N-CSR

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/SUM0703

Boston, Massachusetts 02111

(Name and address of agent for service)

Copy to:

W. John McGuire, Esq.

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Registrant’s telephone number, including area code: (617) 664-7037

Date of fiscal year end: June 30

Date of reporting period: June 30, 2016

Item 1. Reports to Shareholders.

SSGA Master Trust

Annual Report June 30, 2016

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

TABLE OF CONTENTS

Portfolio Summary
SSGA Multi-Asset Real Return Portfolio	1
SSGA Income Allocation Portfolio	2
SSGA Global Allocation Portfolio	3
Blackstone / GSO Senior Loan Portfolio	4
SSGA Ultra Short Term Bond Portfolio	5
State Street DoubleLine Total Return Tactical Portfolio	6
SSGA MFS Systematic Core Equity Portfolio	7
SSGA MFS Systematic Growth Equity Portfolio	8
SSGA MFS Systematic Value Equity Portfolio	9
State Street Risk Aware Portfolio	10
Schedules of Investments
SSGA Multi-Asset Real Return Portfolio	11
SSGA Income Allocation Portfolio	14
SSGA Global Allocation Portfolio	17
Blackstone / GSO Senior Loan Portfolio	20
SSGA Ultra Short Term Bond Portfolio	30
State Street DoubleLine Total Return Tactical Portfolio	34
SSGA MFS Systematic Core Equity Portfolio	52
SSGA MFS Systematic Growth Equity Portfolio	56
SSGA MFS Systematic Value Equity Portfolio	59
State Street Risk Aware Portfolio	63
Financial Statements	68
Financial Highlights	76
Notes to Financial Statements	86
Report of Independent Registered Public Accounting Firm	92
Other Information	93

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

SSGA MULTI-ASSET REAL RETURN PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	SPDR BARCLAYS TIPS ETF	POWERSHARES DB COMMODITY INDEX TRACKING FUND	SPDR S&P GLOBAL NATURAL RESOURCES ETF	SPDR DOW JONES REIT ETF	SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF
MARKET VALUE	$17,857,167	12,724,935	12,590,755	12,074,780	7,764,670
% OF NET ASSETS	22.1	15.7	15.6	14.9	9.6

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

ASSET ALLOCATION AS OF JUNE 30, 2016*

	PERCENT OF NET ASSETS
Commodities		17.7	%
Inflation Linked		29.1
Natural Resources		26.1
Real Estate		24.5
Short-Term Investment		2.6
Liabilities in Excess of Other Assets		(0.0	)**
TOTAL		100.0	%

* The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time.

** Amount shown represents less than 0.05% of net assets.

1

SSGA INCOME ALLOCATION PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	SPDR BARCLAYS HIGH YIELD BOND ETF	SPDR S&P DIVIDEND ETF	SPDR BARCLAYS LONG TERM CORPORATE BOND ETF	SPDR DOW JONES REIT ETF	SPDR BARCLAYS LONG TERM TREASURY ETF
MARKET VALUE	$12,554,762	11,560,064	10,699,180	9,840,687	9,787,608
% OF NET ASSETS	11.9	11.0	10.1	9.3	9.3

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

ASSET ALLOCATION AS OF JUNE 30, 2016*

	PERCENT OF NET ASSETS
Domestic Equity		20.7	%
Domestic Fixed Income		43.1
Inflation Linked		4.9
International Equity		11.1
Real Estate		15.1
Short-Term Investment		4.5
Other Assets in Excess of Liabilities		0.6
TOTAL		100.0	%

* The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time.

2

SSGA GLOBAL ALLOCATION PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	SPDR S&P WORLD EX-US ETF	SPDR S&P 500 GROWTH ETF	SPDR DOW JONES REIT ETF	SPDR BARCLAYS HIGH YIELD BOND ETF	POWERSHARES DB GOLD FUND
MARKET VALUE	$23,693,696	16,563,367	15,625,524	14,954,409	14,488,240
% OF NET ASSETS	13.2	9.2	8.7	8.3	8.1

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

ASSET ALLOCATION AS OF JUNE 30, 2016*

	PERCENT OF NET ASSETS
Commodities		8.1	%
Domestic Equity		19.5
Domestic Fixed Income		26.3
Inflation Linked		5.2
International Equity		18.4
Real Estate		14.7
Short-Term Investment		11.2
Liabilities in Excess of Other Assets		(3.4	)
TOTAL		100.0	%

* The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time.

3

BLACKSTONE / GSO SENIOR LOAN PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	AVAGO TECHNOLOGIES CAYMAN, LTD. SENIOR SECURED TERM LOAN B1 4.25% 02/01/2023	SCIENTIFIC GAMES INTERNATIONAL, INC. SENIOR SECURED TERM LOAN B2 6.00% 10/01/2021	ON SEMICONDUCTOR CORP. SENIOR SECURED TERM LOAN B 5.25% 03/31/2023	PETSMART, INC. SENIOR SECURED TERM LOAN B1 4.25% 03/11/2022	SERVICEMASTER CO. SENIOR SECURED TERM LOAN B 4.25% 07/01/2021
MARKET VALUE	$16,190,858	13,638,239	11,993,373	11,558,779	11,558,581
% OF NET ASSETS	2.0	1.7	1.5	1.5	1.4

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*

	PERCENT OF NET ASSETS
Software		10.2	%
Hotels, Restaurants & Leisure		7.7
Media		5.8
Semiconductors & Semiconductor Equipment		4.4
Commercial Services & Supplies		4.1
Pharmaceuticals		3.9
Health Care Providers & Services		3.6
Diversified Telecommunication Services		3.5
Insurance		3.2
Specialty Retail		3.1
Food & Staples Retailing		2.6
IT Services		2.5
Electronic Equipment, Instruments & Components		2.1
Aerospace & Defense		2.0
Internet Software & Services		2.0
Diversified Consumer Services		1.8
Professional Services		1.8
Containers & Packaging		1.7
Chemicals		1.6
Technology Hardware, Storage & Peripherals		1.6
Wireless Telecommunication Services		1.6
Diversified Financial Services		1.5
Health Care Services		1.5
Automobiles		1.4
Health Care Technology		1.4
Food Products		1.3
Airlines		1.1
Household Durables		1.1
Road & Rail		1.1
Telecommunications		1.1
Distributors		1.0
Life Sciences Tools & Services		0.9
Capital Markets		0.8
Entertainment		0.8
Packaging & Containers		0.7
Personal Products		0.7
Multiline Retail		0.6
Real Estate Management & Development		0.6
Trading Companies & Distributors		0.6
Biotechnology		0.5
Machinery		0.5
Building Products		0.4
Electric Utilities		0.4
Health Care Equipment & Supplies		0.4
Leisure Time		0.4
Household Products		0.3
Retail		0.3
Communications Equipment		0.2
Independent Power Producers & Energy Traders		0.2
Real Estate Investment Trusts (REITs)		0.2
Computers & Peripherals		0.1
Health Care Products		0.1
Internet		0.1
Food Service		0.0	**
Mining		0.0	**
Short-Term Investment		8.6
Liabilities in Excess of Other Assets		(1.7	)
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

** Amount shown represents less than 0.05% of net assets.

4

SSGA ULTRA SHORT TERM BOND PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	TREASURY NOTES 0.63% 05/31/2017	BA CREDIT CARD TRUST SERIES 2016-A1, CLASS A 0.84%  10/15/2021	TREASURY BILL 10/06/2016	HYUNDAI AUTO RECEIVABLES TRUST SERIES 2013-B, CLASS  A4 1.01% 02/15/2019	TOYOTA MOTOR CREDIT CORP. SERIES 2547 0.95% 01/12/2018
MARKET VALUE	$1,100,988	1,000,000	999,310	905,456	749,062
% OF NET ASSETS	4.6	4.2	4.2	3.8	3.1

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*

INDUSTRY	PERCENT OF NET ASSETS
Banks		25.5	%
Credit Card		14.7
Automobile		11.6
U.S. Treasury Obligations		11.3
Oil & Gas		6.6
Auto Manufacturers		6.4
Asset-Backed — Other		3.7
Beverages		3.1
Machinery, Construction & Mining		2.5
Machinery-Diversified		2.5
Software		2.1
Retail		1.7
Telecommunications		1.7
IT Services		1.5
Aerospace & Defense		1.0
Health Care Products		1.0
Pharmaceuticals		1.0
Internet		0.7
Semiconductors		0.6
Transportation		0.4
Short-Term Investment		2.0
Liabilities in Excess of Other Assets		(1.6	)
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

5

STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	TREASURY NOTES 1.38% 04/30/2020	TREASURY NOTES 2.00% 02/15/2025	FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.00% 07/01/2046	FEDERAL HOME LOAN MORTGAGE CORP. SERIES 4364, CLASS ZX, CMO, REMIC 4.00% 07/15/2044	TREASURY NOTES 1.75% 03/31/2022
MARKET VALUE	$69,694,811	62,959,568	50,305,679	42,120,741	41,847,436
% OF NET ASSETS	2.7	2.4	1.9	1.6	1.6

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*

	PERCENT OF NET ASSETS
U.S. Government Agency Obligations		41.3	%
Commercial Mortgage Backed Securities		17.3
U.S. Treasury Obligations		8.8
Banks		3.9
Asset-Backed Securities		1.5
Electric		1.4
Oil & Gas		1.2
Media		1.0
Telecommunications		1.0
Diversified Financial Services		0.8
Food		0.7
Health Care Services		0.5
Mining		0.5
Pharmaceuticals		0.5
Chemicals		0.4
Gas		0.4
Health Care Providers & Services		0.4
Investment Company Security		0.4
Pipelines		0.4
Real Estate Investment Trusts		0.4
Software		0.4
Aerospace & Defense		0.3
Commercial Services		0.3
Commercial Services & Supplies		0.3
Engineering & Construction		0.3
Food Products		0.3
Foreign Government Obligations		0.3
Forest Products & Paper		0.3
Hotels, Restaurants & Leisure		0.3
IT Services		0.3
Retail		0.3
Containers & Packaging		0.2
Insurance		0.2
Internet		0.2
Packaging & Containers		0.2
Semiconductors & Semiconductor Equipment		0.2
Advertising		0.1
Agriculture		0.1
Airlines		0.1
Auto Manufacturers		0.1
Auto Parts & Equipment		0.1
Beverages		0.1
Construction Materials		0.1
Diversified Telecommunication Services		0.1
Electric Utilities		0.1
Electronics		0.1
Entertainment		0.1
Environmental Control		0.1
Food & Staples Retailing		0.1
Holding Companies-Divers		0.1
Household Durables		0.1
Household Products		0.1
Internet Software & Services		0.1
Leisure Time		0.1
Machinery, Construction & Mining		0.1
Multiline Retail		0.1
Personal Products		0.1
Road & Rail		0.1
Specialty Retail		0.1
Technology Hardware, Storage & Peripherals		0.1
Trading Companies & Distributors		0.1
Transportation		0.1
Short-Term Investment		13.4
Liabilities in Excess of Other Assets		(3.2	)
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

6

[LOGO] 

SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	AMAZON.COM, INC.	JPMORGAN CHASE & CO.	VERIZON COMMUNICATIONS, INC.	JOHNSON & JOHNSON	EXELON CORP.
MARKET VALUE	$287,679	238,680	215,933	213,003	193,071
% OF NET ASSETS	4.9	4.1	3.7	3.6	3.3

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*

INDUSTRY	PERCENT OF NET ASSETS
Pharmaceuticals		8.4	%
Internet & Catalog Retail		7.4
Technology Hardware, Storage & Peripherals		6.4
Banks		6.2
Insurance		5.9
Software		5.6
Food Products		5.4
Oil, Gas & Consumable Fuels		5.3
Biotechnology		4.7
Specialty Retail		4.5
Hotels, Restaurants & Leisure		4.2
Tobacco		4.2
Health Care Providers & Services		4.1
Aerospace & Defense		4.0
Diversified Telecommunication Services		3.7
Electric Utilities		3.3
Real Estate Investment Trusts (REITs)		2.8
Chemicals		2.7
Media		2.2
Independent Power Producers & Energy Traders		2.0
Textiles, Apparel & Luxury Goods		1.8
Consumer Finance		1.1
Food & Staples Retailing		1.1
Household Products		1.0
Multiline Retail		0.7
Short-Term Investment		1.2
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

7

SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	AMAZON.COM, INC.	COMCAST CORP. CLASS A	GILEAD SCIENCES, INC.	ELECTRONIC ARTS, INC.	PRICELINE GROUP, INC.
MARKET VALUE	$775,732	492,315	459,978	457,818	448,179
% OF NET ASSETS	6.4	4.1	3.8	3.8	3.7

(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular fund.)

INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*

INDUSTRY	PERCENT OF NET ASSETS
Internet & Catalog Retail		10.1	%
Software		9.3
IT Services		6.9
Health Care Providers & Services		6.8
Biotechnology		5.9
Pharmaceuticals		5.5
Media		5.3
Tobacco		4.5
Food & Staples Retailing		4.3
Internet Software & Services		4.1
Specialty Retail		3.8
Textiles, Apparel & Luxury Goods		3.6
Food Products		3.3
Aerospace & Defense		3.2
Chemicals		2.8
Hotels, Restaurants & Leisure		2.7
Real Estate Investment Trusts (REITs)		2.7
Diversified Telecommunication Services		2.6
Beverages		2.2
Technology Hardware, Storage & Peripherals		2.2
Auto Components		1.9
Insurance		1.9
Trading Companies & Distributors		1.5
Banks		0.9
Road & Rail		0.6
Short-Term Investment		1.4
Other Assets in Excess of Liabilities		0.0	**
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

** Amount shown represents less than 0.05% of net assets.

8

SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	JPMORGAN CHASE & CO.	WELLS FARGO & CO.	EXELON CORP.	NORTHROP GRUMMAN CORP.	MICHAEL KORS HOLDINGS, LTD.
MARKET VALUE	$132,296	105,972	101,590	100,248	90,054
% OF NET ASSETS	5.1	4.1	3.9	3.8	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 fund.)

INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*

INDUSTRY	PERCENT OF NET ASSETS
Banks		11.8	%
Oil, Gas & Consumable Fuels		11.0
Insurance		7.3
Electric Utilities		7.2
Pharmaceuticals		6.2
Food Products		4.9
Software		4.4
Health Care Providers & Services		3.9
Real Estate Investment Trusts (REITs)		3.9
Aerospace & Defense		3.8
Hotels, Restaurants & Leisure		3.4
Textiles, Apparel & Luxury Goods		3.4
Tobacco		2.7
Chemicals		2.6
Independent Power Producers & Energy Traders		2.4
Semiconductors & Semiconductor Equipment		2.4
Specialty Retail		2.0
Technology Hardware, Storage & Peripherals		2.0
Automobiles		1.8
Communications Equipment		1.8
Consumer Finance		1.7
Industrial Conglomerates		1.6
Biotechnology		1.4
Internet & Catalog Retail		1.4
Diversified Telecommunication Services		1.2
Auto Components		1.0
Energy Equipment & Services		0.9
Health Care Equipment & Supplies		0.6
Short-Term Investment		1.2
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

9

SSGA RISK AWARE PORTFOLIO

PORTFOLIO SUMMARY (UNAUDITED)

TOP FIVE HOLDINGS AS OF JUNE 30, 2016

DESCRIPTION	FLAGSTAR BANCORP, INC.	MCDONALD’S CORP.	PROCTER & GAMBLE CO.	VERIZON COMMUNICATIONS, INC.	AT&T, INC.
MARKET VALUE	$98,690	97,114	95,846	86,496	83,179
% OF NET ASSETS	5.0	5.0	4.9	4.4	4.2

(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular fund.)

INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*

INDUSTRY	PERCENT OF NET ASSETS
Pharmaceuticals		9.1	%
Diversified Telecommunication Services		8.7
Hotels, Restaurants & Leisure		7.9
Thrifts & Mortgage Finance		6.1
Household Products		4.9
Beverages		4.6
Diversified Financial Services		4.3
Software		3.9
Food Products		3.7
Oil, Gas & Consumable Fuels		3.7
Biotechnology		3.6
Communications Equipment		3.1
Machinery		3.0
Chemicals		2.5
Household Durables		2.5
Internet & Catalog Retail		2.2
Energy Equipment & Services		2.1
Health Care Equipment & Supplies		2.1
Electronic Equipment, Instruments & Components		2.0
IT Services		1.8
Metals & Mining		1.8
Building Products		1.5
Insurance		1.4
Capital Markets		1.3
Multiline Retail		1.2
Multi-Utilities		1.0
Professional Services		1.0
Air Freight & Logistics		0.9
Commercial Services & Supplies		0.9
Electric Utilities		0.9
Trading Companies & Distributors		0.9
Banks		0.7
Real Estate Investment Trusts (REITs)		0.7
Real Estate Management & Development		0.7
Media		0.5
Textiles, Apparel & Luxury Goods		0.5
Semiconductors & Semiconductor Equipment		0.4
Auto Components		0.3
Construction & Engineering		0.2
Electrical Equipment		0.2
Road & Rail		0.2
Paper & Forest Products		0.1
Technology Hardware, Storage & Peripherals		0.1
Marine		0.0	**
Short-Term Investment		0.7
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

* The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

** Amount shown represents less than 0.05% of net assets.

10

SSGA MULTI-ASSET REAL RETURN PORTFOLIO

SPDR SSGA Multi-Asset Real Return ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Multi-Asset Real Return Portfolio. The schedule of investments for the SSGA Multi-Asset Real Return Portfolio follows.

11

SSGA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.4%
COMMODITIES — 17.7%
PowerShares DB Commodity Index Tracking Fund (a) (b)		828,986	$	12,724,935
PowerShares DB Gold Fund (a) (b)		36,964		1,595,736
PowerShares DB Oil Fund (a) (b)		485		4,442
				14,325,113
INFLATION LINKED — 29.1%
SPDR Barclays TIPS ETF (c)		307,088		17,857,167
SPDR Citi International Government Inflation-Protected Bond ETF (c)		103,106		5,661,550
				23,518,717
NATURAL RESOURCES — 26.1%
PowerShares Global Agriculture Portfolio (b)		98,726		2,268,724
SPDR S&P Global Natural Resources ETF (c)		339,282		12,590,755
SPDR S&P International Energy Sector ETF (c)		96,628		1,697,744
SPDR S&P Metals & Mining ETF (c)		19,438		473,704
The Energy Select Sector SPDR Fund (c)		59,348		4,049,909
				21,080,836
REAL ESTATE — 24.5%
SPDR Dow Jones International Real Estate ETF (c)		187,281		7,764,670
SPDR Dow Jones REIT ETF (c)		121,440		12,074,780
				19,839,450
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $89,926,416)				78,764,116
SHORT-TERM INVESTMENT — 2.6%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (d) (e) (Cost $2,073,242)		2,073,242		2,073,242
TOTAL INVESTMENTS — 100.0% (Cost $91,999,658)				80,837,358
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)% (f)				(12,334	)
NET ASSETS — 100.0%			$	80,825,024

(a) Non-income producing security.

(b) Qualified Publicly Traded Partnerships

(c) Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(d) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(e) The rate shown is the annualized seven-day yield at June 30, 2016.

(f) Amount shown represents less than 0.05% of net assets.

REIT Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Commodities	$	14,325,113	$	—	$	—	$	14,325,113
Inflation Linked		23,518,717		—		—		23,518,717
Natural Resources		21,080,836		—		—		21,080,836
Real Estate		19,839,450		—		—		19,839,450
Short-Term Investment		2,073,242		—		—		2,073,242
TOTAL INVESTMENTS	$	80,837,358	$	—	$	—	$	80,837,358

See accompanying notes to financial statements.

12

SSGA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
SPDR Barclays TIPS ETF		400,523	$	22,321,147		220,506		313,941		307,088	$	17,857,167	$	75,180	$	(247,531	)
SPDR Citi International Government Inflation-Protected Bond ETF		119,100		6,539,781		79,263		95,257		103,106		5,661,551		4,397		(217,916	)
SPDR Dow Jones International Real Estate ETF		286,691		12,000,886		97,652		197,062		187,281		7,764,670		208,087		(136,365	)
SPDR Dow Jones REIT ETF		158,157		13,345,286		81,777		118,494		121,440		12,074,780		373,168		1,003,846
SPDR S&P Global Natural Resources ETF		938,966		39,483,520		234,553		834,237		339,282		12,590,755		511,827		(10,975,293	)
SPDR S&P International Energy Sector ETF		144,816		2,802,190		40,615		88,803		96,628		1,697,744		77,216		(327,928	)
SPDR S&P Metals & Mining ETF		25,451		619,223		17,790		23,803		19,438		473,704		9,578		(123,044	)
State Street Institutional Liquid Reserves Fund, Premier Class		6,724,192		6,724,192		19,736,386		24,387,336		2,073,243		2,073,243		14,192		—
The Energy Select Sector SPDR Fund		88,920		6,683,227		36,377		65,949		59,348		4,049,909		120,286		(770,914	)

See accompanying notes to financial statements.

13

SSGA INCOME ALLOCATION PORTFOLIO

SPDR SSGA Income Allocation ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Income Allocation Portfolio. The schedule of investments for the SSGA Income Allocation Portfolio follows.

14

SSGA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 94.9%
DOMESTIC EQUITY — 20.7%
SPDR S&P Dividend ETF (a)		137,751	$	11,560,064
SPDR Wells Fargo Preferred Stock ETF (a)		108,700		5,002,374
The Consumer Discretionary Select Sector SPDR Fund (a)		13,128		1,024,640
The Consumer Staples Select Sector SPDR Fund (a)		38,571		2,127,191
The Industrial Select Sector SPDR Fund (a)		37,083		2,075,165
				21,789,434
DOMESTIC FIXED INCOME — 43.1%
SPDR Barclays Convertible Securities ETF (a)		118,404		5,190,831
SPDR Barclays High Yield Bond ETF (a)		351,674		12,554,762
SPDR Barclays Intermediate Term Corporate Bond ETF (a)		208,399		7,271,041
SPDR Barclays Long Term Corporate Bond ETF (a)		253,475		10,699,180
SPDR Barclays Long Term Treasury ETF (a)		122,621		9,787,608
				45,503,422
INFLATION LINKED — 4.9%
SPDR Barclays TIPS ETF (a)		88,421		5,141,681
INTERNATIONAL EQUITY — 11.1%
SPDR MSCI Emerging Markets Quality Mix ETF (a)		21,370		1,065,722
SPDR S&P Global Infrastructure ETF (a)		66,584		3,108,141
SPDR S&P International Dividend ETF (a)		61,571		2,167,299
SPDR STOXX Europe 50 ETF (a)		112,268		3,352,323
WisdomTree Europe Hedged Equity Fund		39,699		2,005,990
				11,699,475
REAL ESTATE — 15.1%
SPDR Dow Jones International Real Estate ETF (a)		147,841		6,129,488
SPDR Dow Jones REIT ETF (a)		98,971		9,840,687
				15,970,175
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $97,318,450)				100,104,187
SHORT-TERM INVESTMENT — 4.5%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (b) (c) (Cost $4,781,480)		4,781,480		4,781,480
TOTAL INVESTMENTS — 99.4% (Cost $102,099,930)				104,885,667
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%				611,203
NET ASSETS — 100.0%			$	105,496,870

(a) Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at June 30, 2016.

REIT Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	21,789,434	$	—	$	—	$	21,789,434
Domestic Fixed Income		45,503,422		—		—		45,503,422
Inflation Linked		5,141,681		—		—		5,141,681
International Equity		11,699,475		—		—		11,699,475
Real Estate		15,970,175		—		—		15,970,175
Short-Term Investment		4,781,480		—		—		4,781,480
TOTAL INVESTMENTS	$	104,885,667	$	—	$	—	$	104,885,667

See accompanying notes to financial statements.

15

SSGA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
SPDR Barclays Convertible Securities ETF		126,174	$	6,002,097		19,497		27,267		118,404	$	5,190,831	$	270,497	$	98,229
SPDR Barclays High Yield Bond ETF		521,165		20,028,371		58,329		227,820		351,674		12,554,762		976,437		(907,692	)
SPDR Barclays Intermediate Term Corporate Bond ETF		72,189		2,449,373		160,299		24,089		208,399		7,271,041		125,976		(3,080	)
SPDR Barclays Long Term Corporate Bond ETF		444,142		17,006,197		26,681		217,348		253,475		10,699,180		562,153		(629,981	)
SPDR Barclays Long Term Treasury ETF		125,248		8,556,943		74,510		77,137		122,621		9,787,608		237,532		(92,000	)
SPDR Barclays TIPS ETF		33,157		1,847,840		72,742		17,478		88,421		5,141,681		20,005		(10,963	)
SPDR Dow Jones International Real Estate ETF		116,337		4,869,867		96,658		65,154		147,841		6,129,488		132,820		(26,474	)
SPDR Dow Jones REIT ETF		98,588		8,318,855		68,054		67,671		98,971		9,840,687		297,878		377,937
SPDR MSCI Emerging Markets Quality Mix ETF		—		—		21,370		—		21,370		1,065,722		9,588		—
SPDR S&P Dividend ETF		63,111		4,809,689		117,120		42,480		137,751		11,560,064		193,406		304,919
SPDR S&P Global Infrastructure ETF		76,611		3,573,137		53,319		63,346		66,584		3,108,141		61,837		(132,961	)
SPDR S&P International Dividend ETF		85,886		3,561,693		17,389		41,704		61,571		2,167,299		103,771		(404,201	)
SPDR STOXX Europe 50 ETF		136,012		4,729,137		25,488		49,232		112,268		3,352,323		149,671		(169,142	)
SPDR Wells Fargo Preferred Stock ETF		138,428		6,006,391		6,671		36,399		108,700		5,002,374		285,069		(10,379	)
State Street Institutional Liquid Reserves Fund, Premier Class		2,787,882		2,787,882		9,790,344		7,796,746		4,781,480		4,781,480		14,282		—
The Consumer Discretionary Select Sector SPDR Fund		32,130		2,457,303		3,658		22,660		13,128		1,024,640		29,192		66,472
The Consumer Staples Select Sector SPDR Fund		—		—		39,146		575		38,571		2,127,191		22,770		1,002
The Industrial Select Sector SPDR Fund		—		—		79,633		42,550		37,083		2,075,165		11,391		35,119

See accompanying notes to financial statements.

16

SSGA GLOBAL ALLOCATION PORTFOLIO

SPDR SSGA Global Allocation ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Global Allocation Portfolio. The schedule of investments for the SSGA Global Allocation Portfolio follows.

17

SSGA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 92.2%
COMMODITIES — 8.1%
PowerShares DB Gold Fund (a)		335,609	$	14,488,240
DOMESTIC EQUITY — 19.5%
SPDR S&P 500 ETF Trust (b)		35,139		7,362,675
SPDR S&P 500 Growth ETF (b)		164,140		16,563,367
The Consumer Discretionary Select Sector SPDR Fund (b)		46,932		3,663,043
The Consumer Staples Select Sector SPDR Fund (b)		69,248		3,819,027
The Industrial Select Sector SPDR Fund (b)		65,280		3,653,069
				35,061,181
DOMESTIC FIXED INCOME — 26.3%
SPDR Barclays Aggregate Bond ETF (b)		222,017		13,190,030
SPDR Barclays High Yield Bond ETF (b)		418,891		14,954,409
SPDR Barclays Intermediate Term Corporate Bond ETF (b)		216,183		7,542,625
SPDR Barclays Intermediate Term Treasury ETF (b)		30,530		1,882,174
SPDR Barclays Long Term Treasury ETF (b)		121,549		9,702,041
				47,271,279
INFLATION LINKED — 5.2%
SPDR Barclays TIPS ETF (b)		161,908		9,414,950
INTERNATIONAL EQUITY — 18.4%
SPDR S&P International Small Cap ETF (b)		181,960		5,288,486
SPDR S&P World ex-US ETF (b)		950,409		23,693,696
WisdomTree Europe Hedged Equity Fund		81,758		4,131,232
				33,113,414
REAL ESTATE — 14.7%
SPDR Dow Jones International Real Estate ETF (b)		259,646		10,764,923
SPDR Dow Jones REIT ETF (b)		157,151		15,625,524
				26,390,447
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $162,736,708)				165,739,511
SHORT-TERM INVESTMENT — 11.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (c) (d) (Cost $20,031,452)		20,031,452		20,031,452
TOTAL INVESTMENTS — 103.4% (Cost $182,768,160)				185,770,963
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.4)%				(6,057,750	)
NET ASSETS — 100.0%			$	179,713,213

(a) Qualified Publicly Traded Partnerships

(b) Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at June 30, 2016.

REIT Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Commodities	$	14,488,240	$	—	$	—	$	14,488,240
Domestic Equity		35,061,181		—		—		35,061,181
Domestic Fixed Income		47,271,279		—		—		47,271,279
Inflation Linked		9,414,950		—		—		9,414,950
International Equity		33,113,414		—		—		33,113,414
Real Estate		26,390,447		—		—		26,390,447
Short-Term Investment		20,031,452		—		—		20,031,452
TOTAL INVESTMENTS	$	185,770,963	$	—	$	—	$	185,770,963

See accompanying notes to financial statements.

18

SSGA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
SPDR Barclays Aggregate Bond ETF		50,686	$	2,909,377		233,576		62,245		222,017	$	13,190,030	$	193,454	$	18,118
SPDR Barclays High Yield Bond ETF		599,493		23,038,516		399,442		580,044		418,891		14,954,409		1,116,742		(1,777,427	)
SPDR Barclays Intermediate Term Corporate Bond ETF		41,866		1,420,513		203,393		29,076		216,183		7,542,625		81,973		3,216
SPDR Barclays Intermediate Term Treasury ETF		—		—		42,068		11,538		30,530		1,882,174		16,406		6,455
SPDR Barclays Long Term Corporate Bond ETF		302,860		11,596,509		108,114		410,974		—		—		264,036		(852,322	)
SPDR Barclays Long Term Treasury ETF		65,248		4,457,743		260,261		203,960		121,549		9,702,041		250,791		87,766
SPDR Barclays TIPS ETF		52,369		2,918,525		168,253		58,714		161,908		9,414,950		35,773		9,682
SPDR Dow Jones International Real Estate ETF		68,930		2,885,410		345,656		154,940		259,646		10,764,923		169,909		(3,632	)
SPDR Dow Jones REIT ETF		117,788		9,938,950		190,823		151,460		157,151		15,625,524		415,852		434,763
SPDR S&P 500 ETF Trust		63,090		12,987,076		60,540		88,491		35,139		7,362,675		196,547		(19,630	)
SPDR S&P 500 Growth ETF		—		—		179,160		15,020		164,140		16,563,367		87,735		96,183
SPDR S&P Emerging Markets ETF		22,137		1,426,508		6,143		28,280		—		—		—		(350,845	)
SPDR S&P International Small Cap ETF		143,131		4,368,358		121,507		82,678		181,960		5,288,486		161,729		(150,530	)
SPDR S&P World ex-US ETF		785,051		22,075,634		683,195		517,837		950,409		23,693,696		758,154		(959,181	)
State Street Institutional Liquid Reserves Fund, Premier Class		15,054,957		15,054,957		32,741,824		27,765,329		20,031,452		20,031,452		75,844		—
The Consumer Discretionary Select Sector SPDR Fund		38,328		2,931,325		31,704		23,100		46,932		3,663,043		56,381		(8,198	)
The Consumer Staples Select Sector SPDR Fund		—		—		77,280		8,032		69,248		3,819,027		39,059		16,404
The Financial Select Sector SPDR Fund		—		—		146,236		146,236		—		—		15,785		(243,353	)
The Health Care Select Sector SPDR Fund		39,379		2,929,404		27,402		66,781		—		—		29,857		91,874
The Industrial Select Sector SPDR Fund		—		—		139,714		74,434		65,280		3,653,069		21,232		32,395
The Technology Select Sector SPDR Fund		68,939		2,854,075		193,470		262,409		—		—		36,666		(72,420	)

See accompanying notes to financial statements.

19

BLACKSTONE / GSO SENIOR LOAN PORTFOLIO

SPDR Blackstone / GSO Senior Loan ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the Blackstone / GSO Senior Loan Portfolio. The schedule of investments for the Blackstone / GSO Senior Loan Portfolio follows.

20

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Principal Amount		Value
SENIOR FLOATING RATE LOANS (a) — 86.6%
AEROSPACE & DEFENSE — 2.0%
Atlantic Aviation FBO, Inc. Senior Secured Term Loan B, 3.25%, 6/1/2020	$	3,333,002	$	3,333,002
TransDigm, Inc.:
Senior Secured Term Loan C, 3.75%, 2/28/2020		2,979,421		2,958,938
Senior Secured Term Loan D, 3.75%, 6/4/2021		4,937,028		4,888,990
Senior Secured Term Loan E, 3.75%, 5/14/2022		1,884,401		1,859,226
WP CPP Holdings LLC Senior Secured Term Loan B3, 4.50%, 12/28/2019		2,799,407		2,713,087
				15,753,243
AIRLINES — 1.1%
American Airlines, Inc.:
Senior Secured Term Loan, 3.25%, 6/27/2020		1,975,000		1,953,403
Senior Secured Term Loan B, 3.50%, 10/10/2021		3,712,500		3,688,369
US Airways Group, Inc. Senior Secured Term Loan B1, 3.50%, 5/23/2019		3,188,780		3,182,402
				8,824,174
AUTOMOBILES — 1.4%
Chrysler Group LLC:
Senior Secured Term Loan B, 3.25%, 12/31/2018		5,904,966		5,899,415
Senior Secured Term Loan B, 3.50%, 5/24/2017		2,037,421		2,038,908
Doosan Infracore International, Inc. Senior Secured Term Loan B, 1.00%, 5/28/2021		1,541,143		1,544,996
TI Group Automotive Systems LLC Senior Secured Term Loan, 4.50%, 6/30/2022		1,678,334		1,648,963
				11,132,282
BIOTECHNOLOGY — 0.5%
Grifols Worldwide Operations USA, Inc. Senior Secured Term Loan B, 3.46%, 2/27/2021		3,969,543		3,970,555
BUILDING PRODUCTS — 0.4%
Stardust Finance Holdings, Inc. Senior Secured Senior Lien Term Loan, 6.50%, 3/13/2022		3,246,753		3,176,396
CAPITAL MARKETS — 0.8%
Blue Coat Systems, Inc. Senior Secured Term Loan, 4.50%, 5/20/2022		4,817,040		4,817,040
Hamilton Lane Advisors LLC Senior Secured Term Loan B, 4.25%, 7/9/2022		1,346,878		1,346,878
				6,163,918
CHEMICALS — 1.6%
Avantor Performance Materials Holdings, Inc. Senior Secured 1st Lien Term Loan, 6.00%, 6/21/2022		4,009,434		3,986,881
Axalta Coating Systems US Holdings, Inc. Senior Secured Term Loan, 3.75%, 2/1/2020		4,831,719		4,833,603
Ineos US Finance LLC Senior Secured Term Loan, 3.75%, 5/4/2018		3,998,764		3,988,767
				12,809,251
COMMERCIAL SERVICES & SUPPLIES — 4.1%
ADS Waste Holdings, Inc. Senior Secured Term Loan B2, 3.75%, 10/9/2019		5,259,660		5,185,709
Allied Security Holdings LLC Senior Secured 1st Lien Term Loan, 4.25%, 2/12/2021		312,926		312,144
Asurion LLC:
Senior Secured 2nd Lien Term Loan, 8.50%, 3/3/2021		2,000,000		1,934,000
Senior Secured Term Loan B1, 5.00%, 5/24/2019		1,886,130		1,879,849
Senior Secured Term Loan B4, 5.00%, 8/4/2022		8,447,966		8,348,702
KAR Auction Services, Inc. Senior Secured Term Loan B3, 4.25%, 3/9/2023		1,930,868		1,939,711
Lineage Logistics Holdings LLC Senior Secured Term Loan, 4.50%, 4/7/2021		4,431,687		4,221,182
Multi Packaging Solutions, Inc. Senior Secured Term Loan B, 4.25%, 9/30/2020		1,550,964		1,539,331
Prime Security Services Borrower LLC Senior Secured Incremental Term Loan B1, 4.75%, 5/2/2022		7,475,410		7,501,873
				32,862,501
COMMUNICATIONS EQUIPMENT — 0.2%
CommScope, Inc. Senior Secured Term Loan B5, 3.75%, 12/29/2022		1,395,006		1,397,844
COMPUTERS & PERIPHERALS — 0.1%
Western Digital Corp. Senior Secured Term Loan B, 5.50%, 4/29/2023		1,000,000		1,005,470
CONTAINERS & PACKAGING — 1.7%
Ardagh Holdings USA, Inc. Senior Secured Incremental Term Loan, 4.00%, 12/17/2019		1,989,687		1,989,687
Berry Plastics Holding Corp.:
Senior Secured Term Loan D, 3.50%, 2/8/2020		2,904,925		2,889,412
Senior Secured Term Loan G, 3.50%, 1/6/2021		1,105,503		1,097,643

See accompanying notes to financial statements.

21

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Hilex Poly Co. LLC Senior Secured Term Loan B, 6.00%, 12/5/2021	$	2,789,224	$	2,800,381
Reynolds Group Holdings, Inc. Senior Secured Dollar Term Loan, 4.50%, 12/1/2018		2,400,190		2,403,670
Tekni-Plex, Inc. Senior Secured Term Loan B, 4.50%, 6/1/2022		2,213,665		2,180,460
				13,361,253
DISTRIBUTORS — 1.0%
ABC Supply Co., Inc. Senior Secured Term Loan, 3.50%, 4/16/2020		2,000,000		1,998,750
American Tire Distributors Holdings, Inc. Senior Secured Term Loan, 5.25%, 9/1/2021		6,329,131		6,131,378
				8,130,128
DIVERSIFIED CONSUMER SERVICES — 1.8%
Nord Anglia Education Finance LLC Senior Secured Term Loan, 5.00%, 3/31/2021		2,795,009		2,786,289
ServiceMaster Co. Senior Secured Term Loan B, 4.25%, 7/1/2021		11,532,172		11,558,581
				14,344,870
DIVERSIFIED FINANCIAL SERVICES — 1.4%
AlixPartners LLP Senior Secured Term Loan B, 4.50%, 7/28/2022		1,768,812		1,769,254
CeraTec Services GmbH:
Senior Secured Term Loan B1, 4.25%, 8/30/2020		1,356,254		1,358,513
Senior Secured Term Loan B3, 4.25%, 8/30/2020		413,900		414,589
Tech Finance & Co. S.C.A Senior Secured Term Loan B, 5.00%, 7/11/2020		7,991,531		7,929,117
				11,471,473
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.5%
Fairpoint Communications, Inc. Senior Secured Refi Term Loan, 7.50%, 2/14/2019		290,250		290,280
Level 3 Financing, Inc. Senior Secured Term Loan B2, 3.50%, 5/31/2022		11,500,000		11,475,563
Telesat LLC Senior Secured Term Loan B2, 3.50%, 3/28/2019		3,969,231		3,956,827
Virgin Media Investment Holdings, Ltd. Senior Secured Term Loan F, 3.65%, 6/30/2023		1,550,101		1,514,611
Windstream Corp. Senior Secured Term Loan B6, 5.75%, 3/29/2021		11,221,875		11,197,355
				28,434,636
ELECTRIC UTILITIES — 0.4%
Astoria Energy LLC Senior Secured Term Loan B, 5.00%, 12/24/2021		684,646		651,557
PowerTeam Services LLC Senior Secured 1st Lien Term Loan, 4.25%, 5/6/2020		2,867,009		2,856,258
				3,507,815
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.1%
CDW LLC Senior Secured Term Loan, 3.25%, 4/29/2020		6,014,050		6,017,388
TTM Technologies, Inc. Senior Secured 1st Lien Term Loan, 6.00%, 5/31/2021		7,724,500		7,666,566
Zebra Technologies Corp. Senior Secured Term Loan B, 4.00%, 10/27/2021		3,054,117		3,057,935
				16,741,889
FOOD & STAPLES RETAILING — 2.6%
Albertsons LLC:
Senior Secured 2016 Term Loan B6, 4.75%, 6/22/2023		3,642,616		3,642,160
Senior Secured Term Loan B4, 4.50%, 8/25/2021		6,940,156		6,943,280
Supervalu, Inc. Senior Secured Refi Term Loan B, 5.50%, 3/21/2019		2,195,807		2,196,147
US Foods, Inc. Senior Secured Term Loan B, 1.00%, 6/27/2023		7,867,403		7,848,561
				20,630,148
FOOD PRODUCTS — 1.3%
AdvancePierre Foods, Inc. Senior Secured Term Loan, 4.75%, 6/2/2023		3,708,609		3,703,973
Candy Intermediate Holdings, Inc. Senior Secured Term Loan, 5.50%, 6/15/2023		1,578,947		1,579,934
Dole Food Co., Inc. Senior Secured Term Loan B, 4.50%, 11/1/2018		4,657,172		4,647,718
Hostess Brands LLC Senior Secured 1st Lien Term Loan, 4.50%, 8/3/2022		723,627		724,170
				10,655,795
HEALTH CARE EQUIPMENT & SUPPLIES — 0.4%
Convatec, Inc. Senior Secured Term Loan, 4.25%, 6/15/2020		2,960,307		2,956,606
HEALTH CARE PROVIDERS & SERVICES — 3.6%
Acadia Healthcare Co., Inc. Senior Secured Term Loan B2, 4.50%, 2/16/2023		1,155,437		1,146,529
Air Medical Group Holdings, Inc. Senior Secured Term Loan B, 4.25%, 4/28/2022		3,478,672		3,403,654

See accompanying notes to financial statements.

22

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
CeramTec Acquisition Corp. Senior Secured Term Loan B2, 4.25%, 8/30/2020	$	147,177	$	147,422
CHG Healthcare Services, Inc. Senior Secured Term Loan B, 4.75%, 6/7/2023		3,167,864		3,172,822
Community Health Systems, Inc. Senior Secured Term Loan G, 3.75%, 12/31/2019		5,181,865		5,048,121
Envision Healthcare Corp. Senior Secured Term Loan B2, 4.50%, 10/28/2022		3,586,914		3,590,052
FHC Health Systems, Inc. Senior Secured Term Loan, 5.00%, 12/23/2021		534,257		514,666
MedImpact OpCo Holdings, Inc. Senior Secured Term Loan, 5.75%, 10/27/2022		974,684		977,120
MPH Acquisition Holdings LLC Senior Secured Term Loan B, 5.00%, 6/7/2023		4,662,005		4,680,653
National Mentor Holdings, Inc. Senior Secured Term Loan B, 4.25%, 1/31/2021		2,698,889		2,678,647
NVA Holdings, Inc. Senior Secured 1st Lien Term Loan, 4.75%, 8/14/2021		1,509,680		1,505,906
U.S. Renal Care, Inc. Senior Secured Term Loan B, 5.25%, 12/31/2022		1,904,306		1,904,316
				28,769,908
HEALTH CARE TECHNOLOGY — 1.4%
CT Technologies Intermediate Holdings, Inc. Senior Secured 1st Lien Term Loan, 5.25%, 12/1/2021		4,693,954		4,623,545
IMS Health, Inc. Senior Secured Term Loan, 3.50%, 3/17/2021		6,385,019		6,349,103
				10,972,648
HOTELS, RESTAURANTS & LEISURE — 7.7%
Aristocrat Leisure, Ltd. Senior Secured Term Loan B, 1.00%, 10/20/2021		2,000,000		2,007,330
Burger King 1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B2, 3.75%, 12/10/2021		5,959,588		5,959,588
CEC Entertainment, Inc. Senior Secured Term Loan B, 4.00%, 2/14/2021		8,792,467		8,557,972
Delta 2 (LUX) S.A.R.L.:
Senior Secured 2nd Lien Term Loan, 7.75%, 7/31/2022		1,320,000		1,258,950
Senior Secured Term Loan B3, 4.75%, 7/30/2021		7,018,093		6,769,161
La Quinta Intermediate Holdings LLC Senior Secured Term Loan B, 3.75%, 4/14/2021		7,466,143		7,316,820
Las Vegas Sands LLC Senior Secured Term Loan B, 3.25%, 12/19/2020		4,107,856		4,110,711
Scientific Games International, Inc. Senior Secured Term Loan B2, 6.00%, 10/1/2021		13,809,127		13,638,239
Travelport Finance (Luxembourg) S.A.R.L. Senior Secured Term Loan B, 5.75%, 9/2/2021		9,937,114		9,896,769
Yum! Brands Inc. Senior Secured 1st Lien Term Loan B, 3.19%, 6/16/2023		2,465,331		2,471,495
				61,987,035
HOUSEHOLD DURABLES — 1.1%
Serta Simmons Holdings LLC Senior Secured Term Loan, 4.25%, 10/1/2019		5,109,704		5,111,824
Spin Holdco, Inc. Senior Secured Term Loan B, 4.25%, 11/14/2019		3,832,340		3,766,864
				8,878,688
HOUSEHOLD PRODUCTS — 0.3%
Energizer Holdings, Inc. Senior Secured Term Loan B, 3.25%, 6/30/2022		1,582,680		1,579,713
Samsonite International SA Senior Secured Term Loan B, 4.00%, 5/12/2023		883,978		889,392
				2,469,105
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.2%
Calpine Construction Finance Company L.P. Senior Secured Original Term Loan B2, 3.25%, 1/31/2022		1,959,715		1,919,296
INSURANCE — 3.2%
Alliant Holdings I, Inc. Senior Secured Term Loan B, 4.50%, 8/12/2022		2,344,737		2,315,428
Hub International, Ltd. Senior Secured Term Loan B, 4.00%, 10/2/2020		8,963,265		8,826,933
National Financial Partners Corp. Senior Secured Term Loan B, 4.50%, 7/1/2020		7,545,151		7,488,562
Sedgwick Claims Management Services, Inc.:
Senior Secured 1st Lien Term Loan, 3.75%, 3/1/2021		3,972,056		3,892,614
Senior Secured 1st Lien Term Loan, 5.25%, 3/1/2021		1,000,000		1,002,500

See accompanying notes to financial statements.

23

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Senior Secured 2nd Lien Term Loan, 6.75%, 2/28/2022	$	2,000,000	$	1,925,000
				25,451,037
INTERNET SOFTWARE & SERVICES — 2.0%
Abacus Innovations Corp. Senior Secured Term Loan B, 1.00%, 1/26/2023		2,487,047		2,488,079
Go Daddy Operating Company LLC Senior Secured Term Loan B, 4.25%, 5/13/2021		1,345,817		1,347,742
Inmar, Inc. Senior Secured 1st Lien Term Loan, 4.25%, 1/27/2021		3,118,182		3,085,051
Sabre, Inc. Senior Secured Term Loan B, 4.00%, 2/19/2019		5,332,974		5,339,640
TCH-2 Holding LLC Senior Secured 1st Lien Term Loan, 5.50%, 5/6/2021		3,980,217		3,955,341
				16,215,853
IT SERVICES — 2.5%
First Data Corp.:
Senior Secured Extended Term Loan, 4.45%, 3/24/2021		8,870,404		8,855,635
Senior Secured Term Loan, 4.20%, 7/8/2022		8,666,284		8,606,703
Global Payments, Inc. Senior Secured Term Loan B, 3.96%, 4/22/2023		1,540,656		1,552,981
TNS, Inc. Senior Secured 1st Lien Term Loan, 5.00%, 2/14/2020		1,311,090		1,312,729
				20,328,048
LIFE SCIENCES TOOLS & SERVICES — 0.9%
Jaguar Holding Company II Senior Secured Term Loan B, 4.25%, 8/18/2022		7,052,632		6,995,329
MACHINERY — 0.5%
Allison Transmission, Inc. Senior Secured Term Loan B3, 3.50%, 8/23/2019		3,876,844		3,880,314
MEDIA — 5.0%
Acosta Holdco, Inc. Senior Secured Term Loan, 4.25%, 9/26/2021		5,312,008		5,119,447
Charter Communications Operating LLC Senior Secured Term Loan I, 3.50%, 1/24/2023		1,672,183		1,676,104
Gray Television, Inc. Senior Secured Term Loan B, 1.00%, 6/13/2021		1,000,000		1,001,665
McGraw-Hill Global Education Holdings LLC Senior Secured Term Loan B, 5.00%, 5/4/2022		1,142,857		1,143,143
Neptune Finco Corp. Senior Secured Term Loan B, 5.00%, 10/9/2022		9,849,315		9,883,788
Numericable Group SA Senior Secured Term Loan B5, 4.56%, 7/31/2022		1,772,909		1,752,077
Numericable U.S. LLC Senior Secured Term Loan B7, 5.00%, 1/15/2024		3,149,171		3,132,119
Penton Media, Inc. Senior Secured Term Loan, 4.75%, 10/3/2019		1,326,908		1,325,256
Sinclair Television Group, Inc. Senior Secured Term Loan B1, 3.50%, 7/30/2021		746,231		746,231
Telenet International Finance S.A.R.L. Senior Secured Term Loan AD, 4.25%, 6/30/2024		1,351,351		1,343,750
Univision Communications, Inc.:
Senior Secured Term Loan C3, 4.00%, 3/1/2020		1,959,820		1,950,433
Senior Secured Term Loan C4, 4.00%, 3/1/2020		2,910,830		2,898,867
UPC Financing Partnership Senior Secured Term Loan AH, 3.34%, 6/30/2021		4,000,000		3,911,660
WMG Acquisition Corp. Senior Secured Term Loan, 3.75%, 7/1/2020		1,989,770		1,971,653
Ziggo B.V.:
Senior Secured Term Loan B1, 3.65%, 1/15/2022		739,574		723,396
Senior Secured Term Loan B2A, 3.60%, 1/15/2022		38,298		37,460
Senior Secured Term Loan B2A, 3.65%, 1/15/2022		438,298		428,710
Senior Secured Term Loan B3, 3.60%, 1/15/2022		783,830		766,683
				39,812,442
MULTILINE RETAIL — 0.6%
Burlington Coat Factory Warehouse Corp. Senior Secured Term Loan B3, 4.25%, 8/13/2021		1,000,000		1,000,205
Dollar Tree, Inc. Senior Secured Term Loan B1, 3.50%, 7/6/2022		1,562,008		1,564,609
Neiman Marcus Group, Inc. Senior Secured Term Loan, 4.25%, 10/25/2020		2,414,014		2,174,532
				4,739,346
PERSONAL PRODUCTS — 0.7%
Revlon Consumer Products Corp. Senior Secured Acquisition Term Loan, 4.00%, 10/8/2019		5,653,335		5,667,496

See accompanying notes to financial statements.

24

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
PHARMACEUTICALS — 3.9%
Amneal Pharmaceuticals LLC Senior Secured Term Loan, 4.50%, 11/1/2019	$	2,234,343	$	2,224,099
Capsugel Holdings US, Inc. Senior Secured Term Loan B, 4.00%, 7/31/2021		2,992,500		2,986,276
Concordia Healthcare Corp. Senior Secured Term Loan, 5.25%, 10/21/2021		6,302,199		6,064,291
Horizon Pharma, Inc. Senior Secured Term Loan B, 4.50%, 5/7/2021		664,987		651,688
Valeant Pharmaceuticals International Senior Secured Term Loan B F1, 5.00%, 4/1/2022		11,361,638		11,082,312
Valeant Pharmaceuticals International, Inc. Senior Secured Series E Term Loan B, 4.75%, 8/5/2020		8,253,262		8,028,237
				31,036,903
PROFESSIONAL SERVICES — 1.8%
Advantage Sales & Marketing, Inc. Senior Secured 1st Lien Term Loan, 4.25%, 7/23/2021		6,351,421		6,209,848
Information Resources, Inc. Senior Secured Term Loan B, 4.75%, 9/30/2020		1,994,885		1,996,760
TransUnion LLC Senior Secured Term Loan B2, 3.50%, 4/9/2021		6,460,097		6,392,492
				14,599,100
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.2%
Communications Sales & Leasing, Inc. Senior Secured Term Loan B, 5.00%, 10/24/2022		1,994,962		1,976,259
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.6%
Americold Realty Operating Partnership, L.P. Senior Secured Term Loan B, 1.00%, 12/1/2022		1,188,119		1,195,544
Realogy Corp. Senior Secured Term Loan B, 3.75%, 3/5/2020		3,920,108		3,920,598
				5,116,142
ROAD & RAIL — 1.1%
Hertz Corp. Senior Secured Term Loan B, 1.00%, 6/30/2023		8,602,151		8,607,527
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.4%
Avago Technologies Cayman, Ltd. Senior Secured Term Loan B1, 4.25%, 2/1/2023		16,151,690		16,190,858
Microsemi Corp. Senior Secured Term Loan B, 3.75%, 1/15/2023		3,634,634		3,633,126
NXP B.V. Senior Secured Term Loan B, 3.75%, 12/7/2020		3,567,454		3,579,440
ON Semiconductor Corp. Senior Secured Term Loan B, 5.25%, 3/31/2023		11,925,043		11,993,373
				35,396,797
SOFTWARE — 9.6%
Applied Systems, Inc. Senior Secured 1st Lien Term Loan, 4.00%, 1/25/2021		1,562,424		1,552,010
Aspect Software, Inc. Senior Secured Exit Term Loan, 10.50%, 5/25/2020		7,312,770		7,038,541
BMC Software Finance, Inc. Senior Secured Term Loan, 5.00%, 9/10/2020		12,439,747		11,071,375
CCC Information Services, Inc. Senior Secured Term Loan, 4.00%, 12/20/2019		4,894,377		4,872,964
Cengage Learning Acquisitions, Inc. Senior Secured Term Loan B, 5.25%, 6/7/2023		4,610,778		4,564,671
Compuware Corp. Senior Secured Term Loan B2, 6.25%, 12/15/2021		6,433,508		5,979,141
Epicor Software Corp. Senior Secured 1st Lien Term Loan, 4.75%, 6/1/2022		5,668,235		5,579,669
Hyland Software, Inc. Senior Secured Term Loan, 4.75%, 7/1/2022		1,990,354		1,982,890
Infor (US), Inc. Senior Secured Term Loan B5, 1.00%, 6/3/2020		2,992,186		2,925,804
Informatica Corp. Senior Secured Term Loan, 4.50%, 8/5/2022		5,969,320		5,824,355
Kronos, Inc.:
Senior Secured 2nd Lien Term Loan, 9.75%, 4/30/2020		6,094,695		6,150,583
Senior Secured Initial Incremental Term Loan, 4.50%, 10/30/2019		4,948,085		4,943,137
MA FinanceCo. LLC Senior Secured Term Loan B, 5.25%, 11/19/2021		4,344,525		4,347,240
Mitchell International, Inc. Senior Secured 1st Lien Term Loan, 4.50%, 10/13/2020		2,757,660		2,722,500
Solera Holdings, Inc. Senior Secured Term Loan B, 5.75%, 3/3/2023		481,919		482,370
Sophia L.P. Senior Secured Term Loan B, 4.75%, 9/30/2022		3,493,156		3,458,225
Vertafore, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 6/9/2023		3,738,318		3,730,150
				77,225,625

See accompanying notes to financial statements.

25

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
SPECIALTY RETAIL — 3.1%
Men’s Wearhouse, Inc. Senior Secured Term Loan B, 4.50%, 6/18/2021	$	1,891,779	$	1,825,567
Michaels Stores, Inc. Senior Secured Term Loan B, 3.75%, 1/28/2020		4,927,173		4,919,462
Petco Animal Supplies, Inc. Senior Secured Term Loan B2, 4.89%, 1/26/2023		6,484,736		6,461,002
PetSmart, Inc. Senior Secured Term Loan B1, 4.25%, 3/11/2022		11,592,049		11,558,779
				24,764,810
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.6%
Dell, Inc. Senior Secured Term Loan B, 1.00%, 5/24/2023		10,948,546		10,924,569
Diebold, Inc. Senior Secured Term Loan, 5.25%, 11/6/2023		1,676,296		1,673,496
				12,598,065
TRADING COMPANIES & DISTRIBUTORS — 0.6%
Beacon Roofing Supply, Inc. Senior Secured Term Loan B, 4.00%, 10/1/2022		1,760,099		1,762,668
McJunkin Red Man Corp. Senior Secured Term Loan, 5.00%, 11/8/2019		1,984,904		1,920,395
Univar, Inc. Senior Secured Term Loan, 4.25%, 7/1/2022		1,437,746		1,419,774
				5,102,837
WIRELESS TELECOMMUNICATION SERVICES — 1.6%
LTS Buyer LLC Senior Secured 1st Lien Term Loan, 4.00%, 4/13/2020		4,966,726		4,931,040
SBA Senior Finance II LLC Senior Secured Term Loan B1, 3.25%, 3/24/2021		5,964,506		5,915,209
T-Mobile USA, Inc. Senior Secured Term Loan B, 3.50%, 11/9/2022		2,216,517		2,226,568
				13,072,817
TOTAL SENIOR FLOATING RATE LOANS (Cost $695,908,938)				694,913,674
CORPORATE BONDS & NOTES — 6.5%
DIVERSIFIED FINANCIAL SERVICES — 0.1%
Fly Leasing, Ltd. 6.38%, 10/15/2021		500,000		485,000
ENTERTAINMENT — 0.8%
Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp. 5.25%, 3/15/2021		2,000,000		2,075,000
Scientific Games Corp. 8.13%, 9/15/2018		1,037,000		1,015,938
Scientific Games International, Inc. 7.00%, 1/1/2022 (b)		3,400,000		3,425,500
				6,516,438
FOOD SERVICE — 0.0% (c)
Aramark Services, Inc. 5.75%, 3/15/2020		229,000		235,023
HEALTH CARE PRODUCTS — 0.1%
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021 (b)		830,000		880,298
HEALTH CARE SERVICES — 1.5%
CHS/Community Health Systems, Inc. 5.13%, 8/1/2021		2,000,000		1,985,000
HCA, Inc. 5.25%, 4/15/2025		1,000,000		1,045,000
Tenet Healthcare Corp.:
4.15%, 6/15/2020		3,000,000		2,962,500
6.75%, 2/1/2020		2,000,000		1,970,000
6.75%, 6/15/2023		2,000,000		1,912,600
8.13%, 4/1/2022		2,000,000		2,044,600
				11,919,700
INTERNET — 0.1%
Blue Coat Holdings, Inc. 8.38%, 6/1/2023 (b)		1,000,000		1,130,000
LEISURE TIME — 0.4%
Sabre GLBL, Inc. 5.38%, 4/15/2023 (b)		2,950,000		3,016,375
MEDIA — 0.8%
Altice Financing SA 7.50%, 5/15/2026 (b)		490,000		478,975
Altice US Finance I Corp. 5.50%, 5/15/2026 (b)		610,000		607,438
CCO Holdings LLC/CCO Holdings Capital Corp. 5.75%, 2/15/2026 (b)		2,000,000		2,055,000
Cequel Communications Holdings I LLC/Cequel Capital Corp. 6.38%, 9/15/2020 (b)		1,000,000		1,014,900
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.88%, 5/15/2024 (b)		360,000		372,600
Numericable-SFR SA 6.00%, 5/15/2022 (b)		2,000,000		1,941,200
				6,470,113
MINING — 0.0% (c)
Kaiser Aluminum Corp. 5.88%, 5/15/2024 (b)		220,000		226,050
PACKAGING & CONTAINERS — 0.7%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024 (b)		1,320,000		1,344,816
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:
4.13%, 7/15/2021 (b)		2,000,000		2,005,000
5.13%, 7/15/2023 (b)		450,000		455,625

See accompanying notes to financial statements.

26

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
5.75%, 10/15/2020	$	1,000,000	$	1,032,500
7.00%, 7/15/2024 (b)		550,000		565,125
				5,403,066
RETAIL — 0.3%
CEC Entertainment, Inc. 8.00%, 2/15/2022		440,000		425,700
Serta Simmons Bedding LLC 8.13%, 10/1/2020 (b)		2,000,000		2,060,000
				2,485,700
SOFTWARE — 0.6%
First Data Corp. 5.00%, 1/15/2024 (b)		2,000,000		2,000,000
Infor US, Inc. 6.50%, 5/15/2022		3,000,000		2,851,800
				4,851,800
TELECOMMUNICATIONS — 1.1%
Altice Luxembourg SA 7.75%, 5/15/2022 (b)		2,000,000		2,021,250
T-Mobile USA, Inc.:
6.50%, 1/15/2026		2,000,000		2,110,000
6.63%, 4/1/2023		2,000,000		2,118,800
6.73%, 4/28/2022		2,000,000		2,103,200
				8,353,250
TOTAL CORPORATE BONDS & NOTES (Cost $52,187,645)				51,972,813
SHORT-TERM INVESTMENT — 8.6%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (d) (e) (Cost $68,870,496)		68,870,496		68,870,496
TOTAL INVESTMENTS — 101.7%
(Cost $816,967,079)				815,756,983
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.7)%				(13,267,735	)
NET ASSETS — 100.0%			$	802,489,248

(a) The rate shown represents the rate at June 30, 2016.

(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 3.2% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c) Amount is less than 0.05% of net assets.

(d) The rate shown is the annualized seven-day yield at June 30, 2016.

(e) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Senior Floating Rate Loans
Aerospace & Defense	$	—	$	15,753,243	$	—	$	15,753,243
Airlines		—		8,824,174		—		8,824,174
Automobiles		—		11,132,282		—		11,132,282
Biotechnology		—		3,970,555		—		3,970,555
Building Products		—		3,176,396		—		3,176,396
Capital Markets		—		6,163,918		—		6,163,918
Chemicals		—		12,809,251		—		12,809,251
Commercial Services & Supplies		—		32,862,501		—		32,862,501
Communications Equipment		—		1,397,844		—		1,397,844
Computers & Peripherals		—		1,005,470		—		1,005,470
Containers & Packaging		—		13,361,253		—		13,361,253
Distributors		—		8,130,128		—		8,130,128

See accompanying notes to financial statements.

27

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Diversified Consumer Services	$	—	$	14,344,870	$	—	$	14,344,870
Diversified Financial Services		—		11,471,473		—		11,471,473
Diversified Telecommunication Services		—		28,434,636		—		28,434,636
Electric Utilities		—		3,507,815		—		3,507,815
Electronic Equipment, Instruments & Components		—		16,741,889		—		16,741,889
Food & Staples Retailing		—		20,630,148		—		20,630,148
Food Products		—		10,655,795		—		10,655,795
Health Care Equipment & Supplies		—		2,956,606		—		2,956,606
Health Care Providers & Services		—		28,769,908		—		28,769,908
Health Care Technology		—		10,972,648		—		10,972,648
Hotels, Restaurants & Leisure		—		61,987,035		—		61,987,035
Household Durables		—		8,878,688		—		8,878,688
Household Products		—		2,469,105		—		2,469,105
Independent Power Producers & Energy Traders		—		1,919,296		—		1,919,296
Insurance		—		25,451,037		—		25,451,037
Internet Software & Services		—		16,215,853		—		16,215,853
IT Services		—		20,328,048		—		20,328,048
Life Sciences Tools & Services		—		6,995,329		—		6,995,329
Machinery		—		3,880,314		—		3,880,314
Media		—		39,812,442		—		39,812,442
Multiline Retail		—		4,739,346		—		4,739,346
Personal Products		—		5,667,496		—		5,667,496
Pharmaceuticals		—		31,036,903		—		31,036,903
Professional Services		—		14,599,100		—		14,599,100
Real Estate Investment Trusts (REITs)		—		1,976,259		—		1,976,259
Real Estate Management & Development		—		5,116,142		—		5,116,142
Road & Rail		—		8,607,527		—		8,607,527
Semiconductors & Semiconductor Equipment		—		35,396,797		—		35,396,797
Software		—		77,225,625		—		77,225,625
Specialty Retail		—		24,764,810		—		24,764,810
Technology Hardware, Storage & Peripherals		—		12,598,065		—		12,598,065
Trading Companies & Distributors		—		5,102,837		—		5,102,837
Wireless Telecommunication Services		—		13,072,817		—		13,072,817
Corporate Bonds & Notes
Diversified Financial Services		—		485,000		—		485,000
Entertainment		—		6,516,438		—		6,516,438
Food Service		—		235,023		—		235,023
Health Care Products		—		880,298		—		880,298
Health Care Services		—		11,919,700		—		11,919,700
Internet		—		1,130,000		—		1,130,000

See accompanying notes to financial statements.

28

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Leisure Time	$	—	$	3,016,375	$	—	$	3,016,375
Media		—		6,470,113		—		6,470,113
Mining		—		226,050		—		226,050
Packaging & Containers		—		5,403,066		—		5,403,066
Retail		—		2,485,700		—		2,485,700
Software		—		4,851,800		—		4,851,800
Telecommunications		—		8,353,250		—		8,353,250
Short-Term Investment		68,870,496		—		—		68,870,496
TOTAL INVESTMENTS	$	68,870,496	$	746,886,487	$	—	$	815,756,983

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
State Street Institutional Liquid Reserves Fund, Premier Class		11,996,420	$	11,996,420		542,017,209		485,143,133		68,870,496	$	68,870,496	$	139,199	$	—

See accompanying notes to financial statements.

29

SSGA ULTRA SHORT TERM BOND PORTFOLIO

SPDR SSGA Ultra Short Term Bond ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Ultra Short Term Bond Portfolio. The schedule of investments for the SSGA Ultra Short Term Bond Portfolio follows.

30

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Principal Amount		Value
ASSET-BACKED SECURITIES — 30.0%
ASSET-BACKED — OTHER — 3.7%
Ford Credit Floorplan Master Owner Trust A:
Series 2013-5, Class A1, 1.50%, 9/15/2018	$	210,000	$	210,206
Series 2013-5, Class A2, 0.91%, 9/15/2018 (a)		230,000		230,066
Series 2014-1, Class A2, 0.84%, 2/15/2019 (a)		200,000		199,917
Mercedes-Benz Master Owner Trust Series 2015-AA, Class A, 0.76%, 4/15/2019 (a) (b)		250,000		250,000
				890,189
AUTOMOBILE — 11.6%
BMW Vehicle Lease Trust Series 2015-1, Class A2B, 0.77%, 2/21/2017 (a)		103,211		103,208
Drive Auto Receivables Trust Series 2015-DA, Class A2B, 1.31%, 6/15/2018 (a) (b)		64,174		64,177
Ford Credit Auto Lease Trust Series 2014-B, Class A4, 1.10%, 11/15/2017		250,000		249,991
Harley-Davidson Motorcycle Trust Series 2014-1, Class A3, 1.10%, 9/15/2019		238,359		238,458
Hyundai Auto Receivables Trust Series 2013-B, Class A4, 1.01%, 2/15/2019		905,143		905,456
Mercedes-Benz Auto Receivables Trust Series 2014-1, Class A3, 0.87%, 10/15/2018		354,189		354,048
Nissan Auto Receivables Owner Trust Series 2016-A, Class A2B, 0.79%, 2/15/2019 (a)		250,000		250,306
Santander Drive Auto Receivables Trust Series 2014-5, Class A3, 1.15%, 1/15/2019		195,761		195,820
Toyota Auto Receivables Owner Trust Series 2015-A, Class A3, 1.12%, 2/15/2019		425,000		425,942
World Omni Auto Receivables Trust Series 2014-B, Class A2A, 0.60%, 1/16/2018		478		478
				2,787,884
CREDIT CARD — 14.7%
American Express Credit Account Master Trust Series 2014-3, Class A, 1.49%, 4/15/2020		230,000		231,770
American Express Credit Account Secured Note Trust Series 2012-4, Class A, 0.68%, 5/15/2020 (a)		250,000		250,125
BA Credit Card Trust Series 2016-A1, Class A, 0.84%, 10/15/2021 (a)		1,000,000		1,000,000
Barclays Dryrock Issuance Trust Series 2014-2, Class A, 0.78%, 3/16/2020 (a)		100,000		99,983
Cabela’s Credit Card Master Note Trust Series 2012-2A, Class A2, 0.92%, 6/15/2020 (a) (b)		250,000		249,710
Capital One Multi-Asset Execution Trust Series 2015-A6, Class A6, 0.81%, 6/15/2020 (a)		250,000		250,318
Chase Issuance Trust:
Series 2007-A3, Class A3, 5.23%, 4/15/2019		500,000		513,350
Series 2013-A3, Class A3, 0.72%, 4/15/2020 (a)		150,000		149,783
Citibank Credit Card Issuance Trust:
Series 2013-A12, Class A12, 0.86%, 11/7/2018 (a)		200,000		200,047
Series 2013-A2, Class A2, 0.73%, 5/26/2020 (a)		420,000		420,087
Golden Credit Card Trust Series 2014-1A, Class A, 0.89%, 3/15/2019 (a) (b)		175,000		174,761
				3,539,934
TOTAL ASSET-BACKED SECURITIES
(Cost $7,216,142)				7,218,007
CORPORATE BONDS & NOTES — 58.3%
AEROSPACE & DEFENSE — 1.0%
Boeing Co. 0.76%, 10/30/2017 (a)		250,000		249,947
AUTO MANUFACTURERS — 6.4%
American Honda Finance Corp.:
Series MTN, 0.81%, 9/2/2016 (a)		100,000		100,035
Series MTN, 0.97%, 12/11/2017 (a)		187,000		186,854
Daimler Finance North America LLC:
0.99%, 3/2/2017 (a) (b)		350,000		349,661
1.35%, 8/3/2017 (a) (b)		150,000		150,099
Toyota Motor Credit Corp. Series 2547, 0.95%, 1/12/2018 (a)		750,000		749,062
				1,535,711
BANKS — 25.5%
Bank of America NA:
1.05%, 5/8/2017 (a)		150,000		150,113
1.13%, 6/5/2017 (a)		300,000		300,288
Bank of Nova Scotia 2.55%, 1/12/2017		400,000		403,180
Branch Banking & Trust Co. 1.05%, 12/1/2016		500,000		500,435
Canadian Imperial Bank of Commerce 1.15%, 7/18/2016 (a)		100,000		100,034
Commonwealth Bank of Australia 1.06%, 3/12/2018 (a) (b)		200,000		199,200
Fifth Third Bank 1.15%, 11/18/2016		200,000		200,129
Goldman Sachs Group, Inc.:
1.66%, 10/23/2019 (a)		500,000		496,950
Series 1, 1.84%, 4/30/2018 (a)		100,000		100,450
JPMorgan Chase & Co.:
1.78%, 6/7/2021 (a)		250,000		249,385
Series 1, 1.26%, 1/28/2019 (a)		350,000		349,303

See accompanying notes to financial statements.

31

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Morgan Stanley:
1.49%, 1/24/2019 (a)	$	305,000	$	304,680
Series GMTN, 1.92%, 4/25/2018 (a)		100,000		100,839
National Australia Bank, Ltd. 0.91%, 6/30/2017 (a) (b)		250,000		249,537
Nederlandse Waterschapsbank NV 0.83%, 10/18/2016 (a) (b)		200,000		200,054
Royal Bank of Canada:
Series GMTN, 0.90%, 6/16/2017 (a)		120,000		119,771
Series GMTN, 1.18%, 3/15/2019 (a)		250,000		248,630
Toronto-Dominion Bank:
1.09%, 7/2/2019 (a)		500,000		495,790
Series MTN, 1.48%, 1/22/2019 (a)		100,000		100,468
US Bank NA:
0.94%, 1/26/2018 (a)		100,000		99,749
1.11%, 10/28/2019 (a)		400,000		398,728
Series MTN, 1.22%, 1/29/2018 (a)		100,000		100,233
Wells Fargo & Co.:
1.06%, 9/14/2018 (a)		300,000		298,401
1.27%, 4/23/2018 (a)		100,000		100,068
Wells Fargo Bank NA 1.38%, 1/22/2018 (a)		250,000		251,002
				6,117,417
BEVERAGES — 3.1%
Anheuser-Busch InBev Finance, Inc. 1.04%, 2/1/2019 (a)		500,000		498,409
PepsiCo, Inc. 0.88%, 7/17/2017 (a)		250,000		250,495
				748,904
HEALTH CARE PRODUCTS — 1.0%
Medtronic, Inc. 0.76%, 2/27/2017 (a)		250,000		249,896
INTERNET — 0.7%
eBay, Inc. 1.12%, 8/1/2019 (a)		160,000		157,227
IT SERVICES — 1.5%
Apple, Inc. 0.70%, 5/5/2017 (a)		150,000		150,060
International Business Machines Corp. 0.82%, 2/6/2018 (a)		205,000		204,844
				354,904
MACHINERY, CONSTRUCTION & MINING — 2.5%
Caterpillar Financial Services Corp.:
Series GMTN, 0.83%, 6/9/2017 (a)		200,000		199,994
Series MTN, 1.00%, 3/3/2017		400,000		400,288
				600,282
MACHINERY-DIVERSIFIED — 2.5%
John Deere Capital Corp.:
1.20%, 1/8/2019 (a)		200,000		200,931
Series MTN, 0.87%, 12/15/2017 (a)		200,000		199,790
Series MTN, 1.85%, 9/15/2016		200,000		200,460
				601,181
OIL & GAS — 6.6%
BP Capital Markets PLC 1.14%, 5/10/2018 (a)		500,000		497,816
Chevron Corp.:
0.99%, 11/9/2017 (a)		250,000		249,970
1.14%, 11/16/2018 (a)		250,000		248,954
ConocoPhillips Co. 0.96%, 5/15/2018 (a)		100,000		98,863
Shell International Finance B.V. 0.95%, 5/10/2017 (a)		250,000		250,255
Statoil ASA 0.83%, 11/9/2017 (a)		250,000		248,913
				1,594,771
PHARMACEUTICALS — 1.0%
Pfizer, Inc. 0.95%, 6/15/2018 (a)		250,000		250,045
RETAIL — 1.7%
Home Depot, Inc. 1.02%, 9/15/2017 (a)		150,000		150,404
Lowe’s Cos., Inc. 1.08%, 9/10/2019 (a)		250,000		250,407
				400,811
SEMICONDUCTORS — 0.6%
QUALCOMM, Inc. 0.91%, 5/18/2018 (a)		150,000		149,540
SOFTWARE — 2.1%
Oracle Corp. 1.14%, 10/8/2019 (a)		500,000		501,180
TELECOMMUNICATIONS — 1.7%
Cisco Systems, Inc.:
0.96%, 6/15/2018 (a)		150,000		149,931
1.25%, 2/21/2018 (a)		250,000		251,495
				401,426
TRANSPORTATION — 0.4%
Canadian National Railway Co. 0.80%, 11/14/2017 (a)		100,000		100,038
TOTAL CORPORATE BONDS & NOTES
(Cost $14,023,761)				14,013,280
U.S. TREASURY OBLIGATIONS — 11.3%
Treasury Bill Zero Coupon, 10/6/2016		1,000,000		999,310
Treasury Notes:
0.63%, 5/31/2017		1,100,000		1,100,988
0.63%, 9/30/2017		300,000		300,281
0.88%, 3/31/2018		300,000		301,500
TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,697,690)				2,702,079
	Shares
SHORT-TERM INVESTMENT — 2.0%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (c) (d) (Cost $483,761)		483,761		483,761
TOTAL INVESTMENTS — 101.6% (Cost $24,421,354)				24,417,127
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.6)%				(377,360	)
NET ASSETS — 100.0%			$	24,039,767

See accompanying notes to financial statements.

32

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

(a) Variable Rate Security — Interest rate shown is rate in effect at June 30, 2016.

(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 7.9% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at June 30, 2016.

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Asset-Backed Securities
Asset-Backed — Other	$	—	$	890,189	$	—	$	890,189
Automobile		—		2,787,884		—		2,787,884
Credit Card		—		3,539,934		—		3,539,934
Corporate Bonds & Notes
Aerospace & Defense		—		249,947		—		249,947
Auto Manufacturers		—		1,535,711		—		1,535,711
Banks		—		6,117,417		—		6,117,417
Beverages		—		748,904		—		748,904
Health Care Products		—		249,896		—		249,896
Internet		—		157,227		—		157,227
IT Services		—		354,904		—		354,904
Machinery, Construction & Mining		—		600,282		—		600,282
Machinery-Diversified		—		601,181		—		601,181
Oil & Gas		—		1,594,771		—		1,594,771
Pharmaceuticals		—		250,045		—		250,045
Retail		—		400,811		—		400,811
Semiconductors		—		149,540		—		149,540
Software		—		501,180		—		501,180
Telecommunications		—		401,426		—		401,426
Transportation		—		100,038		—		100,038
U.S. Treasury Obligations		—		2,702,079		—		2,702,079
Short-Term Investment		483,761		—		—		483,761
TOTAL INVESTMENTS	$	483,761	$	23,933,366	$	—	$	24,417,127

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
State Street Institutional Liquid Reserves Fund, Premier Class		487,918	$	487,918		171,008,642		171,012,799		483,761	$	483,761	$	3,498	$	—

See accompanying notes to financial statements.

33

STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO

SPDR DoubleLine Total Return Tactical ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the State Street DoubleLine Total Return Tactical Portfolio. The schedule of investments for the State Street DoubleLine Total Return Tactical Portfolio follows.

34

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Principal Amount		Value
ASSET-BACKED SECURITIES — 1.5%
AVANT Loans Funding Trust Series 2016-B, Class A, 3.92%, 8/15/2019 (a)	$	674,290	$	677,096
Octagon Investment Partners, Ltd.:
Series 2012-1AR, Class AR, 1.57%, 5/5/2023 (a) (b)		2,006,488		2,000,462
Series 2016-1A, Class B, 2.81%, 7/15/2027 (a) (b)		2,500,000		2,487,500
OneMain Financial Issuance Trust Series 2015-1A, Class A, 3.19%, 3/18/2026 (a)		24,000,000		24,247,166
TCI-Flatiron CLO, Ltd. Series 2016-1A, Class B, 2.86%, 7/17/2028 (a) (b)		2,500,000		2,487,500
Venture CLO, Ltd. Series 2015-20A, Class A, 2.12%, 4/15/2027 (a) (b)		2,500,000		2,477,153
Westlake Automobile Receivables Trust Series 2016-2A, Class B, 2.30%, 11/15/2019 (a)		2,500,000		2,509,571
Wind River CLO, Ltd. Series 2016-1A, Class B, 3.08%, 7/15/2028 (a) (b)		2,500,000		2,492,475
TOTAL ASSET-BACKED SECURITIES
(Cost $39,069,353)				39,378,923
CORPORATE BONDS & NOTES — 16.6%
AUSTRALIA — 0.1%
Westpac Banking Corp. 2.60%, 11/23/2020		2,570,000		2,647,129
BARBADOS — 0.0% (c)
Columbus International, Inc. 7.38%, 3/30/2021		1,000,000		1,056,000
BELGIUM — 0.1%
Anheuser-Busch InBev Finance, Inc. 2.65%, 2/1/2021		2,530,000		2,622,006
BERMUDA — 0.0% (c)
Aircastle, Ltd. 5.00%, 4/1/2023		465,000		471,394
BRAZIL — 0.5%
Banco do Brasil SA 9.00%, 6/29/2049 (b)		200,000		155,000
CIMPOR Financial Operations B.V. 5.75%, 7/17/2024		700,000		516,250
Cosan Overseas, Ltd. 8.25%, 11/29/2049		4,564,000		4,312,980
Eldorado Intl. Finance GmbH 8.63%, 6/16/2021 (a)		500,000		483,925
ESAL GmbH 6.25%, 2/5/2023		200,000		197,500
Globo Comunicacao e Participacoes SA 5.31%, 5/11/2022 (d)		700,000		707,000
GTL Trade Finance, Inc. 5.89%, 4/29/2024		250,000		220,425
JBS Investments GmbH 7.75%, 10/28/2020		400,000		419,500
JBS USA LLC/JBS USA Finance, Inc. 7.25%, 6/1/2021 (a)		974,000		1,008,090
Marfrig Holdings Europe B.V.:
6.88%, 6/24/2019		1,300,000		1,303,900
8.00%, 6/8/2023 (a)		1,500,000		1,530,750
Marfrig Overseas, Ltd. 9.50%, 5/4/2020		250,000		257,120
Minerva Luxembourg SA 8.75%, 12/29/2049 (b)		1,650,000		1,658,250
				12,770,690
CANADA — 0.3%
Lundin Mining Corp. 7.50%, 11/1/2020 (a)		875,000		887,578
Open Text Corp. 5.88%, 6/1/2026 (a)		590,000		594,425
Royal Bank of Canada Series MTN, 2.35%, 10/30/2020		2,750,000		2,815,608
Toronto-Dominion Bank Series MTN, 2.13%, 4/7/2021		2,725,000		2,767,133
				7,064,744
CAYMAN ISLANDS — 0.0% (c)
Interoceanica IV Finance, Ltd. Zero Coupon, 11/30/2018		566,478		543,819
CHILE — 1.1%
Banco de Credito e Inversiones 4.00%, 2/11/2023		1,500,000		1,578,323
Celulosa Arauco y Constitucion SA:
4.75%, 1/11/2022		1,500,000		1,599,375
5.00%, 1/21/2021		260,000		280,800
Colbun SA 6.00%, 1/21/2020		1,500,000		1,659,891
CorpGroup Banking SA 6.75%, 3/15/2023		2,750,000		2,564,375
Empresa Electrica Angamos SA 4.88%, 5/25/2029		4,000,000		3,929,512
Empresa Electrica Guacolda SA 4.56%, 4/30/2025 (a)		900,000		836,414
GNL Quintero SA 4.63%, 7/31/2029		3,200,000		3,264,000
Guanay Finance, Ltd. 6.00%, 12/15/2020		4,340,306		4,307,754
Inversiones CMPC SA 4.50%, 4/25/2022		1,580,000		1,655,320
Itau CorpBanca 3.88%, 9/22/2019		1,300,000		1,362,153
Latam Airlines Group SA:
7.25%, 6/9/2020 (a)		800,000		775,000
7.25%, 6/9/2020		700,000		678,125
Sociedad Quimica y Minera de Chile SA:
4.38%, 1/28/2025		2,000,000		1,940,000
5.50%, 4/21/2020		850,000		894,625
Tanner Servicios Financieros SA 4.38%, 3/13/2018		1,100,000		1,102,750
VTR Finance B.V. 6.88%, 1/15/2024		1,200,000		1,196,376
				29,624,793

See accompanying notes to financial statements.

35

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
CHINA — 0.2%
CNOOC Finance 2015 Australia Pty, Ltd. 2.63%, 5/5/2020	$	1,500,000	$	1,513,679
CNPC General Capital, Ltd. 2.75%, 5/14/2019		500,000		509,477
Sinopec Group Overseas Development 2015, Ltd.:
2.50%, 4/28/2020 (a)		500,000		505,393
2.50%, 4/28/2020		500,000		505,394
Tencent Holdings, Ltd. 2.88%, 2/11/2020		2,000,000		2,051,806
				5,085,749
COLOMBIA — 1.6%
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings, Ltd. 8.38%, 5/10/2020		1,500,000		1,215,150
Banco Bilbao Vizcaya Argentaria Colombia SA 4.88%, 4/21/2025		2,900,000		2,871,000
Banco Davivienda SA 5.88%, 7/9/2022		1,600,000		1,636,000
Banco de Bogota SA:
5.38%, 2/19/2023		600,000		606,000
6.25%, 5/12/2026		600,000		610,500
6.25%, 5/12/2026 (a)		3,200,000		3,256,000
Banco GNB Sudameris SA:
3.88%, 5/2/2018		2,600,000		2,554,500
7.50%, 7/30/2022		400,000		417,000
Bancolombia SA:
5.95%, 6/3/2021		1,000,000		1,092,500
6.13%, 7/26/2020		3,000,000		3,210,000
Ecopetrol SA:
5.88%, 5/28/2045		500,000		432,500
7.38%, 9/18/2043		2,000,000		1,997,500
Empresa de Energia de Bogota SA ESP 6.13%, 11/10/2021		3,000,000		3,123,750
Empresas Publicas de Medellin ESP 7.63%, 7/29/2019		600,000		690,000
Grupo Aval, Ltd. 4.75%, 9/26/2022		4,500,000		4,398,750
GrupoSura Finance SA:
5.50%, 4/29/2026 (a)		1,400,000		1,459,500
5.70%, 5/18/2021		2,000,000		2,142,000
Oleoducto Central SA 4.00%, 5/7/2021		1,200,000		1,172,400
Pacific Exploration and Production Corp. 7.25%, 12/12/2021		400,000		74,000
SUAM Finance B.V. 4.88%, 4/17/2024		5,330,000		5,529,875
Transportadora de Gas Internacional SA ESP:
5.70%, 3/20/2022		3,000,000		3,127,500
5.70%, 3/20/2022 (a)		200,000		208,500
				41,824,925
COSTA RICA — 0.1%
Banco Nacional de Costa Rica:
4.88%, 11/1/2018		700,000		714,000
5.88%, 4/25/2021 (a)		3,000,000		3,095,100
				3,809,100
DOMINICAN REPUBLIC — 0.2%
Aeropuertos Dominicanos Siglo XXI SA 9.75%, 11/13/2019		400,000		426,000
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It 7.95%, 5/11/2026 (a)		2,200,000		2,288,000
Banco de Reservas de la Republica Dominicana:
7.00%, 2/1/2023 (a)		1,200,000		1,188,000
7.00%, 2/1/2023		1,300,000		1,287,000
				5,189,000
GUATEMALA — 0.3%
Agromercantil Senior Trust 6.25%, 4/10/2019		1,714,000		1,773,133
Cementos Progreso Trust 7.13%, 11/6/2023		1,100,000		1,166,000
Central American Bottling Corp. 6.75%, 2/9/2022		500,000		518,750
Comcel Trust via Comunicaciones Celulares SA 6.88%, 2/6/2024		4,000,000		3,900,000
Industrial Senior Trust 5.50%, 11/1/2022		1,900,000		1,862,000
				9,219,883
HONG KONG — 0.1%
Hutchison Whampoa International 12 II, Ltd. 3.25%, 11/8/2022		1,500,000		1,581,566
Hutchison Whampoa International 12, Ltd. 6.00%, 5/29/2049 (b)		2,000,000		2,060,000
				3,641,566
INDIA — 0.8%
Adani Ports & Special Economic Zone, Ltd. 3.50%, 7/29/2020		4,000,000		3,978,516
Bharat Petroleum Corp., Ltd.:
4.00%, 5/8/2025		500,000		507,263
4.63%, 10/25/2022		600,000		647,280
Bharti Airtel, Ltd. 4.38%, 6/10/2025		3,700,000		3,877,704
Export-Import Bank of India 3.13%, 7/20/2021		700,000		710,166
ONGC Videsh, Ltd.:
3.25%, 7/15/2019		500,000		513,850
3.75%, 5/7/2023		3,800,000		3,880,225
4.63%, 7/15/2024		1,000,000		1,067,316
Reliance Holding USA, Inc. 4.50%, 10/19/2020		250,000		270,614
Reliance Industries, Ltd. 5.88%, 1/1/1900		3,500,000		3,556,700
Vedanta Resources PLC:
6.00%, 1/31/2019		500,000		426,875
8.25%, 6/7/2021		500,000		411,250
				19,847,759

See accompanying notes to financial statements.

36

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
ISRAEL — 0.4%
Delek & Avner Tamar Bond, Ltd.:
4.44%, 12/30/2020 (a)	$	3,000,000	$	3,112,500
5.41%, 12/30/2025 (a)		2,000,000		2,070,000
Israel Electric Corp., Ltd.:
5.63%, 6/21/2018		3,800,000		4,024,200
Series 6, 5.00%, 11/12/2024 (a)		700,000		747,250
				9,953,950
JAMAICA — 0.1%
Digicel Group, Ltd.:
7.13%, 4/1/2022		3,300,000		2,437,875
8.25%, 9/30/2020		1,700,000		1,419,500
				3,857,375
MALAYSIA — 0.2%
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020		1,900,000		1,980,005
Petronas Global Sukuk, Ltd. 2.71%, 3/18/2020		4,200,000		4,247,473
				6,227,478
MEXICO — 1.5%
Banco Mercantil del Norte SA 6.86%, 10/13/2021 (b)		650,000		648,375
Banco Nacional de Comercio Exterior SNC:
4.38%, 10/14/2025 (a)		1,200,000		1,252,320
4.38%, 10/14/2025		2,700,000		2,817,720
Banco Santander Mexico SA 5.95%, 1/30/2024 (b)		4,250,000		4,462,500
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 4.13%, 11/9/2022		1,400,000		1,438,500
BBVA Bancomer SA:
5.35%, 11/12/2029 (b)		980,000		967,750
6.01%, 5/17/2022		2,350,000		2,338,250
6.50%, 3/10/2021		2,496,000		2,739,360
Comision Federal de Electricidad:
4.88%, 5/26/2021		1,750,000		1,865,937
4.88%, 1/15/2024		2,000,000		2,092,500
6.13%, 6/16/2045		1,200,000		1,270,500
Credito Real SAB de CV SOFOM ER 7.50%, 3/13/2019		200,000		206,000
Fermaca Enterprises S de RL de CV 6.38%, 3/30/2038		2,610,657		2,597,604
Grupo Elektra SAB de CV 7.25%, 8/6/2018		900,000		888,750
Grupo Idesa SA de CV 7.88%, 12/18/2020		2,000,000		2,035,000
Grupo Posadas SAB de CV 7.88%, 6/30/2022 (a)		400,000		406,000
Mexico Generadora de Energia S de RL 5.50%, 12/6/2032		4,852,038		4,657,956
Petroleos Mexicanos:
5.50%, 1/21/2021		1,500,000		1,589,940
6.38%, 1/23/2045		2,000,000		2,007,762
6.63%, 9/29/2049		600,000		592,500
Sixsigma Networks Mexico SA de CV 8.25%, 11/7/2021		600,000		597,000
TV Azteca SAB de CV:
7.50%, 5/25/2018		600,000		400,500
7.63%, 9/18/2020		600,000		375,000
Unifin Financiera SAB de CV 6.25%, 7/22/2019		400,000		392,400
				38,640,124
NETHERLANDS — 0.2%
Ajecorp B.V. 6.50%, 5/14/2022		150,000		60,375
Mylan NV 3.15%, 6/15/2021 (a)		1,360,000		1,380,609
NXP B.V./NXP Funding LLC 4.13%, 6/1/2021 (a)		900,000		918,000
Shell International Finance B.V. 1.38%, 5/10/2019		2,510,000		2,515,595
				4,874,579
NEW ZEALAND — 0.1%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.13%, 7/15/2023 (a)		1,335,000		1,351,688
PANAMA — 0.5%
Aeropuerto Internacional de Tocumen SA:
5.63%, 5/18/2036 (a)		1,700,000		1,700,000
5.75%, 10/9/2023		2,600,000		2,717,000
ENA Norte Trust 4.95%, 4/25/2028		2,770,209		2,818,687
Global Bank Corp.:
4.75%, 10/5/2017		1,000,000		1,014,000
5.13%, 10/30/2019		4,300,000		4,439,750
5.13%, 10/30/2019 (a)		200,000		206,500
				12,895,937
PARAGUAY — 0.2%
Banco Continental SAECA 8.88%, 10/15/2017		2,000,000		2,030,000
Banco Regional SAECA 8.13%, 1/24/2019		550,000		576,813
Telefonica Celular del Paraguay SA 6.75%, 12/13/2022		1,500,000		1,507,500
				4,114,313
PERU — 0.8%
Abengoa Transmision Sur SA:
6.88%, 4/30/2043 (a)		1,000,000		1,040,000
6.88%, 4/30/2043		2,200,000		2,288,000
Banco Internacional del Peru SAA 6.63%, 3/19/2029 (b)		2,000,000		2,122,500
BBVA Banco Continental SA 5.25%, 9/22/2029 (b)		225,000		232,987
Cia Minera Ares SAC 7.75%, 1/23/2021		1,000,000		1,038,750
Corp. Azucarera del Peru SA 6.38%, 8/2/2022		300,000		276,900
Corp. Financiera de Desarrollo SA:
4.75%, 2/8/2022		800,000		848,000
5.25%, 7/15/2029 (b)		500,000		512,500

See accompanying notes to financial statements.

37

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Inkia Energy, Ltd.:
8.38%, 4/4/2021 (a)	$	200,000	$	210,000
8.38%, 4/4/2021		500,000		525,000
Intercorp Peru, Ltd. 5.88%, 2/12/2025		600,000		598,500
Lima Metro Line 2 Finance, Ltd. 5.88%, 7/5/2034		1,000,000		1,048,500
Minsur SA 6.25%, 2/7/2024		2,000,000		2,030,000
Peru Enhanced Pass-Through Finance, Ltd. Zero Coupon, 6/2/2025		1,600,000		1,251,824
Southern Copper Corp. 5.88%, 4/23/2045		4,000,000		3,765,000
Union Andina de Cementos SAA 5.88%, 10/30/2021		3,000,000		3,040,500
Volcan Cia Minera SAA 5.38%, 2/2/2022		1,800,000		1,611,000
				22,439,961
QATAR — 0.0% (c)
Ras Laffan Liquefied Natural Gas Co., Ltd. II 5.30%, 9/30/2020		428,940		458,254
SINGAPORE — 0.6%
DBS Bank, Ltd. VRN, 3.63%, 9/21/2022 (b)		4,000,000		4,088,964
Oversea-Chinese Banking Corp., Ltd. 4.00%, 10/15/2024 (b)		4,500,000		4,708,413
United Overseas Bank, Ltd.:
3.50%, 9/16/2026 (b)		1,200,000		1,223,046
3.75%, 9/19/2024 (b)		4,500,000		4,657,500
				14,677,923
TRINIDAD AND TOBAGO — 0.2%
National Gas Co. of Trinidad & Tobango, Ltd. 6.05%, 1/15/2036		3,900,000		4,036,500
UNITED STATES — 6.4%
21st Century Fox America, Inc. 3.00%, 9/15/2022		2,713,000		2,811,843
AbbVie, Inc. 3.20%, 11/6/2022		2,300,000		2,373,675
Actavis Funding SCS 3.85%, 6/15/2024		2,375,000		2,480,671
Activision Blizzard, Inc. 5.63%, 9/15/2021 (a)		1,318,000		1,374,015
Air Medical Merger Sub Corp. 6.38%, 5/15/2023 (a)		725,000		691,016
Amazon.com, Inc.:
2.60%, 12/5/2019		1,825,000		1,905,140
3.80%, 12/5/2024		485,000		543,013
American Axle & Manufacturing, Inc. 6.63%, 10/15/2022		1,415,000		1,508,673
American Express Credit Corp. Series MTN, 1.80%, 7/31/2018		2,350,000		2,372,083
Anthem, Inc. 3.30%, 1/15/2023		2,530,000		2,613,613
Apache Corp. 4.75%, 4/15/2043		670,000		678,532
Apple, Inc. 4.38%, 5/13/2045		2,280,000		2,456,192
AT&T, Inc.:
3.40%, 5/15/2025		1,990,000		2,029,680
4.13%, 2/17/2026		600,000		643,936
Bank of America Corp. 2.00%, 1/11/2018		2,933,000		2,952,770
BB&T Corp.:
2.05%, 5/10/2021		1,595,000		1,612,060
Series MTN, 2.45%, 1/15/2020		930,000		956,635
Berry Plastics Corp. 5.50%, 5/15/2022		1,325,000		1,358,125
Boston Properties L.P. 3.65%, 2/1/2026		2,225,000		2,361,746
Burlington Northern Santa Fe LLC 3.40%, 9/1/2024		2,476,000		2,686,238
Caterpillar, Inc. 3.40%, 5/15/2024		2,408,000		2,591,478
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.13%, 5/1/2023 (a)		250,000		251,250
5.25%, 9/30/2022		1,350,000		1,382,130
Centene Corp.:
4.75%, 5/15/2022		325,000		331,500
5.63%, 2/15/2021 (a)		900,000		936,540
Cequel Communications Holdings I LLC/Cequel Capital Corp. 6.38%, 9/15/2020 (a)		1,355,000		1,375,189
Chevron Corp.:
1.56%, 5/16/2019		905,000		910,231
1.79%, 11/16/2018		496,000		501,993
Cisco Systems, Inc. 2.95%, 2/28/2026		2,320,000		2,471,808
Citigroup, Inc. 3.40%, 5/1/2026		2,735,000		2,796,012
Comcast Corp. 4.40%, 8/15/2035		2,078,000		2,333,761
CommScope, Inc. 5.00%, 6/15/2021 (a)		1,010,000		1,029,796
CSC Holdings LLC 6.75%, 11/15/2021		607,000		619,140
Dollar Tree, Inc. 5.75%, 3/1/2023 (a)		1,295,000		1,375,937
Duke Energy Corp. 3.75%, 4/15/2024		2,610,000		2,807,919
Eli Lilly & Co. 3.70%, 3/1/2045		2,585,000		2,732,011
Energy Transfer Partners L.P.:
4.75%, 1/15/2026		1,975,000		2,032,714
5.20%, 2/1/2022		1,075,000		1,112,625
Enterprise Products Operating LLC 3.75%, 2/15/2025		1,895,000		1,964,770
Equinix, Inc. 5.38%, 4/1/2023		1,565,000		1,611,950
ESH Hospitality, Inc. 5.25%, 5/1/2025 (a)		1,405,000		1,368,189
First Data Corp. 5.75%, 1/15/2024 (a)		1,350,000		1,328,906

See accompanying notes to financial statements.

38

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Freeport-McMoRan, Inc.:
3.88%, 3/15/2023	$	800,000	$	698,000
4.00%, 11/14/2021		700,000		630,630
5.45%, 3/15/2043		300,000		240,750
Frontier Communications Corp. 10.50%, 9/15/2022		845,000		895,700
Gates Global LLC/Gates Global Co. 6.00%, 7/15/2022 (a)		866,000		764,245
General Motors Financial Co., Inc.:
3.20%, 7/13/2020		970,000		980,254
4.20%, 3/1/2021		1,295,000		1,351,462
Georgia-Pacific LLC 3.60%, 3/1/2025 (a)		2,388,000		2,554,133
Goldman Sachs Group, Inc. 2.88%, 2/25/2021		2,575,000		2,640,517
Goodyear Tire & Rubber Co. 5.13%, 11/15/2023		1,270,000		1,311,275
HCA, Inc. 4.25%, 10/15/2019		1,585,000		1,653,353
HD Supply, Inc. 7.50%, 7/15/2020		845,000		882,941
Hewlett Packard Enterprise Co. 3.60%, 10/15/2020 (a)		2,665,000		2,775,353
Home Depot, Inc.:
3.00%, 4/1/2026		1,677,000		1,781,884
3.35%, 9/15/2025		836,000		913,453
Iron Mountain, Inc. 4.38%, 6/1/2021 (a)		940,000		946,486
JPMorgan Chase & Co. 2.25%, 1/23/2020		2,355,000		2,387,790
Kindred Healthcare, Inc. 8.00%, 1/15/2020		1,440,000		1,438,200
Kraft Heinz Foods Co. 2.80%, 7/2/2020 (a)		2,490,000		2,583,371
Laboratory Corp. of America Holdings 3.60%, 2/1/2025		2,500,000		2,592,263
Lam Research Corp.:
2.80%, 6/15/2021		112,000		114,906
3.45%, 6/15/2023		337,000		347,361
Level 3 Communications, Inc. 5.75%, 12/1/2022		1,346,000		1,362,825
Levi Strauss & Co. 5.00%, 5/1/2025		895,000		897,238
LifePoint Health, Inc. 5.38%, 5/1/2024 (a)		1,015,000		1,020,075
Memorial Production Partners L.P./Memorial Production Finance Corp. 6.88%, 8/1/2022		1,495,000		747,500
MetLife, Inc. 3.60%, 4/10/2024		2,675,000		2,811,219
MGM Growth Properties Operating Partnership L.P./MGP Escrow Co-Issuer, Inc. 5.63%, 5/1/2024 (a)		170,000		179,350
Morgan Stanley:
2.50%, 4/21/2021		1,015,000		1,024,402
2.65%, 1/27/2020		1,750,000		1,785,070
MPLX L.P. 5.50%, 2/15/2023 (a)		1,195,000		1,200,975
National Rural Utilities Cooperative Finance Corp. 2.30%, 11/1/2020		2,310,000		2,374,738
NCL Corp., Ltd. 5.25%, 11/15/2019 (a)		1,330,000		1,343,300
NRG Energy, Inc. 6.25%, 7/15/2022		625,000		607,813
Oracle Corp.:
2.25%, 10/8/2019		2,250,000		2,317,807
2.38%, 1/15/2019		380,000		391,564
Outfront Media Capital LLC/Outfront Media Capital Corp. 5.25%, 2/15/2022		1,570,000		1,593,550
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (a)		865,000		916,900
Quintiles Transnational Corp. 4.88%, 5/15/2023 (a)		1,565,000		1,593,366
Regal Entertainment Group 5.75%, 3/15/2022		1,430,000		1,465,750
Revlon Consumer Products Corp. 5.75%, 2/15/2021		715,000		693,550
Reynolds American, Inc. 4.00%, 6/12/2022		2,490,000		2,703,088
Sabre GLBL, Inc. 5.25%, 11/15/2023 (a)		1,155,000		1,179,544
Sally Holdings LLC/Sally Capital, Inc. 5.75%, 6/1/2022		1,299,000		1,350,960
SBA Communications Corp. 5.63%, 10/1/2019		1,305,000		1,349,044
Scientific Games International, Inc. 7.00%, 1/1/2022 (a)		1,335,000		1,345,012
Select Medical Corp. 6.38%, 6/1/2021		1,515,000		1,440,197
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. 6.38%, 5/1/2022 (a)		630,000		601,650
Simon Property Group L.P. 5.65%, 2/1/2020		1,590,000		1,797,408
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (a)		1,340,000		1,372,662
Sirius XM Radio, Inc. 5.38%, 7/15/2026 (a)		500,000		495,000
Southern Co. 2.45%, 9/1/2018		2,505,000		2,562,987
Spectrum Brands, Inc. 6.63%, 11/15/2022		862,000		913,720
Station Casinos LLC 7.50%, 3/1/2021		1,265,000		1,339,382
Thermo Fisher Scientific, Inc. 3.30%, 2/15/2022		2,310,000		2,392,197
TIAA Asset Management Finance Co. LLC 4.13%, 11/1/2024 (a)		2,275,000		2,389,876
Time Warner, Inc. 4.88%, 3/15/2020		1,680,000		1,860,202
TransDigm, Inc. 6.00%, 7/15/2022		1,450,000		1,457,540
TreeHouse Foods, Inc. 6.00%, 2/15/2024 (a)		275,000		291,500

See accompanying notes to financial statements.

39

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Tribune Media Co. 5.88%, 7/15/2022	$	1,190,000	$	1,184,050
Tyson Foods, Inc. 3.95%, 8/15/2024		2,430,000		2,621,881
United Technologies Corp. 3.10%, 6/1/2022		2,730,000		2,899,118
Universal Health Services, Inc. 4.75%, 8/1/2022 (a)		1,175,000		1,195,116
Verizon Communications, Inc. 3.50%, 11/1/2024		2,425,000		2,575,128
Viking Cruises, Ltd. 8.50%, 10/15/2022 (a)		1,095,000		933,487
Waste Management, Inc. 3.13%, 3/1/2025		1,955,000		2,048,087
Wells Fargo & Co.:
3.00%, 4/22/2026		1,410,000		1,433,485
Series MTN, 3.55%, 9/29/2025		1,450,000		1,541,118
				168,360,263
TOTAL CORPORATE BONDS & NOTES
(Cost $428,494,467)				437,306,902
FOREIGN GOVERNMENT OBLIGATIONS — 0.3%
COSTA RICA — 0.1%
Banco de Costa Rica 5.25%, 8/12/2018		850,000		868,062
Instituto Costarricense de Electricidad 6.95%, 11/10/2021		1,200,000		1,242,000
				2,110,062
MEXICO — 0.1%
Mexico Government International Bond 5.63%, 1/15/2017		2,236,000		2,290,782
PANAMA — 0.1%
Banco Latinoamericano de Comercio Exterior SA:
3.25%, 5/7/2020 (a)		1,500,000		1,507,500
3.25%, 5/7/2020		2,800,000		2,814,000
				4,321,500
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $8,694,139)				8,722,344
SENIOR FLOATING RATE LOANS — 4.0%
AEROSPACE & DEFENSE — 0.1%
BE Aerospace, Inc. Senior Secured Term Loan B, 3.75%, 12/16/2021		1,204,357		1,209,928
TransDigm, Inc.:
Senior Secured Delayed Draw Term Loan F, 3.75%, 6/9/2023		304,105		300,240
Senior Secured Term Loan F, 3.75%, 6/9/2023		337,895		333,600
				1,843,768
AUTO COMPONENTS — 0.0% (c)
Federal-Mogul Holdings Corp. Senior Secured Term Loan C, 4.75%, 4/15/2021		330,761		308,124
BEVERAGES — 0.0% (c)
Maple Holdings Acquisition Corp. Senior Secured Term Loan B, 5.25%, 3/3/2023		575,000		576,437
BUILDING PRODUCTS — 0.0% (c)
Jeld-Wen, Inc. Senior Secured Term Loan, 4.75%, 7/1/2022		1,177,521		1,176,785
CAPITAL MARKETS — 0.0% (c)
Guggenheim Partners LLC Senior Secured Term Loan, 4.25%, 7/22/2020		1,005,872		1,005,716
CHEMICALS — 0.2%
Avantor Performance Materials Holdings, Inc. Senior Secured 1st Lien Term Loan, 6.00%, 6/21/2022		1,200,000		1,193,250
Huntsman International, LLC Senior Secured Term Loan B, 4.25%, 4/1/2023		1,172,200		1,174,761
Klockner-Pentaplast of America, Inc. Senior Secured Term Loan, 5.00%, 4/28/2020		829,289		832,055
PolyOne Corporation Senior Secured Term Loan B, 3.50%, 11/11/2022		1,099,482		1,099,482
PQ Corporation Senior Secured Term Loan, 5.75%, 11/4/2022		1,180,000		1,182,289
				5,481,837
COMMERCIAL SERVICES & SUPPLIES — 0.3%
Allied Security Holdings LLC Senior Secured 1st Lien Term Loan, 4.25%, 2/12/2021		1,151,262		1,148,384
Asurion LLC:
Senior Secured Term Loan B1, 5.00%, 5/24/2019		716,654		714,267
Senior Secured Term Loan B4, 5.00%, 8/4/2022		641,901		634,359
Dealer Tire, LLC Senior Secured Term Loan B, 5.50%, 12/22/2021		1,196,193		1,202,174
KAR Auction Services, Inc. Senior Secured Term Loan B3, 4.25%, 3/9/2023		1,180,130		1,185,535
Prime Security Services Borrower LLC Senior Secured 1st Lien Term Loan, 4.75%, 7/1/2021		1,115,397		1,118,325
USAGM HoldCo LLC Senior Secured Term Loan, 4.75%, 7/28/2022		1,218,875		1,179,262
				7,182,306

See accompanying notes to financial statements.

40

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
CONSTRUCTION & ENGINEERING — 0.0%(c)
Summit Materials Cos., I LLC Senior Secured Term Loan B, 4.00%, 7/17/2022	$	1,180,836	$	1,176,408
CONTAINERS & PACKAGING — 0.2%
Ardagh Holdings USA, Inc. Senior Secured Incremental Term Loan, 4.00%, 12/17/2019		1,177,139		1,177,139
Berry Plastics Holding Corporation Senior Secured Term Loan H, 3.75%, 10/3/2022		1,159,838		1,152,508
KP Germany Erste GmbH Senior Secured 1st Lien Term Loan, 5.00%, 4/28/2020		354,397		355,579
Reynolds Group Holdings, Inc. Senior Secured Dollar Term Loan, 4.50%, 12/1/2018		1,209,671		1,211,425
				3,896,651
DIVERSIFIED CONSUMER SERVICES — 0.0% (c)
Nord Anglia Education Finance LLC Senior Secured Term Loan, 5.00%, 3/31/2021		1,188,032		1,184,325
DIVERSIFIED FINANCIAL SERVICES — 0.1%
AlixPartners LLP Senior Secured Term Loan B, 4.50%, 7/28/2022		1,207,396		1,207,697
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1%
Level 3 Financing, Inc. Senior Secured Term Loan B2, 3.50%, 5/31/2022		1,160,000		1,157,535
Virgin Media Investment Holdings, Ltd. Senior Secured Term Loan F, 3.65%, 6/30/2023		1,155,000		1,128,556
				2,286,091
ELECTRIC UTILITIES — 0.1%
EFS Cogen Holdings I LLC Senior Secured Term Loan B, 1.00%, 6/22/2023		946,000		949,548
Southeast PowerGen LLC Senior Secured Term Loan B, 4.50%, 12/2/2021		850,030		822,404
				1,771,952
FOOD & STAPLES RETAILING — 0.1%
Albertsons LLC Senior Secured Term Loan B4, 4.50%, 8/25/2021		1,212,831		1,213,377
FOOD PRODUCTS — 0.3%
AdvancePierre Foods, Inc. Senior Secured Term Loan, 4.75%, 6/2/2023		1,214,000		1,212,482
B&G Foods, Inc. Senior Secured Term Loan B, 3.75%, 11/2/2022		1,202,015		1,206,522
Candy Intermediate Holdings, Inc. Senior Secured Term Loan, 5.50%, 6/15/2023		1,221,000		1,221,763
CSM Bakery Solutions LLC Senior Secured 1st Lien Term Loan, 5.00%, 7/3/2020		1,209,833		1,196,525
Hostess Brands LLC Senior Secured 1st Lien Term Loan, 4.50%, 8/3/2022		1,177,171		1,178,054
Pinnacle Foods Finance LLC Senior Secured Incremental Term Loan I, 3.75%, 1/13/2023		1,164,586		1,171,784
				7,187,130
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c)
National Vision, Inc. Senior Secured 1st Lien Term Loan, 4.00%, 3/12/2021		1,184,362		1,153,273
HEALTH CARE PROVIDERS & SERVICES — 0.4%
Acadia Healthcare Co., Inc. Senior Secured Term Loan B2, 4.50%, 2/16/2023		1,199,549		1,190,301
American Renal Holdings, Inc. Senior Secured 1st Lien Term Loan, 4.75%, 9/20/2019		1,207,290		1,206,161
CHG Healthcare Services, Inc. Senior Secured Term Loan B, 4.75%, 6/7/2023		1,218,015		1,219,921
Envision Healthcare Corp. Senior Secured Term Loan B2, 4.50%, 10/28/2022		1,164,487		1,165,506
MPH Acquisition Holdings LLC Senior Secured Term Loan B, 5.00%, 6/7/2023		1,210,000		1,214,840
Surgery Center Holdings, Inc. Senior Secured 1st Lien Term Loan, 5.25%, 11/3/2020		1,186,820		1,183,853
U.S. Renal Care, Inc. Senior Secured Term Loan B, 5.25%, 12/31/2022		1,195,075		1,195,081
Vizient, Inc. Senior Secured 1st Lien Term Loan, 6.25%, 2/13/2023		1,177,500		1,187,803
				9,563,466
HOTELS, RESTAURANTS & LEISURE — 0.3%
Burger King 1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B2, 3.75%, 12/10/2021		1,201,157		1,201,157
Eldorado Resorts LLC Senior Secured Term Loan B, 4.25%, 7/23/2022		1,200,999		1,205,503
Four Seasons Holdings, Inc. Senior Secured 1st Lien Term Loan, 5.25%, 6/27/2020		1,151,303		1,144,591
LTF Merger Sub, Inc. Senior Secured Term Loan B, 4.25%, 6/10/2022		1,199,523		1,172,533
MGM Growth Prop. Operating Partnership L.P. Senior Secured Term Loan B, 4.00%, 4/25/2023		1,146,128		1,150,070

See accompanying notes to financial statements.

41

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Scientific Games International, Inc. Senior Secured Term Loan B2, 6.00%, 10/1/2021	$	1,169,412	$	1,154,940
Travelport Finance (Luxembourg) S.A.R.L. Senior Secured Term Loan B, 5.75%, 9/2/2021		20,000		19,919
Yum! Brands Inc. Senior Secured 1st Lien Term Loan B, 3.19%, 6/16/2023		1,210,000		1,213,025
				8,261,738
HOUSEHOLD DURABLES — 0.1%
Serta Simmons Holdings LLC Senior Secured Term Loan, 4.25%, 10/1/2019		1,185,000		1,185,492
Spin Holdco, Inc. Senior Secured Term Loan B, 4.25%, 11/14/2019		1,205,747		1,185,147
				2,370,639
HOUSEHOLD PRODUCTS — 0.1%
KIK Custom Products, Inc. Senior Secured Term Loan B, 6.00%, 8/26/2022		1,132,283		1,118,736
Samsonite International SA Senior Secured Term Loan B, 4.00%, 5/12/2023		1,306,000		1,313,999
				2,432,735
INSURANCE — 0.0% (c)
York Risk Services Holding Corp. Senior Secured Term Loan B, 4.75%, 10/1/2021		1,022,762		905,145
INTERNET SOFTWARE & SERVICES — 0.1%
Match Group Inc. Senior Secured Term Loan B1, 5.50%, 11/16/2022		1,206,250		1,214,796
IT SERVICES — 0.1%
First Data Corp. Senior Secured Extended Term Loan, 4.45%, 3/24/2021		1,157,611		1,155,684
Global Payments, Inc. Senior Secured Term Loan B, 3.96%, 4/22/2023		1,208,000		1,217,664
				2,373,348
LIFE SCIENCES TOOLS & SERVICES — 0.0% (c)
Jaguar Holding Company II Senior Secured Term Loan B, 4.25%, 8/18/2022		1,156,636		1,147,238
MACHINERY — 0.0% (c)
Filtration Group Corp. Senior Secured 1st Lien Term Loan, 4.25%, 11/21/2020		1,162,858		1,158,131
MEDIA — 0.4%
Charter Communications Operating LLC Senior Secured Term Loan I, 3.50%, 1/24/2023		1,207,063		1,209,893
Emerald Expositions Holding, Inc. Senior Secured Term Loan B, 4.75%, 6/17/2020		1,061,291		1,059,635
Live Nation Entertainment, Inc. Senior Secured Term Loan B1, 3.50%, 8/16/2020		1,172,274		1,174,472
McGraw-Hill Global Education Holdings LLC Senior Secured Term Loan B, 5.00%, 5/4/2022		857,000		857,214
MGOC, Inc. Senior Secured Term Loan B, 4.00%, 7/31/2020		1,181,508		1,182,247
Neptune Finco Corp. Senior Secured Term Loan B, 5.00%, 10/9/2022		1,165,000		1,169,078
Tribune Media Co. Senior Secured Term Loan, 3.75%, 12/27/2020		1,209,359		1,208,603
Univision Communications, Inc. Senior Secured Term Loan C3, 4.00%, 3/1/2020		1,185,814		1,180,134
Yankee Cable Acquisition LLC Senior Secured Term Loan B, 4.25%, 3/1/2020		494,044		494,352
				9,535,628
MULTILINE RETAIL — 0.1%
Dollar Tree, Inc. Senior Secured Term Loan B1, 3.50%, 7/6/2022		1,205,936		1,207,943
OIL, GAS & CONSUMABLE FUELS — 0.0% (c)
Energy Transfer Equity, L.P. Senior Secured Term Loan, 4.00%, 12/2/2019		356,000		344,939
PERSONAL PRODUCTS — 0.1%
Galleria Co. Senior Secured Term Loan B, 3.75%, 1/26/2023		1,180,000		1,180,732
NBTY, Inc. Senior Secured Term Loan B, 5.00%, 5/5/2023		1,151,000		1,144,013
				2,324,745
PHARMACEUTICALS — 0.0% (c)
Endo Luxembourg Finance Company I S.A.R.L. Senior Secured Term Loan B, 3.75%, 9/26/2022		1,214,325		1,197,324
PROFESSIONAL SERVICES — 0.0% (c)
TransUnion LLC Senior Secured Term Loan B2, 3.50%, 4/9/2021		1,160,998		1,148,848
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.0% (c)
Capital Automotive L.P. Senior Secured Term Loan B, 4.00%, 4/10/2019		1,198,627		1,202,199
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (c)
Americold Realty Operating Partnership, L.P. Senior Secured Term Loan B, 1.00%, 12/1/2022		249,000		250,556

See accompanying notes to financial statements.

42

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
ROAD & RAIL — 0.1%
Hertz Corp. Senior Secured Term Loan B, 1.00%, 6/30/2023	$	1,210,000	$	1,210,756
PODS LLC Senior Secured 1st Lien Term Loan, 4.50%, 2/2/2022		1,200,680		1,194,677
				2,405,433
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.2%
Avago Technologies Cayman, Ltd. Senior Secured Term Loan B1, 4.25%, 2/1/2023		1,207,113		1,210,040
Microsemi Corp. Senior Secured Term Loan B, 3.75%, 1/15/2023		967,894		967,492
NXP B.V. Senior Secured Term Loan B, 3.75%, 12/7/2020		1,203,254		1,207,297
ON Semiconductor Corp. Senior Secured Term Loan B, 5.25%, 3/31/2023		1,180,000		1,186,761
				4,571,590
SOFTWARE — 0.2%
Cengage Learning Acquisitions, Inc. Senior Secured Term Loan B, 1.00%, 6/7/2023		844,000		835,560
Cision US Inc. Senior Secured Term Loan B, 7.00%, 6/16/2023		1,000,000		955,940
Mitchell International, Inc. Senior Secured 2nd Lien Term Loan, 8.50%, 10/11/2021		280,000		260,634
SolarWinds Holdings, Inc. Senior Secured Term Loan, 6.50%, 2/3/2023		1,180,000		1,177,787
Sophia L.P. Senior Secured Term Loan B, 4.75%, 9/30/2022		1,182,358		1,170,535
Vertafore, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 6/9/2023		1,204,000		1,201,369
				5,601,825
SPECIALTY RETAIL — 0.1%
Michaels Stores, Inc. Senior Secured Incremental Term Loan B2, 4.00%, 1/28/2020		1,185,728		1,187,768
Party City Holdings, Inc. Senior Secured Term Loan B, 4.25%, 8/19/2022		1,177,547		1,171,659
				2,359,427
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.1%
Dell, Inc.:
Senior Secured Term Loan B, 1.00%, 5/24/2023		1,212,000		1,209,346
Senior Secured Term Loan B2, 4.00%, 4/29/2020		1,132,688		1,130,740
				2,340,086
TRADING COMPANIES & DISTRIBUTORS — 0.1%
Beacon Roofing Supply, Inc. Senior Secured Term Loan B, 4.00%, 10/1/2022		1,140,194		1,141,859
Solenis International LP Senior Secured 1st Lien Term Loan, 4.25%, 7/31/2021		494,716		490,389
Univar, Inc. Senior Secured Term Loan, 4.25%, 7/1/2022		1,192,558		1,177,651
				2,809,899
WIRELESS TELECOMMUNICATION SERVICES — 0.0% (c)
T-Mobile USA, Inc. Senior Secured Term Loan B, 3.50%, 11/9/2022		1,149,412		1,154,625
TOTAL SENIOR FLOATING RATE LOANS
(Cost $106,588,901)				106,534,180
COMMERCIAL MORTGAGE BACKED SECURITIES — 17.0%
A10 Securitization LLC:
Series 2016-1, Class 2A3, CMO, 3.00%, 12/20/2030 (a) (b)		4,486,800		4,591,608
Series 2016-1, Class A1, 2.42%, 3/15/2035 (a)		2,487,000		2,508,486
Ajax Mortgage Loan Trust Series 2015-B, Class A, 3.88%, 7/25/2060 (a) (d)		7,461,391		7,385,831
ALM, Ltd. Series 2012-7A, Class A1, 2.05%, 10/19/2024 (a) (b)		2,500,000		2,471,973
Alternative Loan Trust:
Series 2005-79CB, Class A4, 5.50%, 1/25/2036		12,601,472		10,369,783
Series 2006-24CB, Class A9, 6.00%, 6/25/2036		6,138,369		4,838,718
Series 2007-11T1, Class A21, 6.00%, 5/25/2037		2,460,598		1,890,013
Series 2007-14T2, Class A1, CMO, 6.00%, 7/25/2037		27,813,671		17,993,159
Apidos CLO Series 2013-16A, Class B, ABS, 3.43%, 1/19/2025 (a) (b)		1,250,000		1,231,258
Atrium Series 5A, Class A4, 1.03%, 7/20/2020 (a) (b)		1,000,000		960,979
AVANT Loans Funding Trust Series 2015-A, Class A, 4.00%, 8/16/2021 (a)		1,521,074		1,526,783
BAMLL Commercial Mortgage Securities Trust Series 2015-200P, Class XA, IO, 0.50%, 4/14/2033 (a) (b)		30,000,000		925,500
BAMLL Re-REMIC Trust Series 2011-07C1, Class A3B, 5.38%, 12/15/2016 (a)		550,000		551,305

See accompanying notes to financial statements.

43

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Banc of America Alternative Loan Trust:
Series 2005-7, Class 2CB1, 6.00%, 8/25/2035	$	13,844,752	$	13,183,040
Series 2005-9, Class 1CB2, CMO, 5.50%, 10/25/2035		8,176,827		7,351,336
Banc of America Commercial Mortgage Trust:
Series 2006-6, Class AM, 5.39%, 10/10/2045		500,000		504,086
Series 2015-UBS7, Class C, 4.51%, 9/15/2048 (b)		945,000		930,487
Banc of America Funding Trust:
Series 2005-5, Class 2A1, 5.50%, 9/25/2035		1,930,513		2,005,653
Series 2006-8T2, Class A4, 5.83%, 10/25/2036 (d)		6,568,140		5,334,085
Series 2007-5, Class CA1, 6.00%, 7/25/2037		9,030,454		6,822,297
Series 2010-R5, Class 1A3, 6.00%, 10/26/2037 (a)		5,838,321		5,050,286
BBCMS Trust Series 2015-STP, Class D, 4.43%, 9/10/2028 (a) (b)		1,750,000		1,759,343
BCAP LLC Trust Series 2012-RR1, Class 3A4, 5.81%, 10/26/2035 (a) (b)		6,908,673		6,139,984
Bear Stearns ALTA Trust Series 2006-1, Class 21A2, 2.84%, 2/25/2036 (b)		5,075,299		3,521,730
BlueMountain CLO, Ltd.:
Series 2012-1A, Class A, 1.95%, 7/20/2023 (a) (b)		2,500,000		2,478,520
Series 2012-2A, Class A1, 2.06%, 11/20/2024 (a) (b)		2,500,000		2,501,917
Series 2013-4A, Class A, 2.13%, 4/15/2025 (a) (b)		2,500,000		2,494,082
Series 2015-1A, Class A2, 2.88%, 4/13/2027 (a) (b)		1,800,000		1,765,768
Series 2015-2A, Class D, 4.18%, 7/18/2027 (a) (b)		750,000		696,656
Series 2015-3A, Class A1, 2.11%, 10/20/2027 (a) (b)		2,500,000		2,476,240
Series 2015-3A, Class B, 3.73%, 10/20/2027 (a) (b)		2,500,000		2,479,887
Series 2015-3A, Class C, 4.18%, 10/20/2027 (a) (b)		2,500,000		2,335,425
BXHTL Mortgage Trust Series 2015-JWRZ, Class A, 1.67%, 5/15/2029 (a) (b)		1,500,000		1,494,934
Carlyle Global Market Strategies CLO, Ltd. Series 2012-4A, Class A, 2.02%, 1/20/2025 (a) (b)		2,500,000		2,496,240
CD Mortgage Trust:
Series 2007-CD4, Class AMFX, 5.37%, 12/11/2049 (b)		2,542,000		2,585,668
Series 2007-CD5, Class AJA, 6.33%, 11/15/2044 (b)		800,000		821,766
CFCRE Commercial Mortgage Trust:
Series 2016-C3, Class XA, IO, 1.26%, 1/10/2048 (b)		25,084,671		1,940,370
Series 2016-C4, Class XA, IO, 1.94%, 5/10/2058 (b)		19,947,176		2,490,704
CGGS Commercial Mortgage Trust Series 2016-RNDB, Class AFL, 2.09%, 2/15/2033 (a) (b)		2,289,000		2,312,069
CHL Mortgage PassThrough Trust:
Series 2005-HYB8, Class 4A1, 2.75%, 12/20/2035 (b)		15,498,998		12,075,341
Series 2005-J2, Class 3A14, 5.50%, 8/25/2035		1,982,903		1,752,075
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037		6,819,098		5,908,145
Series 2007-HY1, Class 1A1, 3.03%, 4/25/2037 (b)		2,443,715		2,141,820
Citigroup Commercial Mortgage Trust:
Series 2007-C6, Class AMFX, 5.90%, 12/10/2049 (a) (b)		750,000		755,624
Series 2015-GC27, Class D, 4.58%, 2/10/2048 (a) (b)		943,700		719,504
Series 2015-GC31, Class C, 4.20%, 6/10/2048 (b)		1,500,000		1,469,797
Series 2015-GC33, Class C, 4.72%, 9/10/2058 (b)		1,500,000		1,501,565
Series 2015-GC35, Class C, 4.65%, 11/10/2048		1,435,000		1,419,447
Series 2016-GC36, Class XA, IO, 1.51%, 2/10/2049 (b)		22,173,108		2,060,826
Citigroup Mortgage Loan Trust:
Series 2007-AR5, Class 1A2A, 3.00%, 4/25/2037 (b)		4,597,646		4,162,563
Series 2009-7, Class 3A2, 6.00%, 7/25/2036 (a)		6,129,910		3,956,020
CitiMortgage Alternative Loan Trust:
Series 2006-A7, Class 1A8, CMO, 5.75%, 12/25/2036		7,184,013		6,169,833
Series 2007-A1, Class 1A7, 6.00%, 1/25/2037		12,103,429		10,257,062
COBALT CMBS Commercial Mortgage Trust Series 2006-C1, Class AM, 5.25%, 8/15/2048		2,180,000		2,181,271
Colony Mortgage Capital, Ltd. Series 2015-FL3, Class A, 2.41%, 9/5/2032 (a) (b)		1,320,876		1,316,248
COMM Mortgage Trust:
Series 2015-CR22, Class D, 4.26%, 3/10/2048 (a) (b)		1,500,000		1,197,709
Series 2015-CR22, Class XA, IO, 1.16%, 3/10/2048 (b)		10,904,651		650,057
Series 2015-CR23, Class D, 4.40%, 5/10/2048 (b)		900,000		662,970
Series 2015-CR26, Class B, 4.65%, 10/10/2048 (b)		1,600,000		1,720,070
Series 2015-CR26, Class XA, IO, 1.21%, 10/10/2048 (b)		22,805,488		1,591,390

See accompanying notes to financial statements.

44

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Series 2015-DC1, Class D, 4.50%, 2/10/2048 (a) (b)	$	750,000	$	556,667
Series 2015-DC1, Class XA, IO, 1.33%, 2/10/2048 (b)		9,181,372		621,720
Series 2015-LC19, Class D, 2.87%, 2/10/2048 (a)		1,200,000		873,618
Series 2015-LC21, Class C, 4.46%, 7/10/2048 (b)		968,000		881,360
Series 2016-CR28, Class C, 4.80%, 2/10/2049 (b)		2,235,000		2,204,786
Series 2016-DC2, Class C, 4.80%, 2/10/2049 (b)		1,329,000		1,294,947
Series 2016-DC2, Class XA, IO, 1.14%, 2/10/2049 (b)		19,984,525		1,469,174
Commercial Mortgage Trust Series 2007-GG11, Class AJ, 6.24%, 12/10/2049 (b)		3,000,000		3,013,728
Countrywide Commercial Mortgage Trust Series 2007-MF1, Class A, 6.28%, 11/12/2043 (a) (b)		857,908		878,199
Credit Suisse Commercial Mortgage Trust:
Series 2007-C4, Class A1AM, 6.14%, 9/15/2039 (b)		1,500,000		1,517,314
Series 2007-C5, Class A4, 5.70%, 9/15/2040 (b)		1,648,080		1,684,454
CSAIL Commercial Mortgage Trust:
Series 2015-C2, Class AS, 3.85%, 6/15/2057		900,000		967,923
Series 2015-C4, Class XA, IO, 1.11%, 11/15/2048 (b)		36,516,893		2,246,994
CSMC MortgageBacked Trust:
Series 2006-7, Class 7A7, 6.00%, 8/25/2036		4,219,467		3,828,602
Series 2006-8, Class 4A1, 6.50%, 10/25/2021		7,977,153		6,658,725
CSMC Trust:
Series 2015-RPL1, Class A1, 3.63%, 2/25/2057 (a) (d)		4,415,991		4,359,073
Series 2015-SAND, Class D, 3.29%, 8/15/2030 (a) (b)		1,550,000		1,491,973
Galaxy CLO, Ltd. Series 2013-15A, Class A, 1.88%, 4/15/2025 (a) (b)		2,500,000		2,473,055
GE Commercial Mortgage Corp. Trust Series 2007-C1, Class AM, 5.61%, 12/10/2049 (b)		2,109,000		2,040,187
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.75%, 2/10/2046 (b)		15,492,826		1,217,620
GS Mortgage Securities Trust:
Series 2014-GC20, Class XA, IO, 1.34%, 4/10/2047 (b)		54,568,850		3,338,921
Series 2014-GC24, Class XA, IO, 1.01%, 9/10/2047 (b)		32,489,343		1,623,603
Series 2015-GC32, Class B, 4.55%, 7/10/2048 (b)		1,500,000		1,579,445
Series 2015-GC32, Class XA, IO, 1.04%, 7/10/2048 (b)		26,734,505		1,434,884
Series 2015-GC34, Class XA, IO, 1.53%, 10/10/2048 (b)		17,431,110		1,563,721
Series 2015-GS1, Class XA, IO, 0.99%, 11/10/2048 (b)		27,157,590		1,627,687
Series 2016-ICE2, Class A, 2.37%, 2/15/2033 (a) (b)		2,225,000		2,240,222
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50%, 11/25/2037		3,434,895		2,454,077
GSR Mortgage Loan Trust Series 2007-3F, Class 2A1, 5.75%, 5/25/2037		7,727,486		7,416,949
IndyMac INDX Mortgage Loan Trust Series 2006-R1, Class A3, 2.94%, 12/25/2035 (b)		7,652,029		6,246,132
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-LDP9, Class AM, 5.37%, 5/15/2047		1,465,000		1,460,529
Series 2007-C1, Class AM, 6.19%, 2/15/2051 (b)		2,108,000		2,141,336
Series 2007-CB20, Class AJ, 6.28%, 2/12/2051 (b)		1,500,000		1,492,755
Series 2007-LD11, Class AM, 5.93%, 6/15/2049 (b)		2,180,000		2,180,307
Series 2007-LD12, Class AM, 6.20%, 2/15/2051 (b)		800,000		821,318
Series 2008-C2, Class A4, 6.07%, 2/12/2051		1,907,890		1,979,024
Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (b)		1,775,000		1,887,220
Series 2015-CSMO, Class C, 2.69%, 1/15/2032 (a) (b)		1,500,000		1,488,707
Series 2015-JP1, Class XA, 1.31%, 1/15/2049 (b)		23,251,191		1,568,437
JP Morgan Mortgage Trust:
Series 2006-A3, Class 1A1, 2.83%, 5/25/2036 (b)		12,724,912		11,587,233
Series 2007-S3, Class 1A35, 6.00%, 8/25/2037		16,925,070		14,644,263
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25, Class XA, IO, 1.15%, 11/15/2047 (b)		6,443,862		370,725
Series 2014-C26, Class C, 4.57%, 1/15/2048 (b)		1,500,000		1,479,255
Series 2015-C27, Class XA, IO, 1.52%, 2/15/2048 (b)		7,901,087		593,033
Series 2015-C28, Class XA, IO, 1.34%, 10/15/2048 (b)		11,925,133		791,983
Series 2015-C30, Class XA, IO, 0.86%, 7/15/2048 (b)		31,004,113		1,222,895
Series 2015-C32, Class C, 4.82%, 11/15/2048 (b)		1,300,000		1,212,803
Series 2015-C33, Class C, 4.77%, 12/15/2048 (b)		1,739,000		1,699,514

See accompanying notes to financial statements.

45

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Series 2016-C1, Class C, 4.91%, 3/15/2049 (b)	$	2,180,000	$	2,178,683
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.87%, 6/15/2049 (b)		22,119,643		2,471,689
LB Commercial Mortgage Trust:
Series 2007-C3, Class AMB, 5.19%, 7/15/2044		1,084,000		1,114,119
Series 2007-C3, Class AMFL, 6.12%, 7/15/2044 (a) (b)		990,000		1,023,088
LBUBS Commercial Mortgage Trust:
Series 2007-C1, Class AJ, 5.48%, 2/15/2040		3,000,000		3,016,465
Series 2007-C2, Class AM, 5.49%, 2/15/2040 (b)		1,110,000		1,125,897
Series 2007-C7, Class AJ, 6.45%, 9/15/2045 (b)		1,615,000		1,615,523
LCM L.P. Series 16A, Class A, 2.13%, 7/15/2026 (a) (b)		2,500,000		2,494,590
Limerock CLO Series 2007-1A, Class B, 1.27%, 4/24/2023 (a) (b)		500,000		473,346
Madison Park Funding, Ltd.:
Series 2014-14A, Class D, 4.23%, 7/20/2026 (a) (b)		1,250,000		1,152,716
Series 2015-16A, Class B, 3.63%, 4/20/2026 (a) (b)		2,500,000		2,486,025
Merrill Lynch Mortgage Investors Trust Series 2006-AF2, Class AF2, 6.25%, 10/25/2036		3,665,080		3,013,753
Merrill Lynch Mortgage Trust:
Series 2006-C1, Class AJ, 5.74%, 5/12/2039 (b)		1,294,044		1,286,425
Series 2007-C1, Class AM, 6.02%, 6/12/2050 (b)		2,180,000		2,142,491
ML-CFC Commercial Mortgage Trust Series 2007-7, Class A4, 5.81%, 6/12/2050 (b)		2,174,637		2,238,273
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C12, Class XA, IO, 1.11%, 10/15/2046 (b)		19,230,162		732,135
Series 2013-C7, Class XA, IO, 1.76%, 2/15/2046 (b)		18,403,525		1,231,941
Series 2015-C20, Class A4, 3.25%, 2/15/2048		355,000		374,584
Series 2015-C20, Class C, 4.61%, 2/15/2048 (b)		500,000		479,366
Series 2015-C25, Class C, 4.68%, 10/15/2048 (b)		1,700,000		1,676,441
Series 2015-C27, Class C, 4.69%, 12/15/2047 (b)		1,219,000		1,188,883
Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (b)		1,750,000		1,113,711
Series 2016-C28, Class XA, IO, 1.45%, 1/15/2049 (b)		24,276,871		2,112,520
Morgan Stanley Capital I Trust:
Series 2007-IQ14, Class A4, 5.69%, 4/15/2049 (b)		1,616,210		1,646,560
Series 2015-UBS8, Class XA, IO, 1.14%, 12/15/2048 (b)		26,297,314		1,804,493
Series 2015-XLF1, Class D, 3.44%, 8/14/2031 (a) (b)		750,000		742,282
Morgan Stanley Mortgage Loan Trust Series 2005-3AR, Class 2A1, 2.88%, 7/25/2035 (b)		9,690,037		8,093,151
OZLM, Ltd. Series 2014-6A, Class A2A, 2.78%, 4/17/2026 (a) (b)		2,500,000		2,444,625
Race Point CLO, Ltd. Series 2012-7A, Class A, 2.05%, 11/8/2024 (a) (b)		2,500,000		2,490,245
RALI Trust Series 2004-QS7, Class A4, 5.50%, 5/25/2034		2,066,954		2,098,098
Residential Asset Securitization Trust Series 2005-A13, Class 1A7, 5.50%, 10/25/2035		3,538,199		3,231,362
Structured Adjustable Rate Mortgage Loan Trust:
Series 2005-21, Class 1A, 3.01%, 11/25/2035 (b)		3,125,623		2,467,639
Series 2006-8, Class 4A3, 4.83%, 9/25/2036 (b)		2,368,261		2,059,652
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 0.62%, 12/25/2036 (b)		3,665,301		3,134,471
Towd Point Mortgage Trust Series 2015-1, Class AE, 3.00%, 10/25/2053 (a)		3,128,589		3,148,721
Venture CLO, Ltd. Series 2014-17A, Class B2, 2.73%, 7/15/2026 (a) (b)		2,500,000		2,423,823
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C24, Class AJ, 5.66%, 3/15/2045 (b)		183,577		183,364
Series 2006-C28, Class AJ, 5.63%, 10/15/2048 (b)		1,500,000		1,496,917
Series 2007-C33, Class AJ, 6.15%, 2/15/2051 (b)		1,600,000		1,586,773
Series 2007-C33, Class AM, 6.15%, 2/15/2051 (b)		1,550,000		1,596,086
Series 2007-C34, Class A3, 5.68%, 5/15/2046		707,202		728,245
Washington Mutual Mortgage PassThrough Certificates WMALT Trust:
Series 2005-8, Class 2CB1, 5.50%, 10/25/2035		3,464,707		3,393,413

See accompanying notes to financial statements.

46

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Series 2006-5, Class 3A2, 6.00%, 7/25/2036 (d)	$	3,643,929	$	1,650,774
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b)		14,940,052		14,361,245
Wells Fargo Commercial Mortgage Trust:
Series 2014-LC16, Class D, 3.94%, 8/15/2050 (a)		920,000		721,803
Series 2015-C26, Class D, 3.59%, 2/15/2048 (a)		900,000		623,846
Series 2015-C26, Class XA, IO, 1.54%, 2/15/2048 (b)		9,317,601		748,054
Series 2015-C27, Class C, 3.89%, 2/15/2048		750,000		692,547
Series 2015-C28, Class C, 4.27%, 5/15/2048 (b)		1,500,000		1,408,853
Series 2015-LC20, Class XA, IO, 1.55%, 4/15/2050 (b)		7,932,647		640,903
Series 2015-NXS1, Class XA, IO, 1.34%, 5/15/2048 (b)		9,910,559		710,704
Series 2015-NXS2, Class XA, IO, 0.94%, 7/15/2058 (b)		29,816,585		1,443,379
Series 2015-NXS3, Class C, 4.64%, 9/15/2057 (b)		1,600,000		1,533,992
Series 2015-P2, Class A4, 3.81%, 12/15/2048		1,568,000		1,724,635
Series 2015-P2, Class XA, IO, 1.17%, 12/15/2048 (b)		22,148,517		1,524,257
Series 2016-C32, Class C, 4.88%, 1/15/2059 (b)		1,581,000		1,600,970
Series 2016-C33, Class XA, IO, 1.98%, 3/15/2059 (b)		15,623,084		1,862,873
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 2.86%, 8/25/2037 (b)		11,788,117		10,667,377
WFRBS Commercial Mortgage Trust:
Series 2014-C19, Class XA, IO, 1.42%, 3/15/2047 (b)		10,571,945		663,979
Series 2014-C21, Class XA, IO, 1.32%, 8/15/2047 (b)		19,620,166		1,272,395
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $461,856,407)				448,679,573
MORTGAGE-BACKED SECURITIES — 0.3%
Citigroup Commercial Mortgage Trust Series 2007-C6, Class AM, 5.90%, 12/10/2049 (b)		800,000		802,850
COMM Mortgage Trust Series 2013-CR12, Class XA, IO, 1.54%, 10/10/2046 (b)		33,994,841		2,258,345
Commercial Mortgage Trust Series 2007-GG11, Class AM, 5.87%, 12/10/2049 (b)		225,000		232,752
Credit Suisse Commercial Mortgage Trust Series 2008-C1, Class AM, 6.27%, 2/15/2041 (a) (b)		1,700,000		1,774,356
GS Mortgage Securities Trust Series 2007-GG10, Class A4, 5.99%, 8/10/2045 (b)		1,524,694		1,562,181
Wachovia Bank Commercial Mortgage Trust Series 2007-C30, Class AM, 5.38%, 12/15/2043		1,750,000		1,780,244
TOTAL MORTGAGE-BACKED SECURITIES (Cost $8,654,310)				8,410,728
U.S. GOVERNMENT AGENCY OBLIGATIONS — 41.3%
Federal Home Loan Mortgage Corp.:
3.00%, 6/15/2044		13,969,663		14,428,305
3.00%, 1/1/2045		3,849,294		3,991,354
3.00%, 2/1/2045		2,674,770		2,773,484
3.00%, 3/1/2045		2,750,684		2,852,199
3.00%, 4/1/2045		18,568,636		19,253,919
3.00%, 5/1/2045		9,350,640		9,695,729
3.00%, 7/1/2045		4,744,546		4,919,646
3.00%, 8/1/2045		24,773,344		25,687,614
3.00%, 10/1/2045		15,997,292		16,587,679
3.00%, 12/1/2045		30,995,409		32,139,307
3.00%, 12/1/2045		38,811,792		40,244,157
3.00%, 1/1/2046		21,484,456		22,277,348
3.50%, 2/1/2045		5,287,805		5,576,803
3.50%, 4/1/2045		9,176,785		9,678,330
3.50%, 4/1/2045		7,345,857		7,747,336
3.50%, 4/1/2045		24,969,567		26,334,246
3.50%, 6/1/2045		16,664,933		17,575,733
3.50%, 10/1/2045		19,533,406		20,600,979
3.50%, 2/1/2046		24,499,196		25,848,908
4.50%, 6/1/2044		3,530,299		3,849,288
IO, 5.56%, 5/15/2041 (b)		21,231,885		3,876,335
Series 3822, Class ZG, 4.00%, 2/15/2041		3,391,430		3,901,976
Series 3889, Class VZ, 4.00%, 7/15/2041		18,392,161		19,908,130
Series 3935, Class SJ, IO, 6.21%, 5/15/2041 (b)		5,078,147		717,874
Series 4165, Class ZT, 3.00%, 2/15/2043		14,800,496		14,756,653
Series 4215, Class KC, 2.25%, 3/15/2038		26,196,777		26,765,171
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044		36,749,493		42,120,741
Series 4434, Class LZ, 3.00%, 2/15/2045		3,122,276		3,125,029
Series 4444, Class CZ, 3.00%, 2/15/2045		11,448,347		11,348,808
Series 4447, Class A, 3.00%, 6/15/2041		2,908,701		3,046,827
Series 4447, Class Z, 3.00%, 3/15/2045		3,778,680		3,908,320
Series 4471, Class BA, 3.00%, 12/15/2041		9,194,949		9,660,208

See accompanying notes to financial statements.

47

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Principal Amount		Value
Series 4471, Class GA, 3.00%, 2/15/2044	$	13,315,498	$	13,863,027
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045		10,806,938		12,339,264
Series 4481, Class B, 3.00%, 12/15/2042		9,266,554		9,601,412
Series 4483, Class CA, 3.00%, 6/15/2044		17,740,676		18,677,379
Series 4491, Class B, 3.00%, 8/15/2040		18,686,648		19,345,237
Series 4492, Class GZ, 3.50%, 7/15/2045		7,845,955		8,375,280
Series 4499, Class AB, 3.00%, 6/15/2042		18,661,115		19,326,655
Series 4503, Class AB, CMO, REMIC, 3.00%, 11/15/2040		12,820,637		13,254,278
Series 4504, Class CA, 3.00%, 4/15/2044		20,250,999		21,332,471
Series 4511, Class QA, 3.00%, 1/15/2041		18,810,939		19,527,577
Series 4511, Class QC, 3.00%, 12/15/2040		14,037,505		14,600,946
Series 4543, Class HG, 2.70%, 4/15/2044		23,854,059		24,488,611
Series 4582, Class HA, 3.00%, 9/15/2045		19,826,371		20,736,732
Series K053, Class A2, 3.00%, 12/25/2025		2,232,000		2,395,405
Federal National Mortgage Association:
3.00%, 11/1/2030		26,582,689		27,884,166
3.00%, 10/1/2034		5,900,991		6,187,026
3.00%, 4/1/2035		4,555,628		4,777,604
3.00%, 4/1/2035		5,258,115		5,514,320
3.00%, 5/1/2035		2,628,572		2,756,650
3.00%, 5/1/2035		2,704,897		2,836,694
3.00%, 6/1/2036		19,922,397		20,899,993
3.00%, 4/1/2040		21,634,876		22,457,116
3.00%, 1/1/2045		3,415,964		3,503,448
3.00%, 2/1/2045		3,674,575		3,770,112
3.00%, 3/1/2045		3,707,270		3,848,166
3.00%, 4/1/2045		16,206,739		16,628,336
3.00%, 7/1/2045		14,503,197		14,886,001
3.00%, 7/1/2046		49,000,000		50,305,679
3.50%, 9/1/2034		4,379,772		4,659,777
3.50%, 12/1/2034		3,888,926		4,137,551
3.50%, 2/1/2035		2,495,667		2,656,222
3.50%, 1/1/2045		17,071,203		18,009,142
3.50%, 2/1/2045		8,224,635		8,679,803
3.50%, 6/1/2045		17,261,609		18,216,904
4.50%, 3/1/2044		1,909,002		2,083,058
4.50%, 3/1/2044		3,111,469		3,395,162
4.50%, 6/1/2044		2,819,892		3,077,000
4.50%, 7/1/2044		2,974,540		3,245,748
4.50%, 2/1/2045		3,302,748		3,603,881
Series 2010-109, Class N, 3.00%, 10/25/2040		5,316,566		5,559,982
Series 2011-51, Class CI, CMO, IO, REMIC, 5.55%, 6/25/2041 (b)		15,663,879		2,488,271
Series 2012-127, Class PA, 2.75%, 11/25/2042		5,831,783		5,985,059
Series 2012-151, Class SB, 5.32%, 1/25/2043 (b)		1,546,036		1,503,984
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038		15,459,130		15,645,989
Series 2013-30, Class PS, 5.32%, 4/25/2043 (b)		1,718,187		1,699,775
Series 2014-21, Class GZ, 3.00%, 4/25/2044		5,908,411		5,847,186
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044		8,494,056		8,583,083
Series 2015-42, Class CA, 3.00%, 3/25/2044		10,631,836		11,132,501
Series 2015-9, Class HA, 3.00%, 1/25/2045		19,666,256		20,645,040
Series 2015-95, Class AP, CMO, REMIC, 3.00%, 8/25/2042		28,103,105		29,247,589
Series 2016-21, Class BZ, CMO, REMIC, 3.00%, 4/25/2046		4,363,802		4,384,127
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044		19,782,679		20,781,275
Series 2016-M3, Class A2, 2.70%, 2/25/2026		2,150,000		2,248,234
Government National Mortgage Association:
Series 2013-169, Class SE, IO, 5.61%, 11/16/2043 (b)		5,132,328		769,005
Series 2013-34, Class PL, 3.00%, 3/20/2042		17,510,032		18,136,758
Series 2014-43, Class PS, IO, 5.73%, 7/20/2042 (b)		15,050,376		1,970,365
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,064,071,732)				1,087,710,492
U.S. TREASURY OBLIGATIONS — 8.8%
Treasury Bond 3.13%, 2/15/2043		27,200,000		32,003,247
Treasury Notes:
0.88%, 6/15/2017		24,200,000		24,285,911
1.38%, 4/30/2020		68,400,000		69,694,811
1.75%, 3/31/2022		40,500,000		41,847,436
2.00%, 2/15/2025		60,200,000		62,959,568
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $223,655,281)				230,790,973
SHORT-TERM INVESTMENT — 13.4%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (e) (f) (Cost $351,792,987)		351,792,987		351,792,987
TOTAL INVESTMENTS — 103.2% (Cost $2,692,877,577)				2,719,327,102
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.2)%				(83,254,125	)
NET ASSETS — 100.0%			$	2,636,072,977

See accompanying notes to financial statements.

48

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

(a) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 8.7% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b) Variable Rate Security — Interest rate shown is rate in effect at June 30, 2016.

(c) Amount is less than 0.05% of net assets.

(d) Step-up bond — Coupon rate increases in increments to maturity. Rate shown as of June 30, 2016. Maturity date shown is the final maturity.

(e) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(f) The rate shown is the annualized seven-day yield at June 30, 2016.

CMO Collateralized Mortgage Obligation

IO Interest Only

MTN Medium Term Note

REMIC Real Estate Mortgage Investment Conduit

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Asset-Backed Securities	$	—	$	39,378,923	$	—	$	39,378,923
Corporate Bonds & Notes
Australia		—		2,647,129		—		2,647,129
Barbados		—		1,056,000		—		1,056,000
Belgium		—		2,622,006		—		2,622,006
Bermuda		—		471,394		—		471,394
Brazil		—		12,770,690		—		12,770,690
Canada		—		7,064,744		—		7,064,744
Cayman Islands		—		543,819		—		543,819
Chile		—		29,624,793		—		29,624,793
China		—		5,085,749		—		5,085,749
Colombia		—		41,824,925		—		41,824,925
Costa Rica		—		3,809,100		—		3,809,100
Dominican Republic		—		5,189,000		—		5,189,000
Guatemala		—		9,219,883		—		9,219,883
Hong Kong		—		3,641,566		—		3,641,566
India		—		19,847,759		—		19,847,759
Israel		—		9,953,950		—		9,953,950
Jamaica		—		3,857,375		—		3,857,375
Malaysia		—		6,227,478		—		6,227,478
Mexico		—		38,640,124		—		38,640,124
Netherlands		—		4,874,579		—		4,874,579
New Zealand		—		1,351,688		—		1,351,688
Panama		—		12,895,937		—		12,895,937
Paraguay		—		4,114,313		—		4,114,313
Peru		—		22,439,961		—		22,439,961
Qatar		—		458,254		—		458,254

See accompanying notes to financial statements.

49

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Singapore	$	—	$	14,677,923	$	—	$	14,677,923
Trinidad And Tobago		—		4,036,500		—		4,036,500
United States		—		168,360,263		—		168,360,263
Foreign Government Obligations
Costa Rica		—		2,110,062		—		2,110,062
Mexico		—		2,290,782		—		2,290,782
Panama		—		4,321,500		—		4,321,500
Senior Floating Rate Loans
Aerospace & Defense		—		1,843,768		—		1,843,768
Auto Components		—		308,124		—		308,124
Beverages		—		576,437		—		576,437
Building Products		—		1,176,785		—		1,176,785
Capital Markets		—		1,005,716		—		1,005,716
Chemicals		—		5,481,837		—		5,481,837
Commercial Services & Supplies		—		7,182,306		—		7,182,306
Construction & Engineering		—		1,176,408		—		1,176,408
Containers & Packaging		—		3,896,651		—		3,896,651
Diversified Consumer Services		—		1,184,325		—		1,184,325
Diversified Financial Services		—		1,207,697		—		1,207,697
Diversified Telecommunication Services		—		2,286,091		—		2,286,091
Electric Utilities		—		1,771,952		—		1,771,952
Food & Staples Retailing		—		1,213,377		—		1,213,377
Food Products		—		7,187,130		—		7,187,130
Health Care Equipment & Supplies		—		1,153,273		—		1,153,273
Health Care Providers & Services		—		9,563,466		—		9,563,466
Hotels, Restaurants & Leisure		—		8,261,738		—		8,261,738
Household Durables		—		2,370,639		—		2,370,639
Household Products		—		2,432,735		—		2,432,735
Insurance		—		905,145		—		905,145
Internet Software & Services		—		1,214,796		—		1,214,796
IT Services		—		2,373,348		—		2,373,348
Life Sciences Tools & Services		—		1,147,238		—		1,147,238
Machinery		—		1,158,131		—		1,158,131
Media		—		9,535,628		—		9,535,628
Multiline Retail		—		1,207,943		—		1,207,943
Oil, Gas & Consumable Fuels		—		344,939		—		344,939
Personal Products		—		2,324,745		—		2,324,745
Pharmaceuticals		—		1,197,324		—		1,197,324
Professional Services		—		1,148,848		—		1,148,848
Real Estate Investment Trusts (REITs)		—		1,202,199		—		1,202,199

See accompanying notes to financial statements.

50

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Real Estate Management & Development	$	—	$	250,556	$	—	$	250,556
Road & Rail		—		2,405,433		—		2,405,433
Semiconductors & Semiconductor Equipment		—		4,571,590		—		4,571,590
Software		—		5,601,825		—		5,601,825
Specialty Retail		—		2,359,427		—		2,359,427
Technology Hardware, Storage & Peripherals		—		2,340,086		—		2,340,086
Trading Companies & Distributors		—		2,809,899		—		2,809,899
Wireless Telecommunication Services		—		1,154,625		—		1,154,625
Commercial Mortgage Backed Securities		—		448,679,573		—		448,679,573
Mortgage-Backed Securities		—		8,410,728		—		8,410,728
U.S. Government Agency Obligations		—		1,087,710,492		—		1,087,710,492
U.S. Treasury Obligations		—		230,790,973		—		230,790,973
Short-Term Investment		351,792,987		—		—		351,792,987
TOTAL INVESTMENTS	$	351,792,987	$	2,367,534,115	$	—	$	2,719,327,102

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
State Street Institutional Liquid Reserves Fund, Premier Class		152,859,462	$	152,859,462		1,649,219,723		1,450,286,198		351,792,987	$	351,792,987	$	648,464	$	—

See accompanying notes to financial statements.

51

SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO

SPDR MFS Systematic Core Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Core Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Core Equity Portfolio follows.

52

SSGA MFS Systematic Core Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Shares		Value
COMMON STOCKS — 98.7%
AEROSPACE & DEFENSE — 4.0%
General Dynamics Corp.		340	$	47,342
Northrop Grumman Corp.		845		187,826
				235,168
BANKS — 6.2%
JPMorgan Chase & Co.		3,841		238,680
Wells Fargo & Co.		2,555		120,928
				359,608
BIOTECHNOLOGY — 4.7%
Amgen, Inc.		615		93,572
Gilead Sciences, Inc.		2,199		183,441
				277,013
CHEMICALS — 2.7%
LyondellBasell Industries NV Class A		2,082		154,942
CONSUMER FINANCE — 1.1%
Discover Financial Services		1,212		64,951
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.7%
Verizon Communications, Inc.		3,867		215,933
ELECTRIC UTILITIES — 3.3%
Exelon Corp.		5,310		193,071
FOOD & STAPLES RETAILING — 1.1%
Kroger Co.		1,699		62,506
FOOD PRODUCTS — 5.4%
Archer-Daniels-Midland Co.		2,725		116,875
Mondelez International, Inc. Class A		930		42,324
Tyson Foods, Inc. Class A		2,354		157,224
				316,423
HEALTH CARE PROVIDERS & SERVICES — 4.1%
Aetna, Inc.		616		75,232
Anthem, Inc.		751		98,637
UnitedHealth Group, Inc.		471		66,505
				240,374
HOTELS, RESTAURANTS & LEISURE — 4.2%
Carnival Corp.		1,149		50,786
McDonald’s Corp.		491		59,087
Royal Caribbean Cruises, Ltd.		2,028		136,180
				246,053
HOUSEHOLD PRODUCTS — 1.0%
Procter & Gamble Co.		697		59,015
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.0%
AES Corp.		9,280		115,814
INSURANCE — 5.9%
MetLife, Inc.		4,108		163,622
Security Description		Shares		Value
Prudential Financial, Inc.		2,539		181,132
				344,754
INTERNET & CATALOG RETAIL — 7.4%
Amazon.com, Inc. (a)		402		287,679
Priceline Group, Inc. (a)		118		147,313
				434,992
MEDIA — 2.2%
Charter Communications, Inc. Class A (a)		289		66,077
Comcast Corp. Class A		946		61,670
				127,747
MULTILINE RETAIL — 0.7%
Target Corp.		605		42,241
OIL, GAS & CONSUMABLE FUELS — 5.3%
Exxon Mobil Corp.		1,674		156,921
Valero Energy Corp.		3,011		153,561
				310,482
PHARMACEUTICALS — 8.4%
Eli Lilly & Co.		1,605		126,394
Johnson & Johnson		1,756		213,003
Merck & Co., Inc.		2,597		149,613
				489,010
REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.8%
Extra Space Storage, Inc. REIT		1,743		161,297
SOFTWARE — 5.6%
Activision Blizzard, Inc.		2,698		106,922
Oracle Corp.		2,387		97,700
Take-Two Interactive Software, Inc. (a)		3,208		121,647
				326,269
SPECIALTY RETAIL — 4.5%
Best Buy Co., Inc.		5,169		158,171
O’Reilly Automotive, Inc. (a)		386		104,645
				262,816
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.4%
Apple, Inc.		1,925		184,030
Hewlett Packard Enterprise Co.		7,724		141,118
HP, Inc.		3,817		47,903
				373,051
TEXTILES, APPAREL & LUXURY GOODS — 1.8%
Michael Kors Holdings, Ltd. (a)		2,145		106,135
TOBACCO — 4.2%
Altria Group, Inc.		1,205		83,097
Philip Morris International, Inc.		1,567		159,395
				242,492
TOTAL COMMON STOCKS (Cost $5,769,415)				5,762,157
SHORT-TERM INVESTMENT — 1.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (b) (c) (Cost $70,177)		70,177		70,177
TOTAL INVESTMENTS — 99.9% (Cost $5,839,592)				5,832,334
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				4,829
NET ASSETS — 100.0%			$	5,837,163

(a) Non-income producing security.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at June 30, 2016.

REIT Real Estate Investment Trust

See accompanying notes to financial statements.

53

SSGA MFS Systematic Core Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	235,168	$	—	$	—	$	235,168
Banks		359,608		—		—		359,608
Biotechnology		277,013		—		—		277,013
Chemicals		154,942		—		—		154,942
Consumer Finance		64,951		—		—		64,951
Diversified Telecommunication Services		215,933		—		—		215,933
Electric Utilities		193,071		—		—		193,071
Food & Staples Retailing		62,506		—		—		62,506
Food Products		316,423		—		—		316,423
Health Care Providers & Services		240,374		—		—		240,374
Hotels, Restaurants & Leisure		246,053		—		—		246,053
Household Products		59,015		—		—		59,015
Independent Power Producers & Energy Traders		115,814		—		—		115,814
Insurance		344,754		—		—		344,754
Internet & Catalog Retail		434,992		—		—		434,992
Media		127,747		—		—		127,747
Multiline Retail		42,241		—		—		42,241
Oil, Gas & Consumable Fuels		310,482		—		—		310,482
Pharmaceuticals		489,010		—		—		489,010
Real Estate Investment Trusts (REITs)		161,297		—		—		161,297
Software		326,269		—		—		326,269
Specialty Retail		262,816		—		—		262,816
Technology Hardware, Storage & Peripherals		373,051		—		—		373,051
Textiles, Apparel & Luxury Goods		106,135		—		—		106,135
Tobacco		242,492		—		—		242,492
Short-Term Investment		70,177		—		—		70,177
TOTAL INVESTMENTS	$	5,832,334	$	—	$	—	$	5,832,334

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
State Street Institutional Liquid Reserves Fund, Premier Class		26,105	$	26,105		203,801		159,729		70,177	$	70,177	$	144	$	—

54

See accompanying notes to financial statements.

SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO

SPDR MFS Systematic Growth Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Growth Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Growth Equity Portfolio follows.

55

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Shares		Value
COMMON STOCKS — 98.6%
AEROSPACE & DEFENSE — 3.2%
Huntington Ingalls Industries, Inc.		586	$	98,466
Northrop Grumman Corp.		1,293		287,408
				385,874
AUTO COMPONENTS — 1.9%
Lear Corp.		2,295		233,539
BANKS — 0.9%
JPMorgan Chase & Co.		1,712		106,384
BEVERAGES — 2.2%
Coca-Cola Co.		5,863		265,770
BIOTECHNOLOGY — 5.9%
Amgen, Inc.		1,691		257,286
Gilead Sciences, Inc.		5,514		459,978
				717,264
CHEMICALS — 2.8%
LyondellBasell Industries NV Class A		4,657		346,574
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.6%
Verizon Communications, Inc.		5,772		322,308
FOOD & STAPLES RETAILING — 4.3%
CVS Health Corp.		1,755		168,024
Kroger Co.		9,704		357,010
				525,034
FOOD PRODUCTS — 3.3%
Tyson Foods, Inc. Class A		6,077		405,883
HEALTH CARE PROVIDERS & SERVICES — 6.8%
Anthem, Inc.		2,450		321,783
HCA Holdings, Inc. (a)		1,159		89,255
McKesson Corp.		1,810		337,837
UnitedHealth Group, Inc.		517		73,000
				821,875
HOTELS, RESTAURANTS & LEISURE — 2.7%
Carnival Corp.		3,139		138,744
McDonald’s Corp.		621		74,731
Norwegian Cruise Line Holdings, Ltd. (a)		2,985		118,922
				332,397
INSURANCE — 1.9%
Prudential Financial, Inc.		3,230		230,428
INTERNET & CATALOG RETAIL — 10.1%
Amazon.com, Inc. (a)		1,084		775,732
Priceline Group, Inc. (a)		359		448,179
				1,223,911
INTERNET SOFTWARE & SERVICES — 4.1%
Alphabet, Inc. Class A (a)		109		76,685
Facebook, Inc. Class A (a)		667		76,225
VeriSign, Inc. (a)		3,958		342,208
				495,118
IT SERVICES — 6.9%
Cognizant Technology Solutions Corp. Class A (a)		1,580		90,439
Fiserv, Inc. (a)		1,490		162,008
Global Payments, Inc.		5,189		370,391
International Business Machines Corp.		1,411		214,161
				836,999
MEDIA — 5.3%
Charter Communications, Inc. Class A (a)		654		149,530
Comcast Corp. Class A		7,552		492,315
				641,845
PHARMACEUTICALS — 5.5%
Bristol-Myers Squibb Co.		2,789		205,131
Eli Lilly & Co.		1,794		141,277
Johnson & Johnson		1,779		215,793
Merck & Co., Inc.		1,873		107,904
				670,105
REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.7%
Extra Space Storage, Inc. REIT		1,325		122,616
Simon Property Group, Inc. REIT		938		203,452
				326,068
ROAD & RAIL — 0.6%
Union Pacific Corp.		886		77,304
SOFTWARE — 9.3%
Electronic Arts, Inc. (a)		6,043		457,818
Oracle Corp.		7,209		295,064
Take-Two Interactive Software, Inc. (a)		9,936		376,773
				1,129,655
SPECIALTY RETAIL — 3.8%
AutoZone, Inc. (a)		189		150,036
Best Buy Co., Inc.		8,237		252,052
O’Reilly Automotive, Inc. (a)		140		37,954
Urban Outfitters, Inc. (a)		952		26,180
				466,222
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.2%
Apple, Inc.		2,810		268,636
TEXTILES, APPAREL & LUXURY GOODS — 3.6%
Michael Kors Holdings, Ltd. (a)		8,750		432,950
TOBACCO — 4.5%
Altria Group, Inc.		4,948		341,214
Security Description		Shares		Value
Philip Morris International, Inc.		2,063		209,848
				551,062
TRADING COMPANIES & DISTRIBUTORS — 1.5%
United Rentals, Inc. (a)		2,654		178,083
TOTAL COMMON STOCKS (Cost $11,558,334)				11,991,288
SHORT-TERM INVESTMENT — 1.4%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (b) (c) (Cost $175,794)		175,794		175,794
TOTAL INVESTMENTS — 100.0% (Cost $11,734,128)				12,167,082
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%				927
NET ASSETS — 100.0%			$	12,168,009

See accompanying notes to financial statements.

56

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

(a) Non-income producing security.

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at June 30, 2016.

REIT Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	385,874	$	—	$	—	$	385,874
Auto Components		233,539		—		—		233,539
Banks		106,384		—		—		106,384
Beverages		265,770		—		—		265,770
Biotechnology		717,264		—		—		717,264
Chemicals		346,574		—		—		346,574
Diversified Telecommunication Services		322,308		—		—		322,308
Food & Staples Retailing		525,034		—		—		525,034
Food Products		405,883		—		—		405,883
Health Care Providers & Services		821,875		—		—		821,875
Hotels, Restaurants & Leisure		332,397		—		—		332,397
Insurance		230,428		—		—		230,428
Internet & Catalog Retail		1,223,911		—		—		1,223,911
Internet Software & Services		495,118		—		—		495,118
IT Services		836,999		—		—		836,999
Media		641,845		—		—		641,845
Pharmaceuticals		670,105		—		—		670,105
Real Estate Investment Trusts (REITs)		326,068		—		—		326,068
Road & Rail		77,304		—		—		77,304
Software		1,129,655		—		—		1,129,655
Specialty Retail		466,222		—		—		466,222
Technology Hardware, Storage & Peripherals		268,636		—		—		268,636
Textiles, Apparel & Luxury Goods		432,950		—		—		432,950
Tobacco		551,062		—		—		551,062
Trading Companies & Distributors		178,083		—		—		178,083
Short-Term Investment		175,794		—		—		175,794
TOTAL INVESTMENTS	$	12,167,082	$	—	$	—	$	12,167,082

See accompanying notes to financial statements.

57

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
State Street Institutional Liquid Reserves Fund, Premier Class		63,671	$	63,671		498,592		386,469		175,794	$	175,794	$	351	$	—

See accompanying notes to financial statements.

58

SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO

SPDR MFS Systematic Value Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Value Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Value Equity Portfolio follows.

59

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Shares		Value
COMMON STOCKS — 98.7%
AEROSPACE & DEFENSE — 3.8%
Northrop Grumman Corp.		451	$	100,248
AUTO COMPONENTS — 1.0%
Goodyear Tire & Rubber Co.		1,004		25,763
AUTOMOBILES — 1.8%
General Motors Co.		1,640		46,412
BANKS — 11.8%
Citigroup, Inc.		1,631		69,138
JPMorgan Chase & Co.		2,129		132,296
Wells Fargo & Co.		2,239		105,972
				307,406
BIOTECHNOLOGY — 1.4%
Gilead Sciences, Inc.		452		37,706
CHEMICALS — 2.6%
LyondellBasell Industries NV Class A		896		66,680
COMMUNICATIONS EQUIPMENT — 1.8%
Cisco Systems, Inc.		1,678		48,142
CONSUMER FINANCE — 1.7%
Discover Financial Services		831		44,533
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.2%
Verizon Communications, Inc.		556		31,047
ELECTRIC UTILITIES — 7.2%
Exelon Corp.		2,794		101,590
PG&E Corp.		854		54,587
PPL Corp.		837		31,597
				187,774
ENERGY EQUIPMENT & SERVICES — 0.9%
Schlumberger, Ltd.		290		22,933
FOOD PRODUCTS — 4.9%
Bunge, Ltd.		670		39,631
Tyson Foods, Inc. Class A		1,331		88,897
				128,528
HEALTH CARE EQUIPMENT & SUPPLIES — 0.6%
Abbott Laboratories		407		15,999
HEALTH CARE PROVIDERS & SERVICES — 3.9%
Anthem, Inc.		167		21,934
Cardinal Health, Inc.		309		24,105
HCA Holdings, Inc. (a)		460		35,425
UnitedHealth Group, Inc.		151		21,321
				102,785
HOTELS, RESTAURANTS & LEISURE — 3.4%
Carnival Corp.		1,593		70,411
Royal Caribbean Cruises, Ltd.		266		17,862
				88,273
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.4%
AES Corp.		5,123		63,935
INDUSTRIAL CONGLOMERATES — 1.6%
Danaher Corp.		424		42,824
INSURANCE — 7.3%
MetLife, Inc.		1,638		65,242
Prudential Financial, Inc.		1,027		73,266
Travelers Cos., Inc.		192		22,856
Validus Holdings, Ltd.		629		30,563
				191,927
INTERNET & CATALOG RETAIL — 1.4%
Priceline Group, Inc. (a)		30		37,452
OIL, GAS & CONSUMABLE FUELS — 11.0%
Chevron Corp.		160		16,773
Exxon Mobil Corp.		543		50,901
Marathon Petroleum Corp.		861		32,683
Occidental Petroleum Corp.		544		41,105
Rice Energy, Inc. (a)		2,280		50,251
Valero Energy Corp.		1,363		69,513
WPX Energy, Inc. (a)		2,736		25,472
				286,698
PHARMACEUTICALS — 6.2%
Johnson & Johnson		629		76,298
Merck & Co., Inc.		1,469		84,629
				160,927
REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.9%
AvalonBay Communities, Inc. REIT		411		74,140
STORE Capital Corp.		950		27,978
				102,118
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.4%
Intel Corp.		1,876		61,533
SOFTWARE — 4.4%
Activision Blizzard, Inc.		1,709		67,727
Take-Two Interactive Software, Inc. (a)		1,240		47,021
				114,748
SPECIALTY RETAIL — 2.0%
Best Buy Co., Inc.		1,669		51,071
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.0%
HP, Inc.		1,809		22,703
NetApp, Inc.		1,151		28,303
				51,006
TEXTILES, APPAREL & LUXURY GOODS — 3.4%
Michael Kors Holdings, Ltd. (a)		1,820		90,054
TOBACCO — 2.7%
Altria Group, Inc.		1,020		70,339
TOTAL COMMON STOCKS (Cost $2,518,842)				2,578,861
SHORT-TERM INVESTMENT — 1.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (b) (c) (Cost $31,318)		31,318		31,318
TOTAL INVESTMENTS — 99.9%
(Cost $2,550,160)				2,610,179
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				3,620
NET ASSETS — 100.0%			$	2,613,799

(a) Non-income producing security.

See accompanying notes to financial statements.

60

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at June 30, 2016.

REIT Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	100,248	$	—	$	—	$	100,248
Auto Components		25,763		—		—		25,763
Automobiles		46,412		—		—		46,412
Banks		307,406		—		—		307,406
Biotechnology		37,706		—		—		37,706
Chemicals		66,680		—		—		66,680
Communications Equipment		48,142		—		—		48,142
Consumer Finance		44,533		—		—		44,533
Diversified Telecommunication Services		31,047		—		—		31,047
Electric Utilities		187,774		—		—		187,774
Energy Equipment & Services		22,933		—		—		22,933
Food Products		128,528		—		—		128,528
Health Care Equipment & Supplies		15,999		—		—		15,999
Health Care Providers & Services		102,785		—		—		102,785
Hotels, Restaurants & Leisure		88,273		—		—		88,273
Independent Power Producers & Energy Traders		63,935		—		—		63,935
Industrial Conglomerates		42,824		—		—		42,824
Insurance		191,927		—		—		191,927
Internet & Catalog Retail		37,452		—		—		37,452
Oil, Gas & Consumable Fuels		286,698		—		—		286,698
Pharmaceuticals		160,927		—		—		160,927
Real Estate Investment Trusts (REITs)		102,118		—		—		102,118
Semiconductors & Semiconductor Equipment		61,533		—		—		61,533
Software		114,748		—		—		114,748
Specialty Retail		51,071		—		—		51,071
Technology Hardware, Storage & Peripherals		51,006		—		—		51,006
Textiles, Apparel & Luxury Goods		90,054		—		—		90,054
Tobacco		70,339		—		—		70,339
Short-Term Investment		31,318		—		—		31,318
TOTAL INVESTMENTS	$	2,610,179	$	—	$	—	$	2,610,179

See accompanying notes to financial statements.

61

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
State Street Institutional Liquid Reserves Fund, Premier Class		27,610	$	27,610		140,522		136,814		31,318	$	31,318	$	66	$	—

See accompanying notes to financial statements.

62

STATE STREET RISK AWARE PORTFOLIO

SPDR SSGA Risk Aware ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the State Street Risk Aware Portfolio. The schedule of investments for the State Street Risk Aware Portfolio follows.

63

State Street Risk Aware Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2016

Security Description	Shares		Value
COMMON STOCKS — 99.2%
AIR FREIGHT & LOGISTICS — 0.9%
Park-Ohio Holdings Corp.		594	$	16,798
AUTO COMPONENTS — 0.3%
Stoneridge, Inc. (a)		296		4,422
Tenneco, Inc. (a)		44		2,051
				6,473
BANKS — 0.7%
First Connecticut Bancorp, Inc.		144		2,385
People’s United Financial, Inc.		759		11,127
				13,512
BEVERAGES — 4.6%
Coca-Cola Co.		1,011		45,829
PepsiCo, Inc.		413		43,753
				89,582
BIOTECHNOLOGY — 3.6%
Amgen, Inc.		409		62,229
Arrowhead Pharmaceuticals, Inc. (a)		734		3,905
Inovio Pharmaceuticals, Inc. (a)		189		1,746
Karyopharm Therapeutics, Inc. (a)		415		2,785
				70,665
BUILDING PRODUCTS — 1.5%
Builders FirstSource, Inc. (a)		963		10,834
USG Corp. (a)		663		17,874
				28,708
CAPITAL MARKETS — 1.3%
Goldman Sachs Group, Inc.		31		4,606
Pzena Investment Management, Inc. Class A		2,750		20,928
				25,534
CHEMICALS — 2.5%
Ferro Corp. (a)		2,445		32,714
Huntsman Corp.		260		3,497
Kraton Performance Polymers, Inc. (a)		347		9,692
Kronos Worldwide, Inc.		354		1,858
LSB Industries, Inc. (a)		134		1,619
				49,380
COMMERCIAL SERVICES & SUPPLIES — 0.9%
ACCO Brands Corp. (a)		1,721		17,778
COMMUNICATIONS EQUIPMENT — 3.1%
Aerohive Networks, Inc. (a)		2,845		18,834
Sonus Networks, Inc. (a)		174		1,512
Ubiquiti Networks, Inc. (a)		1,069		41,328
				61,674
CONSTRUCTION & ENGINEERING — 0.2%
Tutor Perini Corp. (a)		179		4,215
DIVERSIFIED FINANCIAL SERVICES — 4.3%
Berkshire Hathaway, Inc. Class B (a)		573		82,965
Moody’s Corp.		10		937
S&P Global, Inc.		13		1,394
				85,296
DIVERSIFIED TELECOMMUNICATION SERVICES — 8.7%
AT&T, Inc.		1,925		83,179
Globalstar, Inc. (a)		1,390		1,682
Security Description	Shares		Value
Verizon Communications, Inc.		1,549		86,496
				171,357
ELECTRIC UTILITIES — 0.9%
PG&E Corp.		271		17,322
ELECTRICAL EQUIPMENT — 0.2%
FuelCell Energy, Inc. (a)		510		3,172
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.0%
Control4 Corp. (a)		204		1,665
InvenSense, Inc. (a)		4,313		26,439
VeriFone Systems, Inc. (a)		614		11,383
				39,487
ENERGY EQUIPMENT & SERVICES — 2.1%
Atwood Oceanics, Inc.		399		4,995
Bristow Group, Inc.		172		1,963
Fairmount Santrol Holdings, Inc. (a)		385		2,968
Geospace Technologies Corp. (a)		64		1,048
Helix Energy Solutions Group, Inc. (a)		336		2,271
Hornbeck Offshore Services, Inc. (a)		415		3,461
Seadrill, Ltd. (a)		1,791		5,803
Tidewater, Inc.		164		723
Unit Corp. (a)		137		2,132
US Silica Holdings, Inc.		466		16,063
				41,427
FOOD PRODUCTS — 3.7%
General Mills, Inc.		1,010		72,033
HEALTH CARE EQUIPMENT & SUPPLIES — 2.1%
Cooper Cos., Inc.		236		40,491
HOTELS, RESTAURANTS & LEISURE — 7.9%
Eldorado Resorts, Inc. (a)		2,929		44,506
Isle of Capri Casinos, Inc. (a)		362		6,632
McDonald’s Corp.		807		97,114
Norwegian Cruise Line Holdings, Ltd. (a)		153		6,096
				154,348
HOUSEHOLD DURABLES — 2.5%
Green Brick Partners, Inc. (a)		4,296		31,232
Hovnanian Enterprises, Inc. Class A (a)		5,059		8,499
KB Home		622		9,461
				49,192
HOUSEHOLD PRODUCTS — 4.9%
Procter & Gamble Co.		1,132		95,846
INSURANCE — 1.4%
Allied World Assurance Co. Holdings AG		640		22,489
American International Group, Inc.		94		4,972
				27,461
INTERNET & CATALOG RETAIL — 2.2%
Expedia, Inc.		71		7,548
FTD Cos., Inc. (a)		895		22,339
Netflix, Inc. (a)		144		13,173
				43,060
IT SERVICES — 1.8%
Visa, Inc. Class A		476		35,305

See accompanying notes to financial statements.

64

State Street Risk Aware Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Security Description	Shares		Value
MACHINERY — 3.0%
Chart Industries, Inc. (a)		606	$	14,623
ExOne Co. (a)		606		6,406
Manitowoc Co., Inc.		5,134		27,980
Oshkosh Corp.		106		5,057
Titan International, Inc.		656		4,067
				58,133
MARINE — 0.0% (b)
Scorpio Bulkers, Inc. (a)		263		734
MEDIA — 0.5%
Charter Communications, Inc. Class A (a)		8		1,829
Eros International PLC (a)		459		7,468
				9,297
METALS & MINING — 1.8%
AK Steel Holding Corp. (a)		1,602		7,465
Freeport-McMoRan, Inc.		415		4,623
Newmont Mining Corp.		430		16,822
Olympic Steel, Inc.		137		3,742
Stillwater Mining Co. (a)		92		1,091
United States Steel Corp.		50		843
				34,586
MULTI-UTILITIES — 1.0%
CenterPoint Energy, Inc.		246		5,904
Dominion Resources, Inc.		171		13,326
				19,230
MULTILINE RETAIL — 1.2%
Dollar General Corp.		239		22,466
Sears Holdings Corp. (a)		106		1,443
				23,909
OIL, GAS & CONSUMABLE FUELS — 3.7%
Cheniere Energy, Inc. (a)		267		10,026
Chesapeake Energy Corp. (a)		1,014		4,340
Clayton Williams Energy, Inc. (a)		73		2,005
Denbury Resources, Inc.		1,433		5,144
EP Energy Corp. Class A (a)		827		4,284
Jones Energy, Inc. Class A (a)		312		1,285
Kinder Morgan, Inc.		1,452		27,181
Oasis Petroleum, Inc. (a)		301		2,811
Pacific Ethanol, Inc. (a)		713		3,886
SemGroup Corp. Class A		50		1,628
SM Energy Co.		33		891
Teekay Corp.		137		977
W&T Offshore, Inc. (a)		2,065		4,791
Whiting Petroleum Corp. (a)		431		3,991
				73,240
PAPER & FOREST PRODUCTS — 0.1%
Clearwater Paper Corp. (a)		43		2,811
PHARMACEUTICALS — 9.1%
ANI Pharmaceuticals, Inc. (a)		118		6,587
Bristol-Myers Squibb Co.		528		38,834
Johnson & Johnson		442		53,615
Merck & Co., Inc.		982		56,573
Theravance Biopharma, Inc. (a)		1,033		23,439
				179,048
Security Description	Shares		Value
PROFESSIONAL SERVICES — 1.0%
Advisory Board Co. (a)		156		5,521
Verisk Analytics, Inc. (a)		176		14,270
				19,791
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.7%
American Tower Corp. REIT		80		9,089
Annaly Capital Management, Inc.		478		5,291
				14,380
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.7%
Forestar Group, Inc. (a)		1,233		14,660
ROAD & RAIL — 0.2%
YRC Worldwide, Inc. (a)		389		3,423
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.4%
SunPower Corp. (a)		558		8,643
SOFTWARE — 3.9%
Barracuda Networks, Inc. (a)		871		13,187
Glu Mobile, Inc. (a)		2,543		5,594
Interactive Intelligence Group, Inc. (a)		36		1,476
VASCO Data Security International, Inc. (a)		3,461		56,726
				76,983
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.1%
3D Systems Corp. (a)		160		2,190
TEXTILES, APPAREL & LUXURY GOODS — 0.5%
Sequential Brands Group, Inc. (a)		1,205		9,616
THRIFTS & MORTGAGE FINANCE — 6.1%
Flagstar Bancorp, Inc. (a)		4,043		98,690
Impac Mortgage Holdings, Inc. (a)		455		7,134
MGIC Investment Corp. (a)		1,604		9,544
Radian Group, Inc.		389		4,053
				119,421
TRADING COMPANIES & DISTRIBUTORS — 0.9%
CAI International, Inc. (a)		102		765
H&E Equipment Services, Inc.		436		8,297
United Rentals, Inc. (a)		117		7,851
				16,913
TOTAL COMMON STOCKS (Cost $1,871,351)				1,947,124
SHORT-TERM INVESTMENT — 0.7%
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (c) (d) (Cost $13,432)		13,432		13,432
TOTAL INVESTMENTS — 99.9% (Cost $1,884,783)				1,960,556
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				1,021
NET ASSETS — 100.0%			$	1,961,577

(a) Non-income producing security.

(b) Amount is less than 0.05% of net assets.

(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these

See accompanying notes to financial statements.

65

State Street Risk Aware Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

transactions during the year ended June 30, 2016 are shown in the Affiliate Table below.

(d) The rate shown is the annualized seven-day yield at June 30, 2016.

REIT Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Air Freight & Logistics	$	16,798	$	—	$	—	$	16,798
Auto Components		6,473		—		—		6,473
Banks		13,512		—		—		13,512
Beverages		89,582		—		—		89,582
Biotechnology		70,665		—		—		70,665
Building Products		28,708		—		—		28,708
Capital Markets		25,534		—		—		25,534
Chemicals		49,380		—		—		49,380
Commercial Services & Supplies		17,778		—		—		17,778
Communications Equipment		61,674		—		—		61,674
Construction & Engineering		4,215		—		—		4,215
Diversified Financial Services		85,296		—		—		85,296
Diversified Telecommunication Services		171,357		—		—		171,357
Electric Utilities		17,322		—		—		17,322
Electrical Equipment		3,172		—		—		3,172
Electronic Equipment, Instruments & Components		39,487		—		—		39,487
Energy Equipment & Services		41,427		—		—		41,427
Food Products		72,033		—		—		72,033
Health Care Equipment & Supplies		40,491		—		—		40,491
Hotels, Restaurants & Leisure		154,348		—		—		154,348
Household Durables		49,192		—		—		49,192
Household Products		95,846		—		—		95,846
Insurance		27,461		—		—		27,461
Internet & Catalog Retail		43,060		—		—		43,060
IT Services		35,305		—		—		35,305
Machinery		58,133		—		—		58,133
Marine		734		—		—		734
Media		9,297		—		—		9,297
Metals & Mining		34,586		—		—		34,586
Multi-Utilities		19,230		—		—		19,230
Multiline Retail		23,909		—		—		23,909
Oil, Gas & Consumable Fuels		73,240		—		—		73,240
Paper & Forest Products		2,811		—		—		2,811
Pharmaceuticals		179,048		—		—		179,048
Professional Services		19,791		—		—		19,791

See accompanying notes to financial statements.

66

State Street Risk Aware Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2016

Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Real Estate Investment Trusts (REITs)	$	14,380	$	—	$	—	$	14,380
Real Estate Management & Development		14,660		—		—		14,660
Road & Rail		3,423		—		—		3,423
Semiconductors & Semiconductor Equipment		8,643		—		—		8,643
Software		76,983		—		—		76,983
Technology Hardware, Storage & Peripherals		2,190		—		—		2,190
Textiles, Apparel & Luxury Goods		9,616		—		—		9,616
Thrifts & Mortgage Finance		119,421		—		—		119,421
Trading Companies & Distributors		16,913		—		—		16,913
Short-Term Investment		13,432		—		—		13,432
TOTAL INVESTMENTS	$	1,960,556	$	—	$	—	$	1,960,556

Affiliate Table

	Number of Shares Held at 6/30/15		Value At 6/30/15		Shares				Number of Shares Held at 6/30/16		Value at 6/30/16		Dividend Income		Realized Gain (Loss)
					Purchased		Sold
State Street Institutional Liquid Reserves Fund, Premier Class		9,120	$	9,120		91,072		86,760		13,432	$	13,432	$	18	$	—

See accompanying notes to financial statements.

67

SSGA MASTER TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2016

	SSGA Multi-Asset Real Return Portfolio		SSGA Income Allocation Portfolio		SSGA Global Allocation Portfolio		Blackstone/ GSO Senior Loan Portfolio
ASSETS
Investments in unaffiliated issuers, at value (Note 2)	$	16,593,837	$	2,005,990	$	18,619,472	$	746,886,487
Investments in affiliated issuers, at value (Note 2)		64,243,521		102,879,677		167,151,491		68,870,496
Total Investments		80,837,358		104,885,667		185,770,963		815,756,983
Receivable for capital contributions		—		—		—		—
Cash		—		999,978		—		6,136,808
Receivable for investments sold		—		612,628		4,233,951		36,473,797
Dividends receivable — unaffiliated issuers (Note 2)		—		—		—		—
Interest receivable — unaffiliated issuers (Note 2)		—		—		—		2,938,682
Dividends receivable — affiliated issuers (Note 2)		795		15,605		48,119		18,164
TOTAL ASSETS		80,838,153		106,513,878		190,053,033		861,324,434
LIABILITIES
Payable for capital withdrawals		—		—		1,667,491		—
Payable for investments purchased		—		999,978		8,642,277		58,639,566
Advisory fee payable (Note 4)		12,999		17,019		30,037		195,557
Trustees’ fees and expenses payable (Note 5)		119		—		—		—
Accrued expenses and other liabilities		11		11		15		63
TOTAL LIABILITIES		13,129		1,017,008		10,339,820		58,835,186
NET ASSETS	$	80,825,024	$	105,496,870	$	179,713,213	$	802,489,248
COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	23,913,491	$	2,424,948	$	18,822,438	$	748,096,583
Investments in affiliated issuers		68,086,167		99,674,982		163,945,722		68,870,496
Total cost of investments	$	91,999,658	$	102,099,930	$	182,768,160	$	816,967,079

See accompanying notes to financial statements.

68

SSGA Ultra Short Term Bond Portfolio		State Street DoubleLine Total Return Tactical Portfolio		SSGA MFS Systematic Core Equity Portfolio		SSGA MFS Systematic Growth Equity Portfolio		SSGA MFS Systematic Value Equity Portfolio		State Street Risk Aware Portfolio
$	23,933,366	$	2,367,534,115	$	5,762,157	$	11,991,288	$	2,578,861	$	1,947,124
	483,761		351,792,987		70,177		175,794		31,318		13,432
	24,417,127		2,719,327,102		5,832,334		12,167,082		2,610,179		1,960,556
	—		9,963,422		—		—		—		—
	580		3,227,686		—		—		—		58
	—		16,501,207		—		983,475		—		—
	—		—		6,236		12,184		4,250		1,357
	33,520		11,828,914		—		—		—		—
	592		87,573		24		64		11		5
	24,451,819		2,760,935,904		5,838,594		13,162,805		2,614,440		1,961,976
	—		—		—		—		—		—
	408,242		124,243,447		—		991,816		—		—
	3,809		619,381		1,431		2,979		641		399
	—		—		—		—		—		—
	1		99		—		1		—		—
	412,052		124,862,927		1,431		994,796		641		399
$	24,039,767	$	2,636,072,977	$	5,837,163	$	12,168,009	$	2,613,799	$	1,961,577
$	23,937,593	$	2,341,084,590	$	5,769,415	$	11,558,334	$	2,518,842	$	1,871,351
	483,761		351,792,987		70,177		175,794		31,318		13,432
$	24,421,354	$	2,692,877,577	$	5,839,592	$	11,734,128	$	2,550,160	$	1,884,783

69

SSGA MASTER TRUST

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2016

	SSGA Multi-Asset Real Return Portfolio			SSGA Income Allocation Portfolio			SSGA Global Allocation Portfolio			Blackstone/ GSO Senior Loan Portfolio
INVESTMENT INCOME
Interest income	$	—		$	—		$	—		$	36,218,956
Dividend income — unaffiliated issuers (Note 2)		76,043			127,058			387,931			—
Dividend income — affiliated issuers (Note 2)		1,393,931			3,553,587			3,948,347			139,199
TOTAL INVESTMENT INCOME (LOSS)		1,469,974			3,680,645			4,336,278			36,358,155
EXPENSES
Advisory fee (Note 3)		188,316			214,271			346,326			2,250,290
Trustees’ fees and expenses (Note 4)		2,027			1,995			2,941			12,398
Miscellaneous expenses		8			8			12			18,229
TOTAL EXPENSES		190,351			216,274			349,279			2,280,917
NET EXPENSES		190,351			216,274			349,279			2,280,917
NET INVESTMENT INCOME (LOSS)		1,279,623			3,464,371			3,986,999			34,077,238
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		(4,630,292	)		(2,049,022	)		(7,220,134	)		(46,703,017	)
Investment transactions — affiliated issuers		(11,846,362	)		(2,749,776	)		(3,640,682	)		—
Capital gain distributions — unaffiliated issuers		51,217			1,017,301			2,071,030			—
Net realized gain (loss)		(16,425,437	)		(3,781,497	)		(8,789,786	)		(46,703,017	)
Net change in unrealized appreciation/depreciation on:
Investment transactions — unaffiliated issuers		(217,859	)		(542,000	)		(278,285	)		7,786,198
Investment transactions — affiliated issuers		6,973,471			4,396,282			2,130,931			—
Net change in unrealized appreciation/depreciation		6,755,612			3,854,282			1,852,646			7,786,198
NET REALIZED AND UNREALIZED GAIN (LOSS)		(9,669,825	)		72,785			(6,937,140	)		(38,916,819	)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	(8,390,202	)	$	3,537,156		$	(2,950,141	)	$	(4,839,581	)

See accompanying notes to financial statements.

70

SSGA Ultra Short Term Bond Portfolio			State Street DoubleLine Total Return Tactical Portfolio			SSGA MFS Systematic Core Equity Portfolio			SSGA MFS Systematic Growth Equity Portfolio		SSGA MFS Systematic Value Equity Portfolio			State Street Risk Aware Portfolio
$	283,180		$	62,550,019		$	—		$	—	$	—		$	—
	—			—			114,724			177,093		65,960			38,325
	3,498			648,464			144			351		66			18
	286,678			63,198,483			114,868			177,444		66,026			38,343
	64,247			5,121,226			14,379			31,913		8,048			4,729
	712			23,533			223			314		196			184
	182			13,423			—			1		—			—
	65,141			5,158,182			14,602			32,228		8,244			4,913
	65,141			5,158,182			14,602			32,228		8,244			4,913
	221,537			58,040,301			100,266			145,216		57,782			33,430
	(268,835	)		(3,169,628	)		351,176			378,209		109,895			(69,249	)
	—			—			—			—		—			—
	—			—			—			—		—			—
	(268,835	)		(3,169,628	)		351,176			378,209		109,895			(69,249	)
	5,488			33,117,161			(346,393	)		53,236		(243,654	)		64,874
	—			—			—			—		—			—
	5,488			33,117,161			(346,393	)		53,236		(243,654	)		64,874
	(263,347	)		29,947,533			4,783			431,445		(133,759	)		(4,375	)
$	(41,810	)	$	87,987,834		$	105,049		$	576,661	$	(75,977	)	$	29,055

71

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	SSGA Multi-Asset Real Return Portfolio						SSGA Income Allocation Portfolio
	Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/16			Year Ended 6/30/15
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	1,279,623		$	2,533,608		$	3,464,371		$	3,664,590
Net realized gain (loss)		(16,425,437	)		(4,432,160	)		(3,781,497	)		544,895
Net change in unrealized appreciation/depreciation		6,755,612			(23,442,541	)		3,854,282			(6,320,056	)
Net increase (decrease) in net assets resulting from operations		(8,390,202	)		(25,341,093	)		3,537,156			(2,110,571	)
CAPITAL TRANSACTIONS:
Contributions		26,711,193			66,337,576			3,064,239			34,191,856
Withdrawals		(79,491,499	)		(63,635,938	)		(22,253,312	)		(14,962,876	)
Net increase (decrease) in net assets from capital transactions		(52,780,306	)		2,701,638			(19,189,073	)		19,228,980
Net increase (decrease) in net assets during the period		(61,170,508	)		(22,639,455	)		(15,651,917	)		17,118,409
Net assets at beginning of period		141,995,532			164,634,987			121,148,787			104,030,378
NET ASSETS AT END OF PERIOD	$	80,825,024		$	141,995,532		$	105,496,870		$	121,148,787

* Amounts have been adjusted from prior year annual report to reflect appropriate presentation.

See accompanying notes to financial statements.

72

SSGA Global Allocation Portfolio						Blackstone/GSO Senior Loan Portfolio						SSGA Ultra Short Term Bond Portfolio
Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/16			Year Ended 6/30/15*			Year Ended 6/30/16			Year Ended 6/30/15*
$	3,986,999		$	3,038,349		$	34,077,238		$	27,436,035		$	221,537		$	53,847
	(8,789,786	)		2,763,789			(46,703,017	)		(750,613	)		(268,835	)		(4,837	)
	1,852,646			(5,265,539	)		7,786,198			(10,613,268	)		5,488			(20,194	)
	(2,950,141	)		536,599			(4,839,581	)		16,072,154			(41,810	)		28,816
	99,464,019			72,106,656			239,502,612			123,669,008			195,887,137			6,015,883
	(61,576,069	)		(26,359,458	)		(104,437,485	)		(77,954,422	)		(187,824,678	)		(4,061,512	)
	37,887,950			45,747,198			135,065,127			45,714,586			8,062,459			1,954,371
	34,937,809			46,283,797			130,225,546			61,786,740			8,020,649			1,983,187
	144,775,404			98,491,607			672,263,702			610,476,962			16,019,118			14,035,931
$	179,713,213		$	144,775,404		$	802,489,248		$	672,263,702		$	24,039,767		$	16,019,118

73

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	State Street DoubleLine Total Return Tactical Portfolio						SSGA MFS Systematic Core Equity Portfolio
	Year Ended 6/30/16			For the Period 2/23/15* - 6/30/15**			Year Ended 6/30/16			Year Ended 6/30/15
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	58,040,301		$	4,868,673		$	100,266		$	52,825
Net realized gain (loss)		(3,169,628	)		(1,029,740	)		351,176			313,500
Net change in unrealized appreciation/depreciation		33,117,161			(6,667,636	)		(346,393	)		48,740
Net increase (decrease) in net assets resulting from operations		87,987,834			(2,828,703	)		105,049			415,065
CAPITAL TRANSACTIONS:
Contributions		1,856,614,856			749,522,765			5,860,886			—
Withdrawals		(55,223,775	)		—			(3,069,067	)		(2,852,753	)
Net increase (decrease) in net assets from capital transactions		1,801,391,081			749,522,765			2,791,819			(2,852,753	)
Net increase (decrease) in net assets during the period		1,889,378,915			746,694,062			2,896,868			(2,437,688	)
Net assets at beginning of period		746,694,062			—			2,940,295			5,377,983
NET ASSETS AT END OF PERIOD	$	2,636,072,977		$	746,694,062		$	5,837,163		$	2,940,295

* Inception date.

** Amounts have been adjusted from prior year annual report to reflect appropriate presentation.

See accompanying notes to financial statements.

74

SSGA MFS Systematic Growth Equity Portfolio						SSGA MFS Systematic Value Equity Portfolio						State Street Risk Aware Portfolio
Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/16			For the Period 9/9/14* - 6/30/15
$	145,216		$	52,332		$	57,782		$	49,890		$	33,430		$	26,381
	378,209			451,931			109,895			294,237			(69,249	)		(232,469	)
	53,236			35,715			(243,654	)		41,453			64,874			10,899
	576,661			539,978			(75,977	)		385,580			29,055			(195,189	)
	8,964,864			3,023,489			—			—			—			4,000,000
	(3,418,489	)		(2,891,074	)		(219,833	)		(2,762,295	)		(34,512	)		(1,837,777	)
	5,546,375			132,415			(219,833	)		(2,762,295	)		(34,512	)		2,162,223
	6,123,036			672,393			(295,810	)		(2,376,715	)		(5,457	)		1,967,034
	6,044,973			5,372,580			2,909,609			5,286,324			1,967,034			—
$	12,168,009		$	6,044,973		$	2,613,799		$	2,909,609		$	1,961,577		$	1,967,034

75

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	SSGA Multi-Asset Real Return Portfolio†
	Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	80,825		$	141,996		$	164,635		$	121,584		$	5,827
Ratios to average net assets:
Total expenses		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%(b)
Net investment income (loss)		1.36	%		1.56	%		2.01	%		2.91	%		3.84	%(b)
Portfolio turnover rate		25	%		33	%		40	%		31	%		10	%(a)
Total return		(3.94	)%		(14.80	)%		13.93	%		(1.63	)%		(3.42	)%(a)

 † The Portfolio invests in other underlying funds and indirectly bears its proportionate share of fees and expenses incurred by such funds. The ratios presented do not reflect the indirect expenses of the underlying funds in which the Portfolio invests.

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

76

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	SSGA Income Allocation Portfolio†
	Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	105,497		$	121,149		$	104,030		$	174,255		$	9,114
Ratios to average net assets:
Total expenses		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%(b)
Net investment income (loss)		3.23	%		3.15	%		3.89	%		4.65	%		8.39	%(b)
Portfolio turnover rate		54	%		64	%		63	%		80	%		15	%(a)
Total return		3.95	%		(1.42	)%		13.84	%		4.39	%		0.92	%(a)

 † The Portfolio invests in other underlying funds and indirectly bears its proportionate share of fees and expenses incurred by such funds. The ratios presented do not reflect the indirect expenses of the underlying funds in which the Portfolio invests.

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

77

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	SSGA Global Allocation Portfolio†
	Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	179,713		$	144,775		$	98,492		$	51,936		$	4,451
Ratios to average net assets:
Total expenses		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%(b)
Net investment income (loss)		2.30	%		2.45	%		2.76	%		3.07	%		4.34	%(b)
Portfolio turnover rate		86	%		98	%		89	%		123	%		25	%(a)
Total return		(0.80	)%		0.49	%		16.80	%		9.92	%		(1.82	)%(a)

 † The Portfolio invests in other underlying funds and indirectly bears its proportionate share of fees and expenses incurred by such funds. The ratios presented do not reflect the indirect expenses of the underlying funds in which the Portfolio invests.

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

78

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	Blackstone/GSO Senior Loan Portfolio
	Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			For the Period 4/3/13* - 6/30/13
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	802,489		$	672,264		$	610,477		$	332,792
Ratios to average net assets:
Total expenses		0.30	%		0.31	%		0.30	%		0.30	%(b)
Net investment income (loss)		4.54	%		4.49	%		3.63	%		2.57	%(b)
Portfolio turnover rate		88	%		65	%		77	%		4	%(a)
Total return		(0.20	)%		2.98	%		4.00	%		(0.31	)%(a)

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

79

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	SSGA Ultra Short Term Bond Portfolio
	Year Ended 6/30/16			Year Ended 6/30/15			For the Period 10/9/13* - 6/30/14
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	24,040		$	16,019		$	14,036
Ratios to average net assets:
Total expenses		0.20	%		0.20	%		0.20	%(b)
Net investment income (loss)		0.69	%		0.33	%		0.34	%(b)
Portfolio turnover rate		407	%		79	%		39	%(a)
Total return		0.65	%		0.21	%		0.47	%(a)

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

80

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	State Street DoubleLine Total Return Tactical Portfolio
	Year Ended 6/30/16			For the Period 2/23/15* - 6/30/15
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,636,073		$	746,694
Ratios to average net assets:
Total expenses		0.30	%		0.30	%(b)
Net investment income (loss)		3.38	%		3.46	%(b)
Portfolio turnover rate		38	%		14	%(a)
Total return		4.32	%		(0.36	)%(a)

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

81

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	SSGA MFS Systematic Core Equity Portfolio
	Year Ended 6/30/16			Year Ended 6/30/15			For thePeriod 1/8/14* - 6/30/14
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	5,837		$	2,940		$	5,378
Ratios to average net assets:
Total expenses		0.30	%		0.30	%		0.30	%(b)
Net investment income (loss)		2.08	%		1.72	%		1.55	%(b)
Portfolio turnover rate		39	%		54	%		27	%(a)
Total return		2.53	%		14.00	%		7.92	%(a)

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	SSGA MFS Systematic Growth Equity Portfolio
	Year Ended 6/30/16			Year Ended 6/30/15			For thePeriod 1/8/14* - 6/30/14
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	12,168		$	6,045		$	5,373
Ratios to average net assets:
Total expenses		0.30	%		0.30	%		0.30	%(b)
Net investment income (loss)		1.37	%		1.44	%		1.46	%(b)
Portfolio turnover rate		56	%		67	%		20	%(a)
Total return		4.24	%		17.85	%		7.85	%(a)

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

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SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	SSGA MFS Systematic Value Equity Portfolio
	Year Ended 6/30/16			Year Ended 6/30/15			For thePeriod 1/8/14* - 6/30/14
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,614		$	2,910		$	5,286
Ratios to average net assets:
Total expenses		0.31	%		0.30	%		0.30	%(b)
Net investment income (loss)		2.15	%		1.67	%		1.73	%(b)
Portfolio turnover rate		64	%		61	%		23	%(a)
Total return		(2.13	)%		13.79	%		6.20	%(a)

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

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FINANCIAL HIGHLIGHTS

The following table includes selected supplemental data and ratios to average net assets:

	State Street Risk Aware Portfolio
	Year Ended 6/30/16			For thePeriod 9/9/14* - 6/30/15
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,962		$	1,967
Ratios to average net assets:
Total expenses		0.26	%		0.25	%(b)
Net investment income (loss)		1.77	%		1.46	%(b)
Portfolio turnover rate		76	%		122	%(a)
Total return		1.57	%		(0.46	)%(a)

 * Commencement of operations.

(a) Not annualized.

(b) Annualized.

See accompanying notes to financial statements.

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NOTES TO FINANCIAL STATEMENTS

June 30, 2016

1. Organization

SSGA Master Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“190 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on March 30, 2011.

As of June 30, 2016, the Trust consists of ten (10) series, 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 Funds:

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

State Street DoubleLine Total Return Tactical Portfolio

SSGA MFS Systematic Core Equity Portfolio

SSGA MFS Systematic Growth Equity Portfolio

SSGA MFS Systematic Value Equity Portfolio

State Street Risk Aware Portfolio

Each portfolio is classified as a diversified investment company under the 1940 Act, with the exception of SPDR SSGA Ultra Short Term Bond Portfolio, State Street Doubleline Total Return Tactical Portfolio and State Street Risk Aware Portfolio, which are each a non-diversified investment company.

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.

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 (“U.S. GAAP”) 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. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Fund’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Portfolio’s investments by major category are as follows:

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

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

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June 30, 2016

• Debt obligations (both governmental and non-governmental) that are short term in nature (with a maturity of sixty days or less at purchase) valued using the amortized cost method as long as the amortized cost value of a particular portfolio instrument is reasonably determined to approximate the fair value of that investment established using market-based and issuer-specific factors or at a price obtained from an independent pricing service.

• Debt obligations (both governmental and non-governmental) purchased with greater than sixty days to maturity valued at last reported evaluated bid prices obtained from independent pricing services or brokers. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures.

• Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans in which the Committee determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.

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

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 the Portfolios’ underlying benchmarks. Various inputs are used in determining the value of the Portfolios’ investments.

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

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

• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities;

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

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

The value of each Portfolio’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in each Portfolio’s respective Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Funds had no material transfers between levels for the period ended June 30, 2016.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premium and

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2016

discounts are amortized/accreted for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Portfolios may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Certain Portfolios invest in Real Estate Investment Trusts (REITs). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolios’ policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar year’s to return of capital or capital gains distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. 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 within the Trust.

Foreign Currency Translation

The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

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

3. Securities and Other Investments

Loan Agreements

The Blackstone / GSO Senior Loan Portfolio and State Street DoubleLine Total Return Tactical Portfolio invest in Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus are highly leveraged. The Portfolios do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Portfolios as the issuers of such loans.

4. Fees and Transactions with Affiliates

Advisory Fee

Each Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Portfolios, 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

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2016

	Annual Rate
SSGA Global Allocation Portfolio		0.20	%
Blackstone / GSO Senior Loan Portfolio		0.30
SSGA Ultra Short Term Bond Portfolio		0.20
State Street DoubleLine Total Return Tactical Portfolio		0.30
SSGA MFS Systematic Core Equity Portfolio		0.30
SSGA MFS Systematic Growth Equity Portfolio		0.30
SSGA MFS Systematic Value Equity Portfolio		0.30
State Street Risk Aware Portfolio		0.25

The Adviser pays all expenses of each Portfolio other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including and 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 Blackstone / GSO Senior Loan Portfolio from the Adviser.

Massachusetts Financial Services Company (“MFS”) receives fees for its services as the sub-adviser to the SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio and SSGA MFS Systematic Value Equity Portfolio from the Adviser.

DoubleLine Capital LP receives fees for its services as the sub-adviser to the State Street DoubleLine Total Return Portfolio from the Adviser.

Administrator and Sub-Administrator Fees

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

Other Transactions with Affiliates

The Fund may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the Schedules of Investments.

Due to custodian

In certain circumstances, funds may have cash overdraft with the custodian. The Due to custodian if any, reflects cash overdrawn with SSB as custodian who is an affiliate of the funds.

5. Trustees’ Fees

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

6. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the year ended June 30, 2016, were as follows:

	U.S. Government Obligations				Other Securities
	Purchases		Sales		Purchases		Sales
SSGA Multi-Asset Real Return Portfolio	$	—	$	—	$	22,768,409	$	22,486,396
SSGA Income Allocation Portfolio		—		—		56,093,323		58,750,553

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2016

	U.S. Government Obligations				Other Securities
	Purchases		Sales		Purchases		Sales
SSGA Global Allocation Portfolio	$	—	$	—	$	128,689,321	$	126,408,223
Blackstone / GSO Senior Loan Portfolio		—		—		764,413,237		629,806,468
SSGA Ultra Short Term Bond Portfolio		7,608,073		8,181,986		161,117,320		154,907,878
State Street DoubleLine Total Return Tactical Portfolio		755,147,305		196,241,641		3,174,123,407		1,851,693,512
SSGA MFS Systematic Core Equity Portfolio		—		—		1,887,886		1,977,770
SSGA MFS Systematic Growth Equity Portfolio		—		—		5,884,211		6,118,543
SSGA MFS Systematic Value Equity Portfolio		—		—		1,710,807		1,854,012
State Street Risk Aware Portfolio		—		—		1,445,989		1,447,749

For the year ended June 30, 2016, the following Portfolios had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:

	Contributions		Redemptions		Realized Gain/(Loss)
SSGA Multi-Asset Real Return Portfolio	$	23,407,106	$	69,524,043	$	(6,995,502	)
SSGA Income Allocation Portfolio		2,957,156		17,386,235		422,737
SSGA Global Allocation Portfolio		90,870,924		47,767,242		593,025
SSGA MFS Systematic Core Equity Portfolio		5,816,924		2,881,127		349,502
SSGA MFS Systematic Growth Equity Portfolio		8,897,210		3,077,146		501,402

7. Income Tax Information

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 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 its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolios file federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

At June 30, 2016, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SSGA Multi-Asset Real Return Portfolio	$	91,999,658	$	1,858,766	$	13,021,066	$	(11,162,300	)
SSGA Income Allocation Portfolio		102,099,930		5,918,172		3,132,435		2,785,737
SSGA Global Allocation Portfolio		182,768,160		6,729,453		3,726,650		3,002,803
Blackstone / GSO Senior Loan Portfolio		816,967,079		3,459,696		4,669,792		(1,210,096	)
SSGA Ultra Short Term Bond Portfolio		24,421,354		17,733		21,960		(4,227	)
State Street DoubleLine Total Return Tactical Portfolio		2,692,877,577		46,613,521		20,163,996		26,449,525
SSGA MFS Systematic Core Equity Portfolio		5,839,592		357,310		364,568		(7,258	)
SSGA MFS Systematic Growth Equity Portfolio		11,734,128		929,484		496,530		432,954
SSGA MFS Systematic Value Equity Portfolio		2,550,160		227,465		167,446		60,019
State Street Risk Aware Portfolio		1,884,783		159,033		83,260		75,773

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2016

8. Line of Credit

Certain Portfolios and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. Blackstone / GSO Senior Loan Portfolio has exclusive access to $100 million of the total credit facility. The agreement expires in October 2016 unless extended or renewed. Prior to October 14, 2015, the participants could borrow up to $300 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements. The following Funds participate in the credit facility:

Blackstone / GSO Senior Loan Portfolio

SSGA Ultra Short Term Bond Portfolio

SPDR DoubleLine Total Return Tactical Portfolio

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Blackstone / GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%. Blackstone / GSO Senior Loan Portfolio may borrow up to a maximum of 25 percent of its assets or a lower amount as set forth in the Portfolio’s prospectus. No Portfolios had outstanding loans during the six months ended June 30, 2016.

9. Risks

Concentration Risk

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

Foreign and Emerging Markets Risks

Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolios’ invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

10. Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolios through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below.

On May 26, 2016, the Board unanimously voted to close and liquidate the State Street Risk Aware Portfolio effective August 24, 2016.

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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, the 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, State Street DoubleLine Total Return Tactical Portfolio, SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio, SSGA MFS Systematic Value Equity Portfolio and State Street Risk Aware Portfolio) (collectively, the “Portfolios”), as of June 30, 2016, and the related statements of operations for the year then ended, and the statements of 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, 2016 by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers or 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 respective Portfolios constituting SSGA Master Trust at June 30, 2016, the results of their operations for the year then ended, and 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 26, 2016

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OTHER INFORMATION

June 30, 2016

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Portfolios’ investment adviser to vote proxies relating to the Portfolios’ 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 adviser 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 Portfolios’ website at www.spdrs.com.

Quarterly Portfolio Schedule

The Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolios’ 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, 2016, the Board of Trustees of the Trusts (the “Board”) evaluated proposals (1) to continue the separate Investment Advisory Agreements (the “Agreements”) between each Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the operational series of SSGA Active Trust (the “Current ETFs”) and SSGA Master Trust (together with the Current ETFs, the “Current Funds”), and (2) to approve the separate Agreements between the Adviser and (a) the SSGA Active Trust with respect to the SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Emerging Markets Fixed Income ETF (the “New ETFs” and, together with the Current ETFs, the “ETFs”), and the State Street Disciplined Global Equity Portfolio (together with the New ETFs, the “New Funds”) each a new series of the SSGA Active Trust, (with the Current Funds and New Funds collectively being referred to hereafter as the “Funds”), each of which commenced operations during the period covered by this Annual Report. The Trustees who are not “interested persons” of the Trust 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 SSGA FM, the Trust’s investment adviser and administrator, and other materials provided by State Street Bank and Trust Company, the Trusts’ sub-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 provided by, or expected to be provided by, the Adviser with respect to the Funds under the Agreements, (ii) investment performance of the Current Funds, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trusts, (iv) fees charged to comparable funds, (v) other benefits to the Adviser, and (vi) extent to which economies of scale would be shared as the Funds grow.

Nature, Extent and Quality of Services

The Board considered the nature, extent and quality of services provided by, or 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 responsibilities for managing investment operations of each of the Funds in accordance with each Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the ETFs as exchange-traded funds in a master-feeder structure, as appropriate, 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 portfolio management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing each Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business, noting that the Adviser

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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 exchange-traded funds. The Board also considered the Adviser’s experience in active management, managing exchange-traded funds in master-feeder structures and overseeing third-party sub-advisers, as applicable.

Investment Performance

The Board then reviewed the Current Funds’ performance. The Board compared each Current Fund’s investment performance to the performance of an appropriate benchmark and group of comparable funds. Among other information, the Board considered the following performance information in its evaluation of the Funds:

SPDR SSGA Multi-Asset Real Return ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1-, 2- and 3-year periods; and (b) outperformed its benchmark index for the 1-year period and underperformed its benchmark index for the 3-year period.

SPDR SSGA Income Allocation ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-, 2- and 3-year periods; and (b) underperformed its benchmark index for the 1- and 3-year period.

SPDR SSGA Global Allocation ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-, 2- and 3-year periods; and (b) underperformed its benchmark index for the 1-year period and outperformed its benchmark index for the 3-year period.

SPDR Blackstone / GSO Senior Loan ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1- and 2-year periods; and (b) outperformed its benchmark index for the 1-year period.

SPDR SSGA Ultra Short Term Bond ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1- and 2-year periods; and (b) outperformed its benchmark index for the 1-year period.

SPDR DoubleLine Total Return Tactical ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group since inception; and (b) outperformed its benchmark index since inception.

SPDR MFS Systematic Core Equity ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-year period; and (b) outperformed its benchmark index for the 1-year period.

SPDR MFS Systematic Growth Equity ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-year period; and (b) outperformed its benchmark index for the 1-year period.

SPDR MFS Systematic Value Equity ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-year period; and (b) outperformed its benchmark index for the 1-year period.

SPDR SSGA Risk Aware ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1-year period; and (b) underperformed its benchmark index for the 1-year period.

On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Current Fund is satisfactory.

Profits Realized by Adviser

The Board considered the profitability of the advisory arrangement with the Current Funds to the Adviser, including data on the Current Funds’ historical profitability to the Adviser. The Independent Trustees, through their counsel, had the opportunity to discuss, with representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations and determined that these methodologies were reasonable.

Fees Charged to Comparable Funds

The Board evaluated each Fund’s 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 each ETF based upon data independently obtained from Broadridge Financial

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Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar exchange-traded funds. The Board also reviewed the fee structure, as applicable, of each Fund in connection with the master-feeder structure, the historical expense ratios of each Current Fund and the estimated expense ratios for each New Fund. In doing so, the Board used a fund by fund analysis of the data.

Other Benefits

The Board also 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.

Economies of Scale

The Board reviewed information regarding economies of scale or other efficiencies that may result as each Fund’s assets grow in size. The Board noted that the Agreements did not provide for breakpoints in each Fund’s advisory fee rates as assets of a 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 Funds by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the Funds from inception. The Adviser also asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to monitor fees as the Funds grow in size and assess whether fee breakpoints may be warranted.

The Board, including the Independent Trustees voting separately, approved the Agreements for each 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 Agreement were as follows: (a) the nature and extent of the services provided, or expected to be provided, by the Adviser with respect to the Funds were appropriate; (b) the performance of each Current Fund had been satisfactory; (c) the Adviser’s unitary fee for each Fund, considered in relation to services provided or expected to be provided, and in relation to fees charged to comparable funds, was fair and reasonable; (d) profitability of the Trusts’ relationship with the Adviser was not excessive; (e) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions; and (f) fees paid to the Adviser shared the economies of scale with respect to the Current Funds by way of the relatively low fee structure of the Trusts.

Approval of GSO / Blackstone Debt Funds Management LLC Sub-Advisory Agreements

At an in-person meeting held prior to June 30, 2016, the Board also evaluated proposals to continue the separate Sub-Advisory Agreements (the “GSO / Blackstone Sub-Advisory Agreements”) between the Adviser and GSO / Blackstone Debt Funds Management LLC (“GSO / Blackstone”) with respect to the SPDR Blackstone / GSO Senior Loan ETF, a series of the SSGA Active Trust, and Blackstone / GSO Senior Loan Portfolio, a series of the SSGA Master Trust, each sub-advised by GSO / Blackstone (the “GSO / Blackstone Funds”). The Independent Trustees also met separately with their independent legal counsel to consider the GSO / Blackstone Sub-Advisory Agreements.

In evaluating the GSO / Blackstone Sub-Advisory Agreements, the Board drew on materials provided to them by GSO / Blackstone and the Adviser. In deciding whether to approve the GSO / Blackstone Sub-Advisory Agreements, the Board considered various factors, including the (i) nature, extent and quality of services provided by GSO / Blackstone with respect to the GSO / Blackstone Funds under the GSO / Blackstone Sub-Advisory Agreements and (ii) investment performance of the GSO / Blackstone Funds. The Board was apprised of the portion of the current advisory fee that the Adviser would pay to GSO / Blackstone under the GSO / Blackstone 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 GSO / Blackstone Funds.

The Board considered the background and experience of GSO / Blackstone’s senior management and, in particular, GSO / Blackstone’s experience in investing in senior loan securities. The Board reviewed the GSO / Blackstone Funds’ performance, noting that that the performance of the GSO / Blackstone Funds was satisfactory. The Board also considered the unitary fee paid to the Adviser by each GSO / Blackstone Fund and GSO / Blackstone’s fees paid by the Adviser.

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The Board, including the Independent Trustees voting separately, approved the GSO / Blackstone Sub-Advisory Agreements for each GSO / Blackstone 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 GSO / Blackstone Sub-Advisory Agreement were as follows: (a) the nature and extent of the services provided by GSO / Blackstone with respect to the GSO / Blackstone Funds were appropriate; (b) the performance of the GSO / Blackstone Funds had been satisfactory; (c) GSO / Blackstone’s fees for the GSO / Blackstone Funds and the unitary fee, considered in relation to the services provided, were fair and reasonable; (d) any additional potential benefits to GSO / Blackstone were not of a magnitude to materially affect the Board’s conclusions; and (e) fees paid to GSO / Blackstone adequately shared the economies of scale with each applicable GSO / Blackstone Fund by way of the relatively low fee structure of the Trusts.

Approval of Massachusetts Financial Services Company Sub-Advisory Agreements

At an in-person meeting held prior to June 30, 2016, the Board also evaluated proposals to continue the separate Sub-Advisory Agreements (the “MFS Sub-Advisory Agreements”) between the Adviser and Massachusetts Financial Services Company (“MFS”) with respect to the SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF, each a series of the SSGA Active Trust, and SSGA MFS Systematic Core Equity Portfolio, SSGA Systematic Growth Equity Portfolio and SSGA MFS Systematic Value Equity Portfolio, each a series of the SSGA Master Trust, each sub-advised by MFS (the “MFS Funds”). The Independent Trustees also met separately with their independent legal counsel to consider the MFS Sub-Advisory Agreements.

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 the (i) nature, extent and quality of services provided by MFS with respect to the MFS Funds under the MFS Sub-Advisory Agreements and (ii) investment performance of the MFS Funds. 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 MFS 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 reviewed the MFS Funds’ performance, noting that that the performance of the MFS Funds was satisfactory. The Board also considered the unitary fee paid to the Adviser by each MFS Fund and MFS’s fees paid by the Adviser.

The Board, including the Independent Trustees voting separately, approved the MFS Sub-Advisory Agreements for each MFS 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 MFS Sub-Advisory Agreement were as follows: (a) the nature and extent of the services provided by MFS with respect to the MFS Funds were appropriate; (b) the performance of the MFS Funds had been satisfactory; (c) MFS’s fees for the MFS Funds and the unitary fee, considered in relation to the services provided, were fair and reasonable; (d) any additional potential benefits to MFS were not of a magnitude to materially affect the Board’s conclusions; and (e) fees paid to MFS adequately shared the economies of scale with each applicable MFS Fund by way of the relatively low fee structure of the Trusts.

Approval of DoubleLine Capital LP Sub-Advisory Agreements

At in-person meetings held prior to June 30, 2016, the Board also considered proposals to continue the separate Sub-Advisory Agreements (the “DoubleLine Sub-Advisory Agreements”) between the Adviser and DoubleLine Capital LP (“DoubleLine”) with respect to the SPDR DoubleLine Total Return Tactical ETF, a series of the SSGA Active Trust, and State Street DoubleLine Total Return Tactical Portfolio, a series of the SSGA Master Trust (together, the “Current DoubleLine Funds”), and to approve the DoubleLine Sub-Advisory Agreements between the Adviser and DoubleLine with respect to the SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Emerging Markets Fixed Income ETF, each a series of SSGA Active Trust (together with the Current DoubleLine Funds, the “DoubleLine Funds”), under which each of the DoubleLine Funds would be sub-advised by DoubleLine. The Independent Trustees also met separately with their independent legal counsel to consider the DoubleLine Sub-Advisory Agreements.

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In evaluating the DoubleLine Sub-Advisory Agreements, the Board drew on materials provided to them by DoubleLine and the Adviser. In deciding whether to approve the DoubleLine Sub-Advisory Agreements, the Board considered various factors, including the (i) nature, extent and quality of services provided, or expected to be provided, by DoubleLine with respect to the DoubleLine Funds under the DoubleLine Sub-Advisory Agreements; and (ii) investment performance of the Current DoubleLine Funds. The Board was apprised of the portion of the advisory fee that the Adviser would pay to DoubleLine under the DoubleLine 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 DoubleLine Funds.

The Board considered the background and experience of DoubleLine’s senior management and, in particular, DoubleLine’s experience in investing in fixed income securities. The Board reviewed the Current DoubleLine Funds’ performance, noting that that the performance of the Current DoubleLine Funds was satisfactory. The Board also considered the unitary fee paid, or to be paid, to the Adviser by each DoubleLine Fund and DoubleLine’s fees paid by the Adviser.

The Board, including the Independent Trustees voting separately, approved the DoubleLine Sub-Advisory Agreements for the DoubleLine 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 each of the DoubleLine Sub-Advisory Agreements were as follows: (a) the nature and extent of the services provided, or expected to be provided, by DoubleLine with respect to the DoubleLine Funds were adequate and appropriate; (b) the performance of the Current DoubleLine Funds had been satisfactory; (c) DoubleLine’s fees for the DoubleLine Funds and the unitary fee, considered in relation to the services provided, or expected to be provided, were fair and reasonable; (d) any additional potential benefits to DoubleLine were not of a magnitude to materially affect the Board’s conclusions; and (e) fees paid, or expected to be paid, to DoubleLine were expected to share economies of scale with each applicable DoubleLine Fund by way of the relatively low fee structure of the Trusts.

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TRUSTEES

Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee		Other Directorships Held by Trustee During the Past 5 Years
Independent Trustees
FRANK NESVET c/o SSGA Master Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943	Independent Trustee, Chairman, Trustee Committee Chair	Term: Unlimited Served: since September 2000	Chief Executive Officer, Libra Group, Inc. (a financial services consulting company) (1998-present).		218	SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Active Trust (Trustee).
DAVID M. KELLY c/o SSGA Master Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938	Independent Trustee, Audit Committee Chair	Term: Unlimited Served: since September 2000	Retired.		218	Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired); SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Active Trust (Trustee).
BONNY EUGENIA BOATMAN c/o SSGA Master Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950	Independent Trustee	Term: Unlimited Served: since April 2010	Retired.		218	SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Active Trust (Trustee).
DWIGHT D. CHURCHILL c/o SSGA Master Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953	Independent Trustee	Term: Unlimited Served: since April 2010	Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015).		218	SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Active Trust (Trustee); Affiliated Managers Group, Inc. (Director).
CARL G. VERBONCOEUR c/o SSGA Master Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952	Independent Trustee	Term: Unlimited Served: since April 2010	Self-employed consultant since 2009.		218	The Motley Fool Funds Trust (Trustee); SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Active Trust (Trustee).

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Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee		Other Directorships Held by Trustee During the Past 5 Years
Interested Trustee
JAMES E. ROSS* SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1965	Interested Trustee	Term: Unlimited Served as Trustee: since April 2010	Chairman and Director, SSGA Funds Management, Inc. (2005-present); Senior Managing Director and Principal, State Street Global Advisors (2006-present); President, SSGA Funds Management, Inc. (2005-2012).		299	SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Active Trust (Trustee); 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.

OFFICERS

Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
ELLEN M. NEEDHAM SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967	President	Term: Unlimited Served: since October 2012	President and Director, SSGA Funds Management, Inc. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present).*
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966	Vice President; Deputy Treasurer	Term: Unlimited Served: since August 2012; Term: Unlimited Served: since February 2016	Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).*
MICHAEL P. RILEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Vice President	Term: Unlimited Served: since February 2005	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (February 2015-present); Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (2008-February 2015); Principal, State Street Global Advisors and SSGA Funds Management, Inc. (2005-2008).
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1978	Chief Legal Officer	Term: Unlimited Served: since February 2015	Vice President and Managing Counsel, State Street Global Advisors (2011-present); Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2006-2011).

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Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During the Past 5 Years
CHRISTOPHER A. MADDEN State Street Bank and Trust Company One Hundred Huntington Avenue, CPH0326 Boston, MA 02116 1967	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.*
PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Huntington Avenue, CPH0326 Boston, MA 02116 1973	Assistant Secretary	Term: Unlimited Served: since February 2015	Vice President and Counsel, State Street Bank and Trust Company (2014-present); Assistant Vice President and Counsel, John Hancock Financial Services (2011-2013); Independent legal consultant (2009-2011); Associate, Bingham McCutchen LLP (2003-2009).*,**
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1961	Treasurer	Term: Unlimited Served: since February 2016	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present; Director, Credit Suisse (April 2008-July 2015)).
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Deputy Treasurer	Term: Unlimited Served: since February 2016	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014-present); Vice President, State Street Bank and Trust Company (2001-November 2014).*
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1974	Assistant Treasurer	Term: Unlimited Served: since February 2016	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present; Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012)).
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1972	Assistant Treasurer	Term: Unlimited Served: since February 2016	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).*
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973	Chief Compliance Officer and Anti-Money Laundering Officer	Term: Unlimited Served: since November 2013	Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 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.

Statement of Additional information (SAI) includes additional information about Fund directors and is available, without charge, upon request and by calling 1-866-787-2257.

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Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President and Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Christopher A. Madden, Secretary

Patricia A. Morisette, Assistant Secretary

Brian Harris, Chief Compliance Officer and Anti-Money Laundering Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

For more complete information, please call 866.787.2257 or

visit www.spdrs.com today.

State Street Global Advisors, State Street Financial Center One Lincoln Street Boston, MA 02111

ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETFs net asset value. Brokerage commissions and ETF expenses will reduce returns.

Because the SPDR SSGA Active Asset Allocation ETFs are actively managed, they are therefore subject to the risk that the investments selected by SSGA may cause the ETFs to underperform relative to their benchmarks or other funds with similar investment objectives. Actively managed ETFs do not seek to replicate the performance of a specified index.

Foreign investments involve greater risks than U.S. investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.

Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.

Investing in commodities entail significant risk and is not appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends, commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.

Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.

Standard & Poor’s, S&P and SPDR are registered trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the SPDR ETFs.

State Street Global Markets, LLC is the distributor for all registered products on behalf of the adviser. SSGA Funds Management has retained GSO Capital Partners, Massachusetts Financial Services Company & DoubleLine Capital LP as the sub-adviser.

DoubleLine^® is a registered trademark of DoubleLine Capital LP.

GSO Capital Partners, Massachusetts Financial Services Company and DoubleLine Capital LP is not affiliated with State Street Global Markets, LLC.

Before investing, consider the fund’s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 866.787.2257 or visit www.spdrs.com. Read it carefully.

Not FDIC Insured. No Bank Guarantee. May Lose Value

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

State Street Global Advisors © 2016 State Street Corporation - All Rights Reserved SPDRACTAR  IBG-20863

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, 2016 and June 30, 2015, the aggregate audit fees billed for professional services rendered by the principal accountant were $167,039 and $167,039, 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, 2016 and June 30, 2015, 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, 2016 and June 30, 2015, the aggregate tax fees billed for professional services rendered by the principal accountant were $126,070 and $126,070, 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, 2016 and June 30, 2015.

(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).

(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 2016 (in millions)			FY 2015 (in millions)
Non audit services billed to:
Registrant:		See Item 4	(c)		See Item 4	(c)
Investment Adviser:		—			—
Other entities in the Investment Company Complex (1)(2):
Audit Related Fees	$	15.5		$	16.0
Tax Fees		7.5			6.0
All Other Fees		2.7			0.8

(1) Information is for the calendar years 2015 and 2014, 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. Audit Committees of Listed Registrants.

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. 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.

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.

The 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 Bruce S. Rosenberg, 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. Rosenberg 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 U.S. 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, as amended, 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, as amended, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended, 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.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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, 2016
By:	/s/ Bruce S. Rosenberg
	Bruce S. Rosenberg
	Treasurer and Principal Financial Officer
Date:	September 8, 2016

EX-99.CODEETH

Exhibit 12(a)(1)

SPDR^® Series Trust

SPDR^® Index Shares Funds

SSGA Master Trust

SSGA Active Trust

(each, a “Trust,” and, collectively the “Trusts”)

CODE OF CONDUCT FOR PRINCIPAL EXECUTIVE AND

PRINCIPAL FINANCIAL OFFICERS

I. Covered Officers/Purpose of the Code

This Code of Conduct (the “Code”) shall apply to each Trust’s Principal Executive Officer, Principal Financial Officer, Controller, Principal Accounting Officer and persons performing similar functions (the “Covered Officers,” each of whom is named in Exhibit A attached hereto) for the purpose of promoting:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• full, fair, accurate, timely and understandable disclosure in reports and documents that each Trust files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Trust;

• compliance with applicable laws and governmental rules and regulations;

• the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

• accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

II. Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his or her service to, a Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family, receives improper personal benefits as a result of his or her position with a Trust. Covered Officers must avoid conduct that conflicts, or appears to conflict, with their duties to a Trust. All Covered Officers should conduct themselves such that a reasonable observer would have no grounds for belief that a conflict of interest exists. Covered Officers are not permitted to self-deal or otherwise use their positions with a Trust to further their own or any other related person’s business opportunities.

This Code does not, and is not intended to, repeat or replace the compliance programs and procedures or codes of ethics of each Trust or each Trust’s investment adviser (the “Adviser”)¹ or distributor.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between a Trust and its service providers, including Adviser, of which the Covered Officers may be officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for a Trust, the Adviser, or other service providers), be involved in establishing policies and implementing decisions that will have different effects on the service providers and the Trusts. The participation of the Covered Officers in such activities is inherent in the contractual relationship between a Trust and its service providers and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. Thus, if performed in conformity with the provisions of the Investment Company Act of 1940, as amended (“Investment Company Act”) and the Investment Advisers Act of 1940, as amended (“Investment Advisers Act”), such activities will be deemed to have been handled ethically. In addition, it is recognized by each Trust’s Board of Trustees (the “Board”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Trust.

*                                 *                                 *                                *

Each Covered Officer must not:

• use his or her personal influence or personal relationship improperly to influence investment decisions or financial reporting by a Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;

• cause a Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Trust;

• retaliate against any other Covered Officer or any employee of a Trust or its affiliated persons for reports of potential violations by the Trust of applicable rules and regulations that are made in good faith; or

¹  Any reference to Adviser with respect to a Trust may include reference to any investment sub-adviser for a series of the Trust.

• use material non-public knowledge of portfolio transactions made or contemplated for the series of a Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions.

Each Covered Officer must discuss certain material conflict of interest situations with a Trust’s Audit Committee. Examples of such situations include:

• service as a director, trustee, general partner, or officer of any unaffiliated business organization. This rule does not apply to charitable, civic, religious, public, political, or social organizations, the activities of which do not conflict with the interests of a Trust;

• the receipt of any non-nominal gifts (valued greater than $250.00);

• the receipt of any entertainment from any company with which a Trust has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as raise any question of impropriety;

• any ownership interest in, or any consulting or employment relationship with, any of a Trust’s service providers, other than its Adviser, principal underwriter, administrator, sub-administrator, transfer agent, custodian or any affiliated person thereof; and

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

III. Disclosure and Conduct

• Each Covered Officer will monitor the compliance of each Trust and the Trust’s service providers with federal or state statutes, regulations or administrative procedures that affect the operation of the Trust.

• Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about a Trust to others, whether within or outside the Trust, including to the Trust’s Board, the Trust’s Audit Committee, the Trust’s independent auditors, governmental regulators, self-regulators and self-regulatory organizations.

• Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of a Trust and its service providers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Trust files with, or submits to, the SEC and in other public communications made by the Trust.

• Each Covered Officer will exhibit and promote the highest standards of honest and ethical conduct through the establishment and operation of policies and procedures that encourage professional integrity in all aspects of each Trust’s operations.

IV. Compliance with Applicable Laws and Regulations

• Each Trust’s Audit Committee is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation, including providing any approvals or waivers sought by the Covered Persons.

• It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

• In the event of any question of interpretation of the requirements under this Code, Covered Officers shall consult with the Audit Committee in order to assure compliance with the Code.

V. Reporting and Accountability

Each Covered Officer must:

• upon adoption of this Code (or thereafter as applicable, upon becoming a Covered Officer), sign and return a report in the form of Exhibit B to each Trust’s compliance officer affirming that he or she has received, read, and understands the Code;

• annually sign and return a report in the form of Exhibit C to each Trust’s compliance officer as an affirmation that he or she has complied with the requirements of the Code; and

• notify a Trust’s Audit Committee promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The Audit Committee will follow these procedures in investigating and enforcing this Code:

• The Audit Committee will take all appropriate actions to investigate any potential violations reported to the Committee.

• If, after such investigation, the Audit Committee believes that no violation has occurred, the Audit Committee is not required to take any further action.

• Any matter that the Audit Committee believes is a violation of this Code will be reported to the full Board.

• If the Board concurs that a violation has occurred, it will notify the appropriate personnel of the applicable service provider and may dismiss the Covered Officer as an officer of the Trusts.

• The Audit Committee will be responsible for granting waivers of provisions of this Code, as appropriate.

• Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

VI. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by each Trust’s for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of each Trust, each Trust’s Adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Trusts’ Adviser’s and principal underwriter’s codes of ethics under Rule 17j-1 under the Investment Company Act and the Adviser’s more detailed policies and procedures are separate requirements applying to the Covered Officers and others, and are not part of this Code.

VII. Amendments

Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of Independent Trustees.

VIII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trusts’ Board or Audit Committee.

IX. Internal Use

The Code is intended solely for the internal use by each Trust and does not constitute an admission, by or on behalf of a Trust, as to any fact, circumstance, or legal conclusion.

Adopted (SPDR^® Series Trust): August 18, 2003

Adopted (SPDR^® Index Shares Funds): July 1, 2004

Updated: August 1, 2007

Amended: November 18, 2010

Adopted (SSGA Master Trust/SSGA Active Trust)/Amended: May 25, 2011

Updated: November 17, 2015

EXHIBIT A

Persons Covered by this Code of Conduct:

Title	Name
President, Chief Executive Officer and Principal Executive Officer	Ellen Needham
Treasurer, Chief Financial Officer and Principal Financial Officer	Bruce Rosenberg

EXHIBIT B

INITIAL CERTIFICATION FORM

This is to certify that I have read and understand the Code of Conduct for Principal Executive and Principal Financial Officers of SPDR^® Series Trust, SPDR^® Index Shares Funds, SSGA Master Trust and SSGA Active Trust and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.

Please sign your name here:

Please print your name here:

Please date here:

EXHIBIT C

ANNUAL CERTIFICATION FORM

This is to certify that I have read and understand the Code of Conduct for Principal Executive and Senior Financial Officers of SPDR^® Series Trust, SPDR^® Index Shares Funds, SSGA Master Trust and SSGA Active Trust (the “Code”) and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.

This is to further certify that I have complied with the policies and procedures set forth in each Code during my tenure as a Covered Officer, as defined in the Code.

Please sign your name here:

Please print your name here:

Please date here:

EX-99.CERT

Exhibit 12(a)(2)

CERTIFICATIONS

I, Ellen M. Needham, President and Principal Executive Officer of SSGA Master Trust, certify that:

1. I have reviewed this report on Form N-CSR of SSGA Master Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	August 26, 2016
By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President and Principal Executive Officer

I, Bruce S. Rosenberg, Treasurer and Principal Financial Officer of SSGA Master Trust, certify that:

1. I have reviewed this report on Form N-CSR of SSGA Master Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	August 26, 2016
By:	/s/ Bruce S. Rosenberg
	Bruce S. Rosenberg
	Treasurer and Principal Financial Officer

EX-99.906CT

Exhibit 12(b)

SECTION 906 CERTIFICATION

I, Ellen M. Needham, President and Principal Executive Officer, and I, Bruce S. Rosenberg, Treasurer and Principal Financial Officer, of SSGA Master Trust (the “Trust”) each certify that:

1. This Form N-CSR filing for the Trust (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust.

By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President and Principal Executive Officer
Date:	September 8, 2016
By:	/s/ Bruce S. Rosenberg
	Bruce S. Rosenberg
	Treasurer and Principal Financial Officer
Date:	September 8, 2016