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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 Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean O’Malley, Esq.
Senior Vice President and Deputy General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(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) 664-1465
Date of fiscal year end: June 30
Date of reporting period: June 30, 2019
Table of Contents
Item 1. Reports to Shareholders.
Table of Contents
Annual Report
June 30, 2019
SSGA Active Trust
| State Street Defensive 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.
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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.
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[This Page Intentionally Left Blank]
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Notes to 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. 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.
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.
See accompanying notes to financial statements.
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STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
Management's Discussion of Fund Performance (Unaudited)
The State Street Defensive Global Equity 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, 2019 (the
“Reporting Period”), the total return for the Portfolio was 8.38%, and the Index was 6.33%. 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.
The Portfolio’s defensive positioning, sector
allocation and stock selection were primary drivers of performance during the Reporting Period relative to the Index. The market performance was weak during the first half of the Reporting Period and the Portfolio’s defensive posture delivered
a substantial reduction in downside participation. A resumption of global risk sentiments over the second half of the Reporting Period drove strong global equity market gains and the Portfolio had a challenging relative performance. However, over
the full Reporting Period, the Portfolio’s defensive approach proved effective in delivering outperformance versus the market with a substantial reduction in realized portfolio risk. The Portfolio’s overweight of defensive sectors
– utilities, consumer staples and telecommunication contributed to relative performance. The underweight to poor performing Energy sector also added to relative performance. However, the Portfolio’s underweight of the best performing
Information Technology sector was the most significant detractor from the Portfolios relative performance. Stock selection performance was weak over the Reporting Period. The poor performance of valuation based factors was the key challenge.
The Portfolio did not invest in derivatives during the
Reporting Period.
On an individual security level,
the top positive contributors to the Portfolio’s performance on an absolute basis during the Reporting Period were Waste Management, Motorola Solutions and Merck. The top negative contributors to the Portfolio’s performance on an
absolute basis during the Reporting Period were Danske Bank, Taisei Corp. and Cigna.
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.
See accompanying notes to financial statements.
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State Street Defensive Global Equity Portfolio
Performance Summary (Unaudited)
Performance as of June 30, 2019
| Cumulative Total Return | Average Annual Total Return | ||||||||
| Net
Asset Value |
Market
Value |
MSCI World Index | Net
Asset Value |
Market
Value |
MSCI World Index | ||||
| ONE YEAR | 8.38% | N/A | 6.33% | 8.38% | N/A | 6.33% | |||
| SINCE INCEPTION(1) | 43.82% | N/A | 51.05% | 11.40% | N/A | 13.05% | |||
| (1) | For the period February 18, 2016 to June 30, 2019. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for State Street Defensive Global Equity Portfolio as stated in the Fees and Expenses table of the most recent prospectus is 0.30%.
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. See "Notes to Performance Summary" on page 1 for more information.
See accompanying notes to financial
statements.
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State Street Defensive Global Equity Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | Market Value | % of Net Assets | ||
| Waste Management, Inc. | 35,649 | 1.6% | ||
| McDonald's Corp. | 34,679 | 1.5 | ||
| DTE Energy Co. | 34,144 | 1.5 | ||
| Merck & Co., Inc. | 34,127 | 1.5 | ||
| Baxter International, Inc. | 33,661 | 1.5 | ||
| TOTAL | 172,260 | 7.6% |
(The five largest holdings are subject to
change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of June 30, 2019
| % of Net Assets | |||
| Insurance | 11.8% | ||
| Pharmaceuticals | 11.8 | ||
| Electric Utilities | 7.1 | ||
| Diversified Telecommunication Services | 6.3 | ||
| Multi-Utilities | 4.9 | ||
| Banks | 4.9 | ||
| Food & Staples Retailing | 4.9 | ||
| Equity Real Estate Investment Trusts (REITs) | 3.8 | ||
| Specialty Retail | 3.7 | ||
| Food Products | 3.1 | ||
| Health Care Providers & Services | 3.0 | ||
| Hotels, Restaurants & Leisure | 2.8 | ||
| Health Care Equipment & Supplies | 2.7 | ||
| Household Products | 2.5 | ||
| Trading Companies & Distributors | 2.4 | ||
| Beverages | 2.2 | ||
| Automobiles | 2.2 | ||
| Communications Equipment | 2.0 | ||
| Aerospace & Defense | 2.0 | ||
| Commercial Services & Supplies | 2.0 | ||
| Oil, Gas & Consumable Fuels | 2.0 | ||
| Tobacco | 1.9 | ||
| Consumer Finance | 1.4 | ||
| Airlines | 1.3 | ||
| Gas Utilities | 1.2 | ||
| Metals & Mining | 1.2 | ||
| Multiline Retail | 1.2 | ||
| Construction & Engineering | 1.1 | ||
| Technology Hardware, Storage & Peripherals | 0.9 | ||
| Chemicals | 0.5 | ||
| Mortgage Real Estate Investment Trust (REITs) | 0.3 | ||
| Short-Term Investment | 0.5 | ||
| Other Assets in Excess of Liabilities | 0.4 | ||
| TOTAL | 100.0% |
(The Portfolio’s industry breakdown is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2019
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
The following table summarizes the value
of the Portfolio's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Common
Stocks |
$2,269,670 | $— | $— | $2,269,670 | ||||
|
Rights |
511 | — | — | 511 | ||||
|
Short-Term
Investment |
10,308 | — | — | 10,308 | ||||
|
TOTAL
INVESTMENTS |
$2,280,489 | $— | $— | $2,280,489 |
Affiliate
Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
33,569 | $33,569 | $912,324 | $935,585 | $— | $— | 10,308 | $10,308 | $778 |
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2019
| ASSETS | |
|
Investments in unaffiliated issuers, at
value |
$2,270,181 |
|
Investments in affiliated issuers, at
value |
10,308 |
|
Total
Investments |
2,280,489 |
|
Foreign currency, at
value |
6,485 |
|
Dividends receivable — unaffiliated
issuers |
2,820 |
|
Dividends receivable — affiliated
issuers |
61 |
|
Receivable from
Adviser |
472 |
|
Receivable for foreign taxes
recoverable |
4,529 |
|
TOTAL ASSETS
|
2,294,856 |
| LIABILITIES | |
|
Payable for fund shares
repurchased |
4,503 |
|
Advisory fee
payable |
472 |
|
Trustees’ fees and expenses
payable |
7 |
|
TOTAL LIABILITIES
|
4,982 |
|
NET ASSETS
|
$2,289,874 |
| NET ASSETS CONSIST OF: | |
|
Paid-in
Capital |
$1,905,167 |
|
Total distributable earnings
(loss) |
384,707 |
|
NET ASSETS
|
$2,289,874 |
| NET ASSET VALUE PER SHARE | |
|
Net asset value per
share |
$ 11.00 |
|
Shares outstanding (unlimited amount authorized, no par
value) |
208,245 |
| COST OF INVESTMENTS: | |
|
Investments in unaffiliated
issuers |
$2,017,360 |
|
Investments in affiliated
issuers |
10,308 |
|
Total cost of
investments |
$2,027,668 |
|
Foreign currency, at
cost |
$ 6,458 |
See accompanying notes to financial
statements.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended June 30, 2019
| INVESTMENT INCOME | |
|
Dividend income — unaffiliated
issuers |
$ 105,980 |
|
Dividend income — affiliated
issuers |
778 |
|
Foreign taxes
withheld |
(5,288) |
|
TOTAL INVESTMENT INCOME
(LOSS) |
101,470 |
| EXPENSES | |
|
Advisory
fee |
9,302 |
|
Trustees’ fees and expenses
|
79 |
|
Miscellaneous
expenses |
700 |
|
TOTAL
EXPENSES |
10,081 |
|
Expenses waived/reimbursed by the
Adviser |
(10,081) |
|
NET
EXPENSES |
— |
|
NET INVESTMENT INCOME
(LOSS) |
$ 101,470 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investments — unaffiliated
issuers |
85,100 |
|
Foreign currency
transactions |
(1,558) |
|
Net realized gain
(loss) |
83,542 |
| Net change in unrealized appreciation/depreciation on: | |
|
Investments — unaffiliated
issuers |
(205,040) |
|
Foreign currency
translations |
337 |
|
Net change in unrealized
appreciation/depreciation |
(204,703) |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(121,161) |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ (19,691) |
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
STATEMENTS OF CHANGES
IN NET ASSETS
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 101,470 | $ 168,284 | |
|
Net realized gain
(loss) |
83,542 | 222,062 | |
|
Net change in unrealized
appreciation/depreciation |
(204,703) | (82,662) | |
|
Net increase (decrease) in net assets resulting from
operations |
(19,691) | 307,684 | |
|
Distributions to shareholders (Note
9) |
(351,241) | (211,763) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from sale of shares
sold |
631,379 | 348,917 | |
|
Reinvestment of
distributions |
351,241 | 211,763 | |
|
Cost of shares
redeemed |
(3,326,507) | (282,814) | |
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(2,343,887) | 277,866 | |
|
Net increase (decrease) in net assets during the
period |
(2,714,819) | 373,787 | |
|
Net assets at beginning of
period |
5,004,693 | 4,630,906 | |
|
NET ASSETS AT END OF
PERIOD |
$ 2,289,874 | $5,004,693 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
51,951 | 27,995 | |
|
Reinvestment of
distributions |
36,856 | 17,050 | |
|
Shares
redeemed |
(288,025) | (22,549) | |
|
Net increase (decrease) from share
transactions |
(199,218) | 22,496 |
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| State Street Defensive Global Equity Portfolio | |||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 |
For
the Period 2/19/16* - 6/30/16 | ||||
|
Net asset value, beginning of
period |
$12.28 | $12.03 | $10.89 | $10.00 | |||
|
Net investment income (loss)
(a) |
0.33 | 0.42 | 0.31 | 0.15 | |||
|
Net realized and unrealized gain
(loss) |
0.39 | 0.36 | 1.21 | 0.74 | |||
|
Total from investment
operations |
0.72 | 0.78 | 1.52 | 0.89 | |||
| Distributions to shareholders from: | |||||||
|
Net investment
income |
(0.74) | (0.38) | (0.28) | — | |||
|
Net realized
gains |
(1.26) | (0.15) | (0.10) | — | |||
|
Total
distributions |
(2.00) | (0.53) | (0.38) | — | |||
|
Net asset value, end of
period |
$11.00 | $12.28 | $12.03 | $10.89 | |||
|
Total return
(b) |
8.38% | 6.48% | 14.43% | 8.90%(c) | |||
| Ratios and Supplemental Data: | |||||||
|
Net assets, end of period (in
000s) |
$2,290 | $5,005 | $4,631 | $3,270 | |||
| Ratios to average net assets: | |||||||
|
Total
expenses |
0.27% | 0.30% | 0.33% | 0.27%(d) | |||
|
Net
expenses |
—%(e) | —%(e) | —%(e) | —%(d)(e) | |||
|
Net investment income
(loss) |
2.73% | 3.37% | 2.75% | 4.00%(d) | |||
|
Portfolio turnover
rate |
72% | 47% | 30% | 21%(c) | |||
| * | 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. 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.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
June 30, 2019
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, 2019, the Trust consists of fourteen
(14) 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 only to the following Portfolio (the “Portfolio”):
| Portfolio | Commencement of Operations | Diversification Classification |
| State Street Defensive Global Equity Portfolio | 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 New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE 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 overseeing the determination of 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.
• 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.
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.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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, 2019 is disclosed in the Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and 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 or when the information becomes available, 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 Portfolio within the Trust.
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.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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 Funds Management, Inc.’s (the
“Adviser” or “SSGA FM”) 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, 2019, 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 its
management fee and/or reimburse expenses in such an amount equal to the total annual Portfolio operating expenses until the later of April 30, 2020 or such time as the shares of the Portfolio cease to be the only investment security held by the
State Street Defensive Global Equity Fund. The waiver may be terminated prior to April 30, 2020 only by the Board. Additionally, the Adviser has contractually agreed to waive its management fee and/or reimburse expenses in an amount equal to any
acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes, if any) for the Portfolio until October 31, 2019. This waiver and/or reimbursement does not provide for the recoupment by the Adviser of any amounts
waived or reimbursed. This waiver and/or reimbursement may not be terminated prior to October 31, 2019 except with the approval of the Board. The Adviser pays all expenses of the Portfolio other than the management fee, brokerage, taxes, interest,
fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses. The Adviser has agreed to pay all costs associated with the organization of the Trust and the
Portfolio. For the period ended June 30, 2019, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $10,081.
Administrator, Custodian, Sub-Administrator 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.
Other
Transactions with Affiliates
The Portfolio 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 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, 2019, are disclosed in the Schedule 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 Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in
connection with meeting attendance and industry seminars.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
5. Investment
Transactions
Purchases and sales of
investments (excluding short term investments) for the period ended June 30, 2019, were as follows:
| Purchases | Sales | ||
|
State Street Defensive Global Equity
Portfolio |
$2,613,446 | $5,111,777 |
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 (the “IRS”) 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 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 foreign currency transactions, wash sales, distribution re-designations, and passive foreign investment companies.
The tax character of distributions paid during the
year ended June 30, 2019, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
State Street Defensive Global Equity
Portfolio |
$165,202 | $186,039 | $351,241 |
The tax character of
distributions paid during the year ended June 30, 2018, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
State Street Defensive Global Equity Portfolio
|
$ 186,089 | $ 25,674 | $ 211,763 |
At June 30, 2019,
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 | ||||||
|
State Street Defensive Global Equity
Portfolio |
$56,472 | $— | $88,690 | $239,545 | $— | $384,707 |
As of June 30, 2019,
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 Defensive Global Equity
Portfolio |
$2,041,022 | $273,004 | $33,537 | $239,467 |
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
7. Line of Credit
The Portfolio and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This
agreement expires in October 2019 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, 2019.
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 was 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 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 August 2018, the U.S.
Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing
redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Portfolio has adopted the Final Rule for the current period with the most notable impacts being that the Portfolio is no
longer required to present the components of distributable earnings on the Statement of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net
Assets.
For the period ended June 30, 2018,
distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
| Net
Investment Income |
Net
Realized Capital Gains |
Total
Distributions |
Undistributed
Net Investment Income (Loss) | ||||
|
State Street Defensive Global Equity
Portfolio |
$151,316 | $60,447 | $211,763 | $77,508 |
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
10. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Trustees of
State Street Defensive Global Equity Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets
and liabilities of State Street Defensive Global Equity Portfolio (the “Portfolio”) (one of the funds constituting SSGA Active Trust (the “Trust”)), including the schedule of investments, as of June 30, 2019, and the related
statement 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 three years in the period then ended and the period from
February 19, 2016 (commencement of operations) through June 30, 2016, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the
financial position of the Portfolio (one of the funds constituting SSGA Active Trust) at June 30, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its
financial highlights for each of the three years in the period then ended and the period from February 19, 2016 (commencement of operations) through June 30, 2016, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of
the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United
States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to
have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of
expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess
the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures
in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others
were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a
reasonable basis for our opinion.
We have served
as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 26, 2019
August 26, 2019
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION
June 30, 2019 (Unaudited)
Expense Example
As a shareholder of the 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 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, 2019 to June 30, 2019.
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 the 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 Defensive Global Equity
Portfolio |
0.00% | $1,129.40 | $0.00 | $1,024.80 | $0.00 | ||||
| (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. |
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2019 (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, 2019.
Dividends Received Deduction
The Portfolio reports the maximum amount allowable
of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Business Income Deduction
The Portfolio reports the maximum amount allowable
of qualified REIT dividends eligible for the 20% qualified business income deduction under Section 199A.
Qualified Dividend Income
A portion of dividends distributed by the Portfolio
during the fiscal year ended June 30, 2019 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. The Portfolio 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.
Capital Gain Dividend
The Portfolio hereby designates as a capital gain
dividend the amount reflected below, or if subsequently determined to be different, the net capital gain of such fiscal period.
Long term capital gains dividends were paid from the
Portfolio during the year ended June 30, 2019 in the amount of $186,039.
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
SEC's website at www.sec.gov.
Information
regarding how the investment adviser voted for the 12-month 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
Following the Portfolio's first and
third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov. The Portfolio's schedule of investments is available upon request, without
charge, by calling 1-800-997-7327 (toll free) and on the Portfolio's website at www.ssgafunds.com.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Approval of Advisory Agreement
At in-person meetings held prior to June 30, 2019,
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 State Street Defensive Global Equity Portfolio, a 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 to consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and
SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the
advice of counsel, deemed reasonably necessary. 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 considered the background and experience of the
Adviser’s senior management, including those individuals responsible for portfolio management 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 specifically considered the Adviser’s experience in active management and managing master-feeder
structures.
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) and a group of comparable funds (net of expenses). Among other information, the Board considered that the Fund
underperformed the median of its Performance Group for the 1-year period, but outperformed the median for the 2-year period. The Board also considered that the Fund outperformed its benchmark for the 1-year period, but underperformed the benchmark
since the Fund’s inception.
In those
instances where the Board observed underperformance, the Trustees noted the performance was not significantly below the median and benchmark, respectively, and considered management’s explanation of those factors that contributed to such
underperformance and steps being taken in response to such factors.
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 Board, including 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. The Board noted that the Adviser had contractually agreed to waive all of its fees related to its management
of the Fund and, therefore, did not realize any profits from its advisory arrangement with the Fund. The Board further noted that an affiliated fund that is a series of a separate trust and also advised by the Adviser invests substantially all of
its assets in the Fund and that the Adviser receives management fees from that fund.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
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., global large-cap mutual funds. The Board reviewed the universe of similar mutual funds for the Fund based upon data independently obtained from
Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar mutual funds. The Board also reviewed the fee structure of the Fund in connection with the master-feeder structure.
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 rate 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 a relatively low advisory fee, effectively sharing the benefits of lower fees with the Fund
from inception. The Board also noted that the Adviser is currently waiving the entire advisory fee, so the Adviser was not receiving any economies of scale. 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
After weighing the foregoing factors, none of which
was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for the Fund. The Board’s conclusions with respect to the factors 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) because no fees were paid to the Adviser, there were currently no economies of scale to share.
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| Trustees | ||||||||||
| Independent Trustees | ||||||||||
| FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
128 | Affiliated
Managers Group, Inc. (Director). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
128 | The
Motley Fool Funds Trust (Trustee). | |||||
| CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, Putnam Investments LLC (December 2008 – May 2017). |
128 | Putnam
Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc.(Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
| SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, M.A. Mortenson Companies, Inc. (February 2007 – April 2017). |
128 | Guggenheim/Rydex
Funds (Trustee). |
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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). |
189 | None. | |||||
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds 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. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
| 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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).* |
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SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
| SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
| ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
| JAMES
GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). | |||
| KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
| DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
| CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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). | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). |
24
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DEFENSIVE GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
| BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. | ||||||
| The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. | ||||||
25
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Table of Contents
SSGA Active Trust
Portfolio Shares are distributed by State Street
Global Advisors Funds Distributors, LLC, an indirect, 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.
Table of Contents
Annual Report
June 30, 2019
SSGA Active Trust
| SPDR SSGA Multi-Asset Real Return ETF |
| SPDR SSGA Income Allocation ETF |
| SPDR SSGA Global Allocation ETF |
| SPDR SSGA Ultra Short Term Bond ETF |
| SPDR MFS Systematic Core Equity ETF |
| SPDR MFS Systematic Growth Equity ETF |
| SPDR MFS Systematic Value Equity ETF |
Beginning on January 1, 2021, as permitted by regulations
adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your
financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to
access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial
intermediary.
You may elect to receive all future reports
in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will
apply to all funds held in your account.
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
Table of Contents
TABLE OF CONTENTS
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| Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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| Schedules of Investments | |
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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
[This Page Intentionally Left Blank]
Table of Contents
Notes to Performance Summaries (Unaudited)
The performance chart of a 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. A Fund’s per share NAV is the value of one share of a 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 a Fund and the market return is based on the market price per share of a 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 a Fund are listed for trading, as of the time that a Fund’s NAV is calculated. NAV and
market returns assume that dividends and capital gain distributions have been reinvested in a 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, a Fund’s performance is negatively impacted
by these deductions. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
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. The securities must be denominated in U.S. Dollars and pay coupon and principal in U.S. Dollars. The notional coupon of a bond must be fixed or zero. Bonds must settle on or before the index rebalancing
date.
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.
The MSCI World Index is a free
float-adjusted market capitalization weighted index that is designed to measure the large and mid-cap equity market performance of developed markets.
The Bloomberg Barclays US 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.
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.
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.
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.
The S&P 500® Index is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry
groups.
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.
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.
See accompanying notes to financial statements.
1
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”) seeks to achieve real return consisting of capital appreciation and current income. The Fund’s primary benchmark is the Bloomberg Barclays U.S. Government Inflation-Linked Bond Index (the “Index”).
For the 12-month period ended June 30, 2019 (the
“Reporting Period”), the total return for the Fund was –2.71%, and the Index was 4.88%. 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 allocations to commodities,
global natural resource equities, and global infrastructure equities were the primary drivers of Fund performance during the Reporting Period relative to the Index. Commodities and global natural resource equities were plagued by global growth
concerns, low price inflation and lack of progress in a US-China trade agreement. Brent crude oil rose to a four year high in October 2018, before collapsing along with its West Texas Intermediate (WTI) counterpart by close to 40% by the end of
2018. Both oils rebounded by over 20% in the first half of 2019 as US sanctions on Iran and Venezuela along with production cuts from OPEC and a select group of non-OPEC oil producers reduced global inventories in the face of healthy demand.
Industrial metals retreated on fears of a steeper than expected slowdown in global growth, while agricultural products suffered from abundant supplies and escalating trade tensions between the US and China. The ramifications were significant for
global natural resource equities, especially for the companies in the energy and metal and mining industries. The energy equities have historically been correlated with movement in the crude oils, but this past year demonstrated a significant
departure to the downside from that historical relationship. The metals and miners experienced a reprieve in the first quarter of 2019 amid stimulus measures from China and positive indications that the trade conflict was moving toward resolution,
but that proved fleeting as neither lived up to expectations. Global infrastructure equities benefited from the continued rally in global equities and the decline in interest rates over the past year. The defensive nature of the securities within
the group provided refuge for investors that sought more income-oriented stocks. The lack of an uptick in global inflationary pressures continued to provide a headwind for real assets as core inflation readings across developed markets remained
below 2% and in the US the Federal Reserves’ preferred gauge, the personal consumption expenditures price index (PCE), dipped to 1.5%.
The Fund did not invest in derivatives during the reporting
period.
On an individual security level, the top
positive contributors to the Fund’s performance on an absolute basis were the S&P Global Infrastructure ETF (GII), SPDR Dow Jones REIT ETF (RWR), and SPDR Bloomberg Barclays TIPS ETF (IPE). The lowest contributors to the Fund’s
performance on an absolute basis were the Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC), SPDR S&P Global Natural Resources ETF (GNR), and the SPDR S&P Oil & Gas Equipment Services ETF (XES).
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.
See accompanying notes to financial statements.
2
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| Cumulative Total Return | Average Annual Total Return | |||||||||||||
| Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Government Inflation-linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Government Inflation-linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | |||||||
| ONE YEAR | – 2.71% | – 2.49% | 4.88% | – 11.00% | – 2.71% | – 2.49% | 4.88% | – 11.00% | ||||||
| FIVE YEARS | – 9.63% | – 9.60% | 9.55% | – 38.67% | – 2.00% | – 2.00% | 1.84% | – 9.32% | ||||||
| SINCE INCEPTION(1) | – 2.30% | – 2.17% | 10.59% | – 41.02% | – 0.32% | – 0.30% | 1.41% | – 7.09% | ||||||
| (1) | For the period April 25, 2012 to June 30, 2019. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR SSGA Multi-Asset Real Return ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50%.
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. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial
statements.
3
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| SPDR S&P Global Natural Resources ETF | 21.2% | ||
| Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 19.3 | ||
| SPDR Bloomberg Barclays TIPS ETF | 14.8 | ||
| SPDR S&P Global Infrastructure ETF | 10.0 | ||
| SPDR Dow Jones International Real Estate ETF | 8.8 | ||
| TOTAL | 74.1% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2019
| % of Net Assets | |||
| Natural Resources | 29.3% | ||
| Commodities | 20.3 | ||
| Real Estate | 17.5 | ||
| Inflation Linked | 14.8 | ||
| International Equity | 12.0 | ||
| International Fixed Income | 5.9 | ||
| Short Term Investments | 7.5 | ||
| Liabilities in Excess of Other Assets | (7.3) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
Table of Contents
SPDR SSGA INCOME ALLOCATION ETF
Management's Discussion of Fund Performance (Unaudited)
The SPDR SSGA Income Allocation ETF (the “Fund”)
seeks to provide total return by focusing on investments in income and yield-generating assets. The Fund’s primary benchmark is the MSCI World Index (the “Index”).
For the 12-month period ended June 30, 2019 (the
“Reporting Period”), the total return for the Fund was 7.93%, and the Index was 6.33%. 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.
Investments in global fixed income asset classes,
dividend-focused equity instruments and other high yielding asset classes such as REITs, bank loans and preferred stocks were primary drivers of Fund performance during the Reporting Period relative to the Index. Allocations made to global fixed
income added value to the Fund’s performance relative to the Index as declining interest rates and tighter credit spreads helped bond markets produce generous gains. The shift lower in interest rates occurred in response to both heightened
equity market volatility in the later part of 2018 and also in reaction to dovish central bank guidance which pushed interest rates lower in 2019. A declining interest rate environment has also generally been favorable for other income producing
assets such as high dividend equities and during the Reporting Period the dividend equity exposures held by the Fund generally outperformed broader baskets of equities as represented by the Index. Some of the other income generating asset classes
held by the Fund detracted from performance relative to the Index. Examples include exposure to REITs, bank loans and preferred stocks. The Fund maintained exposure to both equity REITs as well as mortgage REITs. The equity REIT exposure targeted
mid and small cap companies and generated negative total returns during the Reporting Period whereas mortgage REITs earned positive returns but did not keep pace with the performance of the Index. Both bank loans and preferred stocks also delivered
positive total returns and exhibited less volatility than global stock markets, but they too fell short of the Index from a total return perspective.
The Fund did not invest in derivatives during the Reporting
Period.
On an individual security level, the top
positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR Portfolio Long Term Treasury ETF, the SPDR S&P Dividend ETF and the SPDR Bloomberg Barclays Emerging Markets Local Bond ETF. The
top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were the Invesco KBW Premium Yield Equity REIT ETF, the SPDR MSCI Emerging Markets Strategic Factors ETF, and the Energy Select Sector SPDR
Fund.
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.
See accompanying notes to financial statements.
5
Table of Contents
SPDR SSGA Income Allocation ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| Cumulative Total Return | Average Annual Total Return | |||||||||||||
| Net
Asset Value |
Market
Value |
MSCI World Index | Bloomberg Barclays US Long Government /Credit Bond Index | Net
Asset Value |
Market
Value |
MSCI World Index | Bloomberg Barclays US Long Government /Credit Bond Index | |||||||
| ONE YEAR | 7.93% | 7.96% | 6.33% | 13.82% | 7.93% | 7.96% | 6.33% | 13.82% | ||||||
| FIVE YEARS | 21.63% | 21.60% | 37.67% | 31.79% | 3.99% | 3.99% | 6.60% | 5.68% | ||||||
| SINCE INCEPTION(1) | 45.21% | 45.19% | 95.88% | 45.63% | 5.33% | 5.33% | 9.81% | 5.37% | ||||||
| (1) | For the period April 25, 2012 to June 30, 2019. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR SSGA Income Allocation ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50%.
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. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial
statements.
6
Table of Contents
SPDR SSGA Income Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| SPDR Bloomberg Barclays High Yield Bond ETF | 14.0% | ||
| SPDR Portfolio S&P 500 High Dividend ETF | 13.1 | ||
| SPDR Portfolio Long Term Treasury ETF | 10.1 | ||
| SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 10.1 | ||
| SPDR Blackstone / GSO Senior Loan ETF | 9.8 | ||
| TOTAL | 57.1% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2019
| % of Net Assets | |||
| Domestic Fixed Income | 45.1% | ||
| Domestic Equity | 30.0 | ||
| International Equity | 12.1 | ||
| International Fixed Income | 10.1 | ||
| Inflation Linked | 2.5 | ||
| Short Term Investments | 4.5 | ||
| Liabilities in Excess of Other Assets | (4.3) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
7
Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF
Management's Discussion of Fund Performance (Unaudited)
The SPDR SSGA Global Allocation ETF (the “Fund”)
seeks to provide capital appreciation. The Fund’s primary benchmark is the MSCI ACWI IMI Index (the “Index”).
For the 12-month period ended June 30, 2019 (the
“Reporting Period”), the total return for the Fund was 4.37%, and the Index was 4.56%. 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.
Investments across multiple asset classes including large
cap US equities, investment grade and high yield corporate bonds and US government fixed income were all primary drivers of Fund performance during the Reporting Period relative to the Index. Amidst an increase in global equity market volatility, US
large cap stocks continued to deliver positive earnings growth and produced near double digit gains for investors. Allocations made to fixed income added value to the Fund’s performance relative to the Index as declining interest rates and
tighter credit spreads helped bond markets produce generous gains. The shift lower in interest rates occurred in response to both heightened equity market volatility in the later part of 2018 and also in reaction to dovish central bank guidance
which pushed interest rates lower in 2019. Returns were less constructive for smaller cap companies over the Reporting Period. Both US and non-US developed market small cap stocks produced negative returns and trailed the Index overall. Lastly,
uncertainty in oil prices weighed negatively on broad based commodity and energy sensitive holdings in the Fund.
The Fund did not invest in derivatives during the Reporting
Period.
On an individual security level, the top
positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR S&P500 ETF, the SPDR Bloomberg Barclays High Yield Bond ETF and the SPDR Portfolio Aggregate Bond ETF. The top negative
contributors to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR Portfolio Small Cap ETF, the SPDR S&P International Small Cap ETF and the Energy Select Sector SPDR Fund.
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.
See accompanying notes to financial statements.
8
Table of Contents
SPDR SSGA Global Allocation ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| Cumulative Total Return | Average Annual Total Return | |||||||||||||
| Net
Asset Value |
Market
Value |
MSCI ACWI IMI Index | Bloomberg Barclays U.S. Aggregate Bond Index | Net
Asset Value |
Market
Value |
MSCI ACWI IMI Index | Bloomberg Barclays U.S. Aggregate Bond Index | |||||||
| ONE YEAR | 4.37% | 4.24% | 4.56% | 7.87% | 4.37% | 4.24% | 4.56% | 7.87% | ||||||
| FIVE YEARS | 23.57% | 23.53% | 34.03% | 15.64% | 4.32% | 4.32% | 6.03% | 2.95% | ||||||
| SINCE INCEPTION(1) | 55.75% | 55.73% | 86.17% | 21.29% | 6.36% | 6.36% | 9.04% | 2.72% | ||||||
| (1) | For the period April 25, 2012 to June 30, 2019. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR SSGA Global Allocation ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.35%.
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. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial
statements.
9
Table of Contents
SPDR SSGA Global Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| SPDR S&P 500 ETF Trust | 20.2% | ||
| SPDR Portfolio Developed World ex-US ETF | 16.0 | ||
| SPDR Bloomberg Barclays High Yield Bond ETF | 14.1 | ||
| SPDR Dow Jones REIT ETF | 6.8 | ||
| SPDR Portfolio Emerging Markets ETF | 5.1 | ||
| TOTAL | 62.2% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2019
| % of Net Assets | |||
| Domestic Equity | 30.3% | ||
| International Equity | 25.0 | ||
| Domestic Fixed Income | 23.2 | ||
| Real Estate | 9.8 | ||
| Inflation Linked | 5.1 | ||
| International Fixed Income | 3.1 | ||
| Commodities | 2.1 | ||
| Short Term Investments | 5.0 | ||
| Liabilities in Excess of Other Assets | (3.6) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
10
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”) seeks to provide current income consistent with preservation of capital and daily liquidity through short duration high quality investments. The Fund’s benchmark is the Bloomberg Barclays US Treasury Bellwether 3 Month
Index (the “Index”).
For the 12-month
period ended June 30, 2019 (the “Reporting Period”), the total return for the Fund was 2.79%, and the Index was 2.33%. 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 yield advantage of the Fund plus the tightening of
credit spreads in the investment grade corporate credit floating rate notes (“FRN”) and asset-backed securities (“ABS”) markets were the primary drivers of the Fund’s out-performance of the Index during the Reporting
Period. During the Reporting Period, the shift in Fed’s policy was substantial, with two rate hikes in the second half of 2018 and balance sheet normalization in full effect into the end of 2018. This tightening of Fed policy and the
escalation of a trade war during the Reporting Period led to a widening of FRN and ABS spreads into year-end 2018. This widening of spreads produced an opportunity to increase the Fund’s allocation to BBB-rated FRNs, which occurred in 2019.
The Fed “pivoted” to a more accommodative policy in 2019 by announcing a curtailment of its balance sheet normalization program and reducing its median projection of the 2019 Fed Funds rate (from 2.90% in December 2018 to 2.40% in June
of 2019). This Fed “pivot” to a more accommodative policy is the key driver to the overall tightening of FRN and ABS spreads observed during the Reporting Period. The Fund maintained a duration profile at the shorter end of its 0.25 to
0.75 range during the Reporting Period.
As of the June
30, 2019, the Fund’s asset allocation consisted of US Treasuries (5.5%), Credit-Financial (21.8%), Credit- Industrial (40.5%), Credit-Non Corp (2.0%), ABS (27.2%), CMBS (1.8%) and Cash (1.1%).
The Fund did not invest in derivatives during the Reporting
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.
See accompanying notes to financial statements.
11
Table of Contents
SPDR SSGA Ultra Short Term Bond ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| 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 | 2.79% | 2.76% | 2.33% | 2.79% | 2.76% | 2.33% | |||
| FIVE YEARS | 6.94% | 7.04% | 4.51% | 1.35% | 1.37% | 0.89% | |||
| SINCE INCEPTION(1) | 7.43% | 7.45% | 4.57% | 1.26% | 1.26% | 0.78% | |||
| (1) | For the period October 9, 2013 to June 30, 2019. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR SSGA Ultra Short Term Bond ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.20%.
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. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial
statements.
12
Table of Contents
SPDR SSGA Ultra Short Term Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Treasury
Notes 1.00% 9/30/2019 |
4.0% | ||
| Nissan
Master Owner Trust Receivables 2.71% 10/17/2022 |
2.1 | ||
| AT&T,
Inc. 3.27% 6/1/2021 |
2.1 | ||
| General
Motors Financial Co., Inc. 3.64% 6/30/2022 |
2.1 | ||
| Ford
Motor Credit Co. LLC 3.59% 1/9/2020 |
1.7 | ||
| TOTAL | 12.0% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2019
| % of Net Assets | |||
| Corporate Bonds & Notes | 63.2% | ||
| Asset-Backed Securities | 27.1 | ||
| U.S. Treasury Obligations | 4.9 | ||
| Mortgage-Backed Securities | 1.9 | ||
| Foreign Government Obligations | 0.2 | ||
| Short-Term Investment | 1.4 | ||
| Certificate of Deposit | 0.4 | ||
| Other Assets in Excess of Liabilities | 0.9 | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
13
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY FUND
Management’s Discussion of Fund Performance (Unaudited)
Summary of Results
For the twelve months ended June 30, 2019, the SPDR MFS
Systematic Core Equity Fund (“fund”) provided a total return of 10.11%. This compares with a return of 10.42% for the fund’s benchmark, the Standard & Poor’s 500 Stock Index (S&P 500 Index).
Market Environment
Changes in market sentiment, driven largely by uncertainty
over the outcome of trade negotiations between the US and China, contributed to periodic bouts of volatility during the reporting period. The global economy decelerated throughout the period, led by weakness in China and Europe.
The deteriorating global growth backdrop, along with
declining inflationary pressures, prompted the US Federal Reserve to halt its tightening cycle in December and adopt a more dovish policy stance in 2019, which resulted in a sharp decline in long-term interest rates during the second half of the
period, inverting portions of the Treasury yield curve. Consequently, markets anticipate several Fed rate cuts in the coming quarters.
Globally, central banks have tilted more dovish as well,
with China lowering reserve requirements, the Bank of Canada and Bank of England holding rates steady and the European Central Bank extending a low-interest-rate refinancing facility for eurozone banks to encourage the continued flow of credit and
to hold out the possibility of further lowering rates and resuming asset purchases.
Emerging markets experienced considerable volatility during
the period as tighter global financial conditions exposed structural weakness in some countries. Those pressures were somewhat relieved toward the end of the period as the Fed became more dovish. Diminished hopes for a trade deal between the US and
China weighed on sentiment at the end of the period. Idiosyncratic factors negatively impacted some emerging economies, such as Argentina and Turkey.
From a geopolitical perspective, a change in leadership in
the United Kingdom, caused by a lack of consensus on the best path toward Brexit, a fractious Eurosceptic Italian coalition government and a weakening of Angela Merkel's grip on the German chancellorship were sources of uncertainty in Europe. In
emerging markets, new Brazilian president Jair Bolsonaro took office, with markets generally encouraged by his market-friendly agenda. In contrast, markets appeared to have been nervous about the less-market-friendly approach of Mexico's new
president Andrés Manuel López Obrador.
Contributors to Performance
Security selection in both the financials and consumer discretionary sectors contributed to performance relative to the S&P 500 Index. Even though the financials
sector was a top performing sector, there were no individual stocks within this sector that were among the fund's largest relative contributors during the period. Within the consumer discretionary
sector, overweighting quick service Mexican restaurant Chipotle Mexican Grill(b) aided relative returns.
Elsewhere, the fund's overweight positions in healthcare
services company Express Scripts(b), internet security firm VeriSign(b), software giant Microsoft, pharmaceutical company Eli Lilly andMerck, food producer Tyson Foods, railroad and freight transportation services provider
Union Pacific, cable services provider Comcast and integrated electric power company AES bolstered relative performance.
Detractors from Performance
Security selection within both the information technology and consumer staples sectors detracted from relative performance. Within the information technology sector, the
fund's overweight positions in information technology company DXC Technology(b) and computer hard drive maker Western Digital(b) held back relative performance. The fund's holding of business analytics software services provider Tableau Software(b)(h) also weighed on relative returns. Within the consumer staples sector, overweighting shares of drug store operator Walgreens Boots Alliance and brewery
company Molson Coors Brewing harmed relative results.
In other sectors, overweight positions in drugstore
retailer CVS Health, independent oil refiner Valero Energy and global health services provider Cigna(b) detracted from relative performance. The timing
of the fund's ownership in shares of social networking service provider Facebook and real estate investment trust Extra Space Storage(b) further weakened
relative results.
(b) Security was not held in the fund at period end.
See
accompanying notes to financial statements.
14
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY FUND
Management’s Discussion of Fund Performance
(Unaudited) (continued)
(h) Security is not a benchmark constituent.
See
accompanying notes to financial statements.
15
Table of Contents
SPDR MFS Systematic Core Equity ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| 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 | 10.11% | 10.05% | 10.42% | 10.11% | 10.05% | 10.42% | |||
| FIVE YEARS | 72.40% | 72.37% | 66.33% | 11.51% | 11.50% | 10.71% | |||
| SINCE INCEPTION(1) | 85.86% | 85.80% | 79.16% | 11.98% | 11.98% | 11.24% | |||
| (1) | For the period January 8, 2014 to June 30, 2019. |
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR MFS Systematic Core Equity ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.60%.
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. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial
statements.
16
Table of Contents
SPDR MFS Systematic Core Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Microsoft Corp. | 7.1% | ||
| Amazon.com, Inc. | 4.6 | ||
| Johnson & Johnson | 4.2 | ||
| Apple, Inc. | 4.1 | ||
| Citigroup, Inc. | 4.0 | ||
| TOTAL | 24.0% |
(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, 2019
| % of Net Assets | |||
| Software | 11.0% | ||
| Pharmaceuticals | 9.9 | ||
| Semiconductors & Semiconductor Equipment | 6.5 | ||
| Banks | 6.1 | ||
| Insurance | 6.0 | ||
| Equity Real Estate Investment Trusts (REITs) | 5.7 | ||
| Machinery | 5.5 | ||
| Health Care Providers & Services | 5.4 | ||
| Internet & Direct Marketing Retail | 4.6 | ||
| Independent Power and Renewable Electricity Producers | 4.2 | ||
| Technology Hardware, Storage & Peripherals | 4.1 | ||
| Oil, Gas & Consumable Fuels | 4.0 | ||
| Hotels, Restaurants & Leisure | 3.8 | ||
| Interactive Media & Services | 3.3 | ||
| Food Products | 3.1 | ||
| Food & Staples Retailing | 2.7 | ||
| Media | 2.7 | ||
| Electric Utilities | 2.6 | ||
| Tobacco | 2.2 | ||
| Consumer Finance | 1.7 | ||
| Beverages | 1.3 | ||
| IT Services | 1.2 | ||
| Household Products | 0.7 | ||
| Chemicals | 0.5 | ||
| Road & Rail | 0.5 | ||
| Short Term Investments | 0.6 | ||
| Other Assets in Excess of Liabilities | 0.1 | ||
| TOTAL | 100.0% |
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
17
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY FUND
Management’s Discussion of Fund Performance (Unaudited)
Summary of Results
For the twelve months ended June 30, 2019, the SPDR MFS
Systematic Growth Equity Fund (“fund”) provided a total return of 6.47%. This compares with a return of 11.56% for the fund’s benchmark, the Russell 1000® Growth Index.
Market Environment
Changes in market sentiment, driven largely by uncertainty
over the outcome of trade negotiations between the US and China, contributed to periodic bouts of volatility during the reporting period. The global economy decelerated throughout the period, led by weakness in China and Europe.
The deteriorating global growth backdrop, along with
declining inflationary pressures, prompted the US Federal Reserve to halt its tightening cycle in December and adopt a more dovish policy stance in 2019, which resulted in a sharp decline in long-term interest rates during the second half of the
period, inverting portions of the Treasury yield curve. Consequently, markets anticipate several Fed rate cuts in the coming quarters.
Globally, central banks have tilted more dovish as well,
with China lowering reserve requirements, the Bank of Canada and Bank of England holding rates steady and the European Central Bank extending a low-interest-rate refinancing facility for eurozone banks to encourage the continued flow of credit and
to hold out the possibility of further lowering rates and resuming asset purchases.
Emerging markets experienced considerable volatility during
the period as tighter global financial conditions exposed structural weakness in some countries. Those pressures were somewhat relieved toward the end of the period as the Fed became more dovish. Diminished hopes for a trade deal between the US and
China weighed on sentiment at the end of the period. Idiosyncratic factors negatively impacted some emerging economies, such as Argentina and Turkey.
From a geopolitical perspective, a change in leadership in
the United Kingdom, caused by a lack of consensus on the best path toward Brexit, a fractious Eurosceptic Italian coalition government and a weakening of Angela Merkel's grip on the German chancellorship were sources of uncertainty in Europe. In
emerging markets, new Brazilian president Jair Bolsonaro took office, with markets generally encouraged by his market-friendly agenda. In contrast, markets appeared to have been nervous about the less-market-friendly approach of Mexico's new
president Andrés Manuel López Obrador.
Detractors from Performance
Security selection in both the consumer discretionary and consumer staples sectors negatively impacted performance relative to the Russell 1000®
Growth Index during the reporting period. Within the consumer discretionary sector, the fund's overweight positions in online travel company Booking(h) and multinational retailer Best Buy hurt relative returns. Within the consumer staples sector, an overweight
position in tobacco company Altria Group also weighed on relative performance.
A combination of stock selection and an overweight position in
the health care sector dampened relative results, led by overweight positions in global healthcare services organization Cigna and drugstore retailer CVS Health.
Stock selection in the
communication services sector further detracted from relative performance. Within this sector, an overweight position in video game maker Electronic Arts(h) and the timing of the fund's ownership in shares of social networking service provider Facebook also held back relative results.
Stocks in other sectors that detracted from relative
performance included the fund's holdings of computer hard drive maker Western Digital(b)(h), an overweight position in polpropylene manufacturer
Lyondellbasell Industries (Netherlands) and an underweight position in software giant Microsoft.
Contributors to Performance
Strong security selection in the industrials sector boosted relative performance over the reporting period. However, there were no individual stocks within this sector that were among the fund's largest relative contributors during the period.
Stocks in other
sectors that contributed to relative performance included overweight positions in enterprise cloud solutions provider ServiceNow, business analytics software company Tableau Software(h), domain name registry services provider VeriSign, identity management services provider Okta, pharmaceutical company Eli Lilly, health care services
provider
See accompanying notes to financial statements.
18
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY FUND
Management’s Discussion of Fund Performance
(Unaudited) (continued)
Molina Healthcare
and hospital operator HCA Healthcare. Additionally, not owning shares of computer graphics processors maker NVIDIA and pharmaceutical company Abbvie, as well as an underweight position in technology company Alphabet, further supported relative
results.
(b) Security is not a benchmark constituent.
(h)Security was not held in the portfolio at period end.
See
accompanying notes to financial statements.
19
Table of Contents
SPDR MFS Systematic Growth Equity ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| 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 | 6.47% | 6.85% | 11.56% | 6.47% | 6.85% | 11.56% | |||
| FIVE YEARS | 76.34% | 76.43% | 87.46% | 12.01% | 12.02% | 13.39% | |||
| SINCE INCEPTION(1) | 89.89% | 89.88% | 100.64% | 12.42% | 12.42% | 13.56% | |||
| (1) | For the period January 8, 2014 to June 30, 2019. |
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR MFS Systematic Growth Equity ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.61%.
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. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial
statements.
20
Table of Contents
SPDR MFS Systematic Growth Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Amazon.com, Inc. | 8.6% | ||
| Microsoft Corp. | 6.1 | ||
| Apple, Inc. | 5.9 | ||
| Starbucks Corp. | 3.7 | ||
| ServiceNow, Inc. | 3.3 | ||
| TOTAL | 27.6% |
(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, 2019
| % of Net Assets | |||
| Software | 14.5% | ||
| Health Care Providers & Services | 11.1 | ||
| Internet & Direct Marketing Retail | 8.6 | ||
| IT Services | 7.5 | ||
| Semiconductors & Semiconductor Equipment | 6.1 | ||
| Technology Hardware, Storage & Peripherals | 5.9 | ||
| Machinery | 4.9 | ||
| Pharmaceuticals | 4.9 | ||
| Interactive Media & Services | 4.0 | ||
| Hotels, Restaurants & Leisure | 3.7 | ||
| Biotechnology | 3.6 | ||
| Tobacco | 3.4 | ||
| Consumer Finance | 3.2 | ||
| Insurance | 3.0 | ||
| Independent Power & Renewable Electricity Producers | 2.4 | ||
| Media | 2.1 | ||
| Capital Markets | 1.9 | ||
| Specialty Retail | 1.7 | ||
| Chemicals | 1.4 | ||
| Equity Real Estate Investment Trusts (REITs) | 1.0 | ||
| Road & Rail | 0.9 | ||
| Food Products | 0.6 | ||
| Electrical Equipment | 0.6 | ||
| Aerospace & Defense | 0.5 | ||
| Banks | 0.4 | ||
| Health Care Technology | 0.4 | ||
| Auto Components | 0.3 | ||
| Short-Term Investment | 1.3 | ||
| Other Assets in Excess of Liabilities | 0.1 | ||
| TOTAL | 100.0% |
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
21
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF FUND
Management’s Discussion of Fund Performance (Unaudited)
Summary of Results
For the twelve months ended June 30, 2019, the SPDR MFS
Systematic Value Equity ETF Portfolio ("fund") provided a total return of 3.69%, at net asset value. This compares with a return of 8.46% for the fund’s benchmark, the Russell 1000® Value Index.
Market Environment
Changes in market sentiment, driven largely by uncertainty
over the outcome of trade negotiations between the US and China, contributed to periodic bouts of volatility during the reporting period. The global economy decelerated throughout the period, led by weakness in China and Europe.
The deteriorating global growth backdrop, along with
declining inflationary pressures, prompted the US Federal Reserve to halt its tightening cycle in December and adopt a more dovish policy stance in 2019, which resulted in a sharp decline in long-term interest rates during the second half of the
period, inverting portions of the Treasury yield curve. Consequently, markets anticipate several Fed rate cuts in the coming quarters.
Globally, central banks have tilted more dovish as well,
with China lowering reserve requirements, the Bank of Canada and Bank of England holding rates steady and the European Central Bank extending a low-interest-rate refinancing facility for eurozone banks to encourage the continued flow of credit and
to hold out the possibility of further lowering rates and resuming asset purchases.
Emerging markets experienced considerable volatility during
the period as tighter global financial conditions exposed structural weakness in some countries. Those pressures were somewhat relieved toward the end of the period as the Fed became more dovish. Diminished hopes for a trade deal between the US and
China weighed on sentiment at the end of the period. Idiosyncratic factors negatively impacted some emerging economies, such as Argentina and Turkey.
From a geopolitical perspective, a change in leadership in
the United Kingdom, caused by a lack of consensus on the best path toward Brexit, a fractious Eurosceptic Italian coalition government and a weakening of Angela Merkel's grip on the German chancellorship were sources of uncertainty in Europe. In
emerging markets, new Brazilian president Jair Bolsonaro took office, with markets generally encouraged by his market-friendly agenda. In contrast, markets appeared to have been nervous about the less-market-friendly approach of Mexico's new
president Andrés Manuel López Obrador.
Detractors from Performance
Security selection in the
health care, consumer staples and information technology sectors detracted from performance relative to the Russell 1000® Value Index. Within the health care sector, overweight positions in global pharmaceutical company Bristol
Myers Squibb, drugstore retailer CVS Health and global health services provider Cigna held back relative returns. Within the consumer staples sector, an overweight position in drug store operator Walgreens
Boots Alliance and not owning shares of household products maker Procter & Gamble hindered relative results. Within the information technology sector, overweight positions in information technology company DXC Technology(h) and computer hard drive maker Western Digital(h) also
weighed on relative returns.
Individual stocks that
held back relative returns included overweight positions in oil and gas exploration & production company Anadarko Petroleum(h), independent oil
refiner Valero Energy and polpropylene manufacturer Lyondellbasell Industries.
Contributors to Performance
Security selection in both the financials and industrials sectors contributed to relative performance. Within the financials sector, an underweight position in
diversified financial services firm Wells Fargo boosted relative returns.
Within the industrials
sector, overweight positions in diesel engine maker Cummins Engine and railroad and freight transportation services provider Union Pacific also aided relative results.
A combination of an overweight position and stock selection in
the utilities sector also helped in relative terms led by overweight positions in power generation company NRG Energy and integrated electric power company AES.
See accompanying notes to financial statements.
22
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF FUND
Management’s Discussion of Fund Performance
(Unaudited) (continued)
Elsewhere,
overweight positions in healthcare services provider Express Scripts(h), cruise line operator Royal Caribbean Cruises(h), pharmaceutical company Eli Lilly and real estate investment trust Store Capital supported relative performance. Additionally, not owning shares of oil
field services company Schlumberger also aided relative returns.
(h)Security was not held in the portfolio at period end.
See
accompanying notes to financial statements.
23
Table of Contents
SPDR MFS Systematic Value Equity ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| 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 | 3.69% | 3.42% | 8.46% | 3.69% | 3.42% | 8.46% | |||
| FIVE YEARS | 56.23% | 56.22% | 43.31% | 9.33% | 9.33% | 7.46% | |||
| SINCE INCEPTION(1) | 65.66% | 65.62% | 55.59% | 9.65% | 9.65% | 8.41% | |||
| (1) | For the period January 8, 2014 to June 30, 2019. |
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR MFS Systematic Value Equity ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.60%.
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. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial
statements.
24
Table of Contents
SPDR MFS Systematic Value Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Citigroup, Inc. | 4.3% | ||
| Johnson & Johnson | 4.0 | ||
| Intel Corp. | 3.6 | ||
| Exelon Corp. | 3.5 | ||
| STORE Capital Corp. REIT | 3.1 | ||
| TOTAL | 18.5% |
(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, 2019
| % of Net Assets | |||
| Pharmaceuticals | 10.4% | ||
| Banks | 9.4 | ||
| Oil, Gas & Consumable Fuels | 9.2 | ||
| Equity Real Estate Investment Trusts (REITs) | 7.2 | ||
| Health Care Providers & Services | 5.6 | ||
| Insurance | 5.4 | ||
| Electrical Equipment | 4.8 | ||
| Independent Power and Renewable Electricity Producers | 4.5 | ||
| Electric Utilities | 4.0 | ||
| Machinery | 3.7 | ||
| Semiconductors & Semiconductor Equipment | 3.6 | ||
| Tobacco | 2.9 | ||
| Food Products | 2.9 | ||
| Communications Equipment | 2.7 | ||
| Software | 2.7 | ||
| Media | 2.7 | ||
| Household Durables | 2.6 | ||
| Chemicals | 2.1 | ||
| Food & Staples Retailing | 1.8 | ||
| Road & Rail | 1.6 | ||
| Consumer Finance | 1.5 | ||
| Beverages | 1.5 | ||
| Capital Markets | 1.3 | ||
| Health Care Equipment & Supplies | 1.2 | ||
| Hotels, Restaurants & Leisure | 1.2 | ||
| Diversified Telecommunication Services | 1.1 | ||
| Multiline Retail | 1.1 | ||
| Biotechnology | 0.4 | ||
| Short Term Investments | 0.8 | ||
| Other Assets in Excess of Liabilities | 0.1 | ||
| TOTAL | 100.0% |
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
25
Table of Contents
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| 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 |
$112,587,292 | $— | $— | $112,587,292 | ||||
|
Short-Term
Investments |
8,410,666 | — | — | 8,410,666 | ||||
|
TOTAL
INVESTMENTS |
$120,997,958 | $— | $— | $120,997,958 |
See accompanying notes to financial statements.
26
Table of Contents
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
Affiliate Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Barclays TIPS
ETF |
381,395 | $ 21,178,864 | $ 6,190,208 | $ 10,912,419 | $ (78,847) | $ 337,692 | 295,379 | $16,715,498 | $ 530,686 | ||||||||
|
SPDR Dow Jones International Real Estate
ETF |
219,619 | 8,595,887 | 6,025,735 | 4,724,987 | 30,796 | (46,723) | 254,986 | 9,880,708 | 465,074 | ||||||||
|
SPDR Dow Jones REIT
ETF |
55,830 | 5,245,787 | 9,328,529 | 5,210,306 | 441,755 | 11,793 | 99,368 | 9,817,558 | 323,390 | ||||||||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
160,079 | 8,682,685 | 2,203,518 | 4,310,398 | (140,725) | 274,982 | 120,728 | 6,710,062 | 278,660 | ||||||||
|
SPDR S&P Global Infrastructure
ETF |
214,010 | 10,552,534 | 7,336,548 | 7,481,913 | 160,434 | 698,879 | 212,055 | 11,266,482 | 421,071 | ||||||||
|
SPDR S&P Global Natural Resources
ETF |
748,533 | 37,486,532 | 11,966,882 | 22,282,696 | (246,736) | (3,062,087) | 520,207 | 23,861,895 | 938,576 | ||||||||
|
SPDR S&P Metals & Mining
ETF |
153,827 | 5,456,244 | 2,607,347 | 3,372,861 | (112,056) | (1,114,696) | 122,057 | 3,463,978 | 99,461 | ||||||||
|
SPDR S&P Oil & Gas Equipment & Services
ETF |
172,636 | 2,927,906 | 1,349,980 | 3,075,234 | (1,302,309) | 99,657 | — | — | 11,089 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
12,678 | 12,678 | 6,527,861 | 6,340,157 | — | — | 200,382 | 200,382 | 24,856 | ||||||||
|
State Street Navigator Securities Lending Government Money Market
Portfolio |
7,809,131 | 7,809,131 | 167,344,329 | 175,153,460 | — | — | — | — | 116,286 | ||||||||
|
State Street Navigator Securities Lending Portfolio
III |
— | — | 76,867,043 | 68,656,759 | — | — | 8,210,284 | 8,210,284 | 31,028 | ||||||||
|
The Energy Select Sector SPDR
Fund |
95,071 | 7,219,692 | 2,457,104 | 2,811,315 | (18,968) | (1,168,296) | 89,126 | 5,678,217 | 207,397 | ||||||||
|
Total |
$115,167,940 | $300,205,084 | $314,332,505 | $(1,266,656) | $(3,968,799) | $95,805,064 | $3,447,574 |
See accompanying notes to financial statements.
27
Table of Contents
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| 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 |
$104,362,175 | $— | $— | $104,362,175 | ||||
|
Short-Term
Investments |
4,720,063 | — | — | 4,720,063 | ||||
|
TOTAL
INVESTMENTS |
$109,082,238 | $— | $— | $109,082,238 |
See accompanying notes to financial statements.
28
Table of Contents
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
Affiliate Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
SPDR Blackstone / GSO Senior Loan
ETF |
— | $ — | $ 11,736,327 | $ 1,335,261 | $ 12,174 | $ (184,893) | 221,297 | $10,228,347 | $ 405,393 | ||||||||
|
SPDR Bloomberg Barclays Convertible Securities
ETF |
87,008 | 4,613,164 | 1,233,433 | 673,785 | 43,509 | (30,038) | 98,095 | 5,186,283 | 276,877 | ||||||||
|
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF |
169,930 | 4,581,313 | 7,471,931 | 2,073,812 | (48,437) | 632,370 | 379,704 | 10,563,365 | 424,380 | ||||||||
|
SPDR Bloomberg Barclays High Yield Bond
ETF |
233,882 | 8,298,133 | 8,415,111 | 2,355,324 | (3,484) | 308,017 | 134,592 | 14,662,453 | 622,235 | ||||||||
|
SPDR Bloomberg Barclays TIPS
ETF |
85,518 | 4,748,815 | 1,024,106 | 3,167,971 | (83,931) | 114,377 | 46,570 | 2,635,396 | 103,953 | ||||||||
|
SPDR Dow Jones International Real Estate
ETF |
87,581 | 3,427,920 | 68,648 | 3,453,599 | (109,328) | 66,359 | — | — | — | ||||||||
|
SPDR Dow Jones REIT
ETF |
27,950 | 2,626,182 | — | 2,694,036 | 540,341 | (472,487) | — | — | — | ||||||||
|
SPDR MSCI Emerging Markets StrategicFactors
ETF |
89,470 | 5,308,255 | — | 5,191,851 | 464,242 | (580,646) | — | — | — | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
85,069 | 2,831,947 | 4,015,856 | 5,861,441 | (5,664) | 77,541 | 30,296 | 1,058,239 | 54,827 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
359,992 | 9,402,991 | 1,123,842 | 5,663,544 | (163,826) | 713,875 | 188,290 | 5,413,338 | 269,922 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
191,485 | 6,707,624 | 7,338,866 | 4,446,356 | 36,961 | 980,314 | 278,234 | 10,617,409 | 285,266 | ||||||||
|
SPDR Portfolio S&P 500 High Dividend
ETF |
— | — | 20,200,996 | 6,178,764 | (199,973) | (72,283) | 361,461 | 13,749,976 | 696,311 | ||||||||
|
SPDR S&P Dividend
ETF |
150,116 | 13,915,753 | 575,108 | 15,425,618 | 3,000,015 | (2,065,258) | — | — | — | ||||||||
|
SPDR S&P Global Infrastructure
ETF |
98,391 | 4,851,522 | 1,189,245 | 1,166,439 | 33,837 | 387,143 | 99,667 | 5,295,308 | 175,049 | ||||||||
|
SPDR S&P International Dividend
ETF |
214,263 | 8,208,416 | 2,290,563 | 6,620,679 | 115,843 | 194,470 | 106,418 | 4,188,613 | 203,257 | ||||||||
|
SPDR STOXX Europe 50
ETF |
81,394 | 2,720,993 | 4,341,712 | 4,085,643 | (86,305) | 248,133 | 91,861 | 3,138,890 | 79,012 | ||||||||
|
SPDR Wells Fargo Preferred Stock
ETF |
108,376 | 4,711,105 | 1,288,309 | 820,450 | 13,825 | 5,979 | 120,314 | 5,198,768 | 299,209 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | — | 5,691,600 | 5,449,937 | — | — | 241,663 | 241,663 | 15,995 | ||||||||
|
State Street Navigator Securities Lending Government Money Market
Portfolio |
12,183,127 | 12,183,127 | 195,751,386 | 207,934,513 | — | — | — | — | 126,823 | ||||||||
|
State Street Navigator Securities Lending Portfolio
III |
— | — | 56,576,887 | 52,098,487 | — | — | 4,478,400 | 4,478,400 | 50,557 | ||||||||
|
The Energy Select Sector SPDR
Fund |
24,486 | 1,859,467 | — | 1,832,828 | (51,046) | 24,407 | — | — | — | ||||||||
|
The Industrial Select Sector SPDR
Fund |
24,633 | 1,764,462 | 63,414 | 1,995,009 | 110,507 | 56,626 | — | — | — | ||||||||
|
The Technology Select Sector SPDR
Fund |
26,269 | 1,824,907 | — | 1,943,353 | 704,034 | (585,588) | — | — | — | ||||||||
|
Total |
$104,586,096 | $330,397,340 | $342,468,700 | $4,323,294 | $ (181,582) | $96,656,448 | $4,089,066 |
See accompanying notes to financial statements.
29
Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
See accompanying notes to financial statements.
30
Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| 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 |
$252,085,895 | $— | $— | $252,085,895 | ||||
|
Short-Term
Investments |
12,714,818 | — | — | 12,714,818 | ||||
|
TOTAL
INVESTMENTS |
$264,800,713 | $— | $— | $264,800,713 |
Affiliate Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF |
92,904 | $ 2,504,692 | $ 825,125 | $ 797,520 | $ (7,214) | $ 99,901 | 94,356 | $ 2,624,984 | $ 124,017 | ||||||||
|
SPDR Bloomberg Barclays High Yield Bond
ETF |
143,202 | 5,080,807 | 35,168,166 | 4,749,420 | 19,137 | 499,162 | 330,621 | 36,017,852 | 1,003,005 | ||||||||
|
SPDR Bloomberg Barclays Intermediate Term Treasury
ETF |
87,887 | 5,158,088 | 1,549,507 | 1,726,958 | 11,534 | 257,307 | 84,943 | 5,249,478 | 117,268 | ||||||||
|
SPDR Bloomberg Barclays International Corporate Bond
ETF |
151,066 | 5,109,052 | 1,541,963 | 1,481,437 | (12,619) | 80,590 | 153,181 | 5,237,549 | 37,142 | ||||||||
|
SPDR Bloomberg Barclays International Treasury Bond
ETF |
— | — | 8,214,665 | 772,163 | 5,805 | 312,028 | 268,338 | 7,760,335 | 35,372 | ||||||||
|
SPDR Bloomberg Barclays Short Term High Yield Bond
ETF |
186,886 | 5,100,119 | 1,188,540 | 6,180,460 | (150,915) | 42,716 | — | — | 169,038 | ||||||||
|
SPDR Bloomberg Barclays TIPS
ETF |
232,855 | 12,930,438 | 3,777,131 | 4,044,383 | (21,294) | 262,722 | 228,037 | 12,904,614 | 351,587 | ||||||||
|
SPDR Dow Jones International Real Estate
ETF |
63,705 | 2,493,414 | 6,971,720 | 1,973,619 | 13,242 | 117,019 | 196,691 | 7,621,776 | 314,029 | ||||||||
|
SPDR Dow Jones REIT
ETF |
— | — | 19,983,349 | 2,681,771 | 50,620 | 196,757 | 177,621 | 17,548,955 | 322,542 | ||||||||
|
SPDR Portfolio Aggregate Bond
ETF |
— | — | 12,173,632 | 7,498,880 | 214,474 | 262,254 | 176,602 | 5,151,480 | 160,227 | ||||||||
|
SPDR Portfolio Developed World ex-US
ETF |
1,519,455 | 46,191,432 | 26,264,428 | 30,906,028 | 1,547,732 | (2,198,414) | 1,382,195 | 40,899,150 | 1,216,385 | ||||||||
|
SPDR Portfolio Emerging Markets
ETF |
545,940 | 19,293,520 | 18,265,667 | 24,469,966 | 171,384 | (232,329) | 364,020 | 13,028,276 | 292,657 | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
154,667 | 5,148,865 | 1,465,052 | 1,631,935 | 780 | 249,717 | 149,799 | 5,232,479 | 169,035 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
149,332 | 5,231,025 | 8,198,832 | 13,529,859 | 239,482 | (139,480) | — | — | 196,455 | ||||||||
|
SPDR Portfolio Small Cap
ETF |
233,351 | 7,532,570 | 14,116,985 | 15,503,933 | 193,342 | (1,119,164) | 170,359 | 5,219,800 | 135,731 | ||||||||
|
SPDR S&P 500 ETF
Trust |
230,121 | 62,427,225 | 17,551,655 | 32,167,995 | 3,140,109 | 625,503 | 176,029 | 51,576,497 | 1,123,198 | ||||||||
|
SPDR S&P Emerging Markets SmallCap
ETF |
— | — | 2,771,777 | 378,707 | 9,920 | 118,448 | 56,408 | 2,521,438 | 964 | ||||||||
|
SPDR S&P International Small Cap
ETF |
212,042 | 7,277,281 | 2,993,943 | 1,743,510 | 38,501 | (1,066,855) | 250,396 | 7,499,360 | 319,373 | ||||||||
|
SPDR S&P MidCap 400 ETF
Trust |
14,060 | 4,991,581 | 1,674,572 | 1,566,836 | 183,687 | (162,724) | 14,440 | 5,120,280 | 69,412 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
19,809,280 | 19,809,280 | 26,026,968 | 43,573,055 | — | — | 2,263,193 | 2,263,193 | 361,735 | ||||||||
|
State Street Navigator Securities Lending Government Money Market
Portfolio |
8,492,442 | 8,492,442 | 422,384,431 | 430,876,873 | — | — | — | — | 331,343 | ||||||||
|
State Street Navigator Securities Lending Portfolio
III |
— | — | 102,460,374 | 92,008,749 | — | — | 10,451,625 | 10,451,625 | 36,620 | ||||||||
|
The Communication Services Select Sector SPDR
Fund |
— | — | 5,275,403 | 5,340,961 | 65,558 | — | — | — | 9,248 | ||||||||
|
The Consumer Discretionary Select Sector SPDR
Fund |
— | — | 6,689,025 | 6,525,638 | (163,387) | — | — | — | 37,053 | ||||||||
|
The Consumer Staples Select Sector SPDR
Fund |
— | — | 5,139,036 | 28,782 | (412) | (68,437) | 86,816 | 5,041,405 | 39,160 | ||||||||
|
The Energy Select Sector SPDR
Fund |
66,339 | 5,037,784 | 6,140,196 | 10,622,172 | (620,864) | 65,056 | — | — | 48,126 | ||||||||
|
The Health Care Select Sector SPDR
Fund |
— | — | 5,352,920 | 201,623 | 3,732 | 112,111 | 56,856 | 5,267,140 | 41,867 | ||||||||
|
The Industrial Select Sector SPDR
Fund |
66,988 | 4,798,351 | 5,342,568 | 5,222,168 | (108,161) | 351,156 | 66,672 | 5,161,746 | 76,689 | ||||||||
|
The Real Estate Sector SPDR
Fund |
— | — | 5,496,489 | 5,968,391 | 471,902 | — | — | — | — | ||||||||
|
The Technology Select Sector SPDR
Fund |
71,494 | 4,966,688 | 6,557,112 | 11,914,208 | 1,954,544 | (1,564,136) | — | — | 40,587 | ||||||||
|
Total |
$239,574,654 | $781,561,231 | $766,088,000 | $7,250,619 | $(2,899,092) | $259,399,412 | $7,179,865 |
See accompanying notes to financial statements.
31
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
See accompanying notes to financial statements.
32
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
See accompanying notes to financial statements.
33
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
See accompanying notes to financial statements.
34
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
See accompanying notes to financial statements.
35
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
See accompanying notes to financial statements.
36
Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Asset-Backed
Securities |
$ — | $ 45,447,779 | $— | $ 45,447,779 | ||||
|
Corporate Bonds &
Notes |
— | 106,067,514 | — | 106,067,514 | ||||
|
Foreign Government
Obligations |
— | 250,390 | — | 250,390 | ||||
|
Mortgage-Backed
Securities |
— | 3,237,152 | — | 3,237,152 | ||||
|
Certificate of
Deposit |
— | 799,998 | — | 799,998 | ||||
|
U.S. Treasury
Obligations |
— | 8,143,273 | — | 8,143,273 | ||||
|
Short-Term
Investment |
2,317,630 | — | — | 2,317,630 | ||||
|
TOTAL
INVESTMENTS |
$2,317,630 | $163,946,106 | $— | $166,263,736 |
Affiliate
Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
4,033,700 | $4,033,700 | $133,500,353 | $135,216,423 | $— | $— | 2,317,630 | $2,317,630 | $88,040 |
See accompanying notes to financial statements.
37
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
See accompanying notes to financial statements.
38
Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Common
Stocks |
$38,825,015 | $— | $— | $38,825,015 | ||||
|
Short-Term
Investment |
255,902 | — | — | 255,902 | ||||
|
TOTAL
INVESTMENTS |
$39,080,917 | $— | $— | $39,080,917 |
Affiliate
Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
285,615 | $285,615 | $1,261,037 | $1,290,750 | $— | $— | 255,902 | $255,902 | $7,126 |
See accompanying notes to financial statements.
39
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
See accompanying notes to financial statements.
40
Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Common
Stocks |
$33,879,892 | $— | $— | $33,879,892 | ||||
|
Short-Term
Investment |
460,630 | — | — | 460,630 | ||||
|
TOTAL
INVESTMENTS |
$34,340,522 | $— | $— | $34,340,522 |
Affiliate
Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
414,275 | $414,275 | $1,658,395 | $1,612,040 | $— | $— | 460,630 | $460,630 | $8,668 |
See accompanying notes to financial statements.
41
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
See accompanying notes to financial statements.
42
Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Common
Stocks |
$33,446,465 | $— | $— | $33,446,465 | ||||
|
Short-Term
Investment |
286,017 | — | — | 286,017 | ||||
|
TOTAL
INVESTMENTS |
$33,732,482 | $— | $— | $33,732,482 |
Affiliate
Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
272,118 | $272,118 | $1,578,189 | $1,564,290 | $— | $— | 286,017 | $286,017 | $10,098 |
See accompanying notes to financial statements.
43
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2019
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
| ASSETS | |||||
|
Investments in unaffiliated issuers, at
value* |
$ 25,192,894 | $ 12,425,791 | $ 5,401,302 | ||
|
Investments in affiliated issuers, at
value |
95,805,064 | 96,656,447 | 259,399,411 | ||
|
Total
Investments |
120,997,958 | 109,082,238 | 264,800,713 | ||
|
Cash |
— | — | 6 | ||
|
Receivable for investments
sold |
— | — | 359,239 | ||
|
Dividends receivable — unaffiliated
issuers |
— | — | 61 | ||
|
Dividends receivable — affiliated
issuers |
396 | 2,173 | 1,352,585 | ||
|
Interest receivable — unaffiliated
issuers |
— | — | — | ||
|
Securities lending income receivable — unaffiliated
issuers |
1,279 | — | 8,596 | ||
|
Securities lending income receivable — affiliated issuers
|
9,112 | 20,817 | 21,948 | ||
|
TOTAL ASSETS
|
121,008,745 | 109,105,228 | 266,543,148 | ||
| LIABILITIES | |||||
|
Payable upon return of securities
loaned |
8,210,284 | 4,478,400 | 10,451,625 | ||
|
Payable for fund shares
repurchased |
— | — | 381,917 | ||
|
Advisory fee
payable |
6,381 | 13,850 | 21,921 | ||
|
Trustees’ fees and expenses
payable |
238 | 183 | 452 | ||
|
TOTAL LIABILITIES
|
8,216,903 | 4,492,433 | 10,855,915 | ||
|
NET ASSETS
|
$112,791,842 | $104,612,795 | $255,687,233 | ||
| NET ASSETS CONSIST OF: | |||||
|
Paid-in
Capital |
$153,480,574 | $106,052,464 | $241,261,782 | ||
|
Total distributable earnings
(loss) |
(40,688,732) | (1,439,669) | 14,425,451 | ||
|
NET ASSETS
|
$112,791,842 | $104,612,795 | $255,687,233 | ||
| NET ASSET VALUE PER SHARE | |||||
|
Net asset value per
share |
$ 25.18 | $ 33.32 | $ 38.33 | ||
|
Shares outstanding (unlimited amount authorized, no par
value) |
4,480,000 | 3,140,000 | 6,670,000 | ||
| COST OF INVESTMENTS: | |||||
|
Investments in unaffiliated
issuers |
$ 27,579,327 | $ 13,215,349 | $ 5,090,285 | ||
|
Investments in affiliated
issuers |
95,820,524 | 94,412,563 | 241,563,395 | ||
|
Total cost of
investments |
$123,399,851 | $107,627,912 | $246,653,680 | ||
|
* Includes investments in securities on loan, at
value |
$ 12,899,967 | $ 5,166,085 | $ 67,293,995 |
See accompanying notes to financial
statements.
44
Table of Contents
| SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | |||
| $163,946,106 | $38,825,015 | $33,879,892 | $33,446,465 | |||
| 2,317,630 | 255,902 | 460,630 | 286,017 | |||
| 166,263,736 | 39,080,917 | 34,340,522 | 33,732,482 | |||
| 137 | — | — | — | |||
| 950,200 | — | — | — | |||
| — | 40,717 | 36,566 | 42,993 | |||
| 8,812 | 783 | 1,017 | 979 | |||
| 525,926 | — | — | — | |||
| — | — | — | — | |||
| — | — | — | — | |||
| 167,748,811 | 39,122,417 | 34,378,105 | 33,776,454 | |||
| — | — | — | — | |||
| — | — | — | — | |||
| 29,361 | 19,074 | 16,689 | 16,484 | |||
| 110 | 43 | 113 | 41 | |||
| 29,471 | 19,117 | 16,802 | 16,525 | |||
| $167,719,340 | $39,103,300 | $34,361,303 | $33,759,929 | |||
| $167,225,326 | $37,117,613 | $32,752,170 | $33,441,166 | |||
| 494,014 | 1,985,687 | 1,609,133 | 318,763 | |||
| $167,719,340 | $39,103,300 | $34,361,303 | $33,759,929 | |||
| $ 40.41 | $ 81.47 | $ 83.81 | $ 66.20 | |||
| 4,150,000 | 480,000 | 410,000 | 510,000 | |||
| $163,648,559 | $36,839,133 | $32,053,279 | $32,603,963 | |||
| 2,317,630 | 255,902 | 460,630 | 286,017 | |||
| $165,966,189 | $37,095,035 | $32,513,909 | $32,889,980 | |||
| $ — | $ — | $ — | $ — |
45
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF
OPERATIONS
For the Year Ended June 30, 2019
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
| INVESTMENT INCOME | |||||
|
Interest income — unaffiliated
issuers |
$ — | $ — | $ — | ||
|
Dividend income — unaffiliated
issuers |
287,092 | 678,441 | 121,486 | ||
|
Dividend income — affiliated
issuers |
3,300,260 | 3,911,686 | 6,811,902 | ||
|
Unaffiliated securities lending
income |
55,488 | 50,942 | 125,772 | ||
|
Affiliated securities lending
income |
147,314 | 177,380 | 367,963 | ||
|
Foreign taxes
withheld |
— | — | — | ||
|
TOTAL INVESTMENT INCOME
(LOSS) |
3,790,154 | 4,818,449 | 7,427,123 | ||
| EXPENSES | |||||
|
Advisory
fee |
156,618 | 179,134 | 368,921 | ||
|
Trustees’ fees and expenses
|
2,505 | 1,766 | 4,633 | ||
|
Miscellaneous
expenses |
2 | 1 | 3 | ||
|
TOTAL
EXPENSES |
159,125 | 180,901 | 373,557 | ||
|
NET INVESTMENT INCOME
(LOSS) |
$ 3,631,029 | $4,637,548 | $ 7,053,566 | ||
| REALIZED AND UNREALIZED GAIN (LOSS) | |||||
| Net realized gain (loss) on: | |||||
|
Investments — unaffiliated
issuers |
(693,808) | (16,503) | 208,088 | ||
|
Investments — affiliated
issuers |
(2,826,020) | 3,929,943 | 2,152,596 | ||
|
In-kind redemptions — unaffiliated
issuers |
(182,636) | 56,422 | 9,789 | ||
|
In-kind redemptions — affiliated
issuers |
1,559,364 | 393,351 | 5,098,023 | ||
|
Net realized gain
(loss) |
(2,143,100) | 4,363,213 | 7,468,496 | ||
| Net change in unrealized appreciation/depreciation on: | |||||
|
Investments — unaffiliated
issuers |
(2,420,927) | (789,558) | (226,145) | ||
|
Investments — affiliated
issuers |
(3,968,799) | (181,582) | (2,899,092) | ||
|
Net change in unrealized
appreciation/depreciation |
(6,389,726) | (971,140) | (3,125,237) | ||
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(8,532,826) | 3,392,073 | 4,343,259 | ||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$(4,901,797) | $8,029,621 | $11,396,825 |
See accompanying notes to financial
statements.
46
Table of Contents
| SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | |||
| 3,475,911 | $ 810 | $ 1,318 | $ 1,469 | |||
| 19,946 | 747,411 | 630,387 | 953,230 | |||
| 88,040 | 7,126 | 8,668 | 10,098 | |||
| — | — | — | — | |||
| — | — | — | — | |||
| — | (418) | (391) | — | |||
| 3,583,897 | 754,929 | 639,982 | 964,797 | |||
| 261,275 | 196,466 | 228,879 | 207,733 | |||
| 1,691 | 523 | 754 | 584 | |||
| 2 | — | — | — | |||
| 262,968 | 196,989 | 229,633 | 208,317 | |||
| $3,320,929 | $ 557,940 | $ 410,349 | $ 756,480 | |||
| 190,469 | 26,273 | (214,350) | (549,275) | |||
| — | — | — | — | |||
| — | 1,654,797 | 1,489,372 | 677,404 | |||
| — | — | — | — | |||
| 190,469 | 1,681,070 | 1,275,022 | 128,129 | |||
| 292,631 | 1,551,309 | 167,078 | (36,634) | |||
| — | — | — | — | |||
| 292,631 | 1,551,309 | 167,078 | (36,634) | |||
| 483,100 | 3,232,379 | 1,442,100 | 91,495 | |||
| $3,804,029 | $3,790,319 | $1,852,449 | $ 847,975 |
47
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 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income
(loss) |
$ 3,631,029 | $ 2,500,965 | $ 4,637,548 | $ 3,011,514 | |||
|
Net realized gain
(loss) |
(2,143,100) | (665,727) | 4,363,213 | 1,992,130 | |||
|
Net change in unrealized
appreciation/depreciation |
(6,389,726) | 12,559,946 | (971,140) | (1,755,232) | |||
|
Net increase (decrease) in net assets resulting from
operations |
(4,901,797) | 14,395,184 | 8,029,621 | 3,248,412 | |||
|
Net equalization credits and
charges |
24,895 | (6,781) | 105,971 | (16,838) | |||
|
Distributions to shareholders (Note
11) |
(3,617,253) | (2,524,937) | (4,936,932) | (2,983,228) | |||
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
|
Proceeds from sale of shares
sold |
33,283,792 | 44,751,476 | 23,973,127 | 4,988,040 | |||
|
Cost of shares
redeemed |
(55,714,874) | (27,954,964) | (14,842,690) | (8,240,529) | |||
|
Net income
equalization |
(24,895) | 6,781 | (105,971) | 16,838 | |||
|
Other
Capital |
— | — | 686 | — | |||
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(22,455,977) | 16,803,293 | 9,025,152 | (3,235,651) | |||
|
Net increase (decrease) in net assets during the
period |
(30,950,132) | 28,666,759 | 12,223,812 | (2,987,305) | |||
|
Net assets at beginning of
period |
143,741,974 | 115,075,215 | 92,388,983 | 95,376,288 | |||
|
NET ASSETS AT END OF
PERIOD |
$112,791,842 | $143,741,974 | $104,612,795 | $92,388,983 | |||
| SHARES OF BENEFICIAL INTEREST: | |||||||
|
Shares
sold |
1,350,000 | 1,700,000 | 750,000 | 150,000 | |||
|
Shares
redeemed |
(2,270,000) | (1,100,000) | (460,000) | (250,000) | |||
|
Net increase (decrease) from share
transactions |
(920,000) | 600,000 | 290,000 | (100,000) | |||
See accompanying notes to financial
statements.
48
Table of Contents
| SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | ||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | |||||
| $ 7,053,566 | $ 4,967,140 | $ 3,320,929 | $ 478,526 | $ 557,940 | $ 235,376 | |||||
| 7,468,496 | 5,473,116 | 190,469 | (8,832) | 1,681,070 | 1,524,281 | |||||
| (3,125,237) | 7,172,319 | 292,631 | (34,849) | 1,551,309 | (468,942) | |||||
| 11,396,825 | 17,612,575 | 3,804,029 | 434,845 | 3,790,319 | 1,290,715 | |||||
| 42,319 | 32,328 | 87,297 | 31,387 | 1,861 | 9,845 | |||||
| (7,044,570) | (5,038,036) | (3,073,623) | (440,203) | (561,229) | (362,453) | |||||
| 66,920,704 | 34,147,005 | 152,893,417 | 48,298,111 | 18,295,264 | 33,108,321 | |||||
| (64,514,651) | (5,573,015) | (36,316,451) | (16,107,275) | (12,523,740) | (10,795,866) | |||||
| (42,319) | (32,328) | (87,297) | (31,387) | (1,861) | (9,845) | |||||
| — | — | 68,420 | 40,638 | 314 | (35) | |||||
| 2,363,734 | 28,541,662 | 116,558,089 | 32,200,087 | 5,769,977 | 22,302,575 | |||||
| 6,758,308 | 41,148,529 | 117,375,792 | 32,226,116 | 9,000,928 | 23,240,682 | |||||
| 248,928,925 | 207,780,396 | 50,343,548 | 18,117,432 | 30,102,372 | 6,861,690 | |||||
| $255,687,233 | $248,928,925 | $167,719,340 | $ 50,343,548 | $ 39,103,300 | $ 30,102,372 | |||||
| 1,850,000 | 900,000 | 3,800,000 | 1,200,000 | 240,000 | 450,000 | |||||
| (1,780,000) | (150,000) | (900,000) | (400,000) | (160,000) | (150,000) | |||||
| 70,000 | 750,000 | 2,900,000 | 800,000 | 80,000 | 300,000 | |||||
49
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | ||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income
(loss) |
$ 410,349 | $ 381,971 | $ 756,480 | $ 249,431 | |||
|
Net realized gain
(loss) |
1,275,022 | 4,551,843 | 128,129 | 397,026 | |||
|
Net change in unrealized
appreciation/depreciation |
167,078 | 1,473,870 | (36,634) | 337,481 | |||
|
Net increase (decrease) in net assets resulting from
operations |
1,852,449 | 6,407,684 | 847,975 | 983,938 | |||
|
Net equalization credits and
charges |
(10,318) | 24,904 | 1,385 | 25,776 | |||
|
Distributions to shareholders (Note
11) |
(879,302) | (501,100) | (1,072,684) | (372,595) | |||
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
|
Proceeds from sale of shares
sold |
4,121,088 | 27,658,642 | 6,702,411 | 26,360,403 | |||
|
Cost of shares
redeemed |
(15,157,132) | (28,220,128) | (5,670,724) | — | |||
|
Net income
equalization |
10,318 | (24,904) | (1,385) | (25,776) | |||
|
Other
Capital |
332 | — | 272 | — | |||
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(11,025,394) | (586,390) | 1,030,574 | 26,334,627 | |||
|
Net increase (decrease) in net assets during the
period |
(10,062,565) | 5,345,098 | 807,250 | 26,971,746 | |||
|
Net assets at beginning of
period |
44,423,868 | 39,078,770 | 32,952,679 | 5,980,933 | |||
|
NET ASSETS AT END OF
PERIOD |
$ 34,361,303 | $ 44,423,868 | $33,759,929 | $32,952,679 | |||
| SHARES OF BENEFICIAL INTEREST: | |||||||
|
Shares
sold |
50,000 | 350,000 | 100,000 | 400,000 | |||
|
Shares
redeemed |
(190,000) | (350,000) | (90,000) | — | |||
|
Net increase (decrease) from share
transactions |
(140,000) | — | 10,000 | 400,000 | |||
See accompanying notes to financial statements.
50
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR SSGA Multi-Asset Real Return ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 26.62 | $ 23.97 | $ 24.38 | $ 25.85 | $ 30.86 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
0.69 | 0.53 | 0.56 | 0.30 | 0.43 | ||||
|
Net realized and unrealized gain (loss)
(c) |
(1.43) | 2.64 | (0.44) | (1.43) | (5.02) | ||||
|
Total from investment
operations |
(0.74) | 3.17 | 0.12 | (1.13) | (4.59) | ||||
|
Net equalization credits and charges
(b) |
0.00(d) | (0.00)(d) | 0.01 | 0.01 | 0.01 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(0.70) | (0.52) | (0.54) | (0.35) | (0.43) | ||||
|
Net asset value, end of
period |
$ 25.18 | $ 26.62 | $ 23.97 | $ 24.38 | $ 25.85 | ||||
|
Total return
(e) |
(2.71)% | 13.26% | 0.56% | (4.22)% | (14.84)% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$112,792 | $143,742 | $115,075 | $80,441 | $140,895 | ||||
| Ratios to average net assets: | |||||||||
|
Total expenses
(f) |
0.12% | 0.22% | 0.22% | 0.28% | 0.23% | ||||
|
Net investment income
(loss) |
2.76% | 2.04% | 2.28% | 1.29% | 1.53% | ||||
|
Portfolio turnover
rate |
28% | 44% | 46%(g) | 25%(g) | 33%(g) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
51
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Income Allocation ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 32.42 | $ 32.33 | $ 31.23 | $ 31.16 | $ 32.70 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.53 | 1.02 | 1.10 | 0.93 | 0.97 | ||||
|
Net realized and unrealized gain (loss)
(c) |
0.91 | 0.09 | 0.98 | 0.22 | (1.51) | ||||
|
Total from investment
operations |
2.44 | 1.11 | 2.08 | 1.15 | (0.54) | ||||
|
Net equalization credits and charges
(b) |
0.03 | (0.01) | (0.01) | (0.02) | 0.02 | ||||
|
Other capital
(b) |
0.00(d) | — | — | — | — | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.57) | (1.01) | (0.97) | (1.06) | (1.02) | ||||
|
Net asset value, end of
period |
$ 33.32 | $ 32.42 | $ 32.33 | $ 31.23 | $ 31.16 | ||||
|
Total return
(e) |
7.93% | 3.34% | 6.78% | 3.77% | (1.59)% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$104,613 | $92,389 | $95,376 | $104,605 | $120,020 | ||||
| Ratios to average net assets: | |||||||||
|
Total expenses
(f) |
0.18% | 0.39% | 0.37% | 0.37% | 0.35% | ||||
|
Net investment income
(loss) |
4.71% | 3.07% | 3.49% | 3.07% | 3.00% | ||||
|
Portfolio turnover
rate |
71% | 29% | 47%(g) | 54%(g) | 64%(g) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
52
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Global Allocation ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 37.72 | $ 35.52 | $ 33.35 | $ 34.61 | $ 35.47 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.03 | 0.81 | 0.99 | 0.81 | 0.92 | ||||
|
Net realized and unrealized gain (loss)
(c) |
0.57 | 2.18 | 2.03 | (1.09) | (0.73) | ||||
|
Total from investment
operations |
1.60 | 2.99 | 3.02 | (0.28) | 0.19 | ||||
|
Net equalization credits and charges
(b) |
0.01 | 0.01 | 0.00(d) | 0.02 | 0.05 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.00) | (0.80) | (0.85) | (0.94) | (0.91) | ||||
|
Net realized
gains |
— | — | — | (0.06) | (0.19) | ||||
|
Total
distributions |
(1.00) | (0.80) | (0.85) | (1.00) | (1.10) | ||||
|
Net asset value, end of
period |
$ 38.33 | $ 37.72 | $ 35.52 | $ 33.35 | $ 34.61 | ||||
|
Total return
(e) |
4.37% | 8.46% | 9.14% | (0.63)% | 0.66% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$255,687 | $248,929 | $207,780 | $185,112 | $143,655 | ||||
| Ratios to average net assets: | |||||||||
|
Total expenses
(f) |
0.15% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
|
Net
expenses |
0.15% | 0.09% | 0.01% | 0.06% | 0.05% | ||||
|
Net investment income
(loss) |
2.76% | 2.14% | 2.91% | 2.45% | 2.60% | ||||
|
Portfolio turnover
rate |
71% | 43% | 90%(g) | 86%(g) | 98%(g) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
53
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Ultra Short Term Bond ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 40.27 | $ 40.26 | $ 40.06 | $ 40.05 | $ 40.10 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.02 | 0.68 | 0.44 | 0.27 | 0.13 | ||||
|
Net realized and unrealized gain (loss)
(c) |
0.04 | (0.14) | 0.13 | (0.21) | (0.05) | ||||
|
Total from investment
operations |
1.06 | 0.54 | 0.57 | 0.06 | 0.08 | ||||
|
Net equalization credits and charges
(b) |
0.03 | 0.04 | (0.00)(d) | 0.07 | 0.00(d) | ||||
|
Other capital
(b) |
0.02 | 0.06 | 0.05 | 0.12 | 0.01 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(0.97) | (0.63) | (0.42) | (0.18) | (0.14) | ||||
|
Net realized
gains |
— | — | — | (0.06) | — | ||||
|
Total
distributions |
(0.97) | (0.63) | (0.42) | (0.24) | (0.14) | ||||
|
Net asset value, end of
period |
$ 40.41 | $ 40.27 | $ 40.26 | $ 40.06 | $ 40.05 | ||||
|
Total return
(e) |
2.79% | 1.60% | 1.53% | 0.65% | 0.20% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$167,719 | $50,344 | $18,117 | $24,039 | $16,018 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
|
Net investment income
(loss) |
2.54% | 1.70% | 1.09% | 0.69% | 0.33% | ||||
|
Portfolio turnover
rate |
100% | 76% | 83%(f) | 407%(f) | 79%(f) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
54
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR MFS Systematic Core Equity ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 75.26 | $ 68.62 | $58.09 | $58.53 | $53.60 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.34 | 1.13 | 0.97 | 1.020 | 0.81 | ||||
|
Net realized and unrealized gain (loss)
(c) |
6.20 | 7.30 | 10.53 | 0.00(d) | 6.48 | ||||
|
Total from investment
operations |
7.54 | 8.43 | 11.50 | 1.02 | 7.29 | ||||
|
Net equalization credits and charges
(b) |
0.00(d) | 0.05 | — | 0.20 | (0.04) | ||||
|
Other capital
(b) |
0.00(d) | (0.00)(d) | — | — | — | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.33) | (0.96) | (0.97) | (1.03) | (0.88) | ||||
|
Net realized
gains |
— | (0.88) | — | (0.63) | (1.44) | ||||
|
Total
distributions |
(1.33) | (1.84) | (0.97) | (1.66) | (2.32) | ||||
|
Net asset value, end of
period |
$ 81.47 | $ 75.26 | $68.62 | $58.09 | $58.53 | ||||
|
Total return
(e) |
10.11% | 12.36% | 19.92% | 2.21% | 13.70% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$39,103 | $30,102 | $6,862 | $5,809 | $2,926 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.60% | 0.60% | 0.60% | 0.61% | 0.60% | ||||
|
Net investment income
(loss) |
1.70% | 1.51% | 1.52% | 1.78% | 1.42% | ||||
|
Portfolio turnover
rate |
65% | 67% | 67%(f) | 39%(f) | 54%(f) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
55
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR MFS Systematic Growth Equity ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 80.77 | $ 71.05 | $ 60.67 | $ 60.24 | $53.56 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
0.87 | 0.61 | 0.70 | 0.63 | 0.66 | ||||
|
Net realized and unrealized gain (loss)
(c) |
4.13 | 9.80 | 10.27 | 1.62 | 8.60 | ||||
|
Total from investment
operations |
5.00 | 10.41 | 10.97 | 2.25 | 9.26 | ||||
|
Net equalization credits and charges
(b) |
(0.02) | 0.04 | 0.01 | 0.01 | 0.00(d) | ||||
|
Other capital
(b) |
0.00(d) | — | — | — | — | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(0.95) | (0.60) | (0.60) | (0.61) | (0.68) | ||||
|
Net realized
gains |
(0.99) | (0.13) | — | (1.22) | (1.90) | ||||
|
Total
distributions |
(1.94) | (0.73) | (0.60) | (1.83) | (2.58) | ||||
|
Net asset value, end of
period |
$ 83.81 | $ 80.77 | $ 71.05 | $ 60.67 | $60.24 | ||||
|
Total return
(e) |
6.47% | 14.71% | 18.18% | 3.96% | 17.53% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$34,361 | $44,424 | $39,079 | $12,134 | $6,024 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.60% | 0.61% | 0.60% | 0.61% | 0.60% | ||||
|
Net investment income
(loss) |
1.08% | 0.77% | 1.05% | 1.06% | 1.14% | ||||
|
Portfolio turnover
rate |
77% | 76% | 55%(f) | 56%(f) | 67%(f) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
56
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR MFS Systematic Value Equity ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 65.91 | $ 59.81 | $51.99 | $57.90 | $52.67 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.44 | 1.21 | 1.03 | 0.99 | 0.75 | ||||
|
Net realized and unrealized gain (loss)
(c) |
0.86 | 6.94 | 8.99 | (2.66) | 6.28 | ||||
|
Total from investment
operations |
2.30 | 8.15 | 10.02 | (1.67) | 7.03 | ||||
|
Net equalization credits and charges
(b) |
0.00(d) | 0.12 | 0.04 | — | (0.03) | ||||
|
Other capital
(b) |
0.00(d) | — | — | — | — | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.47) | (1.06) | (1.01) | (1.01) | (0.85) | ||||
|
Net realized
gains |
(0.54) | (1.11) | (1.23) | (3.23) | (0.92) | ||||
|
Total
distributions |
(2.01) | (2.17) | (2.24) | (4.24) | (1.77) | ||||
|
Net asset value, end of
period |
$ 66.20 | $ 65.91 | $59.81 | $51.99 | $57.90 | ||||
|
Total return
(e) |
3.69% | 13.82% | 19.61% | (2.47)% | 13.47% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$33,760 | $32,953 | $5,981 | $2,599 | $2,895 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.60% | 0.60% | 0.60% | 0.62% | 0.60% | ||||
|
Net investment income
(loss) |
2.18% | 1.83% | 1.80% | 1.85% | 1.36% | ||||
|
Portfolio turnover
rate |
53% | 54% | 64%(f) | 64%(f) | 61%(f) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
57
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2019
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, 2019, the Trust consists of fourteen
(14) 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”):
Each Fund is classified as a diversified
investment company under the 1940 Act, with the exception of SPDR SSGA Ultra Short Term Bond ETF, which is a non-diversified investment company.
Prior to the close of business on May 7,
2018, each fund had been operating in a “master –feeder” arrangement, under which each Fund invested substantially all of its assets in a corresponding series of SSGA Master Trust (i.e., a
“Portfolio/ Master fund”). Each Portfolio was a separate mutual fund that had identical investment objective, and substantially identical investment strategies, policies and risks as the respective Fund
(i.e., a “feeder fund”). As a result of this arrangement, each Fund had an indirect interest in all of the securities owned by the corresponding Portfolio.
As of the close of business on May 7,
2018, the securities held by each Portfolio were transferred “in-kind” to their respective Feeder in a tax-free exchange of each Feeder’s interests as part of a complete liquidation of the corresponding Portfolio.
Effective May 8, 2018, each Fund pursues
its investment objective through direct investment in securities of the same type that previously would have been owned by the corresponding Portfolio. The discontinuance of the master-feeder arrangement on each Fund had no impact on
shareholder’s net asset value or the results of operations for each Fund.
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.
Security Valuation
Each Fund's investments are valued at
fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE 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 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 Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
58
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Valuation techniques used to value each Fund’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.
• 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 and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated 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.
Various inputs are used in determining the value of
the Funds' investments.
The Funds 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 Fund’s investments,
according to the fair value hierarchy as of June 30, 2019, is disclosed in each Fund’s respective Schedule of Investments.
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, prior to May 7, 2018, consist of each Fund’s pro-rata share of its corresponding Portfolio’s realized gains and losses. Realized gains and
losses from the sale and disposition of investments are determined using the identified cost method. For activity prior to May 7, 2018, net investment income consists of each Fund’s pro-rata share of the net investment income of its
corresponding Portfolio less expenses of the Fund.
59
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Subsequent to May 7, 2018, dividend income and
capital gain distributions, if any, are recognized on the ex-dividend date, or when the information becomes available, net of any foreign taxes withheld at source, if any. Interest income is recorded 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, if any, are recorded as dividend income at fair value.
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 was allocated a pro rata share of the expenses of its corresponding Portfolio prior to May 7, 2018.
Foreign Currency Translation
The accounting records of the Funds 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 Funds may be subject to foreign taxes (a portion
of which may be reclaimable) on income, stock dividends, realized and unrealized capital gain 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 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, 2019, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Equalization
Certain 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, 2019:
Distributions
Distributions from net investment income,
if any, are declared and paid quarterly for all Funds, except for the SPDR SSGA Ultra Short Term Bond Fund ETF. The SPDR SSGA Ultra Short Term Bond Fund ETF declares and distributes distributions to shareholders monthly.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Net realized capital gains, if any, are distributed
annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”). 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 FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee (“Management/Advisory 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 |
0.50%(1) |
|
SPDR SSGA Income Allocation
ETF |
0.50(1) |
|
SPDR SSGA Global Allocation
ETF |
0.35 |
|
SPDR SSGA Ultra Short Term Bond
ETF |
0.20 |
|
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 for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF by the acquired fund fees and expenses. For the year ended June 30, 2019, the net annualized advisory fee was 0.12%, 0.18%, and 0.14% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, respectively. |
| (1) | Effective September 4, 2018, SSGA FM has agreed to reduce the Fund's management fee from 0.70% to 0.50% of the Fund's average daily net assets. |
The Adviser pays all the expenses of each Fund other
than the management fee, brokerage expenses,brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses, and other
extraordinary expenses.
Administrator,
Custodian, Sub-Administrator 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.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates - Securities
Lending
State Street, an affiliate of the
Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.
Proceeds collected by State Street on investment of
cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.
In addition, cash collateral from lending activities
is invested in the State Street Navigator Securities Lending Portfolio III, an affiliated fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Other Transactions with Affiliates
The Funds 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 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, 2019 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. Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions and short term investments) for the period ended June 30, 2019, were as follows:
| Purchases | Sales | ||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$ 36,579,091 | $ 37,037,666 | |
|
SPDR SSGA Income Allocation
ETF |
69,328,580 | 69,569,967 | |
|
SPDR SSGA Global Allocation
ETF |
186,151,913 | 169,371,479 | |
|
SPDR SSGA Ultra Short Term Bond
ETF |
227,849,440 | 111,784,203 | |
|
SPDR MFS Systematic Core Equity
ETF |
21,531,330 | 21,124,119 | |
|
SPDR MFS Systematic Growth Equity
ETF |
29,141,911 | 29,740,311 | |
|
SPDR MFS Systematic Value Equity
ETF |
18,178,745 | 18,017,891 |
For the period ended June
30, 2019, the following Funds 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) | |||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$30,573,404 | $52,788,003 | $1,376,728 | ||
|
SPDR SSGA Income Allocation
ETF |
20,063,995 | 11,255,474 | 449,773 | ||
|
SPDR SSGA Global Allocation
ETF |
56,842,965 | 54,737,233 | 5,107,812 | ||
|
SPDR MFS Systematic Core Equity
ETF |
18,158,625 | 12,430,212 | 1,654,797 | ||
|
SPDR MFS Systematic Growth Equity
ETF |
4,091,170 | 15,038,444 | 1,489,372 | ||
|
SPDR MFS Systematic Value Equity
ETF |
6,651,522 | 5,628,136 | 677,404 |
6. Shareholder
Transactions
Each Fund issues and redeems its
shares, at NAV, 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 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 Statements of Changes in Net Assets.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
7. 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. Each 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 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 jurisdiction. SSGA FM has analyzed each 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, partnership basis adjustments, paydown gains and losses 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, 2019, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$3,617,253 | $ — | $3,617,253 | ||
|
SPDR SSGA Income Allocation
ETF |
4,936,932 | — | 4,936,932 | ||
|
SPDR SSGA Global Allocation
ETF |
7,044,570 | — | 7,044,570 | ||
|
SPDR SSGA Ultra Short Term Bond
ETF |
3,073,623 | — | 3,073,623 | ||
|
SPDR MFS Systematic Core Equity
ETF |
555,651 | 5,578 | 561,229 | ||
|
SPDR MFS Systematic Growth Equity
ETF |
879,302 | — | 879,302 | ||
|
SPDR MFS Systematic Value Equity
ETF |
897,607 | 175,077 | 1,072,684 |
The tax character of
distributions paid during the year ended June 30, 2018, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$ 2,524,937 | $ — | $ 2,524,937 | ||
|
SPDR SSGA Income Allocation ETF
|
2,983,228 | — | 2,983,228 | ||
|
SPDR SSGA Global Allocation ETF
|
5,038,036 | — | 5,038,036 | ||
|
SPDR SSGA Ultra Short Term Bond
ETF |
440,203 | — | 440,203 | ||
|
SPDR MFS Systematic Core Equity
ETF |
288,664 | 73,789 | 362,453 | ||
|
SPDR MFS Systematic Growth Equity
ETF |
501,100 | — | 501,100 | ||
|
SPDR MFS Systematic Value Equity
ETF |
311,625 | 60,970 | 372,595 |
At June 30, 2019, 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 SSGA Multi-Asset Real Return
ETF |
$ — | $(37,871,238) | $— | $ (2,817,494) | $— | $(40,688,732) | |||||
|
SPDR SSGA Income Allocation
ETF |
— | (2,922,969) | — | 1,483,300 | — | (1,439,669) | |||||
|
SPDR SSGA Global Allocation
ETF |
255,321 | (3,996,620) | — | 18,166,750 | — | 14,425,451 |
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
| Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Qualified
Late-Year Losses |
Total | ||||||
|
SPDR SSGA Ultra Short Term Bond
ETF |
$295,302 | $ (91,774) | $— | $ 290,486 | $— | $ 494,014 | |||||
|
SPDR MFS Systematic Core Equity
ETF |
— | — | — | 1,985,687 | — | 1,985,687 | |||||
|
SPDR MFS Systematic Growth Equity
ETF |
— | (217,513) | — | 1,826,646 | — | 1,609,133 | |||||
|
SPDR MFS Systematic Value Equity
ETF |
— | (545,308) | — | 864,071 | — | 318,763 |
As of June 30, 2019, the
following Funds had capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$10,841,879 | $27,029,359 | |
|
SPDR SSGA Income Allocation
ETF |
2,922,969 | — | |
|
SPDR SSGA Global Allocation
ETF |
3,996,620 | — | |
|
SPDR SSGA Ultra Short Term Bond
ETF |
84,839 | 6,935 | |
|
SPDR MFS Systematic Growth Equity
ETF |
217,513 | — | |
|
SPDR MFS Systematic Value Equity
ETF |
545,308 | — |
As of June 30, 2019,
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 |
$123,815,452 | $ 1,746,313 | $4,563,807 | $ (2,817,494) | |||
|
SPDR SSGA Income Allocation
ETF |
107,598,938 | 3,182,673 | 1,699,373 | 1,483,300 | |||
|
SPDR SSGA Global Allocation
ETF |
246,633,963 | 18,717,857 | 551,107 | 18,166,750 | |||
|
SPDR SSGA Ultra Short Term Bond
ETF |
165,973,250 | 329,618 | 39,132 | 290,486 | |||
|
SPDR MFS Systematic Core Equity
ETF |
37,095,230 | 2,792,564 | 806,877 | 1,985,687 | |||
|
SPDR MFS Systematic Growth Equity
ETF |
32,513,876 | 2,843,924 | 1,017,278 | 1,826,646 | |||
|
SPDR MFS Systematic Value Equity
ETF |
32,888,492 | 2,336,751 | 1,492,761 | 843,990 |
8. Securities Lending
Each Fund may lend securities to qualified
broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends,
determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each
loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional
collateral on the next business day.
The Funds
will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition,
a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned
securities.
The market value of securities on
loan as of June 30, 2019, and the value of the invested cash collateral are disclosed in the Funds' Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds’ Statements of Assets and Liabilities as it is held by
the lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earned
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
from the non-cash collateral and the investment of cash collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of each Fund’s
securities lending agreements and related cash and non-cash collateral received as of June 30, 2019:
| Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received* |
Total
Collateral Received | ||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$ 12,899,967 | $ 8,210,284 | $ 4,839,418 | $ 13,049,702 | ||||
|
SPDR SSGA Income Allocation ETF
|
5,166,085 | 4,478,400 | 809,588 | 5,287,988 | ||||
|
SPDR SSGA Global Allocation ETF
|
67,293,995 | 10,451,625 | 57,923,506 | 68,375,131 |
| * | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
The following table reflects a breakdown of
transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of June 30, 2019:
| Remaining
Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||
| Fund | Securities
Lending Transactions |
Overnight
and Continuous |
<30 Days | Between
30 & 90 Days |
>90 Days | Total
Borrowings |
Gross
Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
Mutual Funds and Exchange Traded Products | $ 8,210,284 | $— | $— | $— | $ 8,210,284 | $ 8,210,284 | |||||||
|
SPDR SSGA Income Allocation
ETF |
Mutual Funds and Exchange Traded Products | 4,478,400 | — | — | — | 4,478,400 | 4,478,400 | |||||||
|
SPDR SSGA Global Allocation
ETF |
Mutual Funds and Exchange Traded Products | 10,451,625 | — | — | — | 10,451,625 | 10,451,625 | |||||||
9. Line of Credit
Certain Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This
agreement expires in October 2019 unless extended or renewed.
The SPDR SSGA Ultra Short Term Bond ETF participates
in the credit facility as of period ended June 30, 2019.
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,
2019.
10. Risks
Concentration Risk
As a result of the Funds' 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 Funds' investments more than if the Funds were
more broadly diversified.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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 Funds invest. Foreign
markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest 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 Funds 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 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 August 2018, the U.S.
Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing
redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Funds have adopted the Final Rule for the current period with the most notable impacts being that the Funds are no longer
required to present components of distributable earnings on the Statements of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net
Assets.
For the period ended June 30, 2018,
distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
| Net
Investment Income |
Net
Realized Capital Gains |
Total
Distributions |
Undistributed
Net Investment Income (Loss) | ||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$2,524,937 | $ — | $2,524,937 | $ — | |||
|
SPDR SSGA Income Allocation
ETF |
2,983,228 | — | 2,983,228 | 302,435 | |||
|
SPDR SSGA Global Allocation
ETF |
5,038,036 | — | 5,038,036 | 335,901 | |||
|
SPDR SSGA Ultra Short Term Bond
ETF |
440,203 | — | 440,203 | 47,385 | |||
|
SPDR MFS Systematic Core Equity
ETF |
230,288 | 132,165 | 362,453 | — | |||
|
SPDR MFS Systematic Growth Equity
ETF |
390,903 | 110,197 | 501,100 | — | |||
|
SPDR MFS Systematic Value Equity
ETF |
261,180 | 111,415 | 372,595 | — |
12. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR SSGA Multi-Asset Real
Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF and the Board of
Trustees of SSGA Active Trust
Opinion on the
Financial Statements
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 SSGA Ultra Short Term Bond ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS
Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF (collectively referred to as the “Funds”) (seven of the funds constituting SSGA Active Trust (the “Trust”)), including the schedules of investments, as of
June 30, 2019, 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, the financial highlights for each of the five years in the period then ended
and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (seven of the funds
constituting SSGA Active Trust) at June 30, 2019, 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 their financial highlights for each of the five years
in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of
the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to
have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of
expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess
the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures
in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others
were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a
reasonable basis for our opinion.
We have served
as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 26, 2019
August 26, 2019
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SSGA ACTIVE TRUST
OTHER INFORMATION
June 30, 2019 (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, 2019 to June 30, 2019.
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 SSGA Multi-Asset Real Return
ETF |
0.12% | $1,114.60 | $0.63 | $1,024.20 | $0.60 | ||||
|
SPDR SSGA Income Allocation
ETF |
0.18 | 1,111.30 | 0.94 | 1,023.90 | 0.90 | ||||
|
SPDR SSGA Global Allocation
ETF |
0.15 | 1,121.10 | 0.79 | 1,024.10 | 0.75 | ||||
|
SPDR SSGA Ultra Short Term Bond
ETF |
0.20 | 1,018.40 | 1.00 | 1,023.80 | 1.00 | ||||
|
SPDR MFS Systematic Core Equity
ETF |
0.60 | 1,158.60 | 3.21 | 1,021.80 | 3.01 | ||||
|
SPDR MFS Systematic Growth Equity
ETF |
0.60 | 1,185.00 | 3.25 | 1,021.80 | 3.01 | ||||
|
SPDR MFS Systematic Value Equity
ETF |
0.60 | 1,124.60 | 3.16 | 1,021.80 | 3.01 | ||||
| (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. |
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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, 2019.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of
its net taxable income as eligible for the corporate dividends received deduction.
Qualified Business Income Deduction
Each Fund reports the maximum amount allowable of
qualified REIT dividends eligible for the 20% qualified business income deduction under Section 199A.
Qualified Dividend Income
A portion of dividends distributed by the Funds
during the fiscal year ended June 30, 2019 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 gain as qualified interest income.
Long Term Capital Gain Distributions
Long term capital gains dividends were paid from the
following Funds during the year ended June 30, 2019:
| Amount | |
|
SPDR MFS Systematic Core Equity
ETF |
$ 27,122 |
|
SPDR MFS Systematic Value Equity
ETF |
175,077 |
Foreign Tax Credit
For the year ended June 30, 2019, the following
Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders and accordingly have earned foreign source income:
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
Premium/Discount Information
Information regarding how often the Shares of each
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 www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting
policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the
SEC's website at www.sec.gov.
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Information regarding how the investment adviser
voted for the 12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds' website at www.spdrs.com.
Quarterly Portfolio Schedule
Following the Funds' first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov. The Funds’ schedules of investments are 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 Agreement
At in-person meetings held prior to June 30, 2019,
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 following series of SSGA Active Trust: SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR MFS Systematic Core Equity ETF,
SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF (the “Funds”). 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 to consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and
SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the
advice of counsel, deemed reasonably necessary. 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 Funds under the
Agreement, (ii) investment performance of the Funds, (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 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 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 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 Funds as
exchange-traded funds and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for portfolio
management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing each
Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business,
noting that the Adviser 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 in 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:
70
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
SPDR SSGA Multi-Asset Real Return ETF.The Board
considered that the Fund underperformed the median of its Performance Group for the 1-, 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund underperformed its benchmark index for the 1-, 3- and 5-year and since inception
periods.
SPDR SSGA Income Allocation ETF.The
Board considered that the Fund outperformed the median of its Performance Group for the 1-, 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund underperformed its benchmark index for the 1-, 3- and 5-year and since
inception periods.
SPDR SSGA Global Allocation
ETF. The Board considered that the Fund equaled the median of its Performance Group for the 1- and 5-year periods, but outperformed the median of its Performance Group for the 2-, 3- and 4- year periods. In addition, the Board considered that the
Fund underperformed its benchmark index for the 1-, 3- and 5-year and since inception periods.
SPDR SSGA Ultra Short Term Bond ETF. The Board
considered that the Fund outperformed the median of its Performance Group for the 1-year period, but underperformed the median of its Performance Group for the 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund
underperformed its benchmark index for the 1- and 3-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-, 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund underperformed its benchmark index for the 1- and 3-year and since inception
periods.
SPDR MFS Systematic Growth Equity
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 the Fund outperformed its benchmark index for the most recent 1-year period, but
underperformed its benchmark index for the 3-year and since inception periods.
SPDR MFS Systematic Value Equity ETF.The Board
considered that the Fund outperformed the median of its Performance Group for the 1-, 3-, and 4- year periods and equaled the median of its Performance Group for the 2- year period. In addition, the Board considered that the Fund underperformed its
benchmark index for the 1- and 3-year and since inception periods.
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.
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 Board, including 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.
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. The Board reviewed the universe of similar exchange-traded funds for each Fund based upon data
independently obtained from Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar exchange-traded funds. 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 Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
Economies of Scale
71
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
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 Agreement 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
After weighing the foregoing factors, none of which
was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for each Fund. The Board’s conclusions with respect to the factors 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 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) the fees paid to the Adviser adequately shared the economies of scale with respect to the Funds by way of the relatively low fee structure of the
Trust.
Approval of Massachusetts Financial
Services Company Sub-Advisory Agreement
At
in-person meetings held prior to June 30, 2019, the Board also evaluated a proposal to continue the Sub-Advisory Agreement (the “MFS Sub-Advisory Agreement”) 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 (the “MFS Funds”). The Independent
Trustees also met separately to consider the MFS Sub-Advisory Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the MFS Sub-Advisory Agreement, the
Board requested, and MFS and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the MFS Sub-Advisory Agreement, 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 Agreement 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 Agreement 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 SSGA Active Trust.
After weighing the foregoing factors as well as the
relevant factors discussed in relation to the MFS Sub-Advisory Agreement between the SSGA Active Trust and the Adviser, none of which was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the
Independent Trustees voting separately, approved the MFS Sub-Advisory Agreement for each MFS Fund. The Board’s conclusions with respect to the factors 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) the 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 Trust.
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| Trustees | ||||||||||
| Independent Trustees | ||||||||||
| FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
128 | Affiliated
Managers Group, Inc. (Director). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
128 | The
Motley Fool Funds Trust (Trustee). | |||||
| CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
128 | Putnam
Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
| SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
128 | Guggenheim/Rydex
Funds (Trustee). |
73
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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). |
189 | None. | |||||
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds 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. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
| 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* |
74
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||
| SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
| ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
| JAMES
GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). | |||
| KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
| DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
| CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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). | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). |
75
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||
| BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. | ||||||
| The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. | ||||||
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Table of Contents
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
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
Annual Report
June 30, 2019
SSGA Active Trust
| SPDR SSGA Fixed Income Sector Rotation ETF |
| SPDR SSGA US Sector Rotation ETF |
Beginning on January 1, 2021, as permitted by regulations
adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your
financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to
access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial
intermediary.
You may elect to receive all future reports
in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will
apply to all funds held in your account.
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
Table of Contents
TABLE OF CONTENTS
| Portfolio Statistics (Unaudited) | |
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1 |
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2 |
| Schedules of Investments | |
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3 |
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5 |
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7 |
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10 |
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12 |
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20 |
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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.
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Table of Contents
SPDR SSGA Fixed Income Sector Rotation ETF
Portfolio Statistics (Unaudited)
The Fund has less than six months of operations as of June 30,
2019, and, therefore, no performance information is provided in this report.
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| SPDR Bloomberg Barclays Mortgage Backed Bond ETF | 32.7% | ||
| SPDR Portfolio Long Term Corporate Bond ETF | 30.1 | ||
| SPDR Bloomberg Barclays Intermediate Term Treasury ETF | 13.6 | ||
| SPDR Portfolio Intermediate Term Corporate Bond ETF | 10.3 | ||
| SPDR Bloomberg Barclays High Yield Bond ETF | 5.2 | ||
| TOTAL | 91.9% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2019
| % of Net Assets | |||
| Domestic Fixed Income | 99.8% | ||
| Short Term Investments | 0.2 | ||
| Liabilities in Excess of Other Assets | (0.0)* | ||
| TOTAL | 100.0% | ||
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund's asset allocation is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1
Table of Contents
SPDR SSGA US Sector Rotation ETF
Portfolio Statistics (Unaudited)
The Fund has less than six months of operations as of June 30,
2019, and, therefore, no performance information is provided in this report.
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| The Health Care Select Sector SPDR Fund | 28.7% | ||
| The Technology Select Sector SPDR Fund | 26.5 | ||
| The Industrial Select Sector SPDR Fund | 24.1 | ||
| The Consumer Staples Select Sector SPDR Fund | 10.8 | ||
| The Real Estate Select Sector SPDR Fund | 9.6 | ||
| TOTAL | 99.7% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2019
| % of Net Assets | |||
| Domestic Equity | 99.7% | ||
| Short Term Investments | 0.3 | ||
| Liabilities in Excess of Other Assets | (0.0)* | ||
| TOTAL | 100.0% | ||
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund's asset allocation is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2
Table of Contents
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
| Security Description | Shares | Value | ||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
| DOMESTIC FIXED INCOME — 99.8% | ||||||
|
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
(a) |
3,742 | $ 342,805 | ||||
|
SPDR Bloomberg Barclays High Yield Bond ETF
(a) |
5,218 | 568,449 | ||||
|
SPDR Bloomberg Barclays Intermediate Term Treasury ETF
(a) |
23,909 | 1,477,576 | ||||
|
SPDR Bloomberg Barclays Mortgage Backed Bond ETF
(a) |
136,205 | 3,560,399 | ||||
|
SPDR Portfolio Intermediate Term Corporate Bond ETF
(a) |
31,956 | 1,116,223 | ||||
|
SPDR Portfolio Long Term Corporate Bond ETF
(a) |
114,074 | 3,279,628 | ||||
|
SPDR Portfolio Long Term Treasury ETF
(a) |
13,503 | 515,274 | ||||
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$10,550,612) |
10,860,354 | |||||
| SHORT-TERM INVESTMENT — 0.2% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost
$19,198) |
19,198 | 19,198 | ||||
|
TOTAL INVESTMENTS—100.0% (Cost
$10,569,810) |
10,879,552 | |||||
|
LIABILITIES IN EXCESS OF OTHER
ASSETS—(0.0)%(d) |
(2,749) | |||||
|
NET
ASSETS—100.0% |
$ 10,876,803 | |||||
| (a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
| (b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
| (c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
| (d) | Amount is less than 0.05% of net assets. |
| 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 |
$10,860,354 | $— | $— | $10,860,354 | ||||
|
Short-Term
Investment |
19,198 | — | — | 19,198 | ||||
|
TOTAL
INVESTMENTS |
$10,879,552 | $— | $— | $10,879,552 |
See accompanying notes to financial statements.
3
Table of Contents
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
Affiliate Table
| Number
of Shares Held at 4/3/2019* |
Value
at 4/3/2019* |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Barclays 1-3 Month T-Bill
ETF |
— | $— | $ 1,572,604 | $1,229,998 | $ (338) | $ 537 | 3,742 | $ 342,805 | $ 3,276 | ||||||||
|
SPDR Bloomberg Barclays High Yield Bond
ETF |
— | — | 1,024,699 | 467,954 | 2,199 | 9,505 | 5,218 | 568,449 | 5,950 | ||||||||
|
SPDR Bloomberg Barclays Intermediate Term Treasury
ETF |
— | — | 1,766,294 | 325,720 | 1,248 | 35,754 | 23,909 | 1,477,576 | 3,861 | ||||||||
|
SPDR Bloomberg Barclays Mortgage Backed Bond
ETF |
— | — | 3,617,070 | 101,228 | 272 | 44,285 | 136,205 | 3,560,399 | 9,778 | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
— | — | 1,096,395 | — | — | 19,828 | 31,956 | 1,116,223 | 1,941 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
— | — | 3,141,319 | 51,239 | (48) | 189,596 | 114,074 | 3,279,628 | 13,297 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
— | — | 889,563 | 383,342 | (1,184) | 10,237 | 13,503 | 515,274 | 116 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | — | 23,400 | 4,202 | — | — | 19,198 | 19,198 | 57 | ||||||||
|
Total |
$— | $13,131,344 | $2,563,683 | $ 2,149 | $309,742 | $10,879,552 | $38,276 |
| * | Commencement of operations. |
See accompanying notes to financial statements.
4
Table of Contents
SPDR SSGA US SECTOR ROTATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
| Security Description | Shares | Value | ||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% | ||||||
| DOMESTIC EQUITY — 99.7% | ||||||
|
The Consumer Staples Select Sector SPDR Fund
(a) |
26,360 | $ 1,530,725 | ||||
|
The Health Care Select Sector SPDR Fund
(a) |
43,744 | 4,052,444 | ||||
|
The Industrial Select Sector SPDR Fund
(a) |
43,980 | 3,404,932 | ||||
|
The Real Estate Select Sector SPDR Fund
(a) |
37,107 | 1,364,424 | ||||
|
The Technology Select Sector SPDR Fund
(a) |
47,988 | 3,744,984 | ||||
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$13,742,020) |
14,097,509 | |||||
| SHORT-TERM INVESTMENT — 0.3% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost
$43,535) |
43,535 | 43,535 | ||||
|
TOTAL INVESTMENTS—100.0% (Cost
$13,785,555) |
14,141,044 | |||||
|
LIABILITIES IN EXCESS OF OTHER
ASSETS—(0.0)%(d) |
(5,025) | |||||
|
NET
ASSETS—100.0% |
$ 14,136,019 | |||||
| (a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
| (b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
| (c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
| (d) | Amount is less than 0.05% of net assets. |
| 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 |
$14,097,509 | $— | $— | $14,097,509 | ||||
|
Short-Term
Investment |
43,535 | — | — | 43,535 | ||||
|
TOTAL
INVESTMENTS |
$14,141,044 | $— | $— | $14,141,044 |
See accompanying notes to financial statements.
5
Table of Contents
SPDR SSGA US SECTOR ROTATION ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
Affiliate Table
| Number
of Shares Held at 4/3/2019* |
Value
at 4/3/2019* |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | $— | $ 104,084 | $ 60,549 | $ — | $ — | 43,535 | $ 43,535 | $ 67 | ||||||||
|
The Communication Services Select Sector SPDR
Fund |
— | — | 711,798 | 708,078 | (3,720) | — | — | — | — | ||||||||
|
The Consumer Discretionary Select Sector SPDR
Fund |
— | — | 1,490,870 | 1,517,502 | 26,632 | — | — | — | — | ||||||||
|
The Consumer Staples Select Sector SPDR
Fund |
— | — | 1,552,369 | — | — | (21,644) | 26,360 | 1,530,725 | 11,823 | ||||||||
|
The Health Care Select Sector SPDR
Fund |
— | — | 3,909,448 | — | — | 142,996 | 43,744 | 4,052,444 | 17,426 | ||||||||
|
The Industrial Select Sector SPDR
Fund |
— | — | 3,309,588 | — | — | 95,344 | 43,980 | 3,404,932 | 14,840 | ||||||||
|
The Real Estate Select Sector SPDR
Fund |
— | — | 1,675,389 | 296,829 | (1,451) | (12,685) | 37,107 | 1,364,424 | 11,236 | ||||||||
|
The Technology Select Sector SPDR
Fund |
— | — | 4,718,564 | 1,149,022 | 23,964 | 151,478 | 47,988 | 3,744,984 | 13,355 | ||||||||
|
Total |
$— | $17,472,110 | $3,731,980 | $45,425 | $355,489 | $14,141,044 | $68,747 |
| * | Commencement of operations. |
See accompanying notes to financial statements.
6
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2019
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
| ASSETS | |||
|
Investments in affiliated issuers, at
value |
$10,879,552 | $14,141,044 | |
|
Dividends receivable — affiliated
issuers |
29 | 46 | |
|
TOTAL ASSETS
|
10,879,581 | 14,141,090 | |
| LIABILITIES | |||
|
Advisory fee
payable |
2,770 | 5,063 | |
|
Trustees’ fees and expenses
payable |
8 | 8 | |
|
TOTAL LIABILITIES
|
2,778 | 5,071 | |
|
NET ASSETS
|
$10,876,803 | $14,136,019 | |
| NET ASSETS CONSIST OF: | |||
|
Paid-in
Capital |
$10,567,402 | $13,728,143 | |
|
Total distributable earnings
(loss) |
309,401 | 407,876 | |
|
NET ASSETS
|
$10,876,803 | $14,136,019 | |
| NET ASSET VALUE PER SHARE | |||
|
Net asset value per
share |
$ 31.08 | $ 30.73 | |
|
Shares outstanding (unlimited amount authorized, no par
value) |
350,000 | 460,000 | |
| COST OF INVESTMENTS: | |||
|
Investments in affiliated
issuers |
$10,569,810 | $13,785,555 |
See accompanying notes to financial
statements.
7
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF
OPERATIONS
For the Period Ended June 30, 2019
| SPDR SSGA Fixed Income Sector Rotation ETF(a) | SPDR SSGA US Sector Rotation ETF(a) | ||
| INVESTMENT INCOME | |||
|
Dividend income — affiliated
issuers |
$ 38,276 | $ 68,747 | |
|
TOTAL INVESTMENT INCOME
(LOSS) |
38,276 | 68,747 | |
| EXPENSES | |||
|
Advisory
fee |
5,176 | 9,324 | |
|
Trustees’ fees and
expenses |
9 | 9 | |
|
TOTAL
EXPENSES |
5,185 | 9,333 | |
|
NET INVESTMENT INCOME
(LOSS) |
33,091 | 59,414 | |
| REALIZED AND UNREALIZED GAIN (LOSS) | |||
| Net realized gain (loss) on: | |||
|
Investments — affiliated
issuers |
2,149 | 45,425 | |
| Net change in unrealized appreciation/depreciation on: | |||
|
Investment — affiliated
issuers |
309,742 | 355,489 | |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
311,891 | 400,914 | |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$344,982 | $460,328 |
| (a) | For the period April 2, 2019 (inception date) through June 30, 2019. |
See accompanying notes to financial statements.
8
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
| For
the Period 04/02/19* - 6/30/19 |
For
the Period 04/02/19* - 6/30/19 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 33,091 | $ 59,414 | |
|
Net realized gain
(loss) |
2,149 | 45,425 | |
|
Net change in unrealized
appreciation/depreciation |
309,742 | 355,489 | |
|
Net increase (decrease) in net assets resulting from
operations |
344,982 | 460,328 | |
|
Net equalization credits and
charges |
173 | (7,742) | |
|
Distributions to
shareholders |
(36,040) | (52,452) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from sale of shares
sold |
10,567,861 | 13,728,143 | |
|
Net income
equalization |
(173) | 7,742 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
10,567,688 | 13,735,885 | |
|
Net increase (decrease) in net assets during the
period |
10,876,803 | 14,136,019 | |
|
Net assets at beginning of
period |
— | — | |
|
NET ASSETS AT END OF
PERIOD |
$10,876,803 | $14,136,019 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
350,000 | 460,000 |
| * Inception date. |
See accompanying notes to financial statements.
9
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR SSGA Fixed Income Sector Rotation ETF | |
| For
the Period 4/3/2019* - 6/30/19 | |
|
Net asset value, beginning of
period |
$ 30.10 |
| Income (loss) from investment operations: | |
|
Net investment income (loss)
(a) |
0.15 |
|
Net realized and unrealized gain (loss)
(b) |
0.99 |
|
Total from investment
operations |
1.14 |
|
Net equalization credits and charges
(a) |
0.00(c) |
| Distributions to shareholders from: | |
|
Net investment
income |
(0.16) |
|
Net asset value, end of
period |
$ 31.08 |
|
Total return
(d) |
3.81% |
| Ratios and Supplemental Data: | |
|
Net assets, end of period (in
000s) |
$10,877 |
| Ratios to average net assets: | |
|
Total expenses
(e) |
0.31%(f) |
|
Net investment income
(loss) |
1.98%(f) |
|
Portfolio turnover rate
(g)(h) |
32%(i) |
| * | Commencement of operations. |
| (a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
| (b) | 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. |
| (c) | Amount is less than $0.005 per share. |
| (d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (f) | Annualized. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (h) | Portfolio turnover rate does not include the activity of the Underlying Funds in which the Fund invests. |
| (i) | Not annualized. |
See accompanying notes to financial statements.
10
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA US Sector Rotation ETF | |
| For
the Period 4/3/2019* - 6/30/19 | |
|
Net asset value, beginning of
period |
$ 30.09 |
| Income (loss) from investment operations: | |
|
Net investment income (loss)
(a) |
0.23 |
|
Net realized and unrealized gain (loss)
(b) |
0.55 |
|
Total from investment
operations |
0.78 |
|
Net equalization credits and charges
(a) |
(0.03) |
| Distributions to shareholders from: | |
|
Net investment
income |
(0.11) |
|
Net asset value, end of
period |
$ 30.73 |
|
Total return
(c) |
2.50% |
| Ratios and Supplemental Data: | |
|
Net assets, end of period (in
000s) |
$14,136 |
| Ratios to average net assets: | |
|
Total expenses
(d) |
0.49%(e) |
|
Net investment income
(loss) |
3.12%(e) |
|
Portfolio turnover rate
(f)(g) |
39%(h) |
| * | Commencement of operations. |
| (a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
| (b) | 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. |
| (c) | Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (e) | Annualized. |
| (f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (g) | Portfolio turnover rate does not include the activity of the Underlying Funds in which the Fund invests. |
| (h) | Not annualized. |
See accompanying notes to financial statements.
11
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2019
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, 2019, the Trust consists of fourteen
(14) 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 Fixed Income Sector Rotation ETF |
| SPDR SSGA US Sector Rotation ETF |
Each Fund is classified as a diversified investment
company under the 1940 Act.
The SPDR SSGA
Fixed Income Sector Rotation ETF and SPDR SSGA US Sector Rotation ETF were formed on April 2, 2019 and commenced operations on April 3, 2019.
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.
12
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Security Valuation
Each Fund's investments are valued at fair value
each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE 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 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 Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each 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.
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 Fund's NAV and the prices used by the Funds' underlying benchmarks. Various inputs are used in determining the value of the Funds' investments.
The Funds 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;
13
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
• 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 Fund’s investments,
according to the fair value hierarchy as of June 30, 2019, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments 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.
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.
Equalization
Certain 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, 2019:
| SPDR SSGA Fixed Income Sector Rotation ETF |
| SPDR SSGA US Sector Rotation ETF |
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Distributions
Distributions from net investment income, if any,
are declared and paid quarterly for SPDR SSGA US Sector Rotation ETF. The SPDR SSGA Fixed Income Sector Rotation ETF declares and pays distributions to its shareholders monthly.
Net realized capital gains, if any, are distributed
annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”). 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 Trust on behalf of each Fund has entered into an
Investment Advisory Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee (“Management/Advisory 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 Fixed Income Sector Rotation
ETF |
0.50% |
|
SPDR SSGA US Sector Rotation
ETF |
0.70 |
The Advisory fee is
reduced for SPDR SSGA Fixed Income Sector Rotation ETF and SPDR SSGA US Sector Rotation ETF by any acquired fund fees and expenses attributable to the Funds' investments in other investment companies. For the period ended June 30, 2019, the net
annualized advisory fee was 0.31%, and 0.49%, respectively. For the period ended June 30, 2019, the amounts waived were $3,172 and $3,996, respectively.
The Adviser pays all the operating expenses of each
Fund other than the management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses and other
extraordinary expenses.
15
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Administrator, Custodian, Sub-Administrator 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.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Funds 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 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, 2019 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. Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions and short term investments) for the period ended June 30, 2019, were as follows:
| Purchases | Sales | ||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$2,544,280 | $2,559,482 | |
|
SPDR SSGA US Sector Rotation
ETF |
3,644,603 | 3,671,429 |
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
For the period ended June 30, 2019, the following
Funds had in-kind contributions and net realized gains/losses in the amounts as follows:
| In-kind
Contributions |
In-kind
Net Realized Gains/(Losses) | ||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$10,563,664 | $— | |
|
SPDR SSGA US Sector Rotation
ETF |
13,723,422 | — |
6. Shareholder
Transactions
Each Fund issues and redeems its
shares, at NAV, 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 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 Statements of Changes in Net Assets.
7. Income Tax Information
The Funds intend to qualify as regulated investment
companies under Subchapter M of the Internal Revenue Code. Each 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 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 (the “IRS”) 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 each Fund's tax positions and does not believe there are any uncertain tax positions that would
require recognition of a tax liability.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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 and wash sale loss deferrals.
The tax character of distributions paid during the
period ended June 30, 2019, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$36,040 | $— | $36,040 | ||
|
SPDR SSGA US Sector Rotation
ETF |
52,452 | — | 52,452 |
At June 30, 2019, 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 SSGA Fixed Income Sector Rotation
ETF |
$ — | $— | $— | $309,401 | $— | $309,401 | |||||
|
SPDR SSGA US Sector Rotation
ETF |
52,387 | — | — | 355,489 | — | 407,876 |
As of June 30, 2019,
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 Fixed Income Sector Rotation
ETF |
$10,570,151 | $309,401 | $ — | $309,401 | |||
|
SPDR SSGA US Sector Rotation
ETF |
13,785,555 | 389,818 | 34,329 | 355,489 |
8. Risks
Concentration Risk
As a result of the Funds' 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 Funds' investments more than if the were
more broadly diversified.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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 Funds invest. Foreign
markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest 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 Funds 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 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.
9. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
19
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SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR SSGA Fixed Income Sector
Rotation ETF and SPDR SSGA US Sector Rotation ETF and the Board of Trustees of SSGA Active Trust
Opinion on the Financial Statements
We have audited the accompanying statements of
assets and liabilities of SPDR SSGA Fixed Income Sector Rotation ETF and SPDR SSGA US Sector Rotation ETF (collectively, the “Funds”) (two of the funds constituting SSGA Active Trust (the “Trust”)), including the schedules of
investments, as of June 30, 2019, and the related statements of operations and changes in net assets for the period from April 2, 2019 (inception date) to June 30, 2019, the financial highlights for the period from April 3, 2019 (commencement of
operations) to June 30, 2019 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds
(two of the funds constituting SSGA Active Trust) at June 30, 2019, the results of their operations and changes in net assets for the period from April 2, 2019 (inception date) to June 30, 2019 and their financial highlights for the period from
April 3, 2019 (commencement of operations) to June 30, 2019, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of
the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to
have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of
expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess
the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis,
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SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
evidence regarding the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of June 30, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received.
Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for
our opinion.
We have served
as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 26, 2019
August 26, 2019
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SSGA ACTIVE TRUST
OTHER INFORMATION
June 30, 2019 (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, 2019 to June 30, 2019.
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 U.S. Securities and Exchange Commission (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.
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
|
Annualized Expense
Ratio |
0.31% | 0.49% | |
| Actual: | |||
|
Ending Account
Value |
$1,038.10 | $1,025.00 | |
|
Expenses Paid During
Period(a) |
0.77 | 1.21 | |
| Hypothetical (assuming a 5% return before expenses): | |||
|
Ending Account
Value |
1,023.30 | 1,022.40 | |
|
Expenses Paid During
Period(b) |
1.56 | 2.46 |
| (a) | Actual period is from commencement of operations on April 3, 2019. |
| (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. |
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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, 2019.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of
its net taxable income as eligible for the corporate dividends received deduction.
Qualified Business Income Deduction
Each Fund reports the maximum amount allowable of
qualified REIT dividends eligible for the 20% qualified business income deduction under Section 199A.
Qualified Dividend Income
A portion of dividends distributed by the Funds
during the fiscal year ended June 30, 2019 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 gain as qualified interest income.
Premium/Discount Information
Information regarding how often the Shares of each
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 www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting
policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the
SEC's website at www.sec.gov.
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Information regarding how the investment adviser
voted for the 12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds' website at www.spdrs.com.
Quarterly Portfolio Schedule
Following the Funds' first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov. The Funds’ schedules of investments are 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 Agreement
At in-person meetings held prior to June 30, 2019,
the Board of Trustees of the Trust (the “Board”) evaluated proposals related to the initial approval of advisory arrangements for new series of the Trust, including proposals to approve the Investment Advisory Agreement (the
“Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the SPDR SSGA US Sector Rotation ETF and the SPDR SSGA Fixed Income Sector Rotation ETF (each, a
“New ETF” and collectively, the “New ETFs”), each of which commenced operations during the period covered by this Annual Report. The Trustees who are not “interested persons” of the Trust within the meaning of the
Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and
SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the
advice of counsel, deemed reasonably necessary. 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 New ETFs under
the Agreement, (ii) fees charged to comparable funds, (iii) other benefits to the Adviser, and (iv) extent to which economies of scale would be shared as the New ETFs grow.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality
of services expected to be provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the
Adviser’s anticipated responsibilities for
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
managing investment operations of each New ETF in accordance with
each New ETF’s investment objective and policies, and applicable legal and regulatory requirements. The Board appreciated the nature of each New ETF 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, and regulatory compliance of each New ETF. The Board also
considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing each New ETF’s compliance with its investment objective 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 in overseeing third-party sub-advisers.
Fees Charged to Comparable Funds
The Board evaluated each New ETF’s proposed
unitary fee through review of comparative information with respect to fees paid by similar funds. The Board reviewed the universe of similar exchange-traded funds for each New 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 estimated expense ratio for each New ETF.
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 each New ETF’s assets grow in size. The Board noted that the Agreement does not provide for breakpoints in each New ETF’s advisory fee rate as assets of each New ETF increase. However,
the Board further noted the Adviser’s assertion that future economies of scale (among several factors) had been taken into consideration for each
26
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
New ETF by fixing a relatively low advisory fee, effectively
sharing the benefits of lower fees with each New ETF from the time of its 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, because each New ETF is new, there are no economies of scale to share, but it intends to continue to monitor fees as each New ETF grows in size and assess whether fee breakpoints may be warranted.
Conclusion
After weighing the foregoing factors, none of which
was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for each New ETF. The Board’s conclusions with respect to the factors were
as follows: (a) the nature and extent of the services expected to be provided by the Adviser with respect to each New ETF were appropriate; (b) the Adviser’s unitary fee for each New ETF, considered in relation to services expected to be
provided and in relation to fees charged to comparable funds, was fair and reasonable; and (c) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions.
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| Trustees | ||||||||||
| Independent Trustees | ||||||||||
| FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
128 | Affiliated
Managers Group, Inc. (Director). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
128 | The
Motley Fool Funds Trust (Trustee). | |||||
| CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
128 | Putnam
Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). |
28
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
128 | Guggenheim/Rydex
Funds (Trustee). | |||||
| Interested Trustee | ||||||||||
| JAMES
E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). |
189 | None. | |||||
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds 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. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | ||||||
| ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
| SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
| ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
| JAMES
GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
30
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||
| KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
| DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
| CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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). | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). |
31
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
| BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. | ||||||
| The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. | ||||||
32
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[This Page Intentionally Left Blank]
Table of Contents
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
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
Annual Report
June 30, 2019
SSGA Active Trust
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR DoubleLine Total Return Tactical ETF |
Beginning on January 1, 2021, as permitted by regulations
adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your
financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to
access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial
intermediary.
You may elect to receive all future reports
in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will
apply to all funds held in your account.
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
Table of Contents
TABLE OF CONTENTS
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| Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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5 |
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8 |
| Schedules of Investments | |
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12 |
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19 |
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41 |
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54 |
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61 |
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64 |
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76 |
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79 |
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
[This Page Intentionally Left Blank]
Table of Contents
Notes to Performance Summaries (Unaudited)
The performance chart of a 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. A Fund’s per share NAV is the value of one share of a 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 a Fund and the market return is based on the market price per share of a 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 a Fund are listed for trading, as of the time that a Fund’s NAV is calculated. NAV and
market returns assume that dividends and capital gain distributions have been reinvested in a 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, a Fund’s performance is negatively impacted
by these deductions. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
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.
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.
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.
See
accompanying notes to financial statements.
1
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 Markets Bond Index Broad Diversified (the “Index”).
For the 12-month period ended June 30, 2019, the total
return for the Fund was 9.99%, and the total return for the Index was 10.21%. 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.
Performance benefited by the Fund shifting portfolio
positioning during the 12-month period to longer duration, larger weighting in investment grade (IG) credits, and higher allocation to Latin American credits relative to the index. Higher allocation to Asian credits relative to the index detracted
from performance. Over the 12-month period, long-end U.S. Treasury yields fell more than front-end yields and IG credits outperformed their high yield counterparts.
Emerging markets' sovereign and corporate external bonds
posted positive performance for the 12-month period ended June 30, 2019 against a backdrop of wavering sentiment about US-China trade tensions, more dovish rhetoric from global central banks, and moderating global growth.
The Index's positive return for the 12-month period was driven
by lower Treasury yields which offset spread performance, with the spread over U.S. Treasuries widening 8 bps to 333 bps.
Latin America was the best performing region across the
corporate index, while the Middle East was the worst performing region.
The U.S. Treasury curve flattened over the 12-month period.
2 year U.S. Treasury yields fell 77 bps over the 12-month period to end at 1.75%, while 10 year U.S. Treasury yields fell 86 bps over the 12-month period to end at 2.01%.
The Fund did not invest in derivatives during the Reporting
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.
See accompanying notes to financial statements.
2
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| Cumulative Total Return | Average Annual Total Return | ||||||||
| Net
Asset Value |
Market
Value |
JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | Net
Asset Value |
Market
Value |
JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | ||||
| ONE YEAR | 9.99% | 9.93% | 10.21% | 9.99% | 9.93% | 10.21% | |||
| SINCE INCEPTION(1) | 21.83% | 22.12% | 21.06% | 6.33% | 6.41% | 6.13% | |||
| (1) | For the period April 13, 2016 to June 30, 2019. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR Doubleline Emerging Markets Fixed Income ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.76% (0.65% after fee waiver). SSGA Funds Management, Inc. has
contractually agreed to limit its management fee to the extent necessary to limit annual operating expenses to 0.65% until October 31, 2019.
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. See "Notes to Performance Summaries" on page 1 for more information.
See
accompanying notes to financial statements.
3
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Cometa
Energia SA de CV 6.38% 4/24/2035 |
2.5% | ||
| Perusahaan
Listrik Negara PT 5.50% 11/22/2021 |
2.5 | ||
| Pertamina
Persero PT 4.88% 5/3/2022 |
2.4 | ||
| Temasek
Financial I, Ltd. 2.38% 1/23/2023 |
2.2 | ||
| Syngenta
Finance NV 5.68% 4/24/2048 |
2.1 | ||
| TOTAL | 11.7% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of June 30,
2019
| % of Net Assets | |||
| Corporate Bonds & Notes | 86.5% | ||
| Foreign Government Obligations | 12.1 | ||
| Short-Term Investment | 0.1 | ||
| Other Assets in Excess of Liabilities | 1.3 | ||
| TOTAL | 100.0% |
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
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, 2019 (the “Reporting Period”), the total return for the Fund was 4.18%, and the total return for the Index was 4.28%. 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.
Allocations to Emerging Market Fixed Income and Investment
Grade Corporates were the largest positive contributors to performance. With respect to Emerging Market Fixed Income, our overweight to duration was a primary contributor to Fund performance. Investment Grade Corporates were the second best
performing sector, despite having a shorter duration than the Index and decreasing our target allocation over the Reporting Period. The underperformance of the Fund over the Reporting Period relative to the Index was a result of allocation to
shorter duration U.S. Treasuries during a period of falling yields. Additionally, the target allocation for U.S. Treasuries was decreased during the Reporting Period. As of June 30th 2019 the Fund’s largest sector allocation was Residential
Mortgage Backed Securities – with a 30.90% Agency and 2.50% Non-Agency split. This represents a 2.50% larger combined allocation than when the Reporting Period began. Over the course of the Reporting Period the Agency composition of RMBS
increased by 5.40% to 30.90% and Non-Agency composition increased by 1.10% to 2.50% of the Fund. The RMBS sector was unable to keep pace with the Index due to its shorter duration negative convexity during a period of a substantive fall in
rates.
The Fund did not invest in derivatives during the
Reporting 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.
See accompanying notes to financial statements.
5
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| 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 | 4.18% | 4.31% | 4.28% | 4.18% | 4.31% | 4.28% | |||
| SINCE INCEPTION(1) | 6.92% | 7.18% | 5.57% | 2.10% | 2.18% | 1.70% | |||
| (1) | For the period April 13, 2016 to June 30, 2019. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR Doubleline Short Duration Total Return Tactical ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50% (0.45% after fee waiver). SSGA Funds Management, Inc. has
contractually agreed to limit its management fee to the extent necessary to limit annual operating expenses to 0.45% until October 31, 2019.
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. See "Notes to Performance Summaries" on page 1 for more information.
See
accompanying notes to financial statements.
6
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Treasury
Bill 2.39% 10/10/2019 |
5.0% | ||
| Treasury
Bill 2.36% 10/3/2019 |
4.9 | ||
| Treasury
Bill 2.48% 11/7/2019 |
3.4 | ||
| Treasury
Notes 2.25% 12/31/2023 |
3.3 | ||
| Treasury
Bill 2.13% 9/5/2019 |
3.3 | ||
| TOTAL | 19.9% |
(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,
2019
| % of Net Assets | |||
| U.S. Treasury Obligations | 28.5% | ||
| Corporate Bonds & Notes | 28.4 | ||
| U.S. Government Agency Obligations | 23.1 | ||
| Mortgage-Backed Securities | 10.4 | ||
| Asset-Backed Securities | 3.3 | ||
| Foreign Government Obligations | 0.9 | ||
| Senior Floating Rate Loans | 0.0 * | ||
| Short-Term Investment | 5.1 | ||
| Other Assets in Excess of Liabilities | 0.3 | ||
| TOTAL | 100.0% |
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
7
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”) seeks to maximize total return. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended June 30, 2019 (the
“Reporting Period”), the total return for the Fund was 6.53%, and the total return for the Index was 7.87%. 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 underperformance can be attributed to its
allocation to shorter duration U.S. Treasuries relative to the benchmark in a period of falling yields. Allocations to Emerging Market and Investment Grade Corporates were the best performing sectors of the Fund during the Reporting Period. With
respect to Emerging Market exposure, the period between January and June exhibited significant spread tightening amidst a favorable fundamental and technical environment for the sector. In addition, Investment Grade Corporates experienced
significant spread tightening during a period of falling U.S. Treasury yields. The target allocation for Emerging Market Fixed Income was increased during the Reporting Period and duration for the sector increased by 0.54 years to 4.62 years, which
remains lower than that of the benchmark. Investment Grade Corporate target allocations remained unchanged and was the second best performing sector. The Residential Mortgage Backed Securities sector, which is the Fund’s largest allocation
– comprised of 45.50% Agency and 4.30% Non-Agency targets – underperformed the overall Index. In aggregate, the Fund maintained a lower duration than that of the Index and during a period of falling U.S. Treasury yields created a
difficult environment in which to outperform.
The Fund
did not invest in derivatives during the Reporting 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.
See accompanying notes to financial statements.
8
Table of Contents
SPDR DoubleLine Total Return Tactical ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| Cumulative Total Return | Average Annual Total Return | ||||||||
| Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate Bond Index | Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate Bond Index | ||||
| ONE YEAR | 6.53% | 6.92% | 7.87% | 6.53% | 6.92% | 7.87% | |||
| SINCE INCEPTION(1) | 12.23% | 12.61% | 12.50% | 2.69% | 2.77% | 2.75% | |||
| (1) | For the period February 23, 2015 to June 30, 2019. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR Doubleline Total Return Tactical ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.65% (0.55% after fee waiver). SSGA Funds Management, Inc. has contractually
agreed to limit its management fee to the extent necessary to limit annual operating expenses to 0.55% until October 31, 2019.
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. See "Notes to Performance Summaries" on page 1 for more information.
See
accompanying notes to financial statements.
9
Table of Contents
SPDR DoubleLine Total Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Treasury
Bill 2.51% 2/27/2020 |
2.8% | ||
| Treasury
Bill 2.51% 1/2/2020 |
2.8 | ||
| Treasury
Bill 2.39% 10/17/2019 |
2.7 | ||
| Treasury
Notes 2.13% 2/29/2024 |
2.4 | ||
| Treasury
Notes 2.13% 7/31/2024 |
2.2 | ||
| TOTAL | 12.9% |
(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,
2019
| % of Net Assets | |||
| U.S. Government Agency Obligations | 40.5% | ||
| U.S. Treasury Obligations | 23.3 | ||
| Mortgage-Backed Securities | 5.0 | ||
| Commercial Mortgage Backed Securities | 4.2 | ||
| Asset-Backed Securities | 2.1 | ||
| Foreign Government Obligations | 1.1 | ||
| Banks | 3.3 | ||
| Oil & Gas | 1.6 | ||
| Telecommunications | 1.5 | ||
| Electric | 1.5 | ||
| Health Care Services | 1.0 | ||
| Diversified Financial Services | 1.0 | ||
| Food | 0.9 | ||
| Media | 0.7 | ||
| Pipelines | 0.7 | ||
| Software | 0.6 | ||
| Chemicals | 0.6 | ||
| Real Estate Investment Trusts | 0.6 | ||
| Pharmaceuticals | 0.6 | ||
| Commercial Services | 0.5 | ||
| Retail | 0.5 | ||
| Lodging | 0.5 | ||
| Insurance | 0.4 | ||
| Mining | 0.4 | ||
| Internet | 0.4 | ||
| Energy-Alternate Sources | 0.3 | ||
| Agriculture | 0.3 | ||
| Transportation | 0.3 | ||
| Packaging & Containers | 0.2 | ||
| Forest Products & Paper | 0.2 | ||
| Machinery-Diversified | 0.2 | ||
| Airlines | 0.2 | ||
| Beverages | 0.2 |
See accompanying notes to financial statements.
10
Table of Contents
SPDR DoubleLine Total Return Tactical ETF
Portfolio Statistics (Unaudited) (continued)
| % of Net Assets | |||
| Leisure Time | 0.2% | ||
| Entertainment | 0.1 | ||
| Auto Parts & Equipment | 0.1 | ||
| Gas | 0.1 | ||
| Health Care Products | 0.1 | ||
| Investment Company Security | 0.1 | ||
| Iron/Steel | 0.1 | ||
| Aerospace & Defense | 0.1 | ||
| Machinery, Construction & Mining | 0.1 | ||
| Environmental Control | 0.1 | ||
| Building Materials | 0.1 | ||
| Auto Manufacturers | 0.1 | ||
| Food Service | 0.1 | ||
| Oil & Gas Services | 0.1 | ||
| Biotechnology | 0.1 | ||
| IT Services | 0.1 | ||
| Trucking & Leasing | 0.1 | ||
| Real Estate | 0.1 | ||
| Coal | 0.1 | ||
| Miscellaneous Manufacturer | 0.1 | ||
| Household Products & Wares | 0.1 | ||
| Toys/Games/Hobbies | 0.1 | ||
| Construction Materials | 0.0* | ||
| Engineering & Construction | 0.0* | ||
| Electronics | 0.0* | ||
| Distribution & Wholesale | 0.0* | ||
| Computers | 0.0* | ||
| Holding Companies-Divers | 0.0* | ||
| Home Furnishings | 0.0* | ||
| Hand & Machine Tools | 0.0* | ||
| Electrical Components & Equipment | 0.0* | ||
| Apparel | 0.0* | ||
| Home Builders | 0.0* | ||
| Metal Fabricate & Hardware | 0.0* | ||
| Short-Term Investment | 2.5 | ||
| Liabilities in Excess of Other Assets | (0.2) | ||
| TOTAL | 100.0% |
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
11
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments
June 30, 2019
| Security Description | Principal
Amount |
Value | ||||
| CORPORATE BONDS & NOTES — 86.5% | ||||||
| ARGENTINA — 3.3% | ||||||
|
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a) |
$ 800,000 | $ 688,824 | ||||
|
Pampa Energia SA Series REGS, 7.50%,
1/24/2027 |
750,000 | 696,278 | ||||
| YPF SA: | ||||||
|
Series REGS, 6.95%,
7/21/2027 |
200,000 | 182,088 | ||||
|
Series REGS, 8.50%,
7/28/2025 |
550,000 | 550,033 | ||||
| 2,117,223 | ||||||
| BRAZIL — 5.7% | ||||||
|
Banco BTG Pactual SA 5 Year CMT + 5.26%, 7.75%, 2/15/2029
(a) |
500,000 | 522,265 | ||||
|
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024
(a) |
1,000,000 | 950,690 | ||||
|
Braskem Finance, Ltd. 6.45%,
2/3/2024 |
600,000 | 663,576 | ||||
|
CSN Islands XII Corp. Series REGS, 7.00%,
9/23/2019 |
900,000 | 810,117 | ||||
|
CSN Resources SA 7.63%, 4/17/2026
(b) |
200,000 | 211,680 | ||||
|
MARB BondCo PLC Series REGS, 6.88%,
1/19/2025 |
300,000 | 312,018 | ||||
|
Votorantim Cimentos International SA Series REGS, 7.25%,
4/5/2041 |
200,000 | 238,350 | ||||
| 3,708,696 | ||||||
| CANADA — 0.5% | ||||||
|
Canacol Energy, Ltd. Series REGS, 7.25%,
5/3/2025 |
200,000 | 208,220 | ||||
|
Stoneway Capital Corp. Series REGS, 10.00%,
3/1/2027 |
138,826 | 130,988 | ||||
| 339,208 | ||||||
| CAYMAN ISLANDS — 1.3% | ||||||
|
CK Hutchison Capital Securities 17, Ltd. Series REGS, 5 Year CMT + 2.07%, 4.00%, 5/12/2022
(a) |
837,000 | 835,820 | ||||
| CHILE — 7.3% | ||||||
|
Banco del Estado de Chile 2.67%, 1/8/2021
(b) |
300,000 | 300,810 | ||||
|
Banco Santander Chile Series REGS, 3.88%,
9/20/2022 |
263,000 | 272,778 | ||||
|
Celulosa Arauco y Constitucion SA 5.50%, 4/30/2049
(b) |
400,000 | 422,640 | ||||
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
173,900 | 180,675 | ||||
|
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%,
8/1/2026 |
1,100,000 | 1,154,406 | ||||
|
GNL Quintero SA Series REGS, 4.63%,
7/31/2029 |
200,000 | 211,310 | ||||
|
Inversiones CMPC SA Series REGS, 4.50%,
4/25/2022 |
700,000 | 725,431 | ||||
|
SACI Falabella Series REGS, 3.75%,
4/30/2023 |
1,000,000 | 1,026,010 | ||||
|
Sociedad Quimica y Minera de Chile SA Series REGS, 4.38%,
1/28/2025 |
400,000 | 420,736 | ||||
| 4,714,796 | ||||||
See accompanying notes to financial statements.
12
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| CHINA — 3.3% | |||||
|
CNOOC Finance 2011, Ltd. Series REGS, 4.25%,
1/26/2021 |
$ 200,000 | $ 205,178 | |||
|
CNPC General Capital, Ltd. Series REGS, 3.95%,
4/19/2022 |
300,000 | 310,443 | |||
|
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025 |
600,000 | 558,912 | |||
| Sinopec Group Overseas Development 2016, Ltd.: | |||||
|
Series REGS, 2.75%,
5/3/2021 |
400,000 | 401,160 | |||
|
Series REGS, 2.75%,
9/29/2026 |
700,000 | 684,012 | |||
| 2,159,705 | |||||
| COLOMBIA — 2.9% | |||||
|
Banco de Bogota SA Series REGS, 6.25%,
5/12/2026 |
200,000 | 220,786 | |||
|
Bancolombia SA 6.13%,
7/26/2020 |
400,000 | 412,788 | |||
|
Grupo Aval, Ltd. Series REGS, 4.75%,
9/26/2022 |
1,200,000 | 1,239,684 | |||
| 1,873,258 | |||||
| HONG KONG — 0.6% | |||||
|
CK Hutchison International 17, Ltd. Series REGS, 2.88%,
4/5/2022 |
400,000 | 403,376 | |||
| INDIA — 9.6% | |||||
| Adani Ports & Special Economic Zone, Ltd.: | |||||
|
Series REGS, 3.50%,
7/29/2020 |
500,000 | 502,865 | |||
|
Series REGS, 3.95%,
1/19/2022 |
400,000 | 408,096 | |||
| Bharat Petroleum Corp., Ltd.: | |||||
|
Series EMTN, 4.00%,
5/8/2025 |
500,000 | 514,200 | |||
|
4.63%,
10/25/2022 |
600,000 | 631,662 | |||
|
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%,
3/11/2023 |
700,000 | 736,274 | |||
|
Bharti Airtel, Ltd. Series REGS, 4.38%,
6/10/2025 |
500,000 | 507,550 | |||
|
Indian Oil Corp., Ltd. 5.75%,
8/1/2023 |
800,000 | 875,624 | |||
|
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026 |
600,000 | 607,845 | |||
|
ONGC Videsh, Ltd. 4.63%,
7/15/2024 |
250,000 | 264,354 | |||
|
Reliance Holding USA, Inc. Series REGS, 5.40%,
2/14/2022 |
800,000 | 848,896 | |||
|
Vedanta Resources PLC Series REGS, 6.13%,
8/9/2024 |
400,000 | 366,716 | |||
| 6,264,082 | |||||
| INDONESIA — 5.2% | |||||
|
Pertamina Persero PT Series REGS, 4.88%,
5/3/2022 |
1,500,000 | 1,581,120 | |||
|
Perusahaan Listrik Negara PT Series REGS, 5.50%,
11/22/2021 |
1,500,000 | 1,592,700 | |||
|
Star Energy Geothermal Wayang Windu, Ltd. Series REGS, 6.75%,
4/24/2033 |
191,600 | 193,539 | |||
| 3,367,359 |
See accompanying notes to financial statements.
13
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| IRELAND — 0.8% | |||||
|
C&W Senior Financing DAC 7.50%, 10/15/2026
(b) |
$ 500,000 | $ 523,345 | |||
| ISRAEL — 0.3% | |||||
|
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024
(b) |
200,000 | 216,546 | |||
| JAMAICA — 0.1% | |||||
|
Digicel Group Two, Ltd. PIK, 9.13%, 4/1/2024
(b) |
401,711 | 90,385 | |||
| LUXEMBOURG — 2.7% | |||||
|
JSL Europe SA Series REGS, 7.75%,
7/26/2024 |
300,000 | 308,631 | |||
|
Minerva Luxembourg SA Series REGS, 5.88%,
1/19/2028 |
600,000 | 599,580 | |||
|
Raizen Fuels Finance SA Series REGS, 5.30%,
1/20/2027 |
800,000 | 852,272 | |||
| 1,760,483 | |||||
| MALAYSIA — 7.3% | |||||
|
Axiata SPV2 Bhd Series 2, 3.47%,
11/19/2020 |
1,000,000 | 1,010,974 | |||
| Gohl Capital, Ltd.: | |||||
|
4.25%,
1/24/2027 |
800,000 | 823,502 | |||
|
4.25%,
1/24/2027 |
200,000 | 206,062 | |||
|
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(a) |
1,000,000 | 1,014,630 | |||
|
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%,
4/22/2025 |
800,000 | 823,288 | |||
|
Malaysia Sukuk Global Bhd Series REGS, 3.18%,
4/27/2026 |
250,000 | 256,865 | |||
|
Petronas Capital, Ltd. Series REGS, 3.50%,
3/18/2025 |
600,000 | 627,066 | |||
| 4,762,387 | |||||
| MAURITIUS — 0.9% | |||||
|
UPL Corp., Ltd. 4.50%,
3/8/2028 |
550,000 | 561,121 | |||
| MEXICO — 10.9% | |||||
|
Banco Mercantil del Norte SA Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028
(a) |
700,000 | 716,212 | |||
|
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028
(a)(b) |
350,000 | 370,797 | |||
| BBVA Bancomer SA: | |||||
|
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033
(a) |
1,000,000 | 954,650 | |||
|
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(a) |
200,000 | 197,038 | |||
|
Coca-Cola Femsa SAB de CV 3.88%,
11/26/2023 |
300,000 | 315,633 | |||
|
Cometa Energia SA de CV Series REGS, 6.38%,
4/24/2035 |
1,560,000 | 1,607,393 | |||
| Credito Real SAB de CV: | |||||
|
9.50%, 2/7/2026
(b) |
400,000 | 440,928 | |||
|
Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(a) |
200,000 | 202,354 | |||
|
El Puerto de Liverpool SAB de CV 3.88%,
10/6/2026 |
400,000 | 395,588 | |||
|
Fomento Economico Mexicano SAB de CV 2.88%,
5/10/2023 |
600,000 | 598,698 |
See accompanying notes to financial statements.
14
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Grupo Idesa SA de CV Series REGS, 7.88%,
12/18/2020 |
$ 200,000 | $ 149,512 | |||
|
Mexichem SAB de CV Series REGS, 5.88%,
9/17/2044 |
400,000 | 414,884 | |||
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(a) |
800,000 | 734,712 | |||
| 7,098,399 | |||||
| NETHERLANDS — 4.7% | |||||
| Minejesa Capital B.V.: | |||||
|
Series REGS, 4.63%,
8/10/2030 |
800,000 | 810,440 | |||
|
Series REGS, 5.63%,
8/10/2037 |
800,000 | 842,136 | |||
|
Syngenta Finance NV Series REGS, 5.68%,
4/24/2048 |
1,400,000 | 1,383,046 | |||
| 3,035,622 | |||||
| PANAMA — 4.1% | |||||
|
Aeropuerto Internacional de Tocumen SA 5.63%,
5/18/2036 |
530,000 | 592,275 | |||
|
Banco General SA Series REGS, 4.13%,
8/7/2027 |
600,000 | 610,614 | |||
|
Empresa de Transmision Electrica SA 5.13%, 5/2/2049
(b) |
500,000 | 545,825 | |||
| Global Bank Corp.: | |||||
|
Series REGS, 4.50%,
10/20/2021 |
600,000 | 617,094 | |||
|
3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029
(a)(b) |
300,000 | 313,104 | |||
| 2,678,912 | |||||
| PERU — 1.7% | |||||
|
BBVA Banco Continental SA Series REGS, 5.00%,
8/26/2022 |
100,000 | 106,018 | |||
|
Kallpa Generacion SA Series REGS, 4.13%,
8/16/2027 |
1,000,000 | 1,029,010 | |||
| 1,135,028 | |||||
| PHILIPPINES — 1.5% | |||||
| BDO Unibank, Inc.: | |||||
|
Series EMTN, 2.63%,
10/24/2021 |
450,000 | 448,283 | |||
|
Series EMTN, 2.95%,
3/6/2023 |
500,000 | 499,000 | |||
| 947,283 | |||||
| SINGAPORE — 8.9% | |||||
| DBS Group Holdings, Ltd.: | |||||
|
Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(a) |
1,300,000 | 1,294,800 | |||
|
USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(a) |
300,000 | 299,490 | |||
|
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039
(b) |
400,000 | 456,640 | |||
|
ONGC Videsh Vankorneft Pte, Ltd. 2.88%,
1/27/2022 |
400,000 | 398,355 | |||
|
PSA International Pte, Ltd. Series GMTN, 3.88%,
2/11/2021 |
650,000 | 666,376 | |||
|
Temasek Financial I, Ltd. Series REGS, 2.38%,
1/23/2023 |
1,400,000 | 1,409,044 | |||
| United Overseas Bank, Ltd.: |
See accompanying notes to financial statements.
15
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | ||||
|
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(a) |
$ 1,100,000 | $ 1,083,863 | ||||
|
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026
(a) |
200,000 | 202,146 | ||||
| 5,810,714 | ||||||
| SPAIN — 2.1% | ||||||
| AI Candelaria Spain SLU: | ||||||
|
7.50%, 12/15/2028
(b) |
400,000 | 438,328 | ||||
|
Series REGS, 7.50%,
12/15/2028 |
823,000 | 904,518 | ||||
| 1,342,846 | ||||||
| UNITED KINGDOM — 0.6% | ||||||
|
Radiant Access, Ltd. 4.60%,
5/18/2020 |
400,000 | 388,716 | ||||
| UNITED STATES — 0.2% | ||||||
|
Freeport-McMoRan, Inc. 5.40%,
11/14/2034 |
100,000 | 95,311 | ||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$54,438,157) |
56,230,621 | |||||
| FOREIGN GOVERNMENT OBLIGATIONS — 12.1% | ||||||
| ARGENTINA — 2.1% | ||||||
| Argentine Republic Government International Bond: | ||||||
|
5.88%,
1/11/2028 |
200,000 | 151,682 | ||||
|
6.63%,
7/6/2028 |
350,000 | 271,022 | ||||
|
6.88%,
1/26/2027 |
650,000 | 518,817 | ||||
|
Provincia de Buenos Aires Series REGS, 7.88%,
6/15/2027 |
600,000 | 444,402 | ||||
| 1,385,923 | ||||||
| CHILE — 1.3% | ||||||
| Chile Government International Bond: | ||||||
|
3.13%,
3/27/2025 |
200,000 | 208,224 | ||||
|
3.13%,
1/21/2026 |
600,000 | 624,564 | ||||
| 832,788 | ||||||
| COLOMBIA — 0.4% | ||||||
|
Colombia Government International Bond 5.20%,
5/15/2049 |
200,000 | 227,490 | ||||
| INDIA — 0.8% | ||||||
|
Export-Import Bank of India Series EMTN, 4.00%,
1/14/2023 |
500,000 | 516,363 | ||||
| INDONESIA — 3.0% | ||||||
|
Indonesia Government International Bond 3.75%,
4/25/2022 |
1,000,000 | 1,026,210 | ||||
|
Perusahaan Penerbit SBSN Indonesia III Series 144A, 4.15%, 3/29/2027
(b) |
900,000 | 942,678 | ||||
| 1,968,888 | ||||||
See accompanying notes to financial statements.
16
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| MEXICO — 1.6% | |||||
| Mexico Government International Bond: | |||||
|
3.75%,
1/11/2028 |
$ 200,000 | $ 203,726 | |||
|
4.00%,
10/2/2023 |
300,000 | 313,212 | |||
|
4.15%,
3/28/2027 |
500,000 | 523,680 | |||
| 1,040,618 | |||||
| PANAMA — 1.3% | |||||
|
Panama Government International Bond 4.00%,
9/22/2024 |
800,000 | 853,032 | |||
| PERU — 0.3% | |||||
|
Fondo MIVIVIENDA SA Series REGS, 3.50%,
1/31/2023 |
200,000 | 203,406 | |||
| PHILIPPINES — 1.3% | |||||
| Philippine Government International Bond: | |||||
|
4.00%,
1/15/2021 |
300,000 | 307,893 | |||
|
4.20%,
1/21/2024 |
500,000 | 538,870 | |||
| 846,763 | |||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$8,038,447) |
7,875,271 |
| Shares | |||
| SHORT-TERM INVESTMENT — 0.1% | |||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c) (d) (Cost
$85,220) |
85,220 | 85,220 | |
|
TOTAL INVESTMENTS — 98.7% (Cost
$62,561,824) |
64,191,112 | ||
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.3%
|
859,152 | ||
|
NET ASSETS — 100.0%
|
$ 65,050,264 | ||
| (a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 8.1% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
See accompanying notes to financial
statements.
17
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
June 30, 2019
| CMT | = Constant Maturity Treasury |
| LIBOR | = London Interbank Offered Rate |
| PIK | = Payment in Kind |
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $56,230,621 | $— | $56,230,621 | ||||
|
Foreign Government
Obligations |
— | 7,875,271 | — | 7,875,271 | ||||
|
Short-Term
Investment |
85,220 | — | — | 85,220 | ||||
|
TOTAL
INVESTMENTS |
$85,220 | $64,105,892 | $— | $64,191,112 |
Affiliate Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
3,529,453 | $3,529,453 | $34,252,365 | $37,696,598 | $— | $— | 85,220 | $85,220 | $57,496 |
See accompanying notes to financial statements.
18
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| CORPORATE BONDS & NOTES — 28.4% | |||||
| ADVERTISING — 0.3% | |||||
|
Omnicom Group, Inc./Omnicom Capital, Inc. 3.63%,
5/1/2022 |
$ 375,000 | $ 386,842 | |||
| AEROSPACE & DEFENSE — 0.4% | |||||
|
Bombardier, Inc. 6.00%, 10/15/2022
(a) |
45,000 | 45,193 | |||
|
Northrop Grumman Corp. 2.08%,
10/15/2020 |
392,000 | 391,385 | |||
| TransDigm, Inc.: | |||||
|
6.25%, 3/15/2026
(a) |
50,000 | 52,389 | |||
|
6.38%,
6/15/2026 |
25,000 | 25,194 | |||
| 514,161 | |||||
| AGRICULTURE — 0.7% | |||||
|
Altria Group, Inc. 3.49%,
2/14/2022 |
215,000 | 220,788 | |||
|
BAT Capital Corp. 2.30%,
8/14/2020 |
520,000 | 518,877 | |||
|
Reynolds American, Inc. 3.25%,
6/12/2020 |
65,000 | 65,442 | |||
| 805,107 | |||||
| AIRLINES — 0.5% | |||||
|
Delta Air Lines, Inc. 3.40%,
4/19/2021 |
410,000 | 415,572 | |||
|
Latam Finance, Ltd. Series REGS, 6.88%,
4/11/2024 |
200,000 | 208,132 | |||
| 623,704 | |||||
| AUTO MANUFACTURERS — 0.8% | |||||
|
Allison Transmission, Inc. 5.00%, 10/1/2024
(a) |
85,000 | 86,887 | |||
|
Daimler Finance North America LLC 2.30%, 2/12/2021
(a) |
560,000 | 558,006 | |||
|
General Motors Financial Co., Inc. 3.20%,
7/6/2021 |
370,000 | 372,705 | |||
| 1,017,598 | |||||
| AUTO PARTS & EQUIPMENT — 0.0% (b) | |||||
|
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. 6.25%, 5/15/2026
(a) |
55,000 | 57,155 |
See accompanying notes to financial statements.
19
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| BANKS — 5.2% | |||||
| Banco de Credito del Peru: | |||||
|
Series REGS, 4.25%,
4/1/2023 |
$ 100,000 | $ 104,766 | |||
|
Series REGS, 5.38%,
9/16/2020 |
90,000 | 92,741 | |||
|
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%,
2/1/2023 |
150,000 | 154,685 | |||
|
Banco Mercantil del Norte SA Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022
(c) |
200,000 | 202,458 | |||
|
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028
(a)
(c) |
200,000 | 211,884 | |||
|
Bancolombia SA 5 Year CMT + 2.93%, 4.88%, 10/18/2027
(c) |
200,000 | 205,010 | |||
|
Bank of America Corp. Series MTN, 3 Month USD LIBOR + 0.79%, 3.27%, 3/5/2024
(c) |
370,000 | 370,244 | |||
|
Bank of Montreal Series MTN, 2.90%,
3/26/2022 |
405,000 | 411,253 | |||
|
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(c) |
200,000 | 197,038 | |||
|
BDO Unibank, Inc. Series EMTN, 2.63%,
10/24/2021 |
200,000 | 199,237 | |||
|
Citigroup, Inc. 3 Month USD LIBOR + 1.02%, 3.54%, 6/1/2024
(c) |
605,000 | 608,146 | |||
|
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(c) |
200,000 | 199,200 | |||
|
Global Bank Corp. Series REGS, 4.50%,
10/20/2021 |
200,000 | 205,698 | |||
|
Itau Unibanco Holding SA Series REGS, 6.20%,
12/21/2021 |
200,000 | 212,398 | |||
|
JPMorgan Chase & Co. 3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023
(c) |
400,000 | 408,020 | |||
|
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(c) |
200,000 | 203,088 | |||
|
Mitsubishi UFJ Financial Group, Inc. 3.22%,
3/7/2022 |
305,000 | 311,423 | |||
|
Morgan Stanley 3 Month USD LIBOR + 0.93%, 3.52%, 7/22/2022
(c) |
595,000 | 598,695 | |||
|
Oversea-Chinese Banking Corp., Ltd. Series REGS, 4.25%,
6/19/2024 |
200,000 | 211,068 | |||
|
Sumitomo Mitsui Financial Group, Inc. 2.06%,
7/14/2021 |
600,000 | 596,874 | |||
|
Toronto-Dominion Bank Series MTN, 3.25%,
6/11/2021 |
395,000 | 402,865 |
See accompanying notes to financial statements.
20
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
United Overseas Bank, Ltd. Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027
(c) |
$ 200,000 | $ 199,402 | |||
| 6,306,193 | |||||
| BEVERAGES — 0.0% (b) | |||||
|
Cott Holdings, Inc. 5.50%, 4/1/2025
(a) |
60,000 | 61,133 | |||
| BUILDING MATERIALS — 0.0% (b) | |||||
|
Builders FirstSource, Inc. 5.63%, 9/1/2024
(a) |
50,000 | 51,511 | |||
| CHEMICALS — 0.5% | |||||
|
DowDuPont, Inc. 3.77%,
11/15/2020 |
140,000 | 142,661 | |||
|
Sherwin-Williams Co. 2.25%,
5/15/2020 |
212,000 | 211,585 | |||
|
UPL Corp., Ltd. Series REGS, 3.25%,
10/13/2021 |
200,000 | 200,638 | |||
| 554,884 | |||||
| COAL — 0.1% | |||||
|
Peabody Energy Corp. 6.00%, 3/31/2022
(a) |
70,000 | 71,767 | |||
| COMMERCIAL SERVICES — 0.8% | |||||
|
Allied Universal Holdco LLC/Allied Universal Finance Corp. 6.63%,
7/15/2026 |
50,000 | 50,812 | |||
|
Cintas Corp. No. 2 2.90%,
4/1/2022 |
590,000 | 599,405 | |||
|
Financial & Risk US Holdings, Inc. 6.25%, 5/15/2026
(a) |
65,000 | 66,901 | |||
|
Garda World Security Corp. 8.75%, 5/15/2025
(a) |
50,000 | 49,527 | |||
|
Star Merger Sub, Inc. 6.88%, 8/15/2026
(a) |
50,000 | 52,820 | |||
| United Rentals North America, Inc.: | |||||
|
5.25%,
1/15/2030 |
35,000 | 35,997 | |||
|
6.50%,
12/15/2026 |
55,000 | 59,489 | |||
|
Verscend Escrow Corp. 9.75%, 8/15/2026
(a) |
50,000 | 52,005 | |||
| 966,956 | |||||
| COMPUTERS — 0.0% (b) | |||||
|
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025
(a) |
50,000 | 51,507 |
See accompanying notes to financial statements.
21
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| DIVERSIFIED FINANCIAL SERVICES — 1.5% | |||||
|
Air Lease Corp. 2.50%,
3/1/2021 |
$ 185,000 | $ 184,944 | |||
|
American Express Co. 3.70%,
11/5/2021 |
400,000 | 411,936 | |||
|
Banco BTG Pactual SA Series REGS, 5.75%,
9/28/2022 |
200,000 | 207,388 | |||
|
Capital One Financial Corp. 2.40%,
10/30/2020 |
502,000 | 502,447 | |||
|
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 6.38%,
12/15/2025 |
35,000 | 35,775 | |||
|
Lions Gate Capital Holdings LLC 6.38%, 2/1/2024
(a) |
70,000 | 73,562 | |||
|
NFP Corp. 6.88%, 7/15/2025
(a) |
75,000 | 74,186 | |||
|
Springleaf Finance Corp. 6.63%,
1/15/2028 |
40,000 | 42,001 | |||
|
Unifin Financiera SAB de CV 7.25%,
9/27/2023 |
200,000 | 206,400 | |||
|
Wand Merger Corp. 8.13%, 7/15/2023
(a) |
50,000 | 50,945 | |||
| 1,789,584 | |||||
| ELECTRIC — 2.0% | |||||
|
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%,
5/11/2026 |
200,000 | 216,872 | |||
|
AES Gener SA USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079
(a)
(c) |
200,000 | 213,746 | |||
|
Calpine Corp. 5.25%, 6/1/2026
(a) |
55,000 | 55,996 | |||
| Consolidated Edison, Inc.: | |||||
|
2.00%,
5/15/2021 |
445,000 | 442,819 | |||
|
Series A, 2.00%,
3/15/2020 |
50,000 | 49,821 | |||
|
Israel Electric Corp., Ltd. Series REGS, 6.88%,
6/21/2023 |
200,000 | 227,202 | |||
|
NextEra Energy Capital Holdings, Inc. 2.90%,
4/1/2022 |
390,000 | 396,123 | |||
|
NRG Energy, Inc. 5.25%, 6/15/2029
(a) |
40,000 | 42,698 | |||
|
Pampa Energia SA Series REGS, 7.38%,
7/21/2023 |
100,000 | 97,082 |
See accompanying notes to financial statements.
22
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Perusahaan Listrik Negara PT Series REGS, 5.50%,
11/22/2021 |
$ 200,000 | $ 212,360 | |||
|
PSEG Power LLC 3.85%,
6/1/2023 |
330,000 | 343,814 | |||
|
Vistra Operations Co. LLC 5.63%, 2/15/2027
(a) |
100,000 | 105,860 | |||
| 2,404,393 | |||||
| ENGINEERING & CONSTRUCTION — 0.1% | |||||
|
AECOM 5.13%,
3/15/2027 |
100,000 | 103,996 | |||
| ENTERTAINMENT — 0.1% | |||||
|
Cedar Fair L.P. 5.25%, 7/15/2029
(a) |
40,000 | 40,892 | |||
|
Scientific Games International, Inc. 5.00%, 10/15/2025
(a) |
80,000 | 80,780 | |||
| 121,672 | |||||
| ENVIRONMENTAL CONTROL — 0.4% | |||||
|
Clean Harbors, Inc. 4.88%, 7/15/2027
(a)
(d) |
40,000 | 40,716 | |||
|
GFL Environmental, Inc. 8.50%, 5/1/2027
(a) |
25,000 | 26,882 | |||
|
Tervita Escrow Corp. 7.63%, 12/1/2021
(a) |
50,000 | 50,845 | |||
|
Waste Management, Inc. 2.95%,
6/15/2024 |
365,000 | 375,052 | |||
| 493,495 | |||||
| FOOD — 1.2% | |||||
|
Albertsons Cos. LLC/Safeway, Inc./New Albertson's Inc./Albertson's LLC 7.50%, 3/15/2026
(a) |
65,000 | 69,418 | |||
|
B&G Foods, Inc. 5.25%,
4/1/2025 |
50,000 | 50,516 | |||
|
Grupo Bimbo SAB de CV Series REGS, 5 Year CMT + 3.28%, 5.95%, 4/17/2023
(c) |
200,000 | 210,126 | |||
|
JBS Investments GmbH Series REGS, 7.25%,
4/3/2024 |
200,000 | 207,776 | |||
| JBS USA LUX SA/JBS USA Finance, Inc.: | |||||
|
5.75%, 6/15/2025
(a) |
5,000 | 5,198 | |||
|
5.88%, 7/15/2024
(a) |
10,000 | 10,289 | |||
|
6.75%, 2/15/2028
(a) |
50,000 | 54,288 |
See accompanying notes to financial statements.
23
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 6.50%, 4/15/2029
(a) |
$ 40,000 | $ 43,448 | |||
|
MARB BondCo PLC Series REGS, 7.00%,
3/15/2024 |
200,000 | 208,000 | |||
|
Mondelez International, Inc. 3.00%,
5/7/2020 |
410,000 | 411,857 | |||
|
Pilgrim's Pride Corp. 5.88%, 9/30/2027
(a) |
70,000 | 72,397 | |||
| Post Holdings, Inc.: | |||||
|
5.50%, 3/1/2025
(a) |
60,000 | 62,048 | |||
|
5.50%, 12/15/2029
(a)
(d) |
20,000 | 20,115 | |||
| 1,425,476 | |||||
| FOOD SERVICE — 0.1% | |||||
|
Aramark Services, Inc. 5.00%, 2/1/2028
(a) |
100,000 | 102,844 | |||
| FOREST PRODUCTS & PAPER — 0.2% | |||||
|
Inversiones CMPC SA/Cayman Islands Branch Series REGS, 4.38%,
5/15/2023 |
200,000 | 207,922 | |||
| HAND & MACHINE TOOLS — 0.1% | |||||
|
Colfax Corp. 6.38%, 2/15/2026
(a) |
70,000 | 75,167 | |||
| HEALTH CARE PRODUCTS — 0.6% | |||||
|
Avantor, Inc. 9.00%, 10/1/2025
(a) |
65,000 | 72,390 | |||
|
Thermo Fisher Scientific, Inc. 3.60%,
8/15/2021 |
595,000 | 608,685 | |||
| 681,075 | |||||
| HEALTH CARE SERVICES — 0.6% | |||||
|
Anthem, Inc. 2.50%,
11/21/2020 |
360,000 | 360,612 | |||
|
Centene Escrow I Corp. 5.38%, 6/1/2026
(a) |
100,000 | 105,260 | |||
|
Eagle Holding Co. II LLC 7.75%, 5/15/2022
(a) |
35,000 | 35,467 | |||
|
HCA, Inc. 5.38%,
9/1/2026 |
75,000 | 80,796 | |||
|
MPH Acquisition Holdings LLC 7.13%, 6/1/2024
(a) |
50,000 | 46,853 |
See accompanying notes to financial statements.
24
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
WellCare Health Plans, Inc. 5.38%, 8/15/2026
(a) |
$ 75,000 | $ 79,606 | |||
| 708,594 | |||||
| HOLDING COMPANIES-DIVERS — 0.2% | |||||
|
CK Hutchison Capital Securities 17, Ltd. Series REGS, 5 Year CMT + 2.07%, 4.00%, 5/12/2022
(c) |
200,000 | 199,718 | |||
| HOME FURNISHINGS — 0.1% | |||||
|
Tempur Sealy International, Inc. 5.50%,
6/15/2026 |
75,000 | 77,776 | |||
| INSURANCE — 0.6% | |||||
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 8.25%, 8/1/2023
(a) |
50,000 | 51,206 | |||
|
Marsh & McLennan Cos., Inc. 3 Month USD LIBOR + 1.20%, 3.52%, 12/29/2021
(c) |
305,000 | 305,116 | |||
| Prudential Financial, Inc.: | |||||
|
Series MTN, 4.50%,
11/15/2020 |
325,000 | 334,968 | |||
|
Series MTN, 4.50%,
11/16/2021 |
75,000 | 78,789 | |||
| 770,079 | |||||
| INTERNET — 0.3% | |||||
|
eBay, Inc. 2.75%,
1/30/2023 |
370,000 | 371,961 | |||
|
Match Group, Inc. 5.00%, 12/15/2027
(a) |
55,000 | 57,673 | |||
| 429,634 | |||||
| INVESTMENT COMPANY SECURITY — 0.4% | |||||
|
Grupo de Inversiones Suramericana SA Series REGS, 5.70%,
5/18/2021 |
200,000 | 209,802 | |||
|
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 6.25%, 5/15/2026
(a) |
55,000 | 55,554 | |||
|
Temasek Financial I, Ltd. Series REGS, 2.38%,
1/23/2023 |
250,000 | 251,615 | |||
| 516,971 | |||||
| LEISURE TIME — 0.1% | |||||
|
Viking Cruises, Ltd. 5.88%, 9/15/2027
(a) |
65,000 | 65,798 | |||
| LODGING — 0.1% | |||||
|
Hilton Domestic Operating Co., Inc. 4.25%,
9/1/2024 |
65,000 | 66,030 |
See accompanying notes to financial statements.
25
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| MEDIA — 0.8% | |||||
|
CCO Holdings LLC/CCO Holdings Capital Corp. 5.75%, 2/15/2026
(a) |
$ 95,000 | $ 99,925 | |||
|
Cengage Learning, Inc. 9.50%, 6/15/2024
(a) |
50,000 | 47,864 | |||
|
Comcast Corp. 3.45%,
10/1/2021 |
350,000 | 360,122 | |||
|
CSC Holdings LLC 5.25%,
6/1/2024 |
100,000 | 103,887 | |||
|
Gray Escrow, Inc. 7.00%, 5/15/2027
(a) |
50,000 | 54,215 | |||
| iHeartCommunications, Inc.: | |||||
|
6.38%,
5/1/2026 |
15,000 | 15,915 | |||
|
8.38%,
5/1/2027 |
10,000 | 10,467 | |||
| Sirius XM Radio, Inc.: | |||||
|
5.38%, 7/15/2026
(a) |
70,000 | 72,631 | |||
|
5.50%, 7/1/2029
(a) |
30,000 | 30,809 | |||
|
VTR Finance B.V. Series REGS, 6.88%,
1/15/2024 |
200,000 | 206,658 | |||
| 1,002,493 | |||||
| MINING — 0.3% | |||||
|
Freeport-McMoRan, Inc. 4.55%,
11/14/2024 |
200,000 | 204,536 | |||
|
Vedanta Resources PLC Series REGS, 7.13%,
5/31/2023 |
200,000 | 197,306 | |||
| 401,842 | |||||
| MISCELLANEOUS MANUFACTURER — 0.3% | |||||
|
General Electric Co. 2.70%,
10/9/2022 |
320,000 | 319,542 | |||
| OIL & GAS — 1.8% | |||||
|
CNOOC Finance 2013, Ltd. 3.00%,
5/9/2023 |
200,000 | 201,924 | |||
|
CNPC General Capital, Ltd. Series REGS, 3.95%,
4/19/2022 |
200,000 | 206,962 | |||
|
Ecopetrol SA 5.88%,
9/18/2023 |
200,000 | 221,446 | |||
|
Gulfport Energy Corp. 6.38%,
5/15/2025 |
45,000 | 34,808 | |||
|
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028
(a) |
45,000 | 45,334 |
See accompanying notes to financial statements.
26
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Indian Oil Corp., Ltd. 5.63%,
8/2/2021 |
$ 200,000 | $ 210,974 | |||
|
Indigo Natural Resources LLC 6.88%, 2/15/2026
(a) |
25,000 | 22,500 | |||
|
Oasis Petroleum, Inc. 6.88%,
3/15/2022 |
20,000 | 19,959 | |||
|
ONGC Videsh, Ltd. 3.75%,
5/7/2023 |
200,000 | 204,385 | |||
|
Parkland Fuel Corp. 5.88%, 7/15/2027
(a)
(d) |
40,000 | 40,717 | |||
|
Parsley Energy LLC/Parsley Finance Corp. 5.63%, 10/15/2027
(a) |
70,000 | 73,229 | |||
|
Pertamina Persero PT Series REGS, 4.88%,
5/3/2022 |
200,000 | 210,816 | |||
|
Petrobras Global Finance B.V. 5.30%,
1/27/2025 |
150,000 | 159,132 | |||
|
QEP Resources, Inc. 5.63%,
3/1/2026 |
40,000 | 37,580 | |||
|
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.00%,
9/29/2021 |
200,000 | 197,474 | |||
|
Sunoco L.P./Sunoco Finance Corp. 6.00%, 4/15/2027
(a) |
70,000 | 73,476 | |||
|
Transocean Poseidon, Ltd. 6.88%, 2/1/2027
(a) |
75,000 | 79,325 | |||
|
Transocean, Inc. 7.25%, 11/1/2025
(a) |
25,000 | 23,756 | |||
|
YPF SA Series REGS, 8.50%,
3/23/2021 |
150,000 | 153,026 | |||
| 2,216,823 | |||||
| OIL & GAS SERVICES — 0.3% | |||||
|
Schlumberger Holdings Corp. 3.75%, 5/1/2024
(a) |
290,000 | 302,551 | |||
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027
(a) |
80,000 | 83,974 | |||
| 386,525 | |||||
| PACKAGING & CONTAINERS — 0.6% | |||||
|
Crown Americas LLC/Crown Americas Capital Corp. 4.75%,
2/1/2026 |
75,000 | 77,075 | |||
|
Flex Acquisition Co., Inc. 6.88%, 1/15/2025
(a) |
30,000 | 27,160 |
See accompanying notes to financial statements.
27
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Packaging Corp. of America 2.45%,
12/15/2020 |
$ 590,000 | $ 589,546 | |||
| 693,781 | |||||
| PHARMACEUTICALS — 2.1% | |||||
|
AstraZeneca PLC 2.38%,
11/16/2020 |
605,000 | 605,508 | |||
| Bausch Health Cos., Inc.: | |||||
|
5.75%, 8/15/2027
(a) |
50,000 | 52,530 | |||
|
7.00%, 1/15/2028
(a) |
35,000 | 36,255 | |||
|
7.25%, 5/30/2029
(a) |
35,000 | 36,384 | |||
|
Bristol-Myers Squibb Co. 2.60%, 5/16/2022
(a) |
395,000 | 399,795 | |||
|
Cardinal Health, Inc. 2.62%,
6/15/2022 |
595,000 | 598,475 | |||
|
Cigna Corp. 3.40%, 9/17/2021
(a) |
385,000 | 392,457 | |||
|
CVS Health Corp. 2.80%,
7/20/2020 |
385,000 | 386,024 | |||
| 2,507,428 | |||||
| PIPELINES — 0.3% | |||||
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027
(a) |
90,000 | 89,994 | |||
|
Cheniere Energy Partners L.P. 5.63%, 10/1/2026
(a) |
90,000 | 94,959 | |||
|
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%, 4/15/2026
(a) |
25,000 | 26,022 | |||
|
Oleoducto Central SA Series REGS, 4.00%,
5/7/2021 |
200,000 | 203,512 | |||
| 414,487 | |||||
| REAL ESTATE INVESTMENT TRUSTS — 0.2% | |||||
|
ESH Hospitality, Inc. 5.25%, 5/1/2025
(a) |
75,000 | 76,772 | |||
|
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. 5.75%, 2/1/2027
(a) |
50,000 | 53,853 | |||
|
MPT Operating Partnership L.P./MPT Finance Corp. 5.25%,
8/1/2026 |
70,000 | 73,470 | |||
| 204,095 |
See accompanying notes to financial statements.
28
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| RETAIL — 0.4% | |||||
|
1011778 BC ULC/New Red Finance, Inc. 5.00%, 10/15/2025
(a) |
$ 50,000 | $ 50,437 | |||
|
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025
(a) |
75,000 | 74,245 | |||
|
Carvana Co. 8.88%, 10/1/2023
(a) |
20,000 | 20,196 | |||
|
Golden Nugget, Inc. 6.75%, 10/15/2024
(a) |
60,000 | 61,807 | |||
|
PetSmart, Inc. 5.88%, 6/1/2025
(a) |
50,000 | 48,495 | |||
|
SACI Falabella Series REGS, 3.75%,
4/30/2023 |
200,000 | 205,202 | |||
|
Staples, Inc. 7.50%, 4/15/2026
(a) |
60,000 | 59,576 | |||
| 519,958 | |||||
| SEMICONDUCTORS — 0.6% | |||||
|
Analog Devices, Inc. 2.95%,
1/12/2021 |
390,000 | 393,416 | |||
|
Microchip Technology, Inc. 3.92%,
6/1/2021 |
385,000 | 392,119 | |||
| 785,535 | |||||
| SOFTWARE — 0.2% | |||||
|
CDK Global, Inc. 5.25%, 5/15/2029
(a) |
15,000 | 15,514 | |||
|
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC 10.00%, 11/30/2024
(a) |
45,000 | 48,934 | |||
|
Informatica LLC 7.13%, 7/15/2023
(a) |
80,000 | 81,354 | |||
|
SS&C Technologies, Inc. 5.50%, 9/30/2027
(a) |
85,000 | 88,281 | |||
| 234,083 | |||||
| TELECOMMUNICATIONS — 1.6% | |||||
|
AT&T, Inc. 2.80%,
2/17/2021 |
360,000 | 362,254 | |||
|
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%,
3/11/2023 |
200,000 | 210,364 | |||
|
C&W Senior Financing DAC Series REGS, 7.50%,
10/15/2026 |
200,000 | 209,338 |
See accompanying notes to financial statements.
29
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
CommScope Finance LLC 5.50%, 3/1/2024
(a) |
$ 75,000 | $ 76,963 | |||
|
Comunicaciones Celulares SA Via Comcel Trust 6.88%,
2/6/2024 |
200,000 | 207,020 | |||
|
Frontier Communications Corp. 8.00%, 4/1/2027
(a) |
50,000 | 52,051 | |||
|
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.88%, 5/1/2024
(a) |
50,000 | 51,321 | |||
|
GTT Communications, Inc. 7.88%, 12/31/2024
(a) |
50,000 | 40,866 | |||
|
Level 3 Financing, Inc. 5.38%,
1/15/2024 |
70,000 | 71,559 | |||
|
Millicom International Cellular SA Series REGS, 6.00%,
3/15/2025 |
200,000 | 207,600 | |||
|
Sprint Capital Corp. 6.88%,
11/15/2028 |
50,000 | 51,378 | |||
|
Sprint Corp. 7.13%,
6/15/2024 |
50,000 | 53,047 | |||
|
T-Mobile USA, Inc. 4.50%,
2/1/2026 |
75,000 | 76,867 | |||
|
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 3.62%, 5/15/2025
(c) |
330,000 | 334,184 | |||
| 2,004,812 | |||||
| TRANSPORTATION — 0.5% | |||||
|
FedEx Corp. 3.40%,
1/14/2022 |
235,000 | 240,967 | |||
|
Union Pacific Corp. 3.20%,
6/8/2021 |
390,000 | 397,258 | |||
| 638,225 | |||||
| TRUCKING & LEASING — 0.4% | |||||
| Avolon Holdings Funding, Ltd.: | |||||
|
3.63%, 5/1/2022
(a) |
355,000 | 359,757 | |||
|
5.25%, 5/15/2024
(a) |
100,000 | 106,707 | |||
| 466,464 | |||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$33,890,084) |
34,504,835 | ||||
| ASSET-BACKED SECURITIES — 3.3% | |||||
| AUTOMOBILE — 0.3% | |||||
|
Westlake Automobile Receivables Trust Series 2017-2A, Class C, 2.59%, 12/15/2022
(a) |
400,000 | 400,170 |
See accompanying notes to financial statements.
30
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| OTHER ABS — 3.0% | |||||
|
Ajax Mortgage Loan Trust Series 2018-E, Class A, 4.38%, 6/25/2058
(a)
(c) |
$ 491,665 | $ 497,155 | |||
|
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.54%, 6/15/2028
(a)
(c) |
71,000 | 71,377 | |||
|
BSPRT Issuer, Ltd. Series 2019-FL5, Class A, 1 Month USD LIBOR + 1.15%, 3.63%, 5/15/2029
(a) |
100,000 | 100,031 | |||
|
Consumer Loan Underlying Bond Credit Trust 2018-P1 Series 2018-P1, Class A, 3.39%, 7/15/2025
(a) |
228,948 | 229,556 | |||
|
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 3.52%, 5/15/2028
(a)
(c) |
100,000 | 99,850 | |||
|
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 3.89%, 5/9/2036
(a)
(c) |
100,000 | 100,125 | |||
|
Marathon CRE 2018 FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.54%, 6/15/2028
(a)
(c) |
100,000 | 100,000 | |||
| Marlette Funding Trust: | |||||
|
Series 2019-2A, Class A, 3.13%, 7/16/2029
(a) |
500,000 | 502,859 | |||
|
Series 2018-3A, Class A, 3.20%, 9/15/2028
(a) |
235,562 | 236,247 | |||
|
OneMain Financial Issuance Trust Series 2017-1A, Class A1, 2.37%, 9/14/2032
(a) |
250,000 | 249,511 | |||
|
Sofi Consumer Loan Program 2018-2 Trust Series 2018-2, Class A1, 2.93%, 4/26/2027
(a) |
70,578 | 70,628 | |||
| Sofi Consumer Loan Program LLC: | |||||
|
Series 2017-6, Class A2, 2.82%, 11/25/2026
(a) |
300,000 | 300,534 | |||
|
Series 2017-1, Class A, 3.28%, 1/26/2026
(a) |
129,965 | 130,810 | |||
|
Textainer Marine Containers VII, Ltd. Series 2019-1A, Class A, 3.96%, 4/20/2044
(a) |
493,333 | 508,688 | |||
|
Vericrest Opportunity Loan Trust Series 2019-NPL3, Class A1, 3.97%, 3/25/2049
(a)
(e) |
391,737 | 394,566 | |||
| 3,591,937 | |||||
|
TOTAL ASSET-BACKED SECURITIES (Cost
$3,961,402) |
3,992,107 | ||||
| FOREIGN GOVERNMENT OBLIGATIONS — 0.9% | |||||
| BRAZIL — 0.3% | |||||
|
Banco Bradesco (Cayman) 5.90%,
1/16/2021 |
200,000 | 207,958 |
See accompanying notes to financial statements.
31
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Brazilian Government International Bond 4.88%,
1/22/2021 |
$ 200,000 | $ 207,188 | |||
| 415,146 | |||||
| COLOMBIA — 0.2% | |||||
|
Colombia Government International Bond 4.38%,
7/12/2021 |
200,000 | 207,144 | |||
| DOMINICAN REPUBLIC — 0.2% | |||||
|
Dominican Republic International Bond Series REGS, 7.50%,
5/6/2021 |
200,000 | 210,862 | |||
| INDONESIA — 0.2% | |||||
|
Indonesia Government International Bond Series REGS, 4.88%,
5/5/2021 |
200,000 | 207,746 | |||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$1,040,245) |
1,040,898 | ||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 23.1% | |||||
| Federal Home Loan Mortgage Corp.: | |||||
|
3.50%,
9/1/2032 |
749,238 | 775,248 | |||
|
Series 264, Class F1, 1 Month USD LIBOR + 0.55%, 2.94%, 7/15/2042
(c) |
1,971,471 | 1,982,105 | |||
|
Series 4125, Class FH, 1 Month USD LIBOR + 0.35%, 2.74%, 11/15/2042
(c) |
763,940 | 759,097 | |||
|
Series 3798, Class FG, CMO, 1 Month USD LIBOR + 0.51%, 2.90%, 1/15/2041
(c) |
2,490,082 | 2,499,434 | |||
|
Series 4030, Class AN, CMO, REMIC, 1.75%,
4/15/2027 |
1,671,912 | 1,653,894 | |||
|
Series 4060, Class QA, CMO, REMIC, 1.50%,
9/15/2026 |
585,885 | 579,250 | |||
|
Series 4125, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.35%, 2.74%, 11/15/2042
(c) |
441,067 | 438,275 | |||
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030 |
285,569 | 281,383 | |||
|
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045 |
629,200 | 642,254 | |||
|
Series 4738, Class LA, CMO, REMIC, 3.00%,
11/15/2043 |
873,369 | 884,016 | |||
|
Series 4764, Class WF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.22%, 2/15/2048
(c) |
906,074 | 901,382 | |||
|
Series K722, Class X1, IO, 1.44%, 3/25/2023
(c) |
478,547 | 18,334 | |||
| Federal National Mortgage Association: | |||||
|
3.00%,
11/1/2033 |
1,673,774 | 1,708,824 | |||
|
3.00%,
11/1/2036 |
513,763 | 523,325 | |||
|
Series 2010-141, Class FB, 1 Month USD LIBOR + 0.47%, 2.87%, 12/25/2040
(c) |
313,611 | 314,038 | |||
|
Series 2012-56, Class FA, CMO, 1 Month USD LIBOR + 0.55%, 2.95%, 6/25/2042
(c) |
1,815,558 | 1,829,863 |
See accompanying notes to financial statements.
32
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Series 2018-77, Class FA, CMO, 1 Month USD LIBOR + 0.30%, 2.70%, 10/25/2048
(c) |
$ 876,831 | $ 870,813 | |||
|
Series 2007-54, Class FW, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.65%, 6/25/2037
(c) |
676,670 | 671,446 | |||
|
Series 2012-32, Class DA, CMO, REMIC, 2.00%,
11/25/2026 |
1,909,020 | 1,901,211 | |||
|
Series 2015-59, Class A, CMO, REMIC, 3.00%,
6/25/2041 |
466,994 | 473,280 | |||
|
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 2.54%, 3/25/2046
(c) |
624,932 | 622,729 | |||
|
Series 2017-13, Class ML, CMO, REMIC, 3.00%,
8/25/2041 |
809,976 | 820,373 | |||
|
Series 2017-2, Class HA, CMO, REMIC, 3.00%,
9/25/2041 |
740,932 | 750,485 | |||
|
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.70%, 12/25/2047
(c) |
864,693 | 857,992 | |||
|
Series 2018-30, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.70%, 5/25/2048
(c) |
874,642 | 870,271 | |||
|
Series 2018-39, Class EF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.70%, 6/25/2048
(c) |
826,780 | 824,018 | |||
|
Series 2018-39, Class FG, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.65%, 11/25/2033
(c) |
808,443 | 800,532 | |||
|
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.20%, 6/25/2048
(c) |
822,903 | 817,275 | |||
| Government National Mortgage Association: | |||||
|
Series 2014-94, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.63%, 9/20/2035
(c) |
713,255 | 709,036 | |||
|
Series 2017-116, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.74%, 11/20/2043
(c) |
584,640 | 581,712 | |||
|
Series 2017-116, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.63%, 5/20/2044
(c) |
695,221 | 691,489 | |||
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$28,111,134) |
28,053,384 | ||||
| U.S. TREASURY OBLIGATIONS — 28.5% | |||||
| Treasury Bill: | |||||
|
2.13%,
9/5/2019 |
4,000,000 | 3,984,734 | |||
|
2.25%,
7/11/2019 |
870,000 | 869,544 | |||
|
2.36%,
10/3/2019 |
6,000,000 | 5,967,528 | |||
|
2.39%,
10/10/2019 |
6,110,000 | 6,074,631 | |||
|
2.48%,
11/7/2019 |
4,080,000 | 4,050,180 | |||
|
2.52%,
8/15/2019 |
3,770,000 | 3,760,342 | |||
| Treasury Notes: | |||||
|
1.63%,
4/30/2023 |
3,530,000 | 3,515,935 | |||
|
2.25%,
3/31/2020 |
2,300,000 | 2,303,863 |
See accompanying notes to financial statements.
33
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
2.25%,
12/31/2023 |
$ 3,920,000 | $ 4,004,831 | |||
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$34,335,729) |
34,531,588 | ||||
| MORTGAGE-BACKED SECURITIES — 10.4% | |||||
|
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%,
1/25/2037 |
375,404 | 313,350 | |||
|
AREIT Trust Series 2018-CRE1, Class B, 1 Month USD LIBOR + 1.65%, 4.05%, 2/14/2035
(a)
(c) |
81,000 | 81,127 | |||
|
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 5.44%, 12/15/2036
(a)
(c) |
36,000 | 36,274 | |||
|
Atrium Hotel Portfolio Trust 2018-ATRM Series 2018-ATRM, Class A, 1 Month USD LIBOR + 0.95%, 3.34%, 6/15/2035
(a)
(c) |
100,000 | 99,827 | |||
|
Bancorp Commercial Mortgage Trust Series 2019-CRE5, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 3/15/2036
(a)
(c) |
85,313 | 85,339 | |||
|
BANK Series 2017-BNK6, Class XA, IO, 1.00%, 7/15/2060
(c) |
1,127,652 | 56,362 | |||
| BBCMS Mortgage Trust: | |||||
|
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%, 3.59%, 8/15/2036
(a)
(c) |
17,000 | 16,875 | |||
|
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70%, 4.09%, 8/15/2036
(a)
(c) |
19,000 | 18,996 | |||
|
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 4.89%, 8/15/2036
(a)
(c) |
38,000 | 38,070 | |||
|
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%, 5.89%, 8/15/2036
(a)
(c) |
38,000 | 38,056 | |||
|
Series 2018-TALL, Class A, 1 Month USD LIBOR + 0.72%, 3.12%, 3/15/2037
(a)
(c) |
101,000 | 100,659 | |||
|
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 10/15/2037
(a)
(c) |
12,519 | 12,496 | |||
|
Bear Stearns Commercial Mortgage Securities Trust Series 2014-BXO, Class E, 1 Month USD LIBOR + 3.75%, 6.14%, 8/15/2027
(a)
(c) |
26,000 | 26,020 | |||
|
Bellemeade Re, Ltd. Series 2017-1, Class M1, 1 Month USD LIBOR + 1.70%, 4.10%, 10/25/2027
(a)
(c) |
321,495 | 323,483 | |||
|
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.66%, 1/15/2051
(c) |
2,263,968 | 78,985 | |||
|
BHMS Series 2018-ATLS, , Class A, 1 Month USD LIBOR + 1.25%, 3.64%, 7/15/2035
(a)
(c) |
75,000 | 75,046 | |||
|
Braemar Hotels & Resorts Trust 2018-Prime Series 2018-PRME, Class A, 1 Month USD LIBOR + 0.82%, 3.21%, 6/15/2035
(a)
(c) |
115,000 | 114,669 | |||
|
BX Commercial Mortgage Trust Series 2018-BIOA, Class E, 1 Month USD LIBOR + 1.95%, 4.35%, 3/15/2037
(a)
(c) |
257,000 | 257,641 | |||
| BX Trust: |
See accompanying notes to financial statements.
34
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Series 2017-APPL, Class B, 1 Month USD LIBOR + 1.15%, 3.54%, 7/15/2034
(a)
(c) |
$ 75,650 | $ 75,659 | |||
|
Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 3.48%, 9/15/2037
(a)
(c) |
13,611 | 13,575 | |||
|
BX Trust 2018-BILT Series 2018-BILT, Class A, 1 Month USD LIBOR + 0.80%, 3.19%, 5/15/2030
(a)
(c) |
115,000 | 114,782 | |||
|
BX Trust 2018-MCSF Series 2018-MCSF, Class F, 1 Month USD LIBOR + 2.65%, 5.04%, 4/15/2035
(a)
(c) |
47,000 | 47,235 | |||
|
BXMT, Ltd. Series 2017-FL1, Class C, 1 Month USD LIBOR + 1.95%, 4.34%, 6/15/2035
(a)
(c) |
150,000 | 150,371 | |||
|
CAMB Commercial Mortgage Trust Series 2019-LIFE, Class A, 1 Month USD LIBOR + 1.07%, 3.46%, 12/15/2037
(a)
(c) |
79,000 | 79,275 | |||
| Cantor Commercial Real Estate: | |||||
|
Series 2019-CF1, Class 65A, 4.41%, 5/15/2052
(a) |
163,000 | 171,610 | |||
|
Series 2019-CF1, Class 65B, 4.14%, 5/15/2052
(a) |
163,000 | 166,550 | |||
| CFCRE Commercial Mortgage Trust: | |||||
|
Series 2018-TAN, Class B, 4.69%, 2/15/2033
(a) |
55,000 | 57,757 | |||
|
Series 2018-TAN, Class C, 5.29%, 2/15/2033
(a) |
55,000 | 58,107 | |||
|
Series 2018-TAN, Class D, 6.10%, 2/15/2033
(a) |
33,000 | 35,209 | |||
|
CGDBB Commercial Mortgage Trust Series 2017-BIOC, Class A, 1 Month USD LIBOR + 0.79%, 3.18%, 7/15/2032
(a)
(c) |
100,000 | 100,000 | |||
|
CGGS Commercial Mortgage Trust Series 2018-WSS, Class D, 1 Month USD LIBOR + 2.30%, 4.69%, 2/15/2037
(a)
(c) |
100,000 | 100,117 | |||
|
CGGS Commercial Mortgage Trust 2018-WSS Series 2018-WSS, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 2/15/2037
(a)
(c) |
100,000 | 99,905 | |||
| CHT COSMO Mortgage Trust: | |||||
|
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 5.39%, 11/15/2036
(a)
(c) |
59,000 | 59,145 | |||
|
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74%, 6.14%, 11/15/2036
(a)
(c) |
131,000 | 131,426 | |||
| Citigroup Commercial Mortgage Trust: | |||||
|
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 4.19%, 12/15/2036
(a)
(c) |
95,000 | 95,199 | |||
|
Series 2016-GC37, Class XA, IO, 1.94%, 4/10/2049
(c) |
502,087 | 46,887 | |||
| CLNS Trust: | |||||
|
Series 2017-IKPR, Class C, 1 Month USD LIBOR + 1.10%, 3.51%, 6/11/2032
(a)
(c) |
81,000 | 81,003 | |||
|
Series 2017-IKPR, Class D, 1 Month USD LIBOR + 2.05%, 4.46%, 6/11/2032
(a)
(c) |
18,000 | 18,035 | |||
|
Series 2017-IKPR, Class E, 1 Month USD LIBOR + 3.50%, 5.91%, 6/11/2032
(a)
(c) |
18,000 | 18,099 | |||
|
COLT Mortgage Loan Trust Series 2018-1, Class A1, CMO, 2.93%, 2/25/2048
(a)
(c) |
127,070 | 126,825 |
See accompanying notes to financial statements.
35
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| COMM Mortgage Trust: | |||||
|
Series 2014-FL5, Class D, 1 Month USD LIBOR + 4.00%, 3.83%, 10/15/2031
(a)
(c) |
$ 100,000 | $ 98,587 | |||
|
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 9/15/2033
(a)
(c) |
70,000 | 69,737 | |||
|
Series 2015-CR25, Class XA, IO, 1.05%, 8/10/2048
(c) |
1,326,402 | 58,864 | |||
| Credit Suisse Mortgage Capital Certificates: | |||||
|
Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 4.29%, 7/15/2032
(a)
(c) |
29,000 | 29,067 | |||
|
Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 3.37%, 5/15/2036
(a)
(c) |
102,000 | 102,102 | |||
| CSAIL Commercial Mortgage Trust: | |||||
|
Series 2017-C8, Class XA, IO, 1.40%, 6/15/2050
(c) |
341,636 | 19,864 | |||
|
Series 2017-CX10, Class XA, IO, 0.86%, 11/15/2050
(c) |
994,569 | 47,577 | |||
|
Series 2017-CX9, Class XA, IO, 1.03%, 9/15/2050
(c) |
1,843,592 | 68,530 | |||
|
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 3.20%, 5/15/2035
(a)
(c) |
139,221 | 139,344 | |||
|
Exantas Capital Corp., Ltd. Series 2019-RSO7, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 4/15/2036
(a)
(c) |
100,000 | 100,031 | |||
| Federal Home Loan Mortgage Corp.: | |||||
|
Series 4703, Class FA, 1 Month USD LIBOR + 0.35%, 2.41%, 7/15/2047
(c) |
1,132,273 | 1,126,951 | |||
|
Series 4818, Class FC, 1 Month USD LIBOR + 0.30%, 2.69%, 4/15/2048
(c) |
683,366 | 677,499 | |||
| Federal National Mortgage Association: | |||||
|
Series 2012-56, Class FK, 1 Month USD LIBOR + 0.45%, 2.85%, 6/25/2042
(c) |
1,111,566 | 1,107,780 | |||
|
Series 2017-96, Class FA, 1 Month USD LIBOR + 0.40%, 2.80%, 12/25/2057
(c) |
972,589 | 968,341 | |||
|
Series 2018-55, Class FA, 1 Month USD LIBOR + 0.30%, 2.36%, 8/25/2048
(c) |
848,805 | 842,990 | |||
|
GPMT 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.90%, 3.28%, 11/21/2035
(a)
(c) |
61,331 | 61,331 | |||
|
GPT 2018-GPP Mortgage Trust Series 2018-GPP, Class B, 1 Month USD LIBOR + 1.28%, 3.67%, 6/15/2035
(a)
(c) |
37,500 | 37,458 | |||
|
Great Wolf Trust Series 2017-WOLF, Class B, 1 Month USD LIBOR + 1.10%, 3.49%, 9/15/2034
(a)
(c) |
100,000 | 100,001 | |||
|
GS Mortgage Securities Corp. Trust Series 2018-FBLU, Class E, 1 Month USD LIBOR + 2.75%, 5.14%, 11/15/2035
(a)
(c) |
53,000 | 53,301 | |||
| GS Mortgage Securities Trust: | |||||
|
Series 2017-500K, Class E, 1 Month USD LIBOR + 1.50%, 3.89%, 7/15/2032
(a)
(c) |
50,000 | 50,012 |
See accompanying notes to financial statements.
36
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Series 2017-500K, Class F, 1 Month USD LIBOR + 1.80%, 4.19%, 7/15/2032
(a)
(c) |
$ 107,000 | $ 107,026 | |||
|
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 7/15/2031
(a)
(c) |
100,000 | 99,932 | |||
|
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 3.99%, 7/15/2031
(a)
(c) |
100,000 | 99,651 | |||
|
Series 2017-GS7, Class XA, IO, 1.28%, 8/10/2050
(c) |
391,951 | 27,100 | |||
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 6/15/2032
(a)
(c) |
98,155 | 98,343 | |||
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
|
1 Month USD LIBOR + 0.96% , 3.34%, 7/15/2036
(a)
(c) |
107,000 | 107,002 | |||
|
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049
(c) |
3,937 | 3,949 | |||
|
Series 2018-WPT, Class EFL, 1 Month USD LIBOR + 2.60%, 5.03%, 7/5/2033
(a)
(c) |
100,000 | 99,976 | |||
|
Series 2016-JP4, Class XA, IO, 0.88%, 12/15/2049
(c) |
1,666,105 | 57,963 | |||
|
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 Series 2014-FL6, Class B, 1 Month USD LIBOR + 2.28%, 4.67%, 11/15/2031
(a)
(c) |
65,857 | 65,878 | |||
|
LMREC 2015-CRE1, Inc. Series 2015-CRE1, Class AR, 1 Month USD LIBOR + 0.98% , 2.86%, 2/22/2032
(a)
(c) |
60,333 | 60,333 | |||
|
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3, Class A, 1 Month USD LIBOR + 1.05%, 3.44%, 4/15/2034
(a)
(c) |
100,000 | 100,188 | |||
| Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
|
Series 2014-C15, Class XA, IO, 1.14%, 4/15/2047
(c) |
832,427 | 31,472 | |||
|
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046
(a) |
1,218,657 | 35,937 | |||
| Morgan Stanley Capital I Trust: | |||||
|
Series 2018-SUN, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 7/15/2035
(a)
(c) |
74,000 | 73,944 | |||
|
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 3.69%, 5/15/2036
(a)
(c) |
163,000 | 162,997 | |||
|
Series 2016-UB12, Class XA, IO, 0.93%, 12/15/2049
(c) |
1,595,352 | 63,904 | |||
|
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 10/15/2037
(a)
(c) |
79,000 | 79,055 | |||
| Natixis Commercial Mortgage Securities Trust 2018-850T: | |||||
|
Series 2018-850T, Class C, 1 Month USD LIBOR + 0.15%, 3.55%, 7/15/2033
(a)
(c) |
100,000 | 99,408 | |||
|
Series 2018-850T, Class D, 1 Month USD LIBOR + 0.14%, 3.85%, 7/15/2033
(a)
(c) |
100,000 | 99,914 | |||
|
Natixis Commercial Mortgage Securities Trust 2018-FL1 Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 3.39%, 6/15/2035
(a)
(c) |
96,002 | 95,700 |
See accompanying notes to financial statements.
37
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | ||||
|
PFP, Ltd. Series 2019-5, Class A, 1 Month USD LIBOR + 0.97%, 3.37%, 4/14/2036
(a)
(c) |
$ 100,000 | $ 100,031 | ||||
|
RAIT Trust Series 2017-FL7, Class AS, 1 Month USD LIBOR + 1.30%, 3.69%, 6/15/2037
(a)
(c) |
6,000 | 5,957 | ||||
|
Ready Capital Mortgage Trust Series 2019-5, Class A, 3.78%, 2/25/2052
(a) |
95,765 | 97,766 | ||||
|
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 3.40%, 3/25/2034
(a)
(c) |
100,000 | 99,658 | ||||
| Rosslyn Portfolio Trust: | ||||||
|
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95%, 3.34%, 6/15/2033
(a)
(c) |
15,000 | 15,038 | ||||
|
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25%, 3.64%, 6/15/2033
(a)
(c) |
15,000 | 14,944 | ||||
|
Shelter Growth CRE 2019-FL2 Issuer, Ltd. Series 2019-FL2, Class B, 1 Month USD LIBOR + 1.80%, 4.69%, 5/15/2036
(a)
(c) |
100,000 | 100,185 | ||||
|
TPG Real Estate Finance, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.75%, 3.14%, 2/15/2035
(a)
(c) |
20,633 | 20,633 | ||||
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.74%, 6/15/2050
(c) |
803,735 | 74,442 | ||||
| Velocity Commercial Capital Loan Trust: | ||||||
|
Series 2018-2, Class A, 4.05%, 10/26/2048
(a)
(c) |
868,837 | 889,248 | ||||
|
Series 2016-1, Class AFX, ABS, 3.53%, 4/25/2046
(a)
(c) |
46,282 | 46,229 | ||||
|
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class XA, 1.53%, 6/15/2052
(a) (c)
(d) |
1,036,000 | 106,077 | ||||
|
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.89%, 12/15/2046
(c) |
1,137,519 | 29,675 | ||||
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$12,892,014) |
12,648,968 | |||||
| SENIOR FLOATING RATE LOANS — 0.0% (b) | ||||||
| MEDIA — 0.0% (b) | ||||||
|
Tribune Media Co. Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 12/27/2020 (c) (Cost
$4,248) |
4,247 | 4,252 | ||||
See accompanying notes to financial
statements.
38
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
| Security Description | Shares | Value | ||||
| SHORT-TERM INVESTMENT — 5.1% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (f) (g) (Cost
$6,248,841) |
6,248,841 | $ 6,248,841 | ||||
|
TOTAL INVESTMENTS — 99.7% (Cost
$120,483,697) |
121,024,873 | |||||
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%
|
319,187 | |||||
|
NET ASSETS —
100.0% |
$ 121,344,060 | |||||
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 14.8% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (b) | Amount is less than 0.05% of net assets. |
| (c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (d) | When-issued security. |
| (e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2019. Maturity date shown is the final maturity. |
| (f) | 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, 2019 are shown in the Affiliate Table below. |
| (g) | The rate shown is the annualized seven-day yield at June 30, 2019. |
| ABS | = Asset-Backed Security |
| CMO | = Collateralized Mortgage Obligation |
| CMT | = Constant Maturity Treasury |
| IO | = Interest Only |
| LIBOR | = London Interbank Offered Rate |
| MTN | = Medium Term Note |
| REMIC | = Real Estate Mortgage Investment Conduit |
See accompanying notes to financial statements.
39
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
June 30, 2019
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Asset-Backed
Securities |
$ — | $ 3,992,107 | $— | $ 3,992,107 | ||||
|
Corporate Bonds &
Notes |
— | 34,504,835 | — | 34,504,835 | ||||
|
Foreign Government
Obligations |
— | 1,040,898 | — | 1,040,898 | ||||
|
Senior Floating Rate
Loans |
— | 4,252 | — | 4,252 | ||||
|
Mortgage-Backed
Securities |
— | 12,648,968 | — | 12,648,968 | ||||
|
U.S. Government Agency
Obligations |
— | 28,053,384 | — | 28,053,384 | ||||
|
U.S. Treasury
Obligations |
— | 34,531,588 | — | 34,531,588 | ||||
|
Short-Term
Investment |
6,248,841 | — | — | 6,248,841 | ||||
|
TOTAL
INVESTMENTS |
$6,248,841 | $114,776,032 | $— | $121,024,873 |
Affiliate Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
376,094 | $376,094 | $62,395,542 | $56,522,795 | $— | $— | 6,248,841 | $6,248,841 | $58,916 |
See accompanying notes to financial statements.
40
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| CORPORATE BONDS & NOTES — 16.9% | |||||
| ARGENTINA — 0.4% | |||||
|
Other
Securities |
$ 11,544,324 | ||||
| AUSTRALIA — 0.3% | |||||
|
Other
Securities |
8,555,715 | ||||
| BELGIUM — 0.1% | |||||
|
Other
Security |
1,962,385 | ||||
| BRAZIL — 0.9% | |||||
|
Other
Securities |
31,270,950 | ||||
| CANADA — 0.5% | |||||
|
Other
Securities |
17,356,741 | ||||
| CAYMAN ISLANDS — 0.2% | |||||
|
Other
Securities |
4,982,550 | ||||
| CHILE — 0.9% | |||||
|
Other
Securities |
29,934,027 | ||||
| CHINA — 0.1% | |||||
|
Other
Securities |
4,611,604 | ||||
| COLOMBIA — 0.2% | |||||
|
Other
Securities |
8,007,702 | ||||
| COSTA RICA — 0.0% (a) | |||||
|
Other
Securities |
1,321,871 | ||||
| DOMINICAN REPUBLIC — 0.2% | |||||
|
Other
Securities |
6,458,951 | ||||
| FRANCE — 0.0% (a) | |||||
|
Other
Security |
743,140 | ||||
| HONG KONG — 0.0% (a) | |||||
|
Other
Security |
1,133,308 | ||||
| INDIA — 1.1% | |||||
|
Other
Securities |
38,087,990 | ||||
| INDONESIA — 0.0% (a) | |||||
|
Other
Security |
1,064,464 | ||||
| IRELAND — 0.3% | |||||
|
Other
Securities |
9,041,295 | ||||
| ISRAEL — 0.1% | |||||
|
Other
Securities |
2,626,059 | ||||
See accompanying notes to financial statements.
41
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| JAMAICA — 0.0% (a) | |||||
|
Other
Securities |
$ 1,108,416 | ||||
| JAPAN — 0.1% | |||||
|
Other
Securities |
3,373,766 | ||||
| LUXEMBOURG — 0.3% | |||||
|
Other
Securities |
8,988,321 | ||||
| MALAYSIA — 0.4% | |||||
|
Other
Securities |
12,249,300 | ||||
| MAURITIUS — 0.1% | |||||
|
Other
Security |
3,060,660 | ||||
| MEXICO — 1.1% | |||||
|
Other
Securities |
35,474,341 | ||||
| NETHERLANDS — 0.3% | |||||
|
Other
Securities |
10,100,084 | ||||
| NORWAY — 0.0% (a) | |||||
|
Other
Security |
371,934 | ||||
| PANAMA — 0.1% | |||||
|
Other
Securities |
4,370,461 | ||||
| PERU — 0.0% (a) | |||||
|
Other
Securities |
1,249,029 | ||||
| PHILIPPINES — 0.2% | |||||
|
Other
Security |
6,187,600 | ||||
| SINGAPORE — 0.5% | |||||
|
Other
Securities |
16,131,310 | ||||
| SPAIN — 0.1% | |||||
|
Other
Securities |
1,977,483 | ||||
| SWITZERLAND — 0.0% (a) | |||||
|
Other
Security |
166,232 | ||||
| THAILAND — 0.0% (a) | |||||
|
Other
Security |
507,050 | ||||
| UNITED KINGDOM — 0.4% | |||||
|
Other
Securities |
11,435,400 | ||||
| UNITED STATES — 8.0% | |||||
|
Other
Securities |
267,389,553 | ||||
|
Total Corporate Bonds & Notes (Cost
$546,495,054) |
562,844,016 | ||||
See accompanying notes to financial statements.
42
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| ASSET-BACKED SECURITIES — 2.1% | |||||
|
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 2.57%, 1/25/2037
(b) |
$28,568,210 | $ 23,499,863 | |||
|
Other
Securities |
46,380,385 | ||||
|
Total Asset-Backed Securities (Cost
$68,926,429) |
69,880,248 | ||||
| FOREIGN GOVERNMENT OBLIGATIONS — 1.1% | |||||
| ARGENTINA — 0.2% | |||||
|
Other
Securities |
7,855,834 | ||||
| BRAZIL — 0.1% | |||||
|
Other
Security |
2,544,275 | ||||
| CANADA — 0.0% (a) | |||||
|
Other
Security |
506,949 | ||||
| CHILE — 0.1% | |||||
|
Other
Security |
1,561,410 | ||||
| COLOMBIA — 0.0% (a) | |||||
|
Other
Securities |
673,530 | ||||
| COSTA RICA — 0.1% | |||||
|
Other
Security |
3,081,072 | ||||
| DOMINICAN REPUBLIC — 0.0% (a) | |||||
|
Other
Security |
1,045,780 | ||||
| INDONESIA — 0.2% | |||||
|
Other
Securities |
7,220,110 | ||||
| ISRAEL — 0.1% | |||||
|
Other
Security |
1,550,205 | ||||
| LUXEMBOURG — 0.0% (a) | |||||
|
Other
Security |
716,010 | ||||
| PANAMA — 0.1% | |||||
|
Other
Security |
4,265,160 | ||||
| PHILIPPINES — 0.2% | |||||
|
Other
Security |
5,388,700 | ||||
|
Total Foreign Government Obligations (Cost
$37,410,380) |
36,409,035 | ||||
See accompanying notes to financial statements.
43
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| SENIOR FLOATING RATE LOANS — 4.6% | |||||
| AEROSPACE & DEFENSE — 0.1% | |||||
|
Other
Securities |
$ 1,958,666 | ||||
| AUTO COMPONENTS — 0.1% | |||||
|
Other
Securities |
4,762,983 | ||||
| BUILDING PRODUCTS — 0.1% | |||||
|
Other
Security |
3,011,083 | ||||
| CAPITAL MARKETS — 0.1% | |||||
|
Other
Securities |
3,500,365 | ||||
| CASINO SERVICES — 0.0% (a) | |||||
|
Other
Security |
705,786 | ||||
| CHEMICALS — 0.1% | |||||
|
Other
Securities |
4,777,416 | ||||
| COMMERCIAL SERVICES — 0.0% (a) | |||||
|
Other
Security |
1,011,737 | ||||
| COMMERCIAL SERVICES & SUPPLIES — 0.3% | |||||
|
Other
Securities |
9,570,123 | ||||
| COMMUNICATIONS EQUIPMENT — 0.1% | |||||
|
Other
Securities |
2,372,869 | ||||
| CONSTRUCTION & ENGINEERING — 0.0% (a) | |||||
|
Other
Securities |
722,296 | ||||
| CONSTRUCTION MATERIALS — 0.0% (a) | |||||
|
Other
Securities |
1,317,769 | ||||
| CONTAINERS & PACKAGING — 0.1% | |||||
|
Other
Securities |
4,195,675 | ||||
| DIVERSIFIED FINANCIAL SERVICES — 0.0% (a) | |||||
|
Other
Securities |
1,261,749 | ||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2% | |||||
|
Other
Securities |
7,322,493 | ||||
| ELECTRICAL EQUIPMENT — 0.1% | |||||
|
Other
Security |
2,092,618 | ||||
| ELECTRIC-GENERATION — 0.1% | |||||
|
Other
Securities |
1,509,557 | ||||
| ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a) | |||||
|
Other
Security |
567,171 | ||||
See accompanying notes to financial statements.
44
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| ENERGY EQUIPMENT & SERVICES — 0.0% (a) | |||||
|
Other
Security |
$ 1,243,525 | ||||
| FINANCIAL SERVICES — 0.1% | |||||
|
Other
Security |
2,774,949 | ||||
| FOOD & STAPLES RETAILING — 0.1% | |||||
|
Other
Security |
2,966,702 | ||||
| FOOD PRODUCTS — 0.1% | |||||
|
Other
Security |
1,560,643 | ||||
| HEALTH CARE PROVIDERS & SERVICES — 0.4% | |||||
|
Other
Securities |
13,797,970 | ||||
| HEALTH CARE TECHNOLOGY — 0.0% (a) | |||||
|
Other
Security |
1,442,240 | ||||
| HOTELS, RESTAURANTS & LEISURE — 0.3% | |||||
|
Other
Securities |
8,850,713 | ||||
| INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.1% | |||||
|
Other
Security |
3,151,399 | ||||
| INSURANCE — 0.1% | |||||
|
Other
Securities |
4,630,211 | ||||
| INTERACTIVE MEDIA & SERVICES — 0.1% | |||||
|
Other
Securities |
2,289,856 | ||||
| IT SERVICES — 0.1% | |||||
|
Other
Securities |
3,344,705 | ||||
| LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
|
Other
Securities |
1,683,180 | ||||
| MACHINERY — 0.1% | |||||
|
Other
Securities |
4,753,393 | ||||
| MACHINERY-CONSTRUCTION & MINING — 0.0% (a) | |||||
|
Other
Securities |
959,386 | ||||
| MEDIA — 0.2% | |||||
|
Other
Securities |
7,253,142 | ||||
| METAL-DIVERSIFIED — 0.0% (a) | |||||
|
Other
Security |
362,595 | ||||
| METALS & MINING — 0.1% | |||||
|
Other
Security |
1,627,659 | ||||
See accompanying notes to financial statements.
45
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| MRI/MEDICAL DIAG IMAGING — 0.0% (a) | |||||
|
Other
Securities |
$ 1,283,002 | ||||
| OIL REFINING & MARKETING — 0.0% (a) | |||||
|
Other
Security |
793,748 | ||||
| OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
|
Other
Security |
3,104,616 | ||||
| PHARMACEUTICALS — 0.1% | |||||
|
Other
Securities |
1,531,672 | ||||
| PIPELINES — 0.1% | |||||
|
Other
Security |
1,948,079 | ||||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% | |||||
|
Other
Securities |
3,140,702 | ||||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (a) | |||||
|
Other
Security |
415,908 | ||||
| RETAIL-RESTAURANTS — 0.1% | |||||
|
Other
Security |
1,688,262 | ||||
| SOFTWARE — 0.6% | |||||
|
Other
Securities |
20,050,936 | ||||
| TELECOM SERVICES — 0.0% (a) | |||||
|
Other
Security |
695,010 | ||||
| TELECOMMUNICATION EQUIP — 0.1% | |||||
|
Other
Security |
2,607,941 | ||||
| TELEVISION — 0.1% | |||||
|
Other
Security |
2,888,466 | ||||
| TRADING COMPANIES & DISTRIBUTORS — 0.0% (a) | |||||
|
Other
Security |
345,091 | ||||
|
Total Senior Floating Rate Loans (Cost
$155,421,475) |
153,846,057 | ||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.5% | |||||
| Federal Home Loan Mortgage Corp.: | |||||
|
3.00%,
11/1/2042 |
$ 15,693,695 | 15,998,115 | |||
|
3.00%,
1/1/2045 |
2,516,294 | 2,560,465 | |||
|
3.00%,
2/1/2045 |
1,769,571 | 1,798,692 | |||
|
3.00%,
3/1/2045 |
1,879,138 | 1,910,062 | |||
|
3.00%,
4/1/2045 |
13,042,495 | 13,257,128 | |||
|
3.00%,
4/1/2045 |
25,429,318 | 25,875,707 | |||
See accompanying notes to financial statements.
46
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
3.00%,
5/1/2045 |
$ 6,595,649 | $ 6,704,190 | |||
|
3.00%,
8/1/2045 |
18,075,389 | 18,372,847 | |||
|
3.50%,
2/1/2045 |
3,217,120 | 3,325,882 | |||
|
3.50%,
4/1/2045 |
17,568,842 | 18,222,776 | |||
|
3.50%,
4/1/2045 |
10,519,516 | 10,861,124 | |||
|
3.50%,
6/1/2045 |
12,974,168 | 13,457,083 | |||
|
3.50%,
10/1/2045 |
15,172,162 | 15,736,889 | |||
|
3.50%,
2/1/2046 |
15,054,647 | 15,509,771 | |||
|
4.00%,
4/1/2047 |
38,238,857 | 39,842,995 | |||
|
4.00%,
7/1/2047 |
11,855,963 | 12,353,326 | |||
|
4.00%,
10/1/2047 |
24,332,444 | 25,353,201 | |||
|
4.50%,
6/1/2044 |
2,266,086 | 2,410,931 | |||
|
Series 326, Class 300, CMO 3.00%,
3/15/2044 |
31,608,430 | 32,017,244 | |||
|
Series 358, Class 300, CMO 3.00%,
10/15/2047 |
32,022,074 | 32,947,418 | |||
|
Series 3822, Class ZG, CMO, REMIC 4.00%,
2/15/2041 |
3,823,064 | 4,141,370 | |||
|
Series 3852, Class NS, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 3.61%, 5/15/2041
(b) |
10,670,777 | 1,204,330 | |||
|
Series 3889, Class VZ, CMO, REMIC 4.00%,
7/15/2041 |
11,186,366 | 11,617,878 | |||
|
Series 3935, Class SJ, CMO, IO, REMIC 6.65% - 1 Month USD LIBOR, 4.26%, 5/15/2041
(b) |
2,342,900 | 228,052 | |||
|
Series 4120, Class KA, CMO, REMIC 1.75%,
10/15/2032 |
16,045,348 | 15,861,680 | |||
|
Series 4165, Class ZT, CMO, REMIC 3.00%,
2/15/2043 |
16,192,503 | 16,162,597 | |||
|
Series 4215, Class KC, CMO, REMIC 2.25%,
3/15/2038 |
9,305,728 | 9,294,722 | |||
|
Series 4364, Class ZX, CMO, REMIC 4.00%,
7/15/2044 |
29,257,269 | 31,766,976 | |||
|
Series 4434, Class LZ, CMO, REMIC 3.00%,
2/15/2045 |
3,415,931 | 3,304,340 | |||
|
Series 4444, Class CZ, CMO, REMIC 3.00%,
2/15/2045 |
12,525,080 | 12,238,431 | |||
|
Series 4447, Class A, CMO, REMIC 3.00%,
6/15/2041 |
1,717,749 | 1,750,164 | |||
|
Series 4447, Class Z, CMO, REMIC 3.00%,
3/15/2045 |
4,134,070 | 4,066,675 |
See accompanying notes to financial statements.
47
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Series 4471, Class BA, CMO, REMIC 3.00%,
12/15/2041 |
$ 6,020,724 | $ 6,128,410 | |||
|
Series 4471, Class GA, CMO, REMIC 3.00%,
2/15/2044 |
9,234,012 | 9,390,476 | |||
|
Series 4474, Class ZX, CMO, REMIC 4.00%,
4/15/2045 |
12,182,358 | 13,196,992 | |||
|
Series 4481, Class B, CMO, REMIC 3.00%,
12/15/2042 |
6,204,737 | 6,312,477 | |||
|
Series 4483, Class CA, CMO, REMIC 3.00%,
6/15/2044 |
11,350,881 | 11,542,581 | |||
|
Series 4484, Class CD, CMO, REMIC 1.75%,
7/15/2030 |
12,471,111 | 12,288,307 | |||
|
Series 4491, Class B, CMO, REMIC 3.00%,
8/15/2040 |
11,446,096 | 11,602,142 | |||
|
Series 4492, Class GZ, CMO, REMIC 3.50%,
7/15/2045 |
8,713,254 | 9,089,715 | |||
|
Series 4499, Class AB, CMO, REMIC 3.00%,
6/15/2042 |
12,314,858 | 12,533,602 | |||
|
Series 4504, Class CA, CMO, REMIC 3.00%,
4/15/2044 |
12,260,750 | 12,473,762 | |||
|
Series 4511, Class QA, CMO, REMIC 3.00%,
1/15/2041 |
9,890,602 | 10,025,885 | |||
|
Series 4511, Class QC, CMO, REMIC 3.00%,
12/15/2040 |
8,011,951 | 8,121,135 | |||
|
Series 4533, Class AB, CMO, REMIC 3.00%,
6/15/2044 |
8,685,737 | 8,851,018 | |||
|
Series 4543, Class HG, CMO, REMIC 2.70%,
4/15/2044 |
16,140,225 | 16,225,575 | |||
|
Series 4582, Class HA, CMO, REMIC 3.00%,
9/15/2045 |
12,583,990 | 12,845,081 | |||
|
Series 4629, Class KA, CMO, REMIC 3.00%,
3/15/2045 |
39,703,941 | 40,649,733 | |||
|
Series 4750, Class PA, 3.00%,
7/15/2046 |
22,399,665 | 22,606,129 | |||
|
Series 4792, Class A, CMO, REMIC 3.00%,
5/15/2048 |
24,258,082 | 24,529,933 | |||
|
Series K053, Class A2, 3.00%,
12/25/2025 |
2,232,000 | 2,323,765 | |||
| Federal National Mortgage Association: | |||||
|
2.50%,
9/1/2046 |
4,897,526 | 4,828,588 | |||
|
2.50%,
2/1/2047 |
13,186,961 | 13,099,786 | |||
|
3.00%,
5/1/2035 |
8,990,674 | 9,166,672 | |||
|
3.00%,
10/1/2041 |
30,442,058 | 30,864,631 |
See accompanying notes to financial statements.
48
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
3.00%,
3/1/2043 |
$ 5,167,047 | $ 5,253,580 | |||
|
3.00%,
7/1/2043 |
8,399,737 | 8,481,287 | |||
|
3.00%,
1/1/2045 |
1,895,169 | 1,910,378 | |||
|
3.00%,
3/1/2045 |
2,633,574 | 2,675,346 | |||
|
3.00%,
4/1/2045 |
10,893,917 | 10,969,315 | |||
|
3.00%,
7/1/2045 |
31,267,868 | 31,791,514 | |||
|
3.00%,
11/1/2045 |
20,630,202 | 20,957,420 | |||
|
3.00%,
2/1/2047 |
25,382,427 | 25,734,766 | |||
|
3.50%,
9/1/2034 |
2,402,370 | 2,489,653 | |||
|
3.50%,
12/1/2034 |
2,139,692 | 2,217,431 | |||
|
3.50%,
2/1/2035 |
1,370,280 | 1,420,065 | |||
|
3.50%,
1/1/2045 |
12,981,977 | 13,457,290 | |||
|
3.50%,
2/1/2045 |
4,464,182 | 4,612,323 | |||
|
3.50%,
6/1/2045 |
12,525,184 | 12,983,930 | |||
|
4.50%,
3/1/2044 |
2,490,308 | 2,647,718 | |||
|
4.50%,
6/1/2044 |
1,252,491 | 1,331,660 | |||
|
4.50%,
7/1/2044 |
1,207,641 | 1,283,975 | |||
|
4.50%,
2/1/2045 |
1,508,193 | 1,603,524 | |||
|
Series 2010-109, Class N, CMO, REMIC 3.00%,
10/25/2040 |
2,679,287 | 2,728,046 | |||
|
Series 2011-51, Class CI, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 3.60%, 6/25/2041
(b) |
6,930,494 | 1,002,901 | |||
|
Series 2012-101, Class AP, CMO, REMIC 2.00%,
8/25/2040 |
6,966,994 | 6,893,855 | |||
|
Series 2012-127, Class PA, CMO, REMIC 2.75%,
11/25/2042 |
3,463,308 | 3,477,508 | |||
|
Series 2012-151, Class SB, CMO, REMIC 6.00% - 1 Month USD LIBOR, 2.34%, 1/25/2043
(b) |
1,248,324 | 1,011,230 | |||
|
Series 2013-114, Class HZ, CMO, REMIC 3.00%,
11/25/2038 |
16,913,082 | 17,096,733 | |||
|
Series 2013-18, Class CD, CMO, REMIC 1.50%,
10/25/2027 |
4,833,568 | 4,760,332 | |||
|
Series 2013-30, Class PS, CMO, REMIC 6.00% - 1 Month USD LIBOR, 2.34%, 4/25/2043
(b) |
1,718,187 | 1,553,080 | |||
|
Series 2014-21, Class GZ, CMO, REMIC 3.00%,
4/25/2044 |
6,464,106 | 6,451,091 | |||
|
Series 2014-39, Class ZA, CMO, REMIC 3.00%,
7/25/2044 |
9,292,934 | 9,252,037 | |||
|
Series 2015-42, Class CA, CMO, REMIC 3.00%,
3/25/2044 |
7,142,913 | 7,253,644 |
See accompanying notes to financial statements.
49
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Series 2015-9, Class HA, CMO, REMIC 3.00%,
1/25/2045 |
$ 10,249,812 | $ 10,364,669 | |||
|
Series 2015-95, Class AP, CMO, REMIC 3.00%,
8/25/2042 |
13,738,073 | 13,887,680 | |||
|
Series 2016-21, Class BZ, CMO, REMIC 3.00%,
4/25/2046 |
4,774,223 | 4,594,148 | |||
|
Series 2016-32, Class LA, CMO, REMIC 3.00%,
10/25/2044 |
11,861,676 | 12,187,867 | |||
|
Series 2016-72, Class PA, CMO, REMIC 3.00%,
7/25/2046 |
19,833,676 | 20,137,786 | |||
|
Series 2016-81, Class PA, CMO, REMIC 3.00%,
2/25/2044 |
27,156,655 | 27,601,697 | |||
|
Series 2016-9, Class A, CMO, REMIC 3.00%,
9/25/2043 |
10,262,356 | 10,371,248 | |||
|
Series 2016-92, Class A, CMO, REMIC 3.00%,
4/25/2042 |
32,460,210 | 32,961,288 | |||
|
Series 2016-M3, Class A2, 2.70%,
2/25/2026 |
2,150,000 | 2,191,259 | |||
|
Series 2017-13, Class CA, CMO, REMIC 2.50%,
10/25/2043 |
25,122,164 | 25,032,342 | |||
|
Series 2017-15, Class MA, CMO, REMIC 3.00%,
2/25/2042 |
15,665,167 | 15,864,982 | |||
|
Series 2017-18, Class A, CMO, REMIC 3.00%,
8/25/2042 |
39,937,794 | 40,607,423 | |||
|
Series 2017-32, Class CA, CMO, REMIC 3.00%,
10/25/2042 |
37,893,757 | 38,370,169 | |||
|
Series 2017-87, Class BA, CMO, REMIC 3.00%,
12/25/2042 |
27,925,558 | 28,317,098 | |||
|
Series 2017-9, Class EA, CMO, REMIC 3.00%,
10/25/2042 |
64,662,621 | 65,526,759 | |||
|
Series 2018-27, Class JA, CMO, REMIC 3.00%,
12/25/2047 |
15,348,299 | 15,485,830 | |||
|
Series 2018-38, Class JB, CMO, REMIC 3.00%,
6/25/2048 |
12,343,547 | 12,424,870 | |||
|
Series 2018-M10, Class A1, 3.50%, 7/25/2028
(b) |
20,488,605 | 21,769,636 | |||
|
Other
Securities |
12,270,642 | ||||
|
Total U.S. Government Agency Obligations (Cost
$1,347,621,468) |
1,352,118,481 | ||||
| U.S. TREASURY OBLIGATIONS — 23.3% | |||||
| Treasury Bill: | |||||
|
2.37%,
8/15/2019 |
57,900,000 | 57,751,668 | |||
See accompanying notes to financial statements.
50
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
2.39%,
10/17/2019 |
$ 90,000,000 | $ 89,457,921 | |||
|
2.51%, 1/2/2020
(c) |
93,700,000 | 92,737,935 | |||
|
2.51%,
2/27/2020 |
94,000,000 | 92,790,024 | |||
|
Treasury Inflation Protected Indexed Notes 0.63%,
4/15/2023 |
22,938,449 | 23,212,903 | |||
| Treasury Notes: | |||||
|
1.63%,
5/15/2026 |
64,000,000 | 62,980,000 | |||
|
2.13%,
2/29/2024 |
80,100,000 | 81,426,656 | |||
|
2.13%,
7/31/2024 |
73,900,000 | 75,152,836 | |||
|
2.25%,
11/15/2025 |
61,100,000 | 62,574,993 | |||
|
2.38%,
1/31/2023 |
25,600,000 | 26,172,000 | |||
|
2.38%,
5/15/2029 |
38,100,000 | 39,373,969 | |||
|
2.63%,
2/15/2029 |
18,500,000 | 19,508,828 | |||
|
2.88%,
8/15/2028 |
18,900,000 | 20,311,594 | |||
|
3.13%,
11/15/2028 |
31,300,000 | 34,332,188 | |||
|
Total U.S. Treasury Obligations (Cost
$762,895,719) |
777,783,515 | ||||
| MORTGAGE-BACKED SECURITIES — 5.0% | |||||
|
Other Securities (Cost
$168,736,726) |
166,962,913 | ||||
| COMMERCIAL MORTGAGE BACKED SECURITIES — 4.2% | |||||
|
Other Securities (Cost
$156,706,490) |
138,519,300 | ||||
| Shares | |||
| SHORT-TERM INVESTMENT - 2.5% | |||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (d) (e) (Cost
$84,316,399) |
84,316,399 | 84,316,399 | |
|
TOTAL INVESTMENTS - 100.2% (Cost
$3,328,530,140) |
3,342,679,964 | ||
|
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)%
|
(5,798,616) | ||
|
NET ASSETS -
100.0% |
$ 3,336,881,348 |
See accompanying notes to financial
statements.
51
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
| The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed below may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available on the Fund's website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC's website at www.sec.gov. | |
| (a) | Amount is less than 0.05% of net assets. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | When-issued security. |
| (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, 2019 are shown in the Affiliate Table below. |
| (e) | The rate shown is the annualized seven-day yield at June 30, 2019. |
| CMO | Collateralized Mortgage Obligation |
| IO | Interest Only |
| LIBOR | London Interbank Offered Rate |
| REMIC | Real Estate Mortgage Investment Conduit |
At June 30, 2019, the Fund had unfunded loan
commitments of $412,777, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| Mavis Tire Express Services Corp. | 412,777 | 405,898 | (6,879) |
See accompanying notes to financial statements.
52
Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
June 30, 2019
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Asset-Backed
Securities |
$ — | $ 69,880,248 | $— | $ 69,880,248 | ||||
|
Corporate Bonds &
Notes |
— | 562,844,016 | — | 562,844,016 | ||||
|
Foreign Government
Obligations |
— | 36,409,035 | — | 36,409,035 | ||||
|
Senior Floating Rate
Loans |
— | 153,846,057 | — | 153,846,057 | ||||
|
Commercial Mortgage Backed
Securities |
— | 138,519,300 | — | 138,519,300 | ||||
|
Mortgage-Backed
Securities |
— | 166,962,913 | — | 166,962,913 | ||||
|
U.S. Government Agency
Obligations |
— | 1,352,118,481 | — | 1,352,118,481 | ||||
|
U.S. Treasury
Obligations |
— | 777,783,515 | — | 777,783,515 | ||||
|
Short-Term
Investment |
84,316,399 | — | — | 84,316,399 | ||||
|
TOTAL
INVESTMENTS |
$84,316,399 | $3,258,363,565 | $— | $3,342,679,964 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Unfunded
Loans(a) |
— | (6,879) | — | (6,879) | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ (6,879) | $— | $ (6,879) |
| (a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Affiliate Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | $— | $1,024,270,933 | $939,954,534 | $— | $— | 84,316,399 | $84,316,399 | $1,935,879 |
See accompanying notes to financial statements.
53
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2019
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
| ASSETS | |||
|
Investments in unaffiliated issuers, at
value |
$64,105,892 | $114,776,032 | |
|
Investments in affiliated issuers, at
value |
85,220 | 6,248,841 | |
|
Total
Investments |
64,191,112 | 121,024,873 | |
|
Cash |
208,347 | 198,862 | |
|
Receivable for investments
sold |
— | 773,468 | |
|
Dividends receivable — affiliated
issuers |
6,617 | 6,696 | |
|
Interest receivable — unaffiliated
issuers |
886,685 | 489,662 | |
|
Receivable from
Adviser |
5,392 | 4,940 | |
|
TOTAL ASSETS
|
65,298,153 | 122,498,501 | |
| LIABILITIES | |||
|
Payable for investments
purchased |
208,173 | 1,106,413 | |
|
Advisory fee
payable |
39,614 | 47,909 | |
|
Trustees’ fees and expenses
payable |
102 | 119 | |
|
TOTAL LIABILITIES
|
247,889 | 1,154,441 | |
|
NET ASSETS
|
$65,050,264 | $121,344,060 | |
| NET ASSETS CONSIST OF: | |||
|
Paid-in
Capital |
$63,440,679 | $120,826,129 | |
|
Total distributable earnings
(loss) |
1,609,585 | 517,931 | |
|
NET ASSETS
|
$65,050,264 | $121,344,060 | |
| NET ASSET VALUE PER SHARE | |||
|
Net asset value per
share |
$ 51.02 | $ 49.53 | |
|
Shares outstanding (unlimited amount authorized, no par
value) |
1,275,000 | 2,450,000 | |
| COST OF INVESTMENTS: | |||
|
Investments in unaffiliated
issuers |
$62,476,604 | $114,234,856 | |
|
Investments in affiliated
issuers |
85,220 | 6,248,841 | |
|
Total cost of
investments |
$62,561,824 | $120,483,697 |
See accompanying notes to financial
statements.
54
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SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (continued)
June 30, 2019
| SPDR DoubleLine Total Return Tactical ETF | |
| ASSETS | |
|
Investments in unaffiliated issuers, at
value |
$3,258,363,565 |
|
Investments in affiliated issuers, at
value |
84,316,399 |
|
Total
Investments |
3,342,679,964 |
|
Cash |
857,881 |
|
Receivable for investments
sold |
7,708,499 |
|
Dividends receivable — affiliated
issuers |
79,580 |
|
Interest receivable — unaffiliated
issuers |
17,332,564 |
|
Receivable from
Adviser |
275,605 |
|
TOTAL ASSETS
|
3,368,934,093 |
| LIABILITIES | |
|
Payable for investments
purchased |
29,983,683 |
|
Unrealized depreciation on unfunded loan
commitments |
6,879 |
|
Advisory fee
payable |
1,763,055 |
|
Trustees’ fees and expenses
payable |
6,906 |
|
Accrued expenses and other
liabilities |
292,222 |
|
TOTAL LIABILITIES
|
32,052,745 |
|
NET ASSETS
|
$3,336,881,348 |
| NET ASSETS CONSIST OF: | |
|
Paid-in
Capital |
$3,384,807,157 |
|
Total distributable earnings
(loss) |
(47,925,809) |
|
NET ASSETS
|
$3,336,881,348 |
| NET ASSET VALUE PER SHARE | |
|
Net asset value per
share |
$ 48.96 |
|
Shares outstanding (unlimited amount authorized, no par
value) |
68,150,000 |
| COST OF INVESTMENTS: | |
|
Investments in unaffiliated
issuers |
$3,244,213,741 |
|
Investments in affiliated
issuers |
84,316,399 |
|
Total cost of
investments |
$3,328,530,140 |
See accompanying notes to financial
statements.
55
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF
OPERATIONS
For the Year Ended June 30, 2019
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
| INVESTMENT INCOME | |||
|
Interest income — unaffiliated
issuers |
$2,610,715 | $2,822,250 | |
|
Dividend income — affiliated
issuers |
57,496 | 58,916 | |
|
Other
income |
697 | — | |
|
TOTAL INVESTMENT INCOME
(LOSS) |
2,668,908 | 2,881,166 | |
| EXPENSES | |||
|
Advisory
fee |
425,307 | 464,195 | |
|
Trustees’ fees and
expenses |
948 | 1,445 | |
|
TOTAL
EXPENSES |
426,255 | 465,640 | |
|
Expenses waived/reimbursed by the
Adviser |
(57,655) | (47,864) | |
|
NET
EXPENSES |
368,600 | 417,776 | |
|
NET INVESTMENT INCOME
(LOSS) |
2,300,308 | 2,463,390 | |
| REALIZED AND UNREALIZED GAIN (LOSS) | |||
| Net realized gain (loss) on: | |||
|
Investments — unaffiliated
issuers |
(43,081) | 117,898 | |
| Net change in unrealized appreciation/depreciation on: | |||
|
Investments — unaffiliated
issuers |
3,351,797 | 1,310,293 | |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
3,308,716 | 1,428,191 | |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$5,609,024 | $3,891,581 |
See accompanying notes to financial
statements.
56
Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF
OPERATIONS (continued)
For the Year Ended June 30, 2019
| SPDR DoubleLine Total Return Tactical ETF | |
| INVESTMENT INCOME | |
|
Interest income — unaffiliated
issuers |
$115,486,591 |
|
Dividend income — affiliated
issuers |
1,935,879 |
|
Foreign taxes
withheld |
(9,896) |
|
TOTAL INVESTMENT INCOME
(LOSS) |
117,412,574 |
| EXPENSES | |
|
Advisory
fee |
19,964,162 |
|
Trustees’ fees and
expenses |
55,506 |
|
TOTAL
EXPENSES |
20,019,668 |
|
Expenses waived/reimbursed by the
Adviser |
(3,126,916) |
|
NET
EXPENSES |
16,892,752 |
|
NET INVESTMENT INCOME
(LOSS) |
100,519,822 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investments — unaffiliated
issuers |
(29,183,284) |
| Net change in unrealized appreciation/depreciation on: | |
|
Investments — unaffiliated
issuers |
122,215,480 |
|
Unfunded loan
commitments |
(5,267) |
|
Net change in unrealized
appreciation/depreciation |
122,210,213 |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
93,026,929 |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$193,546,751 |
See accompanying notes to financial statements.
57
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SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR
DoubleLine Emerging Markets Fixed Income ETF | |||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 2,300,308 | $ 1,040,266 | |
|
Net realized gain
(loss) |
(43,081) | 203,609 | |
|
Net change in unrealized
appreciation/depreciation |
3,351,797 | (1,996,624) | |
|
Net increase (decrease) in net assets resulting from
operations |
5,609,024 | (752,749) | |
|
Net equalization credits and
charges |
35,847 | 34,869 | |
|
Distributions to shareholders (Note
11) |
(2,240,675) | (1,497,862) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from sale of shares
sold |
23,145,799 | 22,676,121 | |
|
Cost of shares
redeemed |
(9,812,692) | — | |
|
Net income
equalization |
(35,847) | (34,869) | |
|
Other
Capital |
95,729 | 79,367 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
13,392,989 | 22,720,619 | |
|
Net increase (decrease) in net assets during the
period |
16,797,185 | 20,504,877 | |
|
Net assets at beginning of
period |
48,253,079 | 27,748,202 | |
|
NET ASSETS AT END OF
PERIOD |
$65,050,264 | $48,253,079 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
475,000 | 450,000 | |
|
Shares
redeemed |
(200,000) | — | |
|
Net increase
(decrease) |
275,000 | 450,000 | |
See accompanying notes to financial
statements.
58
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SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR
DoubleLine Short Duration Total Return Tactical ETF | |||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 2,463,390 | $ 1,015,044 | |
|
Net realized gain
(loss) |
117,898 | (66,759) | |
|
Net change in unrealized
appreciation/depreciation |
1,310,293 | (702,128) | |
|
Net increase (decrease) in net assets resulting from
operations |
3,891,581 | 246,157 | |
|
Net equalization credits and
charges |
50,594 | 46,752 | |
|
Distributions to shareholders (Note
11) |
(2,440,795) | (974,641) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from sale of shares
sold |
41,653,504 | 48,865,257 | |
|
Cost of shares
redeemed |
(4,850,418) | — | |
|
Net income
equalization |
(50,594) | (46,752) | |
|
Other
Capital |
106,559 | 122,163 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
36,859,051 | 48,940,668 | |
|
Net increase (decrease) in net assets during the
period |
38,360,431 | 48,258,936 | |
|
Net assets at beginning of
period |
82,983,629 | 34,724,693 | |
|
NET ASSETS AT END OF
PERIOD |
$121,344,060 | $82,983,629 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
850,000 | 1,000,000 | |
|
Shares
redeemed |
(100,000) | — | |
|
Net increase
(decrease) |
750,000 | 1,000,000 | |
See accompanying notes to financial
statements.
59
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SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR DoubleLine Total Return Tactical ETF | |||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 100,519,822 | $ 95,786,055 | |
|
Net realized gain
(loss) |
(29,183,284) | (5,407,972) | |
|
Net change in unrealized
appreciation/depreciation |
122,210,213 | (93,096,941) | |
|
Net increase (decrease) in net assets resulting from
operations |
193,546,751 | (2,718,858) | |
|
Net equalization credits and
charges |
159,504 | 37,755 | |
|
Distributions to shareholders (Note
11) |
(108,291,677) | (103,695,830) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from sale of shares
sold |
536,959,704 | 299,844,384 | |
|
Cost of shares
redeemed |
(470,157,761) | (366,600,086) | |
|
Net income
equalization |
(159,504) | (37,755) | |
|
Other
Capital |
2,585,534 | 1,607,981 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
69,227,973 | (65,185,476) | |
|
Net increase (decrease) in net assets during the
period |
154,642,551 | (171,562,409) | |
|
Net assets at beginning of
period |
3,182,238,797 | 3,353,801,206 | |
|
NET ASSETS AT END OF
PERIOD |
$3,336,881,348 | $3,182,238,797 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
11,250,000 | 6,100,000 | |
|
Shares
redeemed |
(9,950,000) | (7,650,000) | |
|
Net increase
(decrease) |
1,300,000 | (1,550,000) | |
See accompanying notes to financial statements.
60
Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 |
For
the Period 4/14/16* - 6/30/16 | ||||
|
Net asset value, beginning of
period |
$ 48.25 | $ 50.45 | $ 51.52 | $ 50.00 | |||
| Income (loss) from investment operations: | |||||||
|
Net investment income (loss)
(a) |
1.98 | 1.31 | 1.77 | 0.45 | |||
|
Net realized and unrealized gain
(loss) |
2.60 | (1.74) | 1.91 | 1.17 | |||
|
Total from investment
operations |
4.58 | (0.43) | 3.68 | 1.62 | |||
|
Net equalization credits and charges
(a) |
0.03 | 0.04 | 0.01 | — | |||
|
Other capital
(a) |
0.08 | 0.10 | 0.05 | 0.15 | |||
| Distributions to shareholders from: | |||||||
|
Net investment
income |
(1.92) | (1.36) | (1.81) | (0.25) | |||
|
Net realized
gains |
— | (0.55) | (3.00) | — | |||
|
Total
distributions |
(1.92) | (1.91) | (4.81) | (0.25) | |||
|
Net asset value, end of
period |
$ 51.02 | $ 48.25 | $ 50.45 | $ 51.52 | |||
|
Total return
(b) |
9.99% | (0.65)% | 7.67% | 3.55% | |||
| Ratios and Supplemental Data: | |||||||
|
Net assets, end of period (in
000s) |
$65,050 | $48,253 | $27,748 | $38,639 | |||
| Ratios to average net assets: | |||||||
|
Total
expenses |
0.75% | 0.76% | 0.75% | 0.75%(c) | |||
|
Net
expenses |
0.65% | 0.65% | 0.65% | 0.65%(c) | |||
|
Net investment income
(loss) |
4.06% | 2.64% | 3.46% | 4.15%(c) | |||
|
Portfolio turnover rate
(d) |
37% | 55% | 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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (c) | Annualized. |
| (d) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (e) | Not annualized. |
See accompanying notes to financial statements.
61
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SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 |
For
the Period 4/14/16* - 6/30/16 | ||||
|
Net asset value, beginning of
period |
$ 48.81 | $ 49.61 | $ 50.40 | $ 50.00 | |||
| Income (loss) from investment operations: | |||||||
|
Net investment income (loss)
(a) |
1.30 | 1.02 | 1.04 | 0.22 | |||
|
Net realized and unrealized gain
(loss) |
0.62 | (0.99) | (0.53) | 0.20 | |||
|
Total from investment
operations |
1.92 | 0.03 | 0.51 | 0.42 | |||
|
Net equalization credits and charges
(a) |
0.03 | 0.05 | 0.00(b) | — | |||
|
Other capital
(a) |
0.06 | 0.12 | 0.06 | 0.10 | |||
| Distributions to shareholders from: | |||||||
|
Net investment
income |
(1.29) | (1.00) | (1.13) | (0.12) | |||
|
Net realized
gains |
— | — | (0.23) | — | |||
|
Total
distributions |
(1.29) | (1.00) | (1.36) | (0.12) | |||
|
Net asset value, end of
period |
$ 49.53 | $ 48.81 | $ 49.61 | $ 50.40 | |||
|
Total return
(c) |
4.18% | 0.43% | 1.14% | 1.04% | |||
| Ratios and Supplemental Data: | |||||||
|
Net assets, end of period (in
000s) |
$121,344 | $82,984 | $34,725 | $50,404 | |||
| Ratios to average net assets: | |||||||
|
Total
expenses |
0.50% | 0.50% | 0.50% | 0.50%(d) | |||
|
Net
expenses |
0.45% | 0.45% | 0.45% | 0.45%(d) | |||
|
Net investment income
(loss) |
2.65% | 2.07% | 2.10% | 2.06%(d) | |||
|
Portfolio turnover rate
(e) |
62% | 50% | 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 per share. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (d) | Annualized. |
| (e) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (f) | Not annualized. |
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Total Return Tactical ETF | |||||||||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
For
the Period 2/23/15* - 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 47.60 | $ 49.03 | $ 49.87 | $ 49.43 | $ 50.00 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.56 | 1.34 | 1.33 | 1.54 | 0.55 | ||||
|
Net realized and unrealized gain (loss)
(c) |
1.44 | (1.34) | (0.66) | 0.34 | (0.88) | ||||
|
Total from investment
operations |
3.00 | — | 0.67 | 1.88 | (0.33) | ||||
|
Net equalization credits and charges
(b) |
0.00(d) | 0.00(d) | 0.01 | 0.07 | 0.10 | ||||
|
Other capital
(b) |
0.04 | 0.02 | 0.04 | 0.03 | 0.05 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.68) | (1.45) | (1.48) | (1.54) | (0.39) | ||||
|
Net realized
gains |
— | — | (0.08) | — | — | ||||
|
Total
distributions |
(1.68) | (1.45) | (1.56) | (1.54) | (0.39) | ||||
|
Net asset value, end of
period |
$ 48.96 | $ 47.60 | $ 49.03 | $ 49.87 | $ 49.43 | ||||
|
Total return
(e) |
6.53% | 0.04% | 1.55% | 4.03% | (0.34)% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$3,336,881 | $3,182,239 | $3,353,801 | $2,657,951 | $746,443 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.65% | 0.65% | 0.66% | 0.65% | 0.65%(f) | ||||
|
Net
expenses |
0.55% | 0.55% | 0.55% | 0.55% | 0.56%(f) | ||||
|
Net investment income
(loss) |
3.27% | 2.78% | 2.70% | 3.14% | 3.18%(f) | ||||
|
Portfolio turnover
rate |
47%(g) | 34%(h) | 72%(h) | 38%(h) | 14%(h) | ||||
| * | Commencement of operations. |
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
| (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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Annualized. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
63
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2019
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, 2019, the Trust consists of fourteen
(14) 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 to the following series (each a “Fund”, and collectively, the “Funds”):
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR DoubleLine Total Return Tactical ETF |
Each Fund is classified as a diversified investment
company under the 1940 Act, with the exception of SPDR DoubleLine Total Return Tactical ETF, which is a non-diversified investment company.
Prior to the close of business on May 7, 2018, SPDR
DoubleLine Total Return Tactical ETF had been operating in a “master-feeder” arrangement, under which the Fund invested substantially all of its assets in a corresponding series of SSGA Master Trust
(i.e., a “Portfolio/ Master fund”). The State Street DoubleLine Total Return Tactical Portfolio (the “Portfolio”) was a separate mutual fund that had an identical investment objective,
and substantially identical investment strategies, policies and risks as the Fund (i.e., a “feeder fund”). As a result of this arrangement, the Fund had an indirect interest in all of the
securities owned by the Portfolio.
As of the
close of business on May 7, 2018, the securities held by the Portfolio were transferred “in-kind” to the feeder fund in a tax free exchange of the feeder fund’s interests as part of a complete liquidation of the Portfolio.
Effective May 8, 2018, the feeder fund pursues its
investment objective through direct investment in securities of the same type that previously would have been owned by the Portfolio. The discontinuance of the master-feeder arrangement on the feeder fund had no impact on shareholder’s net
asset value or the results of operations for the feeder fund.
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
64
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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.
Security Valuation
Each Fund's investments are valued at fair value
each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE 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 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 Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each 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.
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June 30, 2019
• 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 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 Fund's NAV and the prices used by the Funds' underlying benchmarks. Various inputs are used in determining the value of the Funds' investments.
The Funds 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
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June 30, 2019
assumptions used in determining the fair value
of investments.
The value of each Fund’s
investments, according to the fair value hierarchy as of June 30, 2019, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions,
if any, are recognized on the ex-dividend date, or when the information becomes available, 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.
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.
Foreign Currency Translation
The accounting records of the Funds 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 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 FM's understanding of the applicable foreign
tax regulations and rates that exist in the
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June 30, 2019
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, 2019, if any, are disclosed in the Funds' Statements of Assets and Liabilities.
Equalization
Certain 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.
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR DoubleLine Total Return Tactical ETF |
Distributions
Distributions from net investment income, if any,
are declared and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code of 1986,
as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to 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
Delayed Delivery Transactions and
When-Issued Securities
During the period,
certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities
will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund’s Schedule of Investments. The Funds may
receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of
the commitment. Losses may arise due to changes in the value of the underlying securities
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June 30, 2019
or if the counterparty does not perform under the contract’s
terms, or if the issuer does not issue the securities due to political, economic or other factors.
Loan Agreements
The SPDR DoubleLine Short Duration Total Return
Tactical ETF and SPDR DoubleLine Total Return Tactical ETF 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 Funds 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 Funds as the issuers of such loans.
4. Fees and Transactions with
Affiliates
Advisory Fee
The Trust, on behalf of each Fund, has entered into
an Investment Advisory Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee (“Management/Advisory 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 DoubleLine Emerging Markets Fixed Income
ETF |
0.75% |
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
0.50 |
|
SPDR DoubleLine Total Return Tactical
ETF |
0.65 |
The Adviser has
contractually agreed to waive a portion of its advisory fee and/or reimburse certain expenses, until October 31, 2019, so that the net annual Fund operating expenses of the Fund will be limited to 0.65%, 0.45% and 0.55% of the Fund’s average
daily net assets for the SPDR DoubleLine Emerging Markets Fixed Income ETF, the SPDR DoubleLine Short Duration Total Return Tactical ETF and the SPDR DoubleLine Total Return Tactical ETF, respectively, 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
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June 30, 2019
reimbursement from year to year, but there is no guarantee that the
Adviser will do so and after October 31, 2019, the waiver and/or reimbursement may be canceled 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. The
total amount of expenses waived for the Funds for the period ended June 30, 2019 have been disclosed in the Statements of Operations.
The Adviser pays all the expenses of each Fund other
than the management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses, and other extraordinary
expenses.
The Adviser has contractually agreed
to waive a portion of its management fee and/or reimburse expenses in an amount equal to acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes, if any) for each Fund until October 31, 2019.
DoubleLine Capital LP receives fees for its services
as the sub-adviser to the Funds from the Adviser.
Administrator, Custodian, Sub-Administrator 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.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Funds 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 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, 2019 are disclosed in the Schedules of Investments.
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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 Funds. 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 and short term investments) for the period ended June 30, 2019, were as follows:
| U.S. Government Obligations | Other Securities | ||||||
| Purchases | Sales | Purchases | Sales | ||||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ — | $ — | $ 36,420,543 | $ 19,727,303 | |||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
36,704,444 | 29,690,720 | 40,478,635 | 17,974,990 | |||
|
SPDR DoubleLine Total Return Tactical
ETF |
829,209,270 | 1,122,550,412 | 509,433,326 | 304,337,432 | |||
7. Shareholder
Transactions
Each Fund issues and redeems its
shares, at NAV, 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 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 Statements of Changes in Net Assets.
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
8. 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. Each 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 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 (the “IRS”) 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 each 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 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, and wash sales.
The tax character of distributions paid during the
year ended June 30, 2019, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 2,240,675 | $— | $ 2,240,675 | ||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
2,440,795 | — | 2,440,795 | ||
|
SPDR DoubleLine Total Return Tactical
ETF |
108,291,677 | — | 108,291,677 |
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
The tax character of distributions paid during the
year ended June 30, 2018, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 1,449,429 | $ 48,433 | $ 1,497,862 | ||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
974,641 | — | 974,641 | ||
|
SPDR DoubleLine Total Return Tactical
ETF |
103,695,830 | — | 103,695,830 |
At June 30, 2019, 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 |
$ 145,310 | $ (165,013) | $— | $ 1,629,288 | $— | $ 1,609,585 | |||||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
154,379 | (172,594) | — | 536,146 | — | 517,931 | |||||
|
SPDR DoubleLine Total Return Tactical
ETF |
9,838,749 | (71,721,826) | — | 13,957,268 | — | (47,925,809) |
As of June 30, 2019, the
following Funds had capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ — | $ 165,013 | |
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
— | 172,594 | |
|
SPDR DoubleLine Total Return Tactical
ETF |
16,270,466 | 55,451,360 |
As of June 30, 2019,
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 |
$ 62,561,824 | $ 2,248,433 | $ 619,145 | $ 1,629,288 | |||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
120,488,727 | 969,385 | 433,239 | 536,146 | |||
|
SPDR DoubleLine Total Return Tactical
ETF |
3,328,715,817 | 58,576,505 | 44,612,358 | 13,964,147 |
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
9. Line of Credit
The Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This
agreement expires in October 2019 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 Funds had no outstanding loans as of June 30,
2019.
10. Risks
Concentration Risk
As a result of the Funds' 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 Funds' investments more than if the Funds
were more broadly diversified.
Foreign and
Emerging Markets Risk
Investing in foreign
markets involves risks and considerations not typically 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 Funds invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest 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
Funds 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 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
11. New Accounting
Pronouncement
In August 2018, the U.S.
Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing
redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Funds have adopted the Final Rule for the current period with the most notable impacts being that the Funds are no longer
required to present components of distributable earnings on the Statements of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net
Assets.
For the period ended June 30, 2018,
distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
| Net
Investment Income |
Net
Realized Capital Gains |
Total
Distributions |
Undistributed
Net Investment Income (Loss) |
|||||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 1,032,793 | $ 465,069 | $ 1,497,862 | $ 85,677 | ||||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
974,641 | — | 974,641 | 79,557 | ||||
|
SPDR DoubleLine Total Return Tactical
ETF |
103,695,830 | — | 103,695,830 | 9,694,482 |
12. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR DoubleLine Emerging
Markets Fixed Income ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF, SPDR DoubleLine Total Return Tactical ETF and the Board of Trustees of SSGA Active Trust
Opinion on the Financial Statements and Schedule of
Investments in Securities
We have audited the
accompanying statements of assets and liabilities of SPDR DoubleLine Emerging Markets Fixed Income ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Total Return Tactical ETF (collectively referred to as the
“Funds”) (three of the funds constituting SSGA Active Trust (the “Trust”)), including the schedules of investments or summary schedule of investments, as of June 30, 2019, and the related statements of operations and changes
in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”) (the financial statements are included in item 1 of this Form
N-CSR), and the schedule of investment in securities as of June 30, 2019 (included in item 6 of this Form N-CSR). In our opinion, the financial statements and schedule of investments in securities present fairly, in all material respects, the
financial position of each of the Funds (three of the funds constituting SSGA Active Trust) at June 30, 2019, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below,
in conformity with U.S. generally accepted accounting principles.
| Individual fund constituting the SSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
| SPDR ® DoubleLine® Emerging Markets Fixed Income ETF | For the year ended June 30, 2019 | For each of the two years in the period ended June 30, 2019 | For each of the three years in the period ended June 30, 2019 and the period from April 14, 2016 (commencement of operations) through June 30, 2016 |
| SPDR ® DoubleLine® Short Duration Total Return Tactical ETF | For the year ended June 30, 2019 | For each of the two years in the period ended June 30, 2019 | For each of the three years in the period ended June 30, 2019 and the period from April 14, 2016 (commencement of operations) through June 30, 2016 |
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SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
| Individual fund constituting the SSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
| SPDR ® DoubleLine® Total Return Tactical ETF | For the year ended June 30, 2019 | For each of the two years in the period ended June 30, 2019 | For each of the four years in the period ended June 30, 2019 and the period from February 23, 2015 (commencement of operations) through June 30, 2015 |
Basis for Opinion
These financial statements and schedule of
investments in securities are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements and schedule of investments in securities based on our audits. We are a public
accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and schedule of investments in securities are free of material misstatement, whether due to
error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over
financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess
the risks of material misstatement of the financial statements and schedule of investments in securities, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis,
evidence regarding the amounts and disclosures in the financial statements and schedule of investments in securities. Our procedures included confirmation of securities owned as of June 30, 2019, by correspondence with the custodian, brokers and
others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well
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SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
as evaluating the overall presentation of the financial statements
and schedule of investments in securities. We believe that our audits provide a reasonable basis for our opinion.
We have served
as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 26, 2019
August 26, 2019
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SSGA ACTIVE TRUST
OTHER INFORMATION
June 30, 2019 (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, 2019 to June 30, 2019.
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.
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OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | |||
|
Annualized Expense
Ratio |
0.65% | 0.45% | 0.55% | ||
| Actual: | |||||
|
Ending Account
Value |
$1,090.60 | $1,030.50 | $1,052.60 | ||
|
Expenses Paid During
Period(a) |
3.37 | 2.27 | 2.80 | ||
| Hypothetical (assuming a 5% return before expenses): | |||||
|
Ending Account
Value |
1,021.60 | 1,022.60 | 1,022.10 | ||
|
Expenses Paid During
Period(a) |
3.26 | 2.26 | 2.76 |
| (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. |
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OTHER INFORMATION (continued)
June 30, 2019 (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, 2019.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of
its net taxable income as eligible for the corporate dividends received deduction.
Qualified Interest Income
Each Fund reports the maximum amount allowable of
its net taxable income and short-term capital gain as qualified interest income.
Qualified Dividend Income
A portion of dividends distributed by the Funds
during the fiscal year ended June 30, 2019 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.
Premium/Discount Information
Information regarding how often the Shares of each
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 www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting
policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the
SEC's website at www.sec.gov.
Information regarding how the investment adviser
voted for the 12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds' website at www.spdrs.com.
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OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Quarterly Portfolio Schedule
Following the Funds' first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov. The Funds’ schedules of investments are available upon request, without charge, by
calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.
Full Portfolio Schedule
The complete schedule of portfolio holdings for the
following Fund is available on the Fund's website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC’s website at
www.sec.gov.
SPDR DoubleLine Total Return Tactical ETF
Approval of Advisory Agreement
At in-person meetings held prior to June 30, 2019,
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, SPDR DoubleLine Short Duration Total Return Tactical ETF, and SPDR DoubleLine Total Return Tactical ETF, each a series of SSGA Active Trust (each, a “Fund”
and collectively, the “Funds”). 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 to
consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and
SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the
advice of counsel, deemed reasonably necessary. 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 Funds under the
Agreement, (ii) investment performance of the Funds, (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 Funds grow.
Nature, Extent and Quality of Services
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OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
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 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 Funds as
exchange-traded funds and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for portfolio
management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing each
Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business,
noting that the Adviser 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 each Fund’s
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 each Fund:
SPDR DoubleLine Short Duration Total Return Tactical
ETF. The Board considered that although the Fund equaled the median of its Performance Group for the 1-year period, it underperformed its benchmark index for the 1-year and since inception periods.
SPDR DoubleLine Total Return Tactical ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1- and 2-year periods and that the Fund outperformed its benchmark index for the 1-year period, but underperformed for the
3-year and since inception periods.
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OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
SPDR DoubleLine Emerging Markets Fixed Income ETF. The Board considered that the Fund underperformed the median of its Performance Group for the 1-year period, and that it underperformed its benchmark index for the 1-year and since inception periods.
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.
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 Board, including 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.
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. The Board reviewed the universe of similar exchange-traded funds for each Fund based upon data
independently obtained from Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar exchange-traded funds.
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 each Fund’s assets grow in size. The Board noted that the Agreement 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 each Fund by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with each 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
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
diluted with the addition of breakpoints. The Board noted that it
intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Conclusion
After weighing the foregoing factors, none of which
was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for each Fund. The Board’s conclusions with respect to the factors were as
follows: (a) the nature and extent of the services provided by the Adviser with respect to each Fund 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) the 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) the fees paid to the Adviser adequately shared the economies of scale with respect to each 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, 2019, the Board also considered a proposal to continue the Sub-Advisory Agreement (the “DoubleLine Sub-Advisory Agreement”) between the Adviser and DoubleLine Capital LP (“DoubleLine”) with respect to
each Fund. The Independent Trustees also met separately to consider the DoubleLine Sub-Advisory Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the DoubleLine Sub-Advisory Agreement,
the Board requested, and DoubleLine and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. 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 each Fund under the DoubleLine Sub-Advisory Agreement; and (ii) investment performance of each 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 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 each Fund’s performance, noting that the performance of
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
each Fund was satisfactory. The Board also considered the unitary
fee paid to the Adviser by each 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.
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, including the Independent Trustees voting
separately, approved the DoubleLine Sub-Advisory Agreement for each Fund. The Board’s conclusions with respect to the factors were as follows: (a) the nature and extent of the services provided by DoubleLine with respect to each Fund were
adequate and appropriate; (b) the performance of each Fund had been satisfactory; (c) DoubleLine’s fees for each 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) the fees paid to DoubleLine adequately shared the economies of scale with each Fund by way of the relatively low fee structure of the
Trust.
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 | |||||
| Trustees | ||||||||||
| Independent Trustees | ||||||||||
| FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
128 | Affiliated
Managers Group, Inc. (Director). |
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
128 | The
Motley Fool Funds Trust (Trustee). | |||||
| CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
128 | Putnam
Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
| SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
128 | Guggenheim/Rydex
Funds (Trustee). |
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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). |
189 | None. | |||||
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds 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. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | ||||||
| ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
| SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
| ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
| JAMES
GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||
| KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
| DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
| CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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). | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). |
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
| BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. | ||||||
| The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. | ||||||
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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
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
Annual Report
June 30, 2019
SSGA Active Trust
| SPDR Blackstone / GSO Senior Loan ETF |
Beginning on January 1, 2021, as permitted by regulations
adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your
financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to
access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial
intermediary.
You may elect to receive all future reports
in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will
apply to all funds held in your account.
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.
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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
Note to Performance Summary (Unaudited)
The performance chart of a 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. A Fund’s per share NAV is the value of one share of a 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 a Fund and the market return is based on the market price per share of a 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 a Fund are listed for trading, as of the time that a Fund’s NAV is calculated. NAV and
market returns assume that dividends and capital gain distributions have been reinvested in a 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, a Fund’s performance is negatively impacted
by these deductions. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
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. Markit is a premier provider of independent, transparent, and objective loan indices for trading, product structuring, and
benchmarking to bring transparency and liquidity to the financial markets.
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. The index consists of 100 loan
facilities drawn from a larger benchmark, the S&P/LSTA (Loan Syndications and Trading Association) Leveraged Loan Index (LLI).
See accompanying notes to financial statements.
1
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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 each of the Fund and 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, 2019 (the
“Reporting Period”), the total return for the Fund was 3.68%, and the Index was 3.49%. 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 B-rated and below loans and the
industrials and energy sectors were the primary positive drivers of Fund performance during the Reporting Period relative to the Index. Underweight allocations to BB-rated loans, the consumer sector, and certain stressed retail loans were the
primary detractors as each of these outperformed during the Reporting Period.
The Fund did not invest in derivatives during the Reporting
Period.
On an individual security level, the top
positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were PetSmart Inc. Term Loan, Asurion Corporation Second Lien Term Loan, and Univision Communications Term Loan. The top negative contributors to
the Fund’s performance on an absolute basis during the Reporting Period were Envision Healthcare Term Loan, Maxar Technologies Term Loan, and Envision Healthcare Unsecured Bond.
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.
See accompanying notes to financial statements.
2
Table of Contents
SPDR Blackstone / GSO Senior Loan ETF
Performance Summary (Unaudited)
Performance as of June 30, 2019
| Cumulative Total Return | Average Annual Total Return | ||||||||
| Net
Asset Value |
Market
Value |
Markit iBoxx USD Liquid Leveraged Loan Index | Net
Asset Value |
Market
Value |
Markit iBoxx USD Liquid Leveraged Loan Index | ||||
| ONE YEAR(1) | 3.68% | 3.71% | 3.49% | 3.68% | 3.71% | 3.49% | |||
| FIVE YEARS(1) | 14.78% | 14.71% | 12.96% | 2.79% | 2.78% | 2.47% | |||
| SINCE INCEPTION(1) (2) | 18.54% | 18.46% | 18.65% | 2.76% | 2.75% | 2.78% | |||
| (1) | The One Year, Five Year and Since Inception Cumulative Total Returns for the Fund’s secondary benchmark, S&P/LSTA U.S. Leveraged Loan 100 Index, were 4.22%, 16.52% and 22.72%, respectively. The One Year, Five Year and Since Inception Average Annual Total Returns for the Fund’s secondary benchmark, S&P/LSTA U.S. Leveraged Loan 100 Index, were 4.22%, 3.10% and 3.34%, respectively. |
| (2) | For the period April 3, 2013 to June 30, 2019. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line
graph is based on cumulative total return.
The total
expense ratio for SPDR Blackstone / GSO Senior Loan ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.70%.
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. See "Note to Performance Summary" on page 1 for more information.
See
accompanying notes to financial statements.
3
Table of Contents
SSGA ACTIVE TRUST
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2019
| SPDR Blackstone / GSO Senior Loan ETF | |
| ASSETS | |
|
Investment in corresponding affiliated Portfolio, at
value |
$2,223,143,581 |
|
Cash |
9 |
|
TOTAL ASSETS
|
2,223,143,590 |
| LIABILITIES | |
|
Advisory fee
payable |
738,000 |
|
Trustees’ fees and expenses
payable |
5,480 |
|
TOTAL LIABILITIES
|
743,480 |
|
NET ASSETS
|
$2,222,400,110 |
| NET ASSETS CONSIST OF: | |
|
Paid-in
Capital |
$2,358,897,608 |
|
Total distributable earnings
(loss) |
(136,497,498) |
|
NET ASSETS
|
$2,222,400,110 |
| NET ASSET VALUE PER SHARE | |
|
Net asset value per
share |
$ 46.25 |
|
Shares outstanding (unlimited amount authorized, no par
value) |
48,050,000 |
| COST OF INVESTMENTS: | |
|
Investments in corresponding affiliated
Portfolio |
$2,238,571,848 |
See accompanying notes to financial statements and financial
statements of the Master Portfolio.
4
Table of Contents
SSGA ACTIVE TRUST
STATEMENT OF OPERATIONS
For the Year Ended June 30, 2019
| SPDR Blackstone / GSO Senior Loan ETF | |
| INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
|
Interest income allocated from affiliated
Portfolio |
$161,843,302 |
|
Dividend income allocated from affiliated
Portfolio |
4,228,568 |
|
Interest income - unaffiliated
issuers |
8,136 |
|
Expenses allocated from affiliated
Portfolio |
(8,325,532) |
|
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED
PORTFOLIO |
157,754,474 |
| EXPENSES | |
|
Advisory
fee |
11,017,790 |
|
Trustees’ fees and
expenses |
51,943 |
|
TOTAL
EXPENSES |
11,069,733 |
|
NET INVESTMENT INCOME
(LOSS) |
146,684,741 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investment transactions allocated from affiliated
Portfolio |
(68,985,052) |
| Net change in unrealized appreciation/depreciation on: | |
|
Investment transactions allocated from affiliated
Portfolio |
(7,710,527) |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(76,695,579) |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ 69,989,162 |
See accompanying notes to financial statements and financial
statements of the Master Portfolio.
5
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SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR Blackstone / GSO Senior Loan ETF | |||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 146,684,741 | $ 103,046,158 | |
|
Net realized gain
(loss) |
(68,985,052) | (11,863,241) | |
|
Net change in unrealized
appreciation/depreciation |
(7,710,527) | (16,510,899) | |
|
Net increase (decrease) in net assets resulting from
operations |
69,989,162 | 74,672,018 | |
|
Net equalization credits and
charges |
(1,756,152) | 1,868,667 | |
|
Distributions to shareholders (Note
7) |
(147,138,500) | (97,740,250) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from sale of shares
sold |
780,016,464 | 1,509,849,497 | |
|
Cost of shares
redeemed |
(1,675,706,058) | (118,513,417) | |
|
Net income
equalization |
1,756,152 | (1,868,667) | |
|
Other
Capital |
5,615,427 | 850,598 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
(888,318,015) | 1,390,318,011 | |
|
Net increase (decrease) in net assets during the
period |
(967,223,505) | 1,369,118,446 | |
|
Net assets at beginning of
period |
3,189,623,615 | 1,820,505,169 | |
|
NET ASSETS AT END OF
PERIOD |
$ 2,222,400,110 | $3,189,623,615 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
16,750,000 | 31,900,000 | |
|
Shares
redeemed |
(36,500,000) | (2,500,000) | |
|
Net increase
(decrease) |
(19,750,000) | 29,400,000 | |
See accompanying notes to financial statements and financial
statements of the Master Portfolio.
6
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SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR Blackstone / GSO Senior Loan ETF | |||||||||
| Year
Ended 6/30/19(a) |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) |
Year
Ended 6/30/15(a) | |||||
|
Net asset value, beginning of
period |
$ 47.04 | $ 47.41 | $ 46.64 | $ 49.22 | $ 50.02 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
2.48 | 2.04 | 1.85 | 1.95 | 2.01 | ||||
|
Net realized and unrealized gain (loss)
(c) |
(0.86) | (0.50) | 0.73 | (2.58) | (0.88) | ||||
|
Total from investment
operations |
1.62 | 1.54 | 2.58 | (0.63) | 1.13 | ||||
|
Net equalization credits and charges
(b) |
(0.03) | 0.04 | 0.05 | 0.02 | 0.01 | ||||
|
Other capital
(b) |
0.09 | 0.02 | 0.02 | 0.02 | 0.02 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(2.47) | (1.97) | (1.88) | (1.99) | (1.96) | ||||
|
Net asset value, end of
period |
$ 46.25 | $ 47.04 | $ 47.41 | $ 46.64 | $ 49.22 | ||||
|
Total return
(d) |
3.68% | 3.43% | 5.77% | (1.15)% | 2.38% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$2,222,400 | $3,189,624 | $1,820,505 | $802,228 | $671,810 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.70% | 0.70% | 0.70% | 0.71% | 0.71% | ||||
|
Net investment income
(loss) |
5.33% | 4.30% | 3.91% | 4.15% | 4.09% | ||||
|
Portfolio turnover rate
(e) |
124% | 90% | 68% | 88% | 65% | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated 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 returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (e) | Portfolio turnover rate is from the affiliated Portfolio. |
See accompanying notes to financial statements and
financial statements of the Master Portfolio.
7
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2019
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, 2019, the Trust consists of fourteen
(14) 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 only to the SPDR Blackstone / GSO Senior Loan ETF (the “Fund”).
The Fund is classified as a diversified investment
company under the 1940 Act.
The Fund is part
of a master-feeder structure and invests substantially all of its assets in the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”), a series of the SSGA Master Trust (“Master Trust”). The value of the Fund's investment
in the Portfolio reflects the Fund's proportionate interest in net assets of the Portfolio (100.00% at June 30, 2019). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio,
including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund's financial statements.
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.
8
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Security Valuation
The Fund records its investment in the Portfolio at
fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio's Notes to Financial Statements, which are attached to this report.
The Portfolio's investments are valued at fair value
each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE 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 overseeing the determination of the fair value of investments.
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 its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s
pro-rata share of the net investment income of its 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 Fund within the Trust. Class specific expenses are borne by each class.
The Fund is allocated a pro-rata share of the
expenses of its Portfolio.
Equalization
The Fund 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
9
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Fund shares. Amounts related to Equalization can be found on the
Statements of Changes in Net Assets.
Distributions
Distributions from net investment income, if any,
are declared and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the
Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to 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 Trust, on behalf of 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
(“Management/Advisory fee”) accrued daily and paid monthly, based on a percentage of the Fund’s average daily net assets as shown in the following table:
| Annual Rate | |
|
SPDR Blackstone / GSO Senior Loan
ETF |
0.70%* |
| * | The Advisory fee is reduced by the pro-rata share of the advisory fee of the Fund’s Portfolio. For the period ended June 30, 2019, the net annualized advisory fee was 0.40%. |
The Adviser pays all the operating expenses of the
Fund other than the management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses and other
extraordinary expenses.
The Adviser has
contractually agreed to waive a portion of its management fee and/or reimburse expenses in an amount equal to acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes, if any) for the Fund until October 31,
2019.
10
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Administrator, Custodian, Sub-Administrator 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.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
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, 2019, are disclosed in the Statement of Assets and Liabilities.
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. Shareholder
Transactions
The Fund issues and redeems its
shares, at Net Asset Value (“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 on Net Assets.
11
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
6. Income Tax Information
The Fund has qualified and intends to continue to
qualify as a regulated investment company under Subchapter M of the Internal Revenue Code . 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 wash sales.
The tax
character of distributions paid during the year ended June 30, 2019, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR Blackstone / GSO Senior Loan
ETF |
$147,138,500 | $— | $147,138,500 |
The tax character of
distributions paid during the year ended June 30, 2018, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR Blackstone / GSO Senior Loan ETF
|
$ 97,740,250 | $ — | $ 97,740,250 |
12
Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
At June 30, 2019, 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 Blackstone / GSO Senior Loan
ETF |
$7,952,442 | $(120,085,688) | $— | $(24,364,252) | $— | $(136,497,498) |
As of June 30, 2019, the
Fund had capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
|
SPDR Blackstone / GSO Senior Loan
ETF |
$62,240,756 | $57,844,932 |
As of June 30, 2019,
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 Blackstone / GSO Senior Loan
ETF |
$2,247,507,833 | $— | $24,364,252 | $(24,364,252) |
7. New Accounting
Pronouncements
In August 2018, the U.S.
Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing
redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Fund has adopted the Final Rule for the current period with the most notable impacts being that the Fund is no longer
required to present the components of distributable earnings on the Statement of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net
Assets.
For the period ended June 30, 2018,
distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
13
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
| Net
Investment Income |
Net
Realized Gains |
Total
Distributions |
Undistributed
Net Investment Income (Loss) |
|||||
|
SPDR Blackstone / GSO Senior Loan
ETF |
$ 97,740,250 | $— | $ 97,740,250 | $ 8,406,201 |
8. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below:
The SPDR Blackstone / GSO Senior Loan ETF ( the
“Fund”) had been operating in a “master-feeder” arrangement, under which the Fund invested substantially all of its assets in a corresponding series of SSGA Master Trust (i.e., a “master fund”), namely SPDR
Blackstone / GSO Senior Loan Portfolio.
The
master fund was a separate mutual fund that had an identical investment objective, and substantially identical investment strategies, policies and risks as the Fund. As a result of this arrangement, the Fund had an indirect interest in all of the
securities owned by the corresponding master fund.
At a meeting held on May 22- 23, 2019, the Board of
Trustees approved discontinuing the Fund’s investment strategy of investing through the master-feeder arrangement. Accordingly, effective September 9, 2019, all references to the master-feeder arrangement for the Fund and the master fund is
removed from the prospectus and SAI. Other than discontinuing the master-feeder arrangement, there is no change to the investment objective, strategies or policies of the Fund. In addition, there is no anticipated change in the Fund’s
operating expenses. As a result, SSGA Funds Management, Inc., the Fund’s investment adviser, does not expect the discontinuation of the master-feeder arrangement to materially affect the Fund’s investment returns.
14
Table of Contents
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders and the Board of Trustees of
SPDR Blackstone / GSO Senior Loan ETF
Opinion on
the Financial Statements
We have audited the
accompanying statement of assets and liabilities of SPDR Blackstone / GSO Senior Loan ETF (the “Fund”) (one of the funds constituting SSGA Active Trust (the “Trust”)), as of June 30, 2019, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred
to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting SSGA Active Trust), at June 30, 2019, the results of
its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period ended, in conformity with U.S. generally accepted
accounting principles.
Basis for Opinion
These financial statements are the responsibility of
the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to
have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of
expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess
the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures
in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2019, by
15
Table of Contents
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
correspondence with the custodian, brokers and others or by other
appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation
of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served
as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 26, 2019
August 26, 2019
16
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION
June 30, 2019 (Unaudited)
Expense Example
As a shareholder of the 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, 2019 to June 30, 2019.
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 the 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.
17
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
| SPDR Blackstone / GSO Senior Loan ETF (a) | |
|
Annualized Expense
Ratio |
0.70% |
| Actual: | |
|
Ending Account
Value |
$1,054.40 |
|
Expenses Paid During
Period(b) |
3.57 |
| Hypothetical (assuming a 5% return before expenses): | |
|
Ending Account
Value |
1,021.30 |
|
Expenses Paid During
Period(b) |
3.51 |
| (a) | Because the Fund invests all of its assets in its respective Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests. |
| (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. |
18
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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, 2019.
Qualified Interest Income
The Fund reports the maximum amount allowable of its
net taxable income and short-term capital gain 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 www.spdrs.com.
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 SEC's website
at www.sec.gov.
Information regarding how the investment adviser
voted for the prior 12-month 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
Following the Fund’s first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov. The Fund’s schedules of investments are available upon request, without charge, by
calling 1-866-787-2257 (toll free) and on the Fund’s website at www.spdrs.com.
Approval of Advisory Agreements
At in-person meetings held prior to June 30, 2019,
the Board of Trustees of the Trusts (the “Board”) evaluated proposals to continue the separate Investment Advisory Agreement (the “Agreements”) between each Trust and SSGA Funds Management, Inc. (the “Adviser” or
“SSGA FM”) with respect to: (1) the SPDR Blackstone / GSO Senior Loan ETF, a series of SSGA Active Trust, and (2) the Blackstone / GSO Senior Loan Portfolio, a series of SSGA Master Trust (together with the SPDR Blackstone / GSO Senior
Loan ETF, the “Funds”). The Trustees who are not “interested persons” of each
19
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Trust within the meaning of the Investment Company Act of 1940, as
amended (the “Independent Trustees”), also met separately to consider the Agreements. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreements, the Board requested, and
SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trusts’ sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the
advice of counsel, deemed reasonably necessary. 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 SPDR
Blackstone / GSO Senior Loan ETF as an exchange-traded fund and the experience and expertise of the Adviser with exchange-traded funds, as well as with master-feeder structures. 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 in overseeing
third-party sub-advisers.
20
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Investment Performance
SPDR Blackstone / GSO Senior Loan ETF. The Board then reviewed the Funds’ performance. The Board compared the SPDR Blackstone / GSO Senior Loan ETF’s (the feeder fund) 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 that although the Fund underperformed the median of its Performance Group for the 4- and 5-year periods, it outperformed the median of its
Performance Group for the 1-, 2- and 3-year periods. In addition, the Board considered that the Fund outperformed its benchmark index for the 1-, 3- and 5-year and since inception periods.
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.
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 Board, including 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.
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. The Board reviewed the universe of similar exchange-traded funds 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 of the SPDR Blackstone / GSO Senior Loan ETF 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
21
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
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
After weighing the foregoing factors, none of which
was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for each Fund. The Board’s conclusions with respect to the factors 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 the SPDR GSO / Blackstone Senior Loan ETF had been satisfactory; (c) the Adviser’s unitary fee for
the SPDR GSO / Blackstone Senior Loan ETF, 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) the fees paid to the Adviser adequately 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 in-person meetings
held prior to June 30, 2019, 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 to consider the GSO / Blackstone Sub-Advisory Agreements. The Independent Trustees were advised by their independent legal counsel throughout the process.
22
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
To evaluate the GSO / Blackstone Sub-Advisory
Agreements, the Board requested, and GSO / Blackstone and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. 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.
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, including the Independent Trustees voting
separately, approved the GSO / Blackstone Sub-Advisory Agreement for each GSO / Blackstone Fund. The Board’s conclusions with respect to the factors 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) the 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.
23
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SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| Trustees | ||||||||||
| Independent Trustees | ||||||||||
| FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
128 | Affiliated
Managers Group, Inc. (Director). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
128 | The
Motley Fool Funds Trust (Trustee). | |||||
| CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
128 | Putnam
Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). |
24
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
128 | Guggenheim/Rydex
Funds (Trustee). | |||||
| Interested Trustee | ||||||||||
| JAMES
E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). |
189 | None. | |||||
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds 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. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
25
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | ||||||
| ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
| SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
| ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
| JAMES
GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
26
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||
| KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
| DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
| CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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). | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). |
27
Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
| BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. | ||||||
| The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. | ||||||
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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
Annual Report
June 30, 2019
SSGA Master Trust
| Blackstone / GSO Senior Loan Portfolio |
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.
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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
Blackstone / GSO Senior Loan Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2019
| Description | % of Net Assets | ||
| Envision
Healthcare Corp. Senior Secured 2018 1st Lien Term Loan 6.15% 10/10/2025 |
2.0% | ||
| CenturyLink,
Inc. Senior Secured 2017 Term Loan B 5.15% 1/31/2025 |
1.8 | ||
| Univision
Communications, Inc. Senior Secured Term Loan C5 5.15% 3/15/2024 |
1.7 | ||
| Bass
Pro Group LLC Senior Secured Term Loan B 7.40% 9/25/2024 |
1.6 | ||
| Almonde,
Inc. Senior Secured USD 1st Lien Term Loan 5.90% 6/13/2024 |
1.4 | ||
| TOTAL | 8.5% |
(The five largest holdings are subject to
change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of June 30,
2019
| % of Net Assets | |||
| Software | 11.8% | ||
| Health Care Providers & Services | 10.0 | ||
| Media | 9.5 | ||
| Commercial Services & Supplies | 9.3 | ||
| Hotels, Restaurants & Leisure | 4.6 | ||
| Insurance | 4.4 | ||
| Pharmaceuticals | 4.2 | ||
| Specialty Retail | 3.0 | ||
| Computer Services | 3.0 | ||
| Diversified Telecommunication Services | 2.1 | ||
| Auto Components | 2.0 | ||
| Containers & Packaging | 1.9 | ||
| Diversified Financial Services | 1.9 | ||
| IT Services | 1.8 | ||
| Chemicals | 1.7 | ||
| Aerospace & Defense | 1.5 | ||
| Telecom Services | 1.5 | ||
| Retail-Restaurants | 1.4 | ||
| Electronic Equipment, Instruments & Components | 1.3 | ||
| Machinery-Construction & Mining | 1.3 | ||
| Diversified Operations | 1.3 | ||
| Machinery | 1.2 | ||
| Construction Materials | 1.1 | ||
| Advertising Services | 1.0 | ||
| Health Care Technology | 0.9 | ||
| Interactive Media & Services | 0.9 | ||
| Capital Markets | 0.9 | ||
| Recycling | 0.9 | ||
| Health Care Equipment & Supplies | 0.9 | ||
| Life Sciences Tools & Services | 0.7 |
See accompanying notes to financial statements.
1
Table of Contents
Blackstone / GSO Senior Loan Portfolio
Portfolio Statistics (Unaudited) (continued)
| % of Net Assets | |||
| Construction & Engineering | 0.7% | ||
| Entertainment | 0.7 | ||
| Food Products | 0.6 | ||
| Electric Utilities | 0.6 | ||
| Distributors | 0.5 | ||
| Pollution Control | 0.5 | ||
| Internet & Catalog Retail | 0.5 | ||
| Oil, Gas & Consumable Fuels | 0.5 | ||
| Pipelines | 0.5 | ||
| Food & Beverage | 0.5 | ||
| Multiline Retail | 0.4 | ||
| Professional Services | 0.3 | ||
| Financial Services | 0.3 | ||
| Semiconductor Equipment | 0.3 | ||
| Metals & Mining | 0.3 | ||
| Paper&Related Products | 0.3 | ||
| Thrifts & Mortgage Finance | 0.3 | ||
| Retail-Petroleum Product | 0.3 | ||
| Household Products | 0.2 | ||
| Leisure Equipment & Products | 0.2 | ||
| Hand/Machine Tools and Related Products | 0.2 | ||
| Energy Equipment & Services | 0.1 | ||
| Building Products | 0.1 | ||
| Electrical Equipment | 0.1 | ||
| Food & Staples Retailing | 0.1 | ||
| Telecommunication Equip | 0.1 | ||
| Diagnostic Equipment | 0.1 | ||
| Distribution/Wholesale | 0.1 | ||
| Electric-Generation | 0.1 | ||
| Diversified Consumer Services | 0.0 * | ||
| Oil-Field Services | 0.0 * | ||
| Air Freight & Logistics | 0.0 * | ||
| Short-Term Investment | 3.3 | ||
| Liabilities in Excess of Other Assets | (0.8) | ||
| TOTAL | 100.0% | ||
| * | Amount shown represents less than 0.05% of net assets. |
(The Portfolio's industry breakdown is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| SENIOR FLOATING RATE LOANS — 82.0% (a) | |||||
| ADVERTISING SERVICES — 1.0% | |||||
|
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%,
8/15/2025 |
$ 7,393,921 | $ 7,393,957 | |||
|
Red Ventures LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%,
11/8/2024 |
14,015,105 | 14,001,511 | |||
| 21,395,468 | |||||
| AEROSPACE & DEFENSE — 1.1% | |||||
| TransDigm, Inc.: | |||||
|
Senior Secured 2018 Term Loan E, 3 Month USD LIBOR + 2.50%, 4.83%,
5/30/2025 |
17,103,508 | 16,738,263 | |||
|
Senior Secured 2018 Term Loan F, 3 Month USD LIBOR + 2.50%, 4.83%,
6/9/2023 |
8,006,567 | 7,872,737 | |||
| 24,611,000 | |||||
| AIR FREIGHT & LOGISTICS — 0.0% (b) | |||||
|
XPO Logistics, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.50%, 4.88%,
2/24/2025 |
936,508 | 939,102 | |||
| AUTO COMPONENTS — 1.6% | |||||
|
Panther BF Aggregator 2 L.P. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%,
4/30/2026 |
22,000,000 | 21,869,430 | |||
|
USI, Inc. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.00%, 5.33%,
5/16/2024 |
14,508,306 | 14,170,189 | |||
| 36,039,619 | |||||
| BUILDING PRODUCTS — 0.1% | |||||
|
AZEK Co. LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.75%, 5.93%,
5/5/2024 |
1,974,747 | 1,945,126 |
See accompanying notes to financial statements.
3
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.33%,
2/29/2024 |
$ 653,723 | $ 652,703 | |||
| 2,597,829 | |||||
| CAPITAL MARKETS — 0.9% | |||||
|
AqGen Ascensus, Inc. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 4.00%, 6.20%,
12/3/2022 |
3,789,420 | 3,801,281 | |||
|
Deerfield Dakota Holdings, LLC. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%,
2/13/2025 |
17,503,251 | 17,009,396 | |||
| 20,810,677 | |||||
| CHEMICALS — 1.7% | |||||
|
Alpha 3 B.V. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.00%, 5.33%,
1/31/2024 |
3,871,416 | 3,796,892 | |||
|
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
11/21/2024 |
1,061,802 | 1,067,445 | |||
|
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.82%,
8/1/2025 |
9,875,126 | 9,801,062 | |||
|
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.67%,
10/1/2025 |
20,321,352 | 20,054,635 | |||
|
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 5.98%,
10/28/2024 |
3,447,009 | 3,408,230 | |||
| 38,128,264 | |||||
| COMMERCIAL SERVICES & SUPPLIES — 8.0% | |||||
| Allied Universal Holdco LLC: | |||||
|
Senior Secured 2019 Delayed Draw Term Loan, 6.65%,
6/26/2026 |
1,981,982 | 1,977,027 | |||
|
Senior Secured 2019 Term Loan B, 6.15%,
6/26/2026 |
20,018,018 | 19,967,973 |
See accompanying notes to financial statements.
4
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Ancestry.com Operations, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%,
10/19/2023 |
$ 4,603,564 | $ 4,601,653 | |||
|
APX Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 5.00%, 7.33%,
4/1/2024 |
4,253,588 | 4,072,811 | |||
| Asurion LLC: | |||||
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.90%,
8/4/2025 |
12,446,519 | 12,647,531 | |||
|
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 5.40%,
8/4/2022 |
6,452,316 | 6,445,380 | |||
|
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.40%,
11/3/2023 |
29,670,889 | 29,647,004 | |||
|
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 5.40%,
11/3/2024 |
18,506,300 | 18,492,143 | |||
|
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.41%,
2/9/2026 |
3,787,975 | 3,810,703 | |||
|
Comet Acquisition, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
10/24/2025 |
4,070,455 | 4,024,662 | |||
|
Equian LLC Senior Secured Add on Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%,
5/20/2024 |
4,346,650 | 4,348,280 | |||
|
ExamWorks Group, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
7/27/2023 |
2,992,328 | 2,994,198 | |||
|
GFL Environmental, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%,
5/30/2025 |
9,638,966 | 9,498,719 | |||
|
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%,
2/21/2025 |
4,842,113 | 4,831,726 | |||
|
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.83%,
3/13/2025 |
4,998,581 | 4,928,601 |
See accompanying notes to financial statements.
5
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
2/27/2025 |
$ 7,418,683 | $ 7,358,406 | |||
|
Packers Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.32%,
12/4/2024 |
2,817,974 | 2,781,862 | |||
|
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%,
5/2/2022 |
1,321,170 | 1,313,798 | |||
|
Prometric Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.41%,
1/29/2025 |
900,650 | 884,889 | |||
|
Southern Graphics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.73%,
12/31/2022 |
152,027 | 127,608 | |||
|
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 6.83%,
7/30/2025 |
5,550,303 | 5,524,882 | |||
|
TruGreen, Ltd. Partnership Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%,
3/19/2026 |
1,660,333 | 1,666,567 | |||
|
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.90%,
8/27/2025 |
21,710,937 | 21,768,689 | |||
| VT Topco, Inc.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%,
8/1/2025 |
3,416,047 | 3,414,970 | |||
|
Senior Secured 2018 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%,
8/1/2025 |
708,093 | 707,870 | |||
| 177,837,952 | |||||
| COMPUTER SERVICES — 2.4% | |||||
|
Carbonite, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%,
3/26/2026 |
4,000,000 | 4,014,160 | |||
|
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 7.40%,
1/4/2026 |
23,215,606 | 22,141,884 |
See accompanying notes to financial statements.
6
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Dell International LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.41%,
9/7/2023 |
$ 974,760 | $ 970,905 | |||
|
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.15%,
7/12/2025 |
16,115,242 | 15,933,946 | |||
|
Perforce Software, Inc. Senior Secured Term Loan B, 4.50%,
7/1/2026 |
10,080,645 | 10,080,645 | |||
|
Tempo Acquisition LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
5/1/2024 |
997,456 | 994,962 | |||
| 54,136,502 | |||||
| CONSTRUCTION & ENGINEERING — 0.6% | |||||
|
CNT Holdings III Corp. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.45%,
1/22/2023 |
4,911,839 | 4,870,383 | |||
|
Dynasty Acquisition Co., Inc. Senior Secured 2019 Term Loan B1, 3 Month USD LIBOR + 4.00%, 6.33%,
4/6/2026 |
3,333,042 | 3,351,490 | |||
|
MX Holdings US, Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 3.00%, 5.40%,
7/31/2025 |
1,989,802 | 1,988,558 | |||
|
Pike Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.91%,
3/23/2025 |
3,513,639 | 3,522,740 | |||
| 13,733,171 | |||||
| CONSTRUCTION MATERIALS — 1.1% | |||||
|
ERM Emerald US, Inc. Senior Secured USD Term Loan, 3.75%,
6/26/2026 |
5,154,639 | 5,167,526 | |||
|
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%,
11/15/2023 |
15,000,000 | 14,760,450 |
See accompanying notes to financial statements.
7
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Tamko Building Products, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 5.58%,
4/23/2026 |
$ 4,477,612 | $ 4,471,903 | |||
|
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.00%, 6.59%,
9/27/2024 |
874,762 | 867,261 | |||
| 25,267,140 | |||||
| CONTAINERS & PACKAGING — 1.9% | |||||
|
Berlin Packaging LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.44%,
11/7/2025 |
4,584,022 | 4,460,506 | |||
|
Berry Global, Inc. Senior Secured USD Term Loan U, 2.50%,
5/15/2026 |
20,297,872 | 20,183,697 | |||
|
Charter NEX US Holdings, Inc. Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%,
5/16/2024 |
5,397,727 | 5,390,305 | |||
|
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%,
2/5/2023 |
5,121,293 | 5,090,667 | |||
|
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.65%,
10/17/2024 |
7,613,572 | 7,228,173 | |||
| 42,353,348 | |||||
| DIAGNOSTIC EQUIPMENT — 0.1% | |||||
|
Lifescan Global Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.66%,
10/1/2024 |
1,836,752 | 1,758,690 | |||
| DISTRIBUTION/WHOLESALE — 0.0% (b) | |||||
|
Univar USA, Inc. Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%,
7/1/2024 |
951,203 | 951,503 |
See accompanying notes to financial statements.
8
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| DISTRIBUTORS — 0.4% | |||||
|
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.08%,
5/2/2023 |
$ 5,454,660 | $ 5,439,333 | |||
|
Spin Holdco, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.85%,
11/14/2022 |
2,481,013 | 2,436,044 | |||
| 7,875,377 | |||||
| DIVERSIFIED CONSUMER SERVICES — 0.0% (b) | |||||
|
Weight Watchers International, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.75%, 7.35%,
11/29/2024 |
175,922 | 173,247 | |||
| DIVERSIFIED FINANCIAL SERVICES — 1.8% | |||||
| Edelman Financial Center LLC: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.64%,
7/21/2025 |
6,977,516 | 6,965,061 | |||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.14%,
7/20/2026 |
769,231 | 775,000 | |||
|
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.33%,
5/23/2025 |
2,207,432 | 2,192,532 | |||
|
LDiscovery LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.88%, 8.47%,
12/9/2022 |
3,203,463 | 3,187,462 | |||
|
Millennium Trust Co. LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.40%,
2/26/2026 |
6,100,096 | 6,013,658 | |||
|
UFC Holdings LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%,
4/29/2026 |
292,299 | 292,116 | |||
|
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.16%,
5/18/2025 |
22,138,365 | 21,455,728 | |||
| 40,881,557 | |||||
| DIVERSIFIED OPERATIONS — 1.3% | |||||
| Travelport Finance (Luxembourg) S.a.r.l.: |
See accompanying notes to financial statements.
9
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2019 2nd Lien Term Loan, 1 Month USD LIBOR + 9.00%, 11.54%,
3/31/2027 |
$ 15,000,000 | $ 14,475,000 | |||
|
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 7.54%,
5/29/2026 |
15,000,000 | 14,151,525 | |||
| 28,626,525 | |||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 2.1% | |||||
|
CenturyLink, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
1/31/2025 |
40,734,021 | 39,862,924 | |||
|
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.41%,
10/4/2023 |
6,467,540 | 6,203,761 | |||
|
Telesat Canada Senior Secured Term Loan B4, 3 Month USD LIBOR + 2.50%, 4.83%,
11/17/2023 |
954,402 | 945,259 | |||
| 47,011,944 | |||||
| ELECTRICAL EQUIPMENT — 0.1% | |||||
|
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.83%,
12/2/2024 |
2,293,102 | 2,290,236 | |||
| ELECTRIC-GENERATION — 0.1% | |||||
|
1199169 B.C. ULC Senior Secured 2019 Term Loan B2, 3 Month USD LIBOR + 4.00%, 6.33%,
4/6/2026 |
1,791,958 | 1,801,876 | |||
| ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.2% | |||||
|
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%,
7/26/2024 |
9,559,246 | 9,517,424 | |||
|
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%,
2/12/2025 |
15,678,598 | 15,423,821 |
See accompanying notes to financial statements.
10
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 4.94%,
9/28/2024 |
$ 1,399,601 | $ 1,389,986 | |||
| 26,331,231 | |||||
| ENERGY EQUIPMENT & SERVICES — 0.1% | |||||
|
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.08%,
10/31/2024 |
2,262,857 | 2,260,639 | |||
| ENTERTAINMENT — 0.3% | |||||
|
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.23%,
4/22/2026 |
997,500 | 996,442 | |||
|
Crown Finance US, Inc. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.25%, 4.65%,
2/28/2025 |
536,335 | 528,317 | |||
|
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
5/29/2026 |
5,105,263 | 5,119,609 | |||
|
Six Flags Theme Parks, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.41%,
4/17/2026 |
791,557 | 793,286 | |||
| 7,437,654 | |||||
| FINANCIAL SERVICES — 0.3% | |||||
|
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.64%,
10/31/2025 |
4,030,839 | 3,975,416 | |||
|
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 2.75%, 5.08%,
6/16/2023 |
2,976,107 | 2,963,086 | |||
| 6,938,502 | |||||
| FOOD & STAPLES RETAILING — 0.1% | |||||
|
Mastronardi Produce, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%,
5/1/2025 |
2,349,684 | 2,342,341 |
See accompanying notes to financial statements.
11
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| FOOD PRODUCTS — 0.6% | |||||
|
Chobani LLC Senior Secured 2017 Term Loan B, 3.50%,
10/10/2023 |
$ 5,984,667 | $ 5,898,637 | |||
|
Dole Food Co., Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
4/6/2024 |
6,596,342 | 6,454,092 | |||
| 12,352,729 | |||||
| HEALTH CARE EQUIPMENT & SUPPLIES — 0.9% | |||||
| Carestream Health, Inc.: | |||||
|
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 5.75%, 8.15%,
2/28/2021 |
3,999,468 | 3,879,483 | |||
|
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 9.50%, 11.90%,
6/7/2021 |
17,069,077 | 16,428,987 | |||
| 20,308,470 | |||||
| HEALTH CARE PROVIDERS & SERVICES — 8.5% | |||||
|
ADMI Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
4/30/2025 |
2,333,220 | 2,303,471 | |||
| Air Medical Group Holdings, Inc.: | |||||
|
Senior Secured 2017 Term Loan B2, 1 Month USD LIBOR + 4.25%, 6.65%,
3/14/2025 |
16,951,314 | 15,980,851 | |||
|
Senior Secured 2018 Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.64%,
4/28/2022 |
2,559,181 | 2,417,518 | |||
|
Athenahealth, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.50%, 7.03%,
2/11/2026 |
21,945,000 | 21,931,284 | |||
|
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%,
2/27/2026 |
1,534,615 | 1,539,603 | |||
|
Catalent Pharma Solutions, Inc. Senior Secured Term Loan B2, 1 Month USD LIBOR + 2.25%, 4.65%,
5/18/2026 |
1,152,955 | 1,154,396 | |||
|
Certara L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.83%,
8/15/2024 |
1,652,942 | 1,644,677 |
See accompanying notes to financial statements.
12
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%,
6/7/2023 |
$ 2,168,440 | $ 2,160,493 | |||
|
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%,
10/10/2025 |
49,885,315 | 44,210,860 | |||
|
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.58%,
6/28/2024 |
3,626,471 | 3,563,008 | |||
|
Heartland Dental LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%,
4/30/2025 |
9,866,933 | 9,373,636 | |||
|
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.08%,
6/7/2023 |
11,254,906 | 10,790,641 | |||
|
Ortho-Clinical Diagnostics SA. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.68%,
6/30/2025 |
15,920,399 | 15,340,021 | |||
|
Phoenix Guarantor, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 6.92%,
3/5/2026 |
11,464,968 | 11,432,006 | |||
|
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.90%,
11/17/2025 |
6,310,944 | 6,284,439 | |||
|
Sterigenics-Nordion Holdings LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
5/15/2022 |
4,961,929 | 4,901,468 | |||
|
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%,
9/2/2024 |
6,886,038 | 6,667,957 | |||
|
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%,
2/6/2024 |
27,297,067 | 24,243,207 |
See accompanying notes to financial statements.
13
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
U.S. Anesthesia Partners, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
6/23/2024 |
$ 2,025,316 | $ 1,988,182 | |||
| 187,927,718 | |||||
| HEALTH CARE TECHNOLOGY — 0.9% | |||||
|
Agiliti Health, Inc Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.50%,
1/4/2026 |
2,702,703 | 2,699,324 | |||
|
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
3/1/2024 |
15,747,587 | 15,653,180 | |||
|
Press Ganey Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%,
10/23/2023 |
2,503,884 | 2,504,047 | |||
| 20,856,551 | |||||
| HOTELS, RESTAURANTS & LEISURE — 4.6% | |||||
|
1011778 BC ULC Senior Secured Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.65%,
2/16/2024 |
838,435 | 833,547 | |||
|
Alterra Mountain Company. Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%, 5.40%,
7/31/2024 |
2,101,266 | 2,097,001 | |||
|
Big Jack Holdings L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%,
4/5/2024 |
6,755,874 | 6,671,425 | |||
|
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
12/22/2024 |
10,972,152 | 10,799,560 | |||
|
CEC Entertainment, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%,
2/14/2021 |
12,412,615 | 12,342,794 | |||
|
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%,
2/1/2024 |
25,346,487 | 24,864,904 |
See accompanying notes to financial statements.
14
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 1 Month USD LIBOR + 2.75%, 5.14%,
10/4/2023 |
$ 11,864,621 | $ 11,783,764 | |||
|
Hilton Worldwide Finance LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 4.15%,
6/22/2026 |
2,965,218 | 2,970,273 | |||
|
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 2 Month USD LIBOR + 2.75%, 5.27%,
8/14/2024 |
25,639,277 | 25,284,942 | |||
|
SeaWorld Parks & Entertainment, Inc. Senior Secured Term Loan B5, 1 Month USD LIBOR + 3.00%, 5.40%,
3/31/2024 |
3,966,992 | 3,963,084 | |||
|
Travel Leaders Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.38%,
1/25/2024 |
722,650 | 725,057 | |||
| 102,336,351 | |||||
| HOUSEHOLD PRODUCTS — 0.2% | |||||
|
Champ Acquisition Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.50%, 7.83%,
12/19/2025 |
3,445,373 | 3,410,919 | |||
| INSURANCE — 3.3% | |||||
|
Acrisure LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%,
11/22/2023 |
4,171,348 | 4,147,009 | |||
|
Alliant Holdings I, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%,
5/9/2025 |
11,435,746 | 11,136,815 | |||
|
Alliant Holdings Intermediate LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%,
5/9/2025 |
10,588,235 | 10,464,724 | |||
|
AmWINS Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
1/25/2024 |
992,366 | 986,784 |
See accompanying notes to financial statements.
15
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Assured Partners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%,
10/22/2024 |
$ 8,136,139 | $ 8,070,033 | |||
|
Broadstreet Partners, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%,
11/8/2023 |
1,398,335 | 1,396,804 | |||
|
Hub International, Ltd. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.59%,
4/25/2025 |
22,542,307 | 22,018,423 | |||
|
Hyperion Insurance Group Ltd. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.50%, 5.94%,
12/20/2024 |
1,476,270 | 1,475,856 | |||
|
NFP Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%,
1/8/2024 |
7,715,122 | 7,514,992 | |||
|
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%,
12/31/2025 |
5,237,211 | 5,173,134 | |||
| 72,384,574 | |||||
| INTERACTIVE MEDIA & SERVICES — 0.9% | |||||
|
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.53%,
11/21/2024 |
8,891,603 | 8,645,484 | |||
|
Ivanti Software, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.67%,
1/20/2024 |
11,740,850 | 11,728,639 | |||
| 20,374,123 | |||||
| INTERNET & CATALOG RETAIL — 0.5% | |||||
|
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%,
8/18/2023 |
11,020,198 | 10,756,705 |
See accompanying notes to financial statements.
16
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| IT SERVICES — 1.7% | |||||
|
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.19%,
2/27/2025 |
$ 5,712,893 | $ 5,693,269 | |||
| DigiCert, Inc.: | |||||
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 8.00%, 10.40%,
10/31/2025 |
7,652,788 | 7,614,524 | |||
|
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 4.00%, 6.40%,
10/31/2024 |
7,529,109 | 7,512,659 | |||
|
Presidio, Inc. Senior Secured 2017 Refinanced Term Loan B, 1 Month USD LIBOR + 2.75%, 5.34%,
2/2/2024 |
874,625 | 873,169 | |||
|
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%,
2/1/2023 |
9,721,978 | 9,536,628 | |||
|
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.16%,
10/10/2025 |
5,452,055 | 5,385,049 | |||
| 36,615,298 | |||||
| LIFE SCIENCES TOOLS & SERVICES — 0.7% | |||||
|
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
8/30/2024 |
4,210,883 | 4,149,467 | |||
|
Jaguar Holding Co. II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%,
8/18/2022 |
720,435 | 717,326 | |||
|
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
9/27/2024 |
11,124,024 | 10,683,068 | |||
| 15,549,861 | |||||
| MACHINERY — 1.2% | |||||
|
Apex Tool Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%,
2/1/2022 |
582,392 | 561,526 |
See accompanying notes to financial statements.
17
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.58%,
7/19/2024 |
$ 4,925,000 | $ 4,801,875 | |||
|
Hayward Industries, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%,
8/5/2024 |
2,934,924 | 2,879,894 | |||
|
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.00%, 6.40%,
5/31/2025 |
4,962,406 | 4,785,620 | |||
|
Pro Mach Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.14%,
3/7/2025 |
7,031,059 | 6,787,925 | |||
|
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%,
3/28/2025 |
7,682,650 | 7,355,062 | |||
| 27,171,902 | |||||
| MACHINERY-CONSTRUCTION & MINING — 0.9% | |||||
| Brookfield WEC Holdings, Inc.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%,
8/1/2025 |
7,488,684 | 7,488,160 | |||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.15%,
8/3/2026 |
2,279,705 | 2,312,841 | |||
|
Senior Secured 2019 Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 3.50%,
8/1/2025 |
4,220,211 | 4,220,211 | |||
|
Vertiv Group Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.33%,
11/30/2023 |
6,000,000 | 5,715,000 | |||
| 19,736,212 | |||||
| MEDIA — 6.1% | |||||
|
Altice Financing SA Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.14%,
1/31/2026 |
2,394,771 | 2,280,277 |
See accompanying notes to financial statements.
18
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
CBS Radio, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
11/18/2024 |
$ 3,185,097 | $ 3,186,435 | |||
| CSC Holdings LLC: | |||||
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.25%, 4.64%,
7/17/2025 |
1,000,000 | 985,700 | |||
|
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.39%,
4/15/2027 |
3,571,429 | 3,581,250 | |||
|
Entravision Communications Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.08%,
11/29/2024 |
6,798,611 | 6,594,653 | |||
|
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%,
9/13/2024 |
16,672,780 | 16,408,099 | |||
|
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 2.75%,
6/20/2026 |
29,689,441 | 29,615,218 | |||
|
Radiate Holdco LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
2/1/2024 |
20,777,228 | 20,334,466 | |||
|
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 5.15%,
3/15/2024 |
39,591,271 | 37,763,342 | |||
|
Virgin Media Bristol LLC Senior Secured USD Term Loan K, 1 Month USD LIBOR + 2.50%, 4.89%,
1/15/2026 |
371,485 | 370,556 | |||
|
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E, 1 Month USD LIBOR + 2.50%, 4.89%,
4/15/2025 |
15,552,716 | 15,261,102 | |||
| 136,381,098 | |||||
| METALS & MINING — 0.3% | |||||
|
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 7.15%,
2/27/2023 |
5,008,389 | 5,020,909 |
See accompanying notes to financial statements.
19
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
PLZ Aeroscience Corp. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 5.94%,
7/31/2022 |
$ 1,258,573 | $ 1,255,232 | |||
| 6,276,141 | |||||
| MULTILINE RETAIL — 0.4% | |||||
|
AI Aqua Merger Sub, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%,
12/13/2023 |
9,898,542 | 9,601,586 | |||
| OIL, GAS & CONSUMABLE FUELS — 0.5% | |||||
|
BCP Raptor LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 6.65%,
6/24/2024 |
1,795,281 | 1,709,449 | |||
|
EG America LLC. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 6.33%,
2/7/2025 |
10,106,518 | 9,952,798 | |||
| 11,662,247 | |||||
| OIL-FIELD SERVICES — 0.0% (b) | |||||
|
MRC Global (US) Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%,
9/20/2024 |
834,011 | 832,968 | |||
| PAPER&RELATED PRODUCTS — 0.3% | |||||
|
Flex Acquisition Co., Inc. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 5.69%,
6/29/2025 |
6,768,705 | 6,441,134 | |||
| PHARMACEUTICALS — 3.1% | |||||
|
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.94%,
5/4/2025 |
1,700,168 | 1,692,381 | |||
|
Endo Luxembourg Finance Co. I S.A.R.L. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.69%,
4/29/2024 |
25,831,063 | 24,324,337 | |||
|
Horizon Pharma, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.94%,
5/22/2026 |
2,383,308 | 2,384,058 |
See accompanying notes to financial statements.
20
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| Pearl Intermediate Parent LLC: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%,
2/14/2025 |
$ 10,159,523 | $ 9,835,689 | |||
|
Senior Secured 2018 Delayed Draw Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%,
2/14/2025 |
2,179,605 | 2,110,117 | |||
|
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.41%,
6/2/2025 |
29,471,859 | 29,493,374 | |||
| 69,839,956 | |||||
| PIPELINES — 0.5% | |||||
|
Lower Cadence Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 6.40%,
5/22/2026 |
10,306,122 | 10,269,639 | |||
| POLLUTION CONTROL — 0.5% | |||||
|
Core & Main L.P. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
8/1/2024 |
4,275,681 | 4,272,346 | |||
|
EnergySolutions LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.08%,
5/9/2025 |
6,363,069 | 6,108,546 | |||
| 10,380,892 | |||||
| PROFESSIONAL SERVICES — 0.3% | |||||
|
Advantage Sales & Marketing, Inc. Senior Secured 2014 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.83%,
7/25/2022 |
9,255,211 | 7,369,508 | |||
| RECYCLING — 0.5% | |||||
|
Gopher Resource LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
3/6/2025 |
6,036,068 | 6,010,928 | |||
|
Tunnel Hill Partners LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%,
2/6/2026 |
4,731,504 | 4,728,547 | |||
| 10,739,475 |
See accompanying notes to financial statements.
21
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| RETAIL-RESTAURANTS — 0.9% | |||||
|
Flynn Restaurant Group L.P. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%,
6/27/2025 |
$ 9,054,214 | $ 8,796,758 | |||
|
Fogo De Chao, Inc. Senior Secured 2018 Add On Term Loan, 1 Month USD LIBOR + 4.25%, 6.65%,
4/7/2025 |
5,527,344 | 5,534,253 | |||
|
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
3/14/2025 |
2,357,639 | 2,334,652 | |||
|
Tacala LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
1/31/2025 |
2,179,557 | 2,158,851 | |||
| 18,824,514 | |||||
| SEMICONDUCTOR EQUIPMENT — 0.3% | |||||
|
MA FinanceCo. LLC Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.90%,
6/21/2024 |
765,786 | 752,148 | |||
|
Seattle Spinco, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.90%,
6/21/2024 |
5,171,545 | 5,079,439 | |||
| 5,831,587 | |||||
| SOFTWARE — 11.1% | |||||
|
Acrisure LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%,
11/22/2023 |
15,212,670 | 15,171,519 | |||
|
Almonde, Inc. Senior Secured USD 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%,
6/13/2024 |
31,882,655 | 31,121,138 | |||
|
AutoData, Inc. Senior Secured 2019 Term Loan B, 6.02%,
6/1/2026 |
5,206,612 | 5,191,408 |
See accompanying notes to financial statements.
22
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Banff Merger Sub Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%, 6.58%,
10/2/2025 |
$ 16,456,561 | $ 15,613,162 | |||
|
Compuware Corp. Senior Secured 2018 Term Loan B, 4.00%,
8/22/2025 |
3,521,127 | 3,521,127 | |||
|
Cypress Intermediate Holdings III, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.16%,
4/26/2024 |
3,489,377 | 3,450,994 | |||
|
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 7.40%,
2/6/2026 |
27,837,838 | 27,881,404 | |||
|
Dynatrace LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%,
8/22/2025 |
2,737,000 | 2,735,974 | |||
|
Epicor Software Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%,
6/1/2022 |
4,663,417 | 4,640,100 | |||
|
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.91%,
2/26/2025 |
1,491,215 | 1,488,889 | |||
|
GlobalLogic Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
8/1/2025 |
4,092,114 | 4,088,697 | |||
|
Help/Systems Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%,
3/28/2025 |
2,765,545 | 2,748,260 | |||
| Hyland Software, Inc.: | |||||
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 9.40%,
7/7/2025 |
2,853,801 | 2,874,020 | |||
|
Senior Secured 2018 Term Loan 3, 1 Month USD LIBOR + 3.25%, 5.65%,
7/1/2024 |
4,537,516 | 4,513,422 | |||
| Imperva, Inc.: | |||||
|
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.41%,
1/12/2026 |
1,409,091 | 1,404,251 | |||
|
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%, 10.16%,
1/11/2027 |
2,441,176 | 2,410,662 |
See accompanying notes to financial statements.
23
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Informatica Corp. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
8/5/2022 |
$ 1,922,398 | $ 1,926,407 | |||
|
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.58%,
11/1/2023 |
15,609,479 | 15,594,884 | |||
|
McAfee LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%,
9/30/2024 |
19,457,789 | 19,460,805 | |||
| Mitchell International, Inc.: | |||||
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%,
11/29/2024 |
11,074,538 | 10,597,945 | |||
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 9.65%,
12/1/2025 |
8,285,862 | 8,047,643 | |||
|
NAVEX TopCo, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%,
9/5/2025 |
3,468,174 | 3,406,614 | |||
|
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.37%,
4/26/2024 |
7,298,246 | 7,097,545 | |||
|
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%,
2/9/2024 |
2,336,988 | 2,326,273 | |||
| Quest Software US Holdings, Inc.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.83%,
5/16/2025 |
2,564,518 | 2,529,897 | |||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 8.25%, 10.83%,
5/16/2026 |
11,186,275 | 11,039,511 | |||
|
Rocket Software, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 8.25%, 10.65%,
11/20/2026 |
14,000,000 | 13,510,000 | |||
|
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
2/5/2024 |
6,709,486 | 6,685,701 |
See accompanying notes to financial statements.
24
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Solera, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%,
3/3/2023 |
$ 2,755,248 | $ 2,738,468 | |||
|
SonicWALL US Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
5/16/2025 |
8,669,500 | 8,105,983 | |||
|
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.58%,
9/30/2022 |
1,281,528 | 1,279,445 | |||
|
Vero Parent, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.90%,
8/16/2024 |
3,257,077 | 3,250,970 | |||
| 246,453,118 | |||||
| SPECIALTY RETAIL — 3.0% | |||||
|
Bass Pro Group LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.40%,
9/25/2024 |
36,576,089 | 35,013,924 | |||
|
Party City Holdings, Inc. Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 2.50%, 4.91%,
8/19/2022 |
385,938 | 384,077 | |||
|
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.83%,
1/26/2023 |
8,028,452 | 6,252,157 | |||
|
PetSmart, Inc. Senior Secured Consenting Term Loan, 1 Month USD LIBOR + 3.00%, 5.42%,
3/11/2022 |
24,647,360 | 24,058,165 | |||
| 65,708,323 | |||||
| TELECOM SERVICES — 0.6% | |||||
|
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.65%,
12/15/2024 |
12,878,792 | 12,347,542 |
See accompanying notes to financial statements.
25
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| TELECOMMUNICATION EQUIP — 0.1% | |||||
|
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 6.94%,
11/30/2025 |
$ 2,431,444 | $ 2,330,138 | |||
| THRIFTS & MORTGAGE FINANCE — 0.3% | |||||
|
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.83%,
11/1/2024 |
7,164,827 | 7,043,025 | |||
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$1,842,260,595) |
1,822,645,698 | ||||
| CORPORATE BONDS & NOTES — 15.5% | |||||
| AEROSPACE & DEFENSE — 0.4% | |||||
|
TransDigm, Inc. 6.25%, 3/15/2026
(c) |
7,500,000 | 7,858,350 | |||
| AUTO PARTS & EQUIPMENT — 0.4% | |||||
|
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. 6.25%, 5/15/2026
(c) |
7,913,000 | 8,223,111 | |||
| BUILDING MATERIALS — 0.0% (b) | |||||
|
Builders FirstSource, Inc. 6.75%, 6/1/2027
(c) |
824,000 | 871,438 | |||
| COMMERCIAL SERVICES — 1.3% | |||||
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027
(c)
(d) |
8,000,000 | 8,067,280 | |||
| Prime Security Services Borrower LLC/Prime Finance, Inc.: | |||||
|
5.75%, 4/15/2026
(c) |
18,438,000 | 19,055,673 | |||
|
9.25%, 5/15/2023
(c) |
753,000 | 790,680 | |||
|
Service Corp. International 5.13%,
6/1/2029 |
1,350,000 | 1,422,441 | |||
| 29,336,074 | |||||
| COMPUTERS — 0.7% | |||||
|
Banff Merger Sub, Inc. 9.75%, 9/1/2026
(c) |
1,122,000 | 973,257 | |||
|
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025
(c) |
13,500,000 | 13,906,890 | |||
| 14,880,147 |
See accompanying notes to financial statements.
26
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
| DISTRIBUTION & WHOLESALE — 0.1% | |||||
|
IAA, Inc. 5.50%, 6/15/2027
(c) |
$ 2,353,000 | $ 2,447,332 | |||
| ELECTRIC — 0.6% | |||||
|
NRG Energy, Inc. 5.25%, 6/15/2029
(c) |
1,250,000 | 1,334,325 | |||
|
Vistra Operations Co. LLC 5.00%, 7/31/2027
(c) |
12,544,000 | 13,024,184 | |||
| 14,358,509 | |||||
| ELECTRICAL COMPONENTS & EQUIPMENT — 0.1% | |||||
|
Energizer Holdings, Inc. 7.75%, 1/15/2027
(c) |
1,900,000 | 2,053,843 | |||
| ENGINEERING & CONSTRUCTION — 0.0% (b) | |||||
|
frontdoor, Inc. 6.75%, 8/15/2026
(c) |
250,000 | 267,775 | |||
| ENTERTAINMENT — 0.6% | |||||
| AMC Entertainment Holdings, Inc.: | |||||
|
5.75%,
6/15/2025 |
7,000,000 | 6,479,760 | |||
|
5.88%,
11/15/2026 |
1,000,000 | 900,440 | |||
|
Cedar Fair L.P. 5.25%, 7/15/2029
(c) |
1,810,000 | 1,850,363 | |||
|
Scientific Games International, Inc. 5.00%, 10/15/2025
(c) |
5,000,000 | 5,048,750 | |||
| 14,279,313 | |||||
| ENVIRONMENTAL CONTROL — 0.4% | |||||
| GFL Environmental, Inc.: | |||||
|
7.00%, 6/1/2026
(c) |
4,394,000 | 4,491,063 | |||
|
8.50%, 5/1/2027
(c) |
3,830,000 | 4,118,246 | |||
| 8,609,309 | |||||
| FOOD — 0.5% | |||||
|
Albertsons Cos. LLC/Safeway, Inc./New Albertson's Inc./Albertson's LLC 5.75%,
3/15/2025 |
12,024,000 | 12,133,899 | |||
| HAND & MACHINE TOOLS — 0.2% | |||||
|
Apex Tool Group LLC/BC Mountain Finance, Inc. 9.00%, 2/15/2023
(c) |
4,450,000 | 3,995,878 | |||
| HEALTH CARE PRODUCTS — 0.3% | |||||
|
Avantor, Inc. 9.00%, 10/1/2025
(c) |
5,000,000 | 5,568,500 |
See accompanying notes to financial statements.
27
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021
(c) |
$ 727,000 | $ 745,182 | |||
| 6,313,682 | |||||
| HEALTH CARE SERVICES — 1.2% | |||||
|
MPH Acquisition Holdings LLC 7.13%, 6/1/2024
(c) |
17,000,000 | 15,930,020 | |||
| Tenet Healthcare Corp.: | |||||
|
6.25%, 2/1/2027
(c) |
5,000,000 | 5,171,500 | |||
|
6.75%,
6/15/2023 |
2,727,000 | 2,741,753 | |||
|
8.13%,
4/1/2022 |
2,000,000 | 2,096,840 | |||
| 25,940,113 | |||||
| INSURANCE — 1.1% | |||||
|
GTCR AP Finance, Inc. 8.00%, 5/15/2027
(c) |
4,773,000 | 4,799,204 | |||
|
HUB International, Ltd. 7.00%, 5/1/2026
(c) |
13,964,000 | 14,157,541 | |||
|
USI, Inc. 6.88%, 5/1/2025
(c) |
5,000,000 | 4,950,950 | |||
| 23,907,695 | |||||
| LODGING — 0.0% (b) | |||||
|
Boyd Gaming Corp. 6.38%,
4/1/2026 |
670,000 | 708,096 | |||
| MACHINERY, CONSTRUCTION & MINING — 0.4% | |||||
|
Vertiv Group Corp. 9.25%, 10/15/2024
(c) |
8,906,000 | 8,548,335 | |||
| MACHINERY-DIVERSIFIED — 0.1% | |||||
|
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026
(c) |
2,499,000 | 2,258,146 | |||
| MEDIA — 3.4% | |||||
| CSC Holdings LLC: | |||||
|
5.38%, 2/1/2028
(c) |
1,000,000 | 1,038,330 | |||
|
7.50%, 4/1/2028
(c) |
13,887,000 | 15,279,588 | |||
|
Entercom Media Corp. 6.50%, 5/1/2027
(c) |
1,200,000 | 1,247,940 | |||
| iHeartCommunications, Inc.: | |||||
|
6.38%,
5/1/2026 |
24,997,980 | 26,523,107 | |||
|
6.58%,
5/1/2026 |
9,999,998 | 10,024,248 | |||
|
Nexstar Escrow, Inc. 5.63%, 7/15/2027
(c)
(d) |
5,660,000 | 5,813,160 |
See accompanying notes to financial statements.
28
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Sinclair Television Group, Inc. 5.63%, 8/1/2024
(c) |
$ 6,000,000 | $ 6,161,400 | |||
|
Univision Communications, Inc. 5.13%, 5/15/2023
(c) |
5,000,000 | 4,885,500 | |||
|
Virgin Media Secured Finance PLC 5.50%, 5/15/2029
(c) |
4,218,000 | 4,280,806 | |||
| 75,254,079 | |||||
| PACKAGING & CONTAINERS — 0.2% | |||||
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024
(c) |
320,000 | 338,023 | |||
|
Flex Acquisition Co., Inc. 6.88%, 1/15/2025
(c) |
1,478,000 | 1,338,063 | |||
|
Trident Merger Sub, Inc. 6.63%, 11/1/2025
(c) |
1,688,000 | 1,573,452 | |||
| 3,249,538 | |||||
| PHARMACEUTICALS — 1.1% | |||||
| Bausch Health Cos., Inc.: | |||||
|
7.00%, 1/15/2028
(c) |
2,273,000 | 2,354,487 | |||
|
9.00%, 12/15/2025
(c) |
3,000,000 | 3,354,120 | |||
|
NVA Holdings, Inc. 6.88%, 4/1/2026
(c) |
7,998,000 | 8,376,705 | |||
|
Par Pharmaceutical, Inc. 7.50%, 4/1/2027
(c) |
10,000,000 | 9,819,500 | |||
| 23,904,812 | |||||
| RETAIL — 0.8% | |||||
|
CEC Entertainment, Inc. 8.00%,
2/15/2022 |
1,148,000 | 1,162,350 | |||
|
eG Global Finance PLC 6.75%, 2/7/2025
(c) |
7,042,000 | 6,987,072 | |||
|
IRB Holding Corp. 6.75%, 2/15/2026
(c) |
8,000,000 | 8,020,480 | |||
|
Party City Holdings, Inc. 6.63%, 8/1/2026
(c) |
2,500,000 | 2,422,425 | |||
| 18,592,327 | |||||
| SOFTWARE — 0.7% | |||||
|
CDK Global, Inc. 5.25%, 5/15/2029
(c) |
3,692,000 | 3,818,414 | |||
|
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.75%, 3/1/2025
(c) |
5,000,000 | 5,073,050 |
See accompanying notes to financial statements.
29
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Security Description | Principal
Amount |
Value | |||
|
Infor US, Inc. 6.50%,
5/15/2022 |
$ 1,000,000 | $ 1,017,700 | |||
|
IQVIA, Inc. 5.00%, 5/15/2027
(c) |
6,000,000 | 6,189,600 | |||
| 16,098,764 | |||||
| TELECOMMUNICATIONS — 0.9% | |||||
|
Sprint Communications, Inc. 6.00%,
11/15/2022 |
20,000,000 | 20,850,200 | |||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$340,716,570) |
344,940,765 |
| Shares | |||
| SHORT-TERM INVESTMENT — 3.3% | |||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (e) (f) (Cost
$72,656,687) |
72,656,687 | 72,656,687 | |
|
TOTAL INVESTMENTS — 100.8% (Cost
$2,255,633,852) |
2,240,243,150 | ||
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(0.8)% |
(17,098,233) | ||
|
NET ASSETS —
100.0% |
$ 2,223,144,917 |
| (a) | The rate shown represents the rate at June 30, 2019. |
| (b) | Amount is less than 0.05% of net assets. |
| (c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 11.6% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (d) | When-issued security. |
| (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, 2019 are shown in the Affiliate Table below. |
| (f) | The rate shown is the annualized seven-day yield at June 30, 2019. |
| LIBOR | = London Interbank Offered Rate |
| LP | = Limited Partnership |
See accompanying notes to financial statements.
30
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
At June 30, 2019, the Portfolio had unfunded loan
commitments of $1,196,533, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| Heartland Dental LLC | 221,372 | 210,305 | (11,067) | |||
| Pearl Intermediate Parent LLC | 826,854 | 800,498 | (26,356) | |||
| VT Topco, Inc. | 148,307 | 148,260 | (47) | |||
| $(37,470) |
The following table
summarizes the value of the Portfolio's investments according to the fair value hierarchy as of June 30, 2019.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 344,940,765 | $— | $ 344,940,765 | ||||
|
Senior Floating Rate
Loans |
— | 1,822,645,698 | — | 1,822,645,698 | ||||
|
Short-Term
Investment |
72,656,687 | — | — | 72,656,687 | ||||
|
TOTAL
INVESTMENTS |
$72,656,687 | $2,167,586,463 | $— | $2,240,243,150 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Unfunded Loan
Commitments(a) |
— | (37,470) | — | (37,470) | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ (37,470) | $— | $ (37,470) |
| (a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Affiliate Table
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
196,673,118 | $196,673,118 | $2,283,969,996 | $2,407,986,427 | $— | $— | 72,656,687 | $72,656,687 | $4,228,570 |
See accompanying notes to financial statements.
31
Table of Contents
SSGA MASTER TRUST
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2019
| Blackstone / GSO Senior Loan Portfolio | |
| ASSETS | |
|
Investments in unaffiliated issuers, at
value |
$2,167,586,463 |
|
Investments in affiliated issuers, at
value |
72,656,687 |
|
Total
Investments |
2,240,243,150 |
|
Cash |
23,918,780 |
|
Receivable for investments
sold |
230,718,579 |
|
Dividends receivable — affiliated
issuers |
205,266 |
|
Interest receivable — unaffiliated
issuers |
7,879,465 |
|
Other
Receivable |
610,868 |
|
TOTAL ASSETS
|
2,503,576,108 |
| LIABILITIES | |
|
Payable for investments
purchased |
279,832,955 |
|
Unrealized depreciation on unfunded loan
commitments |
37,470 |
|
Advisory fee
payable |
554,194 |
|
Trustees’ fees and expenses
payable |
5,488 |
|
Accrued expenses and other
liabilities |
1,084 |
|
TOTAL LIABILITIES
|
280,431,191 |
|
NET ASSETS
|
$2,223,144,917 |
| COST OF INVESTMENTS: | |
|
Investments in unaffiliated
issuers |
$2,182,977,165 |
|
Investments in affiliated
issuers |
72,656,687 |
|
Total cost of
investments |
$2,255,633,852 |
See accompanying notes to financial statements.
32
Table of Contents
SSGA MASTER TRUST
STATEMENT OF OPERATIONS
For the Year Ended June 30, 2019
| Blackstone / GSO Senior Loan Portfolio | |
| INVESTMENT INCOME | |
|
Interest income — unaffiliated
issuers |
$161,844,668 |
|
Dividend income — affiliated
issuers |
4,228,570 |
|
TOTAL INVESTMENT INCOME
(LOSS) |
166,073,238 |
| EXPENSES | |
|
Advisory
fee |
8,273,531 |
|
Trustees’ fees and
expenses |
52,005 |
|
TOTAL
EXPENSES |
8,325,536 |
|
NET INVESTMENT INCOME
(LOSS) |
157,747,702 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investments — unaffiliated
issuers |
(68,985,053) |
| Net change in unrealized appreciation/depreciation on: | |
|
Investments — unaffiliated
issuers |
(7,554,409) |
|
Unfunded loan
commitments |
(156,027) |
|
Net change in unrealized
appreciation/depreciation |
(7,710,436) |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(76,695,489) |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ 81,052,213 |
See accompanying notes to financial statements.
33
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| Blackstone / GSO Senior Loan Portfolio | |||
| Year
Ended 6/30/19 |
Year
Ended 6/30/18 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 157,747,702 | $ 112,665,248 | |
|
Net realized gain
(loss) |
(68,985,053) | (11,863,247) | |
|
Net change in unrealized
appreciation/depreciation |
(7,710,436) | (16,510,979) | |
|
Net increase (decrease) in net assets resulting from
operations |
81,052,213 | 84,291,022 | |
| CAPITAL TRANSACTIONS | |||
|
Contributions |
780,016,463 | 1,509,849,498 | |
|
Withdrawals |
(1,834,202,148) | (225,415,777) | |
|
Other
Capital |
5,615,430 | 850,599 | |
|
Net increase (decrease) in net assets from capital
transactions |
(1,048,570,255) | 1,285,284,320 | |
|
Net increase (decrease) in net assets during the
period |
(967,518,042) | 1,369,575,342 | |
|
Net assets at beginning of
period |
3,190,662,959 | 1,821,087,617 | |
|
NET ASSETS AT END OF
PERIOD |
$ 2,223,144,917 | $3,190,662,959 | |
See accompanying notes to financial statements.
34
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 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 |
Year
Ended 6/30/16 |
Year
Ended 6/30/15 | |||||
|
Total
return |
4.10% | 4.43% | 6.19% | (0.20)% | 2.98% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$2,223,145 | $3,190,663 | $1,821,088 | $802,489 | $672,264 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.30% | 0.30% | 0.30% | 0.30% | 0.31% | ||||
|
Net investment income
(loss) |
5.72% | 4.70% | 4.31% | 4.54% | 4.49% | ||||
|
Portfolio turnover
rate |
124% | 90% | 68% | 88% | 65% | ||||
See accompanying notes to financial statements.
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2019
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, 2019, the Trust consists of one (1)
series, which represents a separate series of beneficial interest in the Trust. The financial statements herein relate to the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”).
The Portfolio is classified as a diversified
investment company under the 1940 Act.
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 New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE 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
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
“Committee”) and approved by the Board. The Committee
provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Portfolio'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.
• 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 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 the Portfolio's NAV and the prices used by the Portfolio's underlying benchmark.
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:
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
• 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, 2019, is disclosed in the Portfolio’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions,
if any, are recognized on the ex-dividend date, or when the information becomes available, net of any foreign taxes withheld at source, if any. Interest income is recorded 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, if any, are recorded as dividend income at fair value.
Distributions received by the Portfolio 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.
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
Expenses which are directly identifiable to the
Portfolio are applied to the Portfolio within the Trust.
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
3. Securities and Other
Investments
Loan Agreements
The Portfolio 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 Portfolio 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 Portfolio as the issuers of such loans.
4. Fees and Transactions with
Affiliates
Advisory Fee
The Portfolio has entered into an Investment
Advisory Agreement with SSGA FM. For its advisory services to the Portfolio, facilities furnished, and expenses borne by the Adviser, the Portfolio pays the Adviser a fee (“Management/Advisory fee”) accrued daily and paid monthly, based
on a percentage of the Portfolio’s average daily net assets as shown in the following table:
| Annual Rate | |
|
Blackstone / GSO Senior Loan
Portfolio |
0.30% |
The Adviser pays all the
expenses of the Portfolio other than the management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust's Independent Trustees (including any Trustees' counsel fees), acquired fund fees and expenses, litigation expenses and
other extraordinary expenses.
GSO / Blackstone
Debt Funds Management LLC receives fees for its services as the sub-adviser to the Portfolio from the Adviser.
Administrator, Custodian, Sub-Administrator 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.
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
Other Transactions with Affiliates
The Portfolio 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 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, 2019 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 Portfolio. 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 and short term investments) for the period ended June 30, 2019, were as follows:
| Purchases | Sales | ||
|
Blackstone / GSO Senior Loan
Portfolio |
$3,243,539,566 | $4,164,867,456 |
7. Income Tax Information
The Portfolio is not required to pay federal income
taxes on its net investment income and net capital gains because it is treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio's
partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for its tax liability based on its distributive share; therefore, no provision has been
made for federal income taxes.
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.
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
As of June 30, 2019, 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) | ||||
|
Blackstone / GSO Senior Loan
Portfolio |
$2,264,569,843 | $13,396,321 | $37,723,014 | $(24,326,693) |
8. Line of Credit
The Portfolio and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The
Portfolio has exclusive access to $300 million of the total credit facility. This agreement expires in October 2019 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. 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.
The Portfolio had no outstanding loans as of June
30, 2019.
9. Risks
Concentration Risk
As a result of the Portfolio's ability to invest a
large percentage of it's 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 was 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
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2019
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 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.
10. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA MASTER TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Owners of Beneficial Interest and the Board
of Trustees of Blackstone / GSO Senior Loan Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets
and liabilities of Blackstone / GSO Senior Loan Portfolio (the “Portfolio”), including the schedule of investments, as of June 30, 2019, and the related statement 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, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the
financial statements present fairly, in all material respects, the financial position of the Portfolio at June 30, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period
then ended and its financial highlights for each of the five years in the period ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of
the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United
States) (“PCAOB”) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the
PCAOB.
We conducted our audits in accordance
with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Portfolio is not
required to have, nor were we engaged to perform, an audit of the Portfolio’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, 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.
Our audits included performing procedures to assess
the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures
in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing
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SSGA MASTER TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
procedures where replies from brokers and others were not received.
Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for
our opinion.
We have served
as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 26, 2019
August 26, 2019
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SSGA MASTER TRUST
OTHER INFORMATION
June 30, 2019 (Unaudited)
Expense Example
As a shareholder of the 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 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, 2019 to June 30, 2019.
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 the 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 U.S. Securities and Exchange Commission (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.
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
| Blackstone / GSO Senior Loan Portfolio | |
|
Annualized Expense
Ratio |
0.30% |
| Actual: | |
|
Ending Account
Value |
$1,029.50 |
|
Expenses Paid During
Period(a) |
1.51 |
| Hypothetical (assuming a 5% return before expenses): | |
|
Ending Account
Value |
1,023.30 |
|
Expenses Paid During
Period(a) |
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. |
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 1-866-787-2257 (toll free) or (ii) on the SEC's
website at www.sec.gov.
Information regarding how the investment adviser
voted for the 12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Portfolio's website www.spdrs.com.
Quarterly Portfolio Schedule
Following the Portfolio's first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov. The Portfolio's schedules of investments are available upon request, without charge, by
calling 1-866-787-2257 (toll free) and on the Portfolio’s website at www.spdrs.com.
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Approval of Advisory Agreements
At in-person meetings held prior to June 30, 2019,
the Board of Trustees of the Trusts (the “Board”) evaluated proposals to continue the separate Investment Advisory Agreement (the “Agreements”) between each Trust and SSGA Funds Management, Inc. (the “Adviser” or
“SSGA FM”) with respect to: (1) the SPDR Blackstone / GSO Senior Loan ETF, a series of SSGA Active Trust, and (2) the Blackstone / GSO Senior Loan Portfolio, a series of SSGA Master Trust (together with the SPDR Blackstone / GSO Senior
Loan ETF, the “Funds”). The Trustees who are not “interested persons” of each Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to
consider the Agreements. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreements, the Board requested, and
SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trusts’ sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the
advice of counsel, deemed reasonably necessary. 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 SPDR
Blackstone / GSO Senior Loan ETF as an exchange-traded fund and the experience and expertise of the Adviser with exchange-traded funds, as well as with master-feeder structures. 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
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
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 in overseeing third-party sub-advisers.
Investment Performance
SPDR Blackstone / GSO Senior Loan ETF. The Board then reviewed the Funds’ performance. The Board compared the SPDR Blackstone / GSO Senior Loan ETF’s (the feeder fund) 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 that although the Fund underperformed the median of its Performance Group for the 4- and 5-year periods, it outperformed the median of its
Performance Group for the 1-, 2- and 3-year periods. In addition, the Board considered that the Fund outperformed its benchmark index for the 1-, 3- and 5-year and since inception periods.
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.
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 Board, including 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.
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. The Board reviewed the universe of similar exchange-traded funds 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 of the SPDR
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OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
Blackstone / GSO Senior Loan ETF 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
After weighing the foregoing factors, none of which
was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for each Fund. The Board’s conclusions with respect to the factors 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 the SPDR GSO / Blackstone Senior Loan ETF had been satisfactory; (c) the Adviser’s unitary fee for
the SPDR GSO / Blackstone Senior Loan ETF, 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) the fees paid to the Adviser adequately 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
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
At in-person meetings held prior to June 30, 2019,
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 to consider the GSO / Blackstone Sub-Advisory Agreements. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the GSO / Blackstone Sub-Advisory
Agreements, the Board requested, and GSO / Blackstone and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. 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.
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, including the Independent Trustees voting
separately, approved the GSO / Blackstone Sub-Advisory Agreement for each GSO / Blackstone Fund. The Board’s conclusions with respect to the factors 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) the fees paid to GSO / Blackstone adequately shared the
economies
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (Unaudited)
of scale with each applicable GSO / Blackstone Fund by way of the
relatively low fee structure of the Trusts.
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 | |||||
| Trustees | ||||||||||
| Independent Trustees | ||||||||||
| FRANK
NESVET c/o SSGA Master Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| BONNY
EUGENIA BOATMAN c/o SSGA Master Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 128 | None. | |||||
| DWIGHT
D. CHURCHILL c/o SSGA Master Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
128 | Affiliated
Managers Group, Inc. (Director). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Master Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
128 | The
Motley Fool Funds Trust (Trustee). |
51
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||||
| CLARE
S. RICHER c/o SSGA Master Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, Putnam Investments LLC (December 2008 – May 2017). |
128 | Putnam
Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
| SANDRA
G. SPONEM c/o SSGA Master Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Chief
Financial Officer, M.A. Mortenson Companies, Inc. (February 2007 – April 2017). |
128 | Guggenheim
/Rydex Funds (Trustee). |
52
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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). |
189 | None. | |||||
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds 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. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
53
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | ||||||
| ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
| SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
| ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
| JAMES
GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
54
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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 | |||
| KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
| DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
| CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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). | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). |
55
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
June 30, 2019 (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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
| BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. | ||||||
| The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. | ||||||
56
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SSGA Master Trust
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SSGA Master 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.
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Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has six 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, Frank Nesvet, Clare Richer, Sandra Sponem 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 (the “1940 Act”).
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the fiscal years ending June 30, 2019 and June 30, 2018, the aggregate audit fees billed for professional services rendered by the principal accountant were $257,071 and $209,557, 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, 2019 and June 30, 2018, 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, 2019 and June 30, 2018, the aggregate tax fees billed for professional services rendered by the principal accountant were $138,894 and $117,852, 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, 2019 and June 30, 2018.
(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:
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| a. | The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
| b. | The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
| c. | De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
| d. | Pre-Approval of Non-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved. |
| e. | Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person). |
(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
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(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 2019 (in millions) |
FY 2018 (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 |
$ | 14.8 | $ | 15.4 | ||||
| Tax Fees |
$ | 5.3 | $ | 7.8 | ||||
| All Other Fees |
$ | 16.2 | $ | 16.2 | ||||
| (1) | Information is for the calendar years 2018 and 2017, 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 primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(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, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
| (a) | The Schedule of Investments for the SPDR DoubleLine Total Return Tactical ETF is listed below. The Summary Schedule of Investments for this Fund as well as the Schedules of Investments for the remaining series of the registrant are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable to the registrant. |
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
June 30, 2019
1
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
2
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
3
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
4
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
5
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
6
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
7
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
8
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
9
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
10
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
11
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
12
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
13
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
14
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
15
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
16
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
17
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
18
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
19
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
20
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
21
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
22
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
23
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SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
24
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
At June 30, 2019, the Fund had unfunded
loan commitments of $412,777, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
|
Mavis Tire Express Services
Corp. |
412,777 | 405,898 | (6,879) |
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Asset-Backed
Securities |
$ — | $ 69,880,248 | $— | $ 69,880,248 | ||||
|
Corporate Bonds &
Notes |
— | 562,844,016 | — | 562,844,016 | ||||
|
Foreign Government
Obligations |
— | 36,409,035 | — | 36,409,035 | ||||
|
Senior Floating Rate
Loans |
— | 153,846,057 | — | 153,846,057 | ||||
|
Commercial Mortgage Backed
Securities |
— | 138,519,300 | — | 138,519,300 | ||||
|
Mortgage-Backed
Securities |
— | 166,962,913 | — | 166,962,913 | ||||
|
U.S. Government Agency
Obligations |
— | 1,352,118,481 | — | 1,352,118,481 | ||||
|
U.S. Treasury
Obligations |
— | 777,783,515 | — | 777,783,515 | ||||
|
Short-Term
Investment |
84,316,399 | — | — | 84,316,399 | ||||
|
TOTAL
INVESTMENTS |
$84,316,399 | $3,258,363,565 | $— | $3,342,679,964 |
25
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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2019
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Unfunded
Loans(a) |
$ — | $ (6,879) | $— | $ (6,879) | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ (6,879) | $— | $ (6,879) |
| (a) | Includes appreciation (depreciation) on unfunded loan commitments. |
| Number
of Shares Held at 6/30/18 |
Value
at 6/30/18 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | $— | $1,024,270,933 | $939,954,534 | $— | $— | 84,316,399 | $84,316,399 | $1,935,879 |
| 26 | ARTOTL |
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Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
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 (as defined in Rule 30a-3(c) under the 1940 Act) 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) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the most recent fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(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 1940 Act for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
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(a)(4) Not applicable.
| (b) | A single certification required by Rule 30a-2(b) under the 1940 Act, 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. |
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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 4, 2019 | |
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 4, 2019 | |
| By: | /s/ Bruce S. Rosenberg | |
| Bruce S. Rosenberg | ||
| Treasurer and Principal Financial Officer | ||
| Date: | September 4, 2019 | |