Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22542
SSGA ACTIVE TRUST
(Exact name of registrant as specified in charter)
One Lincoln Street,
Boston, Massachusetts 02111
(Address of principal executive offices) (zip code)
Joshua A. Weinberg, Esq.
Managing Director and Managing Counsel
SSGA Funds Management, Inc.
One Lincoln Street
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, 2017
Table of Contents
Item 1. Reports to Shareholders.
Table of Contents
Annual Report
30 June 2017
SSGA Active Trust
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
| Management’s Discussion of Fund Performance & Performance Summary (Unaudited) |
||||
| 1 | ||||
| 4 | ||||
| 7 | ||||
| 10 | ||||
| 13 | ||||
| 16 | ||||
| 19 | ||||
| 23 | ||||
| 27 | ||||
| 32 | ||||
| 40 | ||||
| 49 | ||||
| 55 | ||||
| 56 |
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
SPDR SSGA MULTI-ASSET REAL RETURN ETF —
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR SSGA Multi-Asset Real Return ETF (the “Fund”) normally invests substantially all of its assets in the SSGA Multi-Asset Real Return Portfolio (the “Portfolio”), which seeks to achieve real return consisting of capital appreciation and current income. As a result, the Fund invests indirectly through the Portfolio. The Fund’s benchmark is the Bloomberg Barclays U.S. Government Inflation-linked Bond Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 0.56%, and the Index was –0.67%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Exposures to broad resource equities, including a targeted allocation to the metals & mining sub industry and global infrastructure equities served as the primary drivers of Fund performance during the Reporting Period. Broadly, resource oriented equity sectors performed well during the Reporting Period overall, as market sentiment towards growth sensitive assets improved from healthier economic data including rising inflation expectations. The global growth outlook received a further boost following the U.S. Presidential election on optimism for “reflationary” fiscal stimulus policies from the new administration. Improving sentiment for global growth supported higher real yields which attributed to less favorable returns for the more interest rate sensitive benchmark index composed of inflation linked bonds. Portfolio positioning proved beneficial with greater allocations to growth oriented resource and infrastructure equities relative to inflation linked bonds over the Reporting Period. Within resource equities, metals & mining companies benefitted from a reflation led rebound in industrial metal prices driving improvements in earnings expectations attributing to outperformance relative to the Index. Infrastructure oriented equities also benefitted from tailwinds emanating from growth oriented fiscal policy on expectations for increased infrastructure development.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis were SPDR S&P Global Natural Resources ETF (GNR), SPDR S&P Global Infrastructure ETF (GII) and SPDR S&P Metals & Mining ETF (XME). The top negative contributors to the Fund’s performance on an absolute basis were PowerShares DB Commodity Index Tracking Fund (DBC), SPDR S&P Oil & Gas Equipment & Services ETF (XES), and PowerShares DB Gold Fund (DGL).
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
1
Table of Contents
SPDR SSGA MULTI-ASSET REAL RETURN ETF — PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Multi-Asset Real Return ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.70%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||||||||||
| NET |
MARKET |
PRIMARY BENCHMARK: BARCLAYS US GOVERNMENT INFLATION- LINKED BOND INDEX |
SECONDARY BENCHMARK: DBIQ OPTIMUM YIELD DIVERSIFIED COMMODITY INDEX EXCESS RETURN |
NET |
MARKET |
PRIMARY BENCHMARK: BARCLAYS US GOVERNMENT INFLATION- LINKED BOND INDEX |
SECONDARY BENCHMARK: DBIQ OPTIMUM YIELD DIVERSIFIED COMMODITY INDEX EXCESS RETURN |
|||||||||||||||||||||||||||||||
| ONE YEAR | 0.56% | 0.52% | –0.67% | –5.26% | 0.56% | 0.52% | –0.67% | –5.26% | ||||||||||||||||||||||||||||||
| FIVE YEAR | –8.17% | –8.17% | 1.45% | –43.48% | –1.69% | –1.69% | 0.29% | –9.96% | ||||||||||||||||||||||||||||||
| SINCE INCEPTION (1) | –11.33% | –11.39% | 3.11% | –45.65% | –2.29% | –2.30% | 0.59% | –11.10% | ||||||||||||||||||||||||||||||
| (1) | For the period April 25, 2012 to June 30, 2017. |
Bloomberg Barclays U.S. Government Inflation-linked Bond Index
The Bloomberg Barclays U.S. Government Inflation-linked Bond Index includes publicly issued, U.S. Treasury inflation protected securities that have at least 1 year remaining to maturity on index rebalancing date, with an issue size equal to or in excess of $500 million. Bonds must be capital-indexed and linked to an eligible inflation index.
DBIQ Optimum Yield Diversified Commodity Index Excess Return
The DBIQ Optimum Yield Diversified Commodity Index Excess Return employs a rule based approach when it rolls from one futures contract to another for each commodity in the index. DBLCI Diversified Index represents 14 commodities drawn from the Energy, Precious Metals, Industrial Metals and Agriculture sectors.
2
Table of Contents
SPDR SSGA MULTI-ASSET REAL RETURN ETF — PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
3
Table of Contents
SPDR SSGA INCOME ALLOCATION ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR SSGA Income Allocation ETF (the “Fund”) normally invests substantially all of its investable assets in the SSGA Income Allocation Portfolio (the “Portfolio”), which seeks to provide total return by focusing on investments in income and yield-generating assets. As a result, the Fund invests indirectly through the Portfolio. The Fund’s benchmark is the MSCI World Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 6.78%, and the Index was 18.20% (Net). The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Exposure to global fixed income asset classes, a sizable allocation to U.S. dividend equities and investments in securitized real estate were primary drivers of Fund performance during the Reporting Period relative to the Index. The Fund maintains diverse allocations to various fixed income asset classes, and while most of these assets delivered positive returns during the reporting period, they trailed broader equity benchmarks such as the Index. Fixed income assets were particularly challenged during the summer of 2016 and in the immediate aftermath of the U.S. presidential election as interest rates moved higher and a cyclical rally in equities caused relative underperformance against the Index. As part of the Fund’s income orientation, it also maintains an allocation to U.S. dividend paying equities — and while this allocation appreciated during the year — it, too, was more susceptible to a period of rising interest rates and did not keep up with broader market-cap weighted benchmarks. The focus on domestic equities also resulted in relative underperformance to the Index during the first half of 2017 when non-U.S. equities advanced strongly due to favorable political developments and a return to strong earnings growth. Lastly, allocations to U.S. REITs and real estate firms outside the United States also accounted for relative underperformance against the Index. Again, much of the performance of real estate assets during this period can be traced to their hybrid (equity and fixed income) characteristics, which led to poor performance amidst rising interest rates.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis were the SPDR S&P Dividend ETF (SDY), the SPDR Bloomberg Barclays High Yield Bond ETF (JNK) and the SPDR S&P International Dividend ETF (DWX). The top negative contributors to the Fund’s performance on an absolute basis were the SPDR Bloomberg Barclays Long Term Treasury ETF (TLO), the SPDR Dow Jones REIT ETF (RWR) and the Consumer Staples Select Sector SPDR Fund (XLP).
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
4
Table of Contents
SPDR SSGA INCOME ALLOCATION ETF — PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Income Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.70%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
PRIMARY BENCHMARK: MSCI WORLD INDEX |
SECONDARY BENCHMARK: BLOOMBERG BARCLAYS US LONG GOVERNMENT/ CREDIT BOND INDEX |
NET ASSET VALUE |
MARKET VALUE |
PRIMARY BENCHMARK: MSCI WORLD INDEX |
SECONDARY BENCHMARK: BLOOMBERG BARCLAYS US LONG GOVERNMENT/ CREDIT BOND INDEX |
|||||||||||||||||||||||||||||||
| ONE YEAR | 6.78% | 6.78% | 18.20% | –1.07% | 6.78% | 6.78% | 18.20% | –1.07% | ||||||||||||||||||||||||||||||
| FIVE YEAR | 29.07% | 29.05% | 71.44% | 16.70% | 5.24% | 5.23% | 11.39% | 4.26% | ||||||||||||||||||||||||||||||
| SINCE INCEPTION (1) | 30.19% | 30.20% | 65.80% | 28.96% | 5.22% | 5.22% | 10.25% | 5.03% | ||||||||||||||||||||||||||||||
| (1) | For the period April 25, 2012 to June 30, 2017. |
MSCI World Index
The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
Bloomberg Barclays US Long Government/Credit Bond Index
The Bloomberg Barclays Long Government/Credit Index measures the investment return of all medium and larger public issues of U.S. Treasury, agency, investment-grade corporate, and investment-grade international dollar-denominated bonds with maturities longer than 10 years. The average maturity is approximately 20 years.
5
Table of Contents
SPDR SSGA INCOME ALLOCATION ETF — PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
6
Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR SSGA Global Allocation ETF (the “Fund”) normally invests substantially all of its assets in the SSGA Global Allocation Portfolio (the “Portfolio”), which seeks to provide capital appreciation. As a result, this Fund invests indirectly through the Portfolio. The Fund’s benchmark is the MSCI ACWI IMI Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 9.14%, and the Index was 19.01% (Net). The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Exposure to global fixed income asset classes, a sizable allocation to U.S. equities and investments in securitized real estate were primary drivers of Fund performance during the Reporting Period relative to the Index. The Fund maintained a relatively diverse portfolio including allocations to various fixed income asset classes, and while most of these assets delivered positive returns during the Reporting Period, they trailed broader equity benchmarks such as the Index. Fixed income assets were particularly challenged during the summer and in the immediate aftermath of the U.S. presidential election as interest rates moved higher and a cyclical rally in equities caused relative underperformance against the Index. The focus on domestic equities also resulted in relative underperformance during the first half of 2017 when non-U.S. equities advanced strongly due to favorable political developments and a return to strong earnings growth. Allocations to U.S. REITs and real estate firms outside the United States also accounted for relative underperformance of the Fund against the Index. Again, much of the performance of real estate assets during this period can be traced to their hybrid (equity and fixed income) characteristics, which led to poor performance amidst rising interest rates. Lastly, allocation to gold in the second half of calendar year 2016 was one of the main detractors in the portfolio as the precious metal underperformed broader equity benchmarks.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis were SPDR S&P World Ex-US ETF (GWL), SPDR S&P 500 ETF (SPY), and SPDR Bloomberg Barclays High Yield Bond ETF (JNK). The top negative contributors to the Fund’s performance on an absolute basis were PowerShares DB Gold Fund (DGL), SPDR Dow Jones REIT ETF (RWR), and SPDR Bloomberg Barclays Long Term Treasury ETF (TLO).
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
7
Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF — PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Global Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.35%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
PRIMARY BENCHMARK: MSCI ACWI IMI INDEX |
SECONDARY BENCHMARK: BLOOMBERG BARCLAYS US AGGREGATE INDEX |
NET ASSET VALUE |
MARKET VALUE |
PRIMARY BENCHMARK: MSCI ACWI IMI INDEX |
SECONDARY BENCHMARK: BLOOMBERG BARCLAYS US AGGREGATE INDEX |
|||||||||||||||||||||||||||||||
| ONE YEAR | 9.14% | 9.12% | 19.01% | –0.31% | 9.14% | 9.12% | 19.01% | –0.31% | ||||||||||||||||||||||||||||||
| FIVE YEAR | 40.14% | 40.34% | 66.57% | 7.63% | 6.98% | 7.01% | 10.75% | 2.21% | ||||||||||||||||||||||||||||||
| SINCE INCEPTION (1) |
37.59% | 37.64% | 60.19% | 12.89% | 6.35% | 6.36% | 9.52% | 2.37% | ||||||||||||||||||||||||||||||
| (1) | For the period April 25, 2012 to June 30, 2017. |
MSCI ACWI IMI Index
The MSCI ACWI IMI Index is a free float-adjusted market capitalization-weighted index that is designed to measure the combined equity market performance of developed and emerging markets. The Index covers approximately 99% of the global equity markets.
Bloomberg Barclays U.S. Aggregate Index
The Bloomberg Barclays U.S. Aggregate Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States.
8
Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF — PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
9
Table of Contents
SPDR BLACKSTONE / GSO SENIOR LOAN ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR Blackstone / GSO Senior Loan ETF (the “Fund”) normally invests substantially all of its assets in the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”). The investment objective of the Portfolio is to provide current income consistent with the preservation of capital. As a result, the Fund invests indirectly through the Portfolio. The Fund’s primary benchmark is the Markit iBoxx USD Liquid Leveraged Loan Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 5.77%, and the Index was 5.05%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Credit selection within the healthcare and information technology sectors and an underweight allocation to the utilities sector were the primary positive drivers of Fund outperformance relative to the Index during the Reporting Period. An underweight allocation to basic materials (particularly no exposure to Peabody Energy, which returned approximately +148% as the defaulted loan traded from the low 40s in July 2016 to approximately par by early 2017) and a zero-weight to iHeartCommunications (2.59% weighting in the Index, returned +23.67% during the period) were the primary detractors to Fund performance relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis were the BMC Software Term Loan, Valeant Pharmaceuticals Term Loan F-1 and Tenet Healthcare 8.125% senior notes. The top negative contributors to the Fund’s performance on an absolute basis were the PetSmart Term Loan, Petco Animal Supplies Term Loan, and Concordia International Term Loan.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
10
Table of Contents
SPDR BLACKSTONE / GSO SENIOR LOAN ETF — PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/3/13, 4/4/13, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR Blackstone / GSO Senior Loan ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.70%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
PRIMARY BENCHMARK: MARKIT IBOXX USD LIQUID LEVERAGED LOAN INDEX |
SECONDARY BENCHMARK: S&P/LSTA U.S. LEVERAGED LOAN 100 INDEX |
NET ASSET VALUE |
MARKET VALUE |
PRIMARY BENCHMARK: MARKIT IBOXX USD LIQUID LEVERAGED LOAN INDEX |
SECONDARY BENCHMARK: S&P/LSTA U.S. LEVERAGED LOAN 100 INDEX |
|||||||||||||||||||||||||||||||
| ONE YEAR | 5.77% | 5.67% | 5.05% | 10.88% | 5.77% | 5.67% | 5.05% | 10.88% | ||||||||||||||||||||||||||||||
| SINCE INCEPTION (1) | 10.54% | 10.58% | 10.85% | 11.92% | 2.39% | 2.40% | 2.46% | 3.05% | ||||||||||||||||||||||||||||||
| (1) | For the period April 3, 2013 to June 30, 2017. |
Markit iBoxx USD Liquid Leveraged Loan Index
The Markit iBoxx USD Liquid Leveraged Loan Index is comprised of about 100 of the most liquid, tradable leveraged loans, as identified by Markit’s Loans Liquidity service.
S&P/LSTA U.S. Leveraged Loan 100 Index
The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the largest facilities in the leveraged loan market. It mirrors the market-weighted performance of the largest institutional leveraged loans based upon market weightings, spreads, and interest payments.
11
Table of Contents
SPDR BLACKSTONE / GSO SENIOR LOAN ETF — PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
12
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF —
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR SSGA Ultra Short Term Bond ETF (the “Fund”) normally invests substantially all of its assets in the SSGA Ultra Short Term Bond Portfolio (the “Portfolio”), which seeks to provide current income consistent with preservation of capital and daily liquidity through short duration high quality investments. As a result, this Fund invests indirectly through the Portfolio. The Fund’s benchmark is the Bloomberg Barclays US Treasury Bellwether 3 Month Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 1.53%, and the Index was 0.50%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Fund outperformed its index over the Reporting Period primarily due to its exposure to sectors that realized a yield advantage over the Index. Additionally, the Fund’s exposure to floating rate coupons allowed it to take advantage of the steady move higher in The London Interbank Offered Rate (“LIBOR”) while generally avoiding the negative price impacts from the move higher in short Treasury rates. The fund maintained a duration near 0.25 years for the majority of the period and a Weighted Average Life (WAL) or Option Adjusted Spread Duration (OASD) in the 1.3-1.5 year range.
The Federal Open Market Committee (FOMC) continued its rate hike cycle during the Reporting Period, hiking the Fed Funds’ target 3 times bringing the target range to 1.0%-1.25%. The U.S. Treasury yield curve moved almost in lockstep with the Fed rate hikes as yields from 3 months to 10 years moved approximately 75-90 basis points higher depending upon the maturity. The 30 year bond was the outperformer on the yield curve, adding only 55 basis points in yield. Another big catalyst that moved yields higher during the period was the election of President Donald Trump. The Trump victory sent rates markedly higher late in 2016 as investors priced in aggressive policy actions such as infrastructure spending, tax reform and other policies that would potentially add to growth, inflation and the deficit. Investors became somewhat skeptical of how much the new administration would be able to accomplish as the first half of 2017 proceeded. This, coupled with lower growth and inflation figures, caused longer dated Treasuries to rally during the second quarter despite the FOMC’s rate hikes.
LIBOR levels responded to the Fed rate hikes, moving higher by 50-75 basis points across the curve. 1 and 3 month LIBOR levels, which a majority of Fund holdings are indexed against, moved 75 and 65 basis points higher respectively during the Reporting Period. As of June 30, 2017, approximately 80% of Fund holdings had coupons that reset off of 1 or 3 month LIBOR. This helped the Fund maintain a yield in excess of its benchmark. In addition, credit spreads on corporate bonds and asset backed securities generally narrowed during the Reporting Period, further enhancing the return of the Fund versus the Index.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
13
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF —
PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/9/13, 10/10/13, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Ultra Short Term Bond ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.20%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
BLOOMBERG BARCLAYS US TREASURY BELLWETHER 3 MONTH INDEX |
NET ASSET VALUE |
MARKET VALUE |
BLOOMBERG BARCLAYS US TREASURY BELLWETHER 3 MONTH INDEX |
|||||||||||||||||||||||||
| ONE YEAR | 1.53% | 1.64% | 0.50% | 1.53% | 1.64% | 0.50% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 2.87% | 2.97% | 0.80% | 0.76% | 0.79% | 0.22% | ||||||||||||||||||||||||
| (1) | For the period October 9, 2013 to June 30, 2017. |
Bloomberg Barclays US Treasury Bellwether 3 Month Index
The Bloomberg Barclays US Treasury Bellwether 3 Month Index is a benchmark tracking the performance and attributes of the on-the-run U.S. Treasury that reflects the most recently issued three month security.
14
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF —
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
15
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR DoubleLine Total Return Tactical ETF (the “Fund”) normally invests substantially all of its assets in the State Street DoubleLine Total Return Tactical Portfolio (the “Portfolio”), which seeks to maximize total return. As a result, the Fund invests indirectly through the Portfolio. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 1.55%, and the total return for the Index was –0.32%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Fund outperformed the Index during the Reporting Period. With a meaningful increase in U.S. interest rates over the trailing 12-month period, the Fund’s shorter duration relative to the Index was a major driver of this outperformance. The Fund’s performance proved particularly resilient during the rate selloff occurring after the U.S. Presidential election. Relative performance further benefited when rates stabilized after this first leg higher, and credit spreads continued to compress into the end of June.
On a sector level, the top performing allocations within the Fund were High Yield and Emerging Market exposures. These two sectors benefited from a seemingly relentless narrowing of credit spreads and healthy inflows into funds focused on these two markets. The worst performing sector was Treasuries — in fact, this was the only negative returning sector over the Reporting Period. Low coupons in an environment of rising rates created a poor atmosphere for these bonds. For similar reasons Agency Mortgages and Investment Grade Credit also lagged other sectors over this period.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
16
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF — PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (2/23/15, 2/24/15, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR DoubleLine Total Return Tactical ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.65% (0.55% after fee waiver.) Since inception reflects the impact of an expense limitation agreement. Had the adviser not waived fees and reimbursed certain expenses, returns would have been lower.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
BLOOMBERG BARCLAYS US AGGREGATE BOND INDEX |
NET ASSET VALUE |
MARKET VALUE |
BLOOMBERG BARCLAYS US AGGREGATE BOND INDEX |
|||||||||||||||||||||||||
| ONE YEAR | 1.55% | 1.80% | –0.31% | 1.55% | 1.80% | –0.31% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 5.28% | 5.66% | 4.71% | 2.21% | 2.37% | 1.98% | ||||||||||||||||||||||||
| (1) | For the period February 23, 2015 to June 30, 2017. |
Bloomberg Barclays U.S. Aggregate Bond Index
The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States.
17
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF —
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
18
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR MFS Systematic Core Equity ETF (the “Fund”) normally invests substantially all of its assets in the SSGA MFS Systematic Core Equity Portfolio (the “Portfolio”), which seeks to achieve capital appreciation. As a result, the Fund invests indirectly through the Portfolio. The Fund’s benchmark is the S&P 500 Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 19.92%, and the Index was 17.90%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Global growth improved during much of the Reporting Period as oil prices recovered from their earlier plunge and fiscal and monetary stimulus from China took hold. Market confidence increased after the U.S. elections in November in anticipation of lower taxes, a lighter regulatory burden and increased infrastructure spending, boosting U.S. equities and bond yields. The U.S. Federal Reserve increased interest rates by 25 basis points at the end of the Reporting Period, bringing the total number of quarter-percent hikes in the federal funds rate to four since December 2015. Globally, however, central bank policy remained highly accommodative, which forced many government, and even some corporate, bond yields into negative territory during the Reporting Period. Toward the end of the Reporting Period, fears of a populist wave in Europe subsided after establishment candidates won the Dutch and French elections.
Headwinds from lower energy and commodity prices abated somewhat during the Reporting Period as stabilizing oil prices helped push energy earnings higher relative to expectations. A sharp rise in the U.S. dollar was an earnings headwind for multinationals early in the Reporting Period, but subsided by the end of the Reporting Period. U.S. consumer spending held up well during the second half of the Reporting Period amid a modest increase in real wages and relatively low gasoline prices. Demand for autos reached near-record territory in the first half of the Reporting Period before tapering off at the end of the period, while the housing market continued its recovery amid relatively low mortgage rates and tight inventories. Global trade, which was sluggish early in the Reporting Period, showed signs of improvement in the period’s second half and emerging markets (“EM”) countries began to show signs of a modest upturn in activity along with adjustment in their external accounts. These improved conditions appeared to have reassured investors and contributed to record inflows into the asset class during July and August as negative yields for an increasing share of developed market bonds drove yield-hungry investors further out on the risk spectrum. Similar investor inflows were experienced in the investment grade and high yield corporate markets. Late in the Reporting Period, however, new challenges emerged for EM debt as a result of the U.S. presidential election, which raised concerns about the potential for a protectionist turn in U.S. trade policy which could negatively impact EM economies. These concerns, along with rising expectations for U.S. growth, inflation and interest rates, have turned the tables on flows into EM debt. Since the election, flows have reversed. As of the end of the Reporting Period, the markets seemed to be in “wait-and-see” mode, looking for evidence to either confirm or refute the repricing of risk that has occurred since Election Day.
Security selection in both the leisure and retailing sectors contributed to Fund performance relative to the Index during the year. Within the leisure sector, the Fund’s overweight position in video game maker Electronic Arts aided relative returns. Within the retailing sector, overweighting technology products retailer Best Buy and internet retailer Amazon.com benefited relative results.
Strong security selection and underweighting the energy sector also supported relative performance. Within this sector, an overweight position in independent oil refiner Valero Energy aided relative returns.
19
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (CONTINUED)
Elsewhere, the Fund’s overweight positions in insurance company Prudential Financial, global financial services firm JPMorgan Chase, online travel company Priceline Group, equipment rental company United Rentals and enterprise information technology provider Hewlett Packard Enterprise all contributed to relative performance. Avoiding poor-performing diversified industrial conglomerate General Electric further buoyed relative results.
Weak security selection and underweighting the technology sector detracted from relative performance. Within this sector, not owning strong-performing software giant Microsoft and overweighting diversified technology products and services company IBM hurt relative results.
Security selection and overweighting the utilities & communications sector also weakened relative performance during the Reporting Period. Within this sector, overweight positions in telecommunications services provider Verizon Communications, integrated electric power company AES and utility services provider Exelon weakened relative returns as all three companies underperformed the Index.
In other sectors, overweight positions in biotech firm Gilead Sciences, food producer Tyson Foods, oilseeds, corn, and wheat processor Archer Daniels Midland and apparel and accessories manufacturer Michael Kors all held back relative performance. Not owning shares of diversified financial services firm Bank of America further weighed on relative results as shares of the company outpaced the Index during the reporting period.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis were Prudential Financial, Inc., Best Buy Co., Inc. and JP Morgan Chase and Co. The top negative contributors to the Fund’s performance on an absolute basis were Gilead Sciences, Inc., Verizon Communications, Inc., and Tyson Foods, Inc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
20
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF —
PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/8/14, 1/9/14, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR MFS Systematic Core Equity ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.60%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
S&P 500 INDEX |
NET ASSET VALUE |
MARKET VALUE |
S&P 500 INDEX |
|||||||||||||||||||||||||
| ONE YEAR | 19.92% | 19.85% | 17.90% | 19.92% | 19.85% | 17.90% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 50.23% | 50.09% | 41.87% | 12.42% | 12.39% | 10.59% | ||||||||||||||||||||||||
| (1) | For the period January 8, 2014 to June 30, 2017. |
S&P 500 Index
The S&P 500 Index is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and span over 25 separate industry groups.
21
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF —
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
22
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR MFS Systematic Growth Equity ETF (the “Fund”) normally invests substantially all of its investable assets in the SSGA MFS Systematic Growth Equity Portfolio (the “Portfolio”), which seeks to achieve capital appreciation. As a result, this Fund invests indirectly through the Portfolio. The Fund’s benchmark is the Russell 1000 Growth Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 18.18%, and the Index was 20.42%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Global growth improved during much of the Reporting Period as oil prices recovered from their earlier plunge and fiscal and monetary stimulus from China took hold. Market confidence increased after the U.S. elections in November in anticipation of lower taxes, a lighter regulatory burden and increased infrastructure spending, boosting U.S. equities and bond yields. The U.S. Federal Reserve increased interest rates by 25 basis points at the end of the Reporting Period, bringing the total number of quarter-percent hikes in the federal funds rate to four since December 2015. Globally, however, central bank policy remained highly accommodative, which forced many government, and even some corporate, bond yields into negative territory during the Reporting Period. Toward the end of the Reporting Period, fears of a populist wave in Europe subsided after establishment candidates won the Dutch and French elections.
Headwinds from lower energy and commodity prices abated somewhat during the Reporting Period as stabilizing oil prices helped push energy earnings higher relative to expectations. A sharp rise in the US dollar was an earnings headwind for multinationals early in the Reporting Period, but subsided by the end of the Reporting Period. U.S. consumer spending held up well during the second half of the Reporting Period amid a modest increase in real wages and relatively low gasoline prices. Demand for autos reached near-record territory in the first half of the Reporting Period before tapering off at the end of the Reporting Period, while the housing market continued its recovery amid relatively low mortgage rates and tight inventories. Global trade, which was sluggish early in the period, showed signs of improvement in the Reporting Period’s second half and emerging markets (“EM”) countries began to show signs of a modest upturn in activity along with adjustment in their external accounts. These improved conditions appeared to have reassured investors and contributed to record inflows into the asset class during July and August as negative yields for an increasing share of developed market bonds drove yield-hungry investors further out on the risk spectrum. Similar investor inflows were experienced in the investment grade and high yield corporate markets. Late in the Reporting Period, however, new challenges emerged for EM debt as a result of the U.S. presidential election, which raised concerns about the potential for a protectionist turn in U.S. trade policy which could negatively impact EM economies. These concerns, along with rising expectations for U.S. growth, inflation and interest rates, have turned the tables on flows into emerging markets debt. Since the election, flows have reversed. As of the end of the Reporting Period, the markets seemed to be in “wait-and-see” mode, looking for evidence to either confirm or refute the repricing of risk that has occurred since Election Day.
Security selection and an underweight position in the technology sector negatively impacted performance relative to the Index during the Reporting Period. Within this sector, an underweight position in computer and personal electronics maker Apple, and not holding shares of software giant Microsoft, hurt relative results.
Weak stock selection in the health care sector further hindered relative performance. Overweight positions in poor-performing health services and information technology company McKesson, biotech firm Gilead Sciences and healthcare services company Express Scripts all weighed on relative results.
23
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (CONTINUED)
Stocks in other sectors that detracted from relative returns included overweight positions in food producer Tyson Foods, apparel retailer Michael Kors, telecommunications company Verizon Communications and automotive replacement parts distributor Autozone, as well as the timing of the Fund’s ownership in shares of apparel retailer Gap.
Strong security selection in the leisure, special products & services and industrial goods & services sectors benefited relative performance. Within the leisure sector, the Fund’s overweight positions in video game makers Take-Two Interactive and Electronic Arts, cable services provider Charter Communications and pizza delivery company Domino’s Pizza, lifted relative returns. Within the special products & services sector, an overweight position in shares of online travel company Priceline Group helped relative results. Within the industrial goods & services sector, the Fund’s overweight position in equipment rental company United Rentals supported relative performance.
Elsewhere, holding shares of insurance company Prudential Financial and technology products retailer Best Buy and overweighting shares of electronic systems manufacturer Lear and hospital and medical insurance plans provider Anthem benefited relative returns.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis were Take-Two Interactive, United Rentals, Inc. and Priceline Group. The top negative contributors to the Fund’s performance on an absolute basis were Tyson Foods, Inc., Apple, Inc., and McKesson Group.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
24
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF —
PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/8/14, 1/9/14, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR MFS Systematic Growth Equity ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.60%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
RUSSELL 1000 GROWTH INDEX |
NET ASSET VALUE |
MARKET VALUE |
RUSSELL 1000 GROWTH INDEX |
|||||||||||||||||||||||||
| ONE YEAR | 18.18% | 18.41% | 20.42% | 18.18% | 18.41% | 20.42% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 55.49% | 55.74% | 46.81% | 13.54% | 13.59% | 11.68% | ||||||||||||||||||||||||
| (1) | For the period January 8, 2014 to June 30, 2017. |
Russell 1000 Growth Index
The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values.
25
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF —
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
26
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR MFS Systematic Value Equity ETF (the “Fund”) normally invests substantially all of its investable assets in the SSGA MFS Systematic Value Equity Portfolio (the “Portfolio”), which seeks to achieve capital appreciation. As a result, this Fund invests indirectly through the Portfolio. The Fund’s benchmark is the Russell 1000 Value Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 19.61%, and the Index was 15.53%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Global growth improved during much of the Reporting Period as oil prices recovered from their earlier plunge and fiscal and monetary stimulus from China took hold. Market confidence increased after the U.S. elections in November in anticipation of lower taxes, a lighter regulatory burden and increased infrastructure spending, boosting U.S. equities and bond yields. The U.S. Federal Reserve increased interest rates by 25 basis points at the end of the Reporting Period, bringing the total number of quarter-percent hikes in the federal funds rate to four since December 2015. Globally, however, central bank policy remained highly accommodative, which forced many government, and even some corporate, bond yields into negative territory during the Reporting Period. Toward the end of the Reporting Period, fears of a populist wave in Europe subsided after establishment candidates won the Dutch and French elections.
Headwinds from lower energy and commodity prices abated somewhat during the Reporting Period as stabilizing oil prices helped push energy earnings higher relative to expectations. A sharp rise in the U.S. dollar was an earnings headwind for multinationals early in the Reporting Period, but has since subsided. U.S. consumer spending held up well during the second half of the Reporting Period amid a modest increase in real wages and relatively low gasoline prices. Demand for autos reached near-record territory in the first half of the Reporting Period before tapering off at the end of the period, while the housing market continued its recovery amid relatively low mortgage rates and tight inventories. Global trade, which was sluggish early in the Reporting Period, showed signs of improvement in the Reporting Period’s second half and emerging markets (“EM”) countries began to show signs of a modest upturn in activity along with adjustment in their external accounts. These improved conditions appeared to have reassured investors and contributed to record inflows into the asset class during July and August as negative yields for an increasing share of developed market bonds drove yield-hungry investors further out on the risk spectrum. Similar investor inflows were experienced in the investment grade and high yield corporate markets. Late in the Reporting Period, however, new challenges emerged for EM debt as a result of the U.S. presidential election, which raised concerns about the potential for a protectionist turn in U.S. trade policy which could negatively impact EM economies. These concerns, along with rising expectations for U.S. growth, inflation and interest rates, have turned the tables on flows into EM debt. Since the election, flows have reversed. As of the end of the Reporting Period, the markets seemed to be in “wait-and-see” mode, looking for evidence to either confirm or refute the repricing of risk that has occurred since Election Day.
Security selection in both the industrial goods & services and retailing sectors contributed to performance relative to the Index during the Reporting Period. Within the industrial goods & services sector, an overweight position in equipment rental company United Rentals, and avoiding poor-performing diversified industrial conglomerate General Electric, bolstered relative results. Within the retailing sector, the Fund’s overweight position in technology products retailer Best Buy further supported relative returns, Security selection and underweighting the energy sector also added to relative performance. Here, an underweight in integrated oil and gas company Exxon Mobil and an overweight position in independent oil refiner Valero Energy boosted relative performance.
27
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (CONTINUED)
Elsewhere, overweight positions in insurance company Prudential Financial, global financial services firms JPMorgan Chase and Citigroup and enterprise storage and data management software company NetApp aided relative performance. Not investing in shares of telecommunication services provider AT&T further contributed to relative returns as the security underperformed the benchmark during the Reporting Period.
Security selection in the technology sector hindered relative performance. However, within this sector there were no stocks that were among the Fund’s top relative detractors over the Reporting Period.
Elsewhere, overweight positions in real estate investment trust Store Capital, oil and gas exploration & production company Anadarko Petroleum, food producer Tyson Foods, telecommunications services provider Verizon Communications, biotech firm Gilead Sciences, utility services provider Exelon, apparel and accessories manufacturer Michael Kors, sporting goods retailer Dicks Sporting Goods and oil and gas exploration and production company Occidental Petroleum all detracted from relative performance. The timing of the Fund’s ownership in shares of natural gas exploration firm Rice Energy further weighed on relative returns.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis were Best Buy Co., Inc., Prudential Financial, Inc. and JP Morgan Chase & Co. The top negative contributors to the Fund’s performance on an absolute basis were Store Capital Corp., Anadarko Petroleum Corp, and Tyson Foods, Inc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
28
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF —
PERFORMANCE SUMMARY
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/8/14, 1/9/14, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR MFS Systematic Value Equity ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented July 7, 2017) is 0.60%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
RUSSELL 1000 VALUE INDEX |
NET ASSET VALUE |
MARKET VALUE |
RUSSELL 1000 VALUE INDEX |
|||||||||||||||||||||||||
| ONE YEAR | 19.61% | 19.63% | 15.53% | 19.61% | 19.63% | 15.53% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 40.37% | 40.22% | 34.35% | 10.25% | 10.21% | 8.87% | ||||||||||||||||||||||||
| (1) | For the period January 8, 2014 to June 30, 2017. |
Russell 1000 Value Index
The Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values.
29
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF —
PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
30
Table of Contents
[This Page Intentionally Left Blank]
31
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2017
| SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
||||||||||
| ASSETS |
||||||||||||
| Investment in corresponding Portfolio, at value (Note 1) |
$ | 115,980,693 | $ | 96,276,409 | $ | 209,462,903 | ||||||
| Receivable for fund shares sold |
— | — | — | |||||||||
| Receivable from Adviser (Note 3) |
— | — | 29,092 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL ASSETS |
115,980,693 | 96,276,409 | 209,491,995 | |||||||||
|
|
|
|
|
|
|
|||||||
| LIABILITIES |
||||||||||||
| Advisory fee payable (Note 3) |
2,729 | 12,883 | — | |||||||||
| Distribution payable |
902,741 | 887,221 | 1,711,599 | |||||||||
| Accrued expenses and other liabilities |
8 | 17 | — | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL LIABILITIES |
905,478 | 900,121 | 1,711,599 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 115,075,215 | $ | 95,376,288 | $ | 207,780,396 | ||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS CONSIST OF: |
||||||||||||
| Paid-in Capital |
$ | 156,391,986 | $ | 99,123,173 | $ | 204,408,530 | ||||||
| Undistributed (distribution in excess of) net investment income (loss) |
(433,560 | ) | 149,271 | 310,145 | ||||||||
| Accumulated net realized gain (loss) on investments |
(32,311,098 | ) | (8,076,854 | ) | (11,038,230 | ) | ||||||
| Net unrealized appreciation (depreciation) on: |
||||||||||||
| Investments |
(8,572,113 | ) | 4,180,698 | 14,099,951 | ||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 115,075,215 | $ | 95,376,288 | $ | 207,780,396 | ||||||
|
|
|
|
|
|
|
|||||||
| NET ASSET VALUE PER SHARE |
||||||||||||
| Net asset value per share |
$ | 23.97 | $ | 32.33 | $ | 35.52 | ||||||
|
|
|
|
|
|
|
|||||||
| Shares outstanding (unlimited amount authorized, no par value) |
4,800,000 | 2,950,000 | 5,850,000 | |||||||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements and financial statements of the Master Portfolios.
32
Table of Contents
| SPDR Blackstone/ GSO Senior Loan ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR DoubleLine Total Return Tactical ETF |
SPDR MFS Systematic Core Equity ETF |
SPDR MFS Systematic Growth Equity ETF |
SPDR MFS Systematic Value Equity ETF |
|||||||||||||||||
| $ | 1,821,086,412 | $ | 18,117,432 | $ | 3,352,024,481 | $ | 6,885,286 | $ | 39,180,281 | $ | 6,006,271 | |||||||||||
| — | — | 2,451,597 | — | — | — | |||||||||||||||||
| — | — | 309,764 | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,821,086,412 | 18,117,432 | 3,354,785,842 | 6,885,286 | 39,180,281 | 6,006,271 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 580,543 | — | 963,071 | 1,692 | 14,401 | 1,462 | |||||||||||||||||
| — | — | — | 21,904 | 87,096 | 23,876 | |||||||||||||||||
| 700 | — | 21,565 | — | 14 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 581,243 | — | 984,636 | 23,596 | 101,511 | 25,338 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,820,505,169 | $ | 18,117,432 | $ | 3,353,801,206 | $ | 6,861,690 | $ | 39,078,770 | $ | 5,980,933 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,856,785,097 | $ | 18,348,466 | $ | 3,380,567,399 | $ | 5,843,651 | $ | 38,933,771 | $ | 5,415,994 | |||||||||||
| 3,100,293 | 5,324 | 7,446,958 | (21,904 | ) | (22,472 | ) | (17,301 | ) | ||||||||||||||
| (48,173,380 | ) | (276,123 | ) | (19,242,824 | ) | 136,428 | (18,194 | ) | 40,585 | |||||||||||||
| 8,793,159 | 39,765 | (14,970,327 | ) | 903,515 | 185,665 | 541,655 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,820,505,169 | $ | 18,117,432 | $ | 3,353,801,206 | $ | 6,861,690 | $ | 39,078,770 | $ | 5,980,933 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 47.41 | $ | 40.26 | $ | 49.03 | $ | 68.62 | $ | 71.05 | $ | 59.81 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 38,400,000 | 450,000 | 68,400,000 | 100,000 | 550,000 | 100,000 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
33
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS
For the Year Ended June 30, 2017
| SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
||||||||||
| INCOME AND EXPENSES ALLOCATED FROM PORTFOLIO |
||||||||||||
| Interest income allocated from the Portfolio (Note 2) |
$ | — | $ | — | $ | — | ||||||
| Dividend income allocated from the Portfolio (Note 2) |
2,419,343 | 3,901,726 | 5,674,745 | |||||||||
| Foreign taxes withheld allocated from the Portfolio |
— | — | — | |||||||||
| Expenses allocated from the Portfolio (Note 2) |
(194,887 | ) | (205,041 | ) | (392,751 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM PORTFOLIO |
2,224,456 | 3,696,685 | 5,281,994 | |||||||||
|
|
|
|
|
|
|
|||||||
| EXPENSES |
||||||||||||
| Advisory fees (Note 3) |
18,382 | 163,759 | — | |||||||||
| Trustees’ fees and expenses (Note 4) |
1,456 | 1,819 | 3,775 | |||||||||
| Miscellaneous expenses |
232 | 254 | 14 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL EXPENSES |
20,070 | 165,832 | 3,789 | |||||||||
|
|
|
|
|
|
|
|||||||
| Expenses waived/reimbursed by the Adviser (Note 3) |
— | — | (384,991 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| NET EXPENSES |
20,070 | 165,832 | (381,202 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| NET INVESTMENT INCOME (LOSS) |
2,204,386 | 3,530,853 | 5,663,196 | |||||||||
|
|
|
|
|
|
|
|||||||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||
| Net realized gain (loss) on: |
||||||||||||
| Investment transactions allocated from Portfolio |
(5,911,292 | ) | 214,463 | (1,033,092 | ) | |||||||
| In-kind redemptions allocated from Portfolio |
846,849 | 1,306,135 | 1,214,587 | |||||||||
| Capital gain distributions allocated from Portfolio |
44,344 | 115,429 | 99,208 | |||||||||
| Net change in unrealized appreciation/depreciation on: |
||||||||||||
| Net change in unrealized appreciation (depreciation) allocated from Portfolio |
2,590,190 | 1,395,074 | 11,097,304 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
(2,429,909 | ) | 3,031,101 | 11,378,007 | ||||||||
|
|
|
|
|
|
|
|||||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS |
$ | (225,523 | ) | $ | 6,561,954 | $ | 17,041,203 | |||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements and financial statements of the Master Portfolios.
34
Table of Contents
| SPDR Blackstone/ GSO Senior Loan ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR DoubleLine Total Return Tactical ETF |
SPDR MFS Systematic Core Equity ETF |
SPDR MFS Systematic Growth Equity ETF |
SPDR MFS Systematic Value Equity ETF |
|||||||||||||||||
| $54,297,503 | $ | 194,851 | $ | 98,597,479 | $ | — | $ | — | $ | — | ||||||||||||
| 563,244 | 4,017 | 955,935 | 135,118 | 320,157 | 94,919 | |||||||||||||||||
| — | — | (1,311 | ) | — | — | — | ||||||||||||||||
| (3,588,888 | ) | (30,942 | ) | (9,232,723 | ) | (19,207 | ) | (58,067 | ) | (11,925 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
51,271,859 |
167,926 | 90,319,380 | 115,911 | 262,090 | 82,994 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 4,750,697 | — | 10,703,090 | 19,055 | 58,004 | 11,857 | |||||||||||||||||
| 20,475 | 320 | 79,655 | 121 | 248 | 64 | |||||||||||||||||
| 9,404 | 123 | 29,898 | 1 | 28 | 1 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 4,780,576 | 443 | 10,812,643 | 19,177 | 58,280 | 11,922 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| — | — | (3,207,429 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 4,780,576 | 443 | 7,605,214 | 19,177 | 58,280 | 11,922 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 46,491,283 | 167,483 | 82,714,166 | 96,734 | 203,810 | 71,072 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 2,066,423 | (4,025 | ) | 2,330,164 | 141,523 | 122,861 | 55,555 | ||||||||||||||||
| — | — | — | — | 3,178,967 | — | |||||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||
| |
10,003,246 |
44,001 | (41,419,853 | ) | 911,630 | (247,234 | ) | 483,114 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 12,069,669 | 39,976 | (39,089,689 | ) | 1,053,153 | 3,054,594 | 538,669 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
$58,560,952 |
$ | 207,459 | $ | 43,624,477 | $ | 1,149,887 | $ | 3,258,404 | $ | 609,741 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
35
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | |||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 2,204,386 | $ | 1,211,069 | $ | 3,530,853 | $ | 3,286,224 | ||||||||
| Net realized gain (loss) |
(5,020,099 | ) | (16,425,290 | ) | 1,636,027 | (3,781,455 | ) | |||||||||
| Net change in unrealized appreciation/depreciation |
2,590,190 | 6,755,515 | 1,395,074 | 3,854,231 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets resulting from operations |
(225,523 | ) | (8,458,706 | ) | 6,561,954 | 3,359,000 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net equalization credits and charges (Note 2) |
26,885 | 23,691 | (24,329 | ) | (86,567 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||
| Net investment income |
(2,180,468 | ) | (1,284,505 | ) | (3,075,849 | ) | (3,629,570 | ) | ||||||||
| Net realized gains |
— | — | — | — | ||||||||||||
| Return of capital |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions to shareholders |
(2,180,468 | ) | (1,284,505 | ) | (3,075,849 | ) | (3,629,570 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| FROM BENEFICIAL INTEREST TRANSACTIONS: |
||||||||||||||||
| Proceeds from sale of shares sold |
47,857,927 | 26,711,193 | 1,595,744 | 3,064,239 | ||||||||||||
| Cost of shares redeemed |
(10,818,117 | ) | (77,421,277 | ) | (14,310,948 | ) | (18,208,088 | ) | ||||||||
| Net income equalization (Note 2) |
(26,885 | ) | (23,691 | ) | 24,329 | 86,567 | ||||||||||
| Other capital (Note 5) |
— | — | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets from beneficial interest transactions |
37,012,925 | (50,733,775 | ) | (12,690,875 | ) | (15,057,282 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets during the period |
34,633,819 | (60,453,295 | ) | (9,229,099 | ) | (15,414,419 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net assets at beginning of period |
80,441,396 | 140,894,691 | 104,605,387 | 120,019,806 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS AT END OF PERIOD |
$ | 115,075,215 | $ | 80,441,396 | $ | 95,376,288 | $ | 104,605,387 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Undistributed (distribution in excess of) net investment income (loss) |
$ | (433,560 | ) | $ | (380,758 | ) | $ | 149,271 | $ | (359,964 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| SHARES OF BENEFICIAL INTEREST: |
||||||||||||||||
| Shares sold |
1,950,000 | 1,200,000 | 50,000 | 100,000 | ||||||||||||
| Shares redeemed |
(450,000 | ) | (3,351,111 | ) | (450,000 | ) | (601,111 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
1,500,000 | (2,151,111 | ) | (400,000 | ) | (501,111 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements and financial statements of the Master Portfolios.
36
Table of Contents
| SPDR SSGA Global Allocation ETF |
SPDR Blackstone/GSO Senior Loan ETF |
SPDR SSGA Ultra Short Term Bond ETF |
||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||||||||
| $ 5,663,196 | $ | 4,237,435 | $ | 46,491,283 | $ | 31,068,882 | $ | 167,483 | $ | 220,815 | ||||||||||||
| 280,703 | (8,789,724 | ) | 2,066,423 | (46,702,938 | ) | (4,025 | ) | (268,823 | ) | |||||||||||||
| |
11,097,304 |
1,852,621 | 10,003,246 | 7,786,190 | 44,001 | 5,478 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
17,041,203 |
(2,699,668 | ) | 58,560,952 | (7,847,866 | ) | 207,459 | (42,530 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
(5,755) |
90,933 | 1,344,767 | 291,518 | (82 | ) | 60,118 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (4,865,796 | ) | (5,119,774 | ) | (45,308,923 | ) | (31,186,434 | ) | (162,266 | ) | (223,429 | ) | |||||||||||
| — | (382,777 | ) | — | — | — | — | ||||||||||||||||
| — | — | — | — | — | (46,943 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (4,865,796 | ) | (5,502,551 | ) | (45,308,923 | ) | (31,186,434 | ) | (162,266 | ) | (270,372 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 27,444,065 | 106,134,741 | 1,009,200,238 | 239,115,391 | 6,030,951 | 195,789,866 | |||||||||||||||||
| (16,951,553 | ) | (56,475,220 | ) | (4,708,856 | ) | (70,050,396 | ) | (12,015,514 | ) | (187,553,580 | ) | |||||||||||
| 5,755 | (90,933 | ) | (1,344,767 | ) | (291,518 | ) | 82 | (60,118 | ) | |||||||||||||
| — | — | 533,984 | 386,597 | 18,045 | 97,270 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
10,498,267 |
49,568,588 | 1,003,680,599 | 169,160,074 | (5,966,436 | ) | 8,273,438 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
22,667,919 |
41,457,302 | 1,018,277,395 | 130,417,292 | (5,921,325 | ) | 8,020,654 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 185,112,477 | 143,655,175 | 802,227,774 | 671,810,482 | 24,038,757 | 16,018,103 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $207,780,396 | $ | 185,112,477 | $ | 1,820,505,169 | $ | 802,227,774 | $ | 18,117,432 | $ | 24,038,757 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
$ 310,145 |
$ | (542,324 | ) | $ | 3,100,293 | $ | 1,917,933 | $ | 5,324 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 800,000 | 3,150,000 | 21,300,000 | 5,050,000 | 150,000 | 4,900,000 | |||||||||||||||||
| (500,000 | ) | (1,751,111 | ) | (100,000 | ) | (1,500,000 | ) | (300,000 | ) | (4,700,000 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 300,000 | 1,398,889 | 21,200,000 | 3,550,000 | (150,000 | ) | 200,000 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
37
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR DoubleLine Total Return Tactical ETF | SPDR MFS Systematic Core Equity ETF | |||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 82,714,166 | $ | 53,746,502 | $ | 96,734 | $ | 85,591 | ||||||||
| Net realized gain (loss) |
2,330,164 | (3,169,758 | ) | 141,523 | 351,022 | |||||||||||
| Net change in unrealized appreciation/depreciation |
(41,419,853 | ) | 33,117,148 | 911,630 | (346,244 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets resulting from operations |
43,624,477 | 83,693,892 | 1,149,887 | 90,369 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net equalization credits and charges (Note 2) |
890,764 | 2,569,641 | — | 16,445 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||||||||||
| Net investment income |
(91,135,299 | ) | (51,231,117 | ) | (96,747 | ) | (102,966 | ) | ||||||||
| Net realized gains |
(5,206,246 | ) | — | — | (63,234 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions to shareholders |
(96,341,545 | ) | (51,231,117 | ) | (96,747 | ) | (166,200 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| FROM BENEFICIAL INTEREST TRANSACTIONS: |
||||||||||||||||
| Proceeds from sale of shares sold |
765,835,234 | 1,878,119,722 | — | 5,860,887 | ||||||||||||
| Cost of shares redeemed |
(19,509,802 | ) | — | — | (2,902,795 | ) | ||||||||||
| Net income equalization (Note 2) |
(890,764 | ) | (2,569,641 | ) | — | (16,445 | ) | |||||||||
| Other capital (Note 5) |
2,241,745 | 925,486 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets from beneficial interest transactions |
747,676,413 | 1,876,475,567 | — | 2,941,647 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets during the period |
695,850,109 | 1,911,507,983 | 1,053,140 | 2,882,261 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net assets at beginning of period |
2,657,951,097 | 746,443,114 | 5,808,550 | 2,926,289 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS AT END OF PERIOD |
$ | 3,353,801,206 | $ | 2,657,951,097 | $ | 6,861,690 | $ | 5,808,550 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Undistributed (distribution in excess of) net investment income (loss) |
$ | 7,446,958 | $ | 3,974,284 | $ | (21,904 | ) | $ | (25,922 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| SHARES OF BENEFICIAL INTEREST: |
||||||||||||||||
| Shares sold |
15,500,000 | 38,200,000 | — | 100,000 | ||||||||||||
| Shares redeemed |
(400,000 | ) | — | — | (50,000 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
15,100,000 | 38,200,000 | — | 50,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements and financial statements of the Master Portfolios.
38
Table of Contents
| SPDR MFS Systematic Growth Equity ETF |
SPDR MFS Systematic Value Equity ETF |
|||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||
| $ | 203,810 | $ | 113,020 | $ | 71,072 | $ | 49,540 | |||||||
| 3,301,828 | 378,142 | 55,555 | 109,849 | |||||||||||
|
|
(247,234 |
) |
53,265 | 483,114 | (243,554 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
|
|
3,258,404 |
|
544,427 | 609,741 | (84,165 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| |
3,639 |
1,422 | 2,637 | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (196,549 | ) | (115,383 | ) | (74,269 | ) | (50,382 | ) | |||||||
| — | (183,280 | ) | (61,570 | ) | (161,371 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (196,549 | ) | (298,663 | ) | (135,839 | ) | (211,753 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| 45,181,472 | 8,964,863 | 2,907,751 | — | |||||||||||
| (21,298,530 | ) | (3,100,803 | ) | — | — | |||||||||
| (3,639 | ) | (1,422 | ) | (2,637 | ) | — | ||||||||
| — | — | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
|
|
23,879,303 |
|
5,862,638 | 2,905,114 | — | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
|
|
26,944,797 |
|
6,109,824 | 3,381,653 | (295,918 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 12,133,973 | 6,024,149 | 2,599,280 | 2,895,198 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 39,078,770 | $ | 12,133,973 | $ | 5,980,933 | $ | 2,599,280 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ |
(22,472 |
) |
$ | (29,733 | ) | $ | (17,301 | ) | $ | (12,678 | ) | |||
|
|
|
|
|
|
|
|
|
|||||||
| 650,000 | 150,000 | 50,000 | — | |||||||||||
| (300,000 | ) | (50,000 | ) | — | — | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 350,000 | 100,000 | 50,000 | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
39
Table of Contents
SSGA ACTIVE TRUST
Selected data for a share outstanding throughout each period (a)
| SPDR SSGA Multi-Asset Real Return ETF | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
||||||||||||||||
| Net asset value, beginning of period |
$ | 24.38 | $ | 25.85 | $ | 30.86 | $ | 27.68 | $ | 28.77 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income (loss) from investment operations: |
||||||||||||||||||||
| Net investment income (loss) (b) |
0.56 | 0.30 | 0.43 | 0.57 | 0.86 | |||||||||||||||
| Net realized and unrealized gain (loss) (c) |
(0.44 | ) | (1.43 | ) | (5.02 | ) | 3.22 | (1.33 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from investment operations |
0.12 | (1.13 | ) | (4.59 | ) | 3.79 | (0.47 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net equalization credits and charges (b) |
0.01 | 0.01 | 0.01 | 0.01 | 0.03 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Distributions to shareholders from: |
||||||||||||||||||||
| Net investment income |
(0.54 | ) | (0.35 | ) | (0.43 | ) | (0.62 | ) | (0.65 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$ | 23.97 | $ | 24.38 | $ | 25.85 | $ | 30.86 | $ | 27.68 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return (d) |
0.56 | % | (4.22 | )% | (14.84 | )% | 13.85 | % | (1.67 | )% | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 115,075 | $ | 80,441 | $ | 140,895 | $ | 163,580 | $ | 120,434 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.22 | % | 0.28 | % | 0.23 | % | 0.24 | % | 0.25 | % | ||||||||||
| Net investment income (loss) |
2.28 | % | 1.29 | % | 1.53 | % | 1.97 | % | 2.86 | % | ||||||||||
| Portfolio turnover rate (e) |
46 | % | 25 | % | 33 | % | 40 | % | 31 | % | ||||||||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (e) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
40
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR SSGA Income Allocation ETF | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
||||||||||||||||
| Net asset value, beginning of period |
$ | 31.23 | $ | 31.16 | $ | 32.70 | $ | 29.90 | $ | 29.85 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income (loss) from investment operations: |
||||||||||||||||||||
| Net investment income (loss) (b) |
1.10 | 0.93 | 0.97 | 1.16 | 1.41 | |||||||||||||||
| Net realized and unrealized gain (loss) (c) |
0.98 | 0.22 | (1.51 | ) | 2.86 | (0.25 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from investment operations |
2.08 | 1.15 | (0.54 | ) | 4.02 | 1.16 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net equalization credits and charges (b) |
(0.01 | ) | (0.02 | ) | 0.02 | (0.03 | ) | 0.12 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Distributions to shareholders from: |
||||||||||||||||||||
| Net investment income |
(0.97 | ) | (1.06 | ) | (1.02 | ) | (1.19 | ) | (1.23 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$ | 32.33 | $ | 31.23 | $ | 31.16 | $ | 32.70 | $ | 29.90 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return (d) |
6.78 | % | 3.77 | % | (1.59 | )% | 13.57 | % | 4.22 | % | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 95,376 | $ | 104,605 | $ | 120,020 | $ | 103,035 | $ | 171,977 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.37 | % | 0.37 | % | 0.35 | % | 0.36 | % | 0.35 | % | ||||||||||
| Net investment income (loss) |
3.49 | % | 3.07 | % | 3.00 | % | 3.73 | % | 4.50 | % | ||||||||||
| Portfolio turnover rate (e) |
47 | % | 54 | % | 64 | % | 63 | % | 80 | % | ||||||||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (e) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
41
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR SSGA Global Allocation ETF | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
||||||||||||||||
| Net asset value, beginning of period |
$ | 33.35 | $ | 34.61 | $ | 35.47 | $ | 31.18 | $ | 29.19 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income (loss) from investment operations: |
||||||||||||||||||||
| Net investment income (loss) (b) |
0.99 | 0.81 | 0.92 | 0.98 | 1.03 | |||||||||||||||
| Net realized and unrealized gain (loss) (c) |
2.03 | (1.09 | ) | (0.73 | ) | 4.20 | 1.77 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from investment operations |
3.02 | (0.28 | ) | 0.19 | 5.18 | 2.80 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net equalization credits and charges (b) |
(0.00 | )(d) | 0.02 | 0.05 | 0.02 | 0.09 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Distributions to shareholders from: |
||||||||||||||||||||
| Net investment income |
(0.85 | ) | (0.94 | ) | (0.91 | ) | (0.91 | ) | (0.90 | ) | ||||||||||
| Net realized gains |
— | (0.06 | ) | (0.19 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total distributions |
(0.85 | ) | (1.00 | ) | (1.10 | ) | (0.91 | ) | (0.90 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$ | 35.52 | $ | 33.35 | $ | 34.61 | $ | 35.47 | $ | 31.18 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return (e) |
9.14 | % | (0.63 | )% | 0.66 | % | 16.81 | % | 9.91 | % | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 207,780 | $ | 185,112 | $ | 143,655 | $ | 97,589 | $ | 51,484 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||
| Net expenses |
0.01 | % | 0.06 | % | 0.05 | % | 0.05 | % | 0.04 | % | ||||||||||
| Net investment income (loss) |
2.91 | % | 2.45 | % | 2.60 | % | 2.91 | % | 3.23 | % | ||||||||||
| Portfolio turnover rate (f) |
90 | % | 86 | % | 98 | % | 89 | % | 123 | % | ||||||||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (f) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
42
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR Blackstone / GSO Senior Loan ETF | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
For the Period 4/3/13* - 6/30/13 |
||||||||||||||||
| Net asset value, beginning of period |
$ | 46.64 | $ | 49.22 | $ | 50.02 | $ | 49.65 | $ | 50.00 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Income (loss) from investment operations: |
||||||||||||||||||||
| Net investment income (loss) (b) |
1.85 | 1.95 | 2.01 | 1.54 | 0.24 | |||||||||||||||
| Net realized and unrealized gain (loss) (c) |
0.73 | (2.58 | ) | (0.88 | ) | 0.24 | (0.65 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total from investment operations |
2.58 | (0.63 | ) | 1.13 | 1.78 | (0.41 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net equalization credits and charges (b) |
0.05 | 0.02 | 0.01 | 0.03 | 0.06 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Other capital |
0.02 | 0.02 | 0.02 | 0.04 | 0.10 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Distributions to shareholders from: |
||||||||||||||||||||
| Net investment income |
(1.88 | ) | (1.99 | ) | (1.96 | ) | (1.48 | ) | (0.10 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Net asset value, end of period |
$ | 47.41 | $ | 46.64 | $ | 49.22 | $ | 50.02 | $ | 49.65 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total return (d) |
5.77 | % | (1.15 | )% | 2.38 | % | 3.77 | % | (0.48 | )% | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 1,820,505 | $ | 802,228 | $ | 671,810 | $ | 610,275 | $ | 332,654 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.70 | % | 0.71 | % | 0.71 | % | 0.85 | % | 0.90 | %(e) | ||||||||||
| Net investment income (loss) |
3.91 | % | 4.15 | % | 4.09 | % | 3.09 | % | 1.97 | %(e) | ||||||||||
| Portfolio turnover rate (f) |
68 | % | 88 | % | 65 | % | 77 | % | 4 | % | ||||||||||
| * | Commencement of operations. |
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (e) | Annualized. |
| (f) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
43
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR SSGA Ultra Short Term Bond ETF | ||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 10/9/13* - 6/30/14 |
|||||||||||||
| Net asset value, beginning of period |
$ | 40.06 | $ | 40.05 | $ | 40.10 | $ | 40.00 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income (loss) from investment operations: |
||||||||||||||||
| Net investment income (loss) (b) |
0.44 | 0.27 | 0.13 | 0.10 | ||||||||||||
| Net realized and unrealized gain (loss) (c) |
0.13 | (0.21 | ) | (0.05 | ) | 0.03 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total from investment operations |
0.57 | 0.06 | 0.08 | 0.13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net equalization credits and charges (b) |
(0.00 | )(d) | 0.07 | 0.00 | (d) | 0.00 | (d) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other capital |
0.05 | 0.12 | 0.01 | 0.05 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Distributions to shareholders from: |
||||||||||||||||
| Net investment income |
(0.42 | ) | (0.18 | ) | (0.14 | ) | (0.08 | ) | ||||||||
| Net realized gains |
— | (0.06 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions |
(0.42 | ) | (0.24 | ) | (0.14 | ) | (0.08 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value, end of period |
$ | 40.26 | $ | 40.06 | $ | 40.05 | $ | 40.10 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total return (e) |
1.53 | % | 0.65 | % | 0.20 | % | 0.46 | % | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 18,117 | $ | 24,039 | $ | 16,018 | $ | 14,035 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(f) | ||||||||
| Net investment income (loss) |
1.09 | % | 0.69 | % | 0.33 | % | 0.34 | %(f) | ||||||||
| Portfolio turnover rate (g) |
83 | % | 407 | % | 79 | % | 39 | % | ||||||||
| * | Commencement of operations. |
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (f) | Annualized. |
| (g) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
44
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR DoubleLine Total Return Tactical ETF | ||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
For the Period 2/23/15* - 6/30/15 |
||||||||||
| Net asset value, beginning of period |
$ | 49.87 | $ | 49.43 | $ | 50.00 | ||||||
|
|
|
|
|
|
|
|||||||
| Income (loss) from investment operations: |
||||||||||||
| Net investment income (loss) (b) |
1.33 | 1.54 | 0.55 | |||||||||
| Net realized and unrealized gain (loss) (c) |
(0.66 | ) | 0.34 | (0.88 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| Total from investment operations |
0.67 | 1.88 | (0.33 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Net equalization credits and charges (b) |
0.01 | 0.07 | 0.10 | |||||||||
|
|
|
|
|
|
|
|||||||
| Other capital |
0.04 | 0.03 | 0.05 | |||||||||
|
|
|
|
|
|
|
|||||||
| Distributions to shareholders from: |
||||||||||||
| Net investment income |
(1.48 | ) | (1.54 | ) | (0.39 | ) | ||||||
| Net realized gains |
(0.08 | ) | — | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Total distributions |
(1.56 | ) | (1.54 | ) | (0.39 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| Net asset value, end of period |
$ | 49.03 | $ | 49.87 | $ | 49.43 | ||||||
|
|
|
|
|
|
|
|||||||
| Total return (d) |
1.55 | % | 4.03 | % | (0.34 | )% | ||||||
| Ratios and Supplemental Data: |
||||||||||||
| Net assets, end of period (in 000s) |
$ | 3,353,801 | $ | 2,657,951 | $ | 746,443 | ||||||
| Ratios to average net assets: |
||||||||||||
| Total expenses |
0.66 | % | 0.65 | % | 0.65 | %(e) | ||||||
| Net expenses |
0.55 | % | 0.55 | % | 0.56 | %(e) | ||||||
| Net investment income (loss) |
2.70 | % | 3.14 | % | 3.18 | %(e) | ||||||
| Portfolio turnover rate (f) |
72 | % | 38 | % | 14 | % | ||||||
| * | Commencement of operations. |
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (e) | Annualized. |
| (f) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
45
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR MFS Systematic Core Equity ETF | ||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 1/8/14* - 6/30/14 |
|||||||||||||
| Net asset value, beginning of period |
$ | 58.09 | $ | 58.53 | $ | 53.60 | $ | 50.00 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income (loss) from investment operations: |
||||||||||||||||
| Net investment income (loss) (b) |
0.97 | 1.02 | 0.81 | 0.31 | ||||||||||||
| Net realized and unrealized gain (loss) (c) |
10.53 | (0.00 | )(d) | 6.48 | 3.59 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total from investment operations |
11.50 | 1.02 | 7.29 | 3.90 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net equalization credits and charges (b) |
— | 0.20 | (0.04 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Distributions to shareholders from: |
||||||||||||||||
| Net investment income |
(0.97 | ) | (1.03 | ) | (0.88 | ) | (0.30 | ) | ||||||||
| Net realized gains |
— | (0.63 | ) | (1.44 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions |
(0.97 | ) | (1.66 | ) | (2.32 | ) | (0.30 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value, end of period |
$ | 68.62 | $ | 58.09 | $ | 58.53 | $ | 53.60 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total return (e) |
19.92 | % | 2.21 | % | 13.70 | % | 7.81 | % | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 6,862 | $ | 5,809 | $ | 2,926 | $ | 5,360 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.60 | % | 0.61 | % | 0.60 | % | 0.60 | %(f) | ||||||||
| Net investment income (loss) |
1.52 | % | 1.78 | % | 1.42 | % | 1.25 | %(f) | ||||||||
| Portfolio turnover rate (g) |
67 | % | 39 | % | 54 | % | 27 | % | ||||||||
| * | Commencement of operations. |
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (f) | Annualized. |
| (g) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
46
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR MFS Systematic Growth Equity ETF | ||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 1/8/14* - 6/30/14 |
|||||||||||||
| Net asset value, beginning of period |
$ | 60.67 | $ | 60.24 | $ | 53.56 | $ | 50.00 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income (loss) from investment operations: |
||||||||||||||||
| Net investment income (loss) (b) |
0.70 | 0.63 | 0.66 | 0.28 | ||||||||||||
| Net realized and unrealized gain (loss) (c) |
10.27 | 1.62 | 8.60 | 3.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total from investment operations |
10.97 | 2.25 | 9.26 | 3.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net equalization credits and charges (b) |
0.01 | 0.01 | 0.00 | (d) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Distributions to shareholders from: |
||||||||||||||||
| Net investment income |
(0.60 | ) | (0.61 | ) | (0.68 | ) | (0.27 | ) | ||||||||
| Net realized gains |
— | (1.22 | ) | (1.90 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions |
(0.60 | ) | (1.83 | ) | (2.58 | ) | (0.27 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value, end of period |
$ | 71.05 | $ | 60.67 | $ | 60.24 | $ | 53.56 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total return (e) |
18.18 | % | 3.96 | % | 17.53 | % | 7.68 | % | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 39,079 | $ | 12,134 | $ | 6,024 | $ | 5,356 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.60 | % | 0.61 | % | 0.60 | % | 0.60 | %(f) | ||||||||
| Net investment income (loss) |
1.05 | % | 1.06 | % | 1.14 | % | 1.16 | %(f) | ||||||||
| Portfolio turnover rate (g) |
55 | % | 56 | % | 67 | % | 20 | % | ||||||||
| * | Commencement of operations. |
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (f) | Annualized. |
| (g) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
47
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period (a)
| SPDR MFS Systematic Value Equity ETF | ||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 1/8/14* - 6/30/14 |
|||||||||||||
| Net asset value, beginning of period |
$ | 51.99 | $ | 57.90 | $ | 52.67 | $ | 50.00 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income (loss) from investment operations: |
||||||||||||||||
| Net investment income (loss) (b) |
1.03 | 0.99 | 0.75 | 0.34 | ||||||||||||
| Net realized and unrealized gain (loss) (c) |
8.99 | (2.66 | ) | 6.28 | 2.67 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total from investment operations |
10.02 | (1.67 | ) | 7.03 | 3.01 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net equalization credits and charges (b) |
0.04 | — | (0.03 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Distributions to shareholders from: |
||||||||||||||||
| Net investment income |
(1.01 | ) | (1.01 | ) | (0.85 | ) | (0.34 | ) | ||||||||
| Net realized gains |
(1.23 | ) | (3.23 | ) | (0.92 | ) | — | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions |
(2.24 | ) | (4.24 | ) | (1.77 | ) | (0.34 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value, end of period |
$ | 59.81 | $ | 51.99 | $ | 57.90 | $ | 52.67 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total return (d) |
19.61 | % | (2.47 | )% | 13.47 | % | 6.04 | % | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 5,981 | $ | 2,599 | $ | 2,895 | $ | 5,267 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.60 | % | 0.62 | % | 0.60 | % | 0.60 | %(e) | ||||||||
| Net investment income (loss) |
1.80 | % | 1.85 | % | 1.36 | % | 1.43 | %(e) | ||||||||
| Portfolio turnover rate (f) |
64 | % | 64 | % | 61 | % | 23 | % | ||||||||
| * | Commencement of operations. |
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their respective Portfolio. |
| (b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (e) | Annualized. |
| (f) | Portfolio turnover rate is from the Fund’s respective Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolios.
48
Table of Contents
SSGA ACTIVE TRUST
June 30, 2017
| 1. | Organization |
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2017, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following series (each, a “Fund” and collectively, the “Funds”):
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
SPDR Blackstone / GSO Senior Loan ETF
SPDR SSGA Ultra Short Term Bond ETF
SPDR DoubleLine Total Return Tactical ETF
SPDR MFS Systematic Core Equity ETF
SPDR MFS Systematic Growth Equity ETF
SPDR MFS Systematic Value Equity ETF
Each Fund is classified as a diversified investment company under the 1940 Act, with the exception of SPDR SSGA Ultra Short Term Bond ETF and SPDR DoubleLine Total Return Tactical ETF, which are each a non-diversified investment company.
Each Fund is part of a master-feeder structure and each Fund invests substantially all of its assets in its respective master portfolio as shown below (each a “Portfolio” and collectively, the “Portfolios”). Each Portfolio is a separate series of the SSGA Master Trust (“Master Trust”). The performance of each Fund is directly affected by the performance of its respective Portfolios. The financial statements of the Portfolios, including their Schedules of Investments, are attached to this report and should be read in conjunction with the Funds’ financial statements.
| Fund Name |
Portfolio Name |
Fund Ownership Interest in Portfolio at 06/30/17 |
||||
| SPDR SSGA Multi-Asset Real Return ETF |
SSGA Multi-Asset Real Return Portfolio |
99.99 | % | |||
| SPDR SSGA Income Allocation ETF |
SSGA Income Allocation Portfolio |
99.99 | % | |||
| SPDR SSGA Global Allocation ETF |
SSGA Global Allocation Portfolio |
99.99 | % | |||
| SPDR Blackstone / GSO Senior Loan ETF |
Blackstone / GSO Senior Loan Portfolio |
99.99 | % | |||
| SPDR SSGA Ultra Short Term Bond ETF |
SSGA Ultra Short Term Bond Portfolio |
99.99 | % | |||
| SPDR DoubleLine Total Return Tactical ETF |
State Street DoubleLine Total Return Tactical Portfolio |
99.99 | % | |||
| SPDR MFS Systematic Core Equity ETF |
SSGA MFS Systematic Core Equity Portfolio |
99.98 | % | |||
| SPDR MFS Systematic Growth Equity ETF |
SSGA MFS Systematic Growth Equity Portfolio |
99.99 | % | |||
| SPDR MFS Systematic Value Equity ETF |
SSGA MFS Systematic Value Equity Portfolio |
99.98 | % | |||
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 would 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 Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
49
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Security Valuation
Each Fund records its investments in its respective Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolios are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.
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 each Portfolio’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 the Portfolios are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by 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. The summary of the inputs used for each Portfolio, as of June 30, 2017, in valuing each Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolios’ Notes to Financial Statements.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of the respective Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of the respective Portfolio less expenses of the Fund.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund 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 Funds within the Trust.
Each Fund is allocated a pro-rata share of the expense of its respective Portfolio.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc. (the “Adviser or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Equalization
The Funds in the Trust follow the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.
The following Funds utilized equalization during the period ended June 30, 2017:
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
SPDR Blackstone / GSO Senior Loan ETF
SPDR Ultra Short Term Bond ETF
SPDR DoubleLine Total Return Tactical ETF
SPDR MFS Systematic Growth Equity ETF
SPDR MFS Systematic Value Equity ETF
50
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Distributions
The following Funds declare and distribute from net investment income, if any, to its shareholders:
| Name | Frequency | |
| SPDR SSGA Multi-Asset Real Return ETF | Quarterly | |
| SPDR SSGA Income Allocation ETF | Quarterly | |
| SPDR SSGA Global Allocation ETF | Quarterly | |
| SPDR Blackstone / GSO Senior Loan ETF | Monthly | |
| SPDR SSGA Ultra Short Term Bond ETF | Monthly | |
| SPDR DoubleLine Total Return Tactical ETF | Monthly | |
| SPDR MFS Systematic Core Equity ETF | Quarterly | |
| SPDR MFS Systematic Growth Equity ETF | Quarterly | |
| SPDR MFS Systematic Value Equity ETF | Quarterly |
Net realized capital gains, if any, at are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
| 3. | Fees and Transactions with Affiliates |
Advisory Fee
Each Fund has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:
| Annual Rate* | ||||
| SPDR SSGA Multi-Asset Real Return ETF |
0.70 | % | ||
| SPDR SSGA Income Allocation ETF |
0.70 | |||
| SPDR SSGA Global Allocation ETF |
0.35 | |||
| SPDR Blackstone / GSO Senior Loan ETF |
0.70 | |||
| SPDR SSGA Ultra Short Term Bond ETF |
0.20 | |||
| SPDR DoubleLine Total Return Tactical ETF |
0.65 | ** | ||
| SPDR MFS Systematic Core Equity ETF |
0.60 | |||
| SPDR MFS Systematic Growth Equity ETF |
0.60 | |||
| SPDR MFS Systematic Value Equity ETF |
0.60 | |||
| * | The Advisory fee is reduced by the proportional amount of the advisory fee, of each Fund’s respective Portfolio, as well as for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF acquired fund fees and expenses. For the period ended June 30, 2017, the net annualized advisory fee was 0.02%, 0.16%, (0.20)%, 0.40%, 0.00%, 0.25%, 0.30%, 0.30% and 0.30% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR Blackstone / GSO Senior Loan ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR DoubleLine Total Return Tactical ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF, SPDR and MFS Systematic Value Equity ETF, respectively. For the SPDR SSGA Global Allocation ETF and SPDR DoubleLine Total Return Tactical ETF the reduction resulted in a fee reimbursement which is identified on the Statements of Operations. |
| ** | The Adviser has contractually agreed to waive its advisory fee and/or reimburse certain expenses, until October 31, 2017, so that the net annual fund operating expenses of the Fund will be limited to 0.55% of the Fund’s average daily net assets before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2017, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board. |
51
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
The Adviser pays all operating expenses of each Fund other than management fee, distribution fee pursuant to each Fund’s Distribution and Service Plan, if any, brokerage expenses, taxes, interest, the fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, acquired fund fees and expenses and other expenses that are non-recurring in the ordinary course of business.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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.
Distribution Fees
State Street Global Advisor Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Trust. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
Prior to March 1, 2017, pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, the Fund was authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution-related activities. Effective March 1, 2017, the Trust’s Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act, which had not been operational, was terminated.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Funds 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, 2017, are disclosed in the Schedules of Investments.
| 4. | 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 Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
| 5. | Shareholder Transactions |
Each Fund issues and redeems its shares, at net asset value by each fund, only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a fund may consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash, except for certain funds that invest in TBAs or mortgage-backed securities. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or Custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
| 6. | Income Tax Information |
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, 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
52
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
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.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, nontaxable dividend adjustments to income, in-kind transactions, amortization and accretion of premium and discount for financial statement purposes, return of capital and wash sale loss deferrals. In addition, certain Funds claimed a portion of the payments made to redeeming shareholders as a distribution for income tax purposes.
The tax character of distributions paid during the year ended June 30, 2017, was as follows:
| Ordinary Income |
Long-Term Capital Gains |
Tax Return of Capital |
Total | |||||||||||||
| SPDR SSGA Multi-Asset Real Return ETF |
$ | 2,180,468 | $ | — | $ | — | $ | 2,180,468 | ||||||||
| SPDR SSGA Income Allocation ETF |
3,075,849 | — | — | 3,075,849 | ||||||||||||
| SPDR SSGA Global Allocation ETF |
4,865,796 | — | — | 4,865,796 | ||||||||||||
| SPDR Blackstone / GSO Senior Loan ETF |
45,308,923 | — | — | 45,308,923 | ||||||||||||
| SPDR SSGA Ultra Short Term Bond ETF |
162,266 | — | — | 162,266 | ||||||||||||
| SPDR DoubleLine Total Return Tactical ETF |
94,588,915 | 1,752,630 | — | 96,341,545 | ||||||||||||
| SPDR MFS Systematic Core Equity ETF |
96,747 | — | — | 96,747 | ||||||||||||
| SPDR MFS Systematic Growth Equity ETF |
196,549 | — | — | 196,549 | ||||||||||||
| SPDR MFS Systematic Value Equity ETF |
83,567 | 52,272 | — | 135,839 | ||||||||||||
The tax character of distributions paid during the year ended June 30, 2016 was as follows:
| Ordinary Income |
Long-Term Capital Gains |
Tax Return of Capital |
Total | |||||||||||||
| SPDR SSGA Multi-Asset Real Return ETF |
$ | 1,284,505 | $ | — | $ | — | $ | 1,284,505 | ||||||||
| SPDR SSGA Income Allocation ETF |
3,629,570 | — | — | 3,629,570 | ||||||||||||
| SPDR SSGA Global Allocation ETF |
5,192,207 | 310,344 | — | 5,502,551 | ||||||||||||
| SPDR Blackstone / GSO Senior Loan ETF |
31,186,434 | — | — | 31,186,434 | ||||||||||||
| SPDR SSGA Ultra Short Term Bond ETF |
223,429 | 46,943 | 270,372 | |||||||||||||
| SPDR DoubleLine Total Return Tactical ETF |
51,231,117 | — | — | 51,231,117 | ||||||||||||
| SPDR MFS Systematic Core Equity ETF |
140,151 | 26,049 | — | 166,200 | ||||||||||||
| SPDR MFS Systematic Growth Equity ETF |
181,192 | 117,471 | — | 298,663 | ||||||||||||
| SPDR MFS Systematic Value Equity ETF |
140,433 | 71,320 | — | 211,753 | ||||||||||||
At June 30, 2017, the components of distributable earnings on a tax basis were as follows:
| Undistributed Ordinary Income |
Capital Loss Carryforwards |
Undistributed Long-Term Capital Gains |
Net Unrealized Appreciation (Depreciation) |
Qualified Late-Year Losses* |
Total | |||||||||||||||||||
| SPDR SSGA Multi-Asset Real Return ETF |
$ | 469,181 | $ | (31,835,187 | ) | $ | — | $ | (9,048,024 | ) | $ | — | $ | (40,414,030 | ) | |||||||||
| SPDR SSGA Income Allocation ETF |
1,036,492 | (7,908,374 | ) | — | 4,012,218 | — | (2,859,664 | ) | ||||||||||||||||
| SPDR SSGA Global Allocation ETF |
2,021,744 | (10,968,994 | ) | — | 14,030,715 | — | 5,083,465 | |||||||||||||||||
| SPDR Blackstone / GSO Senior Loan ETF |
3,100,293 | (47,733,882 | ) | — | 8,353,661 | — | (36,279,928 | ) | ||||||||||||||||
| SPDR SSGA Ultra Short Term Bond ETF |
5,324 | (276,124 | ) | — | 39,766 | — | (231,034 | ) | ||||||||||||||||
| SPDR DoubleLine Total Return Tactical ETF |
7,446,958 | — | — | (15,206,640 | ) | (19,006,511 | ) | (26,766,193 | ) | |||||||||||||||
| SPDR MFS Systematic Core Equity ETF |
58,621 | — | 73,544 | 907,778 | — | 1,039,943 | ||||||||||||||||||
| SPDR MFS Systematic Growth Equity ETF |
64,624 | (18,194 | ) | — | 185,665 | — | 232,095 | |||||||||||||||||
| SPDR MFS Systematic Value Equity ETF |
42,441 | — | 6,322 | 540,052 | — | 588,815 | ||||||||||||||||||
| * | The Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
53
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
As of June 30, 2017, the following Funds had capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring Short Term** |
Non-Expiring Long Term** |
Total | ||||||||||
| SPDR SSGA Multi-Asset Real Return ETF |
$ | 10,404,453 | $ | 21,430,734 | $ | 31,835,187 | ||||||
| SPDR SSGA Income Allocation ETF |
5,657,867 | 2,250,507 | 7,908,374 | |||||||||
| SPDR SSGA Global Allocation ETF |
9,921,210 | 1,047,784 | 10,968,994 | |||||||||
| SPDR Blackstone / GSO Senior Loan ETF |
16,222,308 | 31,511,574 | 47,733,882 | |||||||||
| SPDR SSGA Ultra Short Term Bond ETF |
259,991 | 16,133 | 276,124 | |||||||||
| SPDR MFS Systematic Growth Equity ETF |
— | 18,194 | 18,194 | |||||||||
| ** | Must be utilized prior to losses subject to expiration. |
As of June 30, 2017, 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) |
|||||||||||||
| SPDR SSGA Multi-Asset Real Return ETF |
$ | 125,028,717 | $ | — | $ | 9,048,024 | $ | (9,048,024 | ) | |||||||
| SPDR SSGA Income Allocation ETF |
92,264,191 | 4,012,218 | — | 4,012,218 | ||||||||||||
| SPDR SSGA Global Allocation ETF |
195,432,188 | 14,030,715 | — | 14,030,715 | ||||||||||||
| SPDR Blackstone / GSO Senior Loan ETF |
1,812,732,750 | 8,353,662 | — | 8,353,662 | ||||||||||||
| SPDR SSGA Ultra Short Term Bond ETF |
18,077,666 | 39,766 | — | 39,766 | ||||||||||||
| SPDR DoubleLine Total Return Tactical ETF |
3,367,231,121 | — | 15,206,640 | (15,206,640 | ) | |||||||||||
| SPDR MFS Systematic Core Equity ETF |
5,977,508 | 65,409,383 | 64,501,605 | 907,778 | ||||||||||||
| SPDR MFS Systematic Growth Equity ETF |
38,994,616 | 185,665 | — | 185,665 | ||||||||||||
| SPDR MFS Systematic Value Equity ETF |
5,466,219 | 540,052 | — | 540,052 | ||||||||||||
| 7. | New Accounting Pronouncements |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Funds and concluded that it will be limited to additional disclosures.
| 8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds 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.
54
Table of Contents
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
June 30, 2017
To the Shareholders and Board of Trustees of SSGA Active Trust
We have audited the accompanying statements of assets and liabilities of SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR Blackstone / GSO Senior Loan ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR DoubleLine Total Return Tactical ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF (collectively, the “Funds”) (nine of the funds constituting SSGA Active Trust) as of June 30, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ 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 Funds’ 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 Funds’ 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. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above mentioned Funds of SSGA Active Trust at June 30, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 25, 2017
55
Table of Contents
SSGA ACTIVE TRUST
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
The table below illustrates your Fund’s cost in two ways:
Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period.”
Based on hypothetical 5% return — This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Actual | Hypothetical (assuming a 5% return before expenses) |
|||||||||||||||||||
| Annualized Expense Ratio |
Ending Account Value |
Expenses Paid During Period(b) |
Ending Account Value |
Expenses Paid During Period(b) |
||||||||||||||||
| SPDR SSGA Multi-Asset Real Return ETF(c) |
0.21 | % | $ | 991.40 | $ | 1.04 | $ | 1,023.80 | $ | 1.05 | ||||||||||
| SPDR SSGA Income Allocation ETF(c) |
0.37 | 1,072.50 | 1.90 | 1,023.00 | 1.86 | |||||||||||||||
| SPDR SSGA Global Allocation ETF(a)(c) |
(0.02 | ) | 1,087.30 | (0.10 | ) | 1,024.90 | (0.10 | ) | ||||||||||||
| SPDR Blackstone / GSO Senior Loan ETF(c) |
0.70 | 1,016.10 | 3.50 | 1,021.30 | 3.51 | |||||||||||||||
| SPDR SSGA Ultra Short Term Bond ETF(c) |
0.20 | 1,007.40 | 1.00 | 1,023.80 | 1.00 | |||||||||||||||
| SPDR DoubleLine Total Return Tactical ETF(c) |
0.55 | 1,024.40 | 2.76 | 1,022.10 | 2.76 | |||||||||||||||
| SPDR MFS Systematic Core Equity ETF(c) |
0.60 | 1,101.00 | 3.13 | 1,021.80 | 3.01 | |||||||||||||||
| SPDR MFS Systematic Growth Equity ETF(c) |
0.60 | 1,139.00 | 3.18 | 1,021.80 | 3.01 | |||||||||||||||
| SPDR MFS Systematic Value Equity ETF(c) |
0.59 | 1,067.30 | 3.02 | 1,021.90 | 2.96 | |||||||||||||||
| (a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
| (b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
| (c) | Because the Funds invest all of their assets in their respective Master Portfolios, the expense example reflects the net expenses of both the Funds and the Master Portfolios in which they invest. |
56
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2017.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended June 30, 2017, are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Qualified Interest Income
Each Fund reports the maximum amount allowable of its net taxable income and short-term capital gains as qualified interest income.
Long term capital gain dividends were paid from the following Funds during the year ended June 30, 2017:
| Amount | ||||
| SPDR DoubleLine Total Return Tactical ETF |
$ | 1,752,630 | ||
| SPDR MFS Systematic Value Equity ETF |
52,272 | |||
Foreign Tax Credit
The Trust has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by a Fund to its shareholders. For the year ended June 30, 2017, the total amount of foreign taxes that will be passed through are:
| Amount | ||||
| SPDR SSGA Multi-Asset Real Return ETF |
$ | 40,902 | ||
| SPDR SSGA Global Allocation ETF |
84,955 | |||
| SPDR SSGA Income Allocation ETF |
30,758 | |||
The amount of foreign source income earned on the following Funds during the year ended June 30, 2017 were as follows:
| Amount | ||||
| SPDR SSGA Multi-Asset Real Return ETF |
$ | 951,398 | ||
| SPDR SSGA Global Allocation ETF |
1,972,614 | |||
| SPDR SSGA Income Allocation ETF |
922,289 | |||
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolios of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC website, 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 Funds’ website at www.spdrs.com.
57
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Quarterly Portfolio Schedule
The Funds file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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, 2017, the Board of Trustees of the Trusts (the “Board”) evaluated proposals 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 following operational series of SSGA Active Trust (the “SSAT Series”) and the corresponding series of SSGA Master Trust (together with the SSAT Series, the “Funds”): SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR Blackstone / GSO Senior Loan ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR DoubleLine Total Return Tactical ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF. 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 the Adviser with respect to the Funds under the Agreements, (ii) investment performance of the 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 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 nature of the SSAT Series as exchange-traded funds and the experience and expertise of the Adviser with exchange-traded funds, as well as the master-feeder structure. 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 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 management 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 specifically considered the Adviser’s experience in active management, managing exchange-traded funds and master-feeder structures and overseeing third-party sub-advisers, as applicable.
Investment Performance
The Board then reviewed the Funds’ performance. The Board compared each Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses) and a group of comparable funds (net of expenses). 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 although the Fund underperformed the median of its Performance Group for the 2-, 3- and 4-year periods, it had outperformed the median of its Performance Group for
58
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
the most recent 1-year period. In addition, the Board considered that although the Fund underperformed its benchmark index for the 1- and 3-year and since inception periods, its performance for the 3-year and since inception periods was comparable to that of the benchmark index.
SPDR SSGA Income Allocation ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1-, 2-, 3- and 4-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the 1- and 3-year and since inception periods, its performance for the 3-year and since inception periods was comparable to that of the benchmark index.
SPDR SSGA Global Allocation ETF. The Board considered that the Fund either equaled or outperformed the median of its Performance Group for the 1-, 2-, 3- and 4-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the 1- and 3-year and since inception periods, its performance for the 3-year and since inception periods was comparable to that of the benchmark index.
SPDR Blackstone / GSO Senior Loan ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 1-, 2- and 3-year periods, its performance during these periods was comparable to that of the median of the Performance Group. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the 3-year and since inception periods.
SPDR SSGA Ultra Short Term Bond ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 3-year period, it equaled the median of its Performance Group for the 1- and 2-year periods. In addition, the Board considered that the Fund outperformed its benchmark index for the 1- and 3-year and since inception periods.
SPDR DoubleLine Total Return Tactical ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 1-year period, its performance was not significantly below the median of its Performance Group. In addition, the Board noted that the Fund outperformed its benchmark index for the 1-year and since inception periods.
SPDR MFS Systematic Core Equity ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1- and 2-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the since inception period.
SPDR MFS Systematic Growth Equity ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 1-year period, it outperformed the median of its Performance Group for the 2-year period. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the since inception period.
SPDR MFS Systematic Value Equity ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1- and 2-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the since inception period.
In those instances where the Board observed underperformance, the Trustees considered management’s explanation of those factors that contributed to such underperformance and steps being taken in response to such factors. On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund is satisfactory.
Profits Realized by Adviser
The Board considered the profitability of the advisory arrangement with the Funds to the Adviser, including data on the Funds’ historical profitability to the Adviser. The Independent Trustees, with their independent legal 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
59
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
similar exchange-traded funds for each ETF based upon data independently obtained from Broadridge Financial 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. 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.
Conclusion
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 by the Adviser with respect to the Funds were appropriate; (b) the performance of each Fund had been satisfactory; (c) the Adviser’s unitary fee for each Fund, considered in relation to services 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 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, 2017, 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 informed 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 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. The Board also considered whether GSO / Blackstone benefited in other ways from its relationship with the Trusts.
60
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
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 as well as the relevant factors discussed in relation to the Agreements between the Trusts and the Adviser, 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, 2017, 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 informed 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 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 also considered whether MFS benefited in other ways from its relationship with the Trusts.
The Board, including the Independent Trustees voting separately, approved the MFS Sub-Advisory Agreements for each MFS Fund after weighing the foregoing factors as well as the relevant factors discussed in relation to the Agreements between the Trusts and the Adviser, 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, 2017, the Board also evaluated 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, each sub-advised by DoubleLine (together, the “DoubleLine Funds”). The Independent Trustees also met separately with their independent legal counsel to consider the DoubleLine Sub-Advisory Agreements.
61
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
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 by DoubleLine with respect to the DoubleLine Funds under the DoubleLine Sub-Advisory Agreements; and (ii) investment performance of the DoubleLine Funds. The Board was informed 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 DoubleLine Funds’ performance, noting that the performance of the DoubleLine Funds was satisfactory. The Board also considered the unitary fee paid to the Adviser by each DoubleLine Fund and DoubleLine’s fees paid by the Adviser. The Board also considered whether DoubleLine benefited in other ways from its relationship with the Trusts.
The Board, including the Independent Trustees voting separately, approved the DoubleLine Sub-Advisory Agreements for the DoubleLine Funds after weighing the foregoing factors as well as the relevant factors discussed in relation to the Agreements between the Trusts and the Adviser, 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 by DoubleLine with respect to the DoubleLine Funds were adequate and appropriate; (b) the performance of the DoubleLine Funds had been satisfactory; (c) DoubleLine’s fees for the DoubleLine Funds and the unitary fee, considered in relation to the services 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 to DoubleLine adequately shared the economies of scale with each applicable DoubleLine Fund by way of the relatively low fee structure of the Trusts.
62
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| Name, Address |
Position(s) |
Term of |
Principal |
Number of |
Other | |||||
| Independent Trustees |
||||||||||
| FRANK NESVET c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943 |
Independent Chairman, |
Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DAVID M. KELLY c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938 |
Independent Trustee |
Term: Unlimited Served: since March 2011 |
Retired. | 179 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
| BONNY EUGENIA BOATMAN c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950 |
Independent Trustee |
Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DWIGHT D. CHURCHILL c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953 |
Independent Trustee |
Term: Unlimited Served: since March 2011 |
Self-employed CEO and President, CFA Institute (June 2014-January 2015). |
179 | Affiliated Managers Group, Inc. (Director). | |||||
| CARL G. VERBONCOEUR c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952 |
Independent Trustee, Audit Committee Chair |
Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2009. |
179 | The Motley Fool Funds Trust (Trustee). |
63
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| Name, Address |
Position(s) |
Term of |
Principal |
Number of |
Other | |||||
| 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 March 2011 |
Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). |
255 | None. |
| † | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Fund Management, Inc. serves as investment adviser. |
| * | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. |
| Name, Address and Year of Birth |
Position(s) |
Term of |
Principal | |||
| Officers |
||||||
| 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)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present). | |||
| 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). | |||
| 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 |
Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).* |
64
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| Name, Address and Year of Birth |
Position(s) |
Term of |
Principal | |||
| MICHAEL P. RILEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969 |
Vice President |
Term: Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005-present).* | |||
| 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). | |||
| JESSE D. HALLEE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 1976 |
Secretary | Term: Unlimited Served: since August 2017 |
Vice President and Senior Counsel, State Street Bank and Trust Company (2013 to present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).** | |||
| PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 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).*,. ** | |||
| 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).* | |||
| DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1968 |
Deputy Treasurer |
Term: Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016). | |||
| 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).* | |||
| DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1980 |
Assistant Treasurer |
Term: Unlimited Served: since May 2017 |
Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015). |
65
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| Name, Address and Year of Birth |
Position(s) |
Term of |
Principal | |||
| BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973 |
Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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.
66
Table of Contents
SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President; Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Daniel Plourde, Assistant Treasurer
Jesse D. Hallee, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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
Distributor
State Street Global Advisors Funds Distributors, LLC
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
Fund Shares are distributed by State Street Global Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.
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
SSGA Master Trust
Annual Report June 30, 2017
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 Statistics (Unaudited) |
||||
| 1 | ||||
| 2 | ||||
| 3 | ||||
| 4 | ||||
| 5 | ||||
| 6 | ||||
| 7 | ||||
| 8 | ||||
| 9 | ||||
| Schedules of Investments |
||||
| 10 | ||||
| 13 | ||||
| 16 | ||||
| 19 | ||||
| 30 | ||||
| 35 | ||||
| 54 | ||||
| 57 | ||||
| 60 | ||||
| 64 | ||||
| 72 | ||||
| 81 | ||||
| 87 | ||||
| 88 |
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
SSGA MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | SPDR S&P GLOBAL NATURAL RESOURCES ETF |
POWERSHARES DB COMMODITY INDEX TRACKING FUND |
SPDR BLOOMBERG BARCLAYS TIPS ETF |
SPDR S&P GLOBAL INFRASTRUCTURE ETF |
SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF |
|||||||||
| MARKET VALUE | $25,323,291 | 23,575,580 | 19,485,485 | 13,515,499 | 8,909,418 | |||||||||
| % OF NET ASSETS | 21.8 | 20.3 | 16.8 | 11.7 | 7.7 | |||||||||
(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, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Commodities |
20.3 | % | ||||||
| Inflation Linked |
21.7 | |||||||
| International Equity |
11.7 | |||||||
| Natural Resources |
32.8 | |||||||
| Real Estate |
12.7 | |||||||
| Short-Term Investment |
0.8 | |||||||
| Liabilities in Excess of Other Assets |
(0.0 | )** | ||||||
| 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
Table of Contents
SSGA INCOME ALLOCATION PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | SPDR S&P DIVIDEND ETF |
SPDR BLOOMBERG BARCLAYS LONG TERM CORPORATE BOND ETF |
SPDR S&P INTERNATIONAL DIVIDEND ETF |
SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETF |
SPDR BLOOMBERG BARCLAYS LONG TERM TREASURY ETF |
|||||||||
| MARKET VALUE | $11,476,588 | 10,773,267 | 10,239,895 | 9,484,326 | 6,846,484 | |||||||||
| % OF NET ASSETS | 11.9 | 11.2 | 10.7 | 9.9 | 7.1 | |||||||||
(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, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Domestic Equity |
23.0 | % | ||||||
| Domestic Fixed Income |
33.2 | |||||||
| Inflation Linked |
4.9 | |||||||
| International Equity |
24.8 | |||||||
| International Fixed Income |
4.0 | |||||||
| Real Estate |
9.3 | |||||||
| Short-Term Investment |
0.8 | |||||||
| Other Assets in Excess of Liabilities |
(0.0 | )** | ||||||
| 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. |
2
Table of Contents
SSGA GLOBAL ALLOCATION PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | SPDR S&P WORLD EX-US ETF |
SPDR S&P 500 ETF TRUST |
SPDR S&P EMERGING MARKETS ETF |
SPDR BLOOMBERG BARCLAYS TIPS ETF |
SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETF |
|||||||||
| MARKET VALUE | $59,788,305 | 39,485,940 | 14,581,662 | 10,375,722 | 8,392,022 | |||||||||
| % OF NET ASSETS | 28.5 | 18.9 | 7.0 | 4.9 | 4.0 | |||||||||
(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, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Domestic Equity |
31.9 | % | ||||||
| Domestic Fixed Income |
14.0 | |||||||
| Inflation Linked |
4.9 | |||||||
| International Equity |
39.5 | |||||||
| International Fixed Income |
1.0 | |||||||
| Real Estate |
5.9 | |||||||
| Short-Term Investment |
2.7 | |||||||
| Other Assets in Excess of Liabilities |
0.1 | |||||||
| 100.0 | % | |||||||
| * | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
3
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | CAESARS ENTERTAINMENT RESORT PROPERTIES LLC SENIOR SECURED TERM LOAN B 4.73% 10/11/2020 |
DELL, INC. SECURED TERM |
VALEANT PHARMACEUTICALS INTERNATIONAL, INC. SENIOR SECURED TERM LOAN B F1 5.83% 04/01/2022 |
BMC SECURED 2017 USD |
FIRST DATA CORPO. SENIOR SECURED 2022 USD |
|||||||||
| MARKET VALUE | $40,005,792 | 37,368,228 | 34,054,907 | 31,698,613 | 31,623,431 | |||||||||
| % OF NET ASSETS | 2.2 | 2.0 | 1.9 | 1.7 | 1.7 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Software |
10.8 | % | ||||||
| Media |
10.2 | |||||||
| Hotels, Restaurants & Leisure |
8.0 | |||||||
| Health Care Providers & Services |
5.6 | |||||||
| Diversified Telecommunication Services |
5.5 | |||||||
| Pharmaceuticals |
4.9 | |||||||
| Commercial Services & Supplies |
4.4 | |||||||
| Internet Software & Services |
3.7 | |||||||
| IT Services |
3.0 | |||||||
| Health Care Equipment & Supplies |
2.8 | |||||||
| Health Care Services |
2.8 | |||||||
| Insurance |
2.6 | |||||||
| Containers & Packaging |
2.5 | |||||||
| Professional Services |
2.3 | |||||||
| Technology Hardware, Storage & Peripherals |
2.2 | |||||||
| Aerospace & Defense |
2.1 | |||||||
| Food & Staples Retailing |
1.6 | |||||||
| Semiconductors & Semiconductor Equipment |
1.6 | |||||||
| Diversified Consumer Services |
1.4 | |||||||
| Chemicals |
1.3 | |||||||
| Diversified Financial Services |
1.3 | |||||||
| Real Estate Investment Trusts (REITs) |
1.2 | |||||||
| Building Products |
1.1 | |||||||
| Airlines |
1.0 | |||||||
| Food Products |
1.0 | |||||||
| Life Sciences Tools & Services |
1.0 | |||||||
| Distributors |
0.9 | |||||||
| Retail |
0.9 | |||||||
| Electronic Equipment, Instruments & Components |
0.8 | |||||||
| Auto Components |
0.7 | |||||||
| Electrical Equipment |
0.7 | |||||||
| Automobiles |
0.6 | |||||||
| Entertainment |
0.6 | |||||||
| Construction Materials |
0.5 | |||||||
| Specialty Retail |
0.5 | |||||||
| Trading Companies & Distributors |
0.5 | |||||||
| Computers & Peripherals |
0.4 | |||||||
| Construction & Engineering |
0.4 | |||||||
| Electric Utilities |
0.4 | |||||||
| Health Care Technology |
0.4 | |||||||
| Lodging |
0.4 | |||||||
| Machinery |
0.4 | |||||||
| Telecommunications |
0.4 | |||||||
| Wireless Telecommunication Services |
0.4 | |||||||
| Capital Markets |
0.3 | |||||||
| Commercial Banks |
0.3 | |||||||
| Communications Equipment |
0.3 | |||||||
| Household Durables |
0.3 | |||||||
| Internet & Catalog Retail |
0.3 | |||||||
| Oil, Gas & Consumable Fuels |
0.3 | |||||||
| Packaging & Containers |
0.3 | |||||||
| Real Estate Management & Development |
0.2 | |||||||
| Commercial Services |
0.1 | |||||||
| Environmental Control |
0.1 | |||||||
| Health Care Products |
0.1 | |||||||
| Independent Power Producers & Energy Traders |
0.1 | |||||||
| Metals & Mining |
0.1 | |||||||
| Personal Products |
0.1 | |||||||
| Short-Term Investment |
6.5 | |||||||
| Liabilities in Excess of Other Assets |
(5.2 | ) | ||||||
| 100.0 | % | |||||||
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
4
Table of Contents
SSGA ULTRA SHORT TERM BOND PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | TREASURY NOTES 1.00% 11/30/2018 |
TREASURY NOTES 0.88% 03/31/2018 |
CITIBANK CREDIT CARD ISSUANCE TRUST SERIES 2014-A8, CLASS A8 1.73% 04/09/2020 |
MORGAN STANLEY 2.00% 01/24/2019 |
GOLDMAN SACHS GROUP, INC. 2.17% 10/23/2019 |
|||||||||
| MARKET VALUE | $796,256 | 648,224 | 450,867 | 433,182 | 414,202 | |||||||||
| % OF NET ASSETS | 4.4 | 3.6 | 2.5 | 2.4 | 2.3 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Banks |
21.7 | % | ||||||
| Credit Card |
14.1 | |||||||
| Oil & Gas |
10.5 | |||||||
| Sovereign |
9.6 | |||||||
| Automobile |
6.9 | |||||||
| Auto Manufacturers |
6.1 | |||||||
| Retail |
5.5 | |||||||
| IT Services |
3.9 | |||||||
| Machinery, Construction & Mining |
2.8 | |||||||
| Telecommunications |
2.5 | |||||||
| Beverages |
2.5 | |||||||
| Machinery-Diversified |
2.2 | |||||||
| Diversified Financial Services |
1.9 | |||||||
| Semiconductors |
1.7 | |||||||
| Software |
1.4 | |||||||
| Aerospace & Defense |
1.4 | |||||||
| Pharmaceuticals |
1.4 | |||||||
| Electronics |
1.3 | |||||||
| Miscellaneous Manufacturer |
1.1 | |||||||
| Transportation |
0.6 | |||||||
| Short-Term Investment |
0.7 | |||||||
| Other Assets in Excess of Liabilities |
0.2 | |||||||
| 100.0 | % | |||||||
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
5
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES 2017-18, CLASS A, CMO, REMIC 3.00% 08/25/2042 |
TREASURY NOTES 1.50% 05/31/2020 |
TREASURY NOTES 1.75% 03/31/2022 |
TREASURY NOTES 2.13% 01/31/2021 |
FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES 2017-9, CLASS EA, CMO, REMIC 3.00% 10/25/2042 |
|||||||||
| MARKET VALUE | $98,948,400 | 88,383,176 | 88,117,200 | 85,813,975 | 83,695,562 | |||||||||
| % OF NET ASSETS | 3.0 | 2.6 | 2.6 | 2.6 | 2.5 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
| PERCENT OF NET ASSETS |
||||||||
| U.S. Government Agency Obligations |
46.3 | % | ||||||
| U.S. Treasury Obligations |
15.8 | |||||||
| Commercial Mortgage Backed Securities |
6.3 | |||||||
| Mortgage-Backed Securities |
3.4 | |||||||
| Foreign Government Obligations |
2.9 | |||||||
| Asset-Backed Securities |
2.3 | |||||||
| Banks |
2.2 | |||||||
| Oil & Gas |
2.0 | |||||||
| Media |
1.0 | |||||||
| Software |
0.9 | |||||||
| Electric |
0.8 | |||||||
| Pharmaceuticals |
0.8 | |||||||
| Telecommunications |
0.8 | |||||||
| Diversified Financial Services |
0.7 | |||||||
| Health Care Providers & Services |
0.7 | |||||||
| Chemicals |
0.5 | |||||||
| Food |
0.5 | |||||||
| Hotels, Restaurants & Leisure |
0.5 | |||||||
| Health Care Services |
0.4 | |||||||
| Pipelines |
0.4 | |||||||
| Real Estate Investment Trusts |
0.4 | |||||||
| Containers & Packaging |
0.3 | |||||||
| Forest Products & Paper |
0.3 | |||||||
| IT Services |
0.3 | |||||||
| Insurance |
0.3 | |||||||
| Specialty Retail |
0.3 | |||||||
| Technology Hardware, Storage & Peripherals |
0.3 | |||||||
| Diversified Telecommunication Services |
0.2 | |||||||
| Food & Staples Retailing |
0.2 | |||||||
| Gas |
0.2 | |||||||
| Internet |
0.2 | |||||||
| Investment Company Security |
0.2 | |||||||
| Leisure Time |
0.2 | |||||||
| Lodging |
0.2 | |||||||
| Retail |
0.2 | |||||||
| Agriculture |
0.1 | |||||||
| Airlines |
0.1 | |||||||
| Auto Components |
0.1 | |||||||
| Auto Manufacturers |
0.1 | |||||||
| Beverages |
0.1 | |||||||
| Commercial Services |
0.1 | |||||||
| Commercial Services & Supplies |
0.1 | |||||||
| Computers & Peripherals |
0.1 | |||||||
| Construction & Engineering |
0.1 | |||||||
| Electric Utilities |
0.1 | |||||||
| Electrical Equipment |
0.1 | |||||||
| Electronics |
0.1 | |||||||
| Entertainment |
0.1 | |||||||
| Environmental Control |
0.1 | |||||||
| Food Products |
0.1 | |||||||
| Health Care Equipment & Supplies |
0.1 | |||||||
| Health Care Products |
0.1 | |||||||
| Holding Companies-Divers |
0.1 | |||||||
| Life Sciences Tools & Services |
0.1 | |||||||
| Machinery, Construction & Mining |
0.1 | |||||||
| Oil, Gas & Consumable Fuels |
0.1 | |||||||
| Packaging & Containers |
0.1 | |||||||
| Personal Products |
0.1 | |||||||
| Real Estate Investment Trusts (REITs) |
0.1 | |||||||
| Real Estate Management & Development |
0.1 | |||||||
| Semiconductors |
0.1 | |||||||
| Semiconductors & Semiconductor Equipment |
0.1 | |||||||
| Trading Companies & Distributors |
0.1 | |||||||
| Transportation |
0.1 | |||||||
| Short-Term Investment |
3.6 | |||||||
| Liabilities in Excess of Other Assets |
0.5 | |||||||
| 100.0 | % | |||||||
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
6
Table of Contents
SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | AMAZON.COM, INC. |
CITIGROUP, INC. |
JOHNSON & JOHNSON |
INTERNATIONAL BUSINESS MACHINES CORP. |
PRICELINE GROUP, INC. |
|||||||||
| MARKET VALUE | $322,344 | 276,014 | 256,907 | 247,051 | 231,944 | |||||||||
| % OF NET ASSETS | 4.7 | 4.0 | 3.7 | 3.6 | 3.4 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Health Care Providers & Services |
9.2 | % | ||||||
| Pharmaceuticals |
9.1 | |||||||
| Internet & Catalog Retail |
8.0 | |||||||
| Insurance |
7.8 | |||||||
| Banks |
7.2 | |||||||
| IT Services |
6.3 | |||||||
| Oil, Gas & Consumable Fuels |
4.8 | |||||||
| Food Products |
4.6 | |||||||
| Software |
4.4 | |||||||
| Hotels, Restaurants & Leisure |
4.1 | |||||||
| Road & Rail |
3.3 | |||||||
| Technology Hardware, Storage & Peripherals |
3.2 | |||||||
| Aerospace & Defense |
3.1 | |||||||
| Electric Utilities |
3.1 | |||||||
| Specialty Retail |
2.8 | |||||||
| Wireless Telecommunication Services |
2.8 | |||||||
| Tobacco |
2.7 | |||||||
| Trading Companies & Distributors |
2.2 | |||||||
| Internet Software & Services |
2.0 | |||||||
| Biotechnology |
1.6 | |||||||
| Independent Power Producers & Energy Traders |
1.5 | |||||||
| Media |
1.2 | |||||||
| Consumer Finance |
1.1 | |||||||
| Household Products |
1.1 | |||||||
| Auto Components |
0.7 | |||||||
| Chemicals |
0.7 | |||||||
| Real Estate Investment Trusts (REITs) |
0.7 | |||||||
| Short-Term Investment |
0.6 | |||||||
| Other Assets in Excess of Liabilities |
0.1 | |||||||
| 100.0 | % | |||||||
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
7
Table of Contents
SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | FACEBOOK, INC. CLASS |
PRICELINE GROUP, INC. |
COMCAST CORP. CLASS A |
ALPHABET, INC. CLASS A |
EXPRESS SCRIPTS HOLDING CO. |
|||||||||
| MARKET VALUE | $2,332,339 | 1,561,884 | 1,484,642 | 1,451,230 | 1,342,364 | |||||||||
| % OF NET ASSETS | 6.0 | 4.0 | 3.8 | 3.7 | 3.4 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Health Care Providers & Services |
12.9 | % | ||||||
| Internet Software & Services |
9.7 | |||||||
| Software |
9.2 | |||||||
| Media |
7.0 | |||||||
| Internet & Catalog Retail |
6.4 | |||||||
| Pharmaceuticals |
5.7 | |||||||
| IT Services |
4.6 | |||||||
| Specialty Retail |
4.5 | |||||||
| Tobacco |
4.3 | |||||||
| Biotechnology |
3.9 | |||||||
| Hotels, Restaurants & Leisure |
3.8 | |||||||
| Food Products |
3.7 | |||||||
| Aerospace & Defense |
3.3 | |||||||
| Technology Hardware, Storage & Peripherals |
3.1 | |||||||
| Trading Companies & Distributors |
3.0 | |||||||
| Auto Components |
2.8 | |||||||
| Insurance |
2.5 | |||||||
| Real Estate Investment Trusts (REITs) |
2.5 | |||||||
| Diversified Telecommunication Services |
1.9 | |||||||
| Beverages |
1.3 | |||||||
| Chemicals |
1.3 | |||||||
| Road & Rail |
0.7 | |||||||
| Wireless Telecommunication Services |
0.4 | |||||||
| Consumer Finance |
0.3 | |||||||
| Semiconductors & Semiconductor Equipment |
0.2 | |||||||
| Short-Term Investment |
0.9 | |||||||
| Other Assets in Excess of Liabilities |
0.1 | |||||||
| 100.0 | % | |||||||
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
8
Table of Contents
SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | CITIGROUP, INC. |
JPMORGAN CHASE & CO. |
BANK OF AMERICA CORP. |
PRUDENTIAL FINANCIAL, INC. |
BEST BUY CO., INC. |
|||||||||
| MARKET VALUE | $289,657 | 280,415 | 273,046 | 217,686 | 198,190 | |||||||||
| % OF NET ASSETS | 4.8 | 4.7 | 4.5 | 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 company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
| PERCENT OF NET ASSETS |
||||||||
| Banks |
14.0 | % | ||||||
| Oil, Gas & Consumable Fuels |
8.7 | |||||||
| Insurance |
7.6 | |||||||
| Electric Utilities |
7.0 | |||||||
| Pharmaceuticals |
5.8 | |||||||
| Health Care Providers & Services |
5.5 | |||||||
| Food Products |
4.7 | |||||||
| Specialty Retail |
4.1 | |||||||
| Consumer Finance |
3.8 | |||||||
| Aerospace & Defense |
3.6 | |||||||
| Hotels, Restaurants & Leisure |
3.1 | |||||||
| IT Services |
3.1 | |||||||
| Real Estate Investment Trusts (REITs) |
2.9 | |||||||
| Road & Rail |
2.9 | |||||||
| Trading Companies & Distributors |
2.4 | |||||||
| Semiconductors & Semiconductor Equipment |
2.1 | |||||||
| Machinery |
2.0 | |||||||
| Chemicals |
1.9 | |||||||
| Health Care Equipment & Supplies |
1.8 | |||||||
| Communications Equipment |
1.7 | |||||||
| Software |
1.6 | |||||||
| Internet & Catalog Retail |
1.5 | |||||||
| Technology Hardware, Storage & Peripherals |
1.5 | |||||||
| Airlines |
1.4 | |||||||
| Tobacco |
1.1 | |||||||
| Beverages |
1.0 | |||||||
| Electrical Equipment |
0.6 | |||||||
| Energy Equipment & Services |
0.6 | |||||||
| Diversified Telecommunication Services |
0.5 | |||||||
| Short-Term Investment |
1.4 | |||||||
| Other Assets in Excess of Liabilities |
0.1 | |||||||
| 100.0 | % | |||||||
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
9
Table of Contents
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.
10
Table of Contents
SSGA MULTI-ASSET REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.2% |
| |||||||
| COMMODITIES — 20.3% |
||||||||
| PowerShares DB Commodity Index Tracking Fund (a) (b) |
1,631,528 | $ | 23,575,580 | |||||
|
|
|
|||||||
| INFLATION LINKED — 21.7% |
||||||||
| SPDR Bloomberg Barclays TIPS ETF (c) |
346,902 | 19,485,485 | ||||||
| SPDR Citi International Government Inflation-Protected Bond ETF (c) |
102,895 | 5,716,846 | ||||||
|
|
|
|||||||
| 25,202,331 | ||||||||
|
|
|
|||||||
| INTERNATIONAL EQUITY — 11.7% |
||||||||
| SPDR S&P Global Infrastructure ETF (c) |
267,952 | 13,515,499 | ||||||
|
|
|
|||||||
| NATURAL RESOURCES — 32.8% |
||||||||
| PowerShares Global Agriculture Portfolio (b) |
93,086 | 2,325,288 | ||||||
| SPDR S&P Global Natural Resources ETF (c) |
609,759 | 25,323,291 | ||||||
| SPDR S&P International Energy Sector ETF (c) |
126,242 | 2,209,235 | ||||||
| SPDR S&P Metals & Mining ETF (c) |
119,139 | 3,570,596 | ||||||
| SPDR S&P Oil & Gas Equipment & Services ETF (c) |
149,481 | 2,312,471 | ||||||
| The Energy Select Sector SPDR Fund (c) |
35,655 | 2,314,723 | ||||||
|
|
|
|||||||
| 38,055,604 | ||||||||
|
|
|
|||||||
| REAL ESTATE — 12.7% |
||||||||
| SPDR Dow Jones International Real Estate ETF (c) |
233,843 | 8,909,419 | ||||||
| SPDR Dow Jones REIT ETF (c) |
62,686 | 5,828,544 | ||||||
|
|
|
|||||||
| 14,737,963 | ||||||||
|
|
|
|||||||
| TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
115,086,977 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENT — 0.8% |
| |||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (d)
(e) |
913,190 | 913,190 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 100.0% |
116,000,167 | |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)% (f) |
(18,584 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 115,981,583 | ||||||
|
|
|
|||||||
| (a) | Non-income producing security. |
| (b) | Qualified Publicly Traded Partnership |
| (c) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| (f) | Amount is less than 0.05% of net assets. |
REIT Real Estate Investment Trust
TIPS Treasury Inflation-Protected Securities
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| 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 |
$ | 23,575,580 | $ | — | $ | — | $ | 23,575,580 | ||||||||
| Inflation Linked |
25,202,331 | — | — | 25,202,331 | ||||||||||||
| International Equity |
13,515,499 | — | — | 13,515,499 | ||||||||||||
| Natural Resources |
38,055,604 | — | — | 38,055,604 | ||||||||||||
| Real Estate |
14,737,963 | — | — | 14,737,963 | ||||||||||||
| Short-Term Investment |
913,190 | — | — | 913,190 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 116,000,167 | $ | — | $ | — | $ | 116,000,167 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
11
Table of Contents
SSGA MULTI-ASSET REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value At 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| SPDR Bloomberg Barclays TIPS ETF |
307,088 | $ | 17,857,167 | 239,777 | 199,963 | 346,902 | $ | 19,485,485 | $ | 468,604 | $ | (191,004 | ) | |||||||||||||||||||
| SPDR Citi International Government Inflation-Protected Bond ETF |
103,106 | 5,661,551 | 63,516 | 63,727 | 102,895 | 5,716,846 | — | (338,948 | ) | |||||||||||||||||||||||
| SPDR Dow Jones International Real Estate ETF |
187,281 | 7,764,670 | 124,548 | 77,986 | 233,843 | 8,909,419 | 621,234 | (196,979 | ) | |||||||||||||||||||||||
| SPDR Dow Jones REIT ETF |
121,440 | 12,074,780 | 53,790 | 112,544 | 62,686 | 5,828,544 | 336,197 | 300,369 | ||||||||||||||||||||||||
| SPDR S&P Global Infrastructure ETF |
— | — | 312,914 | 44,962 | 267,952 | 13,515,499 | 301,994 | (69,748 | ) | |||||||||||||||||||||||
| SPDR S&P Global Natural Resources ETF |
339,282 | 12,590,755 | 478,737 | 208,260 | 609,759 | 25,323,291 | 467,171 | (1,294,993 | ) | |||||||||||||||||||||||
| SPDR S&P International Energy Sector ETF |
96,628 | 1,697,744 | 54,362 | 24,748 | 126,242 | 2,209,235 | 79,049 | (125,276 | ) | |||||||||||||||||||||||
| SPDR S&P Metals & Mining ETF |
19,438 | 473,704 | 130,224 | 30,523 | 119,139 | 3,570,596 | 19,919 | 98,882 | ||||||||||||||||||||||||
| SPDR S&P Oil & Gas Equipment & Services ETF |
— | — | 149,941 | 460 | 149,481 | 2,312,471 | 4,293 | (143 | ) | |||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
2,073,243 | 2,073,243 | 480,189 | 2,553,432 | — | — | 887 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 986,190 | 73,000 | 913,190 | 913,190 | 277 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 1,767,590 | 1,767,590 | — | — | 505 | — | ||||||||||||||||||||||||
| The Energy Select Sector SPDR Fund |
59,348 | 4,049,909 | 49,574 | 73,267 | 35,655 | 2,314,723 | 81,714 | (643,540 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 64,243,523 | $ | 90,099,299 | $ | 2,381,844 | $ | (2,461,380 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
12
Table of Contents
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.
13
Table of Contents
SSGA INCOME ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.2% |
| |||||||
| DOMESTIC EQUITY — 23.0% |
||||||||
| SPDR S&P Dividend ETF (a) |
129,110 | $ | 11,476,588 | |||||
| SPDR Wells Fargo Preferred Stock ETF (a) |
105,452 | 4,742,176 | ||||||
| The Health Care Select Sector SPDR Fund (a) |
25,080 | 1,987,339 | ||||||
| The Industrial Select Sector SPDR Fund (a) |
28,744 | 1,957,754 | ||||||
| The Technology Select Sector SPDR Fund (a) |
35,468 | 1,940,809 | ||||||
|
|
|
|||||||
| 22,104,666 | ||||||||
|
|
|
|||||||
| DOMESTIC FIXED INCOME — 33.2% |
||||||||
| SPDR Bloomberg Barclays Convertible Securities ETF (a) |
97,367 | 4,831,351 | ||||||
| SPDR Bloomberg Barclays High Yield Bond ETF (a) |
254,955 | 9,484,326 | ||||||
| SPDR Bloomberg Barclays Long Term Corporate Bond ETF (a) |
258,724 | 10,773,267 | ||||||
| SPDR Bloomberg Barclays Long Term Treasury ETF (a) |
94,945 | 6,846,484 | ||||||
|
|
|
|||||||
| 31,935,428 | ||||||||
|
|
|
|||||||
| INFLATION LINKED — 4.9% |
||||||||
| SPDR Bloomberg Barclays TIPS ETF (a) |
84,440 | 4,742,995 | ||||||
|
|
|
|||||||
| INTERNATIONAL EQUITY — 24.8% |
||||||||
| SPDR MSCI Emerging Markets StrategicFactors ETF (a) |
99,731 | 5,804,344 | ||||||
| SPDR S&P Global Infrastructure ETF (a) |
63,319 | 3,193,810 | ||||||
| SPDR S&P International Dividend ETF (a) |
261,756 | 10,239,895 | ||||||
| SPDR STOXX Europe 50 ETF (a) |
136,758 | 4,642,934 | ||||||
|
|
|
|||||||
| 23,880,983 | ||||||||
|
|
|
|||||||
| INTERNATIONAL FIXED INCOME — 4.0% |
|
|||||||
| SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) |
133,579 | 3,879,134 | ||||||
|
|
|
|||||||
| REAL ESTATE — 9.3% |
||||||||
| SPDR Dow Jones International Real Estate ETF (a) |
118,801 | 4,526,318 | ||||||
| SPDR Dow Jones REIT ETF (a) |
47,469 | 4,413,668 | ||||||
|
|
|
|||||||
| 8,939,986 | ||||||||
|
|
|
|||||||
| TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
95,483,192 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENT — 0.8% |
||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (b)
(c) |
810,640 | 810,640 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 100.0% |
96,293,832 | |||||||
| LIABILITIES IN EXCESS OF |
(16,114 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 96,277,718 | ||||||
|
|
|
|||||||
| (a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| (b) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| (d) | Amount is less than 0.05% of net assets. |
REIT Real Estate Investment Trust
TIPS Treasury Inflation Protected Securities
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| 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 |
$ | 22,104,666 | $ | — | $ | — | $ | 22,104,666 | ||||||||
| Domestic Fixed Income |
31,935,428 | — | — | 31,935,428 | ||||||||||||
| Inflation Linked |
4,742,995 | — | — | 4,742,995 | ||||||||||||
| International Equity |
23,880,983 | — | — | 23,880,983 | ||||||||||||
| International Fixed Income |
3,879,134 | — | — | 3,879,134 | ||||||||||||
| Real Estate |
8,939,986 | — | — | 8,939,986 | ||||||||||||
| Short-Term Investment |
810,640 | — | — | 810,640 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 96,293,832 | $ | — | $ | — | $ | 96,293,832 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
14
Table of Contents
SSGA INCOME ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value At 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| SPDR Barclays Intermediate Term Corporate Bond ETF |
208,399 | $ | 7,271,041 | 41,407 | 249,806 | — | $ | — | $ | 139,730 | $ | 27,010 | ||||||||||||||||||||
| SPDR Bloomberg Barclays Convertible Securities ETF |
118,404 | 5,190,831 | 1,729 | 22,766 | 97,367 | 4,831,351 | 232,139 | 35,449 | ||||||||||||||||||||||||
| SPDR Bloomberg Barclays Emerging Markets Local Bond ETF |
— | — | 147,218 | 13,639 | 133,579 | 3,879,134 | — | 19,734 | ||||||||||||||||||||||||
| SPDR Bloomberg Barclays High Yield Bond ETF |
351,674 | 12,554,762 | 13,338 | 110,057 | 254,955 | 9,484,326 | 720,540 | (173,863 | ) | |||||||||||||||||||||||
| SPDR Bloomberg Barclays Long Term Corporate Bond ETF |
253,475 | 10,699,180 | 56,533 | 51,284 | 258,724 | 10,773,267 | 437,921 | 61,805 | ||||||||||||||||||||||||
| SPDR Bloomberg Barclays Long Term Treasury ETF |
122,621 | 9,787,608 | 34,523 | 62,199 | 94,945 | 6,846,484 | 163,607 | 200,835 | ||||||||||||||||||||||||
| SPDR Bloomberg Barclays TIPS ETF |
88,421 | 5,141,681 | 8,889 | 12,870 | 84,440 | 4,742,995 | 128,527 | 21,833 | ||||||||||||||||||||||||
| SPDR Dow Jones International Real Estate ETF |
147,841 | 6,129,488 | 15,406 | 44,446 | 118,801 | 4,526,318 | 482,529 | (79,437 | ) | |||||||||||||||||||||||
| SPDR Dow Jones REIT ETF |
98,971 | 9,840,687 | 2,477 | 53,979 | 47,469 | 4,413,668 | 271,334 | 313,102 | ||||||||||||||||||||||||
| SPDR MSCI Emerging Markets StrategicFactors ETF |
21,370 | 1,065,722 | 95,986 | 17,625 | 99,731 | 5,804,344 | 86,372 | 87,116 | ||||||||||||||||||||||||
| SPDR S&P Dividend ETF |
137,751 | 11,560,064 | 77,356 | 85,997 | 129,110 | 11,476,588 | 366,805 | 782,349 | ||||||||||||||||||||||||
| SPDR S&P Global Infrastructure ETF |
66,584 | 3,108,141 | 9,174 | 12,439 | 63,319 | 3,193,810 | 106,618 | 71,799 | ||||||||||||||||||||||||
| SPDR S&P International Dividend ETF |
61,571 | 2,167,299 | 235,188 | 35,003 | 261,756 | 10,239,895 | 265,452 | (53,894 | ) | |||||||||||||||||||||||
| SPDR STOXX Europe 50 ETF |
112,268 | 3,352,323 | 145,687 | 121,197 | 136,758 | 4,642,934 | 80,210 | (503,990 | ) | |||||||||||||||||||||||
| SPDR Wells Fargo Preferred Stock ETF |
108,700 | 5,002,374 | 14,456 | 17,704 | 105,452 | 4,742,176 | 278,786 | 6,765 | ||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
4,781,480 | 4,781,480 | 1,971,477 | 6,752,957 | — | — | 3,350 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 1,070,174 | 259,534 | 810,640 | 810,640 | 426 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 5,958,685 | 5,958,685 | — | — | 2,531 | — | ||||||||||||||||||||||||
| The Consumer Discretionary Select Sector SPDR Fund |
13,128 | 1,024,640 | 22,180 | 35,308 | — | — | — | 82,142 | ||||||||||||||||||||||||
| The Consumer Staples Select Sector SPDR Fund |
38,571 | 2,127,191 | 563 | 39,134 | — | — | 12,472 | 89,333 | ||||||||||||||||||||||||
| The Financial Select Sector SPDR Fund |
— | — | 89,761 | 89,761 | — | — | 6,974 | 20,858 | ||||||||||||||||||||||||
| The Health Care Select Sector SPDR Fund |
— | — | 25,900 | 820 | 25,080 | 1,987,339 | 7,847 | 1,339 | ||||||||||||||||||||||||
| The Industrial Select Sector SPDR Fund |
37,083 | 2,075,165 | 874 | 9,213 | 28,744 | 1,957,754 | 42,078 | 65,784 | ||||||||||||||||||||||||
| The Materials Select Sector SPDR Fund |
— | — | 44,226 | 44,226 | — | — | 13,088 | 224,344 | ||||||||||||||||||||||||
| The Technology Select Sector SPDR Fund |
— | — | 45,524 | 10,056 | 35,468 | 1,940,809 | 33,164 | 40,227 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 102,879,677 | $ | 96,293,832 | $ | 3,882,500 | $ | 1,340,640 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
15
Table of Contents
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.
16
Table of Contents
SSGA GLOBAL ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.2% |
| |||||||
| DOMESTIC EQUITY — 31.9% |
| |||||||
| SPDR Russell 2000 ETF (a) |
76,418 | $ | 6,364,855 | |||||
| SPDR S&P 500 ETF Trust (a) |
163,300 | 39,485,940 | ||||||
| SPDR S&P MidCap 400 ETF Trust (a) |
13,243 | 4,206,242 | ||||||
| The Health Care Select Sector SPDR Fund (a) |
54,224 | 4,296,710 | ||||||
| The Industrial Select Sector SPDR Fund (a) |
62,056 | 4,226,634 | ||||||
| The Technology Select Sector SPDR Fund (a) |
73,150 | 4,002,768 | ||||||
| Vanguard FTSE Pacific ETF |
63,221 | 4,159,942 | ||||||
|
|
|
|||||||
| 66,743,091 | ||||||||
|
|
|
|||||||
| DOMESTIC FIXED INCOME — 14.0% |
| |||||||
| SPDR Bloomberg Barclays High Yield Bond ETF (a) |
225,592 | 8,392,022 | ||||||
| SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF (a) |
121,473 | 4,179,886 | ||||||
| SPDR Bloomberg Barclays Long Term Corporate Bond ETF (a) |
100,783 | 4,196,604 | ||||||
| SPDR Bloomberg Barclays Long Term Treasury ETF (a) |
116,138 | 8,374,711 | ||||||
| SPDR Bloomberg Barclays Short Term High Yield Bond ETF (a) |
149,753 | 4,188,592 | ||||||
|
|
|
|||||||
| 29,331,815 | ||||||||
|
|
|
|||||||
| INFLATION LINKED — 4.9% |
| |||||||
| SPDR Bloomberg Barclays TIPS ETF (a) |
184,720 | 10,375,722 | ||||||
|
|
|
|||||||
| INTERNATIONAL EQUITY — 39.5% |
| |||||||
| SPDR S&P Emerging Markets ETF (a) |
218,911 | 14,581,662 | ||||||
| SPDR S&P Emerging Markets SmallCap ETF (a) |
44,738 | 2,087,923 | ||||||
| SPDR S&P International Small Cap ETF (a) |
188,209 | 6,278,652 | ||||||
| SPDR S&P World ex-US ETF (a) |
2,052,465 | 59,788,305 | ||||||
|
|
|
|||||||
| 82,736,542 | ||||||||
|
|
|
|||||||
| INTERNATIONAL FIXED INCOME — 1.0% |
| |||||||
| SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) |
72,061 | 2,092,651 | ||||||
|
|
|
|||||||
| REAL ESTATE — 5.9% |
| |||||||
| SPDR Dow Jones International Real Estate ETF (a) |
157,955 | 6,018,086 | ||||||
| SPDR Dow Jones REIT ETF (a) |
67,658 | 6,290,841 | ||||||
|
|
|
|||||||
| 12,308,927 | ||||||||
|
|
|
|||||||
| TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
203,588,748 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENT — 2.7% |
| |||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (b)
(c) |
5,706,546 | 5,706,546 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.9% |
209,295,294 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% |
168,976 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 209,464,270 | ||||||
|
|
|
|||||||
| (a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| (b) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
REIT Real Estate Investment Trust
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| 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 |
$ | 66,743,091 | $ | — | $ | — | $ | 66,743,091 | ||||||||
| Domestic Fixed Income |
29,331,815 | — | — | 29,331,815 | ||||||||||||
| Inflation Linked |
10,375,722 | — | — | 10,375,722 | ||||||||||||
| International Equity |
82,736,542 | — | — | 82,736,542 | ||||||||||||
| International Fixed Income |
2,092,651 | — | — | 2,092,651 | ||||||||||||
| Real Estate |
12,308,927 | — | — | 12,308,927 | ||||||||||||
| Short-Term Investment |
5,706,546 | — | — | 5,706,546 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 209,295,294 | $ | — | $ | — | $ | 209,295,294 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
17
Table of Contents
SSGA GLOBAL ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value At 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| SPDR Barclays Aggregate Bond ETF |
222,017 | $ | 13,190,030 | 21,441 | 243,458 | — | $ | — | $ | 193,129 | $ | (34,663 | ) | |||||||||||||||||||
| SPDR Barclays Intermediate Term Treasury ETF |
30,530 | 1,882,174 | 3,292 | 33,822 | — | — | 13,198 | (21,576 | ) | |||||||||||||||||||||||
| SPDR Bloomberg Barclays Emerging Markets Local Bond ETF |
— | — | 85,306 | 13,245 | 72,061 | 2,092,651 | — | (1,891 | ) | |||||||||||||||||||||||
| SPDR Bloomberg Barclays High Yield Bond ETF |
418,891 | 14,954,409 | 70,387 | 263,686 | 225,592 | 8,392,022 | 883,828 | (294,014 | ) | |||||||||||||||||||||||
| SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF |
216,183 | 7,542,625 | 161,826 | 256,536 | 121,473 | 4,179,886 | 244,247 | (98,701 | ) | |||||||||||||||||||||||
| SPDR Bloomberg Barclays Long Term Corporate Bond ETF |
— | — | 106,824 | 6,041 | 100,783 | 4,196,604 | 56,056 | 2,970 | ||||||||||||||||||||||||
| SPDR Bloomberg Barclays Long Term Treasury ETF |
121,549 | 9,702,041 | 129,915 | 135,326 | 116,138 | 8,374,711 | 120,310 | 121,588 | ||||||||||||||||||||||||
| SPDR Bloomberg Barclays Short Term High Yield Bond ETF |
— | — | 159,661 | 9,908 | 149,753 | 4,188,592 | 121,150 | 6,063 | ||||||||||||||||||||||||
| SPDR Bloomberg Barclays TIPS ETF |
161,908 | 9,414,950 | 41,449 | 18,637 | 184,720 | 10,375,722 | 243,487 | 15,834 | ||||||||||||||||||||||||
| SPDR Dow Jones International Real Estate ETF |
259,646 | 10,764,923 | 55,054 | 156,745 | 157,955 | 6,018,086 | 764,691 | (531,598 | ) | |||||||||||||||||||||||
| SPDR Dow Jones REIT ETF |
157,151 | 15,625,524 | 46,350 | 135,843 | 67,658 | 6,290,841 | 471,729 | 57,307 | ||||||||||||||||||||||||
| SPDR Russell 2000 ETF |
— | — | 132,990 | 56,572 | 76,418 | 6,364,855 | 47,462 | 230,192 | ||||||||||||||||||||||||
| SPDR S&P 500 ETF Trust |
35,139 | 7,362,675 | 155,286 | 27,125 | 163,300 | 39,485,940 | 665,279 | 561,314 | ||||||||||||||||||||||||
| SPDR S&P 500 Growth ETF |
164,140 | 16,563,367 | 6,725 | 170,865 | — | — | 34,806 | 1,451,960 | ||||||||||||||||||||||||
| SPDR S&P 500 Value ETF |
— | — | 74,601 | 74,601 | — | — | 19,316 | 161,230 | ||||||||||||||||||||||||
| SPDR S&P Dividend ETF |
— | — | 95,982 | 95,982 | — | — | 78,705 | 117,859 | ||||||||||||||||||||||||
| SPDR S&P Emerging Markets ETF |
— | — | 239,706 | 20,795 | 218,911 | 14,581,662 | 130,626 | 34,603 | ||||||||||||||||||||||||
| SPDR S&P Emerging Markets Small Cap ETF |
— | — | 50,697 | 5,959 | 44,738 | 2,087,923 | 46,161 | 8,614 | ||||||||||||||||||||||||
| SPDR S&P International Small Cap ETF |
181,960 | 5,288,486 | 45,212 | 38,963 | 188,209 | 6,278,652 | 150,372 | 60,357 | ||||||||||||||||||||||||
| SPDR S&P MidCap 400 ETF Trust |
— | — | 15,306 | 2,063 | 13,243 | 4,206,242 | 31,602 | 60,527 | ||||||||||||||||||||||||
| SPDR S&P World ex-US ETF |
950,409 | 23,693,696 | 1,488,482 | 386,426 | 2,052,465 | 59,788,305 | 1,038,944 | (561,212 | ) | |||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
20,031,452 | 20,031,452 | 2,526,090 | 22,557,542 | — | — | 16,137 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 5,972,159 | 265,613 | 5,706,546 | 5,706,546 | 18,632 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 25,886,109 | 25,886,109 | — | — | 5,316 | — | ||||||||||||||||||||||||
| The Consumer Discretionary Select Sector SPDR Fund |
46,932 | 3,663,043 | 45,740 | 92,672 | — | — | — | 199,163 | ||||||||||||||||||||||||
| The Consumer Staples Select Sector SPDR Fund |
69,248 | 3,819,027 | 5,225 | 74,473 | — | — | 23,178 | 122,102 | ||||||||||||||||||||||||
| The Financial Select Sector SPDR Fund |
— | — | 177,840 | 177,840 | — | — | 13,480 | 41,246 | ||||||||||||||||||||||||
| The Health Care Select Sector SPDR Fund |
— | — | 54,224 | — | 54,224 | 4,296,710 | 16,691 | — | ||||||||||||||||||||||||
| The Materials Select Sector SPDR Fund |
— | — | 84,672 | 84,672 | — | — | 25,209 | 418,712 | ||||||||||||||||||||||||
| The Industrial Select Sector SPDR Fund |
65,280 | 3,653,069 | 11,184 | 14,408 | 62,056 | 4,226,634 | 80,987 | 74,927 | ||||||||||||||||||||||||
| The Technology Select Sector SPDR Fund |
— | — | 91,363 | 18,213 | 73,150 | 4,002,768 | 64,234 | 45,071 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 167,151,491 | $ | 205,135,352 | $ | 5,618,962 | $ | 2,247,984 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
18
Table of Contents
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.
19
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| SENIOR FLOATING RATE LOANS — 90.5% (a) |
| |||||||
| AEROSPACE & DEFENSE — 1.8% |
| |||||||
| DigitalGlobe, Inc. |
$ | 4,786,942 | $ | 4,793,930 | ||||
| Engility Corp. |
4,554,042 | 4,610,148 | ||||||
| TransDigm, Inc.: |
||||||||
| Senior Secured Extended Term Loan F, 4.23%, 6/9/2023 |
10,023,276 | 10,018,716 | ||||||
| Senior Secured Term Loan C, 4.28%, 2/28/2020 |
2,948,546 | 2,952,512 | ||||||
| Senior Secured Term Loan D, 4.29%, 6/4/2021 |
4,886,650 | 4,890,022 | ||||||
| Senior Secured Term Loan E, 4.25%, 5/14/2022 |
5,349,306 | 5,348,317 | ||||||
|
|
|
|||||||
| 32,613,645 | ||||||||
|
|
|
|||||||
| AIRLINES — 1.0% |
||||||||
| Air Canada |
2,821,705 | 2,837,577 | ||||||
| American Airlines, Inc. |
14,889,249 | 14,918,358 | ||||||
|
|
|
|||||||
| 17,755,935 | ||||||||
|
|
|
|||||||
| AUTO COMPONENTS — 0.7% |
| |||||||
| BBB Industries U.S. Holdings, Inc. |
1,994,911 | 2,012,366 | ||||||
| USI, Inc. |
10,869,565 | 10,815,217 | ||||||
|
|
|
|||||||
| 12,827,583 | ||||||||
|
|
|
|||||||
| AUTOMOBILES — 0.6% |
||||||||
| American Axle & Manufacturing, Inc. |
4,377,551 | 4,340,561 | ||||||
| CWGS Group LLC |
4,592,308 | 4,622,456 | ||||||
| TI Group Automotive Systems LLC |
1,098,150 | 1,098,837 | ||||||
|
|
|
|||||||
| 10,061,854 | ||||||||
|
|
|
|||||||
| BUILDING PRODUCTS — 1.1% |
||||||||
| Builders FirstSource, Inc. |
4,974,874 | 4,977,984 | ||||||
| Jeld-Wen, Inc. |
1,941,053 | 1,959,250 | ||||||
| Quikrete Holdings, Inc. |
10,134,397 | 10,123,300 | ||||||
| VC GB Holdings, Inc. |
3,460,252 | 3,462,414 | ||||||
|
|
|
|||||||
| 20,522,948 | ||||||||
|
|
|
|||||||
| CAPITAL MARKETS — 0.3% |
||||||||
| Hamilton Lane Advisors LLC |
463,982 | 466,302 | ||||||
| LPL Holdings, Inc. |
4,666,667 | 4,685,636 | ||||||
|
|
|
|||||||
| 5,151,938 | ||||||||
|
|
|
|||||||
| CHEMICALS — 1.3% |
||||||||
| Alpha 3 B.V. |
1,780,627 | 1,787,028 | ||||||
| Ashland, Inc. |
2,484,472 | 2,496,124 | ||||||
| Avantor Performance Materials Holdings, Inc.: |
||||||||
| Senior Secured 1st Lien Term Loan, |
15,499,540 | 15,551,231 | ||||||
| Senior Secured 2nd Lien Term Loan, 9.48%, 3/10/2025 |
3,076,923 | 3,125,000 | ||||||
| INEOS Styrolution Group GmbH |
433,790 | 437,315 | ||||||
|
|
|
|||||||
| 23,396,698 | ||||||||
|
|
|
|||||||
| COMMERCIAL BANKS — 0.3% |
||||||||
| Jack’s Family Restaurants, Inc. |
5,622,754 | 5,650,868 | ||||||
|
|
|
|||||||
| COMMERCIAL SERVICES & SUPPLIES — 4.4% |
| |||||||
| Advanced Disposal Services, Inc. |
4,531,015 | 4,552,469 | ||||||
| Asurion LLC: |
||||||||
| Senior Secured 2017 Term Loan B5, 4.23%, 11/3/2023 |
10,029,135 | 10,098,085 | ||||||
| Senior Secured 2nd Lien Term Loan, 8.73%, 3/3/2021 |
19,451,309 | 19,572,879 | ||||||
| Senior Secured New Term Loan B4, 4.48%, 8/4/2022 |
8,236,712 | 8,285,597 | ||||||
| Clean Harbors, Inc. |
1,082,251 | 1,086,310 | ||||||
| GFL Environmental, Inc. |
1,107,907 | 1,113,906 | ||||||
| KAR Auction Services, Inc.: |
||||||||
| Senior Secured Term Loan B4, 3.56%, 3/11/2021 |
1,837,097 | 1,852,024 | ||||||
See accompanying notes to financial statements.
20
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Senior Secured Term Loan B5, 3.81%, 3/9/2023 |
$ | 1,505,550 | $ | 1,518,257 | ||||
| Lineage Logistics Holdings LLC |
12,609,474 | 12,641,060 | ||||||
| Prime Security Services Borrower LLC |
19,479,676 | 19,507,142 | ||||||
|
|
|
|||||||
| 80,227,729 | ||||||||
|
|
|
|||||||
| COMMUNICATIONS EQUIPMENT — 0.3% |
| |||||||
| Arris Group, Inc. |
1,975,248 | 1,990,062 | ||||||
| CommScope, Inc. |
1,232,665 | 1,239,087 | ||||||
| Digicel International Finance, Ltd. |
2,395,210 | 2,414,299 | ||||||
|
|
|
|||||||
| 5,643,448 | ||||||||
|
|
|
|||||||
| COMPUTERS & PERIPHERALS — 0.4% |
| |||||||
| Diebold, Inc. |
491,780 | 495,060 | ||||||
| TierPoint LLC |
5,271,014 | 5,284,191 | ||||||
| Western Digital Corp. |
792,020 | 796,725 | ||||||
|
|
|
|||||||
| 6,575,976 | ||||||||
|
|
|
|||||||
| CONSTRUCTION & ENGINEERING — 0.4% |
| |||||||
| Pike Corp. |
6,969,288 | 7,069,472 | ||||||
|
|
|
|||||||
| CONSTRUCTION MATERIALS — 0.5% |
| |||||||
| Forterra, Inc. |
9,418,011 | 8,908,449 | ||||||
|
|
|
|||||||
| CONTAINERS & PACKAGING — 2.5% |
| |||||||
| Berlin Packaging LLC |
8,708,757 | 8,740,718 | ||||||
| Berry Plastics Group, Inc. |
4,105,503 | 4,110,635 | ||||||
| Flex Acquisition Co., Inc. |
7,329,843 | 7,358,869 | ||||||
| Reynolds Group Holdings, Inc. |
21,520,343 | 21,571,776 | ||||||
| Signode Industrial Group US, Inc. |
1,488,095 | 1,491,816 | ||||||
| Tekni-Plex, Inc. |
2,191,304 | 2,204,321 | ||||||
|
|
|
|||||||
| 45,478,135 | ||||||||
|
|
|
|||||||
| DISTRIBUTORS — 0.9% |
||||||||
| American Builders & Contractors Supply Co., Inc. |
8,422,784 | 8,453,864 | ||||||
| American Tire Distributors Holdings, Inc. |
7,073,495 | 7,119,932 | ||||||
|
|
|
|||||||
| 15,573,796 | ||||||||
|
|
|
|||||||
| DIVERSIFIED CONSUMER SERVICES — 1.4% |
| |||||||
| Nord Anglia Education Finance LLC |
426,569 | 429,504 | ||||||
| Weight Watchers International, Inc. |
20,523,062 | 19,809,988 | ||||||
| William Morris Endeavor Entertainment LLC Senior Secured 1st Lien Term Loan, 4.48%, 5/6/2021 |
4,862,359 | 4,888,202 | ||||||
|
|
|
|||||||
| 25,127,694 | ||||||||
|
|
|
|||||||
| DIVERSIFIED FINANCIAL SERVICES — 1.1% |
| |||||||
| Faenza Acquisition GmbH: |
||||||||
| Senior Secured Term Loan B1, 3.95%, 8/30/2020 |
1,618,780 | 1,626,874 | ||||||
| Senior Secured Term Loan B3, 3.95%, 8/30/2020 |
492,591 | 495,054 | ||||||
| Focus Financial Partners LLC |
10,267,442 | 10,359,438 | ||||||
| Infinity Acquisition LLC |
5,782,003 | 5,755,811 | ||||||
| UFC Holdings LLC |
2,505,015 | 2,513,068 | ||||||
|
|
|
|||||||
| 20,750,245 | ||||||||
|
|
|
|||||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 5.5% |
| |||||||
| CenturyLink, Inc. |
24,759,285 | 24,513,425 | ||||||
| Consolidated Communications, Inc.: |
||||||||
| Senior Secured Term Loan B, 4.23%, 10/4/2023 |
6,375,145 | 6,405,331 | ||||||
| Senior Secured Term Loan B2, Zero Coupon, 10/5/2023 |
5,514,706 | 5,539,522 | ||||||
| Fairpoint Communications, Inc. |
4,245,906 | 4,254,759 | ||||||
| Hargray Communications Group, Inc. |
7,000,000 | 7,017,500 | ||||||
See accompanying notes to financial statements.
21
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Level 3 Financing, Inc. |
$ | 9,134,615 | $ | 9,166,039 | ||||
| Telenet Financing USD LLC |
12,792,056 | 12,811,692 | ||||||
| Telesat Canada |
11,345,056 | 11,426,116 | ||||||
| Windstream Corp. |
19,018,066 | 19,010,078 | ||||||
|
|
|
|||||||
| 100,144,462 | ||||||||
|
|
|
|||||||
| ELECTRIC UTILITIES — 0.4% |
||||||||
| PowerTeam Services LLC |
2,838,631 | 2,822,663 | ||||||
| TEX Operations Co. LLC: |
||||||||
| Senior Secured Exit Term Loan B, 3.98%, 8/4/2023 |
2,612,325 | 2,592,746 | ||||||
| Senior Secured Exit Term Loan C, 3.80%, 8/4/2023 |
598,787 | 594,300 | ||||||
| Vistra Operations Co. LLC |
1,901,758 | 1,904,021 | ||||||
|
|
|
|||||||
| 7,913,730 | ||||||||
|
|
|
|||||||
| ELECTRICAL EQUIPMENT — 0.7% |
| |||||||
| Gates Global LLC |
9,405,834 | 9,417,074 | ||||||
| Generac Power Systems, Inc. |
2,704,996 | 2,713,449 | ||||||
|
|
|
|||||||
| 12,130,523 | ||||||||
|
|
|
|||||||
| ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.8% |
| |||||||
| CPI International, Inc. |
7,559,842 | 7,588,192 | ||||||
| TTM Technologies, Inc. |
5,969,169 | 6,028,861 | ||||||
| Zebra Technologies Corp. |
1,445,216 | 1,452,803 | ||||||
|
|
|
|||||||
| 15,069,856 | ||||||||
|
|
|
|||||||
| FOOD & STAPLES RETAILING — 1.6% |
| |||||||
| Albertsons LLC: |
||||||||
| Senior Secured Term Loan B4, 3.98%, 8/25/2021 |
6,376,524 | 6,305,999 | ||||||
| Senior Secured USD 2017 Term Loan B5, 4.29%, 12/21/2022 |
7,975,000 | 7,898,560 | ||||||
| Senior Secured USD 2017 Term Loan B6, 4.25%, 6/22/2023 |
1,768,388 | 1,751,323 | ||||||
| Chobani LLC |
7,537,124 | 7,603,112 | ||||||
| Genoa, a QoL Healthcare Co. LLC |
2,975,563 | 2,992,672 | ||||||
| US Foods, Inc. |
2,749,040 | 2,764,132 | ||||||
|
|
|
|||||||
| 29,315,798 | ||||||||
|
|
|
|||||||
| FOOD PRODUCTS — 1.0% |
||||||||
| Candy Intermediate Holdings, Inc. |
3,543,158 | 3,408,093 | ||||||
| Dole Food Co., Inc. |
4,837,953 | 4,853,822 | ||||||
| Hostess Brands LLC |
1,079,663 | 1,084,387 | ||||||
| Post Holdings, Inc. |
8,588,957 | 8,608,883 | ||||||
|
|
|
|||||||
| 17,955,185 | ||||||||
|
|
|
|||||||
| HEALTH CARE EQUIPMENT & SUPPLIES — 2.8% |
| |||||||
| DJO Finance LLC |
4,987,310 | 4,944,194 | ||||||
| Onex Carestream Finance LP: |
||||||||
| Senior Secured 1st Lien Term Loan, 5.28%, 6/7/2019 |
14,915,226 | 14,853,104 | ||||||
| Senior Secured 2nd Lien Term Loan, 9.80%, 12/7/2019 |
17,941,176 | 17,627,206 | ||||||
| Ortho-Clinical Diagnostics, Inc. |
13,425,606 | 13,372,776 | ||||||
|
|
|
|||||||
| 50,797,280 | ||||||||
|
|
|
|||||||
| HEALTH CARE PROVIDERS & SERVICES — 5.6% |
| |||||||
| Air Medical Group Holdings, Inc. |
2,611,477 | 2,568,061 | ||||||
| BioClinica, Inc. |
3,989,975 | 3,918,914 | ||||||
| CeramTec Acquisition Corp. |
194,777 | 195,751 | ||||||
| Change Healthcare Holdings, Inc. |
12,967,500 | 12,985,460 | ||||||
| CHG Healthcare Services, Inc. |
4,954,680 | 5,008,364 | ||||||
| Commerce Merger Sub, Inc. |
4,385,965 | 4,393,290 | ||||||
See accompanying notes to financial statements.
22
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Community Health Systems, Inc.: |
||||||||
| Senior Secured Term Loan G, 3.96%, 12/31/2019 |
$ | 4,174,194 | $ | 4,172,587 | ||||
| Senior Secured Term Loan H, 4.16%, 1/27/2021 |
13,333,787 | 13,324,053 | ||||||
| Envision Healthcare Corp. |
14,103,613 | 14,191,761 | ||||||
| MPH Acquisition Holdings LLC |
16,200,882 | 16,223,644 | ||||||
| National Mentor Holdings, Inc. |
2,671,279 | 2,694,653 | ||||||
| NVA Holdings, Inc. |
4,685,814 | 4,718,029 | ||||||
| Sterigenics-Nordion Holdings LLC |
10,089,655 | 10,070,737 | ||||||
| Surgery Center Holdings, Inc. |
6,875,000 | 6,909,409 | ||||||
|
|
|
|||||||
| 101,374,713 | ||||||||
|
|
|
|||||||
| HEALTH CARE TECHNOLOGY — 0.4% |
| |||||||
| Press Ganey Holdings, Inc. |
2,298,680 | 2,308,024 | ||||||
| Quintiles IMS Incorporated |
5,455,058 | 5,490,870 | ||||||
|
|
|
|||||||
| 7,798,894 | ||||||||
|
|
|
|||||||
| HOTELS, RESTAURANTS & LEISURE — 8.0% |
| |||||||
| 1011778 BC ULC |
13,873,050 | 13,851,408 | ||||||
| Boyd Gaming Corp. |
969,890 | 973,532 | ||||||
| Caesars Entertainment Resort Properties LLC |
39,736,774 | 40,005,792 | ||||||
| CEC Entertainment, Inc. |
8,702,518 | 8,678,978 | ||||||
| Delta 2 (LUX) S.A.R.L.: |
||||||||
| Senior Secured 2nd Lien Term Loan, 8.00%, 7/29/2022 |
1,521,000 | 1,534,446 | ||||||
| Senior Secured Term Loan B3, 4.50%, 2/1/2024 |
24,018,093 | 24,063,127 | ||||||
| Intrawest Resorts Holdings, Inc.: |
||||||||
| Senior Secured Term Loan B1, Zero Coupon, 6/28/2024 |
4,932,752 | 4,945,084 | ||||||
| Senior Secured Term Loan B2, Zero Coupon, 6/28/2024 |
2,604,936 | 2,611,449 | ||||||
| La Quinta Intermediate Holdings LLC |
7,390,727 | 7,430,009 | ||||||
| Landry’s, Inc. |
3,690,635 | 3,684,490 | ||||||
| NPC International, Inc. |
6,557,377 | 6,618,885 | ||||||
| Penn National Gaming, Inc. |
1,995,000 | 2,008,546 | ||||||
| Red Lobster Management LLC |
1,769,950 | 1,785,437 | ||||||
| Scientific Games International, Inc. |
13,754,158 | 13,906,073 | ||||||
| Travel Leaders Group LLC |
4,054,878 | 4,077,687 | ||||||
| Travelport Finance (Luxembourg) S.a.r.l. |
9,623,841 | 9,654,781 | ||||||
|
|
|
|||||||
| 145,829,724 | ||||||||
|
|
|
|||||||
| HOUSEHOLD DURABLES — 0.3% |
| |||||||
| Serta Simmons Bedding LLC |
4,983,258 | 4,986,398 | ||||||
|
|
|
|||||||
| INDEPENDENT POWER PRODUCERS &
ENERGY |
| |||||||
| Calpine Construction Finance Company L.P. |
1,409,390 | 1,405,282 | ||||||
|
|
|
|||||||
| INSURANCE — 2.6% |
||||||||
| Acrisure LLC |
7,153,386 | 7,235,328 | ||||||
| Alliant Holdings I, Inc. |
4,315,993 | 4,317,223 | ||||||
| AmWINS Group, Inc. |
5,102,564 | 5,109,759 | ||||||
| AssuredPartners, Inc. |
12,268,320 | 12,288,808 | ||||||
| Hub International, Ltd. |
10,000,868 | 10,040,671 | ||||||
| NFP Corp. |
5,661,404 | 5,683,512 | ||||||
See accompanying notes to financial statements.
23
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Sedgwick Claims Management Services, Inc.: |
||||||||
| Senior Secured 1st Lien Term Loan, 4.55%, 3/1/2021 |
$ | 990,000 | $ | 994,539 | ||||
| Senior Secured 2nd Lien Term Loan, 6.98%, 2/28/2022 |
2,000,000 | 2,015,000 | ||||||
|
|
|
|||||||
| 47,684,840 | ||||||||
|
|
|
|||||||
| INTERNET & CATALOG RETAIL — 0.3% |
| |||||||
| Harbor Freight Tools USA, Inc. |
4,544,565 | 4,548,269 | ||||||
|
|
|
|||||||
| INTERNET SOFTWARE & SERVICES — 3.7% |
| |||||||
| Abacus Innovations Corp. |
2,474,611 | 2,491,315 | ||||||
| Go Daddy Operating Company LLC |
16,742,682 | 16,800,277 | ||||||
| GTT Communications, Inc. |
2,577,720 | 2,592,233 | ||||||
| Landslide Holdings, Inc. |
20,068,526 | 19,997,484 | ||||||
| Rackspace Hosting, Inc. |
5,236,875 | 5,247,087 | ||||||
| Sabre GLBL, Inc. |
10,246,829 | 10,326,395 | ||||||
| TCH-2 Holding LLC |
10,668,087 | 10,734,762 | ||||||
|
|
|
|||||||
| 68,189,553 | ||||||||
|
|
|
|||||||
| IT SERVICES — 3.0% |
||||||||
| CompuCom Systems, Inc. |
5,638,462 | 4,455,569 | ||||||
| First Data Corp.: |
||||||||
| Senior Secured 2017 Term Loan, 3.72%, 4/26/2024 |
9,938,102 | 9,948,735 | ||||||
| Senior Secured 2022 USD Term Loan, 3.47%, 7/8/2022 |
31,640,676 | 31,623,431 | ||||||
| NeuStar, Inc. |
252,000 | 251,685 | ||||||
| TKC Holdings, Inc. |
7,152,358 | 7,150,141 | ||||||
| TNS, Inc. |
1,185,256 | 1,197,108 | ||||||
|
|
|
|||||||
| 54,626,669 | ||||||||
|
|
|
|||||||
| LIFE SCIENCES TOOLS & SERVICES — 1.0% |
| |||||||
| Albany Molecular Research, Inc. |
2,969,773 | 2,984,013 | ||||||
| INC Research Holdings, Inc. |
6,976,048 | 6,995,686 | ||||||
| Jaguar Holding Co. II |
8,966,203 | 8,980,639 | ||||||
|
|
|
|||||||
| 18,960,338 | ||||||||
|
|
|
|||||||
| MACHINERY — 0.4% |
||||||||
| Clark Equipment Co. |
2,536,017 | 2,546,795 | ||||||
| Wilsonart LLC |
5,221,016 | 5,244,511 | ||||||
|
|
|
|||||||
| 7,791,306 | ||||||||
|
|
|
|||||||
| MEDIA — 8.9% |
||||||||
| Acosta Holdco, Inc. |
9,000,000 | 8,109,000 | ||||||
| Altice US Finance I Corp. |
3,936,840 | 3,908,947 | ||||||
| AMC Entertainment, Inc. |
1,917,040 | 1,923,510 | ||||||
| Cable One, Inc. |
1,865,285 | 1,874,611 | ||||||
| CBS Radio, Inc.: |
||||||||
| Senior Secured 2017 Term Loan B, Zero Coupon, 10/17/2023 |
1,714,286 | 1,724,469 | ||||||
| Senior Secured Term Loan B, 4.72%, 10/17/2023 |
2,642,188 | 2,652,097 | ||||||
| Charter Communications Operating LLC |
1,655,419 | 1,663,001 | ||||||
| Coral-US Co. Borrower LLC |
8,414,634 | 8,448,840 | ||||||
| CSC Holdings LLC |
11,181,092 | 11,118,198 | ||||||
| DHX Media, Ltd. |
7,650,273 | 7,690,934 | ||||||
| Gray Television, Inc. |
8,415,721 | 8,469,203 | ||||||
| Lions Gate Entertainment Corp. |
3,452,774 | 3,478,669 | ||||||
| McGraw-Hill Global Education Holdings LLC |
2,064,759 | 2,035,233 | ||||||
See accompanying notes to financial statements.
24
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Mediacom Illinois LLC |
$ | 1,367,188 | $ | 1,374,023 | ||||
| Mission Broadcasting, Inc. |
432,245 | 432,245 | ||||||
| Nexstar Broadcasting, Inc. |
4,289,189 | 4,289,189 | ||||||
| Nielsen Finance LLC |
8,159,044 | 8,180,379 | ||||||
| Numericable U.S. LLC |
5,000,000 | 4,996,725 | ||||||
| Radiate Holdco LLC |
7,502,935 | 7,408,248 | ||||||
| Unitymedia Hessen GmbH & Co. KG |
4,878,049 | 4,864,122 | ||||||
| Univision Communications, Inc. |
17,756,952 | 17,438,747 | ||||||
| Virgin Media Bristol LLC |
14,788,732 | 14,810,916 | ||||||
| WideOpenWest Finance LLC |
11,953,695 | 11,957,819 | ||||||
| WMG Acquisition Corp. |
4,779,354 | 4,786,069 | ||||||
| Ziggo Secured Finance Partnership |
19,089,037 | 19,052,195 | ||||||
|
|
|
|||||||
| 162,687,389 | ||||||||
|
|
|
|||||||
| METALS & MINING — 0.1% |
||||||||
| Atkore International, Inc. |
1,491,269 | 1,499,657 | ||||||
| PLZ Aeroscience Corp. |
798,132 | 804,119 | ||||||
|
|
|
|||||||
| 2,303,776 | ||||||||
|
|
|
|||||||
| OIL, GAS & CONSUMABLE FUELS — 0.3% |
| |||||||
| Energy Transfer Equity L.P. |
5,000,000 | 4,983,775 | ||||||
|
|
|
|||||||
| PERSONAL PRODUCTS — 0.1% |
||||||||
| Revlon Consumer Products Corp. |
2,752,635 | 2,575,778 | ||||||
|
|
|
|||||||
| PHARMACEUTICALS — 4.5% |
||||||||
| Akorn, Inc. |
1,666,667 | 1,683,334 | ||||||
| Amneal Pharmaceuticals LLC |
2,211,717 | 2,229,687 | ||||||
| Arbor Pharmaceuticals, Inc. |
1,665,646 | 1,685,076 | ||||||
| Capsugel Holdings US, Inc. |
2,926,695 | 2,930,046 | ||||||
| Endo Luxembourg Finance Co. I S.A.R.L. |
25,551,724 | 25,831,260 | ||||||
| Horizon Pharma, Inc. |
13,964,865 | 14,038,180 | ||||||
| Valeant Pharmaceuticals International, Inc. |
33,560,229 | 34,054,907 | ||||||
|
|
|
|||||||
| 82,452,490 | ||||||||
|
|
|
|||||||
| PROFESSIONAL SERVICES — 2.3% |
| |||||||
| Advantage Sales & Marketing, Inc. |
16,501,819 | 15,883,083 | ||||||
| Information Resources, Inc. |
18,563,896 | 18,659,593 | ||||||
| TransUnion LLC |
6,394,108 | 6,443,758 | ||||||
|
|
|
|||||||
| 40,986,434 | ||||||||
|
|
|
|||||||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.2% |
| |||||||
| Capital Automotive L.P. |
1,016,949 | 1,025,975 | ||||||
| Communications Sales & Leasing, Inc. |
20,840,323 | 20,905,449 | ||||||
|
|
|
|||||||
| 21,931,424 | ||||||||
|
|
|
|||||||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.2% |
| |||||||
| Americold Realty Operating Partnership L.P. |
1,320,212 | 1,340,841 | ||||||
| Realogy Corp. |
2,297,738 | 2,308,273 | ||||||
|
|
|
|||||||
| 3,649,114 | ||||||||
|
|
|
|||||||
| SEMICONDUCTORS &
SEMICONDUCTOR |
| |||||||
| Cypress Semiconductor Corp. |
2,838,022 | 2,870,660 | ||||||
See accompanying notes to financial statements.
25
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| M/A-COM Technology Solutions Holdings, Inc. |
$ | 1,782,659 | $ | 1,778,203 | ||||
| Microsemi Corp. |
10,733,012 | 10,762,796 | ||||||
| ON Semiconductor Corp. |
13,039,545 | 13,069,862 | ||||||
|
|
|
|||||||
| 28,481,521 | ||||||||
|
|
|
|||||||
| SOFTWARE — 10.5% |
||||||||
| Applied Systems, Inc. |
2,401,260 | 2,420,266 | ||||||
| Aspect Software, Inc. |
7,129,951 | 7,089,845 | ||||||
| Avast Software B.V. |
2,653,486 | 2,683,962 | ||||||
| BMC Software Finance, Inc. |
31,587,898 | 31,698,613 | ||||||
| CCC Information Services, Inc. |
4,568,106 | 4,557,828 | ||||||
| Compuware Corp. |
16,138,736 | 16,279,950 | ||||||
| Epicor Software Corp. |
5,558,784 | 5,564,871 | ||||||
| Hyland Software, Inc.: |
||||||||
| Senior Secured Incremental Term Loan B, Zero Coupon, 7/1/2022 |
5,060,241 | 5,098,825 | ||||||
| Senior Secured Term Loan, 4.48%, 7/1/2022 |
5,716,381 | 5,759,968 | ||||||
| Informatica Corp. |
2,320,794 | 2,322,454 | ||||||
| Kronos, Inc. |
18,917,469 | 19,068,525 | ||||||
| MA FinanceCo. LLC: |
||||||||
| Senior Secured 2017 Term Loan B2, 3.67%, 11/19/2021 |
6,877,449 | 6,881,782 | ||||||
| Senior Secured USD Term Loan B3, 3.96%, 4/29/2024 |
2,817,485 | 2,825,938 | ||||||
| Mitchell International, Inc. |
4,234,354 | 4,266,133 | ||||||
| Project Alpha Intermediate Holding, Inc. |
8,000,000 | 7,958,760 | ||||||
| Seattle Spinco, Inc. |
19,027,175 | 19,084,256 | ||||||
| SolarWinds Holdings, Inc. |
10,161,602 | 10,196,558 | ||||||
| Solera Holdings, Inc. |
1,909,833 | 1,918,552 | ||||||
| Sophia L.P. |
3,406,806 | 3,402,547 | ||||||
| Synchronoss Technologies, Inc. |
2,002,754 | 1,971,211 | ||||||
| Verint Systems, Inc. |
4,640,371 | 4,657,772 | ||||||
| Veritas Bermuda, Ltd. |
14,669,118 | 14,714,959 | ||||||
| VF Holding Corp. |
11,315,343 | 11,325,922 | ||||||
|
|
|
|||||||
| 191,749,497 | ||||||||
|
|
|
|||||||
| SPECIALTY RETAIL — 0.5% |
||||||||
| Burlington Coat Factory Warehouse Corp. |
1,000,000 | 1,004,165 | ||||||
| Michaels Stores, Inc. |
4,874,038 | 4,868,262 | ||||||
| Petco Animal Supplies, Inc. |
3,868,155 | 3,504,548 | ||||||
|
|
|
|||||||
| 9,376,975 | ||||||||
|
|
|
|||||||
| TECHNOLOGY HARDWARE, STORAGE & |
| |||||||
| Dell, Inc. |
37,190,088 | 37,368,228 | ||||||
| Quest Software US Holdings, Inc. |
3,044,084 | 3,095,833 | ||||||
|
|
|
|||||||
| 40,464,061 | ||||||||
|
|
|
|||||||
| TRADING COMPANIES & DISTRIBUTORS — 0.5% |
| |||||||
| Univar, Inc. |
9,383,350 | 9,404,603 | ||||||
|
|
|
|||||||
| WIRELESS TELECOMMUNICATION SERVICES — 0.4% |
| |||||||
| LTS Buyer LLC |
7,509,932 | 7,552,176 | ||||||
|
|
|
|||||||
| TOTAL SENIOR FLOATING RATE LOANS |
1,648,458,246 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
26
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| CORPORATE BONDS & NOTES — 8.2% |
| |||||||
| AEROSPACE & DEFENSE — 0.3% |
| |||||||
| TransDigm, Inc. |
$ | 5,000,000 | $ | 5,162,500 | ||||
|
|
|
|||||||
| COMMERCIAL SERVICES — 0.1% |
| |||||||
| Prime Security Services Borrower LLC/Prime Finance, Inc. |
2,000,000 | 2,173,400 | ||||||
|
|
|
|||||||
| DIVERSIFIED FINANCIAL SERVICES — 0.2% |
| |||||||
| Fly Leasing, Ltd. |
3,145,000 | 3,290,614 | ||||||
|
|
|
|||||||
| ENTERTAINMENT — 0.6% |
||||||||
| AMC Entertainment Holdings, Inc. |
1,000,000 | 1,046,250 | ||||||
| Scientific Games International, Inc. |
8,900,000 | 9,478,500 | ||||||
|
|
|
|||||||
| 10,524,750 | ||||||||
|
|
|
|||||||
| ENVIRONMENTAL CONTROL — 0.1% |
| |||||||
| GFL Environmental, Inc. |
2,154,000 | 2,342,475 | ||||||
|
|
|
|||||||
| HEALTH CARE PRODUCTS — 0.1% |
| |||||||
| Kinetic Concepts, Inc./KCI USA, Inc. |
830,000 | 877,725 | ||||||
|
|
|
|||||||
| HEALTH CARE SERVICES — 2.8% |
| |||||||
| CHS/Community Health Systems, Inc. |
3,250,000 | 2,839,850 | ||||||
| MPH Acquisition Holdings LLC |
13,000,000 | 13,853,125 | ||||||
| Tenet Healthcare Corp.: |
||||||||
| 4.63%, 7/15/2024 (b) |
2,449,000 | 2,455,612 | ||||||
| 3 Month USD LIBOR +3.50%, 4.75%, 6/15/2020 (c) |
3,000,000 | 3,030,000 | ||||||
| 5.00%, 3/1/2019 |
3,000,000 | 3,151,800 | ||||||
| 6.75%, 2/1/2020 |
2,000,000 | 2,082,500 | ||||||
| 8.00%, 8/1/2020 |
3,000,000 | 3,045,000 | ||||||
| 8.13%, 4/1/2022 |
13,000,000 | 13,829,400 | ||||||
| THC Escrow Corp. III: |
||||||||
| 4.63%, 7/15/2024 (b) |
3,068,000 | 3,076,284 | ||||||
| 5.13%, 5/1/2025 (b) |
4,167,000 | 4,182,834 | ||||||
|
|
|
|||||||
| 51,546,405 | ||||||||
|
|
|
|||||||
| LODGING — 0.4% |
||||||||
| Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope |
4,000,000 | 4,114,400 | ||||||
| Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. |
2,456,000 | 2,664,760 | ||||||
|
|
|
|||||||
| 6,779,160 | ||||||||
|
|
|
|||||||
| MEDIA — 1.3% |
||||||||
| Cequel Communications Holdings I LLC/Cequel Capital Corp. |
700,000 | 714,875 | ||||||
| Gray Television, Inc.: |
||||||||
| 5.13%, 10/15/2024 (b) |
3,000,000 | 3,024,375 | ||||||
| 5.88%, 7/15/2026 (b) |
3,000,000 | 3,060,000 | ||||||
| Nexstar Broadcasting, Inc. |
1,000,000 | 1,012,500 | ||||||
| SFR Group SA |
2,000,000 | 2,090,000 | ||||||
| Sinclair Television Group, Inc. |
5,000,000 | 5,143,750 | ||||||
| Univision Communications, Inc. |
8,740,000 | 8,663,962 | ||||||
|
|
|
|||||||
| 23,709,462 | ||||||||
|
|
|
|||||||
| PACKAGING & CONTAINERS — 0.3% |
| |||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
2,320,000 | 2,540,400 | ||||||
| Flex Acquisition Co., Inc. |
1,478,000 | 1,537,120 | ||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 3 Month USD LIBOR +3.50%, 4.66%, 7/15/2021 (b) (c) |
2,000,000 | 2,040,000 | ||||||
|
|
|
|||||||
| 6,117,520 | ||||||||
|
|
|
|||||||
| PHARMACEUTICALS — 0.4% |
||||||||
| Endo Dac/Endo Finance LLC/Endo Finco, Inc. |
1,017,000 | 1,047,510 | ||||||
| Valeant Pharmaceuticals International, Inc.: |
||||||||
| 6.50%, 3/15/2022 (b) |
1,734,000 | 1,816,365 | ||||||
| 6.75%, 8/15/2018 (b) |
3,784,000 | 3,781,730 | ||||||
|
|
|
|||||||
| 6,645,605 | ||||||||
|
|
|
|||||||
| RETAIL — 0.9% |
||||||||
| 1011778 BC ULC/New Red Finance, Inc. |
13,534,000 | 13,431,142 | ||||||
| CEC Entertainment, Inc. |
3,175,000 | 3,309,937 | ||||||
|
|
|
|||||||
| 16,741,079 | ||||||||
|
|
|
|||||||
| SOFTWARE — 0.3% |
||||||||
| Infor US, Inc. |
5,000,000 | 5,162,500 | ||||||
|
|
|
|||||||
| TELECOMMUNICATIONS — 0.4% |
|
|||||||
| Altice Luxembourg SA |
2,000,000 | 2,122,600 | ||||||
| FairPoint Communications, Inc. |
5,170,000 | 5,311,399 | ||||||
|
|
|
|||||||
| 7,433,999 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE BONDS & NOTES |
|
148,507,194 | ||||||
|
|
|
|||||||
See accompanying notes to financial statements.
27
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| SHORT-TERM INVESTMENT — 6.5% |
|
|||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares
0.92% (d) (e) |
119,281,817 | $ | 119,281,817 | |||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 105.2% |
|
1,916,247,257 | ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS — (5.2)% |
|
(95,159,640 | ) | |||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
|
$ | 1,821,087,617 | |||||
|
|
|
|||||||
| (a) | The rate shown represents the rate at June 30, 2017. |
| (b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.3% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2017. |
| (d) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
LIBOR London Interbank Offered Rate
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| 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 |
$ | — | $ | 32,613,645 | $ | — | $ | 32,613,645 | ||||||||
| Airlines |
— | 17,755,935 | — | 17,755,935 | ||||||||||||
| Auto Components |
— | 12,827,583 | — | 12,827,583 | ||||||||||||
| Automobiles |
— | 10,061,854 | — | 10,061,854 | ||||||||||||
| Building Products |
— | 20,522,948 | — | 20,522,948 | ||||||||||||
| Capital Markets |
— | 5,151,938 | — | 5,151,938 | ||||||||||||
| Chemicals |
— | 23,396,698 | — | 23,396,698 | ||||||||||||
| Commercial Banks |
— | 5,650,868 | — | 5,650,868 | ||||||||||||
| Commercial Services & Supplies |
— | 80,227,729 | — | 80,227,729 | ||||||||||||
| Communications Equipment |
— | 5,643,448 | — | 5,643,448 | ||||||||||||
| Computers & Peripherals |
— | 6,575,976 | — | 6,575,976 | ||||||||||||
| Construction & Engineering |
— | 7,069,472 | — | 7,069,472 | ||||||||||||
| Construction Materials |
— | 8,908,449 | — | 8,908,449 | ||||||||||||
| Containers & Packaging |
— | 45,478,135 | — | 45,478,135 | ||||||||||||
| Distributors |
— | 15,573,796 | — | 15,573,796 | ||||||||||||
| Diversified Consumer Services |
— | 25,127,694 | — | 25,127,694 | ||||||||||||
| Diversified Financial Services |
— | 20,750,245 | — | 20,750,245 | ||||||||||||
| Diversified Telecommunication Services |
— | 100,144,462 | — | 100,144,462 | ||||||||||||
| Electric Utilities |
— | 7,913,730 | — | 7,913,730 | ||||||||||||
| Electrical Equipment |
— | 12,130,523 | — | 12,130,523 | ||||||||||||
| Electronic Equipment, Instruments & Components |
— | 15,069,856 | — | 15,069,856 | ||||||||||||
| Food & Staples Retailing |
— | 29,315,798 | — | 29,315,798 | ||||||||||||
| Food Products |
— | 17,955,185 | — | 17,955,185 | ||||||||||||
| Health Care Equipment & Supplies |
— | 50,797,280 | — | 50,797,280 | ||||||||||||
| Health Care Providers & Services |
— | 101,374,713 | — | 101,374,713 | ||||||||||||
| Health Care Technology |
— | 7,798,894 | — | 7,798,894 | ||||||||||||
| Hotels, Restaurants & Leisure |
— | 145,829,724 | — | 145,829,724 | ||||||||||||
| Household Durables |
— | 4,986,398 | — | 4,986,398 | ||||||||||||
| Independent Power Producers & Energy Traders |
— | 1,405,282 | — | 1,405,282 | ||||||||||||
| Insurance |
— | 47,684,840 | — | 47,684,840 | ||||||||||||
| Internet & Catalog Retail |
— | 4,548,269 | — | 4,548,269 | ||||||||||||
| Internet Software & Services |
— | 68,189,553 | — | 68,189,553 | ||||||||||||
| IT Services |
— | 54,626,669 | — | 54,626,669 | ||||||||||||
| Life Sciences Tools & Services |
— | 18,960,338 | — | 18,960,338 | ||||||||||||
| Machinery |
— | 7,791,306 | — | 7,791,306 | ||||||||||||
See accompanying notes to financial statements.
28
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| Media |
$ | — | $ | 162,687,389 | $ | — | $ | 162,687,389 | ||||||||
| Metals & Mining |
— | 2,303,776 | — | 2,303,776 | ||||||||||||
| Oil, Gas & Consumable Fuels |
— | 4,983,775 | — | 4,983,775 | ||||||||||||
| Personal Products |
— | 2,575,778 | — | 2,575,778 | ||||||||||||
| Pharmaceuticals |
— | 82,452,490 | — | 82,452,490 | ||||||||||||
| Professional Services |
— | 40,986,434 | — | 40,986,434 | ||||||||||||
| Real Estate Investment Trusts (REITs) |
— | 21,931,424 | — | 21,931,424 | ||||||||||||
| Real Estate Management & Development |
— | 3,649,114 | — | 3,649,114 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
— | 28,481,521 | — | 28,481,521 | ||||||||||||
| Software |
— | 191,749,497 | — | 191,749,497 | ||||||||||||
| Specialty Retail |
— | 9,376,975 | — | 9,376,975 | ||||||||||||
| Technology Hardware, Storage & Peripherals |
— | 40,464,061 | — | 40,464,061 | ||||||||||||
| Trading Companies & Distributors |
— | 9,404,603 | — | 9,404,603 | ||||||||||||
| Wireless Telecommunication Services |
— | 7,552,176 | — | 7,552,176 | ||||||||||||
| Corporate Bonds & Notes |
||||||||||||||||
| Aerospace & Defense |
— | 5,162,500 | — | 5,162,500 | ||||||||||||
| Commercial Services |
— | 2,173,400 | — | 2,173,400 | ||||||||||||
| Diversified Financial Services |
— | 3,290,614 | — | 3,290,614 | ||||||||||||
| Entertainment |
— | 10,524,750 | — | 10,524,750 | ||||||||||||
| Environmental Control |
— | 2,342,475 | — | 2,342,475 | ||||||||||||
| Health Care Products |
— | 877,725 | — | 877,725 | ||||||||||||
| Health Care Services |
— | 51,546,405 | — | 51,546,405 | ||||||||||||
| Lodging |
— | 6,779,160 | — | 6,779,160 | ||||||||||||
| Media |
— | 23,709,462 | — | 23,709,462 | ||||||||||||
| Packaging & Containers |
— | 6,117,520 | — | 6,117,520 | ||||||||||||
| Pharmaceuticals |
— | 6,645,605 | — | 6,645,605 | ||||||||||||
| Retail |
— | 16,741,079 | — | 16,741,079 | ||||||||||||
| Software |
— | 5,162,500 | — | 5,162,500 | ||||||||||||
| Telecommunications |
— | 7,433,999 | — | 7,433,999 | ||||||||||||
| Short-Term Investment |
119,281,817 | — | — | 119,281,817 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 119,281,817 | $ | 1,796,965,440 | $ | — | $ | 1,916,247,257 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
68,870,496 | $ | 68,870,496 | 118,632,928 | 187,503,424 | — | $ | — | $ | 52,910 | $ | — | ||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 329,435,609 | 210,153,792 | 119,281,817 | 119,281,817 | 180,347 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 722,270,159 | 722,270,159 | — | — | 329,988 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 68,870,496 | $ | 119,281,817 | $ | 563,245 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
29
Table of Contents
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
Table of Contents
SSGA ULTRA SHORT TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| ASSET-BACKED SECURITIES — 21.0% |
| |||||||
| AUTOMOBILE — 6.9% |
||||||||
| Ford Credit Auto Owner Trust |
$ | 270,123 | $ | 270,209 | ||||
| Harley-Davidson Motorcycle Trust |
67,324 | 67,273 | ||||||
| Honda Auto Receivables 2014-4 Owner Trust |
350,000 | 349,807 | ||||||
| Honda Auto Receivables 2016-1 Owner Trust |
250,000 | 249,288 | ||||||
| Mercedes-Benz Auto Receivables Trust |
29,487 | 29,467 | ||||||
| Toyota Auto Receivables Owner Trust: |
||||||||
| Series 2015-A, Class A3, 1.12%, 2/15/2019 |
86,991 | 86,900 | ||||||
| Series 2016-D, Class A2A, 1.06%, 5/15/2019 |
185,554 | 185,220 | ||||||
|
|
|
|||||||
| 1,238,164 | ||||||||
|
|
|
|||||||
| CREDIT CARD — 14.1% |
||||||||
| American Express Credit Account Master Trust |
230,000 | 230,078 | ||||||
| BA Credit Card Trust |
400,000 | 402,135 | ||||||
| Capital One Multi-Asset Execution Trust |
250,000 | 250,093 | ||||||
| Chase Issuance Trust: |
||||||||
| Series 2013-A3, Class A3, 1 Month USD LIBOR +
0.28%, |
150,000 | 150,215 | ||||||
| Series 2014-A7, Class A7, 1.38%, 11/15/2019 |
350,000 | 349,997 | ||||||
| Citibank Credit Card Issuance Trust: |
||||||||
| Series 2013-A2, Class A2, 1 Month USD LIBOR +
0.28%, |
220,000 | 220,379 | ||||||
| Series 2014-A8, Class A8, 1.73%, 4/9/2020 |
450,000 | 450,868 | ||||||
| Discover Card Execution Note Trust |
300,000 | 301,295 | ||||||
| Evergreen Credit Card Trust |
200,000 | 200,884 | ||||||
|
|
|
|||||||
| 2,555,944 | ||||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
3,794,108 | |||||||
|
|
|
|||||||
| CORPORATE BONDS & NOTES — 68.5% |
| |||||||
| AEROSPACE & DEFENSE — 1.4% |
| |||||||
| United Technologies Corp. |
250,000 | 251,650 | ||||||
|
|
|
|||||||
| AUTO MANUFACTURERS — 6.1% |
||||||||
| American Honda Finance Corp. |
300,000 | 300,807 | ||||||
| Daimler Finance North America LLC |
300,000 | 300,027 | ||||||
| Toyota Motor Credit Corp.: |
||||||||
| Series 2547, 3 Month USD LIBOR + 0.32%, 1.48%, 1/12/2018 (a) |
250,000 | 250,345 | ||||||
| Series MTN, 3 Month USD LIBOR + 0.44%, 1.60%, 10/18/2019 (a) |
250,000 | 251,747 | ||||||
|
|
|
|||||||
| 1,102,926 | ||||||||
|
|
|
|||||||
| BANKS — 21.7% |
||||||||
| Bank of Montreal |
200,000 | 201,074 | ||||||
| Branch Banking & Trust Co. |
250,000 | 250,573 | ||||||
| Citibank NA |
250,000 | 250,088 | ||||||
| Goldman Sachs Group, Inc.: |
||||||||
| 3 Month USD LIBOR + 1.02%, 2.17%, 10/23/2019 (a) |
409,000 | 414,202 | ||||||
| Series 1, 3 Month USD LIBOR + 1.20%, 2.37%, 4/30/2018 (a) |
100,000 | 100,756 | ||||||
| JPMorgan Chase & Co. |
250,000 | 253,840 | ||||||
| JPMorgan Chase Bank NA |
250,000 | 251,737 | ||||||
| Morgan Stanley |
430,000 | 433,182 | ||||||
| PNC Bank NA |
250,000 | 250,900 | ||||||
| Royal Bank of Canada |
250,000 | 251,097 | ||||||
| Toronto-Dominion Bank: |
||||||||
| Series BKNT, 3 Month USD LIBOR + 0.44%, 1.74%, 7/2/2019 (a) |
250,000 | 250,698 | ||||||
See accompanying notes to financial statements.
31
Table of Contents
SSGA ULTRA SHORT TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Series MTN, 3 Month USD LIBOR + 0.84%, 1.99%, 1/22/2019 (a) |
$ | 100,000 | $ | 100,930 | ||||
| US Bank NA: |
||||||||
| Series BKNT, 3 Month USD LIBOR + 0.30%, 1.47%, 1/26/2018 (a) |
100,000 | 99,844 | ||||||
| Series BKNT, 3 Month USD LIBOR + 0.48%, 1.65%, 10/28/2019 (a) |
100,000 | 100,753 | ||||||
| Series MTN, 3 Month USD LIBOR + 0.58%, 1.75%, 1/29/2018 (a) |
100,000 | 100,278 | ||||||
| Wells Fargo & Co. |
100,000 | 100,439 | ||||||
| Wells Fargo Bank NA |
250,000 | 250,860 | ||||||
| Westpac Banking Corp. |
275,000 | 276,246 | ||||||
|
|
|
|||||||
| 3,937,497 | ||||||||
|
|
|
|||||||
| BEVERAGES — 2.5% |
||||||||
| Anheuser-Busch InBev Finance, Inc. |
200,000 | 200,362 | ||||||
| PepsiCo, Inc. |
250,000 | 251,375 | ||||||
|
|
|
|||||||
| 451,737 | ||||||||
|
|
|
|||||||
| DIVERSIFIED FINANCIAL SERVICES — 1.9% |
| |||||||
| American Express Credit Corp. |
350,000 | 351,974 | ||||||
|
|
|
|||||||
| ELECTRONICS — 1.3% |
| |||||||
| Honeywell International, Inc. |
235,000 | 236,137 | ||||||
|
|
|
|||||||
| IT SERVICES — 3.9% |
| |||||||
| Apple, Inc. |
250,000 | 250,475 | ||||||
| International Business Machines Corp.: |
||||||||
| 3 Month USD LIBOR + 0.19%, |
205,000 | 205,246 | ||||||
| 3 Month USD LIBOR + 0.23%, |
250,000 | 250,805 | ||||||
|
|
|
|||||||
| 706,526 | ||||||||
|
|
|
|||||||
| MACHINERY, CONSTRUCTION & MINING — 2.8% |
| |||||||
| Caterpillar Financial Services Corp.: |
||||||||
| Series MTN, 3 month USD LIBOR + 0.18%, 1.40%, 12/6/2018 (a) |
250,000 | 250,063 | ||||||
| Series MTN, 3 month USD LIBOR + 0.03%, 1.42%, 11/20/2017 (a) |
250,000 | 250,112 | ||||||
|
|
|
|||||||
| 500,175 | ||||||||
|
|
|
|||||||
| MACHINERY-DIVERSIFIED — 2.2% |
| |||||||
| John Deere Capital Corp.: |
||||||||
| 3 Month USD LIBOR + 0.57%, |
200,000 | 201,399 | ||||||
| Series MTN, 3 Month USD LIBOR + 0.22%, 1.47%, 12/15/2017 (a) |
200,000 | 200,165 | ||||||
|
|
|
|||||||
| 401,564 | ||||||||
|
|
|
|||||||
| MISCELLANEOUS MANUFACTURER — 1.1% |
| |||||||
| General Electric Co. |
200,000 | 200,924 | ||||||
|
|
|
|||||||
| OIL & GAS — 10.5% |
| |||||||
| BP Capital Markets PLC: |
||||||||
| 3 Month USD LIBOR + 0.43%, |
250,000 | 250,580 | ||||||
| 3 Month USD LIBOR + 0.51%, |
250,000 | 250,900 | ||||||
| Chevron Corp. |
250,000 | 250,268 | ||||||
| ConocoPhillips Co. |
100,000 | 100,168 | ||||||
| Shell International Finance B.V.: |
||||||||
| 3 Month USD LIBOR + 0.35%, |
300,000 | 301,323 | ||||||
| 3 Month USD LIBOR + 0.58%, |
250,000 | 251,635 | ||||||
| Statoil ASA: |
||||||||
| 3 Month USD LIBOR + 0.20%, |
250,000 | 250,110 | ||||||
| 3 Month USD LIBOR + 0.46%, 1.64%, 11/8/2018 (a) |
250,000 | 251,087 | ||||||
|
|
|
|||||||
| 1,906,071 | ||||||||
|
|
|
|||||||
| PHARMACEUTICALS — 1.4% |
||||||||
| Pfizer, Inc. |
250,000 | 250,548 | ||||||
|
|
|
|||||||
| RETAIL — 5.5% |
||||||||
| Home Depot, Inc.: |
||||||||
| 3 month USD LIBOR + 0.15%, 1.37%, 6/5/2020 (a) |
350,000 | 350,255 | ||||||
| 3 Month USD LIBOR + 0.37%, 1.62%, 9/15/2017 (a) |
150,000 | 150,105 | ||||||
| Lowe’s Cos., Inc.: |
||||||||
| 3 Month USD LIBOR + 0.42%, 1.65%, 9/10/2019 (a) |
250,000 | 251,753 | ||||||
| 3 month USD LIBOR + 0.60%, 1.84%, 9/14/2018 (a) |
250,000 | 251,580 | ||||||
|
|
|
|||||||
| 1,003,693 | ||||||||
|
|
|
|||||||
| SEMICONDUCTORS — 1.7% |
||||||||
| QUALCOMM, Inc.: |
||||||||
| 3 Month USD LIBOR + 0.27%, 1.44%, 5/18/2018 (a) |
150,000 | 150,130 | ||||||
| 3 month USD LIBOR + 0.36%, 1.56%, 5/20/2019 (a) |
150,000 | 150,462 | ||||||
|
|
|
|||||||
| 300,592 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
32
Table of Contents
SSGA ULTRA SHORT TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| SOFTWARE — 1.4% |
||||||||
| Oracle Corp. |
$ | 250,000 | $ | 252,305 | ||||
|
|
|
|||||||
| TELECOMMUNICATIONS — 2.5% |
||||||||
| Cisco Systems, Inc.: |
||||||||
| 3 Month USD LIBOR + 0.31%, 1.56%, 6/15/2018 (a) |
150,000 | 150,475 | ||||||
| 3 Month USD LIBOR + 0.34%, 1.61%, 9/20/2019 (a) |
310,000 | 311,879 | ||||||
|
|
|
|||||||
| 462,354 | ||||||||
|
|
|
|||||||
| TRANSPORTATION — 0.6% |
||||||||
| Canadian National Railway Co. |
100,000 | 100,034 | ||||||
|
|
|
|||||||
| TOTAL CORPORATE BONDS & NOTES |
12,416,707 | |||||||
|
|
|
|||||||
| U.S. TREASURY OBLIGATIONS — 9.6% |
| |||||||
| Treasury Notes: |
||||||||
| 0.63%, 6/30/2018 |
300,000 | 298,125 | ||||||
| 0.88%, 3/31/2018 |
650,000 | 648,225 | ||||||
| 1.00%, 11/30/2018 |
800,000 | 796,256 | ||||||
|
|
|
|||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
1,742,606 | |||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENT — 0.7% |
| |||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares
0.92% (c) (d) |
133,860 | 133,860 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.8% |
18,087,281 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% |
31,175 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 18,118,456 | ||||||
|
|
|
|||||||
| (a) | Variable Rate Security — Interest rate shown is rate in effect at June 30, 2017. |
| (b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.8% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
LIBOR London Interbank Offered Rate
MTN Medium Term Note
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Asset-Backed Securities |
||||||||||||||||
| Automobile |
$ | — | $ | 1,238,164 | $ | — | $ | 1,238,164 | ||||||||
| Credit Card |
— | 2,555,944 | — | 2,555,944 | ||||||||||||
| Corporate Bonds & Notes |
||||||||||||||||
| Aerospace & Defense |
— | 251,650 | — | 251,650 | ||||||||||||
| Auto Manufacturers |
— | 1,102,926 | — | 1,102,926 | ||||||||||||
| Banks |
— | 3,937,497 | — | 3,937,497 | ||||||||||||
| Beverages |
— | 451,737 | — | 451,737 | ||||||||||||
| Diversified Financial Services |
— | 351,974 | — | 351,974 | ||||||||||||
| Electronics |
— | 236,137 | — | 236,137 | ||||||||||||
| IT Services |
— | 706,526 | — | 706,526 | ||||||||||||
| Machinery, Construction & Mining |
— | 500,175 | — | 500,175 | ||||||||||||
| Machinery-Diversified |
— | 401,564 | — | 401,564 | ||||||||||||
| Miscellaneous Manufacturer |
— | 200,924 | — | 200,924 | ||||||||||||
| Oil & Gas |
— | 1,906,071 | — | 1,906,071 | ||||||||||||
| Pharmaceuticals |
— | 250,548 | — | 250,548 | ||||||||||||
| Retail |
— | 1,003,693 | — | 1,003,693 | ||||||||||||
| Semiconductors |
— | 300,592 | — | 300,592 | ||||||||||||
| Software |
— | 252,305 | — | 252,305 | ||||||||||||
| Telecommunications |
— | 462,354 | — | 462,354 | ||||||||||||
| Transportation |
— | 100,034 | — | 100,034 | ||||||||||||
See accompanying notes to financial statements.
33
Table of Contents
SSGA ULTRA SHORT TERM BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| U.S. Treasury Obligations |
$ | — | $ | 1,742,606 | $ | — | $ | 1,742,606 | ||||||||
| Short-Term Investment |
133,860 | — | — | 133,860 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 133,860 | $ | 17,953,421 | $ | — | $ | 18,087,281 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
483,761 | $ | 483,761 | 2,476,195 | 2,959,956 | — | $ | — | $ | 347 | $ | — | ||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 1,056,518 | 922,658 | 133,860 | 133,860 | 383 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 6,507,774 | 6,507,774 | — | — | 730 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 483,761 | $ | 133,860 | $ | 1,460 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
34
Table of Contents
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.
35
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| ASSET-BACKED SECURITIES — 2.3% |
| |||||||
| Ajax Mortgage Loan Trust |
$ | 8,863,741 | $ | 8,848,767 | ||||
| AVANT Loans Funding Trust: |
||||||||
| Series 2015-A, Class A, |
99,234 | 99,301 | ||||||
| Series 2016-B, Class A, |
36,313 | 36,341 | ||||||
| Colony Starwood Homes Trust |
4,000,000 | 4,048,474 | ||||||
| Flagship Credit Auto Trust |
3,500,000 | 3,495,261 | ||||||
| GSAA Home Equity Trust |
3,101,342 | 2,276,032 | ||||||
| Navient Student Loan Trust |
13,500,000 | 13,624,822 | ||||||
| OneMain Financial Issuance Trust |
24,000,000 | 24,239,220 | ||||||
| Progress Residential Trust |
1,000,000 | 1,023,334 | ||||||
| Structured Asset Securities Corp. Mortgage Loan Trust |
3,091,988 | 2,761,149 | ||||||
| Towd Point Mortgage Trust |
2,505,255 | 2,526,332 | ||||||
| US Residential Opportunity Fund III Trust |
10,508,390 | 10,580,310 | ||||||
| Westlake Automobile Receivables Trust |
2,500,000 | 2,503,886 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
76,063,229 | |||||||
|
|
|
|||||||
| CORPORATE BONDS & NOTES — 12.6% |
| |||||||
| ARGENTINA — 0.1% |
||||||||
| Aeropuertos Argentina 2000 SA |
300,000 | 310,539 | ||||||
| Banco Macro SA |
1,300,000 | 1,352,000 | ||||||
| Pampa Energia SA |
2,100,000 | 2,191,476 | ||||||
|
|
|
|||||||
| 3,854,015 | ||||||||
|
|
|
|||||||
| AUSTRALIA — 0.2% |
| |||||||
| Commonwealth Bank of Australia |
2,895,000 | 2,920,221 | ||||||
| Westpac Banking Corp.: |
||||||||
| 2.00%, 8/19/2021 |
715,000 | 703,060 | ||||||
| 2.50%, 6/28/2022 |
325,000 | 323,732 | ||||||
| 2.60%, 11/23/2020 |
2,630,000 | 2,656,458 | ||||||
|
|
|
|||||||
| 6,603,471 | ||||||||
|
|
|
|||||||
| BELGIUM — 0.1% |
||||||||
| Anheuser-Busch InBev Finance, Inc. |
3,305,000 | 3,345,883 | ||||||
|
|
|
|||||||
| BERMUDA — 0.0% (d) |
| |||||||
| Aircastle, Ltd. |
465,000 | 497,550 | ||||||
|
|
|
|||||||
| BRAZIL — 0.4% |
| |||||||
| CIMPOR Financial Operations B.V. |
700,000 | 592,935 | ||||||
| Cosan Overseas, Ltd. |
4,314,000 | 4,316,588 | ||||||
| JBS USA LUX SA/JBS USA Finance, Inc. 7.25%, 6/1/2021 (a) |
1,119,000 | 1,118,441 | ||||||
| MARB BondCo PLC |
600,000 | 579,750 | ||||||
| Marfrig Holdings Europe B.V. |
1,000,000 | 1,015,200 | ||||||
| Petrobras Global Finance B.V.: |
||||||||
| 7.25%, 3/17/2044 |
5,000,000 | 4,916,250 | ||||||
| 7.38%, 1/17/2027 |
1,000,000 | 1,058,000 | ||||||
|
|
|
|||||||
| 13,597,164 | ||||||||
|
|
|
|||||||
| CANADA — 0.3% |
||||||||
| 1011778 BC ULC/New Red Finance, Inc. 4.25%, 5/15/2024 (a) |
1,330,000 | 1,319,892 | ||||||
| Bank of Montreal |
1,730,000 | 1,697,597 | ||||||
| Canadian Natural Resources, Ltd. |
3,325,000 | 3,296,904 | ||||||
| Fortis, Inc. |
1,605,000 | 1,571,539 | ||||||
| Open Text Corp. |
777,000 | 833,332 | ||||||
| Royal Bank of Canada |
3,200,000 | 3,213,856 | ||||||
|
|
|
|||||||
| 11,933,120 | ||||||||
|
|
|
|||||||
| CHILE — 0.5% |
||||||||
| AES Gener SA |
300,000 | 307,787 | ||||||
| Cencosud SA |
900,000 | 964,415 | ||||||
| Colbun SA |
1,000,000 | 1,080,983 | ||||||
See accompanying notes to financial statements.
36
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Corp. Group Banking SA |
$ | 2,750,000 | $ | 2,745,820 | ||||
| Empresa Electrica Guacolda SA |
1,400,000 | 1,346,356 | ||||||
| Empresa Nacional de Telecomunicaciones SA: |
||||||||
| 4.75%, 8/1/2026 |
2,400,000 | 2,471,009 | ||||||
| Series REGS, 4.88%, 10/30/2024 |
500,000 | 520,438 | ||||||
| Engie Energia Chile SA |
1,100,000 | 1,147,840 | ||||||
| Guanay Finance, Ltd. |
1,462,977 | 1,498,820 | ||||||
| Inversiones CMPC SA: |
||||||||
| 4.38%, 4/4/2027 (a) |
3,100,000 | 3,150,473 | ||||||
| Series REGS, 4.50%, 4/25/2022 |
1,580,000 | 1,650,448 | ||||||
| Transelec SA |
1,000,000 | 987,500 | ||||||
|
|
|
|||||||
| 17,871,889 | ||||||||
|
|
|
|||||||
| CHINA — 0.6% |
||||||||
| CNOOC Finance 2011, Ltd. |
500,000 | 525,849 | ||||||
| CNOOC Finance 2012, Ltd. |
600,000 | 623,221 | ||||||
| CNOOC Finance 2015 USA LLC |
5,700,000 | 5,692,761 | ||||||
| CNPC General Capital, Ltd. |
3,000,000 | 3,057,392 | ||||||
| CNPC HK Overseas Capital, Ltd. |
2,500,000 | 2,659,543 | ||||||
| Sinopec Group Overseas Development 2016, Ltd.: |
||||||||
| Series REGS, 2.75%, 5/3/2021 |
2,000,000 | 2,003,904 | ||||||
| Series REGS, 2.75%, 9/29/2026 |
4,300,000 | 4,020,788 | ||||||
| Sinopec Group Overseas Development 2017, Ltd. |
700,000 | 701,644 | ||||||
|
|
|
|||||||
| 19,285,102 | ||||||||
|
|
|
|||||||
| COLOMBIA — 0.2% |
||||||||
| Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings, Ltd. |
1,500,000 | 1,500,000 | ||||||
| Banco de Bogota SA |
3,000,000 | 3,195,360 | ||||||
| Grupo Aval, Ltd. |
1,500,000 | 1,526,250 | ||||||
|
|
|
|||||||
| 6,221,610 | ||||||||
|
|
|
|||||||
| COSTA RICA — 0.1% |
||||||||
| Banco Nacional de Costa Rica |
4,090,000 | 4,279,367 | ||||||
|
|
|
|||||||
| DOMINICAN REPUBLIC — 0.2% |
||||||||
| AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It |
2,200,000 | 2,380,906 | ||||||
| Banco de Reservas de la Republica Dominicana |
4,100,000 | 4,282,819 | ||||||
|
|
|
|||||||
| 6,663,725 | ||||||||
|
|
|
|||||||
| FINLAND — 0.1% |
||||||||
| Nokia Oyj |
1,720,000 | 1,733,072 | ||||||
|
|
|
|||||||
| GUATEMALA — 0.1% |
||||||||
| Industrial Senior Trust |
1,900,000 | 1,942,750 | ||||||
|
|
|
|||||||
| HONG KONG — 0.2% |
||||||||
| CK Hutchison International 17, Ltd. |
4,500,000 | 4,520,124 | ||||||
| Hutchison Whampoa International 12 II, Ltd. 3.25%, 11/8/2022 |
2,100,000 | 2,144,737 | ||||||
|
|
|
|||||||
| 6,664,861 | ||||||||
|
|
|
|||||||
| INDIA — 0.7% |
||||||||
| Bharat Petroleum Corp., Ltd. |
1,100,000 | 1,175,988 | ||||||
| Bharti Airtel, Ltd. |
4,000,000 | 3,999,948 | ||||||
| BPRL International Singapore Pte, Ltd. |
3,900,000 | 4,037,136 | ||||||
| Indian Oil Corp., Ltd.: |
||||||||
| 5.63%, 8/2/2021 |
1,500,000 | 1,649,033 | ||||||
| 5.75%, 8/1/2023 |
600,000 | 675,146 | ||||||
| ONGC Videsh Vankorneft Pte, Ltd. |
6,500,000 | 6,424,047 | ||||||
| Reliance Holding USA, Inc.: |
||||||||
| Series REGS, 4.50%, 10/19/2020 |
1,650,000 | 1,738,688 | ||||||
| Series REGS, 5.40%, 2/14/2022 |
4,050,000 | 4,436,265 | ||||||
|
|
|
|||||||
| 24,136,251 | ||||||||
|
|
|
|||||||
| INDONESIA — 0.1% |
||||||||
| Pertamina Persero PT |
1,700,000 | 1,759,469 | ||||||
|
|
|
|||||||
| ISRAEL — 0.2% |
||||||||
| Delek & Avner Tamar Bond, Ltd.: |
||||||||
| 4.44%, 12/30/2020 (a) |
2,000,000 | 2,048,000 | ||||||
| 5.41%, 12/30/2025 (a) |
1,500,000 | 1,552,500 | ||||||
| Israel Electric Corp., Ltd. |
2,500,000 | 2,686,250 | ||||||
|
|
|
|||||||
| 6,286,750 | ||||||||
|
|
|
|||||||
| JAMAICA — 0.1% |
||||||||
| Digicel Group, Ltd.: |
||||||||
| Series REGS, 7.13%, 4/1/2022 |
3,300,000 | 2,891,790 | ||||||
| Series REGS, 8.25%, 9/30/2020 |
1,000,000 | 934,900 | ||||||
|
|
|
|||||||
| 3,826,690 | ||||||||
|
|
|
|||||||
| JAPAN — 0.1% |
||||||||
| Sumitomo Mitsui Financial Group, Inc. 2.85%, 1/11/2022 |
2,785,000 | 2,814,716 | ||||||
|
|
|
|||||||
| MALAYSIA — 0.4% |
||||||||
| Axiata SPV2 Bhd |
1,700,000 | 1,738,536 | ||||||
See accompanying notes to financial statements.
37
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Gohl Capital, Ltd. |
$ | 5,000,000 | $ | 5,180,880 | ||||
| Petronas Capital, Ltd. |
5,300,000 | 5,488,309 | ||||||
|
|
|
|||||||
| 12,407,725 | ||||||||
|
|
|
|||||||
| MEXICO — 0.8% |
||||||||
| Banco Inbursa SA Institucion de Banca Multiple |
5,500,000 | 5,501,100 | ||||||
| Banco Mercantil del Norte SA |
3,600,000 | 3,592,800 | ||||||
| Banco Santander Mexico SA |
2,000,000 | 2,082,500 | ||||||
| BBVA Bancomer SA |
980,000 | 992,250 | ||||||
| Comision Federal de Electricidad: |
||||||||
| Series REGS, 4.75%, 2/23/2027 |
1,700,000 | 1,748,875 | ||||||
| Series REGS, 6.13%, 6/16/2045 |
1,700,000 | 1,812,625 | ||||||
| Credito Real SAB de CV SOFOM ER 7.25%, 7/20/2023 (a) |
2,400,000 | 2,520,000 | ||||||
| Grupo Idesa SA de CV |
2,000,000 | 1,810,000 | ||||||
| Grupo Televisa SAB: |
||||||||
| 4.63%, 1/30/2026 |
525,000 | 553,303 | ||||||
| 6.13%, 1/31/2046 |
2,200,000 | 2,463,494 | ||||||
| Sigma Alimentos SA de CV |
1,000,000 | 1,016,000 | ||||||
| Sixsigma Networks Mexico SA de CV |
600,000 | 600,360 | ||||||
| TV Azteca SAB de CV: |
||||||||
| 7.50%, 5/25/2018 |
600,000 | 597,000 | ||||||
| 7.63%, 9/18/2020 |
600,000 | 605,400 | ||||||
|
|
|
|||||||
| 25,895,707 | ||||||||
|
|
|
|||||||
| NETHERLANDS — 0.1% |
||||||||
| Ajecorp B.V. |
150,000 | 129,750 | ||||||
| Shell International Finance B.V. |
3,340,000 | 3,319,559 | ||||||
|
|
|
|||||||
| 3,449,309 | ||||||||
|
|
|
|||||||
| NEW ZEALAND — 0.0% (d) |
||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg)
SA |
1,605,000 | 1,665,187 | ||||||
|
|
|
|||||||
| PANAMA — 0.0% (d) |
||||||||
| Autoridad del Canal de Panama |
200,000 | 218,000 | ||||||
|
|
|
|||||||
| PERU — 0.1% |
||||||||
| Banco Internacional del Peru SAA |
500,000 | 548,125 | ||||||
| Transportadora de Gas del Peru SA |
3,700,000 | 3,838,750 | ||||||
|
|
|
|||||||
| 4,386,875 | ||||||||
|
|
|
|||||||
| QATAR — 0.1% |
||||||||
| Ooredoo International Finance, Ltd. |
4,400,000 | 4,346,707 | ||||||
|
|
|
|||||||
| SINGAPORE — 0.2% |
||||||||
| DBS Group Holdings, Ltd. |
1,300,000 | 1,297,622 | ||||||
| Oversea-Chinese Banking Corp., Ltd. |
200,000 | 205,185 | ||||||
| Temasek Financial I, Ltd. |
3,500,000 | 3,457,379 | ||||||
| United Overseas Bank, Ltd. |
2,500,000 | 2,547,630 | ||||||
|
|
|
|||||||
| 7,507,816 | ||||||||
|
|
|
|||||||
| TRINIDAD AND TOBAGO — 0.1% |
| |||||||
| National Gas Co. of Trinidad & Tobango, Ltd. |
3,400,000 | 3,493,500 | ||||||
|
|
|
|||||||
| UNITED KINGDOM — 0.2% |
||||||||
| AstraZeneca PLC |
1,685,000 | 1,683,399 | ||||||
| Royal Bank of Scotland Group PLC |
3,330,000 | 3,353,077 | ||||||
| Unilever Capital Corp. |
1,375,000 | 1,355,475 | ||||||
|
|
|
|||||||
| 6,391,951 | ||||||||
|
|
|
|||||||
| UNITED STATES — 6.3% |
||||||||
| AbbVie, Inc. |
1,650,000 | 1,687,406 | ||||||
| Acadia Healthcare Co., Inc. |
860,000 | 890,100 | ||||||
| AECOM |
1,280,000 | 1,288,000 | ||||||
| Allergan Funding SCS: |
||||||||
| 3.80%, 3/15/2025 |
675,000 | 698,247 | ||||||
| 3.85%, 6/15/2024 |
2,375,000 | 2,473,990 | ||||||
| Amazon.com, Inc.: |
||||||||
| 2.60%, 12/5/2019 |
1,825,000 | 1,858,835 | ||||||
| 3.80%, 12/5/2024 |
1,255,000 | 1,337,328 | ||||||
| American Axle & Manufacturing, Inc. |
1,260,000 | 1,299,375 | ||||||
| American Express Credit Corp.: |
||||||||
| Series MTN, 1.80%, 7/31/2018 |
3,335,000 | 3,334,633 | ||||||
| Series MTN, 2.70%, 3/3/2022 |
200,000 | 201,788 | ||||||
| Anthem, Inc. |
2,982,000 | 3,046,113 | ||||||
| Aramark Services, Inc. |
820,000 | 866,166 | ||||||
See accompanying notes to financial statements.
38
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| AT&T, Inc. |
$ | 1,550,000 | $ | 1,584,426 | ||||
| B&G Foods, Inc. |
870,000 | 886,356 | ||||||
| Bank of America Corp. |
3,328,000 | 3,333,092 | ||||||
| Becton Dickinson and Co. |
3,355,000 | 3,351,645 | ||||||
| Berry Plastics Corp. |
1,825,000 | 1,900,281 | ||||||
| Boston Properties L.P. |
3,235,000 | 3,279,417 | ||||||
| Broadcom Corp./Broadcom Cayman Finance, Ltd. |
2,420,000 | 2,481,661 | ||||||
| BWAY Holding Co. |
935,000 | 956,038 | ||||||
| Calpine Corp. |
950,000 | 895,375 | ||||||
| Cardinal Health, Inc. |
3,605,000 | 3,615,022 | ||||||
| Caterpillar, Inc. |
2,791,000 | 2,900,993 | ||||||
| CBS Corp. |
185,000 | 183,274 | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp.: |
||||||||
| 5.13%, 5/1/2023 (a) |
325,000 | 340,860 | ||||||
| 5.25%, 9/30/2022 |
1,720,000 | 1,769,536 | ||||||
| Centene Corp.: |
||||||||
| 4.75%, 5/15/2022 |
475,000 | 497,563 | ||||||
| 4.75%, 1/15/2025 |
1,275,000 | 1,315,641 | ||||||
| Cequel Communications Holdings I LLC/Cequel Capital Corp. |
1,225,000 | 1,251,031 | ||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital |
1,575,000 | 1,680,163 | ||||||
| CHS/Community Health Systems, Inc. |
1,215,000 | 1,255,824 | ||||||
| Cincinnati Bell, Inc. |
1,025,000 | 1,068,563 | ||||||
| Cisco Systems, Inc. |
1,730,000 | 1,658,759 | ||||||
| Citigroup, Inc. |
3,460,000 | 3,365,750 | ||||||
| Comcast Corp. |
3,128,000 | 3,396,977 | ||||||
| CommScope, Inc. |
1,350,000 | 1,385,438 | ||||||
| CSC Holdings LLC |
372,000 | 411,544 | ||||||
| CyrusOne L.P./CyrusOne Finance Corp. |
470,000 | 482,925 | ||||||
| Delta Air Lines, Inc. |
2,015,000 | 2,072,508 | ||||||
| Discover Financial Services |
1,680,000 | 1,687,207 | ||||||
| Dollar Tree, Inc. |
1,034,000 | 1,091,180 | ||||||
| Duke Energy Corp. |
3,195,000 | 3,036,975 | ||||||
| eBay, Inc. |
1,680,000 | 1,666,980 | ||||||
| Energy Transfer L.P.: |
||||||||
| 4.20%, 4/15/2027 |
280,000 | 279,462 | ||||||
| 4.75%, 1/15/2026 |
2,255,000 | 2,349,845 | ||||||
| Enterprise Products Operating LLC |
2,355,000 | 2,424,072 | ||||||
| Envision Healthcare Corp. |
675,000 | 720,563 | ||||||
| Equinix, Inc. |
1,840,000 | 1,915,992 | ||||||
| ESH Hospitality, Inc. |
2,010,000 | 2,077,837 | ||||||
| FedEx Corp. |
3,040,000 | 3,296,758 | ||||||
| First Data Corp. |
1,175,000 | 1,222,000 | ||||||
| Frontier Communications Corp. |
400,000 | 420,000 | ||||||
| General Motors Financial Co., Inc. |
3,265,000 | 3,309,763 | ||||||
| Georgia-Pacific LLC |
3,288,000 | 3,387,094 | ||||||
| Goldman Sachs Group, Inc.: |
||||||||
| 3 Month USD LIBOR + 1.05%, 2.91%, 6/5/2023 (c) |
2,475,000 | 2,476,559 | ||||||
| 3.00%, 4/26/2022 |
695,000 | 700,275 | ||||||
| Goodyear Tire & Rubber Co. |
1,265,000 | 1,325,088 | ||||||
| Gray Television, Inc. |
1,775,000 | 1,789,422 | ||||||
| HCA, Inc. |
1,935,000 | 2,009,981 | ||||||
| Hewlett Packard Enterprise Co. |
3,175,000 | 3,271,159 | ||||||
| Hilton Domestic Operating Co., Inc. |
1,650,000 | 1,672,687 | ||||||
| Home Depot, Inc. |
2,237,000 | 2,249,415 | ||||||
| Icahn Enterprises L.P./Icahn Enterprises Finance Corp. |
995,000 | 1,039,775 | ||||||
| International Paper Co. |
855,000 | 822,425 | ||||||
| John Deere Capital Corp. |
795,000 | 806,909 | ||||||
| JPMorgan Chase & Co. |
3,335,000 | 3,344,938 | ||||||
| Kinder Morgan, Inc. |
1,535,000 | 1,560,435 | ||||||
| Kraft Heinz Foods Co. |
3,230,000 | 3,275,446 | ||||||
See accompanying notes to financial statements.
39
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Laboratory Corp. of America Holdings |
$ | 3,271,000 | $ | 3,315,453 | ||||
| Level 3 Communications, Inc. |
1,301,000 | 1,349,788 | ||||||
| Levi Strauss & Co. |
1,240,000 | 1,294,312 | ||||||
| LifePoint Health, Inc. |
1,490,000 | 1,542,150 | ||||||
| Live Nation Entertainment, Inc. |
875,000 | 887,031 | ||||||
| MGM Growth Properties Operating Partnership L.P./MGP Finance
Co-Issuer, Inc. |
220,000 | 239,800 | ||||||
| Micron Technology, Inc. |
1,300,000 | 1,353,300 | ||||||
| Microsoft Corp. |
1,805,000 | 1,822,165 | ||||||
| Morgan Stanley |
3,360,000 | 3,358,454 | ||||||
| Mylan NV |
1,700,000 | 1,729,461 | ||||||
| National Rural Utilities Cooperative Finance Corp. |
1,947,000 | 1,948,674 | ||||||
| Nationstar Mortgage LLC/Nationstar Capital Corp. |
1,300,000 | 1,329,250 | ||||||
| Navient Corp. |
835,000 | 885,100 | ||||||
| NCL Corp., Ltd. |
1,650,000 | 1,697,437 | ||||||
| New York Life Global Funding: |
||||||||
| 2.30%, 6/10/2022 (a) |
860,000 | 855,407 | ||||||
| 2.90%, 1/17/2024 (a) |
985,000 | 994,398 | ||||||
| Nexstar Broadcasting, Inc. |
900,000 | 911,250 | ||||||
| NGL Energy Partners L.P./NGL Energy Finance Corp. |
1,265,000 | 1,163,800 | ||||||
| Novelis Corp. |
795,000 | 818,850 | ||||||
| NRG Energy, Inc. |
825,000 | 843,563 | ||||||
| NUVEEN FINANCE LLC |
3,220,000 | 3,331,402 | ||||||
| Outfront Media Capital LLC/Outfront Media Capital Corp. |
760,000 | 786,600 | ||||||
| Peabody Energy Corp. |
850,000 | 847,344 | ||||||
| Penske Truck Leasing Co. L.P./PTL Finance Corp. |
675,000 | 697,311 | ||||||
| Pilgrim’s Pride Corp. |
815,000 | 817,038 | ||||||
| Prime Security Services Borrower LLC/Prime Finance, Inc. |
1,140,000 | 1,238,838 | ||||||
| Prudential Financial, Inc. |
2,750,000 | 2,861,375 | ||||||
| Quintiles IMS, Inc. |
1,805,000 | 1,852,381 | ||||||
| Reynolds American, Inc. |
3,015,000 | 3,198,704 | ||||||
| Rite Aid Corp. |
1,320,000 | 1,298,616 | ||||||
| Sabre GLBL, Inc. |
1,670,000 | 1,732,625 | ||||||
| Sally Holdings LLC/Sally Capital, Inc. |
1,834,000 | 1,886,819 | ||||||
| Scientific Games International, Inc. |
1,160,000 | 1,235,400 | ||||||
| Select Medical Corp. |
1,255,000 | 1,294,219 | ||||||
| ServiceMaster Co. LLC |
1,750,000 | 1,813,437 | ||||||
| Simon Property Group L.P. |
3,305,000 | 3,311,742 | ||||||
| Sirius XM Radio, Inc.: |
||||||||
| 3.88%, 8/1/2022 (a) (e) |
530,000 | 534,134 | ||||||
| 5.38%, 7/15/2026 (a) |
1,325,000 | 1,376,344 | ||||||
| Six Flags Entertainment Corp. |
2,115,000 | 2,125,363 | ||||||
| Smithfield Foods, Inc. |
1,620,000 | 1,657,325 | ||||||
| Southern Co.: |
||||||||
| 1.85%, 7/1/2019 |
635,000 | 632,282 | ||||||
| 2.45%, 9/1/2018 |
2,505,000 | 2,521,884 | ||||||
| Spectrum Brands, Inc. |
1,197,000 | 1,253,858 | ||||||
| Station Casinos LLC |
755,000 | 784,256 | ||||||
| Sysco Corp. |
1,685,000 | 1,665,201 | ||||||
| Tempur Sealy International, Inc. |
775,000 | 804,063 | ||||||
| Thermo Fisher Scientific, Inc. |
1,875,000 | 1,933,612 | ||||||
| Transocean Proteus, Ltd. |
788,500 | 804,270 | ||||||
| TreeHouse Foods, Inc. |
375,000 | 400,313 | ||||||
| Tribune Media Co. |
695,000 | 728,742 | ||||||
| Universal Health Services, Inc. |
1,375,000 | 1,421,406 | ||||||
| Valeant Pharmaceuticals International, Inc. 6.50%, 3/15/2022 (a) |
1,260,000 | 1,319,850 | ||||||
| Valero Energy Corp. |
1,025,000 | 1,264,850 | ||||||
| Verizon Communications, Inc. |
1,510,000 | 1,524,103 | ||||||
| Waste Management, Inc. |
2,347,000 | 2,375,164 | ||||||
| WellCare Health Plans, Inc. |
1,235,000 | 1,296,750 | ||||||
See accompanying notes to financial statements.
40
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Wells Fargo & Co.: |
||||||||
| 3.07%, 1/24/2023 |
$ | 1,650,000 | $ | 1,670,361 | ||||
| Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) |
1,675,000 | 1,695,033 | ||||||
| Williams Partners L.P. |
1,650,000 | 1,638,549 | ||||||
| Williams Partners L.P./ACMP Finance Corp. 4.88%, 3/15/2024 |
1,225,000 | 1,279,917 | ||||||
|
|
|
|||||||
| 210,784,009 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE BONDS & NOTES |
423,864,241 | |||||||
|
|
|
|||||||
| FOREIGN GOVERNMENT OBLIGATIONS — 3.0% |
| |||||||
| ARGENTINA — 0.3% |
||||||||
| Argentine Republic Government International Bond |
6,400,000 | 6,630,400 | ||||||
| Provincia de Buenos Aires |
2,800,000 | 2,898,840 | ||||||
|
|
|
|||||||
| 9,529,240 | ||||||||
|
|
|
|||||||
| BRAZIL — 0.2% |
||||||||
| Brazilian Government International Bond 5.63%, 1/7/2041 |
5,500,000 | 5,293,750 | ||||||
|
|
|
|||||||
| CHILE — 0.3% |
||||||||
| Chile Government International Bond: |
||||||||
| 3.13%, 3/27/2025 |
200,000 | 204,372 | ||||||
| 3.13%, 1/21/2026 |
7,300,000 | 7,445,197 | ||||||
| 3.86%, 6/21/2047 |
1,000,000 | 1,005,530 | ||||||
|
|
|
|||||||
| 8,655,099 | ||||||||
|
|
|
|||||||
| COSTA RICA — 0.1% |
||||||||
| Costa Rica Government International Bond |
2,905,000 | 3,391,588 | ||||||
|
|
|
|||||||
| DOMINICAN REPUBLIC — 0.3% |
||||||||
| Dominican Republic International Bond: |
||||||||
| 5.95%, 1/25/2027 (a) |
6,500,000 | 6,792,500 | ||||||
| Series REGS, 5.50%, 1/27/2025 |
1,000,000 | 1,032,500 | ||||||
| Series REGS, 6.85%, 1/27/2045 |
2,400,000 | 2,556,000 | ||||||
|
|
|
|||||||
| 10,381,000 | ||||||||
|
|
|
|||||||
| GUATEMALA — 0.1% |
||||||||
| Guatemala Government Bond: |
||||||||
| Series REGS, 4.50%, 5/3/2026 |
3,300,000 | 3,334,947 | ||||||
| Series REGS, 4.88%, 2/13/2028 |
1,000,000 | 1,027,500 | ||||||
|
|
|
|||||||
| 4,362,447 | ||||||||
|
|
|
|||||||
| INDIA — 0.0% (d) |
||||||||
| Export-Import Bank of India |
1,300,000 | 1,351,653 | ||||||
|
|
|
|||||||
| INDONESIA — 0.3% |
||||||||
| Indonesia Government International Bond 4.35%, 1/8/2027 (a) |
500,000 | 521,410 | ||||||
| Perusahaan Penerbit SBSN Indonesia III |
8,000,000 | 8,120,000 | ||||||
|
|
|
|||||||
| 8,641,410 | ||||||||
|
|
|
|||||||
| ISRAEL — 0.1% |
||||||||
| Israel Government International Bond |
3,000,000 | 2,983,620 | ||||||
|
|
|
|||||||
| MALAYSIA — 0.1% |
||||||||
| Malaysia Sovereign Sukuk Bhd |
1,700,000 | 1,697,280 | ||||||
|
|
|
|||||||
| MEXICO — 0.4% |
||||||||
| Mexico Government International Bond: |
||||||||
| 4.13%, 1/21/2026 |
5,200,000 | 5,408,052 | ||||||
| 4.15%, 3/28/2027 |
4,100,000 | 4,246,206 | ||||||
| Series MTN, 4.75%, 3/8/2044 |
3,000,000 | 3,003,570 | ||||||
|
|
|
|||||||
| 12,657,828 | ||||||||
|
|
|
|||||||
| PANAMA — 0.3% |
||||||||
| Panama Government International Bond: |
||||||||
| 3.88%, 3/17/2028 |
5,000,000 | 5,125,550 | ||||||
| 4.30%, 4/29/2053 |
3,500,000 | 3,434,795 | ||||||
| 4.50%, 5/15/2047 |
2,500,000 | 2,535,975 | ||||||
|
|
|
|||||||
| 11,096,320 | ||||||||
|
|
|
|||||||
| PERU — 0.0% (d) |
||||||||
| Fondo MIVIVIENDA SA |
800,000 | 809,600 | ||||||
|
|
|
|||||||
| PHILIPPINES — 0.2% |
||||||||
| Philippine Government International Bond: |
||||||||
| 3.70%, 2/2/2042 |
3,000,000 | 3,028,800 | ||||||
| 4.20%, 1/21/2024 |
4,900,000 | 5,358,640 | ||||||
|
|
|
|||||||
| 8,387,440 | ||||||||
|
|
|
|||||||
| POLAND — 0.0% (d) |
||||||||
| Poland Government International Bond 5.13%, 4/21/2021 |
1,100,000 | 1,210,594 | ||||||
|
|
|
|||||||
| QATAR — 0.1% |
||||||||
| Qatar Government International Bond |
3,000,000 | 2,926,152 | ||||||
|
|
|
|||||||
| SOUTH KOREA — 0.2% |
||||||||
| Korea Development Bank: |
||||||||
| 2.00%, 9/12/2026 |
800,000 | 730,528 | ||||||
| 3.00%, 1/13/2026 |
200,000 | 198,656 | ||||||
| Korea International Bond |
6,500,000 | 6,381,115 | ||||||
|
|
|
|||||||
| 7,310,299 | ||||||||
|
|
|
|||||||
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
100,685,320 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
41
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| SENIOR FLOATING RATE LOANS — 6.2% (f) |
| |||||||
| AUTO COMPONENTS — 0.1% |
||||||||
| CH Hold Corp.: |
||||||||
| Senior Secured 1st Lien Term Loan, 4.23%, 2/1/2024 |
$ | 136,023 | $ | 136,732 | ||||
| Federal-Mogul Holdings Corp. |
3,230,084 | 3,243,537 | ||||||
|
|
|
|||||||
| 3,380,269 | ||||||||
|
|
|
|||||||
| AUTOMOBILES — 0.0% (d) |
||||||||
| American Axle & Manufacturing, Inc. |
1,306,800 | 1,295,757 | ||||||
|
|
|
|||||||
| BUILDING PRODUCTS — 0.0% (d) |
| |||||||
| Jeld-Wen, Inc. |
1,113,939 | 1,124,383 | ||||||
|
|
|
|||||||
| CHEMICALS — 0.3% |
||||||||
| Alpha 3 B.V. |
250,000 | 250,899 | ||||||
| Avantor Performance Materials Holdings, Inc. |
4,004,963 | 4,018,319 | ||||||
| Kraton Polymers LLC |
3,888,433 | 3,930,855 | ||||||
|
|
|
|||||||
| 8,200,073 | ||||||||
|
|
|
|||||||
| COMMERCIAL SERVICES & SUPPLIES — 0.1% |
| |||||||
| Prime Security Services Borrower LLC |
3,985,013 | 3,990,631 | ||||||
|
|
|
|||||||
| COMMUNICATIONS EQUIPMENT — 0.0% (d) |
| |||||||
| Digicel International Finance, Ltd. |
180,000 | 181,435 | ||||||
|
|
|
|||||||
| COMPUTERS & PERIPHERALS — 0.1% |
| |||||||
| Tempo Acquisition LLC |
1,890,000 | 1,896,643 | ||||||
| Western Digital Corp. |
601,799 | 605,374 | ||||||
|
|
|
|||||||
| 2,502,017 | ||||||||
|
|
|
|||||||
| CONSTRUCTION & ENGINEERING — 0.1% |
| |||||||
| Brand Energy & Infrastructure Services, Inc. |
4,285,000 | 4,286,328 | ||||||
|
|
|
|||||||
| CONTAINERS & PACKAGING — 0.3% |
| |||||||
| Berry Plastics Holding Corp. |
3,604,984 | 3,612,753 | ||||||
| BWAY Holding Co. |
550,000 | 550,638 | ||||||
| Reynolds Group Holdings, Inc. |
4,074,121 | 4,083,858 | ||||||
|
|
|
|||||||
| 8,247,249 | ||||||||
|
|
|
|||||||
| DISTRIBUTORS — 0.0% (d) |
||||||||
| American Tire Distributors Holdings, Inc. |
466,901 | 469,966 | ||||||
|
|
|
|||||||
| DIVERSIFIED FINANCIAL SERVICES — 0.1% |
| |||||||
| AlixPartners LLP |
2,004,975 | 2,016,253 | ||||||
|
|
|
|||||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2% |
| |||||||
| CenturyLink, Inc. |
3,440,000 | 3,405,841 | ||||||
| Telesat Canada |
3,981,343 | 4,009,790 | ||||||
|
|
|
|||||||
| 7,415,631 | ||||||||
|
|
|
|||||||
| ELECTRIC UTILITIES — 0.1% |
||||||||
| EFS Cogen Holdings I LLC |
3,941,279 | 3,963,803 | ||||||
|
|
|
|||||||
| ELECTRICAL EQUIPMENT — 0.1% |
| |||||||
| Gates Global LLC |
2,150,000 | 2,152,569 | ||||||
|
|
|
|||||||
| ENERGY EQUIPMENT & SERVICES — 0.0% (d) |
| |||||||
| Fairmount Minerals, Ltd. |
701,437 | 664,085 | ||||||
|
|
|
|||||||
| FOOD & STAPLES RETAILING — 0.2% |
| |||||||
| Albertsons LLC |
3,636,548 | 3,596,327 | ||||||
| BJ’s Wholesale Club, Inc. |
3,230,000 | 3,138,478 | ||||||
|
|
|
|||||||
| 6,734,805 | ||||||||
|
|
|
|||||||
| FOOD PRODUCTS — 0.1% |
||||||||
| Candy Intermediate Holdings, Inc. |
1,456,526 | 1,401,003 | ||||||
| CSM Bakery Solutions LLC |
1,490,895 | 1,421,009 | ||||||
|
|
|
|||||||
| 2,822,012 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
42
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% |
| |||||||
| Air Methods Corp. |
$ | 2,630,701 | $ | 2,606,591 | ||||
|
|
|
|||||||
| HEALTH CARE PROVIDERS & SERVICES — 0.7% |
| |||||||
| Change Healthcare Holdings, Inc. |
4,084,763 | 4,090,420 | ||||||
| CHG Healthcare Services, Inc. |
1,955,051 | 1,976,233 | ||||||
| Community Health Systems, Inc. |
3,441,448 | 3,440,123 | ||||||
| Envision Healthcare Corp. |
4,051,451 | 4,076,772 | ||||||
| HCA, Inc. |
497,503 | 500,573 | ||||||
| Select Medical Corp. |
3,381,525 | 3,413,261 | ||||||
| Surgery Center Holdings, Inc. |
1,225,000 | 1,231,131 | ||||||
| Team Health Holdings, Inc. |
3,975,038 | 3,948,345 | ||||||
| U.S. Renal Care, Inc. |
8,927 | 8,656 | ||||||
|
|
|
|||||||
| 22,685,514 | ||||||||
|
|
|
|||||||
| HOTELS, RESTAURANTS & LEISURE — 0.5% |
| |||||||
| 1011778 BC ULC |
3,826,510 | 3,820,541 | ||||||
| CityCenter Holdings LLC |
2,211,841 | 2,217,824 | ||||||
| Eldorado Resorts LLC |
2,134,650 | 2,119,974 | ||||||
| LTF Merger Sub, Inc. |
4,086,628 | 4,097,274 | ||||||
| MGM Growth Prop. Operating Partnership L.P. |
3,929,296 | 3,940,848 | ||||||
| Mohegan Tribal Gaming Authority |
542,275 | 548,969 | ||||||
| Scientific Games International, Inc. |
533,854 | 539,750 | ||||||
| Travel Leaders Group LLC |
588,525 | 591,836 | ||||||
|
|
|
|||||||
| 17,877,016 | ||||||||
|
|
|
|||||||
| HOUSEHOLD PRODUCTS — 0.0% (d) |
| |||||||
| KIK Custom Products, Inc. |
1,040,682 | 1,052,171 | ||||||
|
|
|
|||||||
| INSURANCE — 0.1% |
||||||||
| Acrisure LLC |
1,880,288 | 1,901,826 | ||||||
| Lonestar Intermediate Super Holdings LLC |
800,000 | 826,252 | ||||||
| York Risk Services Holding Corp. |
1,012,352 | 992,612 | ||||||
|
|
|
|||||||
| 3,720,690 | ||||||||
|
|
|
|||||||
| INTERNET SOFTWARE & SERVICES — 0.0% (d) |
| |||||||
| Sabre GLBL, Inc. |
343,275 | 345,940 | ||||||
|
|
|
|||||||
| IT SERVICES — 0.2% |
||||||||
| First Data Corp. |
2,009,541 | 2,011,691 | ||||||
| Optiv Security, Inc. |
1,634,132 | 1,607,578 | ||||||
| TKC Holdings, Inc. |
4,119,675 | 4,118,398 | ||||||
|
|
|
|||||||
| 7,737,667 | ||||||||
|
|
|
|||||||
| LIFE SCIENCES TOOLS & SERVICES — 0.1% |
| |||||||
| Jaguar Holding Co. II |
3,929,395 | 3,935,721 | ||||||
|
|
|
|||||||
| MACHINERY — 0.0% (d) |
||||||||
| Clark Equipment Co. |
179,550 | 180,313 | ||||||
| Milacron LLC |
348,250 | 349,448 | ||||||
|
|
|
|||||||
| 529,761 | ||||||||
|
|
|
|||||||
| MEDIA — 0.5% |
||||||||
| CSC Holdings LLC |
3,951,772 | 3,929,543 | ||||||
| Mission Broadcasting, Inc. |
135,825 | 136,287 | ||||||
See accompanying notes to financial statements.
43
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Nexstar Broadcasting, Inc. |
$ | 1,410,811 | $ | 1,415,601 | ||||
| Rentpath, Inc. |
864,485 | 863,768 | ||||||
| Tribune Media Co.: |
||||||||
| Senior Secured Term Loan, 4.23%, 12/27/2020 |
88,561 | 89,005 | ||||||
| Senior Secured Term Loan C, 4.23%, 1/27/2024 |
4,046,429 | 4,066,155 | ||||||
| WideOpenWest Finance LLC |
2,410,000 | 2,410,831 | ||||||
| WMG Acquisition Corp. |
3,950,000 | 3,955,550 | ||||||
|
|
|
|||||||
| 16,866,740 | ||||||||
|
|
|
|||||||
| OIL, GAS & CONSUMABLE FUELS — 0.1% |
| |||||||
| Peabody Energy Corp. |
4,004,963 | 4,004,462 | ||||||
|
|
|
|||||||
| PERSONAL PRODUCTS — 0.1% |
||||||||
| NBTY, Inc. |
3,998,713 | 4,008,010 | ||||||
| Revlon Consumer Products Corp. |
525,347 | 491,594 | ||||||
|
|
|
|||||||
| 4,499,604 | ||||||||
|
|
|
|||||||
| PHARMACEUTICALS — 0.2% |
||||||||
| Grifols Worldwide Operations USA, Inc. |
3,940,125 | 3,949,030 | ||||||
| Mallinckrodt International Finance S.A. |
937,650 | 936,478 | ||||||
|
|
|
|||||||
| 4,885,508 | ||||||||
|
|
|
|||||||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% |
| |||||||
| Capital Automotive L.P.: |
||||||||
| Senior Secured 2017 1st Lien Term Loan, 4.22%, 3/24/2024 |
2,580,000 | 2,602,898 | ||||||
| Senior Secured 2nd Lien Term Loan, 7.22%, 3/24/2025 |
415,000 | 422,781 | ||||||
|
|
|
|||||||
| 3,025,679 | ||||||||
|
|
|
|||||||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.1% |
| |||||||
| Lightstone Generation LLC: |
||||||||
| Senior Secured Term Loan B, 5.72%, 1/30/2024 |
3,871,348 | 3,780,720 | ||||||
| Senior Secured Term Loan C, 5.73%, 1/30/2024 |
239,434 | 233,829 | ||||||
|
|
|
|||||||
| 4,014,549 | ||||||||
|
|
|
|||||||
| SEMICONDUCTORS & SEMICONDUCTOR |
| |||||||
| Lumileds Holding B.V. |
2,750,000 | 2,792,969 | ||||||
|
|
|
|||||||
| SOFTWARE — 0.8% |
||||||||
| Almonde, Inc. |
3,940,000 | 3,945,142 | ||||||
| Cision US Inc. |
3,946,471 | 3,974,846 | ||||||
| Kronos, Inc. |
3,989,975 | 4,021,835 | ||||||
| MA FinanceCo. LLC |
104,472 | 104,786 | ||||||
| Mitchell International, Inc. |
280,000 | 282,975 | ||||||
| RP Crown Parent LLC |
825,850 | 832,415 | ||||||
| Seattle Spinco, Inc. |
705,528 | 707,644 | ||||||
| SkillSoft Corp. |
306,701 | 290,655 | ||||||
| SolarWinds Holdings, Inc. |
4,084,738 | 4,098,790 | ||||||
| Solera Holdings, Inc. |
4,042,446 | 4,060,900 | ||||||
| Sophia L.P. |
4,090,827 | 4,085,713 | ||||||
|
|
|
|||||||
| 26,405,701 | ||||||||
|
|
|
|||||||
| SPECIALTY RETAIL — 0.3% |
||||||||
| Jo-Ann Stores, Inc. |
950,225 | 947,650 | ||||||
| Leslies Poolmart, Inc. |
4,095,791 | 4,115,001 | ||||||
| Party City Holdings, Inc. |
3,892,742 | 3,902,474 | ||||||
|
|
|
|||||||
| 8,965,125 | ||||||||
|
|
|
|||||||
| TECHNOLOGY HARDWARE, STORAGE & |
| |||||||
| Dell, Inc. |
4,083,311 | 4,102,870 | ||||||
See accompanying notes to financial statements.
44
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Quest Software US Holdings, Inc. |
$ | 3,930,126 | $ | 3,996,938 | ||||
|
|
|
|||||||
| 8,099,808 | ||||||||
|
|
|
|||||||
| TRADING COMPANIES & DISTRIBUTORS — 0.1% |
| |||||||
| Avolon TLB Borrower 1 (Luxembourg) S.A.R.L. |
635,000 | 639,867 | ||||||
| Univar, Inc. |
4,075,264 | 4,084,494 | ||||||
|
|
|
|||||||
| 4,724,361 | ||||||||
|
|
|
|||||||
| TOTAL SENIOR FLOATING RATE LOANS |
208,222,843 | |||||||
|
|
|
|||||||
| COMMERCIAL MORTGAGE BACKED SECURITIES — 6.3% |
| |||||||
| A10 Securitization LLC: |
||||||||
| Series 2016-1, Class 2A3, CMO, 3.00%, 12/20/2030 (a) (c) |
3,300,981 | 3,305,364 | ||||||
| Series 2016-1, Class A1, 2.42%, 3/15/2035 (a) |
1,657,191 | 1,649,754 | ||||||
| Ajax Mortgage Loan Trust |
6,271,955 | 6,264,472 | ||||||
| Alternative Loan Trust: |
||||||||
| Series 2005-79CB, Class A4, 5.50%, 1/25/2036 |
9,979,719 | 8,426,597 | ||||||
| Series 2006-24CB, Class A9, 6.00%, 6/25/2036 |
5,150,408 | 4,344,529 | ||||||
| BAMLL Commercial Mortgage Securities Trust |
30,000,000 | 831,936 | ||||||
| Banc of America Alternative Loan Trust |
6,090,308 | 6,019,879 | ||||||
| Banc of America Commercial Mortgage Trust |
945,000 | 962,955 | ||||||
| Banc of America Funding Trust: |
||||||||
| Series 2006-8T2, Class A4, 5.83%, 10/25/2036 (b) |
5,505,221 | 5,207,104 | ||||||
| Series 2007-5, Class CA1, 6.00%, 7/25/2037 |
7,264,828 | 6,447,975 | ||||||
| BBCMS Trust |
1,750,000 | 1,769,301 | ||||||
| BXHTL Mortgage Trust |
1,500,000 | 1,501,882 | ||||||
| CD Mortgage Trust |
800,000 | 808,347 | ||||||
| CFCRE Commercial Mortgage Trust: |
||||||||
| Series 2016-C3, Class XA, IO, 1.24%, 1/10/2048 (c) |
24,877,053 | 1,802,372 | ||||||
| Series 2016-C4, Class XA, IO, 1.92%, 5/10/2058 (c) |
19,749,292 | 2,242,501 | ||||||
| CHL Mortgage PassThrough Trust: |
||||||||
| Series 2005-J2, Class 3A14, 5.50%, 8/25/2035 |
1,543,654 | 1,342,797 | ||||||
| Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 |
5,345,886 | 4,839,904 | ||||||
| Citigroup Commercial Mortgage Trust: |
||||||||
| Series 2007-C6, Class AMFX, 5.87%, 12/10/2049 (a) (c) |
750,000 | 750,501 | ||||||
| Series 2015-GC27, Class D, 4.58%, 2/10/2048 (a) (c) |
943,700 | 769,116 | ||||||
| Series 2015-GC31, Class C, 4.20%, 6/10/2048 (c) |
1,500,000 | 1,450,803 | ||||||
| Series 2015-GC33, Class C, 4.72%, 9/10/2058 (c) |
1,500,000 | 1,529,475 | ||||||
| Series 2015-GC35, Class C, 4.65%, 11/10/2048 (c) |
1,435,000 | 1,423,506 | ||||||
| Series 2016-GC36, Class XA, IO, 1.50%, 2/10/2049 (c) |
22,044,407 | 1,886,854 | ||||||
| Citigroup Mortgage Loan Trust |
3,444,342 | 3,002,817 | ||||||
| CitiMortgage Alternative Loan Trust: |
||||||||
| Series 2006-A7, Class 1A8, CMO, 5.75%, 12/25/2036 |
5,714,667 | 5,028,692 | ||||||
| Series 2007-A1, Class 1A7, 6.00%, 1/25/2037 |
10,024,793 | 9,232,512 | ||||||
| Colony Mortgage Capital, Ltd. |
295,107 | 295,638 | ||||||
| COMM Mortgage Trust: |
||||||||
| Series 2015-CR22, Class D, 4.26%, 3/10/2048 (a) (c) |
1,500,000 | 1,232,726 | ||||||
| Series 2015-CR22, Class XA, IO, 1.14%, 3/10/2048 (c) |
10,764,979 | 555,133 | ||||||
| Series 2015-CR23, Class D, 4.40%, 5/10/2048 (c) |
900,000 | 736,751 | ||||||
| Series 2015-CR26, Class B, 4.64%, 10/10/2048 (c) |
1,600,000 | 1,702,816 | ||||||
| Series 2015-CR26, Class XA, IO, 1.20%, 10/10/2048 (c) |
22,655,906 | 1,408,810 | ||||||
| Series 2015-DC1, Class D, 4.50%, 2/10/2048 (a) (c) |
750,000 | 589,552 | ||||||
| Series 2015-DC1, Class XA, IO, 1.31%, 2/10/2048 (c) |
9,114,679 | 539,157 | ||||||
| Series 2015-LC19, Class D, 2.87%, 2/10/2048 (a) |
1,200,000 | 966,412 | ||||||
| Series 2015-LC21, Class C, 4.46%, 7/10/2048 (c) |
968,000 | 923,683 | ||||||
| Series 2016-CR28, Class C, 4.80%, 2/10/2049 (c) |
2,235,000 | 2,289,601 | ||||||
| Series 2016-DC2, Class C, 4.80%, 2/10/2049 (c) |
1,329,000 | 1,305,809 | ||||||
See accompanying notes to financial statements.
45
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Series 2016-DC2, Class XA, IO, 1.22%, 2/10/2049 (c) |
$ | 19,827,653 | $ | 1,332,212 | ||||
| Commercial Mortgage Trust |
3,000,000 | 3,023,075 | ||||||
| Countrywide Commercial Mortgage Trust |
239,626 | 239,926 | ||||||
| Credit Suisse Commercial Mortgage Trust: |
||||||||
| Series 2007-C4, Class A1AM, 6.25%, 9/15/2039 (c) |
392,690 | 392,318 | ||||||
| Series 2007-C5, Class A4, 5.70%, 9/15/2040 (c) |
670,471 | 669,813 | ||||||
| CSAIL Commercial Mortgage Trust: |
||||||||
| Series 2015-C2, Class AS, 3.85%, 6/15/2057 (c) |
900,000 | 926,676 | ||||||
| Series 2015-C4, Class XA, IO, 1.09%, 11/15/2048 (c) |
36,233,654 | 2,058,941 | ||||||
| CSMC MortgageBacked Trust |
3,293,491 | 3,173,554 | ||||||
| GE Commercial Mortgage Corp. Trust |
2,109,000 | 2,127,504 | ||||||
| GS Mortgage Securities Corp. II |
15,156,936 | 1,020,241 | ||||||
| GS Mortgage Securities Trust: |
||||||||
| Series 2014-GC20, Class XA, IO, 1.17%, 4/10/2047 (c) |
48,819,760 | 2,565,503 | ||||||
| Series 2014-GC24, Class XA, IO, 0.98%, 9/10/2047 (c) |
32,117,207 | 1,392,185 | ||||||
| Series 2015-GC32, Class XA, IO, 1.02%, 7/10/2048 (c) |
26,385,147 | 1,310,577 | ||||||
| Series 2015-GC34, Class XA, IO, 1.52%, 10/10/2048 (c) |
17,317,518 | 1,452,154 | ||||||
| Series 2015-GS1, Class XA, IO, 0.98%, 11/10/2048 (c) |
26,981,100 | 1,472,798 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust: |
||||||||
| Series 2006-LDP9, Class AM, 5.37%, 5/15/2047 |
879,292 | 878,638 | ||||||
| Series 2007-C1, Class AM, 6.26%, 2/15/2051 (c) |
2,108,000 | 2,118,846 | ||||||
| Series 2007-CB20, Class AJ, 6.43%, 2/12/2051 (c) |
1,500,000 | 1,509,375 | ||||||
| Series 2007-LD11, Class AM, 6.10%, 6/15/2049 (c) |
1,617,137 | 1,655,528 | ||||||
| Series 2007-LD12, Class AM, 6.26%, 2/15/2051 (c) |
717,513 | 727,503 | ||||||
| Series 2008-C2, Class A4, 6.07%, 2/12/2051 |
1,630,929 | 1,636,647 | ||||||
| Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (c) |
1,775,000 | 1,840,884 | ||||||
| Series 2015-JP1, Class XA, IO, 1.30%, 1/15/2049 (c) |
23,092,395 | 1,303,667 | ||||||
| JPMBB Commercial Mortgage Securities Trust: |
||||||||
| Series 2014-C25, Class XA, IO, 1.14%, 11/15/2047 (c) |
6,399,389 | 321,357 | ||||||
| Series 2014-C26, Class C, 4.57%, 1/15/2048 (c) |
1,500,000 | 1,502,445 | ||||||
| Series 2015-C27, Class XA, IO, 1.50%, 2/15/2048 (c) |
7,815,646 | 522,792 | ||||||
| Series 2015-C28, Class XA, IO, 1.33%, 10/15/2048 (c) |
11,842,812 | 677,216 | ||||||
| Series 2015-C30, Class XA, IO, 0.84%, 7/15/2048 (c) |
30,665,743 | 1,067,459 | ||||||
| Series 2015-C32, Class C, 4.82%, 11/15/2048 (c) |
1,300,000 | 1,248,566 | ||||||
| Series 2015-C33, Class C, 4.77%, 12/15/2048 (c) |
1,739,000 | 1,792,787 | ||||||
| Series 2016-C1, Class C, 4.91%, 3/15/2049 (c) |
2,180,000 | 2,266,437 | ||||||
| JPMDB Commercial Mortgage Securities Trust |
22,007,995 | 2,150,480 | ||||||
| LBUBS Commercial Mortgage Trust |
1,615,000 | 1,633,828 | ||||||
| Merrill Lynch Mortgage Trust: |
||||||||
| Series 2006-C1, Class AJ, 5.75%, 5/12/2039 (c) |
270,232 | 269,997 | ||||||
| Series 2007-C1, Class AM, 6.02%, 6/12/2050 (c) |
2,180,000 | 2,188,175 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||
| Series 2013-C12, Class XA, IO, 1.06%, 10/15/2046 (c) |
18,855,954 | 582,651 | ||||||
| Series 2013-C7, Class XA, IO, 1.63%, 2/15/2046 (c) |
17,022,137 | 984,477 | ||||||
| Series 2015-C20, Class A4, 3.25%, 2/15/2048 |
355,000 | 359,150 | ||||||
| Series 2015-C20, Class C, 4.61%, 2/15/2048 (c) |
500,000 | 494,475 | ||||||
| Series 2015-C25, Class C, 4.68%, 10/15/2048 (c) |
1,700,000 | 1,745,866 | ||||||
| Series 2015-C27, Class C, 4.69%, 12/15/2047 (c) |
1,219,000 | 1,172,880 | ||||||
| Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (c) |
1,750,000 | 1,273,945 | ||||||
| Series 2016-C28, Class XA, IO, 1.44%, 1/15/2049 (c) |
24,159,983 | 1,945,847 | ||||||
| Morgan Stanley Capital I Trust: |
||||||||
| Series 2015-UBS8, Class XA, IO, 1.12%, 12/15/2048 (c) |
26,067,246 | 1,610,184 | ||||||
| Series 2015-XLF1, Class D, 1 Month USD LIBOR + 3.00%, 4.14%, 8/14/2031 (a) (c) |
750,000 | 750,706 | ||||||
| RALI Trust |
1,696,543 | 1,721,363 | ||||||
See accompanying notes to financial statements.
46
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Structured Adjustable Rate Mortgage Loan Trust |
$ | 1,700,956 | $ | 1,499,640 | ||||
| VSD LLC |
3,780,845 | 3,782,323 | ||||||
| Wachovia Bank Commercial Mortgage Trust: |
||||||||
| Series 2006-C28, Class AJ, 5.63%, 10/15/2048 (c) |
719,236 | 722,490 | ||||||
| Series 2007-C33, Class AJ, 6.17%, 2/15/2051 (c) |
4,866,000 | 4,952,834 | ||||||
| Series 2007-C33, Class AM, 6.17%, 2/15/2051 (c) |
1,550,000 | 1,548,537 | ||||||
| Series 2007-C34, Class A3, 5.68%, 5/15/2046 |
74,455 | 74,396 | ||||||
| Washington Mutual Mortgage PassThrough Certificates WMALT Trust: |
||||||||
| Series 2005-8, Class 2CB1, 5.50%, 10/25/2035 |
2,792,477 | 2,721,057 | ||||||
| Series 2006-5, Class 3A2, 6.00%, 7/25/2036 (b) |
3,423,813 | 1,560,774 | ||||||
| Waterfall Commercial Mortgage Trust |
10,862,587 | 10,875,233 | ||||||
| Wells Fargo Commercial Mortgage Trust: |
||||||||
| Series 2014-LC16, Class D, 3.94%, 8/15/2050 (a) |
920,000 | 743,584 | ||||||
| Series 2015-C26, Class D, 3.59%, 2/15/2048 (a) |
900,000 | 671,946 | ||||||
| Series 2015-C26, Class XA, IO, 1.44%, 2/15/2048 (c) |
8,993,330 | 652,751 | ||||||
| Series 2015-C27, Class C, 3.89%, 2/15/2048 |
750,000 | 695,836 | ||||||
| Series 2015-C28, Class C, 4.27%, 5/15/2048 (c) |
1,500,000 | 1,416,484 | ||||||
| Series 2015-LC20, Class XA, IO, 1.53%, 4/15/2050 (c) |
7,864,911 | 569,191 | ||||||
| Series 2015-NXS1, Class XA, IO, 1.32%, 5/15/2048 (c) |
9,819,795 | 611,435 | ||||||
| Series 2015-NXS2, Class XA, IO, 0.93%, 7/15/2058 (c) |
29,592,807 | 1,219,641 | ||||||
| Series 2015-NXS3, Class C, 4.64%, 9/15/2057 (c) |
1,600,000 | 1,535,330 | ||||||
| Series 2015-P2, Class A4, 3.81%, 12/15/2048 |
1,568,000 | 1,644,362 | ||||||
| Series 2015-P2, Class XA, IO, 1.17%, 12/15/2048 (c) |
22,040,792 | 1,324,334 | ||||||
| Series 2016-C32, Class C, 4.88%, 1/15/2059 (c) |
1,581,000 | 1,508,790 | ||||||
| Series 2016-C33, Class XA, IO, 1.97%, 3/15/2059 (c) |
15,486,363 | 1,679,730 | ||||||
| Wells Fargo Mortgage Backed Securities Trust |
8,736,595 | 8,383,658 | ||||||
| WFRBS Commercial Mortgage Trust: |
||||||||
| Series 2014-C19, Class XA, IO, 1.37%, 3/15/2047 (c) |
10,360,386 | 551,518 | ||||||
| Series 2014-C21, Class XA, IO, 1.30%, 8/15/2047 (c) |
19,373,932 | 1,087,602 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES |
210,533,157 | |||||||
|
|
|
|||||||
| MORTGAGE-BACKED SECURITIES — 3.4% |
| |||||||
| Alternative Loan Trust |
4,563,956 | 3,882,218 | ||||||
| BANK 2017-BNK4 |
30,778,951 | 3,154,504 | ||||||
| Bear Stearns Commercial Mortgage Securities Trust: |
||||||||
| Series 2007-PW17, Class A4, 5.69%, 6/11/2050 (c) |
613,939 | 616,280 | ||||||
| Series 2007-PW18, Class A4, 5.70%, 6/11/2050 |
2,060,764 | 2,070,714 | ||||||
| CD Mortgage Trust |
17,025,441 | 1,590,959 | ||||||
| CFCRE Commercial Mortgage Trust |
28,399,000 | 3,306,226 | ||||||
| Citigroup Commercial Mortgage Trust: |
||||||||
| Series 2007-C6, Class AM, 5.87%, 12/10/2049 (c) |
800,000 | 800,534 | ||||||
| Series 2008-C7, Class AM, 6.39%, 12/10/2049 (c) |
2,836,000 | 2,878,540 | ||||||
| Series 2010-RR2, Class JA4B, 6.07%, 2/19/2051 (a) (c) |
912,000 | 918,237 | ||||||
| Series 2016-P4, Class A4, 2.90%, 7/10/2049 |
2,023,000 | 1,984,179 | ||||||
| Series 2016-P6, Class A5, 3.72%, 12/10/2049 (c) |
2,558,000 | 2,669,478 | ||||||
| CLNS Trust |
3,338,000 | 3,348,386 | ||||||
| Cold Storage Trust: |
||||||||
| Series 2017-ICE3, Class A, 1 Month LIBOR + 1.000%, 2.16%, 4/15/2036 (a) (c) |
1,965,000 | 1,967,434 | ||||||
| Series 2017-ICE3, Class C, 1 Month LIBOR + 1.350%, 2.51%, 4/15/2036 (a) (c) |
2,397,000 | 2,401,462 | ||||||
| COMM Mortgage Trust |
33,413,194 | 1,892,988 | ||||||
| Commercial Mortgage Trust |
225,000 | 225,606 | ||||||
See accompanying notes to financial statements.
47
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Credit Suisse Commercial Mortgage Trust |
$ | 1,700,000 | $ | 1,718,963 | ||||
| GS Mortgage Securities Trust: |
||||||||
| Series 2013-GC14, Class A2, 3.00%, 8/10/2046 |
2,865,000 | 2,896,486 | ||||||
| Series 2016-GS3, Class XA, IO, 1.41%, 10/10/2049 (c) |
32,841,066 | 2,836,838 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust: |
||||||||
| Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (c) |
998,636 | 997,916 | ||||||
| Series 2016-ASH, Class B, 1 Month USD LIBOR + 2.15%, 3.14%, 10/15/2034 (a) (c) |
2,044,000 | 2,055,737 | ||||||
| Series 2016-ASH, Class C, 1 Month USD LIBOR + 2.75%, 3.74%, 10/15/2034 (a) (c) |
1,154,000 | 1,162,990 | ||||||
| Series 2016-JP2, Class XA, IO, 2.01%, 8/15/2049 (c) |
20,027,638 | 2,585,548 | ||||||
| Series 2016-WIKI, Class E, 4.14%, 10/5/2031 (a) (c) |
3,160,000 | 3,146,533 | ||||||
| Series 2016-WPT, Class E, 1 Month USD LIBOR + 5.00%, 6.16%, 10/15/2033 (a) (c) |
1,288,000 | 1,308,849 | ||||||
| LSTAR Commercial Mortgage Trust |
53,973,249 | 2,990,118 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||
| Series 2016-C30, Class XA, IO, 1.60%, 9/15/2049 (c) |
28,686,157 | 2,853,728 | ||||||
| Series 2016-C31, Class C, 4.47%, 11/15/2049 (c) |
3,358,000 | 3,339,632 | ||||||
| Series 2016-C32, Class A4, 3.72%, 12/15/2049 |
2,665,000 | 2,780,101 | ||||||
| Morgan Stanley Capital I Trust |
57,941,501 | 3,085,037 | ||||||
| PFP, Ltd.: |
||||||||
| Series 2017-3, Class A, 1 Month LIBOR + 1.05%, 2.22%, 1/14/2035 (a) (c) |
1,503,000 | 1,505,813 | ||||||
| Series 2017-3, Class AS, 1 Month LIBOR + 1.30%, 2.47%, 1/14/2035 (a) (c) |
1,253,000 | 1,255,225 | ||||||
| Series 2017-3, Class B, 1 Month LIBOR + 1.75%, 2.92%, 1/14/2035 (a) (c) |
720,000 | 723,143 | ||||||
| Series 2017-3, Class C, 1 Month LIBOR + 2.50%, 3.67%, 1/14/2035 (a) (c) |
752,000 | 756,222 | ||||||
| RAIT Trust |
516,993 | 519,164 | ||||||
| Rosslyn Portfolio Trust: |
||||||||
| Series 2017-ROSS, Class A, 1 Month LIBOR + 0.95%, 2.11%, 6/15/2033 (a) (c) |
1,686,000 | 1,685,966 | ||||||
| Series 2017-ROSS, Class B, 1 Month LIBOR + 1.25%, 2.41%, 6/15/2033 (a) (c) |
1,686,000 | 1,685,968 | ||||||
| Shellpoint Co-Originator Trust |
20,656,073 | 20,978,818 | ||||||
| UBS Commercial Mortgage Trust |
28,567,000 | 3,333,560 | ||||||
| Wachovia Bank Commercial Mortgage Trust: |
||||||||
| Series 2006-C26, Class AM, 6.28%, 6/15/2045 (c) |
1,932,000 | 1,946,677 | ||||||
| Series 2007-C30, Class AJ, 5.41%, 12/15/2043 (c) |
1,945,702 | 1,970,607 | ||||||
| Waldorf Astoria Boca Raton Trust: |
||||||||
| Series 2016-BOCA, Class B, 1 Month LIBOR + 2.05%, 3.21%, 6/15/2029 (a) (c) |
1,536,000 | 1,543,615 | ||||||
| Series 2016-BOCA, Class C, 1 Month LIBOR + 2.50%, 3.66%, 6/15/2029 (a) (c) |
1,300,000 | 1,308,056 | ||||||
| Wells Fargo Commercial Mortgage Trust: |
||||||||
| Series 2016-LC24, Class XA, IO, 1.89%, 10/15/2049 (c) |
16,619,234 | 1,886,363 | ||||||
| Series 2017-C38, Class XA, IO, 1.24%, 7/15/2050 (c) (e) |
39,232,092 | 3,190,236 | ||||||
| Series 2017-RC1, Class XA, IO, 1.74%, 1/15/2060 (c) |
25,695,446 | 2,753,198 | ||||||
|
|
|
|||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
114,508,852 | |||||||
|
|
|
|||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 46.3% |
| |||||||
| Federal Home Loan Mortgage Corp.: |
||||||||
| 3.00%, 11/1/2042 |
19,569,274 | 19,637,753 | ||||||
| 3.00%, 6/15/2044 |
11,672,156 | 11,688,905 | ||||||
| 3.00%, 1/1/2045 |
3,168,622 | 3,170,008 | ||||||
| 3.00%, 2/1/2045 |
2,217,705 | 2,218,675 | ||||||
| 3.00%, 3/1/2045 |
2,328,595 | 2,329,613 | ||||||
| 3.00%, 4/1/2045 |
47,543,997 | 47,517,249 | ||||||
| 3.00%, 5/1/2045 |
8,199,153 | 8,202,739 | ||||||
| 3.00%, 7/1/2045 |
4,207,599 | 4,209,440 | ||||||
| 3.00%, 8/1/2045 |
22,042,141 | 22,051,781 | ||||||
| 3.00%, 10/1/2045 |
14,525,475 | 14,531,827 | ||||||
| 3.00%, 12/1/2045 |
28,383,867 | 28,396,280 | ||||||
| 3.00%, 1/1/2046 |
19,035,938 | 19,044,263 | ||||||
| 3.00%, 9/1/2046 |
28,597,823 | 28,557,212 | ||||||
| 3.50%, 2/1/2045 |
4,423,696 | 4,547,424 | ||||||
| 3.50%, 4/1/2045 |
35,768,293 | 36,768,707 | ||||||
| 3.50%, 6/1/2045 |
15,862,235 | 16,305,891 | ||||||
| 3.50%, 10/1/2045 |
17,853,921 | 18,353,282 | ||||||
| 3.50%, 2/1/2046 |
19,443,797 | 19,988,016 | ||||||
| 3.50%, 5/1/2046 |
61,820,119 | 63,550,423 | ||||||
See accompanying notes to financial statements.
48
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| 4.50%, 6/1/2044 |
$ | 2,914,351 | $ | 3,122,491 | ||||
| IO, 6.00% — 1 Month USD LIBOR, 4.84%, 5/15/2041 (c) |
16,118,085 | 2,448,800 | ||||||
| Series 3822, Class ZG, 4.00%, 2/15/2041 |
3,529,602 | 3,767,424 | ||||||
| Series 3889, Class VZ, 4.00%, 7/15/2041 |
15,912,074 | 16,902,584 | ||||||
| Series 3935, Class SJ, IO, 6.65% —1 Month USD LIBOR, 5.49%, 5/15/2041 (c) |
3,731,400 | 439,143 | ||||||
| Series 4165, Class ZT, 3.00%, 2/15/2043 |
15,250,667 | 14,008,152 | ||||||
| Series 4215, Class KC, 2.25%, 3/15/2038 |
19,527,490 | 19,665,640 | ||||||
| Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 |
38,246,725 | 41,013,738 | ||||||
| Series 4434, Class LZ, 3.00%, 2/15/2045 |
3,217,243 | 3,019,606 | ||||||
| Series 4444, Class CZ, 3.00%, 2/15/2045 |
11,796,559 | 10,966,862 | ||||||
| Series 4447, Class A, 3.00%, 6/15/2041 |
2,386,378 | 2,438,043 | ||||||
| Series 4447, Class Z, 3.00%, 3/15/2045 |
3,893,612 | 3,699,347 | ||||||
| Series 4471, Class BA, 3.00%, 12/15/2041 |
7,821,956 | 7,901,315 | ||||||
| Series 4471, Class GA, 3.00%, 2/15/2044 |
11,659,052 | 11,826,341 | ||||||
| Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 |
11,247,230 | 12,129,805 | ||||||
| Series 4481, Class B, 3.00%, 12/15/2042 |
7,938,979 | 8,012,281 | ||||||
| Series 4483, Class CA, 3.00%, 6/15/2044 |
14,861,681 | 15,078,052 | ||||||
| Series 4491, Class B, 3.00%, 8/15/2040 |
15,580,525 | 15,757,595 | ||||||
| Series 4492, Class GZ, 3.50%, 7/15/2045 |
8,125,012 | 8,139,321 | ||||||
| Series 4499, Class AB, 3.00%, 6/15/2042 |
15,909,255 | 16,080,765 | ||||||
| Series 4504, Class CA, 3.00%, 4/15/2044 |
16,928,456 | 17,252,236 | ||||||
| Series 4511, Class QA, 3.00%, 1/15/2041 |
14,210,781 | 14,425,635 | ||||||
| Series 4511, Class QC, 3.00%, 12/15/2040 |
10,928,019 | 11,124,277 | ||||||
| Series 4543, Class HG, 2.70%, 4/15/2044 |
20,766,656 | 20,772,412 | ||||||
| Series 4582, Class HA, 3.00%, 9/15/2045 |
16,596,136 | 16,900,770 | ||||||
| Series 4629, Class KA, CMO, REMIC, 3.00%, 3/15/2045 |
48,301,551 | 48,938,078 | ||||||
| Series K053, Class A2, 3.00%, 12/25/2025 |
2,232,000 | 2,274,163 | ||||||
| Federal National Mortgage Association: |
||||||||
| 2.50%, 1/1/2032 |
48,401,514 | 48,679,416 | ||||||
| 2.50%, 3/1/2032 |
29,405,671 | 29,574,789 | ||||||
| 2.50%, 9/1/2046 |
5,783,043 | 5,526,090 | ||||||
| 3.00%, 6/1/2036 |
17,966,326 | 18,232,698 | ||||||
| 3.00%, 4/1/2040 |
17,379,499 | 17,398,392 | ||||||
| 3.00%, 10/1/2041 |
37,793,098 | 37,766,779 | ||||||
| 3.00%, 3/1/2043 |
6,668,268 | 6,677,940 | ||||||
| 3.00%, 1/1/2045 |
2,398,705 | 2,386,651 | ||||||
| 3.00%, 3/1/2045 |
3,209,364 | 3,212,852 | ||||||
| 3.00%, 4/1/2045 |
13,220,208 | 13,153,468 | ||||||
| 3.00%, 7/1/2045 |
42,025,234 | 42,085,996 | ||||||
| 3.50%, 9/1/2034 |
3,339,598 | 3,479,638 | ||||||
| 3.50%, 12/1/2034 |
3,009,807 | 3,136,018 | ||||||
| 3.50%, 2/1/2035 |
1,960,487 | 2,037,677 | ||||||
| 3.50%, 1/1/2045 |
15,343,018 | 15,792,173 | ||||||
| 3.50%, 2/1/2045 |
6,059,533 | 6,227,533 | ||||||
| 3.50%, 6/1/2045 |
16,005,242 | 16,448,987 | ||||||
| 4.50%, 3/1/2044 |
3,665,482 | 3,933,035 | ||||||
| 4.50%, 6/1/2044 |
2,038,431 | 2,187,221 | ||||||
| 4.50%, 7/1/2044 |
2,106,763 | 2,260,541 | ||||||
| 4.50%, 2/1/2045 |
2,530,882 | 2,715,618 | ||||||
| Series 2010-109, Class N, 3.00%, 10/25/2040 |
4,061,322 | 4,146,510 | ||||||
| Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% — 1 Month USD LIBOR, 4.78%, 6/25/2041 (c) |
11,441,202 | 1,658,012 | ||||||
| Series 2012-127, Class PA, 2.75%, 11/25/2042 |
5,008,508 | 4,973,951 | ||||||
| Series 2012-151, Class SB, 6.00% — 1 Month USD LIBOR, 4.42%, 1/25/2043 (c) |
1,253,284 | 1,071,753 | ||||||
| Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 |
15,929,334 | 15,434,413 | ||||||
| Series 2013-30, Class PS, 6.00% — 1 Month USD LIBOR, 4.42%, 4/25/2043 (c) |
1,718,187 | 1,496,568 | ||||||
| Series 2014-21, Class GZ, 3.00%, 4/25/2044 |
6,088,121 | 5,582,939 | ||||||
| Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 |
8,752,411 | 8,527,926 | ||||||
| Series 2015-42, Class CA, 3.00%, 3/25/2044 |
9,192,798 | 9,321,255 | ||||||
| Series 2015-9, Class HA, 3.00%, 1/25/2045 |
15,691,047 | 16,011,477 | ||||||
| Series 2015-95, Class AP, CMO, REMIC, 3.00%, 8/25/2042 |
20,034,930 | 20,372,512 | ||||||
| Series 2016-21, Class BZ, CMO, REMIC, 3.00%, 4/25/2046 |
4,496,531 | 4,146,728 | ||||||
| Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 |
16,638,979 | 16,482,727 | ||||||
| Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 |
24,023,958 | 24,336,973 | ||||||
| Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 |
33,694,093 | 33,811,274 | ||||||
| Series 2016-9, Class A, CMO, REMIC, 3.00%, 9/25/2043 |
12,027,360 | 12,201,182 | ||||||
| Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042 |
38,833,472 | 39,266,682 | ||||||
| Series 2016-M3, Class A2, 2.70%, 2/25/2026 |
2,150,000 | 2,134,090 | ||||||
| Series 2017-15, Class MA, CMO, REMIC, 3.00%, 2/25/2042 |
78,979,300 | 80,452,398 | ||||||
See accompanying notes to financial statements.
49
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Series 2017-18, Class A, CMO, REMIC, 3.00%, 8/25/2042 |
$ | 97,963,815 | $ | 98,948,400 | ||||
| Series 2017-32, Class CA, CMO, REMIC, 3.00%, 10/25/2042 |
47,927,711 | 48,645,155 | ||||||
| Series 2017-9, Class EA, CMO, REMIC, 3.00%, 10/25/2042 |
82,726,856 | 83,695,562 | ||||||
| Government National Mortgage Association: |
||||||||
| Series 2013-169, Class SE, IO, 6.05% — 1 Month USD LIBOR, 4.88%, 11/16/2043 (c) |
3,741,403 | 522,610 | ||||||
| Series 2013-34, Class PL, 3.00%, 3/20/2042 |
14,923,071 | 15,068,138 | ||||||
| Series 2014-43, Class PS, IO, 6.18% — 1 Month USD LIBOR, 4.97%, 7/20/2042 (c) |
11,034,913 | 1,476,470 | ||||||
|
|
|
|||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
1,551,873,581 | |||||||
|
|
|
|||||||
| U.S. TREASURY OBLIGATIONS — 15.8% |
| |||||||
| Treasury Bonds: |
||||||||
| 3.00%, 11/15/2045 |
12,200,000 | 12,570,880 | ||||||
| 3.13%, 2/15/2043 |
28,190,000 | 29,795,421 | ||||||
| Treasury Notes: |
||||||||
| 0.63%, 8/31/2017 |
31,000,000 | 30,980,159 | ||||||
| 1.00%, 3/15/2018 |
73,630,000 | 73,514,402 | ||||||
| 1.50%, 5/31/2020 |
88,500,000 | 88,383,176 | ||||||
| 1.63%, 5/15/2026 |
74,120,000 | 70,282,806 | ||||||
| 1.75%, 3/31/2022 |
88,560,000 | 88,117,200 | ||||||
| 2.13%, 1/31/2021 |
84,500,000 | 85,813,975 | ||||||
| 2.13%, 2/29/2024 |
50,200,000 | 50,262,249 | ||||||
|
|
|
|||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
529,720,268 | |||||||
|
|
|
|||||||
| Shares |
||||||||
| SHORT-TERM INVESTMENT — 3.6% |
| |||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (g) (h)
|
119,660,357 | 119,660,357 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.5% |
3,335,131,848 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% |
16,893,692 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 3,352,025,540 | ||||||
|
|
|
|||||||
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 8.4% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (b) | Step-up bond — Coupon rate increases in increments to maturity. Rate shown as of June 30, 2017. Maturity date shown is the final maturity. |
| (c) | Variable Rate Security — Interest rate shown is rate in effect at June 30, 2017. |
| (d) | Amount shown represents less than 0.05% of net assets. |
| (e) | When-issued security. |
| (f) | The rate shown represents the rate at June 30, 2017. |
| (g) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (h) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
CMO Collateralized Mortgage Obligation
CMT Constant Maturity Treasury
EMTN Euro Medium Term Note
IO Interest Only
LIBOR London Interbank Offered Rate
MTN Medium Term Note
PIK Payment in Kind
REGS Regulation S
REMIC Real Estate Mortgage Investment Conduit
At June 30, 2017, the Fund had unfunded loan commitments of $88,636, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower |
Unfunded Loan |
Value ($) |
Unrealized |
|||||||||
| CH Hold Corp |
13,636 | 13,707 | 104 | |||||||||
| NVA Holdings, Inc. |
75,000 | 75,516 | 516 | |||||||||
|
|
|
|||||||||||
| TOTAL |
$ | 620 | ||||||||||
|
|
|
|||||||||||
See accompanying notes to financial statements.
50
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 76,063,229 | $ | — | $ | 76,063,229 | ||||||||
| Corporate Bonds & Notes |
||||||||||||||||
| Argentina |
— | 3,854,015 | — | 3,854,015 | ||||||||||||
| Australia |
— | 6,603,471 | — | 6,603,471 | ||||||||||||
| Belgium |
— | 3,345,883 | — | 3,345,883 | ||||||||||||
| Bermuda |
— | 497,550 | — | 497,550 | ||||||||||||
| Brazil |
— | 13,597,164 | — | 13,597,164 | ||||||||||||
| Canada |
— | 11,933,120 | — | 11,933,120 | ||||||||||||
| Chile |
— | 17,871,889 | — | 17,871,889 | ||||||||||||
| China |
— | 19,285,102 | — | 19,285,102 | ||||||||||||
| Colombia |
— | 6,221,610 | — | 6,221,610 | ||||||||||||
| Costa Rica |
— | 4,279,367 | — | 4,279,367 | ||||||||||||
| Dominican Republic |
— | 6,663,725 | — | 6,663,725 | ||||||||||||
| Finland |
— | 1,733,072 | — | 1,733,072 | ||||||||||||
| Guatemala |
— | 1,942,750 | — | 1,942,750 | ||||||||||||
| Hong Kong |
— | 6,664,861 | — | 6,664,861 | ||||||||||||
| India |
— | 24,136,251 | — | 24,136,251 | ||||||||||||
| Indonesia |
— | 1,759,469 | — | 1,759,469 | ||||||||||||
| Israel |
— | 6,286,750 | — | 6,286,750 | ||||||||||||
| Jamaica |
— | 3,826,690 | — | 3,826,690 | ||||||||||||
| Japan |
— | 2,814,716 | — | 2,814,716 | ||||||||||||
| Malaysia |
— | 12,407,725 | — | 12,407,725 | ||||||||||||
| Mexico |
— | 25,895,707 | — | 25,895,707 | ||||||||||||
| Netherlands |
— | 3,449,309 | — | 3,449,309 | ||||||||||||
| New Zealand |
— | 1,665,187 | — | 1,665,187 | ||||||||||||
| Panama |
— | 218,000 | — | 218,000 | ||||||||||||
| Peru |
— | 4,386,875 | — | 4,386,875 | ||||||||||||
| Qatar |
— | 4,346,707 | — | 4,346,707 | ||||||||||||
| Singapore |
— | 7,507,816 | — | 7,507,816 | ||||||||||||
| Trinidad And Tobago |
— | 3,493,500 | — | 3,493,500 | ||||||||||||
| United Kingdom |
— | 6,391,951 | — | 6,391,951 | ||||||||||||
| United States |
— | 210,784,009 | — | 210,784,009 | ||||||||||||
| Foreign Government Obligations |
||||||||||||||||
| Argentina |
— | 9,529,240 | — | 9,529,240 | ||||||||||||
| Brazil |
— | 5,293,750 | — | 5,293,750 | ||||||||||||
| Chile |
— | 8,655,099 | — | 8,655,099 | ||||||||||||
| Costa Rica |
— | 3,391,588 | — | 3,391,588 | ||||||||||||
| Dominican Republic |
— | 10,381,000 | — | 10,381,000 | ||||||||||||
| Guatemala |
— | 4,362,447 | — | 4,362,447 | ||||||||||||
| India |
— | 1,351,653 | — | 1,351,653 | ||||||||||||
| Indonesia |
— | 8,641,410 | — | 8,641,410 | ||||||||||||
| Israel |
— | 2,983,620 | — | 2,983,620 | ||||||||||||
| Malaysia |
— | 1,697,280 | — | 1,697,280 | ||||||||||||
| Mexico |
— | 12,657,828 | — | 12,657,828 | ||||||||||||
| Panama |
— | 11,096,320 | — | 11,096,320 | ||||||||||||
| Peru |
— | 809,600 | — | 809,600 | ||||||||||||
| Philippines |
— | 8,387,440 | — | 8,387,440 | ||||||||||||
| Poland |
— | 1,210,594 | — | 1,210,594 | ||||||||||||
| Qatar |
— | 2,926,152 | — | 2,926,152 | ||||||||||||
| South Korea |
— | 7,310,299 | — | 7,310,299 | ||||||||||||
See accompanying notes to financial statements.
51
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| Senior Floating Rate Loans |
||||||||||||||||
| Auto Components |
$ | — | $ | 3,380,269 | $ | — | $ | 3,380,269 | ||||||||
| Automobiles |
— | 1,295,757 | — | 1,295,757 | ||||||||||||
| Building Products |
— | 1,124,383 | — | 1,124,383 | ||||||||||||
| Chemicals |
— | 8,200,073 | — | 8,200,073 | ||||||||||||
| Commercial Services & Supplies |
— | 3,990,631 | — | 3,990,631 | ||||||||||||
| Communications Equipment |
— | 181,435 | — | 181,435 | ||||||||||||
| Computers & Peripherals |
— | 2,502,017 | — | 2,502,017 | ||||||||||||
| Construction & Engineering |
— | 4,286,328 | — | 4,286,328 | ||||||||||||
| Containers & Packaging |
— | 8,247,249 | — | 8,247,249 | ||||||||||||
| Distributors |
— | 469,966 | — | 469,966 | ||||||||||||
| Diversified Financial Services |
— | 2,016,253 | — | 2,016,253 | ||||||||||||
| Diversified Telecommunication Services |
— | 7,415,631 | — | 7,415,631 | ||||||||||||
| Electric Utilities |
— | 3,963,803 | — | 3,963,803 | ||||||||||||
| Electrical Equipment |
— | 2,152,569 | — | 2,152,569 | ||||||||||||
| Energy Equipment & Services |
— | 664,085 | — | 664,085 | ||||||||||||
| Food & Staples Retailing |
— | 6,734,805 | — | 6,734,805 | ||||||||||||
| Food Products |
— | 2,822,012 | — | 2,822,012 | ||||||||||||
| Health Care Equipment & Supplies |
— | 2,606,591 | — | 2,606,591 | ||||||||||||
| Health Care Providers & Services |
— | 22,685,514 | — | 22,685,514 | ||||||||||||
| Hotels, Restaurants & Leisure |
— | 17,877,016 | — | 17,877,016 | ||||||||||||
| Household Products |
— | 1,052,171 | — | 1,052,171 | ||||||||||||
| Insurance |
— | 3,720,690 | — | 3,720,690 | ||||||||||||
| Internet Software & Services |
— | 345,940 | — | 345,940 | ||||||||||||
| IT Services |
— | 7,737,667 | — | 7,737,667 | ||||||||||||
| Life Sciences Tools & Services |
— | 3,935,721 | — | 3,935,721 | ||||||||||||
| Machinery |
— | 529,761 | — | 529,761 | ||||||||||||
| Media |
— | 16,866,740 | — | 16,866,740 | ||||||||||||
| Oil, Gas & Consumable Fuels |
— | 4,004,462 | — | 4,004,462 | ||||||||||||
| Personal Products |
— | 4,499,604 | — | 4,499,604 | ||||||||||||
| Pharmaceuticals |
— | 4,885,508 | — | 4,885,508 | ||||||||||||
| Real Estate Investment Trusts (REITs) |
— | 3,025,679 | — | 3,025,679 | ||||||||||||
| Real Estate Management & Development |
— | 4,014,549 | — | 4,014,549 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
— | 2,792,969 | — | 2,792,969 | ||||||||||||
| Software |
— | 26,405,701 | — | 26,405,701 | ||||||||||||
| Specialty Retail |
— | 8,965,125 | — | 8,965,125 | ||||||||||||
| Technology Hardware, Storage & Peripherals |
— | 8,099,808 | — | 8,099,808 | ||||||||||||
| Trading Companies & Distributors |
— | 4,724,361 | — | 4,724,361 | ||||||||||||
| Commercial Mortgage Backed Securities |
— | 210,533,157 | — | 210,533,157 | ||||||||||||
| Mortgage-Backed Securities |
— | 114,508,852 | — | 114,508,852 | ||||||||||||
| U.S. Government Agency Obligations |
— | 1,551,873,581 | — | 1,551,873,581 | ||||||||||||
| U.S. Treasury Obligations |
— | 529,720,268 | — | 529,720,268 | ||||||||||||
| Short-Term Investment |
119,660,357 | — | — | 119,660,357 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 119,660,357 | $ | 3,215,471,491 | $ | — | $ | 3,335,131,848 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| OTHER FINANCIAL INSTRUMENTS: |
||||||||||||||||
| Unfunded Loan Commitments (a) |
— | 620 | — | 620 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS |
$ | 119,660,357 | $ | 3,215,472,111 | $ | — | $ | 3,335,132,468 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Includes appreciation on unfunded loan commitments. |
See accompanying notes to financial statements.
52
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value At 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
351,792,987 | $ | 351,792,987 | 418,025,516 | 769,818,503 | — | $ | — | $ | 308,306 | $ |
— |
| |||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 211,990,674 | 92,330,317 | 119,660,357 | 119,660,357 | 139,417 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 1,317,821,061 | 1,317,821,061 | — | — | 508,212 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 351,792,987 | $ | 119,660,357 | $ | 955,935 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
53
Table of Contents
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.
54
Table of Contents
SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| COMMON STOCKS — 99.3% |
||||||||
| AEROSPACE & DEFENSE — 3.1% |
||||||||
| Northrop Grumman Corp. |
845 | $ | 216,920 | |||||
|
|
|
|||||||
| AUTO COMPONENTS — 0.7% |
||||||||
| Lear Corp. |
350 | 49,728 | ||||||
|
|
|
|||||||
| BANKS — 7.2% |
||||||||
| Citigroup, Inc. |
4,127 | 276,013 | ||||||
| JPMorgan Chase & Co. |
2,397 | 219,086 | ||||||
|
|
|
|||||||
| 495,099 | ||||||||
|
|
|
|||||||
| BIOTECHNOLOGY — 1.6% |
||||||||
| Celgene Corp. (a) |
841 | 109,221 | ||||||
|
|
|
|||||||
| CHEMICALS — 0.7% |
||||||||
| LyondellBasell Industries NV Class A |
604 | 50,971 | ||||||
|
|
|
|||||||
| CONSUMER FINANCE — 1.1% |
||||||||
| Discover Financial Services |
1,212 | 75,374 | ||||||
|
|
|
|||||||
| ELECTRIC UTILITIES — 3.1% |
||||||||
| Exelon Corp. |
5,837 | 210,541 | ||||||
|
|
|
|||||||
| FOOD PRODUCTS — 4.6% |
||||||||
| Archer-Daniels-Midland Co. |
2,427 | 100,429 | ||||||
| Tyson Foods, Inc. Class A |
3,418 | 214,070 | ||||||
|
|
|
|||||||
| 314,499 | ||||||||
|
|
|
|||||||
| HEALTH CARE PROVIDERS & SERVICES — 9.2% |
| |||||||
| Aetna, Inc. |
388 | 58,910 | ||||||
| Express Scripts Holding Co. (a) |
3,578 | 228,420 | ||||||
| HCA Healthcare, Inc. (a) |
1,237 | 107,866 | ||||||
| Humana, Inc. |
659 | 158,569 | ||||||
| UnitedHealth Group, Inc. |
424 | 78,618 | ||||||
|
|
|
|||||||
| 632,383 | ||||||||
|
|
|
|||||||
| HOTELS, RESTAURANTS & LEISURE — 4.1% |
| |||||||
| Carnival Corp. |
1,127 | 73,898 | ||||||
| Royal Caribbean Cruises, Ltd. |
1,884 | 205,789 | ||||||
|
|
|
|||||||
| 279,687 | ||||||||
|
|
|
|||||||
| HOUSEHOLD PRODUCTS — 1.1% |
||||||||
| Procter & Gamble Co. |
836 | 72,857 | ||||||
|
|
|
|||||||
| INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.5% |
| |||||||
| AES Corp. |
9,280 | 103,101 | ||||||
|
|
|
|||||||
| INSURANCE — 7.8% |
||||||||
| Hartford Financial Services Group, Inc. |
3,368 | 177,056 | ||||||
| MetLife, Inc. |
2,352 | 129,219 | ||||||
| Prudential Financial, Inc. |
2,126 | 229,905 | ||||||
|
|
|
|||||||
| 536,180 | ||||||||
|
|
|
|||||||
| INTERNET & CATALOG RETAIL — 8.0% |
||||||||
| Amazon.com, Inc. (a) |
333 | 322,344 | ||||||
| Priceline Group, Inc. (a) |
124 | 231,944 | ||||||
|
|
|
|||||||
| 554,288 | ||||||||
|
|
|
|||||||
| INTERNET SOFTWARE & SERVICES — 2.0% |
| |||||||
| Alphabet, Inc. Class C (a) |
151 | 137,218 | ||||||
|
|
|
|||||||
| IT SERVICES — 6.3% |
||||||||
| DXC Technology Co. |
2,479 | 190,189 | ||||||
| International Business Machines Corp. |
1,606 | 247,051 | ||||||
|
|
|
|||||||
| 437,240 | ||||||||
|
|
|
|||||||
| MEDIA — 1.2% |
||||||||
| Comcast Corp. Class A |
2,074 | 80,720 | ||||||
|
|
|
|||||||
| OIL, GAS & CONSUMABLE FUELS — 4.8% |
||||||||
| Exxon Mobil Corp. |
1,753 | 141,520 | ||||||
| Valero Energy Corp. |
2,842 | 191,721 | ||||||
|
|
|
|||||||
| 333,241 | ||||||||
|
|
|
|||||||
| PHARMACEUTICALS — 9.1% |
||||||||
| Eli Lilly & Co. |
2,224 | 183,035 | ||||||
| Johnson & Johnson |
1,942 | 256,907 | ||||||
| Merck & Co., Inc. |
2,954 | 189,322 | ||||||
|
|
|
|||||||
| 629,264 | ||||||||
|
|
|
|||||||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.7% |
| |||||||
| Alexandria Real Estate Equities, Inc. REIT |
374 | 45,056 | ||||||
|
|
|
|||||||
| ROAD & RAIL — 3.3% |
||||||||
| Union Pacific Corp. |
2,101 | 228,820 | ||||||
|
|
|
|||||||
| SOFTWARE — 4.4% |
||||||||
| Electronic Arts, Inc. (a) |
730 | 77,176 | ||||||
| Intuit, Inc. |
976 | 129,623 | ||||||
| Oracle Corp. |
1,968 | 98,675 | ||||||
|
|
|
|||||||
| 305,474 | ||||||||
|
|
|
|||||||
| SPECIALTY RETAIL — 2.8% |
||||||||
| Best Buy Co., Inc. |
3,405 | 195,209 | ||||||
|
|
|
|||||||
| TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 3.2% |
|
|||||||
| Apple, Inc. |
1,516 | 218,334 | ||||||
|
|
|
|||||||
| TOBACCO — 2.7% |
||||||||
| Philip Morris International, Inc. |
1,567 | 184,044 | ||||||
|
|
|
|||||||
| TRADING COMPANIES & DISTRIBUTORS — 2.2% |
| |||||||
| United Rentals, Inc. (a) |
1,327 | 149,566 | ||||||
|
|
|
|||||||
| WIRELESS TELECOMMUNICATION SERVICES — 2.8% |
| |||||||
| T-Mobile US, Inc. (a) |
3,159 | 191,499 | ||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS |
|
6,836,534 | ||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENT — 0.6% |
||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares
0.92% (b) (c) |
45,055 | 45,055 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.9% |
|
6,881,589 | ||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% |
|
5,214 | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
|
$ | 6,886,803 | |||||
|
|
|
|||||||
| (a) | Non-income producing security. |
| (b) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
REIT Real Estate Investment Trust
See accompanying notes to financial statements.
55
Table of Contents
SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
$ | 216,920 | $ | — | $ | — | $ | 216,920 | ||||||||
| Auto Components |
49,728 | — | — | 49,728 | ||||||||||||
| Banks |
495,099 | — | — | 495,099 | ||||||||||||
| Biotechnology |
109,221 | — | — | 109,221 | ||||||||||||
| Chemicals |
50,971 | — | — | 50,971 | ||||||||||||
| Consumer Finance |
75,374 | — | — | 75,374 | ||||||||||||
| Electric Utilities |
210,541 | — | — | 210,541 | ||||||||||||
| Food Products |
314,499 | — | — | 314,499 | ||||||||||||
| Health Care Providers & Services |
632,383 | — | — | 632,383 | ||||||||||||
| Hotels, Restaurants & Leisure |
279,687 | — | — | 279,687 | ||||||||||||
| Household Products |
72,857 | — | — | 72,857 | ||||||||||||
| Independent Power Producers & Energy Traders |
103,101 | — | — | 103,101 | ||||||||||||
| Insurance |
536,180 | — | — | 536,180 | ||||||||||||
| Internet & Catalog Retail |
554,288 | — | — | 554,288 | ||||||||||||
| Internet Software & Services |
137,218 | — | — | 137,218 | ||||||||||||
| IT Services |
437,240 | — | — | 437,240 | ||||||||||||
| Media |
80,720 | — | — | 80,720 | ||||||||||||
| Oil, Gas & Consumable Fuels |
333,241 | — | — | 333,241 | ||||||||||||
| Pharmaceuticals |
629,264 | — | — | 629,264 | ||||||||||||
| Real Estate Investment Trusts (REITs) |
45,056 | — | — | 45,056 | ||||||||||||
| Road & Rail |
228,820 | — | — | 228,820 | ||||||||||||
| Software |
305,474 | — | — | 305,474 | ||||||||||||
| Specialty Retail |
195,209 | — | — | 195,209 | ||||||||||||
| Technology Hardware, Storage & Peripherals |
218,334 | — | — | 218,334 | ||||||||||||
| Tobacco |
184,044 | — | — | 184,044 | ||||||||||||
| Trading Companies & Distributors |
149,566 | — | — | 149,566 | ||||||||||||
| Wireless Telecommunication Services |
191,499 | — | — | 191,499 | ||||||||||||
| Short-Term Investment |
45,055 | — | — | 45,055 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 6,881,589 | $ | — | $ | — | $ | 6,881,589 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
70,177 | $ | 70,177 | 34,483 | 104,660 | — | $ | — | $ | 63 | $ | — | ||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 56,089 | 11,034 | 45,055 | 45,055 | 45 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 140,752 | 140,752 | — | — | 132 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 70,177 | $ | 45,055 | $ | 240 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
56
Table of Contents
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.
57
Table of Contents
SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| COMMON STOCKS — 99.0% |
||||||||
| AEROSPACE & DEFENSE — 3.3% |
||||||||
| Northrop Grumman Corp. |
5,034 | $ | 1,292,278 | |||||
|
|
|
|||||||
| AUTO COMPONENTS — 2.8% |
||||||||
| Lear Corp. |
7,591 | 1,078,529 | ||||||
|
|
|
|||||||
| BEVERAGES — 1.3% |
||||||||
| Coca-Cola Co. |
9,029 | 404,950 | ||||||
| PepsiCo, Inc. |
824 | 95,164 | ||||||
|
|
|
|||||||
| 500,114 | ||||||||
|
|
|
|||||||
| BIOTECHNOLOGY — 3.9% |
||||||||
| Amgen, Inc. |
4,651 | 801,042 | ||||||
| Celgene Corp. (a) |
2,695 | 349,999 | ||||||
| Gilead Sciences, Inc. |
5,332 | 377,399 | ||||||
|
|
|
|||||||
| 1,528,440 | ||||||||
|
|
|
|||||||
| CHEMICALS — 1.3% |
||||||||
| LyondellBasell Industries NV Class A |
5,804 | 489,800 | ||||||
|
|
|
|||||||
| CONSUMER FINANCE — 0.3% |
||||||||
| Discover Financial Services |
2,097 | 130,412 | ||||||
|
|
|
|||||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 1.9% |
| |||||||
| Verizon Communications, Inc. |
16,625 | 742,473 | ||||||
|
|
|
|||||||
| FOOD PRODUCTS — 3.7% |
||||||||
| Ingredion, Inc. |
1,783 | 212,551 | ||||||
| Tyson Foods, Inc. Class A |
20,035 | 1,254,792 | ||||||
|
|
|
|||||||
| 1,467,343 | ||||||||
|
|
|
|||||||
| HEALTH CARE PROVIDERS & SERVICES — 12.9% |
| |||||||
| Cigna Corp. |
2,310 | 386,671 | ||||||
| Express Scripts Holding Co. (a) |
21,027 | 1,342,364 | ||||||
| HCA Healthcare, Inc. (a) |
1,176 | 102,547 | ||||||
| Humana, Inc. |
4,499 | 1,082,549 | ||||||
| McKesson Corp. |
5,430 | 893,452 | ||||||
| UnitedHealth Group, Inc. |
6,786 | 1,258,260 | ||||||
|
|
|
|||||||
| 5,065,843 | ||||||||
|
|
|
|||||||
| HOTELS, RESTAURANTS & LEISURE — 3.8% |
| |||||||
| Domino’s Pizza, Inc. |
3,748 | 792,815 | ||||||
| Norwegian Cruise Line Holdings, Ltd. (a) |
10,903 | 591,924 | ||||||
| Royal Caribbean Cruises, Ltd. |
1,097 | 119,825 | ||||||
|
|
|
|||||||
| 1,504,564 | ||||||||
|
|
|
|||||||
| INSURANCE — 2.5% |
||||||||
| Prudential Financial, Inc. |
8,893 | 961,689 | ||||||
|
|
|
|||||||
| INTERNET & CATALOG RETAIL — 6.4% |
| |||||||
| Amazon.com, Inc. (a) |
979 | 947,672 | ||||||
| Priceline Group, Inc. (a) |
835 | 1,561,884 | ||||||
|
|
|
|||||||
| 2,509,556 | ||||||||
|
|
|
|||||||
| INTERNET SOFTWARE & SERVICES — 9.7% |
| |||||||
| Alphabet, Inc. Class A (a) |
1,561 | 1,451,231 | ||||||
| Facebook, Inc. Class A (a) |
15,448 | 2,332,339 | ||||||
|
|
|
|||||||
| 3,783,570 | ||||||||
|
|
|
|||||||
| IT SERVICES — 4.6% |
||||||||
| DXC Technology Co. |
3,978 | 305,192 | ||||||
| Fiserv, Inc. (a) |
1,616 | 197,702 | ||||||
| International Business Machines Corp. |
8,386 | 1,290,018 | ||||||
|
|
|
|||||||
| 1,792,912 | ||||||||
|
|
|
|||||||
| MEDIA — 7.0% |
||||||||
| Charter Communications, Inc. Class A (a) |
3,771 | 1,270,262 | ||||||
| Comcast Corp. Class A |
38,146 | 1,484,642 | ||||||
|
|
|
|||||||
| 2,754,904 | ||||||||
|
|
|
|||||||
| PHARMACEUTICALS — 5.7% |
||||||||
| Bristol-Myers Squibb Co. |
7,676 | 427,707 | ||||||
| Eli Lilly & Co. |
11,959 | 984,226 | ||||||
| Johnson & Johnson |
5,189 | 686,453 | ||||||
| Merck & Co., Inc. |
2,361 | 151,316 | ||||||
|
|
|
|||||||
| 2,249,702 | ||||||||
|
|
|
|||||||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.5% |
| |||||||
| Alexandria Real Estate Equities, Inc. REIT |
3,254 | 392,009 | ||||||
| Outfront Media, Inc. REIT |
24,788 | 573,099 | ||||||
|
|
|
|||||||
| 965,108 | ||||||||
|
|
|
|||||||
| ROAD & RAIL — 0.7% |
||||||||
| Union Pacific Corp. |
2,440 | 265,740 | ||||||
|
|
|
|||||||
| SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.2% |
| |||||||
| Intel Corp. |
2,559 | 86,341 | ||||||
|
|
|
|||||||
| SOFTWARE — 9.2% |
||||||||
| Electronic Arts, Inc. (a) |
7,801 | 824,721 | ||||||
| Oracle Corp. |
21,263 | 1,066,127 | ||||||
| Take-Two Interactive Software, Inc. (a) |
14,568 | 1,069,000 | ||||||
| VMware, Inc. Class A (a) |
7,507 | 656,337 | ||||||
|
|
|
|||||||
| 3,616,185 | ||||||||
|
|
|
|||||||
| SPECIALTY RETAIL — 4.5% |
||||||||
| Best Buy Co., Inc. |
21,536 | 1,234,659 | ||||||
| Gap, Inc. |
24,296 | 534,269 | ||||||
|
|
|
|||||||
| 1,768,928 | ||||||||
|
|
|
|||||||
| TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 3.1% |
| |||||||
| Apple, Inc. |
8,333 | 1,200,119 | ||||||
|
|
|
|||||||
| TOBACCO — 4.3% |
||||||||
| Altria Group, Inc. |
13,624 | 1,014,579 | ||||||
| Philip Morris International, Inc. |
5,683 | 667,469 | ||||||
|
|
|
|||||||
| 1,682,048 | ||||||||
|
|
|
|||||||
| TRADING COMPANIES & DISTRIBUTORS — 3.0% |
| |||||||
| United Rentals, Inc. (a) |
10,565 | 1,190,781 | ||||||
|
|
|
|||||||
| WIRELESS TELECOMMUNICATION SERVICES — 0.4% |
| |||||||
| T-Mobile US, Inc. (a) |
2,695 | 163,371 | ||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS |
|
38,790,750 | ||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENT — 0.9% |
||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (b)
(c) |
343,832 | 343,832 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.9% |
|
39,134,582 | ||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% |
|
47,270 | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
|
$ | 39,181,852 | |||||
|
|
|
|||||||
| (a) | Non-income producing security. |
| (b) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
REIT Real Estate Investment Trust
See accompanying notes to financial statements.
58
Table of Contents
SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
$ | 1,292,278 | $ | — | $ | — | $ | 1,292,278 | ||||||||
| Auto Components |
1,078,529 | — | — | 1,078,529 | ||||||||||||
| Beverages |
500,114 | — | — | 500,114 | ||||||||||||
| Biotechnology |
1,528,440 | — | — | 1,528,440 | ||||||||||||
| Chemicals |
489,800 | — | — | 489,800 | ||||||||||||
| Consumer Finance |
130,412 | — | — | 130,412 | ||||||||||||
| Diversified Telecommunication Services |
742,473 | — | — | 742,473 | ||||||||||||
| Food Products |
1,467,343 | — | — | 1,467,343 | ||||||||||||
| Health Care Providers & Services |
5,065,843 | — | — | 5,065,843 | ||||||||||||
| Hotels, Restaurants & Leisure |
1,504,564 | — | — | 1,504,564 | ||||||||||||
| Insurance |
961,689 | — | — | 961,689 | ||||||||||||
| Internet & Catalog Retail |
2,509,556 | — | — | 2,509,556 | ||||||||||||
| Internet Software & Services |
3,783,570 | — | — | 3,783,570 | ||||||||||||
| IT Services |
1,792,912 | — | — | 1,792,912 | ||||||||||||
| Media |
2,754,904 | — | — | 2,754,904 | ||||||||||||
| Pharmaceuticals |
2,249,702 | — | — | 2,249,702 | ||||||||||||
| Real Estate Investment Trusts (REITs) |
965,108 | — | — | 965,108 | ||||||||||||
| Road & Rail |
265,740 | — | — | 265,740 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
86,341 | — | — | 86,341 | ||||||||||||
| Software |
3,616,185 | — | — | 3,616,185 | ||||||||||||
| Specialty Retail |
1,768,928 | — | — | 1,768,928 | ||||||||||||
| Technology Hardware, Storage & Peripherals |
1,200,119 | — | — | 1,200,119 | ||||||||||||
| Tobacco |
1,682,048 | — | — | 1,682,048 | ||||||||||||
| Trading Companies & Distributors |
1,190,781 | — | — | 1,190,781 | ||||||||||||
| Wireless Telecommunication Services |
163,371 | — | — | 163,371 | ||||||||||||
| Short-Term Investment |
343,832 | — | — | 343,832 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 39,134,582 | $ | — | $ | — | $ | 39,134,582 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
175,794 | $ | 175,794 | 48,676 | 224,470 | — | $ | — | $ | 167 | $ |
— |
| |||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 516,530 | 172,698 | 343,832 | 343,832 | 419 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 394,673 | 394,673 | — | — | 425 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 175,794 | $ | 343,832 | $ | 1,011 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
59
Table of Contents
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.
60
Table of Contents
SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| COMMON STOCKS — 98.5% |
||||||||
| AEROSPACE & DEFENSE — 3.6% |
||||||||
| Northrop Grumman Corp. |
707 | $ | 181,494 | |||||
| United Technologies Corp. |
294 | 35,900 | ||||||
|
|
|
|||||||
| 217,394 | ||||||||
|
|
|
|||||||
| AIRLINES — 1.4% |
||||||||
| Copa Holdings SA Class A |
705 | 82,485 | ||||||
|
|
|
|||||||
| BANKS — 14.0% |
||||||||
| Bank of America Corp. |
11,255 | 273,047 | ||||||
| Citigroup, Inc. |
4,331 | 289,657 | ||||||
| JPMorgan Chase & Co. |
3,068 | 280,415 | ||||||
|
|
|
|||||||
| 843,119 | ||||||||
|
|
|
|||||||
| BEVERAGES — 1.0% |
||||||||
| PepsiCo, Inc. |
510 | 58,900 | ||||||
|
|
|
|||||||
| CHEMICALS — 1.9% |
||||||||
| LyondellBasell Industries NV Class A |
1,324 | 111,732 | ||||||
|
|
|
|||||||
| COMMUNICATIONS EQUIPMENT — 1.7% |
||||||||
| Cisco Systems, Inc. |
3,289 | 102,946 | ||||||
|
|
|
|||||||
| CONSUMER FINANCE — 3.8% |
||||||||
| Discover Financial Services |
2,727 | 169,592 | ||||||
| Synchrony Financial |
1,910 | 56,956 | ||||||
|
|
|
|||||||
| 226,548 | ||||||||
|
|
|
|||||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.5% |
| |||||||
| Verizon Communications, Inc. |
683 | 30,503 | ||||||
|
|
|
|||||||
| ELECTRIC UTILITIES — 7.0% |
||||||||
| Exelon Corp. |
5,203 | 187,672 | ||||||
| PG&E Corp. |
1,675 | 111,170 | ||||||
| PPL Corp. |
3,091 | 119,498 | ||||||
|
|
|
|||||||
| 418,340 | ||||||||
|
|
|
|||||||
| ELECTRICAL EQUIPMENT — 0.6% |
||||||||
| Rockwell Automation, Inc. |
240 | 38,870 | ||||||
|
|
|
|||||||
| ENERGY EQUIPMENT & SERVICES — 0.6% |
| |||||||
| Schlumberger, Ltd. |
569 | 37,463 | ||||||
|
|
|
|||||||
| FOOD PRODUCTS — 4.7% |
||||||||
| Archer-Daniels-Midland Co. |
1,322 | 54,704 | ||||||
| J.M. Smucker Co. |
363 | 42,954 | ||||||
| Tyson Foods, Inc. Class A |
2,918 | 182,754 | ||||||
|
|
|
|||||||
| 280,412 | ||||||||
|
|
|
|||||||
| HEALTH CARE EQUIPMENT & SUPPLIES — 1.8% |
| |||||||
| Abbott Laboratories |
797 | 38,742 | ||||||
| Danaher Corp. |
831 | 70,128 | ||||||
|
|
|
|||||||
| 108,870 | ||||||||
|
|
|
|||||||
| HEALTH CARE PROVIDERS & SERVICES — 5.5% |
| |||||||
| HCA Healthcare, Inc. (a) |
1,883 | 164,198 | ||||||
| Humana, Inc. |
250 | 60,155 | ||||||
| McKesson Corp. |
400 | 65,816 | ||||||
| UnitedHealth Group, Inc. |
206 | 38,196 | ||||||
|
|
|
|||||||
| 328,365 | ||||||||
|
|
|
|||||||
| HOTELS, RESTAURANTS & LEISURE — 3.1% |
| |||||||
| Royal Caribbean Cruises, Ltd. |
1,730 | 188,968 | ||||||
|
|
|
|||||||
| INSURANCE — 7.6% |
||||||||
| MetLife, Inc. |
2,312 | 127,021 | ||||||
| Prudential Financial, Inc. |
2,013 | 217,686 | ||||||
| Unum Group |
705 | 32,874 | ||||||
| Validus Holdings, Ltd. |
1,488 | 77,332 | ||||||
|
|
|
|||||||
| 454,913 | ||||||||
|
|
|
|||||||
| INTERNET & CATALOG RETAIL — 1.5% |
||||||||
| Priceline Group, Inc. (a) |
48 | 89,785 | ||||||
|
|
|
|||||||
| IT SERVICES — 3.1% |
||||||||
| DXC Technology Co. |
2,449 | 187,887 | ||||||
|
|
|
|||||||
| MACHINERY — 2.0% |
||||||||
| Cummins, Inc. |
730 | 118,421 | ||||||
|
|
|
|||||||
| OIL, GAS & CONSUMABLE FUELS — 8.7% |
||||||||
| Anadarko Petroleum Corp. |
1,957 | 88,730 | ||||||
| EOG Resources, Inc. |
490 | 44,355 | ||||||
| Exxon Mobil Corp. |
849 | 68,540 | ||||||
| Phillips 66 |
640 | 52,922 | ||||||
| Valero Energy Corp. |
2,670 | 180,118 | ||||||
| Williams Cos., Inc. |
3,021 | 91,476 | ||||||
|
|
|
|||||||
| 526,141 | ||||||||
|
|
|
|||||||
| PHARMACEUTICALS — 5.8% |
||||||||
| Johnson & Johnson |
1,232 | 162,981 | ||||||
| Merck & Co., Inc. |
2,879 | 184,515 | ||||||
|
|
|
|||||||
| 347,496 | ||||||||
|
|
|
|||||||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.9% |
| |||||||
| Prologis, Inc. REIT |
1,120 | 65,677 | ||||||
| STORE Capital Corp. REIT |
1,896 | 42,565 | ||||||
| Sun Communities, Inc. REIT |
765 | 67,083 | ||||||
|
|
|
|||||||
| 175,325 | ||||||||
|
|
|
|||||||
| ROAD & RAIL — 2.9% |
||||||||
| Union Pacific Corp. |
1,600 | 174,256 | ||||||
|
|
|
|||||||
| SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.1% |
| |||||||
| Intel Corp. |
3,676 | 124,028 | ||||||
|
|
|
|||||||
| SOFTWARE — 1.6% |
||||||||
| Oracle Corp. |
902 | 45,227 | ||||||
| VMware, Inc. Class A (a) |
582 | 50,884 | ||||||
|
|
|
|||||||
| 96,111 | ||||||||
|
|
|
|||||||
| SPECIALTY RETAIL — 4.1% |
||||||||
| Best Buy Co., Inc. |
3,457 | 198,190 | ||||||
| Burlington Stores, Inc. (a) |
541 | 49,766 | ||||||
|
|
|
|||||||
| 247,956 | ||||||||
|
|
|
|||||||
| TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.5% |
| |||||||
| NetApp, Inc. |
2,256 | 90,353 | ||||||
|
|
|
|||||||
| TOBACCO — 1.1% |
| |||||||
| Philip Morris International, Inc. |
549 | 64,480 | ||||||
|
|
|
|||||||
| TRADING COMPANIES & DISTRIBUTORS — 2.4% |
| |||||||
| United Rentals, Inc. (a) |
1,270 | 143,142 | ||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS |
5,915,209 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
61
Table of Contents
SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| SHORT-TERM INVESTMENT — 1.4% |
| |||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (b)
(c) |
84,511 | $ | 84,511 | |||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.9% |
5,999,720 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% |
7,992 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 6,007,712 | ||||||
|
|
|
|||||||
| (a) | Non-income producing security. |
| (b) | The rate shown is the annualized seven-day yield at June 30, 2017. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
REIT Real Estate Investment Trust
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Aerospace & Defense |
$ | 217,394 | $ | — | $ | — | $ | 217,394 | ||||||||
| Airlines |
82,485 | — | — | 82,485 | ||||||||||||
| Banks |
843,119 | — | — | 843,119 | ||||||||||||
| Beverages |
58,900 | — | — | 58,900 | ||||||||||||
| Chemicals |
111,732 | — | — | 111,732 | ||||||||||||
| Communications Equipment |
102,946 | — | — | 102,946 | ||||||||||||
| Consumer Finance |
226,548 | — | — | 226,548 | ||||||||||||
| Diversified Telecommunication Services |
30,503 | — | — | 30,503 | ||||||||||||
| Electric Utilities |
418,340 | — | — | 418,340 | ||||||||||||
| Electrical Equipment |
38,870 | — | — | 38,870 | ||||||||||||
| Energy Equipment & Services |
37,463 | — | — | 37,463 | ||||||||||||
| Food Products |
280,412 | — | — | 280,412 | ||||||||||||
| Health Care Equipment & Supplies |
108,870 | — | — | 108,870 | ||||||||||||
| Health Care Providers & Services |
328,365 | — | — | 328,365 | ||||||||||||
| Hotels, Restaurants & Leisure |
188,968 | — | — | 188,968 | ||||||||||||
| Insurance |
454,913 | — | — | 454,913 | ||||||||||||
| Internet & Catalog Retail |
89,785 | — | — | 89,785 | ||||||||||||
| IT Services |
187,887 | — | — | 187,887 | ||||||||||||
| Machinery |
118,421 | — | — | 118,421 | ||||||||||||
| Oil, Gas & Consumable Fuels |
526,141 | — | — | 526,141 | ||||||||||||
| Pharmaceuticals |
347,496 | — | — | 347,496 | ||||||||||||
| Real Estate Investment Trusts (REITs) |
175,325 | — | — | 175,325 | ||||||||||||
| Road & Rail |
174,256 | — | — | 174,256 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
124,028 | — | — | 124,028 | ||||||||||||
| Software |
96,111 | — | — | 96,111 | ||||||||||||
| Specialty Retail |
247,956 | — | — | 247,956 | ||||||||||||
| Technology Hardware, Storage & Peripherals |
90,353 | — | — | 90,353 | ||||||||||||
| Tobacco |
64,480 | — | — | 64,480 | ||||||||||||
| Trading Companies & Distributors |
143,142 | — | — | 143,142 | ||||||||||||
| Short-Term Investment |
84,511 | — | — | 84,511 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 5,999,720 | $ | — | $ | — | $ | 5,999,720 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
62
Table of Contents
SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
31,318 | $ | 31,318 | 24,823 | 56,141 | — | $ | — | $ | 31 | $ | — | ||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 93,962 | 9,451 | 84,511 | 84,511 | 159 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 187,522 | 187,522 | — | — | 89 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 31,318 | $ | 84,511 | $ | 279 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
63
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2017
| SSGA Multi-Asset Real Return Portfolio |
SSGA Income Allocation Portfolio |
SSGA Global Allocation Portfolio |
||||||||||
| ASSETS |
||||||||||||
| Investments in unaffiliated issuers, at value (Note 2) |
$ | 25,900,868 | $ | — | $ | 4,159,942 | ||||||
| Investments in affiliated issuers, at value (Note 2) |
90,099,299 | 96,293,832 | 205,135,352 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total Investments |
116,000,167 | 96,293,832 | 209,295,294 | |||||||||
| Cash |
— | — | — | |||||||||
| Receivable for investments sold |
— | — | — | |||||||||
| Receivable for fund shares sold |
— | — | — | |||||||||
| Dividends receivable — unaffiliated issuers (Note 2) |
— | — | — | |||||||||
| Interest receivable — unaffiliated issuers (Note 2) |
— | — | — | |||||||||
| Dividends and interest receivable — affiliated issuers (Note 2) |
189 | 282 | 203,516 | |||||||||
| Unrealized appreciation on unfunded loan commitments |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL ASSETS |
116,000,356 | 96,294,114 | 209,498,810 | |||||||||
|
|
|
|
|
|
|
|||||||
| LIABILITIES |
||||||||||||
| Payable for investments purchased |
— | — | — | |||||||||
| Advisory fee payable (Note 4) |
18,728 | 16,276 | 34,336 | |||||||||
| Trustees’ fees and expenses payable (Note 5) |
45 | 37 | 44 | |||||||||
| Accrued expenses and other liabilities |
— | 83 | 160 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL LIABILITIES |
18,773 | 16,396 | 34,540 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET ASSETS |
$ | 115,981,583 | $ | 96,277,718 | $ | 209,464,270 | ||||||
|
|
|
|
|
|
|
|||||||
| COST OF INVESTMENTS: |
||||||||||||
| Investments in unaffiliated issuers |
$ | 32,456,423 | $ | — | $ | 4,190,270 | ||||||
| Investments in affiliated issuers |
92,115,825 | 92,113,002 | 191,004,842 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total cost of investments |
$ | 124,572,248 | $ | 92,113,002 | $ | 195,195,112 | ||||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements.
64
Table of Contents
| 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 |
|||||||||||||||||
| $ | 1,796,965,440 | $ | 17,953,421 | $ | 3,215,471,491 | $ | 6,836,534 | $ | 38,790,750 | $ | 5,915,209 | |||||||||||
| 119,281,817 | 133,860 | 119,660,357 | 45,055 | 343,832 | 84,511 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,916,247,257 | 18,087,281 | 3,335,131,848 | 6,881,589 | 39,134,582 | 5,999,720 | |||||||||||||||||
| 6,231,861 | — | 6,567,099 | — | — | — | |||||||||||||||||
| 49,003,675 | 499,815 | 20,099,458 | — | — | — | |||||||||||||||||
| 21,328,677 | — | — | — | — | — | |||||||||||||||||
| — | — | — | 6,890 | 61,548 | 9,408 | |||||||||||||||||
| 4,771,603 | 32,411 | 15,214,493 | — | 323 | — | |||||||||||||||||
| 120,025 | 105 | 95,291 | 30 | — | 57 | |||||||||||||||||
| — | — | 620 | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,997,703,098 | 18,619,612 | 3,377,108,809 | 6,888,509 | 39,196,453 | 6,009,185 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 176,178,236 | 498,146 | 24,254,611 | — | — | — | |||||||||||||||||
| 436,010 | 2,978 | 826,126 | 1,693 | 14,580 | 1,462 | |||||||||||||||||
| — | 20 | 48 | 8 | 9 | 8 | |||||||||||||||||
| 1,235 | 12 | 2,484 | 5 | 12 | 3 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 176,615,481 | 501,156 | 25,083,269 | 1,706 | 14,601 | 1,473 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,821,087,617 | $ | 18,118,456 | $ | 3,352,025,540 | $ | 6,886,803 | $ | 39,181,852 | $ | 6,007,712 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,788,172,197 | $ | 17,913,643 | $ | 3,230,442,453 | $ | 5,931,963 | $ | 38,604,950 | $ | 5,371,888 | |||||||||||
| 119,281,817 | 133,860 | 119,660,357 | 45,055 | 343,832 | 84,511 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,907,454,014 | $ | 18,047,503 | $ | 3,350,102,810 | $ | 5,977,018 | $ | 38,948,782 | $ | 5,456,399 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
65
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF OPERATIONS
For the Year Ended June 30, 2017
| SSGA Multi-Asset Portfolio |
SSGA Income Allocation Portfolio |
SSGA Global Allocation Portfolio |
||||||||||
| INVESTMENT INCOME |
||||||||||||
| Interest income — unaffiliated issuers (Note 2) |
$ | — | $ | — | $ | — | ||||||
| Dividend income — unaffiliated issuers (Note 2) |
37,521 | 19,274 | 55,820 | |||||||||
| Dividend income — affiliated issuers (Note 2) |
2,381,844 | 3,882,500 | 5,618,962 | |||||||||
| Foreign taxes withheld |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL INVESTMENT INCOME (LOSS) |
2,419,365 | 3,901,774 | 5,674,782 | |||||||||
|
|
|
|
|
|
|
|||||||
| EXPENSES |
||||||||||||
| Advisory fee (Note 4) |
193,149 | 202,846 | 388,723 | |||||||||
| Trustees’ fees and expenses (Note 5) |
1,491 | 1,839 | 3,385 | |||||||||
| Miscellaneous expenses |
248 | 359 | 645 | |||||||||
|
|
|
|
|
|
|
|||||||
| TOTAL EXPENSES |
194,888 | 205,044 | 392,753 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET INVESTMENT INCOME (LOSS) |
2,224,477 | 3,696,730 | 5,282,029 | |||||||||
|
|
|
|
|
|
|
|||||||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||
| Net realized gain (loss) on: |
||||||||||||
| Investments — unaffiliated issuers |
(2,655,963 | ) | 284,391 | (1,975,610 | ) | |||||||
| Investments — affiliated issuers |
(3,255,382 | ) | (69,925 | ) | 942,511 | |||||||
| In-kind redemptions — unaffiliated issuers |
97,202 | 11,018 | 8,331 | |||||||||
| In-kind redemptions — affiliated issuers |
749,657 | 1,295,134 | 1,206,263 | |||||||||
| Capital gain distributions — affiliated issuers |
44,345 | 115,431 | 99,210 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net realized gain (loss) |
(5,020,141 | ) | 1,636,049 | 280,705 | ||||||||
|
|
|
|
|
|
|
|||||||
| Net change in unrealized appreciation/depreciation on: |
||||||||||||
| Investments — unaffiliated issuers |
764,099 | 418,958 | 172,638 | |||||||||
| Investments — affiliated issuers |
1,826,120 | 976,135 | 10,924,741 | |||||||||
| Unfunded loan commitments |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Net change in unrealized appreciation/depreciation |
2,590,219 | 1,395,093 | 11,097,379 | |||||||||
|
|
|
|
|
|
|
|||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
(2,429,922 | ) | 3,031,142 | 11,378,084 | ||||||||
|
|
|
|
|
|
|
|||||||
| NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS |
$ | (205,445 | ) | $ | 6,727,872 | $ | 16,660,113 | |||||
|
|
|
|
|
|
|
|||||||
See accompanying notes to financial statements.
66
Table of Contents
| Blackstone / GSO Senior Loan Portfolio |
SSGA Ultra Short Term Bond Portfolio |
State Street |
SSGA MFS Systematic Core Equity Portfolio |
SSGA MFS Systematic Growth Equity Portfolio |
SSGA MFS Systematic Value Equity Portfolio |
|||||||||||||||||
| $ | 54,297,551 | $ | 197,421 | $ | 98,597,513 | $ | — | $ | — | $ | — | |||||||||||
| — | — | — | 134,907 | 319,169 | 94,671 | |||||||||||||||||
| 563,245 | 1,460 | 955,935 | 240 | 1,011 | 279 | |||||||||||||||||
| — | — | (1,311 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 54,860,796 | 198,881 | 99,552,137 | 135,147 | 320,180 | 94,950 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 3,567,543 | 30,588 | 9,173,323 | 19,075 | 57,784 | 11,853 | |||||||||||||||||
| 17,612 | 280 | 50,582 | 116 | 240 | 64 | |||||||||||||||||
| 3,736 | 77 | 8,821 | 20 | 47 | 12 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 3,588,891 | 30,945 | 9,232,726 | 19,211 | 58,071 | 11,929 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 51,271,905 | 167,936 | 90,319,411 | 115,936 | 262,109 | 83,021 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 2,066,427 | (4,025 | ) | 2,330,165 | 141,554 | 122,880 | 55,579 | ||||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||
| — | — | — | — | 3,179,095 | — | |||||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 2,066,427 | (4,025 | ) | 2,330,165 | 141,554 | 3,301,975 | 55,579 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 10,003,339 | 44,005 | (41,420,487 | ) | 911,829 | (247,154 | ) | 483,302 | |||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||
| — | — | 620 | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 10,003,339 | 44,005 | (41,419,867 | ) | 911,829 | (247,154 | ) | 483,302 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 12,069,766 | 39,980 | (39,089,702 | ) | 1,053,383 | 3,054,821 | 538,881 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ |
63,341,671 |
$ | 207,916 | $ | 51,229,709 | $ | 1,169,319 | $ | 3,316,930 | $ | 621,902 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
67
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
SSGA Multi-Asset Real Return Portfolio |
SSGA Income Allocation Portfolio | |||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 2,224,477 | $ | 1,279,623 | $ | 3,696,730 | $ | 3,464,371 | ||||||||
| Net realized gain (loss) |
(5,020,141 | ) | (16,425,437 | ) | 1,636,049 | (3,781,497 | ) | |||||||||
| Net change in unrealized appreciation/depreciation |
2,590,219 | 6,755,612 | 1,395,093 | 3,854,282 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets resulting from operations |
(205,445 | ) | (8,390,202 | ) | 6,727,872 | 3,537,156 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Contributions |
47,857,927 | 26,711,193 | 1,595,744 | 3,064,239 | ||||||||||||
| Withdrawals |
(12,495,923 | ) | (79,491,499 | ) | (17,542,768 | ) | (22,253,312 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets from capital transactions |
35,362,004 | (52,780,306 | ) | (15,947,024 | ) | (19,189,073 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets during the period |
35,156,559 | (61,170,508 | ) | (9,219,152 | ) | (15,651,917 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net assets at beginning of period |
80,825,024 | 141,995,532 | 105,496,870 | 121,148,787 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS AT END OF PERIOD |
$ | 115,981,583 | $ | 80,825,024 | $ | 96,277,718 | $ | 105,496,870 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
68
Table of Contents
| SSGA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio | SSGA Ultra Short Term Bond Portfolio | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||||||||
| $ | 5,282,029 | $ | 3,986,999 | $ | 51,271,905 | $ | 34,077,238 | $ | 167,936 | $ | 221,537 | |||||||||||
| 280,705 | (8,789,786 | ) | 2,066,427 | (46,703,017 | ) | (4,025 | ) | (268,835 | ) | |||||||||||||
| |
11,097,379 |
1,852,646 | 10,003,339 | 7,786,198 | 44,005 | 5,488 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
16,660,113 |
(2,950,141 | ) | 63,341,671 | (4,839,581 | ) | 207,916 | (41,810 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 27,444,065 | 99,464,019 | 1,009,734,223 | 239,502,612 | 6,048,995 | 195,887,137 | |||||||||||||||||
| (14,353,121 | ) | (61,576,069 | ) | (54,477,525 | ) | (104,437,485 | ) | (12,178,222 | ) | (187,824,678 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
13,090,944 |
37,887,950 | 955,256,698 | 135,065,127 | (6,129,227 | ) | 8,062,459 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| |
29,751,057 |
34,937,809 | 1,018,598,369 | 130,225,546 | (5,921,311 | ) | 8,020,649 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 179,713,213 | 144,775,404 | 802,489,248 | 672,263,702 | 24,039,767 | 16,019,118 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 209,464,270 | $ | 179,713,213 | $ | 1,821,087,617 | $ | 802,489,248 | $ | 18,118,456 | $ | 24,039,767 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
69
Table of Contents
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 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 90,319,411 | $ | 58,040,301 | $ | 115,936 | $ | 100,266 | ||||||||
| Net realized gain (loss) |
2,330,165 | (3,169,628 | ) | 141,554 | 351,176 | |||||||||||
| Net change in unrealized appreciation/depreciation |
(41,419,867 | ) | 33,117,161 | 911,829 | (346,393 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets resulting from operations |
51,229,709 | 87,987,834 | 1,169,319 | 105,049 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Contributions |
768,076,980 | 1,856,614,856 | — | 5,860,886 | ||||||||||||
| Withdrawals |
(103,354,126 | ) | (55,223,775 | ) | (119,679 | ) | (3,069,067 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets from capital transactions |
664,722,854 | 1,801,391,081 | (119,679 | ) | 2,791,819 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets during the period |
715,952,563 | 1,889,378,915 | 1,049,640 | 2,896,868 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net assets at beginning of period |
2,636,072,977 | 746,694,062 | 5,837,163 | 2,940,295 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS AT END OF PERIOD |
$ | 3,352,025,540 | $ | 2,636,072,977 | $ | 6,886,803 | $ | 5,837,163 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See accompanying notes to financial statements.
70
Table of Contents
| SSGA MFS Systematic Growth Equity Portfolio |
SSGA MFS Systematic Value Equity Portfolio |
|||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/17 |
Year Ended 6/30/16 |
|||||||||||
| $ | 262,109 | $ | 145,216 | $ | 83,021 | $ | 57,782 | |||||||
| 3,301,975 | 378,209 | 55,579 | 109,895 | |||||||||||
| |
(247,154) |
53,236 | 483,302 | (243,654 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| |
3,316,930 |
576,661 | 621,902 | (75,977 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 45,181,471 | 8,964,864 | 2,907,751 | — | |||||||||||
| (21,484,558 | ) | (3,418,489 | ) | (135,740 | ) | (219,833 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| |
23,696,913 |
5,546,375 | 2,772,011 | (219,833 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| |
27,013,843 |
6,123,036 | 3,393,913 | (295,810 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 12,168,009 | 6,044,973 | 2,613,799 | 2,909,609 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 39,181,852 | $ | 12,168,009 | $ | 6,007,712 | $ | 2,613,799 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
71
Table of Contents
SSGA MASTER TRUST
The following table includes selected supplemental data and ratios to average net assets:
| SSGA Multi-Asset Real Return Portfolio† | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
||||||||||||||||
| Total return |
0.56 | % | (3.94 | )% | (14.80 | )% | 13.93 | % | (1.63 | )% | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 115,982 | $ | 80,825 | $ | 141,996 | $ | 164,635 | $ | 121,584 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||
| Net investment income (loss) |
2.30 | % | 1.36 | % | 1.56 | % | 2.01 | % | 2.91 | % | ||||||||||
| Portfolio turnover rate |
46 | % | 25 | % | 33 | % | 40 | % | 31 | % | ||||||||||
| † | 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. |
See accompanying notes to financial statements.
72
Table of Contents
SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
| SSGA Income Allocation Portfolio† | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
||||||||||||||||
| Total return |
7.00 | % | 3.95 | % | (1.42 | )% | 13.84 | % | 4.39 | % | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 96,278 | $ | 105,497 | $ | 121,149 | $ | 104,030 | $ | 174,255 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||
| Net investment income (loss) |
3.64 | % | 3.23 | % | 3.15 | % | 3.89 | % | 4.65 | % | ||||||||||
| Portfolio turnover rate |
47 | % | 54 | % | 64 | % | 63 | % | 80 | % | ||||||||||
| † | 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. |
See accompanying notes to financial statements.
73
Table of Contents
SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
| SSGA Global Allocation Portfolio† | ||||||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
Year Ended 6/30/13 |
||||||||||||||||
| Total return |
8.92 | % | (0.80 | )% | 0.49 | % | 16.80 | % | 9.92 | % | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 209,464 | $ | 179,713 | $ | 144,775 | $ | 98,492 | $ | 51,936 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||
| Net investment income (loss) |
2.72 | % | 2.30 | % | 2.45 | % | 2.76 | % | 3.07 | % | ||||||||||
| Portfolio turnover rate |
90 | % | 86 | % | 98 | % | 89 | % | 123 | % | ||||||||||
| † | 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. |
See accompanying notes to financial statements.
74
Table of Contents
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 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
Year Ended 6/30/14 |
For the Period 4/3/13* - 6/30/13 |
||||||||||||||||
| Total return |
6.19 | % | (0.20 | )% | 2.98 | % | 4.00 | % | (0.31 | )%(a) | ||||||||||
| Ratios and Supplemental Data: |
||||||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 1,821,088 | $ | 802,489 | $ | 672,264 | $ | 610,477 | $ | 332,792 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Total expenses |
0.30 | % | 0.30 | % | 0.31 | % | 0.30 | % | 0.30 | %(b) | ||||||||||
| Net investment income (loss) |
4.31 | % | 4.54 | % | 4.49 | % | 3.63 | % | 2.57 | %(b) | ||||||||||
| Portfolio turnover rate |
68 | % | 88 | % | 65 | % | 77 | % | 4 | %(a) | ||||||||||
| * | Commencement of operations. |
| (a) | Not annualized. |
| (b) | Annualized. |
See accompanying notes to financial statements.
75
Table of Contents
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 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 10/9/13* - 6/30/14 |
|||||||||||||
| Total return |
1.54 | % | 0.65 | % | 0.21 | % | 0.47 | %(a) | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 18,118 | $ | 24,040 | $ | 16,019 | $ | 14,036 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(b) | ||||||||
| Net investment income (loss) |
1.09 | % | 0.69 | % | 0.33 | % | 0.34 | %(b) | ||||||||
| Portfolio turnover rate |
83 | % | 407 | % | 79 | % | 39 | %(a) | ||||||||
| * | Commencement of operations. |
| (a) | Not annualized. |
| (b) | Annualized. |
See accompanying notes to financial statements.
76
Table of Contents
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 6/30/17 |
Year Ended 6/30/16 |
For the Period 2/23/15* - 6/30/15 |
||||||||||
| Total return |
1.75 | % | 4.32 | % | (0.36 | )%(a) | ||||||
| Ratios and Supplemental Data: |
||||||||||||
| Net assets, end of period (in 000s) |
$ | 3,352,026 | $ | 2,636,073 | $ | 746,694 | ||||||
| Ratios to average net assets: |
||||||||||||
| Total expenses |
0.30 | % | 0.30 | % | 0.30 | %(b) | ||||||
| Net investment income (loss) |
2.95 | % | 3.38 | % | 3.46 | %(b) | ||||||
| Portfolio turnover rate |
72 | % | 38 | % | 14 | %(a) | ||||||
| * | Commencement of operations. |
| (a) | Not annualized. |
| (b) | Annualized. |
See accompanying notes to financial statements.
77
Table of Contents
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 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 1/8/14* - 6/30/14 |
|||||||||||||
| Total return |
20.26 | % | 2.53 | % | 14.00 | % | 7.92 | %(a) | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 6,887 | $ | 5,837 | $ | 2,940 | $ | 5,378 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(b) | ||||||||
| Net investment income (loss) |
1.83 | % | 2.08 | % | 1.72 | % | 1.55 | %(b) | ||||||||
| Portfolio turnover rate |
67 | % | 39 | % | 54 | % | 27 | %(a) | ||||||||
| * | Commencement of operations. |
| (a) | Not annualized. |
| (b) | Annualized. |
See accompanying notes to financial statements.
78
Table of Contents
SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
| SSGA MFS Systematic Growth Equity Portfolio | ||||||||||||||||
| Year Ended 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 1/8/14* - 6/30/14 |
|||||||||||||
| Total return |
18.52 | % | 4.24 | % | 17.85 | % | 7.85 | %(a) | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 39,182 | $ | 12,168 | $ | 6,045 | $ | 5,373 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(b) | ||||||||
| Net investment income (loss) |
1.36 | % | 1.37 | % | 1.44 | % | 1.46 | %(b) | ||||||||
| Portfolio turnover rate |
55 | % | 56 | % | 67 | % | 20 | %(a) | ||||||||
| * | Commencement of operations. |
| (a) | Not annualized. |
| (b) | Annualized. |
See accompanying notes to financial statements.
79
Table of Contents
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 6/30/17 |
Year Ended 6/30/16 |
Year Ended 6/30/15 |
For the Period 1/8/14* - 6/30/14 |
|||||||||||||
| Total return |
19.94 | % | (2.13 | )% | 13.79 | % | 6.20 | %(a) | ||||||||
| Ratios and Supplemental Data: |
||||||||||||||||
| Net assets, end of period (in 000s) |
$ | 6,008 | $ | 2,614 | $ | 2,910 | $ | 5,286 | ||||||||
| Ratios to average net assets: |
||||||||||||||||
| Total expenses |
0.30 | % | 0.31 | % | 0.30 | % | 0.30 | %(b) | ||||||||
| Net investment income (loss) |
2.11 | % | 2.15 | % | 1.67 | % | 1.73 | %(b) | ||||||||
| Portfolio turnover rate |
64 | % | 64 | % | 61 | % | 23 | %(a) | ||||||||
| * | Commencement of operations. |
| (a) | Not annualized. |
| (b) | Annualized. |
See accompanying notes to financial statements.
80
Table of Contents
SSGA MASTER TRUST
June 30, 2017
| 1. | Organization |
SSGA Master Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2017, the Trust consists of nine (9) series, each of which represents a separate series of beneficial interest in the Trust. The financial statements herein relate to the following Portfolios (each, a “Portfolio” and collectively, the “Portfolios”):
SSGA Multi-Asset Real Return Portfolio
SSGA Income Allocation Portfolio
SSGA Global Allocation Portfolio
Blackstone / GSO Senior Loan Portfolio
SSGA Ultra Short Term Bond Portfolio
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
Each Portfolio is classified as a diversified investment company under the 1940 Act, with the exception of SSGA Ultra Short Term Bond Portfolio and State Street DoubleLine Total Return Tactical 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 would 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 Portfolio’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 (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 (“NAV”) per share or unit. |
81
Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
| • | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices. |
| • | Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for 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 NAV 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 an identical asset or liability; |
| • | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability 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, 2017, 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 Portfolios had no transfers between levels for the period ended June 30, 2017.
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 premiums and 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.
82
Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
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.
All of the net investment income and realized 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 | |||
| 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 | |||
83
Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
| Annual Rate | ||||
| SSGA MFS Systematic Core Equity Portfolio |
0.30 | % | ||
| SSGA MFS Systematic Growth Equity Portfolio |
0.30 | |||
| SSGA MFS Systematic Value Equity Portfolio |
0.30 | |||
The Adviser pays all expenses of each Portfolio other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (“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 Tactical Portfolio from the Adviser.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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 to the Portfolios. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
| 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 period ended June 30, 2017, were as follows:
| U.S. Government Obligations |
Other Securities | |||||||||||||||
| Purchases | Sales | Purchases | Sales | |||||||||||||
| SSGA Multi-Asset Real Return Portfolio |
$ | — | $ | — | $ | 45,775,228 | $ | 43,941,986 | ||||||||
| SSGA Income Allocation Portfolio |
— | — | 51,467,522 | 46,798,367 | ||||||||||||
| SSGA Global Allocation Portfolio |
— | — | 183,538,721 | 166,297,518 | ||||||||||||
| Blackstone / GSO Senior Loan Portfolio |
— | — | 1,836,331,981 | 806,574,804 | ||||||||||||
| SSGA Ultra Short Term Bond Portfolio |
1,794,059 | 999,455 | 9,821,894 | 13,285,674 | ||||||||||||
| State Street DoubleLine Total Return Tactical Portfolio |
928,133,748 | 734,213,911 | 1,956,219,290 | 1,301,244,002 | ||||||||||||
| SSGA MFS Systematic Core Equity Portfolio |
— | — | 4,260,820 | 4,239,512 | ||||||||||||
| SSGA MFS Systematic Growth Equity Portfolio |
— | — | 11,060,290 | 11,017,687 | ||||||||||||
| SSGA MFS Systematic Value Equity Portfolio |
— | — | 2,501,312 | 2,589,061 | ||||||||||||
84
Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
For the period ended June 30, 2017, the following Portfolios had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:
| In-kind Contributions |
In-kind Redemptions |
In-kind Net Realized Gains/(Losses) |
||||||||||
| SSGA Multi-Asset Real Return Portfolio |
$ | 47,782,161 | $ | 10,818,275 | $ | 846,859 | ||||||
| SSGA Income Allocation Portfolio |
1,531,887 | 13,737,747 | 1,306,152 | |||||||||
| SSGA Global Allocation Portfolio |
24,499,959 | 15,170,801 | 1,214,594 | |||||||||
| SSGA MFS Systematic Growth Equity Portfolio |
44,839,147 | 21,136,904 | 3,179,095 | |||||||||
| 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. Generally, 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 Portfolio’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, 2017, 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 |
$ | 124,572,248 | $ | 1,492,057 | $ | 10,064,138 | $ | (8,572,081 | ) | |||||||
| SSGA Income Allocation Portfolio |
92,113,002 | 5,012,007 | 831,177 | 4,180,830 | ||||||||||||
| SSGA Global Allocation Portfolio |
195,195,112 | 14,169,345 | 69,163 | 14,100,182 | ||||||||||||
| Blackstone / GSO Senior Loan Portfolio |
1,907,454,014 | 12,845,905 | 4,052,662 | 8,793,243 | ||||||||||||
| SSGA Ultra Short Term Bond Portfolio |
18,047,503 | 46,383 | 6,605 | 39,778 | ||||||||||||
| State Street DoubleLine Total Return Tactical Portfolio |
3,350,191,413 | 22,432,716 | 37,492,281 | (15,059,565 | ) | |||||||||||
| SSGA MFS Systematic Core Equity Portfolio |
5,997,961 | 948,223 | 44,595 | 903,628 | ||||||||||||
| SSGA MFS Systematic Growth Equity Portfolio |
38,948,782 | 792,156 | 606,356 | 185,800 | ||||||||||||
| SSGA MFS Systematic Value Equity Portfolio |
5,457,908 | 619,761 | 77,949 | 541,812 | ||||||||||||
| 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 October 12, 2017 unless extended or renewed. Prior to October 13, 2016, the participants could borrow up to $360 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements. The following Portfolios participate in the credit facility:
Blackstone / GSO Senior Loan Portfolio
SSGA Ultra Short Term Bond Portfolio
State Street DoubleLine Total Return Tactical Portfolio
85
Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
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 paid by the Adviser. 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was 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 as of June 30, 2017.
| 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 Risk
Investing in foreign markets involves 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’ invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a 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. | New Accounting Pronouncements |
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolios and concluded that it will be limited to additional disclosures.
| 11. | 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.
86
Table of Contents
SSGA MASTER TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Owners of Beneficial Interest and Board of Trustees of SSGA Master Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SSGA Master Trust (comprising, respectively, 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 and SSGA MFS Systematic Value Equity Portfolio) (collectively, the “Portfolios”), as of June 30, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the years or 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, 2017 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, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 25, 2017
87
Table of Contents
SSGA MASTER TRUST
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Portfolio, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
The table below illustrates your Portfolio’s cost in two ways:
Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return — This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Actual | Hypothetical (assuming a 5% return before expenses) |
|||||||||||||||||||
| Annualized Expense Ratio |
Ending Account Value |
Expenses Paid During Period(a) |
Ending Account Value |
Expenses Paid During Period(a) |
||||||||||||||||
| SSGA Multi-Asset Real Return Portfolio |
0.20 | % | $ | 991.40 | $ | 0.99 | $ | 1,023.80 | $ | 1.00 | ||||||||||
| SSGA Income Allocation Portfolio |
0.20 | 1,073.30 | 1.03 | 1,023.80 | 1.00 | |||||||||||||||
| SSGA Global Allocation Portfolio |
0.20 | 1,086.00 | 1.03 | 1,023.80 | 1.00 | |||||||||||||||
| Blackstone / GSO Senior Loan Portfolio |
0.30 | 1,018.10 | 1.50 | 1,023.30 | 1.51 | |||||||||||||||
| SSGA Ultra Short Term Bond Portfolio |
0.20 | 1,007.50 | 1.00 | 1,023.80 | 1.00 | |||||||||||||||
| State Street DoubleLine Total Return Tactical Portfolio |
0.30 | 1,025.70 | 1.51 | 1,023.30 | 1.51 | |||||||||||||||
| SSGA MFS Systematic Core Equity Portfolio |
0.30 | 1,102.50 | 1.56 | 1,023.30 | 1.51 | |||||||||||||||
| SSGA MFS Systematic Growth Equity Portfolio |
0.30 | 1,140.60 | 1.59 | 1,023.30 | 1.51 | |||||||||||||||
| SSGA MFS Systematic Value Equity Portfolio |
0.30 | 1,068.60 | 1.54 | 1,023.30 | 1.51 | |||||||||||||||
| (a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
88
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
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 SEC, 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, 2017, the Board of Trustees of the Trusts (the “Board”) evaluated proposals 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 following operational series of SSGA Active Trust (the “SSAT Series”) and the corresponding series of SSGA Master Trust (together with the SSAT Series, the “Funds”): SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR Blackstone / GSO Senior Loan ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR DoubleLine Total Return Tactical ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF. 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 the Adviser with respect to the Funds under the Agreements, (ii) investment performance of the 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 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 nature of the SSAT Series as exchange-traded funds and the experience and expertise of the Adviser with exchange-traded funds, as well as the master-feeder structure. 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 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 management 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
89
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
specifically considered the Adviser’s experience in active management, managing exchange-traded funds and master-feeder structures and overseeing third-party sub-advisers, as applicable.
Investment Performance
The Board then reviewed the Funds’ performance. The Board compared each Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses) and a group of comparable funds (net of expenses). 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 although the Fund underperformed the median of its Performance Group for the 2-, 3- and 4-year periods, it had outperformed the median of its Performance Group for
the most recent 1-year period. In addition, the Board considered that although the Fund underperformed its benchmark index for the 1- and 3-year and since inception periods, its performance for the 3-year and since inception periods was comparable to that of the benchmark index.
SPDR SSGA Income Allocation ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1-, 2-, 3- and 4-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the 1- and 3-year and since inception periods, its performance for the 3-year and since inception periods was comparable to that of the benchmark index.
SPDR SSGA Global Allocation ETF. The Board considered that the Fund either equaled or outperformed the median of its Performance Group for the 1-, 2-, 3- and 4-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the 1- and 3-year and since inception periods, its performance for the 3-year and since inception periods was comparable to that of the benchmark index.
SPDR Blackstone / GSO Senior Loan ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 1-, 2- and 3-year periods, its performance during these periods was comparable to that of the median of the Performance Group. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the 3-year and since inception periods.
SPDR SSGA Ultra Short Term Bond ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 3-year period, it equaled the median of its Performance Group for the 1- and 2-year periods. In addition, the Board considered that the Fund outperformed its benchmark index for the 1- and 3-year and since inception periods.
SPDR DoubleLine Total Return Tactical ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 1-year period, its performance was not significantly below the median of its Performance Group. In addition, the Board noted that the Fund outperformed its benchmark index for the 1-year and since inception periods.
SPDR MFS Systematic Core Equity ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1- and 2-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the since inception period.
SPDR MFS Systematic Growth Equity ETF. The Board considered that although the Fund underperformed the median of its Performance Group for the 1-year period, it outperformed the median of its Performance Group for the 2-year period. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the since inception period.
SPDR MFS Systematic Value Equity ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1- and 2-year periods. In addition, the Board considered that although the Fund underperformed its benchmark index for the most recent 1-year period, it outperformed its benchmark index for the since inception period.
In those instances where the Board observed underperformance, the Trustees considered management’s explanation of those factors that contributed to such underperformance and steps being taken in response to such factors. On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund is satisfactory.
90
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Profits Realized by Adviser
The Board considered the profitability of the advisory arrangement with the Funds to the Adviser, including data on the Funds’ historical profitability to the Adviser. The Independent Trustees, with their independent legal 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 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. 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.
Conclusion
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 by the Adviser with respect to the Funds were appropriate; (b) the performance of each Fund had been satisfactory; (c) the Adviser’s unitary fee for each Fund, considered in relation to services 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 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, 2017, 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
91
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
performance of the GSO / Blackstone Funds. The Board was informed 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 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. The Board also considered whether GSO / Blackstone benefited in other ways from its relationship with the Trusts.
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 as well as the relevant factors discussed in relation to the Agreements between the Trusts and the Adviser, 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, 2017, 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 informed 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 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 also considered whether MFS benefited in other ways from its relationship with the Trusts.
The Board, including the Independent Trustees voting separately, approved the MFS Sub-Advisory Agreements for each MFS Fund after weighing the foregoing factors as well as the relevant factors discussed in relation to the Agreements between the Trusts and the Adviser, 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.
92
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Approval of DoubleLine Capital LP Sub-Advisory Agreements
At in-person meetings held prior to June 30, 2017, the Board also evaluated 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, each sub-advised by DoubleLine (together, the “DoubleLine Funds”). The Independent Trustees also met separately with their independent legal counsel to consider the DoubleLine Sub-Advisory Agreements.
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 by DoubleLine with respect to the DoubleLine Funds under the DoubleLine Sub-Advisory Agreements; and (ii) investment performance of the DoubleLine Funds. The Board was informed 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 DoubleLine Funds’ performance, noting that the performance of the DoubleLine Funds was satisfactory. The Board also considered the unitary fee paid to the Adviser by each DoubleLine Fund and DoubleLine’s fees paid by the Adviser. The Board also considered whether DoubleLine benefited in other ways from its relationship with the Trusts.
The Board, including the Independent Trustees voting separately, approved the DoubleLine Sub-Advisory Agreements for the DoubleLine Funds after weighing the foregoing factors as well as the relevant factors discussed in relation to the Agreements between the Trusts and the Adviser, 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 by DoubleLine with respect to the DoubleLine Funds were adequate and appropriate; (b) the performance of the DoubleLine Funds had been satisfactory; (c) DoubleLine’s fees for the DoubleLine Funds and the unitary fee, considered in relation to the services 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 to DoubleLine adequately shared the economies of scale with each applicable DoubleLine Fund by way of the relatively low fee structure of the Trusts.
93
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| Name, Address |
Position(s) |
Term of |
Principal |
Number of |
Other | |||||
| 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 March 2011 |
Retired. | 179 | None. | |||||
| DAVID M. KELLY c/o SSGA Master Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Retired. | 179 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
| 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 March 2011 |
Retired. | 179 | None. | |||||
| 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 March 2011 |
Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
179 | 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, Audit Committee Chair | Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2009. |
179 | The Motley Fool Funds Trust (Trustee). |
94
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| Name, Address |
Position(s) |
Term of |
Principal |
Number of |
Other | |||||
| 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 March 2011 |
Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). |
255 | None. |
| † | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Fund Management, Inc. serves as investment adviser. |
| * | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. |
| Name, Address and Year of Birth |
Position(s) |
Term of |
Principal | |||
| Officers |
||||||
| 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)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present). | |||
| 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). | |||
| 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 |
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 March 2011 |
Managing Director, State Street Global Advisors (2005-present).* |
95
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| Name, Address and Year of Birth |
Position(s) |
Term of |
Principal | |||
| 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). | |||
| JESSE D. HALLEE State Street Bank and Trust Company One Hundred Summer Street, SUM0703 Boston, MA 02111 1976 |
Secretary | Term: Unlimited Served: since August 2017 |
Vice President and Senior Counsel, State Street Bank and Trust Company (2013 to present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).** | |||
| PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 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).*,. ** | |||
| 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).* | |||
| DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1968 |
Deputy Treasurer |
Term: Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016). | |||
| 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).* | |||
| DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1980 |
Assistant Treasurer |
Term: Unlimited Served: since May 2017 |
Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015). |
96
Table of Contents
SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| Name, Address and Year of Birth |
Position(s) |
Term of |
Principal | |||
| BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973 |
Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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.
97
Table of Contents
SSGA Master Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President; Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Daniel Plourde, Assistant Treasurer
Jesse D. Hallee, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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
Table of Contents
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 Advisors Funds Distributors, 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 Advisors Funds Distributors, 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 Advisors Funds Distributors, 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-24517 |
Table of Contents
Annual Report
30 June 2017
SSGA Active Trust
SPDR DoubleLine® Emerging Markets Fixed Income ETF (EMTL)
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
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
Annual Report
June 30, 2017
| Management’s Discussion of Fund Performance & Performance Summary (Unaudited) |
1 | |||
| 4 | ||||
| 5 | ||||
| 8 | ||||
| 9 | ||||
| 10 | ||||
| 11 | ||||
| 12 | ||||
| 18 | ||||
| 19 |
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
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR DoubleLine Emerging Markets Fixed Income ETF (the “Fund”) seeks to provide high total return from current income and capital appreciation. The Fund’s benchmark is the JP Morgan Corporate Emerging Market Bond Index Broad Diversified (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 7.67%, and the Index was 6.81%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Rotation across duration, regional/country selection and corporate versus sovereign exposure were primary drivers of Fund performance during the Reporting Period relative to the Index. The Fund benefited from duration management over the Reporting Period. Duration of the Fund was shortened ahead of the November U.S. Presidential elections. Immediately following the election results, markets saw 10-year U.S. Treasury (UST) yields sharply rise. The Fund began extending duration over 2017, while over this period UST yields broadly remained range bound. The Fund’s regional overweight position to Latin American credits benefited the Fund’s performance. Latin American credit outperformed over the Reporting Period relative to credits domiciled in Central & Eastern Europe, Middle East and Africa (CEEMEA) and Asia. Lastly, Fund performance benefited from sector rotation from Emerging Market (EM) corporate exposure to EM sovereign and quasi-sovereign exposure over the first and second quarter 2017. EM sovereign bonds have outperformed their EM corporate peers year-to-date.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
1
Table of Contents
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF — PERFORMANCE SUMMARY (UNAUDITED)
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/13/16, 4/14/16, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR DoubleLine Emerging Markets Fixed Income ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented May 1, 2017) is 0.75% (0.65% after fee waiver). Fund returns at Net Asset Value shown in the table below for One Year and Since Inception reflect the impact of a fee waiver and without this waiver returns would have been lower.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN | AVERAGE ANNUAL TOTAL RETURN | |||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
JP
MORGAN |
NET ASSET VALUE |
MARKET VALUE |
JP
MORGAN |
|||||||||||||||||||||||||
| ONE YEAR | 7.67% | 8.42% | 6.81% | 7.67% | 8.42% | 6.81% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 11.49% | 11.31% | 10.00% | 9.35% | 9.21% | 8.18% | ||||||||||||||||||||||||
| (1) | For the period April 13, 2016 to June 30, 2017. |
| * | The JP Morgan Corporate Emerging Markets Bond Index Broad Diversified is a market capitalization weighted index consisting of U.S. dollar denominated emerging market corporate bonds. |
2
Table of Contents
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF — PERFORMANCE SUMMARY (UNAUDITED) (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past Performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
3
Table of Contents
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | PERUSAHAAN 4.15% 3/29/2027 |
CHILE 3.13% 1/21/2026 |
EXPORT- |
DELEK & AVNER |
DIGICEL |
|||||||||
| MARKET VALUE | $913,500 | 815,912 | 727,813 | 716,800 | 701,040 | |||||||||
| % OF NET ASSETS | 3.3 | 2.9 | 2.6 | 2.6 | 2.5 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular security.)
| PORTFOLIO COMPOSITION* | JUNE 30, 2017 | |||||||
| Corporate Bonds & Notes |
54.7 | % | ||||||
| Foreign Government Obligations |
39.8 | |||||||
| Short-Term Investment |
3.9 | |||||||
| Other Assets in Excess of Liabilities |
1.6 | |||||||
| TOTAL |
100.0 | % | ||||||
| * | The Fund’s portfolio composition is expressed as a percentage of net assets and may change over time. |
4
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
SCHEDULE OF INVESTMENTS
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| CORPORATE BONDS & NOTES — 54.7% |
| |||||||
| BRAZIL — 2.9% |
||||||||
| MARB BondCo PLC |
$ | 200,000 | $ | 193,250 | ||||
| Petrobras Global Finance B.V.: |
||||||||
| 7.25%, 3/17/2044 |
400,000 | 393,300 | ||||||
| 7.38%, 1/17/2027 |
200,000 | 211,600 | ||||||
|
|
|
|||||||
| 798,150 | ||||||||
|
|
|
|||||||
| CHILE — 5.6% |
||||||||
| Colbun SA |
500,000 | 540,492 | ||||||
| Empresa Nacional de Telecomunicaciones SA |
200,000 | 205,917 | ||||||
| Inversiones CMPC SA |
500,000 | 508,141 | ||||||
| SACI Falabella |
300,000 | 305,960 | ||||||
|
|
|
|||||||
| 1,560,510 | ||||||||
|
|
|
|||||||
| CHINA — 7.2% |
||||||||
| CNOOC Finance 2011, Ltd. |
200,000 | 210,339 | ||||||
| CNOOC Finance 2015 USA LLC |
500,000 | 499,365 | ||||||
| CNPC General Capital, Ltd. |
400,000 | 407,652 | ||||||
| CNPC HK Overseas Capital, Ltd. |
200,000 | 212,764 | ||||||
| Sinopec Group Overseas Development 2016, Ltd. Series REGS, |
700,000 | 654,547 | ||||||
|
|
|
|||||||
| 1,984,667 | ||||||||
|
|
|
|||||||
| HONG KONG — 2.2% |
||||||||
| CK Hutchison International 17, Ltd. |
400,000 | 401,789 | ||||||
| Hutchison Whampoa International 12 II, Ltd. |
200,000 | 204,260 | ||||||
|
|
|
|||||||
| 606,049 | ||||||||
|
|
|
|||||||
| INDIA — 11.7% |
||||||||
| Adani Ports & Special Economic Zone, Ltd. |
500,000 | 504,938 | ||||||
| Bharat Petroleum Corp., Ltd. |
500,000 | 509,289 | ||||||
| Bharti Airtel International Netherlands B.V. |
300,000 | 315,747 | ||||||
| Bharti Airtel, Ltd. |
200,000 | 199,997 | ||||||
| Indian Oil Corp., Ltd. |
400,000 | 450,098 | ||||||
| ONGC Videsh Vankorneft Pte, Ltd. |
600,000 | 592,989 | ||||||
| Reliance Holding USA, Inc. |
650,000 | 684,937 | ||||||
|
|
|
|||||||
| 3,257,995 | ||||||||
|
|
|
|||||||
| ISRAEL — 2.6% |
||||||||
| Delek & Avner Tamar Bond, Ltd. |
700,000 | 716,800 | ||||||
|
|
|
|||||||
| JAMAICA — 2.5% |
||||||||
| Digicel Group, Ltd. |
800,000 | 701,040 | ||||||
|
|
|
|||||||
| MALAYSIA — 6.0% |
||||||||
| Axiata SPV2 Bhd |
400,000 | 409,067 | ||||||
| Gohl Capital, Ltd. |
600,000 | 621,706 | ||||||
| Petronas Capital, Ltd. |
600,000 | 621,318 | ||||||
|
|
|
|||||||
| 1,652,091 | ||||||||
|
|
|
|||||||
| MEXICO — 6.1% |
||||||||
| America Movil SAB de CV |
400,000 | 407,872 | ||||||
| Banco Inbursa SA Institucion de Banca Multiple |
300,000 | 300,060 | ||||||
| Grupo Idesa SA de CV |
200,000 | 181,000 | ||||||
| Grupo Posadas SAB de CV |
300,000 | 309,750 | ||||||
| Sigma Alimentos SA de CV |
500,000 | 508,000 | ||||||
|
|
|
|||||||
| 1,706,682 | ||||||||
|
|
|
|||||||
| PANAMA — 1.9% |
||||||||
| Autoridad del Canal de Panama |
200,000 | 218,000 | ||||||
| Global Bank Corp. |
300,000 | 307,050 | ||||||
|
|
|
|||||||
| 525,050 | ||||||||
|
|
|
|||||||
| PERU — 1.5% |
||||||||
| Transportadora de Gas del Peru SA |
400,000 | 415,000 | ||||||
|
|
|
|||||||
| QATAR — 2.1% |
||||||||
| Ooredoo International Finance, Ltd. |
600,000 | 592,733 | ||||||
|
|
|
|||||||
| SINGAPORE — 2.4% |
||||||||
| Oversea-Chinese Banking Corp., Ltd. |
200,000 | 205,184 | ||||||
| Temasek Financial I, Ltd. |
250,000 | 246,956 | ||||||
| United Overseas Bank, Ltd. |
200,000 | 203,930 | ||||||
|
|
|
|||||||
| 656,070 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE BONDS & NOTES |
15,172,837 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
5
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| FOREIGN GOVERNMENT OBLIGATIONS — 39.8% |
| |||||||
| ARGENTINA — 3.0% |
||||||||
| Argentine Republic Government International Bond |
$ | 400,000 | $ | 414,400 | ||||
| Provincia de Buenos Aires |
400,000 | 414,120 | ||||||
|
|
|
|||||||
| 828,520 | ||||||||
|
|
|
|||||||
| BRAZIL — 1.7% |
||||||||
| Brazilian Government International Bond |
500,000 | 481,250 | ||||||
|
|
|
|||||||
| CHILE — 3.7% |
||||||||
| Chile Government International Bond: |
||||||||
| 3.13%, 1/21/2026 |
800,000 | 815,912 | ||||||
| 3.86%, 6/21/2047 |
200,000 | 201,106 | ||||||
|
|
|
|||||||
| 1,017,018 | ||||||||
|
|
|
|||||||
| COSTA RICA — 1.3% |
||||||||
| Costa Rica Government International Bond |
300,000 | 350,250 | ||||||
|
|
|
|||||||
| DOMINICAN REPUBLIC — 3.4% |
||||||||
| Dominican Republic International Bond: |
||||||||
| 5.95%, 1/25/2027 (a) |
300,000 | 313,500 | ||||||
| Series REGS, 5.95%, 1/25/2027 |
300,000 | 313,500 | ||||||
| Series REGS, 6.85%, 1/27/2045 |
300,000 | 319,500 | ||||||
|
|
|
|||||||
| 946,500 | ||||||||
|
|
|
|||||||
| GUATEMALA — 0.7% |
||||||||
| Guatemala Government Bond |
200,000 | 202,118 | ||||||
|
|
|
|||||||
| INDIA — 2.6% |
||||||||
| Export-Import Bank of India |
700,000 | 727,813 | ||||||
|
|
|
|||||||
| INDONESIA — 3.3% |
||||||||
| Perusahaan Penerbit SBSN Indonesia III |
900,000 | 913,500 | ||||||
|
|
|
|||||||
| ISRAEL — 1.4% |
||||||||
| Israel Government International Bond |
400,000 | 397,816 | ||||||
|
|
|
|||||||
| MALAYSIA — 1.4% |
||||||||
| Malaysia Sovereign Sukuk Bhd |
400,000 | 399,360 | ||||||
|
|
|
|||||||
| MEXICO — 4.5% |
||||||||
| Mexico Government International Bond: |
||||||||
| 4.13%, 1/21/2026 |
500,000 | 520,005 | ||||||
| 4.15%, 3/28/2027 |
500,000 | 517,830 | ||||||
| Series MTN, 4.75%, 3/8/2044 |
220,000 | 220,262 | ||||||
|
|
|
|||||||
| 1,258,097 | ||||||||
|
|
|
|||||||
| PANAMA — 3.7% |
||||||||
| Panama Government International Bond: |
||||||||
| 3.88%, 3/17/2028 |
600,000 | 615,066 | ||||||
| 4.30%, 4/29/2053 |
200,000 | 196,274 | ||||||
| 4.50%, 5/15/2047 |
200,000 | 202,878 | ||||||
|
|
|
|||||||
| 1,014,218 | ||||||||
|
|
|
|||||||
| PERU — 1.9% |
||||||||
| Corp. Financiera de Desarrollo SA |
500,000 | 535,625 | ||||||
|
|
|
|||||||
| PHILIPPINES — 3.1% |
||||||||
| Philippine Government International Bond: |
||||||||
| 3.70%, 2/2/2042 |
300,000 | 302,880 | ||||||
| 4.20%, 1/21/2024 |
500,000 | 546,800 | ||||||
|
|
|
|||||||
| 849,680 | ||||||||
|
|
|
|||||||
| POLAND — 1.6% |
||||||||
| Poland Government International Bond |
400,000 | 440,216 | ||||||
|
|
|
|||||||
| SOUTH KOREA — 2.5% |
||||||||
| Korea Development Bank |
200,000 | 198,656 | ||||||
| Korea International Bond |
500,000 | 490,855 | ||||||
|
|
|
|||||||
| 689,511 | ||||||||
|
|
|
|||||||
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
11,051,492 | |||||||
|
|
|
|||||||
| Shares |
||||||||
| SHORT-TERM INVESTMENT — 3.9% |
| |||||||
| State Street Institutional U.S. Government Money Market Fund, Class G |
1,072,343 | 1,072,343 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 98.4% |
27,296,672 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 1.6% |
451,530 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 27,748,202 | ||||||
|
|
|
|||||||
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 12.1% of net assets as of June 30, 2017, 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, 2017. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at June 30, 2017. |
See accompanying notes to financial statements.
6
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Corporate Bonds & Notes |
||||||||||||||||
| Brazil |
$ | — | $ | 798,150 | $ | — | $ | 798,150 | ||||||||
| Chile |
— | 1,560,510 | — | 1,560,510 | ||||||||||||
| China |
— | 1,984,667 | — | 1,984,667 | ||||||||||||
| Hong Kong |
— | 606,049 | — | 606,049 | ||||||||||||
| India |
— | 3,257,995 | — | 3,257,995 | ||||||||||||
| Israel |
— | 716,800 | — | 716,800 | ||||||||||||
| Jamaica |
— | 701,040 | — | 701,040 | ||||||||||||
| Malaysia |
— | 1,652,091 | — | 1,652,091 | ||||||||||||
| Mexico |
— | 1,706,682 | — | 1,706,682 | ||||||||||||
| Panama |
— | 525,050 | — | 525,050 | ||||||||||||
| Peru |
— | 415,000 | — | 415,000 | ||||||||||||
| Qatar |
— | 592,733 | — | 592,733 | ||||||||||||
| Singapore |
— | 656,070 | — | 656,070 | ||||||||||||
| Foreign Government Obligations |
||||||||||||||||
| Argentina |
— | 828,520 | — | 828,520 | ||||||||||||
| Brazil |
— | 481,250 | — | 481,250 | ||||||||||||
| Chile |
— | 1,017,018 | — | 1,017,018 | ||||||||||||
| Costa Rica |
— | 350,250 | — | 350,250 | ||||||||||||
| Dominican Republic |
— | 946,500 | — | 946,500 | ||||||||||||
| Guatemala |
— | 202,118 | — | 202,118 | ||||||||||||
| India |
— | 727,813 | — | 727,813 | ||||||||||||
| Indonesia |
— | 913,500 | — | 913,500 | ||||||||||||
| Israel |
— | 397,816 | — | 397,816 | ||||||||||||
| Malaysia |
— | 399,360 | — | 399,360 | ||||||||||||
| Mexico |
— | 1,258,097 | — | 1,258,097 | ||||||||||||
| Panama |
— | 1,014,218 | — | 1,014,218 | ||||||||||||
| Peru |
— | 535,625 | — | 535,625 | ||||||||||||
| Philippines |
— | 849,680 | — | 849,680 | ||||||||||||
| Poland |
— | 440,216 | — | 440,216 | ||||||||||||
| South Korea |
— | 689,511 | — | 689,511 | ||||||||||||
| Short-Term Investment |
1,072,343 | — | — | 1,072,343 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 1,072,343 | $ | 26,224,329 | $ | — | $ | 27,296,672 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
141,281 | $ | 141,281 | 12,796,283 | 12,937,564 | — | $ | — | $ | 969 | $ | — | ||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 2,429,257 | 1,356,914 | 1,072,343 | 1,072,343 | 322 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 24,136,395 | 24,136,395 | — | — | 2,984 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 141,281 | $ | 1,072,343 | $ | 4,275 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
7
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2017
| ASSETS |
| |||
| Investments in unaffiliated issuers, at value (Note 2) |
$ | 26,224,329 | ||
| Investments in affiliated issuers, at value (Note 2) |
1,072,343 | |||
|
|
|
|||
| Total Investments |
27,296,672 | |||
| Receivable for investments sold |
525,206 | |||
| Interest receivable — unaffiliated issuers (Note 2) |
345,160 | |||
| Dividends receivable — affiliated issuers (Note 2) |
240 | |||
| Receivable from Adviser (Note 3) |
2,113 | |||
|
|
|
|||
| TOTAL ASSETS |
28,169,391 | |||
|
|
|
|||
| LIABILITIES |
| |||
| Payable for investments purchased |
403,772 | |||
| Advisory fee payable (Note 3) |
17,158 | |||
| Trustees’ fees and expenses payable (Note 4) |
13 | |||
| Accrued expenses and other liabilities |
246 | |||
|
|
|
|||
| TOTAL LIABILITIES |
421,189 | |||
|
|
|
|||
| NET ASSETS |
$ | 27,748,202 | ||
|
|
|
|||
| NET ASSETS CONSIST OF: |
| |||
| Paid-in Capital (Note 6) |
$ | 27,256,355 | ||
| Undistributed (distribution in excess of) net investment income (loss) |
78,204 | |||
| Accumulated net realized gain (loss) on investments |
139,528 | |||
| Net unrealized appreciation (depreciation) on: |
||||
| Investments |
274,115 | |||
|
|
|
|||
| NET ASSETS |
$ | 27,748,202 | ||
|
|
|
|||
| NET ASSET VALUE PER SHARE |
| |||
| Net asset value per share |
$ | 50.45 | ||
|
|
|
|||
| Shares outstanding (unlimited amount authorized, no par value) |
550,000 | |||
|
|
|
|||
| COST OF INVESTMENTS: |
| |||
| Investments in unaffiliated issuers |
$ | 25,950,214 | ||
| Investments in affiliated issuers |
1,072,343 | |||
|
|
|
|||
| Total cost of investments |
$ | 27,022,557 | ||
|
|
|
|||
See accompanying notes to financial statements.
8
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
For the Year Ended June 30, 2017
| INVESTMENT INCOME |
| |||
| Interest income — unaffiliated issuers (Note 2) |
$ | 1,265,380 | ||
| Dividend income — affiliated issuers (Note 2) |
4,275 | |||
| Foreign taxes withheld |
(211 | ) | ||
|
|
|
|||
| TOTAL INVESTMENT INCOME (LOSS) |
1,269,444 | |||
|
|
|
|||
| EXPENSES |
| |||
| Advisory fees (Note 3) |
231,324 | |||
| Trustees’ fees and expenses (Note 4) |
404 | |||
| Miscellaneous expenses |
734 | |||
|
|
|
|||
| TOTAL EXPENSES |
232,462 | |||
|
|
|
|||
| Expenses waived/reimbursed by the Adviser (Note 3) |
(31,248 | ) | ||
|
|
|
|||
| NET EXPENSES |
201,214 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
1,068,230 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) |
| |||
| Net realized gain (loss) on: |
||||
| Investments — unaffiliated issuers |
1,818,115 | |||
|
|
|
|||
| Net realized gain (loss) |
1,818,115 | |||
|
|
|
|||
| Net change in unrealized appreciation/depreciation on: |
||||
| Investments — unaffiliated issuers |
(543,528 | ) | ||
|
|
|
|||
| Net change in unrealized appreciation/depreciation |
(543,528 | ) | ||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
1,274,587 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS |
$ | 2,342,817 | ||
|
|
|
|||
See accompanying notes to financial statements.
9
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended 6/30/17 |
For the Period 4/13/16* - 6/30/16 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 1,068,230 | $ | 335,510 | ||||
| Net realized gain (loss) |
1,818,115 | 62,170 | ||||||
| Net change in unrealized appreciation/depreciation |
(543,528 | ) | 817,643 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
2,342,817 | 1,215,323 | ||||||
|
|
|
|
|
|||||
| Net equalization credits and charges (Note 2) |
4,915 | — | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
| Net investment income |
(1,136,725 | ) | (188,811 | ) | ||||
| Net realized gains |
(1,500,330 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(2,637,055 | ) | (188,811 | ) | ||||
|
|
|
|
|
|||||
| FROM BENEFICIAL INTEREST TRANSACTIONS: |
||||||||
| Proceeds from sale of shares sold |
2,484,201 | 37,500,000 | ||||||
| Cost of shares redeemed |
(13,109,131 | ) | — | |||||
| Net income equalization (Note 2) |
(4,915 | ) | — | |||||
| Other capital (Note 6) |
28,358 | 112,500 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets from beneficial interest transactions |
(10,601,487 | ) | 37,612,500 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets during the period |
(10,890,810 | ) | 38,639,012 | |||||
|
|
|
|
|
|||||
| Net assets at beginning of period |
38,639,012 | — | ||||||
|
|
|
|
|
|||||
| NET ASSETS AT END OF PERIOD |
$ | 27,748,202 | $ | 38,639,012 | ||||
|
|
|
|
|
|||||
| Undistributed (distribution in excess of) net investment income (loss) |
$ | 78,204 | $ | 146,699 | ||||
|
|
|
|
|
|||||
| SHARES OF BENEFICIAL INTEREST: |
||||||||
| Shares sold |
50,000 | 750,000 | ||||||
| Shares redeemed |
(250,000 | ) | — | |||||
|
|
|
|
|
|||||
| Net increase (decrease) |
(200,000 | ) | 750,000 | |||||
|
|
|
|
|
|||||
| * | Inception date. |
See accompanying notes to financial statements.
10
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
Selected data for a share outstanding throughout each period
| Year Ended 6/30/17 |
For the Period 4/14/16* - 6/30/16 |
|||||||
| Net asset value, beginning of period |
$ | 51.52 | $ | 50.00 | ||||
|
|
|
|
|
|||||
| Income (loss) from investment operations: |
| |||||||
| Net investment income (loss) (a) |
1.77 | 0.45 | ||||||
| Net realized and unrealized gain (loss) |
1.91 | 1.17 | ||||||
|
|
|
|
|
|||||
| Total from investment operations |
3.68 | 1.62 | ||||||
|
|
|
|
|
|||||
| Net equalization credits and charges (a) |
0.01 | — | ||||||
|
|
|
|
|
|||||
| Other capital (a) |
0.05 | 0.15 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders from: |
| |||||||
| Net investment income |
(1.81 | ) | (0.25 | ) | ||||
| Net realized gains |
(3.00 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions |
(4.81 | ) | (0.25 | ) | ||||
|
|
|
|
|
|||||
| Net asset value, end of period |
$ | 50.45 | $ | 51.52 | ||||
|
|
|
|
|
|||||
| Total return (b) |
7.67 | % | 3.55 | % | ||||
| Ratios and Supplemental Data: |
| |||||||
| Net assets, end of period (in 000s) |
$ | 27,748 | $ | 38,639 | ||||
| Ratios to average net assets: |
| |||||||
| Total expenses |
0.75 | % | 0.75 | %(c) | ||||
| Net expenses |
0.65 | % | 0.65 | %(c) | ||||
| Net investment income (loss) |
3.46 | % | 4.15 | %(c) | ||||
| Portfolio turnover rate (d) |
141 | % | 12 | %(e) | ||||
| * | Commencement of operations. |
| (a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (c) | Annualized. |
| (d) | Portfolio turnover rate excludes transactions involving securities received or delivered from in-kind processing of creations or redemptions. |
| (e) | Not annualized. |
See accompanying notes to financial statements.
11
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
June 30, 2017
| 1. | Organization |
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2017, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest at no par value. The financial statements herein relate only to the SPDR DoubleLine Emerging Markets Fixed Income ETF (the “Fund”).
The Fund is classified as a diversified investment company under the 1940 Act.
The Fund was formed on April 13, 2016 and commenced operations on April 14, 2016.
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 would 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. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund’s investments are valued at fair value each day that the Fund’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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
| • | 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 (“NAV”) per share or unit. |
| • | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
| • | Debt obligations (including short-term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices. |
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.
12
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Fair value pricing could result in a difference between the prices used to calculate the Fund’s NAV and the prices used by the Fund’s underlying benchmarks. Various inputs are used in determining the value of the Fund’s investments.
The Fund values its 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 an identical asset or liability; |
| • | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability 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 the Fund’s investments according to the fair value hierarchy as of June 30, 2017 is disclosed in the Fund’s 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 Fund had no transfers between levels for the period ended June 30, 2017.
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 premiums and discounts are amortized/accreted for financial reporting purposes.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund 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 Fund within the Trust.
Distributions
Distributions from net investment income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
Equalization
The Fund in the Trust follows the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result,
13
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.
| 3. | Fees and Transactions with Affiliates |
Advisory Fee
The Fund has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee accrued daily and paid monthly, at the rate of 0.75% of the Fund’s average daily net assets.
SSGA FM has contractually agreed to waive its advisory fee and/or reimburse certain expenses, until October 31, 2017, so that the net annual fund operating expenses of the Fund will be limited to 0.65% of the Fund’s average daily net assets before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2017, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Advisor, pursuant to the Agreement, was $31,248.
The Adviser pays all expenses of the Fund other than the management fee, distribution fee pursuant to the Fund’s Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.
DoubleLine Capital LP receives fees for its services as the sub-advisor to the Fund from the Adviser.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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.
Distribution Fees
State Street Global Advisor Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Trust. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
Prior to March 1, 2017, pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, the Fund was authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution-related activities. Effective March 1, 2017, the Trust’s Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act, which had not been operational, was terminated.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including securities issued by State Street Corp., 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, 2017 are disclosed in the Schedule of Investments.
From time to time, the Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2017, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 10% of a Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:
| Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | |
| 1 | 56.73% |
14
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
| 4. | 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 Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
| 5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2017, were as follows:
| U.S. Government Obligations | Other Securities | |||||||||||||||
| Purchases | Sales | Purchases | Sales | |||||||||||||
| $ | — | $ | — | $ | 41,098,122 | $ | 53,990,919 | |||||||||
| 6. | Shareholder Transactions |
The Fund issues and redeems its shares, at NAV, only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in capital shares for the Fund are disclosed in detail in the Statement of Changes in Net Assets.
The consideration for the purchase of Creation Units of the Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statement of Changes in Net Assets.
| 7. | Income Tax Information |
The Fund has qualified and intends to continue to qualify for as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, 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.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for Tax. In addition, the Fund claimed a portion of the payments made to redeeming shareholders as a distribution for income tax purposes.
The tax character of distributions paid during the period ended June 30, 2016 was as follows:
| Ordinary Income |
Long-Term Capital Gains |
Tax Return of Capital |
Total | |||||||||||||
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
$ | 188,811 | $ | — | $ | — | $ | 188,811 | ||||||||
15
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
The tax character of distributions paid during the period ended June 30, 2017 was as follows:
| Ordinary Income |
Long-Term Capital Gains |
Tax Return of Capital |
Total | |||||||||||||
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
$ | 2,637,055 | $ | — | $ | — | $ | 2,637,055 | ||||||||
At June 30, 2017, the components of distributable earnings on a tax basis were as follows:
| Undistributed Ordinary Income |
Capital Loss Carryforwards |
Undistributed Long-Term Capital Gains |
Net Unrealized Gains (Losses) |
Qualified Late-Year Losses |
Total | |||||||||||||||||||
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
$ | 217,732 | $ | — | $ | — | $ | 274,115 | $ | — | $ | 491,847 | ||||||||||||
As of June 30, 2017, 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) |
|||||||||||||
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
$ | 27,022,557 | $ | 378,361 | $ | 104,246 | $ | 274,115 | ||||||||
| 8. | Line of Credit |
Effective October 13, 2016, the Fund 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. The agreement expires October 12, 2017 unless extended or renewed.
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. Commitment fees are ordinary fund operating expenses paid by the Adviser. 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR Rate.
The Fund had no outstanding loans as of June 30, 2017.
| 9. | Risks |
Concentration of Risk
As a result of the Fund’s ability to invest a large percentage of its 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 Fund’s investments more than if the Fund were more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involves 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 Fund 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 Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
16
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Market and Credit Risk
In the normal course of business, the Fund trades financial instruments and enters 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, the Fund 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 Fund has unsettled or open transactions defaults.
| 10. | New Accounting Pronouncements |
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
| 11. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund 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.
17
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
SSGA Active Trust
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of SPDR DoubleLine Emerging Markets Fixed Income ETF (the “Fund”) (one of the portfolios constituting SSGA Active Trust) as of June 30, 2017, and the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s 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 Fund’s 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 Fund’s 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, 2017, 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 SPDR DoubleLine Emerging Markets Fixed Income ETF (one of the portfolios constituting SSGA Active Trust) at June 30, 2017, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 25, 2017
18
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
The table below illustrates your Fund’s cost in two ways:
Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return — This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Actual | Hypothetical (assuming a 5% return before expenses) |
|||||||||||||||||||
| Annualized Expense Ratio |
Ending Account Value |
Expenses Paid During Period(a) |
Ending Account Value |
Expenses Paid During Period(a) |
||||||||||||||||
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
0.65 | % | $ | 1,053.10 | $ | 3.31 | $ | 1,021.60 | $ | 3.26 | ||||||||||
| (a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2017.
Qualified Interest Income
The Fund reports the maximum amount allowable of its net taxable income and short-term capital gains as qualified interest income.
Long term capital gains dividends were paid during the year ended June 30, 2017:
| Amount | ||||
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
$ | 127,866 | ||
Premium/Discount Information
Information regarding how often the Shares of the Fund traded on the Exchange at a price above (i.e. at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at http://www.spdrs.com.
19
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s 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 SEC, 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 Fund’s website at www.spdrs.com.
Quarterly Portfolio Schedule
The Fund files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form 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 1-800-997-7327 (toll free) and on the Fund’s website at www.spdrs.com.
20
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Approval of Advisory Agreement
At in-person meetings held prior to June 30, 2017, the Board of Trustees of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the SPDR DoubleLine Emerging Markets Fixed Income ETF, an operational series of SSGA Active Trust (the “Fund”). 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 Agreement.
In evaluating the Agreement, 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 Trust’s sub-administrator, transfer agent and custodian (“State Street”). In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Fund under the Agreement, (ii) investment performance of the Fund, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trust, (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 Fund grows.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the Adviser’s responsibilities for managing investment operations of the Fund in accordance with the Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the nature of the Fund as an exchange-traded fund 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 Fund. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing the 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 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 management 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 specifically considered the Adviser’s experience in active management, managing exchange-traded funds and overseeing third-party sub-advisers.
Investment Performance
The Board then reviewed the Fund’s performance. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses). The Board noted that because the Fund did not have a full calendar year of performance, a comparison against a group of comparable funds was not available. The Board considered that the Fund outperformed its benchmark index since inception. On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory.
Profits Realized by Adviser
The Board considered the profitability of the advisory arrangement with the Fund to the Adviser, including data on the Fund’s historical profitability to the Adviser. The Independent Trustees, with their independent legal 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 the 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. The Board reviewed the universe of similar exchange-traded funds for the Fund based upon data independently obtained from Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar exchange-traded funds.
21
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Other Benefits
The Board also considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
Economies of Scale
The Board reviewed information regarding economies of scale or other efficiencies that may result as the Fund’s assets grow in size. The Board noted that the Agreement did not provide for breakpoints in the Fund’s advisory fee rates as assets of the 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 Fund by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the Fund 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 Fund grows in size and assess whether fee breakpoints may be warranted.
Conclusion
The Board, including the Independent Trustees voting separately, approved the Agreement for the 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 the Agreement were as follows: (a) the nature and extent of the services provided by the Adviser with respect to the Fund were appropriate; (b) the performance of the Fund had been satisfactory; (c) the Adviser’s unitary fee for the Fund, considered in relation to services provided and in relation to fees charged to comparable funds, was fair and reasonable; (d) profitability of the Trust’s 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 Fund by way of the relatively low fee structure of the Trust.
Approval of DoubleLine Capital LP Sub-Advisory Agreement
At in-person meetings held prior to June 30, 2017, the Board also considered proposals to continue the Sub-Advisory Agreement (the “DoubleLine Sub-Advisory Agreement”) between the Adviser and DoubleLine Capital LP (“DoubleLine”) with respect to the Fund, under which the Fund would be sub-advised by DoubleLine. The Independent Trustees also met separately with their independent legal counsel to consider the DoubleLine Sub-Advisory Agreement.
In evaluating the DoubleLine Sub-Advisory Agreement, the Board drew on materials provided to them by DoubleLine and the Adviser. In deciding whether to approve the DoubleLine Sub-Advisory Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by DoubleLine with respect to the Fund under the DoubleLine Sub-Advisory Agreement; and (ii) investment performance of the Fund. The Board was informed of the portion of the advisory fee that the Adviser would pay to DoubleLine under the DoubleLine Sub-Advisory Agreement and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the Fund.
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 Fund’s performance, noting that the performance of the Fund was satisfactory. The Board also considered the unitary fee paid to the Adviser by the Fund and DoubleLine’s fees paid by the Adviser. The Board also considered whether DoubleLine benefited in other ways from its relationship with the Trust.
The Board, including the Independent Trustees voting separately, approved the DoubleLine Sub-Advisory Agreement for the Fund after weighing the foregoing factors as well as the relevant factors discussed in relation to the Agreement between the Trust and the Adviser, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to the DoubleLine Sub-Advisory Agreement were as follows: (a) the nature and extent of the services provided by DoubleLine with respect to the Fund were adequate and appropriate; (b) the performance of the Fund had been satisfactory; (c) DoubleLine’s fees for the Fund and the unitary fee, considered in relation to the services 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 to DoubleLine adequately shared the economies of scale with the Fund by way of the relatively low fee structure of the Trust.
22
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| 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 Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943 |
Independent Trustee, Chairman, Trustee Committee Chair |
Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DAVID M. KELLY c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Retired. | 179 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
| BONNY EUGENIA BOATMAN c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DWIGHT D. CHURCHILL c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
179 | Affiliated Managers Group, Inc. (Director). | |||||
| CARL G. VERBONCOEUR c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952 |
Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2009. |
179 | The Motley Fool Funds Trust (Trustee). |
23
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| 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 March 2011 |
Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 255 | SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present). |
| † | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Fund Management, Inc. serves as investment adviser. |
| * | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. |
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)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present). | |||
| 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). |
24
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| 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 | |||
| 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 |
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 March 2011 |
Managing Director, State Street Global Advisors (2005-present).* | |||
| 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). | |||
| JESSE D. HALLEE State Street Bank and Trust Company One Hundred Summer Street, SUM0703 Boston, MA 02111 1976 |
Secretary | Term: Unlimited Served: since August 2017 |
Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).** | |||
| PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 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).*,. ** | |||
| 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).* | |||
| DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1968 |
Deputy Treasurer |
Term: Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016). | |||
| 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). |
25
Table of Contents
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| 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 | |||
| 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).* | |||
| DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1980 |
Assistant Treasurer |
Term: Unlimited Served: since May 2017 |
Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015). | |||
| BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973 |
Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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.
26
Table of Contents
SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President and Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Daniel G. Plourde, Assistant Treasurer
Jesse D. Hallee, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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
Distributor
State Street Global Advisors Funds Distributors, LLC
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
Fund Shares are distributed by State Street Global Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.
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.
SPDREMTLAR IBG-24483
Table of Contents
Annual Report
30 June 2017
SSGA Active Trust
SPDR DoubleLine® Short Duration Total Return Tactical ETF (STOT)
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
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
Annual Report
June 30, 2017
| Management’s Discussion of Fund Performance & Performance Summary (Unaudited) |
1 | |||
| 4 | ||||
| 5 | ||||
| 11 | ||||
| 12 | ||||
| 13 | ||||
| 14 | ||||
| 15 | ||||
| 21 | ||||
| 22 |
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
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF —
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The SPDR DoubleLine Short Duration Total Return Tactical ETF (the “Fund”) seeks to maximize current income with a dollar-weighted average effective duration between one and three years. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate 1-3 Year Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Fund was 1.14%, and the total return for the Index was 0.38%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Fund outperformed the Index during the Reporting Period. With a meaningful increase in short term U.S. interest rates over the trailing 12-month period, carry and spread compression were the thematic drivers of this outperformance. Demand for shorter duration paper across products amidst the increasingly hawkish tone from the Federal Reserve meant strong returns for such positions.
On a sector level, the top performing allocations within the Fund were commercial mortgage-backed securities (CMBS) and merging market-related positions. The former benefited from strong coupon income from legacy positions and an increase in demand for short duration securitized risk. Emerging market positions benefited from a relentless narrowing of credit spreads and healthy inflows into funds focused in this space. For similar reasons as CMBS, asset-backed securities saw strong returns as spreads tightened into the end of June. The worst performing sector was agency mortgage-backed securities, which suffered from low coupon income and limited spread compression to offset the price declines due to the increase in benchmark rates over this period.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
1
Table of Contents
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF —
PERFORMANCE SUMMARY (UNAUDITED)
The following performance chart of the Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/13/16, 4/14/16, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR DoubleLine Short Duration Total Return Tactical ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 (as supplemented May 1, 2017) is 0.50% (0.45% after fee waiver). Fund returns at Net Asset Value shown in the table below for One Year and Since Inception reflect the impact of a fee waiver and without this waiver returns would have been lower.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
BLOOMBERG BARCLAYS U.S. AGGREGATE 1-3 YEAR INDEX* |
NET ASSET VALUE |
MARKET VALUE |
BLOOMBERG BARCLAYS U.S. AGGREGATE 1-3 YEAR INDEX* |
|||||||||||||||||||||||||
| ONE YEAR | 1.14% | 0.59% | 0.38% | 1.14% | 0.59% | 0.38% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 2.19% | 1.91% | 1.01% | 1.80% | 1.57% | 0.83% | ||||||||||||||||||||||||
| (1) | For the period April 13, 2016 to June 30, 2017. |
| * | The Bloomberg Barclays U.S. Aggregate 1-3 Year Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market that have a remaining maturity of greater than or equal to 1 year and less than 3 years. The index includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States. |
2
Table of Contents
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF —
PERFORMANCE SUMMARY (UNAUDITED) (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past Performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
3
Table of Contents
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF —
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | FEDERAL NATIONAL MORTGAGE ASSOCIATION SERIES 2012-32, CLASS DA, CMO, REMIC 2.00% 11/25/2026 |
FEDERAL HOME LOAN MORTGAGE CORP. SERIES 4030, CLASS AN, CMO, REMIC 1.75% 4/15/2027 |
TREASURY NOTES 0.88% 3/31/2018 |
TREASURY NOTES 0.88% 11/30/2017 |
TREASURY NOTES 0.88% 5/31/2018 |
|||||||||
| MARKET VALUE | $3,097,537 | 2,864,344 | 1,296,451 | 1,158,863 | 1,155,847 | |||||||||
| % OF NET ASSETS | 8.9 | 8.3 | 3.7 | 3.3 | 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 company.)
| PORTFOLIO COMPOSITION AS OF JUNE 30, 2017* |
% OF NET ASSETS |
|||||||
| U.S. Government Agency Obligations |
32.0 | % | ||||||
| Corporate Bonds & Notes |
25.8 | |||||||
| U.S. Treasury Obligations |
23.7 | |||||||
| Mortgage-Backed Securities |
6.9 | |||||||
| Foreign Government Obligations |
4.8 | |||||||
| Asset-Backed Securities |
3.6 | |||||||
| Senior Floating Rate Loans |
1.9 | |||||||
| Short-Term Investment |
0.8 | |||||||
| Other Assets in Excess of Liabilities |
0.5 | |||||||
| TOTAL |
100.0 | % | ||||||
| * | The Fund’s portfolio composition is expressed as a percentage of net assets and may change over time. |
4
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| CORPORATE BONDS & NOTES — 25.8% |
| |||||||
| AEROSPACE & DEFENSE — 0.5% |
| |||||||
| United Technologies Corp.: |
||||||||
| 1.50%, 11/1/2019 |
$ | 120,000 | $ | 119,282 | ||||
| 1.90%, 5/4/2020 |
55,000 | 55,088 | ||||||
|
|
|
|||||||
| 174,370 | ||||||||
|
|
|
|||||||
| AGRICULTURE — 0.6% |
||||||||
| Philip Morris International, Inc. 5.65%, 5/16/2018 |
135,000 | 139,644 | ||||||
| Reynolds American, Inc. 3.25%, 6/12/2020 |
65,000 | 66,919 | ||||||
|
|
|
|||||||
| 206,563 | ||||||||
|
|
|
|||||||
| AUTO MANUFACTURERS — 1.5% |
| |||||||
| American Honda Finance Corp. |
170,000 | 168,189 | ||||||
| General Motors Financial Co., Inc. 2.65%, 4/13/2020 |
110,000 | 110,508 | ||||||
| Kia Motors Corp. 2.63%, 4/21/2021 (a) |
200,000 | 198,742 | ||||||
| Toyota Motor Credit Corp. 1.95%, 4/17/2020 |
50,000 | 50,005 | ||||||
|
|
|
|||||||
| 527,444 | ||||||||
|
|
|
|||||||
| BANKS — 7.7% |
||||||||
| Banco del Estado de Chile |
200,000 | 208,625 | ||||||
| Banco Santander Mexico SA |
200,000 | 208,250 | ||||||
| Bank of America Corp. 2.00%, 1/11/2018 |
170,000 | 170,260 | ||||||
| Bank of Montreal: |
||||||||
| Series MTN, 1.50%, 7/18/2019 |
35,000 | 34,678 | ||||||
| Series MTN, 2.10%, 12/12/2019 |
115,000 | 115,214 | ||||||
| BB&T Corp. |
75,000 | 75,505 | ||||||
| Citigroup, Inc.: |
||||||||
| 2.05%, 12/7/2018 |
130,000 | 130,179 | ||||||
| 3 Month USD LIBOR + 0.96%, 2.12%, 4/25/2022 (b) |
70,000 | 70,391 | ||||||
| Commonwealth Bank of Australia 2.25%, 3/10/2020 (a) |
105,000 | 105,226 | ||||||
| DBS Group Holdings, Ltd. |
200,000 | 199,634 | ||||||
| Global Bank Corp. 4.50%, 10/20/2021 (a) |
200,000 | 204,700 | ||||||
| Goldman Sachs Group, Inc.: |
||||||||
| 2.30%, 12/13/2019 |
115,000 | 115,327 | ||||||
| 2.90%, 7/19/2018 |
30,000 | 30,323 | ||||||
| JPMorgan Chase & Co. 2.25%, 1/23/2020 |
140,000 | 140,417 | ||||||
| Morgan Stanley |
150,000 | 151,060 | ||||||
| MUFG Americas Holdings Corp. 2.25%, 2/10/2020 |
60,000 | 60,064 | ||||||
| PNC Financial Services Group, Inc. 4.38%, 8/11/2020 |
95,000 | 100,991 | ||||||
| Royal Bank of Canada: |
||||||||
| 1.50%, 7/29/2019 |
90,000 | 89,206 | ||||||
| 2.00%, 12/10/2018 |
25,000 | 25,078 | ||||||
| Toronto-Dominion Bank |
145,000 | 145,202 | ||||||
| Wells Fargo & Co.: |
||||||||
| Series GMTN, 1.50%, 1/16/2018 |
70,000 | 69,978 | ||||||
| Series N, 2.15%, 1/30/2020 |
70,000 | 70,132 | ||||||
| Westpac Banking Corp. 1.60%, 8/19/2019 |
140,000 | 138,834 | ||||||
|
|
|
|||||||
| 2,659,274 | ||||||||
|
|
|
|||||||
| BEVERAGES — 0.5% |
||||||||
| Anheuser-Busch InBev Finance, Inc. 1.90%, 2/1/2019 |
110,000 | 110,243 | ||||||
| Molson Coors Brewing Co. 1.45%, 7/15/2019 |
55,000 | 54,326 | ||||||
|
|
|
|||||||
| 164,569 | ||||||||
|
|
|
|||||||
| BIOTECHNOLOGY — 0.9% |
||||||||
| Amgen, Inc. 2.20%, 5/11/2020 |
175,000 | 175,863 | ||||||
| Celgene Corp. 2.13%, 8/15/2018 |
145,000 | 145,546 | ||||||
|
|
|
|||||||
| 321,409 | ||||||||
|
|
|
|||||||
| CHEMICALS — 0.2% |
||||||||
| Sherwin-Williams Co. 2.25%, 5/15/2020 |
70,000 | 70,144 | ||||||
|
|
|
|||||||
| DIVERSIFIED FINANCIAL SERVICES — 0.7% |
| |||||||
| American Express Credit Corp. |
120,000 | 120,657 | ||||||
| National Rural Utilities Cooperative Finance Corp. 2.30%, 11/15/2019 |
115,000 | 115,761 | ||||||
|
|
|
|||||||
| 236,418 | ||||||||
|
|
|
|||||||
| ELECTRIC — 1.4% |
||||||||
| Comision Federal de Electricidad 4.88%, 5/26/2021 |
200,000 | 212,750 | ||||||
| Consolidated Edison, Inc. |
150,000 | 149,971 | ||||||
| Southern Co.: |
||||||||
| 1.85%, 7/1/2019 |
65,000 | 64,722 | ||||||
| 2.45%, 9/1/2018 |
50,000 | 50,337 | ||||||
|
|
|
|||||||
| 477,780 | ||||||||
|
|
|
|||||||
| FOOD — 1.0% |
||||||||
| General Mills, Inc. 2.20%, 10/21/2019 |
115,000 | 115,739 | ||||||
| Kraft Heinz Foods Co. 2.00%, 7/2/2018 |
115,000 | 115,291 | ||||||
| Kroger Co. 6.15%, 1/15/2020 |
95,000 | 103,768 | ||||||
|
|
|
|||||||
| 334,798 | ||||||||
|
|
|
|||||||
| HEALTH CARE PRODUCTS — 0.7% |
| |||||||
| Medtronic Global Holdings SCA 1.70%, 3/28/2019 |
130,000 | 130,073 | ||||||
| Thermo Fisher Scientific, Inc.: |
||||||||
| 2.15%, 12/14/2018 |
80,000 | 80,195 | ||||||
| 3.60%, 8/15/2021 |
20,000 | 20,837 | ||||||
|
|
|
|||||||
| 231,105 | ||||||||
|
|
|
|||||||
| HEALTH CARE SERVICES — 0.5% |
| |||||||
| Anthem, Inc. 2.30%, 7/15/2018 |
45,000 | 45,248 | ||||||
| Laboratory Corp. of America Holdings 2.50%, 11/1/2018 |
130,000 | 130,783 | ||||||
|
|
|
|||||||
| 176,031 | ||||||||
|
|
|
|||||||
See accompanying notes to financial statements.
5
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| HOUSEWARES — 0.3% |
||||||||
| Newell Brands, Inc.: |
||||||||
| 2.60%, 3/29/2019 |
$ | 14,000 | $ | 14,136 | ||||
| 3.15%, 4/1/2021 |
95,000 | 97,303 | ||||||
|
|
|
|||||||
| 111,439 | ||||||||
|
|
|
|||||||
| INSURANCE — 1.2% |
||||||||
| Berkshire Hathaway Finance Corp.: |
||||||||
| 1.30%, 8/15/2019 |
155,000 | 153,752 | ||||||
| 1.70%, 3/15/2019 |
20,000 | 20,041 | ||||||
| New York Life Global Funding 2.00%, 4/9/2020 (a) |
35,000 | 34,995 | ||||||
| Nuveen Finance LLC 2.95%, 11/1/2019 (a) |
110,000 | 111,572 | ||||||
| Prudential Financial, Inc. |
90,000 | 99,175 | ||||||
|
|
|
|||||||
| 419,535 | ||||||||
|
|
|
|||||||
| INTERNET — 0.3% |
||||||||
| Amazon.com, Inc. 2.60%, 12/5/2019 |
110,000 | 112,039 | ||||||
|
|
|
|||||||
| IT SERVICES — 0.2% |
||||||||
| Hewlett Packard Enterprise Co.: |
||||||||
| 2.85%, 10/5/2018 |
70,000 | 70,793 | ||||||
| 3.60%, 10/15/2020 |
10,000 | 10,303 | ||||||
|
|
|
|||||||
| 81,096 | ||||||||
|
|
|
|||||||
| MACHINERY, CONSTRUCTION & MINING — 0.3% |
| |||||||
| Caterpillar Financial Services Corp.: |
||||||||
| Series GMTN, 1.70%, 6/16/2018 |
40,000 | 40,045 | ||||||
| Series MTN, 2.10%, 1/10/2020 |
70,000 | 70,198 | ||||||
|
|
|
|||||||
| 110,243 | ||||||||
|
|
|
|||||||
| MACHINERY-DIVERSIFIED — 0.5% |
| |||||||
| John Deere Capital Corp.: |
||||||||
| Series MTN, 1.60%, 7/13/2018 |
60,000 | 60,045 | ||||||
| Series MTN, 1.95%, 1/8/2019 |
85,000 | 85,346 | ||||||
| Series MTN, 1.95%, 6/22/2020 |
20,000 | 20,008 | ||||||
|
|
|
|||||||
| 165,399 | ||||||||
|
|
|
|||||||
| MEDIA — 0.4% |
||||||||
| Comcast Corp.: |
||||||||
| 5.15%, 3/1/2020 |
100,000 | 108,371 | ||||||
| 5.88%, 2/15/2018 |
35,000 | 35,920 | ||||||
|
|
|
|||||||
| 144,291 | ||||||||
|
|
|
|||||||
| OIL & GAS — 1.5% |
||||||||
| BP Capital Markets PLC 1.68%, 5/3/2019 |
145,000 | 144,478 | ||||||
| Chevron Corp.: |
||||||||
| 1.56%, 5/16/2019 |
45,000 | 44,863 | ||||||
| 1.99%, 3/3/2020 |
45,000 | 45,119 | ||||||
| Petrobras Global Finance B.V. 6.13%, 1/17/2022 |
200,000 | 206,300 | ||||||
| Shell International Finance B.V. 1.38%, 5/10/2019 |
75,000 | 74,541 | ||||||
|
|
|
|||||||
| 515,301 | ||||||||
|
|
|
|||||||
| PHARMACEUTICALS — 2.0% |
||||||||
| AbbVie, Inc. 1.80%, 5/14/2018 |
70,000 | 70,088 | ||||||
| AstraZeneca PLC 2.38%, 11/16/2020 |
145,000 | 146,157 | ||||||
| Cardinal Health, Inc.: |
||||||||
| 1.95%, 6/14/2019 |
50,000 | 50,063 | ||||||
| 1.95%, 6/15/2018 |
75,000 | 75,208 | ||||||
| Express Scripts Holding Co. 2.25%, 6/15/2019 |
110,000 | 110,313 | ||||||
| McKesson Corp. 2.28%, 3/15/2019 |
100,000 | 100,521 | ||||||
| Mylan NV 2.50%, 6/7/2019 |
70,000 | 70,569 | ||||||
| Shire Acquisitions Investments Ireland DAC 1.90%, 9/23/2019 |
90,000 | 89,585 | ||||||
|
|
|
|||||||
| 712,504 | ||||||||
|
|
|
|||||||
| PIPELINES — 0.3% |
||||||||
| Kinder Morgan, Inc. 3.05%, 12/1/2019 |
100,000 | 101,657 | ||||||
|
|
|
|||||||
| REAL ESTATE INVESTMENT TRUSTS — 0.3% |
| |||||||
| Boston Properties L.P. 5.88%, 10/15/2019 |
40,000 | 42,889 | ||||||
| Simon Property Group L.P. 2.20%, 2/1/2019 |
55,000 | 55,317 | ||||||
|
|
|
|||||||
| 98,206 | ||||||||
|
|
|
|||||||
| RETAIL — 0.2% |
||||||||
| CVS Health Corp. 1.90%, 7/20/2018 |
65,000 | 65,168 | ||||||
|
|
|
|||||||
| SEMICONDUCTORS — 0.5% |
||||||||
| Broadcom Corp./Broadcom Cayman Finance, Ltd. 2.38%, 1/15/2020 (a) |
35,000 | 35,071 | ||||||
| QUALCOMM, Inc. 2.10%, 5/20/2020 |
140,000 | 140,670 | ||||||
|
|
|
|||||||
| 175,741 | ||||||||
|
|
|
|||||||
| TELECOMMUNICATIONS — 1.2% |
| |||||||
| British Telecommunications PLC 5.95%, 1/15/2018 |
100,000 | 102,241 | ||||||
| Cisco Systems, Inc. 1.40%, 9/20/2019 |
130,000 | 129,012 | ||||||
| Orange SA 2.75%, 2/6/2019 |
105,000 | 106,220 | ||||||
| Verizon Communications, Inc. 2.95%, 3/15/2022 (a) |
92,000 | 92,561 | ||||||
|
|
|
|||||||
| 430,034 | ||||||||
|
|
|
|||||||
| TEXTILES — 0.4% |
||||||||
| Cintas Corp. No. 2 2.90%, 4/1/2022 |
135,000 | 137,074 | ||||||
|
|
|
|||||||
| TOTAL CORPORATE BONDS & NOTES |
8,959,632 | |||||||
|
|
|
|||||||
| FOREIGN GOVERNMENT OBLIGATIONS — 4.8% |
| |||||||
| Chile Government International Bond 2.25%, 10/30/2022 |
200,000 | 197,638 | ||||||
| Dominican Republic International Bond |
200,000 | 221,000 | ||||||
| Guatemala Government Bond |
200,000 | 217,962 | ||||||
| Korea Development Bank 2.50%, 1/13/2021 |
200,000 | 199,224 | ||||||
| Mexico Government International Bond |
150,000 | 155,935 | ||||||
| Poland Government International Bond 5.13%, 4/21/2021 |
200,000 | 220,108 | ||||||
| Qatar Government International Bond |
200,000 | 195,077 | ||||||
| Wakala Global Sukuk Bhd |
250,000 | 270,150 | ||||||
|
|
|
|||||||
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
1,677,094 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
6
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 32.0% |
| |||||||
| Federal Home Loan Mortgage Corp.: |
||||||||
| Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027 |
$ | 2,893,608 | $ | 2,864,344 | ||||
| Series 4060, Class QA, CMO, REMIC, 1.50%, 9/15/2026 |
1,065,027 | 1,053,572 | ||||||
| Series 4125, Class FA, CMO, REMIC, 1 Month LIBOR + 0.35%, 1.51%, 11/15/2042 (b) |
582,912 | 582,877 | ||||||
| Series 4582, Class HA, 3.00%, 9/15/2045 |
829,807 | 845,038 | ||||||
| Series K722, Class X1, IO, 1.44%, 3/25/2023 (b) |
503,995 | 30,794 | ||||||
| Federal National Mortgage Association: |
||||||||
| 3.00%, 11/1/2036 |
646,008 | 655,586 | ||||||
| Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026 |
3,098,693 | 3,097,537 | ||||||
| Series 2017-13, Class ML, CMO, REMIC, 3.00%, 8/25/2041 |
976,763 | 994,572 | ||||||
| Series 2017-2, Class HA, CMO, REMIC, 3.00%, 9/25/2041 |
974,620 | 990,473 | ||||||
|
|
|
|||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
11,114,793 | |||||||
|
|
|
|||||||
| U.S. TREASURY OBLIGATIONS — 23.7% |
|
|||||||
| Treasury Notes: |
||||||||
| 0.63%, 8/31/2017 |
1,100,000 | 1,099,296 | ||||||
| 0.75%, 10/31/2018 |
440,000 | 436,669 | ||||||
| 0.88%, 11/30/2017 |
1,160,000 | 1,158,863 | ||||||
| 0.88%, 3/31/2018 |
1,300,000 | 1,296,451 | ||||||
| 0.88%, 5/31/2018 |
1,160,000 | 1,155,847 | ||||||
| 1.00%, 3/15/2018 |
1,080,000 | 1,078,305 | ||||||
| 1.38%, 9/30/2020 |
1,020,000 | 1,012,462 | ||||||
| 1.63%, 6/30/2020 |
1,000,000 | 1,001,950 | ||||||
|
|
|
|||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
8,239,843 | |||||||
|
|
|
|||||||
| SENIOR FLOATING RATE LOANS — 1.9% |
|
|||||||
| CHEMICALS — 0.1% |
||||||||
| Kraton Polymers LLC |
27,731 | 28,033 | ||||||
|
|
|
|||||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% |
| |||||||
| Telesat Canada |
44,663 | 44,982 | ||||||
|
|
|
|||||||
| ENERGY EQUIPMENT & SERVICES — 0.1% |
| |||||||
| Fairmount Minerals, Ltd. |
37,410 | 35,418 | ||||||
|
|
|
|||||||
| FOOD & STAPLES RETAILING — 0.1% |
| |||||||
| BJ’s Wholesale Club, Inc. |
30,000 | 29,150 | ||||||
|
|
|
|||||||
| HEALTH CARE PROVIDERS & SERVICES — 0.4% |
| |||||||
| Change Healthcare Holdings, Inc. |
34,912 | 34,961 | ||||||
| Select Medical Corp. |
34,913 | 35,240 | ||||||
| Team Health Holdings, Inc. |
64,838 | 64,402 | ||||||
|
|
|
|||||||
| 134,603 | ||||||||
|
|
|
|||||||
| HOTELS, RESTAURANTS & LEISURE — 0.1% |
| |||||||
| Scientific Games International, Inc. |
22,116 | 22,360 | ||||||
|
|
|
|||||||
| IT SERVICES — 0.1% |
||||||||
| TKC Holdings, Inc. |
29,925 | 29,916 | ||||||
|
|
|
|||||||
| MEDIA — 0.4% |
||||||||
| CSC Holdings LLC |
74,813 | 74,392 | ||||||
| Tribune Media Co.: |
||||||||
| Senior Secured Term Loan, 4.23%, 12/27/2020 |
4,479 | 4,501 | ||||||
| Senior Secured Term Loan C, 4.23%, 1/27/2024 |
55,820 | 56,092 | ||||||
|
|
|
|||||||
| 134,985 | ||||||||
|
|
|
|||||||
| OIL, GAS & CONSUMABLE FUELS — 0.0% (c) |
| |||||||
| Peabody Energy Corp. |
9,975 | 9,974 | ||||||
|
|
|
|||||||
| PERSONAL PRODUCTS — 0.2% |
||||||||
| NBTY, Inc. |
69,227 | 69,388 | ||||||
|
|
|
|||||||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.1% |
| |||||||
| Lightstone Generation LLC: |
||||||||
| Senior Secured Term Loan B, 5.72%, 1/30/2024 |
18,793 | 18,354 | ||||||
| Senior Secured Term Loan C, |
1,159 | 1,132 | ||||||
|
|
|
|||||||
| 19,486 | ||||||||
|
|
|
|||||||
| TRADING COMPANIES & DISTRIBUTORS — 0.2% |
| |||||||
| Avolon TLB Borrower 1 (Luxembourg) S.A.R.L. |
30,000 | 30,230 | ||||||
| Univar, Inc. |
69,050 | 69,207 | ||||||
|
|
|
|||||||
| 99,437 | ||||||||
|
|
|
|||||||
| TOTAL SENIOR FLOATING RATE LOANS |
657,732 | |||||||
|
|
|
|||||||
See accompanying notes to financial statements.
7
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| ASSET-BACKED SECURITIES — 3.6% |
| |||||||
| AVANT Loans Funding Trust |
$ | 12,104 | $ | 12,114 | ||||
| Bear Stearns Asset Backed Securities Trust |
518,674 | 517,206 | ||||||
| Citi Held For Asset Issuance |
183,444 | 185,443 | ||||||
| Invitation Homes Trust |
95,618 | 96,054 | ||||||
| Sofi Consumer Loan Program LLC |
419,535 | 424,997 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
1,235,814 | |||||||
|
|
|
|||||||
| MORTGAGE-BACKED SECURITIES — 6.9% |
| |||||||
| Bear Stearns Commercial Mortgage Securities Trust: |
||||||||
| Series 2007-PW17, Class AM, 5.92%, 6/11/2050 (b) |
67,000 | 67,142 | ||||||
| Series 2014-BXO, Class E, 3.75% - 1 Month LIBOR, 3.55%, 8/15/2027 (a) (b) |
26,000 | 25,911 | ||||||
| Citigroup Commercial Mortgage Trust: |
||||||||
| Series 2007-C6, Class AM, 5.87%, 12/10/2049 (b) |
36,000 | 36,024 | ||||||
| Series 2008-C7, Class AM, 6.39%, 12/10/2049 (b) |
69,000 | 70,035 | ||||||
| Series 2016-GC37, Class XA, IO, 1.97%, 4/10/2049 (b) |
993,182 | 118,086 | ||||||
| CLNS Trust: |
||||||||
| Series 2017-IKPR, Class D, 1 Month LIBOR + 2.05%, 3.05%, 6/11/2032 (a) (b) |
18,000 | 18,056 | ||||||
| Series 2017-IKPR, Class E, 1 Month LIBOR + 3.50%, 4.50%, 6/11/2032 (a) (b) |
18,000 | 18,067 | ||||||
| Commercial Mortgage Trust |
62,500 | 62,668 | ||||||
| Cosmopolitan Hotel Trust |
51,000 | 51,463 | ||||||
| Credit Suisse Commercial Mortgage Trust |
75,000 | 75,837 | ||||||
| Credit Suisse Mortgage Capital Certificates |
29,000 | 29,000 | ||||||
| CSAIL Commercial Mortgage Trust |
344,000 | 28,680 | ||||||
| GS Mortgage Securities Trust |
54,000 | 54,593 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust: |
||||||||
| Series 2006-LDP9, Class AMS, 5.34%, 5/15/2047 |
67,000 | 66,414 | ||||||
| Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (b) |
33,317 | 33,293 | ||||||
| Series 2014-FL6, Class A, 1 Month LIBOR + 1.40%, 2.56%, 11/15/2031 (a) (b) |
131,047 | 131,292 | ||||||
| Series 2016-JP4, Class XA, IO, 0.96%, 12/15/2049 (b) |
1,730,114 | 83,228 | ||||||
| JPMBB Commercial Mortgage Securities Trust |
1,054,439 | 53,116 | ||||||
| JPMDB Commercial Mortgage Securities Trust |
792,912 | 48,914 | ||||||
| Mill City Mortgage Trust |
168,666 | 169,530 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||
| Series 2014-C15, Class XA, IO, 1.31%, 4/15/2047 (b) |
1,016,597 | 50,691 | ||||||
| Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a) |
1,256,995 | 46,701 | ||||||
| Morgan Stanley Capital I Trust: |
||||||||
| Series 2007-IQ16, Class AM, 6.33%, 12/12/2049 (b) |
61,000 | 61,747 | ||||||
| Series 2016-UB12, Class XA, IO, 0.97%, 12/15/2049 (b) |
1,637,434 | 87,183 | ||||||
| Series 2017-PRME, Class A, 1 Month LIBOR + 0.90%, 2.06%, 2/15/2034 (a) (b) |
52,000 | 52,401 | ||||||
| RAIT Trust: |
||||||||
| Series 2017-FL7, Class A, 1 Month LIBOR + 0.95%, 2.10%, 6/15/2037 (a) (b) |
23,000 | 23,000 | ||||||
| Series 2017-FL7, Class AS, 1 Month LIBOR + 1.30%, 2.45%, 6/15/2037 (a) (b) |
6,000 | 6,000 | ||||||
| Rosslyn Portfolio Trust: |
||||||||
| Series 2017-ROSS, Class A, 1 Month LIBOR + 0.95%, 2.11%, 6/15/2033 (a) (b) |
15,000 | 15,000 | ||||||
| Series 2017-ROSS, Class B, 1 Month LIBOR + 1.25%, 2.41%, 6/15/2033 (a) (b) |
15,000 | 15,000 | ||||||
See accompanying notes to financial statements.
8
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Principal |
Value |
||||||
| Sutherland Commercial Mortgage Loans LLC |
$ | 11,772 | $ | 11,723 | ||||
| TRU Trust |
75,915 | 75,978 | ||||||
| UBS Commercial Mortgage Trust |
1,000,000 | 116,693 | ||||||
| Velocity Commercial Capital Loan Trust |
350,945 | 354,455 | ||||||
| VSD LLC 3.60%, 12/25/2043 |
33,981 | 33,994 | ||||||
| Wachovia Bank Commercial Mortgage Trust: |
||||||||
| Series 2006-C25, Class F, 6.03%, 5/15/2043 (b) |
35,000 | 34,994 | ||||||
| Series 2007-C30, Class AJ, 5.41%, 12/15/2043 (b) |
53,540 | 54,226 | ||||||
| Waldorf Astoria Boca Raton Trust: |
||||||||
| Series 2016-BOCA, Class B, 1 Month LIBOR + 2.05%, 3.21%, 6/15/2029 (a) (b) |
37,000 | 37,183 | ||||||
| Series 2016-BOCA, Class C, 1 Month LIBOR + 2.50%, 3.66%, 6/15/2029 (a) (b) |
31,000 | 31,192 | ||||||
| WFRBS Commercial Mortgage Trust |
1,359,969 | 48,733 | ||||||
|
|
|
|||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
2,398,243 | |||||||
|
|
|
|||||||
| Security Description |
Shares |
Value |
||||||
| SHORT-TERM INVESTMENT — 0.8% |
||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares
0.92% (d) (e) |
270,252 | 270,252 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.5% |
34,553,403 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% |
171,290 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 34,724,693 | ||||||
|
|
|
|||||||
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 7.7% of net assets as of June 30, 2017, 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, 2017. |
| (c) | Amount is less than 0.05% of net assets. |
| (d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| (e) | The rate shown is the annualized seven-day yield at June 30, 2017. |
CMT Constant Maturity Treasury
IO Interest Only
LIBOR London Interbank Offered Rate
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Corporate Bonds & Notes |
||||||||||||||||
| Aerospace & Defense |
$ | — | $ | 174,370 | $ | — | $ | 174,370 | ||||||||
| Agriculture |
— | 206,563 | — | 206,563 | ||||||||||||
| Auto Manufacturers |
— | 527,444 | — | 527,444 | ||||||||||||
| Banks |
— | 2,659,274 | — | 2,659,274 | ||||||||||||
| Beverages |
— | 164,569 | — | 164,569 | ||||||||||||
| Biotechnology |
— | 321,409 | — | 321,409 | ||||||||||||
| Chemicals |
— | 70,144 | — | 70,144 | ||||||||||||
| Diversified Financial Services |
— | 236,418 | — | 236,418 | ||||||||||||
| Electric |
— | 477,780 | — | 477,780 | ||||||||||||
| Food |
— | 334,798 | — | 334,798 | ||||||||||||
| Health Care Products |
— | 231,105 | — | 231,105 | ||||||||||||
| Health Care Services |
— | 176,031 | — | 176,031 | ||||||||||||
| Housewares |
— | 111,439 | — | 111,439 | ||||||||||||
See accompanying notes to financial statements.
9
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| Insurance |
$ | — | $ | 419,535 | $ | — | $ | 419,535 | ||||||||
| Internet |
— | 112,039 | — | 112,039 | ||||||||||||
| IT Services |
— | 81,096 | — | 81,096 | ||||||||||||
| Machinery, Construction & Mining |
— | 110,243 | — | 110,243 | ||||||||||||
| Machinery-Diversified |
— | 165,399 | — | 165,399 | ||||||||||||
| Media |
— | 144,291 | — | 144,291 | ||||||||||||
| Oil & Gas |
— | 515,301 | — | 515,301 | ||||||||||||
| Pharmaceuticals |
— | 712,504 | — | 712,504 | ||||||||||||
| Pipelines |
— | 101,657 | — | 101,657 | ||||||||||||
| Real Estate Investment Trusts |
— | 98,206 | — | 98,206 | ||||||||||||
| Retail |
— | 65,168 | — | 65,168 | ||||||||||||
| Semiconductors |
— | 175,741 | — | 175,741 | ||||||||||||
| Telecommunications |
— | 430,034 | — | 430,034 | ||||||||||||
| Textiles |
— | 137,074 | — | 137,074 | ||||||||||||
| Foreign Government Obligations |
— | 1,677,094 | — | 1,677,094 | ||||||||||||
| U.S. Government Agency Obligations |
— | 11,114,793 | — | 11,114,793 | ||||||||||||
| U.S. Treasury Obligations |
— | 8,239,843 | — | 8,239,843 | ||||||||||||
| Senior Floating Rate Loans |
— | 657,732 | — | 657,732 | ||||||||||||
| Asset-Backed Securities |
— | 1,235,814 | — | 1,235,814 | ||||||||||||
| Mortgage-Backed Securities |
— | 2,398,243 | — | 2,398,243 | ||||||||||||
| Short-Term Investment |
270,252 | — | — | 270,252 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 270,252 | $ | 34,283,151 | $ | — | $ | 34,553,403 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
673,680 | $ | 673,680 | 4,506,193 | 5,179,873 | — | $ | — | $ | 1,839 | $ | — | ||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 4,833,217 | 4,562,965 | 270,252 | 270,252 | 1,010 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 23,551,257 | 23,551,257 | — | — | 4,442 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 673,680 | $ | 270,252 | $ | 7,291 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
10
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2017
| ASSETS |
| |||
| Investments in unaffiliated issuers, at value (Note 2) |
$ | 34,283,151 | ||
| Investments in affiliated issuers, at value (Note 2) |
270,252 | |||
|
|
|
|||
| Total Investments |
34,553,403 | |||
| Cash |
7,307 | |||
| Receivable for investments sold |
140,480 | |||
| Interest receivable — unaffiliated issuers (Note 2) |
135,517 | |||
| Dividends receivable — affiliated issuers (Note 2) |
682 | |||
| Receivable from Adviser (Note 4) |
1,188 | |||
|
|
|
|||
| TOTAL ASSETS |
34,838,577 | |||
|
|
|
|||
| LIABILITIES |
| |||
| Payable for investments purchased |
99,385 | |||
| Advisory fee payable (Note 4) |
14,285 | |||
| Trustees’ fees and expenses payable (Note 5) |
13 | |||
| Accrued expenses and other liabilities |
201 | |||
|
|
|
|||
| TOTAL LIABILITIES |
113,884 | |||
|
|
|
|||
| NET ASSETS |
$ | 34,724,693 | ||
|
|
|
|||
| NET ASSETS CONSIST OF: |
| |||
| Paid-in Capital (Note 7) |
$ | 34,929,064 | ||
| Undistributed (distribution in excess of) net investment income (loss) |
— | |||
| Accumulated net realized gain (loss) on investments |
(137,382 | ) | ||
| Net unrealized appreciation (depreciation) on: |
||||
| Investments |
(66,989 | ) | ||
|
|
|
|||
| NET ASSETS |
$ | 34,724,693 | ||
|
|
|
|||
| NET ASSET VALUE PER SHARE |
| |||
| Net asset value per share |
$ | 49.61 | ||
|
|
|
|||
| Shares outstanding (unlimited amount authorized, $0.01 par value) |
700,000 | |||
|
|
|
|||
| COST OF INVESTMENTS: |
| |||
| Investments in unaffiliated issuers |
$ | 34,350,140 | ||
| Investments in affiliated issuers |
270,252 | |||
|
|
|
|||
| Total cost of investments |
$ | 34,620,392 | ||
|
|
|
|||
See accompanying notes to financial statements.
11
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
STATEMENT OF OPERATIONS
For the Year Ended June 30, 2017
| INVESTMENT INCOME |
| |||
| Interest income — unaffiliated issuers (Note 2) |
$ | 886,760 | ||
| Dividend income — affiliated issuers (Note 2) |
7,291 | |||
|
|
|
|||
| TOTAL INVESTMENT INCOME (LOSS) |
894,051 | |||
|
|
|
|||
| EXPENSES |
| |||
| Advisory fees (Note 4) |
175,473 | |||
| Trustees’ fees and expenses (Note 5) |
510 | |||
| Miscellaneous expenses |
817 | |||
|
|
|
|||
| TOTAL EXPENSES |
176,800 | |||
|
|
|
|||
| Expenses waived/reimbursed by the Adviser (Note 4) |
(18,058 | ) | ||
|
|
|
|||
| NET EXPENSES |
158,742 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
735,309 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) |
| |||
| Net realized gain (loss) on: |
||||
| Investments — unaffiliated issuers |
590 | |||
|
|
|
|||
| Net realized gain (loss) |
590 | |||
|
|
|
|||
| Net change in unrealized appreciation/depreciation on: |
||||
| Investments — unaffiliated issuers |
(281,924 | ) | ||
|
|
|
|||
| Net change in unrealized appreciation/depreciation |
(281,924 | ) | ||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
(281,334 | ) | ||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS |
$ | 453,975 | ||
|
|
|
|||
See accompanying notes to financial statements.
12
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended 6/30/17 |
For the Period 4/13/16* - 6/30/16 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 735,309 | $ | 220,087 | ||||
| Net realized gain (loss) |
590 | (15,198 | ) | |||||
| Net change in unrealized appreciation/depreciation |
(281,924 | ) | 214,935 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
453,975 | 419,824 | ||||||
|
|
|
|
|
|||||
| Net equalization credits and charges (Note 2) |
1,711 | — | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
| Net investment income |
(835,059 | ) | (116,107 | ) | ||||
| Net realized gains |
(127,004 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(962,063 | ) | (116,107 | ) | ||||
|
|
|
|
|
|||||
| FROM BENEFICIAL INTEREST TRANSACTIONS: |
||||||||
| Proceeds from sale of shares sold |
12,388,012 | 50,000,000 | ||||||
| Cost of shares redeemed |
(27,603,720 | ) | — | |||||
| Net income equalization (Note 2) |
(1,711 | ) | — | |||||
| Other capital (Note 7) |
44,772 | 100,000 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets from beneficial interest transactions |
(15,172,647 | ) | 50,100,000 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets during the period |
(15,679,024 | ) | 50,403,717 | |||||
|
|
|
|
|
|||||
| Net assets at beginning of period |
50,403,717 | — | ||||||
|
|
|
|
|
|||||
| NET ASSETS AT END OF PERIOD |
$ | 34,724,693 | $ | 50,403,717 | ||||
|
|
|
|
|
|||||
| Undistributed (distribution in excess of) net investment income (loss) |
$ | — | $ | 93,148 | ||||
|
|
|
|
|
|||||
| SHARES OF BENEFICIAL INTEREST: |
||||||||
| Shares sold |
250,000 | 1,000,000 | ||||||
| Shares redeemed |
(550,000 | ) | — | |||||
|
|
|
|
|
|||||
| Net increase (decrease) |
(300,000 | ) | 1,000,000 | |||||
|
|
|
|
|
|||||
| * | Inception date. |
See accompanying notes to financial statements.
13
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| Year Ended 6/30/17 |
For the Period 4/14/16* - 6/30/16 |
|||||||
| Net asset value, beginning of period |
$ | 50.40 | $ | 50.00 | ||||
|
|
|
|
|
|||||
| Income (loss) from investment operations: |
| |||||||
| Net investment income (loss) (a) |
1.04 | 0.22 | ||||||
| Net realized and unrealized gain (loss) |
(0.53 | ) | 0.20 | |||||
|
|
|
|
|
|||||
| Total from investment operations |
0.51 | 0.42 | ||||||
|
|
|
|
|
|||||
| Net equalization credits and charges |
0.00 | (b) | — | |||||
|
|
|
|
|
|||||
| Other capital (a) |
0.06 | 0.10 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders from: |
| |||||||
| Net investment income |
(1.13 | ) | (0.12 | ) | ||||
| Net realized gains |
(0.23 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions |
(1.36 | ) | (0.12 | ) | ||||
|
|
|
|
|
|||||
| Net asset value, end of period |
$ | 49.61 | $ | 50.40 | ||||
|
|
|
|
|
|||||
| Total return (c) |
1.14 | % | 1.04 | % | ||||
| Ratios and Supplemental Data: |
| |||||||
| Net assets, end of period (in 000s) |
$ | 34,725 | $ | 50,404 | ||||
| Ratios to average net assets: |
| |||||||
| Total expenses |
0.50 | % | 0.50 | %(d) | ||||
| Net expenses |
0.45 | % | 0.45 | %(d) | ||||
| Net investment income (loss) |
2.10 | % | 2.06 | %(d) | ||||
| Portfolio turnover rate (e) |
123 | % | 25 | %(f) | ||||
| * | Commencement of operations. |
| (a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
| (b) | Amount is less than $0.005. |
| (c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
| (d) | Annualized. |
| (e) | Portfolio turnover rate excludes transactions involving securities received or delivered from in-kind processing of creations or redemptions. |
| (f) | Not annualized. |
See accompanying notes to financial statements.
14
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
NOTES TO FINANCIAL STATEMENTS
June 30, 2017
| 1. | Organization |
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2017, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest at no par value. The financial statements herein relate only to the SPDR DoubleLine Short Duration Total Return Tactical ETF (the “Fund”).
The Fund is classified as a diversified investment company under the 1940 Act.
The Fund was formed on April 13, 2016 and commenced operations on April 14, 2016.
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 would 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. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund’s investments are valued at fair value each day that the Fund’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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
| • | 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 (“NAV”) per share or unit. |
| • | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
| • | Debt obligations (including short-term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices. |
| • | Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for 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. |
15
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
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 the Fund’s NAV and the prices used by the Fund’s underlying benchmarks. Various inputs are used in determining the value of the Fund’s investments.
The Fund values its 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 an identical asset or liability; |
| • | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability 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 the Fund’s investments according to the fair value hierarchy as of June 30, 2017 is disclosed in the Fund’s 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 Fund had no material transfers between levels for the period ended June 30, 2017.
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. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. 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.
Paydown gains and losses are recorded as an adjustment to interest income.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund 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 Fund within the Trust.
Equalization
The Fund in the Trust follows the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.
16
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Distributions
Distributions from net investment income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
| 3. | Securities and Other Investments |
Loan Agreements
The Fund invests 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 Fund does 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 Fund as the issuers of such loans.
| 4. | Fees and Transactions with Affiliates |
Advisory Fee
The Fund has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee accrued daily and paid monthly, at the rate of 0.50% of the Fund’s average daily net assets.
SSGA FM has contractually agreed to waive its advisory fee and/or reimburse certain expenses, until October 31, 2017, so that the net annual fund operating expenses of the Fund will be limited to 0.45% of the Fund’s average daily net assets before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2017, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Advisor, pursuant to the Agreement, was $18,058.
The Adviser pays all expenses of the Fund other than the management fee, distribution fee pursuant to the Fund’s Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.
DoubleLine Capital LP receives fees for its services as the sub-advisor to the Fund from the Adviser.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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.
Distribution Fees
State Street Global Advisor Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Trust. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
17
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Prior to March 1, 2017, pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, the Fund was authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution related activities. Effective March 1, 2017, the Trust’s Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act, which had not been operationalized, was terminated.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including securities issued by State Street Corporation, 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, 2017 are disclosed in the Schedule of Investments.
| 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 Fund. 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 short term investments) for the period ended June 30, 2017, were as follows:
| U.S. Government Obligations | Other Securities | |||||||||||||||||||||||||
| Purchases | Sales | Purchases | Sales | |||||||||||||||||||||||
| $ | 33,757,993 | $ | 33,745,006 | $ | 7,103,264 | $ | 27,445,082 | |||||||||||||||||||
| 7. | Shareholder Transactions |
The Fund issues and redeems its shares, at NAV, only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in capital shares for the Fund are disclosed in detail in the Statement of Changes in Net Assets.
The consideration for the purchase of Creation Units of the Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash, except for when the Fund may invest in TBAs or mortgage backed securities. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statement of Changes in Net Assets.
| 8. | Income Tax Information |
The Fund has qualified and intends to continue to qualify for as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, 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.
18
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on NAVs or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for pay-down gains and losses, wash sales loss deferrals and distribution re-designations.
The tax character of distributions paid during the period ended June 30, 2016 was as follows:
| Ordinary Income |
Long-Term Capital Gains |
Tax Return of Capital |
Total | |||||||||||||
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
$ | 116,107 | $ | — | $ | — | $ | 116,107 | ||||||||
The tax character of distributions paid during the period ended June 30, 2017 was as follows:
| Ordinary Income |
Long-Term Capital Gains |
Tax Return of Capital |
Total | |||||||||||||
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
$ | 962,063 | $ | — | $ | — | $ | 962,063 | ||||||||
At June 30, 2017, the components of distributable earnings on a tax basis were as follows:
| Undistributed Ordinary Income |
Capital Loss Carryforwards |
Undistributed Long-Term Capital Gains |
Net Unrealized Gains (Losses) |
Qualified Late-Year Losses |
Total | |||||||||||||||||||
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
$ | — | $ | — | $ | — | $ | (67,578 | ) | $ | (136,793 | ) | $ | (204,371 | ) | |||||||||
As of June 30, 2017, 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) |
|||||||||||||
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
$ | 34,620,981 | $ | 75,743 | $ | 143,321 | $ | (67,578 | ) | |||||||
| 9. | Line of Credit |
Effective October 13, 2016, the Fund 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. The agreement expires October 12, 2017 unless extended or renewed.
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. Commitment fees are ordinary fund operating expenses paid by the Adviser. 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR Rate.
The Fund had no outstanding loans as of ended June 30, 2017.
| 10. | Risks |
Concentration of Risk
As a result of the Fund’s ability to invest a large percentage of its 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 Fund’s investments more than if the Fund were more broadly diversified.
19
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Foreign and Emerging Markets Risk
Investing in foreign markets involves 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 Fund 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 Fund 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 Fund trades financial instruments and enters 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, the Fund 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 Fund has unsettled or open transactions defaults.
| 11. | New Accounting Pronouncements |
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
| 12. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund 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.
20
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
SSGA Active Trust
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of SPDR DoubleLine Short Duration Total Return Tactical ETF (the “Fund”) (one of the portfolios constituting SSGA Active Trust) as of June 30, 2017, and the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s 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 Fund’s 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 Fund’s 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, 2017, 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 SPDR DoubleLine Short Duration Total Return Tactical ETF (one of the portfolios constituting SSGA Active Trust) at June 30, 2017, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 25, 2017
21
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
The table below illustrates your Fund’s cost in two ways:
| • | Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”. |
| • | Based on hypothetical 5% return — This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Actual | Hypothetical (assuming a 5% return before expenses) |
|||||||||||||||||||
| Annualized Expense Ratio |
Ending Account Value |
Expenses Paid During Period(a) |
Ending Account Value |
Expenses Paid During Period(a) |
||||||||||||||||
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
0.45 | % | $ | 1,012.60 | $ | 2.25 | $ | 1,022.60 | $ | 2.26 | ||||||||||
| (a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions from the Trust for the fiscal year ended June 30, 2017.
Qualified Interest Income
The Fund reports the maximum amount allowable of its net taxable income and short-term capital gains as qualified interest income.
Premium/Discount Information
Information regarding how often the Shares of the Fund traded on the Exchange at a price above (i.e. at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at http://www.spdrs.com.
22
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s 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 SEC, 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 Fund’s website at www.spdrs.com.
Quarterly Portfolio Schedule
The Fund files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form 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 1-800-787-2257 (toll free) and on the Fund’s website at www.spdrs.com.
23
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Approval of Advisory Agreement
At in-person meetings held prior to June 30, 2017, the Board of Trustees of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the SPDR DoubleLine Short Duration Total Return Tactical ETF, an operational series of SSGA Active Trust (the “Fund”). 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 Agreement.
In evaluating the Agreement, 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 Trust’s sub-administrator, transfer agent and custodian (“State Street”). In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Fund under the Agreement, (ii) investment performance of the Fund, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trust, (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 Fund grows.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the Adviser’s responsibilities for managing investment operations of the Fund in accordance with the Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the nature of the Fund as an exchange-traded fund 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 Fund. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing the 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 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 management 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 specifically considered the Adviser’s experience in active management, managing exchange-traded funds and overseeing third-party sub-advisers.
Investment Performance
The Board then reviewed the Fund’s performance. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses). The Board noted that because the Fund did not have a full calendar year of performance, a comparison against a group of comparable funds was not available. The Board considered that the Fund outperformed its benchmark index since inception. On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory.
Profits Realized by Adviser
The Board considered the profitability of the advisory arrangement with the Fund to the Adviser, including data on the Fund’s historical profitability to the Adviser. The Independent Trustees, with their independent legal 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 the 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. The Board reviewed the universe of similar exchange-traded funds for the Fund based upon data independently obtained from Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar exchange-traded funds.
24
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Other Benefits
The Board also considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
Economies of Scale
The Board reviewed information regarding economies of scale or other efficiencies that may result as the Fund’s assets grow in size. The Board noted that the Agreement did not provide for breakpoints in the Fund’s advisory fee rates as assets of the 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 Fund by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the Fund 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 Fund grows in size and assess whether fee breakpoints may be warranted.
Conclusion
The Board, including the Independent Trustees voting separately, approved the Agreement for the 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 the Agreement were as follows: (a) the nature and extent of the services provided by the Adviser with respect to the Fund were appropriate; (b) the performance of the Fund had been satisfactory; (c) the Adviser’s unitary fee for the Fund, considered in relation to services provided and in relation to fees charged to comparable funds, was fair and reasonable; (d) profitability of the Trust’s 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 Fund by way of the relatively low fee structure of the Trust.
Approval of DoubleLine Capital LP Sub-Advisory Agreement
At in-person meetings held prior to June 30, 2017, the Board also considered proposals to continue the Sub-Advisory Agreement (the “DoubleLine Sub-Advisory Agreement”) between the Adviser and DoubleLine Capital LP (“DoubleLine”) with respect to the Fund, under which the Fund would be sub-advised by DoubleLine. The Independent Trustees also met separately with their independent legal counsel to consider the DoubleLine Sub-Advisory Agreement.
In evaluating the DoubleLine Sub-Advisory Agreement, the Board drew on materials provided to them by DoubleLine and the Adviser. In deciding whether to approve the DoubleLine Sub-Advisory Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by DoubleLine with respect to the Fund under the DoubleLine Sub-Advisory Agreement; and (ii) investment performance of the Fund. The Board was informed of the portion of the advisory fee that the Adviser would pay to DoubleLine under the DoubleLine Sub-Advisory Agreement and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the Fund.
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 Fund’s performance, noting that the performance of the Fund was satisfactory. The Board also considered the unitary fee paid to the Adviser by the Fund and DoubleLine’s fees paid by the Adviser. The Board also considered whether DoubleLine benefited in other ways from its relationship with the Trust.
The Board, including the Independent Trustees voting separately, approved the DoubleLine Sub-Advisory Agreement for the Fund after weighing the foregoing factors as well as the relevant factors discussed in relation to the Agreement between the Trust and the Adviser, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to the DoubleLine Sub-Advisory Agreement were as follows: (a) the nature and extent of the services provided by DoubleLine with respect to the Fund were adequate and appropriate; (b) the performance of the Fund had been satisfactory; (c) DoubleLine’s fees for the Fund and the unitary fee, considered in relation to the services 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 to DoubleLine adequately shared the economies of scale with the Fund by way of the relatively low fee structure of the Trust.
25
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| 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 Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943 |
Independent Trustee, Chairman, Trustee Committee Chair |
Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DAVID M. KELLY c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Retired. | 179 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
| BONNY EUGENIA BOATMAN c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DWIGHT D. CHURCHILL c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
179 | Affiliated Managers Group, Inc. (Director). | |||||
| CARL G. VERBONCOEUR c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952 |
Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2009. |
179 | The Motley Fool Funds Trust (Trustee). |
26
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| 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 March 2011 |
Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 255 | SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present). |
| † | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Fund Management, Inc. serves as investment adviser. |
| * | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. |
| 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 | |||
| Officers |
||||||
| 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)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present). | |||
| 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). | |||
| 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 |
Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).* |
27
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| 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 | |||
| MICHAEL P. RILEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969 |
Vice President |
Term: Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005-present).* | |||
| 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). | |||
| JESSE D. HALLEE State Street Bank and Trust Company One Hundred Summer Street, SUM0703 Boston, MA 02111 1976 |
Secretary | Term: Unlimited Served: since August 2017 |
Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).** | |||
| PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 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).*,. ** | |||
| 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).* | |||
| DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1968 |
Deputy Treasurer |
Term: Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016). | |||
| 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).* |
28
Table of Contents
SSGA Active Trust
SPDR DoubleLine Short Duration Total Return Tactical ETF
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| 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 | |||
| DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1980 |
Assistant Treasurer |
Term: Unlimited Served: since May 2017 |
Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015). | |||
| BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973 |
Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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.
29
Table of Contents
SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President and Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Daniel G. Plourde, Assistant Treasurer
Jesse D. Hallee, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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
Distributor
State Street Global Advisors Funds Distributors, LLC
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
Fund Shares are distributed by State Street Global Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.
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.
SPDRSTOTAR IBG-24484
Table of Contents
Annual Report
30 June 2017
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
ANNUAL REPORT
JUNE 30, 2017
| Management’s Discussion of Fund Performance & Performance Summary (Unaudited) |
1 | |||
| 4 | ||||
| 5 | ||||
| 8 | ||||
| 9 | ||||
| 10 | ||||
| 11 | ||||
| 12 | ||||
| 17 | ||||
| 18 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO — MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The State Street Disciplined Global Equity Fund Portfolio (the “Portfolio”) seeks to provide competitive long-term returns while maintaining low long-term volatility relative to the broad global equity market. The Portfolio’s benchmark is the MSCI World Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Portfolio was 14.43%, and the Index was 18.20% (Net). The Portfolio and Index returns reflect the reinvestment of dividends and other income. The Portfolio’s performance reflects the expenses of managing the Portfolio, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Global equity markets accelerated higher through the third quarter of 2016, while the VIX declined substantially from the post-Brexit high. Collectively, rising crude oil prices and incrementally positive economic releases drove risk sentiment higher. The Portfolio’s lower risk positioning faced a strong head wind on performance as the market reverted to favoring higher beta and higher risk securities. Overall stock selection performance was rather muted as shifts in sentiment and interest rates concerns dominated market dynamics. As a result, the portfolio’s allocation effect was negatively impacted as it was overweight the utilities sector and underweight the financials sector relative to the Index. Diminishing risk aversion saw investors rotating into riskier technology names at the expense of the more defensive health care and consumer staples stocks that were owned by the Portfolio. The health care sector also faced additional pressure from concerns on the rising regulatory and government pricing interference on the sector.
Portfolio positioning into the fourth quarter of 2016 continued to reflect the long term challenges in the global economic recovery, with low allocations to the cyclical industries and the financials sector. However, global equity investors accelerated their rotation into cyclicals after the U.S. elections. The Portfolio was negatively affected by the performance of the financials sector, relative to the Index, as this segment of the market rallied heavily on a more hawkish rate outlook and a sharp steepening in yield curves. Financials were also perceived to benefit from a more benign regulatory environment envisaged under the Trump administration. In addition, lower allocations to energy companies and an emphasis on telecommunication services hurt overall performance for the quarter relative to the Index.
Equity markets ushered in 2017 on a cautiously positive note. However, reflationary market trends and positive sentiment quickly picked up and drove global equity indices to new highs. The Portfolio added value in each of the months during the first quarter, but was particularly successful during February. An overweight in health care, an increase in exposure to banks, and a significant underweight in energy, relative to the Index, provided a boost to performance during the first quarter of 2017.
During April and May 2017, general market sentiment was helped by the unwinding of Eurozone political risk fears, however the materials and energy sectors performed poorly as commodities and oil slumped on China deleveraging and risks to oil production cuts. The Portfolio made relative gains during this period in the energy, health care, and financials sectors from both an allocation and stock selection effect. However performance was hurt by poor stock selection within the information technology and consumer discretionary sectors. As the second quarter of 2017 came to a close, enthusiasm for the current market environment was still positive, although a dip in oil and a rotation away from technology stocks did provide a slight setback. In June, the Portfolio made most of its gains from stock selection within the Information Technology and Industrials sectors, however the portfolio’s significant underweight in Information Technology also contributed to performance against the Index.
In summary, the “risk on” rally which was sustained through the second half of 2016 benefitted pro-cyclical, higher beta equities which negatively impacted the Portfolio’s performance as it was more defensively positioned, relative to the Index. Although, relative to the Index, the Portfolio’s positioning started to pay off during the first half of 2017, it was not enough to offset the losses incurred earlier on.
On an individual security level, the top positive contributors to the Portfolio’s performance on an absolute basis were Quest Diagnostics Inc., Peugeot SA, and NetApp, Inc. The top negative contributors to the Fund’s performance on an absolute basis were DaVita, Inc.*, Astellas Pharma, Inc., and Express Scripts Holding Co.
The views expressed above reflect those of the Portfolio’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
| * | The security was not held by the Portfolio as of June 30, 2017 and is therefore not included in the Schedule of Investments. |
1
Table of Contents
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO — PERFORMANCE SUMMARY (UNAUDITED)
The following performance chart of the Portfolio’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Portfolio’s per share net asset value (“NAV”) is the value of one share of the Portfolio and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Portfolio and the market return is based on the market price per share of the Portfolio. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Portfolio are listed for trading, as of the time that the Portfolio’s NAV is calculated. Since shares of the Portfolio did not trade in the secondary market until one day after the Portfolio’s inception, for the period from inception to the first day of secondary market trading in shares of the Portfolio (2/18/16, 2/19/16, respectively), the NAV of the Portfolio is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Portfolio at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Portfolio’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or on the redemption or sale of Portfolio shares. The total expense ratio for State Street Disciplined Global Equity Portfolio as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 is 0.25%.
PERFORMANCE AS OF JUNE 30, 2017
| CUMULATIVE TOTAL RETURN |
AVERAGE ANNUAL TOTAL RETURN |
|||||||||||||||||||||||||||||
| NET ASSET VALUE |
MARKET VALUE |
MSCI World Index (USD) (Net) |
NET ASSET VALUE |
MARKET VALUE |
MSCI World Index (USD) (Net) |
|||||||||||||||||||||||||
| ONE YEAR | 14.43% | N/A | 18.20% | 14.43% | N/A | 18.20% | ||||||||||||||||||||||||
| SINCE INCEPTION (1) | 24.62% | N/A | 27.88% | 17.47% | N/A | 19.77% | ||||||||||||||||||||||||
| (1) | For the period February 18, 2016 to June 30, 2017. |
MSCI World Index
The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
2
Table of Contents
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO — PERFORMANCE SUMMARY (UNAUDITED) (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past Performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
3
Table of Contents
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO —
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
| DESCRIPTION | BAXTER |
QUEST DIAGNOSTICS, INC. |
AGILENT |
ENEL |
ABBOTT |
|||||||||
| MARKET VALUE | $68,713 | 64,473 | 60,555 | 59,641 | 58,429 | |||||||||
| % OF NET ASSETS | 1.5 | 1.4 | 1.3 | 1.3 | 1.3 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
| INDUSTRY | PERCENT OF NET ASSETS |
|||||||
| Electric Utilities | 8.2 | % | ||||||
| Health Care Providers & Services | 7.1 | |||||||
| Insurance | 6.0 | |||||||
| Health Care Equipment & Supplies | 5.7 | |||||||
| Diversified Telecommunication Services | 5.6 | |||||||
| Pharmaceuticals | 5.6 | |||||||
| Banks | 5.2 | |||||||
| Multi-Utilities | 4.5 | |||||||
| Food & Staples Retailing | 3.5 | |||||||
| Electronic Equipment, Instruments & Components | 3.3 | |||||||
| Automobiles | 3.0 | |||||||
| Commercial Services & Supplies | 2.4 | |||||||
| Household Products | 2.3 | |||||||
| Airlines | 2.2 | |||||||
| Beverages | 2.2 | |||||||
| Real Estate Investment Trusts (REITs) | 2.2 | |||||||
| Food Products | 2.1 | |||||||
| Electrical Equipment | 2.0 | |||||||
| Tobacco | 1.9 | |||||||
| Media | 1.8 | |||||||
| Construction & Engineering | 1.7 | |||||||
| Communications Equipment | 1.6 | |||||||
| Semiconductors & Semiconductor Equipment |
1.5 | |||||||
| Technology Hardware, Storage & Peripherals |
1.4 | |||||||
| Auto Components |
1.3 | |||||||
| IT Services |
1.3 | |||||||
| Life Sciences Tools & Services |
1.3 | |||||||
| Aerospace & Defense |
1.1 | |||||||
| Real Estate Management & Development |
1.1 | |||||||
| Road & Rail |
1.1 | |||||||
| Containers & Packaging |
1.0 | |||||||
| Industrial Conglomerates |
1.0 | |||||||
| Machinery |
1.0 | |||||||
| Metals & Mining |
1.0 | |||||||
| Consumer Finance |
0.9 | |||||||
| Household Durables |
0.9 | |||||||
| Mortgage Real Estate Investment |
0.9 | |||||||
| Trading Companies & Distributors |
0.8 | |||||||
| Building Products |
0.6 | |||||||
| Software |
0.6 | |||||||
| Short-Term Investment |
0.5 | |||||||
| Other Assets in Excess of Liabilities |
0.6 | |||||||
| TOTAL |
100.0 | % | ||||||
| * | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
4
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| COMMON STOCKS — 98.9% |
||||||||
| AUSTRALIA — 1.3% |
||||||||
| Qantas Airways, Ltd. |
6,574 | $ | 28,844 | |||||
| Telstra Corp., Ltd. |
9,964 | 32,864 | ||||||
|
|
|
|||||||
| 61,708 | ||||||||
|
|
|
|||||||
| CANADA — 3.3% |
||||||||
| BCE, Inc. |
859 | 38,627 | ||||||
| Metro, Inc. |
802 | 26,357 | ||||||
| Shaw Communications, Inc. Class B |
1,954 | 42,565 | ||||||
| TELUS Corp. |
1,279 | 44,091 | ||||||
|
|
|
|||||||
| 151,640 | ||||||||
|
|
|
|||||||
| DENMARK — 1.4% |
||||||||
| Danske Bank A/S |
548 | 21,050 | ||||||
| Vestas Wind Systems A/S |
468 | 43,147 | ||||||
|
|
|
|||||||
| 64,197 | ||||||||
|
|
|
|||||||
| FRANCE — 2.0% |
||||||||
| Peugeot SA |
1,992 | 39,680 | ||||||
| Sanofi |
544 | 51,970 | ||||||
|
|
|
|||||||
| 91,650 | ||||||||
|
|
|
|||||||
| GERMANY — 2.7% |
||||||||
| Fresenius SE & Co. KGaA |
280 | 23,971 | ||||||
| METRO AG |
1,496 | 50,429 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
79 | 15,908 | ||||||
| RWE AG (a) |
1,673 | 33,287 | ||||||
|
|
|
|||||||
| 123,595 | ||||||||
|
|
|
|||||||
| HONG KONG — 7.9% |
||||||||
| BOC Hong Kong Holdings, Ltd. |
12,000 | 57,414 | ||||||
| CK Hutchison Holdings, Ltd. |
1,500 | 18,831 | ||||||
| CLP Holdings, Ltd. |
5,000 | 52,905 | ||||||
| Hang Seng Bank, Ltd. |
2,100 | 43,929 | ||||||
| Jardine Matheson Holdings, Ltd. |
400 | 25,680 | ||||||
| Link REIT |
6,500 | 49,459 | ||||||
| Power Assets Holdings, Ltd. |
3,500 | 30,913 | ||||||
| Sun Hung Kai Properties, Ltd. |
2,000 | 29,386 | ||||||
| WH Group, Ltd. (b) |
57,000 | 57,537 | ||||||
|
|
|
|||||||
| 366,054 | ||||||||
|
|
|
|||||||
| ITALY — 1.3% |
||||||||
| Enel SpA |
11,140 | 59,641 | ||||||
|
|
|
|||||||
| JAPAN — 14.4% |
||||||||
| Asahi Glass Co., Ltd. |
600 | 25,258 | ||||||
| Astellas Pharma, Inc. |
2,500 | 30,583 | ||||||
| Bridgestone Corp. |
700 | 30,153 | ||||||
| Central Japan Railway Co. |
300 | 48,887 | ||||||
| Daiichi Sankyo Co., Ltd. |
1,500 | 35,337 | ||||||
| Fujitsu, Ltd. |
5,000 | 36,837 | ||||||
| Hitachi, Ltd. |
9,000 | 55,221 | ||||||
| Hoya Corp. |
600 | 31,148 | ||||||
| Kirin Holdings Co., Ltd. |
2,400 | 48,893 | ||||||
| Marubeni Corp. |
5,900 | 38,112 | ||||||
| Mitsubishi Materials Corp. |
600 | 18,156 | ||||||
| Nippon Telegraph & Telephone Corp. |
1,100 | 51,985 | ||||||
| Sekisui Chemical Co., Ltd. |
2,300 | 41,165 | ||||||
| Sumitomo Rubber Industries, Ltd. |
1,900 | 32,061 | ||||||
| Suzuki Motor Corp. |
1,200 | 56,924 | ||||||
| Taisei Corp. |
5,000 | 45,657 | ||||||
| Toyota Motor Corp. |
800 | 41,958 | ||||||
|
|
|
|||||||
| 668,335 | ||||||||
|
|
|
|||||||
| NETHERLANDS — 0.9% |
||||||||
| Koninklijke Ahold Delhaize NV |
2,135 | 40,763 | ||||||
|
|
|
|||||||
| NEW ZEALAND — 1.0% |
||||||||
| Spark New Zealand, Ltd. |
16,707 | 46,240 | ||||||
|
|
|
|||||||
| NORWAY — 0.6% |
||||||||
| Norsk Hydro ASA |
5,426 | 29,978 | ||||||
|
|
|
|||||||
| SINGAPORE — 1.1% |
||||||||
| Ascendas REIT |
6,500 | 12,322 | ||||||
| Singapore Airlines, Ltd. |
2,400 | 17,640 | ||||||
| UOL Group, Ltd. |
3,785 | 21,002 | ||||||
|
|
|
|||||||
| 50,964 | ||||||||
|
|
|
|||||||
| SPAIN — 0.7% |
||||||||
| ACS Actividades de Construccion y Servicios SA |
791 | 30,516 | ||||||
|
|
|
|||||||
| SWEDEN — 1.1% |
||||||||
| Swedish Match AB |
1,444 | 50,795 | ||||||
|
|
|
|||||||
| SWITZERLAND — 2.8% |
||||||||
| Sonova Holding AG |
246 | 39,996 | ||||||
| Swisscom AG |
89 | 43,002 | ||||||
| TE Connectivity, Ltd. |
571 | 44,926 | ||||||
|
|
|
|||||||
| 127,924 | ||||||||
|
|
|
|||||||
| UNITED KINGDOM — 0.8% |
||||||||
| Direct Line Insurance Group PLC |
8,421 | 38,875 | ||||||
|
|
|
|||||||
| UNITED STATES — 55.6% |
||||||||
| Abbott Laboratories |
1,202 | 58,429 | ||||||
| Agilent Technologies, Inc. |
1,021 | 60,555 | ||||||
| AGNC Investment Corp. REIT |
1,953 | 41,579 | ||||||
| Allstate Corp. |
556 | 49,173 | ||||||
| Altria Group, Inc. |
478 | 35,597 | ||||||
| Ameren Corp. |
768 | 41,987 | ||||||
| American Electric Power Co., Inc. |
520 | 36,124 | ||||||
| American Express Co. |
471 | 39,677 | ||||||
| Annaly Capital Management, Inc. REIT |
3,380 | 40,729 | ||||||
| Anthem, Inc. |
235 | 44,211 | ||||||
| Avery Dennison Corp. |
522 | 46,129 | ||||||
| Axis Capital Holdings, Ltd. |
669 | 43,258 | ||||||
| Baxter International, Inc. |
1,135 | 68,713 | ||||||
| Cardinal Health, Inc. |
391 | 30,467 | ||||||
| CenterPoint Energy, Inc. |
1,662 | 45,506 | ||||||
| Cintas Corp. |
366 | 46,131 | ||||||
| Cisco Systems, Inc. |
834 | 26,104 | ||||||
| Colgate-Palmolive Co. |
229 | 16,976 | ||||||
| Comcast Corp. Class A |
1,101 | 42,851 | ||||||
| Corning, Inc. |
1,700 | 51,085 | ||||||
| Cummins, Inc. |
293 | 47,530 | ||||||
| Delta Air Lines, Inc. |
481 | 25,849 | ||||||
| DTE Energy Co. |
492 | 52,049 | ||||||
| Eaton Corp. PLC |
659 | 51,290 | ||||||
| Edison International |
520 | 40,659 | ||||||
| Eli Lilly & Co. |
330 | 27,159 | ||||||
| Entergy Corp. |
494 | 37,924 | ||||||
See accompanying notes to financial statements.
5
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Security Description |
Shares |
Value |
||||||
| Everest Re Group, Ltd. |
202 | $ | 51,427 | |||||
| Exelon Corp. |
1,239 | 44,691 | ||||||
| Express Scripts Holding Co. (a) |
534 | 34,091 | ||||||
| General Dynamics Corp. |
121 | 23,970 | ||||||
| HCA Healthcare, Inc. (a) |
522 | 45,518 | ||||||
| Hologic, Inc. (a) |
824 | 37,393 | ||||||
| HP, Inc. |
1,887 | 32,985 | ||||||
| IDEXX Laboratories, Inc. (a) |
175 | 28,248 | ||||||
| International Business Machines Corp. |
150 | 23,074 | ||||||
| Johnson & Johnson |
386 | 51,064 | ||||||
| JPMorgan Chase & Co. |
589 | 53,835 | ||||||
| Kimberly-Clark Corp. |
384 | 49,578 | ||||||
| KLA-Tencor Corp. |
207 | 18,943 | ||||||
| Lincoln National Corp. |
408 | 27,573 | ||||||
| McKesson Corp. |
123 | 20,238 | ||||||
| Merck & Co., Inc. |
809 | 51,849 | ||||||
| Motorola Solutions, Inc. |
535 | 46,406 | ||||||
| NetApp, Inc. |
800 | 32,040 | ||||||
| PepsiCo, Inc. |
473 | 54,627 | ||||||
| Pfizer, Inc. |
404 | 13,570 | ||||||
| Pinnacle West Capital Corp. |
614 | 52,288 | ||||||
| PNC Financial Services Group, Inc. |
196 | 24,474 | ||||||
| PPL Corp. |
624 | 24,124 | ||||||
| Principal Financial Group, Inc. |
667 | 42,735 | ||||||
| Procter & Gamble Co. |
421 | 36,690 | ||||||
| Prudential Financial, Inc. |
103 | 11,138 | ||||||
| Public Service Enterprise Group, Inc. |
846 | 36,386 | ||||||
| Quest Diagnostics, Inc. |
580 | 64,473 | ||||||
| Raytheon Co. |
155 | 25,029 | ||||||
| Republic Services, Inc. |
211 | 13,447 | ||||||
| Southwest Airlines Co. |
503 | 31,256 | ||||||
| Synopsys, Inc. (a) |
404 | 29,464 | ||||||
| Sysco Corp. |
659 | 33,167 | ||||||
| Texas Instruments, Inc. |
678 | 52,159 | ||||||
| Tyson Foods, Inc. Class A |
599 | 37,515 | ||||||
| UnitedHealth Group, Inc. |
266 | 49,322 | ||||||
| Universal Health Services, Inc. Class B |
141 | 17,213 | ||||||
| US Bancorp |
808 | 41,951 | ||||||
| Wal-Mart Stores, Inc. |
164 | 12,412 | ||||||
| Waste Management, Inc. |
713 | 52,299 | ||||||
|
|
|
|||||||
| 2,576,403 | ||||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS |
4,579,278 | |||||||
|
|
|
|||||||
| RIGHTS — 0.0%(c) |
||||||||
| SPAIN — 0.0%(c) |
||||||||
| ACS Actividades de Construccion y Servicios SA (expiring 7/17/17) (a) (Cost $665) |
791 | 631 | ||||||
|
|
|
|||||||
| SHORT-TERM INVESTMENT — 0.5% |
||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (d)(e) (Cost $23,785) |
23,785 | 23,785 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS — 99.4% |
4,603,694 | |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6% |
27,212 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 4,630,906 | ||||||
|
|
|
|||||||
| (a) | Non-income producing security. |
| (b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. This security, which represents 1.2% of net assets as of June 30, 2017, is 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, 2017. |
| (e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
| REIT | Real Estate Investment Trust |
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017.
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| ASSETS: |
||||||||||||||||
| INVESTMENTS: |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | 61,708 | $ | — | $ | — | $ | 61,708 | ||||||||
| Canada |
151,640 | — | — | 151,640 | ||||||||||||
| Denmark |
64,197 | — | — | 64,197 | ||||||||||||
| France |
91,650 | — | — | 91,650 | ||||||||||||
| Germany |
123,595 | — | — | 123,595 | ||||||||||||
| Hong Kong |
366,054 | — | — | 366,054 | ||||||||||||
| Italy |
59,641 | — | — | 59,641 | ||||||||||||
| Japan |
668,335 | — | — | 668,335 | ||||||||||||
| Netherlands |
40,763 | — | — | 40,763 | ||||||||||||
See accompanying notes to financial statements.
6
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
| Description |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 3 — Significant Unobservable Inputs |
Total | ||||||||||||
| New Zealand |
$ | 46,240 | $ | — | $ | — | $ | 46,240 | ||||||||
| Norway |
29,978 | — | — | 29,978 | ||||||||||||
| Singapore |
50,964 | — | — | 50,964 | ||||||||||||
| Spain |
30,516 | — | — | 30,516 | ||||||||||||
| Sweden |
50,795 | — | — | 50,795 | ||||||||||||
| Switzerland |
127,924 | — | — | 127,924 | ||||||||||||
| United Kingdom |
38,875 | — | — | 38,875 | ||||||||||||
| United States |
2,576,403 | — | — | 2,576,403 | ||||||||||||
| Rights |
||||||||||||||||
| Spain |
631 | — | — | 631 | ||||||||||||
| Short-Term Investment |
23,785 | — | — | 23,785 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENTS |
$ | 4,603,694 | $ | — | $ | — | $ | 4,603,694 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Affiliate Table
| Number of Shares Held at 6/30/16 |
Value at 6/30/16 |
Shares Purchased |
Shares Sold |
Number of Shares Held at 6/30/17 |
Value at 6/30/17 |
Dividend Income |
Realized Gain (Loss) |
|||||||||||||||||||||||||
| State Street Institutional Liquid Reserves Fund, Premier Class |
34,046 | $ | 34,046 | 103,466 | 137,512 | — | $ | — | $ | 32 | $ | — | ||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Class G Shares |
— | — | 517,282 | 493,497 | 23,785 | 23,785 | 86 | — | ||||||||||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class |
— | — | 625,675 | 625,675 | — | — | 105 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| TOTAL |
$ | 34,046 | $ | 23,785 | $ | 223 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
See accompanying notes to financial statements.
7
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2017
| ASSETS |
||||
| Investments in unaffiliated issuers, at value (Note 2) |
$ | 4,579,909 | ||
| Investments in affiliated issuers, at value (Note 2) |
23,785 | |||
|
|
|
|||
| Total Investments |
4,603,694 | |||
| Foreign currency, at value |
14,680 | |||
| Dividends receivable — unaffiliated issuers (Note 2) |
9,445 | |||
| Dividends receivable — affiliated issuers (Note 2) |
36 | |||
| Receivable from Adviser (Note 3) |
1,197 | |||
| Receivable for foreign taxes recoverable |
2,804 | |||
|
|
|
|||
| TOTAL ASSETS |
4,631,856 | |||
|
|
|
|||
| LIABILITIES |
||||
| Advisory fee payable (Note 3) |
948 | |||
| Trustees’ fees and expenses payable (Note 4) |
2 | |||
|
|
|
|||
| TOTAL LIABILITIES |
950 | |||
|
|
|
|||
| NET ASSETS |
$ | 4,630,906 | ||
|
|
|
|||
| NET ASSETS CONSIST OF: |
||||
| Paid-in Capital |
$ | 3,971,188 | ||
| Undistributed (distribution in excess of) net investment income (loss) |
60,327 | |||
| Accumulated net realized gain (loss) on investments and foreign currency transactions |
59,127 | |||
| Net unrealized appreciation (depreciation) on: |
||||
| Investments |
540,041 | |||
| Foreign currency transactions |
223 | |||
|
|
|
|||
| NET ASSETS |
$ | 4,630,906 | ||
|
|
|
|||
| NET ASSET VALUE PER SHARE |
||||
| Net asset value per share |
$ | 12.03 | ||
|
|
|
|||
| Shares outstanding (unlimited amount authorized, no par value) |
384,967 | |||
|
|
|
|||
| COST OF INVESTMENTS: |
||||
| Investments in unaffiliated issuers |
$ | 4,039,868 | ||
| Investments in affiliated issuers |
23,785 | |||
|
|
|
|||
| Total cost of investments |
$ | 4,063,653 | ||
|
|
|
|||
| Foreign currency, at cost |
$ | 14,534 | ||
|
|
|
See accompanying notes to financial statements.
8
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
For the Year Ended June 30, 2017
| INVESTMENT INCOME |
||||
| Dividend income — unaffiliated issuers (Note 2) |
$ | 104,713 | ||
| Dividend income — affiliated issuers (Note 2) |
223 | |||
| Foreign taxes withheld |
(5,610 | ) | ||
|
|
|
|||
| TOTAL INVESTMENT INCOME (LOSS) |
99,326 | |||
|
|
|
|||
| EXPENSES |
||||
| Advisory fee (Note 3) |
9,037 | |||
| Trustees’ fee (Note 4) |
62 | |||
| Redemption facility fee |
2,583 | |||
| Miscellaneous expenses |
398 | |||
|
|
|
|||
| TOTAL EXPENSES |
12,080 | |||
|
|
|
|||
| Expenses waived/reimbursed by the Adviser (Note 3) |
(12,049 | ) | ||
|
|
|
|||
| NET EXPENSES |
31 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) |
99,295 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||
| Net realized gain (loss) on: |
||||
| Investments — unaffiliated issuers |
74,426 | |||
| Foreign currency transactions |
(1,133 | ) | ||
|
|
|
|||
| Net realized gain (loss) |
73,293 | |||
|
|
|
|||
| Net change in unrealized appreciation/depreciation on: |
||||
| Investments — unaffiliated issuers |
333,314 | |||
| Foreign currency transactions |
666 | |||
|
|
|
|||
| Net change in unrealized appreciation/depreciation |
333,980 | |||
|
|
|
|||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
407,273 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS |
$ | 506,568 | ||
|
|
|
See accompanying notes to financial statements.
9
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended 6/30/17 |
For the Period 2/18/16* - 6/30/16 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 99,295 | $ | 45,676 | ||||
| Net realized gain (loss) |
73,293 | 16,262 | ||||||
| Net change in unrealized appreciation/depreciation |
333,980 | 206,284 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
506,568 | 268,222 | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS FROM: |
||||||||
| Net investment income |
(84,310 | ) | — | |||||
| Net realized gains |
(30,762 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(115,072 | ) | — | |||||
|
|
|
|
|
|||||
| FROM BENEFICIAL INTEREST TRANSACTIONS: |
||||||||
| Proceeds from sale of shares sold |
1,071,399 | 3,036,146 | ||||||
| Reinvestment of distributions |
115,072 | — | ||||||
| Cost of shares redeemed |
(217,386 | ) | (34,043 | ) | ||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets from beneficial interest transactions |
969,085 | 3,002,103 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets during the period |
1,360,581 | 3,270,325 | ||||||
|
|
|
|
|
|||||
| Net assets at beginning of period |
3,270,325 | — | ||||||
|
|
|
|
|
|||||
| NET ASSETS AT END OF PERIOD |
$ | 4,630,906 | $ | 3,270,325 | ||||
|
|
|
|
|
|||||
| Undistributed (distribution in excess of) net investment income (loss) |
$ | 60,327 | $ | 46,475 | ||||
|
|
|
|
|
|||||
| SHARES OF BENEFICIAL INTEREST: |
||||||||
| Shares sold |
93,862 | 303,384 | ||||||
| Reinvestment of distributions |
10,805 | — | ||||||
| Shares redeemed |
(19,900 | ) | (3,184 | ) | ||||
|
|
|
|
|
|||||
| Net increase (decrease) |
84,767 | 300,200 | ||||||
|
|
|
|
|
|||||
| * | Inception date. |
See accompanying notes to financial statements.
10
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
Selected data for a share outstanding throughout each period
| Year Ended 6/30/17 |
For the Period 2/19/16* - 6/30/16 |
|||||||
| Net asset value, beginning of period |
$ | 10.89 | $ | 10.00 | ||||
|
|
|
|
|
|||||
| Income (loss) from investment operations: |
||||||||
| Net investment income (loss) (a) |
0.31 | 0.15 | ||||||
| Net realized and unrealized gain (loss) |
1.21 | 0.74 | ||||||
|
|
|
|
|
|||||
| Total from investment operations |
1.52 | 0.89 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders from: |
||||||||
| Net investment income |
(0.28 | ) | — | |||||
| Net realized gains |
(0.10 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions |
(0.38 | ) | — | |||||
|
|
|
|
|
|||||
| Net asset value, end of period |
$ | 12.03 | $ | 10.89 | ||||
|
|
|
|
|
|||||
| Total return (b) |
14.43 | % | 8.90 | %(c) | ||||
| Ratios and Supplemental Data: |
||||||||
| Net assets, end of period (in 000s) |
$ | 4,631 | $ | 3,270 | ||||
| Ratios to average net assets: |
||||||||
| Total expenses |
0.33 | % | 0.27 | %(d) | ||||
| Net expenses |
0.00 | %(e) | — | %(d) | ||||
| Net investment income (loss) |
2.75 | % | 4.00 | %(d) | ||||
| Portfolio turnover rate |
30 | % | 21 | %(c) | ||||
| * | Commencement of operations. |
| (a) | Net investment income per share is calculated using the average shares method. |
| (b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
| (c) | Not annualized. |
| (d) | Annualized. |
| (e) | Amount is less than 0.005%. |
See accompanying notes to financial statements.
11
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
June 30, 2017
| 1. | Organization |
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2017, the Trust consists of twelve (12) series and corresponding classes, each of which have the same rights and privileges, including voting rights, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the following Portfolio (the “Portfolio”):
| Fund | Inception Date | Commencement of Operations |
Diversification Classification | |||
| State Street Disciplined Global Equity Portfolio | February 18, 2016 | February 19, 2016 | Diversified |
The 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 would 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. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The 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 Portfolio’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 the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Portfolio’s investments by major category are as follows:
| • | Equity investments 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. |
| • | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board. |
| • | 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 (“NAV”) per share or unit. |
12
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
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.
Various inputs are used in determining the value of the Portfolio’s investments.
The Portfolio values its 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 an identical asset or liability; |
| • | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability 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 the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017 is disclosed in the Portfolio’s 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 Portfolio had no transfers between levels for the period ended June 30, 2017.
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.
The Portfolio invests 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 Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar years to return of capital or capital gains distributions at year end based on information provided by the REIT.
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.
13
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Foreign Currency Translation
The accounting records of the Portfolio 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.
Foreign Taxes
The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
| 3. | Fees and Transactions with Affiliates |
Advisory Fee
The Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Portfolio pays the Adviser a fee accrued daily and paid monthly, at a rate of 0.25% of the Portfolio’s average daily net assets.
The Adviser has contractually agreed to waive the entire amount of this fee until the later of April 30, 2018 or such time as the shares of the Portfolio cease to be the only investment security held by the State Street Disciplined Global Equity Fund (the “Feeder Fund”). The waiver may be terminated only by the Portfolio’s Board. The Adviser pays all expenses of the Portfolio other than the management fee, distribution fees pursuant to the Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $12,049.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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 to the Portfolio. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio 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, 2017 are disclosed in the Schedule of Investments.
14
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
| 4. | 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 Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
| 5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2017, were:
| Purchases | Sales | |||||||
| State Street Disciplined Global Equity Portfolio |
$ | 2,064,436 | $ | 1,093,247 | ||||
| 6. | Income Tax Information |
The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, 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 Portfolio’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.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book- tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for foreign currency transactions, wash sales, REITs and passive foreign investment companies.
The tax character of distributions paid during the period ended June 30, 2017, was as follows:
| Ordinary Income |
Long-Term Capital Gains |
Tax Return of Capital |
Total | |||||||||||||
| State Street Disciplined Global Equity Portfolio |
$ | 115,072 | $ | — | $ | — | $ | 115,072 | ||||||||
At June 30, 2017, the components of distributable earnings on a tax basis were as follows:
| Undistributed Ordinary Income |
Capital Loss Carryforwards |
Undistributed Long-Term Capital Gains |
Net Unrealized Appreciation (Depreciation) |
Qualified Late-Year Losses |
Total | |||||||||||||||||||
| State Street Disciplined Global Equity Portfolio |
$ | 96,161 | $ | — | $ | 24,400 | $ | 539,157 | $ | — | $ | 659,718 | ||||||||||||
As of June 30, 2017, 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) |
|||||||||||||
| State Street Disciplined Global Equity Portfolio |
$ | 4,064,760 | $ | 596,540 | $ | 57,606 | $ | 538,934 | ||||||||
15
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
| 7. | Line of Credit |
Effective October 13, 2016, the Portfolio 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 Participant may borrow to fund shareholder redemptions. The agreement expires October 12, 2017 unless extended or renewed.
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. 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of June 30, 2017.
| 8. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its 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 Portfolio’s investments more than if the Portfolio were more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involves 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 Portfolio 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 the 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 Portfolio trades financial instruments and enters 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, the 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.
| 9. | New Accounting Pronouncements |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.
| 10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio 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.
16
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
SSGA Active Trust
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Disciplined Global Equity Portfolio (the “Portfolio”) (one of the portfolios constituting SSGA Active Trust) as of June 30, 2017, and the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolio’s 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 Portfolio’s 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 Portfolio’s 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, 2017, by correspondence with the custodian, brokers and others. 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 State Street Disciplined Global Equity Portfolio (one of the portfolios constituting SSGA Active Trust) at June 30, 2017, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 25, 2017
17
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Portfolio, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
The table below illustrates your Portfolio’s cost in two ways:
Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return — This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Actual | Hypothetical (assuming a 5% return before expenses) |
|||||||||||||||||||
| Annualized Expense Ratio |
Ending Account Value |
Expenses Paid During Period(a) |
Ending Account Value |
Expenses Paid During Period(a) |
||||||||||||||||
| State Street Disciplined Global Equity Portfolio |
0.00 | %(b) | $ | 1,127.50 | $ | 0.00 | (c) | $ | 1,024.80 | $ | 0.00 | (c) | ||||||||
| (a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
| (b) | Amount is less than 0.005%. |
| (c) | Amount is less than $0.005. |
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2017.
Dividends Received Deduction
The Portfolio reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Portfolio during the fiscal year ended June 30, 2017 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the
18
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
individual’s tax bracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio’s investment adviser to vote proxies relating to the Portfolio’s portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the website of the SEC, at www.sec.gov.
Information regarding how the investment adviser voted for the most recent 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 Portfolio’s website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Portfolio files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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 1-800-997-7327 (toll free) and on the Fund’s website at www.ssgafunds.com.
19
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| 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 Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943 |
Independent Trustee, Chairman, Trustee Committee Chair |
Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DAVID M. KELLY c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Retired. | 179 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
| BONNY EUGENIA BOATMAN c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Retired. | 179 | None. | |||||
| DWIGHT D. CHURCHILL c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953 |
Independent Trustee | Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
179 | Affiliated Managers Group, Inc. (Director). | |||||
| CARL G. VERBONCOEUR c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952 |
Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 |
Self-employed consultant since 2009. |
179 | The Motley Fool Funds Trust (Trustee). | |||||
| 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 March 2011 |
Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 255 | None. | |||||
20
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| † | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Fund Management, Inc. serves as investment adviser. |
| * | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. |
| 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 | |||
| Officers |
||||||
| 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)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present). | |||
| 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). | |||
| 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 |
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 March 2011 |
Managing Director, State Street Global Advisors (2005-present).* | |||
| 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). | |||
| JESSE D. HALLEE State Street Bank and Trust Company One Hundred Summer Street, SUM0703 Boston, MA 02111 1976 |
Secretary | Term: Unlimited Served: since August 2017 |
Vice President and Senior Counsel, State Street Bank and Trust Company (2013 to present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).** | |||
| PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 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).*,. ** |
21
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
| 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 | |||
| Officers: (continued) |
||||||
| 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).* | |||
| DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1968 |
Deputy Treasurer |
Term: Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016). | |||
| 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).* | |||
| DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1980 |
Assistant Treasurer |
Term: Unlimited Served: since May 2017 |
Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015). | |||
| BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973 |
Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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 1-800-997-7327.
22
Table of Contents
SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President and Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Daniel Plourde, Assistant Treasurer
Jesse D. Hallee, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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
Distributor
State Street Global Advisors Funds Distributors, LLC
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
Fund Shares are distributed by State Street Global Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
SSIITDGBLEQSAR
IBG-24482
Table of Contents
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, 2017 and June 30, 2016, the aggregate audit fees billed for professional services rendered by the principal accountant were $145,557 and $160,882, respectively. Audit fees include the performance of the annual audits and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal years ending June 30, 2017 and June 30, 2016, 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, 2017 and June 30, 2016, the aggregate tax fees billed for professional services rendered by the principal accountant were $121,185 and $124,389, 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, 2017 and June 30, 2016.
Table of Contents
(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). |
Table of Contents
(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 2017 (in millions) |
FY 2016 (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 |
$15.7 | $15.5 | ||||||
| Tax Fees |
8.7 | 7.5 | ||||||
| All Other Fees |
4.4 | 2.7 | ||||||
| (1) | Information is for the calendar years 2016 and 2015, 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.
Table of Contents
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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. 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.
Table of Contents
(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.
Table of Contents
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 Active Trust | ||
| By: | /s/ Ellen M. Needham | |
| Ellen M. Needham | ||
| President and Principal Executive Officer | ||
Date: September 5, 2017
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 5, 2017
| By: | /s/ Bruce S. Rosenberg | |
| Bruce S. Rosenberg | ||
| Treasurer and Principal Financial Officer |
Date: September 5, 2017