SPDR Series Trust - Fixed Income Funds · 2020-04-24 · Semi-Annual Report December 31, 2019...

Semi-Annual ReportDecember 31, 2019

SPDR® Series Trust - Fixed IncomeFundsSPDR Bloomberg Barclays Convertible Securities ETF

SPDR Bloomberg Barclays High Yield Bond ETF

SPDR Bloomberg Barclays Short Term High Yield Bond ETF

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities andExchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reportswill no longer be sent by mail, unless you specifically request paper copies of the reports fromthe Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, thereports will be made available on a Fund’s website (www.spdrs.com), and you will be notifiedby mail each time a report is posted, and provided with a website link to access the report. Ifyou already elected to receive reports electronically, you will not be affected by this changeand you need not take any action. You may elect to receive shareholder reports and othercommunications by contacting your financial intermediary.

You may elect to receive all future reports in paper free of charge. If you invest through afinancial intermediary, you can contact your financial intermediary to request that youcontinue to receive paper copies of your shareholder reports. Your election to receive reportsin paper will apply to all funds held in your account.

The information contained in this report is intended for the general information ofshareholders of the Trust. This report is not authorized for distribution to prospectiveinvestors unless preceded or accompanied by a current Trust prospectus which containsimportant information concerning the Trust. You may obtain a current prospectus and SAIfrom the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read theprospectus carefully before you invest.

TA B L E O F C O N T E N T S ( U N A U D I T E D )

Portfolio Statistics (Unaudited)SPDR Bloomberg Barclays Convertible Securities ETF (CWB). . . . . . . . . . . . . . 1SPDR Bloomberg Barclays High Yield Bond ETF (JNK) . . . . . . . . . . . . . . . . . . . 2SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK) . . . . . . . . 3

Schedules of Investments (Unaudited)SPDR Bloomberg Barclays Convertible Securities ETF (CWB). . . . . . . . . . . . . . 4SPDR Bloomberg Barclays High Yield Bond ETF (JNK) (Summary). . . . . . . . . . 16SPDR Bloomberg Barclays Short Term High Yield Bond ETF (SJNK)(Summary). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

Financial Statements (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37Financial Highlights (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42Notes to Financial Statements (Unaudited). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45Other Information (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

The information contained in this report is intended for the general information ofshareholders of the Trust. This report is not authorized for distribution to prospectiveinvestors unless preceded or accompanied by a current Trust prospectus whichcontains important information concerning the Trust. You may obtain a currentprospectus and SAI from the Distributor by calling 1-866-787-2257 or visitingwww.spdrs.com. Please read the prospectus carefully before you invest.

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S P D R B L O O M B E R G B A R C L AY S C O N V E R T I B L E S E C U R I T I E S E T FP O R T F O L I O S TAT I S T I C S ( U N A U D I T E D )

Top Five Holdings as of December 31, 2019

Description % of Net Assets

Wells Fargo & Co.7.50% 12/31/2049 3.4%

Bank of America Corp.7.25% 12/31/2049 2.6

Broadcom, Inc.8.00% 9/30/2022 2.6

Microchip Technology, Inc.1.63% 2/15/2025 2.2

Becton Dickinson and Co.6.13% 5/1/2020 1.9

TOTAL 12.7%

(The five largest holdings are subject to change, and there are no guaranteesthe Fund will continue to remain invested in any particular company.)

Asset Allocation as of December 31, 2019

% of Net Assets

Corporate Bonds & Notes 75.0%Convertible Preferred Stocks 24.6Short-Term Investments 6.1Liabilities in Excess of Other Assets (5.7)

TOTAL 100.0%

(The Fund’s asset allocation is expressed as a percentage of net assets andmay change over time.)

Sector Breakdown as of December 31, 2019

% of Net Assets

Technology 27.1%Communications 23.3Consumer, Non-cyclical 17.8Financial 10.5Utilities 7.8Consumer, Cyclical 6.1Industrial 4.1Energy 2.2Basic Materials 0.7Short-Term Investments 6.1Liabilities in Excess of Other Assets (5.7)

TOTAL 100.0%

(The Fund’s sector breakdown is expressed as a percentage of net assets andmay change over time.)

See accompanying notes to financial statements.1

S P D R B L O O M B E R G B A R C L AY S H I G H Y I E L D B O N D E T FP O R T F O L I O S TAT I S T I C S ( U N A U D I T E D )



Altice France SA7.38% 5/1/2026 0.7%

TransDigm, Inc.6.25% 3/15/2026 0.5

Centene Corp.4.63% 12/15/2029 0.5

CHS/Community Health Systems, Inc.6.25% 3/31/2023 0.4

Diamond Sports Group LLC/Diamond SportsFinance Co.5.38% 8/15/2026 0.4

TOTAL 2.5%



% of Net Assets

Corporate Bonds & Notes 98.6%Common Stocks 0.0*Short-Term Investments 9.6Liabilities in Excess of Other Assets (8.2)

TOTAL 100.0%

* Amount shown represents less than 0.05% of net assets.(The Fund’s asset allocation is expressed as a percentage of net assets andmay change over time.)


% of Net Assets

Communications 21.9%Consumer, Non-cyclical 19.0Consumer, Cyclical 15.5Energy 11.0Financial 9.9Industrial 9.1Technology 5.0Basic Materials 4.0Utilities 3.1Diversified 0.1Short-Term Investments 9.6Liabilities in Excess of Other Assets (8.2)

TOTAL 100.0%



S P D R B L O O M B E R G B A R C L AY S S H O R T T E R M H I G H Y I E L D B O N D E T FP O R T F O L I O S TAT I S T I C S ( U N A U D I T E D )



Tenet Healthcare Corp.8.13% 4/1/2022 0.7%

Reynolds Group Issuer, Inc./Reynolds GroupIssuer LLC/Reynolds Group Issuer Lu5.75% 10/15/2020 0.7

CHS/Community Health Systems, Inc.6.25% 3/31/2023 0.6

Intelsat Jackson Holdings SA8.50% 10/15/2024 0.6

Sprint Corp.7.88% 9/15/2023 0.6

TOTAL 3.2%



% of Net Assets

Corporate Bonds & Notes 97.7%Common Stocks 0.1Warrants 0.0Senior Floating Rate Loans 0.0Short-Term Investments 11.0Liabilities in Excess of Other Assets (8.8)

TOTAL 100.0%

(The Fund’s asset allocation is expressed as a percentage of net assets andmay change over time.)


% of Net Assets

Communications 21.1%Consumer, Non-cyclical 15.8Consumer, Cyclical 13.7Energy 12.0Financial 11.4Industrial 11.3Basic Materials 5.5Technology 5.4Utilities 1.3Diversified 0.3Short-Term Investments 11.0Liabilities in Excess of Other Assets (8.8)

TOTAL 100.0%



Security DescriptionPrincipalAmount Value

CORPORATE BONDS & NOTES — 75.0%AIRLINES — 0.3%GOL Equity Finance SA

3.75%, 7/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,250,000 $ 12,876,075

AUTO MANUFACTURERS — 3.7%NIO, Inc.

4.50%, 2/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,200,000 9,646,910Tesla, Inc.:

1.25%, 3/1/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,525,000 45,353,3462.00%, 5/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,835,000 75,608,1672.38%, 3/15/2022 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,850,000 36,552,934

167,161,357

BIOTECHNOLOGY — 4.9%BioMarin Pharmaceutical, Inc.:

0.60%, 8/1/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,450,000 13,177,8271.50%, 10/15/2020 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,350,000 11,235,132

Exact Sciences Corp.:0.38%, 3/15/2027 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,550,000 22,186,3171.00%, 1/15/2025 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,275,000 14,870,083

Halozyme Therapeutics, Inc.1.25%, 12/1/2024 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,000,000 11,997,720

Illumina, Inc.:0.01%, 8/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,965,000 22,070,7080.50%, 6/15/2021 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,400,000 18,536,086

Insmed, Inc.1.75%, 1/15/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,700,000 11,276,109

Intercept Pharmaceuticals, Inc.3.25%, 7/1/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,380,000 11,471,609

Ionis Pharmaceuticals, Inc.:0.13%, 12/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000,000 3,052,7701.00%, 11/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,315,000 20,898,148

Ligand Pharmaceuticals, Inc.0.75%, 5/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,775,000 17,120,602

Medicines Co.:2.50%, 1/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,325,000 26,142,1772.75%, 7/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,150,000 19,417,948

223,453,236

COMMERCIAL SERVICES — 1.6%Chegg, Inc.

0.13%, 3/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,325,000 22,948,314

SPDR BLOOMBERG BARCLAYS CONVERTIBLE SECURITIES ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



Euronet Worldwide, Inc.0.75%, 3/15/2049 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13,700,000 $ 16,401,229

Macquarie Infrastructure Corp.2.00%, 10/1/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,550,000 9,091,982

Square, Inc.0.50%, 5/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,250,000 25,896,083

74,337,608

COMPUTERS — 1.9%Insight Enterprises, Inc.

0.75%, 2/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,300,000 11,060,397Lumentum Holdings, Inc.

0.25%, 3/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,330,000 16,666,770Nutanix, Inc.

Zero Coupon, 1/15/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,775,000 15,604,472Pure Storage, Inc.

0.13%, 4/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,850,000 14,780,205Western Digital Corp.

1.50%, 2/1/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,825,000 29,305,150

87,416,994

DIVERSIFIED FINANCIAL SERVICES — 0.4%JPMorgan Chase Financial Co. LLC

0.25%, 5/1/2023 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,325,000 18,642,220

ELECTRIC — 0.4%NRG Energy, Inc.

2.75%, 6/1/2048 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,175,000 17,207,388

ELECTRICAL COMPONENTS & EQUIPMENT — 0.4%SunPower Corp.:

0.88%, 6/1/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000 91,8684.00%, 1/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,945,000 17,146,624

17,238,492

ELECTRONICS — 1.2%Fortive Corp.

0.88%, 2/15/2022 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,700,000 37,990,667Vishay Intertechnology, Inc.

2.25%, 6/15/2025 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,475,000 15,560,113

53,550,780

ENGINEERING & CONSTRUCTION — 0.5%Dycom Industries, Inc.

0.75%, 9/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,375,000 10,995,416

SPDR BLOOMBERG BARCLAYS CONVERTIBLE SECURITIES ETFSCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



KBR, Inc.2.50%, 11/1/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,050,000 $ 12,036,138

23,031,554

ENTERTAINMENT — 0.4%Live Nation Entertainment, Inc.

2.50%, 3/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,770,000 16,842,913

HEALTH CARE PRODUCTS — 2.3%Insulet Corp.:

0.38%, 9/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,500,000 23,164,2001.38%, 11/15/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,175,000 19,253,949

NuVasive, Inc.2.25%, 3/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,717,000 22,299,809

Wright Medical Group NV2.25%, 11/15/2021 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,825,000 15,714,220

Wright Medical Group, Inc.1.63%, 6/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,500,000 22,750,870

103,183,048

HEALTH CARE SERVICES — 0.2%Invitae Corp.

2.00%, 9/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,100,000 8,099,728

INSURANCE — 0.9%AXA SA

7.25%, 5/15/2021 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,675,000 26,050,627MGIC Investment Corp.

9.00%, 4/1/2063 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,200,000 13,674,936

39,725,563

INTERNET — 16.4%8x8, Inc.

0.50%, 2/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,000,000 8,004,320Booking Holdings, Inc.:

0.35%, 6/15/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,707,000 41,568,1100.90%, 9/15/2021 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,670,000 30,779,580

Ctrip.com International, Ltd.:1.00%, 7/1/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,050,000 18,780,4431.99%, 7/1/2025 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,665,000 11,198,250

Etsy, Inc.0.13%, 10/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,500,000 15,771,350

FireEye, Inc.:0.88%, 6/1/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,954,000 15,054,790Series B, 1.63%, 6/1/2035. . . . . . . . . . . . . . . . . . . . . . . . . . . 11,950,000 11,511,435




IAC Financeco 2, Inc.0.88%, 6/15/2026 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,528,000 $ 16,314,072

IAC Financeco 3, Inc.2.00%, 1/15/2030 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,250,000 16,591,988

IAC FinanceCo, Inc.0.88%, 10/1/2022 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000,000 25,841,700

iQIYI, Inc.:2.00%, 4/1/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,650,000 31,178,0983.75%, 12/1/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,700,000 20,636,572

MercadoLibre, Inc.2.00%, 8/15/2028 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,750,000 35,501,262

Okta, Inc.0.13%, 9/1/2025 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,500,000 28,592,580

Palo Alto Networks, Inc.0.75%, 7/1/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,725,000 49,343,751

Pinduoduo, Inc.0.01%, 10/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,850,000 30,865,149

Proofpoint, Inc.0.25%, 8/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,250,000 25,947,910

RingCentral, Inc.Zero Coupon, 3/15/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,650,000 24,412,342

Snap, Inc.0.75%, 8/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,000,000 35,458,600

Twitter, Inc.:0.25%, 6/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,770,000 28,827,7791.00%, 9/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,450,000 24,741,981

Wayfair, Inc.:0.38%, 9/1/2022 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,569,000 13,476,6071.00%, 8/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,750,000 21,745,597

Wayfair, Inc.1.13%, 11/1/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,500,000 16,032,425

Weibo Corp.1.25%, 11/15/2022 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,425,000 23,025,936

Wix.com, Ltd.Zero Coupon, 7/1/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . 12,400,000 14,079,952

YY, Inc.:0.75%, 6/15/2025 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,770,000 12,417,5111.38%, 6/15/2026 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,600,000 11,395,566

Zendesk, Inc.0.25%, 3/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,250,000 22,231,950

Zillow Group, Inc.:0.75%, 9/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,850,000 19,381,8561.38%, 9/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,250,000 16,104,183




1.50%, 7/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,625,000 $ 9,222,8682.00%, 12/1/2021 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,075,000 14,674,726

740,711,239

INVESTMENT COMPANY SECURITY — 0.5%Ares Capital Corp.:

3.75%, 2/1/2022 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,250,000 10,587,2254.63%, 3/1/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,500,000 10,123,200

20,710,425

IRON/STEEL — 0.2%United States Steel Corp.

5.00%, 11/1/2026 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,050,000 10,092,560

IT SERVICES — 1.0%CyberArk Software, Ltd.

Zero Coupon, 11/15/2024 (a). . . . . . . . . . . . . . . . . . . . . . . . . 14,500,000 14,963,130Lumentum Holdings, Inc.

Series QIB, 0.50%, 12/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . 28,500,000 31,197,525

46,160,655

LODGING — 1.5%Caesars Entertainment Corp.

5.00%, 10/1/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,713,020 55,216,286Huazhu Group, Ltd.

0.38%, 11/1/2022 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,435,000 13,989,126

69,205,412

MEDIA — 5.2%DISH Network Corp.:

2.38%, 3/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,325,000 24,038,9373.38%, 8/15/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,627,000 76,798,649

Liberty Interactive LLC:1.75%, 9/30/2046 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,040,000 11,741,0533.50%, 1/15/2031 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,300,000 6,337,3493.75%, 2/15/2030 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,800,000 8,140,3484.00%, 11/15/2029 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,407,000 7,281,362

Liberty Latin America, Ltd.2.00%, 7/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,800,000 12,610,188

Liberty Media Corp.:1.38%, 10/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,052,000 33,448,9292.13%, 3/31/2048 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,225,000 9,696,8592.25%, 12/1/2048 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,975,000 13,029,1912.75%, 12/1/2049 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,500,000 14,112,090




Liberty Media Corp.-Liberty Formula One1.00%, 1/30/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,925,000 $ 15,847,490

233,082,445

OIL & GAS — 1.5%Chesapeake Energy Corp.

5.50%, 9/15/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,325,000 14,585,375Ensco Jersey Finance, Ltd.

3.00%, 1/31/2024 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,980,000 14,910,276Nabors Industries, Inc.

0.75%, 1/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,450,000 11,578,385Transocean, Inc.

0.50%, 1/30/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,975,000 22,996,826Whiting Petroleum Corp.

1.25%, 4/1/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,220,000 6,077,189

70,148,051

PHARMACEUTICALS — 4.4%Aphria, Inc.

5.25%, 6/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,700,000 5,049,891DexCom, Inc.:

0.75%, 5/15/2022 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,210,000 25,028,6790.75%, 12/1/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,150,000 31,377,294

Herbalife Nutrition, Ltd.2.63%, 3/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,150,000 14,681,191

Horizon Pharma Investment, Ltd.2.50%, 3/15/2022 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,125,000 16,034,343

Jazz Investments I, Ltd.:1.50%, 8/15/2024 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,525,000 16,638,1961.88%, 8/15/2021 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,222,000 14,610,688

Neurocrine Biosciences, Inc.2.25%, 5/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,675,000 19,432,676

Sarepta Therapeutics, Inc.1.50%, 11/15/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,198,000 29,719,233

Supernus Pharmaceuticals, Inc.0.63%, 4/1/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,475,000 8,575,538

Teva Pharmaceutical Finance Co. LLCSeries C, 0.25%, 2/1/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . 12,962,000 12,308,456

Tilray, Inc.5.00%, 10/1/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,000,000 6,850,090

200,306,275




PIPELINES — 0.3%Cheniere Energy, Inc.

4.25%, 3/15/2045 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15,775,000 $ 12,333,684

REAL ESTATE INVESTMENT TRUSTS — 1.2%Blackstone Mortgage Trust, Inc.

4.38%, 5/5/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,825,000 12,574,942Colony Capital, Inc.

3.88%, 1/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,800,000 10,657,548Extra Space Storage L.P.

3.13%, 10/1/2035 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,705,000 19,478,197VEREIT, Inc.

3.75%, 12/15/2020 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,775,000 9,923,189

52,633,876

RETAIL — 0.2%RH

0.01%, 9/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,000,000 10,716,120

SEMICONDUCTORS — 8.0%Advanced Micro Devices, Inc.

2.13%, 9/1/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,850,000 39,646,704Cree, Inc.

0.88%, 9/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,275,000 17,276,563Microchip Technology, Inc.:

1.63%, 2/15/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,235,000 97,010,5291.63%, 2/15/2027 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,200,000 78,347,5682.25%, 2/15/2037 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,785,000 27,173,630

ON Semiconductor Corp.:1.00%, 12/1/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,565,000 26,623,4651.63%, 10/15/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,585,000 20,130,655

Silicon Laboratories, Inc.1.38%, 3/1/2022 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,624,000 14,094,648

Synaptics, Inc.0.50%, 6/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,475,000 13,894,655

Teradyne, Inc.1.25%, 12/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,565,000 25,376,848

359,575,265

SOFTWARE — 14.0%Akamai Technologies, Inc.:

0.13%, 5/1/2025 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,575,000 33,808,3060.38%, 9/1/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,000,000 29,568,000

Alteryx, Inc.:




0.50%, 8/1/2024 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,250,000 $ 10,723,3881.00%, 8/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,750,000 10,010,723

Atlassian, Inc.0.63%, 5/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,325,000 41,407,645

Avaya Holdings Corp.2.25%, 6/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,575,000 8,446,586

Bilibili, Inc.1.38%, 4/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,500,000 14,419,670

Blackline, Inc.0.13%, 8/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,450,000 14,388,299

Coupa Software, Inc.0.13%, 6/15/2025 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,635,000 25,685,288

DocuSign, Inc.0.50%, 9/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,225,000 20,162,158

Everbridge, Inc.0.13%, 12/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,000,000 11,926,320

Guidewire Software, Inc.1.25%, 3/15/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,158,000 13,100,719

HubSpot, Inc.0.25%, 6/1/2022 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,853,000 18,770,915

j2 Global, Inc.:1.75%, 11/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,000,000 13,207,8703.25%, 6/15/2029 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,525,000 16,706,640

Momo, Inc.1.25%, 7/1/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,530,000 18,094,350

New Relic, Inc.0.50%, 5/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,275,000 12,018,944

Nuance Communications, Inc.:1.00%, 12/15/2035 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,445,000 17,569,0341.25%, 4/1/2025 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,025,000 10,025,512

Pluralsight, Inc.0.38%, 3/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,450,000 14,269,553

SailPoint Technologies Holding, Inc.0.13%, 9/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,000,000 11,900,790

Sea, Ltd.:1.00%, 12/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,500,000 33,344,4302.25%, 7/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,425,000 28,861,602

ServiceNow, Inc.Zero Coupon, 6/1/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,325,000 42,849,571

Splunk, Inc.:0.50%, 9/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,050,000 38,595,2511.13%, 9/15/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,975,000 28,390,667




Twilio, Inc.0.25%, 6/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15,650,000 $ 23,966,253

Verint Systems, Inc.1.50%, 6/1/2021 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,475,000 11,264,291

Workday, Inc.0.25%, 10/1/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,050,000 39,693,388

Zynga, Inc.0.25%, 6/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,250,000 19,689,863

632,866,026

TELECOMMUNICATIONS — 1.3%GCI Liberty, Inc.

1.75%, 9/30/2046 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,275,000 16,959,754Infinera Corp.

2.13%, 9/1/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,850,000 10,201,349Intelsat SA

4.50%, 6/15/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,000,000 7,372,530InterDigital, Inc.

2.00%, 6/1/2024 (a) (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,700,000 9,658,678Viavi Solutions, Inc.

1.00%, 3/1/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,825,000 16,545,276

60,737,587

TRANSPORTATION — 0.2%Golar LNG, Ltd.

2.75%, 2/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,810,000 10,443,938

TOTAL CORPORATE BONDS & NOTES(Cost $3,015,208,462) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,392,490,514

Shares

CONVERTIBLE PREFERRED STOCKS — 24.6%AGRICULTURE — 0.5%Bunge, Ltd.

4.88%, 12/31/2049 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209,450 21,776,516

BANKS — 6.0%Bank of America Corp.

Series L, 7.25%, 12/31/2049 . . . . . . . . . . . . . . . . . . . . . . . . . 81,942 118,733,958Wells Fargo & Co.

Series L, 7.50%, 12/31/2049 . . . . . . . . . . . . . . . . . . . . . . . . . 105,821 153,440,450

272,174,408



Security Description Shares Value

CHEMICALS — 0.5%International Flavors & Fragrances, Inc.

6.00%, 9/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 470,500 $ 22,588,705

DIVERSIFIED FINANCIAL SERVICES — 0.2%AMG Capital Trust II

5.15%, 10/15/2037 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233,488 11,382,540

ELECTRIC — 7.0%American Electric Power Co., Inc.

6.13%, 3/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 426,000 23,059,380CenterPoint Energy, Inc.:

4.52%, 9/15/2029 (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 371,171 21,528,697Series B, 7.00%, 9/1/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . 511,000 24,906,140

Dominion Energy, Inc.Series A, 7.25%, 6/1/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . 422,000 45,149,780

DTE Energy Co.6.25%, 11/1/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690,000 35,369,400

NextEra Energy, Inc.4.87%, 9/1/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 828,000 42,459,840

Sempra Energy:Series A, 6.00%, 1/15/2021 (d) . . . . . . . . . . . . . . . . . . . . . . . 466,150 55,947,323Series B, 6.75%, 7/15/2021 (d) . . . . . . . . . . . . . . . . . . . . . . . 160,500 19,110,735

Southern Co.Series 2019, 6.75%, 8/1/2022 . . . . . . . . . . . . . . . . . . . . . . . . 920,000 49,588,000

317,119,295

ELECTRONICS — 0.8%Fortive Corp.

Series A, 5.00%, 7/1/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . 36,550 35,554,378

HAND & MACHINE TOOLS — 1.4%Colfax Corp.

5.75%, 1/15/2022(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119,500 18,852,320

Stanley Black & Decker, Inc.:5.25%, 11/15/2022 (b) (d). . . . . . . . . . . . . . . . . . . . . . . . . . . 175,000 19,068,0005.38%, 5/15/2020 (b) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . 241,129 26,314,408

64,234,728

HEALTH CARE PRODUCTS — 3.9%Avantor, Inc.

Series A, 6.25%, 5/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . 542,000 34,146,000Becton Dickinson and Co.

Series A, 6.13%, 5/1/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . 1,329,639 87,038,169




Danaher Corp.Series A, 4.75%, 4/15/2022(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,150 $ 53,233,656

174,417,825

REAL ESTATE INVESTMENT TRUSTS — 1.3%Crown Castle International Corp.

Series A, 6.88%, 8/1/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . 44,650 57,229,691

SEMICONDUCTORS — 2.6%Broadcom, Inc.

Series A, 8.00%, 9/30/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . 98,000 115,441,060

WATER — 0.4%Aqua America, Inc.

6.00%, 4/30/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294,000 18,330,900

TOTAL CONVERTIBLE PREFERRED STOCKS(Cost $1,011,423,357) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,110,250,046

SHORT-TERM INVESTMENTS — 6.1%State Street Institutional Liquid Reserves Fund, Premier Class 1.73%

(e) (f). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,389,695 2,389,934State Street Navigator Securities Lending Portfolio II (g) (h). . . . . . . 274,981,743 274,981,743

TOTAL SHORT-TERM INVESTMENTS(Cost $277,371,677) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277,371,677

TOTAL INVESTMENTS — 105.7%(Cost $4,304,003,496) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,780,112,237

LIABILITIES IN EXCESS OF OTHER ASSETS — (5.7)% . . . . . . . . . . . . . . . . (259,332,861)

NET ASSETS — 100.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,520,779,376

(a) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. Thesesecurities, which represent 20.6% of net assets as of December 31, 2019, are considered liquid andmay be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b) All or a portion of the shares of the security are on loan at December 31, 2019.(c) Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2019.

Maturity date shown is the final maturity.(d) These securities are affiliated investments as a result of the Fund owning 5% or more of the entity’s

outstanding shares. Amounts related to these transactions during the period ended December 31, 2019are shown in the Affiliate Table below.

(e) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc.Amounts related to these transactions during the period ended December 31, 2019 are shown in theAffiliate Table below.

(f) The rate shown is the annualized seven-day yield at December 31, 2019.(g) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended

December 31, 2019 are shown in the Affiliate Table below.



(h) Investment of cash collateral for securities loaned.

The following table summarizes the value of the Fund’s investments according to thefair value hierarchy as of December 31, 2019.

DescriptionLevel 1 –

Quoted Prices

Level 2 –Other SignificantObservable Inputs

Level 3 –Significant

Unobservable Inputs Total

ASSETS:INVESTMENTS:Corporate Bonds & Notes . . . . . . . . . . . . . . . $ — $3,392,490,514 $— $3,392,490,514

Convertible Preferred Stocks . . . . . . . . . . . . . 1,066,944,833 43,305,213 — 1,110,250,046

Short-Term Investments . . . . . . . . . . . . . . . . 277,371,677 — — 277,371,677

TOTAL INVESTMENTS . . . . . . . . . . . . . . $1,344,316,510 $3,435,795,727 $— $4,780,112,237

Affiliate Table

Number ofShares Held

at 6/30/19Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized

Appreciation/Depreciation

Number ofShares Heldat 12/31/19

Value at12/31/19

DividendIncome

Sempra Energy . . . . . . . . . . . 440,150 $ 49,072,324 $ 17,457,864 $ 14,473,717 $ 536,514 $3,354,338 466,150 $ 55,947,323 $1,363,950

Sempra Energy . . . . . . . . . . . 148,000 16,430,960 4,116,300 2,610,095 175,320 998,250 160,500 19,110,735 520,594

Stanley Black & Decker, Inc. . . . . . — — 17,739,068 — — 1,328,932 175,000 19,068,000 —

Stanley Black & Decker, Inc. . . . . . 188,129 19,025,486 14,109,400 8,389,993 (642,442) 2,211,957 241,129 26,314,408 520,378

State Street Institutional Liquid ReservesFund, Premier Class . . . . . . . — — 239,812,121 237,428,764 6,577 — 2,389,695 2,389,934 70,234

State Street Institutional U.S. GovernmentMoney Market Fund, Class G Shares. 5,244,269 5,244,269 28,149,764 33,394,033 — — — — 17,989

State Street Navigator Securities LendingPortfolio II . . . . . . . . . . . — — 468,312,907 193,331,164 — — 274,981,743 274,981,743 258,313

State Street Navigator Securities LendingPortfolio III. . . . . . . . . . . 153,968,683 153,968,683 318,309,071 472,277,754 — — — — 456,798

Total . . . . . . . . . . . . . . . $243,741,722 $1,108,006,495 $961,905,520 $ 75,969 $7,893,477 $397,812,143 $3,208,256




CORPORATE BONDS & NOTES — 98.6%ADVERTISING — 0.5%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 56,987,852

AEROSPACE & DEFENSE — 2.4%Bombardier, Inc.

7.88%, 4/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29,290,000 30,178,073TransDigm, Inc.:

5.50%, 11/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,805,000 40,266,7386.25%, 3/15/2026 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 57,454,000 62,296,2236.38%, 6/15/2026 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,850,000 12,608,7557.50%, 3/15/2027 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,684,000 8,413,8266.50%, 5/15/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,336,997 10,788,207

Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111,949,522

276,501,344

AGRICULTURE — 0.5%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,865,952

AIRLINES — 0.1%Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,195,230

APPAREL — 0.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,416,786

AUTO MANUFACTURERS — 0.9%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,911,493

AUTO PARTS & EQUIPMENT — 1.3%Panther BF Aggregator 2 L.P./Panther Finance Co., Inc.

8.50%, 5/15/2027 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 30,608,000 32,522,836Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111,461,078

143,983,914

BANKS — 1.5%Barclays PLC:

4.84%, 5/9/2028 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,225,000 27,239,7215.20%, 5/12/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,205,000 33,127,032


176,303,228

BEVERAGES — 0.1%Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,471,613

BUILDING MATERIALS — 0.8%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90,486,391

SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETFSUMMARY SCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



CHEMICALS — 2.1%Avantor, Inc.

9.00%, 10/1/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 28,159,000 $ 31,514,145Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211,748,019

243,262,164

COAL — 0.2%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,096,644

COMMERCIAL SERVICES — 4.0%United Rentals North America, Inc.:

3.88%, 11/15/2027 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,951,000 11,171,5534.63%, 10/15/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,823,000 12,179,5824.88%, 1/15/2028 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,802,000 24,797,3995.25%, 1/15/2030 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,270,000 8,900,2575.50%, 7/15/2025 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,179,000 11,635,4385.50%, 5/15/2027. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,416,000 15,464,9085.88%, 9/15/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,351,000 17,562,7726.50%, 12/15/2026 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,332,000 16,872,713


463,602,583

COMPUTERS — 1.2%Western Digital Corp.

4.75%, 2/15/2026 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,125,000 35,601,589Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104,701,031

140,302,620

COSMETICS/PERSONAL CARE — 0.1%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,166,813

DISTRIBUTION & WHOLESALE — 1.0%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118,383,601

DIVERSIFIED FINANCIAL SERVICES — 3.7%Springleaf Finance Corp.:

5.38%, 11/15/2029 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,704,000 11,176,5825.63%, 3/15/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,596,000 13,556,9496.13%, 5/15/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,457,000 14,496,8226.13%, 3/15/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,823,000 19,547,5536.63%, 1/15/2028. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,267,000 12,704,1066.88%, 3/15/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,424,000 20,971,1187.13%, 3/15/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,777,000 27,511,1788.25%, 12/15/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193,000 203,082

SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETFSUMMARY SCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 302,289,856

422,457,246

ELECTRIC — 2.7%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 306,210,874

ELECTRICAL COMPONENTS & EQUIPMENT — 0.2%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,564,312

ELECTRONICS — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,100,434

ENERGY-ALTERNATE SOURCES — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,482,245

ENGINEERING & CONSTRUCTION — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,129,175

ENTERTAINMENT — 2.6%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294,818,937

ENVIRONMENTAL CONTROL — 0.5%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,938,509

FOOD — 3.0%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 341,555,202

FOOD SERVICE — 0.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,064,982

FOREST PRODUCTS & PAPER — 0.1%Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,767,242

GAS — 0.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,720,738

HAND & MACHINE TOOLS — 0.1%Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,040,097

HEALTH CARE PRODUCTS — 0.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,693,981

HEALTH CARE SERVICES — 7.5%Centene Corp.:

4.25%, 12/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 36,667,000 37,760,4104.63%, 12/15/2029 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,504,000 53,185,2574.75%, 1/15/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,681,000 18,339,2644.75%, 1/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,042,000 14,582,1966.13%, 2/15/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,365,000 14,896,505

Centene Escrow I Corp.5.38%, 6/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,067,000 27,703,225




CHS/Community Health Systems, Inc.:6.25%, 3/31/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 45,413,000 $ 46,076,4846.88%, 4/1/2028 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,908,000 3,433,7898.00%, 3/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,671,000 43,220,3288.00%, 12/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,055,000 6,119,0628.13%, 6/30/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,196,000 13,267,4398.63%, 1/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,148,000 17,139,4879.88%, 6/30/2023 (a)(b)(c) . . . . . . . . . . . . . . . . . . . . . . . . . 19,857,971 17,054,820

HCA, Inc.:5.38%, 2/1/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,157,000 41,128,3405.38%, 9/1/2026 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,386,000 16,047,7275.63%, 9/1/2028 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,624,000 24,663,6865.88%, 2/15/2026 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,777,000 24,803,3505.88%, 2/1/2029 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,103,000 16,301,517

Tenet Healthcare Corp.:4.63%, 7/15/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,307,000 22,920,6654.63%, 9/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,679,000 9,054,3674.88%, 1/1/2026 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,086,000 30,470,2035.13%, 5/1/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,539,000 20,112,6655.13%, 11/1/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,811,000 24,086,3636.25%, 2/1/2027 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,214,000 26,130,5386.75%, 6/15/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,485,000 30,220,307


857,848,403

HOLDING COMPANIES-DIVERSIFIED — 0.1%Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,568,089

HOME BUILDERS — 0.9%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107,666,062

HOME FURNISHINGS — 0.1%Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,956,668

HOUSEHOLD PRODUCTS & WARES — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,852,235

HOUSEWARES — 0.4%Newell Brands, Inc.

4.20%, 4/1/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,423,000 30,663,473Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,354,806

50,018,279

INSURANCE — 0.8%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,001,485




INTERNET — 2.7%Netflix, Inc.:

4.38%, 11/15/2026 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,285,000 $ 14,640,1254.88%, 4/15/2028 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,243,000 23,160,7464.88%, 6/15/2030 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 15,566,000 15,827,9765.38%, 11/15/2029 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,819,000 13,661,4655.50%, 2/15/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,927,000 9,476,6355.88%, 2/15/2025 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,608,000 12,976,0035.88%, 11/15/2028 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,266,000 30,255,7176.38%, 5/15/2029 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,913,000 13,617,036

Zayo Group LLC/Zayo Capital, Inc.5.75%, 1/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,486,000 27,024,990


311,619,262

INVESTMENT COMPANY SECURITY — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,297,839

IRON/STEEL — 0.5%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,848,152

LEISURE TIME — 0.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,198,994

LODGING — 3.1%Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

5.50%, 3/1/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,022,400 27,964,192Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325,730,833

353,695,025

MACHINERY, CONSTRUCTION & MINING — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,187,776

MACHINERY-DIVERSIFIED — 0.2%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,166,046

MEDIA — 10.7%Altice Financing SA:

6.63%, 2/15/2023 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 30,366,000 30,915,0177.50%, 5/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,652,000 42,623,917

Altice Luxembourg SA10.50%, 5/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,055,000 27,593,490

CCO Holdings LLC/CCO Holdings Capital Corp.:4.00%, 3/1/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,339,000 6,440,2344.75%, 3/1/2030 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,328,000 35,011,1275.00%, 2/1/2028 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,353,000 29,732,373




5.13%, 5/1/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 12,447,000 $ 12,738,1355.13%, 5/1/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,923,000 37,986,0585.38%, 5/1/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,295,000 8,610,7915.38%, 6/1/2029 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,939,000 18,169,6185.50%, 5/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,467,000 19,426,5455.75%, 2/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,400,000 31,005,5345.88%, 4/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,654,000 19,385,4235.88%, 5/1/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,026,000 9,584,258

Clear Channel Worldwide Holdings, Inc.9.25%, 2/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,374,000 29,246,920

CSC Holdings LLC:5.38%, 7/15/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,692,500 15,089,4915.38%, 2/1/2028 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,165,000 15,137,5695.50%, 5/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,490,000 21,705,8775.50%, 4/15/2027 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 18,611,000 20,003,2895.75%, 1/15/2030 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,104,000 35,326,9346.50%, 2/1/2029 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,806,000 28,817,0446.63%, 10/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,574,000 14,462,0117.50%, 4/1/2028 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,376,350 17,348,9827.75%, 7/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,688,250 9,264,45510.88%, 10/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,776,700 26,759,725

Diamond Sports Group LLC/Diamond Sports Finance Co.5.38%, 8/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,554,000 44,126,735

DISH DBS Corp.7.75%, 7/1/2026 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,418,000 31,179,256

Nexstar Broadcasting, Inc.5.63%, 7/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,333,000 28,834,675

Ziggo B.V.5.50%, 1/15/2027 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 28,448,000 30,266,681


1,230,553,190

METAL FABRICATE & HARDWARE — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,896,703

MINING — 1.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160,235,326

MISCELLANEOUS MANUFACTURER — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,964,831

OFFICE & BUSINESS EQUIPMENT — 0.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,621,027




OIL & GAS — 6.4%Chesapeake Energy Corp.

11.50%, 1/1/2025 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . $ 32,583,000 $ 30,892,594Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 699,390,670

730,283,264

OIL & GAS SERVICES — 0.7%Weatherford International, Ltd.

11.00%, 12/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,399,000 34,074,509Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,438,132

84,512,641

PACKAGING & CONTAINERS — 2.8%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 324,072,261

PHARMACEUTICALS — 2.9%Bausch Health Cos., Inc.:

5.00%, 1/30/2028 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 13,959,000 14,352,3655.25%, 1/30/2030 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 14,866,000 15,438,1925.50%, 11/1/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,365,000 22,329,2025.75%, 8/15/2027 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,363,000 5,825,2375.88%, 5/15/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,654,040 15,858,9516.13%, 4/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,449,000 38,751,8516.50%, 3/15/2022 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,537,000 14,882,5447.00%, 3/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,891,000 21,794,3277.00%, 1/15/2028 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,037,000 8,886,9137.25%, 5/30/2029 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 7,759,000 8,857,9079.00%, 12/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,903,000 20,353,742


328,201,194

PIPELINES — 3.4%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384,792,491

REAL ESTATE — 0.6%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,582,526

REAL ESTATE INVESTMENT TRUSTS — 3.0%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347,499,329

RETAIL — 3.6%1011778 BC ULC/New Red Finance, Inc.

5.00%, 10/15/2025 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,388,000 41,900,127PetSmart, Inc.

7.13%, 3/15/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,222,000 26,689,538




Staples, Inc.7.50%, 4/15/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 28,758,000 $ 29,920,686


411,762,018

SEMICONDUCTORS — 0.5%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,351,792

SOFTWARE — 2.9%Solera LLC/Solera Finance, Inc.

10.50%, 3/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,656,000 30,448,146SS&C Technologies, Inc.

5.50%, 9/30/2027 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . 29,431,000 31,389,633Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272,359,736

334,197,515

TELECOMMUNICATIONS — 8.0%Altice France SA:

5.50%, 1/15/2028 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,012,000 16,505,8107.38%, 5/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,280,000 80,929,7648.13%, 2/1/2027 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,382,000 28,645,110

Connect Finco Sarl/Connect US Finco LLC6.75%, 10/1/2026 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,242,000 32,172,952

Intelsat Jackson Holdings SA8.50%, 10/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,367,000 38,639,551

T-Mobile USA, Inc.6.50%, 1/15/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,951,000 32,160,785

Vodafone Group PLC5 year USD Swap + 4.87% 7.00%, 4/4/2079 (b)(d) . . . . . . . . . . 28,401,000 33,368,051


916,726,075

TOYS/GAMES/HOBBIES — 0.3%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,560,717

TRANSPORTATION — 0.5%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,582,840

TRUCKING & LEASING — 0.2%Other Securities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,976,576

TOTAL CORPORATE BONDS & NOTES(Cost $11,412,582,582) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,293,778,833




COMMON STOCKS — 0.0%(e)DIVERSIFIED TELECOMMUNICATION SERVICES — 0.0% (e)Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,740

ENERGY EQUIPMENT & SERVICES — 0.0% (e)Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,424,869

HOUSEHOLD PRODUCTS — 0.0% (e)Cenveo Enterprises, Inc. (f) (g) . . . . . . . . . . . . . . . . . . . . . . . . 20,138 201,381

OIL, GAS & CONSUMABLE FUELS — 0.0% (e)Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 899,059

PHARMACEUTICALS — 0.0% (e)Other Security. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109,305

TRANSPORTATION INFRASTRUCTURE — 0.0% (e)ATD New Holdings, Inc. (f) (g). . . . . . . . . . . . . . . . . . . . . . . . 35,050 876,250

TOTAL COMMON STOCKS(Cost $15,616,644) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,517,604

SHORT-TERM INVESTMENTS — 9.6%State Street Institutional Liquid Reserves Fund, Premier Class

1.73% (h) (i) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,738,816 8,739,690State Street Navigator Securities Lending Portfolio II (j) (k) . . . . 1,091,919,478 1,091,919,478

TOTAL SHORT-TERM INVESTMENTS(Cost $1,100,659,168) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,100,659,168

TOTAL INVESTMENTS — 108.2%(Cost $12,528,858,394) . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,397,955,605

LIABILITIES IN EXCESS OF OTHER ASSETS — (8.2)% . . . (937,627,176)

NET ASSETS — 100.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,460,328,429

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “OtherSecurities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities andExchange Commission (“SEC”). In certain instances, securities for which footnotes listed below mayotherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings isavailable on the Fund’s website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257(toll-free) and on the SEC’s website at www.sec.gov.


(b) All or a portion of the shares of the security are on loan at December 31, 2019.(c) Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2019.

Maturity date shown is the final maturity.



(d) Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities basedon a published reference rate and spread, the reference rate and spread are indicated in the descriptionabove.

(e) Amount is less than 0.05% of net assets.(f) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy

and procedures approved by the Board of Trustees. Security value is determined based on Level 3inputs. As of December 31, 2019, total aggregate fair value of the security is $1,077,631, representingless than 0.05% of the Fund’s net assets.

(g) Non-income producing security.(h) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc.

Amounts related to these transactions during the period ended December 31, 2019 are shown in theAffiliate Table below.

(i) The rate shown is the annualized seven-day yield at December 31, 2019.(j) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended

December 31, 2019 are shown in the Affiliate Table below.(k) Investment of cash collateral for securities loaned.



Quoted Prices




ASSETS:INVESTMENTS:Corporate Bonds & Notes . . . . . . . . . . . . . . $ — $11,293,778,833 $ — $11,293,778,833

Common Stocks . . . . . . . . . . . . . . . . . . . 2,433,233 6,740 1,077,631 3,517,604

Short-Term Investments . . . . . . . . . . . . . . . 1,100,659,168 — — 1,100,659,168

TOTAL INVESTMENTS . . . . . . . . . . . . . . $1,103,092,401 $11,293,785,573 $1,077,631 $12,397,955,605



Affiliate Table


at 6/30/19Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



Value at12/31/19

DividendIncome

State Street Institutional LiquidReserves Fund, Premier Class . — $ — $ 911,283,990 $ 902,535,832 $(8,468) $— 8,738,816 $ 8,739,690 $ 525,817

State Street InstitutionalU.S. Government Money MarketFund, Class G Shares . . . . . 65,180,830 65,180,830 302,618,085 367,798,915 — — — — 151,118

State Street Navigator SecuritiesLending Portfolio II . . . . . — — 1,516,528,878 424,609,400 — — 1,091,919,478 1,091,919,478 888,724

State Street Navigator SecuritiesLending Portfolio III . . . . . 562,071,667 562,071,667 1,074,441,525 1,636,513,192 — — — — 1,426,858

Total . . . . . . . . . . . . . $627,252,497 $3,804,872,478 $3,331,457,339 $(8,468) $— $1,100,659,168 $2,992,517




CORPORATE BONDS & NOTES — 97.7%ADVERTISING — 0.6%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 20,520,780

AEROSPACE & DEFENSE — 2.3%Arconic, Inc.

6.15%, 8/15/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,059,000 11,300,418Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,952,078

77,252,496

AGRICULTURE — 0.1%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,032,300

AIRLINES — 0.6%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,757,890

APPAREL — 0.1%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,236,459

AUTO MANUFACTURERS — 1.3%Fiat Chrysler Automobiles NV

4.50%, 4/15/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,595,000 12,673,215Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,292,028

43,965,243

AUTO PARTS & EQUIPMENT — 0.7%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,764,014

BANKS — 1.5%Intesa Sanpaolo SpA

5.02%, 6/26/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,178,000 15,888,027Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,605,369

49,493,396

BEVERAGES — 0.1%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,736,495

BUILDING MATERIALS — 1.2%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,524,543

CHEMICALS — 2.4%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,717,525

COAL — 0.1%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,863,432

COMMERCIAL SERVICES — 3.3%MPH Acquisition Holdings LLC

7.13%, 6/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,769,000 10,466,606

SPDR BLOOMBERG BARCLAYS SHORT TERM HIGH YIELD BOND ETFSUMMARY SCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



Nielsen Finance LLC/Nielsen Finance Co.5.00%, 4/15/2022 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,055,000 $ 18,149,969

Prime Security Services Borrower LLC/Prime Finance, Inc.9.25%, 5/15/2023 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,072,000 10,556,161

Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73,441,626

112,614,362

COMPUTERS — 2.0%Dell International LLC/EMC Corp.

7.13%, 6/15/2024 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,156,000 10,732,556EMC Corp.

2.65%, 6/1/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,517,000 16,518,652Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,324,764

67,575,972

COSMETICS/PERSONAL CARE — 1.0%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,272,810

DISTRIBUTION & WHOLESALE — 0.4%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,063,871

DIVERSIFIED FINANCIAL SERVICES — 4.9%Navient Corp.:

5.00%, 10/26/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,346,000 6,458,6415.50%, 1/25/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,667,000 8,168,5755.88%, 3/25/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,400,000 3,521,4145.88%, 10/25/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,292,000 5,664,3456.50%, 6/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,103,000 7,723,9446.63%, 7/26/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,187,000 4,427,9207.25%, 9/25/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,072,000 3,474,862Series MTN, 6.13%, 3/25/2024 (b) . . . . . . . . . . . . . . . . . . . . . 6,004,000 6,504,013Series MTN, 7.25%, 1/25/2022 . . . . . . . . . . . . . . . . . . . . . . . 5,079,000 5,522,244Series MTN, 8.00%, 3/25/2020 . . . . . . . . . . . . . . . . . . . . . . . 4,326,000 4,380,075

Springleaf Finance Corp.:5.63%, 3/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,945,000 7,474,8346.13%, 5/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,300,000 5,709,5316.13%, 3/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,221,000 9,016,4647.75%, 10/1/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,272,000 6,802,2988.25%, 12/15/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,788,000 8,194,845


165,983,098

ELECTRIC — 1.0%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,376,255

SPDR BLOOMBERG BARCLAYS SHORT TERM HIGH YIELD BOND ETFSUMMARY SCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



ELECTRICAL COMPONENTS & EQUIPMENT — 0.2%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,887,030

ELECTRONICS — 1.4%ADT Security Corp.

3.50%, 7/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,086,100 10,273,298Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,760,389

47,033,687

ENERGY-ALTERNATE SOURCES — 0.2%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,866,825

ENGINEERING & CONSTRUCTION — 0.1%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,246,946

ENTERTAINMENT — 1.5%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,288,809

ENVIRONMENTAL CONTROL — 0.5%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,062,000

FOOD — 1.2%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,836,105

FOOD SERVICE — 0.2%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,927,255

FOREST PRODUCTS & PAPER — 0.0%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,138,048

GAS — 0.3%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,593,163

HAND & MACHINE TOOLS — 0.1%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,518,319

HEALTH CARE PRODUCTS — 0.9%Avantor, Inc.


30,312,797

HEALTH CARE SERVICES — 6.8%CHS/Community Health Systems, Inc.:

5.13%, 8/1/2021 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,545,000 6,551,4806.25%, 3/31/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,897,000 21,202,3056.88%, 2/1/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,794,500 2,240,0716.88%, 4/1/2028 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,957,000 7,530,7388.00%, 12/15/2027 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,655,000 5,714,830




8.13%, 6/30/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,662,000 $ 7,095,7378.63%, 1/15/2024 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,456,000 3,668,1989.88%, 6/30/2023 (a)(b)(c)(d) . . . . . . . . . . . . . . . . . . . . . . . . 7,425,000 6,376,887

DaVita, Inc.5.13%, 7/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,762,000 12,063,695

HCA, Inc.:5.88%, 5/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,271,000 11,338,9797.50%, 2/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,323,000 13,620,982

Tenet Healthcare Corp.:4.63%, 7/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,739,000 14,116,9604.63%, 9/1/2024 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,939,000 4,109,3626.75%, 6/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,731,000 12,898,4698.13%, 4/1/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,791,000 24,090,822


228,872,236

HOLDING COMPANIES-DIVERSIFIED — 0.3%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,336,080

HOME BUILDERS — 2.1%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,846,151

HOME FURNISHINGS — 0.1%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,836,276

HOUSEHOLD PRODUCTS & WARES — 0.6%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,939,195

HOUSEWARES — 0.4%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,515,841

INSURANCE — 1.0%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,486,181

INTERNET — 1.4%Zayo Group LLC/Zayo Capital, Inc.

6.00%, 4/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,841,000 10,094,012Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,238,586

46,332,598

INVESTMENT COMPANY SECURITY — 0.9%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,597,084

IRON/STEEL — 0.5%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,275,497

LEISURE TIME — 0.5%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,436,958




LODGING — 1.9%MGM Resorts International

6.00%, 3/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,377,000 $ 11,403,285Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,254,130

62,657,415

MACHINERY, CONSTRUCTION & MINING — 0.3%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,953,363

MACHINERY-DIVERSIFIED — 0.2%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,018,112

MEDIA — 8.5%Altice Financing SA

6.63%, 2/15/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,343,000 15,620,401CCO Holdings LLC/CCO Holdings Capital Corp.:

4.00%, 3/1/2023 (a)(b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,515,000 2,555,1655.13%, 2/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,596,000 8,715,5705.13%, 5/1/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,796,000 9,001,7385.25%, 9/30/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,325,000 8,434,7245.75%, 9/1/2023 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,427,000 3,488,9605.75%, 1/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618,000 630,3605.88%, 4/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,494,000 16,101,520

Clear Channel Worldwide Holdings, Inc.9.25%, 2/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,315,000 13,656,473

CSC Holdings LLC5.25%, 6/1/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,543,000 10,285,064

DISH DBS Corp.:5.00%, 3/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,691,000 8,906,3635.13%, 5/1/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,955,000 8,019,0385.88%, 7/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,342,000 9,923,8205.88%, 11/15/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,961,000 16,336,2436.75%, 6/1/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,859,000 17,741,231

Sirius XM Radio, Inc.4.63%, 7/15/2024 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,579,000 14,227,126

Univision Communications, Inc.5.13%, 5/15/2023 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,699,000 12,690,746


288,434,811

METAL FABRICATE & HARDWARE — 0.2%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,201,078

MINING — 2.6%Freeport-McMoRan, Inc.:




3.55%, 3/1/2022 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13,812,000 $ 14,002,8823.88%, 3/15/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,506,000 17,850,518


86,315,224

MISCELLANEOUS MANUFACTURER — 0.4%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,873,220

OFFICE & BUSINESS EQUIPMENT — 1.1%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,612,958

OIL & GAS — 7.1%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241,118,454

OIL & GAS SERVICES — 1.3%Weatherford International, Ltd.

11.00%, 12/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,500,000 15,735,545Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,506,051

44,241,596

PACKAGING & CONTAINERS — 3.2%Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds

Group Issuer Lu:5.13%, 7/15/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,843,000 12,134,9305.75%, 10/15/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,475,666 23,512,2887.00%, 7/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,191,000 6,405,456


108,590,931

PHARMACEUTICALS — 1.7%Bausch Health Cos., Inc.:

5.50%, 3/1/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,915,000 1,926,0115.88%, 5/15/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,137,000 11,282,7836.50%, 3/15/2022 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,538,000 10,788,4887.00%, 3/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,554,000 13,096,835


58,379,272

PIPELINES — 3.3%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113,086,995

REAL ESTATE — 0.5%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,084,603

REAL ESTATE INVESTMENT TRUSTS — 2.6%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88,418,075




RETAIL — 3.9%Golden Nugget, Inc.

6.75%, 10/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,125,000 $ 11,510,036PetSmart, Inc.

7.13%, 3/15/2023 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,718,000 12,469,236Rite Aid Corp.


130,600,693

SOFTWARE — 2.3%Infor US, Inc.

6.50%, 5/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,708,000 11,904,343Solera LLC/Solera Finance, Inc.


77,378,523

STORAGE & WAREHOUSING — 0.0%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500,990

TELECOMMUNICATIONS — 10.6%CenturyLink, Inc.:

Series S, 6.45%, 6/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . 11,576,000 12,144,266Series T, 5.80%, 3/15/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . 10,552,000 11,113,788Series V, 5.63%, 4/1/2020 (b). . . . . . . . . . . . . . . . . . . . . . . . . 10,416,000 10,490,162Series W, 6.75%, 12/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . 4,986,000 5,566,021Series Y, 7.50%, 4/1/2024 (b) . . . . . . . . . . . . . . . . . . . . . . . . 7,071,000 7,996,877

CommScope, Inc.5.50%, 3/1/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,109,000 10,552,583

Intelsat Jackson Holdings SA:5.50%, 8/1/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,479,000 15,860,5268.00%, 2/15/2024 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,250,000 9,496,8828.50%, 10/15/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,060,000 21,031,1819.50%, 9/30/2022 (a)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,060,000 4,600,021

Sprint Communications, Inc.6.00%, 11/15/2022 (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,889,000 12,488,324

Sprint Corp.:7.13%, 6/15/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,813,000 9,496,9777.25%, 9/15/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,679,000 10,260,2247.88%, 9/15/2023 (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,591,000 19,413,076

Telecom Italia SpA5.30%, 5/30/2024 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,695,000 11,537,659




Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 186,304,569

358,353,136

TRANSPORTATION — 1.1%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,546,735

TRUCKING & LEASING — 0.1%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,424,050

TOTAL CORPORATE BONDS & NOTES(Cost $3,352,266,413) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,306,726,256

Shares

COMMON STOCKS — 0.1%CONSTRUCTION & ENGINEERING — 0.0%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93,109

DIVERSIFIED TELECOMMUNICATION SERVICES — 0.0%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,887

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164

HOUSEHOLD PRODUCTS — 0.0%Cenveo Enterprises, Inc. (e) (f) . . . . . . . . . . . . . . . . . . . . . . . . . 9,870 98,700

MEDIA — 0.0%Other Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259,334

OIL, GAS & CONSUMABLE FUELS — 0.0%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308,436

TRANSPORTATION INFRASTRUCTURE — 0.1%ATD New Holdings, Inc. (e) (f) . . . . . . . . . . . . . . . . . . . . . . . . . 41,112 1,027,800Erickson, Inc. (e) (f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,423 37,115

1,064,915

TOTAL COMMON STOCKS(Cost $16,810,171) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,830,545

PrincipalAmount

Senior Floating Rate Loans — 0.0%MEDIA — 0.0%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 743,862




WARRANTS — 0.0%ADVERTISING SERVICES — 0.0%Affinion Group, Inc. (expiring 11/20/22)

(Cost $0)(b) (e) (f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,802 $ —

CONSTRUCTION & ENGINEERING — 0.0%Abengoa Abenewco 2 SAU (expiring 10/11/24)

(Cost $0)(a) (e) (f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,407,135 —

MEDIA — 0.0%Other Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404,009

TOTAL WARRANTS(Cost $421,746) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404,009

SHORT-TERM INVESTMENTS — 11.0%State Street Institutional Liquid Reserves Fund, Premier Class

1.73% (g) (h) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,961,413 39,965,409State Street Navigator Securities Lending Portfolio II (i) (j) . . . . . 333,405,501 333,405,501

TOTAL SHORT-TERM INVESTMENTS(Cost $373,370,910) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373,370,910

TOTAL INVESTMENTS — 108.8%(Cost $3,743,610,849) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,683,075,582

LIABILITIES IN EXCESS OF OTHER ASSETS — (8.8)% . . . . (299,310,956)

NET ASSETS — 100.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,383,764,626

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “OtherSecurities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities andExchange Commission (“SEC”). In certain instances, securities for which footnotes listed below mayotherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings isavailable on the Fund’s website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257(toll-free) and on the SEC’s website at www.sec.gov.


(b) All or a portion of the shares of the security are on loan at December 31, 2019.(c) Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31,

2019. Maturity date shown is the final maturity.(d) Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities

based on a published reference rate and spread, the reference rate and spread are indicated in thedescription above.



(e) Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance withpolicy and procedures approved by the Board of Trustees. Security value is determined based onLevel 3 inputs. As of December 31, 2019, total aggregate fair value of the security is $1,163,615,representing less than 0.05% of the Fund’s net assets.

(f) Non-income producing security.(g) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc.

Amounts related to these transactions during the period ended December 31, 2019 are shown in theAffiliate Table below.

(h) The rate shown is the annualized seven-day yield at December 31, 2019.(i) The Fund invested in an affiliated entity. Amounts related to these transactions during the period

ended December 31, 2019 are shown in the Affiliate Table below.(j) Investment of cash collateral for securities loaned.MTN Medium Term Note



Quoted Prices




ASSETS:INVESTMENTS:Corporate Bonds & Notes . . . . . . . . . . . . . . . $ — $3,306,726,256 $ — $3,306,726,256

Common Stocks . . . . . . . . . . . . . . . . . . . . 660,879 6,051 1,163,615 1,830,545

Senior Floating Rate Loans. . . . . . . . . . . . . . . — 743,862 — 743,862

Warrants. . . . . . . . . . . . . . . . . . . . . . . . . — 404,009 — 404,009

Short-Term Investments . . . . . . . . . . . . . . . . 373,370,910 — — 373,370,910

TOTAL INVESTMENTS . . . . . . . . . . . . . . . $374,031,789 $3,307,880,178 $1,163,615 $3,683,075,582

Affiliate Table


at 6/30/19Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



Value at12/31/19

DividendIncome

State Street Institutional LiquidReserves Fund, Premier Class . . . — $ — $ 474,821,962 $ 434,857,642 $1,089 $— 39,961,413 $ 39,965,409 $ 366,361

State Street InstitutionalU.S. Government Money MarketFund, Class G Shares . . . . . . 67,526,653 67,526,653 115,091,971 182,618,624 — — — — 73,365

State Street Navigator SecuritiesLending Portfolio II. . . . . . . — — 471,722,020 138,316,519 — — 333,405,501 333,405,501 352,428

State Street Navigator SecuritiesLending Portfolio III . . . . . . 213,945,431 213,945,431 227,489,009 441,434,440 — — — — 689,055

Total . . . . . . . . . . . . . . $281,472,084 $1,289,124,962 $1,197,227,225 $1,089 $— $373,370,910 $1,481,209



SPDR BloombergBarclays Convertible

Securities ETF

SPDR BloombergBarclays High Yield

Bond ETF

SPDR BloombergBarclays Short TermHigh Yield Bond ETF

ASSETSInvestments in unaffiliated issuers, at

value*. . . . . . . . . . . . . . . . . . . . . . . $4,382,300,094 $11,297,296,437 $3,309,704,672Investments in affiliated issuers, at value. . . 397,812,143 1,100,659,168 373,370,910

Total Investments. . . . . . . . . . . . . . . . 4,780,112,237 12,397,955,605 3,683,075,582Cash . . . . . . . . . . . . . . . . . . . . . . . . . 138,176 2,387,606 848,735Receivable for investments sold . . . . . . . . 34,636,543 165,729,084 26,301,169Receivable for fund shares sold. . . . . . . . . — 131,361,021 24,202,339Dividends receivable — unaffiliated issuers . 3,571,419 — —Dividends receivable — affiliated issuers . . 987,270 59,163 75,107Interest receivable — unaffiliated issuers . . 11,138,371 184,966,458 53,028,700Securities lending income receivable —

unaffiliated issuers . . . . . . . . . . . . . . . 5,219 10,308 5,463Securities lending income receivable —

affiliated issuers . . . . . . . . . . . . . . . . 139,299 460,461 195,248Receivable for foreign taxes recoverable . . . — 183,421 15,448Other Receivable . . . . . . . . . . . . . . . . . 264 3,404 7

TOTAL ASSETS . . . . . . . . . . . . . 4,830,728,798 12,883,116,531 3,787,747,798LIABILITIES

Payable upon return of securities loaned . . . 274,981,743 1,091,919,478 333,405,501Payable for investments purchased. . . . . . . 33,451,018 173,871,495 45,250,043Payable for fund shares repurchased. . . . . . — 153,236,800 24,208,115Advisory fee payable . . . . . . . . . . . . . . . 1,503,656 3,731,877 1,107,208Trustees’ fees and expenses payable . . . . . . 13,005 28,452 12,305

TOTAL LIABILITIES . . . . . . . . . 309,949,422 1,422,788,102 403,983,172NET ASSETS . . . . . . . . . . . . . . . $4,520,779,376 $11,460,328,429 $3,383,764,626

NET ASSETS CONSIST OF:Paid-in Capital . . . . . . . . . . . . . . . . . . . $4,159,689,776 $12,813,819,590 $3,899,916,211Total distributable earnings (loss) . . . . . . . 361,089,600 (1,353,491,161) (516,151,585)

NET ASSETS . . . . . . . . . . . . . . . $4,520,779,376 $11,460,328,429 $3,383,764,626

NET ASSET VALUE PER SHARENet asset value per share. . . . . . . . . . . . . $ 55.40 $ 109.49 $ 26.90

Shares outstanding (unlimited amountauthorized, $0.01 par value) . . . . . . . . . 81,600,000 104,674,605 125,800,000

COST OF INVESTMENTS:Investments in unaffiliated issuers . . . . . . . $3,917,514,081 $11,428,199,226 $3,370,239,939Investments in affiliated issuers . . . . . . . . 386,489,415 1,100,659,168 373,370,910Total cost of investments. . . . . . . . . . . . . $4,304,003,496 $12,528,858,394 $3,743,610,849

* Includes investments in securities on loan,at value . . . . . . . . . . . . . . . . . . . . . . $ 288,618,576 $ 1,206,707,470 $ 372,326,987

SPDR SERIES TRUSTSTATEMENTS OF ASSETS AND LIABILITIESDecember 31, 2019 (Unaudited)


SPDR BloombergBarclays

ConvertibleSecurities ETF

SPDR BloombergBarclays High

Yield Bond ETF

SPDR BloombergBarclays Short

Term High YieldBond ETF

INVESTMENT INCOMEInterest income — unaffiliated

issuers . . . . . . . . . . . . . . . . . . . . . $ (3,072,367) $283,801,605 $ 90,923,489Dividend income — unaffiliated

issuers . . . . . . . . . . . . . . . . . . . . . 22,186,753 — —Dividend income — affiliated issuers . 2,493,145 676,935 439,726Unaffiliated securities lending

income . . . . . . . . . . . . . . . . . . . . . 39,136 302,604 62,615Affiliated securities lending income . . 715,111 2,315,582 1,041,483

TOTAL INVESTMENT INCOME(LOSS). . . . . . . . . . . . . . . . . . . . . 22,361,778 287,096,726 92,467,313

EXPENSESAdvisory fee. . . . . . . . . . . . . . . . . . . 8,242,350 19,962,091 6,246,051Trustees’ fees and expenses . . . . . . . . 34,527 78,806 27,938Miscellaneous expenses. . . . . . . . . . . 3,304 6,839 2,558

TOTAL EXPENSES . . . . . . . . . . . . 8,280,181 20,047,736 6,276,547

NET INVESTMENT INCOME(LOSS). . . . . . . . . . . . . . . . . . . . . $ 14,081,597 $267,048,990 $ 86,190,766

REALIZED AND UNREALIZEDGAIN (LOSS)Net realized gain (loss) on:

Investments — unaffiliated issuers . 74,760,669 (92,353,343) (40,529,129)Investments — affiliated issuers . . . 75,969 (8,468) 1,089In-kind redemptions — unaffiliated

issuers . . . . . . . . . . . . . . . . . . . . 16,900,081 118,346,095 14,498,762

Net realized gain (loss). . . . . . . . . . 91,736,719 25,984,284 (26,029,278)

Net change in unrealizedappreciation/depreciation on:Investments — unaffiliated issuers . 180,516,898 80,573,046 5,458,089Investment — affiliated issuers . . . . 7,893,477 — —

Net change in unrealizedappreciation/depreciation . . . . . . 188,410,375 80,573,046 5,458,089

NET REALIZED ANDUNREALIZED GAIN (LOSS) . . . 280,147,094 106,557,330 (20,571,189)

NET INCREASE (DECREASE) INNET ASSETS FROMOPERATIONS . . . . . . . . . . . . . . . . $294,228,691 $373,606,320 $ 65,619,577

SPDR SERIES TRUSTSTATEMENTS OF OPERATIONSFor the Six Months Ended December 31, 2019 (Unaudited)


SPDR Bloomberg Barclays ConvertibleSecurities ETF

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

INCREASE (DECREASE) IN NET ASSETS FROMOPERATIONS:Net investment income (loss) . . . . . . . . . . . . . . . . . . . $ 14,081,597 $ (24,708,391)Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . 91,736,719 289,862,075Net change in unrealized appreciation/depreciation. . . . 188,410,375 (104,836,108)

Net increase (decrease) in net assets resulting fromoperations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294,228,691 160,317,576

Net equalization credits and charges . . . . . . . . . . . . . . 10,555,449 3,239,652

Distributions to shareholders. . . . . . . . . . . . . . . . . . . . (98,568,213) (232,294,018)

FROM BENEFICIAL INTEREST TRANSACTIONS:Proceeds from sale of shares sold . . . . . . . . . . . . . . . . . . 595,135,268 1,294,000,771Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (128,426,866) (1,839,526,219)Net income equalization . . . . . . . . . . . . . . . . . . . . . . . . (10,555,449) (3,239,652)Other Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,038 10,335

Net increase (decrease) in net assets from beneficialinterest transactions . . . . . . . . . . . . . . . . . . . . . . . . . . 456,165,991 (548,754,765)

Net increase (decrease) in net assets during the period. . 662,381,918 (617,491,555)

Net assets at beginning of period . . . . . . . . . . . . . . . . . 3,858,397,458 4,475,889,013

NET ASSETS AT END OF PERIOD . . . . . . . . . . . . . . $4,520,779,376 $ 3,858,397,458

SHARES OF BENEFICIAL INTEREST:Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,100,000 25,000,000Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,400,000) (36,400,000)

Net increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . 8,700,000 (11,400,000)

SPDR SERIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS


SPDR Bloomberg Barclays High YieldBond ETF

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19(a)

INCREASE (DECREASE) IN NET ASSETS FROMOPERATIONS:Net investment income (loss) . . . . . . . . . . . . . . . . . . . $ 267,048,990 $ 501,109,256Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . 25,984,284 (165,104,248)Net change in unrealized appreciation/depreciation . . . 80,573,046 293,375,955

Net increase (decrease) in net assets resulting fromoperations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373,606,320 629,380,963

Net equalization credits and charges . . . . . . . . . . . . . . 7,008,498 4,600,515

Distributions to shareholders . . . . . . . . . . . . . . . . . . . (317,291,012) (506,773,400)

FROM BENEFICIAL INTERESTTRANSACTIONS:

Proceeds from sale of shares sold . . . . . . . . . . . . . . . . . . 14,188,513,589 29,165,145,088Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . (12,187,841,299) (29,394,147,248)Net income equalization . . . . . . . . . . . . . . . . . . . . . . . . (7,008,498) (4,600,515)Other Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,101,897 2,107,432

Net increase (decrease) in net assets from beneficialinterest transactions . . . . . . . . . . . . . . . . . . . . . . . . . . 1,994,765,689 (231,495,243)

Net increase (decrease) in net assets during the period . 2,058,089,495 (104,287,165)

Net assets at beginning of period. . . . . . . . . . . . . . . . . 9,402,238,934 9,506,526,099

NET ASSETS AT END OF PERIOD . . . . . . . . . . . . . . $ 11,460,328,429 $ 9,402,238,934

SHARES OF BENEFICIAL INTEREST:Shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131,000,001 274,466,667Shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (112,800,000) (277,000,000)

Net increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . 18,200,001 (2,533,333)

(a) On May 6, 2019, the SPDR Bloomberg Barclays High Yield Bond ETF underwent a 1-for-3 reverse sharesplit. The capital share activity presented here has been retroactively adjusted to reflect this split. SeeNote 11.

SPDR SERIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS (continued)


SPDR Bloomberg BarclaysShort Term High Yield Bond ETF

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

INCREASE (DECREASE) IN NET ASSETS FROMOPERATIONS:Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . $ 86,190,766 $ 185,743,059Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . (26,029,278) (67,938,617)Net change in unrealized appreciation/depreciation . . . . . 5,458,089 45,979,497

Net increase (decrease) in net assets resulting fromoperations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,619,577 163,783,939

Net equalization credits and charges . . . . . . . . . . . . . . . . 785,460 (1,587,606)

Distributions to shareholders . . . . . . . . . . . . . . . . . . . . . (100,468,644) (186,601,669)

FROM BENEFICIAL INTEREST TRANSACTIONS:Proceeds from sale of shares sold. . . . . . . . . . . . . . . . . . . . 1,949,597,753 4,327,408,255Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . (1,569,854,903) (4,810,818,700)Net income equalization . . . . . . . . . . . . . . . . . . . . . . . . . . (785,460) 1,587,606Other Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58,303 254,002

Net increase (decrease) in net assets from beneficialinterest transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 379,015,693 (481,568,837)

Net increase (decrease) in net assets during the period . . . 344,952,086 (505,974,173)

Net assets at beginning of period . . . . . . . . . . . . . . . . . . 3,038,812,540 3,544,786,713

NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . $ 3,383,764,626 $ 3,038,812,540

SHARES OF BENEFICIAL INTEREST:Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72,600,000 160,200,000Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (58,500,000) (178,200,000)

Net increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . 14,100,000 (18,000,000)

SPDR SERIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS (continued)


SPDR Bloomberg Barclays Convertible Securities ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded6/30/18

YearEnded6/30/17

YearEnded6/30/16

YearEnded6/30/15

Net asset value, beginning of period . $ 52.93 $ 53.09 $ 49.53 $ 43.78 $ 47.44 $ 50.30

Income (loss) from investmentoperations:

Net investment income (loss) (a) . . . . 0.18 (0.30) 0.23 0.98 0.82 0.37Net realized and unrealized gain

(loss) (b) . . . . . . . . . . . . . . . 3.40 2.88 5.40 7.17 (1.38) 0.22

Total from investment operations . . . . 3.58 2.58 5.63 8.15 (0.56) 0.59

Net equalization credits and charges (a). 0.14 0.04 0.01 (0.33) 0.34 (0.05)

Other capital (a). . . . . . . . . . . . . 0.00(c) 0.00(c) 0.00(c) 0.02 0.00(c) 0.01

Distributions to shareholders from:Net investment income . . . . . . . . . (1.25) (2.78) (2.08) (2.09) (2.32) (2.12)Net realized gains . . . . . . . . . . . . — — — — (1.12) (1.29)

Total distributions . . . . . . . . . . . . (1.25) (2.78) (2.08) (2.09) (3.44) (3.41)

Net asset value, end of period . . . . . $ 55.40 $ 52.93 $ 53.09 $ 49.53 $ 43.78 $ 47.44

Total return (d). . . . . . . . . . . . . 7.10% 5.51% 11.62% 18.34% (0.13)% 1.27%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . $4,520,779 $3,858,397 $4,475,889 $3,873,400 $2,197,606 $3,045,439Ratios to average net assets:Total expenses . . . . . . . . . . . . . 0.40%(e) 0.40% 0.40% 0.40% 0.40% 0.40%Net investment income (loss) . . . . . . 0.68%(e) (0.58)% 0.44% 2.12% 1.84% 0.75%Portfolio turnover rate (f) . . . . . . . . 17%(g) 36% 40% 32% 30% 38%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents theper share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains andlosses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relationto fluctuating market values for the Fund.

(c) Amount is less than $0.005 per share.(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset

value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to bereinvested at net asset value per share on the respective payment dates of each distribution. Total returns forperiods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(e) Annualized.(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or

redemptions.(g) Not annualized.

SPDR SERIES TRUSTFINANCIAL HIGHLIGHTSSelected data for a share outstanding throughout each period



Six MonthsEnded

12/31/19(Unaudited)

YearEnded

6/30/19(a)

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)

Net asset value, beginningof period. . . . . . . . . . . . . . $ 108.73 $ 106.80 $ 111.30 $ 105.84 $ 115.02 $ 124.89


Net investment income (loss) (b) . . . 2.91 6.08 5.85 6.54 6.66 6.78Net realized and unrealized gain

(loss) (c) . . . . . . . . . . . . . . 1.17 1.84 (4.53) 5.49 (9.30) (9.93)

Total from investment operations . . . 4.08 7.92 1.32 12.03 (2.64) (3.15)

Net equalization credits andcharges (b) . . . . . . . . . . . . . 0.08 0.06 0.00(d) 0.00(d) 0.09 0.03

Other capital (b) . . . . . . . . . . . 0.01 0.03 0.03 0.03 0.03 0.03

Distributions to shareholders from:Net investment income . . . . . . . . (3.42) (6.08) (5.85) (6.60) (6.66) (6.78)

Net asset value, end of period . . . . $ 109.48 $ 108.73 $ 106.80 $ 111.30 $ 105.84 $ 115.02

Total return (e) . . . . . . . . . . . 3.92% 7.81% 1.23% 11.65% (1.99)% (2.50)%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . $11,460,328 $9,402,239 $9,506,526 $11,613,180 $11,238,281 $9,797,126Ratios to average net assets:Total expenses . . . . . . . . . . . . 0.40%(f) 0.40% 0.40% 0.40% 0.40% 0.40%Net investment income (loss) . . . . . 5.35%(f) 5.72% 5.34% 5.97% 6.32% 5.71%Portfolio turnover rate (g) . . . . . . 24%(h) 44% 38% 46% 59% 34%

(a) On May 6, 2019, the SPDR Bloomberg Barclays High Yield Bond ETF underwent a 1-for-3 reverse share split.The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 11.

(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents theper share data for the period.

(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains andlosses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relationto fluctuating market values for the Fund.

(d) Amount is less than $0.005 per share.(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset


(f) Annualized.(g) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or

redemptions.(h) Not annualized.

SPDR SERIES TRUSTFINANCIAL HIGHLIGHTS (continued)Selected data for a share outstanding throughout each period



Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded6/30/18

YearEnded6/30/17

YearEnded6/30/16

YearEnded6/30/15

Net asset value, beginning of period . $ 27.21 $ 27.33 $ 27.92 $ 26.80 $ 28.82 $ 30.86


Net investment income (loss) (a) . . . . 0.75 1.54 1.48 1.62 1.51 1.51Net realized and unrealized gain

(loss) (b) . . . . . . . . . . . . . . . (0.20) (0.11) (0.58) 1.10 (2.02) (2.04)

Total from investment operations . . . . 0.55 1.43 0.90 2.72 (0.51) (0.53)

Net equalization credits and charges (a). 0.01 (0.01) (0.01) 0.02 (0.01) 0.00(c)

Other capital (a). . . . . . . . . . . . . 0.00(c) 0.00(c) 0.00(c) 0.00(c) 0.00(c) 0.00(c)

Distributions to shareholders from:Net investment income . . . . . . . . . (0.87) (1.54) (1.48) (1.62) (1.50) (1.51)

Net asset value, end of period . . . . . $ 26.90 $ 27.21 $ 27.33 $ 27.92 $ 26.80 $ 28.82

Total return (d). . . . . . . . . . . . . 2.11% 5.37% 3.30% 10.43% (1.61)% (1.72)%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . $3,383,765 $3,038,813 $3,544,787 $4,022,599 $3,138,527 $4,237,219Ratios to average net assets:Total expenses . . . . . . . . . . . . . 0.40%(e) 0.40% 0.40% 0.40% 0.40% 0.40%Net investment income (loss) . . . . . . 5.52%(e) 5.67% 5.37% 5.85% 5.66% 5.13%Portfolio turnover rate (f) . . . . . . . . 40%(g) 65% 53% 57% 39% 39%

(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents theper share data for the period.

(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains andlosses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relationto fluctuating market values for the Fund.

(c) Amount is less than $0.005 per share.(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset


(e) Annualized.(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or

redemptions.(g) Not annualized.

SPDR SERIES TRUSTFINANCIAL HIGHLIGHTS (continued)Selected data for a share outstanding throughout each period


1. Organization

SPDR Series Trust (the “Trust”), a Massachusetts business trust, registered under theInvestment Company Act of 1940, as amended (“1940 Act”), is an open-endmanagement investment company.

As of December 31, 2019, the Trust consists of eighty-one (81) series, each of whichrepresents a separate series of beneficial interest in the Trust. The Declaration of Trustpermits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of anunlimited number of shares of beneficial interest at $0.01 par value. The financialstatements herein relate to the following series (each a “Fund”, and collectively, the“Funds”):

SPDR Bloomberg Barclays Convertible Securities ETFSPDR Bloomberg Barclays High Yield Bond ETFSPDR Bloomberg Barclays Short Term High Yield Bond ETF

Each Fund is classified as a diversified investment company under the 1940 Act.

Under the Trust’s organizational documents, its officers and trustees are indemnifiedagainst certain liabilities arising out of the performance of their duties to the Trust.Additionally, in the normal course of business, the Trust enters into contracts withservice providers that contain general indemnification clauses. The Trust’s maximumexposure under these arrangements is unknown as this would involve future claims thatmay be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust inthe preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally acceptedaccounting principles (“U.S. GAAP”) requires management to make estimates andassumptions that affect the reported amounts and disclosures in the financial statements.Actual results could differ from those estimates. Each Fund is an investment companyunder U.S. GAAP and follows the accounting and reporting guidance applicable toinvestment companies.

Security Valuation

Each Fund’s investments are valued at fair value each day that the New York StockExchange (“NYSE”) is open and, for financial reporting purposes, as of the report dateshould the reporting period end on a day that the NYSE is not open. Fair value isgenerally defined as the price a fund would receive to sell an asset or pay to transfer a

SPDR SERIES TRUSTNOTES TO FINANCIAL STATEMENTSDecember 31, 2019 (Unaudited)

45

liability in an orderly transaction between market participants at the measurement date.By its nature, a fair value price is a good faith estimate of the valuation in a current saleand may not reflect an actual market price. The investments of each Fund are valuedpursuant to the policy and procedures developed by the Oversight Committee (the“Committee”) and approved by the Board. The Committee provides oversight of thevaluation of investments for the Funds. The Board has responsibility for overseeing thedetermination of the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are asfollows:

• Equity investments (including preferred stocks and registered investment companiesthat are exchange-traded funds) traded on a recognized securities exchange for whichmarket quotations are readily available are valued at the last sale price or officialclosing price, as applicable, on the primary market or exchange on which they trade.Equity investments traded on a recognized exchange for which there were no sales onthat day are valued at the last published sale price or at fair value.

• Investments in registered investment companies (including money market funds) orother unitized pooled investment vehicles that are not traded on an exchange arevalued at that day’s published net asset value (“NAV”) per share or unit.

• Debt obligations (including short-term investments and convertible debt securities) arevalued using quotations from independent pricing services or brokers or are generallyvalued at the last reported evaluated prices.

• Rights and warrants are valued at the last reported sale price obtained fromindependent pricing services or brokers on the valuation date. If no price is obtainedfrom pricing services or brokers, valuation will be based upon the intrinsic value,pursuant to the valuation policy and procedures approved by the Board.

In the event prices or quotations are not readily available or that the application of thesevaluation methods results in a price for an investment that is deemed to be notrepresentative of the fair value of such investment, fair value will be determined in goodfaith by the Committee, in accordance with the valuation policy and proceduresapproved by the Board.

Fair value pricing could result in a difference between the prices used to calculate aFund’s NAV and the prices used by the Funds’ underlying benchmarks. Various inputsare used in determining the value of the Funds’ investments.

SPDR SERIES TRUSTNOTES TO FINANCIAL STATEMENTS (continued)December 31, 2019 (Unaudited)

46

The Funds value their assets and liabilities at fair value using a fair value hierarchyconsisting of three broad levels that prioritize the inputs to valuation techniques givingthe highest priority to readily available unadjusted quoted prices in active markets foridentical assets or liabilities (Level 1 measurements) and the lowest priority tounobservable inputs (Level 3 measurements) when market prices are not readilyavailable or reliable. The categorization of a value determined for an investment withinthe hierarchy is based upon the pricing transparency of the investment and is notnecessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 – Inputs other than quoted prices included within Level 1 that are observablefor the asset or liability either directly or indirectly, including quoted prices for similarassets or liabilities in active markets, quoted prices for identical or similar assets orliabilities in markets that are not considered to be active, inputs other than quotedprices that are observable for the asset or liability (such as exchange rates, financingterms, interest rates, yield curves, volatilities, prepayment speeds, loss severities,credit risks and default rates) or other market-corroborated inputs; and

• Level 3 – Unobservable inputs for the asset or liability, including the Committee’sassumptions used in determining the fair value of investments.

The value of each Fund’s investments, according to the fair value hierarchy as ofDecember 31, 2019, is disclosed in each Fund’s respective Schedule of Investments.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes.Realized gains and losses from the sale or disposition of investments and foreignexchange transactions, if any, are determined using the identified cost method. Dividendincome and capital gain distributions, if any, are recognized on the ex-dividend date, orwhen the information becomes available, net of any foreign taxes withheld at source, ifany. Interest income is recorded daily on an accrual basis. All premiums and discountsare amortized/accreted for financial reporting purposes. Non-cash dividends received inthe form of stock, if any, are recorded as dividend income at fair value. Distributionsreceived by the Fund’s may include a return of capital that is estimated by management.Such amounts are recorded as a reduction of the cost of investments or reclassified tocapital gains.


47

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to thatFund within the Trust. Other expenses which cannot be attributed to a specific Fund areallocated in such a manner as deemed equitable, taking into consideration the nature andtype of expense and the relative net assets of the Funds within the Trust.

Foreign Currency Translation

The accounting records of the Funds are maintained in U.S. dollars. Foreign currenciesas well as investment securities and other assets and liabilities denominated in a foreigncurrency are translated to U.S. dollars using exchange rates at period end. Purchases andsales of securities, income receipts and expense payments denominated in foreigncurrencies are translated into U.S. dollars at the prevailing exchange rate on therespective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the netrealized and unrealized gain (loss) on investment securities. Other foreign currencytransactions resulting in realized and unrealized gain (loss) are disclosed separately.

Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) onincome, stock dividends, realized and unrealized capital gains on investments or certainforeign currency transactions. Foreign taxes are recorded in accordance with SSGAFunds Management, Inc. (the “Adviser” or “SSGA FM”). understanding of theapplicable foreign tax regulations and rates that exist in the foreign jurisdictions inwhich the Funds invest. These foreign taxes, if any, are paid by the Funds and arereflected in the Statements of Operations, if applicable. Foreign taxes payable ordeferred as of December 31, 2019, if any, are disclosed in the Funds’ Statements ofAssets and Liabilities.

Equalization

The Funds in the Trust follow the accounting practice known as “Equalization” bywhich a portion of the proceeds from sales and costs of reacquiring Fund shares,equivalent on a per share basis to the amount of distributable net investment income onthe date of the transaction, is credited or charged to undistributed net investmentincome. As a result, undistributed net investment income per share is unaffected by salesor reacquisition of Fund shares. Amounts related to Equalization can be found on theStatements of Changes in Net Assets.


48

The following Funds utilized equalization during the period ended December 31, 2019:

SPDR Bloomberg Barclays Convertible Securities ETFSPDR Bloomberg Barclays High Yield Bond ETFSPDR Bloomberg Barclays Short Term High Yield Bond ETF

Distributions

Distributions from net investment income, if any, are declared and paid monthly. Netrealized capital gains, if any, are distributed annually. Dividends may be declared andpaid more frequently or at any other times to improve Index tracking or to comply withthe distribution requirements of the Internal Revenue Code of 1986, as amended (the“Internal Revenue Code”). The amount and character of income and capital gains to bedistributed are determined in accordance with applicable tax regulations which maydiffer from net investment income and realized gains recognized for U.S. GAAPpurposes.

3. Fees and Transactions with Affiliates

Advisory Fee

The Trust, on behalf of each Fund, has entered into an Investment Advisory Agreementwith SSGA FM. For its advisory services to the Funds, facilities furnished, andexpenses borne by the Adviser, each Fund pays the Adviser a fee(“Management/Advisory fee”) accrued daily and paid monthly, based on a percentage ofeach Fund’s average daily net assets as shown in the following table:

Annual Rate

SPDR Bloomberg Barclays Convertible Securities ETF . . . . . . . . . . . . . . . . . . . 0.40%

SPDR Bloomberg Barclays High Yield Bond ETF. . . . . . . . . . . . . . . . . . . . . . . 0.40

SPDR Bloomberg Barclays Short Term High Yield Bond ETF . . . . . . . . . . . . . . 0.40

The Adviser pays all the operating expenses of each Fund other than the managementfee, brokerage expenses, taxes, interest, the fees and expenses of the IndependentTrustees (including any Trustees’ counsel fees), acquired fund fees and expenses,litigation expenses, and other extraordinary expenses.

The Adviser has contractually agreed to waive a portion of its management fee and/orreimburse expenses in an amount equal to any acquired fund fees and expenses(excluding holdings in acquired funds for cash management purposes, if any) for eachFund until October 31, 2020.


49

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“StateStreet”), an affiliate of the Adviser, serves as custodian, sub-administrator and transferagent. State Street receives fees for its services as custodian, sub-administrator andtransfer agent from the Adviser.

Distributor

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the“Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.

Other Transactions with Affiliates - Securities Lending

State Street, an affiliate of the Funds, acts as the securities lending agent for the Funds,pursuant to an amended and restated securities lending authorization agreement datedJanuary 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income areallocated as follows (after deduction of such other amounts payable to State Street underthe terms of the securities lending agreement): 85% payable to the Fund, and 15%payable to State Street.

In addition, cash collateral from lending activities is invested in the State StreetNavigator Securities Lending Portfolio II, an affiliated fund, for which SSGA FM servesas investment adviser. See Note 8 for additional information regarding securitieslending.

Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State StreetCorporation, affiliated funds, or entities deemed to be affiliates as a result of the Fundsowning more than five percent of the entity’s voting securities or outstanding shares.Amounts relating to these transactions during the period ended December 31, 2019 aredisclosed in the Schedules of Investments.

4. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of theTrust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by theFunds. The Independent Trustees are reimbursed for travel and other out-of-pocketexpenses in connection with meeting attendance and industry seminars.


50

5. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions and short terminvestments) for the period ended December 31, 2019, were as follows:

Purchases Sales

SPDR Bloomberg Barclays Convertible Securities ETF. . . . . . . . . . $ 721,289,544 $ 702,022,153

SPDR Bloomberg Barclays High Yield Bond ETF . . . . . . . . . . . . . 2,570,139,730 2,407,051,012

SPDR Bloomberg Barclays Short Term High Yield Bond ETF . . . . . 1,209,854,954 1,194,890,359

For the period ended December 31, 2019, the following Funds had in-kindcontributions, redemptions and net realized gains/losses in the amounts as follows:

In-kindContributions

In-kindRedemptions

In-kind NetRealized

Gains/(Losses)

SPDR Bloomberg Barclays ConvertibleSecurities ETF . . . . . . . . . . . . . . . . . . . . . . $ 596,185,640 $ 128,346,466 $ 16,900,081

SPDR Bloomberg Barclays High Yield BondETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,643,925,176 11,860,510,768 118,346,095

SPDR Bloomberg Barclays Short Term HighYield Bond ETF . . . . . . . . . . . . . . . . . . . . . 1,909,653,396 1,541,534,120 14,498,762

6. Shareholder Transactions

Each Fund issues and redeems its shares, at NAV, by each Fund only in aggregations ofa specified number of shares or multiples thereof (“Creation Units”). Except whenaggregated in Creation Units, shares of each Fund are not redeemable. Transactions incapital shares for each Fund are disclosed in detail in the Statements of Changes in NetAssets.

The consideration for the purchase of Creation Units of a Fund may consist of thein-kind deposit of a designated portfolio of securities and a specified amount of cash.Investors purchasing and redeeming Creation Units may pay a purchase transaction feeand a redemption transaction fee directly to the Trust and/or custodian to offset transferand other transaction costs associated with the issuance and redemption of CreationUnits, including Creation Units for cash. An additional variable fee may be charged forcertain transactions. Such variable charges, if any, are included in “Other Capital” on theStatements of Changes in Net Assets.


51

7. Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investmentcompanies under Subchapter M of the Internal Revenue Code. Each Fund will not besubject to federal income taxes to the extent it distributes its taxable income, includingany net realized capital gains, for each fiscal year. Therefore, no provision for federalincome tax is required.

The Funds file federal and various state and local tax returns as required. No income taxreturns are currently under examination. Generally, the federal returns are subject toexamination by the Internal Revenue Service for a period of three years from date offiling, while the state returns may remain open for an additional year depending uponjurisdiction. As of June 30, 2019, SSGA FM has analyzed each Fund’s tax positionstaken on tax returns for all open years and does not believe there are any uncertain taxpositions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends andgain distributions are determined in accordance with income tax rules and regulations,which may differ from generally accepted accounting principles.

As of December 31, 2019, gross unrealized appreciation and gross unrealizeddepreciation of investments based on cost for federal income tax purposes were asfollows:

TaxCost

GrossUnrealized

Appreciation

GrossUnrealized

Depreciation

Net UnrealizedAppreciation

(Depreciation)

SPDR Bloomberg Barclays Convertible Securities ETF . . . . . . . . $ 4,488,618,400 $599,199,125 $307,705,288 $ 291,493,837

SPDR Bloomberg Barclays High Yield Bond ETF . . . . . . . . . . . 12,531,425,408 95,126,555 228,596,358 (133,469,803)

SPDR Bloomberg Barclays Short Term High Yield Bond ETF . . . . . 3,745,803,383 29,294,313 92,022,114 (62,727,801)

8. Securities Lending

Each Fund may lend securities to qualified broker-dealers or institutional investors. Theloans are secured at all times by cash, cash equivalents or U.S. government securities inan amount at least equal to the market value of the securities loaned, plus accruedinterest and dividends, determined on a daily basis and adjusted accordingly. The valueof the collateral with respect to a loaned security may be temporarily more or less thanthe value of a security due to market fluctuations of securities values. With respect toeach loan, if on any U.S. business day the aggregate market value of securities collateralplus cash collateral is less than the aggregate market value of the securities which aresubject to the loan, the borrower will be notified to provide additional collateral on thenext business day.


52

The Funds will regain record ownership of loaned securities to exercise certainbeneficial rights; however, the Funds may bear the risk of delay in recovery of, or evenloss of rights in the securities loaned should the borrower fail financially. In addition, aFund will bear the risk of loss of any cash collateral that it may invest. Each Fundreceives compensation for lending its securities from interest or dividends earned on thecash, cash equivalents or U.S. government securities held as collateral, net of fee rebatespaid to the borrower and net of fees paid to State Street as the lending agent.Additionally, a Fund will receive a fee from the borrower for non-cash collateral equalto a percentage of the market value of the loaned securities.

The market value of securities on loan as of December 31, 2019, and the value of theinvested cash collateral are disclosed in the Funds’ Statements of Assets and Liabilities.Non-cash collateral is not disclosed in the Funds’ Statements of Assets and Liabilities asit is held by the lending agent on behalf of the Funds, and the Funds do not have theability to re-hypothecate those securities. Securities lending income, as disclosed in theFunds’ Statements of Operations, represents the income earned from the non-cashcollateral and the investment of cash collateral, net of fee rebates paid to the borrowerand net of fees paid to State Street as lending agent.

The following is a summary of each Fund’s securities lending agreements and relatedcash and non-cash collateral received as of December 31, 2019:

FundMarket Value of

Securities on Loan

CashCollateralReceived

Non-CashCollateralReceived*

TotalCollateralReceived

SPDR Bloomberg BarclaysConvertible Securities ETF . . $ 288,618,576 $ 274,981,743 $ 19,247,093 $ 294,228,836

SPDR Bloomberg BarclaysHigh Yield Bond ETF . . . . . 1,206,707,470 1,091,919,478 140,818,336 1,232,737,814

SPDR Bloomberg BarclaysShort Term High Yield BondETF . . . . . . . . . . . . . . . . . 372,326,987 333,405,501 47,213,641 380,619,142

* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.


53

The following table reflects a breakdown of transactions accounted for as securedborrowings, the gross obligation by the type of collateral pledged or securities loaned,and the remaining contractual maturity of those transactions as of December 31, 2019:

Remaining Contractual Maturity of the AgreementsAs of December 31, 2019

Fund

SecuritiesLending

Transactions

Overnightand

Continuous <30 Days

Between30 & 90

Days >90 DaysTotal

Borrowings

Gross Amountof RecognizedLiabilities for

Securities LendingTransactions

SPDR BloombergBarclaysConvertibleSecurities ETF . . Convertible Preferred Stocks $ 23,422,453 $— $— $— $ 23,422,453 $ 23,422,453

SPDR BloombergBarclaysConvertibleSecurities ETF . . Corporate Bonds & Notes 251,559,290 — — — 251,559,290 251,559,290

SPDR BloombergBarclays HighYield Bond ETF . Common Stocks 45,000 — — — 45,000 45,000

SPDR BloombergBarclays HighYield Bond ETF . Corporate Bonds & Notes 1,091,874,478 — — — 1,091,874,478 1,091,874,478

SPDR BloombergBarclays ShortTerm High YieldBond ETF . . . . Corporate Bonds & Notes 333,399,650 — — — 333,399,650 333,399,650

SPDR BloombergBarclays ShortTerm High YieldBond ETF . . . . Warrants 5,851 — — — 5,851 5,851

9. Line of Credit

The Funds and other affiliated funds (each a “Participant” and, collectively, the“Participants”) have access to $200 million of a $500 million revolving credit facilityprovided by a syndication of banks under which the Participants may borrow to fundshareholder redemptions. This agreement expires in October 2020 unless extended orrenewed.

The Participants are charged an annual commitment fee which is calculated based onthe unused portion of the shared credit line. Commitment fees are allocated among eachof the Participants based on relative net assets. Commitment fees are ordinary fundoperating expenses paid by the Adviser. A Participant incurs and pays the interest


54

expense related to its borrowing. Interest is calculated at a rate per annum equal to thesum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

The Funds had no outstanding loans as of December 31, 2019.

10. Risks

Concentration Risk

As a result of the Funds’ ability to invest a large percentage of their assets in obligationsof issuers within the same country, state, region, currency or economic sector, anadverse economic, business or political development may affect the value of the Funds’investments more than if the Funds were more broadly diversified.

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associatedwith investing in the U.S. Foreign securities may be subject to risk of loss because ofgovernment regulation, economic, political and social instability in the countries inwhich the Funds invest. Foreign markets may be less liquid than investments in the U.S.and may be subject to the risks of currency fluctuations. To the extent that a Fundinvests in securities of issuers located in emerging markets, these risks may be evenmore pronounced.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter intofinancial transactions where risk of potential loss exists due to changes in the generaleconomic conditions and fluctuations of the market (market risk). Additionally, a Fundmay also be exposed to credit risk in the event that an issuer or guarantor fails toperform or that an institution or entity with which the Fund has unsettled or opentransactions defaults.

11. Stock Splits

The Board authorized a 1-for-3 reverse stock split for the SPDR Bloomberg BarclaysHigh Yield Bond ETF effective after the close of trading on May 6, 2019. The impact ofthe reverse stock split was to decrease the number of shares outstanding by a factor ofthree, while increasing the NAV of shares outstanding by a factor of three, resulting inno effect to the net assets of the Fund. The financial statements for the Fund have beenadjusted to reflect the reverse stock split.


55

12. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through thedate the financial statements were issued and has determined that there were nosubsequent events requiring adjustment or disclosure in the financial statements.


56

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, includingsales charges (loads), if applicable, on purchase payments, reinvested dividends, or otherdistributions and (2) ongoing costs, including advisory fees and other Fund expenses.This example is intended to help you understand your ongoing costs (in dollars) ofinvesting in the Fund and to compare these costs with the ongoing costs of investing inother mutual funds. It is based on an investment of $1,000 made at the beginning of theperiod shown and held for the entire period from July 1, 2019 to December 31, 2019.

The table below illustrates your Fund’s cost in two ways:

Based on actual fund return ——This section helps you to estimate the actualexpenses that you paid over the period. The “Ending Account Value” shown is derivedfrom each Fund’s actual return, and the third column shows the dollar amount thatwould have been paid by an investor who started with $1,000 in the Fund. You may usethe information here, together with the amount you invested, to estimate the expensesthat you paid over the period. To do so, simply divide your account value by $1,000 (forexample, an $8,600 account value divided by $1,000 = 8.6), then multiply the result bythe number given for the Fund under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return ——This section is intended to help you compareyour Fund’s costs with those of other mutual funds. It assumes that the Fund had ayearly return of 5% before expenses, but that the expense ratio is unchanged. In thiscase, because the return used is not the Fund’s actual return, the results do not apply toyour investment. The example is useful in making comparisons because theU.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds tocalculate expenses based on a 5% return. You can assess your Fund’s costs bycomparing this hypothetical example with the hypothetical examples that appear inshareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoingcosts only and do not reflect any transaction costs, such as sales load charges (loads).Therefore, the hypothetical 5% return section of the table is useful in comparingongoing costs only, and will not help you determine the relative total costs of owningdifferent funds. In addition, if these transaction costs were included, your costs wouldhave been higher.

SPDR SERIES TRUSTOTHER INFORMATIONDecember 31, 2019 (Unaudited)

57

SPDRBloomberg

BarclaysConvertible

Securities ETF

SPDRBloomberg

Barclays HighYield Bond

ETF

SPDRBloomberg

Barclays ShortTerm HighYield Bond

ETF

Annualized Expense Ratio . . . . . . . . . . . . . . . . . 0.40% 0.40% 0.40%

Actual:

Ending Account Value. . . . . . . . . . . . . . . . . . . $1,071.00 $1,039.20 $1,021.10

Expenses Paid During Period(a) . . . . . . . . . . . . 2.08 2.05 2.03

Hypothetical (assuming a 5% return before

expenses):

Ending Account Value. . . . . . . . . . . . . . . . . . . 1,023.10 1,023.10 1,023.10

Expenses Paid During Period(a) . . . . . . . . . . . . 2.03 2.03 2.03

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of theperiod, multiplied by 184, then divided by 366.

SPDR SERIES TRUSTOTHER INFORMATION (continued)December 31, 2019 (Unaudited)

58

Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a liquidity riskmanagement program. The program’s principal objectives include assessing, managingand periodically reviewing each Fund’s liquidity risk, based on factors specific to thecircumstances of the Fund. Liquidity risk is defined as the risk that a Fund could notmeet redemption requests without significant dilution of remaining investors’ interestsin the Fund.

SSGA FM has been designated by the Board to administer the Funds’ liquidity riskmanagement program. At a board meeting during the fiscal period, SSGA FM providedthe Board with a report addressing the operations of the program and assessing itsadequacy and effectiveness of implementation, including:

• the program supported each Fund’s ability to honor redemption requests timely;

• the program supported SSGA FM’s management of each Fund’s liquidity profile,including during periods of market volatility and net redemptions;

• no material liquidity issues were identified during the period;

• there were no material changes to the program during the period;

• the implementation of the program was effective to manage each Fund’s liquidity risk;and

• the program operated adequately during the period.

There can be no assurance that the program will achieve its objectives in the future.Please refer to your Fund’s prospectus for more information regarding the Fund’sexposure to liquidity risk and other principal risks to which an investment in the Fundmay be subject.

Premium/Discount Information

Information regarding how often the Shares of each Fund traded on the exchange at aprice above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund duringthe past calendar year can be found at www.spdrs.com.


59

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by theFunds’ investment adviser to vote proxies relating to the Funds’ portfolio of securitiesare available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or(ii) on the SEC’s website at www.sec.gov.

Information regarding how the investment adviser voted for the 12-month period endedJune 30, is available by August 31 of each year by calling the same number, on theSEC’s website at www.sec.gov, and on the Funds’ website at www.spdrs.com.

Quarterly Portfolio Schedule

Following the Funds’ first and third fiscal quarter-ends, a complete schedule ofinvestments is filed with the SEC as an exhibit on Form N-PORT, which can be foundon the SEC’s website at www.sec.gov. The Funds’ schedules of investments are availableupon request, without charge, by calling 1-866-787-2257 (toll free).

Full Portfolio Schedule

The complete schedule of portfolio holdings for the following Funds is available on theFunds’ website at www.spdrs.com, without charge, upon request by calling1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.




60

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SPDR Series Trust

TrusteesBonny E. BoatmanDwight D. ChurchillFrank Nesvet, ChairmanClare S. RicherJames E. RossSandra G. SponemCarl G. Verboncoeur

Investment Manager andAdministratorSSGA Funds Management, Inc.One Iron StreetBoston, MA 02210

DistributorState Street Global Advisors FundsDistributors, LLCOne Iron StreetBoston, MA 02210

Custodian, Sub-Administratorand Transfer AgentState Street Bank and Trust CompanyOne Lincoln StreetBoston, MA 02111

Legal CounselMorgan, Lewis & Bockius LLP1111 Pennsylvania Avenue, NWWashington, DC 20004

Independent Registered PublicAccounting FirmErnst & Young LLP200 Clarendon StreetBoston, MA 02116

The information contained in this report is intended for the general informationof shareholders of the Trust. This report is not authorized for distribution toprospective investors unless preceded or accompanied by a current Trustprospectus which contains important information concerning the Trust. Youmay obtain a current prospectus and SAI from the Distributor by calling1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefullybefore you invest.

SPDR® Series Trust - Fixed Income Funds

For more complete information, please call1.866.787.2257 or visit www.spdrs.com today.

State Street Global AdvisorsOne Iron StreetBoston, MA 02210

ETFs trade like stocks, are subject to investment risk,fluctuate in market value and may trade at pricesabove or below the ETF's net asset value. Brokeragecommissions and ETF expenses will reduce returns.

Bonds generally present less short-term risk andvolatility than stocks, but contain interest rate risk(as interest rates rise bond prices usually fall); issuerdefault risk; issuer credit risk; liquidity risk; andinflation risk. These effects are usually pronouncedfor longer-term securities. Any fixed income securitysold or redeemed prior to maturity may be subjectto a substantial gain or loss.

BLOOMBERG®, a trademark and service mark ofBloomberg Finance L.P. and its affiliates, and

BARCLAYS®, a trademark and service mark ofBarclays Bank Plc, have each been licensed for use inconnection with the listing and trading of the SPDRBloomberg Barclays ETFs.

Distributor: State Street Global Advisors FundsDistributors, LLC, member FINRA, SIPC, an indirectwholly-owned subsidiary of State StreetCorporation. References to State Street may includeState Street Corporation and its affiliates. CertainState Street affiliates provide services and receivefees from the SPDR ETFs.

Before investing, consider a Fund’s investmentobjectives, risks, charges and expenses. To obtain aprospectus or summary prospectus which containsthis and other information, call 1.866.787.2257 orvisit www.spdrs.com. Read it carefully.

Not FDIC Insured. No Bank Guarantee. May LoseValue.

The information contained in this report is intended for the general information of shareholders of theTrust. This report is not authorized for distribution to prospective investors unless preceded oraccompanied by a current Trust prospectus which contains important information concerning the Trust.You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visitingwww.spdrs.com. Please read the prospectus carefully before you invest.

© 2020 State Street Corporation - All Rights ReservedSPDRTOPFISAR


CORPORATE BONDS &NOTES — 98.6%

ADVERTISING — 0.5%Lamar Media Corp.

5.75%, 2/1/2026 . . . . . . . . $ 8,842,000 $ 9,382,246MDC Partners, Inc.

6.50%, 5/1/2024 (a) . . . . . . 13,901,000 12,595,696Outfront Media

Capital LLC/Outfront MediaCapital Corp.:4.63%, 3/15/2030 (a) . . . . . 7,059,000 7,184,5095.00%, 8/15/2027 (a) . . . . . 9,862,000 10,309,045

Terrier Media Buyer, Inc.8.88%, 12/15/2027 (a) . . . . 16,540,000 17,516,356

56,987,852

AEROSPACE & DEFENSE— 2.4%

BBA US Holdings, Inc.:4.00%, 3/1/2028 (a) . . . . . . 10,508,000 10,380,7485.38%, 5/1/2026 (a) . . . . . . 6,857,000 7,235,918

Bombardier, Inc.:7.50%, 12/1/2024 (a) . . . . . 15,143,000 15,938,0077.50%, 3/15/2025 (a) (b) . . . 22,391,000 23,106,1697.88%, 4/15/2027 (a) . . . . . 29,290,000 30,178,0738.75%, 12/1/2021 (a) . . . . . 13,805,000 15,142,704

F-Brasile SpA/F-BrasileUS LLCSeries XR, 7.38%,8/15/2026 (a) . . . . . . . . . . 8,136,000 8,587,385

Moog, Inc.4.25%, 12/15/2027 (a) (b) . . 7,050,000 7,193,327

SSL Robotics LLC9.75%, 12/31/2023 (a) . . . . 15,176,000 16,605,731

TransDigm, Inc.:5.50%, 11/15/2027 (a) . . . . 39,805,000 40,266,7386.25%, 3/15/2026 (a) (b) . . . 57,454,000 62,296,2236.38%, 6/15/2026 (b) . . . . . 11,850,000 12,608,7557.50%, 3/15/2027 (b) . . . . . 7,684,000 8,413,8266.50%, 5/15/2025 . . . . . . . 10,336,997 10,788,207

Triumph Group, Inc.6.25%, 9/15/2024 (a) . . . . . 7,375,000 7,759,533

276,501,344

AGRICULTURE — 0.5%Darling Ingredients, Inc.

5.25%, 4/15/2027 (a) . . . . . 7,048,000 7,490,755JBS Investments II GmbH:

5.75%, 1/15/2028 (a) . . . . . 9,900,000 10,422,7207.00%, 1/15/2026 (a) (b) . . . 16,634,000 18,083,653

Vector Group, Ltd.:6.13%, 2/1/2025 (a) . . . . . . 13,519,000 13,307,83310.50%, 11/1/2026 (a) . . . . 9,263,000 9,560,991

58,865,952


AIRLINES — 0.1%American Airlines Group, Inc.

5.00%, 6/1/2022 (a) . . . . . . $ 10,667,000 $ 11,195,230

APPAREL — 0.4%Hanesbrands, Inc.:

4.63%, 5/15/2024 (a) . . . . . 11,590,000 12,220,1484.88%, 5/15/2026 (a) (b) . . . 15,621,000 16,524,675

Under Armour, Inc.3.25%, 6/15/2026 (b) . . . . . 7,068,000 6,917,381

William Carter Co.5.63%, 3/15/2027 (a) (b) . . . 7,226,000 7,754,582

43,416,786

AUTO MANUFACTURERS— 0.9%

Allison Transmission, Inc.:5.00%, 10/1/2024 (a) . . . . . 14,489,000 14,833,9835.88%, 6/1/2029 (a) . . . . . . 7,594,000 8,362,133

BCD Acquisition, Inc.9.63%, 9/15/2023 (a) . . . . . 10,474,000 10,766,225

Fiat Chrysler Automobiles NV5.25%, 4/15/2023 . . . . . . . 21,072,820 22,535,274

Jaguar Land Rover AutomotivePLC4.50%, 10/1/2027 (a) . . . . . 7,206,000 6,333,353

Navistar International Corp.6.63%, 11/1/2025 (a) . . . . . 16,897,000 17,285,631

Tesla, Inc.5.30%, 8/15/2025 (a) (b) . . . 26,585,000 25,794,894

105,911,493

AUTO PARTS &EQUIPMENT — 1.3%

Adient Global Holdings, Ltd.4.88%, 8/15/2026 (a) (b) . . . 12,927,000 11,593,063

Adient US LLC7.00%, 5/15/2026 (a) . . . . . 12,612,000 13,744,305

American Axle &Manufacturing, Inc.6.25%, 4/1/2025 (b) . . . . . . 9,834,000 10,239,456

Delphi Technologies PLC5.00%, 10/1/2025 (a) (b) . . . 12,501,000 11,557,050

Goodyear Tire & Rubber Co.:4.88%, 3/15/2027 (b) . . . . . 10,105,000 10,483,5335.00%, 5/31/2026 (b) . . . . . 13,057,000 13,574,8415.13%, 11/15/2023 (b) . . . . 14,088,000 14,319,748

IHO Verwaltungs GmbH PIK4.75%, 9/15/2026 (a) . . . . . 5,331,000 5,427,651

Panther BF Aggregator 2L.P./Panther Finance Co.,Inc.:6.25%, 5/15/2026 (a) (b) . . . 12,772,000 13,802,7008.50%, 5/15/2027 (a) (b) . . . 30,608,000 32,522,836

Tenneco, Inc.5.00%, 7/15/2026 (b) . . . . . 7,276,000 6,718,731

143,983,914

SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)

1


BANKS — 1.5%Barclays PLC:

4.84%, 5/9/2028 . . . . . . . . $ 25,225,000 $ 27,239,7215.20%, 5/12/2026 . . . . . . . 30,205,000 33,127,0323 Month USD LIBOR +

3.05%, 5.09%, 6/20/2030(b) (c) . . . . . . . . . . . . . 21,311,000 23,755,372

CIT Group, Inc.:4.13%, 3/9/2021 . . . . . . . . 6,807,000 6,939,8734.75%, 2/16/2024 (b) . . . . . 7,169,000 7,666,1705.25%, 3/7/2025 (b) . . . . . . 7,097,000 7,852,050

Deutsche Bank AG:4.50%, 4/1/2025 (b) . . . . . . 19,784,000 19,751,3565 Year USD ICE Swap +

2.55%, 4.88%, 12/1/2032(b) (c) . . . . . . . . . . . . . 15,530,000 14,616,836

Freedom Mortgage Corp.8.25%, 4/15/2025 (a) . . . . . 11,576,000 11,385,343

Intesa Sanpaolo SpA5.71%, 1/15/2026 (a) . . . . . 22,119,000 23,969,475

176,303,228

BEVERAGES — 0.1%Cott Holdings, Inc.

5.50%, 4/1/2025 (a) . . . . . . 10,973,000 11,471,613

BUILDING MATERIALS —0.8%

Builders FirstSource, Inc.5.63%, 9/1/2024 (a) . . . . . . 7,260,000 7,561,290

Cornerstone Building Brands,Inc.8.00%, 4/15/2026 (a) (b) . . . 9,324,000 9,731,086

Masonite International Corp.5.38%, 2/1/2028 (a) (b). . . . 6,585,000 6,976,479

Standard Industries, Inc.:4.75%, 1/15/2028 (a) . . . . . 14,475,000 14,844,2575.00%, 2/15/2027 (a) (b) . . . 8,525,000 8,897,7985.38%, 11/15/2024 (a) . . . . 27,000 27,7435.50%, 2/15/2023 (a) (b) . . . 7,353,000 7,472,6336.00%, 10/15/2025 (a) . . . . 15,830,000 16,683,237

SummitMaterials LLC/SummitMaterials Finance Corp.6.13%, 7/15/2023 . . . . . . . 9,072,000 9,234,480

US Concrete, Inc.6.38%, 6/1/2024 (b) . . . . . . 8,673,000 9,057,388

90,486,391

CHEMICALS — 2.1%Avantor, Inc.

9.00%, 10/1/2025 (a) . . . . . 28,159,000 31,514,145Axalta Coating Systems LLC

4.88%, 8/15/2024 (a) . . . . . 4,838,000 5,014,393Blue Cube Spinco LLC:

9.75%, 10/15/2023 . . . . . . 7,061,000 7,606,74510.00%, 10/15/2025. . . . . . 7,324,000 8,106,057

Chemours Co.:


5.38%, 5/15/2027 . . . . . . . $ 8,021,000 $ 7,147,5936.63%, 5/15/2023 (b) . . . . . 13,333,000 13,432,0647.00%, 5/15/2025 (b) . . . . . 10,837,000 10,908,633

Consolidated Energy FinanceSA6.88%, 6/15/2025 (a) (b) . . . 7,231,000 6,893,095

CVR Partners L.P./CVRNitrogen Finance Corp.9.25%, 6/15/2023 (a) . . . . . 9,355,000 9,794,124

Eurochem Finance DACSeries REGS, 5.50%,3/13/2024 . . . . . . . . . . . . 9,256,000 10,116,808

INEOS Group Holdings SA5.63%, 8/1/2024 (a) (b). . . . 5,864,000 6,023,149

OCI NV:5.25%, 11/1/2024 (a) . . . . . 9,658,000 10,061,5116.63%, 4/15/2023 (a) . . . . . 8,244,000 8,621,245

Olin Corp.:5.00%, 2/1/2030 . . . . . . . . 7,763,000 7,879,7565.13%, 9/15/2027 . . . . . . . 7,473,000 7,852,8535.63%, 8/1/2029 (b) . . . . . . 11,812,000 12,490,954

Platform Specialty ProductsCorp.5.88%, 12/1/2025 (a) . . . . . 10,588,000 11,068,483

PQ Corp.6.75%, 11/15/2022 (a) . . . . 8,340,000 8,636,987

Rain CII Carbon LLC/CIICarbon Corp.7.25%, 4/1/2025 (a) . . . . . . 9,252,000 8,989,151

SPCM SA4.88%, 9/15/2025 (a) . . . . . 4,713,000 4,909,956

Starfruit Finco B.V./StarfruitUS Holdco LLC8.00%, 10/1/2026 (a) (b) . . . 7,878,000 8,356,982

TPC Group, Inc.10.50%, 8/1/2024 (a) . . . . . 13,201,000 13,289,315

Trinseo Materials OperatingSCA/Trinseo MaterialsFinance, Inc.5.38%, 9/1/2025 (a) (b). . . . 7,944,000 7,963,463

Tronox, Inc.6.50%, 4/15/2026 (a) (b) . . . 8,697,000 8,969,999

Univar Solutions USA, Inc.5.13%, 12/1/2027 (a) . . . . . 7,300,000 7,614,703

243,262,164

COAL — 0.2%Peabody Energy Corp.:

6.00%, 3/31/2022 (a) (b) . . . 8,455,000 8,298,7526.38%, 3/31/2025 (a) (b) . . . 7,696,000 7,072,239

SunCoke Energy PartnersL.P./SunCoke EnergyPartners Finance Corp.7.50%, 6/15/2025 (a) . . . . . 11,160,000 10,725,653

26,096,644


2


COMMERCIAL SERVICES— 4.0%

ADT Security Corp.4.88%, 7/15/2032 (a) . . . . . $ 10,233,000 $ 9,388,880

Ahern Rentals, Inc.7.38%, 5/15/2023 (a) . . . . . 8,406,000 6,672,262

Algeco Global Finance PLC8.00%, 2/15/2023 (a) . . . . . 8,585,000 8,365,997

APTIM Corp.7.75%, 6/15/2025 (a) . . . . . 6,769,000 4,078,255

ASGN, Inc.4.63%, 5/15/2028 (a) . . . . . 5,972,000 6,134,916

Atento Luxco 1 SA6.13%, 8/10/2022 (a) (b) . . . 7,298,000 7,198,017

Brink’s Co.4.63%, 10/15/2027 (a) . . . . 8,651,000 8,921,171

Financial & Risk US Holdings,Inc.:6.25%, 5/15/2026 (a) . . . . . 17,573,000 19,194,2858.25%, 11/15/2026 (a) . . . . 22,328,000 25,156,511

Gartner, Inc.5.13%, 4/1/2025 (a) . . . . . . 11,728,000 12,222,101

GW B-CR Security Corp.9.50%, 11/1/2027 (a) (b) . . . 8,372,000 8,937,110

Harsco Corp.5.75%, 7/31/2027 (a) (b) . . . 7,033,000 7,497,108

Herc Holdings, Inc.5.50%, 7/15/2027 (a) . . . . . 16,974,000 17,929,806

Hertz Corp.:5.50%, 10/15/2024 (a) (b) . . 10,860,000 11,160,3876.00%, 1/15/2028 (a) . . . . . 14,433,000 14,470,9597.13%, 8/1/2026 (a) (b). . . . 5,729,000 6,202,6167.63%, 6/1/2022 (a) . . . . . . 139,000 144,511

Jaguar Holding Co.II/Pharmaceutical ProductDevelopment LLC6.38%, 8/1/2023 (a) . . . . . . 10,371,000 10,719,777

Laureate Education, Inc.8.25%, 5/1/2025 (a) . . . . . . 10,612,000 11,440,585

MPH AcquisitionHoldings LLC7.13%, 6/1/2024 (a) . . . . . . 22,651,000 22,014,960

Nielsen Co. Luxembourg Sarl5.00%, 2/1/2025 (a) (b). . . . 7,175,000 7,403,165

Prime Security ServicesBorrower LLC/PrimeFinance, Inc.:5.25%, 4/15/2024 (a) . . . . . 11,918,000 12,636,8945.75%, 4/15/2026 (a) (b) . . . 18,827,000 20,477,7519.25%, 5/15/2023 (a) . . . . . 16,968,000 17,783,652

Ritchie Bros Auctioneers, Inc.5.38%, 1/15/2025 (a) (b) . . . 7,914,000 8,240,532

Service Corp. International:4.63%, 12/15/2027 . . . . . . 7,248,000 7,582,5685.13%, 6/1/2029 . . . . . . . . 10,810,000 11,453,952

ServiceMaster Co. LLC5.13%, 11/15/2024 (a) . . . . 6,359,000 6,593,329


Sotheby’s7.38%, 10/15/2027 (a) (b) . . $ 9,051,000 $ 9,191,019

Team Health Holdings, Inc.6.38%, 2/1/2025 (a) . . . . . . 12,636,000 8,475,850

United Rentals North America,Inc.:3.88%, 11/15/2027 (b) . . . . 10,951,000 11,171,5534.63%, 10/15/2025 . . . . . . 11,823,000 12,179,5824.88%, 1/15/2028 (b) . . . . . 23,802,000 24,797,3995.25%, 1/15/2030 (b) . . . . . 8,270,000 8,900,2575.50%, 7/15/2025 (b) . . . . . 11,179,000 11,635,4385.50%, 5/15/2027 . . . . . . . 14,416,000 15,464,9085.88%, 9/15/2026 . . . . . . . 16,351,000 17,562,7726.50%, 12/15/2026 (b) . . . . 15,332,000 16,872,713

Verscend Escrow Corp.9.75%, 8/15/2026 (a) . . . . . 15,809,000 17,329,035

463,602,583

COMPUTERS — 1.2%Banff Merger Sub, Inc.

9.75%, 9/1/2026 (a) . . . . . . 20,696,000 20,999,610Dell International LLC/EMC

Corp.:5.88%, 6/15/2021 (a) . . . . . 16,087,000 16,340,2097.13%, 6/15/2024 (a) (b) . . . 22,703,000 23,991,849

Exela Intermediate LLC/ExelaFinance, Inc.10.00%, 7/15/2023 (a) . . . . 11,663,000 4,723,515

Harland Clarke HoldingsCorp.:8.38%, 8/15/2022 (a) . . . . . 11,332,400 9,237,8339.25%, 3/1/2021 (a) (b). . . . 3,500 3,457

NCR Corp.:5.75%, 9/1/2027 (a) (b). . . . 7,647,000 8,150,3266.13%, 9/1/2029 (a) (b). . . . 5,633,000 6,116,086

TempoAcquisition LLC/TempoAcquisition Finance Corp.6.75%, 6/1/2025 (a) . . . . . . 14,651,000 15,138,146

Western Digital Corp.4.75%, 2/15/2026 (b) . . . . . 34,125,000 35,601,589

140,302,620

COSMETICS/PERSONALCARE — 0.1%

Avon International Operations,Inc.7.88%, 8/15/2022 (a) . . . . . 7,303,000 7,608,923

Coty, Inc.6.50%, 4/15/2026 (a) (b) . . . 8,128,000 8,557,890

16,166,813

DISTRIBUTION &WHOLESALE — 1.0%

American Builders &Contractors Supply Co.,Inc.:4.00%, 1/15/2028 (a) . . . . . 9,860,000 10,008,097


3


5.88%, 5/15/2026 (a) . . . . . $ 8,765,000 $ 9,307,554Core & Main L.P.

6.13%, 8/15/2025 (a) (b) . . . 7,026,000 7,324,816H&E Equipment Services, Inc.

5.63%, 9/1/2025 (b) . . . . . . 12,362,000 12,988,135HD Supply, Inc.

5.38%, 10/15/2026 (a) . . . . 10,456,000 11,107,827IAA, Inc.

5.50%, 6/15/2027 (a) . . . . . 5,437,000 5,811,772KAR Auction Services, Inc.

5.13%, 6/1/2025 (a) . . . . . . 12,678,000 13,187,656Performance Food Group, Inc.

5.50%, 10/15/2027 (a) (b) . . 15,565,000 16,616,416Wolverine Escrow LLC:

8.50%, 11/15/2024 (a) . . . . 9,862,000 10,237,9399.00%, 11/15/2026 (a) . . . . 13,200,000 13,834,12813.13%, 11/15/2027 (a) . . . 7,736,000 7,959,261

118,383,601

DIVERSIFIED FINANCIALSERVICES — 3.7%

AerCap Holdings NV(1 Year CMT + 4.535%),5.88%, 10/10/2079 (b) (c) . . 9,928,000 10,619,187

Allied UniversalHoldco LLC/AlliedUniversal Finance Corp.:6.63%, 7/15/2026 (a) . . . . . 13,962,000 14,999,2379.75%, 7/15/2027 (a) . . . . . 15,816,000 16,909,835

Ally Financial, Inc.5.75%, 11/20/2025 . . . . . . 14,217,000 15,944,792

ASP AMC Merger Sub, Inc.8.00%, 5/15/2025 (a) . . . . . 7,506,000 4,988,413

Curo Group Holdings Corp.8.25%, 9/1/2025 (a) (b). . . . 10,580,000 9,311,246

Global Aircraft Leasing Co.,Ltd. PIK6.50%, 9/15/2024 (a) . . . . . 24,659,000 25,729,694

goeasy, Ltd.5.38%, 12/1/2024 (a) (b) . . . 9,002,000 9,180,510

Icahn Enterprises L.P./IcahnEnterprises Finance Corp.:5.25%, 5/15/2027 (a) (b) . . . 10,780,000 11,065,3476.25%, 5/15/2026 . . . . . . . 17,773,000 18,960,0596.38%, 12/15/2025 . . . . . . 10,711,000 11,308,352

LPL Holdings, Inc.5.75%, 9/15/2025 (a) . . . . . 12,576,000 13,176,127

Nationstar Mortgage Holdings,Inc.8.13%, 7/15/2023 (a) . . . . . 15,282,000 16,213,132

Navient Corp.:5.88%, 3/25/2021 . . . . . . . 9,819,000 10,169,6365.88%, 10/25/2024 . . . . . . 1,085,000 1,161,3416.50%, 6/15/2022 . . . . . . . 12,710,000 13,821,1086.63%, 7/26/2021 . . . . . . . 11,123,000 11,763,0176.75%, 6/25/2025 (b) . . . . . 5,983,000 6,629,7626.75%, 6/15/2026 (b) . . . . . 7,027,000 7,727,100


7.25%, 9/25/2023 (b) . . . . . $ 7,546,000 $ 8,535,582NFP Corp.

6.88%, 7/15/2025 (a) . . . . . 8,594,000 8,608,524Quicken Loans, Inc.:

5.25%, 1/15/2028 (a) . . . . . 15,670,000 16,179,7455.75%, 5/1/2025 (a) . . . . . . 18,200,000 18,851,196

Springleaf Finance Corp.:5.38%, 11/15/2029 (b) . . . . 10,704,000 11,176,5825.63%, 3/15/2023 . . . . . . . 12,596,000 13,556,9496.13%, 5/15/2022 . . . . . . . 13,457,000 14,496,8226.13%, 3/15/2024 . . . . . . . 17,823,000 19,547,5536.63%, 1/15/2028 . . . . . . . 11,267,000 12,704,1066.88%, 3/15/2025 . . . . . . . 18,424,000 20,971,1187.13%, 3/15/2026 . . . . . . . 23,777,000 27,511,1788.25%, 12/15/2020 . . . . . . 193,000 203,082

Voyager AviationHoldings LLC/VoyagerFinance Co.8.50%, 8/15/2021 (a) . . . . . 7,234,000 7,439,880

Wand Merger Corp.9.13%, 7/15/2026 (a) . . . . . 11,727,000 12,997,034

422,457,246

ELECTRIC — 2.7%AES Corp.:

4.00%, 3/15/2021 . . . . . . . 6,947,000 7,057,4574.50%, 3/15/2023 . . . . . . . 9,067,000 9,293,6755.13%, 9/1/2027 . . . . . . . . 5,123,000 5,467,5225.50%, 4/15/2025 . . . . . . . 7,672,000 7,932,4646.00%, 5/15/2026 . . . . . . . 7,243,000 7,724,659

Calpine Corp.:4.50%, 2/15/2028 (a) . . . . . 18,977,000 19,226,7375.13%, 3/15/2028 (a) (b) . . . 17,878,000 18,278,8255.25%, 6/1/2026 (a) . . . . . . 17,674,000 18,418,9595.50%, 2/1/2024 (b) . . . . . . 7,687,000 7,790,621

Clearway EnergyOperating LLC:4.75%, 3/15/2028 (a) . . . . . 9,127,000 9,287,7265.75%, 10/15/2025 . . . . . . 9,261,000 9,773,967

Drax Finco PLC6.63%, 11/1/2025 (a) . . . . . 8,185,000 8,700,819

NextEra Energy OperatingPartners L.P.:3.88%, 10/15/2026 (a) . . . . 9,369,000 9,432,8034.25%, 7/15/2024 (a) (b) . . . 8,653,000 9,002,4084.25%, 9/15/2024 (a) (b) . . . 11,272,000 11,731,8984.50%, 9/15/2027 (a) . . . . . 2,627,000 2,742,168

NRG Energy, Inc.:5.25%, 6/15/2029 (a) (b) . . . 10,414,000 11,293,6715.75%, 1/15/2028 (a) . . . . . 840 9155.75%, 1/15/2028 . . . . . . . 12,122,000 13,211,1626.63%, 1/15/2027 . . . . . . . 17,877,000 19,444,4557.25%, 5/15/2026 . . . . . . . 15,140,000 16,540,450

Talen Energy Supply LLC:6.50%, 6/1/2025 . . . . . . . . 9,123,000 7,783,0147.25%, 5/15/2027 (a) . . . . . 10,761,000 11,329,396


4


10.50%, 1/15/2026 (a) . . . . $ 9,630,000 $ 9,166,219Vistra Operations Co. LLC:

5.00%, 7/31/2027 (a) (b) . . . 19,004,000 19,889,0165.50%, 9/1/2026 (a) (b). . . . 14,227,000 15,092,7135.63%, 2/15/2027 (a) . . . . . 19,538,000 20,597,155

306,210,874

ELECTRICALCOMPONENTS &EQUIPMENT — 0.2%

Energizer Holdings, Inc.:5.50%, 6/15/2025 (a) (b) . . . 8,654,000 8,974,8906.38%, 7/15/2026 (a) (b) . . . 7,789,000 8,318,9647.75%, 1/15/2027 (a) (b) . . . 8,290,000 9,270,458

26,564,312

ELECTRONICS — 0.3%APX Group, Inc.

7.88%, 12/1/2022 (b) . . . . . 13,103,000 13,230,361Ingram Micro, Inc.

5.45%, 12/15/2024 . . . . . . 4,708,000 4,948,108Sensata Technologies B.V.

5.00%, 10/1/2025 (a) . . . . . 9,856,000 10,717,809Sensata Technologies, Inc.

4.38%, 2/15/2030 . . . . . . . 200,000 204,156

29,100,434

ENERGY-ALTERNATESOURCES — 0.3%

Enviva Partners L.P./EnvivaPartners Finance Corp.6.50%, 1/15/2026 (a) . . . . . 9,523,000 10,198,371

TerraForm PowerOperating LLC:4.25%, 1/31/2023 (a) . . . . . 7,022,125 7,237,7044.75%, 1/15/2030 (a) . . . . . 11,557,000 11,797,3865.00%, 1/31/2028 (a) (b) . . . 9,682,000 10,248,784

39,482,245

ENGINEERING &CONSTRUCTION —0.3%

AECOM5.13%, 3/15/2027 (b) . . . . . 14,245,000 15,312,948

Brand Industrial Services, Inc.8.50%, 7/15/2025 (a) . . . . . 14,663,000 14,999,223

Tutor Perini Corp.6.88%, 5/1/2025 (a) (b). . . . 8,068,000 7,817,004

38,129,175

ENTERTAINMENT — 2.6%AMC Entertainment Holdings,

Inc.:5.75%, 6/15/2025 (b) . . . . . 9,783,000 9,050,0585.88%, 11/15/2026 (b) . . . . 8,616,000 7,773,011

Cedar Fair L.P.5.25%, 7/15/2029 (a) . . . . . 7,188,000 7,745,861


Cedar Fair L.P./Canada’sWonderland Co./MagnumManagementCorp./Millennium Op5.38%, 4/15/2027 (b) . . . . . $ 6,513,000 $ 7,001,214

Churchill Downs, Inc.:4.75%, 1/15/2028 (a) . . . . . 7,198,000 7,446,3315.50%, 4/1/2027 (a) . . . . . . 8,537,000 9,049,647

CRC Escrow Issuer LLC/CRCFinco, Inc.5.25%, 10/15/2025 (a) . . . . 23,956,000 24,810,510

Eldorado Resorts, Inc.:6.00%, 4/1/2025 . . . . . . . . 12,407,000 13,041,1226.00%, 9/15/2026 . . . . . . . 8,827,000 9,747,479

International Game TechnologyPLC:6.25%, 2/15/2022 (a) . . . . . 21,980,000 23,218,3536.25%, 1/15/2027 (a) . . . . . 10,840,000 12,190,5566.50%, 2/15/2025 (a) . . . . . 12,970,000 14,592,158

Lions Gate CapitalHoldings LLC:5.88%, 11/1/2024 (a) (b) . . . 6,982,000 7,018,1676.38%, 2/1/2024 (a) . . . . . . 7,879,000 8,220,003

Live Nation Entertainment,Inc.:4.75%, 10/15/2027 (a) . . . . 14,110,000 14,603,0034.88%, 11/1/2024 (a) (b) . . . 7,857,000 8,147,316

Mohegan Gaming &Entertainment7.88%, 10/15/2024 (a) . . . . 7,698,000 7,865,893

Scientific Games International,Inc.:5.00%, 10/15/2025 (a) . . . . 16,649,000 17,445,6557.00%, 5/15/2028 (a) (b) . . . 9,482,000 10,174,7557.25%, 11/15/2029 (a) . . . . 7,815,000 8,487,7158.25%, 3/15/2026 (a) . . . . . 16,997,000 18,735,453

Six Flags Entertainment Corp.:4.88%, 7/31/2024 (a) . . . . . 13,754,000 14,258,7725.50%, 4/15/2027 (a) (b) . . . 6,307,000 6,732,155

Stars Group HoldingsB.V./Stars Group USCo-Borrower LLC7.00%, 7/15/2026 (a) (b) . . . 14,441,000 15,632,960

Wynn ResortsFinance LLC/Wynn ResortsCapital Corp.5.13%, 10/1/2029 (a) (b) . . . 11,006,000 11,830,790

294,818,937

ENVIRONMENTALCONTROL — 0.5%

Clean Harbors, Inc.4.88%, 7/15/2027 (a) . . . . . 7,082,000 7,479,371

GFL Environmental, Inc.:5.13%, 12/15/2026 (a) (b) . . 7,574,000 7,984,8897.00%, 6/1/2026 (a) . . . . . . 10,032,000 10,594,8968.50%, 5/1/2027 (a) (b). . . . 7,254,000 7,947,265


5


Stericycle, Inc.5.38%, 7/15/2024 (a) . . . . . $ 7,476,000 $ 7,873,200

Tervita Corp.7.63%, 12/1/2021 (a) . . . . . 8,348,000 8,422,464

Waste Pro USA, Inc.5.50%, 2/15/2026 (a) . . . . . 7,323,000 7,636,424

57,938,509

FOOD — 3.0%Albertsons Cos., Inc./Safeway,

Inc./New AlbertsonsL.P./Albertsons LLC:4.63%, 1/15/2027 (a) . . . . . 11,561,000 11,561,2315.75%, 3/15/2025 . . . . . . . 18,885,000 19,591,8665.88%, 2/15/2028 (a) . . . . . 8,259,000 8,785,0986.63%, 6/15/2024 . . . . . . . 17,439,000 18,266,3067.50%, 3/15/2026 (a) (b) . . . 9,037,000 10,157,317

B&G Foods, Inc.:5.25%, 4/1/2025 (b) . . . . . . 13,530,000 13,945,1005.25%, 9/15/2027 (b) . . . . . 8,674,000 8,743,045

Chobani LLC/Chobani FinanceCorp., Inc.7.50%, 4/15/2025 (a) (b) . . . 6,962,000 6,982,190

Fresh Market, Inc.9.75%, 5/1/2023 (a) . . . . . . 10,829,000 5,445,146

JBS USA LUX SA/JBS USAFinance, Inc.:5.75%, 6/15/2025 (a) . . . . . 15,589,000 16,160,8056.75%, 2/15/2028 (a) . . . . . 14,516,000 16,051,503

JBS USA LUX SA/JBS USAFood Co./JBS USA Finance,Inc.:5.50%, 1/15/2030 (a) (b) . . . 16,364,000 17,566,2636.50%, 4/15/2029 (a) . . . . . 19,579,000 21,759,317

Lamb Weston Holdings, Inc.:4.63%, 11/1/2024 (a) (b) . . . 11,719,000 12,435,0314.88%, 11/1/2026 (a) . . . . . 11,058,000 11,752,774

Pilgrim’s Pride Corp.:5.75%, 3/15/2025 (a) . . . . . 15,316,000 15,858,3405.88%, 9/30/2027 (a) . . . . . 12,665,000 13,693,145

Post Holdings, Inc.:5.00%, 8/15/2026 (a) (b) . . . 24,807,000 26,289,2185.50%, 3/1/2025 (a) (b). . . . 14,514,000 15,223,7355.50%, 12/15/2029 (a) . . . . 10,450,000 11,156,0025.63%, 1/15/2028 (a) (b) . . . 15,849,000 17,107,2525.75%, 3/1/2027 (a) (b). . . . 14,608,000 15,718,792

Simmons Foods, Inc.5.75%, 11/1/2024 (a) . . . . . 10,788,000 10,858,769

TreeHouse Foods, Inc.6.00%, 2/15/2024 (a) . . . . . 7,536,000 7,809,481

US Foods, Inc.5.88%, 6/15/2024 (a) . . . . . 8,372,000 8,637,476

341,555,202

FOOD SERVICE — 0.4%Aramark Services, Inc.:

4.75%, 6/1/2026 (b) . . . . . . 6,668,000 6,930,519


5.00%, 4/1/2025 (a) (b). . . . $ 8,473,000 $ 8,855,2175.00%, 2/1/2028 (a) . . . . . . 17,820,000 18,770,1635.13%, 1/15/2024 . . . . . . . 12,189,000 12,509,083

47,064,982

FOREST PRODUCTS &PAPER — 0.1%

Mercer International, Inc.7.38%, 1/15/2025 . . . . . . . 7,214,000 7,767,242

GAS — 0.4%AmeriGas Partners

L.P./AmeriGas FinanceCorp.:5.50%, 5/20/2025 . . . . . . . 10,131,000 10,946,7485.63%, 5/20/2024 . . . . . . . 9,047,000 9,774,8315.75%, 5/20/2027 . . . . . . . 7,320,000 8,046,0715.88%, 8/20/2026 . . . . . . . 9,930,000 10,953,088

39,720,738

HAND & MACHINETOOLS — 0.1%

Colfax Corp.6.00%, 2/15/2024 (a) . . . . . 6,608,000 7,040,097

HEALTH CAREPRODUCTS — 0.4%

Avantor, Inc.6.00%, 10/1/2024 (a) . . . . . 21,692,000 23,145,798

Hologic, Inc.4.38%, 10/15/2025 (a) . . . . 13,610,000 14,073,557

Teleflex, Inc.4.63%, 11/15/2027 (b) . . . . 7,052,000 7,474,626

44,693,981

HEALTH CARE SERVICES— 7.5%

Acadia Healthcare Co., Inc.5.63%, 2/15/2023 . . . . . . . 9,274,000 9,435,368

BCPE Cycle Merger Sub II,Inc.10.63%, 7/15/2027 (a) . . . . 7,288,000 7,445,202

Catalent Pharma Solutions, Inc.5.00%, 7/15/2027 (a) . . . . . 7,478,000 7,847,413

Centene Corp.:4.25%, 12/15/2027 (a) . . . . 36,667,000 37,760,4104.63%, 12/15/2029 (a) . . . . 50,504,000 53,185,2574.75%, 1/15/2025 . . . . . . . 17,681,000 18,339,2644.75%, 1/15/2025 (a) . . . . . 14,042,000 14,582,1966.13%, 2/15/2024 . . . . . . . 14,365,000 14,896,505

Centene Escrow I Corp.5.38%, 6/1/2026 (a) . . . . . . 26,067,000 27,703,225

Charles River LaboratoriesInternational, Inc.:4.25%, 5/1/2028 (a) . . . . . . 7,686,000 7,837,7225.50%, 4/1/2026 (a) . . . . . . 6,765,000 7,289,423

CHS/Community HealthSystems, Inc.:6.25%, 3/31/2023 (b) . . . . . 45,413,000 46,076,484


6


6.88%, 4/1/2028 (a) . . . . . . $ 5,908,000 $ 3,433,7898.00%, 3/15/2026 (a) . . . . . 41,671,000 43,220,3288.00%, 12/15/2027 (a) . . . . 6,055,000 6,119,0628.13%, 6/30/2024 (a) . . . . . 16,196,000 13,267,4398.63%, 1/15/2024 (a) . . . . . 16,148,000 17,139,4879.88%, 6/30/2023 (a) (b) (d). 19,857,971 17,054,820

DaVita, Inc.5.00%, 5/1/2025 (b) . . . . . . 22,013,000 22,637,949

Eagle Holding Co. II LLC PIK:7.63%, 5/15/2022 (a) . . . . . 7,323,000 7,432,4067.75%, 5/15/2022 (a) . . . . . 14,665,000 14,880,575

Encompass Health Corp.:4.50%, 2/1/2028 (b) . . . . . . 5,719,000 5,929,5734.75%, 2/1/2030 . . . . . . . . 7,834,000 8,143,678

Envision Helthcare Corp.8.75%, 10/15/2026 (a) . . . . 17,596,000 11,002,427

HCA, Inc.:5.38%, 2/1/2025 . . . . . . . . 37,157,000 41,128,3405.38%, 9/1/2026 (b) . . . . . . 14,386,000 16,047,7275.63%, 9/1/2028 . . . . . . . . 21,624,000 24,663,6865.88%, 2/15/2026 (b) . . . . . 21,777,000 24,803,3505.88%, 2/1/2029 (b) . . . . . . 14,103,000 16,301,517

MEDNAX, Inc.:5.25%, 12/1/2023 (a) . . . . . 10,714,000 10,986,3506.25%, 1/15/2027 (a) . . . . . 14,715,000 15,087,584

Molina Healthcare, Inc.5.38%, 11/15/2022 . . . . . . 9,299,000 9,898,227

Polaris Intermediate Corp. PIK8.50%, 12/1/2022 (a) . . . . . 20,639,965 19,198,883

RegionalCare Hospital PartnersHoldings, Inc.8.25%, 5/1/2023 (a) . . . . . . 10,774,000 11,438,002

RegionalCare Hospital PartnersHoldings, Inc./LifePointHealth, Inc.9.75%, 12/1/2026 (a) (b) . . . 21,313,000 24,121,627

Select Medical Corp.6.25%, 8/15/2026 (a) . . . . . 17,681,000 19,135,969

Tenet Healthcare Corp.:4.63%, 7/15/2024 . . . . . . . 22,307,000 22,920,6654.63%, 9/1/2024 (a) . . . . . . 8,679,000 9,054,3674.88%, 1/1/2026 (a) (b). . . . 29,086,000 30,470,2035.13%, 5/1/2025 . . . . . . . . 19,539,000 20,112,6655.13%, 11/1/2027 (a) . . . . . 22,811,000 24,086,3636.25%, 2/1/2027 (a) (b). . . . 24,214,000 26,130,5386.75%, 6/15/2023 (b) . . . . . 27,485,000 30,220,307

WellCare Health Plans, Inc.:5.25%, 4/1/2025 . . . . . . . . 16,922,000 17,647,4465.38%, 8/15/2026 (a) (b) . . . 10,754,000 11,475,378

West Street Merger Sub, Inc.6.38%, 9/1/2025 (a) . . . . . . 10,309,000 10,259,207

857,848,403


HOLDINGCOMPANIES-DIVERSIFIED— 0.1%

VistaJet Malta FinancePLC/XO ManagementHolding, Inc.10.50%, 6/1/2024 (a) . . . . . $ 7,905,000 $ 7,568,089

HOME BUILDERS — 0.9%Brookfield Residential

Properties, Inc./BrookfieldResidential US Corp.6.25%, 9/15/2027 (a) (b) . . . 8,515,000 9,030,328

Century Communities, Inc.6.75%, 6/1/2027 (a) . . . . . . 7,514,000 8,052,904

Lennar Corp.:4.13%, 1/15/2022 . . . . . . . 9,579,000 9,833,1314.50%, 4/30/2024 . . . . . . . 9,667,000 10,233,6804.75%, 4/1/2021 . . . . . . . . 7,181,000 7,359,7354.75%, 5/30/2025 . . . . . . . 6,354,000 6,846,6894.75%, 11/29/2027 . . . . . . 12,530,000 13,513,104

Mattamy Group Corp.:5.25%, 12/15/2027 (a) (b) . . 8,500,000 8,873,9156.50%, 10/1/2025 (a) (b) . . . 5,385,000 5,742,349

PulteGroup, Inc.:5.00%, 1/15/2027 . . . . . . . 8,750,000 9,537,1505.50%, 3/1/2026 . . . . . . . . 9,358,000 10,452,324

Taylor Morrison Communities,Inc.5.88%, 6/15/2027 (a) . . . . . 7,454,000 8,190,753

107,666,062

HOME FURNISHINGS —0.1%

Tempur Sealy International,Inc.5.50%, 6/15/2026 (b) . . . . . 8,494,000 8,956,668

HOUSEHOLD PRODUCTS& WARES — 0.3%

Kronos Acquisition Holdings,Inc.9.00%, 8/15/2023 (a) (b) . . . 12,050,000 11,479,432

Prestige Brands, Inc.6.38%, 3/1/2024 (a) (b). . . . 8,427,000 8,763,659

Spectrum Brands, Inc.5.75%, 7/15/2025 . . . . . . . 14,915,000 15,609,144

35,852,235

HOUSEWARES — 0.4%Newell Brands, Inc.:

3.85%, 4/1/2023 . . . . . . . . 18,624,000 19,354,8064.20%, 4/1/2026 . . . . . . . . 29,423,000 30,663,473

50,018,279

INSURANCE — 0.8%Acrisure LLC/Acrisure

Finance, Inc.:7.00%, 11/15/2025 (a) . . . . 13,022,000 12,603,603


7


8.13%, 2/15/2024 (a) . . . . . $ 14,624,000 $ 15,894,533Alliant Holdings

Intermediate LLC/AlliantHoldings Co-Issuer6.75%, 10/15/2027 (a) (b) . . 10,919,000 11,713,030

AmWINS Group, Inc.7.75%, 7/1/2026 (a) . . . . . . 2,629,000 2,904,808

Ardonagh Midco 3 PLC8.63%, 7/15/2023 (a) (b) . . . 7,027,000 6,957,644

AssuredPartners, Inc.7.00%, 8/15/2025 (a) . . . . . 7,282,000 7,421,232

Fidelity & Guaranty LifeHoldings, Inc.5.50%, 5/1/2025 (a) . . . . . . 8,789,000 9,378,390

HUB International, Ltd.7.00%, 5/1/2026 (a) (b). . . . 19,371,000 20,550,888

USI, Inc.6.88%, 5/1/2025 (a) . . . . . . 7,429,000 7,577,357

95,001,485

INTERNET — 2.7%Go Daddy Operating Co.

LLC/GD Finance Co., Inc.5.25%, 12/1/2027 (a) . . . . . 9,759,000 10,256,123

GrubHub Holdings, Inc.5.50%, 7/1/2027 (a) . . . . . . 6,885,000 6,451,865

Netflix, Inc.:4.38%, 11/15/2026 (b) . . . . 14,285,000 14,640,1254.88%, 4/15/2028 (b) . . . . . 22,243,000 23,160,7464.88%, 6/15/2030 (a) (b) . . . 15,566,000 15,827,9765.38%, 11/15/2029 (a) . . . . 12,819,000 13,661,4655.50%, 2/15/2022 . . . . . . . 8,927,000 9,476,6355.88%, 2/15/2025 (b) . . . . . 11,608,000 12,976,0035.88%, 11/15/2028 (b) . . . . 27,266,000 30,255,7176.38%, 5/15/2029 (b) . . . . . 11,913,000 13,617,036

Photo Holdings Merger Sub,Inc.8.50%, 10/1/2026 (a) . . . . . 11,617,000 10,782,086

Symantec Corp.5.00%, 4/15/2025 (a) . . . . . 17,195,000 17,517,578

Twitter, Inc.3.88%, 12/15/2027 (a) (b) . . 9,922,000 9,934,403

Uber Technologies, Inc.:7.50%, 11/1/2023 (a) . . . . . 7,381,000 7,725,0287.50%, 9/15/2027 (a) (b) . . . 15,562,000 15,988,8668.00%, 11/1/2026 (a) (b) . . . 23,540,000 24,523,030

VeriSign, Inc.:4.75%, 7/15/2027 (b) . . . . . 8,471,000 8,932,8395.25%, 4/1/2025 . . . . . . . . 6,469,000 7,137,765

Zayo Group LLC/Zayo Capital,Inc.:5.75%, 1/15/2027 (a) . . . . . 26,486,000 27,024,9906.00%, 4/1/2023 . . . . . . . . 16,732,000 17,162,1806.38%, 5/15/2025 (b) . . . . . 14,096,000 14,566,806

311,619,262


INVESTMENT COMPANYSECURITY — 0.3%

FS Energy & Power Fund7.50%, 8/15/2023 (a) . . . . . $ 8,099,000 $ 8,307,711

Icahn Enterprises L.P./IcahnEnterprises Finance Corp.:4.75%, 9/15/2024 (a) . . . . . 7,386,000 7,607,4326.25%, 2/1/2022 . . . . . . . . 17,024,000 17,382,696

33,297,839

IRON/STEEL — 0.5%Baffinland Iron Mines

Corp./Baffinland Iron MinesL.P.8.75%, 7/15/2026 (a) . . . . . 8,851,000 8,922,074

Big River Steel LLC/BRSFinance Corp.7.25%, 9/1/2025 (a) (b). . . . 8,595,000 9,043,659

Cleveland-Cliffs, Inc.5.88%, 6/1/2027 (a) (b). . . . 10,922,000 10,463,494

Mineral Resources, Ltd.8.13%, 5/1/2027 (a) . . . . . . 9,041,000 9,918,339

United States Steel Corp.:6.25%, 3/15/2026 (b) . . . . . 11,232,000 9,619,6466.88%, 8/15/2025 (b) . . . . . 11,636,000 10,880,940

58,848,152

LEISURE TIME — 0.4%NCL Corp., Ltd.

3.63%, 12/15/2024 (a) . . . . 8,030,000 8,147,720Sabre GLBL, Inc.:

5.25%, 11/15/2023 (a) . . . . 6,533,000 6,711,7435.38%, 4/15/2023 (a) . . . . . 5,975,000 6,128,199

Viking Cruises, Ltd.5.88%, 9/15/2027 (a) . . . . . 11,136,000 11,904,829

VOC Escrow, Ltd.5.00%, 2/15/2028 (a) . . . . . 10,776,000 11,306,503

44,198,994

LODGING — 3.1%Boyd Gaming Corp.:

4.75%, 12/1/2027 (a) . . . . . 14,228,000 14,784,0306.00%, 8/15/2026 . . . . . . . 9,973,000 10,697,6386.38%, 4/1/2026 (b) . . . . . . 10,245,000 11,039,397

Diamond Resorts International,Inc.:7.75%, 9/1/2023 (a) (b). . . . 7,690,000 7,916,00910.75%, 9/1/2024 (a) (b) . . . 8,072,000 8,460,909

Hilton Domestic OperatingCo., Inc.:4.25%, 9/1/2024 . . . . . . . . 13,915,000 14,195,2484.88%, 1/15/2030 . . . . . . . 16,157,000 17,145,6475.13%, 5/1/2026 . . . . . . . . 18,913,000 19,941,489

Hilton WorldwideFinance LLC/HiltonWorldwide Finance Corp.:4.63%, 4/1/2025 (b) . . . . . . 11,804,000 12,148,9134.88%, 4/1/2027 . . . . . . . . 8,619,000 9,168,806


8


Marriott Ownership Resorts,Inc./ILG LLC6.50%, 9/15/2026 . . . . . . . $ 7,268,000 $ 7,933,967

Melco Resorts Finance, Ltd.:4.88%, 6/6/2025 . . . . . . . . 14,338,000 14,698,8875.25%, 4/26/2026 (b) . . . . . 7,197,000 7,452,5655.38%, 12/4/2029 (a) . . . . . 13,415,000 13,817,7185.63%, 7/17/2027 . . . . . . . 9,937,000 10,341,237

MGM China Holdings, Ltd.:5.38%, 5/15/2024 (a) . . . . . 11,410,000 11,893,6705.88%, 5/15/2026 (a) (b) . . . 12,044,000 12,805,422

MGM Resorts International:4.63%, 9/1/2026 (b) . . . . . . 7,210,000 7,619,2405.50%, 4/15/2027 . . . . . . . 14,293,000 15,873,8065.75%, 6/15/2025 . . . . . . . 13,782,000 15,432,9466.00%, 3/15/2023 . . . . . . . 730,000 802,197

Station Casinos LLC5.00%, 10/1/2025 (a) (b) . . . 7,838,000 7,987,941

Studio City Co., Ltd.7.25%, 11/30/2021 (a) . . . . 11,030,000 11,265,491

Studio City Finance, Ltd.:7.25%, 2/11/2024 (a) . . . . . 5,199,000 5,518,739Series REGS, 7.25%,

2/11/2024 . . . . . . . . . . 2,568,000 2,725,932Wyndham Hotels & Resorts,

Inc.5.38%, 4/15/2026 (a) . . . . . 5,828,000 6,151,279

Wynn Las Vegas LLC/WynnLas Vegas Capital Corp.:5.25%, 5/15/2027 (a) . . . . . 12,277,000 13,043,9445.50%, 3/1/2025 (a) . . . . . . 26,022,400 27,964,192

Wynn Macau, Ltd.:4.88%, 10/1/2024 (a) . . . . . 8,966,000 9,167,7355.13%, 12/15/2029 (a) . . . . 14,497,000 14,844,3485.50%, 10/1/2027 (a) (b) . . . 10,482,000 10,855,683

353,695,025

MACHINERY,CONSTRUCTION &MINING — 0.3%

Terex Corp.5.63%, 2/1/2025 (a) (b). . . . 8,647,000 8,939,182

Vertiv Group Corp.9.25%, 10/15/2024 (a) (b) . . 11,090,000 11,925,188

Vertiv Intermediate HoldingCorp. PIK12.00%, 2/15/2022 (a) . . . . 8,018,000 8,323,406

29,187,776

MACHINERY-DIVERSIFIED— 0.2%

Cloud Crane LLC10.13%, 8/1/2024 (a) . . . . . 7,929,000 8,335,757

RBS Global, Inc./Rexnord LLC4.88%, 12/15/2025 (a) . . . . 7,917,000 8,188,474


Titan Acquisition, Ltd./TitanCo-Borrower LLC7.75%, 4/15/2026 (a) (b) . . . $ 8,713,000 $ 8,641,815

25,166,046

MEDIA — 10.7%Altice Financing SA:

6.63%, 2/15/2023 (a) (b) . . . 30,366,000 30,915,0177.50%, 5/15/2026 (a) . . . . . 39,652,000 42,623,917

Altice Luxembourg SA:7.63%, 2/15/2025 (a) (b) . . . 21,629,000 22,514,05910.50%, 5/15/2027 (a) . . . . 24,055,000 27,593,490

AMC Networks, Inc.:4.75%, 8/1/2025 (b) . . . . . . 11,600,000 11,671,1085.00%, 4/1/2024 . . . . . . . . 14,581,000 14,892,596

Block Communications, Inc.6.88%, 2/15/2025 (a) . . . . . 8,290,000 8,602,367

CCO Holdings LLC/CCOHoldings Capital Corp.:4.00%, 3/1/2023 (a) . . . . . . 6,339,000 6,440,2344.75%, 3/1/2030 (a) . . . . . . 34,328,000 35,011,1275.00%, 2/1/2028 (a) . . . . . . 28,353,000 29,732,3735.13%, 5/1/2023 (a) . . . . . . 12,447,000 12,738,1355.13%, 5/1/2027 (a) . . . . . . 35,923,000 37,986,0585.38%, 5/1/2025 (a) . . . . . . 8,295,000 8,610,7915.38%, 6/1/2029 (a) . . . . . . 16,939,000 18,169,6185.50%, 5/1/2026 (a) . . . . . . 18,467,000 19,426,5455.75%, 2/15/2026 (a) . . . . . 29,400,000 31,005,5345.88%, 4/1/2024 (a) . . . . . . 18,654,000 19,385,4235.88%, 5/1/2027 (a) . . . . . . 9,026,000 9,584,258

Cengage Learning, Inc.9.50%, 6/15/2024 (a) (b) . . . 9,534,000 8,291,148

Cequel CommunicationsHoldings I LLC/CequelCapital Corp.7.50%, 4/1/2028 (a) . . . . . . 100,000 113,297

Clear Channel WorldwideHoldings, Inc.:5.13%, 8/15/2027 (a) . . . . . 18,740,000 19,506,2799.25%, 2/15/2024 (a) . . . . . 26,374,000 29,246,920

CSC Holdings LLC:5.38%, 7/15/2023 (a) . . . . . 14,692,500 15,089,4915.38%, 2/1/2028 (a) . . . . . . 14,165,000 15,137,5695.50%, 5/15/2026 (a) . . . . . 20,490,000 21,705,8775.50%, 4/15/2027 (a) (b) . . . 18,611,000 20,003,2895.75%, 1/15/2030 (a) . . . . . 33,104,000 35,326,9346.50%, 2/1/2029 (a) . . . . . . 25,806,000 28,817,0446.63%, 10/15/2025 (a) . . . . 13,574,000 14,462,0117.50%, 4/1/2028 (a) . . . . . . 15,376,350 17,348,9827.75%, 7/15/2025 (a) . . . . . 8,688,250 9,264,45510.88%, 10/15/2025 (a) . . . 23,776,700 26,759,725

Cumulus Media New Holdings,Inc.6.75%, 7/1/2026 (a) (b). . . . 8,256,000 8,871,732

Diamond SportsGroup LLC/Diamond SportsFinance Co.:


9


5.38%, 8/15/2026 (a) . . . . . $ 43,554,000 $ 44,126,7356.63%, 8/15/2027 (a) (b) . . . 26,660,000 25,936,181

DISH DBS Corp.7.75%, 7/1/2026 (b) . . . . . . 29,418,000 31,179,256

Gray Television, Inc.:5.13%, 10/15/2024 (a) . . . . 7,835,000 8,121,2135.88%, 7/15/2026 (a) (b) . . . 9,272,000 9,865,5017.00%, 5/15/2027 (a) (b) . . . 10,919,000 12,165,731

iHeartCommunications, Inc.:4.75%, 1/15/2028 (a) (b) . . . 8,198,000 8,394,7525.25%, 8/15/2027 (a) (b) . . . 8,699,000 9,114,6386.38%, 5/1/2026 (b) . . . . . . 11,491,301 12,496,7908.38%, 5/1/2027 (b) . . . . . . 22,030,000 24,308,122

LCPR Senior SecuredFinancing DAC6.75%, 10/15/2027 (a) . . . . 17,570,000 18,716,091

Meredith Corp.6.88%, 2/1/2026 (b) . . . . . . 18,453,000 19,188,906

Nexstar Broadcasting, Inc.:5.63%, 8/1/2024 (a) . . . . . . 10,956,000 11,429,0805.63%, 7/15/2027 (a) . . . . . 27,333,000 28,834,675

Scripps Escrow, Inc.5.88%, 7/15/2027 (a) . . . . . 7,918,000 8,291,017

Sinclair Television Group, Inc.5.50%, 3/1/2030 (a) (b). . . . 7,445,000 7,621,074

Sirius XM Radio, Inc.:3.88%, 8/1/2022 (a) . . . . . . 11,721,000 11,966,6724.63%, 7/15/2024 (a) . . . . . 21,863,000 22,906,5215.00%, 8/1/2027 (a) (b). . . . 21,889,000 23,130,9825.38%, 4/15/2025 (a) (b) . . . 13,792,000 14,268,2385.38%, 7/15/2026 (a) (b) . . . 14,712,000 15,651,8035.50%, 7/1/2029 (a) . . . . . . 18,920,000 20,474,278

TEGNA, Inc.5.00%, 9/15/2029 (a) . . . . . 16,461,000 16,741,331

Telenet Finance LuxembourgNotes Sarl5.50%, 3/1/2028 (a) . . . . . . 13,000,000 13,914,810

Univision Communications,Inc.5.13%, 2/15/2025 (a) . . . . . 22,218,000 21,957,605

UPC Holding B.V.5.50%, 1/15/2028 (a) . . . . . 8,546,000 8,718,116

UPCB Finance IV, Ltd.5.38%, 1/15/2025 (a) . . . . . 16,857,000 17,336,413

ViacomCBS, Inc.:3 Month USD LIBOR +

3.90%, 5.88%, 2/28/2057(c) . . . . . . . . . . . . . . . 9,622,200 10,031,721

3 Month USD LIBOR +3.90%, 6.25%, 2/28/2057(c) . . . . . . . . . . . . . . . 8,807,000 9,738,604

Videotron, Ltd.5.13%, 4/15/2027 (a) . . . . . 8,327,000 8,907,892

Virgin Media Secured FinancePLC:5.50%, 8/15/2026 (a) (b) . . . 11,008,000 11,552,5665.50%, 5/15/2029 (a) . . . . . 19,439,000 20,609,617


Ziggo B.V.:4.88%, 1/15/2030 (a) . . . . . $ 7,669,000 $ 7,919,7005.50%, 1/15/2027 (a) (b) . . . 28,448,000 30,266,681

Ziggo Bond Co. B.V.6.00%, 1/15/2027 (a) . . . . . 7,397,000 7,822,475

1,230,553,190

METAL FABRICATE &HARDWARE — 0.3%

Grinding Media,Inc./Moly-Cop AltaSteel,Ltd.7.38%, 12/15/2023 (a) (b) . . 11,446,000 11,651,799

Novelis Corp.5.88%, 9/30/2026 (a) (b) . . . 21,800,000 23,244,904

34,896,703

MINING — 1.4%Alcoa Nederland Holding B.V.:

6.13%, 5/15/2028 (a) (b) . . . 8,686,000 9,388,0896.75%, 9/30/2024 (a) . . . . . 10,575,000 11,111,3647.00%, 9/30/2026 (a) . . . . . 7,054,000 7,700,076

Compass MineralsInternational, Inc.6.75%, 12/1/2027 (a) . . . . . 7,565,000 8,008,687

Constellium NV:5.88%, 2/15/2026 (a) (b) . . . 7,271,000 7,697,5906.63%, 3/1/2025 (a) (b). . . . 9,347,000 9,721,347

FMG Resources August 2006Pty, Ltd.:4.50%, 9/15/2027 (a) . . . . . 8,094,000 8,302,9874.75%, 5/15/2022 (a) . . . . . 12,924,000 13,378,0205.13%, 3/15/2023 (a) (b) . . . 6,458,000 6,819,6485.13%, 5/15/2024 (a) (b) . . . 9,397,000 10,027,163

Freeport-McMoRan, Inc.:5.00%, 9/1/2027 (b) . . . . . . 8,752,000 9,221,2825.25%, 9/1/2029 (b) . . . . . . 8,428,000 9,028,748

Hecla Mining Co.6.88%, 5/1/2021 (b) . . . . . . 1,404,000 1,400,785

Hudbay Minerals, Inc.7.63%, 1/15/2025 (a) (b) . . . 8,611,000 9,081,247

Joseph T Ryerson & Son, Inc.11.00%, 5/15/2022 (a) . . . . 10,177,000 10,735,412

Kaiser Aluminum Corp.4.63%, 3/1/2028 (a) . . . . . . 7,141,000 7,321,096

Northwest AcquisitionsULC/Dominion Finco, Inc.7.13%, 11/1/2022 (a) (b) . . . 6,765,000 5,110,213

Novelis Corp.6.25%, 8/15/2024 (a) . . . . . 15,445,000 16,181,572

160,235,326


10


MISCELLANEOUSMANUFACTURER —0.3%

Foxtrot EscrowIssuer LLC/Foxtrot EscrowCorp.12.25%, 11/15/2026 (a) . . . $ 11,383,000 $ 11,870,079

FXI Holdings, Inc.7.88%, 11/1/2024 (a) . . . . . 8,115,000 7,794,701

Gates Global LLC/GatesGlobal Co.6.25%, 1/15/2026 (a) . . . . . 8,728,000 8,873,670

Koppers, Inc.6.00%, 2/15/2025 (a) . . . . . 7,088,000 7,426,381

35,964,831

OFFICE & BUSINESSEQUIPMENT — 0.4%

CDW LLC/CDW FinanceCorp.:4.25%, 4/1/2028 (b) . . . . . . 8,195,000 8,602,2105.00%, 9/1/2025 . . . . . . . . 8,392,000 8,767,290

Pitney Bowes, Inc.4.13%, 10/1/2021 . . . . . . . 8,627,200 8,768,427

Xerox Corp.4.13%, 3/15/2023 . . . . . . . 13,958,000 14,483,100

40,621,027

OIL & GAS — 6.4%Aker BP ASA

5.88%, 3/31/2025 (a) (b) . . . 3,591,000 3,809,728American Energy- Permian

Basin LLC12.00%, 10/1/2024 (a) . . . . 60,000 41,052

Antero Resources Corp.:5.00%, 3/1/2025 (b) . . . . . . 8,945,000 6,739,8795.63%, 6/1/2023 (b) . . . . . . 10,917,000 8,782,945

Ascent Resources UticaHoldings LLC/ARU FinanceCorp.:7.00%, 11/1/2026 (a) . . . . . 10,276,000 8,210,62710.00%, 4/1/2022 (a) . . . . . 13,284,000 13,202,171

Bruin E&P Partners LLC8.88%, 8/1/2023 (a) . . . . . . 8,593,000 5,594,559

California Resources Corp.8.00%, 12/15/2022 (a) . . . . 25,170,000 11,252,752

Callon Petroleum Co.6.13%, 10/1/2024 . . . . . . . 8,745,000 8,916,927

Calumet Specialty ProductsPartners L.P./CalumetFinance Corp.11.00%, 4/15/2025 (a) (b) . . 6,270,000 6,853,235

Carrizo Oil & Gas, Inc.6.25%, 4/15/2023 (b) . . . . . 9,672,000 9,819,208

Centennial ResourceProduction LLC6.88%, 4/1/2027 (a) (b). . . . 7,229,000 7,517,293

Chesapeake Energy Corp.:


7.00%, 10/1/2024 . . . . . . . $ 10,792,000 $ 6,521,28211.50%, 1/1/2025 (a) (b) . . . 32,583,000 30,892,594

CNX Resources Corp.7.25%, 3/14/2027 (a) (b) . . . 6,848,000 5,994,328

Comstock Resources, Inc.9.75%, 8/15/2026 . . . . . . . 12,153,000 11,000,896

Covey Park Energy LLC/CoveyPark Finance Corp.7.50%, 5/15/2025 (a) . . . . . 9,537,000 8,208,877

CrownRock L.P./CrownRockFinance, Inc.5.63%, 10/15/2025 (a) (b) . . 17,970,000 18,318,079

Denbury Resources, Inc.:7.75%, 2/15/2024 (a) . . . . . 7,114,000 6,187,2599.00%, 5/15/2021 (a) . . . . . 8,080,000 7,896,422

Diamond Offshore Drilling,Inc.7.88%, 8/15/2025 (b) . . . . . 7,341,000 6,379,182

Endeavor Energy ResourcesL.P./EER Finance, Inc.:5.50%, 1/30/2026 (a) . . . . . 7,807,000 8,044,8795.75%, 1/30/2028 (a) . . . . . 15,140,000 15,925,463

Ensign Drilling, Inc.9.25%, 4/15/2024 (a) . . . . . 8,206,000 7,734,565

EP Energy LLC/EverestAcquisition Finance, Inc.7.75%, 5/15/2026 (a) (e) . . . 4,710,000 3,365,531

Extraction Oil & Gas, Inc.5.63%, 2/1/2026 (a) . . . . . . 10,717,000 6,397,942

Gulfport Energy Corp.:6.00%, 10/15/2024 . . . . . . 7,531,568 5,355,8496.38%, 5/15/2025 . . . . . . . 8,844,000 5,615,852

Hilcorp Energy I L.P./HilcorpFinance Co.:5.00%, 12/1/2024 (a) . . . . . 39,000 37,7665.75%, 10/1/2025 (a) . . . . . 8,129,000 7,920,4106.25%, 11/1/2028 (a) . . . . . 8,821,000 8,406,060

Indigo Natural Resources LLC6.88%, 2/15/2026 (a) . . . . . 9,182,000 8,686,539

Ithaca Energy North Sea PLC9.38%, 7/15/2024 (a) . . . . . 6,473,000 6,735,480

Jagged Peak Energy LLC5.88%, 5/1/2026 . . . . . . . . 7,253,000 7,497,281

Jonah Energy LLC/JonahEnergy Finance Corp.7.25%, 10/15/2025 (a) . . . . 8,643,000 2,591,517

Matador Resources Co.5.88%, 9/15/2026 (b) . . . . . 15,290,000 15,389,844

MEG Energy Corp.6.50%, 1/15/2025 (a) . . . . . 9,756,000 10,176,093

Montage Resources Corp.8.88%, 7/15/2023 . . . . . . . 7,411,000 6,843,762

Moss Creek ResourcesHoldings, Inc.:7.50%, 1/15/2026 (a) . . . . . 10,007,000 7,632,73910.50%, 5/15/2027 (a) . . . . 8,375,000 6,951,250

Murphy Oil Corp.:


11


5.75%, 8/15/2025 (b) . . . . . $ 7,175,000 $ 7,520,9795.88%, 12/1/2027 (b) . . . . . 8,596,000 8,982,9926.88%, 8/15/2024 . . . . . . . 7,480,000 7,891,849

Nabors Industries, Inc.:5.50%, 1/15/2023 (b) . . . . . 8,506,540 8,202,4315.75%, 2/1/2025 (b) . . . . . . 11,150,000 10,039,794

Neptune Energy Bondco PLC6.63%, 5/15/2025 (a) . . . . . 13,181,000 13,145,543

Noble Holding International,Ltd.7.88%, 2/1/2026 (a) . . . . . . 9,537,000 6,968,209

Pacific Drilling SA8.38%, 10/1/2023 (a) (b) . . . 11,180,000 10,229,029

Parkland Fuel Corp.:5.88%, 7/15/2027 (a) . . . . . 7,554,000 8,105,8956.00%, 4/1/2026 (a) (b). . . . 6,798,000 7,189,293

Parsley Energy LLC/ParsleyFinance Corp.:5.38%, 1/15/2025 (a) . . . . . 11,733,000 12,088,5105.63%, 10/15/2027 (a) (b) . . 7,262,000 7,685,084

PBF Holding Co. LLC/PBFFinance Corp.7.25%, 6/15/2025 . . . . . . . 10,523,000 11,254,875

PDC Energy, Inc.5.75%, 5/15/2026 . . . . . . . 8,540,000 8,502,595

Puma International FinancingSA:5.00%, 1/24/2026 (a) . . . . . 9,047,000 8,456,3215.13%, 10/6/2024 (a) . . . . . 8,584,000 8,350,773

QEP Resources, Inc.5.63%, 3/1/2026 . . . . . . . . 6,653,000 6,495,856

Range Resources Corp.:4.88%, 5/15/2025 (b) . . . . . 10,580,000 9,100,2815.00%, 8/15/2022 (b) . . . . . 8,839,000 8,660,4525.00%, 3/15/2023 (b) . . . . . 10,266,000 9,459,708

Seven Generations Energy, Ltd.5.38%, 9/30/2025 (a) . . . . . 10,788,000 10,868,910

SM Energy Co.:5.63%, 6/1/2025 (b) . . . . . . 8,841,000 8,384,5396.63%, 1/15/2027 (b) . . . . . 6,912,000 6,788,6906.75%, 9/15/2026 (b) . . . . . 5,789,000 5,690,008

Southwestern Energy Co.:6.20%, 1/23/2025 (b) . . . . . 14,040,000 12,896,8637.50%, 4/1/2026 (b) . . . . . . 9,452,000 8,748,960

SRC Energy, Inc.6.25%, 12/1/2025 . . . . . . . 8,507,000 8,568,591

Sunoco L.P./Sunoco FinanceCorp.:6.00%, 4/15/2027 . . . . . . . 9,476,000 10,096,583Series WI, 4.88%,

1/15/2023 . . . . . . . . . . 13,327,000 13,649,913Series WI, 5.50%,

2/15/2026 . . . . . . . . . . 11,888,000 12,348,184Transocean Guardian, Ltd.

5.88%, 1/15/2024 (a) . . . . . 9,958,931 10,174,243Transocean Pontus, Ltd.

6.13%, 8/1/2025 (a) . . . . . . 7,368,630 7,570,015


Transocean Poseidon, Ltd.6.88%, 2/1/2027 (a) . . . . . . $ 6,647,000 $ 7,032,858

Transocean Sentry, Ltd.5.38%, 5/15/2023 (a) . . . . . 6,503,000 6,612,966

Transocean, Inc.:7.25%, 11/1/2025 (a) (b) . . . 10,175,000 10,012,2007.50%, 1/15/2026 (a) . . . . . 10,687,000 10,550,5279.00%, 7/15/2023 (a) . . . . . 14,920,000 15,764,920

Valaris PLC7.75%, 2/1/2026 . . . . . . . . 13,754,000 7,766,471

Vine Oil & Gas L.P./Vine Oil& Gas Finance Corp.8.75%, 4/15/2023 (a) . . . . . 8,167,000 4,001,830

Viper Energy Partners L.P.5.38%, 11/1/2027 (a) . . . . . 7,820,000 8,152,350

W&T Offshore, Inc.9.75%, 11/1/2023 (a) . . . . . 8,781,000 8,413,691

Whiting Petroleum Corp.6.63%, 1/15/2026 . . . . . . . 14,006,000 9,517,637

WPX Energy, Inc.:5.25%, 10/15/2027 (b) . . . . 7,228,000 7,616,4335.75%, 6/1/2026 (b) . . . . . . 6,807,000 7,277,296

730,283,264

OIL & GAS SERVICES —0.7%

Archrock PartnersL.P./Archrock PartnersFinance Corp.:6.25%, 4/1/2028 (a) . . . . . . 7,455,000 7,690,0566.88%, 4/1/2027 (a) . . . . . . 7,325,000 7,760,838

Calfrac Holdings L.P.8.50%, 6/15/2026 (a) . . . . . 8,438,000 3,417,390

KCA Deutag UK Finance PLC9.88%, 4/1/2022 (a) . . . . . . 7,249,000 4,933,379

SESI LLC7.75%, 9/15/2024 . . . . . . . 8,095,380 5,381,728

USA Compression PartnersL.P./USA CompressionFinance Corp.:6.88%, 4/1/2026 . . . . . . . . 11,074,000 11,645,1976.88%, 9/1/2027 (b) . . . . . . 9,196,000 9,609,544

Weatherford International, Ltd.11.00%, 12/1/2024 (a) . . . . 31,399,000 34,074,509

84,512,641

PACKAGING &CONTAINERS — 2.8%

ARD Finance SA6.50%, 6/30/2027 (a) . . . . . 17,586,000 18,180,583

Ardagh Packaging FinancePLC/Ardagh Holdings USA,Inc.:4.13%, 8/15/2026 (a) (b) . . . 5,387,000 5,541,3914.25%, 9/15/2022 (a) . . . . . 9,347,000 9,454,1175.25%, 8/15/2027 (a) . . . . . 11,058,000 11,636,0026.00%, 2/15/2025 (a) . . . . . 25,286,000 26,522,738

Ball Corp.:


12


4.88%, 3/15/2026 (b) . . . . . $ 10,244,000 $ 11,145,6775.25%, 7/1/2025 (b) . . . . . . 14,561,000 16,269,879

Berry Global, Inc.:4.50%, 2/15/2026 (a) (b) . . . 7,135,000 7,335,6364.88%, 7/15/2026 (a) . . . . . 17,800,000 18,787,7225.13%, 7/15/2023 . . . . . . . 9,414,000 9,662,5305.63%, 7/15/2027 (a) (b) . . . 7,963,000 8,580,769

Crown Americas LLC/CrownAmericas Capital Corp.4.75%, 2/1/2026 (b) . . . . . . 12,482,000 13,203,834

Flex Acquisition Co., Inc.:6.88%, 1/15/2025 (a) . . . . . 7,121,000 7,179,4637.88%, 7/15/2026 (a) (b) . . . 8,345,000 8,456,990

Greif, Inc.6.50%, 3/1/2027 (a) (b). . . . 6,608,000 7,153,094

LABL Escrow Issuer LLC:6.75%, 7/15/2026 (a) . . . . . 9,651,000 10,274,64810.50%, 7/15/2027 (a) . . . . 11,234,000 11,501,032

Mauser Packaging SolutionsHolding Co.:5.50%, 4/15/2024 (a) . . . . . 19,909,000 20,533,5457.25%, 4/15/2025 (a) (b) . . . 20,147,000 19,956,812

Owens-Brockway GlassContainer, Inc.5.88%, 8/15/2023 (a) (b) . . . 11,356,000 12,143,993

Plastipak Holdings, Inc.6.25%, 10/15/2025 (a) (b) . . 8,574,000 7,384,958

Reynolds Group Issuer,Inc./Reynolds GroupIssuer LLC/Reynolds GroupIssuer Lu:5.13%, 7/15/2023 (a) . . . . . 22,709,800 23,269,5977.00%, 7/15/2024 (a) . . . . . 12,525,000 12,958,866

Silgan Holdings, Inc.4.13%, 2/1/2028 (a) . . . . . . 156,000 156,398

Trivium Packaging FinanceB.V.:5.50%, 8/15/2026 (a) (b) . . . 14,950,000 15,828,3128.50%, 8/15/2027 (a) (b) . . . 9,846,000 10,953,675

324,072,261

PHARMACEUTICALS —2.9%

Bausch Health Americas, Inc.:8.50%, 1/31/2027 (a) . . . . . 19,572,000 22,316,9739.25%, 4/1/2026 (a) . . . . . . 17,407,000 20,004,298

Bausch Health Cos., Inc.:5.00%, 1/30/2028 (a) (b) . . . 13,959,000 14,352,3655.25%, 1/30/2030 (a) (b) . . . 14,866,000 15,438,1925.50%, 11/1/2025 (a) . . . . . 21,365,000 22,329,2025.75%, 8/15/2027 (a) . . . . . 5,363,000 5,825,2375.88%, 5/15/2023 (a) . . . . . 15,654,040 15,858,9516.13%, 4/15/2025 (a) . . . . . 37,449,000 38,751,8516.50%, 3/15/2022 (a) . . . . . 14,537,000 14,882,5447.00%, 3/15/2024 (a) . . . . . 20,891,000 21,794,3277.00%, 1/15/2028 (a) . . . . . 8,037,000 8,886,9137.25%, 5/30/2029 (a) (b) . . . 7,759,000 8,857,907


9.00%, 12/15/2025 (a) . . . . $ 17,903,000 $ 20,353,742Elanco Animal Health, Inc.:

4.90%, 8/28/2028 . . . . . . . 9,700,000 10,542,057Series WI, 3.91%,

8/27/2021 . . . . . . . . . . 6,867,000 7,026,864Series WI, 4.27%,

8/28/2023 . . . . . . . . . . 10,772,000 11,377,063Endo Dac/Endo

Finance LLC/Endo Finco,Inc.:6.00%, 7/15/2023 (a) (b) . . . 19,801,000 14,386,0216.00%, 2/1/2025 (a) . . . . . . 18,194,000 12,317,156

Horizon Pharma USA, Inc.5.50%, 8/1/2027 (a) . . . . . . 8,545,000 9,225,097

Mallinckrodt InternationalFinance SA/MallinckrodtCB LLC:5.63%, 10/15/2023 (a) . . . . 188,000 73,05910.00%, 4/15/2025 (a) . . . . 5,838,000 4,573,898

NVA Holdings, Inc.6.88%, 4/1/2026 (a) . . . . . . 5,720,000 6,237,660

Par Pharmaceutical, Inc.7.50%, 4/1/2027 (a) . . . . . . 22,814,000 22,789,817

328,201,194

PIPELINES — 3.4%AI Candelaria Spain SLU

7.50%, 12/15/2028 (a) . . . . 10,810,000 12,114,010Antero Midstream Partners

L.P./Antero MidstreamFinance Corp.:5.38%, 9/15/2024 . . . . . . . 9,300,000 8,639,2355.75%, 3/1/2027 (a) . . . . . . 9,361,000 8,240,2075.75%, 1/15/2028 (a) . . . . . 9,437,000 8,235,198

Blue RacerMidstream LLC/Blue RacerFinance Corp.6.13%, 11/15/2022 (a) . . . . 857,000 841,454

Buckeye Partners L.P.3.95%, 12/1/2026 . . . . . . . 8,553,000 8,262,455

Cheniere Energy Partners L.P.:4.50%, 10/1/2029 (a) . . . . . 19,496,000 20,027,0715.25%, 10/1/2025 . . . . . . . 20,895,000 21,753,3675.63%, 10/1/2026 . . . . . . . 19,132,000 20,233,621

Crestwood Midstream PartnersL.P./Crestwood MidstreamFinance Corp.:5.63%, 5/1/2027 (a) . . . . . . 8,467,000 8,593,5825.75%, 4/1/2025 (b) . . . . . . 6,616,000 6,776,2396.25%, 4/1/2023 . . . . . . . . 10,811,000 11,024,842

DCP Midstream OperatingL.P.:5.13%, 5/15/2029 . . . . . . . 8,946,000 9,298,8305.38%, 7/15/2025 . . . . . . . 10,453,000 11,372,028

Energy Transfer L.P.4.25%, 3/15/2023 . . . . . . . 35,000 34,904


13


EnLink Midstream LLC5.38%, 6/1/2029 (b) . . . . . . $ 7,119,000 $ 6,698,908

EnLink Midstream PartnersL.P.:4.15%, 6/1/2025 . . . . . . . . 11,740,000 11,026,0914.85%, 7/15/2026 . . . . . . . 7,791,000 7,312,243

Genesis Energy L.P./GenesisEnergy Finance Corp.:6.50%, 10/1/2025 . . . . . . . 7,597,000 7,391,5016.75%, 8/1/2022 . . . . . . . . 10,555,500 10,685,438

Hess Infrastructure PartnersL.P./Hess InfrastructurePartners Finance Corp.5.63%, 2/15/2026 (a) . . . . . 1,443,000 1,511,413

Hess Midstream OperationsL.P.:5.13%, 6/15/2028 (a) . . . . . 8,953,000 9,074,6715.63%, 2/15/2026 (a) . . . . . 10,086,000 10,538,256

Holly Energy PartnersL.P./Holly Energy FinanceCorp.6.00%, 8/1/2024 (a) . . . . . . 7,104,000 7,407,767

NGL Energy PartnersL.P./NGL Energy FinanceCorp.7.50%, 11/1/2023 . . . . . . . 9,567,000 9,613,496

NuStar Logistics L.P.:5.63%, 4/28/2027 . . . . . . . 8,397,000 8,632,0326.00%, 6/1/2026 . . . . . . . . 8,084,000 8,562,007

PBF Logistics L.P./PBFLogistics Finance Corp.6.88%, 5/15/2023 . . . . . . . 6,861,000 7,078,768

Summit MidstreamHoldings LLC/SummitMidstream Finance Corp.5.75%, 4/15/2025 . . . . . . . 7,328,000 5,591,337

Tallgrass Energy PartnersL.P./Tallgrass EnergyFinance Corp.:4.75%, 10/1/2023 (a) . . . . . 8,174,000 8,163,6195.50%, 9/15/2024 (a) . . . . . 10,715,000 10,752,0745.50%, 1/15/2028 (a) . . . . . 11,273,000 11,037,732

Targa Resources PartnersL.P./Targa ResourcesPartners Finance Corp.:5.00%, 1/15/2028 (b) . . . . . 9,480,000 9,686,8545.13%, 2/1/2025 . . . . . . . . 5,912,000 6,136,9525.38%, 2/1/2027 (b) . . . . . . 7,841,000 8,143,8195.50%, 3/1/2030 (a) . . . . . . 16,056,000 16,520,1795.88%, 4/15/2026 . . . . . . . 14,978,000 15,942,5836.50%, 7/15/2027 (a) . . . . . 10,504,000 11,511,3346.75%, 3/15/2024 . . . . . . . 7,771,000 8,062,4126.88%, 1/15/2029 (a) (b) . . . 11,052,000 12,263,962

384,792,491


REAL ESTATE — 0.6%Five Point Operating Co.

L.P./Five Point Capital Corp.7.88%, 11/15/2025 (a) . . . . $ 10,267,000 $ 10,353,243

Greystar Real EstatePartners LLC5.75%, 12/1/2025 (a) . . . . . 8,838,000 9,173,756

Howard Hughes Corp.5.38%, 3/15/2025 (a) (b) . . . 14,174,000 14,831,674

Hunt Cos., Inc.6.25%, 2/15/2026 (a) . . . . . 10,867,000 10,790,279

Newmark Group, Inc.6.13%, 11/15/2023 . . . . . . 7,731,000 8,509,125

Realogy Group LLC/RealogyCo-Issuer Corp.:5.25%, 12/1/2021 (a) . . . . . 965,000 976,5129.38%, 4/1/2027 (a) (b). . . . 7,436,000 7,756,045

WeWork Cos., Inc.7.88%, 5/1/2025 (a) (b). . . . 9,976,000 8,191,892

70,582,526

REAL ESTATEINVESTMENT TRUSTS— 3.0%

Brookfield Property REIT,Inc./BPRCumulus LLC/BPRNimbus LLC/GGSI SellcoLL5.75%, 5/15/2026 (a) . . . . . 14,972,000 15,858,941

CBL & Associates L.P.5.95%, 12/15/2026 . . . . . . 8,452,640 5,112,326

ESH Hospitality, Inc.:4.63%, 10/1/2027 (a) . . . . . 11,043,000 11,194,9525.25%, 5/1/2025 (a) . . . . . . 18,126,000 18,755,335

HAT Holdings I LLC/HATHoldings II LLC5.25%, 7/15/2024 (a) . . . . . 7,605,000 8,010,118

Iron Mountain, Inc.:4.38%, 6/1/2021 (a) . . . . . . 6,551,000 6,612,7764.88%, 9/15/2027 (a) . . . . . 14,424,000 14,877,4914.88%, 9/15/2029 (a) . . . . . 14,898,000 15,148,4355.25%, 3/15/2028 (a) . . . . . 12,203,000 12,733,464

iStar, Inc.:4.25%, 8/1/2025 . . . . . . . . 8,266,000 8,369,8214.75%, 10/1/2024 . . . . . . . 10,797,000 11,246,479

Ladder Capital FinanceHoldings LLLP/LadderCapital Finance Corp.5.25%, 3/15/2022 (a) . . . . . 7,338,000 7,639,078

MGM Growth PropertiesOperating PartnershipL.P./MGP FinanceCo-Issuer, Inc.:4.50%, 9/1/2026 (b) . . . . . . 7,914,000 8,330,9105.63%, 5/1/2024 . . . . . . . . 15,183,000 16,594,8675.75%, 2/1/2027 (a) . . . . . . 10,290,000 11,499,178


14


MPT Operating PartnershipL.P./MPT Finance Corp.:4.63%, 8/1/2029 . . . . . . . . $ 13,028,000 $ 13,439,9455.00%, 10/15/2027 . . . . . . 20,897,000 22,207,4515.25%, 8/1/2026 . . . . . . . . 7,152,000 7,554,7296.38%, 3/1/2024 . . . . . . . . 7,126,000 7,410,185

Ryman Hospitality Properties,Inc.4.75%, 10/15/2027 (a) . . . . 10,049,000 10,398,504

SBA Communications Corp.:4.00%, 10/1/2022 . . . . . . . 9,796,000 9,981,2424.88%, 9/1/2024 . . . . . . . . 16,974,000 17,657,204

Senior Housing PropertiesTrust4.75%, 2/15/2028 (b) . . . . . 6,703,000 6,799,121

Starwood Property Trust, Inc.5.00%, 12/15/2021 . . . . . . 7,113,500 7,408,070

Uniti Group L.P./Uniti FiberHoldings, Inc./CSLCapital LLC7.13%, 12/15/2024 (a) . . . . 7,216,000 6,143,702

Uniti Group L.P./Uniti GroupFinance, Inc./CSLCapital LLC:6.00%, 4/15/2023 (a) . . . . . 10,821,800 10,413,1698.25%, 10/15/2023 . . . . . . 14,993,000 13,125,172

VICI Properties L.P./VICINote Co., Inc.:4.25%, 12/1/2026 (a) . . . . . 16,862,000 17,399,8984.63%, 12/1/2029 (a) . . . . . 14,269,000 14,936,219

Washington Prime Group L.P.6.45%, 8/15/2024 (b) . . . . . 11,476,000 10,640,547

347,499,329

RETAIL — 3.6%1011778 BC ULC/New Red

Finance, Inc.:3.88%, 1/15/2028 (a) (b) . . . 9,959,000 10,036,6804.25%, 5/15/2024 (a) . . . . . 20,840,000 21,392,6774.38%, 1/15/2028 (a) . . . . . 11,518,000 11,605,0765.00%, 10/15/2025 (a) . . . . 40,388,000 41,900,127

Asbury Automotive Group, Inc.6.00%, 12/15/2024 . . . . . . 277,000 286,169

Beacon Roofing Supply, Inc.4.88%, 11/1/2025 (a) (b) . . . 18,629,000 18,712,644

Carvana Co.8.88%, 10/1/2023 (a) (b) . . . 8,681,000 9,146,909

eG Global Finance PLC:6.75%, 2/7/2025 (a) . . . . . . 10,568,000 10,769,4268.50%, 10/30/2025 (a) . . . . 9,185,000 9,749,602

Golden Nugget, Inc.:6.75%, 10/15/2024 (a) . . . . 19,207,000 19,871,7548.75%, 10/1/2025 (a) (b) . . . 9,659,000 10,343,340

Guitar Center, Inc.9.50%, 10/15/2021 (a) . . . . 9,805,000 9,679,398

JC Penney Corp., Inc.5.88%, 7/1/2023 (a) (b). . . . 7,215,000 6,204,611


KFC Holding Co./Pizza HutHoldings LLC/Taco Bell ofAmerica LLC:4.75%, 6/1/2027 (a) (b). . . . $ 10,199,000 $ 10,785,8505.00%, 6/1/2024 (a) . . . . . . 14,945,000 15,511,8645.25%, 6/1/2026 (a) . . . . . . 14,877,000 15,711,749

L Brands, Inc.:5.25%, 2/1/2028 (b) . . . . . . 7,661,000 7,295,4177.50%, 6/15/2029 (b) . . . . . 8,423,000 8,724,796

Michaels Stores, Inc.8.00%, 7/15/2027 (a) (b) . . . 8,797,000 8,450,662

Murphy Oil USA, Inc.4.75%, 9/15/2029 . . . . . . . 6,833,000 7,212,573

Neiman Marcus Group, Ltd.LLC/Neiman MarcusGroup LLC/MariposaBorrower/NMG8.00%, 10/25/2024 (a) . . . . 5,064,000 1,614,251

Party City Holdings, Inc.6.63%, 8/1/2026 (a) (b). . . . 6,142,000 4,341,596

Penske Automotive Group, Inc.5.50%, 5/15/2026 . . . . . . . 7,092,000 7,459,507

PetSmart, Inc.:5.88%, 6/1/2025 (a) (b). . . . 18,000,000 18,381,6007.13%, 3/15/2023 (a) . . . . . 27,222,000 26,689,5388.88%, 6/1/2025 (a) (b). . . . 9,427,000 9,338,009

Rite Aid Corp.6.13%, 4/1/2023 (a) . . . . . . 25,477,000 23,426,611

Sally Holdings LLC/SallyCapital, Inc.5.63%, 12/1/2025 (b) . . . . . 8,699,000 9,103,591

Staples, Inc.:7.50%, 4/15/2026 (a) . . . . . 28,758,000 29,920,68610.75%, 4/15/2027 (a) (b) . . 15,264,000 15,540,584

Yum! Brands, Inc.4.75%, 1/15/2030 (a) (b) . . . 11,943,000 12,554,721

411,762,018

SEMICONDUCTORS —0.5%

Amkor Technology, Inc.6.63%, 9/15/2027 (a) . . . . . 8,344,000 9,174,812

Entegris, Inc.4.63%, 2/10/2026 (a) . . . . . 8,320,000 8,606,208

Qorvo, Inc.:4.38%, 10/15/2029 (a) . . . . 8,830,000 9,250,7495.50%, 7/15/2026 . . . . . . . 12,683,000 13,525,659

Sensata Technologies UKFinancing Co. PLC6.25%, 2/15/2026 (a) . . . . . 10,920,000 11,794,364

52,351,792

SOFTWARE — 2.9%Camelot Finance SA

4.50%, 11/1/2026 (a) . . . . . 9,823,000 10,075,648CDK Global, Inc.:

4.88%, 6/1/2027 (b) . . . . . . 8,269,000 8,748,189


15


5.25%, 5/15/2029 (a) . . . . . $ 7,280,000 $ 7,809,0385.88%, 6/15/2026 . . . . . . . 7,504,000 8,024,628

Change HealthcareHoldings LLC/ChangeHealthcare Finance, Inc.5.75%, 3/1/2025 (a) (b). . . . 14,713,000 15,196,175

Dun & Bradstreet Corp.10.25%, 2/15/2027 (a) (b) . . 10,627,000 12,268,659

Genesys TelecommunicationsLaboratories,Inc./Greeneden Lux 3Sarl/Greeneden USHoldings II LLC10.00%, 11/30/2024 (a) (b) . 10,107,000 10,921,422

Infor US, Inc.6.50%, 5/15/2022 . . . . . . . 24,711,000 25,125,403

Informatica LLC7.13%, 7/15/2023 (a) . . . . . 9,118,000 9,270,362

IQVIA, Inc.:5.00%, 10/15/2026 (a) . . . . 15,366,000 16,203,2935.00%, 5/15/2027 (a) . . . . . 15,682,000 16,609,120

j2 Cloud Services LLC/j2Global Co-Obligor, Inc.6.00%, 7/15/2025 (a) . . . . . 9,262,000 9,789,378

Marble II Pte, Ltd.Series REGS, 5.30%,6/20/2022 . . . . . . . . . . . . 3,396,000 3,443,816

MSCI, Inc.:4.00%, 11/15/2029 (a) (b) . . 14,500,000 14,730,5504.75%, 8/1/2026 (a) . . . . . . 8,995,000 9,439,8935.38%, 5/15/2027 (a) (b) . . . 4,878,000 5,274,1425.75%, 8/15/2025 (a) . . . . . 9,920,000 10,408,461

Nuance Communications, Inc.5.63%, 12/15/2026 (b) . . . . 7,320,960 7,812,489

Open Text Corp.:5.63%, 1/15/2023 (a) . . . . . 11,525,000 11,716,7765.88%, 6/1/2026 (a) (b). . . . 11,521,930 12,319,708

PTC, Inc.6.00%, 5/15/2024 . . . . . . . 7,323,000 7,642,356

Rackspace Hosting, Inc.8.63%, 11/15/2024 (a) (b) . . 17,653,000 17,265,340

Solera LLC/Solera Finance,Inc.10.50%, 3/1/2024 (a) . . . . . 28,656,000 30,448,146

SS&C Technologies, Inc.5.50%, 9/30/2027 (a) (b) . . . 29,431,000 31,389,633

Star Merger Sub, Inc.6.88%, 8/15/2026 (a) . . . . . 9,824,000 10,843,436

Veritas US, Inc./VeritasBermuda, Ltd.10.50%, 2/1/2024 (a) (b) . . . 12,297,000 11,421,454

334,197,515

TELECOMMUNICATIONS— 8.0%

Altice France SA:5.50%, 1/15/2028 (a) . . . . . 16,012,000 16,505,8107.38%, 5/1/2026 (a) . . . . . . 75,280,000 80,929,764


8.13%, 2/1/2027 (a) (b). . . . $ 25,382,000 $ 28,645,110Avanti Communications Group

PLC PIK9.00%, 10/1/2022 (a) . . . . . 2,126,087 414,800

C&W Senior Financing DAC:6.88%, 9/15/2027 (a) (b) . . . 15,599,000 16,696,7027.50%, 10/15/2026 (a) (b) . . 10,217,000 11,084,934

CenturyLink, Inc.:5.13%, 12/15/2026 (a) . . . . 17,705,000 18,050,0705.63%, 4/1/2025 (b) . . . . . . 7,409,000 7,882,583Series Y, 7.50%, 4/1/2024

(b) . . . . . . . . . . . . . . . 14,600,000 16,511,724Cincinnati Bell, Inc.

7.00%, 7/15/2024 (a) (b) . . . 9,012,000 9,445,567CommScope

Technologies LLC:5.00%, 3/15/2027 (a) . . . . . 10,838,000 10,076,9566.00%, 6/15/2025 (a) . . . . . 22,247,000 22,314,853

CommScope, Inc.:5.50%, 3/1/2024 (a) . . . . . . 17,705,000 18,481,8956.00%, 3/1/2026 (a) . . . . . . 21,389,000 22,759,1798.25%, 3/1/2027 (a) (b). . . . 14,190,000 14,935,543

Connect Finco Sarl/ConnectUS Finco LLC6.75%, 10/1/2026 (a) . . . . . 30,242,000 32,172,952

Frontier CommunicationsCorp.:8.00%, 4/1/2027 (a) . . . . . . 20,783,000 21,768,5308.50%, 4/1/2026 (a) . . . . . . 25,375,000 25,708,68110.50%, 9/15/2022 . . . . . . 32,346,000 15,791,96411.00%, 9/15/2025 . . . . . . 51,246,640 24,934,565

Gogo IntermediateHoldings LLC/GogoFinance Co., Inc.9.88%, 5/1/2024 (a) . . . . . . 14,213,000 15,064,359

GTH Finance B.V.Series REGS, 7.25%,4/26/2023 . . . . . . . . . . . . 10,000,000 11,265,400

GTT Communications, Inc.7.88%, 12/31/2024 (a) . . . . 8,380,000 6,319,442

Hughes Satellite SystemsCorp.:5.25%, 8/1/2026 (b) . . . . . . 11,342,000 12,450,0006.63%, 8/1/2026 (b) . . . . . . 11,004,000 12,192,322

Intelsat Connect Finance SA9.50%, 2/15/2023 (a) (b) . . . 18,590,000 13,015,045

Intelsat Jackson Holdings SA:8.00%, 2/15/2024 (a) . . . . . 18,654,000 19,151,8758.50%, 10/15/2024 (a) . . . . 42,367,000 38,639,5519.75%, 7/15/2025 (a) . . . . . 27,356,000 25,318,252

Intelsat Luxembourg SA7.75%, 6/1/2021 . . . . . . . . 100,000 80,444

Level 3 Financing, Inc.:4.63%, 9/15/2027 (a) . . . . . 14,302,000 14,657,9775.13%, 5/1/2023 . . . . . . . . 9,387,000 9,482,4665.25%, 3/15/2026 . . . . . . . 11,594,000 12,083,9625.38%, 1/15/2024 . . . . . . . 13,785,000 13,998,530


16


5.38%, 5/1/2025 . . . . . . . . $ 11,052,000 $ 11,431,9685.63%, 2/1/2023 . . . . . . . . 6,902,000 6,926,157

Metropolitan Light Co., Ltd.5.50%, 11/21/2022 (a) . . . . 7,527,000 7,755,444

Nokia Oyj:3.38%, 6/12/2022 . . . . . . . 6,639,000 6,728,1624.38%, 6/12/2027 (b) . . . . . 8,045,000 8,399,704

Plantronics, Inc.5.50%, 5/31/2023 (a) (b) . . . 6,957,000 6,832,887

Sprint Corp.:7.63%, 2/15/2025 (b) . . . . . 21,722,000 23,893,1147.63%, 3/1/2026 . . . . . . . . 20,989,000 23,167,448

Telesat Canada/Telesat LLC:4.88%, 6/1/2027 (a) . . . . . . 2,230,000 2,273,6416.50%, 10/15/2027 (a) . . . . 8,516,000 8,864,049

T-Mobile USA, Inc.:4.00%, 4/15/2022 . . . . . . . 4,062,000 4,180,6924.50%, 2/1/2026 (b) . . . . . . 16,649,000 17,143,9754.75%, 2/1/2028 (b) . . . . . . 24,378,000 25,567,8905.13%, 4/15/2025 . . . . . . . 6,121,000 6,331,5625.38%, 4/15/2027 . . . . . . . 5,694,000 6,075,4986.00%, 4/15/2024 . . . . . . . 13,463,000 13,949,4186.50%, 1/15/2026 . . . . . . . 29,951,000 32,160,785

VEON Holdings B.V.:4.00%, 4/9/2025 (a) . . . . . . 10,782,000 11,249,292Series REGS, 3.95%,

6/16/2021 . . . . . . . . . . 4,000,000 4,061,160Series REGS, 4.95%,

6/16/2024 . . . . . . . . . . 3,500,000 3,759,875ViaSat, Inc.:

5.63%, 9/15/2025 (a) . . . . . 10,786,000 11,114,8655.63%, 4/15/2027 (a) (b) . . . 8,241,000 8,812,843

Vodafone Group PLC5 year USD Swap + 4.87%,7.00%, 4/4/2079 (b) (c). . . . 28,401,000 33,368,051

West Corp.8.50%, 10/15/2025 (a) (b) . . 17,038,000 13,717,464

WindstreamServices LLC/WindstreamFinance Corp.8.63%, 10/31/2025 (a) (e) . . 134,000 128,324

916,726,075

TOYS/GAMES/HOBBIES —0.3%

Mattel, Inc.:5.88%, 12/15/2027 (a) (b) . . 7,928,000 8,361,0276.75%, 12/31/2025 (a) (b) . . 21,601,000 23,199,690

31,560,717

TRANSPORTATION —0.5%

Teekay Offshore PartnersL.P./Teekay OffshoreFinance Corp.8.50%, 7/15/2023 (a) . . . . . 11,333,000 11,237,803

XPO Logistics, Inc.:


6.13%, 9/1/2023 (a) (b). . . . $ 7,538,000 $ 7,788,7896.50%, 6/15/2022 (a) . . . . . 16,399,000 16,709,5976.75%, 8/15/2024 (a) (b) . . . 15,508,000 16,846,651

52,582,840

TRUCKING & LEASING —0.2%

AerCap Global Aviation Trust3 Month USD LIBOR +4.30%, 6.50%, 6/15/2045(a) (b) (c) . . . . . . . . . . . . 6,301,000 6,980,374

Fortress Transportation &Infrastructure Investors LLC6.75%, 3/15/2022 (a) (b) . . . 10,537,000 10,996,202

17,976,576

TOTAL CORPORATEBONDS & NOTES(Cost $11,412,582,582) . . . 11,293,778,833

Shares

COMMON STOCKS —0.0%(f)

DIVERSIFIED TELECOMMUNICATIONSERVICES — 0.0% (f)

Avanti Communications GroupPLC (g) . . . . . . . . . . . . . . . 9,671,825 6,740

ENERGY EQUIPMENT & SERVICES — 0.0%(f)

Weatherford International PLC(b) (g) . . . . . . . . . . . . . . . . 50,980 1,424,869

HOUSEHOLD PRODUCTS — 0.0% (f)Cenveo Enterprises, Inc. (g) (h) . . 20,138 201,381

OIL, GAS & CONSUMABLE FUELS — 0.0%(f)

Amplify Energy Corp. . . . . . . . . 136,015 899,059

PHARMACEUTICALS — 0.0% (f)Advanz Pharma Corp. (b) . . . . . . 37,536 109,305

TRANSPORTATION INFRASTRUCTURE —0.0% (f)

ATD New Holdings, Inc. (g) (h) . . 35,050 876,250

TOTAL COMMONSTOCKS(Cost $15,616,644) . . . . . . 3,517,604

SHORT-TERM INVESTMENTS — 9.6%State Street Institutional Liquid

Reserves Fund, PremierClass 1.73% (i) (j) . . . . . . . 8,738,816 8,739,690


17


State Street NavigatorSecurities Lending PortfolioII (k) (l) . . . . . . . . . . . . . 1,091,919,478 $ 1,091,919,478

TOTAL SHORT-TERM INVESTMENTS(Cost $1,100,659,168). . . . . . . . . . . . . . . . . . 1,100,659,168

TOTAL INVESTMENTS — 108.2%(Cost $12,528,858,394) . . . . . . . . . . . . . . . . . 12,397,955,605

LIABILITIES IN EXCESS OF OTHERASSETS — (8.2)% . . . . . . . . . . . . . . . . . . (937,627,176)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 11,460,328,429

(a) Securities purchased pursuant to Rule 144A of the Securities Actof 1933, as amended. These securities, which represent 68.2% ofnet assets as of December 31, 2019, are considered liquid andmay be resold in transactions exempt from registration, normallyto qualified institutional buyers.

(b) All or a portion of the shares of the security are on loan atDecember 31, 2019.

(c) Variable Rate Security - Interest rate shown is rate in effect atDecember 31, 2019. For securities based on a published referencerate and spread, the reference rate and spread are indicated in thedescription above.

(d) Step-up bond - Coupon rate increases in increments to maturity.Rate shown as of December 31, 2019. Maturity date shown is thefinal maturity.

(e) Security is currently in default and/or issuer is in bankruptcy.(f) Amount is less than 0.05% of net assets.(g) Non-income producing security.(h) Fair valued as determined in good faith by the Trust’s Oversight

Committee in accordance with policy and procedures approved bythe Board of Trustees. Security value is determined based onLevel 3 inputs. As of December 31, 2019, total aggregate fairvalue of the security is $1,077,631, representing less than 0.05%of the Fund’s net assets.

(i) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(j) The rate shown is the annualized seven-day yield at December 31,2019.

(k) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(l) Investment of cash collateral for securities loaned.

CMT Constant Maturity TreasuryLIBOR London Interbank Offered RatePIK Payment in KindREIT Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31,2019.


Quoted Prices




ASSETS:INVESTMENTS:Corporate Bonds & Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $11,293,778,833 $ — $11,293,778,833

Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,433,233 6,740 1,077,631 3,517,604

Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,100,659,168 — — 1,100,659,168

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,103,092,401 $11,293,785,573 $1,077,631 $12,397,955,605

Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid ReservesFund, Premier Class . . . . . . . . . . . . — $ — $ 911,283,990 $ 902,535,832 $(8,468) $— 8,738,816 $ 8,739,690 $ 525,817

State Street Institutional U.S. GovernmentMoney Market Fund, Class G Shares . . . 65,180,830 65,180,830 302,618,085 367,798,915 — — — — 151,118

State Street Navigator Securities LendingPortfolio II . . . . . . . . . . . . . . . . . — — 1,516,528,878 424,609,400 — — 1,091,919,478 1,091,919,478 888,724

State Street Navigator Securities LendingPortfolio III . . . . . . . . . . . . . . . . . 562,071,667 562,071,667 1,074,441,525 1,636,513,192 — — — — 1,426,858

Total. . . . . . . . . . . . . . . . . . . . . . . $627,252,497 $3,804,872,478 $3,331,457,339 $(8,468) $— $1,100,659,168 $2,992,517


18 ARJNK


CORPORATE BONDS &NOTES — 97.7%

ADVERTISING — 0.6%Affinion Group, Inc. PIK

12.50%, 11/10/2022 (a) . . . . . $ 3,279,185 $ 1,963,314Lamar Media Corp.:

5.00%, 5/1/2023 (b) . . . . . . . 3,034,000 3,089,1585.38%, 1/15/2024 . . . . . . . . 3,155,000 3,225,199

MDC Partners, Inc.6.50%, 5/1/2024 (a) . . . . . . . 8,326,000 7,544,188

Mood MediaBorrower LLC/Mood MediaCo-Issuer, Inc. PIK16.21%, 12/31/2023 (a) . . . . . 1,544,211 1,339,603

Outfront MediaCapital LLC/Outfront MediaCapital Corp.5.63%, 2/15/2024 . . . . . . . . 3,277,000 3,359,318

20,520,780

AEROSPACE & DEFENSE —2.3%

Arconic, Inc.:5.13%, 10/1/2024 (b) . . . . . . 2,945,000 3,203,5125.40%, 4/15/2021 (b) . . . . . . 8,970,000 9,239,7285.87%, 2/23/2022 . . . . . . . . 6,361,000 6,781,3356.15%, 8/15/2020 . . . . . . . . 11,059,000 11,300,418

Bombardier, Inc.:5.75%, 3/15/2022 (a) . . . . . . 3,268,000 3,380,3216.00%, 10/15/2022 (a) . . . . . 8,291,000 8,283,4556.13%, 1/15/2023 (a) . . . . . . 6,628,500 6,794,8757.50%, 12/1/2024 (a) . . . . . . 5,609,000 5,903,4738.75%, 12/1/2021 (a) . . . . . . 7,406,000 8,123,642

SSL Robotics LLC9.75%, 12/31/2023 (a) . . . . . 5,939,000 6,498,513

TransDigm, Inc.6.50%, 7/15/2024 . . . . . . . . 6,034,925 6,238,664

Triumph Group, Inc.6.25%, 9/15/2024 (a) . . . . . . 1,430,000 1,504,560

77,252,496

AGRICULTURE — 0.1%Pyxus International, Inc.

9.88%, 7/15/2021 . . . . . . . . 4,245,900 2,032,300

AIRLINES — 0.6%Air Canada

7.75%, 4/15/2021 (a) . . . . . . 2,812,000 2,993,402American Airlines Group, Inc.:

4.63%, 3/1/2020 (a) . . . . . . . 2,633,000 2,643,9275.00%, 6/1/2022 (a) . . . . . . . 6,212,000 6,519,618

United Airlines Holdings, Inc.:4.25%, 10/1/2022 (b) . . . . . . 2,898,900 3,001,3764.88%, 1/15/2025 . . . . . . . . 844,000 895,408

Virgin Australia Holdings, Ltd.:7.88%, 10/15/2021 (a) . . . . . 2,230,000 2,305,6428.13%, 11/15/2024 (a) (b) . . . 2,550,000 2,525,341


WestJet Airlines, Ltd.3.50%, 6/16/2021 (a) . . . . . . $ 864,000 $ 873,176

21,757,890

APPAREL — 0.1%Hanesbrands, Inc.

4.63%, 5/15/2024 (a) (b) . . . . 4,018,000 4,236,459

AUTO MANUFACTURERS —1.3%

Allison Transmission, Inc.5.00%, 10/1/2024 (a) . . . . . . 8,241,000 8,437,218

Aston Martin Capital Holdings,Ltd.6.50%, 4/15/2022 (a) (b) . . . . 3,200,000 3,041,888

BCD Acquisition, Inc.9.63%, 9/15/2023 (a) . . . . . . 6,907,000 7,099,705

Fiat Chrysler Automobiles NV:4.50%, 4/15/2020 . . . . . . . . 12,595,000 12,673,2155.25%, 4/15/2023 (b) . . . . . . 6,317,180 6,755,592

Jaguar Land Rover AutomotivePLC:3.50%, 3/15/2020 (a) (b) . . . . 1,393,000 1,391,8725.63%, 2/1/2023 (a) (b) . . . . . 4,531,000 4,565,753

43,965,243

AUTO PARTS &EQUIPMENT — 0.7%

American Axle &Manufacturing, Inc.6.63%, 10/15/2022. . . . . . . . 4,494,000 4,563,342

Dana, Inc.5.50%, 12/15/2024. . . . . . . . 4,141,000 4,265,437

Goodyear Tire & Rubber Co.5.13%, 11/15/2023 (b) . . . . . 8,240,000 8,375,548

Meritor, Inc.6.25%, 2/15/2024 (b) . . . . . . 4,491,000 4,599,772

Titan International, Inc.6.50%, 11/30/2023 (b) . . . . . 3,472,000 2,959,915

24,764,014

BANKS — 1.5%Barclays PLC

4.38%, 9/11/2024 . . . . . . . . 5,314,000 5,577,734CIT Group, Inc.:

4.13%, 3/9/2021 . . . . . . . . . 4,927,000 5,023,1754.75%, 2/16/2024 . . . . . . . . 3,013,000 3,221,9525.00%, 8/15/2022 (b) . . . . . . 8,573,000 9,090,8955.00%, 8/1/2023 (b) . . . . . . . 6,788,000 7,298,593

Freedom Mortgage Corp.8.13%, 11/15/2024 (a) (b) . . . 3,447,000 3,393,020

Intesa Sanpaolo SpA5.02%, 6/26/2024 (a) . . . . . . 15,178,000 15,888,027

49,493,396

BEVERAGES — 0.1%Ajecorp B.V.

6.50%, 5/14/2022 (a) . . . . . . 2,806,000 2,736,495

SPDR BLOOMBERG BARCLAYS SHORT TERM HIGH YIELD BOND ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)

1


BUILDING MATERIALS —1.2%

Associated Materials LLC/AMHNew Finance, Inc.9.00%, 1/1/2024 (a) . . . . . . . $ 3,748,000 $ 3,273,990

BMC East LLC5.50%, 10/1/2024 (a) . . . . . . 2,257,000 2,345,903

Boise Cascade Co.5.63%, 9/1/2024 (a) . . . . . . . 2,339,000 2,434,572

Builders FirstSource, Inc.5.63%, 9/1/2024 (a) . . . . . . . 3,849,000 4,008,734

Griffon Corp.5.25%, 3/1/2022 . . . . . . . . . 5,656,000 5,683,997

Omnimax International, Inc.12.00%, 8/15/2020 (a) . . . . . 2,784,000 2,725,480

Standard Industries, Inc.:5.38%, 11/15/2024 (a) . . . . . 7,388,000 7,591,2445.50%, 2/15/2023 (a) . . . . . . 4,726,000 4,802,892

Summit Materials LLC/SummitMaterials Finance Corp.6.13%, 7/15/2023 . . . . . . . . 4,219,000 4,294,562

US Concrete, Inc.6.38%, 6/1/2024 (b) . . . . . . . 4,178,000 4,363,169

41,524,543

CHEMICALS — 2.4%Ashland LLC

4.75%, 8/15/2022 (b) . . . . . . 7,022,000 7,367,482Axalta Coating Systems LLC

4.88%, 8/15/2024 (a) . . . . . . 2,507,000 2,598,405Blue Cube Spinco LLC

9.75%, 10/15/2023. . . . . . . . 5,704,000 6,144,862CF Industries, Inc.

3.45%, 6/1/2023 (b) . . . . . . . 3,753,000 3,866,979Chemours Co.

6.63%, 5/15/2023 (b) . . . . . . 6,524,000 6,572,473Cornerstone Chemical Co.

6.75%, 8/15/2024 (a) . . . . . . 2,788,000 2,592,840CVR Partners L.P./CVR Nitrogen

Finance Corp.9.25%, 6/15/2023 (a) . . . . . . 6,249,000 6,542,328

Eurochem Finance DACSeries REGS, 5.50%,3/13/2024 . . . . . . . . . . . . . 4,852,000 5,303,236

INEOS Group Holdings SA5.63%, 8/1/2024 (a) (b) . . . . . 1,115,000 1,145,261

Kissner Holdings L.P./KissnerMilling Co., Ltd./BSCHolding, Inc./Kissner USA8.38%, 12/1/2022 (a) . . . . . . 1,303,000 1,361,922

OCI NV:5.25%, 11/1/2024 (a) . . . . . . 3,936,000 4,100,4466.63%, 4/15/2023 (a) (b) . . . . 3,763,000 3,935,195

PolyOne Corp.5.25%, 3/15/2023 . . . . . . . . 4,511,000 4,867,910

PQ Corp.6.75%, 11/15/2022 (a) . . . . . 5,432,000 5,625,434


Rayonier AM Products, Inc.5.50%, 6/1/2024 (a) (b) . . . . . $ 2,199,000 $ 1,655,099

TPC Group, Inc.10.50%, 8/1/2024 (a) . . . . . . 6,847,000 6,892,807

Valvoline, Inc.5.50%, 7/15/2024 . . . . . . . . 4,930,000 5,127,200

WR Grace & Co-Conn5.13%, 10/1/2021 (a) . . . . . . 4,816,000 5,017,646

80,717,525

COAL — 0.1%Peabody Energy Corp.

6.00%, 3/31/2022 (a) (b) . . . . 4,955,000 4,863,432

COMMERCIAL SERVICES— 3.3%

Ahern Rentals, Inc.7.38%, 5/15/2023 (a) (b) . . . . 4,112,000 3,263,900

Algeco Global Finance PLC8.00%, 2/15/2023 (a) . . . . . . 4,322,000 4,211,746

Atento Luxco 1 SA6.13%, 8/10/2022 (a) . . . . . . 4,285,000 4,226,296

Avis Budget CarRental LLC/Avis BudgetFinance, Inc.:5.50%, 4/1/2023 . . . . . . . . . 1,166,000 1,186,4056.38%, 4/1/2024 (a) (b) . . . . . 1,747,000 1,814,050

Capitol Investment Merger Sub 2LLC10.00%, 8/1/2024 (a) (b) . . . . 2,056,000 2,139,432

Carriage Services, Inc.6.63%, 6/1/2026 (a) . . . . . . . 1,460,000 1,554,462

Hertz Corp.:5.50%, 10/15/2024 (a) . . . . . 2,994,000 3,076,8146.25%, 10/15/2022. . . . . . . . 3,637,500 3,683,6967.63%, 6/1/2022 (a) . . . . . . . 4,276,000 4,445,543

Jaguar Holding Co.II/Pharmaceutical ProductDevelopment LLC6.38%, 8/1/2023 (a) . . . . . . . 7,360,000 7,607,517

LSC Communications, Inc.8.75%, 10/15/2023 (a) . . . . . 2,177,000 1,182,176

Midas Intermediate HoldcoII LLC/Midas IntermediateHoldco II Finance, Inc.7.88%, 10/1/2022 (a) (b) . . . . 3,081,000 2,816,250

MPH Acquisition Holdings LLC7.13%, 6/1/2024 (a) . . . . . . . 10,769,000 10,466,606

Nielsen Co. Luxembourg SARL5.50%, 10/1/2021 (a) . . . . . . 4,520,000 4,543,911

Nielsen Finance LLC/NielsenFinance Co.:4.50%, 10/1/2020 . . . . . . . . 8,749,000 8,778,6595.00%, 4/15/2022 (a) . . . . . . 18,055,000 18,149,969

Prime Security ServicesBorrower LLC/Prime Finance,Inc.:5.25%, 4/15/2024 (a) (b) . . . . 5,886,000 6,241,044


2


9.25%, 5/15/2023 (a) (b) . . . . $ 10,072,000 $ 10,556,161Service Corp. International

5.38%, 5/15/2024 (b) . . . . . . 5,924,000 6,103,438ServiceMaster Co. LLC

5.13%, 11/15/2024 (a) . . . . . 5,663,000 5,871,682WEX, Inc.

4.75%, 2/1/2023 (a) . . . . . . . 688,000 694,605

112,614,362

COMPUTERS — 2.0%Dell International LLC/EMC

Corp.:5.88%, 6/15/2021 (a) . . . . . . 9,731,000 9,884,1667.13%, 6/15/2024 (a) (b) . . . . 10,156,000 10,732,556

Dell, Inc.4.63%, 4/1/2021 . . . . . . . . . 1,348,000 1,384,504

Diebold Nixdorf, Inc.8.50%, 4/15/2024 . . . . . . . . 1,754,000 1,695,767

EMC Corp.:2.65%, 6/1/2020 . . . . . . . . . 16,517,000 16,518,6523.38%, 6/1/2023 (b) . . . . . . . 5,538,000 5,650,089

Exela Intermediate LLC/ExelaFinance, Inc.10.00%, 7/15/2023 (a) . . . . . 6,030,000 2,442,150

Harland Clarke Holdings Corp.:8.38%, 8/15/2022 (a) . . . . . . 7,196,000 5,865,9639.25%, 3/1/2021 (a) (b) . . . . . 2,536,000 2,504,782

Leidos Holdings, Inc.4.45%, 12/1/2020 . . . . . . . . 185,360 187,942

NCR Corp.:5.00%, 7/15/2022 (b) . . . . . . 5,259,000 5,313,3256.38%, 12/15/2023 (b) . . . . . 5,262,000 5,396,076

67,575,972

COSMETICS/PERSONALCARE — 1.0%

Avon International Capital PLC6.50%, 8/15/2022 (a) . . . . . . 6,384,000 6,644,084

Avon International Operations,Inc.7.88%, 8/15/2022 (a) . . . . . . 3,307,000 3,445,530

Avon Products, Inc.7.00%, 3/15/2023 (b) . . . . . . 4,682,000 5,105,112

Edgewell Personal Care Co.:4.70%, 5/19/2021 . . . . . . . . 6,621,000 6,783,2154.70%, 5/24/2022 . . . . . . . . 5,108,000 5,301,695

Revlon Consumer ProductsCorp.:5.75%, 2/15/2021 (b) . . . . . . 4,020,000 3,421,5036.25%, 8/1/2024 . . . . . . . . . 3,218,000 1,571,671

32,272,810

DISTRIBUTION &WHOLESALE — 0.4%

Anixter, Inc.:5.13%, 10/1/2021 . . . . . . . . 1,585,000 1,650,2705.50%, 3/1/2023 . . . . . . . . . 2,339,000 2,467,154


LKQ Corp.4.75%, 5/15/2023 . . . . . . . . $ 3,572,000 $ 3,629,152

Performance Food Group, Inc.5.50%, 6/1/2024 (a) . . . . . . . 2,054,000 2,103,275

Wolverine Escrow LLC8.50%, 11/15/2024 (a) . . . . . 3,096,000 3,214,020

13,063,871

DIVERSIFIED FINANCIALSERVICES — 4.9%

Alliance Data Systems Corp.4.75%, 12/15/2024 (a) . . . . . 7,000,000 7,000,700

Ally Financial, Inc.:3.88%, 5/21/2024 . . . . . . . . 3,402,000 3,569,7534.13%, 3/30/2020 . . . . . . . . 5,380,500 5,404,7667.50%, 9/15/2020 . . . . . . . . 3,797,000 3,931,2628.00%, 3/15/2020 . . . . . . . . 7,954,000 8,040,699

Avation Capital SA6.50%, 5/15/2021 (a) (b) . . . . 2,345,000 2,441,497

Credit Acceptance Corp.5.13%, 12/31/2024 (a) . . . . . 2,954,000 3,072,012

Fairstone Financial, Inc.7.88%, 7/15/2024 (a) . . . . . . 1,368,000 1,471,489

Global Aircraft Leasing Co., Ltd.PIK6.50%, 9/15/2024 (a) . . . . . . 9,542,000 9,956,314

goeasy, Ltd.5.38%, 12/1/2024 (a) (b) . . . . 4,687,000 4,779,943

Jefferies Finance LLC/JFINCo-Issuer Corp.7.25%, 8/15/2024 (a) . . . . . . 2,341,000 2,405,026

LPL Holdings, Inc.4.63%, 11/15/2027 (a) . . . . . 120,000 122,418

Nationstar Mortgage Holdings,Inc.8.13%, 7/15/2023 (a) . . . . . . 8,073,000 8,564,888

NationstarMortgage LLC/NationstarCapital Corp.6.50%, 7/1/2021 (b) . . . . . . . 5,221,700 5,234,650

Navient Corp.:5.00%, 10/26/2020. . . . . . . . 6,346,000 6,458,6415.50%, 1/25/2023 . . . . . . . . 7,667,000 8,168,5755.88%, 3/25/2021 . . . . . . . . 3,400,000 3,521,4145.88%, 10/25/2024. . . . . . . . 5,292,000 5,664,3456.50%, 6/15/2022 . . . . . . . . 7,103,000 7,723,9446.63%, 7/26/2021 . . . . . . . . 4,187,000 4,427,9207.25%, 9/25/2023 (b) . . . . . . 3,072,000 3,474,862Series MTN, 6.13%,

3/25/2024 (b) . . . . . . . . . 6,004,000 6,504,013Series MTN, 7.25%,

1/25/2022. . . . . . . . . . . . 5,079,000 5,522,244Series MTN, 8.00%,

3/25/2020. . . . . . . . . . . . 4,326,000 4,380,075Springleaf Finance Corp.:

5.63%, 3/15/2023 . . . . . . . . 6,945,000 7,474,8346.13%, 5/15/2022 . . . . . . . . 5,300,000 5,709,531


3


6.13%, 3/15/2024 . . . . . . . . $ 8,221,000 $ 9,016,4647.75%, 10/1/2021 . . . . . . . . 6,272,000 6,802,2988.25%, 12/15/2020. . . . . . . . 7,788,000 8,194,845

TMX Finance LLC/TitleMaxFinance Corp.11.13%, 4/1/2023 (a) (b) . . . . 3,220,000 2,933,710

Voyager AviationHoldings LLC/VoyagerFinance Co.8.50%, 8/15/2021 (a) . . . . . . 3,899,000 4,009,966

165,983,098

ELECTRIC — 1.0%AES Corp.:

4.00%, 3/15/2021 . . . . . . . . 2,179,000 2,213,6464.50%, 3/15/2023 . . . . . . . . 3,438,000 3,523,9504.88%, 5/15/2023 . . . . . . . . 4,693,000 4,765,601

Calpine Corp.5.50%, 2/1/2024 (b) . . . . . . . 1,419,000 1,438,128

DPL, Inc.7.25%, 10/15/2021 (b) . . . . . 4,173,000 4,392,458

InterGen NV7.00%, 6/30/2023 (a) (b) . . . . 2,254,000 2,192,060

NextEra Energy OperatingPartners L.P.:4.25%, 7/15/2024 (a) (b) . . . . 4,240,000 4,411,2114.25%, 9/15/2024 (a) (b) . . . . 5,734,000 5,967,947

TransAlta Corp.4.50%, 11/15/2022. . . . . . . . 145,000 150,190

Vistra Energy Corp.5.88%, 6/1/2023 . . . . . . . . . 3,247,000 3,321,064

32,376,255

ELECTRICALCOMPONENTS &EQUIPMENT — 0.2%

EnerSys4.38%, 12/15/2027 (a) . . . . . 1,422,000 1,409,913

WESCO Distribution, Inc.:5.38%, 12/15/2021 (b) . . . . . 4,051,000 4,065,6245.38%, 6/15/2024 (b) . . . . . . 2,327,000 2,411,493

7,887,030

ELECTRONICS — 1.4%ADT Security Corp.:

3.50%, 7/15/2022 . . . . . . . . 10,086,100 10,273,2984.13%, 6/15/2023 . . . . . . . . 2,768,000 2,859,8706.25%, 10/15/2021. . . . . . . . 9,045,000 9,611,941

APX Group, Inc.:7.63%, 9/1/2023 (b) . . . . . . . 5,313,000 5,030,9867.88%, 12/1/2022 (b) . . . . . . 6,878,000 6,944,8548.75%, 12/1/2020 (b) . . . . . . 3,274,000 3,276,128

Ingram Micro, Inc.5.45%, 12/15/2024. . . . . . . . 2,200,000 2,312,200

Sensata Technologies B.V.:4.88%, 10/15/2023 (a) (b) . . . 3,319,000 3,539,913


5.63%, 11/1/2024 (a) . . . . . . $ 2,859,000 $ 3,184,497

47,033,687

ENERGY-ALTERNATESOURCES — 0.2%

Pattern Energy Group, Inc.5.88%, 2/1/2024 (a) . . . . . . . 3,100,000 3,192,287

TerraForm Power Operating LLC4.25%, 1/31/2023 (a) . . . . . . 2,594,875 2,674,538

5,866,825

ENGINEERING &CONSTRUCTION — 0.1%

Abengoa Abenewco 2 SAU PIK1.50%, 4/26/2024 (a) (c) . . . . 4,407,135 20,537

AECOM5.88%, 10/15/2024 (b) . . . . . 2,758,000 3,057,988

MasTec, Inc.4.88%, 3/15/2023 . . . . . . . . 1,155,000 1,168,421

4,246,946

ENTERTAINMENT — 1.5%Cedar Fair L.P./Canada’s

Wonderland Co./MagnumManagement Corp.5.38%, 6/1/2024 . . . . . . . . . 3,886,000 3,991,000

Cinemark USA, Inc.:4.88%, 6/1/2023 . . . . . . . . . 5,129,000 5,227,4775.13%, 12/15/2022 (b) . . . . . 438,000 443,602

Cirsa Finance International Sarl7.88%, 12/20/2023 (a) . . . . . 2,804,000 2,966,211

Eldorado Resorts, Inc.7.00%, 8/1/2023 . . . . . . . . . 2,651,000 2,762,952

Enterprise DevelopmentAuthority12.00%, 7/15/2024 (a) (b) . . . 40,000 45,863

International Game TechnologyPLC6.25%, 2/15/2022 (a) . . . . . . 9,519,000 10,055,300

Jacobs Entertainment, Inc.7.88%, 2/1/2024 (a) . . . . . . . 3,266,000 3,461,960

Lions Gate CapitalHoldings LLC:5.88%, 11/1/2024 (a) . . . . . . 5,225,000 5,252,0656.38%, 2/1/2024 (a) (b) . . . . . 3,613,000 3,769,371

Live Nation Entertainment, Inc.4.88%, 11/1/2024 (a) (b) . . . . 1,259,000 1,305,520

Mohegan Gaming &Entertainment7.88%, 10/15/2024 (a) . . . . . 4,260,000 4,352,911

Six Flags Entertainment Corp.4.88%, 7/31/2024 (a) . . . . . . 6,419,000 6,654,577

50,288,809

ENVIRONMENTALCONTROL — 0.5%

Advanced Disposal Services, Inc.5.63%, 11/15/2024 (a) . . . . . 165,000 172,151


4


Covanta Holding Corp.5.88%, 3/1/2024 . . . . . . . . . $ 2,992,000 $ 3,079,157

GFL Environmental, Inc.:5.38%, 3/1/2023 (a) . . . . . . . 3,809,000 3,914,1285.63%, 5/1/2022 (a) (b) . . . . . 1,189,000 1,210,533

Stericycle, Inc.5.38%, 7/15/2024 (a) . . . . . . 2,607,000 2,745,510

Tervita Corp.7.63%, 12/1/2021 (a) . . . . . . 5,888,000 5,940,521

17,062,000

FOOD — 1.2%Albertsons Cos., Inc./Safeway,

Inc./New AlbertsonsL.P./Albertsons LLC6.63%, 6/15/2024 . . . . . . . . 8,324,000 8,718,890

C&S Group Enterprises LLC5.38%, 7/15/2022 (a) . . . . . . 2,942,000 2,972,508

Fresh Market, Inc.9.75%, 5/1/2023 (a) . . . . . . . 5,374,000 2,702,208

Ingles Markets, Inc.5.75%, 6/15/2023 . . . . . . . . 2,988,000 3,046,834

JBS Investments GmbH:6.25%, 2/5/2023 (a) . . . . . . . 3,267,000 3,304,244Series REGS, 6.25%,

2/5/2023 . . . . . . . . . . . . 1,282,000 1,296,615JBS USA LUX SA/JBS USA

Finance, Inc.5.88%, 7/15/2024 (a) . . . . . . 7,048,000 7,251,194

Lamb Weston Holdings, Inc.4.63%, 11/1/2024 (a) (b) . . . . 1,676,000 1,778,404

TreeHouse Foods, Inc.:4.88%, 3/15/2022 . . . . . . . . 2,481,000 2,490,3046.00%, 2/15/2024 (a) . . . . . . 2,938,000 3,044,620

US Foods, Inc.5.88%, 6/15/2024 (a) . . . . . . 3,131,000 3,230,284

39,836,105

FOOD SERVICE — 0.2%Aramark Services, Inc.

5.13%, 1/15/2024 . . . . . . . . 6,750,000 6,927,255

FOREST PRODUCTS &PAPER — 0.0% (d)

Resolute Forest Products, Inc.5.88%, 5/15/2023 (b) . . . . . . 1,126,000 1,138,048

GAS — 0.3%AmeriGas Partners

L.P./AmeriGas Finance Corp.5.63%, 5/20/2024 . . . . . . . . 5,035,000 5,440,066

Rockpoint Gas Storage Canada,Ltd.7.00%, 3/31/2023 (a) . . . . . . 4,095,000 4,009,947

Southern Star Central Corp.5.13%, 7/15/2022 (a) (b) . . . . 1,132,000 1,143,150

10,593,163


HAND & MACHINE TOOLS— 0.1%

Colfax Corp.6.00%, 2/15/2024 (a) . . . . . . $ 4,241,000 $ 4,518,319

HEALTH CARE PRODUCTS— 0.9%

Avantor, Inc.6.00%, 10/1/2024 (a) . . . . . . 10,993,000 11,729,751

Immucor, Inc.11.13%, 2/15/2022 (a) . . . . . 2,913,000 2,904,465

Kinetic Concepts, Inc./KCI USA,Inc.12.50%, 11/1/2021 (a) . . . . . 6,364,000 6,585,785

Ortho-Clinical Diagnostics,Inc./Ortho-ClinicalDiagnostics SA6.63%, 5/15/2022 (a) (b) . . . . 9,135,000 9,092,796

30,312,797

HEALTH CARE SERVICES— 6.8%

Acadia Healthcare Co., Inc.:5.63%, 2/15/2023 . . . . . . . . 4,136,000 4,207,9676.50%, 3/1/2024 . . . . . . . . . 857,000 888,906

Air Medical Group Holdings,Inc.6.38%, 5/15/2023 (a) (b) . . . . 1,506,000 1,340,852

Centene Corp.:4.75%, 5/15/2022 (b) . . . . . . 9,349,000 9,555,2396.13%, 2/15/2024 . . . . . . . . 8,155,000 8,456,735

CHS/Community HealthSystems, Inc.:5.13%, 8/1/2021 (b) . . . . . . . 6,545,000 6,551,4806.25%, 3/31/2023 (b) . . . . . . 20,897,000 21,202,3056.88%, 2/1/2022 . . . . . . . . . 2,794,500 2,240,0716.88%, 4/1/2028 (a) . . . . . . . 12,957,000 7,530,7388.00%, 12/15/2027 (a) (b) . . . 5,655,000 5,714,8308.13%, 6/30/2024 (a) . . . . . . 8,662,000 7,095,7378.63%, 1/15/2024 (a) (b) . . . . 3,456,000 3,668,1989.88%, 6/30/2023

(a) (b) (e) (f) . . . . . . . . . . 7,425,000 6,376,887DaVita, Inc.

5.13%, 7/15/2024 . . . . . . . . 11,762,000 12,063,695Eagle Holding Co. II LLC PIK:

7.63%, 5/15/2022 (a) . . . . . . 4,540,000 4,607,8287.75%, 5/15/2022 (a) . . . . . . 7,543,000 7,653,882

Encompass Health Corp.5.75%, 11/1/2024 (b) . . . . . . 3,511,000 3,562,506

HCA Healthcare, Inc.6.25%, 2/15/2021 . . . . . . . . 7,589,000 7,921,550

HCA, Inc.:5.88%, 5/1/2023 . . . . . . . . . 10,271,000 11,338,9797.50%, 2/15/2022 . . . . . . . . 12,323,000 13,620,982

Magellan Health, Inc.4.90%, 9/22/2024 . . . . . . . . 1,504,000 1,552,188

MEDNAX, Inc.5.25%, 12/1/2023 (a) . . . . . . 5,105,000 5,234,769


5


Molina Healthcare, Inc.5.38%, 11/15/2022. . . . . . . . $ 3,086,000 $ 3,284,862

Polaris Intermediate Corp. PIK8.50%, 12/1/2022 (a) . . . . . . 8,100,000 7,534,458

Quorum Health Corp.11.63%, 4/15/2023 (b) . . . . . 2,140,000 1,826,297

RegionalCare Hospital PartnersHoldings, Inc.8.25%, 5/1/2023 (a) . . . . . . . 8,124,000 8,624,682

Tenet Healthcare Corp.:4.63%, 7/15/2024 . . . . . . . . 13,739,000 14,116,9604.63%, 9/1/2024 (a) (b) . . . . . 3,939,000 4,109,3626.75%, 6/15/2023 (b) . . . . . . 11,731,000 12,898,4698.13%, 4/1/2022 . . . . . . . . . 21,791,000 24,090,822

228,872,236

HOLDINGCOMPANIES-DIVERSIFIED— 0.3%

Stena AB7.00%, 2/1/2024 (a) (b) . . . . . 2,112,000 2,164,293

Stena International SA5.75%, 3/1/2024 (a) . . . . . . . 3,539,000 3,617,035

VistaJet Malta Finance PLC/XOManagement Holding, Inc.10.50%, 6/1/2024 (a) . . . . . . 3,713,000 3,554,752

9,336,080

HOME BUILDERS — 2.1%Brookfield Residential

Properties, Inc./BrookfieldResidential US Corp.6.13%, 7/1/2022 (a) . . . . . . . 4,830,000 4,906,604

Forestar Group, Inc.8.00%, 4/15/2024 (a) . . . . . . 1,262,000 1,373,838

KB Home:7.00%, 12/15/2021. . . . . . . . 6,439,000 6,924,1147.50%, 9/15/2022 . . . . . . . . 698,000 784,4267.63%, 5/15/2023 . . . . . . . . 3,075,000 3,461,497

Lennar Corp.:2.95%, 11/29/2020. . . . . . . . 1,388,000 1,393,9414.13%, 1/15/2022 . . . . . . . . 4,802,000 4,929,3974.50%, 4/30/2024 . . . . . . . . 4,928,000 5,216,8794.75%, 4/1/2021 . . . . . . . . . 3,609,000 3,698,8284.75%, 11/15/2022. . . . . . . . 6,761,000 7,111,8964.88%, 12/15/2023. . . . . . . . 3,823,000 4,095,5805.88%, 11/15/2024. . . . . . . . 1,000 1,1208.38%, 1/15/2021 . . . . . . . . 3,903,000 4,136,868

PulteGroup, Inc.4.25%, 3/1/2021 (b) . . . . . . . 2,825,645 2,880,067

Shea Homes L.P./Shea HomesFunding Corp.5.88%, 4/1/2023 (a) . . . . . . . 2,544,000 2,592,336

Taylor Morrison Communities,Inc./Taylor Morrison HoldingsII, Inc.:5.63%, 3/1/2024 (a) . . . . . . . 3,441,000 3,720,685


5.88%, 4/15/2023 (a) . . . . . . $ 2,925,000 $ 3,158,210Toll Brothers Finance Corp.:

4.38%, 4/15/2023 . . . . . . . . 1,785,660 1,871,7825.88%, 2/15/2022 . . . . . . . . 2,641,000 2,800,675

TRI Pointe Group, Inc./TRIPointe Homes, Inc.5.88%, 6/15/2024 . . . . . . . . 4,138,000 4,506,034

William Lyon Homes, Inc.6.00%, 9/1/2023 . . . . . . . . . 69,000 72,105

Williams Scotsman International,Inc.6.88%, 8/15/2023 (a) . . . . . . 1,145,000 1,209,269

70,846,151

HOME FURNISHINGS —0.1%

Tempur Sealy International, Inc.5.63%, 10/15/2023 (b) . . . . . 1,783,000 1,836,276

HOUSEHOLD PRODUCTS &WARES — 0.6%

ACCO Brands Corp.5.25%, 12/15/2024 (a) . . . . . 4,807,000 5,007,788

Central Garden & Pet Co.6.13%, 11/15/2023 (b) . . . . . 2,986,000 3,088,659

Kronos Acquisition Holdings,Inc.9.00%, 8/15/2023 (a) . . . . . . 5,756,000 5,483,454

Prestige Brands, Inc.6.38%, 3/1/2024 (a) (b) . . . . . 6,115,000 6,359,294

19,939,195

HOUSEWARES — 0.4%Newell Brands, Inc.

3.85%, 4/1/2023 . . . . . . . . . 7,309,000 7,595,805Tupperware Brands Corp.

4.75%, 6/1/2021 (b) . . . . . . . 4,894,000 4,920,036

12,515,841

INSURANCE — 1.0%Acrisure LLC/Acrisure Finance,

Inc.8.13%, 2/15/2024 (a) . . . . . . 6,197,000 6,735,395

Ardonagh Midco 3 PLC8.63%, 7/15/2023 (a) (b) . . . . 2,727,000 2,700,085

Genworth Holdings, Inc.:7.20%, 2/15/2021 (b) . . . . . . 1,860,000 1,925,1007.63%, 9/24/2021 (b) . . . . . . 7,014,000 7,396,6147.70%, 6/15/2020 (b) . . . . . . 3,156,000 3,226,0004.80%, 2/15/2024 (b) . . . . . . 3,206,000 3,135,7244.90%, 8/15/2023 (b) . . . . . . 3,258,000 3,209,130

MGIC Investment Corp.5.75%, 8/15/2023 . . . . . . . . 3,201,000 3,551,446

Radian Group, Inc.4.50%, 10/1/2024 (b) . . . . . . 1,516,000 1,606,687

33,486,181


6


INTERNET — 1.4%Cogent Communications Group,

Inc.5.38%, 3/1/2022 (a) . . . . . . . $ 3,995,000 $ 4,178,371

EIG Investors Corp.10.88%, 2/1/2024 . . . . . . . . 2,529,000 2,529,961

Match Group, Inc.6.38%, 6/1/2024 . . . . . . . . . 383,000 402,468

Netflix, Inc.:5.38%, 2/1/2021 (b) . . . . . . . 3,426,000 3,539,6415.50%, 2/15/2022 . . . . . . . . 3,211,000 3,408,7015.75%, 3/1/2024 (b) . . . . . . . 2,683,000 2,972,415

Symantec Corp.:3.95%, 6/15/2022 (b) . . . . . . 1,023,000 1,041,8544.20%, 9/15/2020 (b) . . . . . . 7,751,000 7,825,332

Uber Technologies, Inc.7.50%, 11/1/2023 (a) (b) . . . . 2,817,000 2,948,300

VeriSign, Inc.4.63%, 5/1/2023 . . . . . . . . . 7,276,000 7,391,543

Zayo Group LLC/Zayo Capital,Inc.6.00%, 4/1/2023 . . . . . . . . . 9,841,000 10,094,012

46,332,598

INVESTMENT COMPANYSECURITY — 0.9%

FS Energy & Power Fund7.50%, 8/15/2023 (a) . . . . . . 3,360,000 3,446,587

Icahn Enterprises L.P./IcahnEnterprises Finance Corp.:4.75%, 9/15/2024 (a) . . . . . . 7,632,000 7,860,8075.88%, 2/1/2022 . . . . . . . . . 9,017,000 9,064,1596.25%, 2/1/2022 . . . . . . . . . 6,612,000 6,751,3156.75%, 2/1/2024 (b) . . . . . . . 2,381,000 2,474,216

29,597,084

IRON/STEEL — 0.5%AK Steel Corp.:

7.50%, 7/15/2023 . . . . . . . . 2,894,000 3,012,2497.63%, 10/1/2021 (b) . . . . . . 2,137,000 2,153,818

Allegheny Technologies, Inc.:5.88%, 12/1/2027 . . . . . . . . 1,153,000 1,207,9067.88%, 8/15/2023 (b) . . . . . . 2,927,000 3,281,138

Cleveland-Cliffs, Inc.4.88%, 1/15/2024 (a) . . . . . . 3,143,000 3,216,641

Steel Dynamics, Inc.:5.13%, 10/1/2021 . . . . . . . . 4,293,000 4,293,5155.25%, 4/15/2023 . . . . . . . . 1,090,000 1,110,230

18,275,497

LEISURE TIME — 0.5%24 Hour Fitness Worldwide, Inc.

8.00%, 6/1/2022 (a) . . . . . . . 2,948,000 1,329,194Carlson Travel, Inc.

6.75%, 12/15/2023 (a) (b) . . . 1,902,000 1,946,488LTF Merger Sub, Inc.

8.50%, 6/15/2023 (a) (b) . . . . 2,952,000 3,011,424


NCL Corp., Ltd.3.63%, 12/15/2024 (a) . . . . . $ 3,512,000 $ 3,563,486

Sabre GLBL, Inc.:5.25%, 11/15/2023 (a) . . . . . 5,065,000 5,203,5785.38%, 4/15/2023 (a) (b) . . . . 1,393,000 1,428,717

Vista Outdoor, Inc.5.88%, 10/1/2023 . . . . . . . . 2,042,000 1,954,071

18,436,958

LODGING — 1.9%Diamond Resorts International,

Inc.:7.75%, 9/1/2023 (a) (b) . . . . . 7,026,000 7,232,49410.75%, 9/1/2024 (a) (b) . . . . 972,000 1,018,831

Hilton Domestic Operating Co.,Inc.4.25%, 9/1/2024 (b) . . . . . . . 6,666,000 6,800,253

MGM China Holdings, Ltd.5.38%, 5/15/2024 (a) (b) . . . . 5,016,000 5,228,628

MGM Resorts International:6.00%, 3/15/2023 . . . . . . . . 10,377,000 11,403,2857.75%, 3/15/2022 . . . . . . . . 8,501,000 9,498,847

Studio City Co., Ltd.7.25%, 11/30/2021 (a) . . . . . 6,397,000 6,533,576

Studio City Finance, Ltd.7.25%, 2/11/2024 (a) . . . . . . 3,727,000 3,956,211

Wyndham Destinations, Inc.:3.90%, 3/1/2023 . . . . . . . . . 2,876,000 2,909,0174.25%, 3/1/2022 . . . . . . . . . 2,912,000 2,987,333

Wynn Las Vegas LLC/Wynn LasVegas Capital Corp.4.25%, 5/30/2023 (a) (b) . . . . 2,686,000 2,815,922

Wynn Macau, Ltd.4.88%, 10/1/2024 (a) (b) . . . . 2,223,000 2,273,018

62,657,415

MACHINERY,CONSTRUCTION &MINING — 0.3%

Vertiv Group Corp.9.25%, 10/15/2024 (a) (b) . . . 5,312,000 5,712,047

Vertiv Intermediate HoldingCorp. PIK12.00%, 2/15/2022 (a) . . . . . 5,049,000 5,241,316

10,953,363

MACHINERY-DIVERSIFIED— 0.2%

Cleaver-Brooks, Inc.7.88%, 3/1/2023 (a) (b) . . . . . 2,264,000 2,256,778

Cloud Crane LLC10.13%, 8/1/2024 (a) (b) . . . . 5,023,000 5,280,680

Welbilt, Inc.9.50%, 2/15/2024 . . . . . . . . 454,000 480,654

8,018,112


7


MEDIA — 8.5%Altice Financing SA

6.63%, 2/15/2023 (a) . . . . . . $ 15,343,000 $ 15,620,401Altice Finco SA

8.13%, 1/15/2024 (a) . . . . . . 2,548,000 2,625,892AMC Networks, Inc.:

4.75%, 12/15/2022 (b) . . . . . 4,218,000 4,261,1085.00%, 4/1/2024 (b) . . . . . . . 7,873,000 8,041,246

Cablevision Systems Corp.5.88%, 9/15/2022 . . . . . . . . 4,646,000 5,007,831

CCO Holdings LLC/CCOHoldings Capital Corp.:4.00%, 3/1/2023 (a) (b) . . . . . 2,515,000 2,555,1655.13%, 2/15/2023 . . . . . . . . 8,596,000 8,715,5705.13%, 5/1/2023 (a) . . . . . . . 8,796,000 9,001,7385.25%, 9/30/2022 . . . . . . . . 8,325,000 8,434,7245.75%, 9/1/2023 (b) . . . . . . . 3,427,000 3,488,9605.75%, 1/15/2024 . . . . . . . . 618,000 630,3605.88%, 4/1/2024 (a) . . . . . . . 15,494,000 16,101,520

Cengage Learning, Inc.9.50%, 6/15/2024 (a) (b) . . . . 4,688,000 4,076,872

Clear Channel WorldwideHoldings, Inc.9.25%, 2/15/2024 (a) . . . . . . 12,315,000 13,656,473

CSC Holdings LLC:5.25%, 6/1/2024 (b) . . . . . . . 9,543,000 10,285,0645.38%, 7/15/2023 (a) . . . . . . 8,258,000 8,481,1316.75%, 11/15/2021. . . . . . . . 5,727,000 6,165,745

DISH DBS Corp.:5.00%, 3/15/2023 (b) . . . . . . 8,691,000 8,906,3635.13%, 5/1/2020 . . . . . . . . . 7,955,000 8,019,0385.88%, 7/15/2022 . . . . . . . . 9,342,000 9,923,8205.88%, 11/15/2024 (b) . . . . . 15,961,000 16,336,2436.75%, 6/1/2021 . . . . . . . . . 16,859,000 17,741,231

Entercom Media Corp.7.25%, 11/1/2024 (a) . . . . . . 4,153,000 4,378,633

Gray Television, Inc.5.13%, 10/15/2024 (a) (b) . . . 5,465,000 5,664,636

Lee Enterprises, Inc.9.50%, 3/15/2022 (a) (b) . . . . 3,082,000 2,874,396

McGraw-Hill Global EducationHoldings LLC/McGraw-HillGlobal Education Finance7.88%, 5/15/2024 (a) (b) . . . . 2,618,000 2,276,220

Nexstar Broadcasting, Inc.5.63%, 8/1/2024 (a) (b) . . . . . 5,875,000 6,128,683

Quebecor Media, Inc.5.75%, 1/15/2023 . . . . . . . . 4,769,000 5,197,256

Sinclair Television Group, Inc.5.63%, 8/1/2024 (a) (b) . . . . . 6,294,000 6,483,890

Sirius XM Radio, Inc.:3.88%, 8/1/2022 (a) . . . . . . . 5,001,000 5,105,8214.63%, 5/15/2023 (a) . . . . . . 4,675,000 4,751,7174.63%, 7/15/2024 (a) (b) . . . . 13,579,000 14,227,126

TEGNA, Inc.:4.88%, 9/15/2021 (a) . . . . . . 2,862,000 2,869,785


5.13%, 7/15/2020 . . . . . . . . $ 1,360,000 $ 1,363,6996.38%, 10/15/2023 (b) . . . . . 5,283,000 5,449,309

Univision Communications, Inc.:5.13%, 5/15/2023 (a) (b) . . . . 12,699,000 12,690,7466.75%, 9/15/2022 (a) . . . . . . 2,835,000 2,872,677

UPCB Finance IV, Ltd.5.38%, 1/15/2025 (a) . . . . . . 896,000 921,482

Urban One, Inc.7.38%, 4/15/2022 (a) . . . . . . 3,896,000 3,853,767

Videotron, Ltd.:5.00%, 7/15/2022 . . . . . . . . 3,477,000 3,672,9645.38%, 6/15/2024 (a) . . . . . . 3,694,000 4,062,070

Virgin Media Finance PLC6.00%, 10/15/2024 (a) (b) . . . 5,100,000 5,255,856

Ziggo Bond Co. B.V.5.88%, 1/15/2025 (a) . . . . . . 250,000 257,583

288,434,811

METAL FABRICATE &HARDWARE — 0.2%

Grinding Media, Inc./Moly-CopAltaSteel, Ltd.7.38%, 12/15/2023 (a) . . . . . 5,405,000 5,502,182

Zekelman Industries, Inc.9.88%, 6/15/2023 (a) . . . . . . 1,614,000 1,698,896

7,201,078

MINING — 2.6%Alcoa Nederland Holding B.V.

6.75%, 9/30/2024 (a) . . . . . . 4,353,000 4,573,784Aleris International, Inc.

10.75%, 7/15/2023 (a) . . . . . 3,529,000 3,689,817Barminco Finance Pty, Ltd.

6.63%, 5/15/2022 (a) . . . . . . 1,836,000 1,884,764Constellium SE

5.75%, 5/15/2024 (a) (b) . . . . 4,341,000 4,470,622Ferroglobe PLC/Globe Specialty

Metals, Inc.9.38%, 3/1/2022 (a) . . . . . . . 1,454,000 901,538

FMG Resources August 2006Pty, Ltd.:4.50%, 9/15/2027 (a) . . . . . . 2,167,000 2,222,9524.75%, 5/15/2022 (a) . . . . . . 4,887,000 5,058,6805.13%, 3/15/2023 (a) (b) . . . . 3,712,000 3,919,8725.13%, 5/15/2024 (a) (b) . . . . 2,044,000 2,181,071

Freeport-McMoRan, Inc.:3.55%, 3/1/2022 (b) . . . . . . . 13,812,000 14,002,8823.88%, 3/15/2023 . . . . . . . . 17,506,000 17,850,5184.55%, 11/14/2024. . . . . . . . 148,000 156,717

Hecla Mining Co.6.88%, 5/1/2021 (b) . . . . . . . 1,910,000 1,905,626

Hudbay Minerals, Inc.7.25%, 1/15/2023 (a) . . . . . . 3,786,000 3,925,401

Joseph T Ryerson & Son, Inc.11.00%, 5/15/2022 (a) . . . . . 5,728,000 6,042,295

New Gold, Inc.6.25%, 11/15/2022 (a) (b) . . . 3,035,000 3,030,448


8


Northwest AcquisitionsULC/Dominion Finco, Inc.7.13%, 11/1/2022 (a) . . . . . . $ 3,945,000 $ 2,980,014

Novelis Corp.6.25%, 8/15/2024 (a) . . . . . . 7,176,000 7,518,223

86,315,224

MISCELLANEOUSMANUFACTURER — 0.4%

FXI Holdings, Inc.7.88%, 11/1/2024 (a) . . . . . . 4,448,000 4,272,437

LSB Industries, Inc.9.63%, 5/1/2023 (a) . . . . . . . 4,604,000 4,744,975

Trinity Industries, Inc.4.55%, 10/1/2024 . . . . . . . . 2,775,000 2,855,808

11,873,220

OFFICE & BUSINESSEQUIPMENT — 1.1%

CDW LLC/CDW Finance Corp.5.50%, 12/1/2024 . . . . . . . . 1,708,000 1,897,059

Pitney Bowes, Inc.:4.13%, 10/1/2021 . . . . . . . . 5,023,000 5,105,2274.63%, 5/15/2022 . . . . . . . . 1,901,000 1,913,6234.63%, 3/15/2024 (b) . . . . . . 3,588,000 3,348,3575.20%, 4/1/2023 . . . . . . . . . 5,246,000 5,160,700

Xerox Corp.:2.75%, 9/1/2020 . . . . . . . . . 3,315,000 3,315,9283.50%, 8/20/2020 (b) . . . . . . 2,620,000 2,632,9174.13%, 3/15/2023 . . . . . . . . 7,949,000 8,248,0414.50%, 5/15/2021 . . . . . . . . 6,817,000 6,991,106

38,612,958

OIL & GAS — 7.1%Aker BP ASA

6.00%, 7/1/2022 (a) . . . . . . . 2,236,000 2,305,115Antero Resources Corp.:

5.13%, 12/1/2022 (b) . . . . . . 8,105,000 7,253,4085.38%, 11/1/2021 . . . . . . . . 8,112,000 7,730,9795.63%, 6/1/2023 (b) . . . . . . . 5,092,000 4,096,616

Ascent Resources UticaHoldings LLC/ARU FinanceCorp.10.00%, 4/1/2022 (a) . . . . . . 7,684,000 7,636,667

Athabasca Oil Corp.9.88%, 2/24/2022 (a) . . . . . . 2,626,000 2,238,507

Baytex Energy Corp.:5.13%, 6/1/2021 (a) (b) . . . . . 476,000 471,2405.63%, 6/1/2024 (a) (b) . . . . . 2,846,000 2,596,520

Bruin E&P Partners LLC8.88%, 8/1/2023 (a) . . . . . . . 3,760,000 2,447,986

California Resources Corp.8.00%, 12/15/2022 (a) . . . . . 10,063,000 4,498,865

Callon Petroleum Co.6.13%, 10/1/2024 . . . . . . . . 2,748,000 2,802,026


Calumet Specialty ProductsPartners L.P./Calumet FinanceCorp.7.63%, 1/15/2022 (b) . . . . . . $ 1,784,000 $ 1,773,903

Carrizo Oil & Gas, Inc.6.25%, 4/15/2023 (b) . . . . . . 3,007,000 3,052,767

Chesapeake Energy Corp.:7.00%, 10/1/2024 . . . . . . . . 4,616,000 2,789,31011.50%, 1/1/2025 (a) . . . . . . 2,282,000 2,163,610

CNX Resources Corp.5.88%, 4/15/2022 (b) . . . . . . 4,466,500 4,466,857

Continental Resources, Inc.5.00%, 9/15/2022 . . . . . . . . 1,655,000 1,667,710

CVR Refining LLC/CoffeyvilleFinance, Inc.6.50%, 11/1/2022 . . . . . . . . 4,480,000 4,552,486

Denbury Resources, Inc.:7.75%, 2/15/2024 (a) . . . . . . 3,502,000 3,045,7949.00%, 5/15/2021 (a) . . . . . . 4,495,000 4,392,8749.25%, 3/31/2022 (a) . . . . . . 3,516,000 3,305,040

Energen Corp.4.63%, 9/1/2021 . . . . . . . . . 1,717,000 1,762,449

Ensign Drilling, Inc.9.25%, 4/15/2024 (a) . . . . . . 4,824,000 4,546,861

Extraction Oil & Gas, Inc.7.38%, 5/15/2024 (a) . . . . . . 3,016,000 1,875,741

Gulfport Energy Corp.6.00%, 10/15/2024. . . . . . . . 1,553,000 1,104,369

HighPoint Operating Corp.7.00%, 10/15/2022 (b) . . . . . 1,069,000 1,016,940

Hilcorp Energy I L.P./HilcorpFinance Co.5.00%, 12/1/2024 (a) (b) . . . . 1,731,000 1,676,231

Ithaca Energy North Sea PLC9.38%, 7/15/2024 (a) . . . . . . 1,947,000 2,025,951

Laredo Petroleum, Inc.:5.63%, 1/15/2022 . . . . . . . . 1,944,000 1,886,5556.25%, 3/15/2023 (b) . . . . . . 3,079,000 2,893,398

MEG Energy Corp.:6.38%, 1/30/2023 (a) . . . . . . 6,575,000 6,597,7497.00%, 3/31/2024 (a) (b) . . . . 6,778,000 6,841,307

Montage Resources Corp.8.88%, 7/15/2023 . . . . . . . . 2,281,000 2,106,412

Murphy Oil Corp.6.88%, 8/15/2024 . . . . . . . . 5,269,000 5,559,111

Nabors Industries, Inc.:4.63%, 9/15/2021 . . . . . . . . 5,788,000 5,755,8775.50%, 1/15/2023 (b) . . . . . . 3,281,980 3,164,649

Noble Holding International, Ltd.7.75%, 1/15/2024 . . . . . . . . 3,690,000 1,988,984

Oasis Petroleum, Inc.:6.88%, 3/15/2022 (b) . . . . . . 6,146,000 5,969,8566.88%, 1/15/2023 (b) . . . . . . 2,803,000 2,749,126

Pacific Drilling SA8.38%, 10/1/2023 (a) (b) . . . . 4,122,000 3,771,383


9


Parsley Energy LLC/ParsleyFinance Corp.6.25%, 6/1/2024 (a) (b) . . . . . $ 3,706,000 $ 3,861,059

PBF Holding Co. LLC/PBFFinance Corp.7.00%, 11/15/2023 (b) . . . . . 2,319,000 2,402,298

PDC Energy, Inc.6.13%, 9/15/2024 . . . . . . . . 1,075,000 1,097,521

Precision Drilling Corp.7.75%, 12/15/2023. . . . . . . . 1,894,000 1,887,371

Puma International FinancingSA:5.13%, 10/6/2024 (a) . . . . . . 2,250,000 2,188,867Series REGS, 5.00%,

1/24/2026. . . . . . . . . . . . 2,500,000 2,339,957Series REGS, 5.13%,

10/6/2024. . . . . . . . . . . . 843,000 820,323QEP Resources, Inc.:

5.25%, 5/1/2023 (b) . . . . . . . 5,854,000 5,820,6325.38%, 10/1/2022 (b) . . . . . . 1,920,000 1,935,9946.88%, 3/1/2021 . . . . . . . . . 3,081,000 3,172,013

Range Resources Corp.:5.00%, 8/15/2022 (b) . . . . . . 4,024,000 3,942,7155.00%, 3/15/2023 (b) . . . . . . 5,361,000 4,939,9475.75%, 6/1/2021 . . . . . . . . . 2,057,000 2,066,730

Rowan Cos., Inc.:4.75%, 1/15/2024 . . . . . . . . 662,000 415,5844.88%, 6/1/2022 (b) . . . . . . . 6,175,000 4,643,476

Seven Generations Energy, Ltd.:6.75%, 5/1/2023 (a) . . . . . . . 4,502,000 4,614,5506.88%, 6/30/2023 (a) (b) . . . . 4,974,000 5,114,764

SM Energy Co.:5.00%, 1/15/2024 (b) . . . . . . 3,711,000 3,556,8826.13%, 11/15/2022 (b) . . . . . 3,258,000 3,290,385

Southwestern Energy Co.6.20%, 1/23/2025 . . . . . . . . 85,000 78,079

Sunoco L.P./Sunoco FinanceCorp.:4.88%, 1/15/2023 (a) . . . . . . 500 512Series WI, 4.88%, 1/15/2023 . 4,822,000 4,938,837

Teine Energy, Ltd.6.88%, 9/30/2022 (a) . . . . . . 2,751,000 2,754,109

Transocean Guardian, Ltd.5.88%, 1/15/2024 (a) . . . . . . 5,148,650 5,259,964

Transocean Sentry, Ltd.5.38%, 5/15/2023 (a) . . . . . . 5,322,000 5,411,995

Transocean, Inc.9.00%, 7/15/2023 (a) . . . . . . 3,387,000 3,578,806

Unit Corp.6.63%, 5/15/2021 . . . . . . . . 3,317,000 1,803,751

Vine Oil & Gas L.P./Vine Oil &Gas Finance Corp.:8.75%, 4/15/2023 (a) . . . . . . 2,869,000 1,405,8109.75%, 4/15/2023 (a) . . . . . . 1,558,000 779,000

W&T Offshore, Inc.9.75%, 11/1/2023 (a) . . . . . . 4,012,000 3,844,178

Whiting Petroleum Corp.:


5.75%, 3/15/2021 . . . . . . . . $ 6,603,000 $ 6,257,0696.25%, 4/1/2023 (b) . . . . . . . 3,016,770 2,539,185

WPX Energy, Inc.:5.25%, 9/15/2024 (b) . . . . . . 1,751,000 1,861,4188.25%, 8/1/2023 . . . . . . . . . 3,399,920 3,913,444

241,118,454

OIL & GAS SERVICES —1.3%

Archrock Partners L.P./ArchrockPartners Finance Corp.6.00%, 10/1/2022 . . . . . . . . 3,402,000 3,429,148

Forum Energy Technologies, Inc.6.25%, 10/1/2021 . . . . . . . . 1,611,000 1,435,449

FTS International, Inc.6.25%, 5/1/2022 . . . . . . . . . 2,177,000 1,427,307

KCA Deutag UK Finance PLC:7.25%, 5/15/2021 (a) . . . . . . 3,717,000 2,532,0959.63%, 4/1/2023 (a) . . . . . . . 2,123,000 1,444,5749.88%, 4/1/2022 (a) . . . . . . . 2,873,000 1,955,249

Nine Energy Service, Inc.8.75%, 11/1/2023 (a) (b) . . . . 2,685,000 2,188,221

Oceaneering International, Inc.4.65%, 11/15/2024. . . . . . . . 717,000 703,083

SESI LLC7.13%, 12/15/2021. . . . . . . . 8,264,000 7,071,835

Transocean Phoenix 2, Ltd.7.75%, 10/15/2024 (a) . . . . . 3,932,940 4,167,186

Transocean Proteus, Ltd.6.25%, 12/1/2024 (a) . . . . . . 2,083,200 2,151,904

Weatherford International, Ltd.11.00%, 12/1/2024 (a) . . . . . 14,500,000 15,735,545

44,241,596

PACKAGING &CONTAINERS — 3.2%

Ardagh Packaging FinancePLC/Ardagh Holdings USA,Inc.4.25%, 9/15/2022 (a) . . . . . . 8,406,000 8,502,333

Ball Corp.:4.00%, 11/15/2023. . . . . . . . 4,757,000 5,019,6814.38%, 12/15/2020. . . . . . . . 6,624,000 6,763,5685.00%, 3/15/2022 (b) . . . . . . 4,442,000 4,694,750

Berry Global, Inc.:5.13%, 7/15/2023 (b) . . . . . . 3,222,000 3,307,0615.50%, 5/15/2022 . . . . . . . . 2,967,000 3,006,2536.00%, 10/15/2022 (b) . . . . . 2,118,000 2,159,280

Crown Americas LLC/CrownAmericas Capital Corp.4.50%, 1/15/2023 (b) . . . . . . 6,423,000 6,780,376

Graphic PackagingInternational LLC4.75%, 4/15/2021 . . . . . . . . 152,000 155,539

Mauser Packaging SolutionsHolding Co.5.50%, 4/15/2024 (a) . . . . . . 8,508,000 8,774,896


10


Owens-Brockway GlassContainer, Inc.:5.00%, 1/15/2022 (a) (b) . . . . $ 413,000 $ 427,7405.88%, 8/15/2023 (a) (b) . . . . 5,191,000 5,551,203

Reynolds Group Issuer,Inc./Reynolds GroupIssuer LLC/Reynolds GroupIssuer Lu:5.13%, 7/15/2023 (a) . . . . . . 11,843,000 12,134,9305.75%, 10/15/2020. . . . . . . . 23,475,666 23,512,2887.00%, 7/15/2024 (a) . . . . . . 6,191,000 6,405,456

Sealed Air Corp.:4.88%, 12/1/2022 (a) . . . . . . 3,580,000 3,791,1485.13%, 12/1/2024 (a) . . . . . . 4,689,000 5,073,4515.25%, 4/1/2023 (a) . . . . . . . 971,000 1,035,173

Silgan Holdings, Inc.4.13%, 2/1/2028 (a) . . . . . . . 1,492,000 1,495,805

108,590,931

PHARMACEUTICALS —1.7%

Bausch Health Cos., Inc.:5.50%, 3/1/2023 (a) . . . . . . . 1,915,000 1,926,0115.88%, 5/15/2023 (a) . . . . . . 11,137,000 11,282,7836.50%, 3/15/2022 (a) . . . . . . 10,538,000 10,788,4887.00%, 3/15/2024 (a) . . . . . . 12,554,000 13,096,835

Elanco Animal Health, Inc.:Series WI, 3.91%, 8/27/2021 . 2,473,000 2,530,572Series WI, 4.27%, 8/28/2023 . 4,890,000 5,164,671

Endo Dac/EndoFinance LLC/Endo Finco, Inc.6.00%, 7/15/2023 (a) (b) . . . . 9,664,000 7,021,186

Endo Finance LLC/Endo Finco,Inc.7.25%, 1/15/2022 (a) . . . . . . 15,000 10,085

Mallinckrodt InternationalFinance SA/MallinckrodtCB LLC:4.88%, 4/15/2020 (a) . . . . . . 4,124,000 3,140,3855.75%, 8/1/2022 (a) . . . . . . . 3,363,000 1,377,31710.00%, 4/15/2025 (a) . . . . . 2,605,000 2,040,939

58,379,272

PIPELINES — 3.3%American Midstream Partners

L.P./American MidstreamFinance Corp.9.50%, 12/15/2021 (a) . . . . . 2,605,000 2,448,752

Antero Midstream PartnersL.P./Antero MidstreamFinance Corp.5.38%, 9/15/2024 . . . . . . . . 2,440,000 2,266,638

Blue Racer Midstream LLC/BlueRacer Finance Corp.6.13%, 11/15/2022 (a) . . . . . 7,008,000 6,880,875

Buckeye Partners L.P.:4.15%, 7/1/2023 (b) . . . . . . . 5,048,000 5,058,904


4.88%, 2/1/2021 . . . . . . . . . $ 5,986,000 $ 6,092,192Cheniere Corpus Christi

Holdings LLC7.00%, 6/30/2024 . . . . . . . . 3,140,000 3,625,727

Crestwood Midstream PartnersL.P./Crestwood MidstreamFinance Corp.6.25%, 4/1/2023 . . . . . . . . . 5,413,000 5,520,069

DCP Midstream Operating L.P.:3.88%, 3/15/2023 (b) . . . . . . 2,760,000 2,833,2504.75%, 9/30/2021 (a) (b) . . . . 5,669,000 5,830,2264.95%, 4/1/2022 (b) . . . . . . . 1,913,000 1,989,5975.35%, 3/15/2020 (a) . . . . . . 5,460,000 5,489,047

EnLink Midstream Partners L.P.4.40%, 4/1/2024 . . . . . . . . . 6,615,000 6,416,881

Genesis Energy L.P./GenesisEnergy Finance Corp.:5.63%, 6/15/2024 . . . . . . . . 1,109,000 1,074,2556.00%, 5/15/2023 . . . . . . . . 2,873,000 2,844,0116.75%, 8/1/2022 . . . . . . . . . 6,695,000 6,777,415

Holly Energy Partners L.P./HollyEnergy Finance Corp.6.00%, 8/1/2024 (a) . . . . . . . 6,026,000 6,283,672

Martin Midstream PartnersL.P./Martin MidstreamFinance Corp.7.25%, 2/15/2021 (b) . . . . . . 2,455,000 2,228,526

NGL Energy Partners L.P./NGLEnergy Finance Corp.7.50%, 11/1/2023 . . . . . . . . 4,881,000 4,904,722

NuStar Logistics L.P.4.80%, 9/1/2020 . . . . . . . . . 5,244,000 5,313,431

PBF Logistics L.P./PBF LogisticsFinance Corp.6.88%, 5/15/2023 . . . . . . . . 6,722,000 6,935,356

Tallgrass Energy PartnersL.P./Tallgrass Energy FinanceCorp.:4.75%, 10/1/2023 (a) . . . . . . 3,032,000 3,028,1495.50%, 9/15/2024 (a) . . . . . . 7,428,000 7,453,701

Targa Resources PartnersL.P./Targa Resources PartnersFinance Corp.:4.25%, 11/15/2023 (b) . . . . . 4,416,340 4,463,3745.25%, 5/1/2023 . . . . . . . . . 4,713,000 4,761,4506.75%, 3/15/2024 . . . . . . . . 2,474,000 2,566,775

113,086,995

REAL ESTATE — 0.5%Kennedy-Wilson, Inc.

5.88%, 4/1/2024 . . . . . . . . . 7,023,000 7,215,571Newmark Group, Inc.

6.13%, 11/15/2023. . . . . . . . 2,863,000 3,151,161Realogy Group LLC/Realogy

Co-Issuer Corp.:4.88%, 6/1/2023 (a) (b) . . . . . 2,399,000 2,376,905


11


5.25%, 12/1/2021 (a) (b) . . . . $ 5,278,000 $ 5,340,966

18,084,603

REAL ESTATEINVESTMENT TRUSTS —2.6%

CBL & Associates L.P.5.25%, 12/1/2023 (b) . . . . . . 1,836,000 1,287,440

HAT Holdings I LLC/HATHoldings II LLC5.25%, 7/15/2024 (a) . . . . . . 3,466,000 3,650,634

Iron Mountain, Inc.:4.38%, 6/1/2021 (a) (b) . . . . . 2,277,000 2,298,4725.75%, 8/15/2024 . . . . . . . . 6,437,000 6,507,0996.00%, 8/15/2023 . . . . . . . . 4,279,000 4,374,293

iStar, Inc.:4.25%, 8/1/2025 . . . . . . . . . 2,568,000 2,600,2544.75%, 10/1/2024 (b) . . . . . . 6,335,000 6,598,7265.25%, 9/15/2022 . . . . . . . . 5,504,000 5,642,205

Ladder Capital FinanceHoldings LLLP/LadderCapital Finance Corp.5.25%, 3/15/2022 (a) . . . . . . 100,000 104,103

MGM Growth PropertiesOperating PartnershipL.P./MGP Finance Co-Issuer,Inc.5.63%, 5/1/2024 . . . . . . . . . 5,157,000 5,636,549

MPT Operating PartnershipL.P./MPT Finance Corp.6.38%, 3/1/2024 . . . . . . . . . 2,630,000 2,734,884

RHP Hotel Properties L.P./RHPFinance Corp.5.00%, 4/15/2023 . . . . . . . . 2,341,000 2,388,241

SBA Communications Corp.:4.00%, 10/1/2022 . . . . . . . . 6,125,680 6,241,5174.88%, 7/15/2022 . . . . . . . . 5,186,500 5,258,4374.88%, 9/1/2024 . . . . . . . . . 6,246,000 6,497,402

Starwood Property Trust, Inc.:3.63%, 2/1/2021 . . . . . . . . . 3,146,000 3,173,2445.00%, 12/15/2021. . . . . . . . 3,580,500 3,728,769

Uniti Group L.P./Uniti FiberHoldings, Inc./CSLCapital LLC7.13%, 12/15/2024 (a) . . . . . 1,300,000 1,106,820

Uniti Group L.P./Uniti GroupFinance, Inc./CSLCapital LLC:6.00%, 4/15/2023 (a) . . . . . . 4,883,000 4,698,6188.25%, 10/15/2023. . . . . . . . 7,108,000 6,222,485

VICI Properties 1 LLC/VICI FC,Inc.8.00%, 10/15/2023. . . . . . . . 3,164,042 3,427,797

Washington Prime Group L.P.6.45%, 8/15/2024 (b) . . . . . . 4,573,000 4,240,086

88,418,075


RETAIL — 3.9%1011778 BC ULC/New Red

Finance, Inc.4.25%, 5/15/2024 (a) (b) . . . . $ 9,833,000 $ 10,093,771

Asbury Automotive Group, Inc.6.00%, 12/15/2024. . . . . . . . 1,863,000 1,924,665

Brinker International, Inc.:3.88%, 5/15/2023 . . . . . . . . 2,567,000 2,607,9185.00%, 10/1/2024 (a) . . . . . . 3,949,000 4,173,975

Carvana Co.8.88%, 10/1/2023 (a) . . . . . . 2,559,000 2,696,342

DriveTime Automotive Group,Inc./Bridgecrest AcceptanceCorp.8.00%, 6/1/2021 (a) . . . . . . . 1,624,000 1,652,095

Ferrellgas L.P./Ferrellgas FinanceCorp.:6.50%, 5/1/2021 (b) . . . . . . . 2,242,000 1,931,0576.75%, 1/15/2022 . . . . . . . . 4,714,000 4,002,3756.75%, 6/15/2023 (b) . . . . . . 3,519,000 2,960,253

GameStop Corp.6.75%, 3/15/2021 (a) (b) . . . . 2,872,000 2,839,920

Gap, Inc.5.95%, 4/12/2021 . . . . . . . . 8,525,000 8,835,907

Golden Nugget, Inc.6.75%, 10/15/2024 (a) . . . . . 11,125,000 11,510,036

Group 1 Automotive, Inc.5.00%, 6/1/2022 (b) . . . . . . . 6,298,000 6,389,384

Guitar Center, Inc.9.50%, 10/15/2021 (a) . . . . . 4,878,000 4,815,513

JC Penney Corp., Inc.5.88%, 7/1/2023 (a) . . . . . . . 4,353,000 3,743,406

KFC Holding Co./Pizza HutHoldings LLC/Taco Bell ofAmerica LLC5.00%, 6/1/2024 (a) . . . . . . . 8,088,000 8,394,778

KGA Escrow LLC7.50%, 8/15/2023 (a) (b) . . . . 2,933,000 3,105,020

L Brands, Inc.:5.63%, 2/15/2022 . . . . . . . . 6,397,000 6,750,0505.63%, 10/15/2023 (b) . . . . . 3,609,000 3,886,0636.63%, 4/1/2021 (b) . . . . . . . 3,003,000 3,161,378

Party City Holdings, Inc.6.13%, 8/15/2023 (a) . . . . . . 2,824,000 2,475,603

Penske Automotive Group, Inc.5.75%, 10/1/2022 (b) . . . . . . 1,437,000 1,459,187

PetSmart, Inc.7.13%, 3/15/2023 (a) . . . . . . 12,718,000 12,469,236

Reliance Intermediate HoldingsL.P.6.50%, 4/1/2023 (a) . . . . . . . 3,395,000 3,483,983

Rite Aid Corp.6.13%, 4/1/2023 (a) . . . . . . . 11,832,000 10,879,761

Suburban Propane PartnersL.P./Suburban Energy FinanceCorp.5.50%, 6/1/2024 . . . . . . . . . 2,133,000 2,192,276


12


Yum! Brands, Inc.3.88%, 11/1/2020 . . . . . . . . $ 2,152,000 $ 2,166,741

130,600,693

SOFTWARE — 2.3%CDK Global, Inc.

5.00%, 10/15/2024. . . . . . . . 136,000 147,701Genesys Telecommunications

Laboratories, Inc./GreenedenLux 3 Sarl/Greeneden USHoldings II LLC10.00%, 11/30/2024 (a) . . . . . 590,000 637,542

Infor US, Inc.6.50%, 5/15/2022 . . . . . . . . 11,708,000 11,904,343

Informatica LLC7.13%, 7/15/2023 (a) . . . . . . 5,412,000 5,502,435

Marble II Pte, Ltd.Series REGS, 5.30%,6/20/2022 . . . . . . . . . . . . . 1,755,000 1,779,710

MSCI, Inc.5.25%, 11/15/2024 (a) . . . . . 3,363,000 3,461,973

Open Text Corp.5.63%, 1/15/2023 (a) . . . . . . 7,041,000 7,158,162

PTC, Inc.6.00%, 5/15/2024 . . . . . . . . 2,849,000 2,973,245

Rackspace Hosting, Inc.8.63%, 11/15/2024 (a) (b) . . . 8,543,000 8,355,396

Riverbed Technology, Inc.8.88%, 3/1/2023 (a) . . . . . . . 2,536,000 1,478,767

RP Crown Parent LLC7.38%, 10/15/2024 (a) . . . . . 376,000 391,454

Solera LLC/Solera Finance, Inc.10.50%, 3/1/2024 (a) . . . . . . 14,184,000 15,071,067

Sophia L.P./Sophia Finance, Inc.9.00%, 9/30/2023 (a) . . . . . . 540,000 554,321

TIBCO Software, Inc.11.38%, 12/1/2021 (a) (b) . . . 7,965,000 8,253,970

Veritas US, Inc./VeritasBermuda, Ltd.:7.50%, 2/1/2023 (a) . . . . . . . 5,976,000 5,961,65810.50%, 2/1/2024 (a) (b) . . . . 4,034,000 3,746,779

77,378,523

STORAGE &WAREHOUSING — 0.0%(d)

LBC Tank Terminals HoldingNetherlands B.V.6.88%, 5/15/2023 (a) (b) . . . . 495,000 500,990

TELECOMMUNICATIONS— 10.6%

Avanti Communications GroupPLC PIK9.00%, 10/1/2022 (a) . . . . . . 1,686,663 329,068

CenturyLink, Inc.:Series S, 6.45%, 6/15/2021 . . 11,576,000 12,144,266Series T, 5.80%, 3/15/2022. . . 10,552,000 11,113,788Series V, 5.63%, 4/1/2020 (b) . 10,416,000 10,490,162


Series W, 6.75%, 12/1/2023 . . $ 4,986,000 $ 5,566,021Series Y, 7.50%, 4/1/2024 (b) . 7,071,000 7,996,877

Cincinnati Bell, Inc.:7.00%, 7/15/2024 (a) (b) . . . . 3,728,000 3,907,3548.00%, 10/15/2025 (a) . . . . . 1,129,000 1,196,379

CommScope, Inc.:5.00%, 6/15/2021 (a) . . . . . . 330,000 329,7665.50%, 3/1/2024 (a) . . . . . . . 10,109,000 10,552,5835.50%, 6/15/2024 (a) (b) . . . . 3,467,000 3,508,569

Consolidated Communications,Inc.6.50%, 10/1/2022 (b) . . . . . . 4,238,000 3,871,116

DKT Finance ApS9.38%, 6/17/2023 (a) . . . . . . 3,912,000 4,160,568

Frontier Communications Corp.:7.13%, 1/15/2023 . . . . . . . . 2,686,000 1,313,1598.75%, 4/15/2022 . . . . . . . . 372,000 176,79310.50%, 9/15/2022. . . . . . . . 20,365,000 9,942,60011.00%, 9/15/2025. . . . . . . . 5,201,000 2,530,599

Gogo IntermediateHoldings LLC/Gogo FinanceCo., Inc.9.88%, 5/1/2024 (a) . . . . . . . 6,485,000 6,873,451

GTH Finance B.V.:Series REGS, 7.25%,

4/26/2023. . . . . . . . . . . . 2,132,000 2,401,783Series REGS, 7.25%,

4/26/2023. . . . . . . . . . . . 2,718,000 3,061,936HC2 Holdings, Inc.

11.50%, 12/1/2021 (a) . . . . . 1,711,000 1,603,395Hughes Satellite Systems Corp.

7.63%, 6/15/2021 . . . . . . . . 5,993,850 6,412,281Inmarsat Finance PLC

4.88%, 5/15/2022 (a) . . . . . . 8,011,000 8,122,353Intelsat Connect Finance SA

9.50%, 2/15/2023 (a) (b) . . . . 6,323,000 4,426,796Intelsat Jackson Holdings SA:

5.50%, 8/1/2023 . . . . . . . . . 18,479,000 15,860,5268.00%, 2/15/2024 (a) (b) . . . . 9,250,000 9,496,8828.50%, 10/15/2024 (a) . . . . . 23,060,000 21,031,1819.50%, 9/30/2022 (a) (b) . . . . 4,060,000 4,600,021

Intelsat Luxembourg SA8.13%, 6/1/2023 . . . . . . . . . 4,404,000 2,602,015

Iridium Communications, Inc.10.25%, 4/15/2023 (a) . . . . . 2,705,000 2,900,409

Level 3 Financing, Inc.:5.13%, 5/1/2023 . . . . . . . . . 5,607,000 5,664,0235.38%, 8/15/2022 . . . . . . . . 6,445,000 6,464,0775.38%, 1/15/2024 . . . . . . . . 6,103,000 6,197,5355.63%, 2/1/2023 . . . . . . . . . 5,135,000 5,152,973

Metropolitan Light Co., Ltd.5.50%, 11/21/2022 (a) . . . . . 4,219,000 4,347,047

Nokia Oyj3.38%, 6/12/2022 (b) . . . . . . 2,675,000 2,710,925

Plantronics, Inc.5.50%, 5/31/2023 (a) (b) . . . . 4,272,000 4,195,788


13


Qwest Corp.6.75%, 12/1/2021 (b) . . . . . . $ 5,646,000 $ 6,076,056

Sprint Communications, Inc.:6.00%, 11/15/2022 (b) . . . . . 11,889,000 12,488,3247.00%, 3/1/2020 (a) . . . . . . . 4,231,000 4,261,2097.00%, 8/15/2020 (b) . . . . . . 7,487,000 7,671,10511.50%, 11/15/2021 . . . . . . . 3,182,000 3,638,490

Sprint Corp.:7.13%, 6/15/2024 . . . . . . . . 8,813,000 9,496,9777.25%, 9/15/2021 . . . . . . . . 9,679,000 10,260,2247.88%, 9/15/2023 (b) . . . . . . 17,591,000 19,413,076

Telecom Italia SpA5.30%, 5/30/2024 (a) . . . . . . 10,695,000 11,537,659

Telefonaktiebolaget LM Ericsson4.13%, 5/15/2022 . . . . . . . . 8,297,000 8,623,155

T-Mobile USA, Inc.:4.00%, 4/15/2022 . . . . . . . . 128,000 131,7406.00%, 3/1/2023 . . . . . . . . . 9,711,000 9,877,2526.00%, 4/15/2024 . . . . . . . . 8,727,000 9,042,3076.38%, 3/1/2025 . . . . . . . . . 4,956,000 5,139,6206.50%, 1/15/2024 . . . . . . . . 7,342,000 7,572,172

Trilogy InternationalPartners LLC/TrilogyInternational Finance, Inc.8.88%, 5/1/2022 (a) (b) . . . . . 3,830,000 3,598,821

VEON Holdings B.V.:Series REGS, 3.95%,

6/16/2021. . . . . . . . . . . . 4,100,000 4,162,689Series REGS, 4.95%,

6/16/2024. . . . . . . . . . . . 5,650,000 6,069,513Series REGS, 5.95%,

2/13/2023. . . . . . . . . . . . 2,350,000 2,559,150Series REGS, 7.50%,

3/1/2022 . . . . . . . . . . . . 1,750,000 1,927,870Xplornet Communications, Inc.

PIK9.63%, 6/1/2022 (a) . . . . . . . 1,553,676 1,550,662

358,353,136

TRANSPORTATION — 1.1%Hornbeck Offshore Services, Inc.

5.00%, 3/1/2021 . . . . . . . . . 2,248,000 663,205Kenan Advantage Group, Inc.

7.88%, 7/31/2023 (a) (b) . . . . 1,003,000 981,405Navios Maritime Acquisition

Corp./Navios AcquisitionFinance US, Inc.8.13%, 11/15/2021 (a) . . . . . 5,417,000 4,328,616

Navios Maritime Holdings,Inc./Navios Maritime FinanceII US, Inc.7.38%, 1/15/2022 (a) . . . . . . 5,175,000 3,010,660

Teekay Offshore PartnersL.P./Teekay Offshore FinanceCorp.8.50%, 7/15/2023 (a) . . . . . . 5,218,000 5,174,169


Watco Cos. LLC/Watco FinanceCorp.6.38%, 4/1/2023 (a) . . . . . . . $ 3,421,000 $ 3,490,002

XPO Logistics, Inc.:6.13%, 9/1/2023 (a) (b) . . . . . 2,565,000 2,650,3376.50%, 6/15/2022 (a) (b) . . . . 7,823,000 7,971,1686.75%, 8/15/2024 (a) (b) . . . . 8,540,000 9,277,173

37,546,735

TRUCKING & LEASING —0.1%

Fortress Transportation &Infrastructure Investors LLC:6.50%, 10/1/2025 (a) . . . . . . 264,000 278,7006.75%, 3/15/2022 (a) . . . . . . 3,014,000 3,145,350

3,424,050

TOTAL CORPORATEBONDS & NOTES(Cost $3,352,266,413) . . . . . 3,306,726,256

Shares

COMMON STOCKS — 0.1%CONSTRUCTION & ENGINEERING — 0.0%

(d)Abengoa SA Class A (g) . . . . . . . . 1,017,249 22,266Abengoa SA Class B (g) . . . . . . . . 10,518,618 70,843

93,109

DIVERSIFIED TELECOMMUNICATIONSERVICES — 0.0% (d)

Avanti Communications Group PLC(g) . . . . . . . . . . . . . . . . . . . . 8,448,041 5,887

ELECTRONIC EQUIPMENT, INSTRUMENTS& COMPONENTS — 0.0% (d)

Mood Media Corp. (g) . . . . . . . . . 822,357 164

HOUSEHOLD PRODUCTS — 0.0% (d)Cenveo Enterprises, Inc. (g) (h) . . . 9,870 98,700

MEDIA — 0.0% (d)Clear Channel Outdoor Holding,

Inc. (g) . . . . . . . . . . . . . . . . . 70,012 200,235iHeartMedia, Inc. Class A (b) (g) . . 3,497 59,099

259,334

OIL, GAS & CONSUMABLE FUELS — 0.0%(d)

Amplify Energy Corp. . . . . . . . . . 46,662 308,436

TRANSPORTATION INFRASTRUCTURE —0.1%

ATD New Holdings, Inc. (g) (h) . . . 41,112 1,027,800Erickson, Inc. (g) (h) . . . . . . . . . . 3,081 15,405Erickson, Inc. (h) . . . . . . . . . . . . 4,342 21,710

1,064,915

TOTAL COMMON STOCKS(Cost $16,810,171) . . . . . . . 1,830,545


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Security DescriptionPrincipalAmount

SENIOR FLOATING RATE LOANS — 0.0%(d)

MEDIA — 0.0% (d)iHeartCommunications, Inc. Senior

Secured Exit Term Loan, 1Month USD LIBOR + 4.00%,5.69%, 5/1/2026 (f)(Cost $741,609) . . . . . . . . . . .$ 736,650 $ 743,862

SHARES VALUE

WARRANTS — 0.0% (d)ADVERTISING SERVICES —

0.0% (d)Affinion Group, Inc. (expiring

11/20/22) (b) (g) (h) . . . . . . . 11,802 —CONSTRUCTION &

ENGINEERING — 0.0%(d)

Abengoa Abenewco 2 SAU(expiring 10/11/24) (a) (g) (h) . 4,407,135 —

MEDIA — 0.0% (d)iHeartMedia, Inc. (expiring

05/01/39) (c) (g) . . . . . . . . . 26,277 404,009

TOTAL WARRANTS(Cost $421,746) . . . . . . . . . 404,009

SHORT-TERM INVESTMENTS — 11.0%State Street Institutional Liquid

Reserves Fund, Premier Class1.73% (i) (j) . . . . . . . . . . . . 39,961,413 39,965,409

State Street Navigator SecuritiesLending Portfolio II (k) (l) . . . 333,405,501 333,405,501

TOTAL SHORT-TERM INVESTMENTS(Cost $373,370,910) . . . . . . . . . . . . . . . . . . . 373,370,910

TOTAL INVESTMENTS — 108.8%(Cost $3,743,610,849). . . . . . . . . . . . . . . . . . 3,683,075,582

LIABILITIES IN EXCESS OF OTHERASSETS — (8.8)% . . . . . . . . . . . . . . . . . . (299,310,956)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 3,383,764,626

(a) Securities purchased pursuant to Rule 144A of the Securities Actof 1933, as amended. These securities, which represent 45.6% ofnet assets as of December 31, 2019, are considered liquid andmay be resold in transactions exempt from registration, normallyto qualified institutional buyers.

(b) All or a portion of the shares of the security are on loan atDecember 31, 2019.

(c) Fair valued as determined in good faith by the Trust’s OversightCommittee in accordance with policy and procedures approved bythe Board of Trustees. As of December 31, 2019, total aggregatefair value of securities is $424,546, representing less than 0.05%of net assets.

(d) Amount is less than 0.05% of net assets.(e) Step-up bond - Coupon rate increases in increments to maturity.

Rate shown as of December 31, 2019. Maturity date shown is thefinal maturity.

(f) Variable Rate Security - Interest rate shown is rate in effect atDecember 31, 2019. For securities based on a published referencerate and spread, the reference rate and spread are indicated in thedescription above.

(g) Non-income producing security.(h) Fair valued as determined in good faith by the Trust’s Oversight

Committee in accordance with policy and procedures approved bythe Board of Trustees. Security value is determined based onLevel 3 inputs. As of December 31, 2019, total aggregate fairvalue of the security is $1,163,615, representing less than 0.05%of the Fund’s net assets.

(i) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(j) The rate shown is the annualized seven-day yield at December 31,2019.

(k) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(l) Investment of cash collateral for securities loaned.

LIBOR London Interbank Offered RateMTN Medium Term NotePIK Payment in Kind

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31,2019.


Quoted Prices




ASSETS:INVESTMENTS:Corporate Bonds & Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $3,306,726,256 $ — $3,306,726,256

Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 660,879 6,051 1,163,615 1,830,545

Senior Floating Rate Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 743,862 — 743,862

Warrants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 404,009 — 404,009

Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373,370,910 — — 373,370,910

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $374,031,789 $3,307,880,178 $1,163,615 $3,683,075,582


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Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid Reserves Fund,Premier Class. . . . . . . . . . . . . . . . . . — $ — $ 474,821,962 $ 434,857,642 $1,089 $— 39,961,413 $ 39,965,409 $ 366,361

State Street Institutional U.S. GovernmentMoney Market Fund, Class G Shares . . . . . 67,526,653 67,526,653 115,091,971 182,618,624 — — — — 73,365

State Street Navigator Securities LendingPortfolio II . . . . . . . . . . . . . . . . . . . — — 471,722,020 138,316,519 — — 333,405,501 333,405,501 352,428

State Street Navigator Securities LendingPortfolio III . . . . . . . . . . . . . . . . . . . 213,945,431 213,945,431 227,489,009 441,434,440 — — — — 689,055

Total . . . . . . . . . . . . . . . . . . . . . . . . $281,472,084 $1,289,124,962 $1,197,227,225 $1,089 $— $373,370,910 $1,481,209


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SPDR Series Trust - Fixed Income Funds · 2020-04-24 · Semi-Annual Report December 31, 2019...

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