
171,210 | Cabot Microelectronics Corp. 4.50%, 11/14/2025, 1 mo. ICE LIBOR + 2.250% | 171,424 | ||||||||
100,000 | Hexion, Inc. 0.00%, 06/25/2026, 1 mo. USD LIBOR + 3.500%(13) | 99,750 | ||||||||
99,250 | LTI Holdings, Inc. 5.73%, 09/06/2025, 1 mo. USD LIBOR + 3.500% | 94,536 | ||||||||
184,075 | Platform Specialty Products Corp. 4.48%, 01/30/2026, 1 mo. ICE LIBOR + 2.250% | 183,922 | ||||||||
224,438 | Starfruit Finco B.V. 5.61%, 10/01/2025, 1 mo. USD LIBOR + 3.250% | 220,323 | ||||||||
98,015 | Univar, Inc. 4.73%, 07/01/2024, 1 mo. ICE LIBOR + 2.500% | 97,877 | ||||||||
|
| |||||||||
867,832 | ||||||||||
|
| |||||||||
Coal - 0.0% | ||||||||||
126,657 | Foresight Energy LLC 8.27%, 03/28/2022, 3 mo. USD LIBOR + 5.750% | 92,459 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 43 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.4%(12) - (continued) | ||||||||||
Commercial Services - 0.4% | ||||||||||
Allied Universal Holdco LLC |
| |||||||||
$ | 10,237 | 0.00%, 07/10/2026, 3 mo. USD LIBOR + 4.000%(13)(14) | $ | 10,254 | ||||||
103,399 | 6.51%, 07/10/2026, 3 mo. USD LIBOR + 4.250% | 103,566 | ||||||||
348,241 | Blackhawk Network Holdings, Inc. 5.23%, 06/15/2025, 1 mo. USD LIBOR + 3.000% | 347,224 | ||||||||
397,990 | BrightView Landscapes LLC 4.78%, 08/15/2025, 1 mo. USD LIBOR + 2.500% | 398,320 | ||||||||
200,000 | Dun & Bradstreet Corp. 7.24%, 02/06/2026, 1 mo. USD LIBOR + 5.000% | 201,188 | ||||||||
250,000 | Quikrete Holdings, Inc. 4.98%, 11/15/2023, 1 mo. USD LIBOR + 2.750% | 247,742 | ||||||||
198,481 | Tempo Acquisition LLC 5.23%, 05/01/2024, 1 mo. USD LIBOR + 3.000% | 198,729 | ||||||||
248,744 | Trans Union LLC 4.23%, 06/19/2025, 1 mo. USD LIBOR + 2.000% | 249,055 | ||||||||
EUR | 200,000 | Verisure Holding AB 3.50%, 10/21/2022, 3 mo. EURIBOR + 3.500% | 223,034 | |||||||
$ | 234,877 | Weight Watchers International, Inc. 7.10%, 11/29/2024, 3 mo. USD LIBOR + 4.750% | 232,676 | |||||||
|
| |||||||||
2,211,788 | ||||||||||
|
| |||||||||
Construction Materials - 0.1% | ||||||||||
367,218 | NCI Building Systems, Inc. 6.12%, 04/12/2025, 3 mo. USD LIBOR + 3.750% | 358,342 | ||||||||
|
| |||||||||
Distribution/Wholesale - 0.1% | ||||||||||
372,423 | Beacon Roofing Supply, Inc. 4.62%, 01/02/2025, 1 mo. USD LIBOR + 2.250% | 370,457 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.2% | ||||||||||
426,904 | AlixPartners LLP 4.98%, 04/04/2024, 3 mo. USD LIBOR + 2.750% | 427,284 | ||||||||
289,489 | Crown Finance U.S., Inc. 4.48%, 02/28/2025, 1 mo. USD LIBOR + 2.250% | 288,273 | ||||||||
189,050 | Financial & Risk U.S. Holdings, Inc. 5.98%, 10/01/2025, 1 mo. USD LIBOR + 3.750% | 188,848 | ||||||||
118,909 | Victory Capital Holdings, Inc. 5.57%, 07/01/2026, 1 mo. USD LIBOR + 3.250% | 119,541 | ||||||||
|
| |||||||||
1,023,946 | ||||||||||
|
| |||||||||
Energy - Alternate Sources - 0.1% | ||||||||||
297,744 | BCP Renaissance Parent LLC 5.76%, 10/31/2024, 3 mo. USD LIBOR + 3.500% | 297,310 | ||||||||
|
| |||||||||
Engineering & Construction - 0.0% | ||||||||||
251,187 | Brand Energy & Infrastructure Services, Inc. 6.61%, 06/21/2024, 3 mo. USD LIBOR + 4.250% | 242,159 | ||||||||
|
| |||||||||
Food - 0.0% | ||||||||||
129,020 | IRB Holding Corp. 5.55%, 02/05/2025, 1 mo. USD LIBOR + 3.250% | 128,422 | ||||||||
156,718 | Post Holdings, Inc. 4.27%, 05/24/2024, 1 mo. USD LIBOR + 2.000% | 156,674 | ||||||||
|
| |||||||||
285,096 | ||||||||||
|
| |||||||||
Food Service - 0.0% | ||||||||||
275,000 | Aramark Services, Inc. 4.08%, 03/11/2025, 3 mo. USD LIBOR + 1.750% | 274,884 | ||||||||
|
| |||||||||
Gas - 0.1% | ||||||||||
299,250 | Messer Industries GmbH 4.83%, 03/01/2026, 1 mo. USD LIBOR + 2.500% | 297,754 | ||||||||
|
| |||||||||
Healthcare - Products - 0.1% | ||||||||||
99,164 | Avantor, Inc. 5.23%, 11/21/2024, 1 mo. USD LIBOR + 3.750% | 99,990 | ||||||||
100,000 | Emerald TopCo, Inc. 0.00%, 07/24/2026, 1 mo. USD LIBOR + 3.500%(13) | 99,725 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.4%(12) - (continued) | ||||||||||
Healthcare - Products - 0.1% - (continued) | ||||||||||
$ | 201,341 | Parexel International Corp. 4.98%, 09/27/2024, 1 mo. USD LIBOR + 2.750% | $ | 194,169 | ||||||
|
| |||||||||
393,884 | ||||||||||
|
| |||||||||
Healthcare - Services - 0.2% | ||||||||||
298,500 | Envision Healthcare Corp. 5.98%, 10/10/2025, 1 mo. USD LIBOR + 3.750% | 255,901 | ||||||||
257,320 | Jaguar Holding Co. 4.73%, 08/18/2022, 3 mo. USD LIBOR + 2.500% | 256,769 | ||||||||
361,952 | MPH Acquisition Holdings LLC 5.08%, 06/07/2023, 3 mo. USD LIBOR + 2.750% | 351,094 | ||||||||
149,478 | Syneos Health, Inc. 4.23%, 08/01/2024, 1 mo. USD LIBOR + 2.000% | 149,049 | ||||||||
268,650 | Universal Health Services, Inc. 3.98%, 10/31/2025, 1 mo. USD LIBOR + 1.750% | 268,873 | ||||||||
|
| |||||||||
1,281,686 | ||||||||||
|
| |||||||||
Household Products - 0.0% | ||||||||||
277,560 | Diamond (BC) B.V. 5.26%, 09/06/2024, 2 mo. USD LIBOR + 3.000% | 250,961 | ||||||||
|
| |||||||||
Insurance - 0.3% | ||||||||||
Asurion LLC |
| |||||||||
439,365 | 5.23%, 08/04/2022, 1 mo. USD LIBOR + 3.000% | 440,073 | ||||||||
304,000 | 8.73%, 08/04/2025, 1 mo. USD LIBOR + 6.500% | 309,192 | ||||||||
372,180 | Hub International Ltd. 5.27%, 04/25/2025, 2 mo. USD LIBOR + 3.000% | 368,068 | ||||||||
427,850 | Sedgwick Claims Management Services, Inc. 5.48%, 12/31/2025, 1 mo. USD LIBOR + 3.250% | 420,820 | ||||||||
|
| |||||||||
1,538,153 | ||||||||||
|
| |||||||||
Leisure Time - 0.2% | ||||||||||
277,560 | Caesars Resort Collection LLC 4.98%, 12/22/2024, 1 mo. USD LIBOR + 2.750% | 275,176 | ||||||||
425,000 | Delta (LUX) S.a.r.l. 4.73%, 02/01/2024, 1 mo. USD LIBOR + 2.500% | 419,309 | ||||||||
248,750 | Penn National Gaming, Inc. 4.48%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | 249,031 | ||||||||
|
| |||||||||
943,516 | ||||||||||
|
| |||||||||
Lodging - 0.2% | ||||||||||
330,521 | Boyd Gaming Corp. 4.62%, 09/15/2023, 1 week USD LIBOR + 2.250% | 330,273 | ||||||||
425,682 | Caesars Entertainment Operating Co. 4.23%, 10/06/2024, 1 mo. USD LIBOR + 2.000% | 424,512 | ||||||||
114,033 | Hilton Worldwide Finance LLC 4.02%, 06/22/2026, 1 mo. USD LIBOR + 1.750% | 114,330 | ||||||||
198,965 | Station Casinos LLC 4.74%, 06/08/2023, 1 mo. USD LIBOR + 2.500% | 199,226 | ||||||||
|
| |||||||||
1,068,341 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.0% | ||||||||||
208,950 | Brookfield WEC Holdings, Inc. 5.73%, 08/01/2025, 1 mo. USD LIBOR + 3.500% | 209,472 | ||||||||
|
| |||||||||
Machinery - Diversified - 0.0% | ||||||||||
257,380 | Gates Global LLC 4.98%, 04/01/2024, 3 mo. USD LIBOR + 2.750% | 256,140 | ||||||||
|
| |||||||||
Media - 0.6% | ||||||||||
386,080 | Charter Communications Operating LLC 4.33%, 04/30/2025, 1 mo. USD LIBOR + 2.000% | 386,652 | ||||||||
347,362 | CSC Holdings LLC 4.83%, 01/25/2026, 1 mo. USD LIBOR + 2.500% | 346,928 | ||||||||
278,600 | Gray Television, Inc. 4.83%, 01/02/2026, 1 mo. ICE LIBOR + 2.500% | 279,146 | ||||||||
326,267 | ION Media Networks, Inc. 0.00%, 12/18/2024, 1 mo. USD LIBOR + 3.000%(13) | 325,758 |
The accompanying notes are an integral part of these financial statements.
| 44 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.4%(12) - (continued) | ||||||||||
Media - 0.6% - (continued) | ||||||||||
$ | 298,489 | MTN Infrastructure TopCo, Inc. 5.23%, 11/15/2024, 1 mo. USD LIBOR + 3.000% | $ | 296,996 | ||||||
165,000 | Nexstar Broadcasting, Inc. 0.00%, 06/19/2026, 1 mo. USD LIBOR + 2.750%(13) | 164,965 | ||||||||
148,496 | PSAV Holdings LLC 5.61%, 03/01/2025, 3 mo. USD LIBOR + 3.250% | 144,320 | ||||||||
170,000 | Telenet Financing USD LLC 4.58%, 08/15/2026, 1 mo. USD LIBOR + 2.250% | 169,203 | ||||||||
325,000 | Tribune Media Co. 5.23%, 01/27/2024, 1 mo. USD LIBOR + 3.000% | 324,392 | ||||||||
305,000 | Unitymedia Finance LLC 4.60%, 09/30/2025, 1 mo. USD LIBOR + 2.250% | 304,738 | ||||||||
195,000 | UPC Financing Partnership 4.85%, 01/15/2026, 1 mo. USD LIBOR + 2.500% | 194,899 | ||||||||
242,616 | Web.com Group, Inc. 6.08%, 10/10/2025, 3 mo. USD LIBOR + 3.750% | 241,207 | ||||||||
150,000 | Ziggo Secured Finance Partnership 4.83%, 04/15/2025, 1 mo. USD LIBOR + 2.500% | 149,020 | ||||||||
|
| |||||||||
3,328,224 | ||||||||||
|
| |||||||||
Metal Fabricate/Hardware - 0.0% | ||||||||||
125,000 | Rexnord LLC 4.23%, 08/21/2024, 1 mo. USD LIBOR + 2.000% | 125,434 | ||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||
129,070 | H.B. Fuller Co. 4.27%, 10/20/2024, 1 mo. USD LIBOR + 2.000% | 128,263 | ||||||||
297,980 | USI, Inc. 5.33%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 293,573 | ||||||||
|
| |||||||||
421,836 | ||||||||||
|
| |||||||||
Oil & Gas - 0.0% | ||||||||||
75,000 | California Resources Corp. 6.99%, 12/31/2022, 1 mo. USD LIBOR + 4.750% | 71,363 | ||||||||
|
| |||||||||
Oil & Gas Services - 0.0% | ||||||||||
110,000 | Lower Cadence Holdings LLC 6.27%, 05/22/2026, 1 mo. USD LIBOR + 4.000% | 109,679 | ||||||||
|
| |||||||||
Packaging & Containers - 0.2% | ||||||||||
Berry Global, Inc. |
| |||||||||
EUR | 100,000 | 2.50%, 07/01/2026, 3 mo. USD LIBOR + 2.500% | 111,374 | |||||||
$ | 275,000 | 4.63%, 10/01/2022, 1 mo. USD LIBOR + 2.250% | 274,813 | |||||||
160,000 | 4.90%, 07/01/2026, 3 mo. USD LIBOR + 2.500% | 159,784 | ||||||||
276,210 | Flex Acquisition Co., Inc. 5.32%, 12/29/2023, 3 mo. USD LIBOR + 3.000% | 263,736 | ||||||||
321,700 | Reynolds Group Holdings, Inc. 4.98%, 02/05/2023, 1 mo. USD LIBOR + 2.750% | 321,482 | ||||||||
|
| |||||||||
1,131,189 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.2% | ||||||||||
120,960 | Bausch Health Co., Inc. 5.38%, 06/02/2025, 1 mo. USD LIBOR + 3.000% | 121,353 | ||||||||
215,625 | Bausch Health Companies Inc. 5.13%, 11/27/2025, 1 mo. USD LIBOR + 2.750% | 215,491 | ||||||||
99,750 | Catalent Pharma Solutions, Inc. 4.48%, 05/18/2026, 1 mo. USD LIBOR + 2.250% | 100,187 | ||||||||
248,101 | Endo Luxembourg Finance Co., S.a r.l. 6.50%, 04/29/2024, 1 mo. USD LIBOR + 4.250% | 225,929 | ||||||||
200,000 | IQVIA, Inc. 4.33%, 03/07/2024, 3 mo. USD LIBOR + 2.000% | 200,376 | ||||||||
178,650 | NVA Holdings, Inc. 4.98%, 02/02/2025, 3 mo. USD LIBOR + 2.750% | 178,464 | ||||||||
|
| |||||||||
1,041,800 | ||||||||||
|
| |||||||||
Real Estate - 0.0% | ||||||||||
130,000 | VICI Properties LLC 4.27%, 12/20/2024, 1 mo. USD LIBOR + 2.000% | 129,654 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.4%(12) - (continued) | ||||||||||
Retail - 0.4% | ||||||||||
$ | 273,601 | American Builders & Contractors Supply Co., Inc. 4.23%, 10/31/2023, 1 mo. USD LIBOR + 2.000% | $ | 271,891 | ||||||
273,601 | B.C. Unlimited Liability Co. 4.48%, 02/16/2024, 1 mo. USD LIBOR + 2.250% | 273,532 | ||||||||
267,955 | Bass Pro Group LLC 7.23%, 09/25/2024, 1 mo. USD LIBOR + 5.000% | 253,121 | ||||||||
199,000 | Belron Finance U.S. LLC 5.04%, 11/13/2025, 1 mo. USD LIBOR + 2.500% | 199,746 | ||||||||
194,836 | Harbor Freight Tools USA, Inc. 4.73%, 08/18/2023, 1 mo. USD LIBOR + 2.500% | 191,237 | ||||||||
103,536 | Neiman Marcus Group Ltd. LLC 8.38%, 10/25/2023, 1 mo. USD LIBOR + 6.000% | 88,782 | ||||||||
229,345 | Staples, Inc. 7.33%, 04/16/2026, 3 mo. USD LIBOR + 5.000% | 223,469 | ||||||||
330,000 | Sunshine Luxembourg S.a.r.l. 0.00%, 07/16/2026, 1 mo. USD LIBOR + 4.250%(13) | 331,073 | ||||||||
227,906 | U.S. Foods, Inc. 4.23%, 06/27/2023, 1 mo. USD LIBOR + 2.000% | 227,498 | ||||||||
|
| |||||||||
2,060,349 | ||||||||||
|
| |||||||||
Semiconductors - 0.0% | ||||||||||
127,142 | Microchip Technology, Inc. 4.24%, 05/29/2025, 1 mo. USD LIBOR + 2.000% | 126,983 | ||||||||
|
| |||||||||
Software - 0.3% | ||||||||||
189,429 | Change Healthcare Holdings LLC 4.65%, 03/01/2024, 1 mo. USD LIBOR + 2.500% | 188,926 | ||||||||
225,226 | Go Daddy Operating Co. LLC 4.23%, 02/15/2024, 1 mo. USD LIBOR + 2.000% | 225,859 | ||||||||
321,746 | Hyland Software, Inc. 5.48%, 07/01/2024, 1 mo. USD LIBOR + 3.250% | �� | 321,881 | |||||||
99,913 | Infor U.S., Inc. 5.08%, 02/01/2022, 1 mo. USD LIBOR + 2.750% | 99,894 | ||||||||
34,170 | MA FinanceCo. LLC 4.73%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 33,886 | ||||||||
230,754 | Seattle Spinco, Inc. 4.73%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 228,831 | ||||||||
55,919 | SS&C Technologies Holdings Europe S.a.r.l. 4.48%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 55,884 | ||||||||
181,372 | SS&C Technologies, Inc. 4.48%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 181,288 | ||||||||
100,000 | Ultimate Software Group, Inc. 6.08%, 05/04/2026, 1 mo. USD LIBOR + 3.750% | 100,734 | ||||||||
272,909 | WEX, Inc. 4.48%, 05/15/2026, 1 mo. USD LIBOR + 2.250% | 273,057 | ||||||||
|
| |||||||||
1,710,240 | ||||||||||
|
| |||||||||
Telecommunications - 0.2% | ||||||||||
148,864 | Altice France S.A. 6.01%, 01/31/2026, 1 mo. USD LIBOR + 3.688% | 147,189 | ||||||||
248,737 | CenturyLink, Inc. 4.98%, 01/31/2025, 1 mo. USD LIBOR + 2.750% | 247,043 | ||||||||
508,544 | Sprint Communications, Inc. 4.75%, 02/02/2024, 1 mo. USD LIBOR + 2.500% | 507,146 | ||||||||
189,138 | Univision Communications, Inc. 4.98%, 03/15/2024, 1 mo. USD LIBOR + 2.750% | 184,971 | ||||||||
|
| |||||||||
1,086,349 | ||||||||||
|
| |||||||||
Textiles - 0.0% | ||||||||||
248,750 | ASP Unifrax Holdings, Inc. 6.08%, 12/12/2025, 3 mo. USD LIBOR + 3.750% | 239,733 | ||||||||
|
| |||||||||
Transportation - 0.1% | ||||||||||
76,678 | B.C. Unlimited Liability Co. 6.33%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | 77,104 | ||||||||
142,621 | Dynasty Acquisition Co., Inc. 6.33%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | 143,414 |
The accompanying notes are an integral part of these financial statements.
| 45 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.4%(12) - (continued) | ||||||||||
Transportation - 0.1% - (continued) | ||||||||||
$ | 405,531 | Savage Enterprises LLC 6.88%, 08/01/2025, 1 mo. USD LIBOR + 4.500% | $ | 406,419 | ||||||
|
| |||||||||
626,937 | ||||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 25,908,150 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 47.6% | ||||||||||
Mortgage-Backed Agencies - 47.6% | ||||||||||
FHLMC - 4.9% | ||||||||||
$ | 3,119,205 | 0.48%, 01/25/2034(1)(3) | $ | 165,864 | ||||||
804,021 | 1.75%, 10/15/2042 | 783,262 | ||||||||
165,759 | 2.72%, 07/25/2030, 1 mo. USD LIBOR + 0.450%(4) | 165,559 | ||||||||
76,813 | 2.82%, 04/25/2030, 1 mo. USD LIBOR + 0.550%(4) | 76,784 | ||||||||
9,843 | 3.00%, 05/15/2041 | 10,060 | ||||||||
292,656 | 3.00%, 07/01/2047 | 297,035 | ||||||||
954,201 | 3.00%, 01/01/2048 | 967,856 | ||||||||
7,328,602 | 3.00%, 07/01/2048 | 7,421,946 | ||||||||
804,690 | 3.02%, 03/25/2030, 1 mo. USD LIBOR + 0.750%(4) | 805,907 | ||||||||
40,000 | 3.24%, 08/25/2027 | 42,347 | ||||||||
177,796 | 3.47%, 10/25/2029, 1 mo. USD LIBOR + 1.200%(4) | 178,879 | ||||||||
2,338,252 | 3.50%, 10/15/2042 | 2,435,812 | ||||||||
643,531 | 3.50%, 01/01/2048 | 663,215 | ||||||||
25,230 | 3.50%, 03/01/2048 | 25,996 | ||||||||
936,753 | 3.50%, 06/01/2048 | 962,800 | ||||||||
1,508,865 | 3.57%, 03/25/2029, 1 mo. USD LIBOR + 1.300%(4) | 1,510,918 | ||||||||
278,408 | 4.00%, 11/15/2040 | 302,327 | ||||||||
2,166,211 | 4.00%, 12/01/2048 | 2,243,508 | ||||||||
585,000 | 4.07%, 07/25/2030, 1 mo. USD LIBOR + 1.800%(4) | 582,260 | ||||||||
1,165,959 | 4.47%, 02/25/2024, 1 mo. USD LIBOR + 2.200%(4) | 1,185,376 | ||||||||
387,714 | 5.00%, 02/15/2048(1) | 81,129 | ||||||||
2,200,000 | 5.00%, 08/01/2049(15) | 2,339,133 | ||||||||
777,006 | 5.50%, 07/15/2034(1) | 161,004 | ||||||||
965,755 | 5.50%, 06/15/2046 | 203,251 | ||||||||
2,300,000 | 5.50%, 08/01/2049(15) | 2,466,949 | ||||||||
1,289,903 | 6.52%, 11/25/2023, 1 mo. USD LIBOR + 4.250%(4) | 1,394,877 | ||||||||
525,000 | 7.42%, 11/25/2028, 1 mo. USD LIBOR + 5.150%(4) | 580,705 | ||||||||
800,000 | 7.95%, 07/25/2028, 1 mo. USD LIBOR + 5.550%(4) | 899,777 | ||||||||
|
| |||||||||
28,954,536 | ||||||||||
|
| |||||||||
FNMA - 34.4% | ||||||||||
8,892 | 2.00%, 09/25/2041 | 8,750 | ||||||||
17,351 | 2.00%, 12/25/2041 | 17,050 | ||||||||
1,027,659 | 2.00%, 03/25/2044 | 1,009,670 | ||||||||
1,116,023 | 2.00%, 05/25/2044 | 1,097,359 | ||||||||
11,460,000 | 2.50%, 09/01/2034(15) | 11,523,146 | ||||||||
17,568 | 2.50%, 12/25/2041 | 17,579 | ||||||||
20,366 | 2.50%, 03/25/2046 | 20,356 | ||||||||
370,000 | 2.88%, 11/01/2027 | 383,072 | ||||||||
255,000 | 3.00%, 07/01/2027 | 265,540 | ||||||||
330,000 | 3.00%, 12/01/2029 | 343,366 | ||||||||
20,993,000 | 3.00%, 08/01/2034(15) | 21,407,412 | ||||||||
1,181,664 | 3.00%, 08/25/2042 | 1,194,994 | ||||||||
1,555,285 | 3.00%, 11/25/2042 | 1,574,966 | ||||||||
23,306 | 3.00%, 02/25/2043 | 23,630 | ||||||||
150,247 | 3.00%, 01/25/2046 | 153,277 |
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 47.6% - (continued) | ||||||||||
Mortgage-Backed Agencies - 47.6% - (continued) | ||||||||||
FNMA - 34.4% - (continued) | ||||||||||
$ | 2,348,468 | 3.00%, 02/25/2047 | $ | 2,391,841 | ||||||
138,868 | 3.00%, 05/25/2047 | 141,102 | ||||||||
1,589,501 | 3.00%, 09/25/2047 | 1,618,075 | ||||||||
161,210 | 3.00%, 06/25/2048 | 163,646 | ||||||||
48,759,000 | 3.00%, 08/01/2049(15) | 49,175,166 | ||||||||
1,351,195 | 3.00%, 08/25/2049 | 1,365,551 | ||||||||
60,032 | 3.00%, 12/25/2054 | 61,092 | ||||||||
200,000 | 3.10%, 02/01/2027 | 208,418 | ||||||||
505,000 | 3.10%, 12/01/2027 | 525,575 | ||||||||
345,000 | 3.16%, 08/01/2027 | 362,521 | ||||||||
600,000 | 3.18%, 02/01/2027 | 626,908 | ||||||||
332,664 | 3.22%, 07/01/2032 | 347,904 | ||||||||
475,000 | 3.35%, 05/01/2029 | 505,215 | ||||||||
1,502,591 | 3.50%, 06/25/2033(1) | 147,108 | ||||||||
1,338,007 | 3.50%, 04/25/2034 | 131,577 | ||||||||
10,435 | 3.50%, 05/25/2042 | 10,814 | ||||||||
599,376 | 3.50%, 07/25/2044 | 618,924 | ||||||||
24,776 | 3.50%, 03/25/2045 | 25,170 | ||||||||
1,719,674 | 3.50%, 01/01/2048 | 1,779,292 | ||||||||
90,815 | 3.50%, 02/25/2048 | 93,131 | ||||||||
198,660 | 3.50%, 04/25/2048 | 206,702 | ||||||||
388,652 | 3.50%, 06/01/2048 | 399,419 | ||||||||
720,917 | 3.50%, 03/25/2049 | 748,251 | ||||||||
1,387,414 | 3.50%, 04/25/2049 | 1,442,686 | ||||||||
41,591,000 | 3.50%, 08/01/2049(15) | 42,601,532 | ||||||||
1,372,257 | 3.50%, 05/25/2053 | 1,427,558 | ||||||||
823,032 | 3.50%, 07/25/2054 | 845,810 | ||||||||
1,562,279 | 3.50%, 05/01/2056 | 1,621,846 | ||||||||
687,735 | 3.50%, 05/25/2056 | 715,424 | ||||||||
472,870 | 3.50%, 10/25/2056 | 492,659 | ||||||||
1,525,068 | 3.50%, 11/25/2057 | 1,585,871 | ||||||||
2,336,909 | 3.50%, 05/01/2058 | 2,425,902 | ||||||||
2,682,943 | 3.56%, 10/01/2028 | 2,881,398 | ||||||||
461,296 | 3.66%, 02/01/2029 | 500,621 | ||||||||
207,807 | 4.00%, 08/01/2038 | 218,909 | ||||||||
1,065,288 | 4.00%, 06/01/2041 | 1,125,110 | ||||||||
5,644,188 | 4.00%, 07/01/2048 | 5,855,669 | ||||||||
4,006,192 | 4.00%, 11/01/2048 | 4,145,720 | ||||||||
3,034,781 | 4.00%, 02/01/2049 | 3,161,116 | ||||||||
15,832,000 | 4.00%, 08/01/2049(15) | 16,388,174 | ||||||||
906,670 | 4.50%, 09/25/2048 | 149,291 | ||||||||
11,060,000 | 4.50%, 08/01/2049(15) | 11,599,175 | ||||||||
2,151,397 | 4.50%, 01/01/2051 | 2,296,947 | ||||||||
770,731 | 5.00%, 06/25/2048 | 140,200 | ||||||||
869,702 | 5.50%, 08/25/2038(1) | 175,417 | ||||||||
817,589 | 5.50%, 04/25/2044 | 158,650 | ||||||||
612,323 | 6.50%, 03/25/2045(1) | 163,697 | ||||||||
|
| |||||||||
202,812,951 | ||||||||||
|
| |||||||||
GNMA - 8.3% | ||||||||||
420,460 | 1.75%, 09/20/2043 | 410,472 | ||||||||
853,617 | 2.00%, 01/20/2042 | 839,861 | ||||||||
358,099 | 2.00%, 06/16/2042 | 353,448 | ||||||||
334,164 | 2.50%, 05/20/2040 | 336,614 | ||||||||
392,411 | 3.00%, 10/20/2047 | 399,338 | ||||||||
6,905,000 | 3.00%, 08/01/2049(15) | 7,057,261 | ||||||||
8,200,000 | 3.00%, 09/01/2049(15) | 8,370,887 | ||||||||
768,520 | 3.50%, 11/20/2042 | 798,704 | ||||||||
6,115,000 | 3.50%, 08/01/2049(15) | 6,323,053 | ||||||||
875,466 | 4.00%, 09/20/2042(1) | 118,839 | ||||||||
651,928 | 4.00%, 12/20/2044(1) | 113,951 | ||||||||
1,586,975 | 4.00%, 04/20/2049 | 1,649,485 | ||||||||
9,650,000 | 4.00%, 08/01/2049(15) | 10,022,807 | ||||||||
1,600,000 | 4.00%, 09/01/2049(15) | 1,661,312 | ||||||||
1,726,322 | 4.50%, 06/16/2043(1) | 356,419 | ||||||||
726,726 | 4.50%, 06/20/2048(1) | 130,752 |
The accompanying notes are an integral part of these financial statements.
| 46 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 47.6% - (continued) | ||||||||||
Mortgage-Backed Agencies - 47.6% - (continued) | ||||||||||
GNMA - 8.3% - (continued) | ||||||||||
$ | 4,985,000 | 4.50%, 08/01/2049(15) | $ | 5,191,410 | ||||||
681,888 | 5.00%, 12/20/2043(1) | 144,111 | ||||||||
1,262,461 | 5.00%, 07/16/2044(1) | 240,784 | ||||||||
754,427 | 5.00%, 11/16/2046(1) | 143,112 | ||||||||
699,242 | 5.00%, 06/16/2047(1) | 132,892 | ||||||||
763,969 | 5.00%, 11/16/2047(1) | 147,657 | ||||||||
3,840,000 | 5.00%, 08/01/2049(15) | 4,021,200 | ||||||||
600,649 | 5.50%, 02/20/2044(1) | 124,345 | ||||||||
677,550 | 5.50%, 09/20/2045(1) | 147,598 | ||||||||
|
| |||||||||
49,236,312 | ||||||||||
|
| |||||||||
281,003,799 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 281,003,799 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 23.7% | ||||||||||
U.S. Treasury Securities - 23.7% | ||||||||||
U.S. Treasury Bonds - 10.8% | ||||||||||
$ | 3,505,000 | 2.75%, 08/15/2047 | $ | 3,655,468 | ||||||
700,000 | 3.00%, 02/15/2047 | 767,047 | ||||||||
360,000 | 3.00%, 08/15/2048 | 394,594 | ||||||||
2,530,000 | 3.13%, 02/15/2043 | 2,821,049 | ||||||||
6,000,000 | 3.13%, 05/15/2048 | 6,727,266 | ||||||||
8,925,000 | 3.63%, 08/15/2043 | 10,771,708 | ||||||||
23,825,000 | 3.63%, 02/15/2044(16)(17) | 28,772,410 | ||||||||
4,128,000 | 3.75%, 11/15/2043 | 5,080,020 | ||||||||
3,475,000 | 5.50%, 08/15/2028 | 4,478,542 | ||||||||
|
| |||||||||
63,468,104 | ||||||||||
|
| |||||||||
U.S. Treasury Notes - 12.9% | ||||||||||
560,054 | 0.38%, 07/15/2027(18) | 566,019 | ||||||||
4,407,793 | 0.63%, 01/15/2026(18) | 4,509,963 | ||||||||
16,985,498 | 0.75%, 07/15/2028(18) | 17,723,095 | ||||||||
3,899,407 | 0.88%, 01/15/2029(18) | 4,110,354 | ||||||||
1,885,000 | 1.38%, 08/31/2023 | 1,849,877 | ||||||||
6,020,000 | 1.50%, 02/28/2023 | 5,947,102 | ||||||||
420,000 | 1.75%, 05/15/2023 | 418,310 | ||||||||
9,375,000 | 2.25%, 12/31/2023 | 9,529,175 | ||||||||
8,690,000 | 2.75%, 02/15/2028 | 9,210,042 | ||||||||
8,200,000 | 2.88%, 09/30/2023 | 8,532,484 | ||||||||
13,010,000 | 2.88%, 08/15/2028 | 13,941,536 | ||||||||
|
| |||||||||
76,337,957 | ||||||||||
|
| |||||||||
139,806,061 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 139,806,061 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 784,209,752 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 1.4% | ||||||||||
Commercial Paper - 0.4% | ||||||||||
$ | 250,000 | AT&T, Inc. | $ | 247,675 | ||||||
Bank of Nova Scotia |
| |||||||||
CAD | 550,000 | 1.60%, 08/09/2019(11) | 418,675 | |||||||
130,000 | 1.80%, 10/10/2019(11) | 98,645 | ||||||||
$ | 250,000 | Enel Finance America | 249,905 | |||||||
250,000 | Eni Finance USA Inc. | 249,504 |
Shares or Principal Amount | Market Value† | |||||||||
SHORT-TERM INVESTMENTS - 1.4% - (continued) | ||||||||||
Commercial Paper - 0.4% - (continued) | ||||||||||
$ | 250,000 | ENI Finance USA, Inc. | $ | 249,375 | ||||||
400,000 | Intesa Funding LLC | 399,745 | ||||||||
CAD | 270,000 | Province of Saskatchewan | 205,367 | |||||||
$ | 250,000 | Sinopec Century Bright | 249,932 | |||||||
|
| |||||||||
2,368,823 | ||||||||||
|
| |||||||||
Foreign Government Obligations - 0.0% | ||||||||||
CAD | 200,000 | NewfoundlandT-Bill | 151,786 | |||||||
|
| |||||||||
Other Investment Pools & Funds - 0.8% | ||||||||||
4,398,025 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 2.25%(19) | 4,398,025 | ||||||||
|
| |||||||||
Securities Lending Collateral - 0.2% | ||||||||||
1,220,880 | State Street Navigator Securities Lending Government Money Market Portfolio, 2.32%(19) | 1,220,880 | ||||||||
|
| |||||||||
Total Short-Term Investments | $ | 8,139,514 | ||||||||
|
|
Total Investments Excluding Purchased Options | 134.2 | % | $ | 792,349,266 | ||||||||||
Total Purchased Options | 0.2 | % | $ | 1,213,138 | ||||||||||
|
|
|
| |||||||||||
Total Investments | 134.4 | % | $ | 793,562,404 | ||||||||||
Other Assets & Liabilities | (34.4 | )% | (203,041,490 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 590,520,914 | ||||||||||
|
|
|
|
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. |
See “Glossary” for abbreviation descriptions. |
(1) | Securities disclosed are interest-only strips. |
(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 July 31, 2019, the aggregate value of these securities was $115,550,774, representing 19.6% 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) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2019. |
(5) | Security is a“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
The accompanying notes are an integral part of these financial statements.
| 47 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
(6) | 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 July 31, 2019, the aggregate value of these securities was $17,377,077, representing 2.9% of net assets. |
(7) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(8) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2019. Rate will reset at a future date as disclosed. |
(9) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
(10) | Security is azero-coupon bond. |
(11) | The rate shown represents current yield to maturity. |
(12) | 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 July 31, 2019. |
(13) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(14) | This security, or a portion of this security, has unfunded loan commitments. As of July 31, 2019, the aggregate value of the unfunded commitment was $10,254, which rounds to 0.0% of total net assets. |
(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) | This security, or a portion of this security, has been pledged as collateral in connection with futures contracts. |
(18) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(19) | Current yield as of period end. |
OTC Swaption Contracts Outstanding at July 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 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 08/04/57* | HSBC | 2.45% | Pay | 08/02/27 | USD | 4,625,000 | 4,625,000 | $ | 697,913 | $ | 517,538 | $ | 180,375 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 08/04/57* | HSBC | 2.45% | Receive | 08/02/27 | USD | 4,625,000 | 4,625,000 | $ | 515,225 | $ | 881,063 | $ | (365,838 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total purchased swaption contracts | 9,250,000 | $ | 1,213,138 | $ | 1,398,601 | $ | (185,463 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at July 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 | 276 | 09/30/2019 | $ | 59,176,125 | $ | (125,691 | ) | |||||||||
U.S. Treasury5-Year Note Future | 221 | 09/30/2019 | 25,979,586 | 6,327 | ||||||||||||
U.S. Treasury10-Year Note Future | 70 | 09/19/2019 | 8,919,531 | 6,903 | ||||||||||||
|
| |||||||||||||||
Total |
| $ | (112,461 | ) | ||||||||||||
|
| |||||||||||||||
Short position contracts: | ||||||||||||||||
Euro BUXL30-Year Bond Future | 3 | 09/06/2019 | $ | 698,035 | $ | (21,113 | ) | |||||||||
Euro-Bund Future | 17 | 09/06/2019 | 3,313,689 | (1,428 | ) | |||||||||||
U.S. Treasury10-Year Ultra Future | 351 | 09/19/2019 | 48,383,156 | (1,071,406 | ) | |||||||||||
U.S. Treasury Long Bond Future | 29 | 09/19/2019 | 4,512,219 | (42,975 | ) | |||||||||||
|
| |||||||||||||||
Total |
| $ | (1,136,922 | ) | ||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (1,249,383 | ) | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 48 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
TBA Sale Commitments Outstanding at July 31, 2019 | ||||||||||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||||
FNMA, 3.00% | $ | 7,300,000 | 08/01/2049 | $ | (7,362,307 | ) | $ | 18,963 | ||||||||
FNMA, 3.50% | 800,000 | 08/01/2034 | (826,037 | ) | (974 | ) | ||||||||||
FNMA, 5.00% | 1,500,000 | 08/01/2049 | (1,593,867 | ) | (5,625 | ) | ||||||||||
GNMA II, 4.00% | 8,000,000 | 08/01/2049 | (8,309,062 | ) | (8,594 | ) | ||||||||||
|
|
|
| |||||||||||||
Total (proceeds receivable $18,095,043) |
| $ | (18,091,273 | ) | $ | 3,770 | ||||||||||
|
|
|
|
At July 31, 2019, the aggregate market value of TBA Sale Commitments represents (3.1)% of total net assets.
OTC Credit Default Swap Contracts Outstanding at July 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 | $ | — | $ | (365,930 | ) | $ | (276,517 | ) | $ | 89,413 | ||||||||||||||||||||
CMBX.NA.BB.8 | GSC | USD | 1,360,000 | 5.00% | 10/17/57 | Monthly | — | (251,221 | ) | (183,872 | ) | 67,349 | ||||||||||||||||||||||||
CMBX.NA.BBB- 6 | MSC | USD | 2,775,000 | 3.00% | 05/11/63 | Monthly | — | (378,109 | ) | (252,580 | ) | 125,529 | ||||||||||||||||||||||||
CMBX.NA.BBB- 6 | DEUT | USD | 175,000 | 3.00% | 05/11/63 | Monthly | — | (24,735 | ) | (15,943 | ) | 8,792 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total | $ | — | $ | (1,019,995 | ) | $ | (728,912 | ) | $ | 291,083 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total traded indices | $ | — | $ | (1,019,995 | ) | $ | (728,912 | ) | $ | 291,083 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total OTC contracts | $ | — | $ | (1,019,995 | ) | $ | (728,912 | ) | $ | 291,083 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(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 July 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: | ||||||||||||||||||||||||||||||||
Sell protection: | ||||||||||||||||||||||||||||||||
CDX.EM.31.V1 | USD | 11,795,000 | 1.00 | % | 06/20/24 | Quarterly | $ | (342,874 | ) | $ | (292,185 | ) | $ | 50,689 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Buy protection: | ||||||||||||||||||||||||||||||||
CDX.NA.IG.32.V1 | USD | 11,696,000 | (1.00 | %) | 06/20/24 | Quarterly | $ | (224,552 | ) | $ | (267,527 | ) | $ | (42,975 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Totaltraded indices |
| $ | (567,426 | ) | $ | (559,712 | ) | $ | 7,714 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Credit default swaps on single-name issues: | ||||||||||||||||||||||||||||||||
Sell protection: | ||||||||||||||||||||||||||||||||
Republic of Brazil | USD | 510,000 | 1.00 | % | 06/20/24 | Quarterly | (10,890 | ) | (5,908 | ) | 4,982 | |||||||||||||||||||||
Republic of South Africa | USD | 515,000 | 1.00 | % | 06/20/24 | Quarterly | (14,262 | ) | (16,535 | ) | (2,273 | ) | ||||||||||||||||||||
Republic of Turkey | USD | 565,000 | 1.00 | % | 06/20/24 | Quarterly | (64,530 | ) | (61,524 | ) | 3,006 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Totalsingle-name issues |
| $ | (89,682 | ) | $ | (83,967 | ) | $ | 5,715 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total centrally cleared contracts | $ | (657,108 | ) | $ | (643,679 | ) | $ | 13,429 | ||||||||||||||||||||||||
|
|
|
|
|
|
(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 July 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 | $ | 84,273 | $ | — | $ | (38,885 | ) | $ | (123,158 | ) | |||||||||||||||
3 Mo. USD LIBOR | 1.86% Fixed | USD | 4,500,000 | 06/21/24 | Semi-Annual | — | — | (1,134 | ) | (1,134 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.64% Fixed | USD | 6,030,000 | 02/01/26 | Semi-Annual | — | — | (323,527 | ) | (323,527 | ) |
The accompanying notes are an integral part of these financial statements.
| 49 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Centrally Cleared Interest Rate Swap Contracts Outstanding at July 31, 2019 – (continued) | ||||||||||||||||||||||||||||||
Payments made | Payments received | Notional | Expiration Date | Periodic | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
3 Mo. USD LIBOR | 2.25% Fixed | USD | 18,621,000 | 06/20/28 | Semi-Annual | $ | 1,268,635 | $ | — | $ | (472,250 | ) | $ | (1,740,885 | ) | |||||||||||||||
3 Mo. USD LIBOR | 2.75% Fixed | USD | 120,000 | 12/20/47 | Semi-Annual | — | (2,550 | ) | (14,815 | ) | (12,265 | ) | ||||||||||||||||||
3 Mo. USD LIBOR | 2.86% Fixed | USD | 525,000 | 02/01/49 | Semi-Annual | — | — | (83,273 | ) | (83,273 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.39% Fixed | USD | 400,000 | 05/31/49 | Semi-Annual | — | — | (17,813 | ) | (17,813 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.26% Fixed | USD | 1,365,000 | 06/21/49 | Semi-Annual | — | — | (21,140 | ) | (21,140 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total |
| $ | 1,352,908 | $ | (2,550 | ) | $ | (972,837 | ) | $ | (2,323,195 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
OTC Total Return Swap Contracts Outstanding at July 31, 2019 | ||||||||||||||||||||||||||||||||||||
Reference Entity | Counter- party | Notional Amount | Payments received (paid) by the Fund | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
iBoxx USD Liquid Investment Grade Index | MSC | USD | 5,850,000 | (1.00%) | 12/20/19 | Quarterly | $ | — | $ | — | $ | 98,777 | $ | 98,777 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
Foreign Currency Contracts Outstanding at July 31, 2019 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
14,800,000 | EGP | 844,267 | USD | GSC | 12/18/19 | $ | 15,622 | $ | — | |||||||||||||||
3,000 | GBP | 3,746 | USD | JPM | 08/30/19 | — | (67 | ) | ||||||||||||||||
31,005 | USD | 45,000 | AUD | SSG | 08/07/19 | — | (20 | ) | ||||||||||||||||
4,375,521 | USD | 6,335,000 | AUD | HSBC | 08/30/19 | 4,180 | — | |||||||||||||||||
294,939 | USD | 410,000 | AUD | RBS | 09/26/19 | 11,810 | — | |||||||||||||||||
419,831 | USD | 550,000 | CAD | BOA | 08/09/19 | 916 | — | |||||||||||||||||
305,314 | USD | 400,000 | CAD | GSC | 08/15/19 | 610 | — | |||||||||||||||||
201,988 | USD | 270,000 | CAD | JPM | 08/26/19 | — | (3,736 | ) | ||||||||||||||||
317,673 | USD | 425,000 | CAD | BNP | 09/03/19 | — | (6,194 | ) | ||||||||||||||||
229,001 | USD | 300,000 | CAD | CBK | 09/09/19 | 366 | — | |||||||||||||||||
95,448 | USD | 125,000 | CAD | CBK | 09/10/19 | 182 | — | |||||||||||||||||
60,410 | USD | 80,000 | CAD | RBS | 09/10/19 | — | (560 | ) | ||||||||||||||||
124,050 | USD | 165,000 | CAD | BNP | 09/10/19 | — | (1,701 | ) | ||||||||||||||||
96,002 | USD | 125,000 | CAD | MSC | 09/18/19 | 723 | — | |||||||||||||||||
464,411 | USD | 610,000 | CAD | UBS | 10/01/19 | 806 | (1,453 | ) | ||||||||||||||||
380,742 | USD | 500,000 | CAD | CBK | 10/07/19 | — | (484 | ) | ||||||||||||||||
99,796 | USD | 130,000 | CAD | JPM | 10/10/19 | 673 | — | |||||||||||||||||
150,514 | USD | 200,000 | CAD | MSC | 10/10/19 | — | (1,982 | ) | ||||||||||||||||
188,317 | USD | 250,000 | CAD | HSBC | 11/01/19 | — | (2,355 | ) | ||||||||||||||||
133,102 | USD | 178,000 | CAD | UBS | 11/01/19 | — | (2,656 | ) | ||||||||||||||||
191,283 | USD | 250,000 | CAD | BNP | 11/04/19 | 603 | — | |||||||||||||||||
381,641 | USD | 500,000 | CAD | GSC | 12/02/19 | 141 | — | |||||||||||||||||
157,757 | USD | 210,000 | CAD | HSBC | 12/03/19 | — | (2,475 | ) | ||||||||||||||||
241,176 | USD | 320,000 | CAD | NAB | 12/03/19 | — | (2,987 | ) | ||||||||||||||||
90,279 | USD | 118,000 | CAD | SSG | 12/16/19 | 228 | — | |||||||||||||||||
380,831 | USD | 500,000 | CAD | CBK | 01/14/20 | — | (886 | ) | ||||||||||||||||
306,422 | USD | 400,000 | CAD | MSC | 02/19/20 | 951 | — | |||||||||||||||||
198,015 | USD | 260,000 | CAD | MSC | 03/09/20 | — | (565 | ) | ||||||||||||||||
37,596 | USD | 50,000 | CAD | DEUT | 06/01/20 | — | (610 | ) | ||||||||||||||||
195,151 | USD | 260,000 | CAD | UBS | 06/01/20 | — | (3,521 | ) | ||||||||||||||||
402,224 | USD | 350,000 | EUR | BMO | 08/01/19 | 12,504 | — | |||||||||||||||||
103,535 | USD | 90,000 | EUR | GSC | 08/01/19 | 3,321 | — | |||||||||||||||||
2,556,634 | USD | 2,289,000 | EUR | GSC | 08/30/19 | 1,653 | — | |||||||||||||||||
282,010 | USD | 250,000 | EUR | BOA | 09/03/19 | 2,894 | — | |||||||||||||||||
1,663,676 | USD | 1,457,000 | EUR | BNP | 09/18/19 | 35,050 | — | |||||||||||||||||
875,453 | USD | 772,000 | EUR | SSG | 09/18/19 | 12,515 | — | |||||||||||||||||
1,054,568 | USD | 936,000 | EUR | SCB | 09/18/19 | 8,312 | — | |||||||||||||||||
112,123 | USD | 98,000 | EUR | BCLY | 09/18/19 | 2,579 | — | |||||||||||||||||
201,940 | USD | 180,000 | EUR | SSG | 10/15/19 | 291 | — | |||||||||||||||||
498,062 | USD | 445,000 | EUR | JPM | 10/15/19 | — | (459 | ) | ||||||||||||||||
2,033,231 | USD | 221,600,000 | JPY | JPM | 08/13/19 | — | (9,718 | ) | ||||||||||||||||
1,834,908 | USD | 199,900,000 | JPY | JPM | 08/19/19 | — | (8,849 | ) |
The accompanying notes are an integral part of these financial statements.
| 50 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
July 31, 2019
Foreign Currency Contracts Outstanding at July 31, 2019 – (continued) | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
101,975 | USD | 11,100,000 | JPY | JPM | 08/26/19 | $ | — | $ | (460 | ) | ||||||||||||||
152,237 | USD | 16,500,000 | JPY | JPM | 09/03/19 | — | (115 | ) | ||||||||||||||||
556,468 | USD | 59,950,000 | JPY | JPM | 09/09/19 | 2,673 | — | |||||||||||||||||
464,748 | USD | 50,000,000 | JPY | JPM | 09/17/19 | 2,588 | — | |||||||||||||||||
233,999 | USD | 25,000,000 | JPY | JPM | 10/21/19 | 2,313 | — | |||||||||||||||||
7,848,747 | USD | 846,850,000 | JPY | JPM | 10/28/19 | — | (3,649 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 124,504 | $ | (55,502 | ) | |||||||||||||||||||
|
|
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2019 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage Backed Securities | $ | 112,188,813 | $ | — | $ | 112,188,813 | $ | — | ||||||||
Corporate Bonds | 190,589,801 | — | 190,589,801 | — | ||||||||||||
Foreign Government Obligations | 30,669,670 | — | 30,669,670 | — | ||||||||||||
Municipal Bonds | 4,043,458 | — | 4,043,458 | — | ||||||||||||
Senior Floating Rate Interests | 25,908,150 | — | 25,908,150 | — | ||||||||||||
U.S. Government Agencies | 281,003,799 | — | 281,003,799 | — | ||||||||||||
U.S. Government Securities | 139,806,061 | — | 139,806,061 | — | ||||||||||||
Short-Term Investments | 8,139,514 | 5,618,905 | 2,520,609 | — | ||||||||||||
Purchased Options | 1,213,138 | — | 1,213,138 | — | ||||||||||||
Foreign Currency Contracts(2) | 124,504 | — | 124,504 | — | ||||||||||||
Futures Contracts(2) | 13,230 | 13,230 | — | — | ||||||||||||
Swaps - Credit Default(2) | 349,760 | — | 349,760 | — | ||||||||||||
Swaps - Total Return(2) | 98,777 | — | 98,777 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 794,148,675 | $ | 5,632,135 | $ | 788,516,540 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Foreign Currency Contracts(2) | $ | (55,502 | ) | $ | — | $ | (55,502 | ) | $ | — | ||||||
Futures Contracts(2) | (1,262,613 | ) | (1,262,613 | ) | — | — | ||||||||||
Swaps - Credit Default(2) | (45,248 | ) | — | (45,248 | ) | — | ||||||||||
Swaps - Interest Rate(2) | (2,323,195 | ) | — | (2,323,195 | ) | — | ||||||||||
TBA Sale Commitments | (18,091,273 | ) | — | (18,091,273 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (21,777,831 | ) | $ | (1,262,613 | ) | $ | (20,515,218 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
(1) | For the year ended July 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.
| 51 |
|
Hartford Active Fixed Income ETFs |
Glossary: (abbreviations used in preceding Schedule of Investments)
Counterparty Abbreviations: | ||
BCLY | Barclays | |
BMO | Bank of Montreal | |
BNP | BNP Paribas Securities Services | |
BOA | Banc of America Securities LLC | |
CBK | Citibank NA | |
DEUT | Deutsche Bank Securities, Inc. | |
GSC | Goldman Sachs & Co. | |
HSBC | HSBC Bank USA | |
JPM | JP Morgan Chase & Co. | |
MSC | Morgan Stanley | |
NAB | National Australia Bank Limited | |
RBS | RBS Greenwich Capital | |
SCB | Standard Chartered Bank | |
SSG | State Street Global Markets LLC | |
UBS | UBS AG | |
Currency Abbreviations: | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EGP | Egyptian Pound | |
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen | |
USD | United States Dollar | |
Index Abbreviations: | ||
CDX.EM | Credit Derivatives Emerging Markets | |
CDX.NA.IG | Credit Derivatives North American Investment Grade | |
CMBX.NA | Markit Commercial Mortgage Backed North American | |
iBoxx | Markit iBoxx Indices - Euro, Sterling, Asian, US Dollar and European High-Yield Bond Markets | |
ICE | Intercontinental Exchange, Inc. | |
MSCI | Morgan Stanley Capital International | |
Other Abbreviations: | ||
BBSW | Bank Bill Swap Referance Rate | |
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 | |
MSCI | Morgan Stanley Capital International | |
OTC | Over-the-Counter | |
PAC | Planned Amortization Class | |
PT | Perseroan Terbatas | |
TBA | To Be Announced | |
Municipal Abbreviations: | ||
Auth | Authority | |
Dev | Development | |
Dist | District | |
Facs | Facilities | |
GO | General Obligation | |
Mgmt | Management | |
Redev | Redevelpoment | |
Rev | Revenue | |
VA | Veterans Administration |
| 52 |
|
Hartford Active Fixed Income ETFs |
Statements of Assets and Liabilities
July 31, 2019
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) | $ | 140,573,980 | $ | 27,450,132 | $ | 112,809,746 | $ | 793,562,404 | ||||||||
Cash | — | — | — | 10,558 | ||||||||||||
Foreign currency | — | — | 4,640 | 10,693 | ||||||||||||
Unrealized appreciation on OTC swap contracts | — | — | — | 389,860 | ||||||||||||
Unrealized appreciation on foreign currency contracts | — | — | 6,685 | 124,504 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | — | — | 326,063 | 93,880,581 | ||||||||||||
Dividends and interest | 1,393,062 | 150,003 | 695,559 | 4,086,425 | ||||||||||||
Securities lending income | — | — | 272 | 220 | ||||||||||||
Variation margin on futures contracts | — | 6,030 | 42,545 | — | ||||||||||||
Variation margin on centrally cleared swap contracts | — | — | — | 4,457 | ||||||||||||
Tax reclaims | — | — | 1,953 | 6,831 | ||||||||||||
Other assets | — | — | 6,105 | 815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 141,967,042 | 27,606,165 | 113,893,568 | 892,077,348 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on foreign currency contracts | — | — | — | 55,502 | ||||||||||||
Bank overdraft | — | — | 6,105 | — | ||||||||||||
Obligation to return securities lending collateral | — | — | 188,210 | 1,220,880 | ||||||||||||
TBA sale commitments, at market value | — | — | — | 18,091,273 | ||||||||||||
Unfunded loan commitments | — | — | — | 10,237 | ||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 1,842,254 | 314,914 | 3,447,452 | 279,030,974 | ||||||||||||
Investment management fees | 34,363 | 8,624 | 26,554 | 145,364 | ||||||||||||
Variation margin on futures contracts | — | — | — | 228,875 | ||||||||||||
Distributions payable | 317,560 | 52,766 | 336,490 | 1,753,334 | ||||||||||||
OTC swap contracts premiums received | — | — | — | 1,019,995 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 2,194,177 | 376,304 | 4,004,811 | 301,556,434 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 139,772,865 | $ | 27,229,861 | $ | 109,888,757 | $ | 590,520,914 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Summary of Net Assets: |
| |||||||||||||||
Paid-in-capital | $ | 132,776,470 | $ | 26,251,591 | $ | 108,213,405 | $ | 558,979,344 | ||||||||
Distributable earnings | 6,996,395 | 978,270 | 1,675,352 | 31,541,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 139,772,865 | $ | 27,229,861 | $ | 109,888,757 | $ | 590,520,914 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share | $ | 41.72 | $ | 20.95 | $ | 40.70 | $ | 40.87 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares issued and outstanding | 3,350,000 | 1,300,000 | 2,700,000 | 14,450,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments | $ | 133,940,037 | $ | 26,770,672 | $ | 110,905,666 | $ | 768,165,829 | ||||||||
Cost of foreign currency | $ | — | $ | — | $ | 4,640 | $ | 10,638 | ||||||||
Proceeds of TBA sale commitments | $ | — | $ | — | $ | — | $ | 18,095,043 | ||||||||
(1) Includes Investment in securities on loan, at market value | $ | — | $ | — | $ | 1,300,859 | $ | 1,175,049 |
The accompanying notes are an integral part of these financial statements.
| 53 |
|
Hartford Active Fixed Income ETFs |
For the Year Ended July 31, 2019
Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | 2,772,989 | 633,583 | 3,411,092 | 15,605,870 | ||||||||||||
Securities lending | 22 | 796 | 816 | 12,373 | ||||||||||||
Less: Foreign tax withheld | — | — | — | (15,023 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income, net | 2,773,011 | 634,379 | 3,411,908 | 15,603,220 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Investment management fees | 273,398 | 84,209 | 264,873 | 1,259,094 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 273,398 | 84,209 | 264,873 | 1,259,094 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 2,499,613 | 550,170 | 3,147,035 | 14,344,126 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions: | ||||||||||||||||
Net realized gain (loss) on investments | 395,339 | 331,066 | 157,806 | 14,117,755 | ||||||||||||
Net realized gain (loss) on purchased options contracts | — | — | — | (592,660 | ) | |||||||||||
Net realized gain (loss) on futures contracts | — | (5,991 | ) | (418,877 | ) | (3,016,963 | ) | |||||||||
Net realized gain (loss) on written options contracts | — | — | — | 114,668 | ||||||||||||
Net realized gain (loss) on swap contracts | — | — | — | (730,869 | ) | |||||||||||
Net realized gain (loss) on other foreign currency transactions | — | — | 69,737 | (461,325 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 395,339 | 325,075 | (191,334 | ) | 9,430,606 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions: | ||||||||||||||||
Net unrealized appreciation (depreciation) of investments | 6,692,181 | 701,904 | 1,950,384 | 26,080,338 | ||||||||||||
Net unrealized appreciation (depreciation) of purchased options contracts | — | — | — | (176,248 | ) | |||||||||||
Net unrealized appreciation (depreciation) of futures contracts | — | (6,736 | ) | (98,284 | ) | (1,249,378 | ) | |||||||||
Net unrealized appreciation (depreciation) of swap contracts | — | — | — | (1,950,117 | ) | |||||||||||
Net unrealized appreciation (depreciation) of foreign currency contracts | — | — | 6,842 | 8,418 | ||||||||||||
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies | — | — | 498 | (1,377 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | 6,692,181 | 695,168 | 1,859,440 | 22,711,636 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 7,087,520 | 1,020,243 | 1,668,106 | 32,142,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 9,587,133 | $ | 1,570,413 | $ | 4,815,141 | $ | 46,486,368 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 54 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets
Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | |||||||||||||||
For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(1) | For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(2) | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,499,613 | $ | 161,755 | $ | 550,170 | $ | 115,201 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 395,339 | (51,955 | ) | 325,075 | (22,358 | ) | ||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 6,692,181 | (58,238 | ) | 695,168 | (22,444 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,587,133 | 51,562 | 1,570,413 | 70,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders:(3) | (2,487,558 | ) | (154,742 | ) | (563,102 | ) | (99,439 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: | ||||||||||||||||
Sold | 120,705,261 | 11,997,920 | 5,235,438 | 20,991,274 | ||||||||||||
Redeemed | — | (80 | ) | — | (40 | ) | ||||||||||
Other Capital | 51,773 | 21,596 | 3,927 | 20,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions | 120,757,034 | 12,019,436 | 5,239,365 | 21,012,225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 127,856,609 | 11,916,256 | 6,246,676 | 20,983,185 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 11,916,256 | — | 20,983,185 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 139,772,865 | $ | 11,916,256 | $ | 27,229,861 | $ | 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.
| 55 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets – (continued)
Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||||
For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(4) | For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(5) | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,147,035 | $ | 93,141 | $ | 14,344,126 | $ | 396,696 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (191,334 | ) | 1,883 | 9,430,606 | (162,977 | ) | ||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 1,859,440 | (45,946 | ) | 22,711,636 | (412,880 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,815,141 | 49,078 | 46,486,368 | (179,161 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders:(3) | (3,112,779 | ) | (76,088 | ) | (14,404,534 | ) | (361,103 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: | ||||||||||||||||
Sold | 96,183,975 | 20,000,040 | 559,765,672 | 45,335,134 | ||||||||||||
Redeemed | (8,032,678 | ) | (40 | ) | (46,687,112 | ) | (80 | ) | ||||||||
Other Capital | 52,108 | 10,000 | 525,462 | 40,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions | 88,203,405 | 20,010,000 | 513,604,022 | 45,375,322 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 89,905,767 | 19,982,990 | 545,685,856 | 44,835,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 19,982,990 | — | 44,835,058 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 109,888,757 | $ | 19,982,990 | $ | 590,520,914 | $ | 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.
| 56 |
|
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 the Year Ended July 31, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 39.72 | $ | 1.07 | $ | 1.92 | $ | 2.99 | $ | 0.02 | $ | (1.01 | ) | $ | (1.01 | ) | $ | 41.72 | 7.68 | % | $ | 139,773 | 0.29 | % | 0.29 | % | 2.65 | % | 32 | % | |||||||||||||||||||||||||||
For the Period Ended July 31, 2018(5) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.00 | $ | 0.54 | $ | (0.37 | ) | $ | 0.17 | $ | 0.07 | $ | (0.52 | ) | $ | (0.52 | ) | $ | 39.72 | 0.60 | %(6) | $ | 11,916 | 0.34 | %(7) | 0.34 | %(7) | 2.18 | %(7) | 37 | % | ||||||||||||||||||||||||||
Hartford SchrodersTax-Aware Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended July 31, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 19.98 | $ | 0.51 | $ | 0.99 | $ | 1.50 | $ | — | $ | (0.53 | ) | $ | (0.53 | ) | $ | 20.95 | 7.62 | % | $ | 27,230 | 0.39 | % | 0.39 | % | 2.55 | % | 165 | % | |||||||||||||||||||||||||||
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 | %(6) | $ | 20,983 | 0.39 | %(7) | 0.39 | %(7) | 1.93 | %(7) | 60 | % | ||||||||||||||||||||||||||
Hartford Short Duration ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended July 31, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 39.97 | $ | 1.38 | $ | 0.64 | $ | 2.02 | $ | 0.02 | $ | (1.31 | ) | $ | (1.31 | ) | $ | 40.70 | 5.20 | % | $ | 109,889 | 0.29 | % | 0.29 | % | 3.45 | % | 28 | % | |||||||||||||||||||||||||||
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 | %(6) | $ | 19,983 | 0.29 | %(7) | 0.29 | %(7) | 2.75 | %(7) | 1 | % | ||||||||||||||||||||||||||
Hartford Total Return Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended July 31, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 38.99 | $ | 1.30 | $ | 1.77 | $ | 3.07 | $ | 0.05 | $ | (1.24 | ) | $ | (1.24 | ) | $ | 40.87 | 8.14 | % | $ | 590,521 | 0.29 | % | 0.29 | % | 3.30 | % | 54 | % | |||||||||||||||||||||||||||
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 | )%(6) | $ | 44,835 | 0.38 | %(7) | 0.38 | %(7) | 2.35 | %(7) | 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) | Commenced operations on December 13, 2017. |
(6) | Not annualized. |
(7) | Annualized. |
(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.
| 57 |
|
Hartford Active Fixed Income ETFs |
July 31, 2019
1. | Organization: |
Hartford Funds Exchange-Traded Trust (the “Trust”) is anopen-end registered management investment company comprised of four operational series as of July 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 actively managed, exchange-traded fund (‘‘ETF’’) that trades on an exchange like other publicly traded securities. 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 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 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.
| 58 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
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 (the “Board”) 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.
| 59 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
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 the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-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, if applicable. 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 year/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 Year 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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Notes to Financial Statements – (continued)
July 31, 2019
Below is the Undistributed Net Investment Income for the year/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 July 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 July 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 July 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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Notes to Financial Statements – (continued)
July 31, 2019
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 July 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 the year ended July 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 the year ended July 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 eitherover-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, swaps, 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 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. |
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Notes to Financial Statements – (continued)
July 31, 2019
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 the year ended July 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 occurrence of certain events. The “seller” of the protection receives periodic payments and agrees to assume the credit risk of an issuer
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Notes to Financial Statements – (continued)
July 31, 2019
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 the year ended July 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 the year ended July 31, 2019, Total Return Bond ETF had entered into Interest Rate Swap Contracts.
Total Return Swap Contracts – Certain Funds may invest in total return swap contracts in pursuit of the Fund’s investment objective or for hedging purposes. An investment in a total return swap allows a Fund to gain or mitigate exposure to underlying reference assets. Total return swap contracts involve commitments where cash flows are exchanged based on the price of underlying reference assets and based on a fixed or variable interest rate. One party receives payments based on the price appreciation or depreciation of the underlying reference asset, in exchange for paying to or receiving from the counterparty seller an agreed-upon interest rate. A variable interest rate may be correlated to a base rate, such as the LIBOR, and is adjusted each reset period, which is defined at the beginning of the contract. Therefore, if interest rates increase over the term of the swap contract, the party paying the rate may be required to pay a higher rate at each swap reset date.
Total return swap contracts on indices involve commitments to pay interest in exchange for a market-linked return. One party pays out the total return of a specific reference asset, which may be an equity, index, or bond, and in return receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. If the Fund is a payer in a total return swap, it may be subject to unlimited losses. They are also subject to counterparty risk. If the counterparty fails to meet its obligations, the Fund may lose money.
During the year ended July 31, 2019, Total Return Bond ETF had entered into Total Return Swap Contracts.
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Notes to Financial Statements – (continued)
July 31, 2019
e) | Additional Derivative Instrument Information: |
Tax-Aware Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2019:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 6,736 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6,736 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 6,736 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6,736 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 year ended July 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 | $ | (5,991 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (5,991 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (5,991 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (5,991 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | (6,736 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (6,736 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (6,736 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (6,736 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended July 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 July 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) | $ | 19,518 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 19,518 | ||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 6,685 | — | — | — | — | 6,685 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 19,518 | $ | 6,685 | $ | — | $ | — | $ | — | $ | — | $ | 26,203 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 116,729 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 116,729 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 116,729 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 116,729 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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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Notes to Financial Statements – (continued)
July 31, 2019
Short Duration ETF – (continued)
The Effect of Derivative Instruments on the Statement of Operations for the year ended July 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 | $ | (418,877 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (418,877 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (418,877 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (418,877 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | (98,284 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (98,284 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 6,842 | — | — | — | — | 6,842 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (98,284 | ) | $ | 6,842 | $ | — | $ | — | $ | — | $ | — | $ | (91,442 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended July 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 | 57 | |||
Futures Contracts Short at Number of Contracts | (112 | ) | ||
Foreign Currency Contracts Purchased at Contract Amount | $ | 249,987 | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 1,140,993 |
Total Return Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 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 | $ | 1,213,138 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,213,138 | ||||||||||||||
Unrealized appreciation on futures contracts(1) | 13,230 | — | — | — | — | — | 13,230 | |||||||||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 124,504 | — | — | — | — | 124,504 | |||||||||||||||||||||
Unrealized appreciation on swap contracts(2) | 448,537 | — | — | — | — | — | 448,537 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 1,674,905 | $ | 124,504 | $ | — | $ | — | $ | — | $ | — | $ | 1,799,409 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 1,262,613 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,262,613 | ||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 55,502 | — | — | — | — | 55,502 | |||||||||||||||||||||
Unrealized depreciation on swap contracts(2) | 2,323,195 | — | 45,248 | — | — | — | 2,368,443 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 3,585,808 | $ | 55,502 | $ | 45,248 | $ | — | $ | — | $ | — | $ | 3,686,558 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 Statements 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. |
| 66 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
Total Return Bond ETF – (continued)
The Effect of Derivative Instruments on the Statement of Operations for the year ended July 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 purchased options contracts | $ | (592,660 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (592,660 | ) | ||||||||||||
Net realized gain (loss) on futures contracts | (3,016,963 | ) | — | — | — | — | — | (3,016,963 | ) | |||||||||||||||||||
Net realized gain (loss) on written options contracts | 114,668 | — | — | — | — | — | 114,668 | |||||||||||||||||||||
Net realized gain (loss) on swap contracts | (872,110 | ) | — | 141,241 | — | — | — | (730,869 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (4,367,065 | ) | $ | — | $ | 141,241 | $ | — | $ | — | $ | — | $ | (4,225,824 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
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 | $ | (176,248 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (176,248 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | (1,249,378 | ) | — | — | — | — | — | (1,249,378 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) of swap contracts | (1,899,785 | ) | — | (50,332 | ) | — | — | — | (1,950,117 | ) | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 8,418 | — | — | — | — | 8,418 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (3,325,411 | ) | $ | 8,418 | $ | (50,332 | ) | $ | — | $ | — | $ | — | $ | (3,367,325 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended July 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 | 26,401,833 | |||
Futures Contracts Long at Number of Contracts | 358 | |||
Futures Contracts Short at Number of Contracts | (375 | ) | ||
Written Options Contracts at Number of Contracts | (57,319,000 | ) | ||
Swap Contracts at Notional Amount | $ | 53,038,232 | ||
Foreign Currency Contracts Purchased at Contract Amount | $ | 751,892 | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 35,801,761 |
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 the 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 July 31, 2019:
Short Duration ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Foreign currency contracts | $ | 6,685 | $ | — | ||||
Futures contracts | 19,518 | (116,729 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 26,203 | (116,729 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (19,518 | ) | 116,729 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | 6,685 | $ | — | ||||
|
|
|
|
| 67 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
Short Duration ETF – (continued)
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||||||||||||
Barclays | $ | 5,856 | $ | — | $ | — | $ | — | $ | 5,856 | ||||||||||
Goldman Sachs & Co. | 829 | — | — | — | 829 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,685 | $ | — | $ | — | $ | — | $ | 6,685 | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
Tax-Aware Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | — | $ | (6,736 | ) | |||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (6,736 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | — | 6,736 | ||||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | — | $ | — | ||||
|
|
|
|
Total Return Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Foreign currency contracts | $ | 124,504 | $ | (55,502 | ) | |||
Futures contracts | 13,230 | (1,262,613 | ) | |||||
Purchased options | 1,213,138 | — | ||||||
Swap contracts | 448,537 | (2,368,443 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 1,799,409 | (3,686,558 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (71,907 | ) | 3,631,056 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | 1,727,502 | $ | (55,502 | ) | |||
|
|
|
|
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 | $ | 3,810 | $ | — | $ | — | $ | — | $ | 3,810 | ||||||||||
Bank of Montreal | 12,504 | — | — | — | 12,504 | |||||||||||||||
Barclays | 2,579 | — | — | — | 2,579 | |||||||||||||||
BNP Paribas Securities Services | 35,653 | (7,895 | ) | — | — | 27,758 | ||||||||||||||
Citibank NA | 548 | (548 | ) | — | — | — | ||||||||||||||
Deutsche Bank Securities, Inc. | 8,792 | (610 | ) | — | — | 8,182 | ||||||||||||||
Goldman Sachs & Co. | 178,109 | — | — | — | 178,109 | |||||||||||||||
HSBC Bank USA | 1,217,318 | (4,830 | ) | — | — | 1,212,488 | ||||||||||||||
JP Morgan Chase & Co. | 8,247 | (8,247 | ) | — | — | — | ||||||||||||||
Morgan Stanley | 225,980 | (2,547 | ) | — | — | 223,433 | ||||||||||||||
RBS Greenwich Capital | 11,810 | (560 | ) | — | — | 11,250 | ||||||||||||||
Standard Chartered Bank | 8,312 | — | — | — | 8,312 | |||||||||||||||
State Street Global Markets LLC | 13,034 | (20 | ) | — | — | 13,014 | ||||||||||||||
UBS AG | 806 | (806 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,727,502 | $ | (26,063 | ) | $ | — | $ | — | $ | 1,701,439 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||||||||||||
BNP Paribas Securities Services | $ | (7,895 | ) | $ | 7,895 | $ | — | $ | — | $ | — | |||||||||
Citibank NA | (1,370 | ) | 548 | — | — | (822 | ) | |||||||||||||
Deutsche Bank Securities, Inc. | (610 | ) | 610 | — | — | — | ||||||||||||||
HSBC Bank USA | (4,830 | ) | 4,830 | — | — | — | ||||||||||||||
JP Morgan Chase & Co. | (27,053 | ) | 8,247 | — | — | (18,806 | ) | |||||||||||||
Morgan Stanley | (2,547 | ) | 2,547 | — | — | — | ||||||||||||||
National Australia Bank Limited | (2,987 | ) | — | — | — | (2,987 | ) | |||||||||||||
RBS Greenwich Capital | (560 | ) | 560 | — | — | — |
| 68 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
Total Return Bond ETF – (continued)
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||||||||||||
State Street Global Markets LLC | $ | (20 | ) | $ | 20 | $ | — | $ | — | $ | — | |||||||||
UBS AG | (7,630 | ) | 806 | — | — | (6,824 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (55,502 | ) | $ | 26,063 | $ | — | $ | — | $ | (29,439 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | 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.
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, 2019. 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) | Net Investment Income (Loss), Net Realized Gains (Losses) and Distributions – Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of losses deferred due to wash sale adjustments, paydowns gain/losses on mortgage-backed and asset-backed securities, foreign currency gains and losses and certain derivatives. The character of |
| 69 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund. |
c) | Distributions and Components of Distributable Earnings– The tax character of distributions paid by each Fund for the years ended July 31, 2019 and July 31, 2018 are as follows (as adjusted for dividends payable, if applicable): |
For the Year Ended July 31, 2019 | For the Year Ended July 31, 2018 | |||||||||||||||||||
Fund | Tax Exempt Income | Ordinary Income | Long-Term Capital Gains* | Tax Exempt Income | Ordinary Income | |||||||||||||||
Municipal Opportunities ETF | $ | 2,379,180 | $ | 108,378 | $ | — | $ | 148,291 | $ | 6,451 | ||||||||||
Tax-Aware Bond ETF | 382,609 | 180,493 | — | 52,587 | 46,852 | |||||||||||||||
Short Duration ETF | — | 3,112,135 | 644 | — | 76,088 | |||||||||||||||
Total Return Bond ETF | — | 14,404,534 | — | — | 361,103 |
* | The Funds designate these distributions as long-term capital gains dividends pursuant to IRC Sec 852(b)(3)(c). |
As of July 31, 2019, the components of distributable earnings (deficit) for each Fund on a tax basis are as follows:
Fund | Tax Exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Other Temporary Differences | Unrealized Appreciation/ (Depreciation) on Investments | Total Accumulated Earnings (Deficit) | |||||||||||||||||||||
Municipal Opportunities ETF | $ | 336,628 | $ | 340,878 | $ | 3,472 | $ | — | $ | (317,560 | ) | $ | 6,632,977 | $ | 6,996,395 | |||||||||||||
Tax-Aware Bond ETF | 58,769 | 176,298 | 117,639 | — | (53,896 | ) | 679,460 | 978,270 | ||||||||||||||||||||
Short Duration ETF | — | 466,624 | — | (358,206 | ) | (336,490 | ) | 1,903,424 | 1,675,352 | |||||||||||||||||||
Total Return Bond ETF | — | 12,347,902 | — | — | (3,914,634 | ) | 23,108,302 | 31,541,570 |
d) | Reclassification of Capital Accounts – The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders. Therefore, the source of the Funds’ distributions may be shown in the accompanying Statements of Changes in Net Assets as from distributable earnings or from capital depending on the type of book and tax differences that exist. For the year ended July 31, 2019, there were no reclassifications recorded in the Fund’s capital accounts. |
e) | 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 | Short-Term Capital Loss Carryforward with No Expiration | Long-Term Capital Loss Carryforward with No Expiration | ||||||
Short Duration ETF | $ | 51,809 | $ | 306,397 |
Municipal Opportunities ETF,Tax-Aware Bond ETF and Total Return Bond ETF had no capital loss carryforwards for U.S. federal income tax purposes as of July 31, 2019.
During the fiscal year ended July 31, 2019, the Municipal Opportunities ETF,Tax-Aware Bond ETF and Total Return Bond ETF utilized $50,989, $18,273 and $219,216, respectively, of prior year capital loss carryforwards.
f) | Tax Basis of Investments– The aggregate cost of investments for federal income tax purposes at July 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 | $ | 133,941,003 | $ | 6,634,224 | $ | (1,247 | ) | $ | 6,632,977 | |||||||
Tax-Aware Bond ETF | 26,770,672 | 697,637 | (24,913 | ) | 672,724 | |||||||||||
Short Duration ETF | 110,906,262 | 2,185,045 | (281,561 | ) | 1,903,484 | |||||||||||
Total Return Bond ETF | 768,203,998 | 27,341,186 | (4,231,276 | ) | 23,109,910 |
| 70 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
g) | Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, management reviews each Fund’s tax positions for all open tax years. As of July 31, 2019, management had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for 3 years, no examination is currently in progress. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months. |
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 with respect toTax-Aware Bond ETF. 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 the applicablesub-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 to the Adviser under the Investment Management Agreement. 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 July 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 year ended July 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 the year ended July 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
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Notes to Financial Statements – (continued)
July 31, 2019
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.
At July 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) | |||||||||
Short Duration ETF | $ | 1,300,859 | $ | 188,210 | $ | 1,150,590 | ||||||
Total Return Bond ETF | 1,175,049 | 1,220,880 | — |
(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. |
9. | Secured Borrowings: |
The following tables reflect 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 July 31, 2019.
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 | ||||||||||||||||
Short Duration ETF | ||||||||||||||||||||
Securities Lending Transactions(1) |
| |||||||||||||||||||
Corporate Bonds | $ | 188,210 | $ | — | $ | — | $ | — | $ | 188,210 | ||||||||||
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Total Borrowings | $ | 188,210 | $ | — | $ | — | $ | — | $ | 188,210 | ||||||||||
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Gross amount of recognized liabilities for securities lending transactions |
| $ | 188,210 | |||||||||||||||||
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Total Return Bond ETF | ||||||||||||||||||||
Securities Lending Transactions(1) | ||||||||||||||||||||
Corporate Bonds | $ | 1,220,880 | $ | — | $ | — | $ | — | $ | 1,220,880 | ||||||||||
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| |||||||||||
Total Borrowings | $ | 1,220,880 | $ | — | $ | — | $ | — | $ | 1,220,880 | ||||||||||
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Gross amount of recognized liabilities for securities lending transactions |
| $ | 1,220,880 | |||||||||||||||||
|
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(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. |
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Notes to Financial Statements – (continued)
July 31, 2019
10. | 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.
11. | Affiliate Holdings: |
As of July 31, 2019, affiliates of The Hartford had ownership of shares in certain Funds as follows:
Fund | Percentage of Fund | |||
Municipal Opportunities ETF | 72 | % | ||
Tax-Aware Bond ETF | 38 | % | ||
Short Duration ETF | 37 | % |
As of July 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 as a result of purchase and sale activity 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 | 45 | % | ||
Total Return Bond ETF | 98 | % |
12. | Investment Transactions: |
For the year ended July 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 | $ | 148,723,127 | $ | 28,457,352 | $ | — | $ | — | $ | 148,723,127 | $ | 28,457,352 | ||||||||||||
Tax-Aware Bond ETF | 18,255,695 | 14,587,793 | 22,945,299 | 18,499,457 | 41,200,994 | 33,087,250 | ||||||||||||||||||
Short Duration ETF | 101,075,041 | 22,293,502 | 9,839,606 | 1,155,521 | 110,914,647 | 23,449,023 | ||||||||||||||||||
Total Return Bond ETF | 379,016,486 | 125,555,460 | 305,158,671 | 85,597,271 | 684,175,157 | 211,152,731 |
13. | 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.
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Notes to Financial Statements – (continued)
July 31, 2019
If a Creation Unit is purchased or redeemed for cash or outside of the Clearing Process, a higher transaction fee may be charged. The following table discloses Creation Unit breakdown for each Fund:
Fund | Standard Creation Unit Shares | Standard In-kind Creation Fee | Value at July 31, 2019 | Standard In-kind Redemption Fee | ||||||||||||
Municipal Opportunities ETF | 50,000 | $ | 400 | $ | 2,086,000 | $ | 400 | |||||||||
Tax-Aware Bond ETF | 50,000 | $ | 500 | 1,047,500 | $ | 500 | ||||||||||
Short Duration ETF | 50,000 | $ | 400 | 2,035,000 | $ | 400 | ||||||||||
Total Return Bond ETF | 50,000 | $ | 500 | 2,043,500 | $ | 500 |
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 the year ended July 31, 2019 and the period ended July 31, 2018:
For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(1) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Municipal Opportunities ETF | ||||||||||||||||
Shares Sold | 3,050,000 | $ | 120,705,261 | 300,002 | $ | 11,997,920 | ||||||||||
Shares Redeemed | — | — | (2 | ) | (80 | ) | ||||||||||
Other Capital | — | 51,773 | — | 21,596 | ||||||||||||
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Net Increase (Decrease) | 3,050,000 | 120,757,034 | 300,000 | 12,019,436 | ||||||||||||
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For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(2) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Tax-Aware Bond ETF | ||||||||||||||||
Shares Sold | 250,000 | $ | 5,235,438 | 1,050,002 | $ | 20,991,274 | ||||||||||
Shares Redeemed | — | — | (2 | ) | (40 | ) | ||||||||||
Other Capital | — | 3,927 | — | 20,991 | ||||||||||||
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Net Increase (Decrease) | 250,000 | 5,239,365 | 1,050,000 | 21,012,225 | ||||||||||||
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For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(3) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short Duration ETF | ||||||||||||||||
Shares Sold | 2,400,000 | $ | 96,183,975 | 500,001 | $ | 20,000,040 | ||||||||||
Shares Redeemed | (200,000 | ) | (8,032,678 | ) | (1 | ) | (40 | ) | ||||||||
Other Capital | — | 52,108 | — | 10,000 | ||||||||||||
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| |||||||||
Net Increase (Decrease) | 2,200,000 | 88,203,405 | 500,000 | 20,010,000 | ||||||||||||
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
July 31, 2019
For the Year Ended July 31, 2019 | For the Period Ended July 31, 2018(4) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Total Return Bond ETF | ||||||||||||||||
Shares Sold | 14,500,000 | $ | 559,765,672 | 1,150,002 | $ | 45,335,134 | ||||||||||
Shares Redeemed | (1,200,000 | ) | (46,687,112 | ) | (2 | ) | (80 | ) | ||||||||
Other Capital | — | 525,462 | — | 40,268 | ||||||||||||
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Net Increase (Decrease) | 13,300,000 | 513,604,022 | 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. |
14. | 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.
15. | 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 is effective for public entities for fiscal years beginning after December 15, 2018, and will become effective 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 each Fund’s early adoption of these provisions was limited to changes in the Fund’s 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 of ASU2018-13.
16. | 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 disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm |
To the Shareholders and the Board of Trustees of
Hartford Funds Exchange-Traded Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Hartford Funds Exchange-Traded Trust (the “Trust”) (comprising Hartford Municipal Opportunities ETF, Hartford SchrodersTax-Aware Bond ETF, Hartford Short Duration ETF, and Hartford Total Return Bond ETF) (collectively referred to as the “Funds”)), including the schedules of investments, as of July 31, 2019, and the related statements of operations, changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Hartford Funds Exchange-Traded Trust at July 31, 2019, the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Funds comprising Hartford Funds Exchange-Traded Trust | Statement of operations | Statements of changes in net assets | Financial highlights | |||
Hartford Total Return Bond ETF | For the year ended July 31, 2019 | For the year ended July 31, 2019 and the period from September 27, 2017 (commencement of operations) through July 31, 2018 | ||||
Hartford Municipal Opportunities ETF | For the year ended July 31, 2019 | For the year ended July 31, 2019 and the period from December 13, 2017 (commencement of operations) through July 31, 2018 | ||||
Hartford SchrodersTax-Aware Bond ETF | For the year ended July 31, 2019 | For the year ended July 31, 2019 and the period from April 18, 2018 (commencement of operations) through July 31, 2018 | ||||
Hartford Short Duration ETF | For the year ended July 31, 2019 | For the year ended July 31, 2019 and the period from May 30, 2018 (commencement of operations) through July 31, 2018 |
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, audits of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Hartford investment companies since 2002.
Philadelphia, Pennsylvania
September 24, 2019
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Trustees and Officers of the Trust
Hartford Funds Exchange-Traded Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The following tables present certain information regarding the Trustees and officers of the Trust as of July 31, 2019. For more information regarding the Trustees and officers, please refer to the Statement of Additional Information, which is available, without charge, upon request by calling1-888-843-7824.
NAME, YEAR OF BIRTH | POSITION | TERM OF | PRINCIPAL OCCUPATION(S) | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS | |||||
NON-INTERESTED TRUSTEES | ||||||||||
HILARY E. ACKERMANN (1956) | Trustee and Chair of the Compliance and Risk Oversight Committee | Trustee since October 2017; Chair of the Compliance and Risk Oversight Committee since November 2017 | Ms. Ackermann served as Chief Risk Officer at Goldman Sachs Bank USA from October 2008 to November 2011. Ms. Ackermann has served as a Director of Vistra Energy Corporation, formerly known as Dynegy, Inc. (an independent power company) since October 2012 and as a Director of Credit Suisse Holdings (USA), Inc. since January 2017. | 83 | Ms. Ackermann served as Chief Risk Officer at Goldman Sachs Bank USA from October 2008 to November 2011. Ms. Ackermann has served as a Director of Vistra Energy Corporation, formerly known as Dynegy, Inc. (an independent power company) since October 2012 and as a Director of Credit Suisse Holdings (USA), Inc. since January 2017. | |||||
ROBIN C. BEERY (1967) | Trustee | Since December 2016 | Ms. Beery has served as a consultant to ArrowMark Partners (an alternative asset manager) since March of 2015 and since November 2018 has been employed by ArrowMark Partners as a Senior Advisor. Previously, she was Executive Vice President, Head of Distribution, for Janus Capital Group, and Chief Executive Officer and President of the Janus Mutual Funds (a global asset manager) from September 2009 to August 2014. | 83 | Ms. Beery serves as a Director of UMB Financial Corporation (January 2015 to present). | |||||
LYNN S. BIRDSONG(4) (1946) | Trustee and Chairman of the Investment Committee | Trustee since October 2017; Chair of the Investment Committee since November 2017 | Mr. Birdsong currently serves as a Director of Aberdeen Global and Aberdeen Global II (investment funds) (since September 2014), Aberdeen Islamic SICAV and Aberdeen Liquidity Fund (investment funds) (since 2016), and Aberdeen Alpha Fund (since December 2017). Mr. Birdsong served as an Independent Director of Nomura Partners Funds, Inc. (formerly, The Japan Fund) (April 2003 to February 2015) and as a Director of the Sovereign High Yield Investment Company (April 2010 to June 2014). From 2003 to March 2005, Mr. Birdsong was an Independent Director of the Atlantic Whitehall Funds. From 1979 to 2002, Mr. Birdsong was a Managing Director of Zurich Scudder Investments, an investment management firm. During his employment with Scudder, Mr. Birdsong was an Interested Director of The Japan Fund. From January 1981 through December 2013, Mr. Birdsong was a partner in Birdsong Company, an advertising specialty firm. | 83 | None | |||||
CHRISTINE R. DETRICK (1958) | Trustee | Since October 2017 | Ms. Detrick has served as a Director of Reinsurance Group of America since January 2014. Previously, she was a director of Forest City Realty Trust (a real estate company) from November 2014 to March 2018, a Director of Forethought Financial Group, Inc. (a financial services company) from January 2012 to January 2014, and a Senior Partner/Advisor at Bain & Company (a management consulting firm) from September 2002 to December 2012. | 83 | Ms. Detrick serves as a Director of Reinsurance Group of America (January 2014 to present). | |||||
DUANE E. HILL (1945) | Trustee and Chairman of the Nominating and Governance Committee | Trustee since October 2017; and Chairman of the Nominating and Governance Committee since November 2017 | Mr. Hill is a Partner of TSG Ventures L.P., a private equity investment company. Mr. Hill is a former partner of TSG Capital Group, a private equity investment firm that served as sponsor and lead investor in leveraged buyouts of middle market companies. | 83 | None |
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Trustees and Officers of the Trust – (continued)
NAME, YEAR OF BIRTH | POSITION | TERM OF | PRINCIPAL OCCUPATION(S) | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS | |||||
WILLIAM P. JOHNSTON(4) (1944) | Trustee and Chairman of the Board of Trustees and the Contracts Committee | Trustee since October 2017; and Chairman of the Board of Trustees and the Contracts Committee since November 2017 | In June 2006, Mr. Johnston was appointed as Senior Advisor to The Carlyle Group, a global private equity and other alternative asset investment firm and currently serves as an Operating Executive. In August 2007, Mr. Johnston was elected to the Board of Directors of LifeCare Holdings, Inc. and served until June 2013. In February 2008, Mr. Johnston was elected to the Board of Directors ofHCR-ManorCare, Inc. and served until July 2018. In July 2006, Mr. Johnston was elected to the Board of Directors of MultiPlan, Inc. and served as a Director until August 2010. In May 2006, Mr. Johnston was elected to the Supervisory Board of Fresenius Medical Care AG & Co. KGaA, after its acquisition of Renal Care Group, Inc. in March 2006. Mr. Johnston joined Renal Care Group in November 2002 as a member of the Board of Directors and served as Chairman of the Board from March 2003 through March 2006. From 2002 through 2013, Mr. Johnston served as a Board member of the Georgia O’Keefe Museum. From September 1987 to December 2002, Mr. Johnston was with Equitable Securities Corporation (and its successors, SunTrust Equitable Securities and SunTrust Robinson Humphrey) serving in various investment banking and managerial positions, including Managing Director and Head of Investment Banking, Chief Executive Officer and Vice Chairman. | 83 | None | |||||
PHILLIP O. PETERSON (1944) | Trustee and Chairman of the Audit Committee | Trustee since October 2017; and Chairman of the Audit Committee since November 2017 | Mr. Peterson is a mutual fund industry consultant. He was a partner of KPMG LLP (an accounting firm) until July 1999. From February 2007 to February 2018, Mr. Peterson served as a member of the Board of Trustees of the William Blair Funds. From February 2012 to February 2014, Mr. Peterson served as a Trustee of Symetra Variable Mutual Funds. From January 2004 to April 2005, Mr. Peterson served as Independent President of the Strong Mutual Funds. | 83 | None | |||||
LEMMA W. SENBET (1946) | Trustee | Since October 2017 | Dr. Senbet currently serves as the William E. Mayer Chair Professor of Finance, and previously was the Founding Director, Center for Financial Policy, in the Robert H. Smith School of Business at the University of Maryland. He was chair of the Finance Department Robert H. Smith School of Business at the University of Maryland from 1998 to 2006. In June 2013, he began a sabbatical from the University to serve as Executive Director of the African Economic Research Consortium which focuses on economic policy research and training, which he completed in 2018. Previously, he was a chaired professor of finance at the University of Wisconsin-Madison. Also, he was a Director of the Fortis Funds from March 2000 to July 2002. Dr. Senbet served as Director of the American Finance Association and President of the Western Finance Association. In 2006, Dr. Senbet was inducted Fellow of Financial Management Association International for his career-long distinguished scholarship and professional service. | 83 | None |
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Trustees and Officers of the Trust – (continued)
NAME, YEAR OF BIRTH | POSITION | TERM OF | PRINCIPAL OCCUPATION(S) | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS | |||||
DAVID SUNG (1953) | Trustee | Since December 2016 | Mr. Sung has served as a Director of Nippon Wealth Bank since April 2015 and CITIC-Prudential Fund Management Company, Inc. since January 2016. Mr. Sung is an Independent Director of seven investment funds, including twoclosed-end registered investment companies, sponsored by Ironwood Capital Management. Previously, he was a Partner at Ernst & Young LLP from October 1995 to July 2014. | 83 | Mr. Sung serves as a Trustee of Ironwood Institutional Multi-Strategy Fund, LLC and Ironwood Multi-Strategy Fund, LLC (October 2015 to present) (2 portfolios). | |||||
OFFICERS AND INTERESTED TRUSTEE | ||||||||||
JAMES E. DAVEY(5) (1964) | Trustee, President and Chief Executive Officer | Trustee since October 2017; President and Chief Executive Officer since November 2017 | Mr. Davey serves as Executive Vice President of The Hartford Financial Services Group, Inc. Additionally, Mr. Davey serves as Chairman of the Board, Manager, and Senior Managing Director of Hartford Funds Distributors, LLC (“HFD”). He also currently serves as Director, Chairman of the Board, President and Senior Managing Director of Hartford Administrative Services Company (“HASCO”). Mr. Davey also serves as President, Manager, Chairman of the Board, and Senior Managing Director for Hartford Funds Management Company, LLC (“HFMC”), and Director, Chairman, President, and Senior Managing Director for Hartford Funds Management Group, Inc. (“HFMG”). Mr. Davey also serves as Manager, Chairman of the Board, and President of Lattice Strategies LLC (since July 2016). Mr. Davey has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Davey joined The Hartford in 2002. | 83 | None | |||||
ANDREW S. DECKER (1963) | AML Compliance Officer | Since December 2016 | Mr. Decker serves as Chief Compliance Officer and AML Compliance Officer of HASCO (since April 2015) and Vice President of HASCO (since April 2018). Mr. Decker serves as AML Officer of HFD (since May 2015). Mr. Decker also serves as Vice President of HFMG (since April 2018). Prior to joining The Hartford, Mr. Decker served as Vice President and AML Officer at Janney Montgomery Scott (a broker dealer) from April 2011 to January 2015. Mr. Decker served as AML Compliance and Sanctions Enforcement Officer at SEI Investments from December 2007 to April 2011. | N/A | N/A | |||||
AMY N. FURLONG (1979) | Vice President and Treasurer | Since May 2018 | Ms. Furlong has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Furlong joined The Hartford in 2004. Prior to joining The Hartford, Ms. Furlong worked at KPMG LLP in audit services. | N/A | N/A | |||||
WALTER F. GARGER (1965) | Chief Legal Officer and Vice President | Since December 2016 | Mr. Garger serves as Secretary, Managing Director and General Counsel of HFD, HASCO, HFMC and HFMG (since 2013). Mr. Garger also serves as Secretary and General Counsel of Lattice Strategies LLC (since July 2016). Mr. Garger has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Garger joined The Hartford in 1995. | N/A | N/A | |||||
ALBERT Y. LEE (1979) | Vice President and Assistant Treasurer | Since December 2016 | Mr. Lee serves as Head of Systemic Strategies and ETF Operations and Senior Vice President of HFMG (since July 2016). Mr. Lee also serves as Senior Vice President of Lattice Strategies LLC (since June 2017). Previously, Mr. Lee served as Managing Director and Chief Operating Officer, Lattice Strategies LLC (2009-2016); Chief Operating Officer at Avicenna Capital Management (2007-2009); and Chief Financial Officer at Steeple Capital LP (2005-2007). | N/A | N/A |
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Hartford Active Fixed Income ETFs |
Trustees and Officers of the Trust – (continued)
NAME, YEAR OF BIRTH | POSITION | TERM OF | PRINCIPAL OCCUPATION(S) | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS | |||||
THEODORE J. LUCAS (1966) | Vice President | Since November 2017 | Mr. Lucas serves as Executive Vice President of HFMG (since July 2016) and as Executive Vice President of Lattice Strategies LLC (since June 2017). Previously, Mr. Lucas served as Managing Partner of Lattice Strategies LLC (2003 to 2016). | N/A | N/A | |||||
JOSEPH G. MELCHER (1973) | Chief Compliance Officer and Vice President | Since December 2016 | Mr. Melcher serves as President (since April 2018), Chief Executive Officer (since April 2018) and Executive Vice President (since December 2013) of HFD. He also serves as Executive Vice President of HFMG and HASCO (since December 2013). Mr. Melcher also serves as Executive Vice President (since December 2013) and Chief Compliance Officer (since December 2012) of HFMC. Mr. Melcher also serves as Executive Vice President and Chief Compliance Officer of Lattice Strategies, LLC (since July 2016). Mr. Melcher has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds since joining The Hartford in 2012. Prior to joining The Hartford, Mr. Melcher worked at Touchstone Investments, a member of the Western & Southern Financial Group, where he held the position of Vice President and Chief Compliance Officer from 2010 through 2012 and Assistant Vice President, Compliance from 2005 to 2010. | N/A | N/A | |||||
VERNON J. MEYER (1964) | Vice President | Since December 2016 | Mr. Meyer serves as Managing Director and Chief Investment Officer of HFMC and Managing Director of HFMG (since 2013). Mr. Meyer has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Meyer joined The Hartford in 2004. | N/A | N/A | |||||
ALICE A. PELLEGRINO (1960) | Vice President | Since December 2016 | Ms. Pellegrino serves as Vice President of HFMG (since December 2013). Ms. Pellegrino also serves as Vice President and Assistant Secretary of Lattice Strategies LLC (since June 2017). Ms. Pellegrino is a Senior Counsel and has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Pellegrino joined The Hartford in 2007. | N/A | N/A | |||||
THOMAS R. PHILLIPS (1960) | Vice President and Secretary | Since November 2017 | Mr. Phillips currently serves as Vice President (since February 2017) and Assistant Secretary (since June 2017) for HFMG. Mr. Phillips is Deputy General Counsel for HFMG. Prior to joining HFMG in 2017, Mr. Phillips was a Director and Chief Legal Officer of Saturna Capital Corporation from 2014–2016. Prior to that, Mr. Phillips was a Partner and Deputy General Counsel of Lord, Abbett & Co. LLC. | N/A | N/A |
(1) | The address for each officer and Trustee is c/o Hartford Funds 690 Lee Road, Wayne, PA 19087. |
(2) | Each Trustee holds an indefinite term until the earlier of (i) the election and qualification of his or her successor or (ii) when the Trustee turns 75 years of age. Each officer shall serve until his or her successor is elected and qualifies. |
(3) | The portfolios of the “Fund Complex” are series of The Hartford Mutual Funds, Inc., The Hartford Mutual Funds II, Inc., Hartford Series Fund, Inc., Hartford HLS Series Fund II, Inc., Hartford Funds Master Fund, Lattice Strategies Trust, and Hartford Funds Exchange-Traded Trust. |
(4) | Effective August 7, 2019, Mr. Birdsong has been appointed as Chairman of the Board. Effective September 24, 2019, Mr. Johnston has retired and will no longer be a Trustee of the Trust. |
(5) | “Interested person,” as defined in the 1940 Act, of the Trust because of the person’s affiliation with, or equity ownership of HFMC or affiliated companies. |
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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 will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on FormN-PORT. Each Fund’s Form N-PORT reports once filed will be available (1) without charge, upon request, by calling888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.
| 81 |
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THIS PRIVACY POLICY IS NOT PART OF THIS REPORT
CUSTOMER PRIVACY NOTICE
The Hartford Financial Services Group, Inc. and its 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 protectPersonalInformation.
We collectPersonal Informationto:
a) service yourTransactionswith us; and
b) support our business functions.
We may obtainPersonal Informationfrom:
a)You;
b) yourTransactionswith us; and
c) third parties such as a consumer-reporting agency.
Based on the type of product or serviceYouapply for or get from us,Personal Informationsuch 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 serveYouand 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;
toYouwithout providingYouwith 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 serveYouand service our business.
When allowed by law, we may share certainPersonal FinancialInformationwith 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 pages
Youvisit 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 Informationwith anyone for purposes unrelated to our business functions without offeringYouthe opportunity to:
a)“opt-out;” or
b)“opt-in;”
as required by law.
We only disclosePersonal Health Informationwith:
a) your authorization; or
b) as otherwise allowed or required by law.
Our employees have access toPersonal Informationin 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 Informationthat we have. We use these procedures to guard against unauthorized access.
Some techniques we use to protectPersonal Informationinclude:
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 regardingPersonalInformationeven when a business relationship no longer exists between us.
As used in this Privacy Notice:
Applicationmeans your request for our product or service.
Personal Financial Informationmeans 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 Informationmeans health information such as:
a) your medical records; or
b) information about your illness, disability or injury.
Personal Informationmeans information that identifiesYou personally and is not otherwise available to the public. It includes:
a)Personal Financial Information; and
b)Personal Health Information.
Transactionmeans 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.
Youmeans an individual who has given usPersonal Informationin 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 atCorporatePrivacyOffice@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 sub-advised 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.
ETFAR-AFI19 09/19 213032 HFA000553 09/20 Printed in U.S.A.
Item 2. Code of Ethics.
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. There have been no amendments, during the period covered by this report, to 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, and that relates to any element of the code of ethics description. 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. A copy of the code of ethics is filed herewith
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant (the “Board”) has designated Phillip O. Peterson as an Audit Committee Financial Expert. Mr. Peterson is considered by the Board to be an independent trustee.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were: |
$90,000 for the fiscal year ended July 31, 2018; $88,000 for the fiscal year ended July 31, 2019. |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were: |
$0 for the fiscal year ended July 31, 2018; $0 for the fiscal year ended July 31, 2019. |
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were: |
$18,500 for the fiscal year ended July 31, 2018; $48,000 for the fiscal year ended July 31, 2019.Tax-related services are principally in connection with, but not limited to, general tax compliance services and excise tax review. |
(d) | All Other Fees:The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were: |
$0 for the fiscal year ended July 31, 2018; $0 for the fiscal year ended July 31, 2019. |
(e) | Pre-Approval Policies and Procedures |
(1) Pursuant to the Registrant’s Audit Committee Charter, the Audit Committee shall evaluate the independence of the independent public accountants, including evaluating whether the independent public accountants provide audit services or consulting services to the Registrant or consulting services to the Adviser, and to receive the specific representations of the independent registered public accounting firm as to their independence. Specifically, the Audit Committee will be responsible for evaluating the provision ofnon-audit services to the Registrant as required by Section 201 of the Sarbanes-Oxley Act, anypre-approval requests submitted by the independent registered public accounting firm as required by Section 202 of the Sarbanes-Oxley Act or as otherwise required underSection 2-01 of RegulationS-X, and shall monitor the conflict of interest requirements in Section 206 of the Sarbanes-Oxley Act, and the prohibitions on improper influence on the conduct of audits in Section 303 of the Sarbanes-Oxley Act. The Audit Committee shallpre-approve any engagement of the independent registered public accounting firm to provide any services (other than prohibitednon-audit services) including the fees and other compensation to be paid to the independent registered public accounting firm. |
The independent registered public accounting firm is authorized by the Audit Committee to providenon-audit services to the extent allowable under the Sarbanes-Oxley Act of 2002 for the Registrant provided that (i) the fees payable with respect to such services do not exceed $10,000 for all funds in each of the Registrant and Lattice Strategies Trust in the aggregate in any calendar quarter and (ii) such fees are ratified by the Audit Committee at its next meeting. The fees payable with respect tonon-audit services may be increased by the affirmative vote of a majority of the members of the Audit Committee. |
(2) There were nopre-approval requirements waived for the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X (the “De Minimis Rule”). There were no fees billed for services provided to the Adviser described in paragraphs (b)-(d) of Item 4 that were required to bepre-approved by the Audit Committee as described in paragraph (e)(1) of Item 4. |
(f) | None of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the year ended July 31, 2019, were attributed to work |
performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | The aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were: |
Non-Audit Fees: $18,500 for the fiscal year ended July 31, 2018; $48,000 for the fiscal year ended July 31, 2019. |
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision ofnon-audit services that were rendered to the Registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant has an audit committee that was established by the Board of Trustees of the Registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the Registrant’s Audit Committee are Hilary E. Ackermann, William P. Johnston, Phillip O. Peterson and David Sung. |
(b) | 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 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 since the registrant last provided disclosure in response to this requirement.
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 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. | |||
(a)(4) | 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 FUNDS EXCHANGE-TRADED TRUST | ||||
Date: October 4, 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: October 4, 2019 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and Chief Executive Officer |
Date: October 4, 2019 | By: | /s/ Amy N. Furlong | ||
Amy N. Furlong | ||||
Treasurer | ||||
(Principal Financial Officer and Principal Accounting Officer) |