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: January 31, 2020
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’ Semi-Annual Report that covers the period from August 1, 2019 through January 31, 2020.
Market Review
During the six months ended January 31, 2020, U.S. stocks, as measured by the S&P 500 Index,1 gained 9.31%. Those returns came on the heels of a robust12-month gain
for the S&P 500 of 31.49% for calendar year 2019 that initially carried into early January 2020.
For the period, geopolitical issues provided a mixed picture. The new United States-Mexico-Canada Agreement signed in January was seen as a potential positive for North American trade. Tensions around the U.S.-China trade dispute subsided with the signing in January of a Phase One agreement on tariffs and trade reforms, while military tensions between the U.S. and Iran briefly rattled markets. In the U.S., investors appeared to take the impeachment trial of President Trump in stride.
Equities got off to a strong start in early- andmid-January before running into late-period headwinds arising from the initial effects of the emergence of the new coronavirus strain,COVID-19, originating in China. As the period ended, volatility had returned to global markets as investors began to digest the outbreak’s anticipated negative impact on economic growth and global supply chains.
Prior to the coronavirus outbreak, the overall U.S. economy had begun the year in a good place, with unemployment at a50-year low, inflation only a touch below the 2% target rate set by the U.S. Federal Reserve (Fed), and most growth forecasts optimistic for continued expansion.But the impact of the coronavirus outbreak on the global economy continued to cast a cloud over what had initially appeared to be an otherwise healthy investment environment. As a result, global markets have become volatile.
The Fed had been expected to leave rates unchanged for 2020, but was forced to dramatically change course as the dimensions of theCOVID-19 pandemic began to take shape. On March 3, 2020 the Fed reduced its key interest rate by a full half-percent in an effort to preserve liquidity. Another reduction later in March took interest rates to near zero.
Needless to say, a global pandemic of unknown duration suggests a need to make careful decisions regarding your investment portfolio. As always, you should maintain a strong relationship with your financial advisor, who can guide you through shifting markets while helping you find a good fit within our family of funds.
Thank you again for investing in Hartford Exchange-Traded Funds. For the mostup-to-date information on our complete selection of 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 does not guarantee future results. |
Hartford Active Fixed Income ETFs
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How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records | 66 | |||
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Approval of Investment Management and Investment Sub-Advisory Agreements | 67 |
Hartford Municipal Opportunities ETF |
January 31, 2020 (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. |
Average Annual Total Returns
for the Periods Ending 1/31/20
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Municipal Opportunities ETF (NAV Return) | 3.23 | % | 8.82 | % | 5.38 | % | ||||||
Municipal Opportunities ETF (Market Price Return) | 3.27 | % | 9.03 | % | 5.43 | % | ||||||
Bloomberg Barclays Municipal Bond 1-15 Year Blend (1-17) Index | 2.71 | % | 7.16 | % | 4.49 | % |
1 | Not Annualized |
2 | Inception: 12/13/2017. |
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at 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 table does 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 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 total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.30%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2020.
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.• 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.• Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall.• High-yield (“junk”) bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities.• In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition of Municipal Bonds(1)
as of January 31, 2020
Municipal Bonds | Percentage of Net Assets | |||
Airport | 6.6 | % | ||
Development | 1.1 | |||
Education | 1.8 | |||
General Obligation | 11.8 | |||
Higher Education | 2.9 | |||
Housing | 0.9 | |||
Medical | 6.4 | |||
Mello-Roos District | 0.1 | |||
Multifamily Housing | 0.5 | |||
Nursing Homes | 6.0 | |||
Other(2) | 18.6 | |||
Pollution | 1.1 | |||
Power | 5.4 | |||
School District | 12.1 | |||
Single Family Housing | 6.5 | |||
Student Loan | 1.0 | |||
Tobacco | 2.9 | |||
Transportation | 7.7 | |||
Utilities | 1.5 | |||
Water | 5.3 | |||
Short-Term Investments | 0.1 | |||
Other Assets & Liabilities | (0.3 | ) | ||
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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. |
| 2 |
|
Hartford SchrodersTax-Aware Bond ETF |
Fund Overview
January 31, 2020 (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. |
Average Annual Total Returns
for the Periods Ending 1/31/20
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Tax-Aware Bond ETF (NAV Return) | 2.60% | 7.76% | 5.91% | |||||||||
Tax-Aware Bond ETF (Market Price Return) | 2.74% | 8.33% | 6.05% | |||||||||
Bloomberg Barclays Municipal Bond Index | 3.33% | 8.65% | 6.52% |
1 | Not Annualized |
2 | 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 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 table does 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 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 total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.39%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2020.
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.• 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.• Mortgage related- and asset-backed securities’ risks include credit, interest-rate, prepayment, and extension 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.• The purchase of securities in the To-Be-Announced (TBA) market can result in 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.• The Fund may have high portfolio turnover, which could increase its transaction costs and an investor’s tax liability.• In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition by Security Type(1)
as of January 31, 2020
Category | Percentage of Net Assets | |||
Fixed Income Securities |
| |||
Corporate Bonds | 17.8 | % | ||
Municipal Bonds | 57.4 | |||
U.S. Government Agencies(2) | 9.7 | |||
U.S. Government Securities | 1.3 | |||
|
| |||
Total | 86.2 | % | ||
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Short-Term Investments | 15.9 | |||
Other Assets & Liabilities | (2.1 | ) | ||
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Total | 100.0 | % | ||
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(1) | For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
(2) | All or a portion of the securities categorized as U.S. Government Agencies were agency mortgage backed securities as of January 31, 2020. |
| 3 |
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Hartford Short Duration ETF |
Fund Overview
January 31, 2020 (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. |
Average Annual Total Returns
for the Periods Ending 1/31/20
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Short Duration ETF (NAV Return) | 2.51% | 6.17% | 4.80% | |||||||||
Short Duration ETF (Market Price Return) | 2.58% | 6.16% | 4.89% | |||||||||
Bloomberg Barclays 1-3 Year U.S. Government/Credit Index | 1.91% | 4.20% | 3.66% |
1 | Not Annualized |
2 | 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 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 table does 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 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 total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.30%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2020.
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. The Fund may allocate a portion of its assets to specialist portfolio managers which may not work as intended.• 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 less liquid than other types of debt instrument; they are also subject to nonpayment, collateral, bankruptcy, default, extension, prepayment and insolvency risks.• The risks associated with mortgage related- and asset-backed securities include credit, interest-rate, prepayment, liquidity, default and extension risk.• High-yield (“junk”) bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities.• 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.• Restricted securities may be more difficult to sell and price than other 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.• In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition by Security Type(1)
as of January 31, 2020
Category | Percentage of Net Assets | |||
Fixed Income Securities | ||||
Asset & Commercial Mortgage Backed Securities | 10.7 | % | ||
Corporate Bonds | 59.3 | |||
Foreign Government Obligations | 0.5 | |||
Municipal Bonds | 0.2 | |||
Senior Floating Rate Interests | 20.1 | |||
U.S. Government Agencies(2) | 9.9 | |||
|
| |||
Total | 100.7 | % | ||
|
| |||
Short-Term Investments | 0.5 | |||
Other Assets & Liabilities | (1.2 | ) | ||
|
| |||
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. |
(2) | All, or a portion of the securities categorized as U.S. Government Agencies, were agency mortgage backed securities as of January 31, 2020. |
| 4 |
|
Hartford Total Return Bond ETF |
Fund Overview
January 31, 2020 (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. |
Average Annual Total Returns
for the Periods Ending 1/31/20
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Total Return Bond ETF (NAV Return) | 4.59% | 10.63% | 5.07% | |||||||||
Total Return Bond ETF (Market Price Return) | 4.69% | 11.00% | 5.14% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 4.20% | 9.64% | 4.68% |
1 | Not Annualized |
2 | Inception: 09/27/2017. |
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at 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 table does 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 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 total annual fund operating expense ratio as shown in the Fund’s most recent prospectus, was 0.30%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended January 31, 2020.
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. The Fund may allocate a portion of its assets to specialist portfolio managers, which may not work as intended.• Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall.• The risks associated with mortgage related- and asset-backed securities include credit, interest-rate, prepayment, liquidity, default and extension risk.• The purchase of securities in the To-Be-Announced (TBA) market, can result in 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.• 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.• Restricted 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 than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
Composition by Security Type(1)
as of January 31, 2020
Category | Percentage of Net Assets | |||
Fixed Income Securities |
| |||
Asset & Commercial Mortgage Backed Securities | 16.7 | % | ||
Corporate Bonds | 29.0 | |||
Foreign Government Obligations | 6.1 | |||
Municipal Bonds | 1.0 | |||
Senior Floating Rate Interests | 4.2 | |||
U.S. Government Agencies(2) | 48.4 | |||
U.S. Government Securities | 23.6 | |||
|
| |||
Total | 129.0 | % | ||
|
| |||
Short-Term Investments | 2.2 | |||
Purchased Options | 0.1 | |||
Other Assets & Liabilities | (31.3 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
(2) | All or a portion of the securities categorized as U.S. Government Agencies were agency mortgage backed securities as of January 31, 2020. |
| 5 |
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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 1 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.
| 6 |
|
Hartford Active Fixed Income ETFs |
Your Fund’s Expenses
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including investment management fees and certain other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period of August 1, 2019 through January 31, 2020. To the extent a Fund was subject to acquired fund fees and expenses during the period, acquired fund fees and expenses are not included in the annualized expense ratio below.
Actual Expenses
The first set of columns of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second set of columns of the table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the second set of columns of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would be higher. Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (including expenses of the independent trustees and their counsel, extraordinary expenses and interest expense). Expenses are equal to a Fund’s annualized expense ratio multiplied by average account value over the period, multiplied by 184/365 (to reflect theone-half year period).
Actual Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||
Beginning Account Value August 1, 2019 | Ending Account Value January 31, 2020 | Expenses paid during the period August 1, 2019 through January 31, 2020 | Beginning Account Value August 1, 2019 | Ending Account Value January 31, 2020 | Expenses paid during the period August 1, 2019 through January 31, 2020 | Annualized expense ratio | ||||||||||||||||||||||
Hartford Municipal Opportunities ETF | $ | 1,000.00 | $ | 1,032.30 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.68 | $ | 1.48 | 0.29 | % | ||||||||||||||
Hartford SchrodersTax-Aware Bond ETF | $ | 1,000.00 | $ | 1,026.00 | $ | 1.99 | $ | 1,000.00 | $ | 1,023.18 | $ | 1.98 | 0.39 | % | ||||||||||||||
Hartford Short Duration ETF | $ | 1,000.00 | $ | 1,025.10 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.68 | $ | 1.48 | 0.29 | % | ||||||||||||||
Hartford Total Return Bond ETF | $ | 1,000.00 | $ | 1,045.90 | $ | 1.49 | $ | 1,000.00 | $ | 1,023.68 | $ | 1.48 | 0.29 | % |
| 7 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% | ||||||||||
Alabama - 3.7% | ||||||||||
$ | 1,100,000 | Birmingham, AL, Water Works Board Water Rev 5.00%, 01/01/2027 | $ | 1,385,307 | ||||||
100,000 | Jefferson County, AL, Board of Education 5.00%, 02/01/2042 | 120,559 | ||||||||
90,000 | Jefferson County, AL, GO 5.00%, 04/01/2024 | 104,081 | ||||||||
1,000,000 | Lower Alabama Gas Dist 5.00%, 09/01/2031 | 1,294,640 | ||||||||
1,590,000 | State of Alabama Docks Department 5.00%, 10/01/2026 | 1,933,456 | ||||||||
665,000 | State of Alabama, Troy University 5.00%, 11/01/2023 | 759,384 | ||||||||
|
| |||||||||
5,597,427 | ||||||||||
|
| |||||||||
Arizona - 2.4% | ||||||||||
1,990,000 | Arizona Transportation Board Rev 5.00%, 07/01/2020 | 2,023,571 | ||||||||
480,000 | Coconino County, AZ, Pollution Control Corp. 1.80%, 09/01/2032(1) | 480,691 | ||||||||
185,000 | Maricopa County, AZ, Industrial Dev Auth 5.00%, 09/01/2031 | 234,425 | ||||||||
750,000 | Maricopa County, AZ, Pollution Control Corp. 5.00%, 06/01/2035 | 760,080 | ||||||||
110,000 | Tempe, AZ, Industrial Dev Auth 4.00%, 10/01/2023(2) | 110,953 | ||||||||
|
| |||||||||
3,609,720 | ||||||||||
|
| |||||||||
California - 4.9% | ||||||||||
205,000 | Alameda County, Oakland, CA, Unified School Dist 4.00%, 08/01/2034 | 238,878 | ||||||||
145,000 | California County, CA, Tobacco Securitization Agency 5.00%, 06/01/2020 | 146,573 | ||||||||
1,000,000 | California State, GO Taxable 5.00%, 04/01/2035 | 1,307,540 | ||||||||
City of Los Angeles, CA, Department of Airports | ||||||||||
1,450,000 | 5.00%, 05/15/2035 | 1,816,400 | ||||||||
1,500,000 | 5.00%, 05/15/2040 | 1,517,385 | ||||||||
150,000 | Fresno, CA, Unified School Dist 0.00%, 08/01/2032(3) | 104,364 | ||||||||
500,000 | Golden State Tobacco Securitization Corp., CA 5.00%, 06/01/2032 | 610,205 | ||||||||
100,000 | Romoland, CA, School Dist 5.00%, 09/01/2043 | 116,469 | ||||||||
San Joaquin Hills, CA, Transportation Corridor Agency | ||||||||||
80,000 | 0.00%, 01/15/2026(3) | 70,852 | ||||||||
215,000 | 0.00%, 01/15/2032(3) | 157,733 | ||||||||
70,000 | 0.00%, 01/15/2035(3) | 46,600 | ||||||||
1,300,000 | Tender Option Bond Trust Receipts/Certificates 0.97%, 12/01/2022(1)(2) | 1,300,000 | ||||||||
|
| |||||||||
7,432,999 | ||||||||||
|
| |||||||||
Colorado - 1.6% | ||||||||||
835,000 | Colorado Health Facs Auth Rev 5.00%, 08/01/2044 | 1,022,073 | ||||||||
175,000 | Denver, CO, Urban Renewal Auth 5.25%, 12/01/2039(2) | 188,295 | ||||||||
1,030,000 | Park Creek, CO, Metropolitan Dist Rev 5.00%, 12/01/2029 | 1,302,239 | ||||||||
|
| |||||||||
2,512,607 | ||||||||||
|
| |||||||||
Connecticut - 2.6% | ||||||||||
100,000 | City of Bridgeport, CT, GO 5.00%, 07/15/2034 | 122,384 | ||||||||
970,000 | Connecticut Housing Finance Auth Rev 4.25%, 05/15/2042 | 1,072,742 | ||||||||
320,000 | Connecticut State Health & Educational Facs Auth 5.00%, 07/01/2026 | 387,994 | ||||||||
State of Connecticut, GO | ||||||||||
500,000 | 5.00%, 04/15/2029 | 622,205 | ||||||||
380,000 | 5.00%, 11/15/2025 | 465,173 | ||||||||
1,000,000 | 5.00%, 09/15/2027 | 1,268,790 | ||||||||
|
| |||||||||
3,939,288 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% - (continued) | ||||||||||
District of Columbia - 1.4% | ||||||||||
$ | 250,000 | Dist of Columbia Rev 5.00%, 07/01/2037 | $ | 271,625 | ||||||
Dist of Columbia, GO | ||||||||||
1,100,000 | 5.00%, 06/01/2042 | 1,346,268 | ||||||||
455,000 | 5.00%, 07/01/2042 | 490,845 | ||||||||
|
| |||||||||
2,108,738 | ||||||||||
|
| |||||||||
Florida - 5.4% | ||||||||||
270,000 | Broward County, FL, Airport System Rev 4.00%, 10/01/2044 | 305,389 | ||||||||
125,000 | City of Atlantic Beach, FL, Health Care Facs Auth 5.00%, 11/15/2043 | 143,974 | ||||||||
1,235,000 | Escambia County, FL, Health Facs Auth Rev 4.00%, 08/15/2050 | 1,373,184 | ||||||||
1,000,000 | Greater Orlando, FL, Aviation Auth 5.00%, 10/01/2037 | 1,218,090 | ||||||||
JEA, FL, Electric System Rev | ||||||||||
1,550,000 | 5.00%, 10/01/2022 | 1,716,981 | ||||||||
1,500,000 | 5.00%, 10/01/2028 | 1,894,350 | ||||||||
Polk County, FL, Industrial Dev Auth | ||||||||||
705,000 | 5.00%, 01/01/2029 | 814,268 | ||||||||
190,000 | 5.00%, 01/01/2055 | 212,051 | ||||||||
35,000 | Putnam County, FL, Dev Auth 5.00%, 03/15/2042 | 42,214 | ||||||||
500,000 | Seminole County, FL, Industrial Dev Auth 3.75%, 11/15/2025 | 501,390 | ||||||||
|
| |||||||||
8,221,891 | ||||||||||
|
| |||||||||
Georgia - 1.9% | ||||||||||
Burke County, GA, Dev Auth Rev | ||||||||||
1,000,000 | 2.05%, 10/01/2032(1) | 1,011,580 | ||||||||
200,000 | 3.00%, 11/01/2045(1) | 206,526 | ||||||||
200,000 | Main Street, GA, Natural Gas, Inc. 5.50%, 09/15/2023 | 229,286 | ||||||||
Municipal Electric Auth, GA | ||||||||||
1,000,000 | 5.00%, 01/01/2028 | 1,200,330 | ||||||||
215,000 | 5.00%, 01/01/2056 | 252,769 | ||||||||
|
| |||||||||
2,900,491 | ||||||||||
|
| |||||||||
Hawaii - 0.1% | ||||||||||
100,000 | State of Hawaii Airports System Rev 5.00%, 07/01/2031 | 125,569 | ||||||||
|
| |||||||||
Illinois - 13.2% | ||||||||||
Chicago, IL, Board of Education, GO | ||||||||||
105,000 | 0.00%, 12/01/2023(3) | 97,798 | ||||||||
110,000 | 0.00%, 12/01/2026(3) | 95,161 | ||||||||
65,000 | 5.00%, 12/01/2020 | 66,732 | ||||||||
250,000 | 5.00%, 12/01/2024 | 285,137 | ||||||||
500,000 | 5.00%, 12/01/2028 | 610,990 | ||||||||
250,000 | 5.00%, 04/01/2033 | 297,952 | ||||||||
Chicago, IL, Transit Auth | ||||||||||
1,490,000 | 5.00%, 12/01/2021 | 1,591,320 | ||||||||
445,000 | 5.00%, 06/01/2024 | 510,847 | ||||||||
130,000 | 5.25%, 12/01/2024 | 139,776 | ||||||||
105,000 | 5.25%, 12/01/2025 | 112,890 | ||||||||
City of Chicago, IL, GO | ||||||||||
500,000 | 0.00%, 01/01/2026(3) | 438,305 | ||||||||
400,000 | 5.00%, 01/01/2024 | 448,284 | ||||||||
City of Chicago, IL, Wastewater Transmission Rev | ||||||||||
90,000 | 5.00%, 01/01/2027 | 102,127 | ||||||||
50,000 | 5.50%, 01/01/2030 | 63,150 | ||||||||
1,075,000 | City of Decatur, IL, GO 5.00%, 03/01/2035 | 1,256,234 | ||||||||
100,000 | Cook County, IL, GO 5.00%, 11/15/2021 | 106,146 | ||||||||
195,000 | Illinois Housing Dev Auth 4.00%, 02/01/2035 | 201,798 | ||||||||
150,000 | Illinois State Finance Auth Rev 5.00%, 11/15/2045 | 172,119 | ||||||||
150,000 | Illinois State Toll Highway Auth 5.00%, 01/01/2030 | 189,518 | ||||||||
1,700,000 | Illinois State Toll Highway Auth, Taxable Rev 5.00%, 01/01/2030 | 2,253,214 |
The accompanying notes are an integral part of these financial statements.
| 8 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% - (continued) | ||||||||||
Illinois - 13.2% - (continued) | ||||||||||
Kane McHenry Cook & DeKalb Counties, IL, Unified School Dist No. 300, GO | ||||||||||
$ | 1,000,000 | 5.00%, 01/01/2021 | $ | 1,036,440 | ||||||
100,000 | 5.00%, 01/01/2032 | 119,779 | ||||||||
150,000 | Kendall Kane & Will Counties, IL, Unified School Dist, GO 0.00%, 02/01/2027(3) | 132,255 | ||||||||
205,000 | Metropolitan Pier & Exposition Auth, IL 0.00%, 12/15/2025(3) | 183,368 | ||||||||
Railsplitter, IL, Tobacco Settlement Auth | ||||||||||
150,000 | 5.00%, 06/01/2022 | 163,103 | ||||||||
75,000 | 5.25%, 06/01/2021 | 79,022 | ||||||||
Regional Transportation, IL, Auth Rev | ||||||||||
150,000 | 5.00%, 06/01/2024 | 173,424 | ||||||||
1,000,000 | 6.00%, 07/01/2024 | 1,156,950 | ||||||||
Sales Tax Securitization Corp., IL | ||||||||||
500,000 | 5.00%, 01/01/2029 | 623,340 | ||||||||
985,000 | 5.00%, 01/01/2037 | 1,198,449 | ||||||||
455,000 | Sales Tax Securitization Corp., IL Rev 5.00%, 01/01/2030 | 589,280 | ||||||||
State of Illinois, GO | ||||||||||
1,040,000 | 5.00%, 03/01/2021 | 1,079,458 | ||||||||
1,250,000 | 5.00%, 06/15/2022 | 1,340,862 | ||||||||
450,000 | 5.00%, 12/01/2024 | 514,750 | ||||||||
1,000,000 | 5.00%, 02/01/2027 | 1,196,360 | ||||||||
115,000 | 5.00%, 06/15/2027 | 135,952 | ||||||||
300,000 | 5.00%, 11/01/2027 | 360,576 | ||||||||
750,000 | 5.25%, 12/01/2030 | 910,305 | ||||||||
100,000 | Village of Bolingbrook, IL, GO 5.00%, 01/01/2028 | 125,513 | ||||||||
|
| |||||||||
20,158,684 | ||||||||||
|
| |||||||||
Indiana - 0.2% | ||||||||||
283,270 | City of Evansville, IN 3.00%, 06/01/2034 | 300,230 | ||||||||
|
| |||||||||
Iowa - 1.2% | ||||||||||
Iowa Student Loan Liquidity Corp. | ||||||||||
400,000 | 5.00%, 12/01/2020 | 411,664 | ||||||||
350,000 | 5.00%, 12/01/2025 | 414,424 | ||||||||
State of Iowa, Finance Auth | ||||||||||
215,000 | 2.88%, 05/15/2049 | 217,217 | ||||||||
575,000 | 5.00%, 02/15/2027 | 719,572 | ||||||||
|
| |||||||||
1,762,877 | ||||||||||
|
| |||||||||
Kentucky - 1.0% | ||||||||||
110,000 | Kentucky Bond Dev Corp. 5.00%, 09/01/2023 | 124,727 | ||||||||
100,000 | Kentucky Public Energy Auth 4.00%, 01/01/2049(1) | 111,648 | ||||||||
1,250,000 | Louisville, KY, Regional Airport Auth 5.00%, 07/01/2021 | 1,320,100 | ||||||||
|
| |||||||||
1,556,475 | ||||||||||
|
| |||||||||
Maine - 0.2% | ||||||||||
305,000 | Finance Auth of Maine 5.00%, 12/01/2021 | 325,353 | ||||||||
|
| |||||||||
Maryland - 2.8% | ||||||||||
40,000 | Maryland Health & Higher Educational Facs Auth 2.88%, 07/01/2023 | 42,100 | ||||||||
1,000,000 | State of Maryland, GO 5.00%, 03/15/2028 | 1,269,900 | ||||||||
3,000,000 | Washington Suburban Sanitary Commission 0.95%, 06/01/2023(1) | 3,000,000 | ||||||||
|
| |||||||||
4,312,000 | ||||||||||
|
| |||||||||
Massachusetts - 3.4% | ||||||||||
1,500,000 | Commonwealth of Massachusetts, GO 5.00%, 01/01/2042 | 1,849,890 | ||||||||
Massachusetts Dev Finance Agency | ||||||||||
100,000 | 5.00%, 07/01/2034 | 117,737 | ||||||||
100,000 | 5.00%, 07/01/2048 | 120,404 | ||||||||
Massachusetts Dev Finance Agency, Rev | ||||||||||
250,000 | 5.00%, 07/01/2020 | 253,793 | ||||||||
255,000 | 5.00%, 07/01/2031 | 302,300 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% - (continued) | ||||||||||
Massachusetts - 3.4% - (continued) | ||||||||||
$ | 575,000 | 5.00%, 07/01/2034 | $ | 721,504 | ||||||
350,000 | 5.00%, 07/01/2044 | 397,208 | ||||||||
855,000 | Massachusetts Housing Finance Agency 3.30%, 06/01/2024 | 917,090 | ||||||||
405,000 | Massachusetts State Dev Finance Agency 5.00%, 07/01/2031 | 506,286 | ||||||||
|
| |||||||||
5,186,212 | ||||||||||
|
| |||||||||
Michigan - 4.1% | ||||||||||
345,000 | City of Detroit, MI, GO 5.00%, 04/01/2022 | 364,654 | ||||||||
1,250,000 | Lincoln Park School Dist, GO 5.00%, 05/01/2032 | 1,598,725 | ||||||||
1,100,000 | Michigan Finance Auth 5.00%, 07/01/2035 | 1,285,658 | ||||||||
Michigan State Housing Dev Auth | ||||||||||
1,200,000 | 4.25%, 06/01/2049 | 1,326,744 | ||||||||
670,000 | 4.25%, 12/01/2049 | 747,720 | ||||||||
275,000 | New Haven Community Schools 5.00%, 05/01/2032 | 347,427 | ||||||||
500,000 | Wayne County, MI, Airport Auth Rev 5.00%, 12/01/2025 | 605,630 | ||||||||
|
| |||||||||
6,276,558 | ||||||||||
|
| |||||||||
Minnesota - 1.4% | ||||||||||
Duluth, MN, Independent School Dist No. 709 | ||||||||||
750,000 | 5.00%, 02/01/2022 | 805,657 | ||||||||
575,000 | 5.00%, 02/01/2025 | 678,811 | ||||||||
404,100 | Freddie Mac Multifamily, ML, Certificates 2.54%, 06/25/2037 | 426,990 | ||||||||
200,000 | St. Francis, MN, Independent School Dist No. 15 | 214,838 | ||||||||
|
| |||||||||
2,126,296 | ||||||||||
|
| |||||||||
Mississippi - 0.8% | ||||||||||
1,000,000 | State of Mississippi 5.00%, 10/15/2029 | 1,285,850 | ||||||||
|
| |||||||||
Missouri - 2.4% | ||||||||||
990,000 | Bi-State Dev Agency of the Missouri-Illinois Metropolitan Dist 4.00%, 10/01/2036 | 1,176,991 | ||||||||
400,000 | City of St. Louis, MO, Airport Rev 5.00%, 07/01/2031 | 507,916 | ||||||||
510,000 | Kansas City Industrial Dev Auth 5.00%, 03/01/2032 | 643,906 | ||||||||
500,000 | Kirkwood, MO, Industrial Dev Auth Retirement Community 5.25%, 05/15/2042 | 566,770 | ||||||||
650,000 | St. Louis County, MO, Industrial Dev Auth 5.00%, 09/01/2028 | 753,265 | ||||||||
|
| |||||||||
3,648,848 | ||||||||||
|
| |||||||||
Nevada - 2.3% | ||||||||||
275,000 | City of North Las Vegas, NV 4.50%, 06/01/2039 | 297,534 | ||||||||
280,000 | City of Reno, NV 5.00%, 06/01/2033 | 349,639 | ||||||||
175,000 | City of Sparks, NV 2.50%, 06/15/2024(2) | 178,057 | ||||||||
Clark County, NV, School Dist, GO | ||||||||||
1,000,000 | 5.00%, 06/15/2026 | 1,222,450 | ||||||||
1,000,000 | 5.00%, 06/15/2029 | 1,297,720 | ||||||||
200,000 | Las Vegas, NV, New Convention Center Auth 5.00%, 07/01/2029 | 231,864 | ||||||||
|
| |||||||||
3,577,264 | ||||||||||
|
| |||||||||
New Hampshire - 0.2% | ||||||||||
215,000 | New Hampshire Health and Education Facs Auth Act Rev 5.00%, 08/01/2059 | 330,049 | ||||||||
|
| |||||||||
New Jersey - 1.9% | ||||||||||
1,000,000 | City of Bayonne, NJ 0.00%, 07/01/2023(3) | 954,700 | ||||||||
New Jersey Economic Dev Auth | ||||||||||
400,000 | 5.00%, 06/15/2022 | 434,440 | ||||||||
150,000 | 5.00%, 06/15/2023 | 167,972 | ||||||||
255,000 | New Jersey Educational Facs Auth 5.00%, 06/01/2020 | 258,264 |
The accompanying notes are an integral part of these financial statements.
| 9 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% - (continued) | ||||||||||
New Jersey - 1.9% - (continued) | ||||||||||
$ | 125,000 | New Jersey Transportation Trust Fund Auth 5.00%, 12/15/2023 | $ | 142,138 | ||||||
250,000 | New Jersey Turnpike Auth 4.00%, 01/01/2033 | 293,192 | ||||||||
Tobacco Settlement Financing Corp., NJ | ||||||||||
340,000 | 5.00%, 06/01/2024 | 389,718 | ||||||||
250,000 | 5.00%, 06/01/2029 | 310,605 | ||||||||
|
| |||||||||
2,951,029 | ||||||||||
|
| |||||||||
New Mexico - 0.2% | ||||||||||
155,000 | City of Santa Fe, NM 5.00%, 05/15/2049 | 172,019 | ||||||||
95,000 | New Mexico Mortgage Finance Auth 4.00%, 01/01/2049 | 103,922 | ||||||||
|
| |||||||||
275,941 | ||||||||||
|
| |||||||||
New York - 7.6% | ||||||||||
480,000 | Metropolitan Transportation Auth, NY, Rev 5.00%, 11/15/2020 | 494,923 | ||||||||
New York City Transitional Finance Auth Future Tax Secured Rev | ||||||||||
165,000 | 5.00%, 11/01/2021 | 170,049 | ||||||||
2,000,000 | 5.00%, 08/01/2035 | 2,544,920 | ||||||||
2,000,000 | New York City, NY, Water & Sewer System 1.18%, 06/15/2050(1) | 2,000,000 | ||||||||
New York State Dormitory Auth Rev | ||||||||||
200,000 | 5.00%, 02/15/2031 | 252,632 | ||||||||
1,000,000 | 5.00%, 03/15/2035 | 1,283,960 | ||||||||
1,000,000 | 5.00%, 02/15/2038 | 1,223,510 | ||||||||
1,000,000 | 5.00%, 03/15/2048 | 1,241,680 | ||||||||
1,395,000 | State of New York Mortgage Agency 3.25%, 04/01/2025 | 1,475,952 | ||||||||
390,000 | Syracuse, NY, Industrial Dev Agency 5.00%, 01/01/2031 | 437,537 | ||||||||
500,000 | Town of Oyster Bay, NY, GO 4.00%, 02/15/2020 | 500,415 | ||||||||
|
| |||||||||
11,625,578 | ||||||||||
|
| |||||||||
North Carolina - 0.8% | ||||||||||
North Carolina Medical Care Commission | ||||||||||
255,000 | 4.00%, 01/01/2025 | 278,103 | ||||||||
395,000 | 5.00%, 01/01/2038 | 468,316 | ||||||||
North Carolina Medical Care Commission Retirement Finance Auth Rev, First Mortgage Galloway Ridge | ||||||||||
145,000 | 5.00%, 01/01/2039 | 168,397 | ||||||||
210,000 | 5.00%, 01/01/2044 | 246,528 | ||||||||
|
| |||||||||
1,161,344 | ||||||||||
|
| |||||||||
Ohio - 2.3% | ||||||||||
1,000,000 | American Municipal Power, Inc., OH 2.30%, 02/15/2038(1) | 1,017,580 | ||||||||
2,200,000 | Buckeye, OH, Tobacco Settlement Finance Auth 5.88%, 06/01/2047 | 2,209,438 | ||||||||
100,000 | Cleveland, OH, Department of Public Utilities 5.00%, 11/15/2030 | 125,635 | ||||||||
100,000 | County of Lucas, OH 5.00%, 11/15/2020 | 102,712 | ||||||||
|
| |||||||||
3,455,365 | ||||||||||
|
| |||||||||
Oklahoma - 1.0% | ||||||||||
Oklahoma Dev Finance Auth | ||||||||||
30,000 | 5.25%, 08/15/2048 | 36,104 | ||||||||
30,000 | 5.50%, 08/15/2057 | 36,426 | ||||||||
905,000 | Oklahoma Dev Finance Auth Rev 1.63%, 07/06/2023 | 906,701 | ||||||||
550,000 | Oklahoma Housing Finance Agency 5.00%, 09/01/2043 | 568,926 | ||||||||
|
| |||||||||
1,548,157 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% - (continued) | ||||||||||
Oregon - 0.4% | ||||||||||
$ | 30,000 | Benton & Linn Counties, OR, Consolidated School Dist No. 509J & 509A Corvallis 0.00%, 06/15/2038(4) | $ | 36,975 | ||||||
60,000 | Clackamas County, OR, Hospital Facs Auth 2.60%, 11/15/2023 | 60,020 | ||||||||
20,000 | Marion County, OR, School Dist No. 15 North Marion 0.00%, 06/15/2037(3) | 11,357 | ||||||||
115,000 | Multnomah & Clackamas Counties, OR, School Dist No. 10JT Gresham-Barlow 0.00%, 06/15/2038(3) | 68,125 | ||||||||
Salem Hospital Facs Auth, OR | ||||||||||
40,000 | 5.00%, 05/15/2038 | 46,996 | ||||||||
30,000 | 5.00%, 05/15/2048 | 34,784 | ||||||||
105,000 | State of Oregon Housing & Community Services Department 4.50%, 01/01/2049 | 115,849 | ||||||||
180,000 | State of Oregon, GO 4.00%, 12/01/2048 | 194,560 | ||||||||
100,000 | Washington Clackamas & Yamhill Counties, OR, School Dist No. 88J 0.00%, 06/15/2034(3) | 66,472 | ||||||||
|
| |||||||||
635,138 | ||||||||||
|
| |||||||||
Pennsylvania - 7.2% | ||||||||||
585,000 | Allegheny County, PA, Airport Auth 5.00%, 01/01/2026 | 627,500 | ||||||||
135,000 | Armstrong School Dist 4.00%, 03/15/2035 | 157,060 | ||||||||
565,000 | City of Philadelphia, PA, Airport Rev 5.00%, 02/01/2035 | 719,149 | ||||||||
Commonwealth Finance Auth, PA | ||||||||||
490,000 | 5.00%, 06/01/2020 | 496,140 | ||||||||
100,000 | 5.00%, 06/01/2027 | 124,680 | ||||||||
590,000 | Erie, PA, City School Dist, GO 5.00%, 04/01/2028 | 744,668 | ||||||||
Montgomery County, PA, Industrial Dev Auth Rev | ||||||||||
230,000 | 5.00%, 12/01/2030 | 266,140 | ||||||||
240,000 | 5.00%, 12/01/2044 | 283,464 | ||||||||
100,000 | 5.00%, 12/01/2046 | 111,954 | ||||||||
1,000,000 | Pennsylvania Economic Dev Financing Auth 2.63%, 11/01/2021 | 1,022,560 | ||||||||
Pennsylvania Higher Educational Facs Auth | ||||||||||
250,000 | 5.00%, 05/01/2025 | 299,088 | ||||||||
750,000 | 5.00%, 05/01/2037 | 911,775 | ||||||||
Pennsylvania Housing Finance Agency | ||||||||||
445,000 | 3.10%, 04/01/2023 | 455,551 | ||||||||
1,565,000 | 4.00%, 10/01/2038 | 1,650,856 | ||||||||
Pennsylvania Turnpike Commission Rev | ||||||||||
150,000 | 5.00%, 12/01/2030 | 188,187 | ||||||||
1,095,000 | 5.00%, 12/01/2032 | 1,370,874 | ||||||||
95,000 | 5.00%, 12/01/2037 | 105,868 | ||||||||
540,000 | Philadelphia, PA, School Dist, GO 5.00%, 09/01/2032 | 687,236 | ||||||||
265,000 | Pittsburgh Water & Sewer Auth 5.00%, 09/01/2034 | 341,188 | ||||||||
375,000 | Wilkes-Barre Area, PA, School Dist 5.00%, 04/15/2059 | 451,425 | ||||||||
|
| |||||||||
11,015,363 | ||||||||||
|
| |||||||||
Puerto Rico - 0.6% | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev | ||||||||||
675,000 | 0.00%, 07/01/2051(3) | 142,708 | ||||||||
625,000 | 5.00%, 07/01/2058 | 702,750 | ||||||||
|
| |||||||||
845,458 | ||||||||||
|
| |||||||||
Rhode Island - 0.2% | ||||||||||
200,000 | Rhode Island Student Loan Auth 5.00%, 12/01/2027 | 247,814 | ||||||||
|
| |||||||||
South Carolina - 1.6% | ||||||||||
390,000 | SCAGO Educational Facs Corp. for Pickens School Dist, SC 5.00%, 12/01/2029 | 462,809 | ||||||||
1,000,000 | South Carolina Jobs-Economic Dev Auth 5.00%, 05/01/2028 | 1,273,120 |
The accompanying notes are an integral part of these financial statements.
| 10 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% - (continued) | ||||||||||
South Carolina - 1.6% - (continued) | ||||||||||
South Carolina State Public Service Auth | ||||||||||
$ | 500,000 | 5.00%, 12/01/2034 | $ | 576,945 | ||||||
125,000 | 5.00%, 12/01/2050 | 142,483 | ||||||||
|
| |||||||||
2,455,357 | ||||||||||
|
| |||||||||
South Dakota - 0.7% | ||||||||||
980,000 | South Dakota Housing Dev Auth 4.50%, 11/01/2048 | 1,095,356 | ||||||||
|
| |||||||||
Tennessee - 1.5% | ||||||||||
110,000 | Chattanooga, TN, Health Educational & Housing Facs Board Rev 5.00%, 08/01/2044 | 134,644 | ||||||||
125,000 | Metropolitan Nashville Airport Auth 5.00%, 07/01/2027 | 149,195 | ||||||||
Tennessee Energy Acquisition Corp. | ||||||||||
500,000 | 5.00%, 02/01/2022 | 536,900 | ||||||||
300,000 | 5.00%, 02/01/2023 | 331,968 | ||||||||
295,000 | 5.00%, 02/01/2025 | 344,522 | ||||||||
455,000 | 5.00%, 02/01/2027 | 550,618 | ||||||||
155,000 | Tennessee Housing Dev Agency 4.00%, 01/01/2049 | 169,183 | ||||||||
|
| |||||||||
2,217,030 | ||||||||||
|
| |||||||||
Texas - 9.3% | ||||||||||
1,000,000 | Alamo Heights, TX, Independent School Dist 5.00%, 02/01/2022 | 1,081,580 | ||||||||
1,125,000 | Arlington, TX, Independent School Dist 5.00%, 02/15/2028 | 1,382,704 | ||||||||
405,000 | Austin, TX, Independent School Dist 4.00%, 08/01/2033 | 480,950 | ||||||||
750,000 | City of Houston, TX 0.00%, 09/01/2025(3) | 693,255 | ||||||||
City of San Antonio, TX, Electric & Gas Systems Rev | ||||||||||
555,000 | 1.75%, 02/01/2049(1) | 573,065 | ||||||||
1,385,000 | 5.00%, 02/01/2028 | 1,720,031 | ||||||||
1,650,000 | Frenship Independent School Dist, GO 4.00%, 02/15/2020 | 1,651,584 | ||||||||
100,000 | Harris County - Houston, TX, Sports Auth 5.00%, 11/15/2020 | 103,021 | ||||||||
1,085,000 | Harris County, TX, Flood Control Dist Rev 5.00%, 10/01/2039 | 1,114,262 | ||||||||
115,000 | Jefferson Railport Terminal II LLC 4.00%, 01/01/2050(2) | 118,133 | ||||||||
100,000 | Kerrville, TX, Health Facs Dev Corp. 5.00%, 08/15/2024 | 115,955 | ||||||||
500,000 | New Hope, TX, Cultural Education Facs Finance Corp. 5.00%, 11/01/2046 | 542,380 | ||||||||
1,720,000 | North East Texas Independent School Dist 5.00%, 02/01/2020 | 1,720,000 | ||||||||
300,000 | North East Texas Regional Mobility Auth 5.00%, 01/01/2021 | 309,048 | ||||||||
70,000 | North Texas Tollway Auth Rev 6.25%, 02/01/2023 | 70,270 | ||||||||
1,000,000 | Rockwall, TX, Independent School Dist 5.00%, 02/15/2028 | 1,290,290 | ||||||||
200,000 | Texas Transportation Commission 0.00%, 08/01/2038(3) | 99,446 | ||||||||
1,000,000 | Wylie, TX, Independent School Dist 4.00%, 08/15/2035 | 1,191,580 | ||||||||
|
| |||||||||
14,257,554 | ||||||||||
|
| |||||||||
Utah - 2.4% | ||||||||||
1,000,000 | Salt Lake City, UT, Corp. Airport Rev 5.00%, 07/01/2029 | 1,263,620 | ||||||||
590,000 | Salt Lake County, UT 5.13%, 02/15/2033 | 703,162 | ||||||||
1,250,000 | Utah Transit Auth 5.25%, 06/15/2029 | 1,654,262 | ||||||||
|
| |||||||||
3,621,044 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 100.2% - (continued) | ||||||||||
Virginia - 0.8% | ||||||||||
$ | 1,295,000 | Virginia College Building Auth 5.00%, 02/01/2020 | $ | 1,295,000 | ||||||
|
| |||||||||
Washington - 0.9% | ||||||||||
Port of Seattle, WA | ||||||||||
1,000,000 | 5.00%, 06/01/2030 | 1,013,000 | ||||||||
160,000 | 5.50%, 09/01/2020 | 164,163 | ||||||||
240,000 | Washington State Housing Finance Commission 5.00%, 01/01/2055(2) | 264,360 | ||||||||
|
| |||||||||
1,441,523 | ||||||||||
|
| |||||||||
West Virginia - 0.3% | ||||||||||
390,000 | West Virginia State Economic Dev Auth 2.55%, 03/01/2040(1) | 409,126 | ||||||||
|
| |||||||||
Wisconsin - 3.3% | ||||||||||
Public Finance Auth, WI | ||||||||||
100,000 | 5.00%, 09/01/2025(2) | 110,876 | ||||||||
1,000,000 | 5.00%, 07/01/2036 | 1,221,080 | ||||||||
100,000 | 5.00%, 10/01/2043(2) | 111,585 | ||||||||
465,000 | 5.00%, 10/01/2044 | 567,867 | ||||||||
700,000 | 5.00%, 10/01/2048(2) | 779,156 | ||||||||
1,000,000 | Univ. of Wisconsin Hospitals & Clinics 5.00%, 04/01/2030 | 1,274,020 | ||||||||
Wisconsin Health & Educational Facs Auth | ||||||||||
430,000 | 5.00%, 11/01/2039 | 478,070 | ||||||||
410,000 | 5.00%, 11/01/2046 | 451,648 | ||||||||
|
| |||||||||
4,994,302 | ||||||||||
|
| |||||||||
Total Municipal Bonds | $ | 152,842,905 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 0.1% | ||||||||||
Other Investment Pools & Funds - 0.1% | ||||||||||
190,767 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional | 190,767 | ||||||||
|
| |||||||||
Total Short-Term Investments | $ | 190,767 | ||||||||
|
|
Total Investments | 100.3 | % | $ | 153,033,672 | ||||||||||
Other Assets & Liabilities | (0.3 | )% | (410,170 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 152,623,502 | ||||||||||
|
|
|
|
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) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At January 31, 2020, the aggregate value of these securities was $3,161,415, representing 2.1% of net assets. |
The accompanying notes are an integral part of these financial statements.
| 11 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
(3) | Security is azero-coupon bond. |
(4) | Security is a“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(5) | 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 January 31, 2020 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Municipal Bonds | $ | 152,842,905 | $ | — | $ | 152,842,905 | $ | — | ||||||||
Short-Term Investments | 190,767 | 190,767 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 153,033,672 | $ | 190,767 | $ | 152,842,905 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2020, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
| 12 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 17.8% | ||||||||||
Agriculture - 0.3% | ||||||||||
$ | 176,000 | Altria Group, Inc. 3.80%, 02/14/2024 | $ | 187,291 | ||||||
|
| |||||||||
Commercial Banks - 12.3% | ||||||||||
284,000 | Bank of New York Mellon Corp. 1.95%, 08/23/2022 | 286,339 | ||||||||
431,000 | Bank of Nova Scotia 2.38%, 01/18/2023 | 439,657 | ||||||||
748,000 | 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) | 760,402 | ||||||||
511,000 | Capital One NA 2.15%, 09/06/2022 | 514,970 | ||||||||
209,000 | Fifth Third Bancorp 3.65%, 01/25/2024 | 222,363 | ||||||||
409,000 | HSBC Holdings plc 3.97%, 05/22/2030, (3.97% fixed rate until 05/22/2029; 3 mo. USD LIBOR + 1.610% thereafter)(1) | 449,812 | ||||||||
1,377,000 | National Bank of Canada 2.10%, 02/01/2023 | 1,385,466 | ||||||||
486,000 | PNC Financial Services Group, Inc. 3.50%, 01/23/2024 | 518,291 | ||||||||
229,000 | Regions Financial Corp. 3.80%, 08/14/2023 | 244,124 | ||||||||
855,000 | Royal Bank of Canada 2.80%, 04/29/2022 | 876,200 | ||||||||
517,000 | SunTrust Bank 2.80%, 05/17/2022 | 528,682 | ||||||||
966,000 | Toronto-Dominion Bank 2.65%, 06/12/2024 | 1,000,924 | ||||||||
844,000 | Truist Financial Corp. 2.20%, 03/16/2023 | 854,350 | ||||||||
354,000 | Wells Fargo & Co. 3.75%, 01/24/2024 | 378,073 | ||||||||
|
| |||||||||
8,459,653 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.3% | ||||||||||
187,000 | Air Lease Corp. 2.25%, 01/15/2023 | 188,611 | ||||||||
|
| |||||||||
Healthcare - Services - 0.8% | ||||||||||
142,000 | CommonSpirit Health 2.76%, 10/01/2024 | 146,700 | ||||||||
443,000 | UnitedHealth Group, Inc. 2.38%, 08/15/2024 | 452,721 | ||||||||
|
| |||||||||
599,421 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.0% | ||||||||||
685,000 | Bristol-Myers Squibb Co. 2.90%, 07/26/2024(2) | 715,135 | ||||||||
|
| |||||||||
Real Estate Investment Trusts - 1.7% | ||||||||||
504,000 | Boston Properties L.P. 3.40%, 06/21/2029 | 542,869 | ||||||||
265,000 | ERP Operating L.P. 3.00%, 07/01/2029 | 281,480 | ||||||||
326,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 333,829 | ||||||||
|
| |||||||||
1,158,178 | ||||||||||
|
| |||||||||
Retail - 1.1% | ||||||||||
309,000 | Home Depot, Inc. 2.95%, 06/15/2029 | 328,964 | ||||||||
390,000 | Walmart, Inc. 2.85%, 07/08/2024 | 409,565 | ||||||||
|
| |||||||||
738,529 | ||||||||||
|
| |||||||||
Transportation - 0.3% | ||||||||||
242,000 | United Parcel Service, Inc. 2.20%, 09/01/2024 | 246,777 | ||||||||
|
| |||||||||
Total Corporate Bonds | $ | 12,293,595 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 57.4% | ||||||||||
California - 0.6% | ||||||||||
135,000 | MSR Public Power Agency, CA 6.00%, 07/01/2022 | 145,427 | ||||||||
290,000 | Pasadena, CA, Independent School Dist, GO 0.95%, 02/01/2035(3) | 290,000 | ||||||||
|
| |||||||||
435,427 | ||||||||||
|
| |||||||||
Colorado - 1.3% | ||||||||||
690,000 | Adams County, CO, School Dist, GO 5.00%, 12/01/2029 | 924,455 | ||||||||
|
| |||||||||
Connecticut - 0.4% | ||||||||||
270,000 | Connecticut Housing Finance Auth Rev 4.25%, 05/15/2042 | 298,598 | ||||||||
|
| |||||||||
District of Columbia - 2.7% | ||||||||||
Dist of Columbia, GO |
| |||||||||
590,000 | 5.00%, 10/01/2030 | 787,337 | ||||||||
505,000 | 5.00%, 06/01/2036 | 627,059 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 57.4% - (continued) | ||||||||||
District of Columbia - 2.7% - (continued) | ||||||||||
$ | 340,000 | Metropolitan Washington Airports Auth. Dulles Toll Road Rev 5.00%, 10/01/2034 | $ | 437,043 | ||||||
|
| |||||||||
1,851,439 | ||||||||||
|
| |||||||||
Florida - 0.2% | ||||||||||
95,000 | Florida Housing Finance Corp. Rev 4.00%, 07/01/2049 | 103,450 | ||||||||
|
| |||||||||
Georgia - 3.3% | ||||||||||
220,000 | Georgia Municipal Association, Inc. 5.00%, 12/01/2029 | 278,802 | ||||||||
Main Street, GA, Natural Gas, Inc. Rev | ||||||||||
435,000 | 4.00%, 08/01/2048(3) | 478,891 | ||||||||
1,320,000 | 4.00%, 03/01/2050(3) | 1,523,808 | ||||||||
|
| |||||||||
2,281,501 | ||||||||||
|
| |||||||||
Hawaii - 0.3% | ||||||||||
170,000 | State of Hawaii State Highway Fund Rev 5.00%, 01/01/2030 | 223,745 | ||||||||
|
| |||||||||
Illinois - 4.3% | ||||||||||
65,000 | Chicago, IL, Metropolitan Water Reclamation Dist, GO 5.25%, 12/01/2032 | 89,892 | ||||||||
Illinois Housing Dev Auth |
| |||||||||
2,055,000 | 3.75%, 04/01/2050 | 2,279,016 | ||||||||
145,000 | 4.50%, 10/01/2048 | 161,881 | ||||||||
175,000 | Railsplitter, IL, Tobacco Settlement Auth 5.00%, 06/01/2027 | 213,741 | ||||||||
195,000 | State of Illinois, GO 5.00%, 11/01/2028 | 233,417 | ||||||||
|
| |||||||||
2,977,947 | ||||||||||
|
| |||||||||
Indiana - 0.2% | ||||||||||
150,000 | Indiana Housing & Community Dev Auth 4.00%, 07/01/2048 | 163,473 | ||||||||
|
| |||||||||
Iowa - 0.1% | ||||||||||
80,000 | Iowa Finance Auth 4.00%, 07/01/2048 | 87,368 | ||||||||
|
| |||||||||
Kentucky - 3.6% | ||||||||||
Kentucky Public Energy Auth | ||||||||||
600,000 | 4.00%, 12/01/2049(3) | 673,692 | ||||||||
1,370,000 | 4.00%, 02/01/2050(3) | 1,598,447 | ||||||||
Kentucky State Property & Building Commission Rev |
| |||||||||
60,000 | 5.00%, 05/01/2024 | 69,221 | ||||||||
105,000 | 5.00%, 08/01/2024 | 122,061 | ||||||||
40,000 | 5.00%, 05/01/2025 | 47,473 | ||||||||
|
| |||||||||
2,510,894 | ||||||||||
|
| |||||||||
Louisiana - 0.2% | ||||||||||
40,000 | Louisiana Housing Corp. Rev 4.50%, 12/01/2047 | 44,538 | ||||||||
95,000 | Parish of Saint John the Baptist, LA 2.10%, 06/01/2037(3) | 97,442 | ||||||||
|
| |||||||||
141,980 | ||||||||||
|
| |||||||||
Maine - 0.3% | ||||||||||
185,000 | Maine State Housing Auth 4.00%, 11/15/2048 | 202,151 | ||||||||
|
| |||||||||
Maryland - 1.1% | ||||||||||
205,000 | Maryland Community Dev Administration Rev 4.50%, 09/01/2048 | 228,569 | ||||||||
550,000 | Maryland Health & Higher Educational Facs Auth 0.95%, 07/01/2034(3) | 550,000 | ||||||||
|
| |||||||||
778,569 | ||||||||||
|
| |||||||||
Massachusetts - 1.9% | ||||||||||
1,050,000 | Commonwealth of Massachusetts, GO 0.90%, 01/01/2021(3) | 1,050,000 | ||||||||
Massachusetts Educational Financing Auth |
| |||||||||
60,000 | 3.17%, 07/01/2025 | 63,698 | ||||||||
45,000 | 3.27%, 07/01/2026 | 48,208 | ||||||||
50,000 | 3.38%, 07/01/2027 | 54,121 |
The accompanying notes are an integral part of these financial statements.
| 13 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 57.4% - (continued) | ||||||||||
Massachusetts - 1.9% - (continued) | ||||||||||
$ | 55,000 | 3.46%, 07/01/2028 | $ | 60,194 | ||||||
|
| |||||||||
1,276,221 | ||||||||||
|
| |||||||||
Michigan - 0.2% | ||||||||||
95,000 | Michigan State Housing Dev Auth 3.75%, 06/01/2050 | 104,888 | ||||||||
|
| |||||||||
Minnesota - 0.2% | ||||||||||
145,000 | Coon Rapids, MN, Multi-Family Housing Auth Rev 2.20%, 04/01/2021(3) | 145,241 | ||||||||
|
| |||||||||
Missouri - 1.2% | ||||||||||
Missouri Housing Dev Commission Rev |
| |||||||||
385,000 | 3.88%, 05/01/2050 | 428,251 | ||||||||
195,000 | 4.25%, 05/01/2049 | 216,288 | ||||||||
165,000 | 4.75%, 05/01/2049 | 186,203 | ||||||||
|
| |||||||||
830,742 | ||||||||||
|
| |||||||||
Montana - 1.5% | ||||||||||
930,000 | Montana Board of Housing 3.50%, 06/01/2050 | 1,021,661 | ||||||||
|
| |||||||||
Nebraska - 0.2% | ||||||||||
120,000 | Nebraska Investment Finance Auth Rev 4.00%, 09/01/2048 | 131,117 | ||||||||
|
| |||||||||
Nevada - 0.3% | ||||||||||
155,000 | Nevada Housing Division 4.00%, 10/01/2049 | 172,416 | ||||||||
|
| |||||||||
New Jersey - 1.5% | ||||||||||
New Jersey Economic Dev Auth | ||||||||||
160,000 | 5.00%, 03/01/2026 | 177,275 | ||||||||
90,000 | 5.00%, 11/01/2026 | 108,793 | ||||||||
New Jersey Transportation Trust Fund Auth | ||||||||||
40,000 | 5.00%, 06/15/2024 | 46,190 | ||||||||
410,000 | 5.00%, 12/15/2028 | 509,712 | ||||||||
175,000 | Tobacco Settlement Financing Corp., NJ 5.00%, 06/01/2029 | 217,424 | ||||||||
|
| |||||||||
1,059,394 | ||||||||||
|
| |||||||||
New Mexico - 0.2% | ||||||||||
100,000 | New Mexico Mortgage Finance Auth 4.00%, 01/01/2049 | 109,640 | ||||||||
|
| |||||||||
New York - 1.4% | ||||||||||
785,000 | City of New York, NY, GO 0.93%, 04/01/2042(3) | 785,000 | ||||||||
155,000 | New York City Water & Sewer System 0.95%, 06/15/2041(3) | 155,000 | ||||||||
|
| |||||||||
940,000 | ||||||||||
|
| |||||||||
North Carolina - 1.6% | ||||||||||
1,000,000 | North Dakota Housing Finance Agency 4.00%, 07/01/2050 | 1,122,530 | ||||||||
|
| |||||||||
North Dakota - 1.1% | ||||||||||
675,000 | North Dakota Housing Finance Agency 3.75%, 07/01/2050 | 748,129 | ||||||||
|
| |||||||||
Ohio - 0.5% | ||||||||||
170,000 | Ohio Housing Finance Agency 4.50%, 09/01/2048 | 189,203 | ||||||||
295,000 | Ohio Turnpike & Infrastructure Commission Rev 0.00%, 02/15/2041(4) | 171,080 | ||||||||
|
| |||||||||
360,283 | ||||||||||
|
| |||||||||
Pennsylvania - 0.9% | ||||||||||
110,000 | Geisinger, PA, Health System Auth Rev 5.00%, 02/15/2032 | 134,916 | ||||||||
480,000 | Pennsylvania Housing Finance Agency 3.50%, 04/01/2049 | 517,546 | ||||||||
|
| |||||||||
652,462 | ||||||||||
|
| |||||||||
Rhode Island - 2.6% | ||||||||||
Rhode Island Housing & Mortgage Finance Corp. |
| |||||||||
1,400,000 | 3.75%, 10/01/2049 | 1,551,844 | ||||||||
205,000 | 4.00%, 10/01/2048 | 224,709 | ||||||||
|
| |||||||||
1,776,553 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 57.4% - (continued) | ||||||||||
South Carolina - 2.3% | ||||||||||
$ | 545,000 | City of Columbia SC Waterworks & Sewer System Rev 5.00%, 02/01/2026 | $ | 673,151 | ||||||
590,000 | Patriots Energy Group Financing Agency, SC 4.00%, 10/01/2048(3) | 649,885 | ||||||||
230,000 | South Carolina Jobs-Economic Dev Auth 3.75%, 01/01/2050 | 256,701 | ||||||||
10,000 | Tobacco Settlement Revenue Mgmt Auth, SC 6.38%, 05/15/2030 | 14,314 | ||||||||
|
| |||||||||
1,594,051 | ||||||||||
|
| |||||||||
Tennessee - 2.5% | ||||||||||
20,000 | Metropolitan Gov’t Nashville & Davidson County, TN Health & Educational Facs Bd 4.88%, 11/01/2028 | 23,629 | ||||||||
Metropolitan Nashville Airport Auth |
| |||||||||
440,000 | 5.00%, 07/01/2026 | 548,398 | ||||||||
360,000 | 5.00%, 07/01/2027 | 458,302 | ||||||||
390,000 | 5.00%, 07/01/2028 | 506,091 | ||||||||
135,000 | Tennessee Housing Dev Agency 4.50%, 07/01/2049 | 150,217 | ||||||||
|
| |||||||||
1,686,637 | ||||||||||
|
| |||||||||
Texas - 13.7% | ||||||||||
70,000 | Bexar County, TX, Hospital Dist, GO 5.00%, 02/15/2030 | 89,201 | ||||||||
110,000 | Dallas-Fort Worth, TX, International Airport Rev 2.04%, 11/01/2024 | 111,250 | ||||||||
250,000 | Deer Park Independent School Dist, GO 5.00%, 08/15/2028 | 325,520 | ||||||||
505,000 | Harris County, TX, GO 5.00%, 10/01/2038 | 625,634 | ||||||||
1,750,000 | Houston, TX, Combined Utility System Rev 0.95%, 05/15/2034(3) | 1,750,000 | ||||||||
Lower Colorado River Auth |
| |||||||||
440,000 | 5.00%, 05/15/2029 | 576,853 | ||||||||
940,000 | 5.00%, 05/15/2030 | 1,250,557 | ||||||||
1,745,000 | Round Rock Independent School Dist, GO 5.00%, 08/01/2028 | 2,288,271 | ||||||||
Texas Department of Housing & Community Affairs Rev |
| |||||||||
130,000 | 4.00%, 03/01/2050 | 147,459 | ||||||||
105,000 | 4.75%, 03/01/2049 | 117,526 | ||||||||
University of Texas, Permanent University Fund Rev |
| |||||||||
1,555,000 | 0.89%, 07/01/2037(3) | 1,555,000 | ||||||||
495,000 | 5.00%, 07/01/2027 | 616,037 | ||||||||
|
| |||||||||
9,453,308 | ||||||||||
|
| |||||||||
Utah - 1.0% | ||||||||||
520,000 | Univ. of Utah Rev 5.00%, 08/01/2030 | 687,934 | ||||||||
|
| |||||||||
Virginia - 1.9% | ||||||||||
490,000 | Fairfax County, VA, Water Auth Rev 5.00%, 04/01/2029 | 624,966 | ||||||||
650,000 | Virginia Small Business Financing Auth 1.15%, 07/01/2042(3) | 650,000 | ||||||||
|
| |||||||||
1,274,966 | ||||||||||
|
| |||||||||
Washington - 1.9% | ||||||||||
730,000 | State of Washington, GO 5.00%, 08/01/2030 | 965,754 | ||||||||
285,000 | Washington State Housing Finance Commission Rev 4.00%, 12/01/2048 | 312,092 | ||||||||
|
| |||||||||
1,277,846 | ||||||||||
|
| |||||||||
Wyoming - 0.2% | ||||||||||
140,000 | Wyoming Community Dev Auth | 152,744 | ||||||||
|
| |||||||||
Total Municipal Bonds | $ | 39,559,760 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 14 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 9.7% | ||||||||||
Mortgage-Backed Agencies - 9.7% | ||||||||||
FHLMC - 3.3% | ||||||||||
$ | 1,425,791 | 3.50%, 09/01/2049 | $ | 1,471,236 | ||||||
360,914 | 3.50%, 03/01/2048 | 378,165 | ||||||||
396,823 | 3.00%, 06/01/2049 | 406,513 | ||||||||
|
| |||||||||
2,255,914 | ||||||||||
|
| |||||||||
FNMA - 5.4% | ||||||||||
$ | 394,342 | 3.00%, 09/01/2049 | $ | 403,372 | ||||||
1,369,537 | 3.50%, 11/01/2049 | 1,415,816 | ||||||||
913,796 | 3.00%, 12/01/2049 | 934,723 | ||||||||
609,980 | 3.50%, 11/01/2047 | 634,665 | ||||||||
353,530 | 3.50%, 11/01/2048 | 364,369 | ||||||||
|
| |||||||||
3,752,945 | ||||||||||
|
| |||||||||
GNMA - 1.0% | ||||||||||
$ | 268,092 | 4.00%, 10/20/2048 | $ | 279,651 | ||||||
364,183 | 3.50%, 04/20/2043 | 382,888 | ||||||||
|
| |||||||||
662,539 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 6,671,398 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 1.3% | ||||||||||
U.S. Treasury Securities - 1.3% | ||||||||||
U.S. Treasury Notes - 1.3% | ||||||||||
399,625 | 0.75%, 07/15/2028(5) | 430,985 | ||||||||
481,000 | 2.50%, 05/31/2020 | 482,315 | ||||||||
|
| |||||||||
913,300 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 913,300 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 59,438,053 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 15.9% | ||||||||||
Other Investment Pools & Funds - 0.2% | ||||||||||
$ | 157,259 | Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 1.43%(6) | 157,259 | |||||||
|
| |||||||||
U.S. Treasury - 15.7% | ||||||||||
U.S. Treasury Bills - 15.7% | ||||||||||
3,683,000 | 1.49%, 02/27/2020(7) | 3,679,397 |
Shares or Principal Amount | Market Value† | |||||||||
SHORT-TERM INVESTMENTS - 15.9% - (continued) | ||||||||||
U.S. Treasury Bills - 15.7% - (continued) | ||||||||||
$ | 6,873,000 | 1.50%, 06/18/2020(7) | $ | 6,834,010 | ||||||
280,000 | 1.51%, 04/30/2020(7) | 278,971 | ||||||||
|
| |||||||||
10,792,378 | ||||||||||
|
| |||||||||
Total Short-Term Investments | $ | 10,949,637 | ||||||||
|
|
Total Investments | 102.1 | % | $ | 70,387,690 | ||||||||||
Other Assets & Liabilities | (2.1 | )% | (1,474,394 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 68,913,296 | ||||||||||
|
|
|
|
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 January 31, 2020. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At January 31, 2020, the aggregate value of this security was $715,135, representing 1.0% of net assets. |
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | Security is azero-coupon bond. |
(5) | The principal amount for this security is adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(6) | Current yield as of period end. |
(7) | The rate shown represents current yield to maturity. |
Futures Contracts Outstanding at January 31, 2020 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury5-Year Note Future | 22 | 03/31/2020 | $ | 2,647,047 | $ | (19,402 | ) | |||||||||
U.S. Treasury Long Bond Future | 4 | 03/20/2020 | 654,125 | (6,008 | ) | |||||||||||
U.S. Treasury Ultra Long Bond Future | 2 | 03/20/2020 | 387,375 | (3,004 | ) | |||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (28,414 | ) | ||||||||||||
|
|
† | 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.
| 15 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2020 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets | ||||||||||||||||
Corporate Bonds | $ | 12,293,595 | $ | — | $ | 12,293,595 | $ | — | ||||||||
Municipal Bonds | 39,559,760 | — | 39,559,760 | — | ||||||||||||
U.S. Government Agencies | 6,671,398 | — | 6,671,398 | — | ||||||||||||
U.S. Government Securities | 913,300 | — | 913,300 | — | ||||||||||||
Short-Term Investments | 10,949,637 | 157,259 | 10,792,378 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 70,387,690 | $ | 157,259 | $ | 70,230,431 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Futures Contracts(2) | $ | (28,414 | ) | $ | (28,414 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (28,414 | ) | $ | (28,414 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2020, 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.
| 16 |
|
Hartford Short Duration ETF |
Schedule of Investments
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 10.7% | ||||||||||
Asset-Backed - Automobile - 0.3% | ||||||||||
$ | 280,398 | Chesapeake Funding LLC 3.39%, 01/15/2031(1) | $ | 285,965 | ||||||
|
| |||||||||
Asset-Backed - Finance & Insurance - 2.6% | ||||||||||
278,600 | DB Master Finance LLC 3.79%, 05/20/2049(1) | 286,089 | ||||||||
93,839 | Finance of America Structured Securities Trust 3.38%, 09/25/2028(1)(2) | 93,811 | ||||||||
72,798 | NRZ Excess Spread-Collateralized Notes 3.19%, 01/25/2023(1) | 73,123 | ||||||||
206,245 | OBX Trust 4.00%, 11/25/2048(1)(2) | 207,643 | ||||||||
296,250 | Planet Fitness Master Issuer LLC 4.26%, 09/05/2048(1) | 303,556 | ||||||||
Regional Management Issuance Trust | ||||||||||
100,000 | 3.83%, 07/15/2027(1) | 100,543 | ||||||||
275,000 | 4.56%, 01/18/2028(1) | 280,767 | ||||||||
31,449 | SoFi Consumer Loan Program LLC 3.28%, 01/26/2026(1) | 31,558 | ||||||||
372,845 | Symphony CLO Ltd. 2.79%, 07/14/2026, 3 mo. USD LIBOR + 0.950%(1)(3) | 372,931 | ||||||||
Towd Point Mortgage Trust | ||||||||||
268,743 | 2.75%, 10/25/2057(1)(2) | 272,750 | ||||||||
77,155 | 3.75%, 05/25/2058(1)(2) | 80,576 | ||||||||
Vantage Data Centers Issuer LLC | ||||||||||
224,063 | 3.19%, 07/15/2044(1) | 229,385 | ||||||||
336,033 | 4.20%, 11/16/2043(1) | 351,250 | ||||||||
337,450 | Wingstop Funding LLC 4.97%, 12/05/2048(1) | 348,127 | ||||||||
|
| |||||||||
3,032,109 | ||||||||||
|
| |||||||||
Collateralized - Mortgage Obligations - 0.1% | ||||||||||
125,000 | Natixis Commercial Mortgage Securities Trust 2.51%, 10/15/2036(1) | 126,442 | ||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities - 0.7% | ||||||||||
375,000 | GS Mortgage Securities Trust 2.78%, 10/10/2049 | 386,362 | ||||||||
350,579 | New Residential Mortgage Loan Trust 3.99%, 11/25/2048(1)(2) | 355,781 | ||||||||
|
| |||||||||
742,143 | ||||||||||
|
| |||||||||
Other ABS - 1.1% | ||||||||||
201,968 | Barings BDC Static CLO Ltd. 2.85%, 04/15/2027, 3 mo. USD LIBOR + 1.020%(1)(3) | 201,418 | ||||||||
82,561 | Finance of America Structured Securities Trust 3.28%, 04/25/2029(1)(2) | 82,631 | ||||||||
678,150 | Taco Bell Funding LLC 4.32%, 11/25/2048(1) | 701,221 | ||||||||
317,177 | Towd Point Mortgage Trust 3.25%, 07/25/2058(1)(2) | 325,280 | ||||||||
|
| |||||||||
1,310,550 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 5.9% | ||||||||||
Angel Oak Mortgage Trust LLC | ||||||||||
105,000 | 2.47%, 12/25/2059(1)(2) | 105,315 | ||||||||
356,815 | 2.99%, 07/26/2049(1)(2) | 359,316 | ||||||||
54,537 | 3.67%, 07/27/2048(1)(2) | 55,184 | ||||||||
423,015 | Arroyo Mortgage Trust 2.96%, 10/25/2048(1)(2) | 427,465 | ||||||||
48,646 | Bellemeade Re Ltd. 2.86%, 10/25/2028, 1 mo. USD LIBOR + 1.200%(1)(3) | 48,654 | ||||||||
101,701 | Bunker Hill Loan Depositary Trust 3.61%, 10/26/2048(1)(4) | 102,797 | ||||||||
250,000 | Colombia Cent CLO Ltd. 2.94%, 10/25/2028, 3 mo. USD LIBOR + 1.150%(1)(3) | 250,222 | ||||||||
COLT Mortgage Loan Trust | ||||||||||
380,000 | 2.49%, 02/25/2050(1)(2) | 380,422 | ||||||||
166,404 | 2.76%, 08/25/2049(1)(2) | 167,028 | ||||||||
32,435 | 3.47%, 07/27/2048(1)(2) | 32,557 | ||||||||
52,899 | 3.69%, 10/26/2048(1)(2) | 53,264 | ||||||||
276,136 | 4.01%, 12/28/2048(1)(2) | 278,079 | ||||||||
170,784 | CSMC Trust 4.13%, 07/25/2058(1)(2) | 172,370 | ||||||||
242,201 | Deephaven Residential Mortgage Trust 3.79%, 08/25/2058(1)(2) | 244,120 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 10.7% - (continued) | ||||||||||
Whole Loan Collateral CMO - 5.9% - (continued) | ||||||||||
$ | 423,702 | Fannie Mae Connecticut Avenue Securities 7.56%, 10/25/2028, 1 mo. USD LIBOR + 5.900%(3) | $ | 459,179 | ||||||
118,238 | Flagstar Mortgage Trust 4.00%, 09/25/2048(1)(2) | 119,118 | ||||||||
119,018 | Home Re Ltd. 3.26%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(1)(3) | 119,184 | ||||||||
98,249 | LSTAR Securities Investment Trust 3.28%, 04/01/2024, 1 mo. USD LIBOR + 1.500%(1)(3) | 97,751 | ||||||||
Mill City Mortgage Loan Trust | ||||||||||
72,539 | 3.25%, 05/25/2062(1)(2) | 74,309 | ||||||||
71,452 | 3.50%, 05/25/2058(1)(2) | 73,308 | ||||||||
249,075 | 3.50%, 08/25/2058(1)(2) | 258,397 | ||||||||
200,000 | New Residential Advance Receivables Trust 2.43%, 10/15/2051(1) | 200,904 | ||||||||
67,239 | New Residential Mortgage LLC 3.79%, 07/25/2054(1) | 67,501 | ||||||||
New Residential Mortgage Loan Trust | ||||||||||
328,797 | 2.41%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | 328,415 | ||||||||
355,000 | 2.46%, 01/26/2060(1)(2) | 356,173 | ||||||||
382,211 | 4.00%, 02/25/2057(1)(2) | 402,795 | ||||||||
138,088 | 4.00%, 09/25/2057(1)(2) | 143,505 | ||||||||
470,000 | NRZ Advance Receivables Trust 2.59%, 07/15/2052(1) | 474,185 | ||||||||
280,000 | OBX Trust | 286,956 | ||||||||
Sequoia Mortgage Trust | ||||||||||
41,626 | 4.00%, 09/25/2048(1)(2) | 41,969 | ||||||||
50,997 | 4.50%, 08/25/2048(1)(2) | 53,006 | ||||||||
167,657 | Spruce Hill Mortgage Loan Trust 3.40%, 04/29/2049(1)(2) | 169,085 | ||||||||
Verus Securitization Trust | ||||||||||
180,000 | 2.42%, 01/25/2060(1)(2) | 180,311 | ||||||||
53,349 | 3.68%, 06/01/2058(1)(2) | 53,834 | ||||||||
183,442 | Wells Fargo Mortgage Backed Securities Trust 4.00%, 04/25/2049(1)(2) | 184,549 | ||||||||
|
| |||||||||
6,821,227 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage Backed Securities | $ | 12,318,436 | ||||||||
|
| |||||||||
CORPORATE BONDS - 59.3% | ||||||||||
Aerospace/Defense - 0.6% | ||||||||||
$ | 300,000 | L3Harris Technologies, Inc. 3.85%, 06/15/2023(1) | $ | 318,838 | ||||||
350,000 | United Technologies Corp. 3.65%, 08/16/2023 | 372,477 | ||||||||
|
| |||||||||
691,315 | ||||||||||
|
| |||||||||
Agriculture - 0.6% | ||||||||||
250,000 | Altria Group, Inc. 3.49%, 02/14/2022 | 257,719 | ||||||||
450,000 | BAT Capital Corp. 2.79%, 09/06/2024 | 459,371 | ||||||||
|
| |||||||||
717,090 | ||||||||||
|
| |||||||||
Auto Manufacturers - 1.3% | ||||||||||
275,000 | Ford Motor Credit Co. LLC 3.35%, 11/01/2022 | 279,045 | ||||||||
General Motors Financial Co., Inc. | ||||||||||
200,000 | 2.90%, 02/26/2025 | 202,131 | ||||||||
125,000 | 3.15%, 06/30/2022 | 127,903 | ||||||||
200,000 | 3.45%, 04/10/2022 | 204,939 | ||||||||
75,000 | Harley-Davidson Financial Services, Inc. 3.55%, 05/21/2021(1) | 76,542 | ||||||||
Hyundai Capital America | ||||||||||
100,000 | 2.60%, 03/19/2020(1) | 100,077 | ||||||||
50,000 | 4.13%, 06/08/2023(1) | 52,782 | ||||||||
400,000 | Volkswagen Group of America Finance LLC 4.25%, 11/13/2023(1) | 431,679 | ||||||||
|
| |||||||||
1,475,098 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 17 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 59.3% - (continued) | ||||||||||
Beverages - 0.7% | ||||||||||
$ | 150,000 | Anheuser-Busch InBev Worldwide, Inc. 4.15%, 01/23/2025 | $ | 165,442 | ||||||
Constellation Brands, Inc. | ||||||||||
175,000 | 2.65%, 11/07/2022 | 178,900 | ||||||||
100,000 | 2.70%, 05/09/2022 | 101,722 | ||||||||
100,000 | 3.20%, 02/15/2023 | 103,535 | ||||||||
300,000 | Molson Coors Brewing Co. 2.10%, 07/15/2021 | 300,948 | ||||||||
|
| |||||||||
850,547 | ||||||||||
|
| |||||||||
Chemicals - 1.6% | ||||||||||
Celanese U.S. Holdings LLC | ||||||||||
80,000 | 3.50%, 05/08/2024 | 83,603 | ||||||||
280,000 | 4.63%, 11/15/2022 | 298,333 | ||||||||
425,000 | DuPont de Nemours, Inc. 4.21%, 11/15/2023 | 460,070 | ||||||||
450,000 | Eastman Chemical Co. 3.50%, 12/01/2021 | 462,413 | ||||||||
225,000 | International Flavors & Fragrances, Inc. 3.40%, 09/25/2020 | 226,940 | ||||||||
300,000 | Sherwin-Williams Co. 4.20%, 01/15/2022 | 312,499 | ||||||||
|
| |||||||||
1,843,858 | ||||||||||
|
| |||||||||
Commercial Banks - 16.1% | ||||||||||
200,000 | ABN Amro Bank N.V. 3.40%, 08/27/2021(1) | 205,004 | ||||||||
Bank of America Corp. | ||||||||||
300,000 | 2.50%, 10/21/2022 | 303,841 | ||||||||
250,000 | 4.00%, 04/01/2024 | 270,953 | ||||||||
345,000 | Bank of Montreal 2.05%, 11/01/2022 | 348,265 | ||||||||
400,000 | Barclays plc 3.25%, 01/12/2021 | 404,696 | ||||||||
250,000 | BBVA USA 3.50%, 06/11/2021 | 255,221 | ||||||||
200,000 | BNP Paribas S.A. 3.50%, 03/01/2023(1) | 208,814 | ||||||||
BPCE S.A. | ||||||||||
250,000 | 3.00%, 05/22/2022(1) | 255,676 | ||||||||
250,000 | 4.00%, 09/12/2023(1) | 266,520 | ||||||||
250,000 | Canadian Imperial Bank of Commerce 3.50%, 09/13/2023 | 265,289 | ||||||||
200,000 | Capital One Financial Corp. 3.05%, 03/09/2022 | 204,795 | ||||||||
CIT Group, Inc. | ||||||||||
135,000 | 5.00%, 08/15/2022 | 143,437 | ||||||||
340,000 | 5.00%, 08/01/2023 | 364,650 | ||||||||
525,000 | Citibank NA 3.17%, 02/19/2022, (3.17% fixed rate until 02/19/2021; 3 mo. USD LIBOR + 0.530% thereafter)(5) | 532,358 | ||||||||
200,000 | Citigroup, Inc. 2.90%, 12/08/2021 | 203,695 | ||||||||
250,000 | Citizens Bank NA 3.70%, 03/29/2023 | 263,671 | ||||||||
275,000 | Citizens Financial Group, Inc. 2.38%, 07/28/2021 | 277,130 | ||||||||
300,000 | Comerica, Inc. 3.70%, 07/31/2023 | 318,723 | ||||||||
300,000 | Cooperatieve Rabobank UA 3.88%, 09/26/2023(1) | 320,848 | ||||||||
Credit Suisse Group AG | ||||||||||
305,000 | 2.59%, 09/11/2025, (2.59% fixed rate until 09/11/2024; 3 mo. SOFR + 1.560% thereafter)(1)(5) | 309,999 | ||||||||
250,000 | 3.57%, 01/09/2023(1) | 257,425 | ||||||||
Danske Bank A/S | ||||||||||
200,000 | 3.88%, 09/12/2023(1) | 210,369 | ||||||||
390,000 | 5.00%, 01/12/2022(1) | 410,899 | ||||||||
100,000 | Deutsche Bank AG 4.25%, 10/14/2021 | 102,981 | ||||||||
250,000 | Discover Bank 2.45%, 09/12/2024 | 252,812 | ||||||||
Fifth Third Bancorp | ||||||||||
150,000 | 2.38%, 01/28/2025 | 153,043 | ||||||||
350,000 | 2.60%, 06/15/2022 | 356,261 | ||||||||
Goldman Sachs Group, Inc. | ||||||||||
300,000 | 2.35%, 11/15/2021 | 301,376 | ||||||||
300,000 | 3.00%, 04/26/2022 | 304,461 | ||||||||
250,000 | 5.25%, 07/27/2021 | 262,688 | ||||||||
200,000 | 5.75%, 01/24/2022 | 215,093 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 59.3% - (continued) | ||||||||||
Commercial Banks - 16.1% - (continued) | ||||||||||
HSBC Holdings plc | ||||||||||
$ | 350,000 | 2.63%, 11/07/2025, (2.63% fixed rate until 11/07/2024; 3 mo. USD LIBOR + 1.140% thereafter)(5) | $ | 355,867 | ||||||
200,000 | 2.95%, 05/25/2021 | 203,074 | ||||||||
300,000 | Huntington Bancshares, Inc. 2.30%, 01/14/2022 | 302,893 | ||||||||
575,000 | ING Groep N.V. 4.10%, 10/02/2023 | 616,990 | ||||||||
Intesa Sanpaolo S.p.A. | ||||||||||
200,000 | 3.13%, 07/14/2022(1) | 203,951 | ||||||||
400,000 | 3.25%, 09/23/2024(1) | 408,633 | ||||||||
JP Morgan Chase & Co. | ||||||||||
400,000 | 2.30%, 10/15/2025, (2.30% fixed rate until 10/15/2024; 3 mo. USD SOFR + 1.160% thereafter)(5) | 406,331 | ||||||||
300,000 | 2.97%, 01/15/2023 | 306,863 | ||||||||
250,000 | KeyBank NA 2.40%, 06/09/2022 | 254,151 | ||||||||
225,000 | KeyCorp 5.10%, 03/24/2021 | 233,617 | ||||||||
400,000 | Macquarie Bank Ltd. 2.10%, 10/17/2022(1) | 403,107 | ||||||||
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)(5) | 206,084 | ||||||||
490,000 | Mitsubishi UFJ Financial Group, Inc. 2.62%, 07/18/2022 | 499,471 | ||||||||
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)(5) | 254,478 | ||||||||
Morgan Stanley | ||||||||||
325,000 | 2.63%, 11/17/2021 | 330,092 | ||||||||
325,000 | 2.75%, 05/19/2022 | 331,942 | ||||||||
275,000 | National Bank of Canada 2.15%, 10/07/2022(1) | 277,097 | ||||||||
350,000 | NatWest Markets plc 3.63%, 09/29/2022(1) | 364,412 | ||||||||
200,000 | Regions Financial Corp. 2.75%, 08/14/2022 | 204,496 | ||||||||
525,000 | Royal Bank of Canada 3.70%, 10/05/2023 | 560,292 | ||||||||
Santander Holdings USA, Inc. | ||||||||||
275,000 | 3.50%, 06/07/2024 | 286,902 | ||||||||
125,000 | 3.70%, 03/28/2022 | 129,062 | ||||||||
Santander UK plc | ||||||||||
275,000 | 2.13%, 11/03/2020 | 275,748 | ||||||||
200,000 | 3.40%, 06/01/2021 | 204,429 | ||||||||
Standard Chartered plc | ||||||||||
200,000 | 2.25%, 04/17/2020(1) | 200,062 | ||||||||
330,000 | 2.74%, 09/10/2022, (2.74% fixed rate until 09/10/2021; 3 mo. USD LIBOR + 1.200% thereafter)(1)(5) | 333,103 | ||||||||
375,000 | 4.25%, 01/20/2023, (4.25% fixed rate until 01/20/2022; 3 mo. USD LIBOR + 1.150% thereafter)(1)(5) | 389,036 | ||||||||
225,000 | SunTrust Banks, Inc. 2.70%, 01/27/2022 | 228,911 | ||||||||
400,000 | Toronto-Dominion Bank 1.90%, 12/01/2022 | 402,199 | ||||||||
UniCredit S.p.A. | ||||||||||
200,000 | 3.75%, 04/12/2022(1) | 206,000 | ||||||||
350,000 | 6.57%, 01/14/2022(1) | 376,605 | ||||||||
155,000 | Wells Fargo & Co. 3.75%, 01/24/2024 | 165,540 | ||||||||
|
| |||||||||
18,472,431 | ||||||||||
|
| |||||||||
Commercial Services - 1.0% | ||||||||||
280,000 | ERAC USA Finance LLC 2.60%, 12/01/2021(1) | 283,361 | ||||||||
255,000 | Global Payments, Inc. 2.65%, 02/15/2025 | 261,257 | ||||||||
IHS Markit Ltd. | ||||||||||
60,000 | 4.13%, 08/01/2023 | 63,882 | ||||||||
250,000 | 5.00%, 11/01/2022(1) | 267,829 | ||||||||
300,000 | Total System Services, Inc. 3.80%, 04/01/2021 | 306,089 | ||||||||
|
| |||||||||
1,182,418 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 18 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 59.3% - (continued) | ||||||||||
Construction Materials - 0.3% | ||||||||||
$ | 350,000 | Fortune Brands Home & Security, Inc. 4.00%, 09/21/2023 | $ | 374,916 | ||||||
|
| |||||||||
Diversified Financial Services - 3.5% | ||||||||||
150,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.13%, 07/03/2023 | 159,416 | ||||||||
300,000 | AIG Global Funding 2.70%, 12/15/2021(1) | 305,107 | ||||||||
Air Lease Corp. | ||||||||||
75,000 | 2.63%, 07/01/2022 | 75,973 | ||||||||
375,000 | 3.50%, 01/15/2022 | 386,402 | ||||||||
Aircastle Ltd. | ||||||||||
165,000 | 5.13%, 03/15/2021 | 170,577 | ||||||||
250,000 | 7.63%, 04/15/2020 | 252,715 | ||||||||
325,000 | Ally Financial, Inc. 3.88%, 05/21/2024 | 342,739 | ||||||||
375,000 | Avolon Holdings Funding Ltd. 2.88%, 02/15/2025(1) | 378,292 | ||||||||
300,000 | CNA Financial Corp. 7.25%, 11/15/2023 | 352,602 | ||||||||
375,000 | Credit Agricole S.A. 2.38%, 07/01/2021(1) | 377,502 | ||||||||
400,000 | GE Capital International Funding Co. 2.34%, 11/15/2020 | 401,350 | ||||||||
275,000 | LeasePlan Corp. N.V. 2.88%, 10/24/2024(1) | 281,437 | ||||||||
Synchrony Financial | ||||||||||
300,000 | 2.70%, 02/03/2020 | 300,000 | ||||||||
180,000 | 2.85%, 07/25/2022 | 183,493 | ||||||||
95,000 | 4.38%, 03/19/2024 | 102,054 | ||||||||
|
| |||||||||
4,069,659 | ||||||||||
|
| |||||||||
Electric - 3.9% | ||||||||||
175,000 | AEP Texas, Inc. 2.40%, 10/01/2022 | 177,651 | ||||||||
450,000 | CenterPoint Energy, Inc. 3.85%, 02/01/2024 | 480,700 | ||||||||
112,000 | Cleco Corporate Holdings LLC 3.74%, 05/01/2026 | 117,623 | ||||||||
Dominion Energy, Inc. | ||||||||||
125,000 | 2.75%, 01/15/2022 | 127,108 | ||||||||
200,000 | 3.07%, 08/15/2024(4) | 207,591 | ||||||||
335,000 | Duquesne Light Holdings, Inc. 6.40%, 09/15/2020(1) | 343,822 | ||||||||
Edison International | ||||||||||
200,000 | 2.40%, 09/15/2022 | 200,603 | ||||||||
250,000 | 2.95%, 03/15/2023 | 256,119 | ||||||||
250,000 | EDP Finance B.V. 5.25%, 01/14/2021(1) | 257,673 | ||||||||
50,000 | Emera U.S. Finance L.P. 2.70%, 06/15/2021 | 50,599 | ||||||||
Enel Finance International N.V. | ||||||||||
400,000 | 2.88%, 05/25/2022(1) | 408,001 | ||||||||
250,000 | 4.25%, 09/14/2023(1) | 268,156 | ||||||||
330,000 | Evergy, Inc. 2.45%, 09/15/2024 | 335,687 | ||||||||
165,000 | Eversource Energy 3.80%, 12/01/2023 | 175,266 | ||||||||
Exelon Corp. | ||||||||||
125,000 | 3.50%, 06/01/2022 | 128,813 | ||||||||
125,000 | 5.15%, 12/01/2020 | 127,452 | ||||||||
150,000 | FirstEnergy Corp. 2.85%, 07/15/2022 | 153,253 | ||||||||
175,000 | ITC Holdings Corp. 2.70%, 11/15/2022 | 178,450 | ||||||||
105,000 | Potomac Electric Power Co. 3.05%, 04/01/2022 | 107,299 | ||||||||
250,000 | Public Service Enterprise Group, Inc. 2.65%, 11/15/2022 | 255,092 | ||||||||
150,000 | Southwestern Electric Power Co. 3.55%, 02/15/2022 | 154,373 | ||||||||
|
| |||||||||
4,511,331 | ||||||||||
|
| |||||||||
Entertainment - 0.1% | ||||||||||
100,000 | Eldorado Resorts, Inc. 7.00%, 08/01/2023 | 103,395 | ||||||||
|
| |||||||||
Environmental Control - 0.4% | ||||||||||
250,000 | Republic Services, Inc. 2.50%, 08/15/2024 | 256,180 | ||||||||
170,000 | Waste Management, Inc. 2.95%, 06/15/2024 | 177,707 | ||||||||
|
| |||||||||
433,887 | ||||||||||
|
| |||||||||
Food - 1.4% | ||||||||||
Conagra Brands, Inc. | ||||||||||
540,000 | 3.80%, 10/22/2021 | 558,996 | ||||||||
225,000 | 4.30%, 05/01/2024 | 245,359 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 59.3% - (continued) | ||||||||||
Food - 1.4% - (continued) | ||||||||||
$ | 450,000 | Danone S.A. 3.00%, 06/15/2022(1) | $ | 462,527 | ||||||
50,000 | Kroger Co. 3.85%, 08/01/2023 | 53,210 | ||||||||
300,000 | Tyson Foods, Inc. 2.25%, 08/23/2021 | 302,262 | ||||||||
|
| |||||||||
1,622,354 | ||||||||||
|
| |||||||||
Forest Products & Paper - 0.1% | ||||||||||
150,000 | Georgia-Pacific LLC 5.40%, 11/01/2020(1) | 153,944 | ||||||||
|
| |||||||||
Gas - 0.1% | ||||||||||
150,000 | CenterPoint Energy Resources Corp. 4.50%, 01/15/2021 | 152,752 | ||||||||
|
| |||||||||
Healthcare - Products - 0.2% | ||||||||||
180,000 | Boston Scientific Corp. 3.45%, 03/01/2024 | 190,327 | ||||||||
|
| |||||||||
Healthcare - Services - 1.5% | ||||||||||
Anthem, Inc. | ||||||||||
205,000 | 2.38%, 01/15/2025 | 207,728 | ||||||||
175,000 | 2.95%, 12/01/2022 | 180,019 | ||||||||
325,000 | Centene Corp. 4.75%, 05/15/2022 | 330,700 | ||||||||
605,000 | CommonSpirit Health 2.76%, 10/01/2024 | 625,023 | ||||||||
Howard University, Inc. | ||||||||||
40,000 | 2.42%, 10/01/2024 | 40,000 | ||||||||
55,000 | 2.52%, 10/01/2025 | 55,000 | ||||||||
135,000 | 2.80%, 10/01/2023 | 135,000 | ||||||||
150,000 | Laboratory Corp. of America Holdings 3.20%, 02/01/2022 | 153,915 | ||||||||
|
| |||||||||
1,727,385 | ||||||||||
|
| |||||||||
Home Builders - 0.2% | ||||||||||
175,000 | Toll Brothers Finance Corp. 5.88%, 02/15/2022 | 185,719 | ||||||||
|
| |||||||||
Household Products/Wares - 0.3% | ||||||||||
315,000 | Church & Dwight Co., Inc. 2.88%, 10/01/2022 | 324,048 | ||||||||
|
| |||||||||
Insurance - 1.9% | ||||||||||
125,000 | Assurant, Inc. 4.20%, 09/27/2023 | 132,607 | ||||||||
350,000 | Globe Life, Inc. 7.88%, 05/15/2023 | 408,401 | ||||||||
75,000 | Jackson National Life Global Funding 2.50%, 06/27/2022(1) | 76,298 | ||||||||
Liberty Mutual Group, Inc. | ||||||||||
250,000 | 4.95%, 05/01/2022(1) | 265,923 | ||||||||
275,000 | 5.00%, 06/01/2021(1) | 285,853 | ||||||||
165,000 | Marsh & McLennan Cos., Inc. 3.88%, 03/15/2024 | 177,695 | ||||||||
100,000 | Principal Financial Group, Inc. 3.13%, 05/15/2023 | 103,930 | ||||||||
Protective Life Global Funding | ||||||||||
150,000 | 2.70%, 11/25/2020(1) | 151,091 | ||||||||
150,000 | 3.40%, 06/28/2021(1) | 153,533 | ||||||||
250,000 | Reinsurance Group of America, Inc. 5.00%, 06/01/2021 | 260,848 | ||||||||
200,000 | Willis North America, Inc. 3.60%, 05/15/2024 | 212,852 | ||||||||
|
| |||||||||
2,229,031 | ||||||||||
|
| |||||||||
Internet - 0.3% | ||||||||||
75,000 | Netflix, Inc. 5.50%, 02/15/2022 | 79,226 | ||||||||
200,000 | Tencent Holdings Ltd. 2.99%, 01/19/2023(1) | 204,663 | ||||||||
|
| |||||||||
283,889 | ||||||||||
|
| |||||||||
Iron/Steel - 0.8% | ||||||||||
200,000 | ArcelorMittal S.A. 6.25%, 02/25/2022 | 214,900 | ||||||||
Steel Dynamics, Inc. |
| |||||||||
400,000 | 2.80%, 12/15/2024 | 409,539 | ||||||||
250,000 | 5.25%, 04/15/2023 | 254,068 | ||||||||
|
| |||||||||
878,507 | ||||||||||
|
| |||||||||
IT Services - 1.0% | ||||||||||
Hewlett Packard Enterprise Co. |
| |||||||||
400,000 | 2.25%, 04/01/2023 | 403,461 | ||||||||
250,000 | 3.50%, 10/05/2021 | 256,765 | ||||||||
500,000 | International Business Machines Corp. 3.00%, 05/15/2024 | 524,951 | ||||||||
|
| |||||||||
1,185,177 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 19 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 59.3% - (continued) | ||||||||||
Lodging - 1.0% | ||||||||||
$ | 450,000 | Las Vegas Sands Corp. 3.20%, 08/08/2024 | $ | 464,549 | ||||||
Marriott International, Inc. |
| |||||||||
210,000 | 2.13%, 10/03/2022 | 211,621 | ||||||||
225,000 | 2.30%, 01/15/2022 | 226,795 | ||||||||
250,000 | MGM Resorts International 6.00%, 03/15/2023 | 274,300 | ||||||||
|
| |||||||||
1,177,265 | ||||||||||
|
| |||||||||
Machinery - Diversified - 0.4% | ||||||||||
75,000 | CNH Industrial Capital LLC 4.38%, 11/06/2020 | 76,293 | ||||||||
Roper Technologies, Inc. |
| |||||||||
275,000 | 2.35%, 09/15/2024 | 279,769 | ||||||||
100,000 | 3.65%, 09/15/2023 | 106,073 | ||||||||
|
| |||||||||
462,135 | ||||||||||
|
| |||||||||
Media - 1.8% | ||||||||||
250,000 | CCO Holdings LLC / CCO Holdings Capital Corp. 5.13%, 05/01/2023(1) | 253,958 | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||||
225,000 | 3.58%, 07/23/2020 | 226,328 | ||||||||
200,000 | 4.50%, 02/01/2024 | 217,327 | ||||||||
345,000 | Comcast Corp. 3.70%, 04/15/2024 | 371,181 | ||||||||
Cox Communications, Inc. |
| |||||||||
145,000 | 2.95%, 06/30/2023(1) | 148,902 | ||||||||
134,000 | 3.15%, 08/15/2024(1) | 140,180 | ||||||||
196,000 | Discovery Communications LLC 3.25%, 04/01/2023 | 203,977 | ||||||||
Fox Corp. | ||||||||||
50,000 | 3.67%, 01/25/2022(1) | 51,694 | ||||||||
65,000 | 4.03%, 01/25/2024(1) | 69,950 | ||||||||
100,000 | ViacomCBS, Inc. 2.90%, 06/01/2023 | 103,147 | ||||||||
225,000 | Videotron Ltd. 5.00%, 07/15/2022 | 235,969 | ||||||||
|
| |||||||||
2,022,613 | ||||||||||
|
| |||||||||
Mining - 0.5% | ||||||||||
Anglo American Capital plc |
| |||||||||
200,000 | 3.75%, 04/10/2022(1) | 206,548 | ||||||||
200,000 | 4.13%, 04/15/2021(1) | 204,727 | ||||||||
100,000 | Glencore Funding LLC 3.00%, 10/27/2022(1) | 101,083 | ||||||||
|
| |||||||||
512,358 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||
150,000 | Parker-Hannifin Corp. 2.70%, 06/14/2024 | 155,190 | ||||||||
|
| |||||||||
Office/Business Equipment - 0.4% | ||||||||||
400,000 | Xerox Corp. 2.75%, 09/01/2020 | 401,120 | ||||||||
|
| |||||||||
Oil & Gas - 2.9% | ||||||||||
Aker BP ASA |
| |||||||||
535,000 | 3.00%, 01/15/2025(1) | 539,425 | ||||||||
275,000 | 4.75%, 06/15/2024(1) | 285,953 | ||||||||
150,000 | Canadian Natural Resources Ltd. 3.45%, 11/15/2021 | 153,695 | ||||||||
400,000 | Cimarex Energy Co. 4.38%, 06/01/2024 | 425,174 | ||||||||
250,000 | Eni S.p.A.4.00%, 09/12/2023(1) | 266,329 | ||||||||
100,000 | EQT Corp. 2.50%, 10/01/2020 | 100,245 | ||||||||
Occidental Petroleum Corp. |
| |||||||||
450,000 | 2.70%, 08/15/2022 | 456,976 | ||||||||
325,000 | 2.90%, 08/15/2024 | 331,982 | ||||||||
219,000 | 4.85%, 03/15/2021 | 225,527 | ||||||||
EUR | 215,000 | Petroleos Mexicanos 3.13%, 11/27/2020(6) | 243,874 | |||||||
$ | 300,000 | Pioneer Natural Resources Co. 3.45%, 01/15/2021 | 303,902 | |||||||
|
| |||||||||
3,333,082 | ||||||||||
|
| |||||||||
Pharmaceuticals - 2.9% | ||||||||||
AbbVie, Inc. |
| |||||||||
75,000 | 2.30%, 05/14/2021 | 75,491 | ||||||||
250,000 | 3.75%, 11/14/2023 | 266,076 | ||||||||
200,000 | Allergan Funding SCS 3.45%, 03/15/2022 | 205,878 | ||||||||
200,000 | Bayer U.S. Finance LLC 3.50%, 06/25/2021(1) | 204,358 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 59.3% - (continued) | ||||||||||
Pharmaceuticals - 2.9% - (continued) | ||||||||||
$ | 150,000 | Bristol-Myers Squibb Co. 2.88%, 02/19/2021(1) | $ | 151,602 | ||||||
125,000 | Cardinal Health, Inc. 3.20%, 06/15/2022 | 128,368 | ||||||||
Cigna Corp. |
| |||||||||
150,000 | 3.20%, 09/17/2020 | 151,269 | ||||||||
240,000 | 3.75%, 07/15/2023 | 253,769 | ||||||||
100,000 | 4.00%, 02/15/2022(1) | 103,459 | ||||||||
100,000 | CVS Health Corp. 2.63%, 08/15/2024 | 102,444 | ||||||||
Elanco Animal Health, Inc. |
| |||||||||
450,000 | 3.91%, 08/27/2021 | 462,538 | ||||||||
105,000 | 4.27%, 08/28/2023 | 111,795 | ||||||||
420,000 | McKesson Corp. 3.65%, 11/30/2020 | 426,082 | ||||||||
Mylan N.V. |
| |||||||||
100,000 | 3.15%, 06/15/2021 | 101,586 | ||||||||
13,000 | 3.75%, 12/15/2020 | 13,180 | ||||||||
300,000 | Teva Pharmaceutical Finance LLC 2.25%, 03/18/2020 | 299,625 | ||||||||
250,000 | Teva Pharmaceutical Finance Netherlands B.V. 2.20%, 07/21/2021 | 245,375 | ||||||||
|
| |||||||||
3,302,895 | ||||||||||
|
| |||||||||
Pipelines - 3.1% | ||||||||||
Energy Transfer Operating L.P. |
| |||||||||
145,000 | 2.90%, 05/15/2025 | 146,625 | ||||||||
120,000 | 4.20%, 09/15/2023 | 127,437 | ||||||||
135,000 | 4.50%, 04/15/2024 | 145,170 | ||||||||
100,000 | 4.65%, 06/01/2021 | 102,668 | ||||||||
150,000 | Enterprise Products Operating LLC 4.05%, 02/15/2022 | 156,528 | ||||||||
275,000 | EQM Midstream Partners L.P. 4.75%, 07/15/2023 | 271,356 | ||||||||
Kinder Morgan Energy Partners L.P. | ||||||||||
175,000 | 3.95%, 09/01/2022 | 182,937 | ||||||||
150,000 | 4.15%, 03/01/2022 | 156,716 | ||||||||
MPLX L.P. | ||||||||||
95,000 | 2.79%, 09/09/2021, 3 mo. USD LIBOR + 0.900%(3) | 95,349 | ||||||||
100,000 | 3.38%, 03/15/2023 | 104,224 | ||||||||
200,000 | 3.50%, 12/01/2022(1) | 207,010 | ||||||||
450,000 | Phillips 66 Partners L.P. 2.45%, 12/15/2024 | 455,647 | ||||||||
250,000 | Southern Natural Gas Co. LLC / Southern Natural Issuing Corp. 4.40%, 06/15/2021 | 256,918 | ||||||||
200,000 | Sunoco Logistics Partners Operations L.P. 4.40%, 04/01/2021 | 204,847 | ||||||||
650,000 | Western Midstream Operating L.P. 4.00%, 07/01/2022 | 670,250 | ||||||||
262,000 | Williams Cos., Inc. 4.30%, 03/04/2024 | 281,382 | ||||||||
|
| |||||||||
3,565,064 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 2.3% | ||||||||||
American Tower Corp. | ||||||||||
200,000 | 3.30%, 02/15/2021 | 202,749 | ||||||||
150,000 | 3.38%, 05/15/2024 | 157,617 | ||||||||
100,000 | 5.00%, 02/15/2024 | 111,335 | ||||||||
Brandywine Operating Partnership L.P. | ||||||||||
250,000 | 3.95%, 02/15/2023 | 262,726 | ||||||||
265,000 | 4.10%, 10/01/2024 | 285,118 | ||||||||
Crown Castle International Corp. | ||||||||||
300,000 | 3.15%, 07/15/2023 | 311,012 | ||||||||
100,000 | 5.25%, 01/15/2023 | 109,368 | ||||||||
200,000 | Liberty Property L.P. 4.13%, 06/15/2022 | 209,727 | ||||||||
150,000 | Realty Income Corp. 3.25%, 10/15/2022 | 155,553 | ||||||||
155,000 | SBA Tower Trust 2.84%, 01/15/2025(1) | 160,435 | ||||||||
100,000 | Simon Property Group L.P. 2.75%, 06/01/2023 | 103,236 | ||||||||
400,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 409,606 | ||||||||
200,000 | Welltower, Inc. 3.95%, 09/01/2023 | 213,302 | ||||||||
|
| |||||||||
2,691,784 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 20 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 59.3% - (continued) | ||||||||||
Retail - 0.8% | ||||||||||
$ | 250,000 | AutoNation, Inc. 3.35%, 01/15/2021 | $ | 252,988 | ||||||
CVS Health Corp. | ||||||||||
160,000 | 3.35%, 03/09/2021 | 162,771 | ||||||||
300,000 | 3.70%, 03/09/2023 | 314,825 | ||||||||
150,000 | Dollar Tree, Inc. 3.70%, 05/15/2023 | 158,187 | ||||||||
|
| |||||||||
888,771 | ||||||||||
|
| |||||||||
Savings & Loans - 0.2% | ||||||||||
275,000 | Nationwide Building Society 2.00%, 01/27/2023(1) | 276,546 | ||||||||
|
| |||||||||
Semiconductors - 0.5% | ||||||||||
Broadcom, Inc. | ||||||||||
150,000 | 3.13%, 10/15/2022(1) | 153,805 | ||||||||
150,000 | 3.63%, 10/15/2024(1) | 157,860 | ||||||||
155,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(1) | 170,542 | ||||||||
75,000 | QUALCOMM, Inc. 3.00%, 05/20/2022 | 77,150 | ||||||||
|
| |||||||||
559,357 | ||||||||||
|
| |||||||||
Software - 0.5% | ||||||||||
250,000 | Activision Blizzard, Inc. 2.60%, 06/15/2022 | 254,224 | ||||||||
310,000 | Fiserv, Inc. 3.80%, 10/01/2023 | 329,967 | ||||||||
|
| |||||||||
584,191 | ||||||||||
|
| |||||||||
Telecommunications - 1.4% | ||||||||||
AT&T, Inc. | ||||||||||
125,000 | 3.00%, 06/30/2022 | 128,116 | ||||||||
200,000 | 3.60%, 02/17/2023 | 209,926 | ||||||||
150,000 | Nokia Oyj 3.38%, 06/12/2022 | 152,250 | ||||||||
270,000 | Sprint Communications, Inc. 7.00%, 03/01/2020(1) | 270,837 | ||||||||
251,563 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 3.36%, 03/20/2023(1) | 253,606 | ||||||||
Telefonica Emisiones S.A. | ||||||||||
200,000 | 5.13%, 04/27/2020 | 201,482 | ||||||||
200,000 | 5.46%, 02/16/2021 | 207,414 | ||||||||
150,000 | Verizon Communications, Inc. 5.15%, 09/15/2023 | 167,376 | ||||||||
|
| |||||||||
1,591,007 | ||||||||||
|
| |||||||||
Transportation - 1.6% | ||||||||||
400,000 | Canadian Pacific Railway Co. 4.50%, 01/15/2022 | 419,651 | ||||||||
250,000 | CSX Corp. 4.25%, 06/01/2021 | 256,639 | ||||||||
Penske Truck Leasing Co. L.P. / PTL Finance Corp. | ||||||||||
175,000 | 2.70%, 03/14/2023(1) | 178,647 | ||||||||
110,000 | 2.70%, 11/01/2024(1) | 112,645 | ||||||||
250,000 | 4.13%, 08/01/2023(1) | 267,323 | ||||||||
200,000 | 4.25%, 01/17/2023(1) | 213,418 | ||||||||
355,000 | TTX Co. 3.60%, 01/15/2025(1) | 378,388 | ||||||||
|
| |||||||||
1,826,711 | ||||||||||
|
| |||||||||
Trucking & Leasing - 1.0% | ||||||||||
200,000 | Aviation Capital Group LLC 3.88%, 05/01/2023(1) | 208,211 | ||||||||
250,000 | Avolon Holdings Funding Ltd. 5.13%, 10/01/2023(1) | 272,018 | ||||||||
325,000 | DAE Funding LLC 5.25%, 11/15/2021(1) | 338,000 | ||||||||
250,000 | GATX Corp. 4.35%, 02/15/2024 | 269,064 | ||||||||
|
| |||||||||
1,087,293 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 68,096,460 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 0.5% | ||||||||||
Qatar - 0.5% | ||||||||||
$ | 600,000 | Qatar Government International Bond 3.38%, 03/14/2024(1) | $ | 632,250 | ||||||
|
| |||||||||
Total Foreign Government Obligations | $ | 632,250 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 0.2% | ||||||||||
Transportation - 0.2% | ||||||||||
$ | 210,000 | Chicago Transit Auth 5.37%, 12/01/2022 | $ | 228,390 | ||||||
|
| |||||||||
Total Municipal Bonds | $ | 228,390 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 20.1%(7) | ||||||||||
Advertising - 0.2% | ||||||||||
$ | 224,438 | Clear Channel Outdoor Holdings, Inc. 5.15%, 08/21/2026, 1 mo. USD LIBOR + 3.500% | $ | 225,068 | ||||||
|
| |||||||||
Aerospace/Defense - 0.3% | ||||||||||
295,244 | TransDigm, Inc. 4.15%, 06/09/2023, 1 mo. USD LIBOR + 2.500% | 294,875 | ||||||||
|
| |||||||||
Airlines - 0.2% | ||||||||||
117,526 | American Airlines, Inc. 3.43%, 10/12/2021, 1 mo. USD LIBOR + 2.000% | 115,910 | ||||||||
165,000 | Kestrel Bidco, Inc. 4.68%, 12/11/2026, 1 mo. USD LIBOR + 3.000% | 165,917 | ||||||||
|
| |||||||||
281,827 | ||||||||||
|
| |||||||||
Auto Parts & Equipment - 0.6% | ||||||||||
109,450 | Adient U.S. LLC 6.18%, 05/06/2024, 1 mo. USD LIBOR + 4.250% | 109,496 | ||||||||
145,914 | Altra Industrial Motion Corp. 3.65%, 10/01/2025, 1 mo. USD LIBOR + 2.000% | 146,206 | ||||||||
97,000 | IAA, Inc. 3.94%, 06/28/2026, 1 mo. USD LIBOR + 2.250% | 97,606 | ||||||||
Panther BF Aggregator L.P. |
| |||||||||
EUR | 150,000 | 3.75%, 04/30/2026, 1 mo. EURIBOR + 3.750% | 167,183 | |||||||
$ | 179,550 | 5.16%, 04/30/2026, 1 mo. USD LIBOR + 3.500% | 180,582 | |||||||
|
| |||||||||
701,073 | ||||||||||
|
| |||||||||
Chemicals - 0.8% | ||||||||||
305,916 | Cabot Microelectronics Corp. 3.69%, 11/17/2025, 1 mo. USD LIBOR + 2.000% | 307,256 | ||||||||
282,155 | Element Solutions, Inc. 3.65%, 01/31/2026, 1 mo. USD LIBOR + 2.000% | 283,126 | ||||||||
Starfruit Finco B.V. |
| |||||||||
EUR | 100,000 | 3.25%, 10/01/2025, 3 mo. EURIBOR + 3.750% | 111,076 | |||||||
$ | 96,715 | 4.70%, 10/01/2025, 1 mo. USD LIBOR + 3.250% | 96,595 | |||||||
100,000 | Univar, Inc. 3.65%, 07/01/2026 | 100,354 | ||||||||
|
| |||||||||
898,407 | ||||||||||
|
| |||||||||
Commercial Services - 2.2% | ||||||||||
173,241 | Blackhawk Network Holdings, Inc. 4.65%, 06/15/2025, 1 mo. USD LIBOR + 3.000% | 173,210 | ||||||||
123,744 | BrightView Landscapes LLC 4.19%, 08/15/2025, 1 mo. USD LIBOR + 2.500% | 124,131 | ||||||||
200,000 | Dun & Bradstreet Corp. 6.66%, 02/06/2026, 1 mo. USD LIBOR + 5.000% | 201,050 | ||||||||
99,750 | KAR Auction Services, Inc. 3.94%, 09/19/2026, 1 mo. USD LIBOR + 2.250% | 100,415 | ||||||||
EUR | 135,000 | LGC Group Holdings Ltd. 0.00%, 01/22/2027(8) | 149,944 | |||||||
$ | 200,000 | Quikrete Holdings, Inc. 4.15%, 02/01/2027, 1 mo. USD LIBOR + 2.750% | 200,000 | |||||||
148,990 | Russell Investments U.S. Inst’l Holdco, Inc. 4.90%, 06/01/2023, 3 mo. USD LIBOR + 3.250% | 148,953 | ||||||||
123,418 | Tempo Acquisition LLC 4.40%, 05/01/2024, 1 mo. USD LIBOR + 3.000% | 123,688 | ||||||||
216,381 | Trans Union LLC 3.40%, 11/16/2026 | 217,038 | ||||||||
670,259 | United Rentals, Inc. 3.40%, 10/31/2025, 1 mo. ICE LIBOR + 1.750% | 672,894 | ||||||||
EUR | 340,000 | Verisure Holding AB 3.50%, 10/21/2022, 3 mo. EURIBOR + 3.500% | 378,815 | |||||||
|
| |||||||||
2,490,138 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 21 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.1%(7) - (continued) | ||||||||||
Construction Materials - 0.4% | ||||||||||
$ | 108,900 | Brookfield WEC Holdings, Inc. 4.65%, 08/01/2025 | $ | 109,070 | ||||||
98,503 | Hamilton Holdco LLC 3.95%, 01/02/2027, 1 mo. USD LIBOR + 2.000% | 98,503 | ||||||||
265,996 | NCI Building Systems, Inc. 5.43%, 04/12/2025, 3 mo. USD LIBOR + 3.750% | 264,834 | ||||||||
|
| |||||||||
472,407 | ||||||||||
|
| |||||||||
Distribution/Wholesale - 0.7% | ||||||||||
221,445 | American Builders & Contractors Supply Co., Inc. 3.65%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | 221,582 | ||||||||
197,488 | Beacon Roofing Supply, Inc. 3.90%, 01/02/2025, 1 mo. USD LIBOR + 2.250% | 197,488 | ||||||||
370,313 | HD Supply, Inc. 3.40%, 10/17/2023, 1 mo. USD LIBOR + 1.750% | 371,853 | ||||||||
|
| |||||||||
790,923 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.7% | ||||||||||
197,462 | AlixPartners LLP 4.15%, 04/04/2024, 3 mo. USD LIBOR + 2.750% | 197,339 | ||||||||
163,827 | Crown Finance U.S., Inc. 3.90%, 02/28/2025, 1 mo. USD LIBOR + 2.250% | 162,189 | ||||||||
123,750 | Financial & Risk U.S. Holdings, Inc. 4.90%, 10/01/2025, 1 mo. USD LIBOR + 3.750% | 124,900 | ||||||||
128,346 | NFP Corp. 4.65%, 01/08/2024, 1 mo. USD LIBOR + 3.000% | 128,094 | ||||||||
153,327 | Victory Capital Holdings, Inc. 4.10%, 07/01/2026 | 154,247 | ||||||||
|
| |||||||||
766,769 | ||||||||||
|
| |||||||||
Electronics - 0.1% | ||||||||||
145,000 | Pitney Bowes, Inc. 0.00%, 12/05/2026, 1 mo. USD LIBOR + 4.000%(8) | 144,094 | ||||||||
|
| |||||||||
Energy - Alternate Sources - 0.1% | ||||||||||
172,807 | BCP Renaissance Parent LLC 5.45%, 10/31/2024, 3 mo. USD LIBOR + 3.500% | 156,174 | ||||||||
|
| |||||||||
Environmental Control - 0.3% | ||||||||||
344,697 | Clean Harbors, Inc. 3.40%, 06/28/2024, 1 mo. USD LIBOR + 1.750% | 346,937 | ||||||||
|
| |||||||||
Food - 0.5% | ||||||||||
99,750 | B&G Foods, Inc. 4.15%, 10/10/2026, 1 mo. USD LIBOR + 2.500% | 99,958 | ||||||||
Froneri International plc |
| |||||||||
EUR | 120,000 | 0.00%, 01/29/2027(8) | 133,140 | |||||||
$ | 100,000 | 0.00%, 01/31/2027(8) | 100,250 | |||||||
175,000 | Hostess Brands LLC 4.04%, 08/03/2025, 1 mo. USD LIBOR + 2.250% | 175,054 | ||||||||
114,713 | U.S. Foods, Inc. 3.65%, 09/13/2026, 1 mo. USD LIBOR + 2.000% | 115,077 | ||||||||
|
| |||||||||
623,479 | ||||||||||
|
| |||||||||
Food Service - 0.4% | ||||||||||
Aramark Services, Inc. |
| |||||||||
393,500 | 3.40%, 03/11/2025, 3 mo. USD LIBOR + 1.750% | 394,582 | ||||||||
115,000 | 3.47%, 01/15/2027 | 115,144 | ||||||||
|
| |||||||||
509,726 | ||||||||||
|
| |||||||||
Gas - 0.3% | ||||||||||
Messer Industries GmbH |
| |||||||||
EUR | 100,000 | 2.50%, 03/01/2026, 3 mo. EURIBOR + 2.750% | 111,079 | |||||||
$ | 188,575 | 4.45%, 03/01/2026, 1 mo. USD LIBOR + 2.500% | 188,575 | |||||||
|
| |||||||||
299,654 | ||||||||||
|
| |||||||||
Healthcare - Products - 0.1% | ||||||||||
46,035 | Avantor, Inc. 3.90%, 11/21/2024, 3 mo. USD LIBOR +3.000% | 46,285 | ||||||||
EUR | 100,000 | Grifols S.A. 2.25%, 11/15/2027 | 111,619 | |||||||
|
| |||||||||
157,904 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.1%(7) - (continued) | ||||||||||
Healthcare - Services - 1.4% | ||||||||||
$ | 99,750 | Emerald TopCo, Inc. 5.15%, 07/24/2026, 1 mo. USD LIBOR + 3.500% | $ | 100,093 | ||||||
206,656 | Envision Healthcare Corp. 5.40%, 10/10/2025, 1 mo. USD LIBOR + 3.750% | 173,319 | ||||||||
166,363 | Gentiva Health Services, Inc. 4.94%, 07/02/2025 | 166,778 | ||||||||
EUR | 187,150 | IQVIA, Inc. 2.00%, 06/11/2025, 3 mo. EURIBOR + 2.000% | 208,696 | |||||||
$ | 125,000 | MPH Acquisition Holdings LLC 4.70%, 06/07/2023, 3 mo. USD LIBOR + 2.750% | 122,719 | |||||||
123,047 | Surgery Center Holdings, Inc. 4.90%, 09/02/2024, 1 mo. USD LIBOR + 3.250% | 122,560 | ||||||||
130,313 | Syneos Health, Inc. 3.65%, 08/01/2024, 1 mo. USD LIBOR + 2.000% | 130,639 | ||||||||
360,544 | Universal Health Services, Inc. 3.40%, 10/31/2025, 1 mo. USD LIBOR + 1.750% | 362,948 | ||||||||
250,000 | Zelis Healthcare Corp. 6.40%, 09/30/2026, 1 mo. USD LIBOR + 4.750% | 251,720 | ||||||||
|
| |||||||||
1,639,472 | ||||||||||
|
| |||||||||
Household Products - 0.2% | ||||||||||
123,426 | Diamond (BC) B.V. 4.78%, 09/06/2024, 2 mo. USD LIBOR + 3.000% | 119,723 | ||||||||
100,000 | Reynolds Consumer Products, Inc. 0.00%, 01/29/2027(8) | 100,417 | ||||||||
|
| |||||||||
220,140 | ||||||||||
|
| |||||||||
Insurance - 1.1% | ||||||||||
150,000 | Acrisure LLC 5.93%, 02/12/2027 | 149,625 | ||||||||
Asurion LLC |
| |||||||||
82,075 | 4.65%, 08/04/2022, 1 mo. USD LIBOR + 3.000% | 82,198 | ||||||||
231,475 | 4.65%, 11/03/2024, 1 mo. USD LIBOR + 3.000% | 231,572 | ||||||||
100,000 | 8.15%, 08/04/2025, 1 mo. USD LIBOR + 6.500% | 101,484 | ||||||||
246,867 | Hub International Ltd. 4.55%, 04/25/2025, 2 mo. USD LIBOR + 3.000% | 246,112 | ||||||||
Sedgwick Claims Management Services, Inc. |
| |||||||||
316,800 | 4.90%, 12/31/2025, 1 mo. USD LIBOR + 3.250% | 316,686 | ||||||||
134,325 | 5.65%, 09/03/2026, 1 mo. USD LIBOR + 4.000% | 135,081 | ||||||||
|
| |||||||||
1,262,758 | ||||||||||
|
| |||||||||
IT Services - 0.2% | ||||||||||
246,318 | Science Applications International Corp. 3.40%, 10/31/2025, 1 mo. ICE LIBOR + 1.750% | 247,601 | ||||||||
|
| |||||||||
Leisure Time - 0.6% | ||||||||||
246,356 | Caesars Resort Collection LLC 4.40%, 12/23/2024, 1 mo. USD LIBOR + 2.750% | 246,103 | ||||||||
225,000 | Delta (LUX) S.a.r.l. 4.15%, 02/01/2024, 1 mo. USD LIBOR + 2.500% | 224,579 | ||||||||
247,500 | Penn National Gaming, Inc. 3.90%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | 248,324 | ||||||||
|
| |||||||||
719,006 | ||||||||||
|
| |||||||||
Lodging - 0.5% | ||||||||||
200,890 | Boyd Gaming Corp. 3.81%, 09/15/2023, 1 week USD LIBOR + 2.250% | 201,330 | ||||||||
306,483 | Caesars Entertainment Operating Co. 3.65%, 10/07/2024, 1 mo. USD LIBOR + 2.000% | 306,698 | ||||||||
114,033 | Hilton Worldwide Finance LLC 3.41%, 06/22/2026, 1 mo. USD LIBOR + 1.750% | 114,432 | ||||||||
|
| |||||||||
622,460 | ||||||||||
|
| |||||||||
Media - 2.2% | ||||||||||
123,120 | AVSC Holding Corp. 4.99%, 03/03/2025, 3 mo. USD LIBOR + 3.250% | 122,505 | ||||||||
514,800 | CSC Holdings LLC 3.93%, 01/15/2026, 1 mo. ICE LIBOR + 2.250% | 515,284 | ||||||||
365,346 | Gray Television, Inc. 4.28%, 01/02/2026, 1 mo. ICE LIBOR + 2.500% | 366,716 |
The accompanying notes are an integral part of these financial statements.
| 22 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.1%(7) - (continued) | ||||||||||
Media - 2.2% - (continued) | ||||||||||
$ | 345,792 | ION Media Networks, Inc. 4.69%, 12/18/2024, 1 mo. USD LIBOR + 3.000% | $ | 346,079 | ||||||
47,664 | Mission Broadcasting, Inc. 4.03%, 01/17/2024, 1 mo. ICE LIBOR + 2.250% | 47,701 | ||||||||
148,489 | MTN Infrastructure TopCo, Inc. 4.65%, 11/15/2024, 1 mo. USD LIBOR + 3.000% | 148,551 | ||||||||
Nexstar Broadcasting, Inc. |
| |||||||||
234,145 | 3.90%, 01/17/2024, 1 mo. ICE LIBOR + 2.250% | 234,328 | ||||||||
204,488 | 4.53%, 09/18/2026, 1 mo. USD LIBOR + 2.750% | 205,305 | ||||||||
115,781 | Sinclair Television Group, Inc. 4.18%, 09/30/2026, 1 mo. USD LIBOR + 2.500% | 116,144 | ||||||||
160,000 | Terrier Media Buyer, Inc. 6.15%, 12/17/2026 | 161,160 | ||||||||
90,868 | Web.com Group, Inc. 5.41%, 10/10/2025, 3 mo. USD LIBOR + 3.750% | 90,721 | ||||||||
EUR | 145,000 | Ziggo B.V. 3.00%, 01/31/2029, 1 mo. EURIBOR + 3.000% | 160,776 | |||||||
|
| |||||||||
2,515,270 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.4% | ||||||||||
$ | 221,620 | H.B. Fuller Co. 3.66%, 10/20/2024, 1 mo. USD LIBOR + 2.000% | 221,696 | |||||||
221,043 | USI, Inc. 4.95%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 220,103 | ||||||||
|
| |||||||||
441,799 | ||||||||||
|
| |||||||||
Oil & Gas - 0.1% | ||||||||||
98,750 | Traverse Midstream Partners LLC 5.65%, 09/27/2024, 3 mo. USD LIBOR + 4.000% | 87,312 | ||||||||
|
| |||||||||
Oil & Gas Services - 0.2% | ||||||||||
100,000 | Buckeye Partners L.P. 4.53%, 11/01/2026, 1 mo. USD LIBOR + 2.750% | 100,792 | ||||||||
99,500 | Lower Cadence Holdings LLC 5.65%, 05/22/2026, 1 mo. USD LIBOR + 4.000% | 96,951 | ||||||||
|
| |||||||||
197,743 | ||||||||||
|
| |||||||||
Packaging & Containers - 0.6% | ||||||||||
Berry Global, Inc. |
| |||||||||
200,000 | 3.68%, 10/01/2022, 3 mo. USD LIBOR + 2.000% | 200,730 | ||||||||
139,300 | 3.78%, 07/01/2026 | 139,808 | ||||||||
132,100 | Flex Acquisition Co., Inc. 5.16%, 06/29/2025, 1 mo. USD LIBOR + 3.250% | 130,119 | ||||||||
197,455 | Reynolds Group Holdings, Inc. 4.40%, 02/05/2023, 1 mo. USD LIBOR + 2.750% | 197,613 | ||||||||
|
| |||||||||
668,270 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.8% | ||||||||||
335,750 | Bausch Health Companies, Inc. 4.42%, 11/27/2025, 1 mo. USD LIBOR + 2.750% | 336,730 | ||||||||
99,250 | Catalent Pharma Solutions, Inc. 3.90%, 05/18/2026, 1 mo. USD LIBOR + 2.250% | 99,622 | ||||||||
123,418 | Endo Luxembourg Finance Co., S.a r.l. 5.94%, 04/29/2024, 1 mo. USD LIBOR + 4.250% | 118,790 | ||||||||
100,000 | IQVIA, Inc. 3.70%, 03/07/2024, 3 mo. USD LIBOR + 2.000% | 100,396 | ||||||||
215,000 | Sunshine Luxembourg S.a.r.l. 6.20%, 10/01/2026, 1 mo. USD LIBOR + 4.250% | 215,776 | ||||||||
|
| |||||||||
871,314 | ||||||||||
|
| |||||||||
Real Estate - 0.1% | ||||||||||
100,000 | VICI Properties LLC 3.41%, 12/20/2024, 1 mo. USD LIBOR + 2.000% | 100,013 | ||||||||
|
| |||||||||
Retail - 0.9% | ||||||||||
250,233 | B.C. Unlimited Liability Co. 3.40%, 11/19/2026 | 249,795 | ||||||||
236,595 | Bass Pro Group LLC 6.65%, 09/25/2024, 1 mo. USD LIBOR + 5.000% | 235,511 | ||||||||
148,500 | Belron Finance U.S. LLC 4.15%, 11/13/2025, 1 mo. USD LIBOR + 2.250% | 148,686 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 20.1%(7) - (continued) | ||||||||||
Retail - 0.9% - (continued) | ||||||||||
$ | 124,375 | Staples, Inc. 6.78%, 04/16/2026, 3 mo. USD LIBOR + 5.000% | $ | 122,012 | ||||||
246,803 | U.S. Foods, Inc. 3.40%, 06/27/2023, 1 mo. USD LIBOR + 2.000% | 247,265 | ||||||||
|
| |||||||||
1,003,269 | ||||||||||
|
| |||||||||
Semiconductors - 0.2% | ||||||||||
222,498 | Microchip Technology, Inc. 3.65%, 05/29/2025, 1 mo. USD LIBOR + 2.000% | 223,007 | ||||||||
|
| |||||||||
Software - 1.4% | ||||||||||
170,154 | Change Healthcare Holdings LLC 4.15%, 03/01/2024, 1 mo. USD LIBOR + 2.500% | 170,126 | ||||||||
175,000 | DCert Buyer, Inc. 5.65%, 10/16/2026, 1 mo. USD LIBOR + 4.000% | 175,074 | ||||||||
149,134 | Go Daddy Operating Co. LLC 3.40%, 02/15/2024, 1 mo. USD LIBOR + 1.750% | 149,321 | ||||||||
18,638 | MA FinanceCo. LLC 4.15%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 18,503 | ||||||||
125,866 | Seattle Spinco, Inc. 4.15%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 124,953 | ||||||||
28,203 | SS&C Technologies Holdings Europe S.a.r.l. 3.90%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 28,197 | ||||||||
414,723 | SS&C Technologies, Inc. 3.40%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 414,332 | ||||||||
125,000 | Telenet Financing USD LLC 0.00%, 04/24/2028(8) | 124,649 | ||||||||
99,750 | Ultimate Software Group, Inc. 5.40%, 05/04/2026, 1 mo. USD LIBOR + 3.750% | 100,108 | ||||||||
246,856 | WEX, Inc. 3.90%, 05/15/2026, 1 mo. USD LIBOR + 2.250% | 247,629 | ||||||||
|
| |||||||||
1,552,892 | ||||||||||
|
| |||||||||
Telecommunications - 0.6% | ||||||||||
165,000 | CenturyLink, Inc. 0.00%, 03/15/2027(8) | 164,743 | ||||||||
100,000 | Liberty Latin America Ltd. 6.68%, 10/22/2026, 1 mo. USD LIBOR + 5.000% | 101,125 | ||||||||
467,850 | Sprint Communications, Inc. 4.19%, 02/02/2024, 1 mo. USD LIBOR + 2.500% | 457,323 | ||||||||
|
| |||||||||
723,191 | ||||||||||
|
| |||||||||
Transportation - 0.7% | ||||||||||
58,129 | B.C. Unlimited Liability Co. 5.95%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | 58,372 | ||||||||
108,121 | Dynasty Acquisition Co., Inc. 5.95%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | 108,571 | ||||||||
500,000 | Genesee & Wyoming, Inc. 3.91%, 12/30/2026 | 502,290 | ||||||||
124,584 | Savage Enterprises LLC 5.67%, 08/01/2025, 1 mo. USD LIBOR + 4.000% | 125,804 | ||||||||
|
| |||||||||
795,037 | ||||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 23,050,009 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 9.9% | ||||||||||
Mortgage-Backed Agencies - 9.9% | ||||||||||
FHLMC - 2.3% | ||||||||||
$ | 575,000 | 1.13%, 08/12/2021 | $ | 572,524 | ||||||
273,078 | 1.50%, 01/15/2027 | 271,148 | ||||||||
345,753 | 2.00%, 09/15/2041 | 347,361 | ||||||||
291,770 | 2.41%, 10/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | 291,875 | ||||||||
319,484 | 3.00%, 01/01/2033 | 331,971 | ||||||||
326,898 | 3.00%, 05/15/2037 | 330,436 | ||||||||
252,714 | 3.50%, 09/15/2043 | 261,912 | ||||||||
234,680 | 3.75%, 05/15/2039(4) | 242,545 | ||||||||
31,269 | 3.81%, 05/25/2048(1)(2) | 31,336 | ||||||||
|
| |||||||||
2,681,108 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 23 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 9.9% - (continued) | ||||||||||
Mortgage-Backed Agencies - 9.9% - (continued) | ||||||||||
FNMA - 5.5% | ||||||||||
$ | 401,052 | 1.50%, 08/25/2041 | $ | 396,730 | ||||||
827,312 | 1.50%, 06/25/2042 | 836,997 | ||||||||
278,140 | 2.00%, 07/25/2039 | 280,079 | ||||||||
481,516 | 2.50%, 03/25/2035 | 485,515 | ||||||||
179,456 | 2.55%, 07/25/2044 | 182,765 | ||||||||
332,458 | 3.00%, 11/01/2032 | 345,280 | ||||||||
680,694 | 3.00%, 02/25/2043 | 704,853 | ||||||||
215,205 | 3.00%, 04/25/2043 | 223,054 | ||||||||
340,908 | 3.00%, 05/25/2047 | 350,930 | ||||||||
809,108 | 3.25%, 11/25/2043 | 847,194 | ||||||||
229,449 | 3.50%, 03/01/2033 | 240,037 | ||||||||
517,480 | 3.50%, 10/25/2035 | 549,803 | ||||||||
611,906 | 3.50%, 07/25/2045 | 631,860 | ||||||||
217,308 | 3.50%, 07/25/2054 | 225,824 | ||||||||
|
| |||||||||
6,300,921 | ||||||||||
|
| |||||||||
GNMA - 1.2% | ||||||||||
381,024 | 2.00%, 05/20/2046 | 386,426 | ||||||||
765,672 | 2.50%, 10/20/2041 | 777,858 | ||||||||
152,896 | 2.50%, 07/20/2042 | 155,268 | ||||||||
|
| |||||||||
1,319,552 | ||||||||||
|
| |||||||||
UMBS - 0.9% | ||||||||||
1,050,000 | 3.50%, 02/18/2035(9) | 1,095,353 | ||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 11,396,934 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 115,722,479 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 0.5% | ||||||||||
Other Investment Pools & Funds - 0.5% | ||||||||||
550,072 | Fidelity Institutional Government Fund, Institutional Class, 1.48%(10) | $ | 550,072 | |||||||
|
| |||||||||
Total Short-Term Investments | $ | 550,072 | ||||||||
|
|
Total Investments | 101.2 | % | $ | 116,272,551 | ||||||||||
Other Assets and Liabilities | (1.2 | )% | (1,409,860 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 114,862,691 | ||||||||||
|
|
|
|
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 January 31, 2020, the aggregate value of these securities was $30,494,386, representing 26.5% of net assets. |
(2) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(3) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2020. Base lending rates may be subject to a floor or cap. |
(4) | Security is a“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(5) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2020. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(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 January 31, 2020, the aggregate value of this security was $243,874, representing 0.2% of net assets. |
(7) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the LIBOR, and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit rate or other base lending rates used by commercial lenders. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Base lending rates may be subject to a floor or cap. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of January 31, 2020. |
(8) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(9) | Represents or includes a TBA transaction. |
(10) | Current yield as of period end. |
Futures Contracts Outstanding at January 31, 2020 | ||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Long position contracts: | ||||||||||||||||||||||
U.S. Treasury2-Year Note Future | 90 | 03/31/2020 | $ | 19,472,344 | $ | 70,116 | ||||||||||||||||
|
| |||||||||||||||||||||
Short position contracts: | ||||||||||||||||||||||
U.S. Treasury5-Year Note Future | 90 | 03/31/2020 | $ | 10,828,828 | $ | (94,178 | ) | |||||||||||||||
U.S. Treasury10-Year Note Future | 23 | 03/20/2020 | 3,028,094 | (49,437 | ) | |||||||||||||||||
|
| |||||||||||||||||||||
Total |
| $ | (143,615 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||
Total futures contracts |
| $ | (73,499 | ) | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 24 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Foreign Currency Contracts Outstanding at January 31, 2020 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
222,000 | EUR | 244,511 | USD | BCLY | 02/05/20 | $ | 1,584 | $ | — | |||||||||||||||
248,670 | USD | 222,000 | EUR | BCLY | 02/05/20 | 2,575 | — | |||||||||||||||||
132,810 | USD | 120,000 | EUR | MSC | 02/28/20 | — | (395 | ) | ||||||||||||||||
1,502,273 | USD | 1,361,000 | EUR | CBK | 02/28/20 | — | (8,491 | ) | ||||||||||||||||
244,946 | USD | 222,000 | EUR | BCLY | 03/05/20 | — | (1,596 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 4,159 | $ | (10,482 | ) | |||||||||||||||||||
|
|
|
|
† | 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 January 31, 2020 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage Backed Securities | $ | 12,318,436 | $ | — | $ | 12,318,436 | $ | — | ||||||||
Corporate Bonds | 68,096,460 | — | 68,096,460 | — | ||||||||||||
Foreign Government Obligations | 632,250 | — | 632,250 | — | ||||||||||||
Municipal Bonds | 228,390 | — | 228,390 | — | ||||||||||||
Senior Floating Rate Interests | 23,050,009 | — | 23,050,009 | — | ||||||||||||
U.S. Government Agencies | 11,396,934 | — | 11,396,934 | — | ||||||||||||
Short-Term Investments | 550,072 | 550,072 | — | — | ||||||||||||
Foreign Currency Contracts(2) | 4,159 | — | 4,159 | — | ||||||||||||
Futures Contracts(2) | 70,116 | 70,116 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 116,346,826 | $ | 620,188 | $ | 115,726,638 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Foreign Currency Contracts(2) | $ | (10,482 | ) | $ | — | $ | (10,482 | ) | $ | — | ||||||
Futures Contracts(2) | (143,615 | ) | (143,615 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (154,097 | ) | $ | (143,615 | ) | $ | (10,482 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2020, 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 Total Return Bond ETF |
Schedule of Investments
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 16.7% | ||||||||||
Agency Collat PAC CMO - 0.0% | ||||||||||
$ | 727,103 | Freddie Mac Strips 5.00%, 09/15/2036(1) | $ | 140,109 | ||||||
|
| |||||||||
Asset-Backed - Automobile - 0.3% | ||||||||||
1,716,573 | Chesapeake Funding LLC 1.95%, 09/15/2031(2) | 1,723,379 | ||||||||
|
| |||||||||
Asset-Backed - Finance & Insurance - 3.6% | ||||||||||
71,617 | Ajax Mortgage Loan Trust 3.16%, 09/25/2056(2)(3) | 72,062 | ||||||||
340,000 | Atlas Senior Loan Fund Ltd. 2.69%, 04/20/2028, 3 mo. USD LIBOR + 0.870%(2)(4) | 340,013 | ||||||||
250,000 | Avery Point CLO Ltd. 2.94%, 08/05/2027, 3 mo. USD LIBOR + 1.050%(2)(4) | 250,146 | ||||||||
82,896 | Bayview Koitere Fund Trust 3.50%, 07/28/2057(2)(3) | 84,833 | ||||||||
56,223 | Bayview Opportunity Master Fund Trust 3.50%, 10/28/2057(2)(3) | 57,245 | ||||||||
Bellemeade Re Ltd. |
| |||||||||
3,022 | 2.61%, 08/25/2028, 1 mo. USD LIBOR + 0.950%(2)(4) | 3,023 | ||||||||
357,754 | 2.76%, 07/25/2029, 1 mo. USD LIBOR + 1.100%(2)(4) | 358,033 | ||||||||
600,000 | BlueMountain CLO Ltd. 2.75%, 07/18/2027, 3 mo. USD LIBOR + 0.930%(2)(4) | 600,836 | ||||||||
589,436 | Bowman Park CLO Ltd. 3.09%, 11/23/2025, 3 mo. USD LIBOR + 1.180%(2)(4) | 589,501 | ||||||||
Carlyle Global Market Strategies CLO Ltd. |
| |||||||||
880,677 | 2.57%, 04/27/2027, 3 mo. USD LIBOR + 0.780%(2)(4) | 880,907 | ||||||||
950,000 | 2.83%, 01/15/2031, 3 mo. USD LIBOR + 1.000%(2)(4) | 947,556 | ||||||||
330,000 | CIFC Funding Ltd. 2.69%, 04/19/2029, 3 mo. USD LIBOR + 0.870%(2)(4) | 329,426 | ||||||||
375,000 | Cirrus Funding Ltd. 4.80%, 01/25/2037(2) | 396,172 | ||||||||
741,275 | DB Master Finance LLC 3.79%, 05/20/2049(2) | 761,200 | ||||||||
Domino’s Pizza Master Issuer LLC |
| |||||||||
1,681,300 | 3.08%, 07/25/2047(2) | 1,692,027 | ||||||||
49,250 | 4.12%, 07/25/2048(2) | 51,583 | ||||||||
203,013 | Drug Royalty L.P. 3.43%, 10/15/2031, 3 mo. USD LIBOR + 1.600%(2)(4) | 202,710 | ||||||||
269,205 | Eagle RE Ltd. 3.36%, 11/25/2028, 1 mo. USD LIBOR + 1.700%(2)(4) | 269,687 | ||||||||
1,170,000 | Evergreen Credit Card Trust 1.90%, 09/15/2024(2) | 1,178,363 | ||||||||
250,000 | Magnetite VII Ltd. 2.63%, 01/15/2028, 3 mo. USD LIBOR + 0.800%(2)(4) | 249,605 | ||||||||
164,400 | MFA Trust 3.35%, 11/25/2047(2)(5) | 164,699 | ||||||||
71,918 | Preston Ridge Partners Mortgage Trust LLC 4.00%, 08/25/2023(2)(3) | 72,376 | ||||||||
229,011 | Radnor RE Ltd. 2.91%, 02/25/2029, 1 mo. USD LIBOR + 1.250%(2)(4) | 228,978 | ||||||||
1,560,000 | Regional Management Issuance Trust 4.56%, 01/18/2028(2) | 1,592,714 | ||||||||
Seasoned Credit Risk Transfer Trust |
| |||||||||
106,820 | 3.50%, 08/25/2057 | 111,971 | ||||||||
831,957 | 3.50%, 08/25/2058 | 885,231 | ||||||||
Sound Point CLO Ltd. |
| |||||||||
250,000 | 2.86%, 01/26/2031, 3 mo. USD LIBOR + 1.070%(2)(4) | 249,230 | ||||||||
950,000 | 2.97%, 04/18/2031, 1 mo. USD LIBOR + 1.150%(2)(4) | 944,802 | ||||||||
1,155,000 | SPS Servicer Advance Receivables Trust 2.32%, 10/15/2052(2) | 1,163,349 | ||||||||
Towd Point Mortgage Trust |
| |||||||||
1,211,075 | 2.75%, 10/25/2056(2)(3) | 1,225,552 | ||||||||
1,629,420 | 2.75%, 06/25/2057(2)(3) | 1,659,692 | ||||||||
2,228,660 | 2.75%, 10/25/2057(2)(3) | 2,261,890 | ||||||||
108,017 | 3.75%, 05/25/2058(2)(3) | 112,806 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 16.7% | ||||||||||
Asset-Backed - Finance & Insurance - 3.6% - (continued) | ||||||||||
$ | 765,000 | Treman Park CLO Ltd. 2.89%, 10/20/2028, 3 mo. USD LIBOR + 1.070%(2)(4) | $ | 765,149 | ||||||
998,217 | Vantage Data Centers Issuer LLC 4.20%, 11/16/2043(2) | 1,043,418 | ||||||||
955,000 | Voya CLO Ltd. 2.72%, 01/18/2029, 3 mo. USD LIBOR + 0.900%(2)(4) | 952,018 | ||||||||
602,700 | Wendy’s Funding LLC 3.88%, 03/15/2048(2) | 629,032 | ||||||||
267,975 | Wingstop Funding LLC 4.97%, 12/05/2048(2) | 276,454 | ||||||||
|
| |||||||||
23,654,289 | ||||||||||
|
| |||||||||
Asset-Backed - Home Equity - 0.3% | ||||||||||
1,570,000 | CPT Mortgage Trust 2.87%, 11/13/2039(2) | 1,650,468 | ||||||||
87,427 | Legacy Mortgage Asset Trust 4.00%, 03/25/2058(2)(5) | 87,820 | ||||||||
|
| |||||||||
1,738,288 | ||||||||||
|
| |||||||||
Collateralized - Mortgage Obligations - 0.1% | ||||||||||
750,879 | Structured Agency Credit Risk Trust 2.41%, 09/25/2048, 1 mo. USD LIBOR + 0.750%(2)(4) | 751,104 | ||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities - 3.6% | ||||||||||
Banc of America Commercial Mortgage Trust |
| |||||||||
7,044,928 | 0.88%, 11/15/2050(1)(3) | 345,316 | ||||||||
4,465,465 | 0.95%, 11/15/2054(1)(3) | 231,911 | ||||||||
Benchmark Mortgage Trust |
| |||||||||
11,712,792 | 0.66%, 01/15/2051(1)(3) | 399,848 | ||||||||
21,200,250 | 0.69%, 07/15/2051(1)(3) | 726,868 | ||||||||
1,505,000 | BX Commercial Mortgage Trust 2.60%, 10/15/2036, 1 mo. USD LIBOR + 0.920%(2)(4) | 1,509,756 | ||||||||
785,000 | CAMB Commercial Mortgage Trust 4.23%, 12/15/2037, 1 mo. USD LIBOR + 2.550%(2)(4) | 790,420 | ||||||||
1,300,000 | Citigroup Commercial Mortgage Trust 3.62%, 07/10/2047 | 1,394,272 | ||||||||
188,435 | Citigroup Mortgage Loan Trust 3.25%, 03/25/2061(2)(3) | 192,895 | ||||||||
Commercial Mortgage Trust |
| |||||||||
10,950,425 | 0.76%, 02/10/2047(1)(3) | 236,833 | ||||||||
1,300,000 | 2.94%, 01/10/2046 | 1,337,240 | ||||||||
700,000 | 3.18%, 02/10/2035(2) | 742,183 | ||||||||
1,120,000 | 3.69%, 08/10/2047 | 1,199,048 | ||||||||
900,000 | 3.80%, 08/10/2047 | 970,141 | ||||||||
1,095,125 | 3.96%, 03/10/2047 | 1,176,660 | ||||||||
360,000 | 4.24%, 02/10/2047(3) | 390,507 | ||||||||
1,000,000 | 4.36%, 07/10/2045(3) | 1,077,525 | ||||||||
13,752,509 | CSAIL Commercial Mortgage Trust 0.90%, 06/15/2057(1)(3) | 451,737 | ||||||||
GS Mortgage Securities Trust |
| |||||||||
6,636,000 | 0.68%, 02/13/2053(1)(3) | 365,680 | ||||||||
890,000 | 3.63%, 11/10/2047 | 956,232 | ||||||||
100,000 | 4.07%, 01/10/2047 | 107,640 | ||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||
858,821 | 3.36%, 07/15/2045 | 895,696 | ||||||||
100,000 | 3.93%, 09/15/2047 | 108,560 | ||||||||
100,000 | 4.00%, 04/15/2047 | 107,970 | ||||||||
1,300,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | 1,391,313 | ||||||||
4,478,465 | Morgan Stanley Capital I Trust 1.59%, 06/15/2050(1)(3) | 326,396 | ||||||||
670,000 | MTRO Commercial Mortgage Trust 3.48%, 12/15/2033, 1 mo. USD LIBOR + 1.800%(2)(4) | 669,159 | ||||||||
1,005,120 | UBS-Barclays Commercial Mortgage Trust 3.24%, 04/10/2046 | 1,045,460 | ||||||||
807,234 | Wells Fargo Commercial Mortgage Trust 2.92%, 10/15/2045 | 827,383 | ||||||||
Wells Fargo N.A. |
| |||||||||
5,803,928 | 0.72%, 11/15/2062(1)(3) | 294,518 | ||||||||
2,724,248 | 0.77%, 11/15/2062(1)(3) | 152,555 |
The accompanying notes are an integral part of these financial statements.
| 26 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 16.7% - (continued) | ||||||||||
Commercial Mortgage-Backed Securities - 3.6% - (continued) | ||||||||||
$ | 3,508,148 | 1.05%, 05/15/2062(1)(3) | $ | 248,801 | ||||||
16,293,487 | 0.88%, 02/15/2061(1)(3) | 817,413 | ||||||||
WF-RBS Commercial Mortgage Trust |
| |||||||||
1,170,000 | 2.88%, 12/15/2045 | 1,200,766 | ||||||||
1,025,000 | 3.61%, 11/15/2047 | 1,101,362 | ||||||||
100,000 | 4.00%, 05/15/2047 | 108,318 | ||||||||
100,000 | 4.05%, 03/15/2047 | 107,946 | ||||||||
|
| |||||||||
24,006,328 | ||||||||||
|
| |||||||||
Other ABS - 2.1% | ||||||||||
717,371 | ALM XII Ltd. 2.73%, 04/16/2027, 3 mo. USD LIBOR + 0.890%(2)(4) | 717,013 | ||||||||
980,000 | ALM XVI Ltd. 2.73%, 07/15/2027, 3 mo. USD LIBOR + 0.900%(2)(4) | 980,277 | ||||||||
Benefit Street Partners CLO Ltd. |
| |||||||||
635,000 | 3.07%, 01/20/2029, 3 mo. USD LIBOR + 1.250%(2)(4) | 636,081 | ||||||||
250,000 | 3.07%, 07/20/2029, 3 mo. USD LIBOR + 1.250%(2)(4) | 249,926 | ||||||||
250,000 | Carlyle U.S. CLO Ltd. 3.04%, 07/20/2031, 3 mo. USD LIBOR + 1.220%(2)(4) | 250,026 | ||||||||
970,000 | CIFC Funding Ltd. 2.82%, 04/18/2031, 3 mo. USD LIBOR + 1.000%(2)(4) | 964,798 | ||||||||
260,000 | Dewolf Park CLO Ltd. 3.04%, 10/15/2030, 3 mo. USD LIBOR + 1.210%(2)(4) | 259,971 | ||||||||
418,950 | Domino’s Pizza Master Issuer LLC 3.67%, 10/25/2049(2) | 434,992 | ||||||||
1,550,000 | Dryden Senior Loan Fund 3.06%, 04/15/2029, 3 mo. USD LIBOR + 1.123%(2)(4) | 1,552,844 | ||||||||
250,000 | Madison Park Funding Ltd. 2.77%, 04/19/2030, 3 mo. USD LIBOR + 0.950%(2)(4) | 250,004 | ||||||||
248,607 | Neuberger Berman CLO Ltd. 2.63%, 07/15/2027, 3 mo. USD LIBOR + 0.800%(2)(4) | 248,393 | ||||||||
925,000 | OCP CLO Ltd. 2.94%, 10/18/2028, 3 mo. USD LIBOR + 1.120%(2)(4) | 924,764 | ||||||||
550,000 | OZLM Ltd. 3.10%, 10/20/2031, 3 mo. USD LIBOR + 1.280%(2)(4) | 550,274 | ||||||||
1,174,076 | Preston Ridge Partners Mortgage Trust LLC 4.48%, 10/25/2023(2)(3) | 1,188,123 | ||||||||
348,772 | Pretium Mortgage Credit Partners LLC 4.83%, 09/25/2058(2)(5) | 351,145 | ||||||||
1,339,695 | TICP CLO Ltd. 2.66%, 04/20/2028, 3 mo. USD LIBOR + 0.840%(2)(4) | 1,335,602 | ||||||||
277,530 | Towd Point Mortgage Trust 3.25%, 07/25/2058(2)(3) | 284,620 | ||||||||
504,821 | Vericrest Opportunity Loan Trust 3.97%, 03/25/2049(2)(5) | 508,216 | ||||||||
378,926 | VOLT LXIV LLC 3.38%, 10/25/2047(2)(5) | 379,069 | ||||||||
1,343,077 | VOLT LXXX LLC 3.23%, 10/25/2049(2)(5) | 1,346,705 | ||||||||
705,000 | Voya CLO Ltd. 3.01%, 10/18/2031, 3 mo. USD LIBOR + 1.190%(2)(4) | 706,614 | ||||||||
|
| |||||||||
14,119,457 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 6.7% | ||||||||||
109,840 | Bear Stearns Adjustable Rate Mortgage Trust 4.35%, 08/25/2035(3) | 110,770 | ||||||||
Bellemeade Re Ltd. |
| |||||||||
154,435 | 2.86%, 10/25/2028, 1 mo. USD LIBOR + 1.200%(2)(4) | 154,460 | ||||||||
372,599 | 2.96%, 03/25/2029, 1 mo. USD LIBOR + 1.300%(2)(4) | 372,858 | ||||||||
75,861 | CIM Trust 3.00%, 04/25/2057(2)(3) | 76,694 | ||||||||
Connecticut Avenue Securities Trust |
| |||||||||
945,000 | 3.76%, 06/25/2039, 1 mo. USD LIBOR + 2.100%(2)(4) | 953,614 | ||||||||
481,852 | 3.81%, 11/25/2039, 1 mo. USD LIBOR + 2.150%(2)(4) | 486,178 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 16.7% - (continued) | ||||||||||
Whole Loan Collateral CMO - 6.7% - (continued) | ||||||||||
$ | 909,444 | 3.96%, 08/25/2031, 1 mo. USD LIBOR + 2.300%(2)(4) | $ | 919,163 | ||||||
119,056 | CSMC Trust 4.13%, 07/25/2058(2)(3) | 120,161 | ||||||||
Fannie Mae Connecticut Avenue Securities |
| |||||||||
38,129 | 2.26%, 07/25/2030, 1 mo. USD LIBOR + 0.600%(4) | 38,129 | ||||||||
371,290 | 2.31%, 05/25/2030, 1 mo. USD LIBOR + 0.650%(4) | 371,290 | ||||||||
122,754 | 2.34%, 10/25/2030, 1 mo. USD LIBOR + 0.680%(4) | 122,773 | ||||||||
35,414 | 2.38%, 01/25/2031, 1 mo. USD LIBOR + 0.720%(4) | 35,419 | ||||||||
939 | 2.41%, 02/25/2030, 1 mo. USD LIBOR + 0.750%(4) | 939 | ||||||||
18,515 | 2.51%, 11/25/2029, 1 mo. USD LIBOR + 0.850%(4) | 18,518 | ||||||||
56,520 | 2.61%, 10/25/2029, 1 mo. USD LIBOR + 0.950%(4) | 56,582 | ||||||||
10,042 | 2.81%, 09/25/2029, 1 mo. USD LIBOR + 1.150%(4) | 10,048 | ||||||||
14,171 | 2.96%, 04/25/2029, 1 mo. USD LIBOR + 1.300%(4) | 14,187 | ||||||||
189,503 | 3.86%, 08/25/2030, 1 mo. USD LIBOR + 2.200%(4) | 192,241 | ||||||||
200,000 | 3.91%, 07/25/2030, 1 mo. USD LIBOR + 2.250%(4) | 203,818 | ||||||||
200,000 | 4.01%, 01/25/2031, 1 mo. USD LIBOR + 2.350%(4) | 203,797 | ||||||||
190,648 | 4.26%, 05/25/2024, 1 mo. USD LIBOR + 2.600%(4) | 198,378 | ||||||||
1,213,193 | 4.66%, 07/25/2024, 1 mo. USD LIBOR + 3.000%(4) | 1,280,763 | ||||||||
890,000 | 5.21%, 07/25/2029, 1 mo. USD LIBOR + 3.550%(4) | 939,171 | ||||||||
1,703,569 | 5.91%, 01/25/2029, 1 mo. USD LIBOR + 4.250%(4) | 1,814,551 | ||||||||
702,996 | 6.01%, 05/25/2029, 1 mo. USD LIBOR + 4.350%(4) | 744,389 | ||||||||
1,406,208 | 6.06%, 01/25/2024, 1 mo. USD LIBOR + 4.400%(4) | 1,531,634 | ||||||||
678,382 | 6.56%, 11/25/2024, 1 mo. USD LIBOR + 4.900%(4) | 748,015 | ||||||||
1,767,091 | 6.66%, 11/25/2024, 1 mo. USD LIBOR + 5.000%(4) | 1,914,528 | ||||||||
1,845,813 | 6.66%, 07/25/2025, 1 mo. USD LIBOR + 5.000%(4) | 1,982,373 | ||||||||
1,672,901 | 7.21%, 04/25/2028, 1 mo. USD LIBOR + 5.550%(4) | 1,794,907 | ||||||||
1,182,352 | 7.36%, 04/25/2028, 1 mo. USD LIBOR + 5.700%(4) | 1,313,176 | ||||||||
471,768 | 7.66%, 09/25/2028, 1 mo. USD LIBOR + 6.000%(4) | 519,450 | ||||||||
580,211 | Home Re Ltd. 3.26%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(2)(4) | 581,021 | ||||||||
585,205 | LSTAR Securities Investment Trust 3.48%, 03/01/2024, 1 mo. USD LIBOR + 1.700%(2)(4) | 582,935 | ||||||||
69,152 | Mill City Mortgage Loan Trust 2.75%, 01/25/2061(2)(3) | 69,866 | ||||||||
986,000 | Mortgage Insurance-Linked Notes 3.56%, 11/26/2029, 1 mo. USD LIBOR + 1.900%(2)(4) | 989,828 | ||||||||
New Residential Advance Receivables Trust |
| |||||||||
1,410,000 | 2.33%, 10/15/2051(2) | 1,414,112 | ||||||||
2,105,000 | 2.43%, 10/15/2051(2) | 2,114,516 | ||||||||
1,395,000 | 2.51%, 09/15/2052(2) | 1,405,365 | ||||||||
978,325 | New Residential Mortgage LLC 3.79%, 07/25/2054(2) | 982,141 |
The accompanying notes are an integral part of these financial statements.
| 27 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE BACKED SECURITIES - 16.7% - (continued) | ||||||||||
Whole Loan Collateral CMO - 6.7% - (continued) | ||||||||||
New Residential Mortgage Loan Trust |
| |||||||||
$ | 429,002 | 2.41%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(2)(4) | $ | 428,504 | ||||||
1,344,313 | 3.50%, 12/25/2057(2)(3) | 1,394,539 | ||||||||
711,845 | 4.00%, 04/25/2057(2)(3) | 748,655 | ||||||||
728,739 | 4.00%, 08/27/2057(2)(3) | 766,090 | ||||||||
937,987 | 4.00%, 09/25/2057(2)(3) | 974,781 | ||||||||
2,115,000 | NRZ Advance Receivables Trust 2.59%, 07/15/2052(2) | 2,133,833 | ||||||||
OZLM Ltd. |
| |||||||||
950,000 | 2.82%, 04/30/2027, 3 mo. USD LIBOR + 1.050%(2)(4) | 950,400 | ||||||||
250,000 | 2.85%, 07/17/2029, 3 mo. USD LIBOR + 1.010%(2)(4) | 249,625 | ||||||||
859,858 | PMT Credit Risk Transfer Trust 3.81%, 03/27/2024, 1 mo. USD LIBOR + 2.000%(2)(4) | 856,683 | ||||||||
479,702 | Preston Ridge Partners Mortgage Trust LLC 3.50%, 10/25/2024(2)(3) | 481,897 | ||||||||
Seasoned Credit Risk Transfer Trust |
| |||||||||
587,514 | 3.50%, 11/25/2057 | 632,306 | ||||||||
1,547,911 | 3.50%, 07/25/2058 | 1,670,693 | ||||||||
1,925,235 | 3.50%, 10/25/2058 | 2,046,125 | ||||||||
Structured Agency Credit Risk Trust |
| |||||||||
1,061,722 | 3.31%, 04/25/2043, 1 mo. USD LIBOR + 1.650%(2)(4) | 1,066,231 | ||||||||
55,000 | 3.76%, 09/25/2048, 1 mo. USD LIBOR + 2.100%(2)(4) | 55,685 | ||||||||
1,307,790 | Towd Point Mortgage Trust 2.90%, 10/25/2059(2)(3) | 1,343,731 | ||||||||
811,307 | Vericrest Opportunity Loan Trust 3.18%, 10/25/2049(2)(5) | 813,181 | ||||||||
11,111,328 | Wells Fargo N.A. 0.89%, 01/15/2063(1)(3) | 823,072 | ||||||||
|
| |||||||||
44,818,789 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage Backed Securities | $ | 110,951,743 | ||||||||
|
| |||||||||
CORPORATE BONDS - 29.0% | ||||||||||
Advertising - 0.0% | ||||||||||
75,000 | Lamar Media Corp. 3.75%, 02/15/2028(2) | 75,501 | ||||||||
|
| |||||||||
Aerospace/Defense - 0.6% | ||||||||||
625,000 | Boeing Co. 3.25%, 02/01/2035 | 647,611 | ||||||||
L3Harris Technologies, Inc. |
| |||||||||
785,000 | 2.90%, 12/15/2029 | 818,393 | ||||||||
665,000 | 3.85%, 06/15/2023(2) | 706,757 | ||||||||
195,000 | Lockheed Martin Corp. 4.50%, 05/15/2036 | 241,409 | ||||||||
United Technologies Corp. |
| |||||||||
590,000 | 2.80%, 05/04/2024 | 613,266 | ||||||||
540,000 | 3.95%, 08/16/2025 | 595,910 | ||||||||
390,000 | 4.45%, 11/16/2038 | 480,492 | ||||||||
50,000 | 4.63%, 11/16/2048 | 65,783 | ||||||||
|
| |||||||||
4,169,621 | ||||||||||
|
| |||||||||
Agriculture - 0.5% | ||||||||||
Altria Group, Inc. |
| |||||||||
290,000 | 2.63%, 09/16/2026 | 293,939 | ||||||||
175,000 | 3.88%, 09/16/2046 | 169,456 | ||||||||
255,000 | 4.40%, 02/14/2026 | 281,685 | ||||||||
345,000 | 4.80%, 02/14/2029 | 391,018 | ||||||||
620,000 | 5.38%, 01/31/2044 | 722,316 | ||||||||
15,000 | 5.80%, 02/14/2039 | 18,155 | ||||||||
135,000 | 5.95%, 02/14/2049 | 169,526 | ||||||||
BAT Capital Corp. |
| |||||||||
800,000 | 2.79%, 09/06/2024 | 816,660 | ||||||||
155,000 | 4.39%, 08/15/2037 | 161,669 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Agriculture - 0.5% - (continued) | ||||||||||
$ | 200,000 | Kernel Holding S.A. 6.50%, 10/17/2024(6) | $ | 210,982 | ||||||
|
| |||||||||
3,235,406 | ||||||||||
|
| |||||||||
Auto Manufacturers - 0.5% | ||||||||||
245,000 | Ford Motor Co. 5.29%, 12/08/2046 | 242,069 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||
200,000 | 3.82%, 11/02/2027 | 196,890 | ||||||||
325,000 | 4.54%, 08/01/2026 | 338,203 | ||||||||
200,000 | 5.11%, 05/03/2029 | 209,283 | ||||||||
General Motors Co. |
| |||||||||
250,000 | 5.20%, 04/01/2045 | 261,166 | ||||||||
30,000 | 5.40%, 04/01/2048 | 32,156 | ||||||||
175,000 | 5.95%, 04/01/2049 | 200,092 | ||||||||
255,000 | 6.25%, 10/02/2043 | 301,360 | ||||||||
410,000 | 6.75%, 04/01/2046 | 501,322 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||
170,000 | 2.45%, 11/06/2020, 3 mo. USD LIBOR + 0.540%(4) | 170,181 | ||||||||
300,000 | 2.78%, 04/13/2020, 3 mo. USD LIBOR + 0.930%(4) | 300,477 | ||||||||
255,000 | 4.30%, 07/13/2025 | 273,566 | ||||||||
CAD | 235,000 | General Motors Financial of Canada Ltd. 3.08%, 05/22/2020(6) | 178,222 | |||||||
400,000 | Toyota Credit Canada, Inc. 1.80%, 02/19/2020(6) | 302,413 | ||||||||
200,000 | VW Credit Canada, Inc. 2.57%, 03/30/2020, 3 mo. CDOR + 0.500%(4) | 151,341 | ||||||||
|
| |||||||||
3,658,741 | ||||||||||
|
| |||||||||
Auto Parts & Equipment - 0.0% | ||||||||||
$ | 30,000 | Goodyear Tire & Rubber Co. 5.00%, 05/31/2026 | 31,164 | |||||||
|
| |||||||||
Beverages - 0.8% | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
205,000 | 3.75%, 07/15/2042 | 221,301 | ||||||||
1,540,000 | 4.60%, 04/15/2048 | 1,856,317 | ||||||||
1,473,000 | 5.45%, 01/23/2039 | 1,913,378 | ||||||||
Constellation Brands, Inc. |
| |||||||||
5,000 | 2.65%, 11/07/2022 | 5,112 | ||||||||
300,000 | 3.60%, 02/15/2028 | 323,679 | ||||||||
660,000 | Molson Coors Brewing Co. 3.00%, 07/15/2026 | 678,714 | ||||||||
CAD | 618,000 | Molson Coors International L.P. 2.75%, 09/18/2020 | 468,732 | |||||||
|
| |||||||||
5,467,233 | ||||||||||
|
| |||||||||
Biotechnology - 0.1% | ||||||||||
$ | 410,000 | Amgen, Inc. 2.65%, 05/11/2022 | 417,304 | |||||||
|
| |||||||||
Chemicals - 0.7% | ||||||||||
425,000 | Alpek S.A.B. de C.V. 4.25%, 09/18/2029(2) | 442,000 | ||||||||
1,200,000 | Braskem Netherlands Finance B.V. 4.50%, 01/31/2030(2) | 1,206,240 | ||||||||
290,000 | Chemours Co. 5.38%, 05/15/2027 | 251,575 | ||||||||
1,010,000 | DuPont de Nemours, Inc. 4.21%, 11/15/2023 | 1,093,343 | ||||||||
145,000 | Methanex Corp. 5.65%, 12/01/2044 | 147,665 | ||||||||
105,000 | Olin Corp. 5.13%, 09/15/2027 | 109,429 | ||||||||
Sherwin-Williams Co. |
| |||||||||
365,000 | 2.95%, 08/15/2029 | 377,391 | ||||||||
155,000 | 3.13%, 06/01/2024 | 162,428 | ||||||||
520,000 | Syngenta Finance N.V. 4.89%, 04/24/2025(2) | 569,314 | ||||||||
|
| |||||||||
4,359,385 | ||||||||||
|
| |||||||||
Commercial Banks - 8.1% | ||||||||||
Bank of America Corp. |
| |||||||||
430,000 | 2.46%, 10/22/2025, (2.46% fixed rate until 10/22/2024; 3 mo. USD LIBOR + 0.870% thereafter)(7) | 439,282 |
The accompanying notes are an integral part of these financial statements.
| 28 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Commercial Banks - 8.1% - (continued) | ||||||||||
$ | 2,090,000 | 3.19%, 07/23/2030, (3.19% fixed rate until 07/23/2029; 3 mo. USD LIBOR + 1.180% thereafter)(7) | $ | 2,218,182 | ||||||
105,000 | 3.37%, 01/23/2026, (3.37% fixed rate until 01/23/2025; 3 mo. USD LIBOR + 0.810% thereafter)(7) | 111,554 | ||||||||
2,030,000 | 3.42%, 12/20/2028, (3.42% fixed rate until 12/20/2027; 3 mo. USD LIBOR + 1.040% thereafter)(7) | 2,178,827 | ||||||||
1,865,000 | 3.71%, 04/24/2028, (3.71% fixed rate until 04/24/2027; 3 mo. USD LIBOR + 1.512% thereafter)(7) | 2,035,476 | ||||||||
860,000 | 3.86%, 07/23/2024, (3.86% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.940% thereafter)(7) | 914,952 | ||||||||
515,000 | 3.97%, 02/07/2030, (3.97% fixed rate until 02/07/2029; 3 mo. USD LIBOR + 1.210% thereafter)(7) | 577,888 | ||||||||
200,000 | Bank of China Hong Kong Ltd. 5.55%, 02/11/2020(6) | 200,120 | ||||||||
550,000 | Bank of China Ltd. 2.68%, 02/14/2020, 3 mo. USD LIBOR + 0.770%(4)(6) | 550,090 | ||||||||
1,085,000 | Bank of New York Mellon Corp. 2.10%, 10/24/2024 | 1,098,530 | ||||||||
AUD | 2,070,000 | BNG Bank N.V. 1.90%, 11/26/2025(6) | 1,440,116 | |||||||
$ | 500,000 | Capital One Financial Corp. 3.90%, 01/29/2024 | 535,338 | |||||||
Citigroup, Inc. |
| |||||||||
1,450,000 | 2.31%, 11/04/2022, (2.31% fixed rate until 11/04/2021; 3 mo. SOFRRATE + 0.867% thereafter)(7) | 1,459,824 | ||||||||
630,000 | 2.88%, 07/24/2023, (2.88% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.950% thereafter)(7) | 643,204 | ||||||||
1,705,000 | 3.20%, 10/21/2026 | 1,805,394 | ||||||||
750,000 | 3.35%, 04/24/2025, (3.35% fixed rate until 04/24/2024; 3 mo. USD LIBOR + 0.897% thereafter)(7) | 789,220 | ||||||||
500,000 | 3.52%, 10/27/2028, (3.52% fixed rate until 10/27/2027; 3 mo. USD LIBOR + 1.151% thereafter)(7) | 537,804 | ||||||||
895,000 | 3.98%, 03/20/2030, (3.98% fixed rate until 03/20/2029; 3 mo. USD LIBOR + 1.338% thereafter)(7) | 1,000,309 | ||||||||
5,000 | 4.13%, 07/25/2028 | 5,551 | ||||||||
1,225,000 | Credit Suisse Group AG 6.25%, 12/18/2024, (6.25% fixed rate until 12/18/2024; 5 year USD Swap + 3.455% thereafter)(6)(7)(8) | 1,350,494 | ||||||||
390,000 | Credit Suisse Group Funding Guernsey Ltd. 4.11%, 04/16/2021, 3 mo. USD LIBOR + 2.290%(4) | 399,397 | ||||||||
250,000 | Credit Suisse New York 2.05%, 02/04/2022 | 250,075 | ||||||||
Danske Bank A/S |
| |||||||||
510,000 | 5.00%, 01/12/2022(2) | 537,329 | ||||||||
530,000 | 5.38%, 01/12/2024(2) | 589,592 | ||||||||
515,000 | Fifth Third Bancorp 2.38%, 01/28/2025 | 525,449 | ||||||||
Goldman Sachs Group, Inc. |
| |||||||||
100,000 | 2.91%, 07/24/2023, (2.91% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.990% thereafter)(7) | 102,114 | ||||||||
1,715,000 | 3.50%, 11/16/2026 | 1,832,113 | ||||||||
1,195,000 | 3.69%, 06/05/2028, (3.69% fixed rate until 06/05/2027; 3 mo. USD LIBOR + 1.510% thereafter)(7) | 1,296,626 | ||||||||
260,000 | 3.81%, 04/23/2029, (3.81% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.158% thereafter)(7) | 285,997 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Commercial Banks - 8.1% - (continued) | ||||||||||
$ | 140,000 | 4.02%, 10/31/2038, (4.02% fixed rate until 10/31/2037; 3 mo. USD LIBOR + 1.373% thereafter)(7) | $ | 158,390 | ||||||
435,000 | 6.75%, 10/01/2037 | 621,492 | ||||||||
HSBC Holdings plc |
| |||||||||
280,000 | 3.40%, 03/08/2021 | 284,987 | ||||||||
245,000 | 3.57%, 05/25/2021, 3 mo. USD LIBOR + 1.660%(4) | 249,647 | ||||||||
695,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD LIBOR + 1.535% thereafter)(7) | 793,651 | ||||||||
Industrial & Commercial Bank of China Ltd. |
| |||||||||
200,000 | 2.59%, 04/16/2021, 3 mo. USD LIBOR + 0.750%(4)(6) | 200,488 | ||||||||
250,000 | 2.65%, 05/21/2021, 3 mo. USD LIBOR + 0.750%(4)(6) | 250,623 | ||||||||
250,000 | 2.68%, 05/23/2020, 3 mo. USD LIBOR + 0.770%(4)(6) | 250,205 | ||||||||
JP Morgan Chase & Co. |
| |||||||||
230,000 | 3.22%, 03/01/2025, (3.22% fixed rate until 03/01/2024; 3 mo. USD LIBOR + 1.155% thereafter)(7) | 241,556 | ||||||||
15,000 | 3.51%, 01/23/2029, (3.51% fixed rate until 01/23/2028; 3 mo. USD LIBOR + 0.945% thereafter)(7) | 16,269 | ||||||||
1,100,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD LIBOR + 1.160% thereafter)(7) | 1,212,916 | ||||||||
2,390,000 | 3.80%, 07/23/2024, (3.80% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.890% thereafter)(7) | 2,539,718 | ||||||||
935,000 | 3.96%, 01/29/2027, (3.96% fixed rate until 01/29/2026; 3 mo. USD LIBOR + 1.245% thereafter)(7) | 1,027,345 | ||||||||
620,000 | 4.01%, 04/23/2029, (4.01% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.120% thereafter)(7) | 693,195 | ||||||||
565,000 | KeyCorp. 2.55%, 10/01/2029 | 567,374 | ||||||||
GBP | 615,000 | Metro Bank plc 5.50%, 06/26/2028, (5.50% fixed rate until 06/26/2023; GUKG5 + 4.458% thereafter)(6)(7) | 648,328 | |||||||
Morgan Stanley |
| |||||||||
$ | 400,000 | 2.45%, 02/10/2021, 3 mo. USD LIBOR + 0.550%(4) | 400,046 | |||||||
1,015,000 | 2.50%, 04/21/2021 | 1,024,853 | ||||||||
830,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 3 mo. SOFRRATE + 1.143% thereafter)(7) | 843,490 | ||||||||
2,145,000 | 3.13%, 07/27/2026 | 2,271,039 | ||||||||
685,000 | 3.59%, 07/22/2028, (3.59% fixed rate until 07/22/2027; 3 mo. USD LIBOR + 1.340% thereafter)(7) | 741,572 | ||||||||
75,000 | 4.00%, 07/23/2025 | 82,405 | ||||||||
100,000 | 4.43%, 01/23/2030, (4.43% fixed rate until 01/23/2029; 3 mo. USD LIBOR + 1.628% thereafter)(7) | 115,364 | ||||||||
375,000 | 5.00%, 11/24/2025 | 428,785 | ||||||||
250,000 | PNC Bank NA 2.70%, 10/22/2029 | 257,472 | ||||||||
PNC Financial Services Group, Inc. |
| |||||||||
775,000 | 2.20%, 11/01/2024 | 789,229 | ||||||||
970,000 | 2.55%, 01/22/2030 | 991,151 | ||||||||
595,000 | Royal Bank of Canada 2.55%, 07/16/2024 | 613,054 | ||||||||
470,000 | Santander Holdings USA, Inc. 3.70%, 03/28/2022 | 485,272 | ||||||||
675,000 | State Street Corp. 2.35%, 11/01/2025, (2.35% fixed rate until 11/01/2024; 3 mo. SOFRRATE + 0.940% thereafter)(7) | 687,238 |
The accompanying notes are an integral part of these financial statements.
| 29 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Commercial Banks - 8.1% - (continued) | ||||||||||
UBS Group Funding Switzerland AG |
| |||||||||
$ | 680,000 | 2.65%, 02/01/2022(2) | $ | 690,585 | ||||||
1,125,000 | 7.00%, 02/19/2025, (7.00% fixed rate until 02/19/2025; 5 year USD Swap + 4.866% thereafter)(6)(7)(8) | 1,281,712 | ||||||||
650,000 | UniCredit S.p.A. 6.57%, 01/14/2022(2) | 699,409 | ||||||||
Wells Fargo & Co. |
| |||||||||
1,300,000 | 2.41%, 10/30/2025, (2.41% fixed rate until 10/30/2024; 3 mo. USD LIBOR + 0.825% thereafter)(7) | 1,320,210 | ||||||||
305,000 | 2.63%, 07/22/2022 | 311,030 | ||||||||
865,000 | 3.00%, 04/22/2026 | 904,068 | ||||||||
140,000 | 3.00%, 10/23/2026 | 146,461 | ||||||||
2,445,000 | 3.07%, 01/24/2023 | 2,499,603 | ||||||||
385,000 | 3.75%, 01/24/2024 | 411,181 | ||||||||
470,000 | 4.75%, 12/07/2046 | 581,948 | ||||||||
|
| |||||||||
54,044,208 | ||||||||||
|
| |||||||||
Commercial Services - 0.4% | ||||||||||
400,000 | Ashtead Capital, Inc. 4.38%, 08/15/2027(2) | 414,494 | ||||||||
190,000 | Global Payments, Inc. 3.20%, 08/15/2029 | 198,691 | ||||||||
1,330,000 | IHS Markit Ltd. 4.13%, 08/01/2023 | 1,416,051 | ||||||||
345,000 | Service Corp. International 5.13%, 06/01/2029 | 367,390 | ||||||||
380,000 | United Rentals North America, Inc. 5.88%, 09/15/2026 | 404,225 | ||||||||
|
| |||||||||
2,800,851 | ||||||||||
|
| |||||||||
Construction Materials - 0.1% | ||||||||||
560,000 | Standard Industries, Inc. 6.00%, 10/15/2025(2) | 584,500 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.3% | ||||||||||
380,000 | Navient Corp. 7.25%, 01/25/2022 | 407,550 | ||||||||
1,285,000 | Power Finance Corp. Ltd. 3.95%, 04/23/2030(2) | 1,286,807 | ||||||||
|
| |||||||||
1,694,357 | ||||||||||
|
| |||||||||
Electric - 2.4% | ||||||||||
AES Corp. |
| |||||||||
120,000 | 4.88%, 05/15/2023 | 121,500 | ||||||||
125,000 | 5.13%, 09/01/2027 | 131,963 | ||||||||
40,000 | Appalachian Power Co. 6.38%, 04/01/2036 | 53,881 | ||||||||
325,000 | Berkshire Hathaway Energy Co. 3.25%, 04/15/2028 | 349,578 | ||||||||
290,000 | Centrais Eletricas Brasileiras S.A. 3.63%, 02/04/2025 | 291,963 | ||||||||
Cleco Corporate Holdings LLC |
| |||||||||
355,000 | 3.38%, 09/15/2029(2) | 359,538 | ||||||||
156,000 | 3.74%, 05/01/2026 | 163,832 | ||||||||
20,000 | 4.97%, 05/01/2046 | 23,552 | ||||||||
Commonwealth Edison Co. |
| |||||||||
420,000 | 3.65%, 06/15/2046 | 471,368 | ||||||||
115,000 | 4.00%, 03/01/2048 | 135,107 | ||||||||
115,000 | Connecticut Light & Power Co. 4.00%, 04/01/2048 | 137,191 | ||||||||
130,000 | Dominion Energy South Carolina, Inc. 5.10%, 06/01/2065 | 182,381 | ||||||||
350,000 | Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 415,464 | ||||||||
1,280,000 | Duke Energy Corp. 2.65%, 09/01/2026 | 1,316,591 | ||||||||
385,000 | Duke Energy Indiana LLC 3.25%, 10/01/2049 | 407,564 | ||||||||
335,000 | Duke Energy Progress LLC 3.60%, 09/15/2047 | 370,323 | ||||||||
Evergy, Inc. |
| |||||||||
230,000 | 2.45%, 09/15/2024 | 233,964 | ||||||||
580,000 | 2.90%, 09/15/2029 | 594,727 | ||||||||
Exelon Corp. |
| |||||||||
725,000 | 2.85%, 06/15/2020 | 726,976 | ||||||||
725,000 | 3.95%, 06/15/2025 | 789,728 | ||||||||
110,000 | Florida Power & Light Co. 3.99%, 03/01/2049 | 132,415 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Electric - 2.4% - (continued) | ||||||||||
Georgia Power Co. |
| |||||||||
$ | 1,053,000 | 2.00%, 09/08/2020 | $ | 1,055,052 | ||||||
910,000 | 2.10%, 07/30/2023 | 920,218 | ||||||||
510,000 | 4.30%, 03/15/2042 | 592,442 | ||||||||
460,000 | IPALCO Enterprises, Inc. 3.70%, 09/01/2024 | 482,435 | ||||||||
30,000 | ITC Holdings Corp. 3.25%, 06/30/2026 | 31,717 | ||||||||
MidAmerican Energy Co. |
| |||||||||
290,000 | 3.15%, 04/15/2050 | 304,749 | ||||||||
120,000 | 3.65%, 08/01/2048 | 135,923 | ||||||||
765,000 | NextEra Energy Capital Holdings, Inc. 3.15%, 04/01/2024 | 803,918 | ||||||||
125,000 | Northern States Power Co. 2.90%, 03/01/2050 | 125,797 | ||||||||
365,000 | Oglethorpe Power Corp. 5.05%, 10/01/2048 | 454,404 | ||||||||
Oncor Electric Delivery Co. LLC |
| |||||||||
110,000 | 3.10%, 09/15/2049 | 113,781 | ||||||||
145,000 | 5.75%, 03/15/2029 | 186,668 | ||||||||
110,000 | PacifiCorp. 4.15%, 02/15/2050 | 132,189 | ||||||||
125,000 | Public Service Electric & Gas Co. 3.80%, 03/01/2046 | 146,039 | ||||||||
525,000 | Public Service Enterprise Group, Inc. 2.88%, 06/15/2024 | 543,127 | ||||||||
600,000 | Puget Energy, Inc. 3.65%, 05/15/2025 | 635,243 | ||||||||
70,000 | Sempra Energy 4.00%, 02/01/2048 | 77,337 | ||||||||
Southern California Edison Co. |
| |||||||||
385,000 | 2.85%, 08/01/2029 | 397,430 | ||||||||
179,000 | 4.00%, 04/01/2047 | 200,130 | ||||||||
96,000 | 4.13%, 03/01/2048 | 108,387 | ||||||||
Southern Co. |
| |||||||||
115,000 | 2.95%, 07/01/2023 | 119,000 | ||||||||
515,000 | 3.25%, 07/01/2026 | 548,183 | ||||||||
20,000 | 4.40%, 07/01/2046 | 23,224 | ||||||||
120,000 | Union Electric Co. 4.00%, 04/01/2048 | 143,167 | ||||||||
220,000 | Xcel Energy, Inc. 3.50%, 12/01/2049 | 232,385 | ||||||||
|
| |||||||||
15,922,551 | ||||||||||
|
| |||||||||
Engineering & Construction - 0.3% | ||||||||||
680,000 | Fluor Corp. 4.25%, 09/15/2028 | 699,292 | ||||||||
1,150,000 | International Airport Finance S.A. 12.00%, 03/15/2033(2) | 1,262,125 | ||||||||
|
| |||||||||
1,961,417 | ||||||||||
|
| |||||||||
Entertainment - 0.1% | ||||||||||
370,000 | GLP Capital L.P. / GLP Financing II, Inc. 5.30%, 01/15/2029 | 426,728 | ||||||||
445,000 | WMG Acquisition Corp. 4.88%, 11/01/2024(2) | 458,350 | ||||||||
|
| |||||||||
885,078 | ||||||||||
|
| |||||||||
Environmental Control - 0.2% | ||||||||||
Clean Harbors, Inc. |
| |||||||||
405,000 | 4.88%, 07/15/2027(2) | 426,222 | ||||||||
45,000 | 5.13%, 07/15/2029(2) | 47,925 | ||||||||
Waste Management, Inc. |
| |||||||||
370,000 | 3.20%, 06/15/2026 | 395,199 | ||||||||
115,000 | 3.45%, 06/15/2029 | 125,973 | ||||||||
90,000 | 4.15%, 07/15/2049 | 108,802 | ||||||||
|
| |||||||||
1,104,121 | ||||||||||
|
| |||||||||
Food - 0.3% | ||||||||||
Conagra Brands, Inc. |
| |||||||||
40,000 | 4.30%, 05/01/2024 | 43,619 | ||||||||
215,000 | 4.60%, 11/01/2025 | 242,201 | ||||||||
1,440,000 | NBM U.S. Holdings, Inc. 7.00%, 05/14/2026(2) | 1,544,400 | ||||||||
|
| |||||||||
1,830,220 | ||||||||||
|
| |||||||||
Food Service - 0.1% | ||||||||||
470,000 | Aramark Services, Inc. 5.00%, 02/01/2028(2) | 492,325 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 30 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Forest Products & Paper - 0.2% | ||||||||||
$ | 1,150,000 | Suzano Austria GmbH 5.00%, 01/15/2030 | $ | 1,214,170 | ||||||
|
| |||||||||
Gas - 0.3% | ||||||||||
AmeriGas Partners L.P. / AmeriGas Finance Corp. |
| |||||||||
85,000 | 5.63%, 05/20/2024 | 90,330 | ||||||||
140,000 | 5.88%, 08/20/2026 | 153,230 | ||||||||
695,000 | Dominion Energy Gas Holdings LLC 2.50%, 11/15/2024 | 705,954 | ||||||||
Sempra Energy |
| |||||||||
435,000 | 2.40%, 02/01/2020 | 435,000 | ||||||||
525,000 | 3.40%, 02/01/2028 | 556,941 | ||||||||
255,000 | 3.80%, 02/01/2038 | 277,876 | ||||||||
|
| |||||||||
2,219,331 | ||||||||||
|
| |||||||||
Healthcare-Products - 0.2% | ||||||||||
360,000 | Alcon Finance Corp. 3.00%, 09/23/2029(2) | 374,058 | ||||||||
975,000 | Becton Dickinson and Co. 3.36%, 06/06/2024 | 1,026,980 | ||||||||
60,000 | Hill-Rom Holdings, Inc. 4.38%, 09/15/2027(2) | 61,350 | ||||||||
145,000 | Thermo Fisher Scientific, Inc. 3.00%, 04/15/2023 | 150,135 | ||||||||
|
| |||||||||
1,612,523 | ||||||||||
|
| |||||||||
Healthcare-Services - 0.8% | ||||||||||
205,000 | Aetna, Inc. 2.80%, 06/15/2023 | 210,545 | ||||||||
Anthem, Inc. |
| |||||||||
660,000 | 2.88%, 09/15/2029 | 665,861 | ||||||||
485,000 | 3.65%, 12/01/2027 | 523,581 | ||||||||
85,000 | 4.38%, 12/01/2047 | 95,659 | ||||||||
Centene Corp. |
| |||||||||
35,000 | 4.25%, 12/15/2027(2) | 36,487 | ||||||||
40,000 | 4.63%, 12/15/2029(2) | 42,996 | ||||||||
CHS/Community Health Systems, Inc. |
| |||||||||
70,000 | 5.13%, 08/01/2021 | 70,056 | ||||||||
20,000 | 6.25%, 03/31/2023 | 20,400 | ||||||||
350,000 | CommonSpirit Health 3.35%, 10/01/2029 | 363,690 | ||||||||
355,000 | HCA, Inc. 4.13%, 06/15/2029 | 384,179 | ||||||||
5,000 | Humana, Inc. 2.50%, 12/15/2020 | 5,026 | ||||||||
1,600,000 | Rede D’or Finance S.a.r.l. 4.50%, 01/22/2030(2) | 1,609,600 | ||||||||
UnitedHealth Group, Inc. |
| |||||||||
180,000 | 2.38%, 08/15/2024 | 183,950 | ||||||||
420,000 | 2.88%, 08/15/2029 | 436,766 | ||||||||
230,000 | 3.50%, 08/15/2039 | 247,279 | ||||||||
305,000 | 3.70%, 12/15/2025 | 334,341 | ||||||||
196,000 | 3.75%, 10/15/2047 | 214,180 | ||||||||
|
| |||||||||
5,444,596 | ||||||||||
|
| |||||||||
Home Builders - 0.2% | ||||||||||
Lennar Corp. |
| |||||||||
190,000 | 4.75%, 11/29/2027 | 210,425 | ||||||||
200,000 | 5.25%, 06/01/2026 | 221,500 | ||||||||
130,000 | PulteGroup, Inc. 5.50%, 03/01/2026 | 145,275 | ||||||||
435,000 | Toll Brothers Finance Corp. 4.88%, 11/15/2025 | 475,781 | ||||||||
|
| |||||||||
1,052,981 | ||||||||||
|
| |||||||||
Insurance - 0.7% | ||||||||||
490,000 | Aon Corp. 2.20%, 11/15/2022 | 494,633 | ||||||||
45,000 | Berkshire Hathaway Finance Corp. 4.20%, 08/15/2048 | 54,356 | ||||||||
90,000 | CNO Financial Group, Inc. 5.25%, 05/30/2025 | 100,913 | ||||||||
110,000 | Genworth Holdings, Inc. 4.90%, 08/15/2023 | 111,100 | ||||||||
Marsh & McLennan Cos., Inc. |
| |||||||||
420,000 | 3.88%, 03/15/2024 | 452,315 | ||||||||
270,000 | 4.38%, 03/15/2029 | 311,458 | ||||||||
305,000 | 4.75%, 03/15/2039 | 390,080 | ||||||||
64,000 | Massachusetts Mutual Life Insurance Co. 3.73%, 10/15/2070(2) | 66,185 | ||||||||
870,000 | New York Life Global Funding 2.00%, 01/22/2025(2) | 878,018 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Insurance - 0.7% - (continued) | ||||||||||
Unum Group |
| |||||||||
$ | 190,000 | 4.00%, 06/15/2029 | $ | 206,703 | ||||||
345,000 | 4.50%, 12/15/2049 | 350,214 | ||||||||
Willis North America, Inc. |
| |||||||||
230,000 | 2.95%, 09/15/2029 | 234,765 | ||||||||
275,000 | 3.60%, 05/15/2024 | 292,671 | ||||||||
400,000 | 4.50%, 09/15/2028 | 454,587 | ||||||||
|
| |||||||||
4,397,998 | ||||||||||
|
| |||||||||
Internet - 0.5% | ||||||||||
Alibaba Group Holding Ltd. |
| |||||||||
895,000 | 3.40%, 12/06/2027 | 954,035 | ||||||||
445,000 | 4.20%, 12/06/2047 | 521,508 | ||||||||
585,000 | Amazon.com, Inc. 3.88%, 08/22/2037 | 686,103 | ||||||||
Tencent Holdings Ltd. |
| |||||||||
620,000 | 3.60%, 01/19/2028(2) | 661,133 | ||||||||
715,000 | 3.98%, 04/11/2029(2) | 788,618 | ||||||||
|
| |||||||||
3,611,397 | ||||||||||
|
| |||||||||
Iron/Steel - 0.2% | ||||||||||
200,000 | Commercial Metals Co. 5.38%, 07/15/2027 | 208,500 | ||||||||
Metinvest B.V. |
| |||||||||
EUR | 440,000 | 5.63%, 06/17/2025(2) | 509,121 | |||||||
$ | 200,000 | 7.75%, 10/17/2029(2) | 210,528 | |||||||
175,000 | Steel Dynamics, Inc. 5.50%, 10/01/2024 | 180,075 | ||||||||
|
| |||||||||
1,108,224 | ||||||||||
|
| |||||||||
IT Services - 0.8% | ||||||||||
Apple, Inc. |
| |||||||||
1,690,000 | 2.20%, 09/11/2029 | 1,703,150 | ||||||||
490,000 | 3.35%, 02/09/2027 | 531,660 | ||||||||
110,000 | 3.45%, 02/09/2045 | 120,656 | ||||||||
International Business Machines Corp. |
| |||||||||
575,000 | 3.00%, 05/15/2024 | 603,693 | ||||||||
1,050,000 | 3.30%, 05/15/2026 | 1,130,021 | ||||||||
895,000 | 3.50%, 05/15/2029 | 984,451 | ||||||||
|
| |||||||||
5,073,631 | ||||||||||
|
| |||||||||
Lodging - 0.2% | ||||||||||
Hilton Domestic Operating Co., Inc. |
| |||||||||
90,000 | 4.25%, 09/01/2024 | 91,350 | ||||||||
500,000 | 5.13%, 05/01/2026 | 523,600 | ||||||||
285,000 | Las Vegas Sands Corp. 3.50%, 08/18/2026 | 297,594 | ||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. |
| |||||||||
336,000 | 5.25%, 05/15/2027(2) | 348,600 | ||||||||
14,000 | 5.50%, 03/01/2025(2) | 14,595 | ||||||||
|
| |||||||||
1,275,739 | ||||||||||
|
| |||||||||
Media - 1.3% | ||||||||||
475,000 | CCO Holdings LLC / CCO Holdings Capital Corp. 5.13%, 05/01/2027(2) | 496,399 | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||||
425,000 | 4.80%, 03/01/2050 | 454,805 | ||||||||
295,000 | 5.13%, 07/01/2049 | 329,170 | ||||||||
915,000 | 5.38%, 05/01/2047 | 1,054,300 | ||||||||
475,000 | 5.75%, 04/01/2048 | 568,026 | ||||||||
35,000 | 6.48%, 10/23/2045 | 45,480 | ||||||||
Comcast Corp. |
| |||||||||
305,000 | 3.20%, 07/15/2036 | 325,147 | ||||||||
645,000 | 3.25%, 11/01/2039 | 685,409 | ||||||||
180,000 | 4.05%, 11/01/2052 | 210,428 | ||||||||
320,000 | 4.25%, 10/15/2030 | 374,665 | ||||||||
425,000 | 4.60%, 10/15/2038 | 524,289 | ||||||||
90,000 | 4.65%, 07/15/2042 | 111,876 | ||||||||
80,000 | 4.95%, 10/15/2058 | 108,867 |
The accompanying notes are an integral part of these financial statements.
| 31 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Media - 1.3% - (continued) | ||||||||||
Cox Communications, Inc. |
| |||||||||
$ | 903,000 | 3.15%, 08/15/2024(2) | $ | 944,645 | ||||||
250,000 | 4.80%, 02/01/2035(2) | 291,347 | ||||||||
Discovery Communications LLC |
| |||||||||
230,000 | 2.80%, 06/15/2020 | 230,615 | ||||||||
310,000 | 3.95%, 06/15/2025 | 334,466 | ||||||||
500,000 | 6.35%, 06/01/2040 | 663,216 | ||||||||
DISH DBS Corp. |
| |||||||||
230,000 | 5.88%, 07/15/2022 | 241,500 | ||||||||
60,000 | 6.75%, 06/01/2021 | 62,925 | ||||||||
75,000 | TEGNA, Inc. 5.50%, 09/15/2024(2) | 77,250 | ||||||||
145,000 | ViacomCBS, Inc. 4.25%, 09/01/2023 | 156,147 | ||||||||
200,000 | Videotron Ltd. 5.38%, 06/15/2024(2) | 216,000 | ||||||||
|
| |||||||||
8,506,972 | ||||||||||
|
| |||||||||
Mining - 0.2% | ||||||||||
Anglo American Capital plc |
| |||||||||
400,000 | 4.50%, 03/15/2028(2) | 439,748 | ||||||||
745,000 | 4.75%, 04/10/2027(2) | 828,839 | ||||||||
55,000 | Kaiser Aluminum Corp. 4.63%, 03/01/2028(2) | 56,100 | ||||||||
|
| |||||||||
1,324,687 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.0% | ||||||||||
280,000 | Ingersoll-Rand Global Holding Co., Ltd. 2.90%, 02/21/2021 | 283,108 | ||||||||
|
| |||||||||
Office/Business Equipment - 0.0% | ||||||||||
120,000 | CDW LLC / CDW Finance Corp. 4.25%, 04/01/2028 | 124,950 | ||||||||
|
| |||||||||
Oil & Gas - 0.9% | ||||||||||
Canadian Natural Resources Ltd. |
| |||||||||
CAD | 310,000 | 2.05%, 06/01/2020 | 234,433 | |||||||
225,000 | 2.89%, 08/14/2020 | 170,902 | ||||||||
Hess Corp. |
| |||||||||
$ | 460,000 | 7.13%, 03/15/2033 | 593,668 | |||||||
250,000 | 7.30%, 08/15/2031 | 326,618 | ||||||||
Occidental Petroleum Corp. |
| |||||||||
100,000 | 2.85%, 02/08/2021, 3 mo. USD LIBOR + 0.950%(4) | 100,726 | ||||||||
150,000 | 4.50%, 07/15/2044 | 154,245 | ||||||||
Petroleos Mexicanos |
| |||||||||
760,000 | 5.95%, 01/28/2031(2) | 771,210 | ||||||||
220,000 | 6.75%, 09/21/2047 | 222,640 | ||||||||
1,405,000 | 6.84%, 01/23/2030(2) | 1,522,317 | ||||||||
110,000 | 7.69%, 01/23/2050(2) | 120,846 | ||||||||
425,000 | QEP Resources, Inc. 5.25%, 05/01/2023 | 408,000 | ||||||||
260,000 | Saudi Arabian Oil Co. 2.88%, 04/16/2024(2) | 267,140 | ||||||||
220,000 | SM Energy Co. 6.13%, 11/15/2022 | 217,800 | ||||||||
600,000 | Tullow Oil plc 7.00%, 03/01/2025(2)(9) | 485,262 | ||||||||
30,000 | Valero Energy Corp. 4.35%, 06/01/2028 | 33,348 | ||||||||
365,000 | WPX Energy, Inc. 5.25%, 09/15/2024 | 382,338 | ||||||||
|
| |||||||||
6,011,493 | ||||||||||
|
| |||||||||
Packaging & Containers - 0.1% | ||||||||||
Owens-Brockway Glass Container, Inc. |
| |||||||||
80,000 | 5.38%, 01/15/2025(2) | 85,100 | ||||||||
430,000 | 5.88%, 08/15/2023(2) | 460,100 | ||||||||
220,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.13%, 07/15/2023(2) | 224,512 | ||||||||
|
| |||||||||
769,712 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.6% | ||||||||||
AbbVie, Inc. |
| |||||||||
805,000 | 2.95%, 11/21/2026(2) | 831,459 | ||||||||
1,365,000 | 3.20%, 11/21/2029(2) | 1,417,532 | ||||||||
790,000 | 4.25%, 11/21/2049(2) | 858,599 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Pharmaceuticals - 1.6% - (continued) | ||||||||||
$ | 320,000 | Allergan Finance LLC 4.63%, 10/01/2042 | $ | 357,396 | ||||||
205,000 | Bausch Health Cos., Inc. 7.00%, 03/15/2024(2) | 212,524 | ||||||||
165,000 | Baxalta, Inc. 3.60%, 06/23/2022 | 170,396 | ||||||||
705,000 | Bayer U.S. Finance LLC 4.25%, 12/15/2025(2) | 777,701 | ||||||||
380,000 | Bristol-Myers Squibb Co. 3.40%, 07/26/2029(2) | 416,373 | ||||||||
Cigna Corp. |
| |||||||||
65,000 | 3.88%, 10/15/2047(2) | 68,212 | ||||||||
1,535,000 | 4.38%, 10/15/2028 | 1,730,671 | ||||||||
CVS Health Corp. |
| |||||||||
370,000 | 4.10%, 03/25/2025 | 402,347 | ||||||||
895,000 | 5.05%, 03/25/2048 | 1,084,867 | ||||||||
15,000 | 5.13%, 07/20/2045 | 18,083 | ||||||||
95,000 | Express Scripts Holding Co. 2.66%, 11/30/2020, 3 mo. USD LIBOR + 0.750%(4) | 95,021 | ||||||||
630,000 | GlaxoSmithKline Capital, Inc. 3.63%, 05/15/2025 | 686,536 | ||||||||
190,000 | Mylan, Inc. 4.55%, 04/15/2028 | 209,757 | ||||||||
330,000 | Shire Acquisitions Investments Ireland DAC 2.40%, 09/23/2021 | 332,919 | ||||||||
835,000 | Teva Pharmaceutical Finance Netherlands B.V. 3.15%, 10/01/2026 | 712,840 | ||||||||
|
| |||||||||
10,383,233 | ||||||||||
|
| |||||||||
Pipelines - 1.3% | ||||||||||
20,000 | Cheniere Energy Partners L.P. 4.50%, 10/01/2029(2) | 20,350 | ||||||||
180,000 | DCP Midstream Operating L.P. 3.88%, 03/15/2023 | 183,600 | ||||||||
CAD | 260,000 | Enbridge, Inc. 4.53%, 03/09/2020 | 197,058 | |||||||
Energy Transfer Operating L.P. |
| |||||||||
$ | 290,000 | 3.75%, 05/15/2030 | 295,684 | |||||||
260,000 | 4.50%, 04/15/2024 | 279,586 | ||||||||
390,000 | 4.95%, 06/15/2028 | 433,478 | ||||||||
105,000 | 5.00%, 05/15/2050 | 108,143 | ||||||||
160,000 | 5.15%, 03/15/2045 | 166,099 | ||||||||
495,000 | 5.25%, 04/15/2029 | 560,677 | ||||||||
135,000 | 5.50%, 06/01/2027 | 155,033 | ||||||||
870,000 | 6.13%, 12/15/2045 | 1,005,687 | ||||||||
105,000 | 6.25%, 04/15/2049 | 124,489 | ||||||||
262,000 | EQM Midstream Partners L.P. 4.13%, 12/01/2026 | 236,311 | ||||||||
MPLX L.P. |
| |||||||||
70,000 | 2.79%, 09/09/2021, 3 mo. USD LIBOR + 0.900%(4) | 70,257 | ||||||||
365,000 | 4.25%, 12/01/2027(2) | 389,807 | ||||||||
100,000 | 4.70%, 04/15/2048 | 102,808 | ||||||||
360,000 | 5.20%, 03/01/2047 | 397,750 | ||||||||
80,000 | 5.20%, 12/01/2047(2) | 86,345 | ||||||||
80,000 | 5.50%, 02/15/2049 | 91,498 | ||||||||
240,000 | ONEOK, Inc. 3.40%, 09/01/2029 | 245,468 | ||||||||
195,000 | Phillips 66 Partners L.P. 3.15%, 12/15/2029 | 196,978 | ||||||||
Rockies Express Pipeline LLC |
| |||||||||
415,000 | 3.60%, 05/15/2025(2) | 417,942 | ||||||||
415,000 | 4.80%, 05/15/2030(2) | 407,904 | ||||||||
190,000 | Sabine Pass Liquefaction LLC 4.20%, 03/15/2028 | 203,372 | ||||||||
280,000 | Sunoco Logistics Partners Operations L.P. 4.00%, 10/01/2027 | 293,492 | ||||||||
Texas Eastern Transmission L.P. |
| |||||||||
175,000 | 2.80%, 10/15/2022(2) | 177,715 | ||||||||
70,000 | 3.50%, 01/15/2028(2) | 73,224 | ||||||||
TransCanada PipeLines Ltd. |
| |||||||||
505,000 | 4.63%, 03/01/2034 | 593,748 | ||||||||
100,000 | 4.75%, 05/15/2038 | 116,904 | ||||||||
15,000 | 6.10%, 06/01/2040 | 20,090 | ||||||||
155,000 | Valero Energy Partners L.P. 4.50%, 03/15/2028 | 172,590 |
The accompanying notes are an integral part of these financial statements.
| 32 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Pipelines - 1.3% - (continued) | ||||||||||
CAD | 115,000 | Westcoast Energy, Inc. 4.57%, 07/02/2020 | $ | 87,866 | ||||||
Western Midstream Operating L.P. |
| |||||||||
$ | 205,000 | 4.05%, 02/01/2030 | 204,339 | |||||||
110,000 | 4.75%, 08/15/2028 | 112,915 | ||||||||
245,000 | 5.50%, 08/15/2048 | 223,499 | ||||||||
Williams Cos., Inc. |
| |||||||||
24,000 | 4.90%, 01/15/2045 | 25,543 | ||||||||
85,000 | 5.80%, 11/15/2043 | 101,156 | ||||||||
116,000 | 6.30%, 04/15/2040 | 144,350 | ||||||||
|
| |||||||||
8,723,755 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 0.2% | ||||||||||
370,000 | American Tower Corp. 2.40%, 03/15/2025 | 374,853 | ||||||||
205,000 | Equinix, Inc. 5.88%, 01/15/2026 | 217,526 | ||||||||
675,000 | SBA Tower Trust 2.84%, 01/15/2025(2) | 698,668 | ||||||||
70,000 | VICI Properties L.P. / VICI Note Co., Inc. 4.25%, 12/01/2026(2) | 71,843 | ||||||||
|
| |||||||||
1,362,890 | ||||||||||
|
| |||||||||
Retail - 0.4% | ||||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||
130,000 | 2.95%, 01/25/2030(2) | 131,436 | ||||||||
300,000 | 3.80%, 01/25/2050(2) | 301,649 | ||||||||
Lowe’s Cos., Inc. |
| |||||||||
865,000 | 3.38%, 09/15/2025 | 928,494 | ||||||||
75,000 | 3.70%, 04/15/2046 | 79,672 | ||||||||
455,000 | McDonald’s Corp. 3.35%, 04/01/2023 | 476,657 | ||||||||
CAD | 889,000 | Nissan Canada, Inc. 1.75%, 04/09/2020 | 671,931 | |||||||
$ | 80,000 | United Rentals North America, Inc. 4.88%, 01/15/2028 | 83,400 | |||||||
|
| |||||||||
2,673,239 | ||||||||||
|
| |||||||||
Semiconductors - 0.5% | ||||||||||
955,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.88%, 01/15/2027 | 1,007,769 | ||||||||
970,000 | Broadcom, Inc. 4.75%, 04/15/2029(2) | 1,087,001 | ||||||||
270,000 | Intel Corp. 4.10%, 05/19/2046 | 325,724 | ||||||||
865,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(2) | 951,735 | ||||||||
|
| |||||||||
3,372,229 | ||||||||||
|
| |||||||||
Software - 0.6% | ||||||||||
155,000 | Fidelity National Information Services, Inc. 4.25%, 05/15/2028 | 177,157 | ||||||||
490,000 | Fiserv, Inc. 3.20%, 07/01/2026 | 517,324 | ||||||||
330,000 | IQVIA, Inc. 5.00%, 05/15/2027(2) | 348,163 | ||||||||
Microsoft Corp. | ||||||||||
380,000 | 3.30%, 02/06/2027 | 416,003 | ||||||||
240,000 | 3.70%, 08/08/2046 | 282,378 | ||||||||
160,000 | 3.95%, 08/08/2056 | 197,972 | ||||||||
MSCI, Inc. | ||||||||||
705,000 | 5.38%, 05/15/2027(2) | 764,044 | ||||||||
175,000 | 5.75%, 08/15/2025(2) | 182,604 | ||||||||
330,000 | Open Text Corp. 5.88%, 06/01/2026(2) | 348,563 | ||||||||
250,000 | Oracle Corp. 4.00%, 11/15/2047 | 293,013 | ||||||||
240,000 | Western Digital Corp. 4.75%, 02/15/2026 | 256,200 | ||||||||
|
| |||||||||
3,783,421 | ||||||||||
|
| |||||||||
Telecommunications - 1.9% | ||||||||||
AT&T, Inc. | ||||||||||
30,000 | 2.66%, 06/01/2021, 3 mo. USD LIBOR + 0.750%(4) | 30,210 | ||||||||
615,000 | 2.80%, 02/17/2021 | 621,047 | ||||||||
615,000 | 2.95%, 07/15/2026 | 640,772 | ||||||||
CAD | 485,000 | 3.83%, 11/25/2020 | 372,077 | |||||||
$ | 10,000 | 4.25%, 03/01/2027 | 11,145 | |||||||
1,210,000 | 4.30%, 02/15/2030 | 1,368,613 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 29.0% - (continued) | ||||||||||
Telecommunications - 1.9% - (continued) | ||||||||||
$ | 355,000 | 4.35%, 03/01/2029 | $ | 400,420 | ||||||
190,000 | 4.35%, 06/15/2045 | 210,151 | ||||||||
265,000 | 4.75%, 05/15/2046 | 306,819 | ||||||||
Nokia Oyj | ||||||||||
140,000 | 4.38%, 06/12/2027 | 147,700 | ||||||||
60,000 | 6.63%, 05/15/2039 | 72,900 | ||||||||
1,330,000 | SoftBank Group Corp. 6.00%, 07/19/2023, (6.00% fixed rate until 07/19/2023; 5 year USD ICE Swap + 4.226% thereafter)(6)(7)(8) | 1,291,762 | ||||||||
300,000 | Sprint Corp. 7.13%, 06/15/2024 | 309,855 | ||||||||
740,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.15%, 09/20/2029(2) | 806,600 | ||||||||
160,000 | Telecom Italia Capital S.A. 6.00%, 09/30/2034 | 179,833 | ||||||||
900,000 | Telefonica Celular del Paraguay S.A. 5.88%, 04/15/2027(2) | 961,456 | ||||||||
Telefonica Emisiones S.A. | ||||||||||
340,000 | 4.90%, 03/06/2048 | 400,486 | ||||||||
325,000 | 5.21%, 03/08/2047 | 397,847 | ||||||||
220,000 | 5.52%, 03/01/2049 | 283,972 | ||||||||
45,000 | 7.05%, 06/20/2036 | 64,594 | ||||||||
Verizon Communications, Inc. | ||||||||||
275,000 | 3.88%, 02/08/2029 | 309,846 | ||||||||
1,210,000 | 4.50%, 08/10/2033 | 1,455,910 | ||||||||
1,185,000 | 4.81%, 03/15/2039 | 1,488,373 | ||||||||
240,000 | 5.01%, 08/21/2054 | 325,401 | ||||||||
230,000 | Vodafone Group plc 4.25%, 09/17/2050 | 249,902 | ||||||||
|
| |||||||||
12,707,691 | ||||||||||
|
| |||||||||
Transportation - 0.4% | ||||||||||
CSX Corp. | ||||||||||
300,000 | 2.40%, 02/15/2030 | 300,264 | ||||||||
515,000 | 3.25%, 06/01/2027 | 552,903 | ||||||||
115,000 | 3.35%, 09/15/2049 | 118,628 | ||||||||
125,000 | 4.30%, 03/01/2048 | 148,169 | ||||||||
60,000 | 4.50%, 03/15/2049 | 73,777 | ||||||||
125,000 | Norfolk Southern Corp. 3.40%, 11/01/2049 | 130,703 | ||||||||
Union Pacific Corp. | ||||||||||
40,000 | 3.84%, 03/20/2060(2) | 42,609 | ||||||||
860,000 | 4.38%, 09/10/2038 | 1,015,177 | ||||||||
|
| |||||||||
2,382,230 | ||||||||||
|
| |||||||||
Water - 0.0% | ||||||||||
260,000 | American Water Capital Corp. 4.15%, 06/01/2049 | 309,082 | ||||||||
|
| |||||||||
Total Corporate Bonds | $ | 192,463,265 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 6.1% | ||||||||||
Argentina - 0.0% | ||||||||||
EUR | 420,000 | Argentine Republic Government International Bond 5.25%, 01/15/2028(6) | 193,741 | |||||||
|
| |||||||||
Canada - 0.2% | ||||||||||
CAD | 50,000 | City of Quebec Canada 2.00%, 07/07/2020 | 37,827 | |||||||
Ontario Hydro Corp. Coupon Strip | ||||||||||
520,000 | 0.00%, 08/06/2020(10) | 389,598 | ||||||||
100,000 | 0.00%, 11/26/2020(10) | 74,497 | ||||||||
100,000 | OntarioT-Bill 1.72%, 03/25/2020(11) | 75,420 | ||||||||
200,000 | Province of Manitoba CanadaT-Bill 1.42%, 02/12/2020(11) | 151,140 | ||||||||
405,000 | Province of Ontario Generic Coupon Strip 0.00%, 09/08/2020(10) | 302,922 | ||||||||
|
| |||||||||
1,031,404 | ||||||||||
|
| |||||||||
Chile - 0.1% | ||||||||||
$ | 720,000 | Chile Government International Bond 2.55%, 01/27/2032 | 730,800 | |||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 33 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 6.1% - (continued) | ||||||||||
Dominican Republic - 0.2% | ||||||||||
$ | 1,335,000 | Dominican Republic International Bond 6.40%, 06/05/2049(2) | $ | 1,438,463 | ||||||
|
| |||||||||
Egypt - 0.0% | ||||||||||
200,000 | Egypt Government International Bond 8.50%, 01/31/2047(6) | 228,598 | ||||||||
|
| |||||||||
Ghana - 0.1% | ||||||||||
600,000 | Ghana Government International Bond 7.63%, 05/16/2029(6) | 611,364 | ||||||||
|
| |||||||||
Hungary - 0.0% | ||||||||||
200,000 | Hungary Government International Bond 6.38%, 03/29/2021 | 210,528 | ||||||||
|
| |||||||||
Italy - 0.2% | ||||||||||
Italy Buoni Ordinari del Tesoro BOT | ||||||||||
EUR | 220,000 | 0.00%, 02/28/2020(6)(10) | 243,876 | |||||||
630,000 | 0.00%, 05/14/2020(6)(10) | 698,886 | ||||||||
70,000 | Italy Certificati di Credito del Tesoro 0.01%, 11/27/2020(10) | 77,760 | ||||||||
|
| |||||||||
1,020,522 | ||||||||||
|
| |||||||||
Japan - 2.4% | ||||||||||
Japan Treasury Discount Bill | ||||||||||
JPY | 196,750,000 | 0.00%, 02/03/2020(10) | 1,815,303 | |||||||
13,250,000 | 0.10%, 03/30/2020(11) | 122,272 | ||||||||
16,400,000 | 0.10%, 04/06/2020(11) | 151,345 | ||||||||
59,900,000 | 0.11%, 03/16/2020(11) | 552,733 | ||||||||
21,850,000 | 0.11%, 04/13/2020(11) | 201,645 | ||||||||
50,350,000 | 0.12%, 03/23/2020(11) | 464,621 | ||||||||
26,600,000 | 0.12%, 04/27/2020(11) | 245,496 | ||||||||
196,700,000 | 0.12%, 05/07/2020(11) | 1,815,438 | ||||||||
596,400,000 | 0.13%, 02/10/2020(11) | 5,502,757 | ||||||||
265,950,000 | 0.13%, 02/17/2020(11) | 2,453,867 | ||||||||
20,000,000 | 0.17%, 03/09/2020(11) | 184,547 | ||||||||
67,850,000 | 0.18%, 03/02/2020(11) | 626,062 | ||||||||
203,700,000 | 0.19%, 02/25/2020(11) | 1,879,540 | ||||||||
20,000,000 | 0.27%, 03/10/2020(11) | 184,548 | ||||||||
|
| |||||||||
16,200,174 | ||||||||||
|
| |||||||||
Mongolia - 0.2% | ||||||||||
$ | 1,109,000 | Trade & Development Bank of Mongolia LLC 9.38%, 05/19/2020(6) | 1,124,962 | |||||||
|
| |||||||||
Panama - 0.1% | ||||||||||
335,000 | Panama Government International Bond 3.16%, 01/23/2030 | 353,760 | ||||||||
|
| |||||||||
Romania - 0.5% | ||||||||||
Romanian Government International Bond | ||||||||||
EUR | 480,000 | 3.38%, 01/28/2050(2) | 563,852 | |||||||
265,000 | 3.88%, 10/29/2035(6) | 349,471 | ||||||||
332,000 | 4.63%, 04/03/2049(2) | 470,496 | ||||||||
1,024,000 | 4.63%, 04/03/2049(6) | 1,451,167 | ||||||||
$ | 290,000 | 6.13%, 01/22/2044(6) | 386,465 | |||||||
|
| |||||||||
3,221,451 | ||||||||||
|
| |||||||||
Senegal - 0.1% | ||||||||||
590,000 | Senegal Government International Bond 6.25%, 05/23/2033(6) | 629,158 | ||||||||
|
| |||||||||
South Korea - 0.1% | ||||||||||
300,000 | Export-Import Bank of Korea 2.90%, 03/17/2021, 3 mo. USD LIBOR + 1.000%(4)(6) | 302,139 | ||||||||
Korea Development Bank | ||||||||||
310,000 | 2.37%, 02/27/2020, 3 mo. USD LIBOR + 0.450%(4) | 310,089 | ||||||||
200,000 | 2.44%, 03/12/2021, 3 mo. USD LIBOR + 0.550%(4) | 200,422 | ||||||||
|
| |||||||||
812,650 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 6.1% - (continued) | ||||||||||
Supranational - 1.7% | ||||||||||
NZD | 4,390,000 | Asian Development Bank 3.00%, 01/17/2023 | $ | 2,969,813 | ||||||
Inter-American Development Bank | ||||||||||
CAD | 4,000,000 | 1.70%, 10/10/2024 | 3,030,721 | |||||||
AUD | 3,945,000 | 2.75%, 10/30/2025(6) | 2,870,545 | |||||||
MXN | 13,455,000 | 7.25%, 06/10/2021 | 703,770 | |||||||
CAD | 2,010,000 | International Finance Corp. 1.38%, 09/13/2024 | 1,501,082 | |||||||
|
| |||||||||
11,075,931 | ||||||||||
|
| |||||||||
Tunisia - 0.1% | ||||||||||
Banque Centrale de Tunisie International Bond | ||||||||||
EUR | 355,000 | 6.38%, 07/15/2026(2) | 387,187 | |||||||
390,000 | 6.75%, 10/31/2023(2) | 446,245 | ||||||||
|
| |||||||||
833,432 | ||||||||||
|
| |||||||||
United Arab Emirates - 0.1% | ||||||||||
$ | 830,000 | Abu Dhabi Government International Bond 3.13%, 09/30/2049(2) | 829,484 | |||||||
|
| |||||||||
Uruguay - 0.0% | ||||||||||
65,000 | Uruguay Government International Bond 4.98%, 04/20/2055 | 80,861 | ||||||||
|
| |||||||||
Total Foreign Government Obligations | $ | 40,627,283 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 1.0% | ||||||||||
Development - 0.1% | ||||||||||
California State, GO Taxable | ||||||||||
505,000 | 7.30%, 10/01/2039 | 807,414 | ||||||||
35,000 | 7.60%, 11/01/2040 | 60,900 | ||||||||
60,000 | 7.63%, 03/01/2040 | 100,952 | ||||||||
|
| |||||||||
969,266 | ||||||||||
|
| |||||||||
Education - 0.2% | ||||||||||
Chicago, IL, Board of Education, GO | ||||||||||
270,000 | 6.04%, 12/01/2029 | 301,690 | ||||||||
220,000 | 6.14%, 12/01/2039 | 254,428 | ||||||||
380,000 | 6.32%, 11/01/2029 | 437,486 | ||||||||
|
| |||||||||
993,604 | ||||||||||
|
| |||||||||
General - 0.3% | ||||||||||
1,530,000 | Philadelphia Auth for Industrial Dev 6.55%, 10/15/2028 | 1,959,945 | ||||||||
|
| |||||||||
General Obligation - 0.3% | ||||||||||
California State, GO Taxable |
| |||||||||
40,000 | 7.35%, 11/01/2039 | 64,346 | ||||||||
30,000 | 7.55%, 04/01/2039 | 50,707 | ||||||||
State of Illinois, GO |
| |||||||||
885,818 | 4.95%, 06/01/2023(9) | 931,447 | ||||||||
120,000 | 5.00%, 01/01/2023 | 128,587 | ||||||||
180,000 | 5.56%, 02/01/2021 | 185,522 | ||||||||
250,000 | 6.88%, 07/01/2025 | 284,728 | ||||||||
|
| |||||||||
1,645,337 | ||||||||||
|
| |||||||||
Utility - Electric - 0.1% | ||||||||||
477,000 | Municipal Electric Auth, GA 6.64%, 04/01/2057 | 683,203 | ||||||||
|
| |||||||||
Total Municipal Bonds | $ | 6,251,355 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 4.2%(12) | ||||||||||
Advertising - 0.0% | ||||||||||
284,288 | Clear Channel Outdoor Holdings, Inc. 5.15%, 08/21/2026, 1 mo. USD LIBOR + 3.500% | 285,086 | ||||||||
|
| |||||||||
Aerospace/Defense - 0.1% | ||||||||||
100,000 | Maverick Purchaser Sub LLC 0.00%, 01/22/2027(13) | 100,125 | ||||||||
TransDigm, Inc. | ||||||||||
148,489 | 4.15%, 06/09/2023, 1 mo. USD LIBOR + 2.500% | 148,303 |
The accompanying notes are an integral part of these financial statements.
| 34 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.2%(12) - (continued) | ||||||||||
Aerospace/Defense - 0.1% - (continued) | ||||||||||
$ | 320,113 | 4.15%, 05/30/2025, 1 mo. USD LIBOR + 2.500% | $ | 319,793 | ||||||
|
| |||||||||
568,221 | ||||||||||
|
| |||||||||
Airlines - 0.0% | ||||||||||
97,938 | American Airlines, Inc. 3.43%, 10/12/2021, 1 mo. USD LIBOR + 2.000% | 96,591 | ||||||||
150,000 | Kestrel Bidco, Inc. 4.68%, 12/11/2026, 1 mo. USD LIBOR + 3.000% | 150,834 | ||||||||
|
| |||||||||
247,425 | ||||||||||
|
| |||||||||
Auto Manufacturers - 0.0% | ||||||||||
98,000 | Navistar International Corp. 5.17%, 11/06/2024, 1 mo. USD LIBOR + 3.500% | 98,073 | ||||||||
|
| |||||||||
Auto Parts & Equipment - 0.1% | ||||||||||
134,325 | Adient U.S. LLC 6.18%, 05/06/2024, 1 mo. USD LIBOR + 4.250% | 134,382 | ||||||||
110,541 | Altra Industrial Motion Corp. 3.65%, 10/01/2025, 1 mo. USD LIBOR + 2.000% | 110,762 | ||||||||
234,413 | Panther BF Aggregator L.P. 5.16%, 04/30/2026, 1 mo. USD LIBOR + 3.500% | 235,760 | ||||||||
|
| |||||||||
480,904 | ||||||||||
|
| |||||||||
Chemicals - 0.1% | ||||||||||
168,476 | Cabot Microelectronics Corp. 3.69%, 11/17/2025, 1 mo. USD LIBOR + 2.000% | 169,213 | ||||||||
183,153 | Element Solutions, Inc. 3.65%, 01/31/2026, 1 mo. USD LIBOR + 2.000% | 183,783 | ||||||||
99,500 | Hexion, Inc. 5.41%, 07/01/2026, 1 mo. USD LIBOR + 3.500% | 100,122 | ||||||||
98,750 | LTI Holdings, Inc. 5.15%, 09/06/2025, 1 mo. USD LIBOR + 3.500% | 90,542 | ||||||||
217,610 | Starfruit Finco B.V. 4.70%, 10/01/2025, 1 mo. USD LIBOR + 3.250% | 217,338 | ||||||||
100,000 | Univar, Inc. 3.65%, 07/01/2026 | 100,354 | ||||||||
|
| |||||||||
861,352 | ||||||||||
|
| |||||||||
Coal - 0.0% | ||||||||||
126,657 | Foresight Energy LLC 7.66%, 03/28/2022, 3 mo. USD LIBOR + 5.750% | 42,970 | ||||||||
|
| |||||||||
Commercial Services - 0.4% | ||||||||||
113,636 | Allied Universal Holdco LLC 5.90%, 07/10/2026, 3 mo. USD LIBOR + 4.250% | 114,157 | ||||||||
346,482 | Blackhawk Network Holdings, Inc. 4.65%, 06/15/2025, 1 mo. USD LIBOR + 3.000% | 346,420 | ||||||||
395,980 | BrightView Landscapes LLC 4.19%, 08/15/2025, 1 mo. USD LIBOR + 2.500% | 397,219 | ||||||||
200,000 | Dun & Bradstreet Corp. 6.66%, 02/06/2026, 1 mo. USD LIBOR + 5.000% | 201,050 | ||||||||
68,707 | Garda World Security Corp. 6.66%, 10/30/2026, 1 mo. USD LIBOR + 4.750% | 69,093 | ||||||||
EUR | 115,000 | LGC Group Holdings Ltd. 0.00%, 01/22/2027(13) | 127,730 | |||||||
$ | 250,000 | Quikrete Holdings, Inc. 4.15%, 02/01/2027, 1 mo. USD LIBOR + 2.750% | 250,000 | |||||||
197,468 | Tempo Acquisition LLC 4.40%, 05/01/2024, 1 mo. USD LIBOR + 3.000% | 197,901 | ||||||||
240,958 | Trans Union LLC 3.40%, 11/16/2026 | 241,691 | ||||||||
EUR | 200,000 | Verisure Holding AB 3.50%, 10/21/2022, 3 mo. EURIBOR + 3.500% | 222,832 | |||||||
$ | 219,754 | Weight Watchers International, Inc. 6.72%, 11/29/2024, 3 mo. USD LIBOR + 4.750% | 219,618 | |||||||
|
| |||||||||
2,387,711 | ||||||||||
|
| |||||||||
Construction Materials - 0.1% | ||||||||||
207,900 | Brookfield WEC Holdings, Inc. 4.65%, 08/01/2025 | 208,224 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.2%(12) - (continued) | ||||||||||
Construction Materials - 0.1% - (continued) | ||||||||||
$ | 365,363 | NCI Building Systems, Inc. 5.43%, 04/12/2025, 3 mo. USD LIBOR + 3.750% | $ | 363,767 | ||||||
|
| |||||||||
571,991 | ||||||||||
|
| |||||||||
Distribution/Wholesale - 0.1% | ||||||||||
272,318 | American Builders & Contractors Supply Co., Inc. 3.65%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | 272,486 | ||||||||
370,538 | Beacon Roofing Supply, Inc. 3.90%, 01/02/2025, 1 mo. USD LIBOR + 2.250% | 370,538 | ||||||||
|
| |||||||||
643,024 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.2% | ||||||||||
424,721 | AlixPartners LLP 4.15%, 04/04/2024, 3 mo. USD LIBOR + 2.750% | 424,457 | ||||||||
287,729 | Crown Finance U.S., Inc. 3.90%, 02/28/2025, 1 mo. USD LIBOR + 2.250% | 284,851 | ||||||||
188,100 | Financial & Risk U.S. Holdings, Inc. 4.90%, 10/01/2025, 1 mo. USD LIBOR + 3.750% | 189,847 | ||||||||
99,486 | UFC Holdings LLC 4.90%, 04/29/2026, 1 mo. USD LIBOR + 3.250% | 99,719 | ||||||||
102,218 | Victory Capital Holdings, Inc. 4.10%, 07/01/2026 | 102,832 | ||||||||
|
| |||||||||
1,101,706 | ||||||||||
|
| |||||||||
Electronics - 0.0% | ||||||||||
145,000 | Pitney Bowes, Inc. 0.00%, 01/17/2025, 1 mo. USD LIBOR + 4.000%(13) | 144,094 | ||||||||
|
| |||||||||
Energy - Alternate Sources - 0.0% | ||||||||||
296,241 | BCP Renaissance Parent LLC 5.45%, 10/31/2024, 3 mo. USD LIBOR + 3.500% | 267,727 | ||||||||
|
| |||||||||
Engineering & Construction - 0.0% | ||||||||||
249,905 | Brand Energy & Infrastructure Services, Inc. 6.09%, 06/21/2024, 3 mo. USD LIBOR + 4.250% | 249,488 | ||||||||
|
| |||||||||
Food - 0.1% | ||||||||||
Froneri International plc | ||||||||||
EUR | 120,000 | 0.00%, 01/29/2027(13) | 133,140 | |||||||
$ | 160,000 | 0.00%, 01/31/2027(13) | 160,400 | |||||||
175,000 | Hostess Brands LLC 4.07%, 08/03/2025, 1 mo. USD LIBOR + 2.250% | 175,054 | ||||||||
128,367 | IRB Holding Corp. 5.14%, 02/05/2025, 1 mo. USD LIBOR + 3.250% | 128,544 | ||||||||
124,688 | U.S. Foods, Inc. 3.65%, 09/13/2026, 1 mo. USD LIBOR + 2.000% | 125,084 | ||||||||
|
| |||||||||
722,222 | ||||||||||
|
| |||||||||
Food Service - 0.0% | ||||||||||
275,000 | Aramark Services, Inc. 3.40%, 03/11/2025, 3 mo. USD LIBOR + 1.750% | 275,756 | ||||||||
|
| |||||||||
Gas - 0.1% | ||||||||||
297,750 | Messer Industries GmbH 4.45%, 03/01/2026, 1 mo. USD LIBOR + 2.500% | 297,750 | ||||||||
|
| |||||||||
Healthcare - Products - 0.1% | ||||||||||
90,178 | Avantor, Inc. 3.90%, 11/21/2024, 3 mo. USD LIBOR +3.000% | 90,667 | ||||||||
EUR | 100,000 | Grifols S.A. 2.25%, 11/15/2027 | 111,619 | |||||||
$ | 200,205 | Parexel International Corp. 4.40%, 09/27/2024, 1 mo. USD LIBOR + 2.750% | 197,077 | |||||||
|
| |||||||||
399,363 | ||||||||||
|
| |||||||||
Healthcare - Services - 0.3% | ||||||||||
99,750 | Emerald TopCo, Inc. 5.15%, 07/24/2026, 1 mo. USD LIBOR + 3.500% | 100,093 | ||||||||
297,000 | Envision Healthcare Corp. 5.40%, 10/10/2025, 1 mo. USD LIBOR + 3.750% | 249,088 |
The accompanying notes are an integral part of these financial statements.
| 35 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.2%(12) - (continued) | ||||||||||
Healthcare - Services - 0.3% - (continued) | ||||||||||
$ | 255,979 | Jaguar Holding Co. 4.15%, 08/18/2022, 3 mo. USD LIBOR + 2.500% | $ | 255,731 | ||||||
MED ParentCo L.P. | ||||||||||
22,884 | 4.60%, 08/31/2026, 1 mo. USD LIBOR + 4.250%(14) | 22,907 | ||||||||
91,462 | 5.90%, 08/31/2026, 1 mo. USD LIBOR + 4.250% | 91,558 | ||||||||
361,952 | MPH Acquisition Holdings LLC 4.70%, 06/07/2023, 3 mo. USD LIBOR + 2.750% | 355,347 | ||||||||
130,313 | Syneos Health, Inc. 3.65%, 08/01/2024, 1 mo. USD LIBOR + 2.000% | 130,639 | ||||||||
267,300 | Universal Health Services, Inc. 3.40%, 10/31/2025, 1 mo. USD LIBOR + 1.750% | 269,083 | ||||||||
400,000 | Zelis Healthcare Corp. 6.40%, 09/30/2026, 1 mo. USD LIBOR + 4.750% | 402,752 | ||||||||
|
| |||||||||
1,877,198 | ||||||||||
|
| |||||||||
Household Products - 0.1% | ||||||||||
276,151 | Diamond (BC) B.V. 4.78%, 09/06/2024, 2 mo. USD LIBOR + 3.000% | 267,867 | ||||||||
120,000 | Reynolds Consumer Products, Inc. 0.00%, 01/29/2027(13) | 120,500 | ||||||||
|
| |||||||||
388,367 | ||||||||||
|
| |||||||||
Insurance - 0.3% | ||||||||||
Asurion LLC | ||||||||||
397,935 | 4.65%, 08/04/2022, 1 mo. USD LIBOR + 3.000% | 398,532 | ||||||||
304,000 | 8.15%, 08/04/2025, 1 mo. USD LIBOR + 6.500% | 308,511 | ||||||||
370,301 | Hub International Ltd. 4.55%, 04/25/2025, 2 mo. USD LIBOR + 3.000% | 369,168 | ||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||
425,700 | 4.90%, 12/31/2025, 1 mo. USD LIBOR + 3.250% | 425,547 | ||||||||
199,000 | 5.65%, 09/03/2026, 1 mo. USD LIBOR + 4.000% | 200,120 | ||||||||
|
| |||||||||
1,701,878 | ||||||||||
|
| |||||||||
IT Services - 0.0% | ||||||||||
100,000 | Sophos Group plc 0.00%, 01/15/2027(13) | 100,063 | ||||||||
|
| |||||||||
Leisure Time - 0.1% | ||||||||||
276,151 | Caesars Resort Collection LLC 4.40%, 12/23/2024, 1 mo. USD LIBOR + 2.750% | 275,867 | ||||||||
425,000 | Delta (LUX) S.a.r.l. 4.15%, 02/01/2024, 1 mo. USD LIBOR + 2.500% | 424,205 | ||||||||
247,500 | Penn National Gaming, Inc. 3.90%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | 248,324 | ||||||||
|
| |||||||||
948,396 | ||||||||||
|
| |||||||||
Lodging - 0.2% | ||||||||||
237,720 | Boyd Gaming Corp. 3.81%, 09/15/2023, 1 week USD LIBOR + 2.250% | 238,241 | ||||||||
351,494 | Caesars Entertainment Operating Co. 3.65%, 10/07/2024, 1 mo. USD LIBOR + 2.000% | 351,740 | ||||||||
114,033 | Hilton Worldwide Finance LLC 3.41%, 06/22/2026, 1 mo. USD LIBOR + 1.750% | 114,432 | ||||||||
Station Casinos LLC | ||||||||||
175,000 | 0.00%, 01/31/2027 | 175,000 | ||||||||
197,931 | 4.15%, 06/08/2023, 1 mo. USD LIBOR + 2.500% | 197,881 | ||||||||
|
| |||||||||
1,077,294 | ||||||||||
|
| |||||||||
Media - 0.5% | ||||||||||
148,106 | Altice France S.A. 5.36%, 01/31/2026, 3 mo. USD LIBOR + 3.688% | 147,366 | ||||||||
147,744 | AVSC Holding Corp. 4.99%, 03/03/2025, 3 mo. USD LIBOR + 3.250% | 147,006 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.2%(12) - (continued) | ||||||||||
Media - 0.5% - (continued) | ||||||||||
$ | 384,138 | Charter Communications Operating LLC 3.40%, 02/01/2027, 3 mo. USD LIBOR + 1.750% | $ | 385,509 | ||||||
347,362 | CSC Holdings LLC 4.18%, 04/15/2027, 1 mo. USD LIBOR + 2.500% | 348,123 | ||||||||
237,900 | Gray Television, Inc. 4.28%, 01/02/2026, 1 mo. ICE LIBOR + 2.500% | 238,792 | ||||||||
500,000 | Houghton Mifflin Harcourt Publishing Co. 7.91%, 11/22/2024 | 501,665 | ||||||||
325,452 | ION Media Networks, Inc. 4.69%, 12/18/2024, 1 mo. USD LIBOR + 3.000% | 325,722 | ||||||||
296,977 | MTN Infrastructure TopCo, Inc. 4.65%, 11/15/2024, 1 mo. USD LIBOR + 3.000% | 297,102 | ||||||||
164,588 | Nexstar Broadcasting, Inc. 4.53%, 09/18/2026, 1 mo. USD LIBOR + 2.750% | 165,246 | ||||||||
245,000 | Terrier Media Buyer, Inc. 6.15%, 12/17/2026 | 246,776 | ||||||||
242,616 | Web.com Group, Inc. 5.41%, 10/10/2025, 3 mo. USD LIBOR + 3.750% | 242,226 | ||||||||
99,736 | William Morris Endeavor Entertainment LLC 4.40%, 05/18/2025, 1 mo. USD LIBOR + 2.750% | 99,212 | ||||||||
150,000 | Ziggo Financing Partnership 0.00%, 04/30/2028(13) | 149,812 | ||||||||
|
| |||||||||
3,294,557 | ||||||||||
|
| |||||||||
Metal Fabricate/Hardware - 0.0% | ||||||||||
107,759 | Rexnord LLC 3.41%, 08/21/2024, 1 mo. USD LIBOR + 1.750% | 108,163 | ||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.0% | ||||||||||
296,463 | USI, Inc. 4.95%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 295,203 | ||||||||
|
| |||||||||
Oil & Gas - 0.0% | ||||||||||
75,000 | California Resources Corp. 6.40%, 12/31/2022, 1 mo. USD LIBOR + 4.750% | 67,664 | ||||||||
|
| |||||||||
Oil & Gas Services - 0.0% | ||||||||||
109,450 | Lower Cadence Holdings LLC 5.65%, 05/22/2026, 1 mo. USD LIBOR + 4.000% | 106,646 | ||||||||
|
| |||||||||
Packaging & Containers - 0.2% | ||||||||||
Berry Global, Inc. |
| |||||||||
275,000 | 3.68%, 10/01/2022, 3 mo. USD LIBOR + 2.000% | 276,004 | ||||||||
159,200 | 3.78%, 07/01/2026 | 159,781 | ||||||||
250,937 | Flex Acquisition Co., Inc. 4.91%, 12/29/2023, 3 mo. USD LIBOR + 3.000% | 247,592 | ||||||||
320,051 | Reynolds Group Holdings, Inc. 4.40%, 02/05/2023, 1 mo. USD LIBOR + 2.750% | 320,307 | ||||||||
|
| |||||||||
1,003,684 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.2% | ||||||||||
Bausch Health Companies, Inc. |
| |||||||||
195,500 | 4.42%, 11/27/2025, 1 mo. USD LIBOR + 2.750% | 196,071 | ||||||||
113,016 | 4.67%, 06/02/2025, 1 mo. USD LIBOR + 3.000% | 113,411 | ||||||||
99,250 | Catalent Pharma Solutions, Inc. 3.90%, 05/18/2026, 1 mo. USD LIBOR + 2.250% | 99,622 | ||||||||
246,835 | Endo Luxembourg Finance Co., S.a r.l. 5.94%, 04/29/2024, 1 mo. USD LIBOR + 4.250% | 237,579 | ||||||||
200,000 | IQVIA, Inc. 3.70%, 03/07/2024, 3 mo. USD LIBOR + 2.000% | 200,792 | ||||||||
177,750 | NVA Holdings, Inc. 6.50%, 02/02/2025, 3 mo. USD LIBOR + 2.750% | 177,528 | ||||||||
330,000 | Sunshine Luxembourg S.a.r.l. 6.20%, 10/01/2026, 1 mo. USD LIBOR + 4.250% | 331,192 | ||||||||
|
| |||||||||
1,356,195 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 36 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.2%(12) - (continued) | ||||||||||
Real Estate - 0.0% | ||||||||||
$ | 130,000 | VICI Properties LLC 3.41%, 12/20/2024, 1 mo. USD LIBOR + 2.000% | $ | 130,017 | ||||||
|
| |||||||||
Retail - 0.2% | ||||||||||
250,233 | B.C. Unlimited Liability Co. 3.40%, 11/19/2026 | 249,795 | ||||||||
266,591 | Bass Pro Group LLC 6.65%, 09/25/2024, 1 mo. USD LIBOR + 5.000% | 265,370 | ||||||||
198,000 | Belron Finance U.S. LLC 4.15%, 11/13/2025, 1 mo. USD LIBOR + 2.250% | 198,247 | ||||||||
193,843 | Harbor Freight Tools USA, Inc. 4.15%, 08/18/2023, 1 mo. USD LIBOR + 2.500% | 192,165 | ||||||||
228,198 | Staples, Inc. 6.78%, 04/16/2026, 3 mo. USD LIBOR + 5.000% | 223,863 | ||||||||
226,731 | U.S. Foods, Inc. 3.40%, 06/27/2023, 1 mo. USD LIBOR + 2.000% | 227,155 | ||||||||
|
| |||||||||
1,356,595 | ||||||||||
|
| |||||||||
Semiconductors - 0.0% | ||||||||||
127,142 | Microchip Technology, Inc. 3.65%, 05/29/2025, 1 mo. USD LIBOR + 2.000% | 127,433 | ||||||||
|
| |||||||||
Software - 0.4% | ||||||||||
100,000 | AI Convoy (Luxembourg) S.a.r.l. 0.00%, 01/29/2027(13) | 100,000 | ||||||||
177,353 | Change Healthcare Holdings LLC 4.15%, 03/01/2024, 1 mo. USD LIBOR + 2.500% | 177,324 | ||||||||
190,000 | DCert Buyer, Inc. 5.65%, 10/16/2026, 1 mo. USD LIBOR + 4.000% | 190,080 | ||||||||
223,702 | Go Daddy Operating Co. LLC 3.40%, 02/15/2024, 1 mo. USD LIBOR + 1.750% | 223,981 | ||||||||
320,125 | Hyland Software, Inc. 5.15%, 07/01/2024, 1 mo. USD LIBOR + 3.250% | 321,274 | ||||||||
99,401 | Infor U.S., Inc. 4.70%, 02/01/2022, 1 mo. USD LIBOR + 2.750% | 99,464 | ||||||||
34,170 | MA FinanceCo. LLC 4.15%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 33,923 | ||||||||
265,000 | Playtika Holding Corp. 7.65%, 12/10/2024 | 267,507 | ||||||||
230,754 | Seattle Spinco, Inc. 4.15%, 06/21/2024, 1 mo. USD LIBOR + 2.500% | 229,081 | ||||||||
50,766 | SS&C Technologies Holdings Europe S.a.r.l. 3.90%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 50,756 | ||||||||
169,880 | SS&C Technologies, Inc. 3.40%, 04/16/2025, 1 mo. USD LIBOR + 2.250% | 169,765 | ||||||||
170,000 | Telenet Financing USD LLC 0.00%, 04/24/2028(13) | 169,522 | ||||||||
99,750 | Ultimate Software Group, Inc. 5.40%, 05/04/2026, 1 mo. USD LIBOR + 3.750% | 100,108 | ||||||||
271,541 | WEX, Inc. 3.90%, 05/15/2026, 1 mo. USD LIBOR + 2.250% | 272,391 | ||||||||
|
| |||||||||
2,405,176 | ||||||||||
|
| |||||||||
Telecommunications - 0.2% | ||||||||||
210,000 | CenturyLink, Inc. 0.00%, 03/15/2027(13) | 209,672 | ||||||||
100,000 | Liberty Latin America Ltd. 6.68%, 10/22/2026, 1 mo. USD LIBOR + 5.000% | 101,125 | ||||||||
505,943 | Sprint Communications, Inc. 4.19%, 02/02/2024, 1 mo. USD LIBOR + 2.500% | 494,559 | ||||||||
189,138 | Univision Communications, Inc. 4.40%, 03/15/2024, 1 mo. USD LIBOR + 2.750% | 186,751 | ||||||||
|
| |||||||||
992,107 | ||||||||||
|
| |||||||||
Textiles - 0.0% | ||||||||||
247,500 | ASP Unifrax Holdings, Inc. 5.70%, 12/12/2025, 3 mo. USD LIBOR + 3.750% | 231,979 | ||||||||
|
| |||||||||
Transportation - 0.1% | ||||||||||
76,486 | B.C. Unlimited Liability Co. 5.95%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | 76,805 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 4.2%(12) - (continued) | ||||||||||
Transportation - 0.1% - (continued) | ||||||||||
$ | 142,264 | Dynasty Acquisition Co., Inc. 5.95%, 04/06/2026, 1 mo. USD LIBOR + 4.000% | $ | 142,858 | ||||||
373,752 | Savage Enterprises LLC 5.67%, 08/01/2025, 1 mo. USD LIBOR + 4.000% | 377,411 | ||||||||
|
| |||||||||
597,074 | ||||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 27,810,552 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 48.4% | ||||||||||
Mortgage-Backed Agencies - 48.4% | ||||||||||
FHLMC - 8.3% | ||||||||||
3,118,295 | 0.64%, 01/25/2034(1)(3) | $ | 164,613 | |||||||
675,868 | 1.75%, 10/15/2042 | 670,503 | ||||||||
59,701 | 2.11%, 07/25/2030, 1 mo. USD LIBOR + 0.450%(4) | 59,654 | ||||||||
484,181 | 2.41%, 03/25/2030, 1 mo. USD LIBOR + 0.750%(4) | 484,419 | ||||||||
122,625 | 2.86%, 10/25/2029, 1 mo. USD LIBOR + 1.200%(4) | 123,041 | ||||||||
761,085 | 2.96%, 03/25/2029, 1 mo. USD LIBOR + 1.300%(4) | 762,641 | ||||||||
8,957 | 3.00%, 05/15/2041 | 9,356 | ||||||||
270,858 | 3.00%, 07/01/2047 | 279,761 | ||||||||
889,803 | 3.00%, 01/01/2048 | 915,428 | ||||||||
6,517,353 | 3.00%, 07/01/2048 | 6,693,876 | ||||||||
20,734,708 | 3.00%, 01/01/2050 | 21,206,491 | ||||||||
585,000 | 3.46%, 07/25/2030, 1 mo. USD LIBOR + 1.800%(4) | 588,898 | ||||||||
1,680,674 | 3.50%, 05/15/2034(1) | 171,333 | ||||||||
2,170,435 | 3.50%, 10/15/2042 | 2,308,196 | ||||||||
584,591 | 3.50%, 01/01/2048 | 608,835 | ||||||||
22,457 | 3.50%, 03/01/2048 | 23,530 | ||||||||
789,099 | 3.50%, 06/01/2048 | 819,350 | ||||||||
650,000 | 3.51%, 09/25/2049, 1 mo. USD LIBOR + 1.850%(2)(4) | 652,848 | ||||||||
945,000 | 3.71%, 07/25/2049, 1 mo. USD LIBOR + 2.050%(2)(4) | 953,024 | ||||||||
869,981 | 3.86%, 02/25/2024, 1 mo. USD LIBOR + 2.200%(4) | 879,512 | ||||||||
278,408 | 4.00%, 11/15/2040 | 310,075 | ||||||||
1,067,723 | 4.00%, 08/01/2048 | 1,123,797 | ||||||||
1,677,550 | 4.00%, 12/01/2048 | 1,752,913 | ||||||||
3,233,063 | 4.00%, 12/01/2049 | 3,412,375 | ||||||||
1,575,000 | 4.01%, 02/25/2049, 1 mo. USD LIBOR + 2.350%(2)(4) | 1,595,583 | ||||||||
297,477 | 4.11%, 03/25/2049, 1 mo. USD LIBOR + 2.450%(2)(4) | 301,834 | ||||||||
534,885 | 4.56%, 07/25/2028, 1 mo. USD LIBOR + 2.900%(4) | 537,001 | ||||||||
1,220,138 | 5.00%, 09/01/2031 | 1,307,268 | ||||||||
348,593 | 5.00%, 02/15/2048(1) | 67,567 | ||||||||
211,004 | 5.00%, 09/01/2048 | 226,235 | ||||||||
176,256 | 5.00%, 10/01/2048 | 188,999 | ||||||||
176,743 | 5.00%, 12/01/2048 | 189,300 | ||||||||
148,884 | 5.00%, 02/01/2049 | 159,470 | ||||||||
20,606 | 5.50%, 02/01/2029 | 22,171 | ||||||||
699,687 | 5.50%, 07/15/2034(1) | 151,920 | ||||||||
22,150 | 5.50%, 03/01/2035 | 24,985 | ||||||||
21,174 | 5.50%, 12/01/2038 | 22,757 | ||||||||
887,036 | 5.50%, 06/15/2046(1) | 191,743 | ||||||||
809,929 | 5.50%, 10/15/2046(1) | 175,472 | ||||||||
1,594,224 | 5.50%, 02/01/2049 | 1,716,446 | ||||||||
271,952 | 5.50%, 03/01/2049 | 292,989 | ||||||||
1,186,928 | 5.91%, 11/25/2023, 1 mo. USD LIBOR + 4.250%(4) | 1,287,029 |
The accompanying notes are an integral part of these financial statements.
| 37 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 48.4% - (continued) | ||||||||||
Mortgage-Backed Agencies - 48.4% - (continued) | ||||||||||
FHLMC - 8.3% - (continued) | ||||||||||
$ | 525,000 | 6.81%, 11/25/2028, 1 mo. USD LIBOR + 5.150%(4) | $ | 579,686 | ||||||
800,000 | 7.21%, 07/25/2028, 1 mo. USD LIBOR + 5.550%(4) | 887,372 | ||||||||
|
| |||||||||
54,900,296 | ||||||||||
|
| |||||||||
FNMA – 6.5% | ||||||||||
2,675,002 | 0.35%, 01/25/2030(1)(3) | 69,131 | ||||||||
6,843,670 | 1.33%, 06/25/2034(1)(3) | 875,721 | ||||||||
3,369,086 | 1.57%, 05/25/2029(1)(3) | 353,467 | ||||||||
7,925 | 2.00%, 09/25/2041 | 7,957 | ||||||||
15,700 | 2.00%, 12/25/2041 | 15,751 | ||||||||
938,604 | 2.00%, 03/25/2044 | 940,666 | ||||||||
999,403 | 2.00%, 05/25/2044 | 1,003,308 | ||||||||
15,098 | 2.50%, 12/25/2041 | 15,368 | ||||||||
18,595 | 2.50%, 03/25/2046 | 18,971 | ||||||||
370,000 | 2.88%, 11/01/2027 | 396,537 | ||||||||
255,000 | 3.00%, 07/01/2027 | 274,954 | ||||||||
330,000 | 3.00%, 12/01/2029 | 358,465 | ||||||||
1,063,580 | 3.00%, 08/25/2042 | 1,100,572 | ||||||||
1,407,828 | 3.00%, 11/25/2042 | 1,466,671 | ||||||||
21,067 | 3.00%, 02/25/2043 | 21,634 | ||||||||
138,536 | 3.00%, 01/25/2046 | 144,543 | ||||||||
2,203,067 | 3.00%, 02/25/2047 | 2,300,362 | ||||||||
195,681 | 3.00%, 05/25/2047 | 201,434 | ||||||||
1,430,019 | 3.00%, 09/25/2047 | 1,482,395 | ||||||||
826,160 | 3.00%, 06/25/2048 | 857,441 | ||||||||
1,218,061 | 3.00%, 08/25/2049 | 1,266,560 | ||||||||
55,796 | 3.00%, 12/25/2054 | 57,561 | ||||||||
200,000 | 3.10%, 02/01/2027 | 215,130 | ||||||||
504,444 | 3.10%, 12/01/2027 | 543,959 | ||||||||
345,000 | 3.16%, 08/01/2027 | 375,188 | ||||||||
600,000 | 3.18%, 02/01/2027 | 649,792 | ||||||||
329,480 | 3.22%, 07/01/2032 | 359,810 | ||||||||
1,352,213 | 3.50%, 06/25/2033(1) | 119,499 | ||||||||
1,281,976 | 3.50%, 08/25/2033(1) | 161,524 | ||||||||
1,210,564 | 3.50%, 04/25/2034(1) | 102,242 | ||||||||
9,399 | 3.50%, 05/25/2042 | 9,898 | ||||||||
534,954 | 3.50%, 07/25/2044 | 562,754 | ||||||||
20,394 | 3.50%, 03/25/2045 | 20,913 | ||||||||
1,554,658 | 3.50%, 01/01/2048 | 1,619,726 | ||||||||
162,730 | 3.50%, 02/25/2048 | 170,037 | ||||||||
349,401 | 3.50%, 06/01/2048 | 362,651 | ||||||||
656,592 | 3.50%, 03/25/2049 | 685,558 | ||||||||
1,274,170 | 3.50%, 04/25/2049 | 1,351,531 | ||||||||
1,262,762 | 3.50%, 05/25/2053 | 1,329,961 | ||||||||
717,115 | 3.50%, 07/25/2054 | 745,218 | ||||||||
1,458,848 | 3.50%, 05/01/2056 | 1,543,819 | ||||||||
645,944 | 3.50%, 05/25/2056 | 683,367 | ||||||||
418,213 | 3.50%, 10/25/2056 | 442,703 | ||||||||
1,404,740 | 3.50%, 11/25/2057 | 1,487,015 | ||||||||
2,171,307 | 3.50%, 05/01/2058 | 2,293,504 | ||||||||
185,077 | 4.00%, 08/01/2038 | 198,337 | ||||||||
948,149 | 4.00%, 06/01/2041 | 1,014,043 | ||||||||
2,474,035 | 4.00%, 10/01/2047 | 2,614,977 | ||||||||
4,389,987 | 4.00%, 07/01/2048 | 4,596,411 | ||||||||
2,437,841 | 4.00%, 02/01/2049 | 2,553,293 | ||||||||
820,483 | 4.50%, 09/25/2048(1) | 160,150 | ||||||||
1,939,215 | 4.50%, 01/01/2051 | 2,126,157 | ||||||||
706,274 | 5.00%, 06/25/2048(1) | 139,342 | ||||||||
792,400 | 5.50%, 08/25/2038(1) | 170,794 | ||||||||
741,344 | 5.50%, 04/25/2044(1) | 157,975 | ||||||||
559,872 | 6.50%, 03/25/2045(1) | 150,806 | ||||||||
|
| |||||||||
42,947,553 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 48.4% - (CONTINUED) | ||||||||||
Mortgage-Backed Agencies - 48.4% - (continued) | ||||||||||
GNMA - 16.1% | ||||||||||
$ | 369,522 | 1.75%, 09/20/2043 | $ | 369,155 | ||||||
754,407 | 2.00%, 01/20/2042 | 758,320 | ||||||||
310,551 | 2.00%, 06/16/2042 | 312,670 | ||||||||
292,530 | 2.50%, 05/20/2040 | 297,934 | ||||||||
364,249 | 3.00%, 10/20/2047 | 373,531 | ||||||||
8,500,000 | 3.00%, 01/20/2050 | 8,748,058 | ||||||||
57,200,000 | 3.00%, 02/01/2050(15) | 58,826,625 | ||||||||
733,064 | 3.50%, 11/20/2042 | 770,961 | ||||||||
588,637 | 3.50%, 03/20/2048 | 612,152 | ||||||||
2,190,563 | 3.50%, 11/20/2049 | 2,269,875 | ||||||||
10,471,000 | 3.50%, 02/01/2050(15) | 10,801,491 | ||||||||
4,304,000 | 3.50%, 03/01/2050(15) | 4,435,810 | ||||||||
773,214 | 4.00%, 09/20/2042(1) | 101,531 | ||||||||
590,170 | 4.00%, 12/20/2044(1) | 95,008 | ||||||||
4,668,635 | 4.00%, 07/20/2049 | 4,846,817 | ||||||||
1,175,188 | 4.00%, 08/20/2049 | 1,224,261 | ||||||||
5,224,000 | 4.00%, 02/01/2050(15) | 5,414,186 | ||||||||
1,578,345 | 4.50%, 06/16/2043(1) | 324,646 | ||||||||
1,317,654 | 4.50%, 12/16/2046 | 181,279 | ||||||||
1,052,707 | 4.50%, 05/20/2048(1) | 161,519 | ||||||||
648,460 | 4.50%, 06/20/2048(1) | 124,975 | ||||||||
2,310,000 | 4.50%, 02/01/2050(15) | 2,426,673 | ||||||||
620,965 | 5.00%, 12/20/2043(1) | 150,854 | ||||||||
1,231,261 | 5.00%, 07/16/2044(1) | 213,383 | ||||||||
679,150 | 5.00%, 11/16/2046(1) | 135,465 | ||||||||
637,014 | 5.00%, 06/16/2047(1) | 126,015 | ||||||||
770,207 | 5.00%, 11/16/2047(1) | 132,144 | ||||||||
2,065,000 | 5.00%, 02/01/2050(15) | 2,185,915 | ||||||||
550,999 | 5.50%, 02/20/2044(1) | 90,846 | ||||||||
447,569 | 5.50%, 09/15/2045 | 495,889 | ||||||||
620,319 | 5.50%, 09/20/2045(1) | 142,178 | ||||||||
|
| |||||||||
107,150,166 | ||||||||||
|
| |||||||||
UMBS – 17.5% | ||||||||||
8,900,000 | 2.50%, 02/15/2035(15) | 9,059,922 | ||||||||
5,500,000 | 2.50%, 02/12/2050(15) | 5,543,184 | ||||||||
7,143,000 | 3.00%, 02/15/2035(15) | 7,358,406 | ||||||||
26,275,000 | 3.00%, 02/15/2050(15) | 26,870,530 | ||||||||
31,889,000 | 3.50%, 02/15/2050(15) | 32,917,918 | ||||||||
13,582,000 | 4.00%, 02/15/2050(15) | 14,190,007 | ||||||||
13,845,000 | 4.50%, 02/12/2050(15) | 14,648,118 | ||||||||
5,465,000 | 5.00%, 02/12/2050(15) | 5,855,449 | ||||||||
|
| |||||||||
116,443,534 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 321,441,549 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 23.6% | ||||||||||
U.S. Treasury Securities - 23.6% | ||||||||||
U.S. Treasury Bonds - 11.3% | ||||||||||
$ | 1,053,481 | 1.00%, 02/15/2048(16) | $ | 1,256,245 | ||||||
3,505,000 | 2.75%, 08/15/2047 | 4,046,495 | ||||||||
700,000 | 3.00%, 02/15/2047 | 844,211 | ||||||||
360,000 | 3.00%, 08/15/2048 | 436,978 | ||||||||
2,530,000 | 3.13%, 02/15/2043 | 3,058,631 | ||||||||
2,645,000 | 3.13%, 08/15/2044 | 3,210,575 | ||||||||
6,000,000 | 3.13%, 05/15/2048 | 7,436,016 | ||||||||
8,925,000 | 3.63%, 08/15/2043 | 11,654,446 | ||||||||
23,825,000 | 3.63%, 02/15/2044(17)(18) | 31,174,454 | ||||||||
5,543,000 | 3.75%, 11/15/2043 | 7,379,552 | ||||||||
3,475,000 | 5.50%, 08/15/2028 | 4,598,131 | ||||||||
|
| |||||||||
75,095,734 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 38 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT SECURITIES - 23.6% - (continued) | ||||||||||
U.S. Treasury Securities - 23.6% - (continued) | ||||||||||
U.S. Treasury Notes - 12.3% | ||||||||||
$ | 3,348,796 | 0.38%, 01/15/2027(16) | $ | 3,472,458 | ||||||
974,981 | 0.50%, 01/15/2028(16) | 1,024,344 | ||||||||
4,427,384 | 0.63%, 01/15/2026(16) | 4,639,645 | ||||||||
6,875,603 | 0.75%, 07/15/2028(16) | 7,415,150 | ||||||||
3,050,857 | 0.88%, 01/15/2029(16) | 3,325,456 | ||||||||
9,375,000 | 2.25%, 12/31/2023 | 9,708,252 | ||||||||
6,300,000 | 2.38%, 08/15/2024 | 6,589,652 | ||||||||
2,670,000 | 2.38%, 05/15/2029 | 2,869,937 | ||||||||
6,020,000 | 2.63%, 02/15/2029 | 6,590,724 | ||||||||
5,100,000 | 2.75%, 02/15/2028 | 5,596,254 | ||||||||
6,500,000 | 2.88%, 09/30/2023 | 6,860,801 | ||||||||
13,010,000 | 2.88%, 08/15/2028 | 14,457,871 | ||||||||
8,510,000 | 3.00%, 10/31/2025 | 9,268,587 | ||||||||
|
| |||||||||
81,819,131 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 156,914,865 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 856,460,612 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 2.2% | ||||||||||
Commercial Paper - 0.7% | ||||||||||
250,000 | Bank of China Ltd. 1.99%, 02/28/2020(11) | 249,620 | ||||||||
Bank of Nova Scotia |
| |||||||||
CAD | 240,000 | 1.11%, 02/07/2020(11) | 181,429 | |||||||
135,000 | 1.78%, 03/02/2020(11) | 101,922 | ||||||||
$ | 300,000 | BAT International Finance plc 1.66%, 03/04/2020(11) | 299,510 | |||||||
250,000 | CNPC Finance 2.23%, 03/16/2020(11) | 249,315 | ||||||||
CAD | 250,000 | Enbridge Pipeline, Inc. 1.57%, 02/13/2020(11) | 188,923 | |||||||
$ | 300,000 | Enel Finance America 2.14%, 05/06/2020(11) | 298,539 | |||||||
ENI Finance USA, Inc. |
| |||||||||
250,000 | 0.01%, 02/03/2020(11) | 250,000 | ||||||||
250,000 | 1.62%, 02/14/2020(11) | 249,845 | ||||||||
250,000 | 1.91%, 04/09/2020(11) | 249,115 | ||||||||
CAD | 50,000 | HSBC Bank Canada 1.85%, 04/15/2020(11) | 37,664 | |||||||
Intesa Funding LLC |
| |||||||||
$ | 400,000 | 2.03%, 03/02/2020(11) | 399,312 | |||||||
300,000 | 2.24%, 06/08/2020(11) | 297,768 | ||||||||
Royal Bank of Canada |
| |||||||||
CAD | 480,000 | 0.46%, 02/04/2020(11) | 362,917 | |||||||
500,000 | 0.79%, 02/05/2020(11) | 378,017 | ||||||||
335,000 | 1.86%, 03/26/2020(11) | 252,591 | ||||||||
TransCanada PipeLines Ltd. |
| |||||||||
$ | 250,000 | 1.71%, 02/18/2020(11) | 249,790 | |||||||
500,000 | 1.94%, 03/10/2020(11) | 498,965 | ||||||||
|
| |||||||||
4,795,242 | ||||||||||
|
| |||||||||
Foreign Government Obligations - 0.0% | ||||||||||
CAD | 100,000 | NewfoundlandT-Bill 1.70%, 04/16/2020(11) | 75,339 | |||||||
|
| |||||||||
Other Investment Pools & Funds - 1.3% | ||||||||||
$ | 8,561,779 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 1.49%(19) | 8,561,779 | |||||||
|
| |||||||||
Securities Lending Collateral - 0.2% | ||||||||||
60,875 | Citibank NA DDCA, 1.58%, 2/3/2020(19) | 60,875 | ||||||||
284,013 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 1.50%(19) | 284,013 | ||||||||
239,976 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 1.72%(19) | 239,976 | ||||||||
87,283 | JPMorgan Prime Money Market Fund, 1.69%(19) | 87,283 |
Shares or Principal Amount | Market Value† | |||||||||
SHORT-TERM INVESTMENTS - 2.2% - (continued) | ||||||||||
Securities Lending Collateral - 0.2% - (continued) | ||||||||||
$ | 229,110 | Morgan Stanley Institutional Liquidity Funds, Prime Portfolio, Institutional Class, 1.71%(19) | $ | 229,110 | ||||||
316,331 | State Street Institutional Liquid Reserves Fund, Institutional Class, 1.71%(19) | 316,331 | ||||||||
|
| |||||||||
1,217,588 | ||||||||||
|
| |||||||||
Total Short-Term Investments | $ | 14,649,948 | ||||||||
|
|
Total Investments Excluding Purchased Options | 131.2 | % | $ | 871,110,560 | ||||||||||
Total Purchased Options | 0.1 | % | $ | 555,446 | ||||||||||
|
|
|
| |||||||||||
Total Investments | 131.3 | % | $ | 871,666,006 | ||||||||||
Other Assets & Liabilities | (31.3 | )% | (207,590,752 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 664,075,254 | ||||||||||
|
|
|
|
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 January 31, 2020, the aggregate value of these securities was $114,153,066, representing 17.2% 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. |
(4) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2020. Base lending rates may be subject to a floor or cap. |
(5) | Security is a“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(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 January 31, 2020, the aggregate value of these securities was $17,245,927, representing 2.6% of net assets. |
(7) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2020. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(8) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
The accompanying notes are an integral part of these financial statements.
| 39 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
(9) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(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. Base lending rates may be subject to a floor or cap. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of January 31, 2020. |
(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 January 31, 2020, the aggregate value of the unfunded commitment was $22,907, which rounds to 0.0% of total net assets. |
(15) | Represents or includes a TBA transaction. |
(16) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(17) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of January 31, 2020, the market value of securities pledged was $2,747,801. |
(18) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2020, the market value of securities pledged was $955,188. |
(19) | Current yield as of period end. |
OTC Swaption Contracts Outstanding at January 31, 2020 | ||||||||||||||||||||||||||||||||||
Description | Counter- | Exercise Price/ FX Rate/ Rate | 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 | 1,250,000 | 1,250,000 | $ | 309,125 | $ | 139,875 | $ | 169,250 | |||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 09/24/59* | DEUT | 1.85% | Pay | 09/20/29 | USD | 310,000 | 310,000 | 55,831 | 50,685 | 5,146 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Calls |
| $ | 364,956 | $ | 190,560 | $ | 174,396 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 08/04/57* | BOA | 1.70% | Pay | 11/23/20 | USD | 3,630,000 | 3,630,000 | $ | 48,243 | $ | 90,932 | $ | (42,689 | ) | ||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 08/04/57* | HSBC | 2.45% | Receive | 08/02/27 | USD | 1,250,000 | 1,250,000 | 96,925 | 238,125 | (141,200 | ) | |||||||||||||||||||||||
3 MonthUSD-LIBOR-BBA-Interest Rate Swap Expiring 09/24/59* | DEUT | 1.85% | Receive | 09/20/29 | USD | 310,000 | 310,000 | $ | 45,322 | 50,685 | $ | (5,363 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Puts |
| $ | 190,490 | $ | 379,742 | $ | (189,252 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total purchased swaption contracts |
| $ | 555,446 | $ | 570,302 | $ | (14,856 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at January 31, 2020 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
U.S. Treasury2-Year Note Future | 90 | 03/31/2020 | $ | 19,472,344 | $ | 70,116 | ||||||||||
U.S. Treasury Ultra Bond Future | 14 | 03/20/2020 | 2,711,625 | (3,963 | ) | |||||||||||
|
| |||||||||||||||
Total |
| $ | 66,153 | |||||||||||||
|
| |||||||||||||||
Short position contracts: | ||||||||||||||||
Euro-BUXL30-Year Bond Future | 3 | 03/06/2020 | $ | 701,158 | $ | (25,270 | ) | |||||||||
U.S. Treasury5-Year Note Future | 169 | 03/31/2020 | 20,334,133 | (100,763 | ) | |||||||||||
U.S. Treasury10-Year Note Future | 2 | 03/20/2020 | 263,313 | (347 | ) | |||||||||||
U.S. Treasury10-Year Ultra Future | 123 | 03/20/2020 | 17,915,719 | (401,143 | ) | |||||||||||
U.S. Treasury Long Bond Future | 80 | 03/20/2020 | 13,082,500 | (334,160 | ) | |||||||||||
|
| |||||||||||||||
Total |
| $ | (861,683 | ) | ||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (795,530 | ) | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 40 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
OTC Credit Default Swap Contracts Outstanding at January 31, 2020 | ||||||||||||||||||||||||||||||||
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.AAA.12 | MSC | USD | 1,690,000 | 0.50% | 08/17/61 | Monthly | $ | 316 | $ | — | $ | (3,800 | ) | $ | (4,116 | ) | ||||||||||||||||
CMBX.NA.AAA.12 | MSC | USD | 8,770,000 | 0.50% | 08/17/61 | Monthly | — | (70,361 | ) | (19,720 | ) | 50,641 | ||||||||||||||||||||
CMBX.NA.AAA.12 | GSC | USD | 2,170,000 | 0.50% | 08/17/61 | Monthly | 2,122 | — | (4,940 | ) | (7,062 | ) | ||||||||||||||||||||
CMBX.NA.BB.6 | GSC | USD | 1,475,000 | 5.00% | 05/11/63 | Monthly | — | (361,720 | ) | (204,908 | ) | 156,812 | ||||||||||||||||||||
CMBX.NA.BB.8 | GSC | USD | 1,360,000 | 5.00% | 10/17/57 | Monthly | — | (247,909 | ) | (160,048 | ) | 87,861 | ||||||||||||||||||||
CMBX.NA.BBB-.6 | MSC | USD | 1,035,000 | 3.00% | 05/11/63 | Monthly | — | (64,578 | ) | (63,974 | ) | 604 | ||||||||||||||||||||
CMBX.NA.BBB-.6 | MSC | USD | 2,775,000 | 3.00% | 05/11/63 | Monthly | — | (373,758 | ) | (171,866 | ) | 201,892 | ||||||||||||||||||||
CMBX.NA.BBB-.6 | DEUT | USD | 175,000 | 3.00% | 05/11/63 | Monthly | — | (24,451 | ) | (10,824 | ) | 13,627 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total traded indices | $ | 2,438 | $ | (1,142,777 | ) | $ | (640,080 | ) | $ | 500,259 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total OTC contracts | $ | 2,438 | $ | (1,142,777 | ) | $ | (640,080 | ) | $ | 500,259 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2020 | ||||||||||||||||||||||||||||||
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.32.V1 | USD | 2,385,000 | 1.00 | % | 12/20/24 | Quarterly | $ | (119,630 | ) | $ | (101,012 | ) | $ | 18,618 | ||||||||||||||||
CDX.NA.HY.33.V2 | USD | 504,900 | 5.00 | % | 12/20/24 | Quarterly | 41,503 | 44,768 | 3,265 | |||||||||||||||||||||
CDX.NA.IG.33.V1 | USD | 1,975,000 | 1.00 | % | 12/20/24 | Quarterly | 50,508 | 48,107 | (2,401 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Totaltraded indices |
| $ | (27,619 | ) | $ | (8,137 | ) | $ | 19,482 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
TotalCentrally Cleared Contracts |
| $ | (27,619 | ) | $ | (8,137 | ) | $ | 19,482 | |||||||||||||||||||||
|
|
|
|
|
|
(a) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2020 | ||||||||||||||||||||||||||||||
Payments made | Payments received | Notional | Expiration Date | Periodic | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
1.72% Fixed | 3 Mo. USD LIBOR | USD | 2,035,000 | 10/29/29 | Semi-Annual | $ | — | $ | — | $ | (57,567 | ) | $ | (57,567 | ) | |||||||||||||||
1.73% Fixed | 3 Mo. USD LIBOR | USD | 3,385,000 | 10/29/29 | Semi-Annual | — | — | (97,672 | ) | (97,672 | ) | |||||||||||||||||||
1.77% Fixed | 3 Mo. USD LIBOR | USD | 1,530,000 | 10/30/29 | Semi-Annual | — | — | (49,804 | ) | (49,804 | ) | |||||||||||||||||||
1.77% Fixed | 3 Mo. USD LIBOR | USD | 1,555,000 | 10/30/29 | Semi-Annual | — | — | (51,278 | ) | (51,278 | ) | |||||||||||||||||||
1.77% Fixed | 3 Mo. USD LIBOR | USD | 1,695,000 | 10/30/29 | Semi-Annual | — | — | (55,735 | ) | (55,735 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.00% Fixed | USD | 4,135,000 | 03/21/23 | Semi-Annual | 72,597 | — | (105,251 | ) | (177,848 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.64% Fixed | USD | 1,280,000 | 02/01/26 | Semi-Annual | — | — | (89,192 | ) | (89,192 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.25% Fixed | USD | 18,621,000 | 06/20/28 | Semi-Annual | 1,196,722 | — | (1,239,415 | ) | (2,436,137 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 1.72% Fixed | USD | 1,050,000 | 10/29/29 | Semi-Annual | — | — | (29,207 | ) | (29,207 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 1.76% Fixed | USD | 1,690,000 | 10/30/29 | Semi-Annual | — | — | (54,852 | ) | (54,852 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.75% Fixed | USD | 120,000 | 12/20/47 | Semi-Annual | — | (2,505 | ) | (29,610 | ) | (27,105 | ) | ||||||||||||||||||
3 Mo. USD LIBOR | 2.86% Fixed | USD | 525,000 | 02/01/49 | Semi-Annual | — | — | (144,042 | ) | (144,042 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 2.39% Fixed | USD | 400,000 | 05/31/49 | Semi-Annual | — | — | (67,839 | ) | (67,839 | ) | |||||||||||||||||||
3 Mo. USD LIBOR | 1.79% Fixed | USD | 100,000 | 09/24/49 | Semi-Annual | — | — | (2,984 | ) | (2,984 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total |
| $ | 1,269,319 | $ | (2,505 | ) | $ | (2,074,448 | ) | $ | (3,341,262 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 41 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Foreign Currency Contracts Outstanding at January 31, 2020 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
17,130,000 | EGP | 1,053,506 | USD | GSC | 03/18/20 | $ | 14,376 | $ | — | |||||||||||||||
102,000 | EUR | 113,301 | USD | CBK | 03/18/20 | 76 | — | |||||||||||||||||
1,000 | EUR | 1,104 | USD | GSC | 03/18/20 | 8 | — | |||||||||||||||||
1,000 | EUR | 1,106 | USD | MSC | 03/18/20 | 6 | — | |||||||||||||||||
1,000 | EUR | 1,109 | USD | UBS | 03/18/20 | 3 | — | |||||||||||||||||
340,750,000 | JPY | 3,145,763 | USD | UBS | 02/10/20 | — | (95 | ) | ||||||||||||||||
4,279,749 | USD | 6,335,000 | AUD | RBC | 02/28/20 | 36,658 | — | |||||||||||||||||
364,263 | USD | 480,000 | CAD | HSBC | 02/04/20 | 1,332 | — | |||||||||||||||||
385,206 | USD | 500,000 | CAD | SSG | 02/05/20 | 7,155 | — | |||||||||||||||||
182,930 | USD | 240,000 | CAD | HSBC | 02/07/20 | 1,467 | — | |||||||||||||||||
151,148 | USD | 200,000 | CAD | BNP | 02/12/20 | — | (71 | ) | ||||||||||||||||
191,224 | USD | 250,000 | CAD | JPM | 02/13/20 | 2,201 | — | |||||||||||||||||
306,422 | USD | 400,000 | CAD | MSC | 02/19/20 | 3,986 | — | |||||||||||||||||
4,543,522 | USD | 5,985,000 | CAD | BMO | 02/28/20 | 18,370 | — | |||||||||||||||||
103,737 | USD | 135,000 | CAD | MSC | 03/02/20 | 1,666 | — | |||||||||||||||||
198,015 | USD | 260,000 | CAD | MSC | 03/09/20 | 1,433 | — | |||||||||||||||||
77,009 | USD | 100,000 | CAD | MSC | 03/25/20 | 1,400 | — | |||||||||||||||||
257,785 | USD | 335,000 | CAD | BNP | 03/26/20 | 4,493 | — | |||||||||||||||||
152,931 | USD | 200,000 | CAD | HSBC | 03/30/20 | 1,711 | — | |||||||||||||||||
298,030 | USD | 389,000 | CAD | MSC | 04/09/20 | 3,907 | — | |||||||||||||||||
378,279 | USD | 500,000 | CAD | HSBC | 04/09/20 | 229 | — | |||||||||||||||||
38,312 | USD | 50,000 | CAD | MSC | 04/15/20 | 507 | — | |||||||||||||||||
76,495 | USD | 100,000 | CAD | MSC | 04/16/20 | 885 | — | |||||||||||||||||
177,823 | USD | 235,000 | CAD | DEUT | 05/22/20 | 138 | — | |||||||||||||||||
37,596 | USD | 50,000 | CAD | DEUT | 06/01/20 | — | (209 | ) | ||||||||||||||||
195,151 | USD | 260,000 | CAD | UBS | 06/01/20 | — | (1,438 | ) | ||||||||||||||||
86,973 | USD | 115,000 | CAD | RBS | 07/02/20 | 20 | — | |||||||||||||||||
37,700 | USD | 50,000 | CAD | MSC | 07/07/20 | — | (106 | ) | ||||||||||||||||
398,041 | USD | 520,000 | CAD | NAB | 08/06/20 | 4,862 | — | |||||||||||||||||
91,310 | USD | 120,000 | CAD | CBK | 08/14/20 | 578 | — | |||||||||||||||||
79,170 | USD | 105,000 | CAD | MSC | 08/14/20 | — | (221 | ) | ||||||||||||||||
307,359 | USD | 405,000 | CAD | SCB | 09/08/20 | 1,151 | — | |||||||||||||||||
470,027 | USD | 618,000 | CAD | MSC | 09/18/20 | 2,785 | — | |||||||||||||||||
366,882 | USD | 485,000 | CAD | HSBC | 11/25/20 | 225 | — | |||||||||||||||||
76,070 | USD | 100,000 | CAD | MSC | 11/27/20 | 471 | — | |||||||||||||||||
245,711 | USD | 220,000 | EUR | CIBC | 02/28/20 | 1,502 | — | |||||||||||||||||
132,810 | USD | 120,000 | EUR | MSC | 02/28/20 | — | (395 | ) | ||||||||||||||||
568,458 | USD | 515,000 | EUR | CBK | 02/28/20 | — | (3,212 | ) | ||||||||||||||||
4,490,712 | USD | 4,024,000 | EUR | CBK | 03/18/20 | 18,222 | (336 | ) | ||||||||||||||||
3,311 | USD | 3,000 | EUR | SSG | 03/18/20 | — | (24 | ) | ||||||||||||||||
706,117 | USD | 630,000 | EUR | JPM | 05/14/20 | 3,491 | — | |||||||||||||||||
78,343 | USD | 70,000 | EUR | MSC | 11/27/20 | — | (607 | ) | ||||||||||||||||
663,227 | USD | 507,000 | GBP | MSC | 03/18/20 | — | (5,979 | ) | ||||||||||||||||
1,822,662 | USD | 196,750,000 | JPY | JPM | 02/03/20 | 7,045 | — | |||||||||||||||||
6,987,046 | USD | 750,000,000 | JPY | JPM | 02/10/20 | 63,346 | — | |||||||||||||||||
1,728,393 | USD | 187,150,000 | JPY | SSG | 02/10/20 | 699 | — | |||||||||||||||||
2,449,616 | USD | 265,950,000 | JPY | MSC | 02/18/20 | — | (6,472 | ) | ||||||||||||||||
1,888,093 | USD | 203,700,000 | JPY | MSC | 02/25/20 | 6,260 | — | |||||||||||||||||
627,363 | USD | 67,850,000 | JPY | BCLY | 03/02/20 | 845 | (526 | ) | ||||||||||||||||
183,842 | USD | 20,000,000 | JPY | MSC | 03/09/20 | — | (1,071 | ) | ||||||||||||||||
189,514 | USD | 20,000,000 | JPY | MSC | 03/10/20 | 4,590 | — | |||||||||||||||||
554,464 | USD | 59,900,000 | JPY | HSBC | 03/16/20 | 411 | — | |||||||||||||||||
462,305 | USD | 50,350,000 | JPY | BCLY | 03/23/20 | — | (3,617 | ) | ||||||||||||||||
122,785 | USD | 13,250,000 | JPY | CIBC | 03/30/20 | 121 | — | |||||||||||||||||
151,893 | USD | 16,400,000 | JPY | JPM | 04/06/20 | 17 | — | |||||||||||||||||
200,476 | USD | 21,850,000 | JPY | JPM | 04/13/20 | — | (1,948 | ) | ||||||||||||||||
244,176 | USD | 26,600,000 | JPY | JPM | 04/27/20 | — | (2,442 | ) | ||||||||||||||||
1,812,494 | USD | 196,700,000 | JPY | JPM | 05/07/20 | — | (12,136 | ) | ||||||||||||||||
662,938 | USD | 13,455,000 | MXN | GSC | 06/10/21 | — | (417 | ) | ||||||||||||||||
3,058,320 | USD | 4,675,000 | NZD | MSC | 04/30/20 | 29,435 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 248,083 | $ | (41,322 | ) | |||||||||||||||||||
|
|
|
|
† | 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.
| 42 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2020 (Unaudited)
Fair Valuation Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2020 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage Backed Securities | $ | 110,951,743 | $ | — | $ | 110,951,743 | $ | — | ||||||||
Corporate Bonds | 192,463,265 | — | 192,463,265 | — | ||||||||||||
Foreign Government Obligations | 40,627,283 | — | 40,627,283 | — | ||||||||||||
Municipal Bonds | 6,251,355 | — | 6,251,355 | — | ||||||||||||
Senior Floating Rate Interests | 27,810,552 | — | 27,810,552 | — | ||||||||||||
U.S. Government Agencies | 321,441,549 | — | 321,441,549 | — | ||||||||||||
U.S. Government Securities | 156,914,865 | — | 156,914,865 | — | ||||||||||||
Short-Term Investments | 14,649,948 | 9,779,367 | 4,870,581 | — | ||||||||||||
Purchased Options | 555,446 | — | 555,446 | — | ||||||||||||
Foreign Currency Contracts(2) | 248,083 | — | 248,083 | — | ||||||||||||
Futures Contracts(2) | 70,116 | 70,116 | �� | — | — | |||||||||||
Swaps - Credit Default(2) | 533,320 | — | 533,320 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 872,517,525 | $ | 9,849,483 | $ | 862,668,042 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Foreign Currency Contracts(2) | $ | (41,322 | ) | $ | — | $ | (41,322 | ) | $ | — | ||||||
Futures Contracts(2) | (865,646 | ) | (865,646 | ) | — | — | ||||||||||
Swaps - Credit Default(2) | (13,579 | ) | — | (13,579 | ) | — | ||||||||||
Swaps - Interest Rate(2) | (3,341,262 | ) | — | (3,341,262 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (4,261,809 | ) | $ | (865,646 | ) | $ | (3,396,163 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
(1) | For thesix-month period ended January 31, 2020, 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.
| 43 |
|
Hartford Active Fixed Income ETFs |
Glossary (abbreviations used in the preceding Schedules of Investments)
Counterparty Abbreviations: | ||
BCLY | Barclays | |
BMO | Bank of Montreal | |
BNP | BNP Paribas Securities Services | |
BOA | Banc of America Securities LLC | |
CBK | Citibank NA | |
CIBC | Canadian Imperial Bank of Commerce | |
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 | |
RBC | RBC Dominion Securities, Inc. | |
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 | |
MXN | Mexican Peso | |
NZD | New Zealand Dollar | |
USD | United States Dollar | |
Index Abbreviations: | ||
CDX.EM | Credit Derivatives Emerging Markets | |
CDX.NA.HY | Credit Derivatives North American High Yield | |
CDX.NA.IG | Credit Derivatives North American Investment Grade | |
CMBX.NA | Markit Commercial Mortgage Backed North American | |
ICE | Intercontinental Exchange, Inc. | |
MSCI | Morgan Stanley Capital International | |
Other Abbreviations: | ||
CDOR | Canadian Dollar Offered Rate | |
CLO | Collateralized Loan Obligation | |
CMO | Collateralized Mortgage Obligation | |
DDCA | Dollars on Deposit in Custody Account | |
EM | Emerging Markets | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
GUKG5 | UK Government Bonds 5 Year Note Generic Bid Yield | |
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
OTC | Over-the-Counter | |
PAC | Planned Amortization Class | |
PT | Perseroan Terbatas | |
SOFR | Secured Overnight Financing Rate | |
TBA | To Be Announced | |
Municipal Abbreviations: | ||
Auth | Authority | |
Dev | Development | |
Dist | District | |
Facs | Facilities | |
GO | General Obligation | |
PA | Port Authority | |
Rev | Revenue | |
UMBS | Uniform Mortgage Backed Securities | |
VA | Veterans Administration |
| 44 |
|
Hartford Active Fixed Income ETFs |
Statements of Assets and Liabilities
January 31, 2020 (Unaudited)
Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||
Assets: |
| |||||||||||||||
Investments in securities, at market value(1) | $ | 153,033,672 | $ | 70,387,690 | $ | 116,272,551 | $ | 871,666,006 | ||||||||
Cash | — | — | — | 264 | ||||||||||||
Foreign currency | — | — | 284,311 | 244,909 | ||||||||||||
Unrealized appreciation on OTC swap contracts | — | — | — | 511,437 | ||||||||||||
Unrealized appreciation on foreign currency contracts | — | — | 4,159 | 248,083 | ||||||||||||
Receivables: |
| |||||||||||||||
Investment securities sold | — | — | 1,180,284 | 102,142,510 | ||||||||||||
Fund shares sold | 2,119,736 | — | — | — | ||||||||||||
Dividends and interest | 1,492,856 | 288,493 | 727,368 | 4,149,341 | ||||||||||||
Securities lending income | — | — | — | 1,390 | ||||||||||||
Variation margin on futures contracts | — | 41,725 | 72,454 | — | ||||||||||||
Variation margin on centrally cleared swap contracts | — | — | — | 31,654 | ||||||||||||
Tax reclaims | — | — | 3,167 | 2,105 | ||||||||||||
OTC swap contracts premiums paid | — | — | — | 2,438 | ||||||||||||
Other assets | 531 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 156,646,795 | 70,717,908 | 118,544,294 | 979,000,137 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: |
| |||||||||||||||
Unrealized depreciation on foreign currency contracts | — | — | 10,482 | 41,322 | ||||||||||||
Due to custodian | — | — | 1,018,000 | — | ||||||||||||
Obligation to return securities lending collateral | — | — | — | 1,217,588 | ||||||||||||
Unrealized depreciation on OTC swap contracts | — | — | — | 11,178 | ||||||||||||
Unfunded loan commitments | — | — | — | 18,013 | ||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 3,693,804 | 1,749,409 | 2,383,075 | 310,987,940 | ||||||||||||
Investment management fees | 38,996 | 22,625 | 29,750 | 157,601 | ||||||||||||
Variation margin on futures contracts | — | — | — | 148,450 | ||||||||||||
Distributions payable | 290,493 | 32,578 | 240,296 | 1,200,014 | ||||||||||||
OTC swap contracts premiums received | — | — | — | 1,142,777 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 4,023,293 | 1,804,612 | 3,681,603 | 314,924,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 152,623,502 | $ | 68,913,296 | $ | 114,862,691 | $ | 664,075,254 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Summary of Net Assets: |
| |||||||||||||||
Paid-in-capital | $ | 143,212,381 | $ | 67,193,429 | $ | 112,308,398 | $ | 632,403,629 | ||||||||
Distributable earnings | 9,411,121 | 1,719,867 | 2,554,293 | 31,671,625 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 152,623,502 | $ | 68,913,296 | $ | 114,862,691 | $ | 664,075,254 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share | $ | 42.40 | $ | 21.20 | $ | 41.02 | $ | 40.87 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares issued and outstanding | 3,600,000 | 3,250,000 | 2,800,000 | 16,250,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments | $ | 144,379,333 | $ | 68,718,490 | $ | 113,449,602 | $ | 835,397,547 | ||||||||
Cost of foreign currency | $ | — | $ | — | $ | 284,311 | $ | 244,917 | ||||||||
(1) Includes Investment in securities on loan, at market value | $ | — | $ | — | $ | — | $ | 1,177,677 |
The accompanying notes are an integral part of these financial statements.
| 45 |
|
Hartford Active Fixed Income ETFs |
For theSix-Month Period Ended January 31, 2020 (Unaudited)
Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 2,137,757 | $ | 519,794 | $ | 2,091,110 | $ | 9,934,813 | ||||||||
Securities lending | — | — | 281 | 4,790 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income, net | 2,137,757 | 519,794 | 2,091,391 | 9,939,603 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Investment management fees | 222,043 | 94,383 | 170,755 | 895,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses, net | 222,043 | 94,383 | 170,755 | 895,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 1,915,714 | 425,411 | 1,920,636 | 9,043,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions: | ||||||||||||||||
Net realized gain (loss) on investments | 935,691 | 102,363 | 269,224 | 8,763,163 | ||||||||||||
Net realized gain (loss) on purchased options contracts | — | — | — | 131,239 | ||||||||||||
Net realized gain (loss) on futures contracts | — | 1,587 | (142,253 | ) | (1,142,601 | ) | ||||||||||
Net realized gain (loss) on written options contracts | — | — | — | 134,940 | ||||||||||||
Net realized gain (loss) on swap contracts | — | — | — | (196,486 | ) | |||||||||||
Net realized gain (loss) on foreign currency contracts | — | — | (86,380 | ) | 465,662 | |||||||||||
Net realized gain (loss) on other foreign currency transactions | — | — | (1,275 | ) | (6,565 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 935,691 | 103,950 | 39,316 | 8,149,352 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions: | ||||||||||||||||
Net unrealized appreciation (depreciation) of investments | 2,020,396 | 989,740 | 918,869 | 10,697,507 | ||||||||||||
Net unrealized appreciation (depreciation) of purchased options contracts | — | — | — | 170,607 | ||||||||||||
Net unrealized appreciation (depreciation) of futures contracts | — | (21,678 | ) | 23,712 | 453,853 | |||||||||||
Net unrealized appreciation (depreciation) of swap contracts | — | — | — | (901,615 | ) | |||||||||||
Net unrealized appreciation (depreciation) of foreign currency contracts | — | — | (13,008 | ) | 137,759 | |||||||||||
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies | — | — | (912 | ) | 10,509 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | 2,020,396 | 968,062 | 928,661 | 10,568,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 2,956,087 | 1,072,012 | 967,977 | 18,717,972 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 4,871,801 | $ | 1,497,423 | $ | 2,888,613 | $ | 27,761,792 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 46 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets
Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | |||||||||||||||
For the Six-Month Period Ended January 31, 2020 (Unaudited) | For the Year Ended July 31, 2019 | For the Six-Month Period Ended January 31, 2020 (Unaudited) | For the Year Ended July 31, 2019 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,915,714 | $ | 2,499,613 | $ | 425,411 | $ | 550,170 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 935,691 | 395,339 | 103,950 | 325,075 | ||||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 2,020,396 | 6,692,181 | 968,062 | 695,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,871,801 | 9,587,133 | 1,497,423 | 1,570,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders | (2,457,075 | ) | (2,487,558 | ) | (755,826 | ) | (563,102 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: | ||||||||||||||||
Sold | 27,286,758 | 120,705,261 | 47,225,213 | 5,235,438 | ||||||||||||
Redeemed | (16,861,884 | ) | — | (6,323,537 | ) | — | ||||||||||
Other Capital | 11,037 | 51,773 | 40,162 | 3,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions | 10,435,911 | 120,757,034 | 40,941,838 | 5,239,365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 12,850,637 | 127,856,609 | 41,683,435 | 6,246,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 139,772,865 | 11,916,256 | 27,229,861 | 20,983,185 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 152,623,502 | $ | 139,772,865 | $ | 68,913,296 | $ | 27,229,861 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 47 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets – (continued)
Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||||||||||||
For the Six-Month Period Ended January 31, 2020 (Unaudited) | For the Year Ended July 31, 2019 | For the Six-Month Period Ended January 31, 2020 (Unaudited) | For the Year Ended July 31, 2019 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,920,636 | $ | 3,147,035 | $ | 9,043,820 | $ | 14,344,126 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 39,316 | (191,334 | ) | 8,149,352 | 9,430,606 | |||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 928,661 | 1,859,440 | 10,568,620 | 22,711,636 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,888,613 | 4,815,141 | 27,761,792 | 46,486,368 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders | (2,009,672 | ) | (3,112,779 | ) | (27,631,737 | ) | (14,404,534 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: | ||||||||||||||||
Sold | 18,403,112 | 96,183,975 | 73,365,593 | 559,765,672 | ||||||||||||
Redeemed | (14,324,483 | ) | (8,032,678 | ) | — | (46,687,112 | ) | |||||||||
Other Capital | 16,364 | 52,108 | 58,692 | 525,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from capital share transactions | 4,094,993 | 88,203,405 | 73,424,285 | 513,604,022 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 4,973,934 | 89,905,767 | 73,554,340 | 545,685,856 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 109,888,757 | 19,982,990 | 590,520,914 | 44,835,058 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 114,862,691 | $ | 109,888,757 | $ | 664,075,254 | $ | 590,520,914 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 48 |
|
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 | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | ||||||||||||||||||||||||||||||||||||||||||||||
Hartford Municipal Opportunities ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2020 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 41.72 | $ | 0.53 | (11) | $ | 0.82 | (11) | $ | 1.35 | $ | — | $ | (0.52 | ) | $ | (0.15 | ) | $ | (0.67 | ) | $ | 42.40 | 3.23 | %(5) | $ | 152,624 | 0.29 | %(6) | 0.29 | %(6) | 2.50 | %(6)(11) | 22 | % | ||||||||||||||||||||||||||
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(7) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.00 | $ | 0.54 | $ | (0.37 | ) | $ | 0.17 | $ | 0.07 | $ | (0.52 | ) | $ | — | $ | (0.52 | ) | $ | 39.72 | 0.60 | %(5) | $ | 11,916 | 0.34 | %(6) | 0.34 | %(6) | 2.18 | %(6) | 37 | % | ||||||||||||||||||||||||||||
Hartford SchrodersTax-Aware Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2020 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 20.95 | $ | 0.19 | $ | 0.33 | $ | 0.52 | $ | 0.02 | $ | (0.19 | ) | $ | (0.10 | ) | $ | (0.29 | ) | $ | 21.20 | 2.60 | %(5) | $ | 68,913 | 0.39 | %(6) | 0.39 | %(6) | 1.76 | %(6) | 112 | % | ||||||||||||||||||||||||||||
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 | %(5) | $ | 20,983 | 0.39 | %(6) | 0.39 | %(6) | 1.93 | %(6) | 60 | % | ||||||||||||||||||||||||||||
Hartford Short Duration ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2020 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.70 | $ | 0.67 | (12) | $ | 0.33 | (12) | $ | 1.00 | $ | 0.01 | $ | (0.69 | ) | $ | — | $ | (0.69 | ) | $ | 41.02 | 2.51 | %(5) | $ | 114,863 | 0.29 | %(6) | 0.29 | %(6) | 3.26 | %(6)(12) | 15 | % | |||||||||||||||||||||||||||
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 | %(5) | $ | 19,983 | 0.29 | %(6) | 0.29 | %(6) | 2.75 | %(6) | 1 | % | ||||||||||||||||||||||||||||
Hartford Total Return Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For theSix-Month Period Ended January 31, 2020 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.87 | $ | 0.61 | (13) | $ | 1.22 | (13) | $ | 1.83 | $ | — | $ | (0.78 | ) | $ | (1.05 | ) | $ | (1.83 | ) | $ | 40.87 | 4.59 | %(5) | $ | 664,075 | 0.29 | %(6) | 0.29 | %(6) | 2.93 | %(6)(13) | 27 | % | ||||||||||||||||||||||||||
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 | )%(5) | $ | 44,835 | 0.38 | %(6) | 0.38 | %(6) | 2.35 | %(6) | 46 | % |
(1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
(2) | Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at market price at the end of the distribution day. |
(3) | There were no waivers or reimbursements for the periods shown. |
(4) | Portfolio turnover rate excludes securities received or delivered fromin-kind processing of creations or redemptions. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Commenced operations on December 13, 2017. |
(8) | Commenced operations on April 18, 2018. |
(9) | Commenced operations on May 30, 2018. |
(10) | Commenced operations on September 27, 2017. |
(11) | FASB issued ASU2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective January 1, 2019, the Fund amended its amortization policy and the effect of this change for the six months ended January 31, 2020 was an increase to net investment income per share for $0.01, decrease to net realized and unrealized gain (loss) on investments for $(0.01) and an increase to ratio of net investment income to average net assets for 0.04%. Per share data and ratios for periods prior to January 31, 2020 have not been restated to reflect this change in presentation. |
(12) | FASB issued ASU2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective January 1, 2019, the Fund amended its amortization policy and the effect of this change for six months ended January 31, 2020 was an increase to net investment income per share for less than $(0.005), decrease to net realized and unrealized gain (loss) to investments for less than $(0.005), and an increase to ratio of net investment income to average net assets for less than $(0.005). Per share data and ratios for periods prior to January 31, 2020 have not been restated to reflect this change in presentation. |
(13) | FASB issued ASU2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective January 1, 2019, the Fund amended its amortization policy and the effect of this change for the six months ended January 31, 2020 was a decrease to net investment income per share for less than $(0.005), increase to net realized and unrealized gain (loss) on investments for less than $0.005 and a decrease to ratio of net investment income to average net assets of (0.02)%. Per share data and ratios for periods prior to January 31, 2020 have not been restated to reflect this change in presentation. |
The accompanying notes are an integral part of these financial statements.
| 49 |
|
Hartford Active Fixed Income ETFs |
January 31, 2020 (Unaudited)
1. | Organization: |
Hartford Funds Exchange-Traded Trust (the “Trust”) is anopen-end registered management investment company comprised of four operational series as of January 31, 2020. 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 of each Fund’s shares is determined as of the close of regular trading (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that the New York Stock Exchange (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 the Funds 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 of the shares of each Fund, 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.
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
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; 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. 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.
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. |
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
The trade date for senior floating rate interests purchased in the primary loan market is considered the date on which the loan allocations are determined. The trade date for senior floating rate interests purchased in the secondary loan market is the date on which the transaction is entered into.
Dividend income from domestic securities is accrued on theex-dividend date. In general, dividend income from foreign securities is recorded on theex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal receivedin-kind in lieu of cash, is accrued on a daily basis. Paydown gains and losses on mortgage-related and other asset-backed securities are included in interest income in the Statements of Operations, as applicable.
Please refer to Note 8 for Securities Lending information.
d) | Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such 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).
3. | Securities and Other Investments: |
a) | Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments. |
b) | Investments Purchased on a When-Issued or Delayed-Delivery Basis – Delivery and payment for investments that have been purchased by a Fund on a forward commitment, or when-issued or delayed-delivery basis, take place beyond the customary settlement period. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery investments before they are delivered, which may result in a realized gain or loss. During this period, such investments are subject to market fluctuations, and a Fund identifies investments segregated in its records with a value at least equal to the amount of the commitment. See each Fund’s Schedule of Investments, if applicable, for when-issued or delayed-delivery investments as of January 31, 2020. |
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
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
receipt of the mortgage backed securities. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. These transactions are excluded from a Fund’s portfolio turnover rate. See each Fund’s Schedule of Investments, if applicable, for TBA commitments as of January 31, 2020.
c) | Senior Floating Rate Interests – Certain Funds may invest in senior floating rate interests. Senior floating rate interests generally hold the most senior position in the capital structure of a business entity (the “Borrower”), are typically secured by specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debtholders and stockholders of the Borrower. Senior floating rate interests are typically structured and administered by a financial institution that acts as the agent of the lenders participating in the senior floating rate interest. A Fund may invest in multiple series or tranches of a senior floating rate interest, which may have varying terms and carry different associated risks. A Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the Borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a Borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statements of Operations. |
Senior floating rate interests are typically rated below-investment-grade, which suggests they are more likely to default and generally pay higher interest rates than investment-grade loans. A default could lead tonon-payment of income, which would result in a reduction of income to a Fund, and there can be no assurance that the liquidation of any collateral would satisfy the Borrower’s obligation in the event ofnon-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated. See each Fund’s Schedule of Investments, if applicable, for outstanding senior floating rate interests as of January 31, 2020.
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 loans, and student loans. These securities provide a monthly payment that consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the United States Government. Mortgage-related and other asset-backed securities created and guaranteed bynon-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. See each Fund’s Schedule of Investments, if applicable, for mortgage-related and other asset-backed securities as of January 31, 2020. |
4. | Financial Derivative Instruments: |
The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as ofperiod-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations.
a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant (“FCM”) an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value (“variation margin”) is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
During thesix-month period ended January 31, 2020,Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF had entered into Futures Contracts.
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
b) | Foreign Currency Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. |
Foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of the contracts and from unanticipated movements in the value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure thereunder.
During thesix-month period ended January 31, 2020, 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, investments or currency transactions 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. A Fund may also purchase put and call options. Purchasing call options may increase a Fund’s exposure to the underlying instrument. Purchasing put options may decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included on the Fund’s Statements of Assets and Liabilities as an investment and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is generally limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. Entering into OTC options also exposes a Fund to counterparty risk. Counterparty risk is the possibility that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements. |
During thesix-month period ended January 31, 2020, 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.
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
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 upon the occurrence of certain events. Although specified events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. A “seller’s” exposure is limited to the total notional amount of the credit default swap contract. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or upfront payments received upon entering into the contract.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap contracts on corporate issues, sovereign government issues or U.S. municipal issues as ofyear-end are disclosed in the notes to the Schedules of Investments, as applicable, and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and there may also be upfront payments required to be made to enter into the contract. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. For credit default swap contracts on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced equity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
During thesix-month period ended January 31, 2020, 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.
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
During thesix-month period ended January 31, 2020, 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 thesix-month period ended January 31, 2020, Total Return Bond ETF had entered into Total Return Swap Contracts.
e) | Additional Derivative Instrument Information: |
Tax-Aware Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2020:
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) | $ | 28,414 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 28,414 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 28,414 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 28,414 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2020:
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 | $ | 1,587 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,587 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 1,587 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,587 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | (21,678 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (21,678 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (21,678 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (21,678 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended January 31, 2020, 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 | 25 | |||
Futures Contracts Short at Number of Contracts | (13 | ) |
| 56 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
Short Duration ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2020:
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) | $ | 70,116 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 70,116 | ||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 4,159 | — | — | — | — | 4,159 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 70,116 | $ | 4,159 | $ | — | $ | — | $ | — | $ | — | $ | 74,275 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 143,615 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 143,615 | ||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 10,482 | — | — | — | — | 10,482 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 143,615 | $ | 10,482 | $ | — | $ | — | $ | — | $ | — | $ | 154,097 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2020:
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 | $ | (142,253 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (142,253 | ) | ||||||||||||
Net realized gain (loss) on foreign currency contracts | — | (86,380 | ) | — | — | — | — | (86,380 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (142,253 | ) | $ | (86,380 | ) | $ | — | $ | — | $ | — | $ | — | $ | (228,633 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | 23,712 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 23,712 | ||||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | (13,008 | ) | — | — | — | — | (13,008 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 23,712 | $ | (13,008 | ) | $ | — | $ | — | $ | — | $ | — | $ | 10,704 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended January 31, 2020, 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 | 96 | |||
Futures Contracts Short at Number of Contracts | (106 | ) | ||
Foreign Currency Contracts Purchased at Contract Amount | $ | 244,995 | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 3,817,652 |
Total Return Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2020:
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 | $ | 555,446 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 555,446 | ||||||||||||||
Unrealized appreciation on futures contracts(1) | 70,116 | — | — | — | — | — | 70,116 | |||||||||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 248,083 | — | — | — | — | 248,083 | |||||||||||||||||||||
Unrealized appreciation on swap contracts(2) | — | — | 533,320 | — | — | — | 533,320 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 625,562 | $ | 248,083 | $ | 533,320 | $ | — | $ | — | $ | — | $ | 1,406,965 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 865,646 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 865,646 | ||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 41,322 | — | — | — | — | 41,322 | |||||||||||||||||||||
Unrealized depreciation on swap contracts(2) | 3,341,262 | — | 13,579 | — | — | — | 3,354,841 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 4,206,908 | $ | 41,322 | $ | 13,579 | $ | — | $ | — | $ | — | $ | 4,261,809 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 57 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
(1) | Amount represents the cumulative appreciation and 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 and 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 and depreciation on OTC swap contracts, if applicable. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2020:
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 | $ | 131,239 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 131,239 | ||||||||||||||
Net realized gain (loss) on futures contracts | (1,142,601 | ) | — | — | — | — | — | (1,142,601 | ) | |||||||||||||||||||
Net realized gain (loss) on written options contracts | 134,940 | — | — | — | — | — | 134,940 | |||||||||||||||||||||
Net realized gain (loss) on swap contracts | (191,302 | ) | — | (5,184 | ) | — | — | — | (196,486 | ) | ||||||||||||||||||
Net realized gain (loss) on foreign currency contracts | — | 465,662 | — | — | — | — | 465,662 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (1,067,724 | ) | $ | 465,662 | $ | (5,184 | ) | $ | — | $ | — | $ | — | $ | (607,246 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
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 | $ | 170,607 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 170,607 | ||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | 453,853 | — | — | — | — | — | 453,853 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of swap contracts | (1,466,604 | ) | — | 564,989 | — | — | — | (901,615 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 137,759 | — | — | — | — | 137,759 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (842,144 | ) | $ | 137,759 | $ | 564,989 | $ | — | $ | — | $ | — | $ | (139,396 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended January 31, 2020, 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 | 4,831,667 | |||
Futures Contracts Long at Number of Contracts | 172 | |||
Futures Contracts Short at Number of Contracts | (319 | ) | ||
Written Options Contracts at Number of Contracts | (89,960,000 | ) | ||
Swap Contracts at Notional Amount | $ | 78,381,750 | ||
Foreign Currency Contracts Purchased at Contract Amount | $ | 2,526,130 | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 38,616,464 |
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 January 31, 2020:
Tax-Aware Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | — | $ | (28,414 | ) | |||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (28,414 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | — | 28,414 | ||||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | — | $ | — | ||||
|
|
|
|
| 58 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
Short Duration ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Foreign currency contracts | $ | 4,159 | $ | (10,482 | ) | |||
Futures contracts | 70,116 | (143,615 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 74,275 | (154,097 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (70,116 | ) | 143,615 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | 4,159 | $ | (10,482 | ) | |||
|
|
|
|
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||||||||||||
Barclays | $ | 4,159 | $ | (1,596 | ) | $ | — | $ | — | $ | 2,563 | |||||||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||||||||||||
Barclays | $ | (1,596 | ) | $ | 1,596 | $ | — | $ | — | $ | — | |||||||||
Citibank NA | (8,491 | ) | — | — | — | (8,491 | ) | |||||||||||||
Morgan Stanley | (395 | ) | — | — | — | (395 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (10,482 | ) | $ | 1,596 | $ | — | $ | — | $ | (8,886 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
Total Return Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Foreign currency contracts | $ | 248,083 | $ | (41,322 | ) | |||
Futures contracts | 70,116 | (865,646 | ) | |||||
Purchased options | 555,446 | — | ||||||
Swap contracts | 533,320 | (3,354,841 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 1,406,965 | (4,261,809 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (91,999 | ) | 4,209,309 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | 1,314,966 | $ | (52,500 | ) | |||
|
|
|
|
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 | $ | 48,243 | $ | — | $ | — | $ | — | $ | 48,243 | ||||||||||
Bank of Montreal | 18,370 | — | — | — | 18,370 | |||||||||||||||
Barclays | 845 | (845 | ) | — | — | — | ||||||||||||||
BNP Paribas Securities Services | 4,493 | (71 | ) | — | — | 4,422 | ||||||||||||||
Canadian Imperial Bank of Commerce | 1,623 | — | — | — | 1,623 | |||||||||||||||
Citibank NA | 18,876 | (3,548 | ) | — | — | 15,328 | ||||||||||||||
Deutsche Bank Securities, Inc. | 114,918 | (209 | ) | — | — | 114,709 | ||||||||||||||
Goldman Sachs & Co. | 259,057 | (7,479 | ) | — | — | 251,578 | ||||||||||||||
HSBC Bank USA | 411,425 | — | — | — | 411,425 | |||||||||||||||
JP Morgan Chase & Co. | 76,100 | (16,526 | ) | — | — | 59,574 | ||||||||||||||
Morgan Stanley | 310,468 | (18,967 | ) | — | — | 291,501 | ||||||||||||||
National Australia Bank Limited | 4,862 | — | — | — | 4,862 | |||||||||||||||
RBC Dominion Securities, Inc. | 36,658 | — | — | — | 36,658 | |||||||||||||||
RBS Greenwich Capital | 20 | — | — | — | 20 | |||||||||||||||
Standard Chartered Bank | 1,151 | — | — | — | 1,151 | |||||||||||||||
State Street Global Markets LLC | 7,854 | (24 | ) | — | — | 7,830 | ||||||||||||||
UBS AG | 3 | (3 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,314,966 | $ | (47,672 | ) | $ | — | $ | — | $ | 1,267,294 | |||||||||
|
|
|
|
|
|
|
|
|
|
| 59 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
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 | |||||||||||||||
Barclays | $ | (4,143 | ) | $ | 845 | $ | — | $ | — | $ | (3,298 | ) | ||||||||
BNP Paribas Securities Services | (71 | ) | 71 | — | — | — | ||||||||||||||
Citibank NA | (3,548 | ) | 3,548 | — | — | — | ||||||||||||||
Deutsche Bank Securities, Inc. | (209 | ) | 209 | — | — | — | ||||||||||||||
Goldman Sachs & Co. | (7,479 | ) | 7,479 | — | — | — | ||||||||||||||
JP Morgan Chase & Co. | (16,526 | ) | 16,526 | — | — | — | ||||||||||||||
Morgan Stanley | (18,967 | ) | 18,967 | — | — | — | ||||||||||||||
State Street Global Markets LLC | (24 | ) | 24 | — | — | — | ||||||||||||||
UBS AG | (1,533 | ) | 3 | — | — | (1,530 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (52,500 | ) | $ | 47,672 | $ | — | $ | — | $ | (4,828 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | 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, 2020. 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. |
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
b) | Capital Loss Carryforward– Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. At July 31, 2019 (tax year end), each Fund’s capital loss carryforwards for U.S. federal income tax purposes were as follows: |
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.
c) | Tax Basis of Investments– The aggregate cost of investments for federal income tax purposes at January 31, 2020 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 | $ | 144,379,333 | $ | 8,654,362 | $ | (23 | ) | $ | 8,654,339 | |||||||
Tax-Aware Bond ETF | 68,718,490 | 1,669,316 | (28,530 | ) | 1,640,786 | |||||||||||
Short Duration ETF | 113,449,602 | 3,023,599 | (280,472 | ) | 2,743,127 | |||||||||||
Total Return Bond ETF | 835,397,547 | 38,814,685 | (5,956,516 | ) | 32,858,169 |
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 a sub-advisory agreement and SIMNA has contracted with Schroder Investment Management North America Limited (“SIMNA Ltd.”) under a sub-sub-advisory agreement with respect toTax-Aware Bond ETF. SIMNA and SIMNA Ltd. perform 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 January 31, 2020; 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 |
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
so by affirmative action of the Board. No Rule12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule12b-1 fees are charged in the future, they will be paid out of the respective Fund’s assets, and over time, these fees increase the cost of your investment and they may cost you more than certain other types of asset-based charges. |
For the period ended January 31, 2020, the Funds did not pay any Rule12b-1 fees.
c) | Other Related Party Transactions– Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For thesix-month period ended January 31, 2020, a portion of the Trust’s Chief Compliance Officer’s (“CCO”) compensation was paid by HFMC. As part of the Funds’ Investment Management Agreement, HFMC also pays any CCO compensation on behalf of the Funds. |
8. | Securities Lending: |
The Trust has entered into a securities lending agency agreement (“lending agreement”) with Citibank, N.A. (“Citibank”). A Fund may lend portfolio securities to certain borrowers in U.S. andnon-U.S. markets in an amount not to exceedone-third (331⁄3%) of the value of its total assets. If a Fund security is on loan, under the lending agreement, the borrower is required to deposit cash or liquid securities as collateral at least equal to 100% of the market value of the loaned securities; cash collateral is invested for the benefit of the Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned.
A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the risk that the principal value of the collateral invested may decline; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; and (vi) the risk that any efforts to restrict the securities for purposes of voting may not be effective. These events could also trigger adverse tax consequences for the Fund.
The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations.
The following table presents the market value of the Funds’ securities on loan, net of amounts available for offset under the master netting arrangements and any related collateral received by the Funds as of January 31, 2020.
Fund | Investment Securities on Loan, at market value, Presented on the Statement of Assets and Liabilities(1) | Collateral Posted by Borrower | Net Amount(2) | |||||||||
Total Return Bond ETF | $ | 1,177,677 | $ | (1,177,677 | ) | $ | — |
(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) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
The total cash andnon-cash collateral received by each Fund in connection with securities lending transactions is presented below:
Fund | Cash Collateral | Non-Cash Collateral | ||||||
Total Return Bond ETF | $ | 1,217,588 | $ | — |
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
9. | Secured Borrowings: |
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of January 31, 2020.
Certain Transfers Accounted for as Secured Borrowings
Remaining Contractual Maturity of the Agreements
Total Return Bond ETF | Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||||||||||||
Securities Lending Transactions(1) |
| |||||||||||||||||||
Corporate Bonds | $ | 118,922 | $ | — | $ | — | $ | — | $ | 118,922 | ||||||||||
Municipal Bonds | 1,098,666 | — | — | — | 1,098,666 | |||||||||||||||
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Total | $ | 1,217,588 | $ | — | $ | — | $ | — | $ | 1,217,588 | ||||||||||
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Total Borrowings | $ | 1,217,588 | $ | — | $ | — | $ | — | $ | 1,217,588 | ||||||||||
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Gross amount of recognized liabilities for securities lending transactions |
| $ | 1,217,588 | |||||||||||||||||
|
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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. |
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 January 31, 2020, affiliates of The Hartford had ownership of shares in certain Funds as follows:
Fund | Percentage of Fund | |
Municipal Opportunities ETF | 57% | |
Tax-Aware Bond ETF | 30% | |
Short Duration ETF | 31% |
As of January 31, 2020, 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 | 42% | |
Total Return Bond ETF | 90% |
12. | Investment Transactions: |
For thesix-month period ended January 31, 2020, 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 | $ | 42,123,322 | $ | 32,700,027 | $ | — | $ | — | $ | 42,123,322 | $ | 32,700,027 | ||||||||||||
Tax-Aware Bond ETF | 48,529,469 | 17,408,418 | 32,095,655 | 32,256,208 | 80,625,124 | 49,664,626 | ||||||||||||||||||
Short Duration ETF | 18,942,402 | 15,389,948 | 1,857,189 | 1,479,935 | 20,799,591 | 16,869,882 | ||||||||||||||||||
Total Return Bond ETF | 102,298,162 | 99,621,168 | 111,515,218 | 58,871,145 | 213,813,380 | 158,492,313 |
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Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
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.
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 January 31, 2020 | Standard In-kind Redemption Fee | ||||||||||||
Municipal Opportunities ETF | 50,000 | $ | 400 | $ | 2,120,000 | $ | 400 | |||||||||
Tax-Aware Bond ETF | 50,000 | $ | 500 | 1,060,000 | $ | 500 | ||||||||||
Short Duration ETF | 50,000 | $ | 400 | 2,051,000 | $ | 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 thesix-month period ended January 31, 2020 and the year ended July 31, 2019:
For the Six-Month Period Ended January 31, 2020 | For the Year Ended July 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Municipal Opportunities ETF | ||||||||||||||||
Shares Sold | 650,000 | $ | 27,286,758 | 3,050,000 | $ | 120,705,261 | ||||||||||
Shares Redeemed | (400,000 | ) | (16,861,884 | ) | — | — | ||||||||||
Other Capital | — | 11,037 | — | 51,773 | ||||||||||||
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Net Increase (Decrease) | 250,000 | 10,435,911 | 3,050,000 | 120,757,034 | ||||||||||||
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For the Six-Month Period Ended January 31, 2020 | For the Year Ended July 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Tax-Aware Bond ETF | ||||||||||||||||
Shares Sold | 2,250,000 | $ | 47,225,213 | 250,000 | $ | 5,235,438 | ||||||||||
Shares Redeemed | (300,000 | ) | (6,323,537 | ) | — | — | ||||||||||
Other Capital | — | 40,162 | — | 3,927 | ||||||||||||
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Net Increase (Decrease) | 1,950,000 | 40,941,838 | 250,000 | 5,239,365 | ||||||||||||
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Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2020 (Unaudited)
For the Six-Month Period Ended January 31, 2020 | For the Year Ended July 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short Duration ETF | ||||||||||||||||
Shares Sold | 450,000 | $ | 18,403,112 | 2,400,000 | $ | 96,183,975 | ||||||||||
Shares Redeemed | (350,000 | ) | (14,324,483 | ) | (200,000 | ) | (8,032,678 | ) | ||||||||
Other Capital | — | 16,364 | — | 52,108 | ||||||||||||
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Net Increase (Decrease) | 100,000 | 4,094,993 | 2,200,000 | 88,203,405 | ||||||||||||
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For the Six-Month Period Ended January 31, 2020 | For the Year Ended July 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Total Return Bond ETF | ||||||||||||||||
Shares Sold | 1,800,000 | $ | 73,365,593 | 14,500,000 | $ | 559,765,672 | ||||||||||
Shares Redeemed | — | — | (1,200,000 | ) | (46,687,112 | ) | ||||||||||
Other Capital | — | 58,692 | — | 525,462 | ||||||||||||
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Net Increase (Decrease) | 1,800,000 | 73,424,285 | 13,300,000 | 513,604,022 | ||||||||||||
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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 issued ASU2017-08 (the “ASU”) 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 for private entities one year later. Upon initial adoption, the impacted Funds adjusted the cost of their callable debt securities by the cumulative amount of amortization that would have been recognized had the amortization period initially extended only to the earliest call date, with a corresponding reclassification between interest income and net realized gain (loss) on investments or net unrealized appreciation (depreciation) of investments in the Statements of Operations. The adoption of the ASU does not affect the impacted Funds’ net asset values and the cumulative effect to the impacted Funds resulting from the adoption of amending the amortization period to the earliest call date for callable debt securities is as follows:
As of August 1, 2019 | For the Six Months Ended January 31, 2020 | |||||||||||||||
Fund | Cost of Investments | Interest Income | Net Unrealized Appreciation (Depreciation) of Investments | Net Realized Gain (Loss) on Investments | ||||||||||||
Municipal Opportunities ETF | $ | 20,003 | $ | 11,712 | $ | 16,185 | $ | 27,897 | ||||||||
Short Duration ETF | 429 | (90 | ) | 90 | — | |||||||||||
Total Return Bond ETF | (34,683 | ) | (15,380 | ) | (30,272 | ) | 45,652 |
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: |
In connection with the preparation of the financial statements of the Funds as of and for the period ended January 31, 2020, events and transactions subsequent to January 31, 2020, through the date the financial statements were issued have been evaluated by the Funds’ management for possible adjustment and/or disclosure.
The affects to public health, business and market conditions resulting from the coronavirus (COVID-19) pandemic that escalated during the first quarter of 2020 may have a significant negative impact on the performanceof the Funds’ investments. The extent and duration of this impact is currently unclear.
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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 are available (1) without charge, upon request, by calling888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.
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Approval of Investment Management and InvestmentSub-Advisory Agreements (Unaudited)
Hartford Funds Exchange-Traded Trust
Hartford Municipal Opportunities ETF
Hartford SchrodersTax-Aware Bond ETF
Hartford Short Duration ETF
Hartford Total Return Bond ETF
(each a “Fund” and collectively, the “Funds”)
Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), requires that each registered investment company’s board of trustees, including a majority of those trustees who are not “interested persons” of the investment company, as defined in the 1940 Act (the “Independent Trustees”), annually review and consider the continuation of the investment company’s investment management andsub-advisory agreements. At its meeting held on August6-7, 2019, the Board of Trustees (the “Board”) of Hartford Funds Exchange-Traded Trust (the “Trust”), including each of the Independent Trustees, unanimously voted to approve (i) the continuation of an investment management agreement by and between Hartford Funds Management Company, LLC (“HFMC”) and the Trust on behalf of each of the Funds (the “Investment Management Agreement”); (ii) the continuation of an investmentsub-advisory agreement (the “SchrodersSub-Advisory Agreement”) by and between HFMC and Schroder Investment Management North America Inc. (“SIMNA Inc.”) on behalf of Hartford SchrodersTax-Aware Bond ETF; (iii) a separate secondarysub-advisory agreement (the“Sub-Sub-Advisory Agreement”) by and between SIMNA Inc. and Schroder Investment Management North America Limited (“SIMNA Ltd.”) on behalf of Hartford SchrodersTax-Aware Bond ETF; and (iv) the continuation of an investmentsub-advisory agreement (the “WellingtonSub-Advisory Agreement” and collectively with the Investment Management Agreement, the SchrodersSub-Advisory Agreement and theSub-Sub-Advisory Agreement, the ���Agreements”) by and between HFMC and Wellington Management Company LLP (“Wellington,” and together with HFMC, SIMNA Inc. and SIMNA Ltd., the “Advisers”), on behalf of Hartford Municipal Opportunities ETF, Hartford Short Duration ETF and Hartford Total Return Bond ETF.
In the months preceding the August6-7, 2019 meeting, the Board requested and reviewed written responses from the Advisers to questions posed to the Advisers on behalf of the Independent Trustees and supporting materials relating to those questions and responses. In addition, the Board considered such additional information as it deemed reasonably necessary to evaluate the Agreements, as applicable, with respect to each Fund, which included information furnished to the Board at its meetings throughout the year, as well as information specifically prepared in connection with the approval of the Agreements that was presented at the Board’s meetings held on June 18, 2019 and August6-7, 2019. Information provided to the Board at its meetings throughout the year included, among other things, reports on Fund performance, legal, compliance and risk management matters, sales and marketing activity, and the other services provided to each Fund by the Advisers and their affiliates. The Board also considered the materials andin-person presentations by Fund officers and representatives of HFMC received at the Board’s meetings on June 18, 2019 andAugust 6-7, 2019 concerning the Agreements.
The Independent Trustees, advised by independent legal counsel throughout the evaluation process, engaged service providers to assist them with evaluating the Agreements with respect to each Fund, as applicable. Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, was retained to provide the Board with reports on how each Fund’s contractual management fees and overall expense ratio compared to those of comparable registered investment companies with similar investment objectives. The Independent Trustees also engaged an independent financial services consultant (the “Consultant”) to assist them in evaluating each Fund’s management fees, overall expense ratio and investment performance. In addition, the Consultant reviewed the profitability methodologies utilized by HFMC in connection with the continuation of the Investment Management Agreement.
In determining whether to approve the Agreements for a Fund, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board’s determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the approval of the Agreements. The Board was also furnished with an analysis of its fiduciary obligations in connection with its evaluation of the Agreements and, throughout the evaluation process, the Board was assisted by counsel for the Funds. The Independent Trustees were also separately assisted by independent legal counsel throughout the evaluation process. A more detailed summary of the important, but not necessarily all, factors the Board considered with respect to its approval of the Agreements is provided below.
Nature, Extent and Quality of Services Provided by the Advisers
The Board requested and considered information concerning the nature, extent and quality of the services provided to each Fund by the Advisers. The Board considered, among other things, the terms of the Agreements and the range of services provided by the Advisers. The Board considered the Advisers’ professional personnel who provide services to the Funds, including each Adviser’s ability and experience in attracting and retaining qualified personnel to service the Funds. The Board considered each Adviser’s reputation and overall financial strength, as well as its willingness to consider and implement organizational and operational changes designed to enhance services to the funds managed by HFMC and its affiliates (the “Hartford Funds”). In addition, the Board considered the quality of each Adviser’s communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Funds and other Hartford Funds.
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Hartford Active Fixed Income ETFs |
Approval of Investment Management and InvestmentSub-Advisory Agreements (Unaudited) – (continued)
The Board also requested and evaluated information concerning each Adviser’s regulatory and compliance environment. In this regard, the Board requested and reviewed information about each Adviser’s compliance policies and procedures, compliance history, and a report from the Funds’ Chief Compliance Officer about each Adviser’s compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulators. The Board also noted the Advisers’ support of the Funds’ compliance control structure, as applicable, and, in particular, the resources devoted by the Advisers in support of the Funds’ obligations pursuant toRule 38a-1 under the 1940 Act and the Funds’ liquidity risk management program, as well as the efforts of the Advisers to combat cybersecurity risks and invest in business continuity planning.
With respect to HFMC, the Board noted that, under the Investment Management Agreement, HFMC is responsible for the management of the Funds, including oversight of fund operations and service providers, and the provision of administrative and investment management services in connection with selecting, monitoring and supervising theSub-advisers. In this regard, the Board evaluated information about the nature and extent of responsibilities retained and risks assumed by HFMC that were not delegated to or assumed by theSub-advisers. The Board considered HFMC’s ongoing monitoring of people, process and performance, including its quarterly reviews of each of the Hartford Funds,semi-annual meetings with the leaders of each Fund’s portfolio management team, and oversight of the Hartford Funds’ portfolio managers. The Board recognized that HFMC has demonstrated a record of initiating changes to the portfolio management and/or investment strategies of the Hartford Funds when warranted. The Board considered HFMC’s periodic due diligence reviews of eachSub-adviser and ongoing oversight of eachSub-adviser’s investment approach and results, process for monitoring best execution of portfolio trades and other trading operations by eachSub-adviser, and approach to risk management with respect to the Funds and the service providers to the Funds. The Board considered HFMC’s oversight of the securities lending program and noted the income earned by the Funds in connection with their participating in the program. The Board also considered HFMC’sday-to-day oversight of each Fund’s compliance with its investment objective and policies as well as with applicable laws and regulations. In addition, the Board considered that HFMC or its affiliates are responsible for providing the Funds’ officers.
With respect to theSub-advisers, which are responsible for the daily investment of their respective Funds, subject to oversight by HFMC, the Board considered, among other things, eachSub-adviser’s investment personnel, investment process, investment research capabilities and resources, performance record, trade execution capabilities and experience. The Board considered the quality and experience of each Fund’s portfolio manager(s), the number of accounts managed by the portfolio manager(s), and eachSub-adviser’s method for compensating the portfolio manager(s). The Board also considered eachSub-adviser’s succession planning to ensure continuity of portfolio management services provided to the Funds.
The Board considered HFMC’s efforts to provide investors in the Hartford Funds with a broad range of investment styles and asset classes and the assumption of entrepreneurial and other risks by HFMC in connection with sponsoring new funds to expand these opportunities for shareholders and providing ongoing services to each Fund. The Board considered the special attributes of the Funds, which are exchange-traded funds, relative to traditional mutual funds and the benefits that are expected to be realized from an investment in the Funds, rather than a traditional mutual fund. The Board also considered the resources devoted by HFMC and its affiliates in developing and maintaining an infrastructure necessary to support the ongoing operations of the Funds.
Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided to each Fund by HFMC and theSub-advisers.
Performance of each Fund and the Advisers
The Board considered the investment performance of each Fund. In this regard, the Board reviewed the performance of each Fund over different time periods presented in the materials and evaluated HFMC’s analysis of the Fund’s performance for these time periods. The Board considered information and materials provided to the Board by the Advisers concerning Fund performance, as well as information from Broadridge comparing the investment performance of each Fund to an appropriate universe of peer funds. For details regarding each Fund’s performance, see theFund-by-Fund synopsis below.
The Board considered the detailed investment analytics reports provided by HFMC’s Investment Advisory Group throughout the year, including in connection with the approval of the Agreements. These reports included, among other things, information on each Fund’s gross returns and net returns, the Fund’s investment performance relative to an appropriate benchmark and peer group (if available), various statistics concerning the Fund’s portfolio, a narrative summary of various factors affecting Fund performance and commentary of the effect of current and recent market conditions. The Board considered the Advisers’ work with the Investment Committee, which assists the Board in evaluating the performance of each Fund at periodic meetings throughout the year and specifically with respect to the approval of the Agreements. The Board also considered the analysis provided by the Consultant relating to each Fund’s performance track record.
In light of all the considerations noted above, the Board concluded that it had continued confidence in HFMC’s and eachSub-adviser’s overall capabilities to manage the Funds, as applicable.
Costs of the Services and Profitability of the Advisers
The Board reviewed information regarding HFMC’s cost to provide investment management and related services to each Fund and HFMC’s profitability, both overall and for each Fund, on apre-tax basis without regard to distribution expenses. The Board also requested and reviewed
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Hartford Active Fixed Income ETFs |
Approval of Investment Management and InvestmentSub-Advisory Agreements (Unaudited) – (continued)
information about the profitability to HFMC and its affiliates from all services provided to each Fund and all aspects of their relationship with the Fund, including information regarding profitability trends over time. The Board also requested and received information relating to the operations and profitability of theSub-advisers. The Board considered representations from HFMC, SIMNA Inc. and Wellington that the respectiveSub-adviser’s fees were negotiated at arm’s length and that thesub-advisory fees are paid by HFMC and not the Funds. The Board also considered that SIMNA Ltd. is an affiliate of SIMNA Inc. and that SIMNA Ltd.’ssub-sub-advisory fees would be paid by SIMNA Inc., not the Hartford SchrodersTax-Aware Bond Fund. Accordingly, the Board concluded that the profitability of eachSub-adviser is a less relevant factor with respect to the Board’s consideration of thesub-advisory agreements.
The Board considered the Consultant’s review of the methodologies and estimates used by HFMC in calculating profitability in connection with the continuation of the Investment Management Agreement, including a description of the methodology used to allocate certain expenses. The Board noted the Consultant’s view that HFMC’s process for calculating and reporting Fund profitability is reasonable and consistent with the process previously reviewed by the Consultant. In this regard, the Board noted that the Consultant had previously performed a full review of this process and reported that such process is sound and consistent with common industry practice.
Based on these considerations, the Board concluded that the profits realized by the Advisers and their affiliates from their relationships with the Funds were not excessive.
Comparison of Fees and Services Provided by the Advisers
The Board considered the comparative information that had been provided at meetings on June 18, 2019 and August6-7, 2019 with respect to the services rendered to and the management fees to be paid by each Fund to HFMC and the total expense ratio of the Fund. The Board considered that HFMC would pay all expenses of the Trust, except for: (i) interest and taxes; (ii) brokerage commissions and other expenses (such as stamp taxes) connected with the execution of portfolio transactions; (iii) expenses incident to the creation and redemption of its shares; (iv) legal fees in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith and any obligation which the Trust may have to indemnify its officers and Trustees with respect thereto; (v) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule12b-1 under the 1940 Act; (vi) such extraordinarynon-recurring expenses as may arise; and (vii) acquired fund fees and expenses. The Board also considered comparative information with respect to thesub-advisory fees to be paid by HFMC to SIMNA Inc. and Wellington with respect to each Fund, as applicable. In this regard, the Board requested and reviewed information from HFMC, SIMNA Inc. and Wellington relating to the management andsub-advisory fees, including thesub-advisory fee schedule for each Fund and the amount of the management fee retained by HFMC, and total operating expenses for each Fund. The Board also reviewed information from Broadridge comparing each Fund’s contractual management fees and total expense ratio relative to an appropriate group of funds selected by Broadridge in consultation with the Consultant. For details regarding each Fund’s expenses, see theFund-by-Fund synopsis below.
The Board considered the methodology used by Broadridge to select the applicable peer groups and noted that the peer groups are comprised of only other actively managed exchange-traded funds. While the Board recognized that comparisons between a Fund and its peer funds may be imprecise given, among other differences, the different service levels and characteristics of registered investment companies and the different business models and cost structures of the Advisers, the comparative information provided by Broadridge assisted the Board in evaluating the reasonableness of each Fund’s fees and total operating expenses. In addition, the Board considered the analysis and recommendations of the Consultant relating to each Fund’s fees and total operating expenses.
The Board received information regarding fees charged by HFMC to other Hartford Funds that are mutual funds with investment strategies similar to those of Hartford Municipal Opportunities ETF, Hartford SchrodersTax-Aware Bond ETF, Hartford Short Duration ETF, and Hartford Total Return Bond ETF. The Board reviewed information about structural, operational and other differences between the Funds and the mutual funds, including differences in the marketplace in which each type of product must compete. The Board also received information regarding fees charged by theSub-advisers to any other clients with investment strategies similar to those of the Funds, including institutional separate account clients and registered fund clients for which aSub-adviser serves as either primary investment adviser orsub-adviser. The Board considered the explanations provided by theSub-advisers about any differences between aSub-adviser’s services to the Funds and the services it provides to other types of clients. In this regard, the Board reviewed information about the generally broader scope of services and compliance, reporting and other legal burdens and risks of managing registered funds compared with those associated with managing assets ofnon-registered fund clients such as institutional separate accounts.
Based on these considerations, the Board concluded that each Fund’s fees and total operating expenses, in conjunction with the information about quality of services, profitability, economies of scale, and other matters considered, were reasonable in light of the services provided.
Economies of Scale
The Board considered information regarding the extent to which economies of scale may be realized as a Fund grows and whether fee levels reflect these economies of scale for the benefit of shareholders of the Fund. The Board also considered that any economies of scale achieved by a Fund would benefit HFMC due to the unitary fee structure of each Fund. The Board considered that each Fund could achieve some economies of scale as assets in the Fund grow. The Board considered that, although the Funds’ unitary fee structure does not have breakpoints, the Funds’ unitary fee rates
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Hartford Active Fixed Income ETFs |
Approval of Investment Management and InvestmentSub-Advisory Agreements (Unaudited) – (continued)
had been set competitively and/or priced to scale at inception and are maintained at those competitive fixed rates even if a particular Fund’s assets decline and/or operating costs rise. In addition, the Board considered that making additional investments intended to enhance services available to the Funds and their shareholders is another means of sharing anticipated or potential economies of scale with shareholders. The Board also considered that HFMC has been active in managing expenses, which has resulted in benefits being realized by shareholders.
After considering all of the information available to it, the Board concluded that it was satisfied with the extent to which economies of scale would be shared for the benefit of each Fund’s shareholders based on currently available information and the effective management fees and total expense ratio for each Fund at its current and reasonably anticipated asset levels. The Board noted, however, that it would continue to monitor future growth in each Fund’s assets and the appropriateness of management fee breakpoints or other methods to share benefits from economies of scale.
Other Benefits
The Board considered other benefits to the Advisers and their affiliates from their relationships with the Funds.
Fund-by-Fund Factors
For purposes of theFund-by-Fund discussion below, Fund performance is referred to as “in line with” a Fund’s benchmark where it was 0.5% above or below the benchmark return, and each Fund’s performance relative to its benchmark reflects the net performance of the Fund as of March 31, 2019.
Hartford Municipal Opportunities ETF
• | The Board noted that the Fund’s performance was in the 1st quintile of its performance universe for the1-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the1-year period. |
• | The Board noted that the Fund’s contractual management fee, actual management fee and total expenses were ranked 1st out of five in its expense group. In considering the Fund’s expenses, the Board noted the shareholder savings expected to result from a permanent fee reduction implemented in 2018. |
Hartford SchrodersTax-Aware Bond ETF
• | The Board noted that the Fund’s performance was in the 1st quintile of its performance universe since the Fund’s inception. The Board also noted that the Fund’s performance was in line with its benchmark since the Fund’s inception. The Board noted recent changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee was in the 3rd quintile of its expense group, while its actual management fee and total expenses were in the 4th quintile. |
Hartford Short Duration ETF
• | The Board noted that the Fund’s performance was in the 1st quintile of its performance universe since the Fund’s inception. The Board also noted that the Fund’s performance was above its benchmark since the Fund’s inception. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group, while its actual management fee was in the 3rd quintile. |
Hartford Total Return Bond ETF
• | The Board noted that the Fund’s performance was in the 1st quintile of its performance universe for the1-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the1-year period. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group, while its actual management fee was in the 3rd quintile. In considering the Fund’s expenses, the Board noted the shareholder savings expected to result from a permanent fee reduction implemented in 2018. |
* * * *
Based upon its review of these various factors, among others, the Board concluded that it is in the best interests of each Fund and its shareholders for the Board to approve the Agreements. In reaching this decision, the Board did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of themselves. In connection with their deliberations, the Independent Trustees met separately in executive session on several occasions, with independent legal counsel and the Consultant, to review the relevant materials and consider their responsibilities under relevant laws and regulations.
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THIS PRIVACY POLICY IS NOT PART OF THIS REPORT
CUSTOMER PRIVACY NOTICE
The Hartford Financial Services Group, Inc. and Affiliates*
(herein called “we, our, and us”)
This Privacy Policy applies to our United States Operations
We value your trust. We are committed to the responsible:
a) management;
b) use; and
c) protection;
ofPersonal Information.
This notice describes how we collect, disclose, and protectPersonal Information.
We collectPersonal Information to:
a) service yourTransactionswith us; and
b) support our business functions.
We may obtainPersonal Information from:
a)You;
b) yourTransactionswith us; and
c) third parties such as a consumer-reporting agency.
Based on the type of product or serviceYou apply for or get from us,Personal Information such as:
a) your name;
b) your address;
c) your income;
d) your payment; or
e) your credit history;
may be gathered from sources such as applications,Transactions, and consumer reports.
To serveYou and service our business, we may share certainPersonal Information. We will sharePersonal Information, only as allowed by law, with affiliates such as:
a) our insurance companies;
b) our employee agents;
c) our brokerage firms; and
d) our administrators.
As allowed by law, we may sharePersonal Financial Information with our affiliates to:
a) market our products; or
b) market our services;
toYou without providingYou with an option to prevent these disclosures.
We may also sharePersonal Information, only as allowed by law, with unaffiliated third parties including:
a) independent agents;
b) brokerage firms;
c) insurance companies;
d) administrators; and
e) service providers;
who help us serveYou and service our business.
When allowed by law, we may share certainPersonal Financial Information with other unaffiliated third parties who assist us by performing services or functions such as:
a) taking surveys;
b) marketing our products or services; or
c) offering financial products or services under a joint agreement between us and one or more financial institutions.
We, and third parties we partner with, may track some of the pagesYou visit through the use of:
a) cookies;
b) pixel tagging; or
c) other technologies;
and currently do not process or comply with any web browser’s “do not track” signal or other similar mechanism that indicates a request to disable online tracking of individual users who visit our websites or use our services.
For more information, our Online Privacy Policy, which governs information we collect on our website and our affiliate websites, is available at https://www.thehartford.com/online-privacy-policy.
We will not sell or share yourPersonal Financial Information with anyone for purposes unrelated to our business functions without offeringYou the opportunity to:
a)“opt-out;” or
b)“opt-in;”
as required by law.
We only disclosePersonal Health Information with:
a) your authorization; or
b) as otherwise allowed or required by law.
Our employees have access toPersonal Information in the course of doing their jobs, such as:
a) underwriting policies;
b) paying claims;
c) developing new products; or
d) advising customers of our products and services.
We use manual and electronic security procedures to maintain:
a) the confidentiality; and
b) the integrity of;
Personal Information that we have. We use these procedures to guard against unauthorized access.
Some techniques we use to protectPersonal Information include:
a) secured files;
b) user authentication;
c) encryption;
d) firewall technology; and
e) the use of detection software.
We are responsible for and must:
a) identify information to be protected;
b) provide an adequate level of protection for that data; and
c) grant access to protected data only to those people who must use it in the performance of theirjob-related duties.
Employees who violate our privacy policies and procedures may be subject to discipline, which may include termination of their employment with us.
We will continue to follow our Privacy Policy regardingPersonal Information even when a business relationship no longer exists between us.
As used in this Privacy Notice:
Application means your request for our product or service.
Personal Financial Information means financial information such as:
a) credit history;
b) income;
c) financial benefits; or
d) policy or claim information.
Personal Financial Information may include Social Security Numbers, Driver’s license numbers, or other government-issued identification numbers, or credit, debit card, or bank account numbers.
Personal Health Information means health information such as:
a) your medical records; or
b) information about your illness, disability or injury.
Personal Information means information that identifiesYou personally and is not otherwise available to the public. It includes:
a)Personal Financial Information; and
b)Personal Health Information.
Transaction means your business dealings with us, such as:
a) yourApplication;
b) your request for us to pay a claim; and
c) your request for us to take an action on your account.
You means an individual who has given usPersonal Information in conjunction with:
a) asking about;
b) applying for; or
c) obtaining;
a financial product or service from us if the product or service is used mainly for personal, family, or household purposes.
If you have any questions or comments about this privacy notice, please feel free to contact us at The Hartford – Consumer Rights and Privacy Compliance Unit, One Hartford Plaza, Hartford, CT 06155, or at ConsumerPrivacyInquiriesMailbox@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 2020), to the extent required by the Gramm-Leach-Bliley Act and implementing regulations:
1stAGChoice, Inc.; Access CoverageCorp, Inc.; Access CoverageCorp Technologies, Inc.; Assurances Continentales Continentale Verzekeringen N.V; Bracht, Deckers & Mackelbert N.V.; Business Management Group, Inc.; Canal Re S.A.; 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 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 Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford Management, Ltd.; Hartford Productivity Services LLC; 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.; 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; Millennium Underwriting Limited; MPC Resolution Company LLC; Navigators (Asia) Limited; Navigators Corporate Underwriters Limited; Navigators Holdings (Europe) N.V.; Navigators Holdings (UK) Limited; Navigators Insurance Company; Navigators International Insurance Company Ltd.; Navigators Management Company, Inc.; Navigators Management (UK) Limited; Navigators N.V.; Navigators Specialty Insurance Company; Navigators Underwriting Agency Limited; Navigators Underwriting Limited; New England Insurance Company; New England Reinsurance Corporation; New Ocean Insurance Co., Ltd.; NIC Investments (Chile) SpA; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company of Hartford; Sentinel Insurance Company, Ltd; The Navigators Group, Inc.; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company; Y-Risk, LLC.
Revised March 2020
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. (“SIMNA”) and Schroder Investment Management North America Ltd. (“SIMNA Ltd”, together with SIMNA, “Schroders”) serves as a sub-sub-adviser to Tax-Aware Bond ETF. The ETFs are distributed by ALPS Distributors, Inc., which is not affiliated with Wellington, Schroders or HFMC.
ETFSAR-AFI20 03/20 215499 HFA000669 Printed in U.S.A.
Item 2. Code of Ethics.
Not applicable to this semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the semi-annual report filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees during the period covered by this report.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or is 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) Not applicable |
(a)(3) Not applicable |
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: April 9, 2020 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and Chief Executive Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Date: April 9, 2020 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and Chief Executive Officer | ||||
Date: April 9, 2020 | By: | /s/ Amy N. Furlong | ||
Amy N. Furlong | ||||
Treasurer | ||||
(Principal Financial Officer and Principal Accounting Officer) |