Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22705
SSgA MASTER TRUST
(Exact name of registrant as specified in charter)
One Lincoln Street, Boston, Massachusetts 02111
(Address of principal executive offices) (zip code)
Christopher A. Madden, Esq.
State Street Bank and Trust Company
One Lincoln Street/CPH0326
Boston, Massachusetts 02111
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Bingham McCutchen LLP
2020 K Street, N.W.
Washington, DC 20006
Registrant’s telephone number, including area code: (866) 787-2257
Date of fiscal year end: June 30
Date of reporting period: June 30, 2014
Table of Contents
Item 1. Reports to Shareholders.
Table of Contents
SSgA Master Trust
Annual Report June 30, 2014
Table of Contents
| Portfolio Summary |
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| 1 | ||||
| 2 | ||||
| 3 | ||||
| 4 | ||||
| 5 | ||||
| 6 | ||||
| 7 | ||||
| 8 | ||||
| Schedules of Investments |
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| 9 | ||||
| 10 | ||||
| 11 | ||||
| 12 | ||||
| 17 | ||||
| 19 | ||||
| 20 | ||||
| 21 | ||||
| 22 | ||||
| 30 | ||||
| 32 | ||||
| 40 | ||||
| 41 |
Table of Contents
SSgA MULTI-ASSET REAL RETURN PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | SPDR S&P GLOBAL NATURAL RESOURCES ETF |
POWERSHARES DB COMMODITY INDEX TRACKING FUND |
SPDR DOW JONES REIT ETF |
SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF |
SPDR BARCLAYS TIPS ETF |
|||||||||
| MARKET VALUE | $51,368,509 | 36,188,431 | 20,131,235 | 18,510,945 | 13,941,705 | |||||||||
| % OF NET ASSETS | 31.2 | 22.0 | 12.2 | 11.2 | 8.5 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF JUNE 30, 2014*
| * | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
1
Table of Contents
SSgA INCOME ALLOCATION PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | SPDR S&P DIVIDEND ETF |
SPDR BARCLAYS LONG TERM CORPORATE BOND ETF |
SPDR BARCLAYS HIGH YIELD BOND ETF |
SPDR BARCLAYS LONG TERM TREASURY ETF |
SPDR DOW JONES REIT ETF |
|||||||||
| MARKET VALUE | $15,996,281 | 14,133,063 | 7,674,773 | 7,354,924 | 7,169,374 | |||||||||
| % OF NET ASSETS | 15.4 | 13.6 | 7.4 | 7.1 | 6.9 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF JUNE 30, 2014*
| * | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
2
Table of Contents
SSgA GLOBAL ALLOCATION PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | SPDR S&P 500 ETF TRUST |
SPDR S&P WORLD ex-US ETF |
SPDR DOW JONES REIT ETF |
SPDR BARCLAYS LONG TERM CORPORATE BOND ETF |
SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF |
|||||||||
| MARKET VALUE | $19,599,009 | 19,315,257 | 6,332,817 | 5,951,067 | 5,339,370 | |||||||||
| % OF NET ASSETS | 19.9 | 19.6 | 6.4 | 6.0 | 5.4 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF JUNE 30, 2014*
| * | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
3
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | DELL, INC., SENIOR SECURED TERM LOAN B, 4.50%, 4/29/20 |
CLEAR CHANNEL COMMUNICATIONS, INC., 9.00%, 12/15/19 |
CAESARS ENTERTAINMENT RESORT PROPERTIES LLC, SENIOR SECURED TERM LOAN B, 7.00%, 10/12/20 |
LAS VEGAS SANDS LLC, SENIOR SECURED TERM LOAN B, 3.25%, 12/19/20 |
MPH ACQUISITION HOLDINGS LLC, SENIOR SECURED TERM LOAN, 4.00%, 3/31/21 |
|||||||||
| MARKET VALUE | $12,109,074 | 11,728,750 | 8,698,498 | 8,322,506 | 7,887,148 | |||||||||
| % OF NET ASSETS | 2.0 | 1.9 | 1.4 | 1.4 | 1.3 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
4
Table of Contents
SSgA ULTRA SHORT TERM BOND PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | TOYOTA MOTOR CREDIT CORP., 0.43%, 5/16/17 |
SLM STUDENT LOAN TRUST, 0.40%, 7/25/19 |
BOEING CAPITAL CORP., 3.25%, 10/27/14 |
CISCO SYSTEMS, INC., 0.51%, 3/3/17 |
GE DEALER FLOORPLAN MASTER NOTE TRUST, 0.64%, 6/20/17 |
|||||||||
| MARKET VALUE | $400,107 | 373,841 | 353,343 | 351,390 | 350,888 | |||||||||
| % OF NET ASSETS | 2.9 | 2.7 | 2.5 | 2.5 | 2.5 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
5
Table of Contents
SSgA MFS SYSTEMATIC CORE EQUITY PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | EXXON MOBIL CORP. |
JPMORGAN CHASE & CO. |
VERIZON COMMUNICATIONS, INC. |
APPLE, INC. | FACEBOOK, INC. (CLASS A) |
|||||||||
| MARKET VALUE | $242,639 | 223,854 | 217,641 | 215,969 | 205,907 | |||||||||
| % OF NET ASSETS | 4.5 | 4.2 | 4.0 | 4.0 | 3.8 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
6
Table of Contents
SSgA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | ORACLE CORP. | FACEBOOK, INC. (CLASS A) |
COMCAST CORP. (CLASS A) |
McKESSON CORP. | THE KROGER CO. | |||||||||
| MARKET VALUE | $246,341 | 232,150 | 213,861 | 185,838 | 181,606 | |||||||||
| % OF NET ASSETS | 4.6 | 4.3 | 4.0 | 3.5 | 3.4 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
7
Table of Contents
SSgA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2014
| DESCRIPTION | EXXON MOBIL CORP. | WELLS FARGO & CO. | JPMORGAN CHASE & CO. |
HEWLETT- PACKARD CO. |
WELLPOINT, INC. | |||||||||
| MARKET VALUE | $304,456 | 254,811 | 242,926 | 198,981 | 188,963 | |||||||||
| % OF NET ASSETS | 5.8 | 4.8 | 4.6 | 3.8 | 3.6 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
8
Table of Contents
SSgA Multi-Asset Real Return Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
9
Table of Contents
SSgA Income Allocation Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
10
Table of Contents
SSgA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
11
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
12
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2014
See accompanying notes to financial statements.
13
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2014
See accompanying notes to financial statements.
14
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2014
See accompanying notes to financial statements.
15
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2014
See accompanying notes to financial statements.
16
Table of Contents
SSgA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
17
Table of Contents
SSgA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2014
See accompanying notes to financial statements.
18
Table of Contents
SSgA MFS Systematic Core Equity Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
19
Table of Contents
SSgA MFS Systematic Growth Equity Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
20
Table of Contents
SSgA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS
June 30, 2014
See accompanying notes to financial statements.
21
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2014
| SSgA Multi-Asset Real Return Portfolio |
SSgA Income Allocation Portfolio |
SSgA Global Allocation Portfolio |
||||||||||
| ASSETS |
||||||||||||
| Investments in securities of unaffiliated issuers, at value |
$ | 42,032,027 | $ | — | $ | — | ||||||
| Investments in securities of affiliated issuers, at value |
121,853,399 | 103,589,753 | 97,812,831 | |||||||||
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|
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|
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| Total investments |
163,885,426 | 103,589,753 | 97,812,831 | |||||||||
| Receivable from Feeder |
24,685,995 | — | — | |||||||||
| Receivable for investment securities sold |
— | — | — | |||||||||
| Dividends receivable from affiliated issuers (Note 3) |
772,145 | 457,443 | 694,729 | |||||||||
| Dividends receivable from unaffiliated issuers |
— | — | — | |||||||||
| Interest receivable from unaffiliated issuers |
— | — | — | |||||||||
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|
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|
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| TOTAL ASSETS |
189,343,566 | 104,047,196 | 98,507,560 | |||||||||
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| LIABILITIES |
||||||||||||
| Payable for investments purchased |
24,686,279 | — | — | |||||||||
| Accrued advisory fees (Note 3) |
22,222 | 16,755 | 15,918 | |||||||||
| Accrued trustees’ fees and expenses (Note 3) |
78 | 63 | 35 | |||||||||
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|
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| TOTAL LIABILITIES |
24,708,579 | 16,818 | 15,953 | |||||||||
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|
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| NET ASSETS |
$ | 164,634,987 | $ | 104,030,378 | $ | 98,491,607 | ||||||
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| COST OF INVESTMENTS |
||||||||||||
| Unaffiliated issuers |
$ | 41,821,980 | $ | — | $ | — | ||||||
| Affiliated issuers |
116,538,817 | 98,338,242 | 91,397,135 | |||||||||
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|
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| Total cost of investments |
$ | 158,360,797 | $ | 98,338,242 | $ | 91,397,135 | ||||||
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|
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See accompanying notes to financial statements.
22
Table of Contents
| Blackstone / GSO Senior Loan Portfolio |
SSgA Ultra Short Term Bond Portfolio |
SSgA MFS Systematic Core Equity Portfolio |
SSgA MFS Systematic Growth Equity Portfolio |
SSgA MFS Systematic Value Equity Portfolio |
||||||||||||||
| $ | 591,367,734 | $ | 13,729,166 | $ | 5,314,508 | $ | 5,291,376 | $ | 5,201,361 | |||||||||
| 39,685,659 | 518,551 | 58,605 | 75,976 | 81,360 | ||||||||||||||
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|
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| 631,053,393 | 14,247,717 | 5,373,113 | 5,367,352 | 5,282,721 | ||||||||||||||
| 133,695 | — | — | — | — | ||||||||||||||
| 17,985,016 | — | — | — | — | ||||||||||||||
| — | — | 3 | 4 | 4 | ||||||||||||||
| — | — | 6,201 | 6,557 | 4,908 | ||||||||||||||
| 2,772,121 | 40,530 | — | — | — | ||||||||||||||
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|
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|
|||||||||
| 651,944,295 | 14,288,247 | 5,379,317 | 5,373,913 | 5,287,633 | ||||||||||||||
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| 41,316,516 | 250,000 | — | — | — | ||||||||||||||
| 150,445 | 2,307 | 1,324 | 1,323 | 1,298 | ||||||||||||||
| 302 | 9 | 10 | 10 | 11 | ||||||||||||||
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| 41,467,263 | 252,316 | 1,334 | 1,333 | 1,309 | ||||||||||||||
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| $ | 610,476,962 | $ | 14,035,931 | $ | 5,377,983 | $ | 5,372,580 | $ | 5,286,324 | |||||||||
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| $ | 589,750,760 | $ | 13,718,687 | $ | 5,024,113 | $ | 4,947,373 | $ | 4,939,141 | |||||||||
| 39,685,659 | 518,551 | 58,605 | 75,976 | 81,360 | ||||||||||||||
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| $ | 629,436,419 | $ | 14,237,238 | $ | 5,082,718 | $ | 5,023,349 | $ | 5,020,501 | |||||||||
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23
Table of Contents
SSgA MASTER TRUST
STATEMENTS OF OPERATIONS
For the Year Ended June 30, 2014
| SSgA Multi-Asset Real Return Portfolio |
SSgA Income Allocation Portfolio |
SSgA Global Allocation Portfolio |
||||||||||
| INVESTMENT INCOME |
||||||||||||
| Dividend and interest income on securities of unaffiliated issuers (Note 2) |
$ | 116,885 | $ | — | $ | — | ||||||
| Dividend income on securities of affiliated issuers (Note 3) |
2,730,747 | 4,309,839 | 2,012,089 | |||||||||
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| TOTAL INVESTMENT INCOME |
2,847,632 | 4,309,839 | 2,012,089 | |||||||||
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| EXPENSES |
||||||||||||
| Advisory fees (Note 3) |
258,050 | 210,670 | 136,101 | |||||||||
| Trustees’ fees (Note 3) |
2,552 | 2,296 | 1,084 | |||||||||
| Other expenses |
9 | 8 | 7 | |||||||||
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| TOTAL EXPENSES |
260,611 | 212,974 | 137,192 | |||||||||
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| NET INVESTMENT INCOME |
$ | 2,587,021 | $ | 4,096,865 | $ | 1,874,897 | ||||||
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| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
||||||||||||
| Net realized gain (loss) on investments in securities of unaffiliated issuers |
(1,735,130 | ) | — | — | ||||||||
| Net realized gain (loss) on investments in securities of affiliated issuers |
(472,264 | ) | (1,346,791 | ) | 1,718,573 | |||||||
| Net change in unrealized appreciation (depreciation) on investments |
16,133,508 | 11,409,215 | 6,937,869 | |||||||||
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| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS |
13,926,114 | 10,062,424 | 8,656,442 | |||||||||
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| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 16,513,135 | $ | 14,159,289 | $ | 10,531,339 | ||||||
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| * | For the period October 9, 2013 (commencement of operations) to June 30, 2014. |
| ** | For the period January 8, 2014 (commencement of operations) to June 30, 2014. |
See accompanying notes to financial statements.
24
Table of Contents
| Blackstone / GSO Senior Loan Portfolio |
SSgA Ultra Short Term Bond Portfolio* |
SSgA
MFS |
SSgA MFS Systematic Growth Equity Portfolio** |
SSgA
MFS |
||||||||||||||
| $ | 22,005,518 | $ | 51,466 | $ | 45,322 | $ | 43,045 | $ | 48,900 | |||||||||
| 52,102 | 154 | 18 | 18 | 17 | ||||||||||||||
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| 22,057,620 | 51,620 | 45,340 | 43,063 | 48,917 | ||||||||||||||
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| 1,683,374 | 19,193 | 7,315 | 7,314 | 7,194 | ||||||||||||||
| 9,436 | 75 | 19 | 19 | 19 | ||||||||||||||
| 49 | 1 | — | — | — | ||||||||||||||
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| 1,692,859 | 19,269 | 7,334 | 7,333 | 7,213 | ||||||||||||||
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| $ | 20,364,761 | $ | 32,351 | $ | 38,006 | $ | 35,730 | $ | 41,704 | |||||||||
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| (2,767,913 | ) | |
888 |
|
68,581 | 10,976 | 4,238 | |||||||||||
| |
— |
|
— | — | — | — | ||||||||||||
| 4,689,730 | 10,479 | 290,395 | 344,003 | 262,220 | ||||||||||||||
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| |
1,921,817 |
|
11,367 | 358,976 | 354,979 | 266,458 | ||||||||||||
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| $ | 22,286,578 | $ | 43,718 | $ | 396,982 | $ | 390,709 | $ | 308,162 | |||||||||
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25
Table of Contents
SSgA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
SSgA Multi-Asset Real Return Portfolio |
SSgA Income Allocation Portfolio |
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| Year Ended 6/30/14 |
Year Ended 6/30/13 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
|||||||||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 2,587,021 | $ | 1,740,438 | $ | 4,096,865 | $ | 3,607,371 | ||||||||
| Net realized gain (loss) on investments |
(2,207,394 | ) | (924,340 | ) | (1,346,791 | ) | (1,103,424 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) on investments |
16,133,508 | (10,378,172 | ) | 11,409,215 | (6,205,334 | ) | ||||||||||
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| Net increase (decrease) in net assets resulting from operations |
16,513,135 | (9,562,074 | ) | 14,159,289 | (3,701,387 | ) | ||||||||||
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| CAPITAL TRANSACTIONS |
||||||||||||||||
| Contributions |
91,367,610 | 130,398,415 | 7,804,636 | 170,596,375 | ||||||||||||
| Withdrawals |
(64,829,742 | ) | (5,079,121 | ) | (92,188,375 | ) | (1,753,769 | ) | ||||||||
| Other capital |
— | — | — | — | ||||||||||||
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| Net increase (decrease) in net assets from capital transactions |
26,537,868 | 125,319,294 | (84,383,739 | ) | 168,842,606 | |||||||||||
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| Net increase (decrease) in net assets during the period |
43,051,003 | 115,757,220 | (70,224,450 | ) | 165,141,219 | |||||||||||
| NET ASSETS |
||||||||||||||||
| Net assets at beginning of period |
121,583,984 | 5,826,764 | 174,254,828 | 9,113,609 | ||||||||||||
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| NET ASSETS END OF PERIOD |
$ | 164,634,987 | $ | 121,583,984 | $ | 104,030,378 | $ | 174,254,828 | ||||||||
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| * | Commencement of operations |
See accompanying notes to financial statements.
26
Table of Contents
| SSgA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio |
SSgA Ultra Short |
||||||||||||||||
| Year Ended 6/30/14 |
Year Ended 6/30/13 |
Year Ended 6/30/14 |
For the Period 4/3/13* - 6/30/13 |
For the
Period |
||||||||||||||
| $ | 1,874,897 | $ | 672,602 | $ | 20,364,761 | $ | 1,233,838 | $ | 32,351 | |||||||||
| 1,718,573 | 31,550 | (2,767,913 | ) | (18,345 | ) | 888 | ||||||||||||
| 6,937,869 | (434,591 | ) | 4,689,730 | (3,072,756 | ) | 10,479 | ||||||||||||
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|
|||||||||
| 10,531,339 | 269,561 | 22,286,578 | (1,857,263 | ) | 43,718 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 47,337,163 | 50,799,932 | 286,897,792 | 334,915,199 | 16,010,331 | ||||||||||||||
| (11,312,504 | ) | (3,584,635 | ) | (31,961,441 | ) | (670,323 | ) | (2,033,325 | ) | |||||||||
| — | — | 461,549 | 404,871 | 15,207 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 36,024,659 | 47,215,297 | 255,397,900 | 334,649,747 | 13,992,213 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 46,555,998 | 47,484,858 | 277,684,478 | 332,792,484 | 14,035,931 | ||||||||||||||
| 51,935,609 | 4,450,751 | 332,792,484 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 98,491,607 | $ | 51,935,609 | $ | 610,476,962 | $ | 332,792,484 | $ | 14,035,931 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
27
Table of Contents
SSgA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SSgA MFS Systematic Core Equity Portfolio |
SSgA
MFS |
SSgA MFS Systematic Value Equity Portfolio |
||||||||||
| For the Period 1/8/14* - 6/30/14 |
For the Period 1/8/14* - 6/30/14 |
For the Period 1/8/14* - 6/30/14 |
||||||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||
| Net investment income (loss) |
$ | 38,006 | $ | 35,730 | $ | 41,704 | ||||||
| Net realized gain (loss) on investments |
68,581 | 10,976 | 4,238 | |||||||||
| Net change in unrealized appreciation (depreciation) on investments |
290,395 | 344,003 | 262,220 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from operations |
396,982 | 390,709 | 308,162 | |||||||||
|
|
|
|
|
|
|
|||||||
| CAPITAL TRANSACTIONS |
||||||||||||
| Contributions |
5,001,000 | 5,001,000 | 5,001,000 | |||||||||
| Withdrawals |
(19,999 | ) | (19,129 | ) | (22,838 | ) | ||||||
| Other capital |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets from capital transactions |
4,981,001 | 4,981,871 | 4,978,162 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets during the period |
5,377,983 | 5,372,580 | 5,286,324 | |||||||||
| NET ASSETS |
||||||||||||
| Net assets at beginning of period |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS END OF PERIOD |
$ | 5,377,983 | $ | 5,372,580 | $ | 5,286,324 | ||||||
|
|
|
|
|
|
|
|||||||
| * | Commencement of operations |
See accompanying notes to financial statements.
28
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[This Page Intentionally Left Blank]
29
Table of Contents
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
| SSgA Multi-Asset Real Return Portfolio* |
SSgA Income Allocation Portfolio* | |||||||||||||||||||||||
| Year Ended 6/30/14 |
Year Ended 6/30/13 |
For the Period 4/25/12** - 6/30/12 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
For the Period 4/25/12** - 6/30/12 |
|||||||||||||||||||
| Supplemental Data and Ratios: |
||||||||||||||||||||||||
| Net assets, end of period (000s) |
$ | 164,635 | $ | 121,584 | $ | 5,827 | $ | 104,030 | $ | 174,255 | $ | 9,114 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Ratios to average net assets: |
||||||||||||||||||||||||
| Operating expenses |
0.20 | % | 0.20 | % | 0.20 | %(1) | 0.20 | % | 0.20 | % | 0.20 | %(1) | ||||||||||||
| Net investment income |
2.01 | % | 2.91 | % | 3.84 | %(1) | 3.89 | % | 4.65 | % | 8.39 | %(1) | ||||||||||||
| Portfolio turnover rate |
40 | % | 31 | % | 10 | % | 63 | % | 80 | % | 15 | % | ||||||||||||
| Total return |
13.93 | % | (1.63 | )% | (3.42 | )%(2) | 13.84 | % | 4.39 | % | 0.92 | %(2) | ||||||||||||
| * | The Portfolio invests in other underlying Portfolios and indirectly bears its proportionate share of fees and expenses incurred by such Portfolios. The ratios presented do not reflect the indirect expenses of the underlying Portfolios in which the Portfolio invests. |
| ** | Commencement of operations |
| (1) | Annualized. |
| (2) | Total return for periods of less than one year is not annualized. |
See accompanying notes to financial statements.
30
Table of Contents
| SSgA Global Allocation Portfolio* |
Blackstone / GSO Senior Loan Portfolio |
SSgA Ultra Short Term Bond Portfolio |
SSgA MFS Systematic Core Equity Portfolio |
SSgA MFS Systematic Growth Equity Portfolio |
SSgA MFS Systematic Value Equity Portfolio |
|||||||||||||||||||||||||||||
| Year Ended 6/30/14 |
Year Ended 6/30/13 |
For the Period 4/25/12** - 6/30/12 |
Year Ended 6/30/14 |
For the Period 4/3/13** - 6/30/13 |
For the Period 10/9/13** - 6/30/14 |
For the Period 1/8/14** - 6/30/14 |
For the Period 1/8/14** - 6/30/14 |
For the Period 1/8/14** - 6/30/14 |
||||||||||||||||||||||||||
| $ | 98,492 | $ | 51,936 | $ | 4,451 | $ | 610,477 | $ | 332,792 | $ | 14,036 | $ | 5,378 | $ | 5,373 | $ | 5,286 | |||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 0.20 | % | 0.20 | % | 0.20 | %(1) | 0.30 | % | 0.30 | %(1) | 0.20 | %(1) | 0.30 | %(1) | 0.30 | %(1) | 0.30 | %(1) | |||||||||||||||||
| 2.76 | % | 3.07 | % | 4.34 | %(1) | 3.63 | % | 2.57 | %(1) | 0.34 | %(1) | 1.55 | %(1) | 1.46 | %(1) | 1.73 | %(1) | |||||||||||||||||
| 89 | % | 123 | % | 25 | % | 77 | % | 4 | % | 39 | % | 27 | % | 20 | % | 23 | % | |||||||||||||||||
| 16.80 | % | 9.92 | % | (1.82 | )%(2) | 4.00 | % | (0.31 | )%(2) | 0.47 | %(2) | 7.92 | %(2) | 7.85 | %(2) | 6.20 | %(2) | |||||||||||||||||
31
Table of Contents
NOTES TO FINANCIAL STATEMENTS
June 30, 2014
| 1. | Organization |
SSgA Master Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end investment management company that was organized as a Massachusetts business trust on March 30, 2011.
As of June 30, 2014, the Trust offered eight (8) portfolios, each of which represents a separate series of beneficial interest in the Trust (each a “Portfolio” and collectively; the “Portfolios”). The financial statements herein relate to the following eight (8) Portfolios: SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSgA Ultra Short Term Bond Portfolio, SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Growth Equity Portfolio and SSgA MFS Systematic Value Equity Portfolio. Each Portfolio serves as a master fund in a master feeder structure.
Under the Trust’s organizational documents, its officers and trustees are indemnified against 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 with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
The Trust invests in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.
SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio and SSgA Global Allocation Portfolio invest their assets in other exchange-traded products (referred to as “underlying Funds”). The underlying Funds, in turn, may engage in a number of investment techniques and practices, which involve certain risks. Certain underlying Funds invest their portfolios in debt securities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates. Certain underlying Funds invest their portfolios in foreign securities including emerging markets. Foreign investments involve certain risks that are greater than those associated with investments in securities of U.S. issuers. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in securities issued by entities based outside the United States pose distinct risks since political and economic events unique to a country or region will affect those markets and their issuers. Investment in emerging markets involves greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. Certain underlying Funds invest their portfolios in commodities markets. Commodities are subject to substantial price fluctuations over short periods of time and may be affected by unpredictable economic, political and environmental events. Factors that may significantly affect the prices of commodities include, but are not limited to: global supply and demand; domestic and international interest rates and investors’ expectations of interest rates; inflation rates and investors’ expectations of inflation rates; the investment and trading activities of commodity futures contracts; political, economic, or financial events, both globally and regionally.
The Blackstone / GSO Senior Loan Portfolio invests its assets in senior loans. Investments in senior loans are subject to credit risks which may include delay in receiving payments of principal and interest paid by the borrower to the agent or by the agent to the lender or offsets against payments received from the borrower.
SSgA Ultra Short Term Bond Portfolio invests in investment grade debt securities with varying maturities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.
SSgA MFS Systematic Core Equity ETF, SSgA MFS Systematic Growth Equity ETF and SSgA MFS Systematic Value Equity ETF invest in various investments which are exposed to risks, such as market risk. Due to the level of risk
32
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SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2014
associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.
An investment in a Fund involves risks similar to those of investing in any fund, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in security prices. The values of securities could decline generally or could underperform other investments. Different types of securities tend to go through cycles of out-performance and underperformance in comparison to the general securities markets. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
| 2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. These financial statements are presented in United States dollars.
Security Valuation
The fair value of each Portfolio’s portfolio securities and other financial instruments is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in underlying funds are valued at their market price each business day. Loans are primarily valued by using a composite loan price from a loan pricing service. The methodology used by the Portfolios’ loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. U.S. fixed income securities may be valued as of the announced closing time for trading in fixed income instruments on any day that the Securities Industry and Financial Markets Association announces an early closing time. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the “Board”) believes will better reflect fair value in accordance with the Trust’s valuation policies and procedures. The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security
The Portfolios follow the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value:
| • | Level 1 — quoted prices in active markets for identical investments |
| • | Level 2 — other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 — significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments) |
Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for
33
Table of Contents
SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2014
which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Portfolios’ net assets are computed and that may materially affect the value of the Portfolios’ investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts, acts of terrorism, and significant market fluctuations. The valuation of senior floating rate loans held by the Funds are obtained from an independent loan pricing service and categorized as Level 2 based on the use of other significant observable inputs.
Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by such Portfolio’s benchmark index, which, in turn, could result in a difference between a Portfolio’s performance and the performance of such Portfolio’s benchmark index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.
The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of a Portfolio’s investments by category.
The following table summarizes the inputs used in valuing the Portfolios’ investments as of June 30, 2014:
| Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | |||||||||||||
| SSgA Multi-Asset Real Return Portfolio |
$ | 163,885,426 | $ | — | $ | — | $ | 163,885,426 | ||||||||
| SSgA Income Allocation Portfolio |
103,589,753 | — | — | 103,589,753 | ||||||||||||
| SSgA Global Allocation Portfolio |
97,812,831 | — | — | 97,812,831 | ||||||||||||
| Blackstone / GSO Senior Loan Portfolio |
39,685,659 | 591,501,615 | — | 631,187,274 | ||||||||||||
| SSgA Ultra Short Term Bond Portfolio |
518,551 | 13,729,166 | — | 14,247,717 | ||||||||||||
| SSgA MFS Systematic Core Equity Portfolio |
5,373,113 | — | — | 5,373,113 | ||||||||||||
| SSgA MFS Systematic Growth Equity Portfolio |
5,367,352 | — | — | 5,367,352 | ||||||||||||
| SSgA MFS Systematic Value Equity Portfolio |
5,282,721 | — | — | 5,282,721 | ||||||||||||
There were no transfers between levels for the period ended June 30, 2014.
Investment Income
Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities.
Expenses
Advisory fees and other expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio. Trustees’ fees and other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolios. In addition to the these direct expenses, the Portfolios bear certain expenses indirectly, such as fees of underlying Portfolios in which the Portfolio invest that are reflected in the reported value of such Portfolios.
Investment Transactions
Investment transactions are recorded as of the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date.
Federal Income Tax
The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are
34
Table of Contents
SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2014
deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes. The Portfolios have reviewed the tax positions for the open tax years as of June 30, 2014 and have determined that no provision for income tax is required in the Portfolios’ Financial Statements. The Portfolios’ federal tax returns are subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Portfolios’ recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.
| 3. | Fees and Compensation Paid to Affiliates and Other Related Party Transactions |
Advisory Fee
Each Portfolio has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Portfolio’s average daily net assets as shown in the following table:
| Annual Rate | ||||
| SSgA Multi-Asset Real Return Portfolio |
0.20 | % | ||
| SSgA Income Allocation Portfolio |
0.20 | |||
| SSgA Global Allocation Portfolio |
0.20 | |||
| Blackstone/GSO Senior Loan Portfolio |
0.30 | |||
| SSgA Ultra Short Term Bond Portfolio |
0.20 | |||
| SSgA MFS Systematic Core Equity Portfolio |
0.30 | |||
| SSgA MFS Systematic Growth Equity Portfolio |
0.30 | |||
| SSgA MFS Systematic Value Equity Portfolio |
0.30 | |||
The Adviser pays all operating expenses of each Portfolio other than management fee, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.
GSO / Blackstone Debt Funds Management LLC receives fees for its services as the sub-adviser to the SPDR Blackstone/GSO Senior Loan Portfolio from the Adviser.
Massachusetts Financial Services Company receives fees for its services as sub-adviser to the SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Growth Equity Portfolio and SSgA Systematic Value Equity Portfolio from the Adviser.
State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, receives fees for its services as Custodian, Administrator and Transfer Agent from the Adviser.
Trustees’ Fees
The Trust, SSgA Master Trust, SPDR Series Trust and SPDR Index Shares Funds pay, in the aggregate, each Independent Trustee an annual fee of $170,000 plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trust also reimburses each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Independent Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.
35
Table of Contents
SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2014
Transactions with Affiliates
Each Portfolio may invest in certain money market funds and underlying Funds affiliated with the Adviser. Amounts related to investments in affiliated underlying Funds at June 30, 2014, and for the period then ended are:
| SPDR SSgA Multi-Asset Real |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| SPDR Barclays TIPS ETF |
288,046 | $ | 16,006,716 | $ | 13,669,491 | 244,777 | $ | 15,974,692 | 289,682 | 243,141 | $ | 13,941,705 | $ | 198,201 | $ | (826,517 | ) | |||||||||||||||||||||||
| SPDR DB International Government Inflation-Protected Bond ETF |
179,144 | 10,313,320 | 6,303,694 | 107,016 | 14,636,881 | 246,377 | 39,783 | 2,466,944 | 178,227 | (422,588 | ) | |||||||||||||||||||||||||||||
| SPDR S&P Global Natural Resources ETF |
866,592 | 38,987,974 | 41,269,211 | 834,171 | 35,863,782 | 728,795 | 971,968 | 51,368,509 | 1,059,052 | 163,885 | ||||||||||||||||||||||||||||||
| SPDR S&P International Energy Sector ETF |
103,539 | 2,396,928 | 1,807,399 | 67,766 | 1,470,178 | 57,050 | 114,255 | 3,376,235 | 89,368 | 76,836 | ||||||||||||||||||||||||||||||
| SPDR S&P Metals & Mining ETF |
103,088 | 3,415,306 | 5,196,777 | 132,402 | 4,786,123 | 116,888 | 118,602 | 5,010,934 | 59,972 | 115,339 | ||||||||||||||||||||||||||||||
| The Energy Select Sector SPDR Fund |
31,198 | 2,444,675 | 5,449,175 | 61,135 | 2,200,408 | 25,273 | 67,060 | 6,712,706 | 80,371 | 323,908 | ||||||||||||||||||||||||||||||
| SPDR Dow Jones International Real Estate ETF |
369,519 | 14,743,808 | 12,344,419 | 292,013 | 9,896,196 | 243,111 | 418,421 | 18,510,945 | 634,997 | (83,269 | ) | |||||||||||||||||||||||||||||
| SPDR Dow Jones REIT ETF |
171,628 | 13,035,147 | 14,295,658 | 183,172 | 8,202,012 | 112,255 | 242,545 | 20,131,235 | 430,433 | (143,766 | ) | |||||||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund |
154,629 | 154,629 | 11,579,921 | 11,579,921 | 11,400,364 | 11,400,364 | 334,186 | 334,186 | 126 | — | ||||||||||||||||||||||||||||||
| SPDR SSgA Income Allocation |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| SPDR S&P Dividend ETF |
399,579 | $ | 26,492,087 | $ | 5,158,820 | 72,148 | $ | 18,422,346 | 262,871 | 208,856 | $ | 15,996,281 | $ | 627,299 | $ | 2,234,996 | ||||||||||||||||||||||||
| SPDR Wells Fargo Preferred Stock ETF |
458,923 | 19,949,383 | 738,742 | 17,542 | 15,162,894 | 357,925 | 118,540 | 5,174,271 | 439,269 | (1,027,219 | ) | |||||||||||||||||||||||||||||
| The Consumer Discretionary Select Sector SPDR Fund |
— | — | 2,149,296 | 32,964 | 2,201,300 | 32,964 | — | — | 5,879 | 52,005 | ||||||||||||||||||||||||||||||
| The Financial Select Sector SPDR Fund |
91,613 | 1,785,537 | 1,560,490 | 74,863 | 3,507,549 | 166,476 | — | — | 7,059 | 264,457 | ||||||||||||||||||||||||||||||
| The Health Care Select Sector SPDR Fund |
— | — | 4,040,594 | 69,788 | 2,004,054 | 35,329 | 34,459 | 2,096,141 | 11,757 | 27,552 | ||||||||||||||||||||||||||||||
| The Industrial Select Sector SPDR Fund |
— | — | 3,114,294 | 62,108 | 1,295,353 | 24,930 | 37,178 | 2,009,843 | 22,348 | 58,889 | ||||||||||||||||||||||||||||||
| The Technology Select Sector SPDR Fund |
59,725 | 1,826,988 | 3,154,499 | 90,493 | 3,155,188 | 96,275 | 53,943 | 2,068,714 | 17,592 | 91,231 | ||||||||||||||||||||||||||||||
| The Utilities Select Sector SPDR Fund |
— | — | 2,139,504 | 57,707 | 2,181,083 | 57,707 | — | — | 31,309 | 41,579 | ||||||||||||||||||||||||||||||
| SPDR Barclays Aggregate Bond ETF |
— | — | 980,471 | 17,399 | 984,602 | 17,399 | — | — | 4,199 | 4,131 | ||||||||||||||||||||||||||||||
| SPDR Barclays Convertible Securities ETF |
20,742 | 885,269 | 2,258,256 | 48,791 | 801,228 | 17,537 | 51,996 | 2,625,798 | 58,139 | 77,133 | ||||||||||||||||||||||||||||||
| SPDR Barclays High Yield Bond ETF |
174,086 | 6,874,656 | 9,306,918 | 232,556 | 9,023,779 | 222,727 | 183,915 | 7,674,773 | 477,996 | 157,852 | ||||||||||||||||||||||||||||||
| SPDR Barclays Long Term Corporate Bond ETF |
713,243 | 26,924,923 | 5,027,685 | 129,134 | 18,528,848 | 494,272 | 348,105 | 14,133,063 | 669,528 | (1,282,391 | ) | |||||||||||||||||||||||||||||
| SPDR Barclays Long Term Treasury Bond ETF |
212,247 | 13,616,919 | 4,437,721 | 71,487 | 10,814,467 | 172,800 | 110,934 | 7,354,924 | 250,289 | (598,847 | ) | |||||||||||||||||||||||||||||
| SPDR Barclays Short Term High Yield Bond |
58,976 | 1,779,896 | 15,492 | 514 | 1,792,876 | 59,490 | — | — | 7,885 | (31,259 | ) | |||||||||||||||||||||||||||||
36
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SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2014
| SPDR SSgA Income Allocation |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| SPDR Nuveen Barclays Build America Bond ETF |
46,701 | $ | 2,591,438 | $ | 167,201 | 3,075 | $ | 2,799,940 | 49,776 | — | $ | — | $ | 65,106 | $ | (113,231 | ) | |||||||||||||||||||||||
| SPDR Barclays TIPS ETF |
149,424 | 8,303,492 | 4,159,492 | 75,051 | 8,940,224 | 160,474 | 64,001 | 3,669,817 | 58,383 | (628,895 | ) | |||||||||||||||||||||||||||||
| SPDR EURO STOXX 50 ETF |
— | — | 3,620,474 | 102,028 | 2,544,373 | 67,462 | 34,566 | 1,495,671 | 45,586 | 92,958 | ||||||||||||||||||||||||||||||
| SPDR Russell/Nomura PRIME Japan ETF |
— | — | 2,078,506 | 45,334 | 1,955,849 | 45,334 | — | — | — | (122,657 | ) | |||||||||||||||||||||||||||||
| SPDR S&P Emerging Markets Dividend ETF |
224,002 | 8,693,517 | 3,465,521 | 86,091 | 8,054,024 | 208,936 | 101,157 | 4,055,384 | 189,965 | (1,171,169 | ) | |||||||||||||||||||||||||||||
| SPDR S&P Global Infrastructure 100 ETF |
249,730 | 10,158,767 | 431,227 | 9,645 | 7,590,899 | 177,894 | 81,481 | 4,145,753 | 148,344 | 267,366 | ||||||||||||||||||||||||||||||
| SPDR S&P International Dividend ETF |
236,886 | 10,340,074 | 1,199,492 | 25,592 | 6,557,642 | 143,486 | 118,992 | 6,104,290 | 337,915 | (64,080 | ) | |||||||||||||||||||||||||||||
| SPDR S&P International Telecommunications Sector ETF |
106,930 | 2,476,499 | 52,408 | 2,099 | 2,739,890 | 109,029 | — | — | 3,376 | 266,963 | ||||||||||||||||||||||||||||||
| SPDR STOXX Europe 50 ETF |
152,694 | 5,041,956 | 3,360,878 | 89,799 | 3,114,929 | 88,041 | 154,452 | 6,080,775 | 286,944 | 304,684 | ||||||||||||||||||||||||||||||
| SPDR Barclays Emerging Markets Local Bond ETF |
175,002 | 5,188,809 | 1,409,025 | 47,708 | 3,685,982 | 123,682 | 99,028 | 3,091,654 | 60,196 | (235,765 | ) | |||||||||||||||||||||||||||||
| SPDR Barclays International Corporate Bond ETF |
122,066 | 4,192,967 | 3,569,547 | 97,359 | 5,759,898 | 164,211 | 55,214 | 2,087,090 | 19,913 | (65,775 | ) | |||||||||||||||||||||||||||||
| SPDR Dow Jones International Real Estate ETF |
214,867 | 8,573,193 | 3,601,990 | 85,882 | 6,756,493 | 164,292 | 136,457 | 6,036,858 | 272,279 | (109,865 | ) | |||||||||||||||||||||||||||||
| SPDR Dow Jones REIT ETF |
81,004 | 6,152,254 | 4,003,611 | 52,666 | 3,659,114 | 47,292 | 86,378 | 7,169,374 | 190,950 | 162,566 | ||||||||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund |
620,536 | 620,536 | 15,286,330 | 15,286,330 | 15,387,587 | 15,387,587 | 519,279 | 519,279 | 330 | — | ||||||||||||||||||||||||||||||
| SPDR SSgA Global Allocation Portfolio |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| SPDR S&P 500 ETF Trust |
44,700 | $ | 7,152,447 | $ | 14,161,228 | 75,925 | $ | 3,472,866 | 20,487 | 100,138 | $ | 19,599,009 | $ | 205,639 | $ | 236,276 | ||||||||||||||||||||||||
| SPDR S&P 500 Growth ETF |
— | — | 3,815,353 | 44,035 | 2,041,293 | 22,552 | 21,483 | 1,954,309 | 12,304 | 59,164 | ||||||||||||||||||||||||||||||
| SPDR S&P 500 Value ETF |
18,869 | 1,550,088 | 3,364,887 | 36,342 | 5,248,480 | 55,211 | — | — | 26,413 | 367,410 | ||||||||||||||||||||||||||||||
| SPDR S&P 600 Small Cap ETF |
18,111 | 1,572,578 | 2,811,832 | 28,070 | 4,710,915 | 46,181 | — | — | 46,400 | 493,404 | ||||||||||||||||||||||||||||||
| SPDR S&P Dividend ETF |
8,746 | 579,860 | 363,955 | 5,087 | 1,005,193 | 13,833 | — | — | 17,046 | 127,012 | ||||||||||||||||||||||||||||||
| SPDR S&P MidCap 400 ETF Trust |
4,927 | 1,036,542 | 1,024,890 | 4,248 | 369,174 | 1,571 | 7,604 | 1,981,298 | 17,026 | 45,330 | ||||||||||||||||||||||||||||||
| SPDR Wells Fargo Preferred Stock ETF |
59,176 | 2,572,381 | 95,350 | 2,210 | 2,593,705 | 61,386 | — | — | — | (203,575 | ) | |||||||||||||||||||||||||||||
| The Consumer Discretionary Select Sector SPDR Fund |
18,730 | 1,056,372 | 1,066,581 | 16,698 | 2,336,130 | 35,428 | — | — | 13,071 | 269,749 | ||||||||||||||||||||||||||||||
| The Financial Select Sector SPDR Fund |
53,233 | 1,037,511 | 1,208,672 | 61,181 | 2,353,035 | 114,414 | — | — | — | 187,025 | ||||||||||||||||||||||||||||||
| The Health Care Select Sector SPDR Fund |
— | — | 4,372,948 | 78,829 | 2,470,404 | 46,105 | 32,724 | 1,990,601 | 16,692 | 57,142 | ||||||||||||||||||||||||||||||
| The Industrial Select Sector SPDR Fund |
— | 4,489,014 | 91,911 | 2,852,988 | 56,674 | 35,237 | 1,904,912 | 26,952 | 154,736 | |||||||||||||||||||||||||||||||
| The Technology Select Sector SPDR Fund |
— | — | 3,040,736 | 87,166 | 1,260,630 | 36,027 | 51,139 | 1,961,181 | 16,148 | 36,205 | ||||||||||||||||||||||||||||||
| SPDR Barclays Aggregate Bond ETF |
109,790 | 6,243,757 | 6,964,534 | 122,557 | 10,287,967 | 181,398 | 50,949 | 2,953,004 | 120,251 | (165,245 | ) | |||||||||||||||||||||||||||||
| SPDR Barclays High Yield Bond ETF |
25,999 | 1,026,701 | 6,165,114 | 153,399 | 5,407,791 | 132,289 | 47,109 | 1,965,858 | 219,591 | 79,120 | ||||||||||||||||||||||||||||||
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Table of Contents
SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2014
| SPDR SSgA Global Allocation |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| SPDR Barclays Intermediate Term Corporate Bond ETF |
46,629 | $ | 1,566,035 | $ | 174,705 | 5,168 | $ | 1,743,136 | 51,797 | — | $ | — | $ | 11,014 | $ | (41,220 | ) | |||||||||||||||||||||||
| SPDR Barclays Long Term Corporate Bond ETF |
28,079 | 1,059,982 | 5,058,524 | 127,452 | 338,070 | 8,953 | 146,578 | 5,951,067 | 69,760 | (9,080 | ) | |||||||||||||||||||||||||||||
| SPDR Barclays Short Term High Yield Bond ETF |
17,294 | 521,933 | 521,172 | 17,294 | — | — | 2,312 | (10,366 | ) | |||||||||||||||||||||||||||||||
| SPDR Barclays TIPS ETF |
32,448 | 1,803,136 | 3,348,438 | 60,286 | 1,803,752 | 32,102 | 60,632 | 3,476,639 | 48,124 | (112,771 | ) | |||||||||||||||||||||||||||||
| SPDR DB International Government Inflation-Protected Bond ETF |
13,281 | 764,587 | 1,277,301 | 21,602 | 664,285 | 11,015 | 23,868 | 1,480,055 | 33,384 | (20,157 | ) | |||||||||||||||||||||||||||||
| SPDR EURO STOXX 50 ETF |
— | — | 3,483,693 | 83,537 | 746,012 | 18,164 | 65,373 | 2,828,690 | 65,712 | (10,695 | ) | |||||||||||||||||||||||||||||
| SPDR Russell/Nomura PRIME Japan ETF |
63,112 | 2,698,669 | 5,355,687 | 119,876 | 4,204,073 | 96,814 | 86,174 | 4,002,782 | 49,351 | (112,844 | ) | |||||||||||||||||||||||||||||
| SPDR S&P Emerging Markets ETF |
26,308 | 1,568,220 | 6,530,782 | 101,444 | 3,438,301 | 55,706 | 72,046 | 4,871,390 | 57,763 | (64,069 | ) | |||||||||||||||||||||||||||||
| SPDR S&P International Small Cap ETF |
53,091 | 1,531,144 | 1,498,797 | 45,040 | 428,341 | 13,462 | 84,669 | 2,990,509 | 56,814 | 41,962 | ||||||||||||||||||||||||||||||
| SPDR S&P World ex-US ETF |
378,827 | 9,519,923 | 10,599,872 | 369,289 | 3,047,006 | 110,017 | 638,099 | 19,315,257 | 472,824 | 213,465 | ||||||||||||||||||||||||||||||
| SPDR STOXX Europe 50 ETF |
30,060 | 992,581 | 2,610,256 | 69,154 | 987,109 | 26,102 | 73,112 | 2,878,419 | 128,138 | 33,137 | ||||||||||||||||||||||||||||||
| SPDR Barclays Emerging Markets Local Bond ETF |
1,014 | 30,065 | — | — | 29,906 | 1,014 | — | — | — | (646 | ) | |||||||||||||||||||||||||||||
| SPDR Barclays International Corporate Bond ETF |
44,149 | 1,516,518 | 2,417,323 | 66,411 | 3,074,615 | 84,397 | 26,163 | 988,961 | 24,104 | 31,302 | ||||||||||||||||||||||||||||||
| SPDR Barclays International Treasury Bond ETF |
8,626 | 485,472 | 2,627,133 | 45,234 | 2,196,474 | 37,558 | 16,302 | 990,999 | 19,529 | 9,362 | ||||||||||||||||||||||||||||||
| SPDR Dow Jones International Real Estate ETF |
25,764 | 1,027,983 | 4,250,716 | 101,032 | 256,949 | 6,105 | 120,691 | 5,339,370 | 127,187 | 19,179 | ||||||||||||||||||||||||||||||
| SPDR Dow Jones REIT ETF |
13,662 | 1,037,629 | 5,247,487 | 67,222 | 350,032 | 4,585 | 76,299 | 6,332,817 | 107,618 | 8,261 | ||||||||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund |
1,648,718 | 1,648,718 | 17,012,952 | 17,012,952 | 16,605,966 | 16,605,966 | 2,055,704 | 2,055,704 | 923 | — | ||||||||||||||||||||||||||||||
| Blackstone/GSO Senior Loan |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund |
96,122,680 | $ | 96,122,680 | $ | 345,553,142 | 345,553,142 | $ | 401,990,163 | 401,990,163 | 39,685,659 | $ | 39,685,659 | $ | 52,102 | $ | — | ||||||||||||||||||||||||
| SSgA Ultra Short Term Bond |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund |
— | $ | — | $ | 8,138,786 | 8,138,786 | $ | 7,620,235 | 7,620,235 | 518,551 | $ | 518,551 | $ | 154 | $ | — | ||||||||||||||||||||||||
| SSgA MFS Systematic Core Equity |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund |
— | $ | — | $ | 89,468 | 89,468 | $ | 30,863 | 30,863 | 58,605 | $ | 58,605 | $ | 18 | $ | — | ||||||||||||||||||||||||
| SSgA MFS Systematic Growth Equity |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund |
— | $ | — | $ | 99,457 | 99,457 | $ | 23,481 | 23,481 | 75,976 | $ | 75,976 | $ | 18 | $ | — | ||||||||||||||||||||||||
38
Table of Contents
SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2014
| SSgA MFS Systematic Value Equity |
Number of Shares Held at 6/30/13 |
Value at 6/30/13 |
Purchased | Sold | Number of Shares Held at 6/30/14 |
Value at 6/30/14 |
Dividend Income |
Realized Gain (Loss) |
||||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
| State Street Institutional Liquid |
— | $ | — | $ | 109,589 | 109,589 | $ | 28,229 | 28,229 | 81,360 | $ | 81,360 | $ | 17 | $ | — | ||||||||||||||||||||||||
| 4. | Aggregate Unrealized Appreciation and Depreciation |
The identified cost of investments in securities owned by each Portfolio for federal income tax purposes and the gross unrealized appreciation and depreciation at June 30, 2014, was as follows:
| Identified Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| SSgA Multi-Asset Real Return Portfolio |
$ | 158,270,064 | $ | 6,363,843 | $ | — | $ | 6,363,843 | ||||||||
| SSgA Income Allocation Portfolio |
98,914,488 | 5,114,694 | — | 5,114,694 | ||||||||||||
| SSgA Global Allocation Portfolio |
92,100,965 | 6,389,387 | — | 6,389,387 | ||||||||||||
| Blackstone / GSO Senior Loan Portfolio |
608,861,258 | 1,614,848 | — | 1,614,848 | ||||||||||||
| SSgA Ultra Short Term Bond Portfolio |
14,024,449 | 10,479 | — | 10,479 | ||||||||||||
| SSgA MFS Systematic Core Equity Portfolio |
5,086,567 | 290,337 | — | 290,337 | ||||||||||||
| SSgA MFS Systematic Growth Equity Portfolio |
5,027,567 | 343,934 | — | 343,934 | ||||||||||||
| SSgA MFS Systematic Value Equity Portfolio |
5,023,094 | 262,168 | — | 262,168 | ||||||||||||
| 5. | Investment Transactions |
For the year ended June 30, 2014, the Portfolios had purchases and sales of investment securities as follows:
| Purchases | Sales | |||||||||||||||
| Short Term | Long Term | Short Term | Long Term | |||||||||||||
| SSgA Multi-Asset Real Return Portfolio |
$ | 11,579,921 | $ | 141,552,018 | $ | 11,400,363 | $ | 112,334,428 | ||||||||
| SSgA Income Allocation Portfolio |
15,286,330 | 75,202,155 | 15,387,587 | 154,034,826 | ||||||||||||
| SSgA Global Allocation Portfolio |
17,012,952 | 107,425,808 | 16,605,966 | 70,239,802 | ||||||||||||
| Blackstone / GSO Senior Loan Portfolio |
345,553,142 | 914,589,368 | 401,990,163 | 602,355,311 | ||||||||||||
| SSgA Ultra Short Term Bond Portfolio |
8,138,786 | 19,080,114 | 7,620,235 | 4,214,817 | ||||||||||||
| SSgA MFS Systematic Core Equity Portfolio |
89,468 | 6,326,832 | 30,863 | 1,371,300 | ||||||||||||
| SSgA MFS Systematic Growth Equity Portfolio |
99,457 | 5,975,143 | 23,481 | 1,038,747 | ||||||||||||
| SSgA MFS Systematic Value Equity Portfolio |
109,589 | 6,183,027 | 28,230 | 1,248,124 | ||||||||||||
For the year ended June 30, 2014, the Portfolios had purchases and sales of U.S. Government obligations as follows:
| Purchases | Sales | |||||||||||||||
| Short Term | Long Term | Short Term | Long Term | |||||||||||||
| SSgA Ultra Short Term Bond Portfolio |
$ | 1,751,168 | $ | — | $ | 1,751,154 | $ | — | ||||||||
For the year ended June 30, 2014, the Trust did not pay any commissions to an affiliate of the Adviser for investment transactions.
| 6. | Concentration of Risk |
Although the Portfolios do not intend to concentrate their investments in any particular industry, if a Portfolio concentrates in a single industry, group of industries or type of instrument, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry, group of industries or type of instrument.
39
Table of Contents
SSgA MASTER TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Owners of Beneficial Interest and Board of Trustees of
SSgA Master Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SSgA Master Trust (comprising, respectively, SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSgA Ultra Short Term Bond Portfolio, SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Value Equity Portfolio and SSgA MFS Systematic Growth Equity Portfolio) (collectively, the “Portfolios”) as of June 30, 2014, and the related statements of operations, changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2014 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above mentioned Portfolios of SSgA Master Trust at June 30, 2014, and the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 28, 2014
40
Table of Contents
OTHER INFORMATION
June 30, 2014 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.spdrs.com.
Quarterly Portfolio Schedule
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.
Approval of Advisory Agreements
At in-person meetings held prior to June 30, 2014, the Board of Trustees of the Trusts (the “Board”) evaluated various proposals related to advisory arrangements for certain new series of the Trusts, including a proposal to approve separate Investment Advisory Agreements (the “Agreements”) between SSgA Funds Management, Inc. (the “Adviser”) and (1) the SSgA Active ETF Trust with respect to the SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF (the “New ETFs”) and (2) SSgA Master Trust with respect to the New ETFs’ corresponding master funds, the SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Growth Equity Portfolio and SSgA MFS Systematic Value Equity Portfolio (together with the New ETFs, the “New Funds”), each of which commenced operations during the most recent fiscal half-year period covered by this Annual Report. The Trustees who are not “interested persons” of the Trusts within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”) also met separately with their independent legal counsel to consider the Agreements.
In evaluating the Agreements, the Board drew on materials provided to them by the Adviser and on other materials provided by State Street Bank and Trust Company, the Trusts’ Administrator, Transfer Agent and Custodian (“State Street”). In deciding whether to approve the Agreements, the Board considered various factors, including the (i) nature, extent and quality of services to be provided by the Adviser with respect to the New Funds under the Agreements, (ii) costs to the Adviser of its services, and (iii) extent to which economies of scale would be realized if and as the New Funds grow and whether the fees in the Agreements reflects these economies of scale.
The Board considered the nature, extent and quality of services expected to be provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trusts and materials provided prior to and at the meeting. The Board reviewed the Agreements and the Adviser’s anticipated responsibilities for managing investment operations of the New Funds, in accordance with the New Funds’ investment objectives, investment policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the New ETFs, as an exchange-traded fund in a master-feeder structure, and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for oversight of the sub-adviser for, and compliance of, the New Funds. The Board also considered the portfolio oversight resources, structures and practices of the Adviser, including those associated with monitoring and securing each New Funds’ compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment business and that of its affiliates which make up State Street Global Advisors, through which the Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for ETFs. The Board also considered the Adviser’s experience in active management, in overseeing third-party sub-advisers and in managing exchange-traded funds in master-feeder structures.
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SSgA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2014 (Unaudited)
The Board considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trusts, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trusts’ brokerage transactions.
The Board reviewed information regarding economies of scale or other efficiencies that may result as each New Fund’s assets grow in size. The Board noted that the Agreements did not provide for breakpoints in the each New Fund’s advisory fee rates as assets of a New Fund increase. However, the Board further noted the Adviser’s assertion that future economies of scale (among several factors) had been taken into consideration for the New Funds by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the New Fund from inception. The Board noted that it intends to continue to monitor fees as the New Funds grow in size and assess whether fee breakpoints may be warranted.
The Board evaluated the New ETFs’ unitary fee through review of comparative information with respect to fees paid by similar funds — i.e., exchange-traded funds that are actively managed, as applicable. The Board reviewed the universe of similar exchange-traded funds for the New ETFs based upon data from Lipper Analytical Services and related comparative information for similar ETFs. The Board also reviewed the fee structure of the New Funds in connection with the master-feeder structure.
The Board, including the Independent Trustees voting separately, approved the Agreements for each New Fund after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to each Agreements were as follows: (a) the nature and extent of the services expected to be provided by the Adviser with respect to the New Funds were appropriate; (b) the Adviser’s fee for the New Funds and the unitary fee, considered in relation to services expected to be provided, were fair and reasonable; (c) any additional benefits to the Adviser or its affiliates were not of a magnitude materially to affect the Board’s conclusions; and (d) fees expected to be paid to the Adviser were expected to share economies of scale with respect to the New Funds by way of the relatively low fee structure of the Trusts.
At in-person meetings held prior to June 30, 2014, the Board also considered the approval of separate Sub-Advisory Agreements (the “MFS Sub-Advisory Agreements”) between the Adviser and MFS Investment Management (“MFS”) with respect to the New Funds.
In evaluating the MFS Sub-Advisory Agreements, the Board drew on materials provided to them by MFS and the Adviser. In deciding whether to approve the MFS Sub-Advisory Agreements, the Board considered various factors, including: (i) the nature, extent and quality of services expected to be provided by MFS with respect to the New Funds under the MFS Sub-Advisory Agreements; and (ii) investment performance of other actively managed mandates managed by MFS. The Board was apprised of the portion of the current advisory fee that the Adviser would pay to MFS under the MFS Sub-Advisory Agreements and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the New Funds.
The Board considered the background and experience of MFS’s senior management and in particular MFS’s experience in investing in equity securities. The Board noted that MFS would bring significant actively managed equity experience to bear in managing the New Funds. The Board noted that MFS has extensive experience in managing equity securities and reviewed MFS’s assets under management in similar portfolios of securities.
The Board, including the Independent Trustees voting separately, approved the MFS Sub-Advisory Agreements for the New Funds after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to the Agreements were as follows: (a) the nature and extent of the services expected to be provided by MFS to the New Funds were adequate and appropriate; and (b) MFS’s experience in managing equity securities is extensive; (c) MFS’s fees for the New Funds and the unitary fee, considered in relation to the services provided or expected to be provided, were fair and reasonable; (d) any additional benefits to MFS was not of a magnitude to materially affect the Board’s conclusions; and (e) fees expected to be paid to MFS were expected to share economies of scale with the New Funds.
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SSgA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2014
TRUSTEES AND OFFICERS OF THE TRUST
| Name, Address |
Position(s) |
Term of |
Principal |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other | |||||||
| Independent Trustees |
||||||||||||
| FRANK NESVET |
Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since September 2000 |
Chief Executive Officer, Libra Group, Inc. (1998-present) (a financial services consulting company). | 179 | SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee); SPDR Series Trust (Trustee). | |||||||
| DAVID M. KELLY |
Independent Trustee, Audit Committee Chair |
Term: Unlimited Served: since September 2000 |
Retired. | 179 | SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee); SPDR Series Trust (Trustee). | |||||||
| BONNY EUGENIA BOATMAN |
Independent Trustee | Term: Unlimited Served: since April 2010 |
Retired (2005-present); Managing Director, Columbia Management Group, Bank of America (1984-2005). |
179 | SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee); SPDR Series Trust (Trustee). | |||||||
| DWIGHT D. CHURCHILL |
Independent Trustee | Term: Unlimited Served: since April 2010 |
Chief Executive Officer and President, CFA Institute (2014-present); Self-employed consultant since 2010; Head of Fixed Income and other Senior Management roles, Fidelity Investments (1993-2009). | 179 | SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee); SPDR Series Trust (Trustee); Affiliated Managers Group, Inc. (Director). | |||||||
| CARL G. VERBONCOEUR |
Independent Trustee | Term: Unlimited Served: since April 2010 |
Self-employed consultant since 2009; Chief Executive Officer, Rydex Investments (2003-2009). | 179 | The Motley Fool Funds Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee); SPDR Series Trust (Trustee). | |||||||
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SSgA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2014
| Name, Address |
Position(s) |
Term of |
Principal |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other | |||||||
| Interested Trustee |
||||||||||||
| JAMES E. ROSS* |
Interested Trustee |
Term: Unlimited Served: since April 2010 |
Chairman and Director, SSgA Funds Management Inc. (2005-present); President, SSgA Funds Management Inc. (2005-2012); Senior Managing Director and Principal, State Street Global Advisors (2006-present).** | 209 | SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee); SPDR Series Trust (Trustee); The Select Sector SPDR Trust (Trustee); State Street Master Funds (Trustee); and State Street Institutional Investment Trust (Trustee). | |||||||
| * | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
| ** | Served in various capacities and/or with affiliated companies during noted time period. |
OFFICERS
| Name, Address |
Position(s) with Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past 5 Years | |||
| ELLEN M. NEEDHAM |
President | Term: Unlimited Served: since October 2012 |
President and Director, SSgA Funds Management, Inc. (June 2012-present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010-June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992-2012)*; Senior Managing Director, State Street Global Advisors (1992-present).* | |||
| ANN M. CARPENTER |
Vice President | Term: Unlimited Served: since August 2012 |
Chief Operating Officer, SSgA Funds Management, Inc. (April 2014-present); Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2005-present).* | |||
| MICHAEL P. RILEY |
Vice President | Term: Unlimited Served: since February 2005 |
Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-present); Principal, State Street Global Advisors and SSgA Funds Management, Inc. (2005-2008). |
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SSgA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2014
| Name, Address |
Position(s) with Funds |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past 5 Years | |||
| CHRISTOPHER A. MADDEN |
Secretary | Term: Unlimited Served: since August 2013 |
Vice President and Senior Counsel, State Street Bank and Trust Company (2013-present); Counsel, Atlantic Fund Services (2009-2013); Vice President, Citigroup Fund Services, LLC (2005-2009).* | |||
| DANIO MASTROPIERI |
Assistant Secretary | Term: Unlimited Served: since August 2013 |
Vice President and Counsel, State Street Bank and Trust Company (2013-present); Vice President, Citi Fund Services Ohio, Inc. (2007-2013).*, ** | |||
| CHAD C. HALLETT |
Treasurer | Term: Unlimited Served: since November 2010 |
Vice President, State Street Bank and Trust Company (2001-present).* | |||
| MATTHEW FLAHERTY |
Assistant Treasurer | Term: Unlimited Served: since May 2005 |
Vice President, State Street Bank and Trust Company (1994-present).* | |||
| LAURA F. DELL |
Assistant Treasurer | Term: Unlimited Served: since November 2007 |
Vice President, State Street Bank and Trust Company (2002-present).* | |||
| BRIAN HARRIS |
Chief Compliance Officer | Term: Unlimited Served: since November 2013 |
Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010). |
| * | Served in various capacities and/or with various affiliated entities during noted time period. |
| ** | Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 1-866-787-2257.
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The SPDR® Family of Exchange Traded Funds
The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. Please call 1-866-787-2257 to obtain a prospectus for any SPDR ETF. The prospectus contains more complete information, including charges, expenses, investment objectives and risk factors that should be carefully considered to determine if the Fund(s) are an appropriate investment for you. Read the prospectus(es) carefully before investing. Investing involves risk, including possible loss of principal.
SPDR Series Trust
SPDR Russell 3000® ETF (THRK)
SPDR Russell 1000® ETF (ONEK)
SPDR Russell 2000® ETF (TWOK)
SPDR S&P 500 Growth ETF (SPYG)
SPDR S&P 500 Value ETF (SPYV)
SPDR Russell Small Cap Completeness ETF (RSCO)
SPDR S&P 400 Mid Cap Growth ETF (MDYG)
SPDR S&P 400 Mid Cap Value ETF (MDYV)
SPDR S&P 600 Small Cap ETF (SLY)
SPDR S&P 600 Small Cap Growth ETF (SLYG)
SPDR S&P 600 Small Cap Value ETF (SLYV)
SPDR Global Dow ETF (DGT)
SPDR Dow Jones REIT ETF (RWR)
SPDR S&P Bank ETF (KBE)
SPDR S&P Capital Markets ETF (KCE)
SPDR S&P Insurance ETF (KIE)
SPDR S&P Mortgage Finance ETF (KME)
SPDR S&P Regional Banking ETF (KRE)
SPDR Morgan Stanley Technology ETF (MTK)
SPDR S&P Dividend ETF (SDY)
SPDR S&P Aerospace & Defense ETF (XAR)
SPDR S&P Biotech ETF (XBI)
SPDR S&P Health Care Equipment ETF (XHE)
SPDR S&P Health Care Services ETF (XHS)
SPDR S&P Homebuilders ETF (XHB)
SPDR S&P Metals & Mining ETF (XME)
SPDR S&P Oil & Gas Equipment & Services ETF (XES)
SPDR S&P Oil & Gas Exploration & Production ETF (XOP)
SPDR S&P Pharmaceuticals ETF (XPH)
SPDR S&P Retail ETF (XRT)
SPDR S&P Semiconductor ETF (XSD)
SPDR S&P Software & Services ETF (XSW)
SPDR S&P Telecom ETF (XTL)
SPDR S&P Transportation ETF (XTN)
SPDR S&P 1500 Value Tilt ETF (VLU)
SPDR S&P 1500 Momentum Tilt ETF (MMTM)
SPDR Russell 1000 Low Volatility ETF (LGLV)
SPDR Russell 2000 Low Volatility ETF (SMLV)
SPDR Wells Fargo Preferred Stock ETF (PSK)
SPDR Barclays 1-3 Month T-Bill ETF (BIL)
SPDR Barclays TIPS ETF (IPE)
SPDR Barclays 0-5 Year TIPS ETF (SIPE)
SPDR Barclays 1-10 Year TIPS ETF (TIPX)
SPDR Barclays Short Term Treasury ETF (SST)
SPDR Barclays Intermediate Term Treasury ETF (ITE)
SPDR Barclays Long Term Treasury ETF (TLO)
SPDR Barclays Short Term Corporate Bond ETF (SCPB)
SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)
SPDR Barclays Long Term Corporate Bond ETF (LWC)
SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)
SPDR Barclays Convertible Securities ETF (CWB)
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SPDR Barclays Mortgage Backed Bond ETF (MBG)
SPDR Barclays Aggregate Bond ETF (LAG)
SPDR Nuveen Barclays Municipal Bond ETF (TFI)
SPDR Nuveen Barclays California Municipal Bond ETF (CXA)
SPDR Nuveen Barclays New York Municipal Bond ETF (INY)
SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)
SPDR Nuveen S&P VRDO Municipal Bond ETF (VRD)
SPDR Nuveen S&P High Yield Municipal Bond ETF (HYMB)
SPDR Nuveen Barclays Build America Bond ETF (BABS)
SPDR DB International Government Inflation-Protected Bond ETF (WIP)
SPDR Barclays Short Term International Treasury Bond ETF (BWZ)
SPDR Barclays International Treasury Bond ETF (BWX)
SPDR Barclays International Corporate Bond ETF (IBND)
SPDR Barclays Emerging Markets Local Bond ETF (EBND)
SPDR Barclays International High Yield Bond ETF (IJNK)
SPDR Barclays High Yield Bond ETF (JNK)
SPDR Barclays Short Term High Yield Bond ETF (SJNK)
SPDR Barclays Investment Grade Floating Rate ETF (FLRN)
SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF (EMCD)
SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (XOVR)
SPDR Index Shares Funds
SPDR STOXX Europe 50 ETF (FEU)
SPDR EURO STOXX 50 ETF (FEZ)
SPDR EURO STOXX Small Cap ETF (SMEZ)
SPDR S&P Emerging Asia Pacific ETF (GMF)
SPDR S&P Small Cap Emerging Asia Pacific ETF (GMFS)
SPDR S&P Russia ETF (RBL)
SPDR S&P China ETF (GXC)
SPDR S&P Emerging Markets ETF (GMM)
SPDR S&P Emerging Markets Dividend ETF (EDIV)
SPDR S&P BRIC 40 ETF (BIK)
SPDR S&P Emerging Europe ETF (GUR)
SPDR S&P Emerging Latin America ETF (GML)
SPDR S&P Emerging Middle East & Africa ETF (GAF)
SPDR S&P World ex-US ETF (GWL)
SPDR S&P International Small Cap ETF (GWX)
SPDR Dow Jones International Real Estate ETF (RWX)
SPDR S&P Global Infrastructure ETF (GII)
SPDR S&P Global Natural Resources ETF (GNR)
SPDR MSCI ACWI ex-US ETF (CWI)
SPDR MSCI ACWI IMI ETF (ACIM)
SPDR MSCI EM 50 ETF (EMFT)
SPDR MSCI EM Beyond BRIC ETF (EMBB)
SPDR MSCI EAFE Quality Mix ETF (QEFA)
SPDR MSCI Emerging Markets Quality Mix ETF (QEMM)
SPDR MSCI World Quality Mix ETF (QWLD)
SPDR MSCI Australia Quality Mix ETF (QAUS)
SPDR MSCI Canada Quality Mix ETF (QCAN)
SPDR MSCI Germany Quality Mix ETF (QDEU)
SPDR MSCI Japan Quality Mix ETF (QJPN)
SPDR MSCI Spain Quality Mix ETF (QESP)
SPDR MSCI United Kingdom Quality Mix ETF (QGBR)
SPDR Russell/Nomura PRIMETM Japan ETF (JPP)
SPDR Russell/Nomura Small CapTM Japan ETF (JSC)
SPDR S&P Global Dividend ETF (WDIV)
SPDR S&P International Dividend ETF (DWX)
SPDR S&P International Mid Cap ETF (MDD)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
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SPDR Dow Jones Global Real Estate ETF (RWO)
SPDR S&P International Consumer Discretionary Sector ETF (IPD)
SPDR S&P International Consumer Staples Sector ETF (IPS)
SPDR S&P International Energy Sector ETF (IPW)
SPDR S&P International Financial Sector ETF (IPF)
SPDR S&P International Health Care Sector ETF (IRY)
SPDR S&P International Industrial Sector ETF (IPN)
SPDR S&P International Materials Sector ETF (IRV)
SPDR S&P International Technology Sector ETF (IPK)
SPDR S&P International Telecommunications Sector ETF (IST)
SPDR S&P International Utilities Sector ETF (IPU)
The Select Sector SPDR Trust
The Consumer Discretionary Select Sector SPDR Fund (XLY)
The Consumer Staples Select Sector SPDR Fund (XLP)
The Energy Select Sector SPDR Fund (XLE)
The Financial Select Sector SPDR Fund (XLF)
The Health Care Select Sector SPDR Fund (XLV)
The Industrial Select Sector SPDR Fund (XLI)
The Materials Select Sector SPDR Fund (XLB)
The Technology Select Sector SPDR Fund (XLK)
The Utilities Select Sector SPDR Fund (XLU)
SSgA Active ETF Trust
SPDR SSgA Multi-Asset Real Return ETF (RLY)
SPDR SSgA Income Allocation ETF (INKM)
SPDR SSgA Global Allocation ETF (GAL)
SPDR Blackstone/GSO Senior Loan ETF (SRLN)
SPDR SSgA Ultra Short Term Bond ETF (ULST)
SPDR MFS Systematic Core Equity ETF (SYE)
SPDR MFS Systematic Growth Equity ETF (SYG)
SPDR MFS Systematic Value Equity ETF (SYV)
SPDR Dow Jones Industrial Average ETF Trust (DIA)
SPDR S&P 500 ETF Trust (SPY)
State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust, SPDR Index Shares Funds, and SSgA Active ETF Trust. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR S&P 500 ETF Trust (SPY) and SPDR Dow Jones Industrial Average ETF Trust (DIA), both unit investment trusts. ALPS Portfolio Solutions Distributor, Inc. is the distributor for all investment portfolios of The Select Sector SPDR Trust.
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SSgA Master Trust
TRUSTEES
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
OFFICERS
Ellen M. Needham, President
Ann Carpenter, Vice President
Michael P. Riley, Vice President
Chad C. Hallett, Treasurer
Matthew W. Flaherty, Assistant Treasurer
Laura F. Dell, Assistant Treasurer
Christopher A. Madden, Secretary
Danio Mastropieri, Assistant Secretary
Brian Harris, Chief Compliance Officer
INVESTMENT MANAGER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
LEGAL COUNSEL
Bingham McCutchen LLP
2020 K Street, NW
Washington, DC 20006
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
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Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 12(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has five Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”
(2) Bonny Boatman, Dwight Churchill, David M. Kelly, Frank Nesvet and Carl Verboncoeur are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the fiscal years ending June 30, 2014 and June 30, 2013, the aggregate audit fees billed for professional services rendered by the principal accountant were $132,606 and $68,370, respectively. Audit fees include the performance of the annual audits, security counts performed during the course of the period for each series of the registrant and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal years ending June 30, 2014 and June 30, 2013, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal years ending June 30, 2014 and June 30, 2013, the aggregate tax fees billed for professional services rendered by the principal accountant were $98,880 and $49,440, respectively. Tax fees represent services related to the review of year-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant.
(d) All Other Fees.
There were no other fees billed by the principal accountant for the fiscal years ending June 30, 2014 and June 30, 2013.
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(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:
| a. | The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
| b. | The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
| c. | De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
| d. | Pre-Approval of Non-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved. |
| e. | Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person). |
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(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
| (f) | Not applicable. |
(g) The aggregate non-audit fees billed for by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
| FY 2014 (in millions) |
FY 2013 (in millions) |
|||||||
| Non audit services billed to: |
||||||||
| Registrant: |
See Item 4(c) | See Item 4(c) | ||||||
| Investment Adviser: |
— | — | ||||||
| Other entities in the Investment Company |
||||||||
| Audit Related Fees |
$ | 16.3 | $ | 15.9 | ||||
| Tax Fees |
4.7 | 3.9 | ||||||
| All Other Fees |
1.4 | 3.6 | ||||||
| (1) | Information is for the calendar years 2013 and 2012, respectively. |
| (2) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees consisted of advisory services related to certain regulatory initiatives. |
(h) The registrant’s principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.
Item 5. Disclosure of Audit Committees for Listed Companies.
The registrant has an audit committee which was established by the Board of Trustees of the Trust in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant’s audit committee are Bonny Boatman, Dwight Churchill, David M. Kelly, Frank Nesvet and Carl Verboncoeur
Item 6. Schedule of Investments.
(a) A Schedule of Investments for each series of the Registrant, is included as a part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the registrant.
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Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
Registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Chad C. Hallett, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Hallett determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission.
(b) In the registrant’s second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the registrant’s internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12. Exhibits.
(a)(1) Code of Ethics referred to in Item 2.
(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSgA Master Trust
| By: | /s/ Ellen M. Needham | |
| Ellen M. Needham | ||
| President and Principal Executive Officer | ||
| Date: | September 8, 2014 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Ellen M. Needham | |
| Ellen M. Needham | ||
| President and Principal Executive Officer | ||
| Date: | September 8, 2014 | |
| By: | /s/ Chad C. Hallett | |
| Chad C. Hallett | ||
| Treasurer and Principal Financial Officer | ||
| Date: | September 8, 2014 | |