UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23222
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, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
Hartford Active Fixed Income ETFs Semi-Annual Report January 31, 2021 (Unaudited) _ Hartford Core Bond ETF _ Hartford Municipal Opportunities ETF _ Hartford Schroders Tax-Aware Bond ETF _ Hartford Short Duration ETF _ Hartford Total Return Bond ETF
A MESSAGE FROM THE PRESIDENT
Dear Shareholders:
Thank you for investing in Hartford Exchange-Traded Funds. The following is the Funds’ Semi-Annual Report for the period from August 1, 2020 to January 31, 2021.
Market Review
During the six months ended January 31, 2021, U.S. stocks, as measured by the S&P 500 Index,1 gained 14.47% – a number that reflects a remarkable market recovery following the coronavirus-fueled collapse of March 2020. While the COVID-19
pandemic continued to cause widespread loss of life and economic pain during the period, there were also tangible signs that the worst may be over.
It’s worth remembering that this six-month period was immediately preceded by months of soaring unemployment, business lockdowns, new face-mask requirements, and extensive social-distancing measures. In response, governments around the world, including here in the U.S., attempted to avert further economic disruption by providing unprecedented levels of monetary and fiscal support.
Throughout the period, the U.S. Federal Reserve sought to keep the economy afloat by maintaining a policy of near-zero interest rates and by purchasing trillions in U.S. securities. Meanwhile, trillion-dollar stimulus legislation enacted by the U.S. Congress in March 2020 provided an important lifeline to countless individuals and businesses – although unemployment subsidies, eviction moratoriums, and other economic support measures began to expire by year’s end.
During the period, U.S. markets also endured the divisiveness and uncertainty of a bitterly contested presidential contest. The election of Joseph R. Biden, Jr. as the nation’s 46th president was seen as a largely positive development for markets, as were the proximate announcements that two COVID-19 vaccines had been developed and produced that regulatory authorities determined were safe and effective and approved for use.
As the period ended, the nation struggled to find efficient ways to distribute the vaccines to a nation racked by resurgent infections, localized lockdown measures, and continued dislocations in the travel, leisure, and service industries. A new $900 billion economic stimulus package made its way through Congress as the year drew to a close. And, finally, in late January extensive speculation in certain stocks caused dramatic but temporary market swings that ultimately caused only short-lived disruptions to markets.
With two COVID-19 vaccines in wide global distribution and with additional vaccines in the approval pipeline, we look to the next six months with a renewed sense of promise. That said, the appearance of new, more contagious coronavirus variants have continued to challenge health officials, highlighting the importance of a successful worldwide vaccination campaign. In these unprecedented times, it’s more important than ever to maintain a strong relationship with your financial professional.
Thank you again for investing in Hartford Exchange-Traded Funds. For the most up-to-date information on our funds, please take advantage of all the resources available at hartfordfunds.com.
James Davey
President
Hartford Funds
1 | S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. The index is unmanaged and not available for direct investment. Past performance does not guarantee future results. |
Hartford Active Fixed Income ETFs
2 | ||||
7 | ||||
8 | ||||
9 | ||||
18 | ||||
23 | ||||
28 | ||||
37 | ||||
57 | ||||
58 | ||||
59 | ||||
60 | ||||
63 | ||||
65 | ||||
How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records | 84 | |||
84 | ||||
Approval of Investment Management and Investment Sub-Advisory Agreements | | 85 | | |
90 |
Hartford Core Bond ETF |
January 31, 2021 (Unaudited)
Inception 02/19/2020 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks to provide long-term total return. |
Cumulative Total Returns
for the Periods Ending 01/31/2021
6 Months1 | Since Inception2 | |||||||
Core Bond ETF (NAV Return) | -0.77% | 6.09% | ||||||
Core Bond ETF (Market Price Return) | -0.77% | 6.19% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -0.91% | 4.65% |
1 | Not Annualized |
2 | Inception: 02/19/2020. |
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 recent month-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.
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 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2021.
Important Risks
The Fund is new and has a limited operating history. Investing involves risk, including the possible loss of principal. The net asset value (NAV) of the Fund’s shares may fluctuate due to changes in the market value of the Fund’s holdings. The Fund’s share price may fluctuate due to changes in the relative supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. 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, event, and interest-rate risk. As interest rates rise, bond prices generally fall.•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 risks associated with mortgage-related and asset-backed securities as well as collateralized loan obligations (CLOs) include credit, interest-rate,
prepayment, liquidity, default and extension risk.•The purchase of securities in the To-Be-Announced (TBA) market, can result in additional price and counterparty risk.•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 01/31/2021
Category | Percentage of Net Assets | |||
Fixed Income Securities | ||||
Asset & Commercial Mortgage-Backed Securities | 14.0 | % | ||
Corporate Bonds | 30.6 | |||
Foreign Government Obligations | 1.5 | |||
Municipal Bonds | 0.6 | |||
U.S. Government Agencies(2) | 34.7 | |||
U.S. Government Securities | 34.7 | |||
|
| |||
Total | 116.1 | % | ||
|
| |||
Short-Term Investments | 12.7 | |||
Other Assets & Liabilities | (28.8 | ) | ||
|
| |||
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, 2021. |
| 2 |
|
Hartford Municipal Opportunities ETF |
Fund Overview
January 31, 2021 (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 01/31/2021
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Municipal Opportunities ETF (NAV Return) | 2.84% | 4.51% | 5.10% | |||||||||
Municipal Opportunities ETF (Market Price Return) | 2.71% | 4.40% | 5.10% | |||||||||
Bloomberg Barclays Municipal Bond 1-15 Year Blend (1-17) Index | 1.56% | 3.64% | 4.22% |
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 recent month-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.
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 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2021.
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 01/31/2021
Municipal Bonds | Percentage of Net Assets | |||
Airport | 6.0 | % | ||
Development | 4.6 | |||
Education | 1.7 | |||
Facilities | 0.1 | |||
General Obligation | 10.2 | |||
Higher Education | 2.1 | |||
Housing | 1.4 | |||
Medical | 4.7 | |||
Mello-Roos District | 0.1 | |||
Multifamily Housing | 0.5 | |||
Nursing Homes | 7.4 | |||
Other(2) | 19.8 | |||
Power | 3.1 | |||
School District | 5.8 | |||
Single Family Housing | 6.6 | |||
Student Loan | 3.1 | |||
Tobacco | 2.2 | |||
Transportation | 11.5 | |||
Utilities | 4.8 | |||
Water | 0.1 | |||
Short-Term Investments | 2.8 | |||
Other Assets & Liabilities | 1.4 | |||
|
| |||
Total | 100.0 | % | ||
|
|
(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. |
| 3 |
|
Hartford Schroders Tax-Aware Bond ETF |
Fund Overview
January 31, 2021 (Unaudited)
Inception 04/18/2018 Sub-advised by Schroder Investment Management North America Inc. | Investment objective – The Fund seeks total return on an after-tax basis. |
Average Annual Total Returns
for the Periods Ending 01/31/2021
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Tax-Aware Bond ETF (NAV Return) | 1.20% | 4.73% | 5.49% | |||||||||
Tax-Aware Bond ETF (Market Price Return) | 0.60% | 4.44% | 5.47% | |||||||||
Bloomberg Barclays Municipal Bond Index | 2.01% | 4.01% | 5.61% |
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 recent month-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.
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 0.40%. 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 01/31/2021.
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.•The risks associated with mortgage-related and asset-backed securities 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 01/31/2021
Category | Percentage of Net Assets | |||
Fixed Income Securities | ||||
Corporate Bonds | 14.6 | % | ||
Municipal Bonds | 59.2 | |||
U.S. Government Agencies(2) | 7.4 | |||
U.S. Government Securities | 11.7 | |||
|
| |||
Total | 92.9 | % | ||
|
| |||
Short-Term Investments | 11.4 | |||
Other Assets & Liabilities | (4.3 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
(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, 2021. |
| 4 |
|
Hartford Short Duration ETF |
Fund Overview
January 31, 2021 (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 01/31/2021
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Short Duration ETF (NAV Return) | 2.17% | 3.45% | 4.29% | |||||||||
Short Duration ETF (Market Price Return) | 2.12% | 3.30% | 4.29% | |||||||||
Bloomberg Barclays 1-3 Year U.S. Government/Credit Index | 0.29% | 2.80% | 3.34% |
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 recent month-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.
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 0.29% Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2021.
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, event, 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 01/31/2021
Category | Percentage of Net Assets | |||
Fixed Income Securities |
| |||
Asset & Commercial Mortgage-Backed Securities | 19.5 | % | ||
Corporate Bonds | 50.9 | |||
Municipal Bonds | 0.3 | |||
Senior Floating Rate Interests | 18.0 | |||
U.S. Government Agencies(2) | 9.5 | |||
|
| |||
Total | 98.2 | % | ||
|
| |||
Short-Term Investments | 5.5 | |||
Other Assets & Liabilities | (3.7 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
(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, 2021. |
| 5 |
|
Hartford Total Return Bond ETF |
Fund Overview
January 31, 2021 (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 01/31/2021
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Total Return Bond ETF (NAV Return) | 0.75% | 6.28% | 5.43% | |||||||||
Total Return Bond ETF (Market Price Return) | 0.82% | 6.22% | 5.46% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -0.91% | 4.72% | 4.69% |
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 recent month-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.
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 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2021.
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, event, 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.•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 01/31/2021
Category | Percentage of Net Assets | |||
Equity Securities | ||||
Common Stocks | 0.0 | %* | ||
|
| |||
Fixed Income Securities | ||||
Asset & Commercial Mortgage-Backed Securities | 12.7 | % | ||
Corporate Bonds | 32.1 | |||
Foreign Government Obligations | 6.7 | |||
Municipal Bonds | 1.9 | |||
Senior Floating Rate Interests | 5.6 | |||
U.S. Government Agencies(2) | 42.2 | |||
U.S. Government Securities | 26.6 | |||
|
| |||
Total | 127.8 | % | ||
|
| |||
Short-Term Investments | 2.6 | |||
Purchased Options | 0.0 | * | ||
Other Assets & Liabilities | (30.4 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
* | Percentage rounds to zero. |
(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, 2021. |
| 6 |
|
Hartford Active Fixed Income ETFs |
Bloomberg Barclays 1-3 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. The 1-3 Year Government/Credit Index includes securities in the 1-3 year maturity range in the Government/Credit Index.
Bloomberg Barclays Municipal Bond 1-15 Year Blend (1-17) Index (reflects no deduction for fees, expenses or taxes) is a sub-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 the tax-exempt bond market.
Bloomberg Barclays Municipal Bond Index (reflects no deduction for fees, expenses or taxes) is designed to cover the USD-denominated long-term tax exempt bond market.
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.
| 7 |
|
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, 2020 through January 31, 2021, except as noted below. 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 the one-half year period).
Actual Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||
Beginning Account Value August 1, 2020 | Ending Account Value January 31, 2021 | Expenses paid during the period August 1, 2020 through January 31, 2021 | Beginning Account Value August 1, 2020 | Ending Account Value January 31, 2021 | Expenses paid during the period August 1, 2020 through January 31, 2021 | Annualized expense ratio | ||||||||||||||||||||||
Hartford Core Bond ETF | $ | 1,000.00 | $ | 992.30 | $ | 1.46 | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | 0.29 | % | ||||||||||||||
Hartford Municipal Opportunities ETF | $ | 1,000.00 | $ | 1,028.40 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | 0.29 | % | ||||||||||||||
Hartford Schroders Tax-Aware Bond ETF | $ | 1,000.00 | $ | 1,012.00 | $ | 1.98 | $ | 1,000.00 | $ | 1,023.24 | $ | 1.99 | 0.39 | % | ||||||||||||||
Hartford Short Duration ETF | $ | 1,000.00 | $ | 1,021.70 | $ | 1.48 | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | 0.29 | % | ||||||||||||||
Hartford Total Return Bond ETF | $ | 1,000.00 | $ | 1,007.50 | $ | 1.47 | $ | 1,000.00 | $ | 1,023.74 | $ | 1.48 | 0.29 | % |
| 8 |
|
Hartford Core Bond ETF |
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 14.0% | ||||||||||
Asset-Backed - Automobile - 0.2% | ||||||||||
$ | 80,621 | American Credit Acceptance Receivables Trust 0.62%, 10/13/2023(1) | $ | 80,718 | ||||||
105,000 | Prestige Auto Receivables Trust 1.62%, 11/16/2026(1) | 106,853 | ||||||||
Santander Drive Auto Receivables Trust |
| |||||||||
35,000 | 1.48%, 01/15/2027 | 35,670 | ||||||||
4,333 | 2.07%, 01/17/2023 | 4,350 | ||||||||
105,000 | Westlake Automobile Receivables Trust 1.65%, 02/17/2026(1) | 107,055 | ||||||||
|
| |||||||||
334,646 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities - 4.5% | ||||||||||
1,283,677 | Bank of America Commercial Mortgage Trust 1.79%, 03/15/2063(2)(3) | 183,009 | ||||||||
Benchmark Mortgage Trust |
| |||||||||
563,950 | 1.52%, 01/15/2054(2)(3) | 70,297 | ||||||||
619,732 | 1.79%, 07/15/2053(2)(3) | 73,420 | ||||||||
BX Commercial Mortgage Trust |
| |||||||||
354,675 | 0.93%, 12/15/2036, 1 mo. USD LIBOR + 0.800%(1)(4) | 355,447 | ||||||||
227,831 | 1.05%, 10/15/2036, 1 mo. USD LIBOR + 0.920%(1)(4) | 228,220 | ||||||||
96,640 | Citigroup Commercial Mortgage Trust 3.61%, 11/10/2048 | 102,944 | ||||||||
Commercial Mortgage Trust |
| |||||||||
35,000 | 3.18%, 02/10/2048 | 38,184 | ||||||||
150,000 | 3.31%, 03/10/2048 | 164,953 | ||||||||
210,000 | 3.61%, 08/10/2049(1)(2) | 227,602 | ||||||||
30,000 | CSAIL Commercial Mortgage Trust 4.36%, 11/15/2051(2) | 34,625 | ||||||||
100,000 | CSMC Trust 2.26%, 08/15/2037(1) | 103,595 | ||||||||
Deutsche Bank Commercial Mortgage Trust DBJPM Mortgage Trust | ||||||||||
469,734 | 1.71%, 09/15/2053(2)(3) | 50,616 | ||||||||
50,000 | 3.04%, 05/10/2049 | 53,118 | ||||||||
FREMF Mortgage Trust |
| |||||||||
295,000 | 3.59%, 04/25/2048(1)(2) | 322,050 | ||||||||
90,000 | 3.68%, 11/25/2049(1)(2) | 96,645 | ||||||||
230,000 | 3.76%, 07/25/2026(1)(2) | 251,797 | ||||||||
225,000 | 3.94%, 06/25/2049(1)(2) | 251,039 | ||||||||
315,000 | 4.16%, 08/25/2047(1)(2) | 346,001 | ||||||||
375,000 | GS Mortgage Securities Trust 3.44%, 11/10/2049(2) | 419,779 | ||||||||
200,000 | Hawaii Hotel Trust 1.28%, 05/15/2038, 1 mo. USD LIBOR + 1.150%(1)(4) | 200,280 | ||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||
150,000 | 2.95%, 06/15/2049 | 158,680 | ||||||||
150,000 | 3.24%, 10/15/2050 | 164,330 | ||||||||
95,636 | 3.56%, 12/15/2048 | 102,162 | ||||||||
635,000 | 3.58%, 03/15/2049 | 714,806 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||
100,000 | 2.92%, 02/15/2046 | 103,971 | ||||||||
210,000 | 3.53%, 12/15/2047 | 229,791 | ||||||||
150,000 | One Market Plaza Trust 3.61%, 02/10/2032(1) | 155,535 | ||||||||
50,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | 52,235 | ||||||||
100,000 | VNDO Mortgage Trust 3.00%, 11/15/2030(1) | 103,770 | ||||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||||
40,000 | 3.15%, 05/15/2048 | 43,602 | ||||||||
96,814 | 3.52%, 12/15/2048 | 103,043 | ||||||||
420,000 | 3.64%, 03/15/2050 | 476,181 | ||||||||
235,000 | 3.81%, 12/15/2048 | 266,186 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 14.0% - (continued) | ||||||||||
Commercial Mortgage-Backed Securities - 4.5% - (continued) | ||||||||||
Wells Fargo N.A. |
| |||||||||
$ | 4,039,710 | 0.65%, 11/15/2062(2)(3) | $ | 200,262 | ||||||
989,533 | 0.96%, 02/15/2052(2)(3) | 61,414 | ||||||||
1,508,190 | 1.36%, 11/15/2053(2)(3) | 162,243 | ||||||||
170,000 | 2.04%, 02/15/2054 | 175,087 | ||||||||
145,000 | 4.41%, 11/15/2061(2) | 173,090 | ||||||||
82,017 | WFRBS Commercial Mortgage Trust 2.98%, 06/15/2046 | 83,706 | ||||||||
|
| |||||||||
7,103,715 | ||||||||||
|
| |||||||||
Other Asset-Backed Securities - 5.6% | ||||||||||
Affirm Asset Securitization Trust |
| |||||||||
165,130 | 1.90%, 01/15/2025(1) | 166,364 | ||||||||
69,321 | 3.46%, 10/15/2024(1) | 70,481 | ||||||||
166,427 | Bayview Mortgage Fund Trust 3.50%, 01/28/2058(1)(2) | 168,473 | ||||||||
Bayview Opportunity Master Fund Trust |
| |||||||||
128,345 | 3.50%, 06/28/2057(1)(2) | 131,620 | ||||||||
190,857 | 4.00%, 10/28/2064(1)(2) | 198,470 | ||||||||
246,409 | Carlyle Global Market Strategies CLO Ltd. 1.27%, 05/15/2031, 3 mo. USD LIBOR + 1.050%(1)(4) | 246,101 | ||||||||
412,618 | Carlyle U.S. CLO Ltd. 1.52%, 04/20/2031, 3 mo. USD LIBOR + 1.300%(1)(4) | 412,756 | ||||||||
270,000 | Carlyle Vantage CLO Corp. 1.24%, 04/20/2031, 3 mo. USD LIBOR + 1.020%(1)(4) | 269,974 | ||||||||
300,000 | CIFC Funding Ltd. 1.87%, 08/24/2032, 3 mo. USD LIBOR + 1.650%(1)(4) | 301,289 | ||||||||
43,530 | Consumer Loan Underlying Bond CLUB Credit Trust 2.26%, 03/15/2028(1) | 43,821 | ||||||||
270,000 | Dryden 55 CLO Ltd. 1.26%, 04/15/2031, 3 mo. USD LIBOR + 1.020%(1)(4) | 269,714 | ||||||||
410,000 | Dryden 86 CLO Ltd. 1.87%, 07/17/2030, 3 mo. USD LIBOR + 1.650%(1)(4) | 411,124 | ||||||||
270,000 | KKR CLO Ltd. 1.24%, 04/15/2031, 3 mo. USD LIBOR + 1.000%(1)(4) | 269,178 | ||||||||
270,000 | Madison Park Funding Ltd. 1.50%, 01/15/2033, 3 mo. USD LIBOR + 1.260%(1)(4) | 270,315 | ||||||||
250,000 | Magnetite Ltd. 1.32%, 07/20/2031, 3 mo. USD LIBOR + 1.100%(1)(4) | 250,169 | ||||||||
39,711 | Marlette Funding Trust 2.39%, 12/17/2029(1) | 40,030 | ||||||||
108,013 | Mill City Mortgage Loan Trust 3.50%, 05/25/2058(1)(2) | 111,810 | ||||||||
330,000 | New Residential Advance Receivables Trust 1.43%, 08/15/2053(1) | 331,788 | ||||||||
305,000 | NRZ Advance Receivables Trust 1.48%, 09/15/2053(1) | 306,571 | ||||||||
270,000 | Octagon Investment Partners Ltd. 1.57%, 10/15/2032, 3 mo. USD LIBOR + 1.330%(1)(4) | 270,366 | ||||||||
250,000 | Palmer Square CLO Ltd. 1.94%, 07/15/2031, 3 mo. USD LIBOR + 1.700%(1)(4) | 250,727 | ||||||||
188,988 | Pretium Mortgage Credit Partners LLC 2.86%, 05/27/2059(1)(5) | 189,688 | ||||||||
100,000 | Regional Management Issuance Trust 2.34%, 10/15/2030(1) | 101,377 | ||||||||
150,000 | SCF Equipment Leasing 1.19%, 10/20/2027(1) | 151,629 | ||||||||
60,000 | Stack Infrastructure Issuer LLC 1.89%, 08/25/2045(1) | 60,675 | ||||||||
75,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 75,321 | ||||||||
Towd Point Mortgage Trust |
| |||||||||
197,149 | 1.75%, 10/25/2060(1) | 202,386 | ||||||||
76,594 | 2.75%, 08/25/2055(1)(2) | 77,416 | ||||||||
364,398 | 2.75%, 10/25/2056(1)(2) | 371,163 | ||||||||
374,181 | 2.75%, 06/25/2057(1)(2) | 386,544 |
The accompanying notes are an integral part of these financial statements.
| 9 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 14.0% - (continued) | ||||||||||
Other Asset-Backed Securities - 5.6% - (continued) | ||||||||||
$ | 303,037 | 2.75%, 07/25/2057(1)(2) | $ | 309,598 | ||||||
354,945 | 2.75%, 10/25/2057(1)(2) | 365,448 | ||||||||
87,050 | 2.90%, 10/25/2059(1)(2) | 91,738 | ||||||||
83,070 | 3.25%, 03/25/2058(1)(2) | 86,807 | ||||||||
339,791 | 3.75%, 03/25/2058(1)(2) | 365,081 | ||||||||
235,000 | Vantage Data Centers Issuer LLC 1.65%, 09/15/2045(1) | 235,884 | ||||||||
Vericrest Opportunity Loan Trust |
| |||||||||
236,642 | 2.98%, 02/25/2050(1)(5) | 237,336 | ||||||||
200,320 | 2.98%, 03/25/2050(1)(5) | 200,631 | ||||||||
156,047 | 3.97%, 04/25/2050(1)(5) | 158,277 | ||||||||
109,692 | VOLT LXXX LLC 3.23%, 10/25/2049(1)(5) | 109,918 | ||||||||
165,839 | VOLT LXXXIV LLC 3.43%, 12/27/2049(1)(5) | 166,321 | ||||||||
100,000 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 102,619 | ||||||||
|
| |||||||||
8,836,998 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 3.7% | ||||||||||
Angel Oak Mortgage Trust |
| |||||||||
239,614 | 0.99%, 04/25/2053(1)(2) | 240,670 | ||||||||
118,824 | 1.47%, 06/25/2065(1)(2) | 119,480 | ||||||||
179,359 | 1.69%, 04/25/2065(1)(2) | 181,370 | ||||||||
Angel Oak Mortgage Trust LLC |
| |||||||||
121,821 | 3.65%, 09/25/2048(1)(2) | 123,525 | ||||||||
37,441 | 3.67%, 07/27/2048(1)(2) | 37,989 | ||||||||
Arroyo Mortgage Trust |
| |||||||||
71,724 | 3.76%, 04/25/2048(1)(2) | 72,976 | ||||||||
77,198 | 3.81%, 01/25/2049(1)(2) | 79,802 | ||||||||
Bunker Hill Loan Depositary Trust |
| |||||||||
195,116 | 1.72%, 02/25/2055(1)(2) | 198,055 | ||||||||
77,475 | 2.88%, 07/25/2049(1)(5) | 80,242 | ||||||||
73,693 | 3.61%, 10/26/2048(1)(5) | 74,712 | ||||||||
COLT Mortgage Loan Trust |
| |||||||||
81,108 | 1.26%, 09/25/2065(1)(2) | 81,538 | ||||||||
238,386 | 1.33%, 10/26/2065(1)(2) | 238,947 | ||||||||
362,371 | 1.39%, 01/25/2065(1)(2) | 364,992 | ||||||||
204,762 | 1.51%, 04/27/2065(1)(2) | 207,131 | ||||||||
54,331 | 3.34%, 05/25/2049(1)(2) | 54,549 | ||||||||
CSMC Trust |
| |||||||||
325,429 | 1.21%, 05/25/2065(1)(5) | 327,395 | ||||||||
286,998 | 2.00%, 01/25/2060(1)(2) | 294,963 | ||||||||
Deephaven Residential Mortgage Trust |
| |||||||||
184,998 | 1.69%, 05/25/2065(1) | 186,522 | ||||||||
46,475 | 2.96%, 07/25/2059(1)(2) | 47,151 | ||||||||
101,964 | Ellington Financial Mortgage Trust 1.18%, 10/25/2065(1)(2) | 101,985 | ||||||||
39,860 | Galton Funding Mortgage Trust 3.50%, 11/25/2057(1)(2) | 40,223 | ||||||||
GCAT Trust |
| |||||||||
89,293 | 1.56%, 04/25/2065(1)(5) | 89,983 | ||||||||
73,265 | 2.25%, 01/25/2060(1)(5) | 74,897 | ||||||||
MetLife Securitization Trust |
| |||||||||
75,391 | 3.75%, 03/25/2057(1)(2) | 79,981 | ||||||||
99,345 | 3.75%, 04/25/2058(1)(2) | 103,840 | ||||||||
91,151 | MFA Trust 1.01%, 01/26/2065(1)(2) | 91,130 | ||||||||
164,135 | Mill City Mortgage Loan Trust 3.25%, 10/25/2069(1)(2) | 173,711 | ||||||||
New Residential Mortgage Loan Trust |
| |||||||||
83,182 | 1.65%, 05/24/2060(1)(2) | 83,789 | ||||||||
205,272 | 3.50%, 12/25/2057(1)(2) | 215,899 | ||||||||
67,419 | 3.60%, 04/25/2049(1)(2) | 68,105 | ||||||||
29,491 | 3.75%, 03/25/2056(1)(2) | 31,303 | ||||||||
78,763 | 3.75%, 11/25/2058(1)(2) | 84,759 | ||||||||
335,571 | 4.00%, 03/25/2057(1)(2) | 360,633 | ||||||||
349,842 | 4.00%, 12/25/2057(1)(2) | 374,967 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 14.0% - (continued) | ||||||||||
Whole Loan Collateral CMO - 3.7% - (continued) | ||||||||||
Preston Ridge Partners Mortgage Trust LLC |
| |||||||||
$ | 90,710 | 2.36%, 11/25/2025(1)(5) | $ | 91,031 | ||||||
214,391 | 2.86%, 09/25/2025(1)(5) | 216,234 | ||||||||
33,112 | Seasoned Credit Risk Transfer Trust 2.50%, 08/25/2059 | 34,814 | ||||||||
86,086 | Starwood Mortgage Residential Trust 1.49%, 04/25/2065(1)(2) | 87,151 | ||||||||
Verus Securitization Trust |
| |||||||||
146,860 | 1.22%, 05/25/2065(1)(5) | 147,284 | ||||||||
118,651 | 1.50%, 05/25/2065(1)(5) | 120,064 | ||||||||
135,890 | 2.69%, 11/25/2059(1)(2) | 139,983 | ||||||||
|
| |||||||||
5,823,775 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage-Backed Securities | $ | 22,099,134 | ||||||||
|
| |||||||||
CORPORATE BONDS - 30.6% | ||||||||||
Aerospace/Defense - 0.7% | ||||||||||
251,000 | Boeing Co. 5.04%, 05/01/2027 | 292,184 | ||||||||
55,000 | General Dynamics Corp. 4.25%, 04/01/2040 | 69,264 | ||||||||
L3Harris Technologies, Inc. |
| |||||||||
72,000 | 3.85%, 06/15/2023 | 77,549 | ||||||||
50,000 | 4.40%, 06/15/2028 | 59,174 | ||||||||
112,000 | Lockheed Martin Corp. 3.80%, 03/01/2045 | 134,266 | ||||||||
165,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 221,370 | ||||||||
172,000 | United Technologies Corp. 4.45%, 11/16/2038 | 210,257 | ||||||||
|
| |||||||||
1,064,064 | ||||||||||
|
| |||||||||
Agriculture - 0.8% | ||||||||||
Altria Group, Inc. |
| |||||||||
5,000 | 2.35%, 05/06/2025 | 5,275 | ||||||||
229,000 | 3.88%, 09/16/2046 | 238,076 | ||||||||
145,000 | 5.80%, 02/14/2039 | 188,040 | ||||||||
112,000 | Archer-Daniels-Midland Co. 3.25%, 03/27/2030 | 126,272 | ||||||||
215,000 | BAT Capital Corp. 2.26%, 03/25/2028 | 219,254 | ||||||||
95,000 | BAT International Finance plc 1.67%, 03/25/2026 | 96,414 | ||||||||
137,000 | Philip Morris International, Inc. 2.10%, 05/01/2030 | 139,886 | ||||||||
269,000 | Reynolds American, Inc. 4.85%, 09/15/2023 | 298,785 | ||||||||
|
| |||||||||
1,312,002 | ||||||||||
|
| |||||||||
Auto Manufacturers - 0.2% | ||||||||||
294,000 | General Motors Co. 6.13%, 10/01/2025 | 354,356 | ||||||||
|
| |||||||||
Beverages - 0.9% | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
412,000 | 3.75%, 07/15/2042 | 454,023 | ||||||||
31,000 | 4.35%, 06/01/2040 | 36,993 | ||||||||
284,000 | Constellation Brands, Inc. 3.60%, 02/15/2028 | 321,731 | ||||||||
200,000 | Diageo Capital plc 2.00%, 04/29/2030 | 204,824 | ||||||||
PepsiCo, Inc. |
| |||||||||
314,000 | 1.63%, 05/01/2030 | 314,378 | ||||||||
5,000 | 2.63%, 03/19/2027 | 5,476 | ||||||||
14,000 | 3.63%, 03/19/2050 | 16,684 | ||||||||
|
| |||||||||
1,354,109 | ||||||||||
|
| |||||||||
Biotechnology - 0.8% | ||||||||||
Amgen, Inc. |
| |||||||||
62,000 | 1.90%, 02/21/2025 | 64,983 | ||||||||
67,000 | 2.20%, 02/21/2027 | 70,859 | ||||||||
266,000 | 2.30%, 02/25/2031 | 276,563 | ||||||||
142,000 | 2.45%, 02/21/2030 | 149,624 | ||||||||
Gilead Sciences, Inc. |
| |||||||||
250,000 | 1.65%, 10/01/2030 | 247,113 | ||||||||
5,000 | 3.65%, 03/01/2026 | 5,633 |
The accompanying notes are an integral part of these financial statements.
| 10 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Biotechnology - 0.8% - (continued) | ||||||||||
Royalty Pharma plc |
| |||||||||
$ | 15,000 | 1.75%, 09/02/2027(1) | $ | 15,294 | ||||||
230,000 | 2.20%, 09/02/2030(1) | 231,916 | ||||||||
65,000 | 3.30%, 09/02/2040(1) | 67,045 | ||||||||
90,000 | 3.55%, 09/02/2050(1) | 93,984 | ||||||||
|
| |||||||||
1,223,014 | ||||||||||
|
| |||||||||
Chemicals - 0.4% | ||||||||||
Air Products and Chemicals, Inc. |
| |||||||||
5,000 | 1.50%, 10/15/2025 | 5,173 | ||||||||
15,000 | 1.85%, 05/15/2027 | 15,742 | ||||||||
224,000 | DuPont de Nemours, Inc. 4.21%, 11/15/2023 | 246,333 | ||||||||
70,000 | LYB International Finance LLC 3.80%, 10/01/2060 | 72,463 | ||||||||
45,000 | LYB International Finance LLC 1.25%, 10/01/2025 | 45,380 | ||||||||
Sherwin-Williams Co. |
| |||||||||
187,000 | 2.30%, 05/15/2030 | 193,794 | ||||||||
67,000 | 2.95%, 08/15/2029 | 73,052 | ||||||||
5,000 | 3.30%, 05/15/2050 | 5,423 | ||||||||
|
| |||||||||
657,360 | ||||||||||
|
| |||||||||
Commercial Banks - 6.5% | ||||||||||
Bank of America Corp. |
| |||||||||
435,000 | 1.92%, 10/24/2031, (1.92% fixed rate until 10/24/2030; 3 mo. USD SOFR + 1.370% thereafter)(6) | 431,079 | ||||||||
432,000 | 2.46%, 10/22/2025, (2.46% fixed rate until 10/22/2024; 3 mo. USD LIBOR + 0.870% thereafter)(6) | 457,511 | ||||||||
485,000 | 3.00%, 12/20/2023, (3.00% fixed rate until 12/20/2022; 3 mo. USD LIBOR + 0.790% thereafter)(6) | 508,064 | ||||||||
161,000 | 3.97%, 02/07/2030, (3.97% fixed rate until 02/07/2029; 3 mo. USD LIBOR + 1.210% thereafter)(6) | 186,015 | ||||||||
503,000 | 4.08%, 03/20/2051, (4.08% fixed rate until 03/20/2050; 3 mo. USD LIBOR + 3.150% thereafter)(6) | 608,893 | ||||||||
Bank of New York Mellon Corp. |
| |||||||||
110,000 | 1.95%, 08/23/2022 | 112,963 | ||||||||
144,000 | 2.10%, 10/24/2024 | 152,614 | ||||||||
200,000 | BNP Paribas S.A. 2.22%, 06/09/2026, (2.22% fixed rate until 06/09/2025; 3 mo. USD SOFR + 2.074% thereafter)(1)(6) | 208,982 | ||||||||
681,000 | Citigroup, Inc. 3.20%, 10/21/2026 | 750,505 | ||||||||
117,000 | Fifth Third Bancorp 2.38%, 01/28/2025 | 123,838 | ||||||||
Goldman Sachs Group, Inc. |
| |||||||||
55,000 | 1.99%, 01/27/2032, (1.99% fixed rate until 01/27/2031; 3 mo. USD SOFR + 1.090% thereafter)(6) | 55,059 | ||||||||
236,000 | 2.60%, 02/07/2030 | 249,514 | ||||||||
140,000 | 3.27%, 09/29/2025, (3.27% fixed rate until 09/29/2024; 3 mo. USD LIBOR + 1.201% thereafter)(6) | 152,360 | ||||||||
67,000 | 4.02%, 10/31/2038, (4.02% fixed rate until 10/31/2037; 3 mo. USD LIBOR + 1.373% thereafter)(6) | 79,241 | ||||||||
HSBC Holdings plc |
| |||||||||
200,000 | 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD SOFR + 1.290% thereafter)(6) | 202,382 | ||||||||
200,000 | 3.60%, 05/25/2023 | 214,514 | ||||||||
JP Morgan Chase & Co. |
| |||||||||
1,643,000 | 2.30%, 10/15/2025, (2.30% fixed rate until 10/15/2024; 3 mo. USD SOFR + 1.160% thereafter)(6) | 1,735,337 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Commercial Banks - 6.5% - (continued) | ||||||||||
$ | 85,000 | 3.11%, 04/22/2041, (3.11% fixed rate until 04/22/2040; 3 mo. USD SOFR + 2.460% thereafter)(6) | $ | 91,660 | ||||||
95,000 | 3.80%, 07/23/2024, (3.80% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.890% thereafter)(6) | 102,543 | ||||||||
77,000 | 4.49%, 03/24/2031, (4.49% fixed rate until 03/24/2030; 3 mo. USD SOFR + 3.790% thereafter)(6) | 92,471 | ||||||||
108,000 | KeyCorp. 2.55%, 10/01/2029 | 115,038 | ||||||||
Morgan Stanley |
| |||||||||
235,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 3 mo. USD SOFR + 1.034% thereafter)(6) | 231,374 | ||||||||
95,000 | 1.93%, 04/28/2032, (1.93% fixed rate until 04/28/2031; 3 mo. USD SOFR + 1.020% thereafter)(6) | 94,632 | ||||||||
317,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 3 mo. USD SOFR + 1.143% thereafter)(6) | 336,529 | ||||||||
700,000 | 3.88%, 01/27/2026 | 795,737 | ||||||||
91,000 | 3.97%, 07/22/2038, (3.97% fixed rate until 07/22/2037; 3 mo. USD LIBOR + 1.455% thereafter)(6) | 108,533 | ||||||||
76,000 | PNC Financial Services Group, Inc. 2.55%, 01/22/2030 | 81,235 | ||||||||
164,000 | Santander Holdings USA, Inc. 3.40%, 01/18/2023 | 172,028 | ||||||||
State Street Corp. |
| |||||||||
177,000 | 2.35%, 11/01/2025, (2.35% fixed rate until 11/01/2024; 3 mo. USD SOFR + 0.940% thereafter)(6) | 188,711 | ||||||||
62,000 | 2.90%, 03/30/2026, (2.90% fixed rate until 03/30/2025; 3 mo. USD SOFR + 2.600% thereafter)(6) | 67,160 | ||||||||
250,000 | Truist Bank 2.25%, 03/11/2030 | 257,771 | ||||||||
Wells Fargo & Co. |
| |||||||||
1,193,000 | 2.41%, 10/30/2025, (2.41% fixed rate until 10/30/2024; 3 mo. USD LIBOR + 0.825% thereafter)(6) | 1,260,025 | ||||||||
36,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD LIBOR + 4.240% thereafter)(6) | 49,417 | ||||||||
|
| |||||||||
10,273,735 | ||||||||||
|
| |||||||||
Commercial Services - 0.5% | ||||||||||
Equifax, Inc. |
| |||||||||
112,000 | 2.60%, 12/15/2025 | 120,111 | ||||||||
5,000 | 3.10%, 05/15/2030 | 5,461 | ||||||||
112,000 | ERAC USA Finance LLC 7.00%, 10/15/2037(1) | 171,887 | ||||||||
Global Payments, Inc. |
| |||||||||
67,000 | 2.90%, 05/15/2030 | 71,639 | ||||||||
162,000 | 3.20%, 08/15/2029 | 176,933 | ||||||||
Howard University (AGM Insured) |
| |||||||||
100,000 | 2.90%, 10/01/2031 | 105,858 | ||||||||
70,000 | 3.48%, 10/01/2041 | 71,654 | ||||||||
|
| |||||||||
723,543 | ||||||||||
|
| |||||||||
Construction Materials - 0.2% | ||||||||||
Carrier Global Corp. |
| |||||||||
234,000 | 2.24%, 02/15/2025 | 245,891 | ||||||||
50,000 | 2.70%, 02/15/2031 | 52,814 | ||||||||
|
| |||||||||
298,705 | ||||||||||
|
| |||||||||
Diversified Financial Services - 0.3% | ||||||||||
234,000 | American Express Co. 3.63%, 12/05/2024 | 259,142 | ||||||||
229,000 | BlackRock, Inc. 1.90%, 01/28/2031 | 233,602 |
The accompanying notes are an integral part of these financial statements.
| 11 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Diversified Financial Services - 0.3% - (continued) | ||||||||||
$ | 5,000 | Mastercard, Inc. 3.35%, 03/26/2030 | $ | 5,731 | ||||||
|
| |||||||||
498,475 | ||||||||||
|
| |||||||||
Electric - 3.6% | ||||||||||
42,000 | Alabama Power Co. 4.15%, 08/15/2044 | 51,255 | ||||||||
77,000 | Berkshire Hathaway Energy Co. 3.25%, 04/15/2028 | 87,358 | ||||||||
112,000 | Cleco Corporate Holdings LLC 3.74%, 05/01/2026 | 124,570 | ||||||||
154,000 | Commonwealth Edison Co. 2.55%, 06/15/2026 | 168,210 | ||||||||
Dominion Energy, Inc. |
| |||||||||
348,000 | 2.85%, 08/15/2026 | 380,586 | ||||||||
122,000 | 5.95%, 06/15/2035 | 169,602 | ||||||||
615,000 | Duke Energy Corp. 2.65%, 09/01/2026 | 664,266 | ||||||||
162,000 | Duke Energy Indiana LLC 3.25%, 10/01/2049 | 174,801 | ||||||||
55,000 | Evergy Metro, Inc. 2.25%, 06/01/2030 | 57,805 | ||||||||
Evergy, Inc. |
| |||||||||
95,000 | 2.45%, 09/15/2024 | 100,468 | ||||||||
139,000 | 2.90%, 09/15/2029 | 149,940 | ||||||||
50,000 | Exelon Corp. 4.70%, 04/15/2050 | 64,018 | ||||||||
Georgia Power Co. |
| |||||||||
149,000 | 2.10%, 07/30/2023 | 155,291 | ||||||||
36,000 | 4.30%, 03/15/2042 | 43,767 | ||||||||
137,000 | ITC Holdings Corp. 2.95%, 05/14/2030(1) | 148,720 | ||||||||
279,000 | NextEra Energy Capital Holdings, Inc. 2.25%, 06/01/2030 | 287,708 | ||||||||
234,000 | Oglethorpe Power Corp. 5.05%, 10/01/2048 | 290,634 | ||||||||
112,000 | Oncor Electric Delivery Co. LLC 2.95%, 04/01/2025 | 122,158 | ||||||||
355,000 | Pacific Gas and Electric Co. 2.50%, 02/01/2031 | 352,729 | ||||||||
320,000 | Public Service Enterprise Group, Inc. 1.60%, 08/15/2030 | 310,537 | ||||||||
Puget Energy, Inc. |
| |||||||||
224,000 | 3.65%, 05/15/2025 | 246,936 | ||||||||
102,000 | 4.10%, 06/15/2030 | 115,409 | ||||||||
92,000 | Sempra Energy 4.00%, 02/01/2048 | 104,910 | ||||||||
464,000 | Sierra Pacific Power Co. 2.60%, 05/01/2026 | 501,053 | ||||||||
Southern California Edison Co. |
| |||||||||
42,000 | 2.25%, 06/01/2030 | 42,991 | ||||||||
72,000 | 2.85%, 08/01/2029 | 77,189 | ||||||||
76,000 | 3.65%, 02/01/2050 | 81,532 | ||||||||
132,000 | 4.00%, 04/01/2047 | 147,178 | ||||||||
Southern Co. |
| |||||||||
4,000 | 3.25%, 07/01/2026 | 4,446 | ||||||||
252,000 | 3.70%, 04/30/2030 | 286,195 | ||||||||
117,000 | Xcel Energy, Inc. 2.60%, 12/01/2029 | 125,195 | ||||||||
|
| |||||||||
5,637,457 | ||||||||||
|
| |||||||||
Electronics - 0.2% | ||||||||||
249,000 | Honeywell International, Inc. 1.95%, 06/01/2030 | 257,682 | ||||||||
|
| |||||||||
Environmental Control - 0.1% | ||||||||||
120,000 | Republic Services, Inc. 1.45%, 02/15/2031 | 115,786 | ||||||||
35,000 | Waste Management, Inc. 2.50%, 11/15/2050 | 32,681 | ||||||||
|
| |||||||||
148,467 | ||||||||||
|
| |||||||||
Food - 0.4% | ||||||||||
Conagra Brands, Inc. | ||||||||||
105,000 | 1.38%, 11/01/2027 | 104,845 | ||||||||
132,000 | 4.85%, 11/01/2028 | 161,372 | ||||||||
132,000 | General Mills, Inc. 2.88%, 04/15/2030 | 143,314 | ||||||||
160,000 | Mondelez International, Inc. 1.50%, 02/04/2031 | 154,754 | ||||||||
|
| |||||||||
564,285 | ||||||||||
|
| |||||||||
Gas - 0.4% | ||||||||||
157,000 | Dominion Energy Gas Holdings LLC 2.50%, 11/15/2024 | 167,113 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Gas - 0.4% - (continued) | ||||||||||
NiSource, Inc. | ||||||||||
$ | 352,000 | 3.49%, 05/15/2027 | $ | 396,436 | ||||||
77,000 | 3.60%, 05/01/2030 | 87,251 | ||||||||
47,000 | Sempra Energy 3.40%, 02/01/2028 | 52,629 | ||||||||
|
| |||||||||
703,429 | ||||||||||
|
| |||||||||
Healthcare - Products - 0.6% | ||||||||||
200,000 | Alcon Finance Corp. 3.00%, 09/23/2029(1) | 216,843 | ||||||||
112,000 | Baxter International, Inc. 3.95%, 04/01/2030(1) | 131,137 | ||||||||
67,000 | Becton Dickinson and Co. 3.36%, 06/06/2024 | 72,731 | ||||||||
Boston Scientific Corp. | ||||||||||
67,000 | 1.90%, 06/01/2025 | 69,867 | ||||||||
324,000 | 3.75%, 03/01/2026 | 365,742 | ||||||||
112,000 | Thermo Fisher Scientific, Inc. 2.95%, 09/19/2026 | 123,364 | ||||||||
|
| |||||||||
979,684 | ||||||||||
|
| |||||||||
Healthcare - Services - 0.7% | ||||||||||
Anthem, Inc. | ||||||||||
25,000 | 2.25%, 05/15/2030 | 25,770 | ||||||||
212,000 | 2.88%, 09/15/2029 | 231,553 | ||||||||
90,000 | 3.50%, 08/15/2024 | 98,501 | ||||||||
11,000 | 4.38%, 12/01/2047 | 13,754 | ||||||||
117,000 | CommonSpirit Health 2.76%, 10/01/2024 | 125,521 | ||||||||
112,000 | Quest Diagnostics, Inc. 2.80%, 06/30/2031 | 121,286 | ||||||||
60,000 | Sutter Health 3.36%, 08/15/2050 | 64,905 | ||||||||
UnitedHealth Group, Inc. | ||||||||||
151,000 | 2.38%, 08/15/2024 | 160,654 | ||||||||
120,000 | 3.70%, 12/15/2025 | 136,352 | ||||||||
117,000 | 4.75%, 07/15/2045 | 157,774 | ||||||||
|
| |||||||||
1,136,070 | ||||||||||
|
| |||||||||
Household Products - 0.1% | ||||||||||
112,000 | Estee Lauder Cos., Inc. 2.60%, 04/15/2030 | 121,083 | ||||||||
|
| |||||||||
Insurance - 0.9% | ||||||||||
371,000 | American International Group, Inc. 2.50%, 06/30/2025 | 395,526 | ||||||||
137,000 | Berkshire Hathaway Finance Corp. 4.20%, 08/15/2048 | 172,261 | ||||||||
Marsh & McLennan Cos., Inc. | ||||||||||
361,000 | 3.88%, 03/15/2024 | 397,441 | ||||||||
45,000 | 4.75%, 03/15/2039 | 58,329 | ||||||||
5,000 | New York Life Insurance Co. 3.75%, 05/15/2050(1) | 5,767 | ||||||||
117,000 | Progressive Corp. 3.20%, 03/26/2030 | 132,770 | ||||||||
234,000 | Willis North America, Inc. 2.95%, 09/15/2029 | 252,198 | ||||||||
|
| |||||||||
1,414,292 | ||||||||||
|
| |||||||||
Internet - 0.4% | ||||||||||
245,000 | Alphabet, Inc. 2.05%, 08/15/2050 | 220,525 | ||||||||
151,000 | Amazon.com, Inc. 3.15%, 08/22/2027 | 170,696 | ||||||||
225,000 | Tencent Holdings Ltd. 2.39%, 06/03/2030(1) | 227,030 | ||||||||
|
| |||||||||
618,251 | ||||||||||
|
| |||||||||
Iron/Steel - 0.2% | ||||||||||
225,000 | Vale Overseas Ltd. 3.75%, 07/08/2030 | 246,623 | ||||||||
|
| |||||||||
IT Services - 0.7% | ||||||||||
Apple, Inc. | ||||||||||
211,000 | 1.13%, 05/11/2025 | 215,739 | ||||||||
506,000 | 2.20%, 09/11/2029 | 534,517 | ||||||||
International Business Machines Corp. | ||||||||||
200,000 | 1.95%, 05/15/2030 | 203,074 | ||||||||
100,000 | 2.95%, 05/15/2050 | 100,728 | ||||||||
117,000 | Leidos, Inc. 3.63%, 05/15/2025(1) | 129,890 | ||||||||
|
| |||||||||
1,183,948 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.1% | ||||||||||
132,000 | Caterpillar, Inc. 2.60%, 04/09/2030 | 142,939 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 12 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Machinery - Diversified - 0.1% | ||||||||||
John Deere Capital Corp. | ||||||||||
$ | 31,000 | 1.20%, 04/06/2023 | $ | 31,571 | ||||||
144,000 | 2.60%, 03/07/2024 | 153,738 | ||||||||
|
| |||||||||
185,309 | ||||||||||
|
| |||||||||
Media - 1.9% | ||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||||
355,000 | 2.30%, 02/01/2032 | 345,037 | ||||||||
37,000 | 2.80%, 04/01/2031 | 38,107 | ||||||||
15,000 | 3.70%, 04/01/2051 | 14,736 | ||||||||
652,000 | 4.20%, 03/15/2028 | 740,162 | ||||||||
108,000 | 5.13%, 07/01/2049 | 127,494 | ||||||||
Comcast Corp. | ||||||||||
456,000 | 3.20%, 07/15/2036 | 501,552 | ||||||||
5,000 | 3.40%, 07/15/2046 | 5,466 | ||||||||
115,000 | 3.75%, 04/01/2040 | 133,210 | ||||||||
32,000 | 4.70%, 10/15/2048 | 42,355 | ||||||||
5,000 | 4.75%, 03/01/2044 | 6,579 | ||||||||
35,000 | 4.95%, 10/15/2058 | 49,596 | ||||||||
142,000 | Cox Communications, Inc. 4.50%, 06/30/2043(1) | 171,847 | ||||||||
Discovery Communications LLC | ||||||||||
95,000 | 3.95%, 06/15/2025 | 106,222 | ||||||||
155,000 | 4.65%, 05/15/2050 | 185,875 | ||||||||
40,000 | 5.20%, 09/20/2047 | 50,652 | ||||||||
62,000 | 5.30%, 05/15/2049 | 79,504 | ||||||||
ViacomCBS, Inc. | ||||||||||
5,000 | 4.20%, 05/19/2032 | 5,915 | ||||||||
62,000 | 4.38%, 03/15/2043 | 71,748 | ||||||||
216,000 | 4.95%, 01/15/2031 | 266,479 | ||||||||
|
| |||||||||
2,942,536 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.2% | ||||||||||
207,000 | General Electric Co. 3.63%, 05/01/2030 | 229,603 | ||||||||
25,000 | Ingersoll-Rand Luxembourg Finance S.A. 4.50%, 03/21/2049 | 32,165 | ||||||||
|
| |||||||||
261,768 | ||||||||||
|
| |||||||||
Oil & Gas - 0.5% | ||||||||||
72,000 | BP Capital Markets America, Inc. 3.63%, 04/06/2030 | 81,709 | ||||||||
Equinor ASA | ||||||||||
102,000 | 3.63%, 04/06/2040 | 116,725 | ||||||||
66,000 | 3.70%, 04/06/2050 | 75,562 | ||||||||
Exxon Mobil Corp. | ||||||||||
167,000 | 4.23%, 03/19/2040 | 201,187 | ||||||||
2,000 | 4.33%, 03/19/2050 | 2,456 | ||||||||
151,000 | Hess Corp. 7.30%, 08/15/2031 | 197,085 | ||||||||
100,000 | Marathon Petroleum Corp. 4.70%, 05/01/2025 | 114,230 | ||||||||
70,000 | Valero Energy Corp. 2.15%, 09/15/2027 | 70,752 | ||||||||
|
| |||||||||
859,706 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.8% | ||||||||||
AbbVie, Inc. | ||||||||||
514,000 | 3.20%, 11/21/2029 | 568,426 | ||||||||
214,000 | 4.25%, 11/21/2049 | 258,011 | ||||||||
5,000 | 4.55%, 03/15/2035 | 6,153 | ||||||||
52,000 | Becton Dickinson and Co. 2.82%, 05/20/2030 | 56,129 | ||||||||
Bristol-Myers Squibb Co. | ||||||||||
190,000 | 0.75%, 11/13/2025 | 190,398 | ||||||||
80,000 | 2.55%, 11/13/2050 | 77,217 | ||||||||
87,000 | 3.40%, 07/26/2029 | 99,237 | ||||||||
CVS Health Corp. | ||||||||||
37,000 | 4.13%, 04/01/2040 | 42,955 | ||||||||
274,000 | 5.13%, 07/20/2045 | 357,409 | ||||||||
214,000 | GlaxoSmithKline Capital, Inc. 3.63%, 05/15/2025 | 238,547 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Pharmaceuticals - 1.8% - (continued) | ||||||||||
Johnson & Johnson | ||||||||||
$ | 134,000 | 2.45%, 03/01/2026 | $ | 145,130 | ||||||
62,000 | 3.55%, 03/01/2036 | 75,094 | ||||||||
Novartis Capital Corp. | ||||||||||
134,000 | 2.00%, 02/14/2027 | 141,997 | ||||||||
127,000 | 2.20%, 08/14/2030 | 134,645 | ||||||||
Pfizer, Inc. | ||||||||||
122,000 | 1.70%, 05/28/2030 | 123,328 | ||||||||
62,000 | 2.63%, 04/01/2030 | 67,504 | ||||||||
62,000 | Shire Acquisitions Investments Ireland DAC 2.88%, 09/23/2023 | 65,541 | ||||||||
200,000 | Takeda Pharmaceutical Co., Ltd. 2.05%, 03/31/2030 | 201,633 | ||||||||
Upjohn, Inc. | ||||||||||
30,000 | 1.65%, 06/22/2025(1) | 30,888 | ||||||||
50,000 | 2.30%, 06/22/2027(1) | 52,647 | ||||||||
|
| |||||||||
2,932,889 | ||||||||||
|
| |||||||||
Pipelines - 1.0% | ||||||||||
141,000 | Energy Transfer Operating L.P. 3.75%, 05/15/2030 | 148,427 | ||||||||
283,000 | Enterprise Products Operating LLC 4.80%, 02/01/2049 | 345,264 | ||||||||
MPLX L.P. | ||||||||||
74,000 | 4.13%, 03/01/2027 | 84,366 | ||||||||
85,000 | 4.70%, 04/15/2048 | 95,128 | ||||||||
62,000 | 5.20%, 12/01/2047 | 72,010 | ||||||||
152,000 | ONEOK, Inc. 4.00%, 07/13/2027 | 168,642 | ||||||||
42,000 | Sabine Pass Liquefaction LLC 4.50%, 05/15/2030(1) | 48,873 | ||||||||
222,000 | Sunoco Logistics Partners Operations L.P. 5.30%, 04/01/2044 | 234,182 | ||||||||
67,000 | Texas Eastern Transmission L.P. 2.80%, 10/15/2022(1) | 69,209 | ||||||||
TransCanada PipeLines Ltd. | ||||||||||
158,000 | 4.10%, 04/15/2030 | 183,217 | ||||||||
57,000 | 4.75%, 05/15/2038 | 69,562 | ||||||||
|
| |||||||||
1,518,880 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 0.2% | ||||||||||
American Tower Corp. | ||||||||||
35,000 | 1.50%, 01/31/2028 | 34,785 | ||||||||
57,000 | 2.10%, 06/15/2030 | 57,305 | ||||||||
67,000 | 2.40%, 03/15/2025 | 70,782 | ||||||||
135,000 | 2.95%, 01/15/2051 | 130,119 | ||||||||
5,000 | Brixmor Operating Partnership L.P. 4.05%, 07/01/2030 | 5,652 | ||||||||
5,000 | Equinix, Inc. 1.80%, 07/15/2027 | 5,125 | ||||||||
VEREIT Operating Partnership L.P. | ||||||||||
10,000 | 2.20%, 06/15/2028 | 10,220 | ||||||||
10,000 | 2.85%, 12/15/2032 | 10,288 | ||||||||
40,000 | 3.40%, 01/15/2028 | 43,968 | ||||||||
|
| |||||||||
368,244 | ||||||||||
|
| |||||||||
Retail - 0.7% | ||||||||||
72,000 | AutoZone, Inc. 3.63%, 04/15/2025 | 80,101 | ||||||||
Home Depot, Inc. | ||||||||||
155,000 | 1.38%, 03/15/2031 | 151,822 | ||||||||
150,000 | 3.30%, 04/15/2040 | 169,279 | ||||||||
62,000 | 3.50%, 09/15/2056 | 72,261 | ||||||||
Lowe’s Cos., Inc. | ||||||||||
210,000 | 1.70%, 10/15/2030 | 206,260 | ||||||||
62,000 | 3.70%, 04/15/2046 | 70,240 | ||||||||
McDonald’s Corp. | ||||||||||
31,000 | 3.35%, 04/01/2023 | 32,896 | ||||||||
182,000 | 3.63%, 09/01/2049 | 204,540 | ||||||||
36,000 | 3.70%, 02/15/2042 | 40,912 |
The accompanying notes are an integral part of these financial statements.
| 13 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Retail - 0.7% - (continued) | ||||||||||
$ | 112,000 | Starbucks Corp. 3.80%, 08/15/2025 | $ | 126,279 | ||||||
|
| |||||||||
1,154,590 | ||||||||||
|
| |||||||||
Semiconductors - 1.3% | ||||||||||
161,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.88%, 01/15/2027 | 179,725 | ||||||||
Broadcom, Inc. | ||||||||||
20,000 | 2.60%, 02/15/2033(1) | 19,773 | ||||||||
5,000 | 3.75%, 02/15/2051(1) | 5,107 | ||||||||
8,000 | 4.25%, 04/15/2026 | 9,070 | ||||||||
673,000 | 5.00%, 04/15/2030 | 801,390 | ||||||||
Intel Corp. | ||||||||||
129,000 | 2.45%, 11/15/2029 | 137,923 | ||||||||
199,000 | 3.25%, 11/15/2049 | 214,053 | ||||||||
20,000 | 4.10%, 05/19/2046 | 24,443 | ||||||||
177,000 | Microchip Technology, Inc. 2.67%, 09/01/2023(1) | 185,219 | ||||||||
170,000 | NVIDIA Corp. 3.50%, 04/01/2040 | 194,940 | ||||||||
44,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(1) | 49,419 | ||||||||
NXP B.V. / NXP Funding LLC / NXP USA, Inc. |
| |||||||||
122,000 | 3.15%, 05/01/2027(1) | 134,170 | ||||||||
89,000 | 4.30%, 06/18/2029(1) | 103,768 | ||||||||
|
| |||||||||
2,059,000 | ||||||||||
|
| |||||||||
Software - 1.0% | ||||||||||
Fidelity National Information Services, Inc. | ||||||||||
122,000 | 3.00%, 08/15/2026 | 134,770 | ||||||||
93,000 | 3.75%, 05/21/2029 | 106,954 | ||||||||
Fiserv, Inc. | ||||||||||
393,000 | 2.25%, 06/01/2027 | 415,135 | ||||||||
32,000 | 3.20%, 07/01/2026 | 35,444 | ||||||||
Microsoft Corp. | ||||||||||
72,000 | 2.53%, 06/01/2050 | 72,385 | ||||||||
52,000 | 3.50%, 11/15/2042 | 61,877 | ||||||||
Oracle Corp. | ||||||||||
485,000 | 3.60%, 04/01/2040 | 544,546 | ||||||||
67,000 | 3.80%, 11/15/2037 | 77,845 | ||||||||
112,000 | salesforce.com, Inc. 3.25%, 04/11/2023 | 118,853 | ||||||||
|
| |||||||||
1,567,809 | ||||||||||
|
| |||||||||
Telecommunications - 1.8% | ||||||||||
AT&T, Inc. | ||||||||||
270,000 | 3.50%, 02/01/2061 | 255,487 | ||||||||
29,000 | 3.55%, 09/15/2055(1) | 27,592 | ||||||||
305,000 | 3.65%, 06/01/2051 | 303,927 | ||||||||
49,000 | 3.65%, 09/15/2059(1) | 46,864 | ||||||||
101,000 | 3.80%, 12/01/2057(1) | 100,080 | ||||||||
T-Mobile USA, Inc. | ||||||||||
360,000 | 1.50%, 02/15/2026(1) | 365,144 | ||||||||
55,000 | 2.05%, 02/15/2028(1) | 56,351 | ||||||||
350,000 | 3.00%, 02/15/2041(1) | 344,575 | ||||||||
105,000 | 3.30%, 02/15/2051(1) | 102,642 | ||||||||
134,000 | 3.50%, 04/15/2025(1) | 146,890 | ||||||||
149,000 | 3.88%, 04/15/2030(1) | 168,573 | ||||||||
127,000 | 4.50%, 04/15/2050(1) | 149,657 | ||||||||
Verizon Communications, Inc. | ||||||||||
105,000 | 2.65%, 11/20/2040 | 102,019 | ||||||||
65,000 | 2.88%, 11/20/2050 | 62,397 | ||||||||
5,000 | 4.00%, 03/22/2050 | 5,758 | ||||||||
456,000 | 4.13%, 08/15/2046 | 533,783 | ||||||||
70,000 | 4.50%, 08/10/2033 | 86,176 | ||||||||
62,000 | Vodafone Group plc 4.38%, 02/19/2043 | 74,087 | ||||||||
|
| |||||||||
2,932,002 | ||||||||||
|
| |||||||||
Transportation - 0.3% | ||||||||||
FedEx Corp. | ||||||||||
75,000 | 3.30%, 03/15/2027 | 83,636 | �� | |||||||
77,000 | 3.80%, 05/15/2025 | 86,361 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 30.6% - (continued) | ||||||||||
Transportation - 0.3% - (continued) | ||||||||||
$ | 167,000 | 4.25%, 05/15/2030 | $ | 198,329 | ||||||
5,000 | Norfolk Southern Corp. 3.40%, 11/01/2049 | 5,457 | ||||||||
137,000 | Union Pacific Corp. 4.10%, 09/15/2067 | 165,088 | ||||||||
|
| |||||||||
538,871 | ||||||||||
|
| |||||||||
Water - 0.1% | ||||||||||
American Water Capital Corp. | ||||||||||
141,000 | 2.80%, 05/01/2030 | 153,705 | ||||||||
36,000 | 3.75%, 09/01/2028 | 42,016 | ||||||||
|
| |||||||||
195,721 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 48,430,898 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 1.5% | ||||||||||
Mexico - 0.6% | ||||||||||
Mexico Government International Bond | ||||||||||
250,000 | 2.66%, 05/24/2031 | 248,635 | ||||||||
400,000 | 4.75%, 04/27/2032 | 466,000 | ||||||||
176,000 | 4.75%, 03/08/2044 | 197,560 | ||||||||
|
| |||||||||
912,195 | ||||||||||
|
| |||||||||
Panama - 0.3% | ||||||||||
Panama Government International Bond | ||||||||||
280,000 | 2.25%, 09/29/2032 | 282,380 | ||||||||
200,000 | 3.87%, 07/23/2060 | 222,302 | ||||||||
|
| |||||||||
504,682 | ||||||||||
|
| |||||||||
Peru - 0.1% | ||||||||||
111,000 | Peruvian Government International Bond 2.39%, 01/23/2026 | 117,383 | ||||||||
|
| |||||||||
Philippines - 0.1% | ||||||||||
200,000 | Philippine Government International Bond 3.70%, 02/02/2042 | 228,040 | ||||||||
|
| |||||||||
Qatar - 0.2% | ||||||||||
200,000 | Qatar Government International Bond 5.10%, 04/23/2048(7) | 275,738 | ||||||||
|
| |||||||||
Saudi Arabia - 0.2% | ||||||||||
400,000 | Saudi Government International Bond 2.25%, 02/02/2033(1) | 395,176 | ||||||||
|
| |||||||||
Total Foreign Government Obligations | $ | 2,433,214 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 0.6% | ||||||||||
Development - 0.0% | ||||||||||
50,000 | New York Transportation Dev Corp. Rev 4.25%, 09/01/2035 | 55,114 | ||||||||
|
| |||||||||
General - 0.3% | ||||||||||
County of Riverside, CA | ||||||||||
55,000 | 2.96%, 02/15/2027 | 59,624 | ||||||||
55,000 | 3.07%, 02/15/2028 | 59,969 | ||||||||
65,000 | Dist of Columbia Rev 3.43%, 04/01/2042 | 70,388 | ||||||||
230,000 | Florida State Board of Administration Finance Co. 1.26%, 07/01/2025 | 236,546 | ||||||||
|
| |||||||||
426,527 | ||||||||||
|
| |||||||||
General Obligation - 0.1% | ||||||||||
60,000 | California State, GO Taxable 7.30%, 10/01/2039 | 97,777 | ||||||||
|
| |||||||||
Higher Education - 0.0% | ||||||||||
10,000 | Marshall University, WV, (AGM Insured) 2.91%, 05/01/2026 | 10,640 | ||||||||
10,000 | 3.63%, 05/01/2034 | 10,811 | ||||||||
|
| |||||||||
21,451 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 14 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 0.6% - (continued) | ||||||||||
Transportation - 0.2% | ||||||||||
$ | 40,000 | Chicago, IL, Transit Auth 3.91%, 12/01/2040 | $ | 45,275 | ||||||
Metropolitan Transportation Auth, NY, Rev | ||||||||||
15,000 | 4.75%, 11/15/2045 | 18,235 | ||||||||
40,000 | 5.18%, 11/15/2049 | 53,181 | ||||||||
55,000 | New York State Thruway Auth Rev 2.90%, 01/01/2035 | 60,806 | ||||||||
205,000 | Port Auth of New York & New Jersey Rev 1.09%, 07/01/2023 | 208,382 | ||||||||
|
| |||||||||
385,879 | ||||||||||
|
| |||||||||
Total Municipal Bonds | $ | 986,748 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 34.7% | ||||||||||
Mortgage-Backed Agencies - 34.7% | ||||||||||
FHLMC - 0.5% | ||||||||||
$ | 229,973 | 0.88%, 11/25/2030(2)(3) | $ | 17,237 | ||||||
1,414,157 | 1.12%, 06/25/2030(2)(3) | 131,414 | ||||||||
29,949 | 1.13%, 12/15/2027 | 30,313 | ||||||||
99,871 | 1.13%, 01/25/2030(2)(3) | 8,832 | ||||||||
32,115 | 1.25%, 12/15/2027 | 32,633 | ||||||||
1,544,965 | 1.39%, 06/25/2030(2)(3) | 175,401 | ||||||||
1,099,630 | 1.43%, 05/25/2030(2)(3) | 129,301 | ||||||||
1,232,803 | 1.57%, 05/25/2030(2)(3) | 157,302 | ||||||||
174,864 | 1.70%, 04/25/2030(2)(3) | 23,207 | ||||||||
34,643 | 2.50%, 12/15/2042 | 36,155 | ||||||||
|
| |||||||||
741,795 | ||||||||||
|
| |||||||||
FNMA - 0.4% | ||||||||||
135,847 | 1.25%, 02/25/2028 | 137,842 | ||||||||
31,275 | 1.50%, 09/25/2027 | 31,916 | ||||||||
516,905 | 3.00%, 03/01/2050 | 543,594 | ||||||||
|
| |||||||||
713,352 | ||||||||||
|
| |||||||||
GNMA - 9.4% | ||||||||||
1,150,000 | 2.00%, 02/20/2051(8) | 1,193,215 | ||||||||
1,150,000 | 2.00%, 03/18/2051(8) | 1,191,148 | ||||||||
1,038,000 | 2.50%, 02/20/2051(8) | 1,091,603 | ||||||||
1,037,000 | 2.50%, 03/18/2051(8) | 1,088,607 | ||||||||
3,400,000 | 3.00%, 02/20/2051(8) | 3,563,824 | ||||||||
3,375,000 | 3.50%, 02/20/2051(8) | 3,575,391 | ||||||||
3,000,000 | 4.00%, 02/20/2051(8) | 3,207,598 | ||||||||
|
| |||||||||
14,911,386 | ||||||||||
|
| |||||||||
UMBS - 24.4% | ||||||||||
1,000,000 | 1.50%, 02/18/2036(8) | 1,024,805 | ||||||||
1,600,000 | 1.50%, 03/16/2036(8) | 1,636,742 | ||||||||
300,000 | 1.50%, 02/12/2051(8) | 301,055 | ||||||||
2,900,000 | 2.00%, 02/18/2036(8) | 3,028,574 | ||||||||
5,475,000 | 2.00%, 02/12/2051(8) | 5,648,233 | ||||||||
8,300,000 | 2.00%, 03/11/2051(8) | 8,547,703 | ||||||||
1,300,000 | 2.50%, 03/16/2036(8) | 1,364,494 | ||||||||
3,725,000 | 2.50%, 02/12/2051(8) | 3,923,182 | ||||||||
750,000 | 3.00%, 02/18/2036(8) | 792,334 | ||||||||
1,075,000 | 3.00%, 02/12/2051(8) | 1,130,409 | ||||||||
4,200,000 | 3.00%, 03/11/2051(8) | 4,418,121 | ||||||||
1,400,000 | 3.50%, 02/12/2051(8) | 1,488,375 | ||||||||
1,400,000 | 3.50%, 03/11/2051(8) | 1,489,195 | ||||||||
1,175,000 | 4.00%, 02/12/2051(8) | 1,259,981 | ||||||||
1,175,000 | 4.00%, 03/11/2051(8) | 1,261,128 | ||||||||
600,000 | 4.50%, 02/12/2051(8) | 651,750 | ||||||||
600,000 | 4.50%, 03/11/2051(8) | 651,000 | ||||||||
|
| |||||||||
38,617,081 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 54,983,614 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT SECURITIES - 34.7% | ||||||||||
U.S. Treasury Securities - 34.7% | ||||||||||
U.S. Treasury Bonds - 9.5% | ||||||||||
$ | 587,082 | 0.25%, 02/15/2050(9) | $ | 681,374 | ||||||
1,495,000 | 1.38%, 11/15/2040 | 1,420,951 | ||||||||
605,000 | 1.38%, 08/15/2050 | 538,545 | ||||||||
1,035,000 | 1.63%, 11/15/2050 | 979,854 | ||||||||
630,000 | 2.00%, 02/15/2050 | 652,714 | ||||||||
528,000 | 2.38%, 11/15/2049(10) | 592,701 | ||||||||
1,525,000 | 3.00%, 02/15/2048 | 1,916,496 | ||||||||
400,000 | 3.13%, 05/15/2048 | 514,031 | ||||||||
1,840,000 | 3.63%, 02/15/2044 | 2,508,294 | ||||||||
1,464,000 | 3.75%, 11/15/2043 | 2,029,241 | ||||||||
275,000 | 3.88%, 08/15/2040 | 380,918 | ||||||||
1,867,600 | 4.63%, 02/15/2040 | 2,816,136 | ||||||||
|
| |||||||||
15,031,255 | ||||||||||
|
| |||||||||
U.S. Treasury Notes - 25.2% | ||||||||||
2,500,000 | 0.13%, 05/15/2023 | 2,499,023 | ||||||||
6,915,000 | 0.25%, 06/15/2023 | 6,932,287 | ||||||||
7,085,000 | 0.38%, 04/30/2025 | 7,094,687 | ||||||||
5,260,000 | 0.50%, 04/30/2027 | 5,210,893 | ||||||||
700,000 | 0.63%, 05/15/2030 | 673,641 | ||||||||
1,830,000 | 0.63%, 08/15/2030 | 1,755,656 | ||||||||
3,725,000 | 0.88%, 11/15/2030 | 3,649,918 | ||||||||
1,720,000 | 1.13%, 02/28/2025 | 1,775,766 | ||||||||
3,600,000 | 1.38%, 01/31/2022 | 3,645,703 | ||||||||
702,000 | 1.38%, 01/31/2025 | 731,588 | ||||||||
4,482,000 | 1.50%, 01/31/2027 | 4,717,130 | ||||||||
1,008,000 | 2.75%, 06/30/2025 | 1,113,289 | ||||||||
|
| |||||||||
39,799,581 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 54,830,836 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 183,764,444 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 12.7% | ||||||||||
Repurchase Agreements - 12.7% | ||||||||||
20,065,917 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/29/2021 at 0.020%, due on 02/01/2021 with a maturity value of $20,065,950; collateralized by U.S. Treasury Bond at 3.000%, maturing 05/15/2047, with a market value of $20,467,316 | 20,065,917 | ||||||||
|
| |||||||||
Total Short-Term Investments | $ | 20,065,917 | ||||||||
|
|
Total Investments | 128.8 | % | $ | 203,830,361 | ||||||||||
Other Assets & Liabilities | (28.8 | )% | (45,584,488 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 158,245,873 | ||||||||||
|
|
|
|
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. |
The accompanying notes are an integral part of these financial statements.
| 15 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At January 31, 2021, the aggregate value of these securities was $22,037,760, representing 13.9% 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) | Securities disclosed are interest-only strips. |
(4) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2021. 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) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2021. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(7) | 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, 2021, the aggregate value of this security was $275,738, representing 0.2% of net assets. |
(8) | Represents or includes a TBA transaction. |
(9) | The principal amount for this security is adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(10) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2021, the market value of securities pledged was $297,473. |
Futures Contracts Outstanding at January 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury 5-Year Note Future | 5 | 03/31/2021 | $ | 629,375 | $ | 1,022 | ||||||||||
U.S. Treasury 10-Year Note Future | 112 | 03/22/2021 | 15,347,500 | 79,240 | ||||||||||||
U.S. Treasury 10-Year Ultra Future | 7 | 03/22/2021 | 1,076,797 | 21,097 | ||||||||||||
U.S. Treasury Long Bond Future | 17 | 03/22/2021 | 2,868,219 | 92,844 | ||||||||||||
U.S. Treasury Ultra Bond Future | 1 | 03/22/2021 | 204,718 | 467 | ||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | 194,670 | |||||||||||||
|
|
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||||||
Reference Entity | Notional Amount (a) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid (Received) | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Credit default swaps on indices: | ||||||||||||||||||||||||||||
Buy protection: | ||||||||||||||||||||||||||||
CDX.NA.IG.35.V1 | USD | 4,685,000 | 1.00 | % | 12/20/2025 | Quarterly | $ | 107,213 | $ | 101,696 | $ | (5,517 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total centrally cleared credit default swap contracts |
| $ | 107,213 | $ | 101,696 | $ | (5,517 | ) | ||||||||||||||||||||
|
|
|
|
|
|
(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. |
† | 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.
| 16 |
|
Hartford Core Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage-Backed Securities | $ | 22,099,134 | $ | — | $ | 22,099,134 | $ | — | ||||||||
Corporate Bonds | 48,430,898 | — | 48,430,898 | — | ||||||||||||
Foreign Government Obligations | 2,433,214 | — | 2,433,214 | — | ||||||||||||
Municipal Bonds | 986,748 | — | 986,748 | — | ||||||||||||
U.S. Government Agencies | 54,983,614 | — | 54,983,614 | — | ||||||||||||
U.S. Government Securities | 54,830,836 | — | 54,830,836 | — | ||||||||||||
Short-Term Investments | 20,065,917 | — | 20,065,917 | — | ||||||||||||
Futures Contracts(2) | 194,670 | 194,670 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 204,025,031 | $ | 194,670 | $ | 203,830,361 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Swaps - Credit Default(2) | $ | (5,517 | ) | $ | — | $ | (5,517 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (5,517 | ) | $ | — | $ | (5,517 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended January 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
| 17 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% | ||||||||||
Alabama - 2.0% | ||||||||||
$ | 100,000 | Jefferson County, AL, Board of Education Special Tax 5.00%, 02/01/2042 | $ | 123,157 | ||||||
90,000 | Jefferson County, AL, GO 5.00%, 04/01/2024 | 102,860 | ||||||||
1,590,000 | State of Alabama Docks Department, (AGM Insured) 5.00%, 10/01/2026 | 1,931,198 | ||||||||
665,000 | State of Alabama, Troy University, (BAM Insured) 5.00%, 11/01/2023 | 746,835 | ||||||||
|
| |||||||||
2,904,050 | ||||||||||
|
| |||||||||
Arizona - 0.2% | ||||||||||
185,000 | Maricopa County, AZ, Industrial Dev Auth 5.00%, 09/01/2031 | 232,675 | ||||||||
110,000 | Tempe, AZ, Industrial Dev Auth 4.00%, 10/01/2023(1) | 110,023 | ||||||||
|
| |||||||||
342,698 | ||||||||||
|
| |||||||||
California - 3.6% | ||||||||||
205,000 | Alameda County, Oakland, CA, Unified School Dist, GO, (AGM Insured) 4.00%, 08/01/2034 | 240,039 | ||||||||
205,000 | California Enterprise Dev Auth 5.00%, 08/01/2045 | 250,026 | ||||||||
185,000 | Cathedral City Redev. Agcy. Successor Agcy (BAM Insured) 4.00%, 08/01/2032 | 223,637 | ||||||||
215,000 | Cathedral City, CA, Redevelopment Agency Successor Agency 4.00%, 08/01/2021 | 218,591 | ||||||||
1,000,000 | City of Los Angeles, CA, Department of Airports 4.00%, 05/15/2035 | 1,239,320 | ||||||||
110,000 | Foothill-Eastern Transportation Corridor Agency, CA 5.00%, 01/15/2030(2) | 144,860 | ||||||||
150,000 | Fresno, CA, Unified School Dist, GO 0.01%, 08/01/2032(3) | 110,064 | ||||||||
500,000 | Golden State Tobacco Securitization Corp., CA 5.00%, 06/01/2032 | 626,565 | ||||||||
100,000 | Romoland, CA, School Dist Special Tax 5.00%, 09/01/2043 | 115,195 | ||||||||
San Joaquin Hills, CA, Transportation Corridor Agency, (NATL Insured) | ||||||||||
80,000 | 0.00%, 01/15/2026(3) | 73,482 | ||||||||
215,000 | 0.00%, 01/15/2032(3) | 168,115 | ||||||||
70,000 | 0.00%, 01/15/2035(3) | 50,067 | ||||||||
State of California, GO | ||||||||||
1,500,000 | 0.03%, 05/01/2040(4) | 1,500,000 | ||||||||
185,000 | 4.00%, 11/01/2041 | 212,898 | ||||||||
|
| |||||||||
5,172,859 | ||||||||||
|
| |||||||||
Colorado - 3.6% | ||||||||||
Colorado Health Facs Auth Rev | ||||||||||
105,000 | 4.00%, 12/01/2040 | 119,508 | ||||||||
835,000 | 5.00%, 08/01/2044 | 1,032,711 | ||||||||
1,000,000 | Colorado Housing and Finance Auth (GNMA Insured) 3.00%, 05/01/2051 | 1,111,310 | ||||||||
160,000 | Denver, CO, Convention Center Hotel Auth 5.00%, 12/01/2031 | 188,016 | ||||||||
175,000 | Denver, CO, Urban Renewal Auth 5.25%, 12/01/2039(1) | 187,299 | ||||||||
1,030,000 | Park Creek, CO, Metropolitan Dist Rev 5.00%, 12/01/2029 | 1,319,245 | ||||||||
Regional Transportation Dist | ||||||||||
400,000 | 5.00%, 07/15/2029 | 520,888 | ||||||||
500,000 | 5.00%, 01/15/2030 | 657,295 | ||||||||
100,000 | 5.00%, 07/15/2032 | 132,404 | ||||||||
|
| |||||||||
5,268,676 | ||||||||||
|
| |||||||||
Connecticut - 1.8% | ||||||||||
100,000 | City of Bridgeport, CT, GO, (BAM Insured) 5.00%, 07/15/2034 | 124,661 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
Connecticut - 1.8% - (continued) | ||||||||||
$ | 875,000 | Connecticut Housing Finance Auth Rev (GNMA/FNMA/FHLMC Insured) 4.25%, 05/15/2042 | $ | 976,806 | ||||||
Connecticut State Health & Educational Facs Auth | ||||||||||
320,000 | 5.00%, 07/01/2026 | 374,867 | ||||||||
70,000 | 5.00%, 07/01/2031 | 91,409 | ||||||||
State of Connecticut, GO | ||||||||||
380,000 | 5.00%, 11/15/2025 | 462,821 | ||||||||
500,000 | 5.00%, 04/15/2029 | 626,915 | ||||||||
|
| |||||||||
2,657,479 | ||||||||||
|
| |||||||||
District of Columbia - 0.5% | ||||||||||
Dist of Columbia Rev | ||||||||||
250,000 | 5.00%, 07/01/2037 | 258,435 | ||||||||
455,000 | 5.00%, 07/01/2042 | 464,992 | ||||||||
|
| |||||||||
723,427 | ||||||||||
|
| |||||||||
Florida - 8.5% | ||||||||||
270,000 | Broward County, FL, Airport System Rev 4.00%, 10/01/2044 | 310,710 | ||||||||
185,000 | Capital Projects, FL, Finance Auth 5.00%, 10/01/2027 | 215,320 | ||||||||
125,000 | City of Atlantic Beach, FL, Health Care Facs Auth 5.00%, 11/15/2043 | 140,999 | ||||||||
5,750,000 | City of West Palm Beach, FL, Utility System Rev, (AGC Insured) 0.06%, 10/01/2038(4) | 5,750,000 | ||||||||
365,000 | Escambia County, FL, Health Facs Auth Rev 4.00%, 08/15/2050 | 419,316 | ||||||||
1,000,000 | Greater Orlando, FL, Aviation Auth 5.00%, 10/01/2037 | 1,223,770 | ||||||||
Orange County, FL, Convention Center/Orlando | ||||||||||
680,000 | 5.00%, 10/01/2024 | 794,648 | ||||||||
1,005,000 | 5.00%, 10/01/2027 | 1,291,425 | ||||||||
720,000 | Palm Beach County, FL, Health Facs Auth 2.63%, 06/01/2025 | 733,759 | ||||||||
Polk County, FL, Industrial Dev Auth | ||||||||||
645,000 | 5.00%, 01/01/2029 | 726,463 | ||||||||
190,000 | 5.00%, 01/01/2055 | 207,664 | ||||||||
35,000 | Putnam County, FL, Dev Auth 5.00%, 03/15/2042 | 42,561 | ||||||||
500,000 | Seminole County, FL, Industrial Dev Auth 3.75%, 11/15/2025 | 485,875 | ||||||||
|
| |||||||||
12,342,510 | ||||||||||
|
| |||||||||
Georgia - 1.7% | ||||||||||
100,000 | Appling County, GA, Dev Auth Rev 1.50%, 01/01/2038(4) | 102,974 | ||||||||
Burke County, GA, Dev Auth Rev | ||||||||||
400,000 | 1.50%, 01/01/2040(4) | 411,896 | ||||||||
200,000 | 3.00%, 11/01/2045(4) | 209,884 | ||||||||
200,000 | Main Street, GA, Natural Gas, Inc. 5.50%, 09/15/2023 | 226,652 | ||||||||
Municipal Electric Auth, GA | ||||||||||
1,000,000 | 5.00%, 01/01/2028 | 1,223,620 | ||||||||
215,000 | 5.00%, 01/01/2056 | 259,817 | ||||||||
|
| |||||||||
2,434,843 | ||||||||||
|
| |||||||||
Hawaii - 0.1% | ||||||||||
100,000 | State of Hawaii Airports System Rev 5.00%, 07/01/2031 | 126,202 | ||||||||
|
| |||||||||
Illinois - 14.4% | ||||||||||
Chicago, IL, Board of Education, GO, (NATL Insured) | ||||||||||
105,000 | 0.00%, 12/01/2023(3) | 101,999 | ||||||||
110,000 | 0.00%, 12/01/2026(3) | 101,213 | ||||||||
250,000 | 5.00%, 12/01/2024 | 287,497 | ||||||||
500,000 | 5.00%, 12/01/2028 | 634,015 | ||||||||
100,000 | 5.00%, 12/01/2032 | 126,793 |
The accompanying notes are an integral part of these financial statements.
| 18 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
Illinois - 14.4% - (continued) | ||||||||||
$ | 170,000 | 5.00%, 12/01/2033 | $ | 214,683 | ||||||
420,000 | 5.00%, 12/01/2034 | 529,116 | ||||||||
400,000 | 5.00%, 12/01/2046 | 475,084 | ||||||||
250,000 | Chicago, IL, Board of Education, Rev 5.00%, 04/01/2033 | 303,640 | ||||||||
Chicago, IL, O’Hare International Airport | ||||||||||
370,000 | 5.00%, 01/01/2031 | 489,932 | ||||||||
630,000 | 5.00%, 01/01/2032 | 828,324 | ||||||||
Chicago, IL, Transit Auth | ||||||||||
1,490,000 | 5.00%, 12/01/2021 | 1,550,598 | ||||||||
445,000 | 5.00%, 06/01/2024 | 507,847 | ||||||||
275,000 | 5.00%, 12/01/2045 | 341,159 | ||||||||
130,000 | 5.25%, 12/01/2024 | 135,556 | ||||||||
105,000 | 5.25%, 12/01/2025 | 109,488 | ||||||||
City of Chicago, IL, GO, (NATL Insured) | ||||||||||
500,000 | 0.00%, 01/01/2026(3) | 459,605 | ||||||||
400,000 | 5.00%, 01/01/2024 | 444,072 | ||||||||
City of Chicago, IL, Wastewater Transmission Rev | ||||||||||
90,000 | 5.00%, 01/01/2027 | 100,591 | ||||||||
50,000 | 5.50%, 01/01/2030 | 62,926 | ||||||||
Cook County, IL, GO | ||||||||||
100,000 | 5.00%, 11/15/2021 | 103,817 | ||||||||
265,000 | 5.00%, 11/15/2032 | 354,231 | ||||||||
335,000 | County of Cook, IL, Sales Tax Rev 5.00%, 11/15/2030 | 457,982 | ||||||||
105,000 | Illinois Housing Dev Auth 4.00%, 02/01/2035 | 108,175 | ||||||||
Illinois State Finance Auth Rev | ||||||||||
235,000 | 5.00%, 08/15/2033 | 315,892 | ||||||||
150,000 | 5.00%, 11/15/2045 | 171,459 | ||||||||
305,000 | 5.00%, 05/15/2050(4) | 349,024 | ||||||||
615,000 | Kane County, IL, School Dist No. 131 Aurora East Side, GO, (AGM Insured) 5.00%, 12/01/2025 | 738,787 | ||||||||
100,000 | Kane McHenry Cook & DeKalb Counties, IL, Unified School Dist No. 300, GO 5.00%, 01/01/2032 | 124,043 | ||||||||
Kendall Kane & Will Counties, IL, Unified School Dist, GO, (AGM Insured) | ||||||||||
150,000 | 0.00%, 02/01/2027(3) | 140,931 | ||||||||
515,000 | 5.00%, 02/01/2025 | 599,388 | ||||||||
205,000 | Metropolitan Pier & Exposition Auth, IL, (NATL Insured) 0.00%, 12/15/2025(3) | 191,624 | ||||||||
Railsplitter, IL, Tobacco Settlement Auth | ||||||||||
150,000 | 5.00%, 06/01/2022 | 159,072 | ||||||||
75,000 | 5.25%, 06/01/2021 | 76,215 | ||||||||
Regional Transportation, IL, Auth Rev | ||||||||||
150,000 | 5.00%, 06/01/2024 | 171,452 | ||||||||
1,000,000 | 6.00%, 07/01/2024 | 1,115,800 | ||||||||
Sales Tax Securitization Corp., IL Rev | ||||||||||
500,000 | 5.00%, 01/01/2029 | 625,110 | ||||||||
455,000 | 5.00%, 01/01/2030 | 595,067 | ||||||||
985,000 | 5.00%, 01/01/2037 | 1,195,810 | ||||||||
State of Illinois, GO | ||||||||||
1,040,000 | 5.00%, 03/01/2021 | 1,043,765 | ||||||||
450,000 | 5.00%, 12/01/2024 | 514,782 | ||||||||
300,000 | 5.00%, 11/01/2027 | 360,222 | ||||||||
480,000 | 5.00%, 10/01/2031 | 603,605 | ||||||||
465,000 | 5.00%, 12/01/2034 | 546,449 | ||||||||
750,000 | 5.25%, 12/01/2030 | 905,107 | ||||||||
State of Illinois, Rev | ||||||||||
1,250,000 | 5.00%, 06/15/2022 | 1,314,825 | ||||||||
115,000 | 5.00%, 06/15/2027 | 134,073 | ||||||||
100,000 | Village of Bolingbrook, IL, GO, (AGM Insured) 5.00%, 01/01/2028 | 127,007 | ||||||||
|
| |||||||||
20,947,852 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
Indiana - 0.2% | ||||||||||
$ | 279,414 | City of Evansville, IN, (FNMA Insured) 3.00%, 06/01/2034 | $ | 300,535 | ||||||
|
| |||||||||
Iowa - 1.4% | ||||||||||
Iowa Student Loan Liquidity Corp. | ||||||||||
400,000 | 5.00%, 12/01/2022 | 433,872 | ||||||||
230,000 | 5.00%, 12/01/2023 | 259,560 | ||||||||
350,000 | 5.00%,��12/01/2025 | 418,792 | ||||||||
State of Iowa, Finance Auth Rev | ||||||||||
215,000 | 2.88%, 05/15/2049 | 218,653 | ||||||||
575,000 | 5.00%, 02/15/2027 | 721,366 | ||||||||
|
| |||||||||
2,052,243 | ||||||||||
|
| |||||||||
Kentucky - 0.2% | ||||||||||
110,000 | Kentucky Bond Dev Corp. 5.00%, 09/01/2023 | 122,161 | ||||||||
100,000 | Kentucky Public Energy Auth 4.00%, 01/01/2049(4) | 112,553 | ||||||||
|
| |||||||||
234,714 | ||||||||||
|
| |||||||||
Louisiana - 0.4% | ||||||||||
305,000 | Parish of St. John the Baptist, LA 2.38%, 06/01/2037(4) | 319,475 | ||||||||
265,000 | Regional Transportation Auth, LA, Sales Tax Rev, (AGM Insured) 5.00%, 01/01/2027 | 327,561 | ||||||||
|
| |||||||||
647,036 | ||||||||||
|
| |||||||||
Maine - 0.2% | ||||||||||
305,000 | Finance Auth of Maine Rev, (AGM Insured) 5.00%, 12/01/2021 | 316,621 | ||||||||
|
| |||||||||
Maryland - 0.0% | ||||||||||
40,000 | Maryland Health & Higher Educational Facs Auth 2.88%, 07/01/2023 | 41,570 | ||||||||
|
| |||||||||
Massachusetts - 3.0% | ||||||||||
Massachusetts Dev Finance Agency, Rev | ||||||||||
125,000 | 5.00%, 07/15/2021(1) | 126,989 | ||||||||
120,000 | 5.00%, 07/15/2023(1) | 130,415 | ||||||||
130,000 | 5.00%, 07/15/2024(1) | 145,411 | ||||||||
660,000 | 5.00%, 07/01/2031 | 801,589 | ||||||||
675,000 | 5.00%, 07/01/2034 | 829,811 | ||||||||
350,000 | 5.00%, 07/01/2044 | 391,506 | ||||||||
100,000 | 5.00%, 07/01/2048 | 118,847 | ||||||||
380,000 | 5.00%, 10/01/2057(1) | 417,270 | ||||||||
Massachusetts Educational Financing Auth | ||||||||||
1,000,000 | 5.00%, 01/01/2025 | 1,167,340 | ||||||||
100,000 | 5.00%, 07/01/2026 | 121,890 | ||||||||
110,000 | 5.00%, 07/01/2027 | 136,737 | ||||||||
|
| |||||||||
4,387,805 | ||||||||||
|
| |||||||||
Michigan - 2.3% | ||||||||||
City of Detroit, MI, GO | ||||||||||
60,000 | 5.00%, 04/01/2021 | 60,369 | ||||||||
345,000 | 5.00%, 04/01/2022 | 358,372 | ||||||||
Michigan State Housing Dev Auth | ||||||||||
1,065,000 | 4.25%, 06/01/2049 | 1,190,553 | ||||||||
620,000 | 4.25%, 12/01/2049 | 699,267 | ||||||||
275,000 | New Haven, MI, Community Schools, GO, (Q-SBLF Insured) 5.00%, 05/01/2032 | 362,887 | ||||||||
500,000 | Wayne County, MI, Airport Auth Rev 5.00%, 12/01/2025 | 602,490 | ||||||||
|
| |||||||||
3,273,938 | ||||||||||
|
| |||||||||
Minnesota - 1.5% | ||||||||||
Duluth, MN, Independent School Dist No. 709 , (SCP Insured) | ||||||||||
750,000 | 5.00%, 02/01/2022 | 782,145 | ||||||||
575,000 | 5.00%, 02/01/2025 | 670,950 | ||||||||
400,396 | Freddie Mac Multifamily, MN, Certificates 2.54%, 06/25/2037 | 438,270 |
The accompanying notes are an integral part of these financial statements.
| 19 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
Minnesota - 1.5% - (continued) | ||||||||||
$ | 200,000 | St. Francis, MN, Independent School Dist No. 15, GO, (SCP Insured) 4.00%, 02/01/2030 | $ | 213,084 | ||||||
|
| |||||||||
2,104,449 | ||||||||||
|
| |||||||||
Mississippi - 0.9% | ||||||||||
1,000,000 | State of Mississippi 5.00%, 10/15/2029 | 1,266,720 | ||||||||
|
| |||||||||
Missouri - 2.3% | ||||||||||
400,000 | City of St. Louis, MO, Airport Rev 5.00%, 07/01/2031 | 504,376 | ||||||||
510,000 | Kansas City, MO, Industrial Dev Auth 5.00%, 03/01/2032 | 644,135 | ||||||||
500,000 | Kirkwood, MO, Industrial Dev Auth Retirement Community 5.25%, 05/15/2042 | 545,720 | ||||||||
740,000 | Missouri Housing Dev Commission Rev, (GNMA/FNMA/FHLMC Insured) 3.50%, 11/01/2050 | 835,208 | ||||||||
650,000 | St. Louis County, MO, Industrial Dev Auth 5.00%, 09/01/2028 | 751,179 | ||||||||
|
| |||||||||
3,280,618 | ||||||||||
|
| |||||||||
Nebraska - 0.2% | ||||||||||
300,000 | Washington County, NE, Rev 0.90%, 09/01/2030(4) | 305,823 | ||||||||
|
| |||||||||
Nevada - 1.3% | ||||||||||
275,000 | City of North Las Vegas, NV 4.50%, 06/01/2039 | 298,568 | ||||||||
280,000 | City of Reno, NV, Sales Tax Rev, (AGM Insured) 5.00%, 06/01/2033 | 341,432 | ||||||||
155,000 | City of Sparks, NV 2.50%, 06/15/2024(1) | 156,404 | ||||||||
250,000 | County of Clark, NV, Passenger Facs Charge Rev 5.00%, 07/01/2028 | 325,952 | ||||||||
Las Vegas, NV, New Convention Center Auth Rev | ||||||||||
200,000 | 5.00%, 07/01/2029 | 222,638 | ||||||||
450,000 | 5.00%, 07/01/2034 | 553,662 | ||||||||
|
| |||||||||
1,898,656 | ||||||||||
|
| |||||||||
New Hampshire - 0.3% | ||||||||||
80,000 | New Hampshire Business Finance Auth 4.00%, 01/01/2041(2) | 88,823 | ||||||||
215,000 | New Hampshire Health and Education Facs Auth Act Rev 5.00%, 08/01/2059 | 347,726 | ||||||||
|
| |||||||||
436,549 | ||||||||||
|
| |||||||||
New Jersey - 2.4% | ||||||||||
New Jersey Economic Dev Auth | ||||||||||
400,000 | 5.00%, 06/15/2022 | 425,044 | ||||||||
515,000 | 5.00%, 06/15/2023 | 570,203 | ||||||||
430,000 | New Jersey Higher Education Student Assistance Auth 5.00%, 12/01/2025 | 517,458 | ||||||||
125,000 | New Jersey Transportation Trust Fund Auth 5.00%, 12/15/2023 | 141,160 | ||||||||
New Jersey Turnpike Auth Rev | ||||||||||
250,000 | 4.00%, 01/01/2033 | 293,773 | ||||||||
295,000 | 4.00%, 01/01/2042(2) | 354,619 | ||||||||
340,000 | State of New Jersey, GO 5.00%, 06/01/2026 | 418,285 | ||||||||
Tobacco Settlement Financing Corp., NJ | ||||||||||
340,000 | 5.00%, 06/01/2024 | 392,669 | ||||||||
250,000 | 5.00%, 06/01/2029 | 325,430 | ||||||||
|
| |||||||||
3,438,641 | ||||||||||
|
| |||||||||
New Mexico - 0.2% | ||||||||||
155,000 | City of Santa Fe, NM, Rev 5.00%, 05/15/2049 | 169,125 | ||||||||
80,000 | New Mexico Mortgage Finance Auth, (GNMA/FNMA/FHLMC Insured) 4.00%, 01/01/2049 | 88,692 | ||||||||
|
| |||||||||
257,817 | ||||||||||
|
| |||||||||
New York - 14.5% | ||||||||||
540,000 | Brookhaven, NY, Local Dev Corp. 1.63%, 11/01/2025 | 552,064 | ||||||||
City of New York, NY, GO | ||||||||||
1,675,000 | 0.04%, 08/01/2044(4) | 1,675,000 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
New York - 14.5% - (continued) | ||||||||||
$ | 465,000 | 5.00%, 08/01/2026 | $ | 579,362 | ||||||
500,000 | 5.00%, 08/01/2028 | 645,630 | ||||||||
185,000 | City of New York, NY, Rev 4.00%, 11/01/2035 | 227,328 | ||||||||
500,000 | Long Island, NY, Power Auth Rev 0.85%, 09/01/2050(4) | 504,085 | ||||||||
Metropolitan Transportation Auth, NY, Rev | ||||||||||
1,555,000 | 5.00%, 03/01/2022 | 1,630,262 | ||||||||
195,000 | 5.00%, 11/15/2033 | 249,146 | ||||||||
1,000,000 | 5.00%, 11/15/2045(4) | 1,255,960 | ||||||||
575,000 | 5.00%, 11/15/2052 | 693,255 | ||||||||
New York City Industrial Dev Agency | ||||||||||
1,350,000 | 5.00%, 07/01/2022 | 1,437,709 | ||||||||
120,000 | 5.00%, 03/01/2030 | 159,716 | ||||||||
New York City Transitional Finance Auth, Future Tax Secured Rev | ||||||||||
500,000 | 4.00%, 05/01/2035 | 615,550 | ||||||||
465,000 | 5.00%, 11/01/2032 | 631,800 | ||||||||
725,000 | New York Liberty Dev Corp. 5.00%, 11/15/2044(1) | 786,777 | ||||||||
New York State Urban Dev Corp. Rev | ||||||||||
585,000 | 5.00%, 03/15/2023 | 645,284 | ||||||||
1,000,000 | 5.00%, 03/15/2032 | 1,358,250 | ||||||||
1,000,000 | 5.00%, 03/15/2037 | 1,325,740 | ||||||||
1,000,000 | 5.00%, 03/15/2038 | 1,321,900 | ||||||||
New York Transportation Dev Corp. Rev | ||||||||||
130,000 | 5.00%, 12/01/2024 | 150,136 | ||||||||
195,000 | 5.00%, 12/01/2031 | 259,459 | ||||||||
Port Auth of New York & New Jersey Rev | ||||||||||
185,000 | 4.00%, 07/15/2040(2) | 226,074 | ||||||||
700,000 | 5.00%, 11/01/2038 | 887,502 | ||||||||
390,000 | Syracuse, NY, Industrial Dev Agency 5.00%, 01/01/2031 | 407,581 | ||||||||
2,800,000 | Triborough, NY, Bridge & Tunnel Auth 0.01%, 11/01/2032(4) | 2,800,000 | ||||||||
|
| |||||||||
21,025,570 | ||||||||||
|
| |||||||||
North Carolina - 1.1% | ||||||||||
North Carolina Medical Care Commission Retirement Finance Auth Rev, First Mortgage Galloway Ridge | ||||||||||
545,000 | 2.88%, 10/01/2026 | 548,254 | ||||||||
255,000 | 4.00%, 01/01/2025 | 265,496 | ||||||||
145,000 | 5.00%, 01/01/2039 | 156,888 | ||||||||
210,000 | 5.00%, 01/01/2044 | 236,563 | ||||||||
395,000 | North Carolina Medical Care Commission Retirement Finance Auth Rev, First Mortgage Lutheran Retirement Ministries of Alamance County 5.00%, 01/01/2038 | 449,289 | ||||||||
|
| |||||||||
1,656,490 | ||||||||||
|
| |||||||||
Ohio - 2.5% | ||||||||||
250,000 | Allen County, OH, Hospital Facs Rev 5.00%, 12/01/2029 | 337,893 | ||||||||
1,000,000 | American Municipal Power, Inc., OH 2.30%, 02/15/2038(4) | 1,008,000 | ||||||||
1,275,000 | Buckeye, OH, Tobacco Settlement Finance Auth 5.00%, 06/01/2055 | 1,485,655 | ||||||||
100,000 | Cleveland, OH, Department of Public Utilities, (AGM Insured) 5.00%, 11/15/2030 | 128,575 | ||||||||
600,000 | Southern Ohio Port Auth Rev 6.50%, 12/01/2030(1) | 647,406 | ||||||||
|
| |||||||||
3,607,529 | ||||||||||
|
| |||||||||
Oklahoma - 0.7% | ||||||||||
Oklahoma Dev Finance Auth | ||||||||||
905,000 | 1.63%, 07/06/2023 | 906,973 | ||||||||
30,000 | 5.25%, 08/15/2048 | 35,635 | ||||||||
30,000 | 5.50%, 08/15/2057 | 35,816 | ||||||||
|
| |||||||||
978,424 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 20 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
Oregon - 1.8% | ||||||||||
$ | 30,000 | Benton & Linn Counties, OR, Consolidated School Dist No. 509J & 509A Corvallis, GO, (School Bond Guaranty Insured) 5.00%, 06/15/2038 | $ | 38,093 | ||||||
20,000 | Marion County, OR, School Dist No. 15 North Marion, GO, (School Bond Guaranty Insured) 0.01%, 06/15/2037(3) | 12,286 | ||||||||
115,000 | Multnomah & Clackamas Counties, OR, School Dist No. 10JT Gresham-Barlow, GO, (School Bond Guaranty Insured) 0.00%, 06/15/2038(3) | 72,700 | ||||||||
270,000 | Port of Portland, OR, Airport Rev 5.00%, 07/01/2029 | 353,873 | ||||||||
Salem Hospital Facs Auth, OR |
| |||||||||
40,000 | 5.00%, 05/15/2038 | 45,452 | ||||||||
30,000 | 5.00%, 05/15/2048 | 33,644 | ||||||||
150,000 | Salem-Keizer, OR, School Dist No. 24J, GO, (School Bond Guaranty Insured) 0.00%, 06/15/2023(3) | 163,765 | ||||||||
State of Oregon Housing & Community Services Department |
| |||||||||
95,000 | 4.50%, 01/01/2049 | 105,217 | ||||||||
1,400,000 | 4.50%, 07/01/2049 | 1,561,028 | ||||||||
150,000 | State of Oregon, GO 4.00%, 12/01/2048 | 163,843 | ||||||||
100,000 | Washington Clackamas & Yamhill Counties, OR, School Dist No. 88J, GO, (School Bond Guaranty Insured) 0.00%, 06/15/2034(3) | 70,306 | ||||||||
|
| |||||||||
2,620,207 | ||||||||||
|
| |||||||||
Pennsylvania - 5.0% | ||||||||||
585,000 | Allegheny County, PA, Airport Auth 5.00%, 01/01/2026 | 609,909 | ||||||||
135,000 | Armstrong, PA, School Dist, GO, (BAM State Aid Withholding Insured) 4.00%, 03/15/2035 | 161,468 | ||||||||
565,000 | City of Philadelphia, PA, GO 5.00%, 02/01/2035 | 722,330 | ||||||||
100,000 | Commonwealth Finance Auth, PA 5.00%, 06/01/2027 | 126,513 | ||||||||
590,000 | Erie, PA, City School Dist, GO, (AGM State Aid Withholding Insured) 5.00%, 04/01/2028 | 757,448 | ||||||||
Montgomery County, PA, Industrial Dev Auth Rev | ||||||||||
230,000 | 5.00%, 12/01/2030 | 261,473 | ||||||||
240,000 | 5.00%, 12/01/2044 | 270,511 | ||||||||
100,000 | 5.00%, 12/01/2046 | 109,832 | ||||||||
Pennsylvania Higher Educational Facs Auth | ||||||||||
250,000 | 5.00%, 05/01/2025 | 293,622 | ||||||||
750,000 | 5.00%, 05/01/2037 | 902,985 | ||||||||
Pennsylvania Housing Finance Agency |
| |||||||||
445,000 | 3.10%, 04/01/2023 | 451,546 | ||||||||
1,060,000 | 4.00%, 10/01/2038 | 1,121,618 | ||||||||
Pennsylvania Turnpike Commission Rev | ||||||||||
150,000 | 5.00%, 12/01/2030 | 190,352 | ||||||||
95,000 | 5.00%, 12/01/2037 | 103,493 | ||||||||
540,000 | Philadelphia, PA, School Dist, GO, (State Aid Withholding Insured) 5.00%, 09/01/2032 | 697,415 | ||||||||
15,000 | Pittsburgh, PA, Water & Sewer Auth, (AGM Insured) 5.00%, 09/01/2034 | 19,542 | ||||||||
375,000 | Wilkes-Barre Area, PA, School Dist, GO, (BAM State Aid Withholding Insured) 5.00%, 04/15/2059 | 464,010 | ||||||||
|
| |||||||||
7,264,067 | ||||||||||
|
| |||||||||
Puerto Rico - 0.5% | ||||||||||
625,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Rev 5.00%, 07/01/2058 | 711,069 | ||||||||
|
| |||||||||
Rhode Island - 0.3% | ||||||||||
400,000 | Rhode Island Student Loan Auth 5.00%, 12/01/2027 | 499,840 | ||||||||
|
| |||||||||
South Carolina - 2.1% | ||||||||||
390,000 | SCAGO Educational Facs Corp. for Pickens School Dist, SC 5.00%, 12/01/2029 | 459,989 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
South Carolina - 2.1% - (continued) | ||||||||||
$ | 1,000,000 | South Carolina Port Auth 5.00%, 07/01/2033 | $ | 1,263,310 | ||||||
South Carolina State Public Service Auth |
| |||||||||
500,000 | 4.00%, 12/01/2034 | 617,310 | ||||||||
500,000 | 5.00%, 12/01/2034 | 581,685 | ||||||||
125,000 | 5.00%, 12/01/2050 | 145,950 | ||||||||
|
| |||||||||
3,068,244 | ||||||||||
|
| |||||||||
South Dakota - 0.7% | ||||||||||
900,000 | South Dakota Housing Dev Auth Rev 4.50%, 11/01/2048 | 1,013,922 | ||||||||
|
| |||||||||
Tennessee - 1.4% | ||||||||||
110,000 | Chattanooga, TN, Health Educational & Housing Facs Board Rev 5.00%, 08/01/2044 | 136,046 | ||||||||
Tennessee Energy Acquisition Corp. | ||||||||||
500,000 | 5.00%, 02/01/2022 | 522,970 | ||||||||
300,000 | 5.00%, 02/01/2023 | 326,496 | ||||||||
295,000 | 5.00%, 02/01/2025 | 343,212 | ||||||||
455,000 | 5.00%, 02/01/2027 | 554,982 | ||||||||
135,000 | Tennessee Housing Dev Agency 4.00%, 01/01/2049 | 149,257 | ||||||||
|
| |||||||||
2,032,963 | ||||||||||
|
| |||||||||
Texas - 3.2% | ||||||||||
600,000 | Allen, TX, Independent School Dist, GO (PSF-GTD Insured) 5.00%, 02/15/2029(2) | 802,842 | ||||||||
500,000 | Brazos Higher Education Auth. Inc 5.00%, 04/01/2025 | 576,955 | ||||||||
750,000 | City of Houston, TX, Hotel Occupancy Tax & Special Rev, (AGM-CR AMBAC Insured) 0.00%, 09/01/2025(3) | 713,190 | ||||||||
555,000 | City of San Antonio, TX, Electric & Gas Systems Rev 1.75%, 02/01/2049(4) | 584,004 | ||||||||
215,000 | Dallas-Fort Worth, TX, International Airport Rev 5.00%, 11/01/2022 | 232,398 | ||||||||
600,000 | Harris County - Houston, TX, Sports Auth Rev 5.00%, 11/15/2033 | 652,782 | ||||||||
100,000 | Kerrville, TX, Health Facs Dev Corp. 5.00%, 08/15/2024 | 114,543 | ||||||||
500,000 | New Hope, TX, Cultural Education Facs Finance Corp. 5.00%, 11/01/2046 | 538,735 | ||||||||
225,000 | Texas Municipal Gas Acquisition & Supply Corp. Rev 5.00%, 12/15/2031(2) | 305,339 | ||||||||
200,000 | Texas Transportation Commission 0.00%, 08/01/2038(3) | 106,430 | ||||||||
|
| |||||||||
4,627,218 | ||||||||||
|
| |||||||||
Utah - 2.5% | ||||||||||
1,000,000 | Salt Lake City, UT, Corp. Airport Rev 5.00%, 07/01/2029 | 1,271,970 | ||||||||
590,000 | Salt Lake County, UT, (AMBAC Insured) 5.13%, 02/15/2033 | 682,441 | ||||||||
1,250,000 | Utah Transit Auth, (AGM Insured) 5.25%, 06/15/2029 | 1,671,200 | ||||||||
|
| |||||||||
3,625,611 | ||||||||||
|
| |||||||||
Washington - 3.3% | ||||||||||
Port of Seattle, WA | ||||||||||
1,000,000 | 5.00%, 06/01/2030 | 1,002,030 | ||||||||
1,000,000 | 5.00%, 05/01/2033 | 1,200,760 | ||||||||
1,500,000 | State of Washington, GO 5.00%, 08/01/2034 | 2,040,270 | ||||||||
500,000 | Washington State Housing Finance Commission 5.00%, 01/01/2031(1) | 545,945 | ||||||||
|
| |||||||||
4,789,005 | ||||||||||
|
| |||||||||
West Virginia - 0.3% | ||||||||||
390,000 | West Virginia State Economic Dev Auth 2.55%, 03/01/2040(4) | 415,947 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 21 |
|
Hartford Municipal Opportunities ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 95.8% - (continued) | ||||||||||
Wisconsin - 2.7% | ||||||||||
Public Finance Auth, WI , (AGM Insured) | ||||||||||
$ | 170,000 | 4.00%, 07/01/2050 | $ | 187,949 | ||||||
100,000 | 5.00%, 09/01/2025(1) | 105,533 | ||||||||
1,000,000 | 5.00%, 07/01/2036 | 1,201,010 | ||||||||
750,000 | 5.00%, 10/01/2043(1) | 814,065 | ||||||||
465,000 | 5.00%, 10/01/2044 | 566,914 | ||||||||
120,000 | Wisconsin Center Dist, WI 0.00%, 12/15/2029(3) | 104,993 | ||||||||
840,000 | Wisconsin Health & Educational Facs Auth Rev 5.00%, 11/01/2039 | 906,393 | ||||||||
|
| |||||||||
3,886,857 | ||||||||||
|
| |||||||||
Total Municipal Bonds | $ | 138,987,294 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 2.8% | ||||||||||
Repurchase Agreements - 2.8% | ||||||||||
4,066,711 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/29/2021 at 0.020%, due on 02/01/2021 with a maturity value of $4,066,718; collateralized by U.S. Treasury Bond at 3.000%, maturing 05/15/2047, with a market value of $4,148,103 | 4,066,711 | ||||||||
|
| |||||||||
Total Short-Term Investments | $ | 4,066,711 | ||||||||
|
|
Total Investments | 98.6 | % | $ | 143,054,005 | ||||||||||
Other Assets & Liabilities | 1.4 | % | 2,011,236 | |||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 145,065,241 | ||||||||||
|
|
|
|
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, 2021, the aggregate value of these securities was $4,173,537, representing 2.9% of net assets. |
(2) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $1,910,269 at January 31, 2021. |
(3) | Security is a zero-coupon bond. |
(4) | 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. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Municipal Bonds | $ | 138,987,294 | $ | — | $ | 138,987,294 | $ | — | ||||||||
Short-Term Investments | 4,066,711 | — | 4,066,711 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 143,054,005 | $ | — | $ | 143,054,005 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended January 31, 2021, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
| 22 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 14.6% | ||||||||||
Commercial Banks - 8.2% | ||||||||||
$ | 412,000 | Bank of Nova Scotia 2.38%, 01/18/2023 | $ | 428,388 | ||||||
1,365,000 | Barclays plc 1.01%, 12/10/2024, (1.01% fixed rate until 12/10/2023; 12 mo. USD CMT + 0.800% thereafter)(1) | 1,368,900 | ||||||||
706,000 | 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) | 729,359 | ||||||||
609,000 | HSBC Holdings plc 3.97%, 05/22/2030, (3.97% fixed rate until 05/22/2029; 3 mo. USD LIBOR + 1.610% thereafter)(1) | 691,416 | ||||||||
JPMorgan Chase & Co. | ||||||||||
1,140,000 | 2.01%, 03/13/2026, (2.01% fixed rate until 03/13/2025; 3 mo. USD SOFR + 1.585% thereafter)(1) | 1,188,398 | ||||||||
746,000 | 2.08%, 04/22/2026, (2.08% fixed rate until 04/22/2025; 3 mo. USD SOFR + 1.850% thereafter)(1) | 779,912 | ||||||||
1,564,000 | National Bank of Canada 2.10%, 02/01/2023 | 1,614,206 | ||||||||
522,000 | PNC Financial Services Group, Inc. 3.50%, 01/23/2024 | 567,759 | ||||||||
562,000 | Royal Bank of Canada 2.25%, 11/01/2024 | 597,199 | ||||||||
954,000 | Toronto-Dominion Bank 2.65%, 06/12/2024 | 1,021,841 | ||||||||
763,000 | Truist Financial Corp. 2.20%, 03/16/2023 | 791,611 | ||||||||
394,000 | Wells Fargo & Co. 3.75%, 01/24/2024 | 428,486 | ||||||||
|
| |||||||||
10,207,475 | ||||||||||
|
| |||||||||
Healthcare - Services - 1.0% | ||||||||||
CommonSpirit Health | ||||||||||
142,000 | 2.76%, 10/01/2024 | 152,342 | ||||||||
580,000 | 3.35%, 10/01/2029 | 641,802 | ||||||||
395,000 | UnitedHealth Group, Inc. 2.38%, 08/15/2024 | 420,254 | ||||||||
|
| |||||||||
1,214,398 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.3% | ||||||||||
647,000 | Bristol-Myers Squibb Co. 2.90%, 07/26/2024 | 700,528 | ||||||||
777,000 | CVS Health Corp. 3.75%, 04/01/2030 | 889,187 | ||||||||
|
| |||||||||
1,589,715 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 0.9% | ||||||||||
665,000 | Boston Properties L.P. 3.40%, 06/21/2029 | 735,376 | ||||||||
326,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 348,079 | ||||||||
|
| |||||||||
1,083,455 | ||||||||||
|
| |||||||||
Retail - 1.5% | ||||||||||
1,042,000 | 7-Eleven, Inc. 0.66%, 08/10/2022, 3 mo. USD LIBOR + 0.450%(2)(3) | 1,042,626 | ||||||||
87,000 | Home Depot, Inc. 2.13%, 09/15/2026 | 92,998 | ||||||||
685,000 | McDonald’s Corp. 1.45%, 09/01/2025 | 705,609 | ||||||||
|
| |||||||||
1,841,233 | ||||||||||
|
| |||||||||
Semiconductors - 0.4% | ||||||||||
554,000 | Broadcom, Inc. 1.95%, 02/15/2028(2) | 555,995 | ||||||||
|
| |||||||||
Software - 1.1% | ||||||||||
1,300,000 | Oracle Corp. 2.80%, 04/01/2027 | 1,419,780 | ||||||||
|
| |||||||||
Transportation - 0.2% | ||||||||||
209,000 | United Parcel Service, Inc. 2.20%, 09/01/2024 | 221,074 | ||||||||
|
| |||||||||
Total Corporate Bonds | $ | 18,133,125 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 59.2% | ||||||||||
Alabama - 0.9% | ||||||||||
920,000 | Black Belt Energy Gas Dist, AL 4.00%, 10/01/2049(4) | 1,088,903 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 59.2% - (continued) | ||||||||||
California - 2.0% | ||||||||||
California County, CA, Tobacco Securitization Agency | ||||||||||
$ | 20,000 | 4.00%, 06/01/2022 | $ | 21,012 | ||||||
25,000 | 4.00%, 06/01/2023 | 27,198 | ||||||||
695,000 | California State Health Facs Finance Auth Rev 5.00%, 04/01/2033 | 914,036 | ||||||||
City of El Cajon, CA |
| |||||||||
50,000 | 0.93%, 04/01/2024 | 50,052 | ||||||||
70,000 | 1.18%, 04/01/2025 | 70,371 | ||||||||
City of Los Angeles, CA, Department of Airports |
| |||||||||
110,000 | 0.85%, 05/15/2026(5) | 109,925 | ||||||||
110,000 | 1.10%, 05/15/2027(5) | 109,860 | ||||||||
130,000 | 1.25%, 05/15/2028(5) | 129,765 | ||||||||
City of Pomona, CA | ||||||||||
35,000 | 4.00%, 08/01/2023 | 37,526 | ||||||||
55,000 | 4.00%, 08/01/2024 | 60,324 | ||||||||
City of Riverside, CA | ||||||||||
35,000 | 1.90%, 06/01/2023 | 35,821 | ||||||||
65,000 | 2.11%, 06/01/2024 | 67,200 | ||||||||
County of Sacramento, CA, Airport System Rev | ||||||||||
95,000 | 5.00%, 07/01/2032 | 126,620 | ||||||||
170,000 | 5.00%, 07/01/2033 | 225,428 | ||||||||
105,000 | 5.00%, 07/01/2034 | 138,771 | ||||||||
90,000 | MSR Public Power Agency, CA, (NATL Insured) 6.00%, 07/01/2022 | 94,790 | ||||||||
San Francisco, CA, Community College Dist, GO | ||||||||||
80,000 | 1.33%, 06/15/2026 | 81,269 | ||||||||
75,000 | 1.82%, 06/15/2028 | 77,572 | ||||||||
105,000 | 2.02%, 06/15/2029 | 110,031 | ||||||||
|
| |||||||||
2,487,571 | ||||||||||
|
| |||||||||
Colorado - 1.5% | ||||||||||
690,000 | Adams County, CO, School Dist, GO (State Aid Withholding Insured) 5.00%, 12/01/2029 | 938,179 | ||||||||
225,000 | City & County of Denver, CO, Airport System Rev 5.00%, 11/15/2032 | 300,762 | ||||||||
545,000 | Colorado Housing and Finance Auth (GNMA/FNMA/FHLMC Insured) 3.50%, 05/01/2050 | 611,686 | ||||||||
|
| |||||||||
1,850,627 | ||||||||||
|
| |||||||||
Connecticut - 0.4% | ||||||||||
245,000 | Connecticut Housing Finance Auth Rev (GNMA/FNMA/FHLMC Insured) 4.25%, 05/15/2042 | 273,506 | ||||||||
State of Connecticut, GO | ||||||||||
150,000 | 2.10%, 07/01/2025 | 159,952 | ||||||||
25,000 | 4.00%, 06/01/2023 | 27,168 | ||||||||
|
| |||||||||
460,626 | ||||||||||
|
| |||||||||
Delaware - 0.4% | ||||||||||
Delaware Transportation Auth | ||||||||||
150,000 | 5.00%, 09/01/2029 | 200,244 | ||||||||
50,000 | 5.00%, 07/01/2032 | 68,504 | ||||||||
135,000 | 5.00%, 09/01/2033 | 180,055 | ||||||||
|
| |||||||||
448,803 | ||||||||||
|
| |||||||||
District of Columbia - 2.4% | ||||||||||
590,000 | Dist of Columbia 5.00%, 10/01/2030 | 801,350 | ||||||||
895,000 | Dist of Columbia Water & Sewer Auth Rev 5.00%, 10/01/2052 | 1,097,538 | ||||||||
505,000 | Dist of Columbia, GO 5.00%, 06/01/2036 | 632,194 | ||||||||
340,000 | Metropolitan Washington, DC, Airports Auth Dulles Toll Road Rev 5.00%, 10/01/2034 | 431,355 | ||||||||
|
| |||||||||
2,962,437 | ||||||||||
|
| |||||||||
Florida - 2.7% | ||||||||||
County of Miami-Dade FL | ||||||||||
120,000 | 1.00%, 10/01/2024 | 121,248 | ||||||||
115,000 | 1.15%, 10/01/2025 | 116,801 |
The accompanying notes are an integral part of these financial statements.
| 23 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 59.2% - (continued) | ||||||||||
Florida - 2.7% - (continued) | ||||||||||
$ | 140,000 | County of Miami-Dade FL Aviation Rev. 1.23%, 10/01/2025 | $ | 140,430 | ||||||
930,000 | County of Miami-Dade, FL, GO 5.00%, 07/01/2029 | 1,253,426 | ||||||||
Florida Housing Finance Corp. Rev (GNMA/FNMA/FHLMC Insured) | ||||||||||
80,000 | 3.00%, 07/01/2051 | 88,773 | ||||||||
130,000 | 3.50%, 07/01/2051 | 146,308 | ||||||||
85,000 | 4.00%, 07/01/2049 | 93,441 | ||||||||
1,371,000 | Florida State Board of Administration Finance Co. 1.26%, 07/01/2025 | 1,410,019 | ||||||||
|
| |||||||||
3,370,446 | ||||||||||
|
| |||||||||
Georgia - 2.1% | ||||||||||
220,000 | Georgia Municipal Association, Inc. 5.00%, 12/01/2029 | 280,839 | ||||||||
Main Street, GA, Natural Gas, Inc. |
| |||||||||
435,000 | 4.00%, 08/01/2048(4) | 477,939 | ||||||||
1,565,000 | 4.00%, 03/01/2050(4) | 1,841,488 | ||||||||
|
| |||||||||
2,600,266 | ||||||||||
|
| |||||||||
Hawaii - 0.2% | ||||||||||
170,000 | Hawaii State Highway Fund Rev 5.00%, 01/01/2030 | 223,781 | ||||||||
|
| |||||||||
Illinois - 4.2% | ||||||||||
65,000 | Chicago, IL, Metropolitan Water Reclamation Dist, GO 5.25%, 12/01/2032 | 93,213 | ||||||||
1,870,000 | Chicago, IL, O’Hare International Airport 5.00%, 01/01/2033 | 2,441,435 | ||||||||
Illinois Housing Dev Auth (GNMA/FNMA/FHLMC COLL Insured) | ||||||||||
1,900,000 | 3.75%, 04/01/2050 | 2,135,923 | ||||||||
125,000 | 4.50%, 10/01/2048 | 141,066 | ||||||||
175,000 | Railsplitter, IL, Tobacco Settlement Auth 5.00%, 06/01/2027 | 212,774 | ||||||||
Rock Island County, IL, School Dist No. 41, GO (BAM Insured) | ||||||||||
25,000 | 4.00%, 12/01/2023 | 27,377 | ||||||||
25,000 | 5.00%, 12/01/2024 | 29,140 | ||||||||
85,000 | Southwestern Illinois Dev Auth 6.38%, 11/01/2023 | 93,736 | ||||||||
|
| |||||||||
5,174,664 | ||||||||||
|
| |||||||||
Indiana - 0.1% | ||||||||||
130,000 | Indiana Housing & Community Dev Auth (GNMA COLL Insured) 4.00%, 07/01/2048 | 143,555 | ||||||||
|
| |||||||||
Iowa - 2.5% | ||||||||||
Iowa Finance Auth (GNMA/FNMA/FHLMC Insured) | ||||||||||
120,000 | 3.25%, 07/01/2050 | 134,136 | ||||||||
70,000 | 4.00%, 07/01/2048 | 77,324 | ||||||||
2,610,000 | Iowa Finance Auth (GNMA/FNMA/FHLMC Insured) 3.00%, 01/01/2047(5) | 2,909,524 | ||||||||
|
| |||||||||
3,120,984 | ||||||||||
|
| |||||||||
Kentucky - 2.2% | ||||||||||
Kentucky Public Energy Auth | ||||||||||
600,000 | 4.00%, 12/01/2049(4) | 685,188 | ||||||||
1,555,000 | 4.00%, 02/01/2050(4) | 1,868,099 | ||||||||
Kentucky State Property & Building Commission Rev | ||||||||||
60,000 | 5.00%, 05/01/2024 | 68,645 | ||||||||
105,000 | 5.00%, 08/01/2024 | 121,212 | ||||||||
40,000 | 5.00%, 05/01/2025 | 47,292 | ||||||||
|
| |||||||||
2,790,436 | ||||||||||
|
| |||||||||
Louisiana - 0.0% | ||||||||||
35,000 | Louisiana Housing Corp. Rev 4.50%, 12/01/2047 | 39,340 | ||||||||
|
| |||||||||
Maine - 0.5% | ||||||||||
Maine Municipal Bond Bank | ||||||||||
80,000 | 5.00%, 09/01/2029 | 106,331 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 59.2% - (continued) | ||||||||||
Maine - 0.5% - (continued) | ||||||||||
$ | 135,000 | 5.00%, 09/01/2031 | $ | 181,234 | ||||||
105,000 | 5.00%, 09/01/2032 | 140,280 | ||||||||
160,000 | Maine State Housing Auth 4.00%, 11/15/2048 | 176,224 | ||||||||
|
| |||||||||
604,069 | ||||||||||
|
| |||||||||
Maryland - 2.6% | ||||||||||
State of Maryland Department of Transportation | ||||||||||
1,785,000 | 5.00%, 10/01/2029 | 2,432,937 | ||||||||
565,000 | 5.00%, 10/01/2030 | 787,395 | ||||||||
|
| |||||||||
3,220,332 | ||||||||||
|
| |||||||||
Massachusetts - 0.1% | ||||||||||
Massachusetts Educational Financing Auth | ||||||||||
60,000 | 3.17%, 07/01/2025 | 64,552 | ||||||||
45,000 | 3.27%, 07/01/2026 | 48,905 | ||||||||
50,000 | 3.38%, 07/01/2027 | 54,803 | ||||||||
|
| |||||||||
168,260 | ||||||||||
|
| |||||||||
Michigan - 0.1% | ||||||||||
85,000 | Michigan State Housing Dev Auth 3.75%, 06/01/2050 | 95,087 | ||||||||
|
| |||||||||
Minnesota - 1.4% | ||||||||||
1,580,000 | Minnesota Housing Finance Agency Rev (GNMA/FNMA/FHLMC Insured) 3.00%, 01/01/2051 | 1,750,545 | ||||||||
|
| |||||||||
Mississippi - 1.4% | ||||||||||
Mississippi Home Corp. (GNMA/FNMA/FHLMC Insured) | ||||||||||
1,290,000 | 3.00%, 12/01/2050(5) | 1,438,182 | ||||||||
265,000 | 3.25%, 12/01/2050 | 295,939 | ||||||||
|
| |||||||||
1,734,121 | ||||||||||
|
| |||||||||
Missouri - 2.7% | ||||||||||
1,310,000 | Curators of The University Of Missouri 5.00%, 11/01/2030 | 1,820,258 | ||||||||
Missouri Housing Dev Commission Rev (GNMA/FNMA/FHLMC Insured) | ||||||||||
490,000 | 3.25%, 05/01/2051 | 549,472 | ||||||||
205,000 | 3.50%, 11/01/2050 | 231,375 | ||||||||
370,000 | 3.88%, 05/01/2050 | 417,345 | ||||||||
170,000 | 4.25%, 05/01/2049 | 190,759 | ||||||||
155,000 | 4.75%, 05/01/2049 | 176,523 | ||||||||
|
| |||||||||
3,385,732 | ||||||||||
|
| |||||||||
Montana - 0.8% | ||||||||||
895,000 | Montana Board of Housing 3.50%, 06/01/2050 | 999,563 | ||||||||
|
| |||||||||
Nebraska - 0.7% | ||||||||||
Nebraska Investment Finance Auth Rev | ||||||||||
715,000 | 3.00%, 09/01/2050 | 791,619 | ||||||||
110,000 | 4.00%, 09/01/2048 | 121,480 | ||||||||
|
| |||||||||
913,099 | ||||||||||
|
| |||||||||
Nevada - 0.1% | ||||||||||
150,000 | Nevada Housing Division (GNMA/FNMA/FHLMC COLL Insured) 4.00%, 10/01/2049 | 168,470 | ||||||||
|
| |||||||||
New Jersey - 1.7% | ||||||||||
20,000 | Garden State, NJ, Preservation Trust, (AGM Insured) 5.75%, 11/01/2028 | 25,100 | ||||||||
New Jersey Economic Dev Auth | ||||||||||
40,000 | 5.00%, 06/15/2023 | 44,288 | ||||||||
40,000 | 5.00%, 06/15/2024 | 45,900 | ||||||||
160,000 | 5.00%, 03/01/2026 | 174,845 | ||||||||
90,000 | 5.00%, 11/01/2026 | 110,794 | ||||||||
New Jersey Transportation Trust Fund Auth | ||||||||||
25,000 | 4.00%, 06/15/2035 | 29,791 | ||||||||
40,000 | 5.00%, 06/15/2024 | 45,598 | ||||||||
410,000 | 5.00%, 12/15/2028 | 526,837 |
The accompanying notes are an integral part of these financial statements.
| 24 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 59.2% - (continued) | ||||||||||
New Jersey - 1.7% - (continued) | ||||||||||
$ | 430,000 | New Jersey Turnpike Auth 1.05%, 01/01/2026(5) | $ | 435,297 | ||||||
395,000 | State of New Jersey, GO 5.00%, 06/01/2026 | 485,949 | ||||||||
175,000 | Tobacco Settlement Financing Corp., NJ 5.00%, 06/01/2029 | 227,801 | ||||||||
|
| |||||||||
2,152,200 | ||||||||||
|
| |||||||||
New Mexico - 1.0% | ||||||||||
New Mexico Mortgage Finance Auth (GNMA/FNMA/FHLMC Insured) | ||||||||||
1,075,000 | 3.00%, 01/01/2051 | 1,192,498 | ||||||||
85,000 | 4.00%, 01/01/2049 | 94,418 | ||||||||
|
| |||||||||
1,286,916 | ||||||||||
|
| |||||||||
New York - 4.6% | ||||||||||
1,010,000 | City of New York, NY, GO 5.00%, 08/01/2033 | 1,354,400 | ||||||||
580,000 | New York City Transitional Finance Auth, Future Tax Secured Rev 5.00%, 05/01/2033 | 785,401 | ||||||||
1,560,000 | New York State Dormitory Auth Rev 4.00%, 03/15/2035 | 1,913,870 | ||||||||
New York Transportation Dev. Corp. | ||||||||||
80,000 | 1.36%, 12/01/2021 | 80,062 | ||||||||
75,000 | 1.61%, 12/01/2022 | 75,172 | ||||||||
125,000 | 5.00%, 12/01/2028 | 160,860 | ||||||||
Port Auth of New York & New Jersey Rev | ||||||||||
185,000 | 5.00%, 07/15/2031 | 239,307 | ||||||||
805,000 | 5.00%, 07/15/2033 | 1,081,880 | ||||||||
|
| |||||||||
5,690,952 | ||||||||||
|
| |||||||||
North Carolina - 0.9% | ||||||||||
995,000 | North Carolina Housing Finance Agency (GNMA/FNMA/FHLMC Insured) 4.00%, 07/01/2050 | 1,129,126 | ||||||||
|
| |||||||||
North Dakota - 0.6% | ||||||||||
670,000 | North Dakota Housing Finance Agency 3.75%, 07/01/2050 | 751,298 | ||||||||
|
| |||||||||
Ohio - 2.8% | ||||||||||
Ohio Housing Finance Agency (GNMA/FNMA/FHLMC COLL Insured) | ||||||||||
2,650,000 | 3.25%, 03/01/2050 | 2,965,509 | ||||||||
150,000 | 4.50%, 09/01/2048 | 168,293 | ||||||||
295,000 | Ohio Turnpike & Infrastructure Commission Rev 0.00%, 02/15/2041(6) | 190,068 | ||||||||
95,000 | State of Ohio, GO 5.00%, 05/01/2032 | 129,585 | ||||||||
|
| |||||||||
3,453,455 | ||||||||||
|
| |||||||||
Oklahoma - 0.2% | ||||||||||
200,000 | Oklahoma Housing Finance Agency (GNMA/FNMA/FHLMC Insured) 4.00%, 03/01/2050 | 228,446 | ||||||||
|
| |||||||||
Oregon - 0.5% | ||||||||||
535,000 | Multnomah County, OR, School Dist No.1 Portland, GO (SCH BD GTY Insured) 5.00%, 06/15/2025 | 645,740 | ||||||||
|
| |||||||||
Pennsylvania - 1.4% | ||||||||||
110,000 | Geisinger, PA, Health System Auth Rev 5.00%, 02/15/2032 | 137,285 | ||||||||
455,000 | Pennsylvania Housing Finance Agency 3.50%, 04/01/2049 | 494,157 | ||||||||
Pennsylvania State University | ||||||||||
45,000 | 5.00%, 03/01/2025 | 53,679 | ||||||||
75,000 | 5.00%, 03/01/2027 | 95,695 | ||||||||
60,000 | 5.00%, 03/01/2028 | 78,605 | ||||||||
Pennsylvania Turnpike Commission Rev | ||||||||||
75,000 | 5.00%, 12/01/2032 | 103,075 | ||||||||
75,000 | 5.00%, 12/01/2033 | 102,608 | ||||||||
Philadelphia Gas Works Co., (AGM Insured) | ||||||||||
220,000 | 5.00%, 08/01/2030 | 294,217 | ||||||||
195,000 | 5.00%, 08/01/2033 | 259,432 |
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 59.2% - (continued) | ||||||||||
Pennsylvania - 1.4% - (continued) | ||||||||||
$ | 105,000 | Philadelphia, PA, Gas Works Co., (AGM Insured) 5.00%, 08/01/2029 | $ | 138,331 | ||||||
|
| |||||||||
1,757,084 | ||||||||||
|
| |||||||||
Rhode Island - 1.6% | ||||||||||
365,000 | Rhode Island Commerce Corp. 5.00%, 05/15/2026 | 449,315 | ||||||||
1,390,000 | Rhode Island Housing & Mortgage Finance Corp. 3.75%, 10/01/2049 | 1,555,507 | ||||||||
|
| |||||||||
2,004,822 | ||||||||||
|
| |||||||||
South Carolina - 1.3% | ||||||||||
545,000 | City of Columbia, SC, Waterworks & Sewer System Rev 5.00%, 02/01/2026 | 672,421 | ||||||||
605,000 | Patriots Energy Group Financing Agency, SC 4.00%, 10/01/2048(4) | 667,242 | ||||||||
215,000 | South Carolina Jobs-Economic Dev Auth 3.75%, 01/01/2050 | 244,790 | ||||||||
20,000 | Tobacco Settlement Rev Mgmt Auth, SC 6.38%, 05/15/2030 | 28,713 | ||||||||
|
| |||||||||
1,613,166 | ||||||||||
|
| |||||||||
South Dakota - 0.1% | ||||||||||
South Dakota Conservancy Dist | ||||||||||
35,000 | 5.00%, 08/01/2026 | 43,932 | ||||||||
45,000 | 5.00%, 08/01/2029 | 61,201 | ||||||||
45,000 | 5.00%, 08/01/2030 | 62,370 | ||||||||
|
| |||||||||
167,503 | ||||||||||
|
| |||||||||
Tennessee - 1.4% | ||||||||||
15,000 | Metropolitan Gov’t Nashville & Davidson County, TN, Health & Educational Facs Bd (NATL Insured) 4.88%, 11/01/2028 | 17,608 | ||||||||
Metropolitan Nashville, TN, Airport Auth | ||||||||||
440,000 | 5.00%, 07/01/2026 | 546,322 | ||||||||
360,000 | 5.00%, 07/01/2027 | 459,029 | ||||||||
390,000 | 5.00%, 07/01/2028 | 508,813 | ||||||||
125,000 | Tennessee Housing Dev Agency 4.50%, 07/01/2049 | 141,490 | ||||||||
|
| |||||||||
1,673,262 | ||||||||||
|
| |||||||||
Texas - 6.8% | ||||||||||
680,000 | Arlington, TX, Higher Education Finance Corp., (PSF-GTD Insured) 5.00%, 08/15/2033 | 900,980 | ||||||||
505,000 | Austin, TX, Independent School Dist, GO (PSF-GTD Insured) 4.00%, 08/01/2033 | 636,113 | ||||||||
70,000 | Bexar County, TX, Hospital Dist, GO 5.00%, 02/15/2030 | 90,028 | ||||||||
City of Houston, TX, Airport System Rev | ||||||||||
585,000 | 5.00%, 07/01/2029 | 772,229 | ||||||||
325,000 | 5.00%, 07/01/2030 | 435,610 | ||||||||
235,000 | Conroe, TX, Independent School Dist, GO (PSF-GTD Insured) 5.00%, 02/15/2030 | 322,136 | ||||||||
Cypress-Fairbanks, TX, Independent School Dist, GO (PSF-GTD Insured) | ||||||||||
305,000 | 4.00%, 02/15/2033 | 384,818 | ||||||||
65,000 | 5.00%, 02/15/2027 | 82,781 | ||||||||
110,000 | Dallas-Fort Worth, TX, International Airport Rev 2.04%, 11/01/2024 | 114,706 | ||||||||
250,000 | Deer Park, TX, Independent School Dist, GO (PSF-GTD Insured) 5.00%, 08/15/2028 | 326,265 | ||||||||
70,000 | El Paso, TX, Independent School Dist, GO (PSF-GTD Insured) 5.00%, 08/15/2026 | 87,751 | ||||||||
505,000 | Harris County, TX, GO 5.00%, 10/01/2038 | 629,033 | ||||||||
Lower Colorado River, TX, Auth Rev | ||||||||||
440,000 | 5.00%, 05/15/2029 | 587,598 | ||||||||
940,000 | 5.00%, 05/15/2030 | 1,282,244 |
The accompanying notes are an integral part of these financial statements.
| 25 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 59.2% - (continued) | ||||||||||
Texas - 6.8% - (continued) | ||||||||||
Northside, TX, Independent School Dist, GO (PSF-GTD Insured) | ||||||||||
$ | 15,000 | 5.00%, 02/15/2026 | $ | 18,555 | ||||||
55,000 | 5.00%, 02/15/2030 | 75,451 | ||||||||
Texas Department of Housing & Community Affairs Rev (GNMA Insured) | ||||||||||
355,000 | 3.50%, 03/01/2051 | 406,855 | ||||||||
125,000 | 4.00%, 03/01/2050 | 144,165 | ||||||||
95,000 | 4.75%, 03/01/2049 | 106,805 | ||||||||
330,000 | Texas Municipal Gas Acquisition & Supply Corp. III 5.00%, 12/15/2028(5) | 425,974 | ||||||||
495,000 | University of Texas, Permanent University Fund Rev 5.00%, 07/01/2027 | 611,028 | ||||||||
|
| |||||||||
8,441,125 | ||||||||||
|
| |||||||||
Utah - 0.6% | ||||||||||
520,000 | University of Utah Rev 5.00%, 08/01/2030 | 700,274 | ||||||||
|
| |||||||||
Virginia - 0.5% | ||||||||||
490,000 | Fairfax County, VA, Water Auth Rev 5.00%, 04/01/2029 | 625,975 | ||||||||
|
| |||||||||
Washington - 1.1% | ||||||||||
45,000 | North Thurston, WA, Public Schools, GO (SCH BD GTY Insured) 5.00%, 12/01/2027 | 58,564 | ||||||||
730,000 | State of Washington, GO 5.00%, 08/01/2030 | 985,215 | ||||||||
255,000 | Washington State Housing Finance Commission Rev 4.00%, 12/01/2048 | 282,364 | ||||||||
|
| |||||||||
1,326,143 | ||||||||||
|
| |||||||||
Wyoming - 0.1% | ||||||||||
125,000 | Wyoming Community Dev Auth 4.00%, 06/01/2043 | 137,910 | ||||||||
|
| |||||||||
Total Municipal Bonds | $ | 73,587,114 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 7.4% | ||||||||||
Mortgage-Backed Agencies - 7.4% | ||||||||||
FHLMC - 2.4% | ||||||||||
$ | 3,022,566 | 1.50%, 11/01/2050 | $ | 3,034,391 | ||||||
|
| |||||||||
FNMA - 5.0% | ||||||||||
3,146,179 | 1.50%, 12/01/2050 | 3,158,488 | ||||||||
3,025,841 | 1.50%, 11/01/2050 | 3,037,679 | ||||||||
|
| |||||||||
6,196,167 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 9,230,558 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 11.7% | ||||||||||
U.S. Treasury Securities - 11.7% | ||||||||||
U.S. Treasury Notes - 11.7% | ||||||||||
4,631,000 | 0.13%, 04/30/2022 | 4,631,724 | ||||||||
7,983,000 | 0.13%, 10/15/2023 | 7,974,580 | ||||||||
1,861,000 | 1.88%, 07/31/2026 | 1,996,795 | ||||||||
|
| |||||||||
14,603,099 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 14,603,099 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 115,553,896 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 11.4% | ||||||||||
Other Investment Pools & Funds - 5.1% | ||||||||||
6,347,511 | Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 0.01%(7) | 6,347,511 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SHORT-TERM INVESTMENTS - 11.4% - (continued) | ||||||||||
U.S. Treasury Securities - 6.3% | ||||||||||
U.S. Treasury Bills - 6.3% | ||||||||||
$ | 50,000 | 0.05%, 03/04/2021(8) | $ | 49,998 | ||||||
100,000 | 0.08%, 03/04/2021(8) | 99,993 | ||||||||
689,000 | 0.08%, 03/04/2021(8) | 688,953 | ||||||||
820,000 | 0.08%, 07/15/2021(8) | 819,711 | ||||||||
1,543,000 | 0.09%, 03/04/2021(8) | 1,542,576 | ||||||||
1,083,000 | 0.09%, 07/15/2021(8) | 1,082,618 | ||||||||
3,602,000 | 0.11%, 07/15/2021(8) | 3,600,728 | ||||||||
|
| |||||||||
7,884,577 | ||||||||||
|
| |||||||||
Total Short-Term Investments | $ | 14,232,088 | ||||||||
|
|
Total Investments | 104.3 | % | $ | 129,785,984 | ||||||||||
Other Assets & Liabilities | (4.3 | )% | (5,351,985 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 124,433,999 | ||||||||||
|
|
|
|
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, 2021. 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, 2021, the aggregate value of these securities was $1,598,621, representing 1.3% of net assets. |
(3) | Variable rate security; the rate reported is the coupon rate in effect at January 31, 2021. Base lending rates may be subject to a floor or cap. |
(4) | 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. |
(5) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $5,530,136 at January 31, 2021. |
(6) | Security is a zero-coupon bond. |
(7) | Current yield as of period end. |
(8) | The rate shown represents current yield to maturity. |
The accompanying notes are an integral part of these financial statements.
| 26 |
|
Hartford Schroders Tax-Aware Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Futures Contracts Outstanding at January 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury 5-Year Note Future | 58 | 03/31/2021 | $ | 7,300,750 | $ | (581 | ) | |||||||||
U.S. Treasury 10-Year Note Future | 125 | 03/22/2021 | 17,128,906 | 103,257 | ||||||||||||
U.S. Treasury Long Bond Future | 7 | 03/22/2021 | 1,181,032 | 36,955 | ||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | 139,631 | |||||||||||||
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Corporate Bonds | $ | 18,133,125 | $ | — | $ | 18,133,125 | $ | — | ||||||||
Municipal Bonds | 73,587,114 | — | 73,587,114 | — | ||||||||||||
U.S. Government Agencies | 9,230,558 | — | 9,230,558 | — | ||||||||||||
U.S. Government Securities | 14,603,099 | — | 14,603,099 | — | ||||||||||||
Short-Term Investments | 14,232,088 | 6,347,511 | 7,884,577 | — | ||||||||||||
Futures Contracts(2) | 140,212 | 140,212 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 129,926,196 | $ | 6,487,723 | $ | 123,438,473 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Futures Contracts(2) | $ | (581 | ) | $ | (581 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (581 | ) | $ | (581 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended January 31, 2021, 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.
| 27 |
|
Hartford Short Duration ETF |
Schedule of Investments
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 19.5% | ||||||||||
Asset-Backed - Automobile - 0.8% | ||||||||||
$ | 182,319 | Chesapeake Funding LLC 3.39%, 01/15/2031(1) | $ | 187,483 | ||||||
265,000 | CPS Auto Trust 0.61%, 02/18/2025(1) | 264,963 | ||||||||
450,000 | Credit Acceptance Auto Loan Trust 2.38%, 11/15/2028(1) | 461,819 | ||||||||
|
| |||||||||
914,265 | ||||||||||
|
| |||||||||
Asset-Backed - Finance & Insurance - 4.6% | ||||||||||
280,433 | Angel Oak Mortgage Trust 2.53%, 01/26/2065(1)(2) | 286,460 | ||||||||
285,000 | Apidos CLO 1.23%, 04/20/2031, 3 mo. USD LIBOR + 1.010%(1)(3) | 284,244 | ||||||||
BRAVO Residential Funding Trust | ||||||||||
219,687 | 2.75%, 11/25/2059(1)(2) | 227,059 | ||||||||
186,558 | 3.50%, 03/25/2058(1) | 192,349 | ||||||||
250,000 | Carbone CLO Ltd. 1.36%, 01/20/2031, 3 mo. USD LIBOR + 1.140%(1)(3) | 250,204 | ||||||||
CIFC Funding Ltd. | ||||||||||
250,000 | 1.09%, 04/19/2029, 3 mo. USD LIBOR + 0.870%(1)(3) | 249,752 | ||||||||
250,000 | 1.33%, 01/22/2031, 3 mo. USD LIBOR + 1.110%(1)(3) | 250,097 | ||||||||
229,447 | Conn’s Receivables Funding LLC 1.71%, 06/16/2025(1) | 229,798 | ||||||||
275,000 | Credit Acceptance Auto Loan Trust 1.24%, 10/15/2029(1) | 278,290 | ||||||||
DB Master Finance LLC |
| |||||||||
340,375 | 3.63%, 11/20/2047(1) | 349,082 | ||||||||
375,250 | 3.79%, 05/20/2049(1) | 385,205 | ||||||||
400,000 | KKR CLO Ltd. 1.42%, 01/15/2031, 3 mo. USD LIBOR + 1.180%(1)(3) | 400,400 | ||||||||
305,000 | Neuberger Berman Loan Advisers CLO Ltd. 1.24%, 04/19/2030, 3 mo. USD LIBOR + 1.020%(1)(3) | 304,494 | ||||||||
250,000 | Octagon Investment Partners Ltd. 1.27%, 03/17/2030, 3 mo. USD LIBOR + 1.000%(1)(3)(4) | 250,027 | ||||||||
293,250 | Planet Fitness Master Issuer LLC 4.26%, 09/05/2048(1) | 292,936 | ||||||||
245,182 | Regional Management Issuance Trust 4.56%, 01/18/2028(1) | 247,317 | ||||||||
464,708 | Sonic Capital LLC 4.03%, 02/20/2048(1) | 478,496 | ||||||||
Symphony CLO Ltd. | ||||||||||
250,000 | 1.18%, 04/16/2031, 3 mo. USD LIBOR + 0.960%(1)(3) | 249,776 | ||||||||
258,635 | 1.18%, 07/14/2026, 3 mo. USD LIBOR + 0.950%(1)(3) | 258,673 | ||||||||
|
| |||||||||
5,464,659 | ||||||||||
|
| |||||||||
Collateralized - Mortgage Obligations - 0.1% | ||||||||||
125,000 | Natixis Commercial Mortgage Securities Trust 2.51%, 10/15/2036(1) | 128,584 | ||||||||
|
| |||||||||
Commercial Banks - 0.3% | ||||||||||
350,000 | JP Morgan Chase & Co. 1.04%, 02/04/2027 | 349,609 | ||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities - 1.7% | ||||||||||
395,000 | CityLine Commercial Mortgage Trust 2.78%, 11/10/2031(1)(2) | 413,109 | ||||||||
240,000 | GS Mortgage Securities Corp. Trust 2.75%, 02/10/2037(1) | 245,028 | ||||||||
GS Mortgage Securities Trust | ||||||||||
375,000 | 2.78%, 10/10/2049 | 395,951 | ||||||||
380,000 | 3.12%, 11/10/2045 | 392,982 | ||||||||
575,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | 600,705 | ||||||||
|
| |||||||||
2,047,775 | ||||||||||
|
| |||||||||
Other Asset-Backed Securities - 4.4% | ||||||||||
239,005 | Affirm Asset Securitization Trust 1.90%, 01/15/2025(1) | 240,790 | ||||||||
250,000 | Crossroads Asset Trust 0.82%, 03/20/2024(1)(4) | 249,950 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 19.5% - (continued) | ||||||||||
Other Asset-Backed Securities - 4.4% - (continued) | ||||||||||
Mill City Mortgage Loan Trust | ||||||||||
$ | 520,000 | 1.13%, 11/25/2060 | $ | 523,902 | ||||||
53,735 | 3.25%, 05/25/2062(1)(2) | 55,606 | ||||||||
50,239 | 3.50%, 05/25/2058(1)(2) | 52,005 | ||||||||
335,670 | 3.50%, 08/25/2058(1)(2) | 356,207 | ||||||||
53,275 | New Residential Mortgage LLC 3.79%, 07/25/2054(1) | 53,452 | ||||||||
223,872 | Sapphire Aviation Finance Ltd. 3.23%, 03/15/2040(1) | 224,884 | ||||||||
134,595 | SoFi Consumer Loan Program Trust 2.02%, 01/25/2029(1) | 136,054 | ||||||||
671,300 | Taco Bell Funding LLC 4.32%, 11/25/2048(1) | 678,751 | ||||||||
Towd Point Mortgage Trust | ||||||||||
220,619 | 1.75%, 10/25/2060(1) | 226,479 | ||||||||
202,411 | 2.75%, 10/25/2057(1)(2) | 208,400 | ||||||||
102,878 | 2.90%, 10/25/2059(1)(2) | 108,417 | ||||||||
466,343 | 3.00%, 01/25/2058(1)(2) | 481,550 | ||||||||
185,424 | 3.25%, 03/25/2058(1)(2) | 193,765 | ||||||||
241,654 | 3.25%, 07/25/2058(1)(2) | 252,518 | ||||||||
63,650 | 3.75%, 05/25/2058(1)(2) | 67,923 | ||||||||
Vantage Data Centers Issuer LLC |
| |||||||||
300,000 | 1.65%, 09/15/2045(1) | 301,129 | ||||||||
221,812 | 3.19%, 07/15/2044(1) | 232,608 | ||||||||
332,633 | 4.20%, 11/16/2043(1) | 356,860 | ||||||||
126,742 | Verus Securitization Trust 2.42%, 01/25/2060(1)(5) | 129,312 | ||||||||
|
| |||||||||
5,130,562 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 7.6% | ||||||||||
Angel Oak Mortgage Trust | ||||||||||
375,865 | 0.99%, 04/25/2053(1)(2) | 377,522 | ||||||||
80,524 | 2.47%, 12/25/2059(1)(2) | 81,535 | ||||||||
123,079 | 2.59%, 10/25/2049(1)(2) | 124,704 | ||||||||
Angel Oak Mortgage Trust LLC | ||||||||||
212,221 | 2.99%, 07/26/2049(1)(2) | 214,582 | ||||||||
70,988 | 3.67%, 07/27/2048(1)(2) | 72,028 | ||||||||
427,474 | Arroyo Mortgage Trust 2.96%, 10/25/2048(1)(2) | 441,866 | ||||||||
73,693 | Bunker Hill Loan Depositary Trust 3.61%, 10/26/2048(1)(5) | 74,712 | ||||||||
248,931 | Colombia Cent CLO Ltd. 1.37%, 10/25/2028, 3 mo. USD LIBOR + 1.150%(1)(3) | 248,831 | ||||||||
COLT Mortgage Loan Trust | ||||||||||
452,000 | 0.86%, 05/25/2065(1)(2) | 452,280 | ||||||||
174,381 | 1.26%, 09/25/2065(1)(2) | 175,308 | ||||||||
429,123 | 1.39%, 01/25/2065(1)(2) | 432,227 | ||||||||
431,927 | 1.85%, 03/25/2065(1)(2) | 437,369 | ||||||||
250,454 | 2.49%, 02/25/2050(1)(2) | 253,574 | ||||||||
152,915 | 2.58%, 11/25/2049(1)(2) | 154,681 | ||||||||
76,994 | 2.76%, 08/25/2049(1)(2) | 77,611 | ||||||||
CSMC Trust | ||||||||||
388,828 | 0.81%, 05/25/2065(1)(5) | 389,163 | ||||||||
385,376 | 1.21%, 05/25/2065(1)(5) | 387,704 | ||||||||
409,997 | 2.00%, 01/25/2060(1)(2) | 421,375 | ||||||||
178,829 | 2.24%, 02/25/2050(1)(2) | 182,824 | ||||||||
Deephaven Residential Mortgage Trust | ||||||||||
214,860 | 2.34%, 01/25/2060(1)(2) | 217,606 | ||||||||
129,236 | 3.79%, 08/25/2058(1)(2) | 130,013 | ||||||||
91,039 | Ellington Financial Mortgage Trust 1.18%, 10/25/2065(1)(2) | 91,058 | ||||||||
263,195 | Fannie Mae Connecticut Avenue Securities 6.03%, 10/25/2028, 1 mo. USD LIBOR + 5.900%(3) | 277,079 | ||||||||
250,000 | FirstKey Homes Trust 1.27%, 10/19/2037(1) | 251,122 | ||||||||
293,059 | GCAT Trust 2.25%, 01/25/2060(1)(5) | 299,587 | ||||||||
59,187 | Home Re Ltd. 1.73%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(1)(3) | 59,272 | ||||||||
82,788 | LSTAR Securities Investment Trust 1.64%, 04/01/2024, 1 mo. USD LIBOR + 1.500%(1)(3) | 82,222 | ||||||||
164,072 | MFA Trust 1.01%, 01/26/2065(1)(2) | 164,035 |
The accompanying notes are an integral part of these financial statements.
| 28 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 19.5% - (continued) | ||||||||||
Whole Loan Collateral CMO - 7.6% - (continued) | ||||||||||
$ | 260,000 | MFRA Trust 0.85%, 01/25/2056(1)(2) | $ | 259,994 | ||||||
New Residential Mortgage Loan Trust | ||||||||||
239,534 | 0.88%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | 240,379 | ||||||||
265,867 | 2.46%, 01/26/2060(1)(2) | 271,367 | ||||||||
296,149 | 4.00%, 02/25/2057(1)(2) | 319,307 | ||||||||
112,851 | 4.00%, 09/25/2057(1)(2) | 120,045 | ||||||||
OBX Trust | ||||||||||
164,797 | 3.50%, 12/25/2049(1)(2) | 169,877 | ||||||||
19,294 | 4.00%, 11/25/2048(1)(2) | 19,298 | ||||||||
25,606 | Sequoia Mortgage Trust 4.50%, 08/25/2048(1)(2) | 26,504 | ||||||||
91,727 | Spruce Hill Mortgage Loan Trust 3.40%, 04/29/2049(1)(2) | 93,162 | ||||||||
242,333 | Starwood Mortgage Residential Trust 2.28%, 02/25/2050(1)(2) | 247,598 | ||||||||
Verus Securitization Trust | ||||||||||
421,000 | 0.82%, 10/25/2063(1)(2) | 420,344 | ||||||||
129,950 | 2.69%, 11/25/2059(1)(2) | 133,863 | ||||||||
|
| |||||||||
8,893,628 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage-Backed Securities | $ | 22,929,082 | ||||||||
|
| |||||||||
CORPORATE BONDS - 50.9% | ||||||||||
Aerospace/Defense - 0.6% | ||||||||||
325,000 | Boeing Co. 4.51%, 05/01/2023 | 349,730 | ||||||||
300,000 | L3Harris Technologies, Inc. 3.85%, 06/15/2023 | 323,120 | ||||||||
|
| |||||||||
672,850 | ||||||||||
|
| |||||||||
Agriculture - 0.7% | ||||||||||
450,000 | BAT Capital Corp. 2.79%, 09/06/2024 | 479,814 | ||||||||
350,000 | Cargill, Inc. 0.40%, 02/02/2024 | 349,567 | ||||||||
|
| |||||||||
829,381 | ||||||||||
|
| |||||||||
Auto Manufacturers - 2.0% | ||||||||||
275,000 | Ford Motor Credit Co. LLC 3.35%, 11/01/2022 | 279,386 | ||||||||
General Motors Financial Co., Inc. | ||||||||||
200,000 | 1.25%, 01/08/2026 | 199,293 | ||||||||
190,000 | 1.70%, 08/18/2023 | 194,306 | ||||||||
500,000 | 2.90%, 02/26/2025 | 533,508 | ||||||||
200,000 | 3.45%, 04/10/2022 | 205,866 | ||||||||
50,000 | Hyundai Capital America 4.13%, 06/08/2023(1) | 53,608 | ||||||||
Volkswagen Group of America Finance LLC | ||||||||||
200,000 | 2.70%, 09/26/2022(1) | 207,052 | ||||||||
400,000 | 4.25%, 11/13/2023(1) | 438,998 | ||||||||
200,000 | 4.63%, 11/13/2025(1) | 231,938 | ||||||||
|
| |||||||||
2,343,955 | ||||||||||
|
| |||||||||
Beverages - 0.3% | ||||||||||
150,000 | Anheuser-Busch InBev Worldwide, Inc. 4.15%, 01/23/2025 | 169,533 | ||||||||
175,000 | Constellation Brands, Inc. 2.65%, 11/07/2022 | 181,393 | ||||||||
|
| |||||||||
350,926 | ||||||||||
|
| |||||||||
Biotechnology - 0.3% | ||||||||||
175,000 | Gilead Sciences, Inc. 0.75%, 09/29/2023 | 175,353 | ||||||||
225,000 | Royalty Pharma plc 1.20%, 09/02/2025(1) | 226,648 | ||||||||
|
| |||||||||
402,001 | ||||||||||
|
| |||||||||
Chemicals - 0.9% | ||||||||||
Celanese U.S. Holdings LLC | ||||||||||
80,000 | 3.50%, 05/08/2024 | 86,585 | ||||||||
280,000 | 4.63%, 11/15/2022 | 299,780 | ||||||||
345,000 | LYB International Finance LLC 1.25%, 10/01/2025 | 347,910 | ||||||||
300,000 | Sherwin-Williams Co. 4.20%, 01/15/2022 | 308,129 | ||||||||
|
| |||||||||
1,042,404 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 50.9% - (continued) | ||||||||||
Commercial Banks - 15.0% | ||||||||||
Bank of America Corp. | ||||||||||
$ | 275,000 | 0.98%, 09/25/2025, (0.98% fixed rate until 09/25/2024; 3 mo. USD SOFR + 0.910% thereafter)(6) | $ | 277,150 | ||||||
300,000 | 1.20%, 10/24/2026, (1.20% fixed rate until 10/24/2025; 3 mo. USD SOFR + 1.010% thereafter)(6) | 302,672 | ||||||||
350,000 | 2.02%, 02/13/2026, (2.02% fixed rate until 02/13/2025; 3 mo. USD LIBOR + 0.640% thereafter)(6) | 364,521 | ||||||||
275,000 | 3.88%, 08/01/2025 | 311,308 | ||||||||
250,000 | Banque Federative du Credit Mutuel S.A. 0.65%, 02/27/2024(1) | 249,975 | ||||||||
Barclays plc | ||||||||||
250,000 | 1.01%, 12/10/2024, (1.01% fixed rate until 12/10/2023; 12 mo. USD CMT + 0.800% thereafter)(6) | 250,714 | ||||||||
325,000 | 3.68%, 01/10/2023 | 334,308 | ||||||||
250,000 | BBVA USA 3.50%, 06/11/2021 | 252,238 | ||||||||
BNP Paribas S.A. | ||||||||||
200,000 | 1.32%, 01/13/2027, (1.32% fixed rate until 01/13/2026; 3 mo. USD SOFR + 1.004% thereafter)(1)(6) | 200,419 | ||||||||
200,000 | 3.50%, 03/01/2023(1) | 212,184 | ||||||||
BPCE S.A. | ||||||||||
250,000 | 1.65%, 10/06/2026, (1.65% fixed rate until 10/06/2025; 3 mo. USD SOFR + 1.520% thereafter)(1)(6) | 254,564 | ||||||||
250,000 | 3.00%, 05/22/2022(1) | 258,543 | ||||||||
250,000 | 4.00%, 09/12/2023(1) | 271,514 | ||||||||
200,000 | Canadian Imperial Bank of Commerce 0.50%, 12/14/2023 | 200,482 | ||||||||
CIT Group, Inc. | ||||||||||
135,000 | 5.00%, 08/15/2022 | 142,763 | ||||||||
340,000 | 5.00%, 08/01/2023 | 371,486 | ||||||||
Citigroup, Inc. | ||||||||||
200,000 | 0.78%, 10/30/2024, (0.78% fixed rate until 10/30/2023; 3 mo. USD SOFR + 0.686% thereafter)(6) | 200,608 | ||||||||
400,000 | 1.12%, 01/28/2027, (1.12% fixed rate until 01/28/2026; 3 mo. USD SOFR + 0.765% thereafter)(6) | 399,751 | ||||||||
350,000 | 3.30%, 04/27/2025 | 385,549 | ||||||||
250,000 | Citizens Bank NA 3.70%, 03/29/2023 | 266,701 | ||||||||
300,000 | Comerica, Inc. 3.70%, 07/31/2023 | 323,173 | ||||||||
Cooperatieve Rabobank UA | ||||||||||
250,000 | 1.00%, 09/24/2026, (1.00% fixed rate until 09/24/2025; 12 mo. USD CMT + 0.730% thereafter)(1)(6) | 250,818 | ||||||||
300,000 | 3.88%, 09/26/2023(1) | 327,144 | ||||||||
275,000 | Credit Agricole S.A. 1.25%, 01/26/2027, (1.25% fixed rate until 01/26/2026; 3 mo. USD SOFR + 0.892% thereafter)(1)(6) | 274,921 | ||||||||
Credit Suisse Group AG | ||||||||||
250,000 | 1.31%, 02/02/2027, (1.31% fixed rate until 02/02/2026; 3 mo. USD SOFR + 0.980% thereafter)(1)(4)(6) | 249,721 | ||||||||
305,000 | 2.59%, 09/11/2025, (2.59% fixed rate until 09/11/2024; 3 mo. USD SOFR + 1.560% thereafter)(1)(6) | 321,715 | ||||||||
250,000 | 3.57%, 01/09/2023(1) | 257,034 | ||||||||
300,000 | 3.80%, 06/09/2023 | 322,718 | ||||||||
Danske Bank A/S | ||||||||||
200,000 | 3.88%, 09/12/2023(1) | 215,261 | ||||||||
390,000 | 5.00%, 01/12/2022(1) | 406,070 |
The accompanying notes are an integral part of these financial statements.
| 29 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 50.9% - (continued) | ||||||||||
Commercial Banks - 15.0% - (continued) | ||||||||||
$ | 100,000 | Deutsche Bank AG 4.25%, 10/14/2021 | $ | 102,480 | ||||||
250,000 | Discover Bank 2.45%, 09/12/2024 | 264,103 | ||||||||
150,000 | Fifth Third Bancorp 2.38%, 01/28/2025 | 158,767 | ||||||||
Goldman Sachs Group, Inc. | ||||||||||
355,000 | 0.63%, 11/17/2023, (0.63% fixed rate until 11/17/2022; 3 mo. USD SOFR + 0.538% thereafter)(6) | 355,395 | ||||||||
185,000 | 1.09%, 12/09/2026, (1.09% fixed rate until 12/09/2025; 3 mo. USD SOFR + 0.789% thereafter)(6) | 185,335 | ||||||||
300,000 | 3.00%, 04/26/2022 | 301,884 | ||||||||
HSBC Holdings plc |
| |||||||||
495,000 | 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD SOFR + 1.290% thereafter)(6) | 500,895 | ||||||||
350,000 | 2.63%, 11/07/2025, (2.63% fixed rate until 11/07/2024; 3 mo. USD LIBOR + 1.140% thereafter)(6) | 370,666 | ||||||||
137,000 | Huntington Bancshares, Inc. 2.30%, 01/14/2022 | 139,382 | ||||||||
575,000 | ING Groep N.V. 4.10%, 10/02/2023 | 629,345 | ||||||||
Intesa Sanpaolo S.p.A. |
| |||||||||
200,000 | 3.13%, 07/14/2022(1) | 206,399 | ||||||||
400,000 | 3.25%, 09/23/2024(1) | 426,791 | ||||||||
JP Morgan Chase & Co. |
| |||||||||
200,000 | 1.05%, 11/19/2026, (1.05% fixed rate until 11/19/2025; 3 mo. USD SOFR + 0.800% thereafter)(6) | 200,146 | ||||||||
400,000 | 2.30%, 10/15/2025, (2.30% fixed rate until 10/15/2024; 3 mo. USD SOFR + 1.160% thereafter)(6) | 422,480 | ||||||||
300,000 | 2.97%, 01/15/2023 | 307,582 | ||||||||
�� | 250,000 | 3.90%, 07/15/2025 | 281,408 | |||||||
155,000 | Macquarie Group Ltd. 1.34%, 01/12/2027, (1.34% fixed rate until 01/12/2026; 3 mo. USD SOFR + 1.069% thereafter)(1)(6) | 155,843 | ||||||||
Morgan Stanley |
| |||||||||
480,000 | 0.86%, 10/21/2025, (0.86% fixed rate until 10/21/2024; 3 mo. USD SOFR + 0.745% thereafter)(6) | 481,850 | ||||||||
250,000 | 0.99%, 12/10/2026, (0.99% fixed rate until 12/10/2025; 3 mo. USD SOFR + 0.720% thereafter)(6) | 249,288 | ||||||||
200,000 | 4.00%, 07/23/2025 | 226,680 | ||||||||
300,000 | 4.88%, 11/01/2022 | 322,503 | ||||||||
300,000 | National Bank of Canada 0.55%, 11/15/2024, (0.55% fixed rate until 11/15/2023; 12 mo. USD CMT + 0.400% thereafter)(6) | 300,094 | ||||||||
350,000 | NatWest Markets plc 3.63%, 09/29/2022(1) | 368,161 | ||||||||
Santander Holdings USA, Inc. |
| |||||||||
275,000 | 3.50%, 06/07/2024 | 297,199 | ||||||||
125,000 | 3.70%, 03/28/2022 | 129,066 | ||||||||
Standard Chartered plc | ||||||||||
200,000 | 1.46%, 01/14/2027, (1.46% fixed rate until 01/14/2026; 12 mo. USD CMT + 1.000% thereafter)(1)(6) | 199,873 | ||||||||
375,000 | 4.25%, 01/20/2023, (4.25% fixed rate until 01/20/2022; 3 mo. USD LIBOR + 1.150% thereafter)(1)(6) | 388,057 | ||||||||
300,000 | UBS Group AG 4.13%, 04/15/2026(1) | 344,078 | ||||||||
UniCredit S.p.A. | ||||||||||
200,000 | 3.75%, 04/12/2022(1) | 206,572 | ||||||||
350,000 | 6.57%, 01/14/2022(1) | 368,232 | ||||||||
300,000 | Wells Fargo & Co. 2.16%, 02/11/2026, (2.16% fixed rate until 02/11/2025; 3 mo. USD LIBOR + 0.750% thereafter)(6) | 313,092 | ||||||||
|
| |||||||||
17,659,671 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 50.9% - (continued) | ||||||||||
Commercial Services - 0.8% | ||||||||||
$ | 280,000 | ERAC USA Finance LLC 2.60%, 12/01/2021(1) | $ | 284,625 | ||||||
Global Payments, Inc. | ||||||||||
255,000 | 2.65%, 02/15/2025 | 271,919 | ||||||||
300,000 | 3.80%, 04/01/2021 | 300,828 | ||||||||
60,000 | IHS Markit Ltd. 4.13%, 08/01/2023 | 64,914 | ||||||||
|
| |||||||||
922,286 | ||||||||||
|
| |||||||||
Construction Materials - 0.6% | ||||||||||
275,000 | Carrier Global Corp. 2.24%, 02/15/2025 | 288,974 | ||||||||
350,000 | Fortune Brands Home & Security, Inc. 4.00%, 09/21/2023 | 381,015 | ||||||||
|
| |||||||||
669,989 | ||||||||||
|
| |||||||||
Diversified Financial Services - 2.4% | ||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||||
150,000 | 1.75%, 01/30/2026 | 147,730 | ||||||||
150,000 | 4.13%, 07/03/2023 | 160,110 | ||||||||
Air Lease Corp. | ||||||||||
75,000 | 2.63%, 07/01/2022 | 76,923 | ||||||||
375,000 | 3.50%, 01/15/2022 | 385,340 | ||||||||
165,000 | Aircastle Ltd. 5.13%, 03/15/2021 | 165,869 | ||||||||
325,000 | Ally Financial, Inc. 3.88%, 05/21/2024 | 354,528 | ||||||||
375,000 | Avolon Holdings Funding Ltd. 2.88%, 02/15/2025(1) | 381,212 | ||||||||
200,000 | BOC Aviation Ltd. 1.26%, 05/02/2021, 3 mo. USD LIBOR + 1.050%(3)(7) | 199,850 | ||||||||
300,000 | CNA Financial Corp. 7.25%, 11/15/2023 | 354,255 | ||||||||
275,000 | LeasePlan Corp. N.V. 2.88%, 10/24/2024(1) | 290,138 | ||||||||
Synchrony Financial | ||||||||||
180,000 | 2.85%, 07/25/2022 | 185,750 | ||||||||
95,000 | 4.38%, 03/19/2024 | 104,236 | ||||||||
|
| |||||||||
2,805,941 | ||||||||||
|
| |||||||||
Electric - 2.1% | ||||||||||
300,000 | AES Corp. 1.38%, 01/15/2026(1) | 300,860 | ||||||||
112,000 | Cleco Corporate Holdings LLC 3.74%, 05/01/2026 | 124,570 | ||||||||
Dominion Energy, Inc. | ||||||||||
125,000 | 2.75%, 01/15/2022 | 127,621 | ||||||||
200,000 | 3.07%, 08/15/2024(5) | 217,193 | ||||||||
Edison International | ||||||||||
200,000 | 2.40%, 09/15/2022 | 204,811 | ||||||||
250,000 | 2.95%, 03/15/2023 | 260,052 | ||||||||
400,000 | Enel Finance International N.V. 2.88%, 05/25/2022(1) | 412,342 | ||||||||
155,000 | Evergy, Inc. 2.45%, 09/15/2024 | 163,921 | ||||||||
125,000 | Exelon Corp. 3.50%, 06/01/2022 | 129,714 | ||||||||
150,000 | FirstEnergy Corp. 3.35%, 07/15/2022 | 152,820 | ||||||||
95,000 | ITC Holdings Corp. 4.05%, 07/01/2023 | 102,141 | ||||||||
125,000 | Public Service Enterprise Group, Inc. 0.80%, 08/15/2025 | 124,910 | ||||||||
150,000 | Southwestern Electric Power Co. 3.55%, 02/15/2022 | 153,677 | ||||||||
|
| |||||||||
2,474,632 | ||||||||||
|
| |||||||||
Engineering & Construction - 0.1% | ||||||||||
CAD | 150,000 | Heathrow Funding Ltd. 3.00%, 06/17/2023(7) | 118,324 | |||||||
|
| |||||||||
Environmental Control - 0.1% | ||||||||||
$ | 115,000 | Republic Services, Inc. 0.88%, 11/15/2025 | 115,061 | |||||||
|
| |||||||||
Food - 0.5% | ||||||||||
Conagra Brands, Inc. | ||||||||||
225,000 | 4.30%, 05/01/2024 | 250,404 | ||||||||
150,000 | 4.60%, 11/01/2025 | 174,351 | ||||||||
175,000 | Sysco Corp. 5.65%, 04/01/2025 | 207,708 | ||||||||
|
| |||||||||
632,463 | ||||||||||
|
| |||||||||
Gas - 0.2% | ||||||||||
240,000 | NiSource, Inc. 0.95%, 08/15/2025 | 240,134 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 30 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 50.9% - (continued) | ||||||||||
Healthcare - Products - 0.2% | ||||||||||
$ | 180,000 | Boston Scientific Corp. 3.45%, 03/01/2024 | $ | 194,693 | ||||||
|
| |||||||||
Healthcare - Services - 2.1% | ||||||||||
205,000 | Anthem, Inc. 2.38%, 01/15/2025 | 217,537 | ||||||||
340,000 | Bon Secours Mercy Health, Inc. 1.35%, 06/01/2025 | 346,397 | ||||||||
CommonSpirit Health | ||||||||||
160,000 | 1.55%, 10/01/2025 | 163,774 | ||||||||
555,000 | 2.76%, 10/01/2024 | 595,420 | ||||||||
HCA, Inc. | ||||||||||
125,000 | 4.75%, 05/01/2023 | 136,098 | ||||||||
350,000 | 5.00%, 03/15/2024 | 394,212 | ||||||||
Howard University | ||||||||||
75,000 | 2.42%, 10/01/2024 | 77,713 | ||||||||
261,000 | 2.52%, 10/01/2025 | 271,268 | ||||||||
135,000 | 2.80%, 10/01/2023 | 140,174 | ||||||||
110,000 | PeaceHealth Obligated Group 1.38%, 11/15/2025 | 112,326 | ||||||||
|
| |||||||||
2,454,919 | ||||||||||
|
| |||||||||
Home Builders - 0.8% | ||||||||||
Lennar Corp. | ||||||||||
200,000 | 4.75%, 11/15/2022 | 211,774 | ||||||||
112,000 | 4.88%, 12/15/2023 | 123,480 | ||||||||
250,000 | 5.38%, 10/01/2022 | 267,763 | ||||||||
200,000 | 6.25%, 12/15/2021 | 203,500 | ||||||||
175,000 | Toll Brothers Finance Corp. 5.88%, 02/15/2022 | 181,781 | ||||||||
|
| |||||||||
988,298 | ||||||||||
|
| |||||||||
Insurance - 1.5% | ||||||||||
190,000 | Allstate Corp. 0.75%, 12/15/2025 | 189,978 | ||||||||
200,000 | Equitable Financial Life Global Funding 1.00%, 01/09/2026(1) | 199,683 | ||||||||
350,000 | Globe Life, Inc. 7.88%, 05/15/2023 | 404,321 | ||||||||
250,000 | Liberty Mutual Group, Inc. 4.95%, 05/01/2022(1) | 263,746 | ||||||||
165,000 | Marsh & McLennan Cos., Inc. 3.88%, 03/15/2024 | 181,656 | ||||||||
100,000 | Principal Financial Group, Inc. 3.13%, 05/15/2023 | 106,174 | ||||||||
175,000 | Radian Group, Inc. 6.63%, 03/15/2025 | 197,343 | ||||||||
250,000 | Reinsurance Group of America, Inc. 5.00%, 06/01/2021 | 253,777 | ||||||||
|
| |||||||||
1,796,678 | ||||||||||
|
| |||||||||
Internet - 0.1% | ||||||||||
75,000 | Netflix, Inc. 5.50%, 02/15/2022 | 78,469 | ||||||||
|
| |||||||||
Iron/Steel - 0.5% | ||||||||||
599,000 | Steel Dynamics, Inc. 2.80%, 12/15/2024 | 643,037 | ||||||||
|
| |||||||||
IT Services - 0.8% | ||||||||||
400,000 | Hewlett Packard Enterprise Co. 2.25%, 04/01/2023 | 414,582 | ||||||||
300,000 | IBM Corp. 3.00%, 05/15/2024 | 324,114 | ||||||||
150,000 | Seagate HDD Cayman 4.75%, 06/01/2023 | 160,772 | ||||||||
|
| |||||||||
899,468 | ||||||||||
|
| |||||||||
Lodging - 1.1% | ||||||||||
235,000 | Genting New York LLC 3.30%, 02/15/2026(1)(4) | 236,501 | ||||||||
450,000 | Las Vegas Sands Corp. 3.20%, 08/08/2024 | 472,720 | ||||||||
300,000 | Marriott International, Inc. 2.88%, 03/01/2021 | 299,886 | ||||||||
250,000 | MGM Resorts International 6.00%, 03/15/2023 | 266,875 | ||||||||
|
| |||||||||
1,275,982 | ||||||||||
|
| |||||||||
Machinery-Diversified - 0.3% | ||||||||||
275,000 | Roper Technologies, Inc. 2.35%, 09/15/2024 | 291,440 | ||||||||
|
| |||||||||
Media - 1.8% | ||||||||||
200,000 | Charter Communications Operating LLC / Charter Communications Operating Capital 4.50%, 02/01/2024 | 221,483 | ||||||||
345,000 | Comcast Corp. 3.70%, 04/15/2024 | 379,191 | ||||||||
Cox Communications, Inc. | ||||||||||
445,000 | 2.95%, 06/30/2023(1) | 467,955 | ||||||||
134,000 | 3.15%, 08/15/2024(1) | 144,805 | ||||||||
300,000 | 3.25%, 12/15/2022(1) | 315,729 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 50.9% - (continued) | ||||||||||
Media - 1.8% - (continued) | ||||||||||
$ | 175,000 | Discovery Communications LLC 3.45%, 03/15/2025 | $ | 191,234 | ||||||
65,000 | Fox Corp. 4.03%, 01/25/2024 | 71,471 | ||||||||
100,000 | ViacomCBS, Inc. 2.90%, 06/01/2023 | 104,410 | ||||||||
225,000 | Videotron Ltd. 5.00%, 07/15/2022 | 235,969 | ||||||||
|
| |||||||||
2,132,247 | ||||||||||
|
| |||||||||
Mining - 0.3% | ||||||||||
200,000 | Anglo American Capital plc 4.13%, 04/15/2021(1) | 201,173 | ||||||||
100,000 | Glencore Funding LLC 3.00%, 10/27/2022(1) | 103,830 | ||||||||
|
| |||||||||
305,003 | ||||||||||
|
| |||||||||
Office/Business Equipment - 0.1% | ||||||||||
100,000 | Xerox Corp. 4.07%, 03/17/2022 | 102,500 | ||||||||
|
| |||||||||
Oil & Gas - 2.6% | ||||||||||
Aker BP ASA | ||||||||||
535,000 | 3.00%, 01/15/2025(1) | 548,333 | ||||||||
275,000 | 4.75%, 06/15/2024(1) | 283,382 | ||||||||
150,000 | Canadian Natural Resources Ltd. 3.45%, 11/15/2021 | 152,382 | ||||||||
400,000 | Cimarex Energy Co. 4.38%, 06/01/2024 | 437,239 | ||||||||
175,000 | Hess Corp. 3.50%, 07/15/2024 | 184,784 | ||||||||
450,000 | Occidental Petroleum Corp. 2.70%, 08/15/2022 | 451,220 | ||||||||
225,000 | Phillips 66 0.90%, 02/15/2024 | 225,430 | ||||||||
355,000 | Pioneer Natural Resources Co. 0.75%, 01/15/2024 | 355,078 | ||||||||
Valero Energy Corp. | ||||||||||
150,000 | 2.70%, 04/15/2023 | 156,393 | ||||||||
200,000 | 2.85%, 04/15/2025 | 212,251 | ||||||||
|
| |||||||||
3,006,492 | ||||||||||
|
| |||||||||
Oil & Gas Services - 0.3% | ||||||||||
375,000 | Schlumberger Holdings Corp. 3.75%, 05/01/2024(1) | 408,475 | ||||||||
|
| |||||||||
Packaging & Containers - 0.4% | ||||||||||
Berry Global, Inc. | ||||||||||
175,000 | 0.95%, 02/15/2024(1) | 175,417 | ||||||||
300,000 | 1.57%, 01/15/2026(1) | 301,687 | ||||||||
|
| |||||||||
477,104 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.2% | ||||||||||
AbbVie, Inc. | ||||||||||
200,000 | 3.45%, 03/15/2022 | 205,799 | ||||||||
250,000 | 3.75%, 11/14/2023 | 271,763 | ||||||||
100,000 | CVS Health Corp. 2.63%, 08/15/2024 | 106,783 | ||||||||
Elanco Animal Health, Inc. | ||||||||||
450,000 | 4.91%, 08/27/2021 | 459,646 | ||||||||
105,000 | 5.27%, 08/28/2023 | 113,400 | ||||||||
250,000 | Teva Pharmaceutical Finance Netherlands B.V. 2.20%, 07/21/2021 | 249,778 | ||||||||
|
| |||||||||
1,407,169 | ||||||||||
|
| |||||||||
Pipelines - 3.0% | ||||||||||
200,000 | Energy Transfer L.P. / Regency Energy Finance Corp. 5.00%, 10/01/2022 | 211,454 | ||||||||
Energy Transfer Operating L.P. | ||||||||||
145,000 | 2.90%, 05/15/2025 | 152,861 | ||||||||
120,000 | 4.20%, 09/15/2023 | 129,213 | ||||||||
135,000 | 4.50%, 04/15/2024 | 148,354 | ||||||||
100,000 | 4.65%, 06/01/2021 | 100,346 | ||||||||
93,000 | EQM Midstream Partners L.P. 4.75%, 07/15/2023 | 96,255 | ||||||||
305,000 | Gray Oak Pipeline LLC 2.00%, 09/15/2023(1) | 309,918 | ||||||||
150,000 | Kinder Morgan Energy Partners L.P. 4.15%, 03/01/2022 | 155,855 | ||||||||
MPLX L.P. | ||||||||||
100,000 | 3.38%, 03/15/2023 | 105,546 | ||||||||
200,000 | 3.50%, 12/01/2022 | 210,123 | ||||||||
450,000 | Phillips 66 Partners L.P. 2.45%, 12/15/2024 | 473,444 | ||||||||
250,000 | Southern Natural Gas Co. LLC / Southern Natural Issuing Corp. 4.40%, 06/15/2021 | 251,151 |
The accompanying notes are an integral part of these financial statements.
| 31 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 50.9% - (continued) | ||||||||||
Pipelines - 3.0% - (continued) | ||||||||||
$ | 200,000 | Sunoco Logistics Partners Operations L.P. 4.40%, 04/01/2021 | $ | 200,633 | ||||||
650,000 | Western Midstream Operating L.P. 4.00%, 07/01/2022 | 666,393 | ||||||||
262,000 | Williams Cos., Inc. 4.30%, 03/04/2024 | 287,643 | ||||||||
|
| |||||||||
3,499,189 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 1.8% | ||||||||||
American Tower Corp. | ||||||||||
150,000 | 3.38%, 05/15/2024 | 162,419 | ||||||||
100,000 | 5.00%, 02/15/2024 | 112,648 | ||||||||
265,000 | Brandywine Operating Partnership L.P. 4.10%, 10/01/2024 | 283,728 | ||||||||
Crown Castle International Corp. | ||||||||||
300,000 | 3.15%, 07/15/2023 | 318,478 | ||||||||
100,000 | 5.25%, 01/15/2023 | 108,975 | ||||||||
225,000 | Equinix, Inc. 1.00%, 09/15/2025 | 225,010 | ||||||||
240,000 | Federal Realty Investment Trust 1.25%, 02/15/2026 | 242,878 | ||||||||
155,000 | SBA Tower Trust 2.84%, 01/15/2050(1) | 166,058 | ||||||||
100,000 | Simon Property Group L.P. 2.75%, 06/01/2023 | 105,160 | ||||||||
400,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 427,092 | ||||||||
|
| |||||||||
2,152,446 | ||||||||||
|
| |||||||||
Retail - 0.4% | ||||||||||
400,000 | 7-Eleven, Inc. 0.80%, 02/10/2024(1)(4) | 400,525 | ||||||||
41,000 | CVS Health Corp. 3.70%, 03/09/2023 | 43,722 | ||||||||
|
| |||||||||
444,247 | ||||||||||
|
| |||||||||
Semiconductors - 1.3% | ||||||||||
Broadcom, Inc. | ||||||||||
150,000 | 3.63%, 10/15/2024 | 164,231 | ||||||||
275,000 | 4.70%, 04/15/2025 | 313,109 | ||||||||
295,000 | KLA Corp. 4.65%, 11/01/2024 | 334,199 | ||||||||
360,000 | Microchip Technology, Inc. 0.97%, 02/15/2024(1) | 360,163 | ||||||||
NXP B.V. / NXP Funding LLC | ||||||||||
200,000 | 4.63%, 06/01/2023(1) | 218,145 | ||||||||
155,000 | 4.88%, 03/01/2024(1) | 174,091 | ||||||||
|
| |||||||||
1,563,938 | ||||||||||
|
| |||||||||
Telecommunications - 1.5% | ||||||||||
AT&T, Inc. | ||||||||||
125,000 | 3.00%, 06/30/2022 | 129,162 | ||||||||
150,000 | 4.13%, 02/17/2026 | 172,348 | ||||||||
150,000 | Nokia Oyj 3.38%, 06/12/2022 | 154,875 | ||||||||
300,000 | Sprint Communications, Inc. 6.00%, 11/15/2022 | 322,365 | ||||||||
270,000 | Sprint Corp. 7.25%, 09/15/2021 | 278,910 | ||||||||
107,813 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 3.36%, 03/20/2023(1) | 108,767 | ||||||||
200,000 | Telecom Italia S.p.A. 5.30%, 05/30/2024(1) | 217,395 | ||||||||
Verizon Communications, Inc. |
| |||||||||
250,000 | 0.85%, 11/20/2025 | 249,593 | ||||||||
150,000 | 5.15%, 09/15/2023 | 168,203 | ||||||||
|
| |||||||||
1,801,618 | ||||||||||
|
| |||||||||
Transportation - 1.3% | ||||||||||
400,000 | Canadian Pacific Railway Co. 4.50%, 01/15/2022 | 415,263 | ||||||||
Penske Truck Leasing Co. L.P. / PTL Finance Corp. | ||||||||||
150,000 | 1.20%, 11/15/2025(1) | 150,734 | ||||||||
175,000 | 2.70%, 03/14/2023(1) | 182,449 | ||||||||
110,000 | 2.70%, 11/01/2024(1) | 117,445 | ||||||||
250,000 | 4.13%, 08/01/2023(1) | 270,707 | ||||||||
355,000 | TTX Co. 3.60%, 01/15/2025(1) | 393,561 | ||||||||
|
| |||||||||
1,530,159 | ||||||||||
|
| |||||||||
Trucking & Leasing - 0.9% | ||||||||||
200,000 | Aviation Capital Group LLC 3.88%, 05/01/2023(1) | 210,411 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 50.9% - (continued) | ||||||||||
Trucking & Leasing - 0.9% - (continued) | ||||||||||
$ | 250,000 | Avolon Holdings Funding Ltd. 5.13%, 10/01/2023(1) | $ | 269,389 | ||||||
325,000 | DAE Funding LLC 5.25%, 11/15/2021(1) | 332,377 | ||||||||
250,000 | GATX Corp. 4.35%, 02/15/2024 | 275,436 | ||||||||
|
| |||||||||
1,087,613 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 59,821,202 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 0.3% | ||||||||||
Transportation - 0.3% | ||||||||||
Chicago, IL, Transit Auth | ||||||||||
100,000 | 2.21%, 12/01/2025 | 104,759 | ||||||||
210,000 | 5.37%, 12/01/2022 | 227,476 | ||||||||
|
| |||||||||
332,235 | ||||||||||
|
| |||||||||
Total Municipal Bonds | $ | 332,235 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 18.0%(8) | ||||||||||
Aerospace/Defense - 0.1% | ||||||||||
192,794 | TransDigm, Inc. 2.37%, 12/09/2025, 1 mo. USD LIBOR + 2.250% | $ | 189,320 | |||||||
|
| |||||||||
Airlines - 0.1% | ||||||||||
120,000 | SkyMiles IP Ltd. 4.75%, 10/20/2027, 3 mo. USD LIBOR + 3.750% | 125,520 | ||||||||
|
| |||||||||
Auto Parts & Equipment - 0.6% | ||||||||||
108,350 | Adient U.S. LLC 4.39%, 05/06/2024, 3 mo. USD LIBOR + 4.250% | 108,350 | ||||||||
126,213 | Altra Industrial Motion Corp. 2.12%, 10/01/2025, 3 mo. USD LIBOR + 2.000% | 126,016 | ||||||||
Clarios Global L.P. | ||||||||||
174,536 | 3.62%, 04/30/2026, 3 mo. USD LIBOR + 3.500% | 174,264 | ||||||||
EUR | 145,013 | 3.75%, 04/30/2026, 3 mo. EURIBOR + 3.750% | 175,626 | |||||||
96,750 | IAA, Inc. 2.38%, 06/28/2026, 3 mo. USD LIBOR + 2.250% | 96,508 | ||||||||
|
| |||||||||
680,764 | ||||||||||
|
| |||||||||
Chemicals - 0.3% | ||||||||||
100,000 | INEOS Styrolution U.S. Holding LLC 0.00%, 01/21/2026(9) | 99,500 | ||||||||
EUR | 94,413 | Nouryon Finance B.V. 3.25%, 10/01/2025, 3 mo. EURIBOR + 3.250% | 114,324 | |||||||
$ | 95,715 | Nouryon USA LLC 3.13%, 10/01/2025, 1 mo. USD LIBOR + 3.000% | 95,237 | |||||||
99,000 | Univar, Inc. 2.12%, 07/01/2026, 1 mo. USD LIBOR + 2.000% | 98,489 | ||||||||
|
| |||||||||
407,550 | ||||||||||
|
| |||||||||
Commercial Services - 2.7% | ||||||||||
AlixPartners LLP | ||||||||||
320,000 | 0.00%, 01/28/2028(9) | 319,600 | ||||||||
195,432 | 2.62%, 04/04/2024, 1 mo. USD LIBOR + 2.500% | 195,099 | ||||||||
EUR | 200,000 | Biogroup-LCD 0.00%, 01/28/2028(9) | 242,778 | |||||||
$ | 122,487 | BrightView Landscapes LLC 2.63%, 08/15/2025, 3 mo. USD LIBOR + 2.500% | 122,219 | |||||||
218,900 | Deerfield Dakota Holding LLC 4.75%, 04/09/2027, 1 mo. USD LIBOR + 3.750% | 219,721 | ||||||||
498,500 | Dun & Bradstreet Corp. 3.88%, 02/06/2026, 1 mo. USD LIBOR + 3.250% | 499,213 | ||||||||
100,000 | Gainwell Acquisition Corp. 4.75%, 10/01/2027, 1 mo. USD LIBOR + 4.000% | 100,188 | ||||||||
EUR | 135,000 | Loire Finco Luxembourg S.a.r.l. 2.75%, 04/21/2027, 3 mo. EURIBOR + 3.750% | 161,999 | |||||||
$ | 198,000 | Quikrete Holdings, Inc. 2.62%, 02/01/2027, 1 mo. USD LIBOR + 2.500% | 197,481 | |||||||
201,298 | Trans Union LLC 1.87%, 11/16/2026, 1 mo. USD LIBOR + 1.750% | 200,890 |
The accompanying notes are an integral part of these financial statements.
| 32 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 18.0%(8) - (continued) | ||||||||||
Commercial Services - 2.7% - (continued) | ||||||||||
$ | 514,614 | United Rentals, Inc. 1.87%, 10/31/2025, 3 mo. USD LIBOR + 1.750% | $ | 513,971 | ||||||
Verisure Holding AB | ||||||||||
EUR | 205,000 | 0.00%, 01/15/2028(9) | 249,192 | |||||||
100,000 | 3.50%, 07/20/2026, 3 mo. EURIBOR + 3.500% | 121,670 | ||||||||
|
| |||||||||
3,144,021 | ||||||||||
|
| |||||||||
Construction Materials - 0.2% | ||||||||||
$ | 100,000 | CP Atlas Buyer, Inc. 5.25%, 11/23/2027, 1 mo. USD LIBOR + 4.500% | 100,000 | |||||||
97,500 | Hamilton Holdco LLC 2.26%, 01/02/2027, 1 mo. USD LIBOR + 2.000% | 96,769 | ||||||||
|
| |||||||||
196,769 | ||||||||||
|
| |||||||||
Distribution/Wholesale - 0.2% | ||||||||||
219,225 | American Builders & Contractors Supply Co., Inc. 2.12%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | 218,280 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.1% | ||||||||||
162,228 | Crown Finance U.S., Inc. 2.77%, 02/28/2025, 1 mo. USD LIBOR + 2.500% | 127,191 | ||||||||
|
| |||||||||
Electric - 0.1% | ||||||||||
100,000 | ExGen Renewables LLC 3.75%, 12/15/2027, 1 mo. USD LIBOR + 2.750% | 100,550 | ||||||||
|
| |||||||||
Electrical Components & Equipment - 0.2% | ||||||||||
124,041 | Brookfield WEC Holdings Inc. 0.00%, 08/01/2025, 1 mo. USD LIBOR + 2.750%(9) | 123,855 | ||||||||
100,000 | Energizer Holdings, Inc. 0.00%, 12/22/2027, 1 mo. USD LIBOR(9) | 99,938 | ||||||||
|
| |||||||||
223,793 | ||||||||||
|
| |||||||||
Entertainment - 0.2% | ||||||||||
99,750 | Banijay Group U.S. Holding, Inc. 3.88%, 03/01/2025, 1 mo. USD LIBOR + 3.750% | 98,722 | ||||||||
99,744 | Scientific Games International, Inc. 2.87%, 08/14/2024, 1 mo. USD LIBOR + 2.750% | 97,936 | ||||||||
|
| |||||||||
196,658 | ||||||||||
|
| |||||||||
Environmental Control - 0.3% | ||||||||||
341,162 | Clean Harbors, Inc. 1.87%, 06/28/2024, 3 mo. USD LIBOR + 1.750% | 340,612 | ||||||||
|
| |||||||||
Food - 0.7% | ||||||||||
182,583 | B&G Foods, Inc. 2.62%, 10/10/2026, 1 mo. USD LIBOR + 2.500% | 182,713 | ||||||||
EUR | 120,000 | Froneri Lux FinCo S.a.r.l. 2.63%, 01/29/2027, 3 mo. EURIBOR + 2.625% | 144,604 | |||||||
$ | 99,500 | Froneri U.S., Inc. 2.37%, 01/29/2027, 1 mo. USD LIBOR + 2.250% | 98,934 | |||||||
173,246 | Hostess Brands LLC 3.00%, 08/03/2025, 1 mo. USD LIBOR + 2.250% | 173,072 | ||||||||
244,245 | U.S. Foods, Inc. 1.87%, 06/27/2023, 1 mo. USD LIBOR + 1.750% | 241,747 | ||||||||
|
| |||||||||
841,070 | ||||||||||
|
| |||||||||
Food Service - 0.2% | ||||||||||
193,500 | Aramark Services, Inc. 1.87%, 03/11/2025, 1 mo. USD LIBOR + 1.750% | 191,565 | ||||||||
|
| |||||||||
Gas - 0.2% | ||||||||||
EUR | 100,000 | Messer Industries GmbH 2.50%, 03/01/2026, 3 mo. EURIBOR + 2.750% | 121,456 | |||||||
$ | 186,675 | Messer Industries USA, Inc. 2.75%, 03/01/2026, 3 mo. USD LIBOR + 2.500% | 186,156 | |||||||
|
| |||||||||
307,612 | ||||||||||
|
| |||||||||
Hand/Machine Tools - 0.1% | ||||||||||
104,738 | Applecaramel Buyer LLC 4.50%, 10/19/2027, 1 mo. USD LIBOR + 4.000% | 105,072 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 18.0%(8) - (continued) | ||||||||||
Healthcare - Products - 0.3% | ||||||||||
Avantor Funding, Inc. | ||||||||||
$ | 37,165 | 3.25%, 11/21/2024, 1 mo. USD LIBOR + 2.250% | $ | 37,204 | ||||||
160,000 | 3.50%, 11/08/2027, 1 mo. USD LIBOR + 2.500% | 160,467 | ||||||||
EUR | 99,000 | Grifols S.A. 2.25%, 11/15/2027, 3 mo. EURIBOR + 2.250% | 120,175 | |||||||
|
| |||||||||
317,846 | ||||||||||
|
| |||||||||
Healthcare - Services - 1.4% | ||||||||||
$ | 110,000 | ADMI Corp. 0.00%, 12/23/2027, 1 mo. USD LIBOR(9) | 110,770 | |||||||
EUR | 135,000 | Bio Lam LCD SELAS 4.75%, 04/25/2026, 3 mo. EURIBOR + 4.750% | 163,836 | |||||||
$ | 98,750 | Emerald TopCo, Inc. 3.71%, 07/24/2026, 1 mo. USD LIBOR + 3.500% | 98,577 | |||||||
147,526 | Gentiva Health Services, Inc. 3.38%, 07/02/2025, 1 mo. USD LIBOR + 3.250% | 147,341 | ||||||||
EUR | 185,250 | IQVIA, Inc. 2.00%, 06/11/2025, 1 mo. EURIBOR + 2.000% | 224,311 | |||||||
$ | 107,980 | MPH Acquisition Holdings LLC 3.75%, 06/07/2023, 3 mo. USD LIBOR + 2.750% | 107,784 | |||||||
195,000 | PPD, Inc. 0.00%, 01/13/2028(9) | 195,731 | ||||||||
84,590 | Syneos Health, Inc. 1.87%, 08/01/2024, 3 mo. USD LIBOR + 1.750% | 84,608 | ||||||||
497,500 | Zelis Payments Buyer, Inc. 4.87%, 09/30/2026, 1 mo. USD LIBOR + 4.750% | 497,500 | ||||||||
|
| |||||||||
1,630,458 | ||||||||||
|
| |||||||||
Household Products - 0.3% | ||||||||||
122,166 | Diamond (BC) B.V. 3.12%, 09/06/2024, 3 mo. USD LIBOR + 3.000% | 121,616 | ||||||||
91,169 | Reynolds Consumer Products LLC 1.87%, 02/04/2027, 1 mo. USD LIBOR + 1.750% | 91,195 | ||||||||
100,000 | Weber-Stephen Products LLC 4.00%, 10/30/2027, 1 mo. USD LIBOR + 3.250% | 100,225 | ||||||||
|
| |||||||||
313,036 | ||||||||||
|
| |||||||||
Insurance - 1.1% | ||||||||||
148,875 | Acrisure LLC 3.62%, 02/15/2027, 1 mo. USD LIBOR + 3.500% | 147,891 | ||||||||
Asurion LLC | ||||||||||
105,000 | 0.00%, 01/29/2028(9) | 105,787 | ||||||||
229,125 | 3.12%, 11/03/2024, 1 mo. USD LIBOR + 3.000% | 228,224 | ||||||||
81,293 | 3.37%, 12/23/2026, 1 mo. USD LIBOR + 3.250% | 80,819 | ||||||||
93,939 | 6.62%, 08/04/2025, 3 mo. USD LIBOR + 6.500% | 93,939 | ||||||||
244,361 | Hub International Ltd. 2.97%, 04/25/2025, 1 mo. USD LIBOR + 2.750% | 242,081 | ||||||||
127,383 | NFP Corp. 3.37%, 02/15/2027, 1 mo. USD LIBOR + 3.250% | 126,333 | ||||||||
313,600 | Sedgwick Claims Management Services, Inc. 3.37%, 12/31/2025, 3 mo. USD LIBOR + 3.250% | 311,336 | ||||||||
|
| |||||||||
1,336,410 | ||||||||||
|
| |||||||||
IT Services - 0.3% | ||||||||||
243,824 | Science Applications International Corp. 2.00%, 10/31/2025, 1 mo. USD LIBOR + 1.875% | 243,519 | ||||||||
107,548 | Tempo Acquisition LLC 3.75%, 11/02/2026, 1 mo. USD LIBOR + 3.250% | 107,279 | ||||||||
|
| |||||||||
350,798 | ||||||||||
|
| |||||||||
Leisure Time - 0.8% | ||||||||||
243,843 | Caesars Resort Collection LLC 2.87%, 12/23/2024, 3 mo. USD LIBOR + 2.750% | 239,473 | ||||||||
225,000 | Delta (LUX) S.a.r.l. 3.50%, 02/01/2024, 3 mo. USD LIBOR + 2.500% | 222,750 | ||||||||
105,000 | IRB Holding Corp. 0.00%, 12/15/2027(9) | 105,262 | ||||||||
219,529 | Penn National Gaming, Inc. 3.00%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | 218,432 |
The accompanying notes are an integral part of these financial statements.
| 33 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 18.0%(8) - (continued) | ||||||||||
Leisure Time - 0.8% - (continued) | ||||||||||
$ | 220,667 | UFC Holdings LLC 0.00%, 04/29/2026, 1 mo. USD LIBOR + 3.000%(9) | $ | 220,226 | ||||||
|
| |||||||||
1,006,143 | ||||||||||
|
| |||||||||
Lodging - 0.2% | ||||||||||
197,599 | Boyd Gaming Corp. 2.34%, 09/15/2023, 3 mo. USD LIBOR + 2.250% | 196,878 | ||||||||
|
| |||||||||
Media - 2.2% | ||||||||||
EUR | 100,000 | Adevinta ASA 0.00%, 10/13/2027(9) | 121,845 | |||||||
$ | 100,000 | Alliance Laundry Systems LLC 4.25%, 10/08/2027, 1 mo. USD LIBOR + 3.500% | 100,250 | |||||||
311,119 | CSC Holdings LLC 2.38%, 01/15/2026, 3 mo. USD LIBOR + 2.250% | 309,078 | ||||||||
110,000 | E.W. Scripps Co. 0.00%, 01/07/2028(9) | 109,918 | ||||||||
365,346 | Gray Television, Inc. 2.64%, 01/02/2026, 3 mo. USD LIBOR + 2.500% | 364,433 | ||||||||
146,977 | MTN Infrastructure TopCo, Inc. 4.00%, 11/15/2024, 3 mo. USD LIBOR + 3.000% | 146,794 | ||||||||
92,500 | Newco Financing Partnership 3.63%, 01/31/2029, 1 mo. USD LIBOR + 3.500% | 92,477 | ||||||||
Nexstar Broadcasting, Inc. | ||||||||||
184,809 | 2.37%, 01/17/2024, 3 mo. USD LIBOR + 2.250% | 184,446 | ||||||||
176,863 | 2.89%, 09/18/2026, 1 mo. USD LIBOR + 2.750% | 176,838 | ||||||||
114,621 | Sinclair Television Group, Inc. 2.63%, 09/30/2026, 1 mo. USD LIBOR + 2.500% | 113,976 | ||||||||
158,400 | Terrier Media Buyer, Inc. 4.37%, 12/17/2026, 1 mo. USD LIBOR + 4.250% | 158,281 | ||||||||
92,500 | UPC Financing Partnership 3.63%, 01/31/2029, 1 mo. USD LIBOR + 3.500% | 92,477 | ||||||||
194,513 | Vertical U.S. Newco, Inc. 4.48%, 07/30/2027, 1 mo. USD LIBOR + 4.250% | 196,026 | ||||||||
Virgin Media Bristol LLC | ||||||||||
115,000 | 0.00%, 01/31/2029(9) | 115,016 | ||||||||
EUR | 115,000 | 0.00%, 01/31/2029(9) | 139,955 | |||||||
145,000 | Ziggo B.V. 3.00%, 01/31/2029, 3 mo. EURIBOR + 3.000% | 175,528 | ||||||||
|
| |||||||||
2,597,338 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.6% | ||||||||||
$ | 149,229 | Core & Main L.P. 3.75%, 08/01/2024, 3 mo. USD LIBOR + 2.750% | 148,781 | |||||||
153,850 | H.B. Fuller Co. 2.13%, 10/20/2024, 3 mo. USD LIBOR + 2.000% | 153,679 | ||||||||
178,650 | Ingersoll-Rand Services Co. 1.87%, 03/01/2027, 1 mo. USD LIBOR + 1.750% | 177,646 | ||||||||
218,781 | USI, Inc. 3.25%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 217,141 | ||||||||
|
| |||||||||
697,247 | ||||||||||
|
| |||||||||
Oil & Gas Services - 0.2% | ||||||||||
99,250 | Buckeye Partners L.P. 2.90%, 11/01/2026, 1 mo. USD LIBOR + 2.750% | 99,194 | ||||||||
98,499 | Lower Cadence Holdings LLC 4.12%, 05/22/2026, 3 mo. USD LIBOR + 4.000% | 95,984 | ||||||||
|
| |||||||||
195,178 | ||||||||||
|
| |||||||||
Packaging & Containers - 0.4% | ||||||||||
131,594 | Flex Acquisition Co., Inc. 3.24%, 06/29/2025, 3 mo. USD LIBOR + 3.000% | 130,657 | ||||||||
100,000 | Proampac PG Borrower LLC 5.00%, 11/03/2025, 1 mo. USD LIBOR + 4.000% | 100,250 | ||||||||
74,377 | Reynolds Group Holdings, Inc. 2.87%, 02/05/2023, 3 mo. USD LIBOR + 2.750% | 74,331 | ||||||||
185,000 | TricorBraun Holdings, Inc. 0.00%, 02/03/2028(9) | 184,537 | ||||||||
|
| |||||||||
489,775 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 18.0%(8) - (continued) | ||||||||||
Pharmaceuticals - 1.0% | ||||||||||
$ | 202,500 | Bausch Health Americas, Inc. 2.87%, 11/27/2025, 3 mo. USD LIBOR + 2.750% | $ | 202,089 | ||||||
98,250 | Catalent Pharma Solutions, Inc. 3.25%, 05/18/2026, 3 mo. USD LIBOR + 2.250% | 98,373 | ||||||||
462,701 | Elanco Animal Health, Inc. 1.89%, 08/01/2027, 1 mo. USD LIBOR + 1.750% | 461,350 | ||||||||
122,152 | Endo International plc 5.00%, 04/29/2024, 3 mo. USD LIBOR + 4.250% | 121,083 | ||||||||
100,000 | IQVIA, Inc. 1.87%, 03/07/2024, 1 mo. USD LIBOR + 1.750% | 99,825 | ||||||||
212,850 | Sunshine Luxembourg S.a.r.l. 5.00%, 10/01/2026, 1 mo. USD LIBOR + 4.000% | 213,323 | ||||||||
|
| |||||||||
1,196,043 | ||||||||||
|
| |||||||||
Real Estate - 0.4% | ||||||||||
147,000 | Belron Finance U.S. LLC 2.46%, 11/13/2025, 3 mo. USD LIBOR + 2.500% | 146,542 | ||||||||
EUR | 155,000 | Boels Topholding B.V. 4.00%, 02/06/2027, 3 mo. EURIBOR + 4.000% | 188,475 | |||||||
$ | 100,000 | VICI Properties LLC 1.88%, 12/20/2024, 1 mo. USD LIBOR + 1.750% | 99,222 | |||||||
|
| |||||||||
434,239 | ||||||||||
|
| |||||||||
Retail - 0.6% | ||||||||||
247,731 | B.C. Unlimited Liability Co. 1.87%, 11/19/2026, 1 mo. USD LIBOR + 1.750% | 245,821 | ||||||||
134,944 | Bass Pro Group LLC 5.75%, 09/25/2024, 3 mo. USD LIBOR + 5.000% | 135,040 | ||||||||
99,750 | Harbor Freight Tools USA, Inc. 4.00%, 10/19/2027, 1 mo. USD LIBOR + 3.250% | 99,800 | ||||||||
LBM Acquisition LLC | ||||||||||
21,880 | 0.00%, 12/09/2027(9)(10) | 21,902 | ||||||||
98,462 | 0.00%, 12/17/2027, 1 mo. USD LIBOR(9) | 98,560 | ||||||||
104,950 | Michaels Stores, Inc. 4.25%, 10/01/2027, 1 mo. USD LIBOR + 3.500% | 104,688 | ||||||||
|
| |||||||||
705,811 | ||||||||||
|
| |||||||||
Software - 1.3% | ||||||||||
158,359 | CCC Information Services, Inc. 4.00%, 04/29/2024, 1 mo. USD LIBOR + 3.000% | 158,614 | ||||||||
157,899 | Change Healthcare Holdings LLC 3.50%, 03/01/2024, 1 mo. USD LIBOR + 2.250% | 157,899 | ||||||||
173,688 | DCert Buyer, Inc. 4.12%, 10/16/2026, 3 mo. USD LIBOR + 4.000% | 173,904 | ||||||||
147,102 | Go Daddy Operating Co. LLC 1.87%, 02/15/2024, 1 mo. USD LIBOR + 1.750% | 146,734 | ||||||||
189,515 | Hyland Software, Inc. 4.25%, 07/01/2024, 1 mo. USD LIBOR + 3.500% | 190,108 | ||||||||
429,710 | SS&C Technologies, Inc. 1.87%, 04/16/2025, 1 mo. USD LIBOR + 1.750% | 427,145 | ||||||||
98,750 | Ultimate Software Group, Inc. 3.87%, 05/04/2026, 3 mo. USD LIBOR + 3.750% | 98,936 | ||||||||
244,368 | WEX, Inc. 2.37%, 05/15/2026, 3 mo. USD LIBOR + 2.250% | 243,987 | ||||||||
|
| |||||||||
1,597,327 | ||||||||||
|
| |||||||||
Telecommunications - 0.2% | ||||||||||
100,000 | Frontier Communications Corp. 5.75%, 10/08/2021, 1 mo. USD LIBOR + 4.750% | 99,906 | ||||||||
125,000 | Telenet Financing USD LLC 2.13%, 04/30/2028, 6 mo. USD LIBOR + 2.000% | 123,906 | ||||||||
|
| |||||||||
223,812 | ||||||||||
|
| |||||||||
Transportation - 0.4% | ||||||||||
248,125 | Genesee & Wyoming, Inc. 2.25%, 12/30/2026, 1 mo. USD LIBOR + 2.000% | 247,815 |
The accompanying notes are an integral part of these financial statements.
| 34 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 18.0%(8) - (continued) | ||||||||||
Transportation - 0.4% - (continued) | ||||||||||
$ | 219,982 | Savage Enterprises LLC 3.13%, 08/01/2025, 1 mo. USD LIBOR + 3.000% | $ | 220,303 | ||||||
|
| |||||||||
468,118 | ||||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 21,152,804 | ||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES - 9.5% | ||||||||||
Mortgage-Backed Agencies - 9.5% | ||||||||||
FHLMC - 4.4% | ||||||||||
$ | 35,670 | 0.88%, 10/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | $ | 35,670 | ||||||
272,559 | 1.00%, 05/25/2033 | 276,596 | ||||||||
765,143 | 1.00%, 01/15/2041 | 775,091 | ||||||||
953,215 | 1.00%, 06/15/2044 | 964,738 | ||||||||
575,000 | 1.13%, 08/12/2021 | 578,160 | ||||||||
167,710 | 1.50%, 01/15/2027 | 170,176 | ||||||||
276,720 | 2.00%, 09/15/2041 | 283,307 | ||||||||
261,449 | 3.00%, 01/01/2033 | 282,909 | ||||||||
54,851 | 3.00%, 05/15/2037 | 54,975 | ||||||||
528,061 | 3.50%, 03/01/2032 | 572,464 | ||||||||
146,974 | 3.50%, 09/15/2043 | 153,767 | ||||||||
144,731 | 3.75%, 05/15/2039(5) | 150,145 | ||||||||
271,401 | 4.00%, 03/01/2031 | 293,888 | ||||||||
557,646 | 4.83%, 04/25/2028, 1 mo. USD LIBOR + 4.700%(3) | 580,739 | ||||||||
|
| |||||||||
5,172,625 | ||||||||||
|
| |||||||||
FNMA - 3.3% | ||||||||||
140,549 | 2.00%, 07/25/2039 | 141,580 | ||||||||
202,457 | 2.00%, 12/25/2042 | 208,321 | ||||||||
347,700 | 2.50%, 03/25/2035 | 360,132 | ||||||||
121,765 | 2.55%, 07/25/2044 | 125,366 | ||||||||
253,510 | 3.00%, 11/01/2032 | 273,966 | ||||||||
478,146 | 3.00%, 02/25/2043 | 506,927 | ||||||||
131,480 | 3.00%, 04/25/2043 | 136,709 | ||||||||
216,793 | 3.00%, 05/25/2047 | 224,509 | ||||||||
627,968 | 3.25%, 11/25/2043 | 653,019 | ||||||||
137,734 | 3.50%, 03/01/2033 | 146,946 | ||||||||
410,529 | 3.50%, 10/25/2035 | 449,756 | ||||||||
414,546 | 3.50%, 07/25/2045 | 433,093 | ||||||||
167,821 | 3.50%, 07/25/2054 | 176,566 | ||||||||
|
| |||||||||
3,836,890 | ||||||||||
|
| |||||||||
GNMA - 0.9% | ||||||||||
273,856 | 2.00%, 05/20/2046 | 282,470 | ||||||||
591,785 | 2.50%, 10/20/2041 | 614,192 | ||||||||
125,126 | 2.50%, 07/20/2042 | 131,332 | ||||||||
|
| |||||||||
1,027,994 | ||||||||||
|
| |||||||||
UMBS - 0.9% | ||||||||||
1,050,000 | 3.50%, 02/18/2036(11) | 1,117,758 | ||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 11,155,267 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 115,390,590 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SHORT-TERM INVESTMENTS - 5.5% | ||||||||||
Repurchase Agreements - 5.5% | ||||||||||
$ | 6,493,327 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/29/2021 at 0.020%, due on 02/01/2021 with a maturity value of $6,493,338; collateralized by U.S. Treasury Bond at 3.000%, maturing 05/15/2047, with a market value of $6,623,312 | $ | 6,493,327 | ||||||
|
| |||||||||
Total Short-Term Investments | $ | 6,493,327 | ||||||||
|
|
Total Investments | 103.7 | % | $ | 121,883,917 | ||||||||||
Other Assets and Liabilities | (3.7 | )% | (4,392,291 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 117,491,626 | ||||||||||
|
|
|
|
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, 2021, the aggregate value of these securities was $37,799,390, representing 32.2% of net assets. |
(2) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(3) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2021. Base lending rates may be subject to a floor or cap. |
(4) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $1,384,165 at January 31, 2021. |
(5) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(6) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2021. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(7) | 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, 2021, the aggregate value of these securities was $318,174, representing 0.3% of net assets. |
(8) | 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, 2021. |
(9) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(10) | This security, or a portion of this security, has unfunded loan commitments. As of January 31, 2021, the aggregate value of the unfunded commitment was $21,902, which rounds to 0.0% of total net assets. |
(11) | Represents or includes a TBA transaction. |
The accompanying notes are an integral part of these financial statements.
| 35 |
|
Hartford Short Duration ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Futures Contracts Outstanding at January 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: |
| |||||||||||||||
U.S. Treasury 2-Year Note Future | 90 | 03/31/2021 | $ | 19,887,891 | $ | 17,862 | ||||||||||
|
| |||||||||||||||
Short position contracts: |
| |||||||||||||||
U.S. Treasury 5-Year Note Future | 41 | 03/31/2021 | $ | 5,160,875 | $ | (788 | ) | |||||||||
U.S. Treasury 10-Year Note Future | 10 | 03/22/2021 | 1,370,313 | 8,822 | ||||||||||||
|
| |||||||||||||||
Total |
| $ | 8,034 | |||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | 25,896 | |||||||||||||
|
|
Foreign Currency Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
117,212 | USD | 150,000 | CAD | SSG | 06/17/2021 | $ | — | $ | (228 | ) | ||||||||||||||
272,802 | USD | 222,000 | EUR | UBS | 02/05/2021 | 3,065 | — | |||||||||||||||||
2,151,759 | USD | 1,768,000 | EUR | CBK | 02/26/2021 | 2,680 | — | |||||||||||||||||
248,475 | USD | 204,000 | EUR | GSC | 02/26/2021 | 504 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Foreign Currency Contracts | $ | 6,249 | $ | (228 | ) | |||||||||||||||||||
|
|
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage-Backed Securities | $ | 22,929,082 | $ | — | $ | 22,929,082 | $ | — | ||||||||
Corporate Bonds | 59,821,202 | — | 59,821,202 | — | ||||||||||||
Municipal Bonds | 332,235 | — | 332,235 | — | ||||||||||||
Senior Floating Rate Interests | 21,152,804 | — | 21,152,804 | — | ||||||||||||
U.S. Government Agencies | 11,155,267 | — | 11,155,267 | — | ||||||||||||
Short-Term Investments | 6,493,327 | — | 6,493,327 | — | ||||||||||||
Foreign Currency Contracts(2) | 6,249 | — | 6,249 | — | ||||||||||||
Futures Contracts(2) | 26,684 | 26,684 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 121,916,850 | $ | 26,684 | $ | 121,890,166 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Foreign Currency Contracts(2) | $ | (228 | ) | $ | — | $ | (228 | ) | $ | — | ||||||
Futures Contracts(2) | (788 | ) | (788 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,016 | ) | $ | (788 | ) | $ | (228 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended January 31, 2021, 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.
| 36 |
|
Hartford Total Return Bond ETF |
Schedule of Investments
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.7% | ||||||||||
Agency Collat PAC CMO - 0.0% | ||||||||||
$ | 569,731 | Freddie Mac Strips 5.00%, 09/15/2036(1) | $ | 105,071 | ||||||
|
| |||||||||
Asset-Backed - Automobile - 0.2% | ||||||||||
1,160,858 | Chesapeake Funding LLC 1.95%, 09/15/2031(2) | 1,179,905 | ||||||||
220,000 | Santander Drive Auto Receivables Trust 1.48%, 01/15/2027 | 224,212 | ||||||||
610,000 | Westlake Automobile Receivables Trust 1.65%, 02/17/2026(2) | 621,939 | ||||||||
|
| |||||||||
2,026,056 | ||||||||||
|
| |||||||||
Asset-Backed - Finance & Insurance - 2.5% | ||||||||||
288,048 | Aaset Trust 3.35%, 01/16/2040(2) | 287,124 | ||||||||
57,976 | Ajax Mortgage Loan Trust 3.16%, 09/25/2056(2)(3) | 58,228 | ||||||||
256,249 | Atlas Senior Loan Fund Ltd. 1.09%, 04/20/2028, 3 mo. USD LIBOR + 0.870%(2)(4) | 256,307 | ||||||||
240,220 | Avery Point CLO Ltd. 1.28%, 08/05/2027, 3 mo. USD LIBOR + 1.050%(2)(4) | 239,923 | ||||||||
61,770 | Bayview Koitere Fund Trust 3.50%, 07/28/2057(2)(3) | 63,543 | ||||||||
42,317 | Bayview Opportunity Master Fund Trust 3.50%, 10/28/2057(2)(3) | 43,518 | ||||||||
76,924 | Bowman Park CLO Ltd. 1.39%, 11/23/2025, 3 mo. USD LIBOR + 1.180%(2)(4) | 76,843 | ||||||||
936,202 | Carlyle Global Market Strategies CLO Ltd. 1.24%, 01/15/2031, 3 mo. USD LIBOR + 1.000%(2)(4) | 932,424 | ||||||||
330,000 | CIFC Funding Ltd. 1.09%, 04/19/2029, 3 mo. USD LIBOR + 0.870%(2)(4) | 329,673 | ||||||||
375,000 | Cirrus Funding Ltd. 4.80%, 01/25/2037(2) | 390,251 | ||||||||
766,000 | Citigroup Commercial Mortgage Trust 4.12%, 11/15/2049(3) | 770,976 | ||||||||
735,688 | DB Master Finance LLC 3.79%, 05/20/2049(2) | 755,205 | ||||||||
Domino’s Pizza Master Issuer LLC |
| |||||||||
1,668,400 | 3.08%, 07/25/2047(2) | 1,677,259 | ||||||||
48,875 | 4.12%, 07/25/2048(2) | 51,353 | ||||||||
163,882 | Drug Royalty L.P. 1.84%, 10/15/2031, 3 mo. USD LIBOR + 1.600%(2)(4) | 161,860 | ||||||||
3,099,524 | Dryden 33 Senior Loan Fund 1.24%, 04/15/2029, 3 mo. USD LIBOR + 1.000%(2)(4) | 3,100,302 | ||||||||
149,008 | Eagle RE Ltd. 1.83%, 11/25/2028, 1 mo. USD LIBOR + 1.700%(2)(4) | 149,310 | ||||||||
1,170,000 | Evergreen Credit Card Trust 1.90%, 09/16/2024(2) | 1,200,966 | ||||||||
280,000 | GMF Floorplan Owner Revolving Trust 0.68%, 08/15/2025(2) | 281,961 | ||||||||
1,940,000 | GS Mortgage Securities Trust 3.43%, 08/10/2050 | 2,185,001 | ||||||||
2,050,000 | JPMCC Commercial Mortgage Securities Trust 3.72%, 03/15/2050 | 2,338,701 | ||||||||
250,000 | Magnetite VII Ltd. 1.04%, 01/15/2028, 3 mo. USD LIBOR + 0.800%(2)(4) | 248,791 | ||||||||
301,076 | NRZ Excess Spread-Collateralized Notes 3.84%, 12/25/2025(2) | 302,667 | ||||||||
227,023 | Pretium Mortgage Credit Partners LLC 3.72%, 02/27/2060(2)(5) | 229,215 | ||||||||
1,390,853 | Regional Management Issuance Trust 4.56%, 01/18/2028(2) | 1,402,961 | ||||||||
Seasoned Credit Risk Transfer Trust |
| |||||||||
592,240 | 3.50%, 08/25/2057 | 636,220 | ||||||||
742,914 | 3.50%, 08/25/2058 | 812,576 | ||||||||
Sound Point CLO Ltd. |
| |||||||||
250,000 | 1.29%, 01/26/2031, 3 mo. USD LIBOR + 1.070%(2)(4) | 249,859 | ||||||||
950,000 | 1.37%, 04/18/2031, 3 mo. USD LIBOR + 1.150%(2)(4) | 950,217 | ||||||||
700,467 | Treman Park CLO Ltd. 1.29%, 10/20/2028, 3 mo. USD LIBOR + 1.070%(2)(4) | 699,935 | ||||||||
955,000 | Voya CLO Ltd. 1.12%, 01/18/2029, 3 mo. USD LIBOR + 0.900%(2)(4) | 955,531 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.7% - (continued) | ||||||||||
Asset-Backed - Finance & Insurance - 2.5% - (continued) | ||||||||||
$ | 596,550 | Wendy’s Funding LLC 3.88%, 03/15/2048(2) | $ | 629,509 | ||||||
|
| |||||||||
22,468,209 | ||||||||||
|
| |||||||||
Asset-Backed - Home Equity - 0.0% | ||||||||||
80,481 | Legacy Mortgage Asset Trust 4.00%, 03/25/2058(2)(5) | 80,724 | ||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities - 3.1% | ||||||||||
965,000 | BAMLL Commercial Mortgage Securities Trust 3.11%, 11/05/2032(2) | 995,906 | ||||||||
Bank of America Commercial Mortgage Trust |
| |||||||||
7,010,952 | 0.74%, 11/15/2050(1)(3) | 290,087 | ||||||||
4,428,194 | 0.80%, 11/15/2054(1)(3) | 192,750 | ||||||||
7,357,417 | 1.79%, 03/15/2063(1)(3) | 1,048,921 | ||||||||
Benchmark Mortgage Trust |
| |||||||||
20,760,470 | 0.52%, 07/15/2051(1)(3) | 577,594 | ||||||||
11,652,576 | 0.52%, 01/15/2051(1)(3) | 335,852 | ||||||||
3,660,675 | 1.52%, 01/15/2054(1)(3) | 456,310 | ||||||||
1,869,192 | 1.79%, 07/15/2053(1)(3) | 221,445 | ||||||||
2,026,751 | BX Commercial Mortgage Trust 1.05%, 10/15/2036, 1 mo. USD LIBOR + 0.920%(2)(4) | 2,030,205 | ||||||||
785,000 | CAMB Commercial Mortgage Trust 2.68%, 12/15/2037, 1 mo. USD LIBOR + 2.550%(2)(4) | 764,284 | ||||||||
1,300,000 | Citigroup Commercial Mortgage Trust 3.62%, 07/10/2047 | 1,422,885 | ||||||||
160,852 | Citigroup Mortgage Loan Trust 3.25%, 03/25/2061(2)(3) | 171,567 | ||||||||
Commercial Mortgage Trust |
| |||||||||
10,726,588 | 0.58%, 02/10/2047(1)(3) | 162,342 | ||||||||
1,043,085 | 2.94%, 01/10/2046 | 1,082,480 | ||||||||
700,000 | 3.18%, 02/10/2035(2) | 755,702 | ||||||||
1,120,000 | 3.69%, 08/10/2047 | 1,224,004 | ||||||||
900,000 | 3.80%, 08/10/2047 | 993,092 | ||||||||
1,095,125 | 3.96%, 03/10/2047 | 1,196,085 | ||||||||
1,000,000 | 4.22%, 07/10/2045(3) | 1,077,783 | ||||||||
360,000 | 4.24%, 02/10/2047(3) | 394,984 | ||||||||
13,460,845 | CSAIL Commercial Mortgage Trust 0.75%, 06/15/2057(1)(3) | 352,141 | ||||||||
1,479,161 | DBJPM Mortgage Trust | 159,385 | ||||||||
GS Mortgage Securities Trust |
| |||||||||
6,628,180 | 0.67%, 02/13/2053(1)(3) | 324,667 | ||||||||
890,000 | 3.63%, 11/10/2047 | 975,583 | ||||||||
100,000 | 4.07%, 01/10/2047 | 108,437 | ||||||||
415,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2.81%, 01/16/2037(2) | 431,285 | ||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||
858,821 | 3.36%, 07/15/2045 | 898,975 | ||||||||
100,000 | 3.93%, 09/15/2047 | 110,762 | ||||||||
100,000 | 4.00%, 04/15/2047 | 109,653 | ||||||||
1,410,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | 1,542,880 | ||||||||
4,431,437 | Morgan Stanley Capital Trust 1.42%, 06/15/2050(1)(3) | 263,299 | ||||||||
670,000 | MTRO Commercial Mortgage Trust 1.93%, 12/15/2033, 1 mo. USD LIBOR + 1.800%(2)(4) | 665,431 | ||||||||
3,755 | Structured Agency Credit Risk Trust 0.88%, 09/25/2048, 1 mo. USD LIBOR + 0.750%(2)(4) | 3,755 | ||||||||
1,005,120 | UBS-Barclays Commercial Mortgage Trust 3.24%, 04/10/2046 | 1,054,246 | ||||||||
807,234 | Wells Fargo Commercial Mortgage Trust 2.92%, 10/15/2045 | 831,248 |
The accompanying notes are an integral part of these financial statements.
| 37 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.7% - (continued) | ||||||||||
Commercial Mortgage-Backed Securities - 3.1% - (continued) | ||||||||||
Wells Fargo N.A. |
| |||||||||
$ | 5,781,165 | 0.60%, 11/15/2062(1)(3) | $ | 257,506 | ||||||
14,171,361 | 0.65%, 11/15/2062(1)(3) | 702,521 | ||||||||
16,184,250 | 0.73%, 02/15/2061(1)(3) | 694,647 | ||||||||
11,086,879 | 0.89%, 01/15/2063(1)(3) | 744,134 | ||||||||
3,494,012 | 0.90%, 05/15/2062(1)(3) | 224,339 | ||||||||
WF-RBS Commercial Mortgage Trust |
| |||||||||
1,170,000 | 2.88%, 12/15/2045 | 1,211,682 | ||||||||
1,025,000 | 3.61%, 11/15/2047 | 1,120,067 | ||||||||
100,000 | 4.00%, 05/15/2047 | 109,454 | ||||||||
100,000 | 4.05%, 03/15/2047 | 109,229 | ||||||||
|
| |||||||||
28,399,604 | ||||||||||
|
| |||||||||
Other Asset-Backed Securities - 3.1% | ||||||||||
Affirm Asset Securitization Trust |
| |||||||||
969,055 | 1.90%, 01/15/2025(2) | 976,295 | ||||||||
433,253 | 3.46%, 10/15/2024(2) | 440,508 | ||||||||
566,519 | ALM XVI Ltd. 1.14%, 07/15/2027, 3 mo. USD LIBOR + 0.900%(2)(4) | 566,518 | ||||||||
369,386 | CF Hippolyta LLC 1.99%, 07/15/2060(2) | 373,033 | ||||||||
970,000 | CIFC Funding Ltd. 1.22%, 04/18/2031, 3 mo. USD LIBOR + 1.000%(2)(4) | 967,514 | ||||||||
260,000 | Dewolf Park CLO Ltd. 1.45%, 10/15/2030, 3 mo. USD LIBOR + 1.210%(2)(4) | 260,168 | ||||||||
415,800 | Domino’s Pizza Master Issuer LLC 3.67%, 10/25/2049(2) | 443,293 | ||||||||
250,000 | Madison Park Funding Ltd. 1.17%, 04/19/2030, 3 mo. USD LIBOR + 0.950%(2)(4) | 249,925 | ||||||||
50,314 | Mill City Mortgage Loan Trust 2.75%, 01/25/2061(2)(3) | 51,621 | ||||||||
201,597 | Neuberger Berman CLO Ltd. 1.04%, 07/15/2027, 3 mo. USD LIBOR + 0.800%(2)(4) | 200,801 | ||||||||
775,158 | New Residential Mortgage LLC 3.79%, 07/25/2054(2) | 777,721 | ||||||||
2,205,000 | NRZ Advance Receivables Trust 1.48%, 09/15/2053(2) | 2,216,357 | ||||||||
856,910 | OCP CLO Ltd. 1.34%, 10/18/2028, 3 mo. USD LIBOR + 1.120%(2)(4) | 856,388 | ||||||||
544,072 | OZLM Ltd. 1.50%, 10/20/2031, 3 mo. USD LIBOR + 1.280%(2)(4) | 544,218 | ||||||||
1,130,147 | Pretium Mortgage Credit Partners LLC 2.86%, 05/27/2059(2)(5) | 1,134,332 | ||||||||
223,872 | Sapphire Aviation Finance Ltd. 3.23%, 03/15/2040(2) | 224,884 | ||||||||
310,000 | Stack Infrastructure Issuer LLC 1.89%, 08/25/2045(2) | 313,490 | ||||||||
490,000 | Summit Issuer LLC 2.29%, 12/20/2050(2) | 492,099 | ||||||||
1,172,795 | TICP CLO Ltd. 1.06%, 04/20/2028, 3 mo. USD LIBOR + 0.840%(2)(4) | 1,167,780 | ||||||||
Towd Point Mortgage Trust |
| |||||||||
1,337,795 | 1.75%, 10/25/2060(2) | 1,373,331 | ||||||||
800,838 | 2.75%, 10/25/2056(2)(3) | 815,706 | ||||||||
1,238,519 | 2.75%, 06/25/2057(2)(3) | 1,279,440 | ||||||||
1,685,018 | 2.75%, 10/25/2057(2)(3) | 1,734,879 | ||||||||
1,574,822 | 2.90%, 10/25/2059(2)(3) | 1,659,622 | ||||||||
1,625,795 | 3.25%, 03/25/2058(2)(3) | 1,698,933 | ||||||||
211,447 | 3.25%, 07/25/2058(2)(3) | 220,953 | ||||||||
89,109 | 3.75%, 05/25/2058(2)(3) | 95,092 | ||||||||
Vantage Data Centers Issuer LLC |
| |||||||||
1,640,000 | 1.65%, 09/15/2045(2) | 1,646,170 | ||||||||
988,117 | 4.20%, 11/16/2043(2) | 1,060,085 | ||||||||
1,092,911 | Vericrest Opportunity Loan Trust 2.98%, 02/25/2050(2)(5) | 1,096,118 | ||||||||
817,208 | VOLT LXXX LLC 3.23%, 10/25/2049(2)(5) | 818,887 | ||||||||
1,210,749 | VOLT LXXXVIII LLC 2.98%, 03/25/2050(2)(5) | 1,214,355 |
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.7% - (continued) | ||||||||||
Other Asset-Backed Securities - 3.1% - (continued) | ||||||||||
$ | 705,000 | Voya CLO Ltd. 1.41%, 10/18/2031, 3 mo. USD LIBOR + 1.190%(2)(4) | $ | 704,325 | ||||||
245,000 | Wingstop Funding LLC 2.84%, 12/05/2050(2) | 251,416 | ||||||||
|
| |||||||||
27,926,257 | ||||||||||
|
| |||||||||
Whole Loan Collateral CMO - 3.8% | ||||||||||
1,545,746 | Angel Oak Mortgage Trust 0.99%, 04/25/2053(2)(3) | 1,552,558 | ||||||||
84,304 | Bear Stearns Adjustable Rate Mortgage Trust 2.99%, 08/25/2035(3) | 84,922 | ||||||||
Bellemeade Re Ltd. |
| |||||||||
112,143 | 1.23%, 07/25/2029, 1 mo. USD LIBOR + 1.100%(2)(4) | 112,166 | ||||||||
59,134 | 1.43%, 03/25/2029, 1 mo. USD LIBOR + 1.300%(2)(4) | 59,138 | ||||||||
8,956,338 | Benchmark Mortgage Trust 1.23%, 03/15/2062(1)(3) | 719,709 | ||||||||
50,574 | CIM Trust 3.00%, 04/25/2057(2)(3) | 51,592 | ||||||||
Connecticut Avenue Securities Trust |
| |||||||||
508,731 | 2.23%, 06/25/2039, 1 mo. USD LIBOR + 2.100%(2)(4) | 509,563 | ||||||||
361,187 | 2.28%, 11/25/2039, 1 mo. USD LIBOR + 2.150%(2)(4) | 358,646 | ||||||||
489,408 | 2.43%, 08/25/2031, 1 mo. USD LIBOR + 2.300%(2)(4) | 490,573 | ||||||||
652,320 | CSMC Trust 0.81%, 05/25/2065(2)(5) | 652,882 | ||||||||
Deephaven Residential Mortgage Trust |
| |||||||||
1,672,324 | 2.34%, 01/25/2060(2)(3) | 1,693,704 | ||||||||
437,999 | 2.79%, 10/25/2059(2)(3) | 446,196 | ||||||||
Fannie Mae Connecticut Avenue Securities |
| |||||||||
130,219 | 2.33%, 08/25/2030, 1 mo. USD LIBOR + 2.200%(4) | 130,626 | ||||||||
145,384 | 2.38%, 07/25/2030, 1 mo. USD LIBOR + 2.250%(4) | 146,126 | ||||||||
157,054 | 2.48%, 01/25/2031, 1 mo. USD LIBOR + 2.350%(4) | 157,916 | ||||||||
138,326 | 2.73%, 05/25/2024, 1 mo. USD LIBOR + 2.600%(4) | 136,170 | ||||||||
860,252 | 3.13%, 07/25/2024, 1 mo. USD LIBOR + 3.000%(4) | 848,365 | ||||||||
620,863 | 3.68%, 07/25/2029, 1 mo. USD LIBOR + 3.550%(4) | 640,710 | ||||||||
1,142,645 | 4.38%, 01/25/2029, 1 mo. USD LIBOR + 4.250%(4) | 1,189,251 | ||||||||
480,351 | 4.48%, 05/25/2029, 1 mo. USD LIBOR + 4.350%(4) | 500,345 | ||||||||
989,115 | 4.53%, 01/25/2024, 1 mo. USD LIBOR + 4.400%(4) | 1,012,301 | ||||||||
469,618 | 5.03%, 11/25/2024, 1 mo. USD LIBOR + 4.900%(4) | 483,665 | ||||||||
970,964 | 5.13%, 11/25/2024, 1 mo. USD LIBOR + 5.000%(4) | 990,783 | ||||||||
955,507 | 5.13%, 07/25/2025, 1 mo. USD LIBOR + 5.000%(4) | 976,658 | ||||||||
1,123,981 | 5.68%, 04/25/2028, 1 mo. USD LIBOR + 5.550%(4) | 1,181,827 | ||||||||
857,720 | 5.83%, 04/25/2028, 1 mo. USD LIBOR + 5.700%(4) | 910,818 | ||||||||
275,318 | 6.13%, 09/25/2028, 1 mo. USD LIBOR + 6.000%(4) | 289,666 | ||||||||
288,537 | Home Re Ltd. 1.73%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(2)(4) | 288,949 | ||||||||
391,459 | LSTAR Securities Investment Trust 1.84%, 03/01/2024, 1 mo. USD LIBOR + 1.700%(2)(4) | 389,731 | ||||||||
1,039,769 | MetLife Securitization Trust 3.75%, 03/25/2057(2)(3) | 1,103,068 | ||||||||
309,913 | MFA Trust 1.01%, 01/26/2065(2)(3) | 309,843 |
The accompanying notes are an integral part of these financial statements.
| 38 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.7% - (continued) | ||||||||||
Whole Loan Collateral CMO - 3.8% - (continued) | ||||||||||
$ | 986,000 | Mortgage Insurance-Linked Notes 2.03%, 11/26/2029, 1 mo. USD LIBOR + 1.900%(2)(4) | $ | 987,350 | ||||||
New Residential Mortgage Loan Trust |
| |||||||||
312,535 | 0.88%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(2)(4) | 313,637 | ||||||||
213,059 | 3.23%, 08/25/2060(2)(5) | 214,740 | ||||||||
1,047,804 | 3.50%, 12/25/2057(2)(3) | 1,102,051 | ||||||||
558,454 | 4.00%, 04/25/2057(2)(3) | 595,533 | ||||||||
597,524 | 4.00%, 08/27/2057(2)(3) | 642,234 | ||||||||
766,560 | 4.00%, 09/25/2057(2)(3) | 815,428 | ||||||||
OZLM Ltd. |
| |||||||||
238,635 | 1.23%, 07/17/2029, 3 mo. USD LIBOR + 1.010%(2)(4) | 238,076 | ||||||||
806,527 | 1.26%, 04/30/2027, 3 mo. USD LIBOR + 1.050%(2)(4) | 806,533 | ||||||||
512,739 | PMT Credit Risk Transfer Trust 2.13%, 03/27/2024, 1 mo. USD LIBOR + 2.000%(2)(4) | 481,472 | ||||||||
Preston Ridge Partners Mortgage Trust LLC |
| |||||||||
362,840 | 2.36%, 11/25/2025(2)(5) | 364,124 | ||||||||
1,235,077 | 2.86%, 09/25/2025(2)(5) | 1,245,697 | ||||||||
409,985 | 3.50%, 10/25/2024(2)(3) | 415,120 | ||||||||
Seasoned Credit Risk Transfer Trust |
| |||||||||
940,513 | 2.50%, 08/25/2059 | 989,072 | ||||||||
563,951 | 3.50%, 11/25/2057 | 620,540 | ||||||||
1,489,152 | 3.50%, 07/25/2058 | 1,642,633 | ||||||||
2,413,632 | 3.50%, 10/25/2058 | 2,645,993 | ||||||||
Structured Agency Credit Risk Trust |
| |||||||||
766,681 | 1.78%, 04/25/2043, 1 mo. USD LIBOR + 1.650%(2)(4) | 762,379 | ||||||||
55,000 | 2.23%, 09/25/2048, 1 mo. USD LIBOR + 2.100%(2)(4) | 55,074 | ||||||||
247,190 | Vericrest Opportunity Loan Trust 3.18%, 10/25/2049(2)(5) | 247,613 | ||||||||
714,000 | Verus Securitization Trust 0.82%, 10/25/2063(2)(3) | 712,888 | ||||||||
|
| |||||||||
34,316,654 | ||||||||||
|
| |||||||||
Total Asset & Commercial Mortgage-Backed Securities | $ | 115,322,575 | ||||||||
|
| |||||||||
CORPORATE BONDS - 32.1% | ||||||||||
Advertising - 0.0% | ||||||||||
Lamar Media Corp. |
| |||||||||
75,000 | 3.75%, 02/15/2028 | 76,239 | ||||||||
80,000 | 4.88%, 01/15/2029 | 84,800 | ||||||||
|
| |||||||||
161,039 | ||||||||||
|
| |||||||||
Aerospace/Defense - 0.5% | ||||||||||
Boeing Co. |
| |||||||||
630,000 | 5.04%, 05/01/2027 | 733,370 | ||||||||
480,000 | 5.15%, 05/01/2030 | 569,331 | ||||||||
L3Harris Technologies, Inc. |
| |||||||||
750,000 | 2.90%, 12/15/2029 | 817,772 | ||||||||
505,000 | 3.85%, 06/15/2023 | 543,918 | ||||||||
410,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 550,071 | ||||||||
United Technologies Corp. |
| |||||||||
835,000 | 3.95%, 08/16/2025 | 950,164 | ||||||||
390,000 | 4.45%, 11/16/2038 | 476,745 | ||||||||
50,000 | 4.63%, 11/16/2048 | 64,720 | ||||||||
|
| |||||||||
4,706,091 | ||||||||||
|
| |||||||||
Agriculture - 0.7% | ||||||||||
Altria Group, Inc. |
| |||||||||
290,000 | 2.63%, 09/16/2026 | 312,722 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Agriculture - 0.7% - (continued) | ||||||||||
$ | 175,000 | 3.88%, 09/16/2046 | $ | 181,936 | ||||||
255,000 | 4.40%, 02/14/2026 | 293,630 | ||||||||
190,000 | 4.80%, 02/14/2029 | 225,525 | ||||||||
620,000 | 5.38%, 01/31/2044 | 771,967 | ||||||||
245,000 | 5.95%, 02/14/2049 | 332,419 | ||||||||
290,000 | Archer-Daniels-Midland Co. 3.25%, 03/27/2030 | 326,954 | ||||||||
BAT Capital Corp. |
| |||||||||
855,000 | 2.26%, 03/25/2028 | 871,918 | ||||||||
585,000 | 2.79%, 09/06/2024 | 623,758 | ||||||||
890,000 | BAT International Finance plc 1.67%, 03/25/2026 | 903,242 | ||||||||
645,000 | Kernel Holding S.A. 6.50%, 10/17/2024(6) | 684,906 | ||||||||
715,000 | Philip Morris International, Inc. 2.10%, 05/01/2030 | 730,064 | ||||||||
|
| |||||||||
6,259,041 | ||||||||||
|
| |||||||||
Apparel - 0.0% | ||||||||||
400,000 | Hanesbrands, Inc. 4.88%, 05/15/2026(2) | 433,000 | ||||||||
|
| |||||||||
Auto Manufacturers - 0.1% | ||||||||||
720,000 | General Motors Co. 6.13%, 10/01/2025 | 867,809 | ||||||||
425,000 | General Motors Financial Co., Inc. 1.25%, 01/08/2026 | 423,498 | ||||||||
|
| |||||||||
1,291,307 | ||||||||||
|
| |||||||||
Auto Parts & Equipment - 0.0% | ||||||||||
155,000 | Clarios Global L.P. / Clarios US Finance Co. 6.25%, 05/15/2026(2) | 165,074 | ||||||||
|
| |||||||||
Beverages - 0.8% | ||||||||||
290,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.70%, 02/01/2036 | 357,600 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
205,000 | 3.75%, 07/15/2042 | 225,910 | ||||||||
110,000 | 4.35%, 06/01/2040 | 131,265 | ||||||||
805,000 | 4.60%, 04/15/2048 | 975,187 | ||||||||
1,603,000 | 5.45%, 01/23/2039 | 2,100,867 | ||||||||
Constellation Brands, Inc. |
| |||||||||
5,000 | 2.65%, 11/07/2022 | 5,183 | ||||||||
170,000 | 2.88%, 05/01/2030 | 182,741 | ||||||||
572,000 | 3.15%, 08/01/2029 | 628,318 | ||||||||
1,072,000 | 3.60%, 02/15/2028 | 1,214,422 | ||||||||
170,000 | 4.65%, 11/15/2028 | 205,398 | ||||||||
1,049,000 | Diageo Capital plc 2.00%, 04/29/2030 | 1,074,300 | ||||||||
205,000 | PepsiCo, Inc. 3.63%, 03/19/2050 | 244,307 | ||||||||
|
| |||||||||
7,345,498 | ||||||||||
|
| |||||||||
Biotechnology - 0.6% | ||||||||||
Amgen, Inc. |
| |||||||||
195,000 | 1.90%, 02/21/2025 | 204,380 | ||||||||
65,000 | 2.20%, 02/21/2027 | 68,743 | ||||||||
2,865,000 | 2.30%, 02/25/2031 | 2,978,774 | ||||||||
1,305,000 | Gilead Sciences, Inc. 1.65%, 10/01/2030 | 1,289,930 | ||||||||
Royalty Pharma plc |
| |||||||||
60,000 | 1.75%, 09/02/2027(2) | 61,177 | ||||||||
355,000 | 2.20%, 09/02/2030(2) | 357,958 | ||||||||
810,000 | 3.30%, 09/02/2040(2) | 835,485 | ||||||||
|
| |||||||||
5,796,447 | ||||||||||
|
| |||||||||
Chemicals - 0.3% | ||||||||||
425,000 | Alpek S.A.B. de C.V. 4.25%, 09/18/2029(2) | 458,363 | ||||||||
200,000 | Chemours Co. 5.38%, 05/15/2027(7) | 215,250 | ||||||||
885,000 | DuPont de Nemours, Inc. 4.21%, 11/15/2023 | 973,236 | ||||||||
350,000 | LYB International Finance LLC 3.80%, 10/01/2060 | 362,318 | ||||||||
235,000 | LYB International Finance LLC 1.25%, 10/01/2025 | 236,982 | ||||||||
160,000 | Olin Corp. 5.13%, 09/15/2027 | 166,000 | ||||||||
110,000 | Sherwin-Williams Co. 3.30%, 05/15/2050 | 119,308 | ||||||||
|
| |||||||||
2,531,457 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 39 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Commercial Banks - 5.7% | ||||||||||
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)(8) | $ | 455,393 | ||||||
805,000 | 2.50%, 02/13/2031, (2.50% fixed rate until 02/13/2030; 3 mo. USD LIBOR + 0.990% thereafter)(8) | 838,317 | ||||||||
�� | 755,000 | 3.19%, 07/23/2030, (3.19% fixed rate until 07/23/2029; 3 mo. USD LIBOR + 1.180% thereafter)(8) | 830,666 | |||||||
105,000 | 3.37%, 01/23/2026, (3.37% fixed rate until 01/23/2025; 3 mo. USD LIBOR + 0.810% thereafter)(8) | 115,195 | ||||||||
2,665,000 | 3.71%, 04/24/2028, (3.71% fixed rate until 04/24/2027; 3 mo. USD LIBOR + 1.512% thereafter)(8) | 3,033,284 | ||||||||
860,000 | 3.86%, 07/23/2024, (3.86% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.940% thereafter)(8) | 929,530 | ||||||||
1,855,000 | 4.08%, 03/20/2051, (4.08% fixed rate until 03/20/2050; 3 mo. USD LIBOR + 3.150% thereafter)(8) | 2,245,520 | ||||||||
640,000 | Bank of New York Mellon Corp. 2.10%, 10/24/2024 | 678,284 | ||||||||
BNP Paribas S.A. |
| |||||||||
405,000 | 1.32%, 01/13/2027, (1.32% fixed rate until 01/13/2026; 3 mo. USD SOFR + 1.004% thereafter)(2)(8) | 405,848 | ||||||||
850,000 | 2.22%, 06/09/2026, (2.22% fixed rate until 06/09/2025; 3 mo. USD SOFR + 2.074% thereafter)(2)(8) | 888,174 | ||||||||
500,000 | Capital One Financial Corp. 3.90%, 01/29/2024 | 545,638 | ||||||||
550,000 | China Construction Bank Corp. 0.99%, 09/24/2021, 3 mo. USD LIBOR + 0.750%(4)(6) | 550,325 | ||||||||
Citigroup, Inc. |
| |||||||||
315,000 | 2.88%, 07/24/2023, (2.88% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.950% thereafter)(8) | 326,130 | ||||||||
1,705,000 | 3.20%, 10/21/2026 | 1,879,018 | ||||||||
750,000 | 3.35%, 04/24/2025, (3.35% fixed rate until 04/24/2024; 3 mo. USD LIBOR + 0.897% thereafter)(8) | 811,324 | ||||||||
290,000 | 3.98%, 03/20/2030, (3.98% fixed rate until 03/20/2029; 3 mo. USD LIBOR + 1.338% thereafter)(8) | 334,810 | ||||||||
595,000 | 4.41%, 03/31/2031, (4.41% fixed rate until 03/31/2030; 3 mo. USD SOFR + 3.914% thereafter)(8) | 706,834 | ||||||||
250,000 | Credit Suisse AG 0.53%, 02/04/2022, 3 mo. USD SOFR + 0.450%(4) | 250,763 | ||||||||
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)(8)(9) | 1,339,832 | ||||||||
390,000 | Credit Suisse Group Funding Guernsey Ltd. 2.51%, 04/16/2021, 3 mo. USD LIBOR + 2.290%(4) | 391,825 | ||||||||
Danske Bank A/S |
| |||||||||
510,000 | 5.00%, 01/12/2022(2) | 531,014 | ||||||||
530,000 | 5.38%, 01/12/2024(2) | 596,612 | ||||||||
515,000 | Fifth Third Bancorp 2.38%, 01/28/2025 | 545,101 | ||||||||
Goldman Sachs Group, Inc. |
| |||||||||
380,000 | 1.99%, 01/27/2032, (1.99% fixed rate until 01/27/2031; 3 mo. USD SOFR + 1.090% thereafter)(8) | 380,410 | ||||||||
100,000 | 2.91%, 07/24/2023, (2.91% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.990% thereafter)(8) | 103,536 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Commercial Banks - 5.7% - (continued) | ||||||||||
$ | 2,355,000 | 3.50%, 11/16/2026 | $ | 2,619,116 | ||||||
260,000 | 3.81%, 04/23/2029, (3.81% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.158% thereafter)(8) | 297,520 | ||||||||
140,000 | 4.02%, 10/31/2038, (4.02% fixed rate until 10/31/2037; 3 mo. USD LIBOR + 1.373% thereafter)(8) | 165,577 | ||||||||
345,000 | 6.75%, 10/01/2037 | 509,940 | ||||||||
HSBC Holdings plc |
| |||||||||
890,000 | 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD SOFR + 1.290% thereafter)(8) | 900,599 | ||||||||
245,000 | 1.87%, 05/25/2021, 3 mo. USD LIBOR + 1.660%(4) | 246,228 | ||||||||
695,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD LIBOR + 1.535% thereafter)(8) | 814,151 | ||||||||
Industrial & Commercial Bank of China Ltd. |
| |||||||||
250,000 | 0.96%, 05/21/2021, 3 mo. USD LIBOR + 0.750%(4)(6) | 250,053 | ||||||||
200,000 | 0.98%, 04/16/2021, 3 mo. USD LIBOR + 0.750%(4)(6) | 200,038 | ||||||||
JP Morgan Chase & Co. |
| |||||||||
835,000 | 2.96%, 05/13/2031, (2.96% fixed rate until 05/13/2030; 3 mo. USD SOFR + 2.515% thereafter)(8) | 892,327 | ||||||||
520,000 | 3.11%, 04/22/2041, (3.11% fixed rate until 04/22/2040; 3 mo. USD SOFR + 2.460% thereafter)(8) | 560,744 | ||||||||
260,000 | 3.11%, 04/22/2051, (3.11% fixed rate until 04/22/2050; 3 mo. USD SOFR + 2.440% thereafter)(8) | 275,746 | ||||||||
230,000 | 3.22%, 03/01/2025, (3.22% fixed rate until 03/01/2024; 3 mo. USD LIBOR + 1.155% thereafter)(8) | 247,740 | ||||||||
15,000 | 3.51%, 01/23/2029, (3.51% fixed rate until 01/23/2028; 3 mo. USD LIBOR + 0.945% thereafter)(8) | 16,831 | ||||||||
1,100,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD LIBOR + 1.160% thereafter)(8) | 1,255,752 | ||||||||
2,390,000 | 3.80%, 07/23/2024, (3.80% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.890% thereafter)(8) | 2,579,760 | ||||||||
935,000 | 3.96%, 01/29/2027, (3.96% fixed rate until 01/29/2026; 3 mo. USD LIBOR + 1.245% thereafter)(8) | 1,062,854 | ||||||||
435,000 | 4.01%, 04/23/2029, (4.01% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.120% thereafter)(8) | 502,439 | ||||||||
Morgan Stanley |
| |||||||||
1,510,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 3 mo. USD SOFR + 1.034% thereafter)(8) | 1,486,700 | ||||||||
860,000 | 1.93%, 04/28/2032, (1.93% fixed rate until 04/28/2031; 3 mo. USD SOFR + 1.020% thereafter)(8) | 856,670 | ||||||||
1,015,000 | 2.50%, 04/21/2021 | 1,020,121 | ||||||||
1,260,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 3 mo. USD SOFR + 1.143% thereafter)(8) | 1,337,624 | ||||||||
2,145,000 | 3.13%, 07/27/2026 | 2,375,299 | ||||||||
75,000 | 4.00%, 07/23/2025 | 85,005 | ||||||||
375,000 | 5.00%, 11/24/2025 | 442,635 | ||||||||
775,000 | PNC Financial Services Group, Inc. 2.20%, 11/01/2024 | 822,032 |
The accompanying notes are an integral part of these financial statements.
| 40 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Commercial Banks - 5.7% - (continued) | ||||||||||
$ | 470,000 | Santander Holdings USA, Inc. 3.70%, 03/28/2022 | $ | 485,288 | ||||||
State Street Corp. |
| |||||||||
675,000 | 2.35%, 11/01/2025, (2.35% fixed rate until 11/01/2024; 3 mo. USD SOFR + 0.940% thereafter)(8) | 719,662 | ||||||||
320,000 | 2.90%, 03/30/2026, (2.90% fixed rate until 03/30/2025; 3 mo. USD SOFR + 2.600% thereafter)(8) | 346,631 | ||||||||
UBS Group AG |
| |||||||||
680,000 | 2.65%, 02/01/2022(2) | 696,152 | ||||||||
1,125,000 | 7.00%, 02/19/2025, (7.00% fixed rate until 02/19/2025; 5 year USD Swap + 4.866% thereafter)(6)(8)(9) | 1,279,665 | ||||||||
650,000 | UniCredit S.p.A. 6.57%, 01/14/2022(2) | 683,860 | ||||||||
Wells Fargo & Co. |
| |||||||||
1,710,000 | 2.41%, 10/30/2025, (2.41% fixed rate until 10/30/2024; 3 mo. USD LIBOR + 0.825% thereafter)(8) | 1,806,071 | ||||||||
865,000 | 3.00%, 04/22/2026 | 944,148 | ||||||||
140,000 | 3.00%, 10/23/2026 | 153,986 | ||||||||
1,570,000 | 3.07%, 01/24/2023 | 1,612,132 | ||||||||
385,000 | 3.75%, 01/24/2024 | 418,698 | ||||||||
230,000 | 4.75%, 12/07/2046 | 290,788 | ||||||||
260,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD LIBOR + 4.240% thereafter)(8) | 356,898 | ||||||||
|
| |||||||||
51,330,863 | ||||||||||
|
| |||||||||
Commercial Services - 1.1% | ||||||||||
Ashtead Capital, Inc. |
| |||||||||
1,400,000 | 4.38%, 08/15/2027(2) | 1,475,250 | ||||||||
200,000 | 5.25%, 08/01/2026(2) | 211,166 | ||||||||
Equifax, Inc. |
| |||||||||
352,000 | 2.60%, 12/15/2025 | 377,491 | ||||||||
110,000 | 3.10%, 05/15/2030 | 120,134 | ||||||||
Gartner, Inc. |
| |||||||||
635,000 | 3.75%, 10/01/2030(2) | 654,844 | ||||||||
619,000 | 4.50%, 07/01/2028(2) | 652,859 | ||||||||
Global Payments, Inc. |
| |||||||||
550,000 | 2.90%, 05/15/2030 | 588,083 | ||||||||
190,000 | 3.20%, 08/15/2029 | 207,514 | ||||||||
Howard University , (Assured Guaranty Municipal Cor Insured) | ||||||||||
100,000 | 2.39%, 10/01/2027 | 102,391 | ||||||||
100,000 | 2.70%, 10/01/2029 | 103,671 | ||||||||
325,000 | 2.80%, 10/01/2030 | 339,691 | ||||||||
105,000 | 2.90%, 10/01/2031 | 111,151 | ||||||||
265,000 | 3.48%, 10/01/2041 | 271,262 | ||||||||
1,330,000 | IHS Markit Ltd. 4.13%, 08/01/2023 | 1,438,927 | ||||||||
Service Corp. International |
| |||||||||
1,795,000 | 3.38%, 08/15/2030 | 1,821,925 | ||||||||
1,381,000 | 5.13%, 06/01/2029 | 1,519,942 | ||||||||
380,000 | United Rentals North America, Inc. 5.88%, 09/15/2026 | 400,406 | ||||||||
|
| |||||||||
10,396,707 | ||||||||||
|
| |||||||||
Construction Materials - 0.3% | ||||||||||
Carrier Global Corp. |
| |||||||||
485,000 | 2.70%, 02/15/2031 | 512,293 | ||||||||
240,000 | 2.72%, 02/15/2030 | 253,635 | ||||||||
Standard Industries, Inc. |
| |||||||||
330,000 | 3.38%, 01/15/2031(2) | 325,875 | ||||||||
1,065,000 | 4.38%, 07/15/2030(2) | 1,130,231 | ||||||||
155,000 | 4.75%, 01/15/2028(2) | 163,378 | ||||||||
|
| |||||||||
2,385,412 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Diversified Financial Services - 0.4% | ||||||||||
605,000 | GE Capital Funding LLC 4.40%, 05/15/2030(2) | $ | 699,067 | |||||||
400,000 | GE Capital International Funding Co. 4.42%, 11/15/2035 | 467,636 | ||||||||
150,000 | Mastercard, Inc. 3.35%, 03/26/2030 | 171,946 | ||||||||
Navient Corp. |
| |||||||||
80,000 | 6.13%, 03/25/2024 | 85,200 | ||||||||
380,000 | 7.25%, 01/25/2022 | 393,427 | ||||||||
1,285,000 | Power Finance Corp. Ltd. 3.95%, 04/23/2030(2) | 1,351,563 | ||||||||
|
| |||||||||
3,168,839 | ||||||||||
|
| |||||||||
Electric - 2.7% | ||||||||||
470,000 | AES Corp. 3.30%, 07/15/2025(2) | 510,993 | ||||||||
285,000 | Alabama Power Co. 4.15%, 08/15/2044 | 347,803 | ||||||||
40,000 | Appalachian Power Co. 6.38%, 04/01/2036 | 55,973 | ||||||||
Berkshire Hathaway Energy Co. |
| |||||||||
360,000 | 1.65%, 05/15/2031(2) | 355,189 | ||||||||
495,000 | 3.25%, 04/15/2028 | 561,589 | ||||||||
75,000 | 4.25%, 10/15/2050(2) | 93,202 | ||||||||
290,000 | Centrais Eletricas Brasileiras S.A. 3.63%, 02/04/2025(2) | 296,090 | ||||||||
Cleco Corporate Holdings LLC |
| |||||||||
355,000 | 3.38%, 09/15/2029 | 370,404 | ||||||||
156,000 | 3.74%, 05/01/2026 | 173,508 | ||||||||
20,000 | 4.97%, 05/01/2046 | 23,303 | ||||||||
Commonwealth Edison Co. |
| |||||||||
420,000 | 3.65%, 06/15/2046 | 485,054 | ||||||||
35,000 | 4.00%, 03/01/2048 | 42,768 | ||||||||
115,000 | Connecticut Light & Power Co. 4.00%, 04/01/2048 | 143,707 | ||||||||
95,000 | Dominion Energy South Carolina, Inc. 5.10%, 06/01/2065 | 144,652 | ||||||||
960,000 | Dominion Energy, Inc. 3.38%, 04/01/2030 | 1,073,725 | ||||||||
710,000 | Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 872,108 | ||||||||
355,000 | Duke Energy Corp. 2.65%, 09/01/2026 | 383,438 | ||||||||
385,000 | Duke Energy Indiana LLC 3.25%, 10/01/2049 | 415,423 | ||||||||
195,000 | Evergy Metro, Inc. 2.25%, 06/01/2030 | 204,946 | ||||||||
Evergy, Inc. |
| |||||||||
315,000 | 2.45%, 09/15/2024 | 333,130 | ||||||||
620,000 | 2.90%, 09/15/2029 | 668,796 | ||||||||
1,060,000 | Exelon Corp. 3.95%, 06/15/2025 | 1,191,194 | ||||||||
520,000 | FirstEnergy Corp. 2.25%, 09/01/2030 | 495,000 | ||||||||
85,000 | Florida Power & Light Co. 3.99%, 03/01/2049 | 106,914 | ||||||||
Georgia Power Co. |
| |||||||||
910,000 | 2.10%, 07/30/2023 | 948,423 | ||||||||
510,000 | 4.30%, 03/15/2042 | 620,033 | ||||||||
IPALCO Enterprises, Inc. |
| |||||||||
460,000 | 3.70%, 09/01/2024 | 501,213 | ||||||||
1,745,000 | 4.25%, 05/01/2030(2) | 1,989,341 | ||||||||
ITC Holdings Corp. |
| |||||||||
640,000 | 2.95%, 05/14/2030(2) | 694,748 | ||||||||
30,000 | 3.25%, 06/30/2026 | 33,207 | ||||||||
MidAmerican Energy Co. |
| |||||||||
155,000 | 3.15%, 04/15/2050 | 170,123 | ||||||||
120,000 | 3.65%, 08/01/2048 | 140,820 | ||||||||
145,000 | National Rural Utilities Cooperative Finance Corp. 3.40%, 02/07/2028 | 165,083 | ||||||||
1,055,000 | NextEra Energy Capital Holdings, Inc. 2.25%, 06/01/2030 | 1,087,928 | ||||||||
155,000 | NextEra Energy Operating Partners L.P. 3.88%, 10/15/2026(2) | 164,963 | ||||||||
NRG Energy, Inc. |
| |||||||||
560,000 | 2.00%, 12/02/2025(2) | 580,882 | ||||||||
560,000 | 2.45%, 12/02/2027(2) | 584,147 | ||||||||
160,000 | Oglethorpe Power Corp. 3.75%, 08/01/2050(2) | 167,938 | ||||||||
Oncor Electric Delivery Co. LLC |
| |||||||||
110,000 | 3.10%, 09/15/2049 | 121,110 | ||||||||
145,000 | 5.75%, 03/15/2029 | 188,977 |
The accompanying notes are an integral part of these financial statements.
| 41 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Electric - 2.7% - (continued) | ||||||||||
PacifiCorp |
| |||||||||
$ | 101,000 | 4.13%, 01/15/2049 | $ | 124,113 | ||||||
110,000 | 4.15%, 02/15/2050 | 137,186 | ||||||||
250,000 | Public Service Electric & Gas Co. 3.80%, 03/01/2046 | 299,716 | ||||||||
Public Service Enterprise Group, Inc. |
| |||||||||
265,000 | 1.60%, 08/15/2030 | 257,163 | ||||||||
525,000 | 2.88%, 06/15/2024 | 562,939 | ||||||||
Puget Energy, Inc. |
| |||||||||
600,000 | 3.65%, 05/15/2025 | 661,436 | ||||||||
600,000 | 4.10%, 06/15/2030 | 678,875 | ||||||||
70,000 | Sempra Energy 4.00%, 02/01/2048 | 79,823 | ||||||||
Southern California Edison Co. |
| |||||||||
605,000 | 2.25%, 06/01/2030 | 619,280 | ||||||||
530,000 | 2.85%, 08/01/2029 | 568,195 | ||||||||
250,000 | 3.65%, 02/01/2050 | 268,196 | ||||||||
179,000 | 4.00%, 04/01/2047 | 199,582 | ||||||||
96,000 | 4.13%, 03/01/2048 | 109,338 | ||||||||
Southern Co. |
| |||||||||
115,000 | 2.95%, 07/01/2023 | 121,343 | ||||||||
515,000 | 3.25%, 07/01/2026 | 572,432 | ||||||||
995,000 | 3.70%, 04/30/2030 | 1,130,017 | ||||||||
20,000 | 4.40%, 07/01/2046 | 24,061 | ||||||||
120,000 | Union Electric Co. 4.00%, 04/01/2048 | 145,785 | ||||||||
|
| |||||||||
24,067,325 | ||||||||||
|
| |||||||||
Energy - Alternate Sources - 0.1% | ||||||||||
470,000 | FS Luxembourg Sarl 10.00%, 12/15/2025(2) | 501,311 | ||||||||
|
| |||||||||
Engineering & Construction - 0.1% | ||||||||||
1,147,336 | International Airport Finance S.A. 12.00%, 03/15/2033(2) | 1,112,916 | ||||||||
|
| |||||||||
Entertainment - 0.1% | ||||||||||
335,000 | GLP Capital L.P. / GLP Financing II, Inc. 5.30%, 01/15/2029 | 392,336 | ||||||||
135,000 | WMG Acquisition Corp. 3.88%, 07/15/2030(2) | 137,700 | ||||||||
|
| |||||||||
530,036 | ||||||||||
|
| |||||||||
Environmental Control - 0.3% | ||||||||||
Clean Harbors, Inc. |
| |||||||||
2,056,000 | 4.88%, 07/15/2027(2) | 2,164,701 | ||||||||
45,000 | 5.13%, 07/15/2029(2) | 48,825 | ||||||||
185,000 | Waste Management, Inc. 2.50%, 11/15/2050 | 172,739 | ||||||||
|
| |||||||||
2,386,265 | ||||||||||
|
| |||||||||
Food - 0.6% | ||||||||||
Conagra Brands, Inc. |
| |||||||||
710,000 | 1.38%, 11/01/2027 | 708,953 | ||||||||
40,000 | 4.30%, 05/01/2024 | 44,516 | ||||||||
395,000 | 4.60%, 11/01/2025 | 459,123 | ||||||||
510,000 | 4.85%, 11/01/2028 | 623,484 | ||||||||
65,000 | 5.40%, 11/01/2048 | 89,788 | ||||||||
400,000 | Kellogg Co. 3.40%, 11/15/2027 | 451,862 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||
25,000 | 3.75%, 04/01/2030 | 26,805 | ||||||||
50,000 | 4.25%, 03/01/2031 | 56,175 | ||||||||
495,000 | MARB BondCo plc 3.95%, 01/29/2031(2) | 492,525 | ||||||||
1,220,000 | Minerva Luxembourg S.A. 6.50%, 09/20/2026(6) | 1,284,050 | ||||||||
835,000 | NBM U.S. Holdings, Inc. 7.00%, 05/14/2026(2) | 896,790 | ||||||||
155,000 | Post Holdings, Inc. 5.63%, 01/15/2028(2) | 164,494 | ||||||||
295,000 | Sysco Corp. 5.95%, 04/01/2030 | 380,691 | ||||||||
150,000 | TreeHouse Foods, Inc. 4.00%, 09/01/2028 | 151,500 | ||||||||
|
| |||||||||
5,830,756 | ||||||||||
|
| |||||||||
Food Service - 0.0% | ||||||||||
140,000 | Aramark Services, Inc. 5.00%, 02/01/2028(2) | 145,950 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Forest Products & Paper - 0.2% | ||||||||||
$ | 1,930,000 | Suzano Austria GmbH 5.00%, 01/15/2030 | $ | 2,181,884 | ||||||
|
| |||||||||
Gas - 0.4% | ||||||||||
AmeriGas Partners L.P. / AmeriGas Finance Corp. |
| |||||||||
85,000 | 5.63%, 05/20/2024 | 93,518 | ||||||||
260,000 | 5.88%, 08/20/2026 | 298,344 | ||||||||
695,000 | Dominion Energy Gas Holdings LLC 2.50%, 11/15/2024 | 739,768 | ||||||||
NiSource, Inc. |
| |||||||||
560,000 | 3.49%, 05/15/2027 | 630,694 | ||||||||
865,000 | 3.60%, 05/01/2030 | 980,152 | ||||||||
Sempra Energy |
| |||||||||
525,000 | 3.40%, 02/01/2028 | 587,881 | ||||||||
220,000 | 3.80%, 02/01/2038 | 250,783 | ||||||||
|
| |||||||||
3,581,140 | ||||||||||
|
| |||||||||
Healthcare - Products - 0.5% | ||||||||||
Alcon Finance Corp. |
| |||||||||
506,000 | 2.75%, 09/23/2026(2) | 552,755 | ||||||||
360,000 | 3.00%, 09/23/2029(2) | 390,318 | ||||||||
300,000 | Baxter International, Inc. 3.95%, 04/01/2030(2) | 351,260 | ||||||||
975,000 | Becton Dickinson and Co. 3.36%, 06/06/2024 | 1,058,390 | ||||||||
Boston Scientific Corp. |
| |||||||||
390,000 | 1.90%, 06/01/2025 | 406,689 | ||||||||
1,105,000 | 3.75%, 03/01/2026 | 1,247,362 | ||||||||
300,000 | Hill-Rom Holdings, Inc. 4.38%, 09/15/2027(2) | 311,625 | ||||||||
185,000 | Teleflex, Inc. 4.25%, 06/01/2028(2) | 194,444 | ||||||||
|
| |||||||||
4,512,843 | ||||||||||
|
| |||||||||
Healthcare - Services - 0.7% | ||||||||||
680,000 | Anthem, Inc. 2.25%, 05/15/2030 | 700,946 | ||||||||
Centene Corp. |
| |||||||||
315,000 | 4.25%, 12/15/2027 | 333,234 | ||||||||
1,940,000 | 4.63%, 12/15/2029 | 2,150,888 | ||||||||
105,000 | CommonSpirit Health 3.35%, 10/01/2029 | 116,188 | ||||||||
240,000 | HCA, Inc. 3.50%, 09/01/2030 | 248,802 | ||||||||
1,950,000 | Rede D’or Finance S.a.r.l. 4.50%, 01/22/2030(2) | 1,992,939 | ||||||||
325,000 | Sutter Health 3.36%, 08/15/2050 | 351,568 | ||||||||
UnitedHealth Group, Inc. |
| |||||||||
180,000 | 2.38%, 08/15/2024 | 191,508 | ||||||||
200,000 | 3.50%, 08/15/2039 | 227,020 | ||||||||
166,000 | 3.75%, 10/15/2047 | 197,238 | ||||||||
|
| |||||||||
6,510,331 | ||||||||||
|
| |||||||||
Home Builders - 0.3% | ||||||||||
1,780,000 | PulteGroup, Inc. 5.50%, 03/01/2026 | 2,122,828 | ||||||||
155,000 | Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc. 5.63%, 03/01/2024(2) | 168,175 | ||||||||
435,000 | Toll Brothers Finance Corp. 4.88%, 11/15/2025 | 490,463 | ||||||||
|
| |||||||||
2,781,466 | ||||||||||
|
| |||||||||
Insurance - 1.0% | ||||||||||
1,430,000 | American International Group, Inc. 2.50%, 06/30/2025 | 1,524,533 | ||||||||
490,000 | Aon Corp. 2.20%, 11/15/2022 | 506,285 | ||||||||
1,730,000 | Brighthouse Financial, Inc. 5.63%, 05/15/2030 | 2,116,803 | ||||||||
110,000 | Genworth Holdings, Inc. 4.90%, 08/15/2023 | 103,400 | ||||||||
Marsh & McLennan Cos., Inc. |
| |||||||||
420,000 | 3.88%, 03/15/2024 | 462,397 | ||||||||
350,000 | 4.38%, 03/15/2029 | 419,707 | ||||||||
260,000 | 4.75%, 03/15/2039 | 337,014 | ||||||||
64,000 | Massachusetts Mutual Life Insurance Co. 3.73%, 10/15/2070(2) | 68,644 | ||||||||
155,000 | MGIC Investment Corp. 5.25%, 08/15/2028 | 165,850 | ||||||||
870,000 | New York Life Global Funding 2.00%, 01/22/2025(2) | 914,828 | ||||||||
80,000 | New York Life Insurance Co. 3.75%, 05/15/2050(2) | 92,267 | ||||||||
425,000 | Progressive Corp. 3.20%, 03/26/2030 | 482,286 |
The accompanying notes are an integral part of these financial statements.
| 42 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Insurance - 1.0% - (continued) | ||||||||||
Unum Group |
| |||||||||
$ | 190,000 | 4.00%, 06/15/2029 | $ | 211,155 | ||||||
445,000 | 4.50%, 03/15/2025 | 505,729 | ||||||||
385,000 | 4.50%, 12/15/2049 | 414,058 | ||||||||
10,000 | Voya Financial, Inc. 4.80%, 06/15/2046 | 12,490 | ||||||||
Willis North America, Inc. |
| |||||||||
230,000 | 2.95%, 09/15/2029 | 247,886 | ||||||||
275,000 | 3.60%, 05/15/2024 | 300,067 | ||||||||
480,000 | 4.50%, 09/15/2028 | 569,342 | ||||||||
|
| |||||||||
9,454,741 | ||||||||||
|
| |||||||||
Internet - 0.5% | ||||||||||
Alibaba Group Holding Ltd. |
| |||||||||
500,000 | 3.40%, 12/06/2027 | 554,834 | ||||||||
245,000 | 4.20%, 12/06/2047 | 288,396 | ||||||||
630,000 | Amazon.com, Inc. 3.88%, 08/22/2037 | 765,312 | ||||||||
1,455,000 | NortonLifeLock, Inc. 5.00%, 04/15/2025(2) | 1,480,899 | ||||||||
Tencent Holdings Ltd. |
| |||||||||
635,000 | 2.39%, 06/03/2030(2) | 640,727 | ||||||||
620,000 | 3.60%, 01/19/2028(2) | 678,534 | ||||||||
200,000 | 3.98%, 04/11/2029(2) | 224,894 | ||||||||
|
| |||||||||
4,633,596 | ||||||||||
|
| |||||||||
Iron/Steel - 0.2% | ||||||||||
200,000 | Commercial Metals Co. 5.38%, 07/15/2027 | 211,500 | ||||||||
Metinvest B.V. |
| |||||||||
EUR | 440,000 | 5.63%, 06/17/2025(2) | 551,886 | |||||||
$ | 200,000 | 7.75%, 10/17/2029(2) | 215,024 | |||||||
1,010,000 | Vale Overseas Ltd. 3.75%, 07/08/2030 | 1,107,061 | ||||||||
|
| |||||||||
2,085,471 | ||||||||||
|
| |||||||||
IT Services - 0.8% | ||||||||||
Apple, Inc. |
| |||||||||
1,090,000 | 2.20%, 09/11/2029 | 1,151,431 | ||||||||
895,000 | 3.35%, 02/09/2027 | 1,010,268 | ||||||||
190,000 | 3.45%, 02/09/2045 | 216,423 | ||||||||
1,927,000 | Booz Allen Hamilton, Inc. 3.88%, 09/01/2028(2) | 1,979,992 | ||||||||
HP, Inc. |
| |||||||||
375,000 | 2.20%, 06/17/2025 | 393,812 | ||||||||
375,000 | 3.00%, 06/17/2027 | 410,838 | ||||||||
IBM Corp. |
| |||||||||
795,000 | 3.50%, 05/15/2029 | 903,526 | ||||||||
100,000 | 4.25%, 05/15/2049 | 123,715 | ||||||||
International Business Machines Corp. |
| |||||||||
765,000 | 1.95%, 05/15/2030 | 776,759 | ||||||||
280,000 | 2.95%, 05/15/2050 | 282,038 | ||||||||
380,000 | Leidos, Inc. 3.63%, 05/15/2025(2) | 421,865 | ||||||||
|
| |||||||||
7,670,667 | ||||||||||
|
| |||||||||
Lodging - 0.1% | ||||||||||
150,000 | Hilton Domestic Operating Co., Inc. 5.13%, 05/01/2026 | 155,505 | ||||||||
285,000 | Las Vegas Sands Corp. 3.50%, 08/18/2026 | 302,883 | ||||||||
|
| |||||||||
458,388 | ||||||||||
|
| |||||||||
Machinery - Diversified - 0.2% | ||||||||||
1,285,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | 1,356,616 | ||||||||
|
| |||||||||
Media - 1.9% | ||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||||
675,000 | 4.25%, 02/01/2031(2) | 693,562 | ||||||||
80,000 | 5.00%, 02/01/2028(2) | 84,040 | ||||||||
475,000 | 5.13%, 05/01/2027(2) | 498,664 | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||||
625,000 | 2.30%, 02/01/2032 | 607,459 | ||||||||
500,000 | 3.70%, 04/01/2051 | 491,201 | ||||||||
445,000 | 4.80%, 03/01/2050 | 505,003 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Media - 1.9% - (continued) | ||||||||||
$ | 410,000 | 5.05%, 03/30/2029 | $ | 490,514 | ||||||
915,000 | 5.38%, 05/01/2047 | 1,109,362 | ||||||||
475,000 | 5.75%, 04/01/2048 | 606,101 | ||||||||
1,170,000 | 6.48%, 10/23/2045 | 1,598,145 | ||||||||
Comcast Corp. |
| |||||||||
305,000 | 3.20%, 07/15/2036 | 335,468 | ||||||||
330,000 | 3.25%, 11/01/2039 | 359,122 | ||||||||
105,000 | 3.40%, 07/15/2046 | 114,794 | ||||||||
1,040,000 | 3.75%, 04/01/2040 | 1,204,683 | ||||||||
180,000 | 4.05%, 11/01/2052 | 218,526 | ||||||||
425,000 | 4.60%, 10/15/2038 | 538,082 | ||||||||
90,000 | 4.65%, 07/15/2042 | 116,520 | ||||||||
45,000 | 4.70%, 10/15/2048 | 59,562 | ||||||||
70,000 | 4.75%, 03/01/2044 | 92,106 | ||||||||
70,000 | 4.95%, 10/15/2058 | 99,191 | ||||||||
803,000 | Cox Communications, Inc. 3.15%, 08/15/2024(2) | 867,750 | ||||||||
CSC Holdings LLC |
| |||||||||
1,655,000 | 3.38%, 02/15/2031(2) | 1,615,032 | ||||||||
440,000 | 4.13%, 12/01/2030(2) | 450,120 | ||||||||
Discovery Communications LLC |
| |||||||||
265,000 | 3.95%, 06/15/2025 | 296,302 | ||||||||
420,000 | 3.95%, 03/20/2028 | 478,225 | ||||||||
112,000 | 5.30%, 05/15/2049 | 143,621 | ||||||||
870,000 | 6.35%, 06/01/2040 | 1,229,629 | ||||||||
DISH DBS Corp. |
| |||||||||
230,000 | 5.88%, 07/15/2022 | 239,513 | ||||||||
60,000 | 6.75%, 06/01/2021 | 60,918 | ||||||||
150,000 | Sirius XM Radio, Inc. 4.13%, 07/01/2030(2) | 154,678 | ||||||||
TEGNA, Inc. |
| |||||||||
160,000 | 4.63%, 03/15/2028(2) | 162,200 | ||||||||
32,000 | 5.50%, 09/15/2024(2) | 32,560 | ||||||||
185,000 | Time Warner Cable LLC 6.55%, 05/01/2037 | 253,021 | ||||||||
200,000 | Vertical U.S Newco, Inc. 5.25%, 07/15/2027(2) | 210,000 | ||||||||
860,000 | ViacomCBS, Inc. 4.38%, 03/15/2043 | 995,217 | ||||||||
Videotron Ltd. |
| |||||||||
80,000 | 5.13%, 04/15/2027(2) | 84,648 | ||||||||
200,000 | 5.38%, 06/15/2024(2) | 219,500 | ||||||||
|
| |||||||||
17,315,039 | ||||||||||
|
| |||||||||
Mining - 0.2% | ||||||||||
Anglo American Capital plc |
| |||||||||
455,000 | 2.63%, 09/10/2030(2) | 466,483 | ||||||||
745,000 | 4.75%, 04/10/2027(2) | 882,901 | ||||||||
515,000 | 5.63%, 04/01/2030(2) | 648,858 | ||||||||
120,000 | Kaiser Aluminum Corp. 4.63%, 03/01/2028(2) | 123,783 | ||||||||
|
| |||||||||
2,122,025 | ||||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||
370,000 | General Electric Co. 3.63%, 05/01/2030 | 410,401 | ||||||||
280,000 | Ingersoll-Rand Global Holding Co., Ltd. 2.90%, 02/21/2021 | 280,408 | ||||||||
120,000 | Ingersoll-Rand Luxembourg Finance S.A. 4.50%, 03/21/2049 | 154,394 | ||||||||
|
| |||||||||
845,203 | ||||||||||
|
| |||||||||
Office/Business Equipment - 0.2% | ||||||||||
CDW LLC / CDW Finance Corp. |
| |||||||||
1,492,000 | 3.25%, 02/15/2029 | 1,501,594 | ||||||||
120,000 | 4.25%, 04/01/2028 | 125,100 | ||||||||
195,000 | Xerox Holdings Corp. 5.50%, 08/15/2028(2) | 201,035 | ||||||||
|
| |||||||||
1,827,729 | ||||||||||
|
| |||||||||
Oil & Gas - 0.9% | ||||||||||
Apache Corp. |
| |||||||||
25,000 | 4.25%, 01/15/2030 | 24,688 | ||||||||
130,000 | 4.88%, 11/15/2027 | 133,575 |
The accompanying notes are an integral part of these financial statements.
| 43 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Oil & Gas - 0.9% - (continued) | ||||||||||
$ | 125,000 | BP Capital Markets America, Inc. 3.63%, 04/06/2030 | $ | 141,856 | ||||||
Continental Resources, Inc. |
| |||||||||
40,000 | 4.38%, 01/15/2028 | 41,000 | ||||||||
110,000 | 5.75%, 01/15/2031(2) | 119,053 | ||||||||
Equinor ASA |
| |||||||||
740,000 | 1.75%, 01/22/2026 | 770,821 | ||||||||
450,000 | 3.63%, 04/06/2040 | 514,963 | ||||||||
255,000 | 3.70%, 04/06/2050 | 291,942 | ||||||||
675,000 | Exxon Mobil Corp. 4.23%, 03/19/2040 | 813,183 | ||||||||
Hess Corp. |
| |||||||||
185,000 | 7.13%, 03/15/2033 | 243,188 | ||||||||
520,000 | 7.30%, 08/15/2031 | 678,704 | ||||||||
795,000 | Marathon Petroleum Corp. 4.70%, 05/01/2025 | 908,131 | ||||||||
Ovintiv, Inc. |
| |||||||||
26,000 | 6.50%, 08/15/2034 | 31,862 | ||||||||
25,000 | 6.50%, 02/01/2038 | 29,745 | ||||||||
5,000 | 7.20%, 11/01/2031 | 6,295 | ||||||||
50,000 | 7.38%, 11/01/2031 | 63,648 | ||||||||
795,000 | Pioneer Natural Resources Co. 2.15%, 01/15/2031 | 785,052 | ||||||||
Saudi Arabian Oil Co. |
| |||||||||
200,000 | 1.63%, 11/24/2025(2) | 203,644 | ||||||||
260,000 | 2.25%, 11/24/2030(2) | 259,333 | ||||||||
260,000 | 2.88%, 04/16/2024(2) | 275,222 | ||||||||
220,000 | SM Energy Co. 6.13%, 11/15/2022 | 213,400 | ||||||||
290,000 | Sunoco L.P. / Sunoco Finance Corp. 5.88%, 03/15/2028 | 307,400 | ||||||||
600,000 | Tullow Oil plc 7.00%, 03/01/2025(2) | 392,010 | ||||||||
Valero Energy Corp. |
| |||||||||
390,000 | 2.15%, 09/15/2027 | 394,188 | ||||||||
265,000 | 4.00%, 04/01/2029 | 292,857 | ||||||||
295,000 | 4.90%, 03/15/2045 | 340,853 | ||||||||
|
| |||||||||
8,276,613 | ||||||||||
|
| |||||||||
Oil & Gas Services - 0.2% | ||||||||||
1,450,000 | Borets Finance DAC 6.00%, 09/17/2026(2) | 1,512,930 | ||||||||
240,000 | Halliburton Co. 4.85%, 11/15/2035 | 277,849 | ||||||||
|
| |||||||||
1,790,779 | ||||||||||
|
| |||||||||
Packaging & Containers - 0.4% | ||||||||||
400,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. 4.13%, 08/15/2026(2) | 412,500 | ||||||||
1,695,000 | Ball Corp. 4.00%, 11/15/2023 | 1,811,531 | ||||||||
80,000 | Graphic Packaging International LLC 3.50%, 03/01/2029(2) | 81,900 | ||||||||
370,000 | Mondelez International, Inc. 1.50%, 05/04/2025 | 381,856 | ||||||||
Owens-Brockway Glass Container, Inc. |
| |||||||||
80,000 | 5.38%, 01/15/2025(2) | 86,000 | ||||||||
430,000 | 5.88%, 08/15/2023(2) | 460,100 | ||||||||
8,000 | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.13%, 07/15/2023(2) | 8,099 | ||||||||
|
| |||||||||
3,241,986 | ||||||||||
|
| |||||||||
Pharmaceuticals - 1.2% | ||||||||||
AbbVie, Inc. |
| |||||||||
835,000 | 2.95%, 11/21/2026 | 916,990 | ||||||||
335,000 | 3.20%, 11/21/2029 | 370,473 | ||||||||
665,000 | 4.25%, 11/21/2049 | 801,762 | ||||||||
320,000 | 4.63%, 10/01/2042 | 394,801 | ||||||||
Bausch Health Cos., Inc. |
| |||||||||
220,000 | 5.75%, 08/15/2027(2) | 236,775 | ||||||||
35,000 | 7.00%, 01/15/2028(2) | 37,877 | ||||||||
165,000 | Baxalta, Inc. 3.60%, 06/23/2022 | 171,502 | ||||||||
Bayer U.S. Finance LLC |
| |||||||||
705,000 | 4.25%, 12/15/2025(2) | 804,630 | ||||||||
200,000 | 4.88%, 06/25/2048(2) | 254,467 |
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Pharmaceuticals - 1.2% - (continued) | ||||||||||
$ | 460,000 | Becton Dickinson and Co. 2.82%, 05/20/2030 | $ | 496,524 | ||||||
Bristol-Myers Squibb Co. |
| |||||||||
1,375,000 | 0.75%, 11/13/2025 | 1,377,878 | ||||||||
570,000 | 2.55%, 11/13/2050 | 550,170 | ||||||||
160,000 | 3.20%, 06/15/2026 | 178,651 | ||||||||
CVS Health Corp. |
| |||||||||
790,000 | 4.13%, 04/01/2040 | 917,154 | ||||||||
465,000 | 5.05%, 03/25/2048 | 606,599 | ||||||||
15,000 | 5.13%, 07/20/2045 | 19,566 | ||||||||
850,000 | GlaxoSmithKline Capital, Inc. 3.63%, 05/15/2025 | 947,499 | ||||||||
230,000 | Pfizer, Inc. 2.63%, 04/01/2030 | 250,417 | ||||||||
1,120,000 | Teva Pharmaceutical Finance Netherlands B.V. 3.15%, 10/01/2026 | 1,068,424 | ||||||||
230,000 | Upjohn, Inc. 1.65%, 06/22/2025(2) | 236,809 | ||||||||
|
| |||||||||
10,638,968 | ||||||||||
|
| |||||||||
Pipelines - 1.2% | ||||||||||
Cheniere Energy Partners L.P. |
| |||||||||
20,000 | 4.50%, 10/01/2029 | 21,440 | ||||||||
60,000 | 5.63%, 10/01/2026 | 62,550 | ||||||||
180,000 | DCP Midstream Operating L.P. 3.88%, 03/15/2023 | 184,950 | ||||||||
Energy Transfer Operating L.P. |
| |||||||||
545,000 | 5.15%, 02/01/2043 | 558,642 | ||||||||
160,000 | 5.15%, 03/15/2045 | 168,345 | ||||||||
95,000 | 5.25%, 04/15/2029 | 109,488 | ||||||||
1,165,000 | 6.13%, 12/15/2045 | 1,306,392 | ||||||||
EQM Midstream Partners L.P. |
| |||||||||
60,000 | 5.50%, 07/15/2028 | 62,144 | ||||||||
55,000 | 6.50%, 07/01/2027(2) | 59,406 | ||||||||
2,235,000 | Galaxy Pipeline Assets Bidco Ltd. 2.63%, 03/31/2036(2) | 2,256,492 | ||||||||
MPLX L.P. |
| |||||||||
285,000 | 1.75%, 03/01/2026 | 290,455 | ||||||||
300,000 | 4.70%, 04/15/2048 | 335,745 | ||||||||
360,000 | 5.20%, 03/01/2047 | 427,135 | ||||||||
80,000 | 5.20%, 12/01/2047 | 92,916 | ||||||||
ONEOK, Inc. |
| |||||||||
440,000 | 5.85%, 01/15/2026 | 525,025 | ||||||||
455,000 | 6.00%, 06/15/2035 | 558,043 | ||||||||
55,000 | 7.15%, 01/15/2051 | 75,044 | ||||||||
675,000 | Phillips 66 Partners L.P. 4.90%, 10/01/2046 | 746,647 | ||||||||
655,000 | Sabine Pass Liquefaction LLC 4.50%, 05/15/2030(2) | 762,183 | ||||||||
165,000 | Sunoco Logistics Partners Operations L.P. 4.00%, 10/01/2027 | 181,684 | ||||||||
140,000 | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. 4.88%, 02/01/2031(2) | 146,650 | ||||||||
TransCanada PipeLines Ltd. |
| |||||||||
540,000 | 4.10%, 04/15/2030 | 626,187 | ||||||||
430,000 | 4.63%, 03/01/2034 | 516,016 | ||||||||
100,000 | 4.75%, 05/15/2038 | 122,038 | ||||||||
Western Midstream Operating L.P. |
| |||||||||
40,000 | 4.75%, 08/15/2028 | 42,300 | ||||||||
150,000 | 5.05%, 02/01/2030 | 165,000 | ||||||||
Williams Cos., Inc. |
| |||||||||
24,000 | 4.90%, 01/15/2045 | 27,738 | ||||||||
85,000 | 5.80%, 11/15/2043 | 106,229 | ||||||||
116,000 | 6.30%, 04/15/2040 | 151,518 | ||||||||
|
| |||||||||
10,688,402 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts - 0.6% | ||||||||||
American Tower Corp. |
| |||||||||
1,085,000 | 1.50%, 01/31/2028 | 1,078,344 | ||||||||
370,000 | 2.40%, 03/15/2025 | 390,882 | ||||||||
595,000 | 2.95%, 01/15/2051 | 573,488 | ||||||||
760,000 | Brixmor Operating Partnership L.P. 4.05%, 07/01/2030 | 859,133 |
The accompanying notes are an integral part of these financial statements.
| 44 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Real Estate Investment Trusts - 0.6% - (continued) | ||||||||||
GLP Capital L.P. / GLP Financing II, Inc. |
| |||||||||
$ | 710,000 | 4.00%, 01/15/2031 | $ | 772,693 | ||||||
430,000 | 5.75%, 06/01/2028 | 511,190 | ||||||||
675,000 | SBA Tower Trust 2.84%, 01/15/2050(2) | 723,157 | ||||||||
VEREIT Operating Partnership L.P. |
| |||||||||
40,000 | 2.20%, 06/15/2028 | 40,882 | ||||||||
50,000 | 2.85%, 12/15/2032 | 51,441 | ||||||||
150,000 | 3.40%, 01/15/2028 | 164,881 | ||||||||
VICI Properties L.P. / VICI Note Co., Inc. |
| |||||||||
50,000 | 3.75%, 02/15/2027(2) | 50,750 | ||||||||
70,000 | 4.25%, 12/01/2026(2) | 72,405 | ||||||||
|
| |||||||||
5,289,246 | ||||||||||
|
| |||||||||
Retail - 0.8% | ||||||||||
1011778 BC ULC / New Red Finance, Inc. |
| |||||||||
140,000 | 3.50%, 02/15/2029(2) | 139,737 | ||||||||
165,000 | 3.88%, 01/15/2028(2) | 167,442 | ||||||||
515,000 | AutoZone, Inc. 3.63%, 04/15/2025 | 572,941 | ||||||||
1,169,000 | FirstCash, Inc. 4.63%, 09/01/2028(2) | 1,211,727 | ||||||||
825,000 | Home Depot, Inc. 3.30%, 04/15/2040 | 931,032 | ||||||||
160,000 | KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.75%, 06/01/2027(2) | 168,000 | ||||||||
160,000 | Lithia Motors, Inc. 4.63%, 12/15/2027(2) | 168,800 | ||||||||
Lowe’s Cos., Inc. |
| |||||||||
1,085,000 | 1.70%, 10/15/2030 | 1,065,679 | ||||||||
340,000 | 4.55%, 04/05/2049 | 437,920 | ||||||||
McDonald’s Corp. |
| |||||||||
455,000 | 3.35%, 04/01/2023 | 482,827 | ||||||||
210,000 | 3.63%, 09/01/2049 | 236,008 | ||||||||
910,000 | 4.20%, 04/01/2050 | 1,115,946 | ||||||||
5,000 | Suburban Propane Partners L.P. / Suburban Energy Finance Corp. 5.88%, 03/01/2027 | 5,213 | ||||||||
80,000 | United Rentals North America, Inc. 4.88%, 01/15/2028 | 85,300 | ||||||||
343,000 | William Carter Co. 5.63%, 03/15/2027(2) | 362,294 | ||||||||
|
| |||||||||
7,150,866 | ||||||||||
|
| |||||||||
Semiconductors - 1.1% | ||||||||||
941,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.88%, 01/15/2027 | 1,050,441 | ||||||||
Broadcom, Inc. |
| |||||||||
255,000 | 2.60%, 02/15/2033(2) | 252,113 | ||||||||
70,000 | 3.75%, 02/15/2051(2) | 71,494 | ||||||||
2,000 | 4.25%, 04/15/2026 | 2,267 | ||||||||
2,125,000 | 5.00%, 04/15/2030 | 2,530,391 | ||||||||
155,000 | Entegris, Inc. 4.38%, 04/15/2028(2) | 163,525 | ||||||||
Intel Corp. |
| |||||||||
340,000 | 3.10%, 02/15/2060 | 352,238 | ||||||||
145,000 | 4.10%, 05/19/2046 | 177,214 | ||||||||
Microchip Technology, Inc. |
| |||||||||
995,000 | 2.67%, 09/01/2023(2) | 1,041,204 | ||||||||
45,000 | 4.25%, 09/01/2025(2) | 47,124 | ||||||||
635,000 | NVIDIA Corp. 3.50%, 04/01/2040 | 728,158 | ||||||||
NXP B.V. / NXP Funding LLC |
| |||||||||
262,000 | 4.63%, 06/01/2023(2) | 285,770 | ||||||||
968,000 | 4.88%, 03/01/2024(2) | 1,087,223 | ||||||||
299,000 | 5.35%, 03/01/2026(2) | 357,303 | ||||||||
240,000 | 5.55%, 12/01/2028(2) | 298,738 | ||||||||
NXP B.V. / NXP Funding LLC / NXP USA, Inc. |
| |||||||||
285,000 | 3.15%, 05/01/2027(2) | 313,430 | ||||||||
136,000 | 4.30%, 06/18/2029(2) | 158,566 | ||||||||
40,000 | Qorvo, Inc. 3.38%, 04/01/2031(2) | 40,900 | ||||||||
QUALCOMM, Inc. |
| |||||||||
149,000 | 4.65%, 05/20/2035 | 193,952 | ||||||||
421,000 | 4.80%, 05/20/2045 | 573,221 | ||||||||
|
| |||||||||
9,725,272 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Software - 1.2% | ||||||||||
$ | 1,561,000 | Black Knight InfoServ LLC 3.63%, 09/01/2028(2) | $ | 1,579,654 | ||||||
290,000 | Fair Isaac Corp. 4.00%, 06/15/2028(2) | 299,048 | ||||||||
Fidelity National Information Services, Inc. |
| |||||||||
346,000 | 3.75%, 05/21/2029 | 397,915 | ||||||||
155,000 | 4.25%, 05/15/2028 | 181,132 | ||||||||
Fiserv, Inc. |
| |||||||||
980,000 | 2.25%, 06/01/2027 | 1,035,196 | ||||||||
575,000 | 3.20%, 07/01/2026 | 636,892 | ||||||||
530,000 | IQVIA, Inc. 5.00%, 05/15/2027(2) | 558,025 | ||||||||
Microsoft Corp. |
| |||||||||
27,000 | 2.68%, 06/01/2060 | 27,309 | ||||||||
475,000 | 3.70%, 08/08/2046 | 582,454 | ||||||||
133,000 | 3.95%, 08/08/2056 | 172,857 | ||||||||
MSCI, Inc. |
| |||||||||
15,000 | 3.63%, 09/01/2030(2) | 15,919 | ||||||||
250,000 | 3.88%, 02/15/2031(2) | 266,905 | ||||||||
1,539,000 | 5.38%, 05/15/2027(2) | 1,653,009 | ||||||||
330,000 | Open Text Corp. 5.88%, 06/01/2026(2) | 343,200 | ||||||||
Oracle Corp. |
| |||||||||
1,505,000 | 3.85%, 04/01/2060 | 1,735,598 | ||||||||
345,000 | 4.00%, 11/15/2047 | 406,107 | ||||||||
863,000 | SS&C Technologies, Inc. 5.50%, 09/30/2027(2) | 914,961 | ||||||||
150,000 | Western Digital Corp. 4.75%, 02/15/2026 | 166,312 | ||||||||
|
| |||||||||
10,972,493 | ||||||||||
|
| |||||||||
Telecommunications - 2.4% | ||||||||||
AT&T, Inc. |
| |||||||||
1,290,000 | 3.50%, 02/01/2061 | 1,220,661 | ||||||||
672,000 | 3.55%, 09/15/2055(2) | 639,376 | ||||||||
1,090,000 | 3.65%, 06/01/2051 | 1,086,165 | ||||||||
326,000 | 3.65%, 09/15/2059(2) | 311,788 | ||||||||
598,000 | 3.80%, 12/01/2057(2) | 592,551 | ||||||||
185,000 | 4.50%, 03/09/2048 | 211,135 | ||||||||
Nokia Oyj |
| |||||||||
525,000 | 4.38%, 06/12/2027 | 579,873 | ||||||||
60,000 | 6.63%, 05/15/2039 | 78,616 | ||||||||
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)(8)(9) | 1,300,075 | ||||||||
300,000 | Sprint Corp. 7.13%, 06/15/2024 | 349,812 | ||||||||
740,000 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 5.15%, 09/20/2029(2) | 861,397 | ||||||||
T-Mobile USA, Inc. |
| |||||||||
1,155,000 | 2.05%, 02/15/2028(2) | 1,183,367 | ||||||||
395,000 | 3.30%, 02/15/2051(2) | 386,130 | ||||||||
1,340,000 | 3.50%, 04/15/2025(2) | 1,468,902 | ||||||||
1,030,000 | 3.88%, 04/15/2030(2) | 1,165,301 | ||||||||
325,000 | 4.50%, 04/15/2050(2) | 382,980 | ||||||||
1,545,000 | 6.50%, 01/15/2026 | 1,593,529 | ||||||||
160,000 | Telecom Italia Capital S.A. 6.00%, 09/30/2034 | 191,200 | ||||||||
900,000 | Telefonica Celular del Paraguay S.A. 5.88%, 04/15/2027(2) | 950,310 | ||||||||
420,000 | Telefonica Emisiones S.A. 5.21%, 03/08/2047 | 529,816 | ||||||||
885,000 | VEON Holdings B.V. 3.38%, 11/25/2027(2) | 907,568 | ||||||||
Verizon Communications, Inc. |
| |||||||||
420,000 | 2.65%, 11/20/2040 | 408,074 | ||||||||
250,000 | 2.88%, 11/20/2050 | 239,990 | ||||||||
150,000 | 4.00%, 03/22/2050 | 172,752 | ||||||||
1,210,000 | 4.50%, 08/10/2033 | 1,489,621 | ||||||||
1,185,000 | 4.81%, 03/15/2039 | 1,500,634 | ||||||||
315,000 | 5.01%, 08/21/2054 | 425,394 | ||||||||
270,000 | Vmed UK Financing plc 4.25%, 01/31/2031(2) | 269,382 | ||||||||
545,000 | Vodafone Group plc 6.15%, 02/27/2037 | 765,229 | ||||||||
|
| |||||||||
21,261,628 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 45 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
CORPORATE BONDS - 32.1% - (continued) | ||||||||||
Transportation - 0.3% | ||||||||||
FedEx Corp. |
| |||||||||
$ | 240,000 | 3.30%, 03/15/2027 | $ | 267,634 | ||||||
455,000 | 4.25%, 05/15/2030 | 540,356 | ||||||||
Penske Truck Leasing Co. L.P. / PTL Finance Corp. |
| |||||||||
705,000 | 2.70%, 11/01/2024(2) | 752,717 | ||||||||
625,000 | 4.00%, 07/15/2025(2) | 703,173 | ||||||||
Union Pacific Corp. |
| |||||||||
860,000 | 2.97%, 09/16/2062(2) | 850,990 | ||||||||
10,000 | 3.84%, 03/20/2060 | 11,708 | ||||||||
|
| |||||||||
3,126,578 | ||||||||||
|
| |||||||||
Water - 0.1% | ||||||||||
American Water Capital Corp. |
| |||||||||
300,000 | 2.80%, 05/01/2030 | 327,032 | ||||||||
260,000 | 4.15%, 06/01/2049 | 332,045 | ||||||||
|
| |||||||||
659,077 | ||||||||||
|
| |||||||||
Total Corporate Bonds | $ | 290,704,381 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 6.7% | ||||||||||
Angola - 0.1% | ||||||||||
Angolan Government International Bond |
| |||||||||
580,000 | 8.00%, 11/26/2029(6) | 572,750 | ||||||||
310,000 | 8.25%, 05/09/2028(6) | 309,261 | ||||||||
|
| |||||||||
882,011 | ||||||||||
|
| |||||||||
Argentina - 0.0% | ||||||||||
Argentine Republic Government International Bond |
| |||||||||
482,972 | 0.13%, 07/09/2035(5) | 165,061 | ||||||||
16,465 | 1.00%, 07/09/2029 | 6,833 | ||||||||
|
| |||||||||
171,894 | ||||||||||
|
| |||||||||
Australia - 0.1% | ||||||||||
AUD | 1,580,000 | Australia Government Bond 1.75%, 06/21/2051(6) | 1,107,134 | |||||||
|
| |||||||||
Bermuda - 0.0% | ||||||||||
$ | 255,000 | Bermuda Government International Bond 2.38%, 08/20/2030(2) | 263,925 | |||||||
|
| |||||||||
Chile - 0.4% | ||||||||||
Chile Government International Bond |
| |||||||||
EUR | 1,820,000 | 1.25%, 01/22/2051 | 2,144,784 | |||||||
$ | 1,130,000 | 2.55%, 01/27/2032 | 1,193,314 | |||||||
|
| |||||||||
3,338,098 | ||||||||||
|
| |||||||||
Colombia - 0.2% | ||||||||||
2,040,000 | Colombia Government International Bond 3.13%, 04/15/2031 | 2,107,340 | ||||||||
|
| |||||||||
Dominican Republic - 0.2% | ||||||||||
1,615,000 | Dominican Republic International Bond 6.40%, 06/05/2049(2) | 1,808,800 | ||||||||
|
| |||||||||
Egypt - 0.1% | ||||||||||
Egypt Government International Bond |
| |||||||||
210,000 | 7.63%, 05/29/2032(2) | 232,596 | ||||||||
200,000 | 8.50%, 01/31/2047(6) | 219,752 | ||||||||
200,000 | 8.88%, 05/29/2050(2) | 226,256 | ||||||||
|
| |||||||||
678,604 | ||||||||||
|
| |||||||||
Ghana - 0.1% | ||||||||||
440,000 | Ghana Government International Bond 6.38%, 02/11/2027(2) | 455,400 | ||||||||
|
| |||||||||
Hungary - 0.2% | ||||||||||
Hungary Government International Bond |
| |||||||||
EUR | 960,000 | 1.63%, 04/28/2032(6) | 1,268,449 | |||||||
$ | 200,000 | 6.38%, 03/29/2021 | 201,900 | |||||||
|
| |||||||||
1,470,349 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 6.7% - (continued) | ||||||||||
Indonesia - 0.3% | ||||||||||
Indonesia Government International Bond | ||||||||||
EUR | 2,040,000 | 1.10%, 03/12/2033 | $ | 2,487,690 | ||||||
100,000 | 2.15%, 07/18/2024(6) | 129,387 | ||||||||
145,000 | 2.63%, 06/14/2023(6) | 186,465 | ||||||||
|
| |||||||||
2,803,542 | ||||||||||
|
| |||||||||
Israel - 0.2% | ||||||||||
ILS | 4,885,000 | Israel Government Bond - Fixed 3.75%, 03/31/2047 | 2,064,215 | |||||||
|
| |||||||||
Japan - 1.8% | ||||||||||
JPY | 1,691,750,000 | Japan Treasury Discount Bill 0.00%, 03/15/2021 | 16,160,628 | |||||||
|
| |||||||||
Macedonia - 0.1% | ||||||||||
EUR | 985,000 | North Macedonia Government International Bond 3.68%, 06/03/2026(2) | 1,337,286 | |||||||
|
| |||||||||
Mexico - 0.6% | ||||||||||
Mexico Government International Bond |
| |||||||||
200,000 | 1.13%, 01/17/2030 | 239,630 | ||||||||
1,630,000 | 1.45%, 10/25/2033 | 1,917,750 | ||||||||
$ | 200,000 | 3.25%, 04/16/2030 | 211,650 | |||||||
305,000 | 3.75%, 04/19/2071 | 285,480 | ||||||||
530,000 | 3.77%, 05/24/2061 | 510,660 | ||||||||
400,000 | 4.50%, 04/22/2029 | 461,204 | ||||||||
1,245,000 | 4.75%, 04/27/2032 | 1,450,425 | ||||||||
|
| |||||||||
5,076,799 | ||||||||||
|
| |||||||||
Morocco - 0.1% | ||||||||||
EUR | 1,035,000 | Morocco Government International Bond 2.00%, 09/30/2030(6) | 1,289,989 | |||||||
|
| |||||||||
Panama - 0.4% | ||||||||||
Panama Government International Bond |
| |||||||||
$ | 1,230,000 | 2.25%, 09/29/2032 | 1,240,455 | |||||||
1,945,000 | 3.87%, 07/23/2060 | 2,161,887 | ||||||||
225,000 | 4.30%, 04/29/2053 | 269,159 | ||||||||
|
| |||||||||
3,671,501 | ||||||||||
|
| |||||||||
Peru - 0.0% | ||||||||||
180,000 | Peruvian Government International Bond 2.39%, 01/23/2026 | 190,350 | ||||||||
|
| |||||||||
Philippines - 0.3% | ||||||||||
Philippine Government International Bond |
| |||||||||
220,000 | 2.46%, 05/05/2030 | 234,428 | ||||||||
1,875,000 | 3.70%, 02/02/2042 | 2,137,875 | ||||||||
|
| |||||||||
2,372,303 | ||||||||||
|
| |||||||||
Qatar - 0.3% | ||||||||||
Qatar Government International Bond |
| |||||||||
430,000 | 3.40%, 04/16/2025(2) | 472,819 | ||||||||
725,000 | 3.75%, 04/16/2030(2) | 843,610 | ||||||||
800,000 | 5.10%, 04/23/2048(6) | 1,102,952 | ||||||||
|
| |||||||||
2,419,381 | ||||||||||
|
| |||||||||
Romania - 0.4% | ||||||||||
Romanian Government International Bond |
| |||||||||
EUR | 1,265,000 | 2.63%, 12/02/2040(2) | 1,601,826 | |||||||
1,024,000 | 4.63%, 04/03/2049(6) | 1,667,784 | ||||||||
|
| |||||||||
3,269,610 | ||||||||||
|
| |||||||||
Saudi Arabia - 0.3% | ||||||||||
Saudi Government International Bond |
| |||||||||
$ | 2,079,000 | 2.25%, 02/02/2033(2) | 2,053,927 | |||||||
915,000 | 4.50%, 10/26/2046(6) | 1,076,498 | ||||||||
|
| |||||||||
3,130,425 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 46 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 6.7% - (continued) | ||||||||||
Senegal - 0.1% | ||||||||||
Senegal Government International Bond |
| |||||||||
EUR | 440,000 | 4.75%, 03/13/2028(6) | $ | 566,041 | ||||||
$ | 590,000 | 6.25%, 05/23/2033(6) | 646,935 | |||||||
|
| |||||||||
1,212,976 | ||||||||||
|
| |||||||||
South Korea - 0.1% | ||||||||||
300,000 | Export-Import Bank of Korea 1.23%, 03/17/2021, 3 mo. USD LIBOR + 1.000%(4)(6) | 300,300 | ||||||||
200,000 | Korea Development Bank 0.77%, 03/12/2021, 3 mo. USD LIBOR + 0.550%(4) | 200,085 | ||||||||
|
| |||||||||
500,385 | ||||||||||
|
| |||||||||
Supranational - 0.1% | ||||||||||
MXN | 13,455,000 | Inter-American Development Bank 7.25%, 06/10/2021 | 668,843 | |||||||
|
| |||||||||
Tunisia - 0.1% | ||||||||||
EUR | 390,000 | Banque Centrale de Tunisie International Bond 6.75%, 10/31/2023(2) | 445,998 | |||||||
|
| |||||||||
United Arab Emirates - 0.1% | ||||||||||
Abu Dhabi Government International Bond | ||||||||||
$ | 535,000 | 2.50%, 04/16/2025(2) | 569,775 | |||||||
620,000 | 3.88%, 04/16/2050(2) | 737,304 | ||||||||
|
| |||||||||
1,307,079 | ||||||||||
|
| |||||||||
Total Foreign Government Obligations | $ | 60,204,865 | ||||||||
|
| |||||||||
MUNICIPAL BONDS - 1.9% | ||||||||||
Development - 0.3% | ||||||||||
2,080,000 | New York Transportation Dev Corp. Rev 4.25%, 09/01/2035 | 2,292,742 | ||||||||
|
| |||||||||
Education - 0.1% | ||||||||||
Chicago, IL, Board of Education, GO |
| |||||||||
270,000 | 6.04%, 12/01/2029 | 323,492 | ||||||||
220,000 | 6.14%, 12/01/2039 | 269,749 | ||||||||
380,000 | 6.32%, 11/01/2029 | 471,101 | ||||||||
|
| |||||||||
1,064,342 | ||||||||||
|
| |||||||||
General - 0.8% | ||||||||||
County of Riverside, CA |
| |||||||||
1,625,000 | 2.86%, 02/15/2026 | 1,752,465 | ||||||||
1,630,000 | 3.07%, 02/15/2028 | 1,777,270 | ||||||||
1,430,000 | Florida State Board of Administration Finance Co. 1.26%, 07/01/2025 | 1,470,698 | ||||||||
1,530,000 | Philadelphia, PA, Auth for Industrial Dev, (NATL Insured) 6.55%, 10/15/2028 | 1,961,399 | ||||||||
|
| |||||||||
6,961,832 | ||||||||||
|
| |||||||||
General Obligation - 0.2% | ||||||||||
California State, GO Taxable |
| |||||||||
335,000 | 7.30%, 10/01/2039 | 545,923 | ||||||||
10,000 | 7.55%, 04/01/2039 | 17,340 | ||||||||
60,000 | 7.63%, 03/01/2040 | 103,102 | ||||||||
55,000 | State of Connecticut, GO 3.00%, 07/01/2021 | 55,646 | ||||||||
State of Illinois, GO |
| |||||||||
719,727 | 4.95%, 06/01/2023(7) | 742,089 | ||||||||
120,000 | 5.00%, 01/01/2023 | 125,147 | ||||||||
180,000 | 5.56%, 02/01/2021 | 180,000 | ||||||||
250,000 | 6.88%, 07/01/2025 | 288,952 | ||||||||
|
| |||||||||
2,058,199 | ||||||||||
|
| |||||||||
Transportation - 0.4% | ||||||||||
250,000 | Chicago, IL, Transit Auth 3.91%, 12/01/2040 | 282,968 | ||||||||
Metropolitan Transportation Auth, NY, Rev |
| |||||||||
700,000 | 5.00%, 11/15/2050 | 861,021 | ||||||||
1,940,000 | 5.18%, 11/15/2049 | 2,579,288 | ||||||||
|
| |||||||||
3,723,277 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
MUNICIPAL BONDS - 1.9% - (continued) | ||||||||||
Utility - Electric - 0.1% | ||||||||||
$ | 512,000 | Municipal Electric Auth, GA 6.64%, 04/01/2057 | $ | 764,949 | ||||||
|
| |||||||||
Total Municipal Bonds | $ | 16,865,341 | ||||||||
|
| |||||||||
SENIOR FLOATING RATE INTERESTS - 5.6%(10) | ||||||||||
Advertising - 0.0% | ||||||||||
281,438 | Clear Channel Outdoor Holdings, Inc. 3.71%, 08/21/2026, 1 mo. USD LIBOR + 3.500% | 274,137 | ||||||||
|
| |||||||||
Aerospace/Defense - 0.1% | ||||||||||
TransDigm, Inc. |
| |||||||||
316,912 | 2.37%, 05/30/2025, 1 mo. USD LIBOR + 2.250% | $ | 311,619 | |||||||
147,004 | 2.37%, 12/09/2025, 1 mo. USD LIBOR + 2.250% | 144,355 | ||||||||
|
| |||||||||
455,974 | ||||||||||
|
| |||||||||
Airlines - 0.1% | ||||||||||
97,500 | JetBlue Airways Corp. 6.25%, 06/17/2024, 1 mo. USD LIBOR + 5.250% | 100,648 | ||||||||
115,000 | Mileage Plus Holdings LLC 6.25%, 06/25/2027, 1 mo. USD LIBOR + 5.250% | 122,496 | ||||||||
160,000 | SkyMiles IP Ltd. 4.75%, 10/20/2027, 3 mo. USD LIBOR + 3.750% | 167,360 | ||||||||
148,500 | WestJet Airlines Ltd. 4.00%, 12/11/2026, 3 mo. USD LIBOR + 3.000% | 142,337 | ||||||||
|
| |||||||||
532,841 | ||||||||||
|
| |||||||||
Auto Manufacturers - 0.0% | ||||||||||
97,000 | Navistar International Corp. 3.63%, 11/06/2024, 3 mo. USD LIBOR + 3.500% | 96,782 | ||||||||
|
| |||||||||
Auto Parts & Equipment - 0.2% | ||||||||||
232,219 | Adient U.S. LLC 4.39%, 05/06/2024, 3 mo. USD LIBOR + 4.250% | 232,219 | ||||||||
812,121 | Altra Industrial Motion Corp. 2.12%, 10/01/2025, 3 mo. USD LIBOR + 2.000% | 810,854 | ||||||||
227,866 | Clarios Global L.P. 3.62%, 04/30/2026, 3 mo. USD LIBOR + 3.500% | 227,511 | ||||||||
98,748 | Trico Group LLC 8.50%, 02/02/2024, 1 mo. USD LIBOR + 7.500% | 100,229 | ||||||||
100,000 | Truck Hero, Inc. 0.00%, 01/31/2028(11) | 100,000 | ||||||||
|
| |||||||||
1,470,813 | ||||||||||
|
| |||||||||
Chemicals - 0.2% | ||||||||||
962,686 | Axalta Coating Systems U.S. Holdings, Inc. 2.00%, 06/01/2024, 3 mo. USD LIBOR + 1.750% | 958,671 | ||||||||
166,576 | CMC Materials, Inc. 2.13%, 11/17/2025, 1 mo. USD LIBOR + 2.000% | 166,576 | ||||||||
181,317 | Element Solutions, Inc. 2.12%, 01/31/2026, 1 mo. USD LIBOR + 2.000% | 180,751 | ||||||||
98,500 | Hexion, Inc. 3.74%, 07/01/2026, 3 mo. USD LIBOR + 3.500% | 98,582 | ||||||||
100,000 | INEOS Styrolution U.S. Holding LLC 0.00%, 01/21/2026(11) | 99,500 | ||||||||
97,750 | LTI Holdings, Inc. 3.62%, 09/06/2025, 3 mo. USD LIBOR + 3.500% | 95,225 | ||||||||
215,360 | Nouryon USA LLC 3.13%, 10/01/2025, 1 mo. USD LIBOR + 3.000% | 214,283 | ||||||||
99,000 | Univar, Inc. 2.12%, 07/01/2026, 1 mo. USD LIBOR + 2.000% | 98,489 | ||||||||
|
| |||||||||
1,912,077 | ||||||||||
|
| |||||||||
Commercial Services - 0.8% | ||||||||||
AlixPartners LLP |
| |||||||||
320,000 | 0.00%, 01/28/2028(11) | 319,600 | ||||||||
420,353 | 2.62%, 04/04/2024, 1 mo. USD LIBOR + 2.500% | 419,639 | ||||||||
112,500 | Allied Universal Holdco LLC 4.37%, 07/10/2026, 1 mo. USD LIBOR + 4.250% | 112,447 |
The accompanying notes are an integral part of these financial statements.
| 47 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 5.6%(10) - (continued) | ||||||||||
Commercial Services - 0.8% - (continued) | ||||||||||
Amentum Government Services Holdings LLC |
| |||||||||
$ | 99,500 | 3.62%, 01/29/2027, 1 mo. USD LIBOR + 3.500% | $ | 98,629 | ||||||
100,000 | 5.50%, 01/29/2027, 1 mo. USD LIBOR + 4.750% | 100,250 | ||||||||
198,500 | APX Group, Inc. 5.12%, 12/31/2025, 1 mo. USD LIBOR + 4.999% | 198,649 | ||||||||
146,241 | AVSC Holding Corp. 4.50%, 03/03/2025, 3 mo. USD LIBOR + 3.500% | 122,915 | ||||||||
EUR | 425,000 | Biogroup-LCD 0.00%, 01/28/2028(11) | 515,904 | |||||||
$ | 342,965 | Blackhawk Network Holdings, Inc. 3.12%, 06/15/2025, 3 mo. USD LIBOR + 3.000% | 337,676 | |||||||
391,960 | BrightView Landscapes LLC 2.63%, 08/15/2025, 3 mo. USD LIBOR + 2.500% | 391,101 | ||||||||
283,575 | Deerfield Dakota Holding LLC 4.75%, 04/09/2027, 1 mo. USD LIBOR + 3.750% | 284,639 | ||||||||
898,500 | Dun & Bradstreet Corp. 3.38%, 02/06/2026, 1 mo. USD LIBOR + 3.250% | 899,785 | ||||||||
125,000 | Gainwell Acquisition Corp. 4.75%, 10/01/2027, 1 mo. USD LIBOR + 4.000% | 125,235 | ||||||||
EUR | 115,000 | Loire Finco Luxembourg S.a.r.l. 2.75%, 04/21/2027, 3 mo. EURIBOR + 3.750% | 137,999 | |||||||
$ | 247,500 | Quikrete Holdings, Inc. 2.62%, 02/01/2027, 1 mo. USD LIBOR + 2.500% | 246,852 | |||||||
1,386,709 | Trans Union LLC 1.87%, 11/16/2026, 1 mo. USD LIBOR + 1.750% | 1,383,894 | ||||||||
Verisure Holding AB |
| |||||||||
EUR | 285,000 | 0.00%, 07/20/2026, 3 mo. EURIBOR + 3.500%(11) | 346,759 | |||||||
410,000 | 3.50%, 01/15/2028 | 498,383 | ||||||||
100,000 | Vertical Midco GmbH 4.25%, 07/30/2027, 3 mo. EURIBOR + 4.250% | 122,072 | ||||||||
$ | 206,596 | Weight Watchers International, Inc. 5.50%, 11/29/2024, 3 mo. USD LIBOR + 4.750% | 206,338 | |||||||
|
| |||||||||
6,868,766 | ||||||||||
|
| |||||||||
Construction Materials - 0.1% | ||||||||||
361,654 | Cornerstone Building Brands, Inc. 3.88%, 04/12/2025, 3 mo. USD LIBOR + 3.750% | 361,654 | ||||||||
200,000 | CP Atlas Buyer, Inc. 5.25%, 11/23/2027, 1 mo. USD LIBOR + 4.500% | 200,000 | ||||||||
|
| |||||||||
561,654 | ||||||||||
|
| |||||||||
Distribution/Wholesale - 0.2% | ||||||||||
1,516,431 | American Builders & Contractors Supply Co., Inc. 2.12%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | 1,509,895 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.0% | ||||||||||
284,920 | Crown Finance U.S., Inc. 2.77%, 02/28/2025, 1 mo. USD LIBOR + 2.500% | 223,386 | ||||||||
98,458 | UFC Holdings LLC 3.75%, 04/29/2026, 1 mo. USD LIBOR + 3.250% | 98,261 | ||||||||
88,031 | Victory Capital Holdings, Inc. 2.74%, 07/01/2026, 1 mo. USD LIBOR + 2.500% | 87,847 | ||||||||
|
| |||||||||
409,494 | ||||||||||
|
| |||||||||
Electrical Components & Equipment - 0.0% | ||||||||||
100,000 | Brookfield WEC Holdings Inc. 3.25%, 08/01/2025, 1 mo. USD LIBOR + 2.750% | 99,850 | ||||||||
|
| |||||||||
Energy - Alternate Sources - 0.0% | ||||||||||
293,130 | BCP Renaissance Parent LLC 4.50%, 10/31/2024, 3 mo. USD LIBOR + 3.500% | 286,273 | ||||||||
|
| |||||||||
Engineering & Construction - 0.0% | ||||||||||
247,342 | Brand Energy & Infrastructure Services, Inc. 5.25%, 06/21/2024, 3 mo. USD LIBOR + 4.250% | 244,112 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 5.6%(10) - (continued) | ||||||||||
Entertainment - 0.0% | ||||||||||
$ | 99,750 | Banijay Group U.S. Holding, Inc. 3.88%, 03/01/2025, 1 mo. USD LIBOR + 3.750% | $ | 98,722 | ||||||
|
| |||||||||
Food - 0.1% | ||||||||||
EUR | 120,000 | Froneri Lux FinCo S.a.r.l. 2.63%, 01/29/2027, 3 mo. EURIBOR + 2.625% | 144,604 | |||||||
$ | 159,200 | Froneri U.S., Inc. 2.37%, 01/29/2027, 1 mo. USD LIBOR + 2.250% | 158,294 | |||||||
173,246 | Hostess Brands LLC 3.00%, 08/03/2025, 1 mo. USD LIBOR + 2.250% | 173,072 | ||||||||
U.S. Foods, Inc. |
| |||||||||
224,382 | 1.87%, 06/27/2023, 1 mo. USD LIBOR + 1.750% | 222,087 | ||||||||
123,438 | 2.12%, 09/13/2026, 3 mo. USD LIBOR + 2.000% | 121,432 | ||||||||
|
| |||||||||
819,489 | ||||||||||
|
| |||||||||
Food Service - 0.0% | ||||||||||
275,000 | Aramark Services, Inc. 1.87%, 03/11/2025, 1 mo. USD LIBOR + 1.750% | 272,250 | ||||||||
|
| |||||||||
Gas - 0.0% | ||||||||||
294,750 | Messer Industries USA, Inc. 2.75%, 03/01/2026, 3 mo. USD LIBOR + 2.500% | 293,931 | ||||||||
|
| |||||||||
Hand/Machine Tools - 0.0% | ||||||||||
174,563 | Applecaramel Buyer LLC 4.50%, 10/19/2027, 1 mo. USD LIBOR + 4.000% | 175,119 | ||||||||
|
| |||||||||
Healthcare - Products - 0.1% | ||||||||||
Avantor Funding, Inc. |
| |||||||||
72,802 | 3.25%, 11/21/2024, 1 mo. USD LIBOR + 2.250% | 72,878 | ||||||||
320,000 | 3.50%, 11/08/2027, 1 mo. USD LIBOR + 2.500% | 320,934 | ||||||||
EUR | 99,000 | Grifols S.A. 2.25%, 11/15/2027, 3 mo. EURIBOR + 2.250% | 120,175 | |||||||
$ | 194,700 | Parexel International Corp. 2.81%, 09/27/2024, 3 mo. USD LIBOR + 2.750% | 194,371 | |||||||
99,500 | Surf Holdings LLC 3.73%, 03/05/2027, 1 mo. USD LIBOR + 3.500% | 99,351 | ||||||||
|
| |||||||||
807,709 | ||||||||||
|
| |||||||||
Healthcare - Services - 0.3% | ||||||||||
205,000 | ADMI Corp. 0.00%, 12/23/2027, 1 mo. USD LIBOR(11) | 206,435 | ||||||||
EUR | 185,000 | Bio Lam LCD SELAS 4.75%, 04/25/2026, 3 mo. EURIBOR + 4.750% | 224,516 | |||||||
$ | 98,750 | Emerald TopCo, Inc. 3.71%, 07/24/2026, 1 mo. USD LIBOR + 3.500% | 98,577 | |||||||
294,000 | Envision Healthcare Corp. 3.87%, 10/10/2025, 3 mo. USD LIBOR + 3.750% | 249,165 | ||||||||
MED ParentCo L.P. |
| |||||||||
90,545 | 4.37%, 08/31/2026, 1 mo. USD LIBOR + 4.250% | 88,961 | ||||||||
22,706 | 4.37%, 08/31/2026, 1 mo. USD LIBOR + 4.250% | 22,309 | ||||||||
312,668 | MPH Acquisition Holdings LLC 3.75%, 06/07/2023, 3 mo. USD LIBOR + 2.750% | 312,102 | ||||||||
Pathway Vet Alliance LLC |
| |||||||||
7,497 | 0.00%, 03/31/2027, 1 mo. USD LIBOR(11) | 7,493 | ||||||||
91,790 | 4.12%, 03/31/2027, 1 mo. USD LIBOR + 4.000% | 91,733 | ||||||||
260,000 | PPD, Inc. 0.00%, 01/13/2028(11) | 260,975 | ||||||||
84,590 | Syneos Health, Inc. 1.87%, 08/01/2024, 3 mo. USD LIBOR + 1.750% | 84,607 | ||||||||
264,600 | Universal Health Services, Inc. 1.87%, 10/31/2025, 3 mo. USD LIBOR + 1.750% | 264,600 | ||||||||
646,000 | Zelis Payments Buyer, Inc. 4.87%, 09/30/2026, 1 mo. USD LIBOR + 4.750% | 646,000 | ||||||||
|
| |||||||||
2,557,473 | ||||||||||
|
| |||||||||
Household Products - 0.1% | ||||||||||
397,692 | Diamond (BC) B.V. 3.12%, 09/06/2024, 3 mo. USD LIBOR + 3.000% | 395,902 |
The accompanying notes are an integral part of these financial statements.
| 48 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 5.6%(10) - (continued) | ||||||||||
Household Products - 0.1% - (continued) | ||||||||||
$ | 109,403 | Reynolds Consumer Products LLC 1.87%, 02/04/2027, 1 mo. USD LIBOR + 1.750% | $ | 109,434 | ||||||
155,000 | Weber-Stephen Products LLC 4.00%, 10/30/2027, 1 mo. USD LIBOR + 3.250% | 155,349 | ||||||||
|
| |||||||||
660,685 | ||||||||||
|
| |||||||||
Insurance - 0.2% | ||||||||||
Asurion LLC |
| |||||||||
240,000 | 0.00%, 01/29/2028(11) | 241,800 | ||||||||
394,141 | 3.37%, 12/23/2026, 1 mo. USD LIBOR + 3.250% | 391,843 | ||||||||
285,576 | 6.62%, 08/04/2025, 3 mo. USD LIBOR + 6.500% | 285,576 | ||||||||
366,541 | Hub International Ltd. 2.97%, 04/25/2025, 1 mo. USD LIBOR + 2.750% | 363,122 | ||||||||
99,750 | Ryan Specialty Group LLC 4.00%, 09/01/2027, 1 mo. USD LIBOR + 3.250% | 99,813 | ||||||||
Sedgwick Claims Management Services, Inc. |
| |||||||||
421,400 | 3.37%, 12/31/2025, 3 mo. USD LIBOR + 3.250% | 418,357 | ||||||||
197,000 | 4.12%, 09/03/2026, 3 mo. USD LIBOR + 4.000% | 197,246 | ||||||||
|
| |||||||||
1,997,757 | ||||||||||
|
| |||||||||
IT Services - 0.2% | ||||||||||
1,236,837 | Science Applications International Corp. 2.00%, 10/31/2025, 1 mo. USD LIBOR + 1.875% | 1,235,291 | ||||||||
259,443 | Tempo Acquisition LLC 3.75%, 11/02/2026, 1 mo. USD LIBOR + 3.250% | 258,794 | ||||||||
|
| |||||||||
1,494,085 | ||||||||||
|
| |||||||||
Leisure Time - 0.2% | ||||||||||
Caesars Resort Collection LLC |
| |||||||||
273,333 | 2.87%, 12/23/2024, 3 mo. USD LIBOR + 2.750% | 268,435 | ||||||||
109,725 | 4.62%, 07/21/2025, 1 mo. USD LIBOR + 4.500% | 109,588 | ||||||||
139,300 | Carnival Corp. 8.50%, 06/30/2025, 1 mo. USD LIBOR + 7.500% | 143,218 | ||||||||
425,000 | Delta (LUX) S.a.r.l. 3.50%, 02/01/2024, 3 mo. USD LIBOR + 2.500% | 420,750 | ||||||||
100,000 | IRB Holding Corp. 0.00%, 12/15/2027(11) | 100,250 | ||||||||
219,529 | Penn National Gaming, Inc. 3.00%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | 218,432 | ||||||||
171,630 | UFC Holdings LLC 3.75%, 04/29/2026, 1 mo. USD LIBOR + 3.000% | 171,287 | ||||||||
|
| |||||||||
1,431,960 | ||||||||||
|
| |||||||||
Lodging - 0.1% | ||||||||||
233,826 | Boyd Gaming Corp. 2.34%, 09/15/2023, 3 mo. USD LIBOR + 2.250% | 232,972 | ||||||||
114,033 | Hilton Worldwide Finance LLC 1.88%, 06/22/2026, 3 mo. USD LIBOR + 1.750% | 113,130 | ||||||||
173,286 | Station Casinos LLC 2.50%, 02/08/2027, 1 mo. USD LIBOR + 2.250% | 170,430 | ||||||||
|
| |||||||||
516,532 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.0% | ||||||||||
Pro Mach Group, Inc. |
| |||||||||
30,962 | 3.50%, 03/07/2025, 1 mo. USD LIBOR + 3.500%(12) | 32,200 | ||||||||
93,568 | 4.50%, 03/07/2025, 1 mo. USD LIBOR + 3.500% | 92,399 | ||||||||
|
| |||||||||
124,599 | ||||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 5.6%(10) - (continued) | ||||||||||
Media - 0.4% | ||||||||||
EUR | 130,000 | Adevinta ASA 0.00%, 10/13/2027(11) | $ | 158,398 | ||||||
$ | 125,000 | Alliance Laundry Systems LLC 4.25%, 10/08/2027, 1 mo. USD LIBOR + 3.500% | 125,313 | |||||||
380,287 | Charter Communications Operating LLC 1.88%, 02/01/2027, 1 mo. USD LIBOR + 1.750% | 379,549 | ||||||||
343,888 | CSC Holdings LLC 2.63%, 04/15/2027, 1 mo. USD LIBOR + 2.500% | 341,956 | ||||||||
E.W. Scripps Co. |
| |||||||||
100,000 | 0.00%, 01/07/2028(11) | 99,925 | ||||||||
148,869 | 3.31%, 05/01/2026, 1 mo. USD LIBOR + 2.600% | 147,939 | ||||||||
237,900 | Gray Television, Inc. 2.64%, 01/02/2026, 3 mo. USD LIBOR + 2.500% | 237,305 | ||||||||
475,000 | Houghton Mifflin Harcourt Publishers, Inc. 7.25%, 11/22/2024, 1 mo. USD LIBOR + 6.250% | 463,633 | ||||||||
293,955 | MTN Infrastructure TopCo, Inc. 4.00%, 11/15/2024, 3 mo. USD LIBOR + 3.000% | 293,587 | ||||||||
117,500 | Newco Financing Partnership 3.63%, 01/31/2029, 1 mo. USD LIBOR + 3.500% | 117,471 | ||||||||
142,353 | Nexstar Broadcasting, Inc. 2.89%, 09/18/2026, 1 mo. USD LIBOR + 2.750% | 142,333 | ||||||||
EUR | �� | 99,249 | Nielsen Finance LLC 3.75%, 06/04/2025, 3 mo. EURIBOR + 3.750% | 120,779 | ||||||
$ | 242,550 | Terrier Media Buyer, Inc. 4.37%, 12/17/2026, 1 mo. USD LIBOR + 4.250% | 242,368 | |||||||
117,500 | UPC Financing Partnership 3.63%, 01/31/2029, 1 mo. USD LIBOR + 3.500% | 117,471 | ||||||||
349,125 | Vertical U.S. Newco, Inc. 4.48%, 07/30/2027, 1 mo. USD LIBOR + 4.250% | 351,841 | ||||||||
EUR | 155,000 | Virgin Media Bristol LLC 0.00%, 01/31/2029(11) | 188,635 | |||||||
$ | 242,616 | Web.com Group, Inc. 3.87%, 10/10/2025, 3 mo. USD LIBOR + 3.750% | 241,930 | |||||||
98,680 | William Morris Endeavor Entertainment LLC 2.88%, 05/18/2025, 3 mo. USD LIBOR + 2.750% | 91,680 | ||||||||
150,000 | Ziggo Financing Partnership 2.63%, 04/30/2028, 1 mo. USD LIBOR + 2.500% | 148,999 | ||||||||
|
| |||||||||
4,011,112 | ||||||||||
|
| |||||||||
Metal Fabricate/Hardware - 0.0% | ||||||||||
107,759 | Rexnord LLC 1.87%, 08/21/2024, 1 mo. USD LIBOR + 1.750% | 107,624 | ||||||||
|
| |||||||||
Miscellaneous Manufacturing - 0.2% | ||||||||||
1,425,509 | Ingersoll-Rand Services Co. 1.87%, 03/01/2027, 1 mo. USD LIBOR + 1.750% | 1,417,498 | ||||||||
148,867 | Momentive Performance Materials USA LLC 3.38%, 05/15/2024, 3 mo. USD LIBOR + 3.250% | 147,378 | ||||||||
293,430 | USI, Inc. 3.25%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 291,230 | ||||||||
|
| |||||||||
1,856,106 | ||||||||||
|
| |||||||||
Oil & Gas - 0.0% | ||||||||||
173,668 | NorthRiver Midstream Finance L.P. 3.49%, 10/01/2025, 3 mo. USD LIBOR + 3.250% | 173,016 | ||||||||
|
| |||||||||
Oil & Gas Services - 0.0% | ||||||||||
108,349 | Lower Cadence Holdings LLC 4.12%, 05/22/2026, 3 mo. USD LIBOR + 4.000% | 105,582 | ||||||||
|
| |||||||||
Packaging & Containers - 0.2% | ||||||||||
926,018 | Berry Global, Inc. 2.13%, 07/01/2026, 1 mo. USD LIBOR + 2.000% | 923,795 |
The accompanying notes are an integral part of these financial statements.
| 49 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 5.6%(10) - (continued) | ||||||||||
Packaging & Containers - 0.2% - (continued) | ||||||||||
$ | 238,925 | Flex Acquisition Co., Inc. 4.00%, 12/29/2023, 3 mo. USD LIBOR + 3.000% | $ | 238,813 | ||||||
155,000 | Proampac PG Borrower LLC 5.00%, 11/03/2025, 1 mo. USD LIBOR + 4.000% | 155,387 | ||||||||
120,556 | Reynolds Group Holdings, Inc. 2.87%, 02/05/2023, 3 mo. USD LIBOR + 2.750% | 120,481 | ||||||||
300,000 | TricorBraun Holdings, Inc. 0.00%, 02/03/2028(11) | 299,250 | ||||||||
|
| |||||||||
1,737,726 | ||||||||||
|
| |||||||||
Pharmaceuticals - 0.3% | ||||||||||
Bausch Health Americas, Inc. |
| |||||||||
172,500 | 2.87%, 11/27/2025, 3 mo. USD LIBOR + 2.750% | 172,150 | ||||||||
96,324 | 3.12%, 06/02/2025, 3 mo. USD LIBOR + 3.000% | 96,339 | ||||||||
98,250 | Catalent Pharma Solutions, Inc. 3.25%, 05/18/2026, 3 mo. USD LIBOR + 2.250% | 98,373 | ||||||||
1,655,809 | Elanco Animal Health, Inc. 1.89%, 08/01/2027, 1 mo. USD LIBOR + 1.750% | 1,650,974 | ||||||||
244,304 | Endo International plc 5.00%, 04/29/2024, 3 mo. USD LIBOR + 4.250% | 242,166 | ||||||||
510,028 | IQVIA, Inc. 1.87%, 03/07/2024, 1 mo. USD LIBOR + 1.750% | 509,136 | ||||||||
326,700 | Sunshine Luxembourg S.a.r.l. 5.00%, 10/01/2026, 1 mo. USD LIBOR + 4.000% | 327,425 | ||||||||
|
| |||||||||
3,096,563 | ||||||||||
|
| |||||||||
Real Estate - 0.1% | ||||||||||
196,000 | Belron Finance U.S. LLC 2.46%, 11/13/2025, 3 mo. USD LIBOR + 2.500% | 195,388 | ||||||||
EUR | 225,000 | Boels Topholding B.V. 4.00%, 02/06/2027, 3 mo. EURIBOR + 4.000% | 273,593 | |||||||
$ | 673,744 | KFC Holding Co. 1.88%, 04/03/2025, 3 mo. USD LIBOR + 1.750% | 672,268 | |||||||
230,000 | VICI Properties LLC 1.88%, 12/20/2024, 1 mo. USD LIBOR + 1.750% | 228,211 | ||||||||
|
| |||||||||
1,369,460 | ||||||||||
|
| |||||||||
Retail - 0.4% | ||||||||||
1,501,660 | B.C. Unlimited Liability Co. 1.87%, 11/19/2026, 1 mo. USD LIBOR + 1.750% | 1,490,083 | ||||||||
263,864 | Bass Pro Group LLC 5.75%, 09/25/2024, 3 mo. USD LIBOR + 5.000% | 264,051 | ||||||||
366,766 | Beacon Roofing Supply, Inc. 2.37%, 01/02/2025, 3 mo. USD LIBOR + 2.250% | 365,442 | ||||||||
292,119 | Harbor Freight Tools USA, Inc. 4.00%, 10/19/2027, 1 mo. USD LIBOR + 3.250% | 292,265 | ||||||||
127,060 | IRB Holding Corp. 3.75%, 02/05/2025, 1 mo. USD LIBOR + 2.750% | 126,814 | ||||||||
LBM Acquisition LLC |
| |||||||||
25,983 | 0.00%, 12/09/2027(11)(12) | 26,009 | ||||||||
116,923 | 0.00%, 12/17/2027, 1 mo. USD LIBOR(11) | 117,040 | ||||||||
200,000 | Les Schwab Tire Centers 4.25%, 11/02/2027, 1 mo. USD LIBOR + 3.500% | 200,376 | ||||||||
205,166 | PetSmart, Inc. 4.50%, 03/11/2022, 1 mo. USD LIBOR +3.500% | 204,942 | ||||||||
225,905 | Staples, Inc. 5.21%, 04/16/2026, 3 mo. USD LIBOR + 5.000% | 220,822 | ||||||||
|
| |||||||||
3,307,844 | ||||||||||
|
| |||||||||
Software - 0.7% | ||||||||||
100,000 | Athenahealth, Inc. 0.00%, 02/11/2026(11) | 100,000 | ||||||||
242,487 | CCC Information Services, Inc. 4.00%, 04/29/2024, 1 mo. USD LIBOR + 3.000% | 242,878 | ||||||||
211,100 | Change Healthcare Holdings LLC 3.50%, 03/01/2024, 1 mo. USD LIBOR + 2.250% | 211,100 |
Shares or Principal Amount | Market Value† | |||||||||
SENIOR FLOATING RATE INTERESTS - 5.6%(10) - (continued) | ||||||||||
Software - 0.7% - (continued) | ||||||||||
$ | 188,575 | DCert Buyer, Inc. 4.12%, 10/16/2026, 3 mo. USD LIBOR + 4.000% | $ | 188,811 | ||||||
119,386 | Epicor Software Corp. 4.00%, 07/30/2027, 1 mo. USD LIBOR + 3.250% | 119,654 | ||||||||
1,456,384 | Go Daddy Operating Co. LLC 1.87%, 02/15/2024, 1 mo. USD LIBOR + 1.750% | 1,452,743 | ||||||||
471,488 | Hyland Software, Inc. 4.25%, 07/01/2024, 1 mo. USD LIBOR + 3.500% | 472,964 | ||||||||
34,170 | MA FinanceCo. LLC 2.87%, 06/21/2024, 3 mo. USD LIBOR + 2.750% | 33,829 | ||||||||
99,750 | Navicure, Inc. 4.75%, 10/22/2026, 1 mo. USD LIBOR + 4.000% | 99,999 | ||||||||
251,750 | Playtika Holding Corp. 7.00%, 12/10/2024, 1 mo. USD LIBOR + 6.000% | 253,009 | ||||||||
230,754 | Seattle Spinco, Inc. 2.87%, 06/21/2024, 3 mo. USD LIBOR + 2.750% | 228,446 | ||||||||
1,385,707 | SS&C Technologies, Inc. 1.87%, 04/16/2025, 1 mo. USD LIBOR + 1.750% | 1,377,050 | ||||||||
Ultimate Software Group, Inc. |
| |||||||||
197,996 | 3.87%, 05/04/2026, 3 mo. USD LIBOR + 3.750% | 198,368 | ||||||||
144,638 | 4.00%, 05/04/2026, 1 mo. USD LIBOR + 4.000% | 145,154 | ||||||||
1,510,646 | WEX, Inc. 2.37%, 05/15/2026, 3 mo. USD LIBOR + 2.250% | 1,508,289 | ||||||||
|
| |||||||||
6,632,294 | ||||||||||
|
| |||||||||
Telecommunications - 0.2% | ||||||||||
146,591 | Altice France S.A. 3.81%, 01/31/2026, 3 mo. USD LIBOR + 3.688% | 145,711 | ||||||||
207,900 | CenturyLink, Inc. 2.37%, 03/15/2027, 1 mo. USD LIBOR + 2.250% | 207,017 | ||||||||
99,750 | Consolidated Communications, Inc. 5.75%, 10/02/2027, 1 mo. USD LIBOR + 4.750% | 100,418 | ||||||||
145,000 | Frontier Communications Corp. 5.75%, 10/08/2021, 1 mo. USD LIBOR + 4.750% | 144,864 | ||||||||
100,000 | LCPR Loan Financing LLC 5.13%, 10/15/2026, 1 mo. USD LIBOR + 5.000% | 100,781 | ||||||||
EUR | 270,000 | Lorca Finco plc 4.25%, 09/17/2027, 3 mo. EURIBOR + 4.250% | 329,581 | |||||||
$ | 170,000 | Telenet Financing USD LLC 2.13%, 04/30/2028, 6 mo. USD LIBOR + 2.000% | 168,513 | |||||||
166,388 | Univision Communications, Inc. 3.75%, 03/15/2024, 3 mo. USD LIBOR + 2.750% | 165,824 | ||||||||
Zayo Group Holdings, Inc. |
| |||||||||
146,980 | 3.12%, 03/09/2027, 1 mo. USD LIBOR + 3.000% | 145,982 | ||||||||
EUR | 99,250 | 3.25%, 03/09/2027, 3 mo. EURIBOR + 3.250% | 120,107 | |||||||
|
| |||||||||
1,628,798 | ||||||||||
|
| |||||||||
Textiles - 0.0% | ||||||||||
$ | 245,000 | ASP Unifrax Holdings, Inc. 4.00%, 12/12/2025, 3 mo. USD LIBOR + 3.750% | 234,587 | |||||||
|
| |||||||||
Transportation - 0.1% | ||||||||||
140,838 | Dynasty Acquisition Co., Inc. 3.75%, 04/06/2026, 1 mo. USD LIBOR + 3.500% | 134,993 | ||||||||
388,628 | Savage Enterprises LLC 3.13%, 08/01/2025, 1 mo. USD LIBOR + 3.000% | 389,196 | ||||||||
75,719 | Standard Aero Ltd. 3.75%, 04/06/2026, 1 mo. USD LIBOR + 3.500% | 72,577 | ||||||||
|
| |||||||||
596,766 | ||||||||||
|
| |||||||||
Total Senior Floating Rate Interests | $ | 50,830,457 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 50 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 42.2% | ||||||||||
Mortgage-Backed Agencies - 42.2% | ||||||||||
FHLMC - 3.2% | ||||||||||
$ | 3,116,376 | 0.48%, 01/25/2034(1)(3) | $ | 158,932 | ||||||
1,582,158 | 0.64%, 10/25/2026(1)(3) | 51,395 | ||||||||
3,361,174 | 0.75%, 06/25/2027(1)(3) | 144,256 | ||||||||
122,522 | 0.88%, 03/25/2030, 1 mo. USD LIBOR + 0.750%(4) | 122,684 | ||||||||
1,479,826 | 0.88%, 11/25/2030(1)(3) | 110,917 | ||||||||
2,614,611 | 1.03%, 10/25/2030(1)(3) | 224,019 | ||||||||
4,282,449 | 1.12%, 06/25/2030(1)(3) | 397,956 | ||||||||
3,485,505 | 1.13%, 01/25/2030(1)(3) | 308,222 | ||||||||
38,224 | 1.33%, 10/25/2029, 1 mo. USD LIBOR + 1.200%(4) | 38,224 | ||||||||
3,328,879 | 1.43%, 05/25/2030(1)(3) | 391,431 | ||||||||
1,216,922 | 1.50%, 01/01/2036 | 1,247,598 | ||||||||
2,083,604 | 1.57%, 05/25/2030(1)(3) | 265,862 | ||||||||
521,433 | 1.75%, 10/15/2042 | 533,791 | ||||||||
504,693 | 1.93%, 07/25/2030, 1 mo. USD LIBOR + 1.800%(4) | 503,143 | ||||||||
460,997 | 1.98%, 09/25/2049, 1 mo. USD LIBOR + 1.850%(2)(4) | 460,273 | ||||||||
614,849 | 2.20%, 07/25/2049, 1 mo. USD LIBOR + 2.050%(2)(4) | 614,849 | ||||||||
1,140,174 | 2.48%, 02/25/2049, 1 mo. USD LIBOR + 2.350%(2)(4) | 1,145,308 | ||||||||
181,141 | 2.58%, 03/25/2049, 1 mo. USD LIBOR + 2.450%(2)(4) | 181,992 | ||||||||
2,891,376 | 3.00%, 10/01/2032 | 3,054,631 | ||||||||
7,059 | 3.00%, 05/15/2041 | 7,628 | ||||||||
180,277 | 3.00%, 07/01/2047 | 191,082 | ||||||||
298,310 | 3.00%, 01/01/2048 | 314,305 | ||||||||
1,810,477 | 3.00%, 08/01/2050 | 1,906,621 | ||||||||
1,235,316 | 3.50%, 05/15/2034(1) | 105,032 | ||||||||
1,542,222 | 3.50%, 10/15/2042 | 1,631,328 | ||||||||
1,340,066 | 3.50%, 12/01/2046 | 1,440,250 | ||||||||
915,077 | 3.50%, 01/01/2047 | 992,983 | ||||||||
228,672 | 3.50%, 03/15/2047 | 254,371 | ||||||||
316,484 | 3.50%, 06/01/2047 | 338,373 | ||||||||
291,759 | 3.50%, 12/01/2047 | 314,689 | ||||||||
367,242 | 3.50%, 01/01/2048 | 392,085 | ||||||||
11,405 | 3.50%, 03/01/2048 | 12,175 | ||||||||
611,439 | 3.50%, 12/01/2048 | 649,965 | ||||||||
842,702 | 4.00%, 05/01/2038 | 908,307 | ||||||||
889,301 | 4.00%, 05/25/2040(1) | 107,111 | ||||||||
278,408 | 4.00%, 11/15/2040 | 314,217 | ||||||||
19,008 | 4.00%, 01/01/2042 | 21,031 | ||||||||
251,364 | 4.00%, 03/01/2042 | 281,107 | ||||||||
8,581 | 4.00%, 04/01/2042 | 9,421 | ||||||||
30,596 | 4.00%, 06/01/2042 | 33,707 | ||||||||
540,920 | 4.00%, 11/01/2047 | 583,232 | ||||||||
916,126 | 4.00%, 12/01/2047 | 1,004,696 | ||||||||
902,112 | 4.38%, 11/25/2023, 1 mo. USD LIBOR + 4.250%(4) | 907,738 | ||||||||
791,322 | 5.00%, 09/01/2031 | 874,311 | ||||||||
346,301 | 5.00%, 07/01/2035 | 402,386 | ||||||||
177,241 | 5.00%, 09/01/2035 | 206,006 | ||||||||
19,733 | 5.00%, 10/01/2035 | 22,899 | ||||||||
18,598 | 5.00%, 11/01/2035 | 21,624 | ||||||||
149,397 | 5.00%, 12/01/2035 | 173,437 | ||||||||
8,283 | 5.00%, 06/01/2036 | 9,623 | ||||||||
161,516 | 5.00%, 11/01/2036 | 187,525 | ||||||||
130,442 | 5.00%, 12/01/2036 | 151,392 | ||||||||
150,046 | 5.00%, 02/01/2037 | 174,204 | ||||||||
75,215 | 5.00%, 02/01/2038 | 87,348 | ||||||||
111,463 | 5.00%, 02/01/2039 | 129,397 | ||||||||
269,249 | 5.00%, 02/15/2048(1) | 50,186 |
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 42.2% - (continued) | ||||||||||
Mortgage-Backed Agencies - 42.2% - (continued) | ||||||||||
FHLMC - 3.2% - (continued) | ||||||||||
$ | 132,621 | 5.00%, 09/01/2048 | $ | 147,015 | ||||||
100,359 | 5.00%, 10/01/2048 | 110,907 | ||||||||
99,627 | 5.00%, 12/01/2048 | 110,065 | ||||||||
78,479 | 5.00%, 02/01/2049 | 86,718 | ||||||||
449,784 | 5.28%, 11/25/2028, 1 mo. USD LIBOR + 5.150%(4) | 467,037 | ||||||||
17,879 | 5.50%, 02/01/2029 | 19,931 | ||||||||
19,265 | 5.50%, 03/01/2035 | 22,528 | ||||||||
18,991 | 5.50%, 12/01/2038 | 21,184 | ||||||||
768,136 | 5.50%, 05/15/2040(1) | 171,773 | ||||||||
711,159 | 5.50%, 06/15/2046(1) | 146,901 | ||||||||
654,106 | 5.50%, 10/15/2046(1) | 136,398 | ||||||||
993,389 | 5.50%, 02/01/2049 | 1,108,712 | ||||||||
128,381 | 5.50%, 03/01/2049 | 143,180 | ||||||||
633,872 | 5.68%, 07/25/2028, 1 mo. USD LIBOR + 5.550%(4) | 664,746 | ||||||||
|
| |||||||||
28,524,370 | ||||||||||
|
| |||||||||
FNMA - 5.4% | ||||||||||
302,573 | 0.00%, 06/25/2041(13)(14) | 289,488 | ||||||||
2,627,410 | 0.33%, 01/25/2030(1)(3) | 56,208 | ||||||||
6,817,203 | 1.21%, 06/25/2034(1)(3) | 684,721 | ||||||||
3,347,265 | 1.44%, 05/25/2029(1)(3) | 319,315 | ||||||||
5,779 | 2.00%, 09/25/2041 | 5,957 | ||||||||
10,964 | 2.00%, 12/25/2041 | 11,338 | ||||||||
699,598 | 2.00%, 03/25/2044 | 720,886 | ||||||||
725,786 | 2.00%, 05/25/2044 | 750,136 | ||||||||
10,230 | 2.50%, 12/25/2041 | 10,562 | ||||||||
14,538 | 2.50%, 03/25/2046 | 15,253 | ||||||||
370,000 | 2.88%, 11/01/2027 | 409,254 | ||||||||
255,000 | 3.00%, 07/01/2027 | 283,754 | ||||||||
330,000 | 3.00%, 12/01/2029 | 371,461 | ||||||||
1,893,687 | 3.00%, 04/25/2033(1) | 131,762 | ||||||||
421,726 | 3.00%, 08/01/2033 | 445,741 | ||||||||
742,195 | 3.00%, 08/25/2042 | 781,104 | ||||||||
978,862 | 3.00%, 11/25/2042 | 1,039,817 | ||||||||
15,540 | 3.00%, 02/25/2043 | 16,125 | ||||||||
116,735 | 3.00%, 01/25/2046 | 125,065 | ||||||||
1,820,248 | 3.00%, 02/25/2047 | 1,925,974 | ||||||||
124,439 | 3.00%, 05/25/2047 | 128,868 | ||||||||
1,004,373 | 3.00%, 09/25/2047 | 1,077,665 | ||||||||
854,542 | 3.00%, 08/25/2049 | 920,894 | ||||||||
44,406 | 3.00%, 12/25/2054 | 46,672 | ||||||||
197,266 | 3.10%, 02/01/2027 | 219,319 | ||||||||
497,175 | 3.10%, 12/01/2027 | 556,285 | ||||||||
345,000 | 3.16%, 08/01/2027 | 386,969 | ||||||||
600,000 | 3.18%, 02/01/2027 | 670,662 | ||||||||
322,849 | 3.22%, 07/01/2032 | 362,524 | ||||||||
1,022,707 | 3.50%, 08/25/2033(1) | 117,475 | ||||||||
906,502 | 3.50%, 04/25/2034(1) | 62,716 | ||||||||
2,457,285 | 3.50%, 05/01/2037 | 2,619,495 | ||||||||
1,392,011 | 3.50%, 11/25/2039(1) | 149,054 | ||||||||
7,136 | 3.50%, 05/25/2042 | 7,741 | ||||||||
347,606 | 3.50%, 07/25/2044 | 364,356 | ||||||||
9,073 | 3.50%, 03/25/2045 | 9,282 | ||||||||
469,317 | 3.50%, 12/01/2045 | 505,118 | ||||||||
445,387 | 3.50%, 01/01/2046 | 479,634 | ||||||||
334,499 | 3.50%, 03/01/2046 | 360,498 | ||||||||
1,422,473 | 3.50%, 12/01/2046 | 1,548,850 | ||||||||
611,484 | 3.50%, 05/01/2047 | 658,048 | ||||||||
916,546 | 3.50%, 09/01/2047 | 978,839 | ||||||||
582,846 | 3.50%, 12/01/2047 | 622,434 | ||||||||
835,195 | 3.50%, 01/01/2048 | 888,169 | ||||||||
674,692 | 3.50%, 02/01/2048 | 720,751 | ||||||||
95,093 | 3.50%, 02/25/2048 | 99,833 |
The accompanying notes are an integral part of these financial statements.
| 51 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 42.2% - (continued) | ||||||||||
Mortgage-Backed Agencies - 42.2% - (continued) | ||||||||||
FNMA - 5.4% - (continued) | ||||||||||
$ | 174,692 | 3.50%, 06/01/2048 | $ | 185,722 | ||||||
908,457 | 3.50%, 07/01/2048 | 977,063 | ||||||||
204,584 | 3.50%, 11/01/2048 | 216,923 | ||||||||
494,274 | 3.50%, 03/25/2049 | 533,065 | ||||||||
1,075,867 | 3.50%, 04/25/2049 | 1,174,242 | ||||||||
2,649,142 | 3.50%, 01/01/2050 | 2,822,984 | ||||||||
1,092,925 | 3.50%, 05/25/2053 | 1,155,827 | ||||||||
553,811 | 3.50%, 07/25/2054 | 582,669 | ||||||||
1,199,327 | 3.50%, 05/01/2056 | 1,333,098 | ||||||||
538,509 | 3.50%, 05/25/2056 | 566,239 | ||||||||
293,296 | 3.50%, 10/25/2056 | 313,766 | ||||||||
1,129,444 | 3.50%, 11/25/2057 | 1,216,771 | ||||||||
1,780,337 | 3.50%, 05/01/2058 | 1,977,814 | ||||||||
134,850 | 4.00%, 08/01/2038 | 147,221 | ||||||||
4,385 | 4.00%, 11/01/2040 | 4,827 | ||||||||
52,689 | 4.00%, 02/01/2041 | 57,691 | ||||||||
734,029 | 4.00%, 06/01/2041 | 803,789 | ||||||||
8,932 | 4.00%, 09/01/2041 | 9,868 | ||||||||
14,763 | 4.00%, 10/01/2041 | 16,157 | ||||||||
321,517 | 4.00%, 01/01/2042 | 355,499 | ||||||||
369,366 | 4.00%, 02/01/2042 | 412,981 | ||||||||
110,579 | 4.00%, 05/01/2042 | 120,960 | ||||||||
4,024 | 4.00%, 09/01/2042 | 4,563 | ||||||||
1,826,212 | 4.00%, 01/01/2043 | 2,010,433 | ||||||||
35,614 | 4.00%, 10/01/2043 | 39,155 | ||||||||
1,286,724 | 4.00%, 10/01/2047 | 1,387,464 | ||||||||
687,171 | 4.00%, 11/01/2047 | 740,812 | ||||||||
1,037,715 | 4.00%, 01/01/2049 | 1,112,672 | ||||||||
1,630,676 | 4.00%, 09/01/2049 | 1,750,713 | ||||||||
1,144,684 | 4.50%, 04/01/2048 | 1,252,667 | ||||||||
643,617 | 4.50%, 09/25/2048(1) | 97,628 | ||||||||
483,557 | 4.50%, 04/01/2049 | 525,578 | ||||||||
1,471,839 | 4.50%, 01/01/2051 | 1,654,849 | ||||||||
19,517 | 5.00%, 02/01/2036 | 22,662 | ||||||||
7,350 | 5.00%, 03/01/2036 | 8,532 | ||||||||
558,988 | 5.00%, 06/25/2048(1) | 101,253 | ||||||||
638,094 | 5.50%, 08/25/2038(1) | 129,344 | ||||||||
596,886 | 5.50%, 04/25/2044(1) | 111,981 | ||||||||
458,930 | 6.50%, 03/25/2045(1) | 118,148 | ||||||||
|
| |||||||||
49,009,702 | ||||||||||
|
| |||||||||
GNMA - 10.8% | ||||||||||
241,751 | 1.75%, 09/20/2043 | 246,943 | ||||||||
465,112 | 2.00%, 01/20/2042 | 477,464 | ||||||||
245,833 | 2.00%, 06/16/2042 | 254,361 | ||||||||
7,613,000 | 2.00%, 02/20/2051(15) | 7,899,082 | ||||||||
7,612,000 | 2.00%, 03/18/2051(15) | 7,884,367 | ||||||||
179,533 | 2.50%, 05/20/2040 | 184,904 | ||||||||
2,125,000 | 2.50%, 01/20/2051 | 2,234,711 | ||||||||
6,833,000 | 2.50%, 02/20/2051(15) | 7,185,860 | ||||||||
6,832,000 | 2.50%, 03/18/2051(15) | 7,171,999 | ||||||||
1,074,133 | 3.00%, 02/20/2047 | 1,146,141 | ||||||||
309,737 | 3.00%, 10/20/2047 | 322,725 | ||||||||
8,136,509 | 3.00%, 07/20/2050 | 8,551,057 | ||||||||
8,670,000 | 3.00%, 02/20/2051(15) | 9,087,752 | ||||||||
477,184 | 3.50%, 11/20/2042 | 519,245 | ||||||||
1,227,782 | 3.50%, 06/20/2046 | 1,321,315 | ||||||||
270,375 | 3.50%, 07/20/2046 | 291,084 | ||||||||
272,932 | 3.50%, 10/20/2046 | 294,155 | ||||||||
1,224,302 | 3.50%, 02/20/2047 | 1,314,674 | ||||||||
345,728 | 3.50%, 05/20/2047 | 369,421 | ||||||||
363,815 | 3.50%, 07/20/2047 | 389,054 | ||||||||
272,804 | 3.50%, 11/20/2047 | 291,740 | ||||||||
339,293 | 3.50%, 03/20/2048 | 362,205 | ||||||||
9,387,344 | 3.50%, 03/20/2050 | 9,950,967 | ||||||||
10,775,000 | 3.50%, 02/20/2051(15) | 11,414,766 | ||||||||
661,547 | 3.88%, 08/15/2042 | 732,207 |
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT AGENCIES - 42.2% - (continued) | ||||||||||
Mortgage-Backed Agencies - 42.2% - (continued) | ||||||||||
GNMA - 10.8% - (continued) | ||||||||||
$ | 600,784 | 4.00%, 09/20/2042(1) | $ | 79,172 | ||||||
399,189 | 4.00%, 12/20/2044(1) | 64,005 | ||||||||
1,090,494 | 4.00%, 08/20/2045 | 1,197,984 | ||||||||
187,384 | 4.00%, 09/20/2047 | 202,518 | ||||||||
58,056 | 4.00%, 04/20/2048 | 62,471 | ||||||||
2,867,377 | 4.00%, 07/20/2048 | 3,092,215 | ||||||||
782,669 | 4.00%, 06/20/2049 | 842,497 | ||||||||
1,739,000 | 4.00%, 02/20/2051(15) | 1,859,338 | ||||||||
1,219,477 | 4.50%, 06/16/2043(1) | 229,295 | ||||||||
632,472 | 4.50%, 05/20/2045(1) | 113,782 | ||||||||
939,987 | 4.50%, 08/20/2045(1) | 166,723 | ||||||||
983,425 | 4.50%, 12/16/2046(1) | 154,348 | ||||||||
698,172 | 4.50%, 05/20/2048(1) | 97,218 | ||||||||
460,687 | 4.50%, 06/20/2048(1) | 84,987 | ||||||||
5,820,000 | 4.50%, 02/20/2051(15) | 6,269,231 | ||||||||
514,077 | 5.00%, 12/20/2043(1) | 108,982 | ||||||||
1,443,644 | 5.00%, 07/16/2044(1) | 222,552 | ||||||||
511,370 | 5.00%, 11/16/2046(1) | 91,778 | ||||||||
477,658 | 5.00%, 06/16/2047(1) | 82,156 | ||||||||
580,796 | 5.00%, 11/16/2047(1) | 103,021 | ||||||||
2,065,000 | 5.00%, 02/20/2051(15) | 2,251,052 | ||||||||
426,103 | 5.50%, 02/20/2044(1) | 77,313 | ||||||||
343,256 | 5.50%, 09/15/2045 | 402,026 | ||||||||
470,774 | 5.50%, 09/20/2045(1) | 100,757 | ||||||||
|
| |||||||||
97,853,620 | ||||||||||
|
| |||||||||
UMBS - 22.8% | ||||||||||
6,935,000 | 1.50%, 02/18/2036(15) | 7,107,021 | ||||||||
8,905,000 | 1.50%, 03/16/2036(15) | 9,109,493 | ||||||||
2,035,000 | 1.50%, 02/12/2051(15) | 2,042,154 | ||||||||
6,575,000 | 2.00%, 02/18/2036(15) | 6,866,509 | ||||||||
39,528,000 | 2.00%, 02/12/2051(15) | 40,778,691 | ||||||||
45,300,000 | 2.00%, 03/11/2051(15) | 46,651,922 | ||||||||
5,000,000 | 2.50%, 03/16/2036(15) | 5,248,054 | ||||||||
16,930,000 | 2.50%, 02/12/2051(15) | 17,830,729 | ||||||||
2,981,000 | 3.00%, 02/18/2036(15) | 3,149,264 | ||||||||
14,665,000 | 3.00%, 02/12/2051(15) | 15,420,878 | ||||||||
19,650,000 | 3.00%, 03/11/2051(15) | 20,670,495 | ||||||||
6,195,000 | 3.50%, 02/12/2051(15) | 6,586,059 | ||||||||
1,200,000 | 3.50%, 03/11/2051(15) | 1,276,453 | ||||||||
5,324,000 | 4.00%, 02/12/2051(15) | 5,709,054 | ||||||||
7,524,000 | 4.00%, 03/11/2051(15) | 8,075,515 | ||||||||
3,840,000 | 4.50%, 02/12/2051(15) | 4,171,200 | ||||||||
5,240,000 | 4.50%, 03/11/2051(15) | 5,685,400 | ||||||||
120,000 | 5.00%, 02/12/2051(15) | 132,780 | ||||||||
120,000 | 5.00%, 03/11/2051(15) | 132,921 | ||||||||
|
| |||||||||
206,644,592 | ||||||||||
|
| |||||||||
Total U.S. Government Agencies | $ | 382,032,284 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SECURITIES - 26.6% | ||||||||||
U.S. Treasury Securities - 26.6% | ||||||||||
U.S. Treasury Bonds - 12.5% | ||||||||||
$ | 1,065,853 | 1.00%, 02/15/2048(16) | $ | 1,458,498 | ||||||
7,420,000 | 1.25%, 05/15/2050 | 6,392,794 | ||||||||
6,780,000 | 1.38%, 11/15/2040 | 6,444,178 | ||||||||
2,530,000 | 1.38%, 08/15/2050 | 2,252,095 | ||||||||
1,695,000 | 2.25%, 08/15/2049 | 1,853,178 | ||||||||
3,145,000 | 2.88%, 08/15/2045 | 3,839,111 | ||||||||
2,525,000 | 3.00%, 11/15/2045 | 3,151,516 | ||||||||
700,000 | 3.00%, 02/15/2047 | 876,859 | ||||||||
1,395,000 | 3.00%, 02/15/2048 | 1,753,123 | ||||||||
2,645,000 | 3.13%, 08/15/2044 | 3,352,744 | ||||||||
1,390,000 | 3.13%, 05/15/2048 | 1,786,259 | ||||||||
6,010,000 | 3.38%, 05/15/2044 | 7,906,671 | ||||||||
7,675,000 | 3.63%, 08/15/2043 | 10,441,598 |
The accompanying notes are an integral part of these financial statements.
| 52 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||||
U.S. GOVERNMENT SECURITIES - 26.6% - (continued) | ||||||||||
U.S. Treasury Securities - 26.6% - (continued) | ||||||||||
U.S. Treasury Bonds - 12.5% - (continued) | ||||||||||
$ | 23,825,000 | 3.63%, 02/15/2044(17) | $ | 32,478,314 | ||||||
8,268,000 | 3.75%, 11/15/2043 | 11,460,223 | ||||||||
13,080,000 | 6.50%, 11/15/2026 | 17,502,675 | ||||||||
|
| |||||||||
112,949,836 | ||||||||||
|
| |||||||||
U.S. Treasury Notes - 14.1% | ||||||||||
19,080,000 | 0.13%, 10/31/2022 | 19,082,236 | ||||||||
23,435,000 | 0.13%, 10/15/2023 | 23,410,283 | ||||||||
558,245 | 0.13%, 07/15/2030(16) | 627,291 | ||||||||
7,730,000 | 0.25%, 05/31/2025 | 7,695,879 | ||||||||
3,388,140 | 0.38%, 01/15/2027(16) | 3,810,422 | ||||||||
195,177 | 0.50%, 01/15/2028(16) | 222,926 | ||||||||
3,137,777 | 0.63%, 01/15/2026(16) | 3,527,915 | ||||||||
22,330,000 | 0.63%, 05/15/2030 | 21,489,136 | ||||||||
17,405,000 | 0.63%, 08/15/2030 | 16,697,922 | ||||||||
715,337 | 0.75%, 07/15/2028(16) | 838,276 | ||||||||
3,942,122 | 0.88%, 01/15/2029(16) | 4,655,502 | ||||||||
9,585,000 | 0.88%, 11/15/2030 | 9,391,802 | ||||||||
806,653 | 1.00%, 02/15/2049(16) | 1,111,458 | ||||||||
13,335,000 | 2.75%, 06/30/2025 | $ | 14,727,883 | |||||||
|
| |||||||||
127,288,931 | ||||||||||
|
| |||||||||
Total U.S. Government Securities | $ | 240,238,767 | ||||||||
|
| |||||||||
COMMON STOCKS - 0.0% | ||||||||||
Energy - 0.0% | ||||||||||
934 | Foresight Energy LLC(18)(19) | 7,546 | ||||||||
|
| |||||||||
Total Common Stocks | $ | 7,546 | ||||||||
|
| |||||||||
Total Long-Term Investments | $ | 1,156,206,216 | ||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 2.6% | ||||||||||
Repurchase Agreements - 2.5% | ||||||||||
22,105,013 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/29/2021 at 0.020%, due on 02/01/2021 with a maturity value of $22,105,050; collateralized by U.S. Treasury Bond at 2.875%, maturing 11/15/2046, U.S. Treasury Bond at 3.000%, maturing 05/15/2047, with a market value of $22,547,132 | 22,105,013 | ||||||||
|
| |||||||||
Securities Lending Collateral - 0.1% | ||||||||||
646,836 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(20) | 646,836 | ||||||||
559,825 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(20) | 559,825 | ||||||||
|
| |||||||||
1,206,661 | ||||||||||
|
| |||||||||
Total Short-Term Investments | $ | 23,311,674 | ||||||||
|
|
Total Investments Excluding Purchased Options | 130.4 | % | $ | 1,179,517,890 | ||||||||||
Total Purchased Options | 0.0 | % | $ | 27,304 | ||||||||||
|
|
|
| |||||||||||
Total Investments | 130.4 | % | $ | 1,179,545,194 | ||||||||||
Other Assets & Liabilities | (30.4 | )% | (274,833,191 | ) | ||||||||||
|
|
|
| |||||||||||
Total Net Assets | 100.0 | % | $ | 904,712,003 | ||||||||||
|
|
|
|
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, 2021, the aggregate value of these securities was $158,173,177, representing 17.5% 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, 2021. 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, 2021, the aggregate value of these securities was $17,332,641, representing 1.9% of net assets. |
(7) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(8) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2021. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(9) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
(10) | 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, 2021. |
(11) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(12) | This security, or a portion of this security, has unfunded loan commitments. As of January 31, 2021, the aggregate value of the unfunded commitment was $58,209, which rounds to 0.0% of total net assets. |
(13) | Security disclosed is principal-only strips. |
(14) | Security is a zero-coupon bond. |
(15) | Represents or includes a TBA transaction. |
The accompanying notes are an integral part of these financial statements.
| 53 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
(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 futures contracts. As of January 31, 2021, the market value of securities pledged was $6,482,031. |
(18) | This security is valued in good faith at fair value as determined under policies and procedures established by and under the supervision of the Board of Trustees. At |
January 31, 2021, the aggregate fair value of this security was $7,546, which represented 0.0% of total net assets. This amount excludes securities that are principally traded in certain foreign markets and whose prices are adjusted pursuant to a third party pricing service methodology approved by the Board of Trustees. |
(19) | Investment valued using significant unobservable inputs. |
(20) | Current yield as of period end. |
OTC Swaption Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||||||||||||
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: | ||||||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 08/18/2022 | BOA | 0.57% | Pay | 08/18/2022 | USD | 1,136,000 | 1,136,000 | $ | 27,304 | $ | 16,358 | $ | 10,946 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total purchased OTC swaption contracts |
| $ | 27,304 | $ | 16,358 | $ | 10,946 | |||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Swaption Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||||||||||||
Description | Counter- | Exercise Price/ | Pay/ Receive Floating Rate | Expiration Date | Notional | Number of Contracts | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Written swaption contracts: | ||||||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||||||
CDX.NA.IG.35.V1 | GSC | 52.50% | Receive | 02/17/2021 | USD | (32,085,000 | ) | 32,085,000 | $ | (18,768 | ) | $ | (51,336 | ) | $ | 32,568 | ||||||||||||||||||
CDX.NA.IG.35.V1 | GSC | 55.00% | Receive | 02/17/2021 | USD | (32,085,000 | ) | 32,085,000 | (36,100 | ) | (44,919 | ) | 8,819 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Calls |
| $ | (54,868 | ) | $ | (96,255 | ) | $ | 41,387 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Written swaption contracts: | ||||||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||||||
CDX.NA.IG.35.V1 | GSC | 52.50% | Receive | 02/17/2021 | USD | (32,085,000 | ) | 32,085,000 | $ | (81,943 | ) | $ | (40,106 | ) | $ | (41,837 | ) | |||||||||||||||||
CDX.NA.IG.35.V1 | GSC | 55.00% | Receive | 02/17/2021 | USD | (32,085,000 | ) | 32,085,000 | $ | (60,417 | ) | (39,304 | ) | $ | (21,113 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Puts |
| $ | (142,360 | ) | $ | (79,410 | ) | $ | (62,950 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total written OTC swaption contracts |
| $ | (197,228 | ) | $ | (175,665 | ) | $ | (21,563 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
Futures Contracts Outstanding at January 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
U.S. Treasury 2-Year Note Future | 60 | 03/31/2021 | $ | 13,258,594 | $ | 4,109 | ||||||||||
U.S. Treasury 5-Year Note Future | 156 | 03/31/2021 | 19,636,500 | (3,997 | ) | |||||||||||
|
| |||||||||||||||
Total |
| $ | 112 | |||||||||||||
|
| |||||||||||||||
Short position contracts: | ||||||||||||||||
Euro BUXL 30-Year Bond Future | 3 | 03/08/2021 | $ | 806,572 | $ | 9,036 | ||||||||||
Euro-BUND Future | 66 | 03/08/2021 | 14,212,508 | 22,571 | ||||||||||||
U.S. Treasury 10-Year Note Future | 129 | 03/22/2021 | 17,677,031 | (25,017 | ) | |||||||||||
U.S. Treasury 10-Year Ultra Future | 187 | 03/22/2021 | 28,765,860 | 563,580 | ||||||||||||
U.S. Treasury Long Bond Future | 254 | 03/22/2021 | 42,854,563 | 1,060,746 | ||||||||||||
U.S. Treasury Ultra Bond Future | 31 | 03/22/2021 | 6,346,281 | 186,599 | ||||||||||||
|
| |||||||||||||||
Total |
| $ | 1,817,515 | |||||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | 1,817,627 | |||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 54 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
TBA Sale Commitments Outstanding at January 31, 2021 | ||||||||||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||||
UMBS, 1.50% | $ | 2,800,000 | 03/11/2051 | $ | (2,806,563 | ) | $ | 13,125 | ||||||||
UMBS, 3.50% | 6,195,000 | 02/12/2051 | (6,586,059 | ) | (16,836 | ) | ||||||||||
UMBS, 3.50% | 9,505,000 | 03/11/2051 | (10,110,572 | ) | (22,723 | ) | ||||||||||
|
|
|
| |||||||||||||
Total (proceeds receivable $19,476,760) |
| $ | (19,503,194 | ) | $ | (26,434 | ) | |||||||||
|
|
|
|
At January 31, 2021, the aggregate market value of TBA Sale Commitments represents (2.2)% of total net assets.
OTC Credit Default Swap Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount(a) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
Credit default swaps on indices: | ||||||||||||||||||||||||||||||||||||
Sell protection: | ||||||||||||||||||||||||||||||||||||
CMBX.NA.BB.8 | GSC | USD | 1,312,799 | 5.00% | 10/17/2057 | Monthly | $ | — | $ | (232,945 | ) | $ | (461,988 | ) | $ | (229,043 | ) | |||||||||||||||||||
CMBX.NA.BBB-.6 | MLI | USD | 1,035,000 | 3.00% | 05/11/2063 | Monthly | — | (63,099 | ) | (268,076 | ) | (204,977 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 | DEUT | USD | 175,000 | 3.00% | 05/11/2063 | Monthly | — | (23,884 | ) | (45,326 | ) | (21,442 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.6 | MSC | USD | 2,775,000 | 3.00% | 05/11/2063 | Monthly | — | (365,103 | ) | (718,986 | ) | (353,883 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total OTC credit default swap contracts |
| $ | — | $ | (685,031 | ) | $ | (1,494,376 | ) | $ | (809,345 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(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, 2021 | ||||||||||||||||||||||||||||
Reference Entity | Notional Amount(a) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid (Received) | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Credit default swaps on indices: | ||||||||||||||||||||||||||||
Buy protection: | ||||||||||||||||||||||||||||
CDX.NA.HY.35.V1 | USD | 1,245,000 | (5.00 | %) | 12/20/2025 | Quarterly | $ | (103,747 | ) | $ | (108,593 | ) | $ | (4,846 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Credit default swaps on indices: | ||||||||||||||||||||||||||||
Sell protection: | ||||||||||||||||||||||||||||
CDX.EM.34.V1 | USD | 21,555,000 | 1.00 | % | 12/20/2025 | Quarterly | $ | (1,342,858 | ) | $ | (710,575 | ) | $ | 632,283 | ||||||||||||||
CDX.NA.IG.35.V1 | USD | 1,565,000 | 1.00 | % | 12/20/2025 | Quarterly | 37,166 | 34,949 | (2,217 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total |
| $ | (1,305,692 | ) | $ | (675,626 | ) | $ | 630,066 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total centrally cleared credit default swap contracts |
| $ | (1,409,439 | ) | $ | (784,219 | ) | $ | 625,220 | |||||||||||||||||||
|
|
|
|
|
|
(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. |
OTC Interest Rate Swap Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||||||||||||||
Counterparty | Payments made | Payments received | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
BOA | 3.Mo. KRW KORIBOR | 1.20% Fixed | KRW | 2,300,625,000 | 12/16/2030 | Quarterly | $ | 2,529 | $ | — | $ | (22,476 | ) | $ | (25,005 | ) | ||||||||||||||||||||
BOA | 3.Mo. KRW KORIBOR | 1.20% Fixed | KRW | 2,331,000,000 | 12/16/2030 | Quarterly | 5,625 | — | (22,773 | ) | (28,398 | ) | ||||||||||||||||||||||||
BOA | 7 Day CNY Repo Rate | 2.75% Fixed | CNY | 32,915,000 | 12/16/2025 | Quarterly | — | — | (2,486 | ) | (2,486 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total OTC interest rate swap contracts |
| $ | 8,154 | $ | — | $ | (47,735 | ) | $ | (55,889 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 55 |
|
Hartford Total Return Bond ETF |
Schedule of Investments – (continued)
January 31, 2021 (Unaudited)
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||||||||
Payments made | Payments received | Notional | Expiration Date | Periodic | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
3 Mo. USD LIBOR | 0.27% Fixed | USD | 3,475,000 | 10/08/2023 | Semi-Annual | $ | — | $ | (655 | ) | $ | (5,896 | ) | $ | (5,241 | ) | ||||||||||||||
3 Mo. USD LIBOR | 0.57% Fixed | USD | 1,075,000 | 10/08/2027 | Semi-Annual | — | (1,110 | ) | 13,329 | 14,439 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total centrally cleared interest rate swap contracts |
| $ | — | $ | (1,765 | ) | $ | 7,433 | $ | 9,198 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
Foreign Currency Contracts Outstanding at January 31, 2021 | ||||||||||||||||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation | Depreciation | |||||||||||||||||||
59,000 | GBP | 78,682 | USD | GSC | 03/17/2021 | $ | 2,358 | $ | — | |||||||||||||||
155,931 | USD | 204,000 | AUD | SSG | 03/17/2021 | — | (633 | ) | ||||||||||||||||
993,962 | USD | 1,325,000 | AUD | BOA | 03/17/2021 | — | (22,937 | ) | ||||||||||||||||
2,807,753 | USD | 2,307,000 | EUR | CBK | 02/26/2021 | 3,497 | — | |||||||||||||||||
498,168 | USD | 409,000 | EUR | GSC | 02/26/2021 | 1,011 | — | |||||||||||||||||
891,262 | USD | 724,000 | EUR | GSC | 03/17/2021 | 10,733 | — | |||||||||||||||||
9,380,082 | USD | 7,711,000 | EUR | BNP | 03/17/2021 | 2,847 | (889 | ) | ||||||||||||||||
528,327 | USD | 434,000 | EUR | BCLY | 03/17/2021 | 496 | — | |||||||||||||||||
426,221 | USD | 352,000 | EUR | CBA | 03/17/2021 | — | (1,882 | ) | ||||||||||||||||
2,536,330 | USD | 2,090,000 | EUR | SSG | 03/17/2021 | — | (5,529 | ) | ||||||||||||||||
2,200,013 | USD | 1,818,000 | EUR | WEST | 03/17/2021 | — | (11,040 | ) | ||||||||||||||||
79,012 | USD | 59,000 | GBP | MSC | 03/17/2021 | — | (2,028 | ) | ||||||||||||||||
2,135,819 | USD | 6,943,000 | ILS | BCLY | 03/17/2021 | 14,071 | — | |||||||||||||||||
16,310,347 | USD | 1,691,750,000 | JPY | JPM | 03/15/2021 | 144,425 | — | |||||||||||||||||
662,939 | USD | 13,455,000 | MXN | GSC | 06/10/2021 | 7,041 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total foreign currency contracts | $ | 186,479 | $ | (44,938 | ) | |||||||||||||||||||
|
|
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of January 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Asset & Commercial Mortgage-Backed Securities | $ | 115,322,575 | $ | — | $ | 115,322,575 | $ | — | ||||||||
Corporate Bonds | 290,704,381 | — | 290,704,381 | — | ||||||||||||
Foreign Government Obligations | 60,204,865 | — | 60,204,865 | — | ||||||||||||
Municipal Bonds | 16,865,341 | — | 16,865,341 | — | ||||||||||||
Senior Floating Rate Interests | 50,830,457 | — | 50,830,457 | — | ||||||||||||
U.S. Government Agencies | 382,032,284 | — | 382,032,284 | — | ||||||||||||
U.S. Government Securities | 240,238,767 | — | 240,238,767 | — | ||||||||||||
Common Stocks |
| |||||||||||||||
Energy | 7,546 | — | — | 7,546 | ||||||||||||
Short-Term Investments | 23,311,674 | 1,206,661 | 22,105,013 | — | ||||||||||||
Purchased Options | 27,304 | — | 27,304 | — | ||||||||||||
Foreign Currency Contracts(2) | 186,479 | — | 186,479 | — | ||||||||||||
Futures Contracts(2) | 1,846,641 | 1,846,641 | — | — | ||||||||||||
Swaps - Credit Default(2) | 632,283 | — | 632,283 | — | ||||||||||||
Swaps - Interest Rate(2) | 14,439 | — | 14,439 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,182,225,036 | $ | 3,053,302 | $ | 1,179,164,188 | $ | 7,546 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Foreign Currency Contracts(2) | $ | (44,938 | ) | $ | — | $ | (44,938 | ) | $ | — | ||||||
Futures Contracts(2) | (29,014 | ) | (29,014 | ) | — | — | ||||||||||
Swaps - Credit Default(2) | (816,408 | ) | — | (816,408 | ) | — | ||||||||||
Swaps - Interest Rate(2) | (61,130 | ) | — | (61,130 | ) | — | ||||||||||
TBA Sale Commitments | (19,503,194 | ) | — | (19,503,194 | ) | — | ||||||||||
Written Options | (197,228 | ) | — | (197,228 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (20,651,912 | ) | $ | (29,014 | ) | $ | (20,622,898 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended January 31, 2021, investments valued at $8,444 were transferred into Level 3 due to the unavailability of active market pricing and there were no transfers out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for period ended January 31, 2021 is not presented. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for period ended January 31, 2021 is not presented.
The accompanying notes are an integral part of these financial statements.
| 56 |
|
Hartford Active Fixed Income ETFs |
GLOSSARY: (abbreviations used in preceding Schedule of Investments)
Counterparty Abbreviations: | ||
BCLY | Barclays | |
BNP | BNP Paribas Securities Services | |
BOA | Bank of America Securities LLC | |
CBA | Commonwealth Bank of Australia | |
CBK | Citibank NA | |
DEUT | Deutsche Bank Securities, Inc. | |
GSC | Goldman Sachs & Co. | |
JPM | JP Morgan Chase & Co. | |
MLI | Merrill Lynch International | |
MSC | Morgan Stanley | |
SSG | State Street Global Markets LLC | |
UBS | UBS AG | |
WEST | Westpac International | |
Currency Abbreviations: | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CNY | Chinese Yuan | |
EUR | Euro | |
GBP | British Pound | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
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 | |
CMT | Constant Maturity Treasury Index | |
ICE | Intercontinental Exchange, Inc. | |
Other Abbreviations: | ||
AGC | Assured Guarantee Corp. | |
AGM | Assured Guaranty Municipal Corp. | |
AMBAC | American Municipal Bond Assurance Corp. | |
BAM | Build America Mutual Assurance Corp. | |
CLO | Collateralized Loan Obligation | |
CMO | Collateralized Mortgage Obligation | |
CR | Custody Receipts | |
EM | Emerging Markets | |
EURIBOR | Euro Interbank Offered Rate | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
OTC | Over-the-Counter | |
PAC | Planned Amortization Class | |
PT | Perseroan Terbatas | |
Q-SBLF | Qualified School Bond Loan Fund | |
SCP | State Credit Enhancement Program | |
SOFR | Secured Overnight Financing Rate | |
TBA | To Be Announced | |
UMBS | Uniform Mortgage-Backed Securities | |
Municipal Abbreviations: | ||
Auth | Authority | |
Dev | Development | |
Dist | District | |
Facs | Facilities | |
GO | General Obligation | |
PA | Port Authority | |
Redev | Redevelopment | |
Rev | Revenue | |
VA | Veterans Administration |
| 57 |
|
Hartford Active Fixed Income ETFs |
Statements of Assets and Liabilities
January 31, 2021 (Unaudited)
Hartford Core Bond ETF | 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) | $ | 183,764,444 | $ | 138,987,294 | $ | 129,785,984 | $ | 115,390,590 | $ | 1,157,440,181 | ||||||||||
Repurchase agreements | 20,065,917 | 4,066,711 | — | 6,493,327 | 22,105,013 | |||||||||||||||
Cash | 8,744,088 | 1,794,041 | — | 3,771,546 | 13,347,256 | |||||||||||||||
Cash collateral held for securities on loan | — | — | — | — | 63,509 | |||||||||||||||
Foreign currency | — | — | — | 507,260 | 723,435 | |||||||||||||||
Unrealized appreciation on foreign currency contracts | — | — | — | 6,249 | 186,479 | |||||||||||||||
Receivables: |
| |||||||||||||||||||
Investment securities sold | 20,274,895 | — | 50,300 | 136,834 | 239,545,303 | |||||||||||||||
Fund shares sold | — | 2,102,379 | — | — | — | |||||||||||||||
Dividends and interest | 714,618 | 1,130,848 | 748,512 | 567,437 | 5,306,194 | |||||||||||||||
Securities lending income | — | — | — | — | 1,279 | |||||||||||||||
Variation margin on futures contracts | 44,107 | — | 610,082 | 42,536 | 427,716 | |||||||||||||||
Variation margin on centrally cleared swap contracts | 15,340 | — | — | — | 96,178 | |||||||||||||||
Tax reclaims | — | — | — | 2,028 | — | |||||||||||||||
OTC swap contracts premiums paid | — | — | — | — | 8,154 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total assets | 233,623,409 | 148,081,273 | 131,194,878 | 126,917,807 | 1,439,250,697 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities: |
| |||||||||||||||||||
Unrealized depreciation on foreign currency contracts | — | — | — | 228 | 44,938 | |||||||||||||||
Obligation to return securities lending collateral | — | — | — | — | 1,270,170 | |||||||||||||||
Unrealized depreciation on OTC swap contracts | — | — | — | — | 865,234 | |||||||||||||||
TBA sale commitments, at market value | — | — | — | — | 19,503,194 | |||||||||||||||
Unfunded loan commitments | — | — | — | — | 30,962 | |||||||||||||||
Payables: |
| |||||||||||||||||||
Investment securities purchased | 75,232,005 | 2,779,791 | 6,622,134 | 9,216,354 | 510,360,285 | |||||||||||||||
Investment management fees | 32,633 | 34,369 | 39,542 | 26,831 | 213,528 | |||||||||||||||
Distributions payable | 112,898 | 201,872 | 99,203 | 182,768 | 1,368,124 | |||||||||||||||
Written options | — | — | — | — | 197,228 | |||||||||||||||
OTC swap contracts premiums received | — | — | — | — | 685,031 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liabilities | 75,377,536 | 3,016,032 | 6,760,879 | 9,426,181 | 534,538,694 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets | $ | 158,245,873 | $ | 145,065,241 | $ | 124,433,999 | $ | 117,491,626 | $ | 904,712,003 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Summary of Net Assets: |
| |||||||||||||||||||
Paid-in-capital | $ | 157,753,639 | $ | 138,222,256 | $ | 120,351,131 | $ | 115,305,179 | $ | 867,337,706 | ||||||||||
Distributable earnings | 492,234 | 6,842,985 | 4,082,868 | 2,186,447 | 37,374,297 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net assets | $ | 158,245,873 | $ | 145,065,241 | $ | 124,433,999 | $ | 117,491,626 | $ | 904,712,003 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value per share | $ | 41.64 | $ | 42.05 | $ | 21.83 | $ | 41.23 | $ | 41.41 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares issued and outstanding | 3,800,000 | 3,450,000 | 5,700,000 | 2,850,000 | 21,850,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Cost of investments | $ | 203,670,676 | $ | 136,135,837 | $ | 126,048,995 | $ | 119,240,434 | $ | 1,143,606,014 | ||||||||||
Cost of foreign currency | $ | — | $ | — | $ | — | $ | 507,260 | $ | 723,464 | ||||||||||
Proceeds of TBA sale commitments | $ | — | $ | — | $ | — | $ | — | $ | 19,476,760 | ||||||||||
Proceeds of written option contracts | $ | — | $ | — | $ | — | $ | — | $ | 175,665 | ||||||||||
(1) Includes Investment in securities on loan, at market value | $ | — | $ | — | $ | — | $ | — | $ | 1,233,857 |
The accompanying notes are an integral part of these financial statements.
| 58 |
|
Hartford Active Fixed Income ETFs |
For the Six-Month Period Ended January 31, 2021 (Unaudited)
Hartford Core Bond ETF | Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | ||||||||||||||||
Investment Income: |
| |||||||||||||||||||
Interest | $ | 879,683 | $ | 1,477,168 | $ | 840,418 | $ | 1,317,917 | $ | 9,183,269 | ||||||||||
Securities lending | — | — | — | 102 | 7,603 | |||||||||||||||
Less: Foreign tax withheld | — | — | — | — | (30 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment income, net | 879,683 | 1,477,168 | 840,418 | 1,318,019 | 9,190,842 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses: |
| |||||||||||||||||||
Investment management fees | 189,703 | 176,282 | 207,177 | 139,963 | 1,127,327 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses, net | 189,703 | 176,282 | 207,177 | 139,963 | 1,127,327 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 689,980 | 1,300,886 | 633,241 | 1,178,056 | 8,063,515 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | ||||||||||||||||||||
Investments | 586,677 | (118,793 | ) | 319,902 | 270,521 | 4,583,714 | ||||||||||||||
Purchased options contracts | — | — | — | — | (5,037 | ) | ||||||||||||||
Futures contracts | 64,003 | — | 132,914 | (14,383 | ) | (92,636 | ) | |||||||||||||
Written options contracts | — | — | — | — | 1,120,254 | |||||||||||||||
Swap contracts | (16,366 | ) | — | — | — | (500,471 | ) | |||||||||||||
Foreign currency contracts | — | — | — | (119,851 | ) | (544,559 | ) | |||||||||||||
Other foreign currency transactions | — | — | — | 715 | (84,384 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 634,314 | (118,793 | ) | 452,816 | 137,002 | 4,476,881 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | ||||||||||||||||||||
Investments | (2,790,012 | ) | 2,502,458 | 205,065 | 626,006 | (11,897,430 | ) | |||||||||||||
Purchased options contracts | — | — | — | — | (26,318 | ) | ||||||||||||||
Futures contracts | 367,621 | — | 241,950 | 55,723 | 3,308,562 | |||||||||||||||
Written options contracts | — | — | — | — | (99,183 | ) | ||||||||||||||
Swap contracts | 25,050 | — | — | — | 1,457,211 | |||||||||||||||
Foreign currency contracts | — | — | — | 43,426 | 272,219 | |||||||||||||||
Translation of other assets and liabilities in foreign currencies | — | — | — | 4,659 | 46,823 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (2,397,341 | ) | 2,502,458 | 447,015 | 729,814 | (6,938,116 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (1,763,027 | ) | 2,383,665 | 899,831 | 866,816 | (2,461,235 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (1,073,047 | ) | $ | 3,684,551 | $ | 1,533,072 | $ | 2,044,872 | $ | 5,602,280 | |||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 59 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets
Hartford Core Bond ETF | Hartford Municipal Opportunities ETF | |||||||||||||||
For the Six-Month Period Ended January 31, 2021 (Unaudited) | For the Period Ended July 31, 2020(1) | For the Six-Month Period Ended January 31, 2021 (Unaudited) | For the Year Ended July 31, 2020 | |||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 689,980 | $ | 263,169 | $ | 1,300,886 | $ | 3,507,749 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 634,314 | 524,275 | (118,793 | ) | 3,418,866 | |||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (2,397,341 | ) | 2,746,179 | 2,502,458 | (2,218,233 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,073,047 | ) | 3,533,623 | 3,684,551 | 4,708,382 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders | (1,701,126 | ) | (267,216 | ) | (4,460,939 | ) | (4,085,404 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: |
| |||||||||||||||
Sold | 33,403,369 | 134,854,721 | 39,541,043 | 68,918,072 | ||||||||||||
Redeemed | (10,596,954 | ) | (40 | ) | — | (103,092,703 | ) | |||||||||
Other Capital | 26,400 | 66,143 | 9,360 | 70,014 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 22,832,815 | 134,920,824 | 39,550,403 | (34,104,617 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 20,058,642 | 138,187,231 | 38,774,015 | (33,481,639 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: |
| |||||||||||||||
Beginning of period | 138,187,231 | — | 106,291,226 | 139,772,865 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 158,245,873 | $ | 138,187,231 | $ | 145,065,241 | $ | 106,291,226 | ||||||||
|
|
|
|
|
|
|
|
(1) | Commenced operations on February 19, 2020. |
The accompanying notes are an integral part of these financial statements.
| 60 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets – (continued)
Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | |||||||||||||||
For the Six-Month Period Ended January 31, 2021 (Unaudited) | For the Year Ended July 31, 2020 | For the Six-Month Period Ended January 31, 2021 (Unaudited) | For the Year Ended July 31, 2020 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 633,241 | $ | 973,712 | $ | 1,178,056 | $ | 3,474,548 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 452,816 | 128,344 | 137,002 | (333,786 | ) | |||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 447,015 | 2,756,881 | 729,814 | 124,288 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,533,072 | 3,858,937 | 2,044,872 | 3,265,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders | (974,971 | ) | (1,312,440 | ) | (1,254,606 | ) | (3,544,221 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: | ||||||||||||||||
Sold | 47,672,573 | 59,891,636 | 41,067,077 | 20,439,303 | ||||||||||||
Redeemed | — | (13,556,025 | ) | (12,289,358 | ) | (42,222,963 | ) | |||||||||
Other Capital | 35,754 | 55,602 | 42,066 | 55,649 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 47,708,327 | 46,391,213 | 28,819,785 | (21,728,011 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 48,266,428 | 48,937,710 | 29,610,051 | (22,007,182 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 76,167,571 | 27,229,861 | 87,881,575 | 109,888,757 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 124,433,999 | $ | 76,167,571 | $ | 117,491,626 | $ | 87,881,575 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 61 |
|
Hartford Active Fixed Income ETFs |
Statements of Changes in Net Assets – (continued)
Hartford Total Return Bond ETF | ||||||||
For the Six-Month Period Ended January 31, 2021 (Unaudited) | For the Year Ended July 31, 2020 | |||||||
Operations: |
| |||||||
Net investment income (loss) | $ | 8,063,515 | $ | 17,569,906 | ||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 4,476,881 | 22,527,381 | ||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (6,938,116 | ) | 22,253,900 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,602,280 | 62,351,187 | ||||||
|
|
|
| |||||
Distributions to Shareholders | (25,334,262 | ) | (36,786,478 | ) | ||||
|
|
|
| |||||
Fund Share Transactions: |
| |||||||
Sold | 226,930,224 | 187,500,806 | ||||||
Redeemed | — | (106,603,304 | ) | |||||
Other Capital | 204,497 | 326,139 | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 227,134,721 | 81,223,641 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 207,402,739 | 106,788,350 | ||||||
|
|
|
| |||||
Net Assets: |
| |||||||
Beginning of period | 697,309,264 | 590,520,914 | ||||||
|
|
|
| |||||
End of period | $ | 904,712,003 | $ | 697,309,264 | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 62 |
|
Hartford Active Fixed Income ETFs |
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset | 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 Core Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 42.52 | $ | 0.22 | $ | (0.55 | ) | $ | (0.33 | ) | $ | 0.01 | $ | (0.23 | ) | $ | (0.33 | ) | $ | (0.56 | ) | $ | 41.64 | (0.77 | )%(5) | $ | 158,246 | 0.29 | %(6) | 0.29 | %(6) | 1.05 | %(6) | 18 | %(7) | ||||||||||||||||||||||||||
For the Period Ended July 31, 2020(8) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.00 | $ | 0.21 | $ | 2.50 | $ | 2.71 | $ | 0.05 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | 42.52 | 6.91 | %(5) | $ | 138,187 | 0.29 | %(6) | 0.29 | %(6) | 1.19 | %(6) | 26 | %(9) | |||||||||||||||||||||||||||||
Hartford Municipal Opportunities ETF |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 42.52 | $ | 0.45 | $ | 0.71 | $ | 1.16 | $ | — | $ | (0.43 | ) | $ | (1.20 | ) | $ | (1.63 | ) | $ | 42.05 | 2.84 | %(5) | $ | 145,065 | 0.29 | %(6) | 0.29 | %(6) | 2.14 | %(6) | 15 | % | ||||||||||||||||||||||||||||
For the Year Ended July 31, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 41.72 | $ | 1.04 | (10) | $ | 0.95 | (10) | $ | 1.99 | $ | 0.02 | $ | (1.06 | ) | $ | (0.15 | ) | $ | (1.21 | ) | $ | 42.52 | 4.90 | % | $ | 106,291 | 0.29 | % | 0.29 | % | 2.49 | %(10) | 67 | % | ||||||||||||||||||||||||||
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(11) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 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 Schroders Tax-Aware Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 21.76 | $ | 0.13 | $ | 0.12 | $ | 0.25 | $ | 0.01 | $ | (0.13 | ) | $ | (0.06 | ) | $ | (0.19 | ) | $ | 21.83 | 1.20 | %(5) | $ | 124,434 | 0.39 | %(6) | 0.39 | %(6) | 1.19 | %(6) | 107 | % | ||||||||||||||||||||||||||||
For the Year Ended July 31, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 20.95 | $ | 0.35 | $ | 0.91 | $ | 1.26 | $ | 0.02 | $ | (0.37 | ) | $ | (0.10 | ) | $ | (0.47 | ) | $ | 21.76 | 6.18 | % | $ | 76,168 | 0.39 | % | 0.39 | % | 1.67 | % | 165 | % | ||||||||||||||||||||||||||||
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(12) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 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 the Six-Month Period Ended January 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.88 | $ | 0.50 | $ | 0.36 | $ | 0.86 | $ | 0.02 | $ | (0.53 | ) | $ | — | $ | (0.53 | ) | $ | 41.23 | 2.17 | %(5) | $ | 117,492 | 0.29 | %(6) | 0.29 | %(6) | 2.44 | %(6) | 17 | %(13) | |||||||||||||||||||||||||||||
For the Year Ended July 31, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.70 | $ | 1.29 | (10) | $ | 0.20 | (10) | $ | 1.49 | $ | 0.02 | $ | (1.33 | ) | $ | — | $ | (1.33 | ) | $ | 40.88 | 3.78 | % | $ | 87,882 | 0.29 | % | 0.29 | % | 3.19 | %(10) | 29 | %(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(16) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 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 the Six-Month Period Ended January 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 42.52 | $ | 0.43 | $ | (0.13 | ) | $ | 0.30 | $ | 0.01 | $ | (0.46 | ) | $ | (0.96 | ) | $ | (1.42 | ) | $ | 41.41 | 0.75 | %(5) | $ | 904,712 | 0.29 | %(6) | 0.29 | %(6) | 2.07 | %(6) | 15 | %(17) | |||||||||||||||||||||||||||
For the Year Ended July 31, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 40.87 | $ | 1.13 | (14) | $ | 2.90 | (14) | $ | 4.03 | $ | 0.02 | $ | (1.35 | ) | $ | (1.05 | ) | $ | (2.40 | ) | $ | 42.52 | 10.34 | % | $ | 697,309 | 0.29 | % | 0.29 | % | 2.76 | %(14) | 79 | %(18) | ||||||||||||||||||||||||||
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(19) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | 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 from in-kind processing of creations or redemptions. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
| 63 |
|
Hartford Active Fixed Income ETFs |
Financial Highlights – (continued)
(7) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 196%. |
(8) | Commenced operations on February 19, 2020. |
(9) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 177%. |
(10) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended July 31, 2020 was an increase to net investment income per share for less than $0.005, decrease to net realized and unrealized gain (loss) on investments for less than $(0.005) and an increase to ratio of net investment income to average net assets of less than 0.005%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect this change in presentation. |
(11) | Commenced operations on December 13, 2017. |
(12) | Commenced operations on April 18, 2018. |
(13) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 24%. |
(14) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended July 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 (0.01)%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect a change in accounting standard. |
(15) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 41%. |
(16) | Commenced operations on May 30, 2018. |
(17) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 244%. |
(18) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 659%. |
(19) | Commenced operations on September 27, 2017. |
The accompanying notes are an integral part of these financial statements.
| 64 |
|
Hartford Active Fixed Income ETFs |
January 31, 2021 (Unaudited)
1. | Organization: |
Hartford Funds Exchange-Traded Trust (the “Trust”) is an open-end registered management investment company comprised of five operational series as of January 31, 2021. 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 Core Bond ETF (the “Core Bond ETF”)
Hartford Municipal Opportunities ETF (the “Municipal Opportunities ETF”)
Hartford Schroders Tax-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”)
Core Bond ETF commenced operations on February 19, 2020. Municipal Opportunities ETF commenced operations on December 13, 2017. Short Duration ETF commenced operations on May 30, 2018. Tax-Aware Bond ETF commenced operations on April 18, 2018. Total Return Bond ETF commenced operations on September 27, 2017. 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 Core Bond ETF and 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 diversified open-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 on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that the Exchange is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The net asset value for the shares of each Fund 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 per share 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 (the “Board”) 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
| 65 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
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.
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.
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 in open-end mutual funds, if any, are valued at the respective NAV of each open-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. Such open-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 has delegated the day-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’s sub-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.
| 66 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
For additional information, refer to the Fair Valuation Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.
c) | Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. |
The trade date for senior floating rate interests purchased in the primary loan market is considered the date on which the loan allocations are determined. The trade date for senior floating rate interests purchased in the secondary loan market is the date on which the transaction is entered into.
Dividend income from domestic securities is accrued on the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal received in-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 or unrealized gain (loss) 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 on ex-date. The policy of each Fund is to pay dividends from net investment income, if any, monthly and realized gains, if any, 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, 2021. |
In connection with a Fund’s ability to purchase investments on a when-issued or forward commitment basis, the Fund may enter into to-be announced (“TBA”) commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a
| 67 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
fixed price, with payment and delivery on an agreed-upon future settlement date. The specific securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate and mortgage terms. Although a Fund may enter into TBA commitments with the intention of acquiring or delivering securities for its portfolio, the Fund can extend the settlement date, roll the transaction, or dispose of a commitment prior to settlement if deemed appropriate to do so. If the TBA commitment is closed through the acquisition of an offsetting TBA commitment, a Fund realizes a gain or loss. In a TBA roll transaction, a Fund generally purchases or sells the initial TBA commitment prior to the agreed upon settlement date and enters into a new TBA commitment for future delivery or receipt of the mortgage-backed securities. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. These transactions are excluded from a Fund’s portfolio turnover rate. See each Fund’s Schedule of Investments, if applicable, for TBA commitments as of January 31, 2021.
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 debt holders 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 to non-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 of non-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, 2021.
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 by non-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, 2021. |
e) | Repurchase Agreements – A repurchase agreement is an agreement between two parties whereby one party sells the other a security at a specified price with a commitment to repurchase the security later at an agreed-upon price, date and interest payment. Each Fund is permitted to enter into fully collateralized repurchase agreements. The Trust has delegated to the sub-adviser(s), as applicable, the responsibility of evaluating the creditworthiness of the banks and securities dealers with which the Funds will engage in repurchase agreements. The sub-adviser(s) will monitor such transactions to ensure that the value of underlying collateral will be at least equal to the total amount of the repurchase obligation as required by the valuation provision of the repurchase agreement, including the accrued interest. Repurchase agreements carry the risk that the market value of the securities declines below the repurchase price. A Fund could also lose money if it is unable to recover the securities and the value of any collateral held or assets segregated by the Fund to cover the transaction is less than the value of the securities. In the event the borrower commences bankruptcy proceedings, a court may characterize the transaction as a loan. If a Fund has not perfected a security interest in the underlying collateral, the Fund may be required to return the underlying collateral to the borrower’s estate and be treated as an unsecured creditor. As an unsecured creditor, the Fund could lose some or all of the principal and interest involved in the transaction. See each Fund’s Schedule of Investments, if applicable, for repurchase agreements as of January 31, 2021. |
| 68 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
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 of period-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations.
a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant (“FCM”) an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value (“variation margin”) is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
During the six-month period ended January 31, 2021, each of Core Bond ETF, Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF had used Futures Contracts.
b) | Foreign Currency Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. |
Foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of the contracts and from unanticipated movements in the value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure thereunder.
During the six-month period ended January 31, 2021, each of Short Duration ETF and Total Return Bond ETF had used Foreign Currency Contracts.
c) | Options Contracts – An option contract is a contract sold by one party to another party that offers the buyer the right, but not the obligation, to buy (call) or sell (put) an investment or other financial asset at an agreed-upon price during a specific period of time or on a specific date. Option contracts are either over-the-counter (“OTC”) options or executed in a registered exchange (“exchange-traded options”). A Fund may write (sell) covered call and put options on futures, swaps (“swaptions”), securities, commodities or currencies. “Covered” means that so long as a Fund is obligated as the writer of an option, it will own either the underlying investments or currency or an option to purchase the same underlying investments or currency having an expiration date of the covered option and an exercise price equal to or less than the exercise price of the covered option, or will segregate or earmark cash or other liquid investments having, for written call options, a value equal to the greater of the exercise price or the market value of the underlying instrument and, for written put options, a value equal to the exercise price. Writing put options may increase a Fund’s exposure to the underlying instrument. Writing call options may decrease a Fund’s exposure to the underlying instrument. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset amounts paid on the underlying futures, 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. |
| 69 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
During the six-month period ended January 31, 2021, Total Return Bond ETF had used 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 the over-the-counter market (“OTC swaps”) or cleared through a central counterparty or derivatives clearing organization (“centrally cleared swaps”). A Fund may enter into credit default, total return, cross-currency, interest rate, inflation and other forms of swap contracts to manage its exposure to credit, currency, interest rate, commodity and inflation risk. Swap contracts are also used to gain exposure to certain markets. In connection with these contracts, investments or cash may be identified as collateral or margin in accordance with the terms of the respective swap contracts and/or master netting arrangement to provide assets of value and recourse in the event of default or bankruptcy/insolvency. |
Swaps are valued in accordance with the Valuation Procedures. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation or depreciation on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value (“variation margin”) on the Statements of Assets and Liabilities. Realized gains or losses on centrally cleared swaps are recorded upon the termination of the swap. OTC swap payments received or paid at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap contract to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). These upfront premiums are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as a realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Entering into these contracts involves, to varying degrees, elements of liquidation, counterparty, credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contracts may default on its obligation to perform or disagree as to the meaning of contractual terms in the contracts, and that there may be unfavorable changes in market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors).
A Fund’s maximum risk of loss from counterparty risk for OTC swaps is the net value of the discounted cash flows to be received from the counterparty over the contract’s remaining life, and current market value, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between a Fund and the counterparty, which allows for the netting of payments made or received (although such amounts are presented on a gross basis within the Statements of Assets and Liabilities, as applicable) as well as the posting of collateral to a Fund to cover the Fund’s exposure to the counterparty. In a centrally cleared swap, while a Fund enters into an agreement with a clearing broker to execute contracts with a counterparty, the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s exposure to counterparty risk. However, the Fund is still exposed to a certain amount of counterparty risk through the clearing broker and clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin requirements and required segregation of customer balances.
Credit Default Swap Contracts – The credit default swap market allows a Fund to manage credit risk through buying and selling credit protection on a specific issuer, asset or basket of assets. Certain credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying investment or index in the event of a credit event, such as payment default or bankruptcy.
Under a credit default swap contract, one party acts as guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying investment at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. A “buyer” of credit protection agrees to pay a counterparty to assume the credit risk of an issuer upon the occurrence of certain events. The “seller” of the protection receives periodic payments and agrees to assume the credit risk of an issuer 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 of year-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
| 70 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced equity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
During the six-month period ended January 31, 2021, each of Core Bond ETF and Total Return Bond ETF had entered into Credit Default Swap Contracts.
Interest Rate Swap Contracts – Certain Funds are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. A Fund may use interest rate swaps to hedge interest rate and duration risk across a portfolio at particular duration points to maintain its ability to generate income at prevailing market rates. In a typical interest rate swap, one party agrees to make regular payments equal to a floating interest rate, based on a specified interest rate or benchmark (e.g. London Interbank Offered Rate (“LIBOR”), multiplied by a notional amount, in return for payments equal to a fixed rate multiplied by the same amount, for a specific period of time. The net interest received or paid on interest rate swap contracts is recorded as a realized gain or loss. Interest rate swaps are marked to market daily and the change, if any, is recorded as an unrealized gain or loss in the Statements of Operations. When the interest rate swap contract is terminated early, a Fund records a realized gain or loss equal to the difference between the current market value and the upfront premium or cost.
If an interest rate swap contract provides for payments in different currencies, the parties might agree to exchange the notional amount as well. Interest rate swaps may also depend on other prices or rates, such as the value of an index. The risks of interest rate swaps include changes in market conditions, which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the contract. A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive.
During the six-month period ended January 31, 2021, Total Return Bond ETF had used Interest Rate Swap Contracts.
Total Return Swap Contracts – Certain Funds may invest in total return swap contracts in pursuit of the Fund’s investment objective or for hedging purposes. An investment in a total return swap allows a Fund to gain or mitigate exposure to underlying reference assets. Total return swap contracts involve commitments where cash flows are exchanged based on the price of underlying reference assets and based on a fixed or variable interest rate. One party receives payments based on the price appreciation or depreciation of the underlying reference asset, in exchange for paying to or receiving from the counterparty seller an agreed-upon interest rate. A variable interest rate may be correlated to a base rate, such as the LIBOR, and is adjusted each reset period, which is defined at the beginning of the contract. Therefore, if interest rates increase over the term of the swap contract, the party paying the rate may be required to pay a higher rate at each swap reset date.
Total return swap contracts on indices involve commitments to pay interest in exchange for a market-linked return. One party pays out the total return of a specific reference asset, which may be an equity, index, or bond, and in return receives a regular stream of payments. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. If the Fund is a payer in a total return swap, it may be subject to unlimited losses. They are also subject to counterparty risk. If the counterparty fails to meet its obligations, the Fund may lose money.
During the six-month period ended January 31, 2021, Total Return Bond ETF had used Total Return Swap Contracts.
e) | Additional Derivative Instrument Information: |
Core Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(1) | $ | 194,670 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 194,670 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 194,670 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 194,670 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized appreciation on swap contracts(2) | $ | — | $ | — | $ | (5,517 | ) | $ | — | $ | — | $ | — | $ | (5,517 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | (5,517 | ) | $ | — | $ | — | $ | — | $ | (5,517 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
| 71 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
Core Bond ETF – (continued)
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency 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 | $ | 64,003 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 64,003 | ||||||||||||||
Net realized gain (loss) on swap contracts | (10,556 | ) | — | (5,810 | ) | — | — | — | (16,366 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 53,447 | $ | — | $ | (5,810 | ) | $ | — | $ | — | $ | — | $ | 47,637 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | 367,621 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 367,621 | ||||||||||||||
Net change in unrealized appreciation (depreciation) of swap contracts | 36,877 | — | (11,827 | ) | — | — | — | 25,050 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 404,498 | $ | — | $ | (11,827 | ) | $ | — | $ | — | $ | — | $ | 392,671 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended January 31, 2021, the average monthly 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 | 7 | |||
Futures Contracts Short at Number of Contracts | (118 | ) | ||
Swap Contracts at Notional Amount | $ | 6,009,500 |
Tax-Aware Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(1) | $ | 140,212 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 140,212 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 140,212 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 140,212 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 581 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 581 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 581 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 581 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency 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 | $ | 132,914 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 132,914 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 132,914 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 132,914 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | 241,950 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 241,950 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 241,950 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 241,950 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 72 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
Tax-Aware Bond ETF – (continued)
For the period ended January 31, 2021, the average monthly amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Futures Contracts Short at Number of Contracts | (154 | ) |
Short Duration ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(1) | $ | 26,684 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 26,684 | ||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 6,249 | — | — | — | — | 6,249 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 26,684 | $ | 6,249 | $ | — | $ | — | $ | — | $ | — | $ | 32,933 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 788 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 788 | ||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 228 | — | — | — | — | 228 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 788 | $ | 228 | $ | — | $ | — | $ | — | $ | — | $ | 1,0166 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency 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 | $ | (14,383 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (14,383 | ) | ||||||||||||
Net realized gain (loss) on foreign currency contracts | — | (119,851 | ) | — | — | — | — | (119,851 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (14,383 | ) | $ | (119,851 | ) | $ | — | $ | — | $ | — | $ | — | $ | (134,234 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | 55,723 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 55,723 | ||||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 43,426 | — | — | — | — | 43,426 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 55,723 | $ | 43,426 | $ | — | $ | — | $ | — | $ | — | $ | 99,149 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended January 31, 2021, the average monthly 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 | 91 | |||
Futures Contracts Short at Number of Contracts | (45 | ) | ||
Foreign Currency Contracts Purchased at Contract Amount | $ | 163,123 | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 2,791,236 |
| 73 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
Total Return Bond ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Investments in securities, at value (purchased options), market value | $ | 27,304 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 27,304 | ||||||||||||||
Unrealized appreciation on futures contracts(1) | 1,846,641 | — | — | — | — | — | 1,846,641 | |||||||||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 186,479 | — | — | — | — | 186,479 | |||||||||||||||||||||
Unrealized appreciation on swap contracts(2) | 14,439 | — | 632,283 | — | — | — | 646,722 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 1,888,384 | $ | 186,479 | $ | 632,283 | $ | — | $ | — | $ | — | $ | 2,707,146 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: |
| |||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | 29,014 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 29,014 | ||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 44,938 | — | — | — | — | 44,938 | |||||||||||||||||||||
Written options, market value | 197,228 | — | — | — | — | — | 197,228 | |||||||||||||||||||||
Unrealized depreciation on swap contracts(2) | 61,130 | — | 816,408 | — | — | — | 877,538 | |||||||||||||||||||||
|
|
|
| �� |
|
|
|
|
|
|
|
|
|
| ||||||||||||||
Total | $ | 287,372 | $ | 44,938 | $ | 816,408 | $ | — | $ | — | $ | — | $ | 1,148,718 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency 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 | $ | (5,037 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (5,037 | ) | ||||||||||||
Net realized gain (loss) on futures contracts | (92,636 | ) | — | — | — | — | — | (92,636 | ) | |||||||||||||||||||
Net realized gain (loss) on written options contracts | 1,120,254 | — | — | — | — | — | 1,120,254 | |||||||||||||||||||||
Net realized gain (loss) on swap contracts | (633,961 | ) | — | 133,490 | — | — | — | (500,471 | ) | |||||||||||||||||||
Net realized gain (loss) on foreign currency contracts | — | (544,559 | ) | — | — | — | — | (544,559 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 388,620 | $ | (544,559 | ) | $ | 133,490 | $ | — | $ | — | $ | — | $ | (22,449 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
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 | $ | (26,318 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (26,318 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | 3,308,562 | — | — | — | — | — | 3,308,562 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of written options contracts | (99,183 | ) | — | — | — | — | — | (99,183 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) of swap contracts | 650,176 | — | 807,035 | — | — | — | 1,457,211 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 272,219 | — | — | — | — | 272,219 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 3,833,237 | $ | 272,219 | $ | 807,035 | $ | — | $ | — | $ | — | $ | 4,912,491 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended January 31, 2021, the average monthly 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 | 4,785,500 | |||
Futures Contracts Long at Number of Contracts | 539 | |||
Futures Contracts Short at Number of Contracts | (520 | ) | ||
Written Options Contracts at Number of Contracts | (95,936,333 | ) | ||
Swap Contracts at Notional Amount | $ | 2,379,244,117 | ||
Foreign Currency Contracts Purchased at Contract Amount | $ | 257,479 | ||
Foreign Currency Contracts Sold at Contract Amount | $ | 18,318,250 |
| 74 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
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, 2021:
Core Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | 194,670 | $ | — | ||||
Swap contracts | — | (5,517 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 194,670 | (5,517 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (194,670 | ) | 5,517 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | — | $ | — | ||||
|
|
|
|
Tax-Aware Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | 140,212 | $ | (581 | ) | |||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 140,212 | (581 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (140,212 | ) | 581 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | — | $ | — | ||||
|
|
|
|
Short Duration ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Foreign currency contracts | $ | 6,249 | $ | (228 | ) | |||
Futures contracts | 26,684 | (788 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 32,933 | (1,016 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (26,684 | ) | 788 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | 6,249 | $ | (228 | ) | |||
|
|
|
|
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||||||||||||
Citibank NA | $ | 2,680 | $ | — | $ | — | $ | — | $ | 2,680 | ||||||||||
Goldman Sachs & Co. | 504 | — | — | — | 504 | |||||||||||||||
UBS AG | 3,065 | — | — | — | 3,065 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,249 | $ | — | $ | — | $ | — | $ | 6,249 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||||||||||||
State Street Global Markets LLC | $ | (228 | ) | $ | — | $ | — | $ | — | $ | (228 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
| 75 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
Total Return Bond ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Foreign currency contracts | $ | 186,479 | $ | (44,938 | ) | |||
Futures contracts | 1,846,641 | (29,014 | ) | |||||
Purchased options | 27,304 | — | ||||||
Swap contracts | 646,722 | (877,538 | ) | |||||
Written options | — | (197,228 | ) | |||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 2,707,146 | (1,148,718 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | (2,493,363 | ) | 41,318 | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ | 213,783 | $ | (1,107,400 | ) | |||
|
|
|
|
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||||||||||||
Bank of America Securities LLC | $ | 27,304 | $ | (27,304 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays | 14,567 | — | — | — | 14,567 | |||||||||||||||
BNP Paribas Securities Services | 2,847 | (889 | ) | — | — | 1,958 | ||||||||||||||
Citibank NA | 3,497 | — | — | — | 3,497 | |||||||||||||||
Goldman Sachs & Co. | 21,143 | (21,143 | ) | — | — | — | ||||||||||||||
JP Morgan Chase & Co. | 144,425 | — | — | — | 144,425 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 213,783 | $ | (49,336 | ) | $ | — | $ | — | $ | 164,447 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||||||||||||
Bank of America Securities LLC | $ | (78,826 | ) | $ | 27,304 | $ | — | $ | — | $ | (51,522 | ) | ||||||||
BNP Paribas Securities Services | (889 | ) | 889 | — | — | — | ||||||||||||||
Commonwealth Bank of Australia | (1,882 | ) | — | — | — | (1,882 | ) | |||||||||||||
Deutsche Bank Securities, Inc. | (21,442 | ) | — | — | — | (21,442 | ) | |||||||||||||
Goldman Sachs & Co. | (426,271 | ) | 21,143 | — | — | (405,128 | ) | |||||||||||||
Merrill Lynch International | (204,977 | ) | — | — | — | (204,977 | ) | |||||||||||||
Morgan Stanley | (355,911 | ) | — | — | — | (355,911 | ) | |||||||||||||
State Street Global Markets LLC | (6,162 | ) | — | — | — | (6,162 | ) | |||||||||||||
Westpac International | (11,040 | ) | — | — | — | (11,040 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,107,400 | ) | $ | 49,336 | $ | — | $ | — | $ | (1,058,064 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | 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.
A widespread health crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund performance. The current ongoing outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, has negatively affected the worldwide economy, the financial health of individual companies and the market in significant and unforeseen ways. The future impact of the ongoing COVID-19 pandemic remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic may have a significant negative impact on the performance of a Fund’s investments, including exacerbating other pre-existing political, social and economic 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
| 76 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
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.
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.
Investing in the securities of non-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. Non-U.S. issuers may also be affected by political, social, economic or diplomatic developments in a foreign country or region or the U.S. (including the imposition of sanctions, tariffs, or other governmental restrictions). 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.
The Funds may invest in certain debt securities, derivatives or other financial instruments that utilize one or more London Interbank Offered Rates (collectively “LIBOR”), as a “benchmark” or “reference rate” for various interest rate calculations. The use of LIBOR is expected to be phased out by the end of 2021. However, it is possible that certain LIBORs may continue beyond 2021 and the most widely used LIBORs may continue until mid-2023. There remains uncertainty regarding the future use of certain LIBORs and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on a Fund or the LIBOR-based instruments in which the Fund invests cannot yet be determined. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions, such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on the Fund or on financial instruments in which a Fund invests, as well as other unforeseen effects, could result in losses to the Fund. Since the usefulness of LIBOR as a benchmark or reference rate could deteriorate during the transition period, these effects could occur prior to and/or subsequent to the end of 2021, with respect to certain LIBORs or mid-2023 for the remaining LIBORs.
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, 2021. Accordingly, no provision for federal income or excise taxes has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
b) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. At July 31, 2020 (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 | $ | 455,757 | $ | 205,917 |
Core Bond ETF, 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, 2020.
| 77 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
c) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at January 31, 2021 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) | ||||||||||||
Core Bond ETF | $ | 203,670,676 | $ | 1,639,213 | $ | (1,290,375 | ) | $ | 348,838 | |||||||
Municipal Opportunities ETF | 136,135,837 | 6,965,310 | (47,142 | ) | 6,918,168 | |||||||||||
Tax-Aware Bond ETF | 126,048,995 | 3,922,505 | (45,885 | ) | 3,876,620 | |||||||||||
Short Duration ETF | 119,240,434 | 2,780,801 | (105,401 | ) | 2,675,400 | |||||||||||
Total Return Bond ETF | 1,143,606,014 | 45,555,483 | (7,935,948 | ) | 37,619,535 |
7. | Expenses: |
a) | Investment Management Agreement – Hartford Funds Management Company, LLC (“HFMC” or the “Investment Manager”) 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 a sub-advisory agreement pursuant to which Wellington Management performs the daily investment of the assets of each of Core Bond ETF, 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 to Tax-Aware Bond ETF. SIMNA performs the daily investment of the assets of Tax-Aware Bond ETF in accordance with the Fund’s investment objective and policies and SIMNA may allocate assets to or from SIMNA Ltd. Each Fund pays a fee to HFMC, a portion of which may be used to compensate Wellington and SIMNA, as applicable. SIMNA pays any sub-sub-advisory fees to SIMNA Ltd. |
Under the Investment Management Agreement, the Investment Manager 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 Rule 12b-1 under the 1940 Act; and (v) the management fee payable to the Investment Manager under the Investment Management Agreement. The payment or assumption by the Investment Manager of any expense of the Trust that the Investment Manager is not required by the Investment Management Agreement to pay or assume shall not obligate the Investment Manager 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, 2021; 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 | |
Core Bond ETF | 0.29% | |
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 Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-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 Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-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, 2021, the Funds did not pay any Rule 12b-1 fees.
c) | Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the six-month period ended January 31, 2021, 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. |
| 78 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
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. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) 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; and 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 Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any investments made with cash collateral; (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 or recall 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, 2021.
Fund | Investment Securities on Loan, at market value, Presented on the Statement of Assets and Liabilities(1) | Collateral Posted by Borrower(2) | Net Amount(3) | |||||||||
Core Bond ETF | $ | — | $ | — | $ | — | ||||||
Municipal Opportunities ETF | — | — | — | |||||||||
Tax-Aware Bond ETF | — | — | — | |||||||||
Short Duration ETF | — | — | — | |||||||||
Total Return Bond ETF | 1,233,857 | (1,233,857 | ) | — |
(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) | Collateral received in excess of the market value of securities on loan is not presented in this table. |
(3) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
The total cash and non-cash collateral received by each Fund in connection with securities lending transactions is presented below:
Fund | Cash Collateral | Non-Cash Collateral | ||||||
Core Bond ETF | $ | — | $ | — | ||||
Municipal Opportunities ETF | — | — | ||||||
Tax-Aware Bond ETF | — | — | ||||||
Short Duration ETF | — | — | ||||||
Total Return Bond ETF | 1,270,170 | — |
9. | Secured Borrowings: |
The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of January 31, 2021.
| 79 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
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 | $ | 235,619 | $ | — | $ | — | $ | — | $ | 235,619 | ||||||||||
Municipal Bonds | 1,034,551 | — | — | — | 1,034,551 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 1,270,170 | $ | — | $ | — | $ | — | $ | 1,270,170 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 1,270,170 | ||||||||||||||||||
|
|
(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. |
11. | Custodian and Transfer Agent: |
State Street Bank and Trust Company (“State Street”) serves as Custodian for the Funds pursuant to a custodian agreement (“Custodian Agreement”) dated December 31, 2014, as amended from time to time. 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 and service agreement (“Transfer Agency and Service 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 and Service Agreement, HFMC, and not the Funds, compensates State Street pursuant to the Funds’ unitary management fee structure.
12. | Affiliate Holdings: |
As of January 31, 2021, affiliates of The Hartford had ownership of shares in certain Funds as follows:
Fund | Percentage of Fund | |||
Municipal Opportunities ETF | 10 | % | ||
Tax-Aware Bond ETF | 9 | % |
As of January 31, 2021, 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 | |||
Core Bond ETF | 83 | % | ||
Short Duration ETF | 44 | % | ||
Total Return Bond ETF | 60 | % |
13. | Investment Transactions: |
For the six-month period ended January 31, 2021, 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 | ||||||||||||||||||
Core Bond ETF | $ | 26,471,251 | $ | 15,421,120 | $ | 13,104,609 | $ | 5,383,568 | $ | 39,575,860 | $ | 20,804,688 | ||||||||||||
Municipal Opportunities ETF | 50,828,023 | 18,196,353 | — | — | 50,828,023 | 18,196,353 | ||||||||||||||||||
Tax-Aware Bond ETF | 58,399,363 | 35,723,678 | 90,863,237 | 68,690,215 | 149,262,600 | 104,413,894 | ||||||||||||||||||
Short Duration ETF | 42,171,628 | 14,518,361 | 3,846,111 | 1,542,630 | 46,017,739 | 16,060,991 | ||||||||||||||||||
Total Return Bond ETF | 173,837,181 | 84,021,117 | 179,743,806 | 28,548,937 | 353,580,987 | 112,570,054 |
| 80 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
14. | 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 and is recorded as Other Capital on the Statements of Changes in Net Assets.
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 In-kind Creation Fee | Value at January 31, 2021 | Standard In-kind Redemption Fee | |||||||||
Core Bond ETF | $ | 400 | $ | 2,082,000 | $ | 400 | ||||||
Municipal Opportunities ETF | $ | 400 | 2,102,500 | $ | 400 | |||||||
Tax-Aware Bond ETF | $ | 500 | 1,091,500 | $ | 500 | |||||||
Short Duration ETF | $ | 400 | 2,061,500 | $ | 400 | |||||||
Total Return Bond ETF | $ | 500 | 2,070,500 | $ | 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 Core Bond ETF and 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 to Authorized Participants who have entered into agreements with the Distributor. The Funds generally will issue or redeem Creation Units in return for a designated basket of securities (and an amount of cash) that the Fund specifies each day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time.
The following information is for the six-month period ended January 31, 2021 and the year ended July 31, 2020:
For the Six-Month Period Ended January 31, 2021 | For the Period Ended July 31, 2020(1) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Core Bond ETF | ||||||||||||||||
Shares Sold | 800,000 | $ | 33,403,369 | 3,250,001 | $ | 134,854,721 | ||||||||||
Shares Redeemed | (250,000 | ) | (10,596,954 | ) | (1 | ) | (40 | ) | ||||||||
Other Capital | — | 26,400 | — | 66,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 550,000 | 22,832,815 | 3,250,000 | 134,920,824 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
For the Six-Month Period Ended January 31, 2021 | For the Year Ended July 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Municipal Opportunities ETF | ||||||||||||||||
Shares Sold | 950,000 | $ | 39,541,043 | 1,650,000 | $ | 68,918,072 | ||||||||||
Shares Redeemed | — | — | (2,500,000 | ) | (103,092,703 | ) | ||||||||||
Other Capital | — | 9,360 | — | 70,014 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 950,000 | 39,550,403 | (850,000 | ) | (34,104,617 | ) | ||||||||||
|
|
|
|
|
|
|
|
| 81 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
For the Six-Month Period Ended January 31, 2021 | For the Year Ended July 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Tax-Aware Bond ETF | ||||||||||||||||
Shares Sold | 2,200,000 | $ | 47,672,573 | 2,850,000 | $ | 59,891,636 | ||||||||||
Shares Redeemed | — | — | (650,000 | ) | (13,556,025 | ) | ||||||||||
Other Capital | — | 35,754 | — | 55,602 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 2,200,000 | 47,708,327 | 2,200,000 | 46,391,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
For the Six-Month Period Ended January 31, 2021 | For the Year Ended July 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short Duration ETF | ||||||||||||||||
Shares Sold | 1,000,000 | $ | 41,067,077 | 500,000 | $ | 20,439,303 | ||||||||||
Shares Redeemed | (300,000 | ) | (12,289,358 | ) | (1,050,000 | ) | (42,222,963 | ) | ||||||||
Other Capital | — | 42,066 | — | 55,649 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 700,000 | 28,819,785 | (550,000 | ) | (21,728,011 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
For the Six-Month Period Ended January 31, 2021 | For the Year Ended July 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Total Return Bond ETF | ||||||||||||||||
Shares Sold | 5,450,000 | $ | 226,930,224 | 4,600,000 | $ | 187,500,806 | ||||||||||
Shares Redeemed | — | — | (2,650,000 | ) | (106,603,304 | ) | ||||||||||
Other Capital | — | 204,497 | — | 326,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 5,450,000 | 227,134,721 | 1,950,000 | 81,223,641 | ||||||||||||
|
|
|
|
|
|
|
|
(1) | Commenced operations on February 19, 2020. |
15. | 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.
16. | Recent Accounting Pronouncement: |
ASU 2018-13 is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management has adopted this guidance and it did not have a material impact on the Funds’ financial statements.
In March 2020, FASB issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848); Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. The guidance is applicable to contracts referencing LIBOR or another reference rate that is expected to be discontinued due to reference rate reform. The ASU is effective as of March 12, 2020 and generally can be applied through December 31, 2022. Management is evaluating the underlying securities referencing LIBOR or another reference rate that is expected to be discontinued over the period of time the ASU is effective.
17. | Change in Independent Registered Public Accounting Firm: |
On November 6, 2019, the Trust, on behalf of each of Municipal Opportunities ETF, Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF, dismissed Ernst & Young LLP (“EY”) as the Funds’ independent registered public accounting firm effective upon the issuance of EY’s report on the Funds’ financial statements as of and for the fiscal year ended July 31, 2019. EY’s report on the Funds’ financial statements for the fiscal periods ended July 31, 2018 and July 31, 2019 contained no adverse opinion or disclaimer of opinion nor was EY’s report qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds’ fiscal periods ended on July 31, 2018 and July 31, 2019 and through November 6, 2019 (the “Covered Period”), (i) there were no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of EY, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Funds’ financial statements for the Covered Period, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.
| 82 |
|
Hartford Active Fixed Income ETFs |
Notes to Financial Statements – (continued)
January 31, 2021 (Unaudited)
On November 6, 2019, the Audit Committee of the Trust’s Board of Trustees participated in and approved the decision to engage PricewaterhouseCoopers LLP (“PwC”) as the independent registered public accounting firm for each of Municipal Opportunities ETF, Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF for the fiscal year ended July 31, 2020. The selection of PwC does not reflect any disagreements with or dissatisfaction by the Trust or the Board of Trustees with the performance of the Funds’ prior independent registered public accounting firm, EY. During the Covered Period, neither the Funds, nor anyone on their behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds’ financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of Item 304 of Regulation S-K). PwC had also been appointed to serve as the independent registered public accounting firm for the Core Bond ETF for the fiscal year ended July 31, 2020.
18. | Subsequent Events: |
Management has evaluated all subsequent transactions and events through the date on which these financial statements were issued and has determined that no additional items require disclosure in these financial statements.
| 83 |
|
Hartford Active Fixed Income ETFs |
HOW TO OBTAIN A COPY OF EACH FUND’S PROXY VOTING POLICIES AND VOTING RECORDS (UNAUDITED)
A description of the policies and procedures that each Fund uses to determine how to vote proxies relating to portfolio securities and information about how each Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, are available (1) without charge, upon request, by calling 888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)
Each Fund files 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 Form N-PORT. Each Fund’s Form N-PORT reports are available (1) without charge, upon request, by calling 888-843-7824, (2) on the Funds’ website, hartfordfunds.com, and (3) on the SEC’s website at http://www.sec.gov.
| 84 |
|
Hartford Active Fixed Income ETFs |
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited)
Hartford Funds Exchange-Traded Trust
Hartford Municipal Opportunities ETF
Hartford Schroders Tax-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 and sub-advisory agreements. At its meeting held on August 4-5, 2020, 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 investment sub-advisory agreement (the “Schroders Sub-Advisory Agreement”) by and between HFMC and Schroder Investment Management North America Inc. (“SIMNA Inc.”) on behalf of Hartford Schroders Tax-Aware Bond ETF; (iii) the continuation of a separate secondary sub-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 Schroders Tax-Aware Bond ETF; and (iv) the continuation of an investment sub-advisory agreement (the “Wellington Sub-Advisory Agreement” and collectively with the Investment Management Agreement, the Schroders Sub-Advisory Agreement and the Sub-Sub-Advisory Agreement, the “Agreements”) by and between HFMC and Wellington Management Company LLP (“Wellington,” and together with SIMNA Inc. and SIMNA Ltd., the “Sub-advisers,” and collectively 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 August 4-5, 2020 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 and its committees at their meetings throughout the year and in between regularly scheduled meetings on particular matters as the need arose, as well as information specifically prepared in connection with the approval of the continuation of the Agreements that was presented at the Board’s meetings held on June 16-17, 2020 and August 4-5, 2020. Information provided to the Board and its committees at their 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 members of the Board also considered the materials and presentations by Fund officers and representatives of HFMC received at the Board’s meetings on June 16-17, 2020 and August 4-5, 2020 concerning the Agreements and at the special meeting of the Board’s Investment Committee on May 12, 2020 concerning Fund performance and other investment-related matters.
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, overall expense ratio and investment performance 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 continuation of 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 continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation of the Agreements. The Board was also furnished with an analysis of its fiduciary obligations in connection with its evaluation of the Agreements. Throughout the evaluation process, the Board was assisted by counsel for the Funds. In connection with their deliberations, the Independent Trustees met separately with independent legal counsel and the Consultant on June 12, 2020 and in executive session on several occasions to consider their responsibilities under relevant laws and regulations and to discuss the materials presented and other matters deemed relevant to their consideration of the approval of the continuation of the Agreements. 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 continuation 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
| 85 |
|
Hartford Active Fixed Income ETFs |
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
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 each Adviser’s 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. In this regard, the Board took into account the Advisers’ communications with the Board in light of the market volatility amidst the coronavirus (“COVID-19”) pandemic.
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 and 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 to Rule 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. The Board also considered HFMC’s investments in business continuity planning designed to benefit the Funds, and the implementation of HFMC’s business continuity plans due to the COVID-19 pandemic. The Board also noted HFMC’s commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes to the market, regulatory and control environments in which the Funds and their service providers operate, including changes associated with the COVID-19 pandemic.
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 the Sub-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 the Sub-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 each Sub-adviser and ongoing oversight of each Sub-adviser’s investment approach and results, process for monitoring best execution of portfolio trades and other trading operations by each Sub-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 that participate in such program. The Board also considered HFMC’s day-to-day oversight of each Fund’s compliance with its investment objective and policies as well as with applicable laws and regulations, noting that regulatory and other developments had over time led to an increase in the scope of HFMC’s oversight in this regard.
In addition, the Board considered HFMC’s and its affiliates’ ongoing commitment to review and rationalize the Hartford funds product line-up. The Board also considered the expenses that HFMC and its affiliates had incurred, as well as the risks HFMC and its affiliates had assumed, in connection with the launch of new funds and changes to existing Hartford funds in recent years. The Board considered that HFMC or its affiliates are responsible for providing the Funds’ officers.
With respect to the Sub-advisers, which are responsible for the daily investment of the assets of their respective Funds, subject to oversight by HFMC, the Board considered, among other things, each Sub-adviser’s investment personnel, investment process, investment research capabilities and resources, performance record, trade execution capabilities and experience. The Board considered the experience of each Fund’s portfolio manager(s), the number of accounts managed by the portfolio manager(s), and each Sub-adviser’s method for compensating the portfolio manager(s). The Board also considered each Sub-adviser’s succession planning practices 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 the Sub-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. The Board noted that while it found the comparative data provided by
| 86 |
|
Hartford Active Fixed Income ETFs |
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
Broadridge generally useful in evaluating a Hartford fund’s investment performance, the Board recognized the limitations of such data, including, in particular, that notable differences may exist between a Hartford fund and its peers. The Board also noted the short operating history of the Funds in evaluating the performance of the Advisers. For details regarding each Fund’s performance, see the Fund-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 continuation of the Agreements. These reports included, among other things, information on each Fund’s gross returns and net returns, the Fund’s investment performance compared to one or more appropriate benchmarks and relevant groups or categories of peer funds, various statistics concerning the Fund’s portfolio, a narrative summary of various factors affecting Fund performance, and commentary on 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 continuation of the Agreements. The Board considered that the Investment Committee, in its evaluation of investment performance at meetings throughout the year, focused particular attention on information indicating less favorable performance of certain Hartford funds for specific time periods and discussed with the Advisers the reasons for such performance. 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 each Sub-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 a pre-tax basis without regard to distribution expenses. The Board also requested and reviewed 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 the Sub-advisers. The Board considered representations from HFMC, SIMNA Inc. and Wellington that the respective Sub-adviser’s fees were negotiated at arm’s length and that the sub-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.’s sub-sub-advisory fees would be paid by SIMNA Inc., not the Hartford Schroders Tax-Aware Bond Fund. Accordingly, the Board concluded that the profitability of each Sub-adviser is a less relevant factor with respect to the Board’s consideration of the Funds’ sub-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 that the Consultant, at the Independent Trustees’ request, performed a full review of HFMC’s process for calculating and reporting Fund profitability consistent with similar periodic reviews previously performed by the Consultant. The Board noted the Consultant’s view that such process is reasonable, 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 each Fund 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 16-17, 2020 and August 4-5, 2020 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 Rule 12b-1 under the 1940 Act; (vi) such extraordinary non-recurring expenses as may arise; and (vii) acquired fund fees and expenses. The Board noted that HFMC would bear the risk that Fund operating costs may increase over time. The Board also considered comparative information with respect to the sub-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 and sub-advisory fees, including the sub-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, actual management fees and total expense ratio relative to an appropriate group of funds selected by Broadridge. The Board considered such information from Broadridge in consultation with the Consultant. For details regarding each Fund’s expenses, see the Fund-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
| 87 |
|
Hartford Active Fixed Income ETFs |
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
Fund’s fees and total operating expenses. In addition, the Board considered the analysis and views 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 traditional mutual funds with investment strategies similar to those of Hartford Municipal Opportunities ETF, Hartford Schroders Tax-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 traditional mutual funds, including differences in the marketplace in which each type of product must compete. The Board also received information regarding fees charged by the Sub-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 a Sub-adviser serves as either primary investment adviser or sub-adviser. The Board considered the explanations provided by the Sub- advisers about any differences between a Sub-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 of non-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 in respect of the management of a Fund would benefit HFMC due to the unitary fee structure of each Fund, but that the unitary fee protects shareholders from a rise in operating costs and/or a decline in Fund assets and is a transparent means of informing the Fund’s shareholders of the fees associated with the Fund. The Board considered that each Fund could share in the benefits from some economies of scale as assets in the Fund grow. The Board noted that each Fund’s management fee does not contain breakpoints. However, the Board considered that HFMC shares anticipated or potential economies of scale with shareholders in a variety of ways, including through initially setting competitive fee rates and pricing each Fund to scale at inception, as well as additional investments in HFMC’s business and the provision of improved or additional infrastructure and services to the Funds and their shareholders. The Board also noted that, for each of Hartford Municipal Opportunities ETF, Hartford Schroders Tax-Aware Bond ETF, and Hartford Short Duration ETF, the Fund’s current low asset levels means that the Fund has achieved limited, if any, economies of scale.
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 as part of its future review of the Agreements.
Other Benefits
The Board considered other benefits to the Advisers and their affiliates from their relationships with the Funds.
Fund-by-Fund Factors
Solely for purposes of the Fund-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 primary benchmark reflects the net performance of the Fund as of March 31, 2020.
Hartford Municipal Opportunities ETF
• | The Board noted that the Fund’s performance was in the 2nd quintile of its performance universe for the 1-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the 1-year period. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 1st quintile of its expense group, while its actual management fee was in the 3rd quintile. |
Hartford Schroders Tax-Aware Bond ETF
• | The Board noted that the Fund’s performance was in the 3rd quintile of its performance universe for the 1-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period. 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. |
| 88 |
|
Hartford Active Fixed Income ETFs |
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
Hartford Short Duration ETF
• | The Board noted that the Fund’s performance was in the 5th quintile of its performance universe for the 1-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and total expenses were in the 3rd quintile of its expense group. |
Hartford Total Return Bond ETF
• | The Board noted that the Fund’s performance was in the 4th quintile of its performance universe for the 1-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and total expenses were in the 1st quintile of its expense group. |
* * * *
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 continuation of the Agreements for an additional year. 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.
| 89 |
|
Hartford Active Fixed Income ETFs |
Supplemental Proxy Information (Unaudited)
A joint special meeting of shareholders of the Funds was held on October 21, 2020 (the “Shareholder Meeting”). The Shareholder Meeting was held for the purpose of electing members of the Funds’ Board of Trustees. Shareholders elected the following ten (10) Trustees at the Shareholder Meeting:
• | Hilary E. Ackermann |
• | Robin C. Beery |
• | Lynn S. Birdsong |
• | Derrick D. Cephas |
• | James E. Davey |
• | Christine R. Detrick |
• | Andrew A. Johnson |
• | Paul L. Rosenberg |
• | Lemma W. Senbet |
• | David Sung |
As of the date of the Shareholder Meeting, Mr. Duane E. Hill served as a Trustee of the Fund and did not seek re-election. Mr. Hill continued to serve as a Trustee until his retirement on December 31, 2020. The results of the shareholders’ election of Trustees were as follows:
Hartford Funds Exchange-Traded Trust
Shares Outstanding (as of Record Date): 27,800,000.000 Total Shares Voted: 24,526,295.799 Percentage of Shares Voted: 88.224% | ||||||||
Trustee | Vote | Total Shares Voted | Percentage of Shares Voted | Percentage of Shares Outstanding | ||||
Hilary E. Ackermann | For: | 22,978,008.986 | 93.688% | 82.655% | ||||
Withheld: | 1,548,286.813 | 6.312% | 5.569% | |||||
Robin C. Beery | For: | 22,978,270.986 | 93.689% | 82.656% | ||||
Withheld: | 1,548,024.813 | 6.311% | 5.568% | |||||
Lynn S. Birdsong | For: | 22,978,270.986 | 93.689% | 82.656% | ||||
Withheld: | 1,548,024.813 | 6.311% | 5.568% | |||||
Derrick D. Cephas | For: | 22,967,895.978 | 93.647% | 82.619% | ||||
Withheld: | 1,558,399.821 | 6.353% | 5.605% | |||||
James E. Davey | For: | 22,967,895.978 | 93.647% | 82.619% | ||||
Withheld: | 1,558,399.821 | 6.353% | 5.605% | |||||
Christine R. Detrick | For: | 22,978,270.986 | 93.689% | 82.656% | ||||
Withheld: | 1,548,024.813 | 6.311% | 5.568% | |||||
Andrew A. Johnson | For: | 22,967,895.978 | 93.647% | 82.619% | ||||
Withheld: | 1,558,399.821 | 6.353% | 5.605% | |||||
Paul L. Rosenberg | For: | 22,967,895.978 | 93.647% | 82.619% | ||||
Withheld: | 1,558,399.821 | 6.353% | 5.605% | |||||
Lemma W. Senbet | For: | 22,978,270.986 | 93.689% | 82.656% | ||||
Withheld: | 1,548,024.813 | 6.311% | 5.568% | |||||
David Sung | For: | 22,967,895.978 | 93.647% | 82.619% | ||||
Withheld: | 1,558,399.821 | 6.353% | 5.605% |
| 90 |
|
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;
of Personal Information.
This notice describes how we collect, disclose, and protect Personal Information.
We collect Personal Information to:
a) service your Transactions with us; and
b) support our business functions.
We may obtain Personal Information from:
a) You;
b) your Transactions with us; and
c) third parties such as a consumer-reporting agency.
Based on the type of product or service You 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 serve You and service our business, we may share certain Personal Information. We will share Personal 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 share Personal Financial Information with our affiliates to:
a) market our products; or
b) market our services;
to You without providing You with an option to prevent these disclosures.
We may also share Personal 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 serve You and service our business.
When allowed by law, we may share certain Personal 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 pages You 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 your Personal Financial Information with anyone for purposes unrelated to our business functions without offering You the opportunity to:
a) “opt-out;” or
b) “opt-in;”
as required by law.
We only disclose Personal Health Information with:
a) your authorization; or
b) as otherwise allowed or required by law.
Our employees have access to Personal 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 protect Personal 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 their job-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 regarding Personal 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 identifies You 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) your Application;
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 us Personal 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, Mail Drop: T 04.180, 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 February 2021), 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 BDM NV; 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 February 2021
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 Core Bond ETF, 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”). The ETFs are distributed by ALPS Distributors, Inc., which is not affiliated with Wellington, Schroders or HFMC.
ETFSAR-AFI21 03/21 221594 HFA000983 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 to this semi-annual filing.
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 for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which 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 Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-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 Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that 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 for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) 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 5, 2021 | 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 5, 2021 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and Chief Executive Officer | ||||
Date: April 5, 2021 | By: | /s/ David A. Naab | ||
David A. Naab | ||||
Treasurer (Principal Financial Officer and Principal Accounting Officer) |