SSGA Active Trust

N-CSRS 1 d109745dncsrs.htm SSGA ACTIVE TRUST SSGA Active Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22542

SSGA ACTIVE TRUST

(Exact name of registrant as specified in charter)

One Lincoln Street, Boston, Massachusetts 02111

(Address of principal executive offices) (zip code)

Joshua A. Weinberg, Esq.

Vice President and Managing Counsel

SSGA Funds Management, Inc.

One Lincoln Street

Boston, Massachusetts 02111

(Name and address of agent for service)

Copy to:

W. John McGuire, Esq.

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

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

Date of fiscal year end: June 30

Date of reporting period: December 31, 2015

Item 1. Reports to Shareholders.

Semi-Annual Report

31 December 2015

SSGA Active Trust

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TABLE OF CONTENTS


Performance Summary
SPDR SSGA Multi-Asset Real Return ETF (RLY)			1
SPDR SSGA Income Allocation ETF (INKM)			3
SPDR SSGA Global Allocation ETF (GAL)			5
SPDR Blackstone/GSO Senior Loan ETF (SRLN)			7
SPDR SSGA Ultra Short Term Bond ETF (ULST)			9
SPDR DoubleLine Total Return Tactical ETF (TOTL)			11
SPDR MFS Systematic Core Equity ETF (SYE)			13
SPDR MFS Systematic Growth Equity ETF (SYG)			15
SPDR MFS Systematic Value Equity ETF (SYV)			17
SPDR SSGA Risk Aware ETF (RORO)			19
Financial Statements			22
Financial Highlights			30
Notes to Financial Statements			38
Other Information			43

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SPDR SSGA MULTI-ASSET REAL RETURN ETF —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Multi-Asset Real Return ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.70%.

PERFORMANCE AS OF DECEMBER 31, 2015

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET

VALUE

MARKET

PRICE
VALUE

PRIMARY

BENCHMARK:

BARCLAYS US
GOVERNMENT
INFLATION-
LINKED BOND
INDEX

SECONDARY

BENCHMARK:

DBIQ OPTIMUM

YIELD DIVERSIFIED

COMMODITY

YIELD INDEX

EXCESS RETURN

NET ASSET

VALUE

MARKET

PRICE
VALUE

PRIMARY

BENCHMARK:

BARCLAYS US

GOVERNMENT

INFLATION-

LINKED BOND

INDEX

SECONDARY

BENCHMARK:

DBIQ OPTIMUM

YIELD DIVERSIFIED

COMMODITY

YIELD INDEX

EXCESS RETURN

SIX MONTHS

–13.29%

–13.25%

–1.84%

–25.56%

N/A

ONE YEAR

–15.21%

–15.20%

–1.72%

–26.72%

–15.21%

–15.20%

–1.72%

–26.72%

THREE YEAR

–23.19%

–23.14%

–6.86%

–49.66%

–8.42%

–8.40%

–2.34%

–20.46%

SINCE INCEPTION (1)

–20.17%

–20.16%

–2.58%

–50.10%

–5.93%

–5.92%

–0.71%

–17.20%

(1)

For the period April 25, 2012 to December 31, 2015.

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SPDR SSGA MULTI-ASSET REAL RETURN ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

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SPDR SSGA INCOME ALLOCATION ETF —

PERFORMANCE SUMMARY

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Income Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.70%.

PERFORMANCE AS OF DECEMBER 31, 2015

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET
VALUE

MARKET
VALUE

PRIMARY
BENCHMARK:

MSCI WORLD
INDEX

SECONDARY
BENCHMARK:

BARCLAYS US
LONG
GOVERNMENT/
CREDIT BOND
INDEX

NET ASSET
VALUE

MARKET
VALUE

PRIMARY
BENCHMARK:

MSCI WORLD
INDEX

SECONDARY
BENCHMARK:

BARCLAYS US
LONG
GOVERNMENT/
CREDIT BOND
INDEX

SIX MONTHS

–3.09%

–3.02%

–3.41%

1.22%

N/A

ONE YEAR

–4.64%

–4.55%

–0.87%

–3.30%

–4.64%

–4.55%

–0.87%

–3.30%

THREE YEAR

6.53%

6.51%

31.77%

5.18%

2.13%

2.12%

9.64%

1.70%

SINCE INCEPTION (1)

13.87%

13.90%

39.37%

14.01%

3.58%

3.59%

9.43%

3.62%

(1)

For the period April 25, 2012 to December 31, 2015.

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SPDR SSGA INCOME ALLOCATION ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR SSGA GLOBAL ALLOCATION ETF —

PERFORMANCE SUMMARY

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Global Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.35%.

PERFORMANCE AS OF DECEMBER 31, 2015



	CUMULATIVE TOTAL RETURN								AVERAGE ANNUAL TOTAL RETURN
	NET ASSET VALUE		MARKET VALUE		PRIMARY BENCHMARK: MSCI ACWI IMI INDEX		SECONDARY BENCHMARK: BARCLAYS US AGGREGATE INDEX		NET ASSET VALUE		MARKET VALUE		PRIMARY BENCHMARK: MSCI ACWI IMI INDEX		SECONDARY BENCHMARK: BARCLAYS US AGGREGATE INDEX
SIX MONTHS		–3.33%		–3.34%		–5.16%		0.65%		N/A		N/A		N/A		N/A
ONE YEAR		–2.29%		–2.29%		–2.19%		0.55%		–2.29%		–2.29%		–2.19%		0.55%
THREE YEAR		15.86%		15.92%		25.49%		4.39%		5.03%		5.05%		7.87%		1.44%
SINCE INCEPTION (1)		22.65%		22.76%		32.80%		7.53%		5.69%		5.72%		8.01%		1.99%

(1)

For the period April 25, 2012 to December 31, 2015.

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SPDR SSGA GLOBAL ALLOCATION ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR BLACKSTONE/GSO SENIOR LOAN ETF —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/3/13, 4/4/13, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR Blackstone/GSO Senior Loan ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.70%.

PERFORMANCE AS OF DECEMBER 31, 2015

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET

VALUE

MARKET

VALUE

PRIMARY
BENCHMARK:

MARKIT IBOXX
USD LIQUID
LEVERAGED
LOAN
INDEX

SECONDARY
BENCHMARK:

S&P/LSTA U.S.
LEVERAGED
LOAN 100
INDEX

NET ASSET

VALUE

MARKET
VALUE

PRIMARY
BENCHMARK:

MARKIT IBOXX
USD LIQUID
LEVERAGED
LOAN
INDEX

SECONDARY
BENCHMARK:

S&P/LSTA U.S.
LEVERAGED
LOAN 100
INDEX

SIX MONTHS

–3.69%

–3.77%

–4.38%

–0.47%

N/A

ONE YEAR

–0.86%

–1.05%

–2.69%

–2.75%

–0.86%

–1.05%

–2.69%

–2.75%

SINCE INCEPTION (1)

1.82%

1.75%

1.00%

0.94%

0.66%

0.63%

0.36%

0.34%

(1)

For the period April 3, 2013 to December 31, 2015.

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SPDR BLACKSTONE/GSO SENIOR LOAN ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR SSGA ULTRA SHORT TERM BOND ETF —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/9/13, 10/10/13, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Ultra Short Term Bond ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.20%.

PERFORMANCE AS OF DECEMBER 31, 2015



	CUMULATIVE TOTAL RETURN						AVERAGE ANNUAL TOTAL RETURN
	NET ASSET VALUE		MARKET VALUE		BARCLAYS US TREASURY BELLWETHER 3 MONTH INDEX		NET ASSET VALUE		MARKET VALUE		BARCLAYS US TREASURY BELLWETHER 3 MONTH INDEX
SIX MONTHS		–0.08%		–0.07%		0.06%		N/A		N/A		N/A
ONE YEAR		0.12%		0.17%		0.07%		0.12%		0.17%		0.07%
SINCE INCEPTION (1)		0.58%		0.60%		0.15%		0.26%		0.27%		0.07%

(1)

For the period October 9, 2013 to December 31, 2015.

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SPDR SSGA ULTRA SHORT TERM BOND ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF — PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (2/23/15, 2/24/15, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR DoubleLine Total Return Tactical ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.65%.

PERFORMANCE AS OF DECEMBER 31, 2015

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET
VALUE

MARKET
VALUE

BARCLAYS US
AGGREGATE

NET ASSET
VALUE

MARKET
VALUE

BARCLAYS US
AGGREGATE

SIX MONTHS

0.10%

0.13%

0.65%

N/A

SINCE INCEPTION (1)

–0.24%

–0.13%

–0.26%

N/A

(1)

For the period February 23, 2015 to December 31, 2015.

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR MFS SYSTEMATIC CORE EQUITY ETF —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/8/14, 1/9/14, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR MFS Systematic Core Equity ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.60%.

PERFORMANCE AS OF DECEMBER 31, 2015



	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
SIX MONTHS		1.07%		1.48%		1.38%		N/A		N/A		N/A
ONE YEAR		4.78%		5.13%		1.38%		4.78%		5.13%		1.38%
SINCE INCEPTION (1)		23.89%		24.06%		15.89%		11.42%		11.50%		7.74%

(1)

For the period January 8, 2014 to December 31, 2015.

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SPDR MFS SYSTEMATIC CORE EQUITY ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR MFS SYSTEMATIC GROWTH EQUITY ETF —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/8/14, 1/9/14, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR MFS Systematic Growth Equity ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.60%.

PERFORMANCE AS OF DECEMBER 31, 2015



	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
SIX MONTHS		2.49%		2.43%		1.64%		N/A		N/A		N/A
ONE YEAR		8.17%		8.51%		5.67%		8.17%		8.51%		5.67%
SINCE INCEPTION (1)		29.72%		29.92%		20.27%		14.04%		14.13%		9.79%

(1)

For the period January 8, 2014 to December 31, 2015.

LOGO

SPDR MFS SYSTEMATIC GROWTH EQUITY ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR MFS SYSTEMATIC VALUE EQUITY ETF —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/8/14, 1/9/14, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR MFS Systematic Value Equity ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.60%.

PERFORMANCE AS OF DECEMBER 31, 2015

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

SIX MONTHS

–2.38%

–2.48%

1.64%

N/A

ONE YEAR

2.83%

–3.83%

2.83%

–3.83%

SINCE INCEPTION (1)

17.46%

17.34%

9.40%

8.46%

8.41%

4.65%

(1)

For the period January 8, 2014 to December 31, 2015.

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SPDR MFS SYSTEMATIC VALUE EQUITY ETF —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

SPDR SSGA RISK AWARE ETF —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/9/14, 9/10/14, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSGA Risk Aware ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 (as supplemented October 31, 2015) is 0.50%.

PERFORMANCE AS OF DECEMBER 31, 2015

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET
VALUE

MARKET
VALUE

RUSSELL
3000
INDEX

NET ASSET

VALUE

MARKET

VALUE

RUSSELL
3000
INDEX

SIX MONTHS

–4.42%

–4.31%

–1.43%

N/A

ONE YEAR

–4.04%

–4.06%

0.48%

–4.04%

–4.06%

0.48%

SINCE INCEPTION (1)

–5.37%

–5.33%

4.30%

–4.12%

–4.09%

3.27%

(1)

For the period September 9, 2014 to December 31, 2015.

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SPDR SSGA RISK AWARE ETF —
PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

[This Page Intentionally Left Blank]

SSGA ACTIVE TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2015 (Unaudited)


	SPDR SSGA Multi-Asset Real Return ETF			SPDR SSGA Income Allocation ETF			SPDR SSGA Global Allocation ETF			SPDR Blackstone/ GSO Senior Loan ETF
ASSETS
Investment in corresponding Portfolio, at value (Note 1)	$	82,770,939		$	101,981,115		$	193,022,227		$	785,902,888
Receivable for fund shares sold		4,445,281			—			—			—
Due from Advisor (Note 3)		1,035			2,140			9,063			—

TOTAL ASSETS		87,217,255			101,983,255			193,031,290			785,902,888

LIABILITIES
Payable for Fund shares repurchased		1,111,320			—			—			—
Income distributions payable		534,280			1,405,499			2,406,925			2,622,808
Capital gain distributions payable		—			—			382,776			—
Accrued Advisory fees (Note 3)		—			—			—			264,885
Accrued trustees’ fees and expenses (Note 3)		23			—			—			—

TOTAL LIABILITIES		1,645,623			1,405,499			2,789,701			2,887,693

NET ASSETS	$	85,571,632		$	100,577,756		$	190,241,589		$	783,015,195

NET ASSETS CONSIST OF:
Paid-in capital (Note 4)	$	123,151,501		$	112,164,258		$	199,914,909		$	839,648,892
Undistributed (distributions in excess of) net investment income		(435,579	)		(681,856	)		(1,394,841	)		(910,234	)
Accumulated net realized gain (loss) on investments		(14,337,029	)		(5,293,586	)		97,827			(20,109,615	)
Net unrealized appreciation (depreciation) on investments		(22,807,261	)		(5,611,060	)		(8,376,306	)		(35,613,848	)

NET ASSETS	$	85,571,632		$	100,577,756		$	190,241,589		$	783,015,195

NET ASSET VALUE PER SHARE
Net asset value per share	$	22.23		$	29.58		$	32.80		$	46.20

Shares outstanding (unlimited amount authorized, $0.00 par value)		3,850,000			3,400,000			5,800,000			16,950,000

See Notes to Financial Statements and Financial Statements of the Master Portfolios.


SPDR SSGA Ultra Short Term Bond ETF			SPDR DoubleLine Total Return Tactical ETF			SPDR MFS Systematic Core Equity ETF			SPDR MFS Systematic Growth Equity ETF			SPDR MFS Systematic Value Equity ETF			SPDR SSGA Risk Aware ETF

$	13,977,780		$	1,784,411,417		$	5,886,034		$	9,226,980		$	2,802,474		$	1,865,755
	—			4,858,456			—			3,006,331			—			—
	—			139,159			—			—			—			—

	13,977,780			1,789,409,032			5,886,034			12,233,311			2,802,474			1,865,755


	—			—			—			—			—			—
	5,209			4,230,137			24,719			22,353			12,202			7,998
	—			—			63,234			183,280			161,371			—
	—			537,199			967			2,356			711			397
	—			—			—			—			—			—

	5,209			4,767,336			88,920			207,989			174,284			8,395

$	13,972,571		$	1,784,641,696		$	5,797,114		$	12,025,322		$	2,628,190		$	1,857,360


$	14,026,510		$	1,817,564,147		$	5,831,609		$	11,872,714		$	2,508,242		$	2,080,969
	(1,345	)		(2,784,478	)		(16,229	)		(1,747	)		(965	)		(388	)
	(12,213	)		(5,496,503	)		22,237			28,017			23,618			(223,577	)
	(40,381	)		(24,641,470	)		(40,503	)		126,338			97,295			356

$	13,972,571		$	1,784,641,696		$	5,797,114		$	12,025,322		$	2,628,190		$	1,857,360


$	39.92		$	48.56		$	57.97		$	60.13		$	52.56		$	37.15

	350,000			36,750,000			100,000			200,000			50,000			50,000

SSGA ACTIVE TRUST

STATEMENTS OF OPERATIONS

For the Six Months Ended December 31, 2015 (Unaudited)


	SPDR SSGA Multi-Asset Real Return ETF			SPDR SSGA Income Allocation ETF			SPDR SSGA Global Allocation ETF			SPDR Blackstone/ GSO Senior Loan ETF
INCOME AND EXPENSES ALLOCATED FROM PORTFOLIO
Dividend and interest income allocated from the Portfolio (Note 2)	$	893,264		$	2,212,747		$	2,360,947		$	18,068,972
Foreign taxes withheld		—			—			—			—
Expenses allocated from Portfolio (Note 2)		(111,793	)		(115,243	)		(171,256	)		(1,093,878	)

		781,471			2,097,504			2,189,691			16,975,094

EXPENSES
Advisory fees (Note 3)		38,209			81,759			—			1,448,812
Trustee Fees (Note 3)		1,356			864			1,441			5,320
Miscellaneous expenses		—			—			—			18,177

TOTAL EXPENSES		39,565			82,623			1,441			1,472,309

Fees reimbursed by Adviser (Note 3)		—			—			(138,037	)		—

NET INVESTMENT INCOME	$	741,906		$	2,014,881		$	2,326,287		$	15,502,785

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) allocated from Portfolio		(11,478,410	)		(1,932,809	)		(1,309,824	)		(16,572,750	)
Capital gain distributions allocated from Portfolio		35,931			892,389			2,070,900			—
Net change in unrealized appreciation (depreciation) allocated from corresponding Portfolio		(4,889,443	)		(4,542,453	)		(9,526,332	)		(26,617,571	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		(16,331,922	)		(5,582,873	)		(8,765,256	)		(43,190,321	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(15,590,016	)	$	(3,567,992	)	$	(6,438,969	)	$	(27,687,536	)

See Notes to Financial Statements and Financial Statements of the Master Portfolios.


SPDR SSGA Ultra Short Term Bond ETF			SPDR DoubleLine Total Return Tactical ETF			SPDR MFS Systematic Core Equity ETF			SPDR MFS Systematic Growth Equity ETF			SPDR MFS Systematic Value Equity ETF			SPDR SSGA Risk Aware ETF

$	43,645		$	22,224,116		$	44,394		$	78,930		$	32,185		$	20,817
	—			(550	)		—			—			—			—
	(14,843	)		(1,825,182	)		(5,998	)		(14,618	)		(4,307	)		(2,389	)

	28,802			20,398,384			38,396			64,312			27,878			18,428


	—			2,134,335			6,024			14,501			4,259			2,372
	81			7,522			22			50			2			15
	181			13,330			—			—			—			—

	262			2,155,187			6,046			14,551			4,261			2,387

	—			(604,127	)		—			—			—			—

$	28,540		$	18,847,324		$	32,350		$	49,761		$	23,617		$	16,041


	(8,883	)		(5,006,965	)		372,082			575,544			100,642			(92,488	)
	—			—			—			—			—			—
	(30,667	)		(17,973,848	)		(379,576	)		(253,296	)		(206,310	)		(10,516	)

	(39,550	)		(22,980,813	)		(7,494	)		322,248			(105,668	)		(103,004	)

$	(11,010	)	$	(4,133,489	)	$	24,856		$	372,009		$	(82,051	)	$	(86,963	)

SSGA ACTIVE TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SPDR SSGA Multi-Asset Real Return ETF						SPDR SSGA Income Allocation ETF
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	741,906		$	2,482,687		$	2,014,881		$	3,489,553
Net realized gain (loss) on investments		(11,442,479	)		(4,432,134	)		(1,040,420	)		544,893
Net change in unrealized appreciation (depreciation) on investments		(4,889,443	)		(23,442,391	)		(4,542,453	)		(6,319,996	)

Net increase (decrease) in net assets resulting from operations		(15,590,016	)		(25,391,838	)		(3,567,992	)		(2,285,550	)

Net equalization credits and charges (Note 2)		25,382			42,131			(87,123	)		56,314

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(721,878	)		(2,527,694	)		(2,141,998	)		(3,780,064	)
Net realized gain (loss) on investments		—			—			—			—

Total distributions to shareholders		(721,878	)		(2,527,694	)		(2,141,998	)		(3,780,064	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares		17,708,692			66,337,576			1,547,507			34,191,856
Cost of shares redeemed		(56,719,857	)		(61,103,706	)		(15,279,567	)		(11,141,269	)
Net income equalization (Note 2)		(25,382	)		(42,131	)		87,123			(56,314	)
Other capital (Note 4)		—			—			—			—

Net increase (decrease) in net assets from beneficial interest transactions		(39,036,547	)		5,191,739			(13,644,937	)		22,994,273

Net increase (decrease) in net assets during the period		(55,323,059	)		(22,685,662	)		(19,442,050	)		16,984,973
Net assets at beginning of period		140,894,691			163,580,353			120,019,806			103,034,833

NET ASSETS END OF PERIOD (1)	$	85,571,632		$	140,894,691		$	100,577,756		$	120,019,806

SHARES OF BENEFICIAL INTEREST
Shares sold		800,000			2,400,000			50,000			1,050,000
Shares redeemed		(2,401,111	)		(2,250,000	)		(501,111	)		(350,000	)

Net increase (decrease) in shares		(1,601,111	)		150,000			(451,111	)		700,000

(1) Undistributed (distributions in excess of) net investment income	$	(435,579	)	$	(455,607	)	$	(681,856	)	$	(554,739	)

*	Commencement of operations

See Notes to Financial Statements and Financial Statements of the Master Portfolios.


SPDR SSGA Global Allocation ETF						SPDR Blackstone/GSO Senior Loan ETF						SPDR SSGA Ultra Short Term Bond ETF
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15

$	2,326,287		$	3,228,950		$	15,502,785		$	24,960,615		$	28,540		$	53,459
	761,076			2,763,760			(16,572,750	)		(750,611	)		(8,883	)		(4,836	)
	(9,526,332	)		(5,265,486	)		(26,617,571	)		(10,613,251	)		(30,667	)		(20,193	)

	(6,438,969	)		727,224			(27,687,536	)		13,596,753			(11,010	)		28,430

	39,717			172,315			265,960			126,497			(529	)		166


	(3,166,914	)		(3,503,154	)		(18,448,504	)		(24,171,917	)		(32,660	)		(53,333	)
	(382,776	)		(713,037	)		—			—			—			(715	)

	(3,549,690	)		(4,216,191	)		(18,448,504	)		(24,171,917	)		(32,660	)		(54,048	)


	77,997,746			72,106,656			178,665,834			123,474,946			3,996,545			6,012,275
	(21,422,673	)		(22,551,382	)		(21,530,553	)		(51,558,641	)		(5,998,407	)		(4,007,078	)
	(39,717	)		(172,315	)		(265,960	)		(126,497	)		529			(166	)
	—			—			205,472			194,062			—			3,607

	56,535,356			49,382,959			157,074,793			71,983,870			(2,001,333	)		2,008,638

	46,586,414			46,066,307			111,204,713			61,535,203			(2,045,532	)		1,983,186
	143,655,175			97,588,868			671,810,482			610,275,279			16,018,103			14,034,917

$	190,241,589		$	143,655,175		$	783,015,195		$	671,810,482		$	13,972,571		$	16,018,103


	2,300,000			2,050,000			3,750,000			2,500,000			100,000			150,000
	(651,111	)		(650,000	)		(450,000	)		(1,050,000	)		(150,000	)		(100,000	)

	1,648,889			1,400,000			3,300,000			1,450,000			(50,000	)		50,000

$	(1,394,841	)	$	(554,214	)	$	(910,234	)	$	2,035,485		$	(1,345	)	$	2,775

SSGA ACTIVE TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)


	SPDR DoubleLine Total Return Tactical ETF						SPDR MFS Systematic Core Equity ETF
	Six Months Ended 12/31/15 (Unaudited)			For the Period 2/23/15* - 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	18,847,324		$	4,503,266		$	32,350		$	43,561
Net realized gain (loss) on investments		(5,006,965	)		(1,029,738	)		372,082			313,374
Net change in unrealized appreciation (depreciation) on investments		(17,973,848	)		(6,667,622	)		(379,576	)		48,736

Net increase (decrease) in net assets resulting from operations		(4,133,489	)		(3,194,094	)		24,856			405,671

Net equalization credits and charges (Note 2)		1,402,590			840,772			16,444			(2,028	)

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(22,277,060	)		(3,317,808	)		(48,889	)		(43,961	)
Net realized gain (loss) on investments		—			—			(63,234	)		(72,014	)

Total distributions to shareholders		(22,277,060	)		(3,317,808	)		(112,123	)		(115,975	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares		1,064,344,777			752,576,239			5,842,477			—
Cost of shares redeemed		—			—			(2,884,385	)		(2,723,021	)
Net income equalization (Note 2)		(1,402,590	)		(840,772	)		(16,444	)		2,028
Other capital (Note 4)		264,354			378,777			—			—

Net increase (decrease) in net assets from beneficial interest transactions		1,063,206,541			752,114,244			2,941,648			(2,720,993	)

Net increase (decrease) in net assets during the period		1,038,198,582			746,443,114			2,870,825			(2,433,325	)
Net assets at beginning of period		746,443,114			—			2,926,289			5,359,614

NET ASSETS END OF PERIOD (1)	$	1,784,641,696		$	746,443,114		$	5,797,114		$	2,926,289

SHARES OF BENEFICIAL INTEREST
Shares sold		21,650,000			15,100,000			100,000			—
Shares redeemed		—			—			(50,000	)		(50,000	)

Net increase (decrease) in shares		21,650,000			15,100,000			50,000			(50,000	)

(1) Undistributed (distributions in excess of) net investment income	$	(2,784,478	)	$	645,258		$	(16,229	)	$	310

*	Commencement of operations

See Notes to Financial Statements and Financial Statements of the Master Portfolios.


SPDR MFS Systematic Growth Equity ETF						SPDR MFS Systematic Value Equity ETF						SPDR SSGA Risk Aware ETF
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			For the Period 9/9/14* - 6/30/15

$	49,761		$	41,334		$	23,617		$	40,833		$	16,041		$	21,825
	575,544			451,772			100,642			294,126			(92,488	)		(232,419	)
	(253,296	)		35,700			(206,310	)		41,437			(10,516	)		10,872

	372,009			528,806			(82,051	)		376,396			(86,963	)		(199,722	)

	1,421			30			—			(1,662	)		—			(437	)


	(51,615	)		(42,194	)		(23,586	)		(42,508	)		(15,394	)		(22,860	)
	(183,280	)		(94,899	)		(161,371	)		(45,876	)		—			—

	(234,895	)		(137,093	)		(184,957	)		(88,384	)		(15,394	)		(22,860	)


	8,959,486			3,023,489			—			—			—			4,000,000
	(3,095,427	)		(2,746,928	)		—			(2,659,898	)		—			(1,817,701	)
	(1,421	)		(30	)		—			1,662			—			437
	—			—			—			—			—			—

	5,862,638			276,531			—			(2,658,236	)		—			2,182,736

	6,001,173			668,274			(267,008	)		(2,371,886	)		(102,357	)		1,959,717
	6,024,149			5,355,875			2,895,198			5,267,084			1,959,717			—

$	12,025,322		$	6,024,149		$	2,628,190		$	2,895,198		$	1,857,360		$	1,959,717


	150,000			50,000			—			—			—			100,000
	(50,000	)		(50,000	)		—			(50,000	)		—			(50,000	)

	100,000			—			—			(50,000	)		—			50,000

$	(1,747	)	$	107		$	(965	)	$	(996	)	$	(388	)	$	(1,035	)

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR SSGA Multi-Asset Real Return ETF
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
Net asset value, beginning of period	$	25.85		$	30.86		$	27.68		$	28.77		$	30.00

Income (loss) from investment operations:
Net investment income (loss) (2)		0.16			0.43			0.57			0.86			0.20
Net realized and unrealized gain (loss) on investments (3)		(3.61	)		(5.02	)		3.22			(1.33	)		(1.22	)

Total from investment operations		(3.45	)		(4.59	)		3.79			(0.47	)		(1.02	)

Net equalization credits and charges (2)		0.01			0.01			0.01			0.03			(0.01	)

Distributions to shareholders from:
Net investment income		(0.18	)		(0.43	)		(0.62	)		(0.65	)		(0.20	)
Net realized gains		—			—			—			—			—

Total distributions		(0.18	)		(0.43	)		(0.62	)		(0.65	)		(0.20	)

Net asset value, end of period	$	22.23		$	25.85		$	30.86		$	27.68		$	28.77

Total Return (4)		(13.29	)%		(14.84	)%		13.85	%		(1.67	)%		(3.44	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	85,572		$	140,895		$	163,580		$	120,434		$	5,786
Ratios to average net assets:
Total expenses		0.28	%(5)		0.23	%		0.24	%		0.25	%		0.27	%(5)
Net operating expenses		0.28	%(5)		0.23	%		0.24	%		0.25	%		0.27	%(5)
Net investment income		1.35	%(5)		1.53	%		1.97	%		2.86	%		3.77	%(5)
Portfolio turnover rate (6)		9	%		33	%		40	%		31	%		10	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

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

(3)	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.

(4)

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 Fund. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation.

(5)	Annualized.

(6)	Portfolio turnover rate is from each Fund’s respective Portfolio.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.


SPDR SSGA Income Allocation ETF															SPDR SSGA Global Allocation ETF
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period *4/25/12 - 6/30/12**			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period *4/25/12 - 6/30/12**
$	31.16		$	32.70		$	29.90		$	29.85		$	30.00		$	34.61		$	35.47		$	31.18		$	29.19		$	30.00


	0.54			0.97			1.16			1.41			0.44			0.46			0.92			0.98			1.03			0.24
	(1.49	)		(1.51	)		2.86			(0.25	)		(0.29	)		(1.64	)		(0.73	)		4.20			1.77			(0.77	)

	(0.95	)		(0.54	)		4.02			1.16			0.15			(1.18	)		0.19			5.18			2.80			(0.53	)

	(0.02	)		0.02			(0.03	)		0.12			0.11			0.01			0.05			0.02			0.09			(0.02	)


	(0.61	)		(1.02	)		(1.19	)		(1.23	)		(0.41	)		(0.57	)		(0.91	)		(0.91	)		(0.90	)		(0.26	)
	—			—			—			—			—			(0.07	)		(0.19	)		—			—			—

	(0.61	)		(1.02	)		(1.19	)		(1.23	)		(0.41	)		(0.64	)		(1.10	)		(0.91	)		(0.90	)		(0.26	)

$	29.58		$	31.16		$	32.70		$	29.90		$	29.85		$	32.80		$	34.61		$	35.47		$	31.18		$	29.19

	(3.09	)%		(1.59	)%		13.57	%		4.22	%		0.87	%		(3.33	)%		0.66	%		16.81	%		9.91	%		(1.82	)%

$	100,578		$	120,020		$	103,035		$	171,977		$	8,989		$	190,242		$	143,655		$	97,589		$	51,484		$	4,411

	0.35	%(5)		0.35	%		0.36	%		0.35	%		0.36	%(5)		0.20	%(5)		0.20	%		0.20	%		0.20	%		0.20	%(5)
	0.35	%(5)		0.35	%		0.36	%		0.35	%		0.36	%(5)		0.04	%(5)		0.05	%		0.05	%		0.04	%		0.05	%(5)
	3.53	%(5)		3.00	%		3.73	%		4.50	%		8.24	%(5)		2.73	%(5)		2.60	%		2.91	%		3.23	%		4.48	%(5)
	27	%		64	%		63	%		80	%		15	%		31	%		98	%		89	%		123	%		25	%

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR Blackstone/GSO Senior Loan ETF
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			For the Period *4/3/13 - 6/30/13**
Net asset value, beginning of period	$	49.22		$	50.02		$	49.65		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (2)		1.03			2.01			1.54			0.24
Net realized and unrealized gain (loss) on investments (3)		(2.85	)		(0.88	)		0.24			(0.65	)

Total from investment operations		(1.82	)		1.13			1.78			(0.41	)

Net equalization credits and charges (2)		0.02			0.01			0.03			0.06

Other capital		0.01			0.02			0.04			0.10

Distributions to shareholders from:
Net investment income		(1.23	)		(1.96	)		(1.48	)		(0.10	)
Net realized gains		—			—			—			—

Total distributions		(1.23	)		(1.96	)		(1.48	)		(0.10	)

Net asset value, end of period	$	46.20		$	49.22		$	50.02		$	49.65

Total Return (4)		(3.69	)%		2.38	%		3.77	%		(0.48	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	783,015		$	671,810		$	610,275		$	332,654
Ratios to average net assets:
Total expenses		0.71	%(5)		0.71	%		0.85	%		0.90	%(5)
Net operating expenses		0.71	%(5)		0.71	%		0.85	%		0.90	%(5)
Net investment income		4.27	%(5)		4.09	%		3.09	%		1.97	%(5)
Portfolio turnover rate (6)		34	%		65	%		77	%		4	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

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

(3)	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.

(4)

(5)	Annualized.

(6)	Portfolio turnover rate is from each Fund’s respective Portfolio.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR SSGA Ultra Short Term Bond ETF
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period *10/9/13 - 6/30/14**
Net asset value, beginning of period	$	40.05		$	40.10		$	40.00

Income (loss) from investment operations:
Net investment income (loss) (2)		0.08			0.13			0.10
Net realized and unrealized gain (loss) on investments (3)		(0.12	)		(0.05	)		0.03

Total from investment operations		(0.04	)		0.08			0.13

Net equalization credits and charges (2)		0.00	(4)		0.00	(4)		0.00	(4)

Other capital		—			0.01			0.05

Distributions to shareholders from:
Net investment income		(0.09	)		(0.14	)		(0.08	)
Net realized gains		—			—			—

Total distributions		(0.09	)		(0.14	)		(0.08	)

Net asset value, end of period	$	39.92		$	40.05		$	40.10

Total Return (5)		(0.08	)%		0.20	%		0.46	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	13,973		$	16,018		$	14,035
Ratios to average net assets:
Total expenses		0.21	%(6)		0.20	%		0.20	%(6)
Net operating expenses		0.21	%(6)		0.20	%		0.20	%(6)
Net investment income		0.39	%(6)		0.33	%		0.34	%(6)
Portfolio turnover rate (7)		47	%		79	%		39	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

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

(3)	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.

(4)	Amount is less than $0.005 per share.

(5)

(6)	Annualized.

(7)	Portfolio turnover rate is from each Fund’s respective Portfolio.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR DoubleLine Total Return Tactical ETF
	Six Months Ended 12/31/15 (Unaudited)			For the Period *2/23/15 - 6/30/15**
Net asset value, beginning of period	$	49.43		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (2)		0.76			0.55
Net realized and unrealized gain (loss) on investments (3)		(0.79	)		(0.88	)

Total from investment operations		(0.03	)		(0.33	)

Net equalization credits and charges (2)		0.06			0.10

Other capital		0.01			0.05

Distributions to shareholders from:
Net investment income		(0.91	)		(0.39	)
Net realized gains		—			—

Total distributions		(0.91	)		(0.39	)

Net asset value, end of period	$	48.56		$	49.43

Total Return (4)		0.10	%		(0.34	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	1,784,642		$	746,443
Ratios to average net assets:
Total expenses		0.65	%(5)		0.65	%(5)
Net operating expenses		0.55	%(5)		0.56	%(5)
Net investment income		3.09	%(5)		3.18	%(5)
Portfolio turnover rate (6)		15	%		14	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

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

(3)	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.

(4)

(5)	Annualized.

(6)	Portfolio turnover rate is from each Fund’s respective Portfolio.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR MFS Systematic Core Equity ETF
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period *1/8/14 - 6/30/14**
Net asset value, beginning of period	$	58.53		$	53.60		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (2)		0.47			0.81			0.31
Net realized and unrealized gain (loss) on investments (3)		(0.15	)		6.48			3.59

Total from investment operations		0.32			7.29			3.90

Net equalization credits and charges (2)		0.24			(0.04	)		—

Distributions to shareholders from:
Net investment income		(0.49	)		(0.88	)		(0.30	)
Net realized gains		(0.63	)		(1.44	)		—

Total distributions		(1.12	)		(2.32	)		(0.30	)

Net asset value, end of period	$	57.97		$	58.53		$	53.60

Total Return (4)		1.07	%		13.70	%		7.81	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	5,797		$	2,926		$	5,360
Ratios to average net assets:
Total expenses		0.60	%(5)		0.60	%		0.60	%(5)
Net operating expenses		0.60	%(5)		0.60	%		0.60	%(5)
Net investment income		1.61	%(5)		1.42	%		1.25	%(5)
Portfolio turnover rate (6)		15	%		54	%		27	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

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

(3)	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.

(4)

(5)	Annualized.

(6)	Portfolio turnover rate is from each Fund’s respective Portfolio.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR MFS Systematic Growth Equity ETF
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period *1/8/14 - 6/30/14**
Net asset value, beginning of period	$	60.24		$	53.56		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (2)		0.31			0.66			0.28
Net realized and unrealized gain (loss) on investments (3)		1.09			8.60			3.55

Total from investment operations		1.40			9.26			3.83

Net equalization credits and charges (2)		0.01			0.00	(4)		—

Distributions to shareholders from:
Net investment income		(0.30	)		(0.68	)		(0.27	)
Net realized gains		(1.22	)		(1.90	)		—

Total distributions		(1.52	)		(2.58	)		(0.27	)

Net asset value, end of period	$	60.13		$	60.24		$	53.56

Total Return (5)		2.49	%		17.53	%		7.68	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	12,025		$	6,024		$	5,356
Ratios to average net assets:
Total expenses		0.60	%(6)		0.60	%		0.60	%(6)
Net operating expenses		0.60	%(6)		0.60	%		0.60	%(6)
Net investment income		1.03	%(6)		1.14	%		1.16	%(6)
Portfolio turnover rate (7)		25	%		67	%		20	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

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

(3)	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.

(4)	Amount is less than $0.005 per share.

(5)

(6)	Annualized.

(7)	Portfolio turnover rate is from each Fund’s respective Portfolio.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR MFS Systematic Value Equity ETF									SPDR SSGA Risk Aware ETF
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period *1/8/14 - 6/30/14**			Six Months Ended 12/31/15 (Unaudited)			For the Period *9/9/14 - 6/30/15**
Net asset value, beginning of period	$	57.90		$	52.67		$	50.00		$	39.19		$	40.00

Income (loss) from investment operations:
Net investment income (loss) (2)		0.47			0.75			0.34			0.32			0.38
Net realized and unrealized gain (loss) on investments (3)		(2.11	)		6.28			2.67			(2.05	)		(0.77	)

Total from investment operations		(1.64	)		7.03			3.01			(1.73	)		(0.39	)

Net equalization credits and charges (2)		—			(0.03	)		—			—			(0.01	)

Distributions to shareholders from:
Net investment income		(0.47	)		(0.85	)		(0.34	)		(0.31	)		(0.41	)
Net realized gains		(3.23	)		(0.92	)		—			—			—

Total distributions		(3.70	)		(1.77	)		(0.34	)		(0.31	)		(0.41	)

Net asset value, end of period	$	52.56		$	57.90		$	52.67		$	37.15		$	39.19

Total Return (4)		(2.38	)%		13.47	%		6.04	%		(4.42	)%		(0.99	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	2,628		$	2,895		$	5,267		$	1,857		$	1,960
Ratios to average net assets:
Total expenses		0.60	%(5)		0.60	%		0.60	%(5)		0.50	%(5)		0.50	%(5)
Net operating expenses		0.60	%(5)		0.60	%		0.60	%(5)		0.50	%(5)		0.50	%(5)
Net investment income		1.66	%(5)		1.36	%		1.43	%(5)		1.69	%(5)		1.21	%(5)
Portfolio turnover rate (6)		34	%		61	%		23	%		25	%		122	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

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

(3)	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.

(4)

(5)	Annualized.

(6)	Portfolio turnover rate is from each Fund’s respective Portfolio.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 (Unaudited)

1.	Organization

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

As of December 31, 2015, the Trust offered ten (10) portfolios, each of which represents a separate series of beneficial interest in the Trust (each, a “Fund” and collectively, the “Funds”). The financial statements herein relate to the following ten (10) Funds: SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR Blackstone/GSO Senior Loan ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR DoubleLine Total Return Tactical ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF, SPDR MFS Systematic Value Equity ETF and SPDR SSGA Risk Aware ETF, each a “diversified” investment company, with the exception of SPDR SSGA Ultra Short Term Bond ETF and SPDR SSGA Risk Aware ETF which are each a “non-diversified” investment company.

The SPDR DoubleLine Total Return Tactical ETF commenced operations on February 23, 2015 and the SPDR SSGA Risk Aware ETF commenced operations on September 9, 2014.

Each Fund is part of a master-feeder structure and each Fund invests substantially all of its assets in interests of its respective master portfolio; the SSGA Multi-Asset Real Return Portfolio, SSGA Income Allocation Portfolio, SSGA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSGA Ultra Short Term Bond Portfolio, State Street DoubleLine Total Return Tactical Portfolio, SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio, SSGA MFS Systematic Value Equity Portfolio and State Street Risk Aware Portfolio (each a “Portfolio” and collectively, the “Portfolios”). Each Portfolio is a series of a separately registered investment company called SSGA Master Trust (“Master Trust”). The investment objective and policies of each Fund are substantially similar to those of its respective Portfolio. The value of each Fund’s investment in its respective Portfolio reflects the Fund’s proportionate interest in the net assets of that Portfolio (100.00% for SPDR SSGA Multi-Asset Real Return ETF, 100.00% for SPDR SSGA Income Allocation ETF, 100.00% for SPDR SSGA Global Allocation ETF, 100.00% for SPDR Blackstone/GSO Senior Loan ETF, 99.99% for SPDR SSGA Ultra Short Term Bond ETF, 100.00% for SPDR DoubleLine Total Return Tactical ETF, 99.98% for SPDR MFS Systematic Core Equity ETF, 99.99% for SPDR MFS Systematic Growth Equity ETF, 99.96% for SPDR MFS Systematic Value Equity ETF and 99.95% for SPDR SSGA Risk Aware ETF at December 31, 2015). The performance of each Fund is directly affected by the performance of its respective Portfolio. The financial statements of the Portfolios, including their Schedules of Investments, are attached to this report and should be read in conjunction with the Funds’ financial statements.

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

2.	Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles in the United States of America (“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 in Financial Accounting Standards Board (“FASB”) Accounting Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).

Security Valuation

Each Fund records its investments in its respective Portfolio at fair value each business day. The valuation policy of the Portfolios are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The summary of the inputs used for each Portfolio, as of December 31, 2015, in valuing each Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Net investment income consists of a Fund’s pro-rata share of the net investment income of its respective Portfolio less expenses of the Fund. Realized gains and losses from security transactions consist of a Fund’s pro-rata share of its respective Portfolio’s realized gains and losses.

Expenses

Advisory fees and other expenses, which are directly identifiable to a specific Fund, are applied to that Fund. Trustees’ fees and 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. Each Fund is allocated a pro-rata share of the expense of its respective Portfolio.

Equalization

The Funds 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.

Federal Income Tax

The Funds have qualified and intend to continue to qualify for and elect treatment as “regulated investment companies” under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, 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. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. These book-tax differences are primarily due to differing treatments for tax equalization, in-kind transactions for financial statement purposes and losses deferred due to wash sales.

Additionally, based on the SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which the applicable Funds invest, the Funds will provide for foreign taxes and, where appropriate, deferred foreign taxes.

SSGA FM has reviewed the tax positions for the open tax years as of June 30, 2015 and have determined that no provision for income tax is required in the Funds’ Financial Statements.

The Funds’ federal tax returns are subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Funds recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

For the six months ended December 31, 2015, the following Funds reclassified non-taxable security gains and losses realized on the in-kind redemption of Creation Units (Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:


	Net Gain (Loss) Reclassified to Paid in Capital
SPDR SSGA Multi-Asset Real Return ETF	$	(7,208,994	)
SPDR SSGA Income Allocation ETF		343,350
SPDR SSGA Global Allocation ETF		588,351
SPDR Blackstone/GSO Senior Loan ETF		—
SPDR SSGA Ultra Short Term Bond ETF		—
SPDR DoubleLine Total Return Tactical ETF		—
SPDR MFS Systematic Core Equity ETF		349,355
SPDR MFS Systematic Growth Equity ETF		501,332
SPDR MFS Systematic Value Equity ETF		—
SPDR SSGA Risk Aware ETF		—

At June 30, 2015, the Funds had capital loss carryforwards which may be utilized to offset any net short-term realized capital gains. These losses will not expire and are treated as though the losses were incurred on the first day of the next fiscal year:


	Short Term		Long Term
SPDR SSGA Multi-Asset Real Return ETF	$	8,975,715	$	7,779,421
SPDR SSGA Income Allocation ETF		3,969,091		—
SPDR SSGA Global Allocation ETF		—		—
SPDR Blackstone/GSO Senior Loan ETF		2,214,894		1,320,543
SPDR SSGA Ultra Short Term Bond ETF		3,248		—
SPDR DoubleLine Total Return Tactical ETF		453,461		—
SPDR MFS Systematic Core Equity ETF		—		—
SPDR MFS Systematic Growth Equity ETF		—		—
SPDR MFS Systematic Value Equity ETF		—		—
SPDR SSGA Risk Aware ETF		131,089		—

Distributions

Each Fund declares and distributes dividends from net investment income, if any, to its shareholders quarterly (monthly for SPDR Blackstone/GSO Senior Loan ETF and SPDR SSGA Ultra Short Term Bond ETF). Each Fund declares and distributes net realized capital gains, if any, at least annually. Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. GAAP.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

3.	Fees and Compensation Paid to Affiliates and other Related Party Transactions

Advisory Fee

Each Fund has entered into an investment advisory agreement with SSGA FM. As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:


	Annual Rate*
SPDR SSGA Multi-Asset Real Return ETF		0.70	%
SPDR SSGA Income Allocation ETF		0.70
SPDR SSGA Global Allocation ETF		0.35
SPDR Blackstone/GSO Senior Loan ETF		0.70
SPDR SSGA Ultra Short Term Bond ETF		0.20
SPDR DoubleLine Total Return Tactical ETF		0.65	**
SPDR MFS Systematic Core Equity ETF		0.60
SPDR MFS Systematic Growth Equity ETF		0.60
SPDR MFS Systematic Value Equity ETF		0.60
SPDR SSGA Risk Aware ETF		0.50

The Advisory fee is reduced by the proportional amount of the advisory fee, as well as for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF acquired fund fees and expenses of each Fund’s respective Portfolio. For the period ended December 31, 2015, the net annualized advisory fee was 0.07%, 0.14%, (0.16)%, 0.40%, 0.00%, 0.25%, 0.30%, 0.30%, 0.30% and 0.25% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR Blackstone / GSO Senior Loan ETF, SPDR SSGA Ultra Short Term Bond ETF, SPDR DoubleLine Total Return Tactical ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF, SPDR MFS Systematic Value Equity ETF and SPDR SSGA Risk Aware ETF, respectively. For the SPDR SSGA Global Allocation ETF the reduction resulted in a fee reimbursement which is identified on the Statements of Operations.

SSGA FM has contractually agreed to waive its advisory fee and/or reimburse certain expenses, until October 31, 2016, so that the net annual fund operating expenses of the Fund will be limited to 0.55% of the Fund’s average daily net assets before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2016, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board.

The Adviser pays all operating expenses of each Fund other than management fee, distribution fee pursuant to each Fund’s Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, and other extraordinary expenses.

SSGA FM serves as Administrator and State Street Bank and Trust Company (“State Street”) serves as sub-administrator. State Street, an affiliate of the Adviser, receives fees for its services as Custodian, Sub-administrator and Transfer Agent from the Adviser.

State Street Global Markets, LLC (the “Distributor”), an affiliate of the Adviser, serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, each Fund is authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution-related activities. However, the Board has determined that no such payments will be made through at least October 31, 2016 and therefore no such payments have been made.

The Distributor has established an assisted trading program to aid Authorized Participants in certain creation and redemption activity for which the Distributor receives commissions from Authorized Participants. In addition, the Distributor receives compensation from State Street associated with on-line creation and redemption activity of Authorized Participants.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

Trustees’ Fees

The Trust, SSGA Master Trust, SPDR Series Trust and SPDR Index Shares Funds (together with the Trust, the “Trusts”) pay, in the aggregate, each Independent Trustee an annual fee of $200,000 plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trust also reimburses each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.

4.	Shareholder Transactions

Shares are issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a separate cash payment, which is a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees ranging from $50 to $1,500 per Creation Unit for each Fund, regardless of the number of Creation Units that are created or redeemed on the same day, are charged to those persons creating or redeeming Creation Units. An additional variable fee may be charged for certain transactions. Transaction fees are received by the Trust and/or Custodian and are used to defray related expenses. The Custodian also receives amounts earned on cash collateral provided by Authorized Participants pending delivery of missing deposit securities. The amounts are included in Other Capital on the Statements of Changes in Net Assets.

5.	Subsequent Events

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

SSGA Active Trust

OTHER INFORMATION

December 31, 2015 (Unaudited)

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, which may include creation and redemption fees or brokerage charges and (2) ongoing costs, including management fees, trustee fees, and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. It is based on an investment of $1,000 invested on July 1, 2015 and held for the six months ended December 31, 2015.

Based on actual fund return

The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. 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 in the first table under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

Based on Hypothetical 5% return

The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The Funds charge transaction fees at scheduled amounts ranging from $50 to $1,500 per Creation Unit to those persons creating or redeeming Creation Units. If you buy or sell the Funds’ shares in the secondary market, you will incur customary brokerage commissions and charges.

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 creation and redemption fees, or brokerage charges. Therefore, the second 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	Annualized Expense Ratio			Beginning Account Value 7/1/15		Ending Account Value 12/31/15		Expenses Paid During Period* 7/1/15 to 12/31/15
SPDR SSGA Multi-Asset Real Return ETF		0.28	%	$	1,000	$	866.80	$	1.31
SPDR SSGA Income Allocation ETF		0.35			1,000		968.70		1.73
SPDR SSGA Global Allocation ETF		0.04			1,000		966.10		0.20
SPDR Blackstone / GSO Senior Loan ETF		0.71			1,000		963.10		3.50
SPDR SSGA Ultra Short Term Bond ETF		0.21			1,000		999.20		1.06
SPDR DoubleLine Total Return Tactical ETF		0.55			1,000		1,001.00		2.77
SPDR MFS Systematic Core Equity ETF		0.60			1,000		1,009.50		3.03
SPDR MFS Systematic Growth Equity ETF		0.60			1,000		1,022.90		3.12
SPDR MFS Systematic Value Equity ETF		0.60			1,000		970.80		2.97
SPDR SSGA Risk Aware ETF		0.50			1,000		955.60		2.46

Hypothetical (assuming a 5% return before expenses)
SPDR SSGA Multi-Asset Real Return ETF		0.28			1,000		1,023.73		1.42
SPDR SSGA Income Allocation ETF		0.35			1,000		1,023.38		1.78
SPDR SSGA Global Allocation ETF		0.04			1,000		1,024.94		0.20
SPDR Blackstone / GSO Senior Loan ETF		0.71			1,000		1,021.57		3.61
SPDR SSGA Ultra Short Term Bond ETF		0.21			1,000		1,024.08		1.07

SSGA Active Trust

OTHER INFORMATION (continued)

December 31, 2015 (Unaudited)

Shareholder Expense Example (continued)


Hypothetical (assuming a 5% return before expenses)	Annualized Expense Ratio			Beginning Account Value 7/1/15		Ending Account Value 12/31/15		Expenses Paid During Period* 7/1/15 to 12/31/15
SPDR DoubleLine Total Return Tactical ETF		0.55	%	$	1,000	$	1,022.37	$	2.80
SPDR MFS Systematic Core Equity ETF		0.60			1,000		1,022.12		3.05
SPDR MFS Systematic Growth Equity ETF		0.60			1,000		1,022.12		3.05
SPDR MFS Systematic Value Equity ETF		0.60			1,000		1,022.12		3.05
SPDR SSGA Risk Aware ETF		0.50			1,000		1,022.62		2.54

*	Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by the number of days in the most recent six month period, then divided by 366.

SSGA Active Trust

OTHER INFORMATION (continued)

December 31, 2015 (Unaudited)

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 net asset value of the Fund for the past calendar year can be found on the Funds’ website 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 website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.spdrs.com.

Quarterly Portfolio Schedule

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.

The SPDR^® Family of Exchange Traded Funds

The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. Please call 1-866-787-2257 to obtain a prospectus for any SPDR ETF. The prospectus contains more complete information, including charges, expenses, investment objectives and risk factors that should be carefully considered to determine if the Fund(s) are an appropriate investment for you. Read the prospectus(es) carefully before investing. Investing involves risk, including possible loss of principal.

SPDR Series Trust

SPDR Russell 3000^® ETF (THRK)

SPDR Russell 1000^® ETF (ONEK)

SPDR Russell 2000^® ETF (TWOK)

SPDR Russell 1000 Yield Focus ETF (ONEY)

SPDR Russell 1000 Momentum Focus ETF (ONEO)

SPDR Russell 1000 Low Volatility Focus ETF (ONEV)

SPDR S&P 500 Buyback ETF (SPYB)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR S&P 500 High Dividend ETF (SPYD)

SPDR S&P 500 Fossil Fuel Free ETF (SPYX)

SPDR Russell Small Cap Completeness ETF (RSCO)

SPDR S&P 400 Mid Cap Growth ETF (MDYG)

SPDR S&P 400 Mid Cap Value ETF (MDYV)

SPDR S&P 600 Small Cap ETF (SLY)

SPDR S&P 600 Small Cap Growth ETF (SLYG)

SPDR S&P 600 Small Cap Value ETF (SLYV)

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

SPDR S&P Oil & Gas Equipment & Services ETF (XES)

SPDR S&P Oil & Gas Exploration & Production ETF (XOP)

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR S&P 1500 Value Tilt ETF (VLU)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR Russell 1000 Low Volatility ETF (LGLV)

SPDR Russell 2000 Low Volatility ETF (SMLV)

SPDR MSCI USA Quality Mix ETF (QUS)

SPDR Wells Fargo Preferred Stock ETF (PSK)

SPDR Barclays 1-3 Month T-Bill ETF (BIL)

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays 0-5 Year TIPS ETF (SIPE)

SPDR Barclays 1-10 Year TIPS ETF (TIPX)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SPDR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (BNDS)

SPDR Nuveen Barclays Municipal Bond ETF (TFI)

SPDR Nuveen Barclays California Municipal Bond ETF (CXA)

SPDR Nuveen Barclays New York Municipal Bond ETF (INY)

SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)

SPDR Nuveen S&P High Yield Municipal Bond ETF (HYMB)

SPDR Nuveen Barclays Build America Bond ETF (BABS)

SPDR DB International Government Inflation-Protected Bond ETF (WIP)

SPDR Barclays Short Term International Treasury Bond ETF (BWZ)

SPDR Barclays International Treasury Bond ETF (BWX)

SPDR Barclays International Corporate Bond ETF (IBND)

SPDR Barclays Emerging Markets Local Bond ETF (EBND)

SPDR Barclays International High Yield Bond ETF (IJNK)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF (EMCD)

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (CJNK)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR EURO STOXX Small Cap (SMEZ)

SPDR EURO STOXX 50 Currency Hedged ETF (HFEZ)

SPDR S&P International Dividend Currency Hedged ETF (HDWX)

SPDR MSCI International Real Estate Currency Hedged ETF (HREX)

SPDR S&P Emerging Asia Pacific ETF (GMF)

SPDR S&P Russia ETF (RBL)

SPDR S&P China ETF (GXC)

SPDR MSCI China A Shares IMI ETF (XINA)

SPDR S&P Emerging Markets ETF (GMM)

SPDR S&P Emerging Markets Dividend ETF (EDIV)

SPDR S&P BRIC 40 ETF (BIK)

SPDR S&P Emerging Europe ETF (GUR)

SPDR S&P Emerging Latin America ETF (GML)

SPDR S&P Emerging Middle East & Africa ETF (GAF)

SPDR S&P North American Natural Resources ETF (NANR)

SPDR S&P World ex-US ETF (GWL)

SPDR S&P International Small Cap ETF (GWX)

SPDR Dow Jones International Real Estate ETF (RWX)

SPDR S&P Global Infrastructure ETF (GII)

SPDR S&P Global Natural Resources ETF (GNR)

SPDR MSCI ACWI ex-US ETF (CWI)

SPDR MSCI ACWI IMI ETF (ACIM)

SPDR MSCI ACWI Low Carbon Target ETF (LOWC)

SPDR MSCI EM 50 ETF (EMFT)

SPDR MSCI EM Beyond BRIC ETF (EMBB)

SPDR MSCI EAFE Quality Mix ETF (QEFA)

SPDR MSCI Emerging Markets Quality Mix ETF (QEMM)

SPDR MSCI World Quality Mix ETF (QWLD)

SPDR MSCI Australia Quality Mix ETF (QAUS)

SPDR MSCI Canada Quality Mix ETF (QCAN)

SPDR MSCI Germany Quality Mix ETF (QDEU)

SPDR MSCI Japan Quality Mix ETF (QJPN)

SPDR MSCI Mexico Quality Mix ETF (QMEX)

SPDR MSCI South Korea Quality Mix ETF (QKOR)

SPDR MSCI Spain Quality Mix ETF (QESP)

SPDR MSCI Taiwan Quality Mix ETF (QTWN)

SPDR MSCI United Kingdom Quality Mix ETF (QGBR)

SPDR Russell/Nomura PRIME^TMJapan ETF (JPP)

SPDR Russell/Nomura Small Cap^TMJapan ETF (JSC)

SPDR S&P Global Dividend ETF (WDIV)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

SPDR S&P Emerging Markets Small Cap ETF (EWX)

SPDR Dow Jones Global Real Estate ETF (RWO)

SPDR S&P International Consumer Discretionary Sector ETF (IPD)

SPDR S&P International Consumer Staples Sector ETF (IPS)

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

SPDR S&P International Health Care Sector ETF (IRY)

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The Financial Services Select Sector SPDR Fund (XLFS)

The Health Care Select Sector SPDR Fund (XLV)

The Industrial Select Sector SPDR Fund (XLI)

The Materials Select Sector SPDR Fund (XLB)

The Real Estate Select Sector SPDR Fund (XLRE)

The Technology Select Sector SPDR Fund (XLK)

The Utilities Select Sector SPDR Fund (XLU)

SSGA Active Trust

SPDR SSGA Multi-Asset Real Return ETF (RLY)

SPDR SSGA Income Allocation ETF (INKM)

SPDR SSGA Global Allocation ETF (GAL)

SPDR Blackstone/GSO Senior Loan ETF (SRLN)

SPDR SSGA Ultra Short Term Bond ETF (ULST)

SPDR DoubleLine Total Return Tactical ETF (TOTL)

State Street Clarion Global Infrastructure& MLP Portfolio (SSIDX)

SPDR MFS Systematic Core Equity ETF (SYE)

SPDR MFS Systematic Growth Equity ETF (SYG)

SPDR MFS Systematic Value Equity ETF (SYV)

SPDR SSGA Risk Aware ETF (RORO)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust, SPDR Index Shares Funds, and SSGA Active Trust. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR S&P 500 ETF Trust (SPY) and SPDR Dow Jones Industrial Average ETF Trust (DIA), both unit investment trusts, and ALPS Portfolio Solutions Distributors, Inc. is the distributor for all investment portfolios of The Select Sector SPDR Trust. ALPS Distributors, Inc. and ALPS Portfolio Solutions Distributor, Inc. are not affiliated with State Street Global Markets, LLC.

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Ann Carpenter, Vice President and Deputy Treasurer

Michael P. Riley, Vice President

Bruce Rosenberg, Treasurer

Chad C. Hallett, Deputy Treasurer

Daniel Foley, Assistant Treasurer

Sujata Upreti, Assistant Treasurer

Christopher A. Madden, Secretary

Patricia A. Morisette, Assistant Secretary

Brian Harris, Chief Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Markets, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

2020 K Street, NW

Washington, DC 20006

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Fund Shares are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Markets, LLC; member FINRA, SIPC.

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

SSGA Master Trust

Semi-Annual Report December 31, 2015

TABLE OF CONTENTS


Portfolio Summary
SSGA Multi-Asset Real Return Portfolio			1
SSGA Income Allocation Portfolio			2
SSGA Global Allocation Portfolio			3
Blackstone/GSO Senior Loan Portfolio			4
SSGA Ultra Short Term Bond Portfolio			5
State Street DoubleLine Total Return Tactical Portfolio			6
SSGA MFS Systematic Core Equity Portfolio			7
SSGA MFS Systematic Growth Equity Portfolio			8
SSGA MFS Systematic Value Equity Portfolio			9
State Street Risk Aware Portfolio			10
Schedules of Investments
SSGA Multi-Asset Real Return Portfolio			11
SSGA Income Allocation Portfolio			12
SSGA Global Allocation Portfolio			13
Blackstone/GSO Senior Loan Portfolio			14
SSGA Ultra Short Term Bond Portfolio			21
State Street DoubleLine Total Return Tactical Portfolio			23
SSGA MFS Systematic Core Equity Portfolio			37
SSGA MFS Systematic Growth Equity Portfolio			38
SSGA MFS Systematic Value Equity Portfolio			40
State Street Risk Aware Portfolio			42
Financial Statements			44
Financial Highlights			52
Notes to Financial Statements			58
Other Information			67

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SSGA MULTI-ASSET REAL RETURN PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	SPDR S&P GLOBAL NATURAL RESOURCES ETF	SPDR BARCLAYS TIPS ETF	POWERSHARES DB COMMODITY INDEX TRACKING FUND	SPDR DOW JONES REIT ETF	SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF
MARKET VALUE	$19,714,664	18,792,119	12,589,970	7,516,684	7,290,911
% OF NET ASSETS	23.8	22.7	15.2	9.1	8.8

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

ASSET ALLOCATION AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Natural Resources Funds		33.9	%
Inflation Linked Funds		28.8
Real Estate Funds		17.9
Commodities Funds		15.2
Short-Term Funds		7.8
Liabilities in Excess of Other Assets		(3.6	)
TOTAL		100.0	%

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

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SSGA INCOME ALLOCATION PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	SPDR BARCLAYS HIGH YIELD BOND ETF	SPDR BARCLAYS LONG TERM CORPORATE BOND ETF	SPDR BARCLAYS LONG TERM TREASURY ETF	SPDR DOW JONES REIT ETF	WISDOMTREE EUROPE HEDGED EQUITY FUND
MARKET VALUE	$15,084,016	11,268,889	9,437,434	6,462,481	6,336,074
% OF NET ASSETS	14.8	11.0	9.3	6.3	6.2

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

ASSET ALLOCATION AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Domestic Fixed Income Funds		43.8	%
International Equity Funds		17.7
Domestic Equity Funds		16.8
Real Estate Funds		10.4
Short-Term Funds		6.5
Inflation Linked Funds		4.4
Other Assets in Excess of Liabilities		0.4
TOTAL		100.0	%

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

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SSGA GLOBAL ALLOCATION PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	SPDR S&P WORLD EX-US ETF	SPDR BARCLAYS HIGH YIELD BOND ETF	WISDOMTREE EUROPE HEDGED EQUITY FUND	WISDOMTREE JAPAN HEDGED EQUITY FUND	SPDR BARCLAYS LONG TERM TREASURY ETF
MARKET VALUE	$27,388,987	20,119,956	18,689,989	15,236,189	11,995,391
% OF NET ASSETS	14.2	10.4	9.7	7.9	6.2

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

ASSET ALLOCATION AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
International Equity Funds		34.7	%
Domestic Fixed Income Funds		24.8
Short-Term Funds		18.2
Domestic Equity Funds		12.0
Real Estate Funds		6.2
Inflation Linked Funds		4.0
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

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

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BLACKSTONE/GSO SENIOR LOAN PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	AVAGO TECHNOLOGIES, LTD. 1.00% 11/06/2022	DELL, INC. 4.00% 04/29/2020	SCIENTIFIC GAMES INTERNATIONAL, INC. 6.00% 10/01/2021	SERVICEMASTER CO. 4.25% 07/01/2021	PETSMART, INC. 4.25% 03/11/2022
MARKET VALUE	$16,051,784	11,807,902	11,720,459	11,486,542	11,372,437
% OF NET ASSETS	2.0	1.5	1.5	1.5	1.4

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Software		9.3	%
Hotels, Restaurants & Leisure		7.9
Health Care Providers & Services		5.1
Media		4.9
Commercial Services & Supplies		4.3
Semiconductors & Semiconductor Equipment		4.2
Diversified Telecommunication Services		3.4
Automobiles		2.9
IT Services		2.8
Food & Staples Retailing		2.7
Pharmaceuticals		2.6
Specialty Retail		2.4
Insurance		1.9
Diversified Consumer Services		1.8
Health Care Equipment & Supplies		1.8
Health Care Services		1.8
Containers & Packaging		1.7
Electric Utilities		1.6
Independent Power Producers & Energy Traders		1.6
Multiline Retail		1.6
Professional Services		1.6
Technology Hardware, Storage & Peripherals		1.5
Packaging & Containers		1.4
Electronic Equipment, Instruments & Components		1.3
Wireless Telecommunication Services		1.3
Chemicals		1.2
Household Durables		1.2
Internet Software & Services		1.2
Machinery		1.2	%
Airlines		1.1
Communications Equipment		1.1
Personal Products		1.1
Entertainment		1.0
Aerospace & Defense		0.9
Metals & Mining		0.9
Capital Markets		0.8
Oil, Gas & Consumable Fuels		0.8
Leisure Time		0.7
Telecommunications		0.7
Auto Components		0.6
Diversified Financial Services		0.6
Health Care Technology		0.6
Life Sciences Tools & Services		0.6
Biotechnology		0.5
Electrical Equipment		0.5
Real Estate Management & Development		0.5
Trading Companies & Distributors		0.4
Electric		0.3
Energy Equipment & Services		0.3
Food Products		0.3
Distributors		0.2
Lodging		0.2
Marine		0.2
Food Service		0.1
Mining		0.1
Short-Term Investment		9.4
Liabilities in Excess of Other Assets		(2.7	)
TOTAL		100.0	%

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

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SSGA ULTRA SHORT TERM BOND PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	TREASURY NOTES 0.63% 09/30/2017	TARGET CORP. 5.88% 07/15/2016	BMW VEHICLE LEASE TRUST 0.72% 02/21/2017	NBCUNIVERSAL ENTERPRISE, INC. 0.86% 04/15/2016	WELLS FARGO & CO. 0.95% 04/23/2018
MARKET VALUE	$615,713	512,973	484,910	449,767	399,756
% OF NET ASSETS	4.4	3.7	3.5	3.2	2.8

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Banks		26.0	%
Asset-Backed — Credit Card		10.5
Retail		7.6
Auto Manufacturers		7.5
Sovereign		7.3
Asset-Backed — Other		6.2
Asset-Backed — Automobile		5.8
Health Care Services		4.3
Beverages		3.6
Diversified Financial Services		3.6
Oil & Gas		3.6
Media		3.2
Telecommunications		2.1
Aerospace & Defense		1.8
Machinery, Construction & Mining		1.4
Machinery-Diversified		1.4
Mining		1.4
Internet		1.1
Short-Term Investments		0.9
Asset-Backed — Student Loan		0.5
Other Assets in Excess of Liabilities		0.2
TOTAL		100.0	%

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

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STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	TREASURY NOTES 1.75% 03/31/2022	FEDERAL HOME LOAN MORTGAGE CORP. 3.00% 12/01/2045	FEDERAL HOME LOAN MORTGAGE CORP. 2.25% 03/15/2038	TREASURY NOTES 2.50% 05/15/2024	TREASURY NOTES 1.38% 04/30/2020
MARKET VALUE	$40,472,403	31,799,922	30,115,350	29,020,822	26,456,692
% OF NET ASSETS	2.2	1.8	1.7	1.6	1.5

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
U.S. Government Agency Obligations		35.3	%
Commercial Mortgage Backed Securities		20.7
U.S. Treasury Obligations		7.6
Banks		2.8
Foreign Government Obligations		1.2
Electric		1.0
Diversified Financial Services		0.9
Media		0.9
Oil & Gas		0.7
Food		0.6
Health Care Services		0.6
Telecommunications		0.6
Software		0.5
Commercial Services		0.4
Pharmaceuticals		0.4
Pipelines		0.4
Aerospace & Defense		0.3
Chemicals		0.3
Commercial Services & Supplies		0.3
Food Products		0.3
Forest Products & Paper		0.3
Hotels, Restaurants & Leisure		0.3
Insurance		0.3
Investment Company Security		0.3
Mining		0.3
Retail		0.3
Capital Markets		0.2
Containers & Packaging		0.2
Engineering & Construction		0.2
Entertainment		0.2
Gas		0.2
Health Care Providers & Services		0.2
Holding Companies-Divers		0.2
IT Services		0.2
Machinery		0.2
	PERCENT OF NET ASSETS
Agriculture		0.1
Airlines		0.1
Apparel		0.1
Auto Manufacturers		0.1
Auto Parts & Equipment		0.1
Building Products		0.1
Construction & Engineering		0.1
Construction Materials		0.1
Distributors		0.1
Diversified Telecommunication Services		0.1
Electric Utilities		0.1
Electronic Equipment, Instruments & Components		0.1
Electronics		0.1
Environmental Control		0.1
Food & Staples Retailing		0.1
Health Care Equipment & Supplies		0.1
Household Durables		0.1
Household Products		0.1
Internet		0.1
Leisure Time		0.1
Machinery, Construction & Mining		0.1
Personal Products		0.1
Real Estate Investment Trusts		0.1
Real Estate Investment Trusts (REITs)		0.1
Road & Rail		0.1
Semiconductors & Semiconductor Equipment		0.1
Specialty Retail		0.1
Trading Companies & Distributors		0.1
Transportation		0.1
Short-Term Investment		19.0
Liabilities in Excess of Other Assets		(1.3	)
TOTAL		100.0	%

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

[LOGO]

SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	AMAZON.COM, INC.	APPLE, INC.	JPMORGAN CHASE & CO.	NORTHROP GRUMMAN CORP.	ROYAL CARIBBEAN CRUISES, LTD.
MARKET VALUE	$290,633	267,045	249,329	221,096	220,537
% OF NET ASSETS	4.9	4.5	4.2	3.8	3.8

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Pharmaceuticals		7.8	%
Software		7.8
Insurance		7.2
Internet & Catalog Retail		6.9
Aerospace & Defense		6.8
Banks		6.6
Technology Hardware, Storage & Peripherals		6.3
Oil, Gas & Consumable Fuels		5.8
Biotechnology		5.1
Health Care Providers & Services		5.1
Hotels, Restaurants & Leisure		4.5
Tobacco		3.9
Building Products		3.3
Chemicals		3.1
Real Estate Investment Trusts (REITs)		2.7
Specialty Retail		2.7
Food Products		2.5
Food & Staples Retailing		2.4
Diversified Telecommunication Services		2.2
Independent Power Producers & Energy Traders		1.5
Household Products		1.3
Consumer Finance		1.1
Health Care Equipment & Supplies		1.0
Media		0.9
Multiline Retail		0.8
Short-Term Investments		0.7
TOTAL		100.0	%

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

LOGO

SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	AMAZON.COM, INC.	APPLE, INC.	GILEAD SCIENCES, INC.	ELECTRONIC ARTS, INC.	KROGER CO.
MARKET VALUE	$746,858	558,931	487,533	450,941	448,041
% OF NET ASSETS	8.1	6.1	5.3	4.9	4.8

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Internet & Catalog Retail		12.0	%
Software		8.4
Biotechnology		8.1
Food Products		7.9
Specialty Retail		7.2
Food & Staples Retailing		6.7
Health Care Providers & Services		6.6
Pharmaceuticals		6.5
IT Services		6.1
Internet Software & Services		6.1
Technology Hardware, Storage & Peripherals		6.1
Hotels, Restaurants & Leisure		6.0
Media		4.7
Chemicals		4.5
Tobacco		4.2
Auto Components		3.9
Diversified Telecommunication Services		3.3
Insurance		3.3
Oil, Gas & Consumable Fuels		3.3
Real Estate Investment Trusts (REITs)		3.1
Beverages		2.8
Health Care Equipment & Supplies		2.4
Trading Companies & Distributors		2.3
Aerospace & Defense		1.4
Machinery		1.3
Road & Rail		0.9
Consumer Finance		0.7
Air Freight & Logistics		0.6
Textiles, Apparel & Luxury Goods		0.6
Communications Equipment		0.4
Short-Term Investments		0.9
Liabilities in Excess of Other Assets		(32.3	)
TOTAL		100.0	%

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

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SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	JPMORGAN CHASE & CO.	WELLS FARGO & CO.	CITIGROUP, INC.	VALERO ENERGY CORP.	PRUDENTIAL FINANCIAL, INC.
MARKET VALUE	$150,878	129,051	122,958	94,681	94,680
% OF NET ASSETS	5.4	4.6	4.4	3.3	3.4

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Banks		14.4	%
Oil, Gas & Consumable Fuels		10.1
Insurance		9.1
Pharmaceuticals		5.4
Food Products		5.3
Health Care Providers & Services		5.2
Aerospace & Defense		5.1
Software		4.8
Specialty Retail		4.4
Auto Components		4.1
Semiconductors & Semiconductor Equipment		4.1
Real Estate Investment Trusts (REITs)		3.5
Electric Utilities		3.2
Chemicals		2.9
Hotels, Restaurants & Leisure		2.6
Biotechnology		2.3
Independent Power Producers & Energy Traders		1.9
Communications Equipment		1.7
Technology Hardware, Storage & Peripherals		1.7
Industrial Conglomerates		1.5
Multi-Utilities		1.5
Diversified Telecommunication Services		1.3
Internet Software & Services		1.0
Consumer Finance		0.7
Health Care Equipment & Supplies		0.7
Trading Companies & Distributors		0.7
Short-Term Investments		0.7
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

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

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SSGA RISK AWARE PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	MCDONALD’S CORP.	DOLLAR TREE, INC.	PROCTER & GAMBLE CO.	AUTOZONE, INC.	CAPITAL BANK FINANCIAL CORP.
MARKET VALUE	$105,381	98,224	89,892	89,771	86,890
% OF NET ASSETS	5.6	5.3	4.8	4.8	4.7

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


	PERCENT OF NET ASSETS
Pharmaceuticals		14.3	%
Diversified Telecommunication Services		7.4
Multiline Retail		7.1
Banks		6.6
Beverages		6.3
Hotels, Restaurants & Leisure		6.1
Household Products		5.7
Food Products		4.8
Specialty Retail		4.8
Commercial Services & Supplies		4.6
Diversified Financial Services		4.1
Food & Staples Retailing		4.0
Biotechnology		3.9
Multi-Utilities		3.7
Electric Utilities		2.2
IT Services		2.0
Water Utilities		1.9
Health Care Equipment & Supplies		1.7
Insurance		1.6
Oil, Gas & Consumable Fuels		1.4
Real Estate Investment Trusts (REITs)		1.2
Professional Services		1.1
Tobacco		1.0
Media		0.6
Internet & Catalog Retail		0.5
Metals & Mining		0.4
Capital Markets		0.3
Health Care Providers & Services		0.1
Paper & Forest Products		0.1
Short-Term Investments		0.4
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

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

SSGA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 95.8%
COMMODITIES — 15.2%
PowerShares DB Commodity Index Tracking Fund (a) (b)		942,363	$	12,589,970
PowerShares DB Oil Fund (a) (b)		562		5,086

				12,595,056

INFLATION LINKED — 28.8%
SPDR Barclays TIPS ETF (c)		343,989		18,792,119
SPDR DB International Government Inflation-Protected Bond ETF (c)		100,309		5,058,583

				23,850,702

NATURAL RESOURCES — 33.9%
Energy Select Sector SPDR Fund (c)		63,020		3,815,861
PowerShares Global Agriculture Portfolio (c)		108,727		2,520,292
SPDR S&P Global Natural Resources ETF (c)		614,164		19,714,664
SPDR S&P International Energy Sector ETF (c)		104,940		1,607,681
SPDR S&P Metals & Mining ETF (c)		23,269		347,872

				28,006,370

REAL ESTATE — 17.9%
SPDR Dow Jones International Real Estate ETF (c)		186,373		7,290,911
SPDR Dow Jones REIT ETF (c)		82,033		7,516,684

				14,807,595

TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $102,067,109)				79,259,723

SHORT-TERM INVESTMENT — 7.8%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (c) (d) (Cost $6,481,970)		6,481,970		6,481,970

TOTAL INVESTMENTS — 103.6%(e) (Cost $108,549,079)				85,741,693
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.6)%				(2,969,954	)

NET ASSETS — 100.0%			$	82,771,739

(a)	Qualified Publicly Traded Partnerships

(b)	Non-income producing security

(c)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(d)	The rate shown is the annualized seven-day yield at December 31, 2015.

(e)	Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs (Note 2).

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 93.1%
DOMESTIC EQUITY — 16.8%
Consumer Discretionary Select Sector SPDR Fund (a)		25,629	$	2,002,906
Health Care Select Sector SPDR Fund (a)		28,937		2,084,911
SPDR S&P Dividend ETF (a)		80,335		5,910,246
SPDR Wells Fargo Preferred Stock ETF (a)		115,452		5,160,704
Technology Select Sector SPDR Fund (a)		46,878		2,007,785

				17,166,552

DOMESTIC FIXED INCOME — 43.8%
SPDR Barclays Convertible Securities ETF (a)		111,151		4,810,615
SPDR Barclays High Yield Bond ETF (a)		444,825		15,084,016
SPDR Barclays Intermediate Term Corporate Bond ETF (a)		122,494		4,094,974
SPDR Barclays Long Term Corporate Bond ETF (a)		299,864		11,268,889
SPDR Barclays Long Term Treasury ETF (a)		135,052		9,437,434

				44,695,928

INFLATION LINKED — 4.4%
SPDR Barclays TIPS ETF (a)		82,723		4,519,158

INTERNATIONAL EQUITY — 17.7%
SPDR S&P Global Infrastructure ETF (a)		24,104		1,001,280
SPDR S&P International Dividend ETF (a)		58,861		1,963,603
SPDR STOXX Europe 50 ETF (a)		125,047		3,981,496
WisdomTree Europe Hedged Equity Fund		117,749		6,336,074
WisdomTree Japan Hedged Equity Fund		94,347		4,724,898

				18,007,351

REAL ESTATE — 10.4%
SPDR Dow Jones International Real Estate ETF (a)		104,548		4,089,918
SPDR Dow Jones REIT ETF (a)		70,528		6,462,481

				10,552,399

TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $100,552,434)				94,941,388

SHORT-TERM INVESTMENT — 6.5%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (a) (b) (Cost $6,658,292)		6,658,292		6,658,292

TOTAL INVESTMENTS — 99.6% (c) (Cost $107,210,726)				101,599,680
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4%				382,577

NET ASSETS — 100.0%			$	101,982,257

(a)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(b)	The rate shown is the annualized seven-day yield at December 31, 2015.

(c)	Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs (Note 2).

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 81.7%
DOMESTIC EQUITY — 12.0%
Consumer Discretionary Select Sector SPDR Fund (a)		48,734	$	3,808,562
Health Care Select Sector SPDR Fund (a)		54,952		3,959,291
Industrial Select Sector SPDR Fund (a)		3,916		207,587
SPDR S&P500 ETF Trust (a)		56,349		11,488,998
Technology Select Sector SPDR Fund (a)		84,030		3,599,005

				23,063,443

DOMESTIC FIXED INCOME — 24.8%
SPDR Barclays Aggregate Bond ETF (a)		101,142		5,770,151
SPDR Barclays High Yield Bond ETF (a)		593,334		20,119,956
SPDR Barclays Intermediate Term Corporate Bond ETF (a)		58,487		1,955,221
SPDR Barclays Intermediate Term Treasury ETF (a)		32,025		1,921,820
SPDR Barclays Long Term Corporate Bond ETF (a)		162,698		6,114,191
SPDR Barclays Long Term Treasury ETF (a)		171,657		11,995,391

				47,876,730

INFLATION LINKED — 4.0%
SPDR Barclays TIPS ETF (a)		142,401		7,779,367

INTERNATIONAL EQUITY — 34.7%
SPDR S&P International Small Cap ETF (a)		203,836		5,754,290
SPDR S&P World ex-US ETF (a)		1,063,650		27,388,987
WisdomTree Europe Hedged Equity Fund		347,333		18,689,989
WisdomTree Japan Hedged Equity Fund		304,237		15,236,189

				67,069,455

REAL ESTATE — 6.2%
SPDR Dow Jones International Real Estate ETF (a)		96,244		3,765,065
SPDR Dow Jones REIT ETF (a)		88,853		8,141,601

				11,906,666

TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $166,071,898)				157,695,661

SHORT-TERM INVESTMENT — 18.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (a) (b) (Cost $35,091,184)		35,091,184		35,091,184

TOTAL INVESTMENTS — 99.9% (c) (Cost $201,163,082)				192,786,845
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				236,604

NET ASSETS — 100.0%			$	193,023,449

(a)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(b)	The rate shown is the annualized seven-day yield at December 31, 2015.

(c)	Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs (Note 2).

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

*SENIOR FLOATING RATE LOANS — 85.3%**
AEROSPACE & DEFENSE — 0.9%
TransDigm, Inc.:
Senior Secured Term Loan C, 3.75%, 2/28/2020	$	1,994,859	$	1,951,081
Senior Secured Term Loan D, 3.75%, 6/4/2021		4,962,217		4,847,912

				6,798,993

AIRLINES — 1.1%
American Airlines, Inc.:
Senior Secured Term Loan, 3.25%, 6/26/2020		2,000,000		1,973,910
Senior Secured Term Loan B, 3.50%, 10/10/2021		3,712,500		3,682,336
US Airways Group, Inc.
Senior Secured Term Loan B1, 3.50%, 5/23/2019		3,221,654		3,194,479

				8,850,725

AUTO COMPONENTS — 0.6%
Federal-Mogul Holdings Corp. Senior Secured Term Loan C, 4.75%, 4/15/2021		4,937,500		4,375,859

AUTOMOBILES — 2.9%
Affinia Group Intermediate Holdings, Inc. Senior Secured Term Loan B2, 4.75%, 4/27/2020		2,700,000		2,696,639
Chrysler Group LLC:
Senior Secured Term Loan B, 3.25%, 12/31/2018		10,078,522		10,005,452
Senior Secured Term Loan B, 3.50%, 5/24/2017		8,477,807		8,461,911
TI Group Automotive Systems LLC Senior Secured Term Loan, 4.50%, 6/30/2022		1,995,000		1,955,100

				23,119,102

BIOTECHNOLOGY — 0.5%
Grifols Worldwide Operations USA, Inc. Senior Secured Term Loan B, 3.42%, 2/27/2021		3,989,848		3,958,926

CAPITAL MARKETS — 0.8%
Blue Coat Systems, Inc. Senior Secured Term Loan, 4.50%, 5/20/2022		4,841,246		4,691,990
Hamilton Lane Advisors LLC Senior Secured Term Loan B, 4.25%, 7/9/2022		1,408,235		1,400,610

				6,092,600

CHEMICALS — 1.2%
Axalta Coating Systems US Holdings, Inc. Senior Secured Term Loan, 3.75%, 2/1/2020		5,110,713		5,071,692

Ineos US Finance LLC Senior Secured Term Loan, 3.75%, 5/4/2018		4,019,333		3,927,210

				8,998,902

COMMERCIAL SERVICES & SUPPLIES — 4.3%
ADS Waste Holdings, Inc. Senior Secured Term Loan, 3.75%, 10/9/2019		5,259,660		5,105,158
Allied Security Holdings LLC Senior Secured 1st Lien Term Loan, 1.00%, 2/12/2021		314,447		306,586
Aramark Services, Inc. Senior Secured Term Loan F, 3.25%, 2/24/2021		3,959,924		3,928,581
Asurion LLC:
Senior Secured 2nd Lien Term Loan, 8.50%, 3/3/2021		5,381,859		4,631,090
Senior Secured Term Loan B1, 5.00%, 5/24/2019		1,473,512		1,384,645
Senior Secured Term Loan B4, 5.00%, 8/4/2022		8,588,226		7,875,403
EnergySolutions LLC Senior Secured Term Loan, 6.75%, 5/29/2020		1,875,714		1,453,678
Lineage Logistics Holdings LLC Senior Secured Term Loan, 4.50%, 4/7/2021		2,680,616		2,452,764
Multi Packaging Solutions, Inc. Senior Secured Term Loan B, 4.25%, 9/30/2020		1,592,612		1,548,815
West Corp. Senior Secured Term Loan B10, 3.25%, 6/30/2018		5,234,560		5,159,784

				33,846,504

COMMUNICATIONS EQUIPMENT — 1.1%
Avaya, Inc. Senior Secured Term Loan B7, 6.25%, 5/29/2020		10,797,789		7,576,431
CommScope, Inc. Senior Secured Term Loan B5, 3.83%, 12/29/2022		1,402,033		1,395,030

				8,971,461

CONTAINERS & PACKAGING — 1.7%
Berry Plastics Holding Corp.:
Senior Secured Term Loan D, 3.50%, 2/8/2020		2,919,937		2,871,160
Senior Secured Term Loan E, 3.75%, 1/6/2021		1,105,503		1,091,756
Senior Secured Term Loan F, 4.00%, 10/1/2022		3,229,201		3,206,839
Coveris Holdings S.A. Senior Secured Term Loan B1, 4.50%, 5/8/2019		593,526		577,946
Hilex Poly Co. LLC Senior Secured Term Loan B, 6.00%, 12/5/2021		1,211,856		1,212,160

See accompanying notes to financial statements.

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

Reynolds Group Holdings, Inc. Senior Secured Dollar Term Loan, 4.50%, 12/1/2018	$	2,400,190	$	2,380,940
Tekni-Plex, Inc. Senior Secured Term Loan B, 4.50%, 6/1/2022		2,224,845		2,196,111

				13,536,912

DISTRIBUTORS — 0.2%
American Tire Distributors Holdings, Inc. Senior Secured Term Loan, 5.25%, 9/1/2021		1,938,442		1,912,602

DIVERSIFIED CONSUMER SERVICES — 1.8%
Nord Anglia Education Finance LLC Senior Secured Term Loan, 5.00%, 3/31/2021		2,809,269		2,753,084
ServiceMaster Co. Senior Secured Term Loan B, 4.25%, 7/1/2021		11,590,860		11,486,542

				14,239,626

DIVERSIFIED FINANCIAL SERVICES — 0.6%
AlixPartners LLP Senior Secured Term Loan B, 4.50%, 7/28/2022		1,777,723		1,767,732
Opal Acquisition, Inc. Senior Secured 1st Lien Term Loan, 5.00%, 11/27/2020		1,636,420		1,367,769
Tech Finance & Co S.C.A Senior Secured Term Loan B, 5.00%, 7/10/2020		1,609,556		1,589,839

				4,725,340

DIVERSIFIED TELECOMMUNICATION SERVICES — 3.4%
Crown Castle Operating Co. Senior Secured Term Loan B2, 1.00%, 1/31/2021		1,994,911		1,989,724
Intelsat Jackson Holdings, Ltd. Senior Secured Term Loan B2, 3.75%, 6/30/2019		4,141,243		3,926,789
Level 3 Financing, Inc. Senior Secured Term Loan B2, 3.50%, 5/31/2022		9,500,000		9,369,375
Telesat LLC Senior Secured Term Loan B2, 3.50%, 3/28/2019		3,989,744		3,936,540
Virgin Media Investment Holdings, Ltd. Senior Secured Term Loan F, 3.50%, 6/30/2023		8,000,000		7,845,640

				27,068,068

ELECTRIC UTILITIES — 1.6%
Astoria Energy LLC Senior Secured Term Loan B, 5.00%, 12/24/2021		1,076,431		1,061,178
La Frontera Generation LLC Senior Secured Term Loan B, 4.50%, 9/30/2020		3,430,752		3,256,350
Panda Temple II Power LLC Senior Secured Term Loan B, 7.25%, 4/3/2019		3,000,000		2,670,000
PowerTeam Services LLC Senior Secured 1st Lien Term Loan, 4.25%, 5/6/2020		2,881,027		2,810,197
Sandy Creek Energy Associates L.P. Senior Secured Term Loan B, 5.00%, 11/8/2020		3,491,785		2,458,217

				12,255,942

ELECTRICAL EQUIPMENT — 0.5%
Gates Global, Inc. Senior Secured Term Loan B, 4.25%, 7/5/2021		4,088,323		3,845,926

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.3%
CDW LLC Senior Secured Term Loan, 3.25%, 4/29/2020		6,045,120		5,911,372
Zebra Technologies Corp. Senior Secured Term Loan B, 4.75%, 10/27/2021		4,252,874		4,263,718

				10,175,090

ENERGY EQUIPMENT & SERVICES — 0.3%
Granite Acquisition, Inc.:
Senior Secured Term Loan B, 5.00%, 12/19/2021		2,231,237		2,006,250
Senior Secured Term Loan C, 5.00%, 12/19/2021		99,166		89,167

				2,095,417

FOOD & STAPLES RETAILING — 2.7%
Albertsons LLC:
Senior Secured Term Loan B2, 5.50%, 3/21/2019		3,945,257		3,937,860
Senior Secured Term Loan B4, 5.50%, 8/25/2021		7,634,788		7,583,291
Supervalu, Inc. Senior Secured Refi Term Loan B, 4.50%, 3/21/2019		2,917,793		2,883,451
US Foods, Inc. Senior Secured Refinance Term Loan, 4.50%, 3/31/2019		6,545,685		6,476,137

				20,880,739

FOOD PRODUCTS — 0.3%
Dole Food Co., Inc. Senior Secured Term Loan B, 4.50%, 11/1/2018		2,676,967		2,665,256

HEALTH CARE EQUIPMENT & SUPPLIES — 1.8%
Greatbatch, Ltd. Senior Secured Term Loan B, 5.25%, 10/27/2022		1,497,006		1,486,250
Immucor, Inc. Senior Secured Refi Term Loan B2, 5.00%, 8/17/2018		1,409,872		1,346,428
Kinetic Concepts, Inc. Senior Secured Term Loan E1, 4.50%, 5/4/2018		5,440,847		5,261,734

See accompanying notes to financial statements.

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

Ortho-Clinical Diagnostics, Inc. Senior Secured Term Loan B, 4.75%, 6/30/2021	$	6,767,176	$	5,777,476

				13,871,888

HEALTH CARE PROVIDERS & SERVICES — 5.1%
Air Medical Group Holdings, Inc. Senior Secured Term Loan B, 1.00%, 4/28/2022		1,496,241		1,452,296
CHG Healthcare Services, Inc. Senior Secured Term Loan, 4.25%, 11/19/2019		2,111,372		2,079,702
Community Health Systems, Inc.:
Senior Secured Term Loan F, 3.66%, 12/31/2018		1,994,975		1,972,112
Senior Secured Term Loan G, 3.75%, 12/31/2019		5,208,037		5,090,048
Senior Secured Term Loan H, 4.00%, 1/27/2021		8,036,994		7,927,932
DaVita HealthCare Partners, Inc. Senior Secured Term Loan B, 1.00%, 6/24/2021		2,176,295		2,171,757
Envision Healthcare Corp. Senior Secured Term Loan B2, 4.50%, 10/28/2022		1,604,938		1,598,117
FHC Health Systems, Inc. Senior Secured Term Loan, 5.00%, 12/23/2021		4,367,586		4,171,044
HCA, Inc. Senior Secured Term Loan B5, 3.17%, 3/31/2017		4,987,245		4,987,569
MPH Acquisition Holdings LLC Senior Secured Term Loan, 3.75%, 3/31/2021		5,973,239		5,828,896
National Mentor Holdings, Inc. Senior Secured Term Loan B, 4.25%, 1/31/2021		712,694		692,504
Truven Health Analytics, Inc. Senior Secured Term Loan B, 4.50%, 6/6/2019		2,475,413		2,382,585

				40,354,562

HEALTH CARE TECHNOLOGY — 0.6%
CT Technologies Intermediate Holdings, Inc. Senior Secured 1st Lien Term Loan, 5.25%, 12/1/2021		459,231		444,880
IMS Health, Inc. Senior Secured Term Loan, 3.50%, 3/17/2021		4,417,679		4,330,717

				4,775,597

HOTELS, RESTAURANTS & LEISURE — 7.9%
Burger King 1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B2, 3.75%, 12/12/2021		3,989,903		3,959,979
Caesars Entertainment Resort Properties LLC Senior Secured Term Loan B, 7.00%, 10/11/2020		4,531,310		4,137,675

CEC Entertainment, Inc. Senior Secured Term Loan B, 4.25%, 2/14/2021		8,837,441		8,417,662
Delta 2 (LUX) S.a.r.l.:
Senior Secured 2nd Lien Term Loan, 7.75%, 7/31/2022		2,561,701		2,374,697
Senior Secured Term Loan B3, 4.75%, 7/30/2021		7,018,093		6,807,550
Hilton Worldwide Finance LLC Senior Secured Term Loan B2, 3.50%, 10/26/2020		3,520,833		3,518,826
La Quinta Intermediate Holdings LLC Senior Secured Term Loan B, 3.75%, 4/14/2021		5,486,216		5,358,195
Las Vegas Sands LLC Senior Secured Term Loan B, 3.25%, 12/19/2020		6,134,037		6,082,664
MGM Resorts International Senior Secured Term Loan B, 1.00%, 12/20/2019		1,994,859		1,971,589
Scientific Games International, Inc. Senior Secured Term Loan B2, 6.00%, 10/1/2021		12,811,765		11,720,459
Travelport Finance (Luxembourg) S.A.R.L. Senior Secured Term Loan B, 5.75%, 9/2/2021		7,979,849		7,828,990

				62,178,286

HOUSEHOLD DURABLES — 1.2%
Jarden Corp. Senior Secured Term Loan B2, 3.17%, 7/30/2022		2,565,000		2,565,539
Serta Simmons Holdings LLC Senior Secured Term Loan, 4.25%, 10/1/2019		3,109,704		3,095,274
Spin Holdco Inc. Senior Secured Term Loan B, 4.25%, 11/14/2019		3,851,793		3,710,240

				9,371,053

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.6%
Calpine Construction Finance Company L.P. Senior Secured Original Term Loan B2, 3.25%, 1/31/2022		1,969,786		1,873,267
Calpine Corp. Senior Secured Term Loan B3, 4.00%, 10/9/2019		2,339,547		2,286,181
NRG Energy, Inc. Senior Secured Refi Term Loan B, 2.75%, 7/2/2018		5,974,411		5,828,785
Panda Sherman Power LLC Senior Secured Term Loan, 9.00%, 9/14/2018		2,977,394		2,694,542

				12,682,775

See accompanying notes to financial statements.

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

INSURANCE — 1.9%
Alliant Holdings I, Inc. Senior Secured Term Loan B, 4.50%, 8/12/2022	$	2,356,579	$	2,305,771
AmWINS Group LLC Senior Secured 2nd Lien Term Loan, 9.50%, 9/4/2020		1,071,429		1,064,062
Hub International, Ltd. Senior Secured Term Loan B, 4.00%, 10/2/2020		4,454,660		4,216,625
National Financial Partners Corp. Senior Secured Term Loan B, 4.50%, 7/1/2020		3,913,792		3,770,274
Sedgwick Claims Management Services, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 3/1/2021		3,992,373		3,840,164

				15,196,896

INTERNET SOFTWARE & SERVICES — 1.2%
Go Daddy Operating Company LLC Senior Secured Term Loan B, 4.25%, 5/13/2021		1,352,684		1,346,299
Inmar, Inc. Senior Secured 1st Lien Term Loan, 4.25%, 1/27/2021		3,134,091		3,065,533
Sabre, Inc. Senior Secured Term Loan B, 4.00%, 2/19/2019		5,360,606		5,315,041

				9,726,873

IT SERVICES — 2.8%
Computer Sciences Government Services, Inc. Senior Secured Term Loan B, 3.75%, 11/28/2022		847,458		846,932
First Data Corp.:
Senior Secured Extended Term Loan, 3.92%, 3/24/2018		10,987,969		10,863,585
Senior Secured Term Loan, 3.92%, 9/24/2018		3,960,401		3,912,956
Senior Secured Term Loan, 4.17%, 7/8/2022		4,705,882		4,645,294
TNS, Inc. Senior Secured 1st Lien Term Loan, 5.00%, 2/14/2020		1,428,027		1,409,284

				21,678,051

LIFE SCIENCES TOOLS & SERVICES — 0.6%
Jaguar Holding Company II Senior Secured Term Loan B, 4.25%, 8/18/2022		5,088,251		4,957,865

MACHINERY — 1.2%
Allison Transmission, Inc. Senior Secured Term Loan B3, 3.50%, 8/23/2019		3,896,725		3,878,469
Gardner Denver, Inc. Senior Secured Term Loan, 4.25%, 7/30/2020		2,939,850		2,655,419

Rexnord LLC Senior Secured 1st Lien Term Loan B, 4.00%, 8/21/2020		3,316,607		3,223,344

				9,757,232

MARINE — 0.2%
Drillships Ocean Ventures, Inc. Senior Secured Term Loan B, 5.50%, 7/25/2021		2,974,347		1,420,251

MEDIA — 3.7%
Acosta Holdco, Inc. Senior Secured Term Loan, 4.25%, 9/26/2021		3,831,260		3,654,754
CCO Safari III LLC Senior Secured Term Loan I, 3.50%, 1/24/2023		5,036,374		5,038,489
Neptune Finco Corp. Senior Secured Term Loan B, 5.00%, 10/9/2022		6,849,315		6,851,473
Numericable Group SA Senior Secured Term Loan B5, 4.56%, 7/31/2022		1,781,818		1,709,432
Numericable U.S. LLC Senior Secured Term Loan B6, 4.75%, 1/31/2023		6,086,957		5,864,143
Penton Media, Inc. Senior Secured Term Loan, 4.75%, 10/3/2019		1,326,908		1,319,444
Univision Communications, Inc.:
Senior Secured Term Loan C3, 4.00%, 3/1/2020		1,970,335		1,931,283
Senior Secured Term Loan C4, 4.00%, 3/1/2020		2,926,327		2,869,263

				29,238,281

METALS & MINING — 0.9%
FMG Resources (August 2006) Pty, Ltd. Senior Secured Term Loan B, 4.25%, 6/30/2019		9,192,197		6,862,343

MULTILINE RETAIL — 1.6%
Dollar Tree, Inc. Senior Secured Term Loan B1, 3.50%, 7/6/2022		6,584,469		6,576,271
Neiman Marcus Group, Inc. Senior Secured Term Loan, 4.25%, 10/25/2020		6,815,922		6,052,675

				12,628,946

OIL, GAS & CONSUMABLE FUELS — 0.8%
EMG Utica LLC Senior Secured Term Loan, 4.75%, 3/27/2020		2,448,431		2,228,072
Fieldwood Energy LLC Senior Secured 2nd Lien Term Loan, 8.38%, 9/30/2020		6,389,590		1,019,140
Murray Energy Corp. Senior Secured Term Loan B1, 7.00%, 4/16/2017		3,901,199		3,023,429

				6,270,641

See accompanying notes to financial statements.

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

PERSONAL PRODUCTS — 1.1%
NBTY, Inc. Senior Secured Term Loan B2, 3.50%, 10/1/2017	$	2,883,639	$	2,849,756
Revlon Consumer Products Corp. Senior Secured Acquisition Term Loan, 4.00%, 10/8/2019		5,782,705		5,764,634

				8,614,390

PHARMACEUTICALS — 2.6%
Concordia Healthcare Corp. Senior Secured Term Loan, 5.25%, 10/21/2021		5,130,841		4,941,667
Endo Luxembourg Finance Company I S.a r.l. Senior Secured Term Loan B, 3.75%, 9/26/2022		2,463,485		2,435,771
Valeant Pharmaceuticals International Senior Secured Term Loan B F1, 4.00%, 4/1/2022		9,751,380		9,403,987
Valeant Pharmaceuticals International, Inc. Senior Secured Series E Term Loan B, 3.75%, 8/5/2020		3,454,684		3,323,406

				20,104,831

PROFESSIONAL SERVICES — 1.6%
Advantage Sales & Marketing, Inc. Senior Secured 1st Lien Term Loan, 4.25%, 7/23/2021		6,383,744		6,156,770
TransUnion LLC Senior Secured Term Loan B2, 3.50%, 4/9/2021		6,493,117		6,322,672

				12,479,442

REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5%
Realogy Corp. Senior Secured Term Loan B, 3.75%, 3/5/2020		3,940,211		3,918,855

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.2%
Avago Technologies, Ltd. Senior Secured Term Loan B, 1.00%, 11/6/2022		16,192,171		16,051,784
Microsemi Corp. Senior Secured Term Loan B, 1.00%, 12/2/2022		8,353,222		8,223,747
NXP B.V. Senior Secured Term Loan B, 3.75%, 12/7/2020		8,695,652		8,676,087

				32,951,618

SOFTWARE — 8.8%
Applied Systems, Inc. Senior Secured 1st Lien Term Loan, 4.25%, 1/25/2021		1,633,118		1,606,580
Aspect Software, Inc. Senior Secured Term Loan B, 7.25%, 5/7/2016		8,870,746		8,212,847

Blackboard, Inc. Senior Secured Term Loan B3, 4.75%, 10/4/2018		2,992,443		2,881,169
BMC Software Finance, Inc. Senior Secured Term Loan, 5.00%, 9/10/2020		10,547,090		8,723,920
CCC Information Services, Inc. Senior Secured Term Loan B, 4.00%, 12/20/2019		2,919,737		2,875,035
Compuware Corp.:
Senior Secured 2nd Lien Term Loan, 9.25%, 12/9/2022		2,000,000		1,810,000
Senior Secured Term Loan B2, 6.25%, 12/15/2021		4,466,165		4,177,718
Epicor Software Corporation Senior Secured 1st Lien Term Loan, 4.75%, 6/1/2022		5,696,863		5,574,779
Infor (US), Inc.:
Senior Secured Term Loan B3, 3.75%, 6/3/2020		1,673,327		1,576,416
Senior Secured Term Loan B5, 3.75%, 6/3/2020		2,664,293		2,508,326
Informatica Corp. Senior Secured Term Loan, 4.50%, 8/5/2022		1,931,867		1,864,599
Kronos, Inc.:
Senior Secured 2nd Lien Term Loan, 9.75%, 4/30/2020		6,094,695		6,087,077
Senior Secured Initial Incremental Term Loan, 4.50%, 10/30/2019		2,990,910		2,949,800
MA FinanceCo. LLC Senior Secured Term Loan B, 5.25%, 11/19/2021		4,369,426		4,343,493
Mitchell International, Inc. Senior Secured 1st Lien Term Loan, 4.50%, 10/12/2020		2,771,855		2,636,034
Sophia L.P. Senior Secured Term Loan B, 4.75%, 9/30/2022		3,510,754		3,475,647
TIBCO Software, Inc. Senior Secured Term Loan B, 6.50%, 12/4/2020		5,310,276		4,838,989
Vertafore, Inc. Senior Secured 1st Lien Term Loan, 4.25%, 10/3/2019		2,905,539		2,885,564

				69,027,993

SPECIALTY RETAIL — 2.4%
Academy, Ltd. Senior Secured Term Loan B, 5.00%, 7/1/2022		3,591,651		3,474,168
Bass Pro Group LLC Senior Secured Term Loan, 4.00%, 6/5/2020		2,167,937		2,093,858
Michaels Stores, Inc. Senior Secured Term Loan B, 3.75%, 1/28/2020		1,950,000		1,935,375

See accompanying notes to financial statements.

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

PetSmart, Inc. Senior Secured Term Loan B, 4.25%, 3/11/2022	$	11,650,594	$	11,372,437

				18,875,838

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.5%
Dell, Inc. Senior Secured Term Loan B2, 4.00%, 4/29/2020		11,880,074		11,807,902

TRADING COMPANIES & DISTRIBUTORS — 0.4%
Beacon Roofing Supply, Inc. Senior Secured Term Loan B, 4.00%, 10/1/2022		1,768,966		1,759,572
Univar, Inc. Senior Secured Term Loan, 4.25%, 7/1/2022		1,444,989		1,402,037

				3,161,609

WIRELESS TELECOMMUNICATION SERVICES — 1.3%
LTS Buyer LLC Senior Secured 1st Lien Term Loan, 4.00%, 4/13/2020		2,992,327		2,922,007
SBA Senior Finance II LLC Senior Secured Term Loan B1, 1.00%, 3/24/2021		1,994,937		1,958,240
T-Mobile USA, Inc. Senior Secured Term Loan B, 3.50%, 11/9/2022		5,235,174		5,241,718

				10,121,965

TOTAL SENIOR FLOATING RATE LOANS (Cost $701,795,899)				670,449,973

CORPORATE BONDS & NOTES — 8.0%
ELECTRIC — 0.3%
AES Corp. 3.41%, 6/1/2019		3,000,000		2,752,500

ENTERTAINMENT — 1.0%
Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp. 5.25%, 3/15/2021		2,000,000		2,060,000
Scientific Games Corp. 8.13%, 9/15/2018		3,000,000		2,190,000
Scientific Games International, Inc. 7.00%, 1/1/2022 (a)		3,400,000		3,247,000

				7,497,000

FOOD SERVICE — 0.1%
Aramark Services, Inc. 5.75%, 3/15/2020		1,000,000		1,034,375

HEALTH CARE SERVICES — 1.8%
CHS/Community Health Systems, Inc. 5.13%, 8/1/2021		2,000,000		1,990,000
HCA, Inc.:
4.75%, 5/1/2023		4,000,000		3,960,000
5.25%, 4/15/2025		3,000,000		3,022,500
Tenet Healthcare Corp. 4.01%, 6/15/2020 (a)		5,000,000		4,875,000

				13,847,500


LEISURE TIME — 0.7%
Sabre GLBL, Inc.:
5.25%, 11/15/2023 (a)		750,000		741,562
5.38%, 4/15/2023 (a)		4,950,000		4,925,250

				5,666,812

LODGING — 0.2%
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope 8.00%, 10/1/2020		1,465,000		1,391,750

MEDIA — 1.2%
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.50%, 8/1/2019 (a)		5,000,000		4,950,000
Univision Communications, Inc. 5.13%, 5/15/2023 (a)		5,000,000		4,812,500

				9,762,500

MINING — 0.1%
FMG Resources August 2006 Pty, Ltd. 9.75%, 3/1/2022 (a)		1,000,000		915,000

PACKAGING & CONTAINERS — 1.4%
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is 6.00%, 6/15/2017 (a)		3,000,000		2,902,500
Coveris Holdings SA 7.88%, 11/1/2019(a)		2,600,000		2,268,500
Novelis, Inc. 8.38%, 12/15/2017		5,000,000		4,862,500
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.75%, 10/15/2020		1,000,000		1,017,190

				11,050,690

SOFTWARE — 0.5%
Infor US, Inc. 5.75%, 8/15/2020 (a)		4,000,000		4,030,000

TELECOMMUNICATIONS — 0.7%
Avaya, Inc.:
7.00%, 4/1/2019 (a)		3,000,000		2,220,000
9.00%, 4/1/2019 (a)		4,000,000		3,070,000

				5,290,000

TOTAL CORPORATE BONDS & NOTES (Cost $67,506,106)				63,238,127

SHORT-TERM INVESTMENT — 9.4%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) (d) (Cost $73,468,378)		73,468,378		73,468,378

TOTAL INVESTMENTS — 102.7% (e)
(Cost $842,770,383)				807,156,478

LIABILITIES IN EXCESS OF OTHER ASSETS — (2.7)%				(21,252,558	)

NET ASSETS — 100.0%			$	785,903,920

See accompanying notes to financial statements.

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)

*	The interest rate shown represents the rate at December 31, 2015.

(a)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These Securities, which represent 5.0% of net assets as of December 31, 2015, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b)	Value is determined based on Level 1 inputs (Note 2).

(c)	The rate shown is the annualized seven-day yield at December 31, 2015.

(d)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(e)	Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2).

See accompanying notes to financial statements.

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

ASSET-BACKED SECURITIES — 23.0%
ASSET-BACKED — OTHER — 6.2%
Ford Credit Floorplan Master Owner Trust A Series 2014-1, Class A2, ABS, 0.73%, 2/15/2019 (a)	$	200,000	$	199,325
GE Dealer Floorplan Master Note Trust Series 2014-1, Class A, ABS, 0.78%, 7/20/2019 (a)		250,000		249,648
John Deere Owner Trust Series 2014-B, Class A2A, ABS, 0.54%, 7/17/2017		166,274		166,138
Mercedes-Benz Master Owner Trust Series 2015-AA, Class A, ABS, 0.65%, 4/15/2019 (a) (b)		250,000		249,341

				864,452

ASSET-BACKED — STUDENT LOAN — 0.5%
SLM Student Loan Trust Series 2014-2, Class A1, ABS, 0.67%, 7/25/2019 (a)		65,088		65,017

AUTOMOBILE — 5.8%
BMW Vehicle Lease Trust Series 2015-1, Class A2B, ABS, 0.72%, 2/21/2017 (a)		485,113		484,910
Drive Auto Receivables Trust Series 2015-DA, Class A2B, ABS, 1.20%, 6/15/2018 (a) (b)		250,000		250,015
World Omni Auto Receivables Trust Series 2014-B, Class A2A, ABS, 0.60%, 1/16/2018		82,619		82,545

				817,470

CREDIT CARD — 10.5%
BA Credit Card Trust Series 2014-A3, Class A, ABS, 0.62%, 1/15/2020 (a)		300,000		299,672
Barclays Dryrock Issuance Trust:
Series 2014-1, Class A, ABS, 0.69%, 12/16/2019 (a)		200,000		199,806
Series 2014-2, Class A, ABS, 0.67%, 3/16/2020 (a)		100,000		99,841
Capital One Multi-Asset Execution Trust Series 2015-A6, Class A6, ABS, 0.70%, 6/15/2020 (a)		250,000		249,664
Chase Issuance Trust Series 2007-A2, Class A2, ABS, 0.25%, 4/15/2019 (a)		274,000		273,072
Golden Credit Card Trust Series 2014-1A, Class A, ABS, 0.75%, 3/15/2019 (a) (b)		350,000		348,607

				1,470,662

TOTAL ASSET-BACKED SECURITIES (Cost $3,221,204)				3,217,601

CORPORATE BONDS & NOTES — 68.6%
AEROSPACE & DEFENSE — 1.8%
Boeing Co 0.45%, 10/30/2017 (a)		250,000		249,372


AUTO MANUFACTURERS — 7.5%
American Honda Finance Corp.:
Series MTN, 0.54%, 9/2/2016 (a)		100,000		99,916
Series MTN, 0.80%, 12/11/2017 (a)		187,000		185,909
Daimler Finance North America LLC 1.25%, 1/11/2016 (b)		350,000		350,015
Toyota Motor Credit Corp.:
0.55%, 2/16/2017		219,000		218,760
Series MTN, 0.56%, 5/16/2017		200,000		199,292

				1,053,892

BANKS — 26.0%
Bank of America NA:
0.76%, 5/8/2017 (a)		150,000		149,630
0.90%, 6/5/2017 (a)		250,000		249,164
Canadian Imperial Bank of Commerce 0.84%, 7/18/2016 (a)		100,000		100,090
Commonwealth Bank of Australia 0.90%, 3/12/2018 (a) (b)		300,000		298,387
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 1.01%, 3/18/2016 (a)		225,000		224,969
Fifth Third Bank 1.15%, 11/18/2016		200,000		199,775
JPMorgan Chase & Co. 2.60%, 1/15/2016		250,000		250,104
National Australia Bank, Ltd. 0.88%, 6/30/2017 (a) (b)		250,000		249,375
Nederlandse Waterschapsbank NV 0.52%, 10/18/2016 (a) (b)		200,000		200,225
Royal Bank of Canada:
Series GMTN, 0.76%, 6/16/2017 (a)		120,000		119,550
Series GMTN, 1.04%, 3/15/2019 (a)		250,000		248,191
Svenska Handelsbanken AB 1.02%, 3/21/2016		250,000		249,931
Toronto-Dominion Bank 0.57%, 5/2/2017		230,000		229,484
US Bank NA 0.62%, 1/26/2018		250,000		248,781
Wells Fargo & Co. 0.95%, 4/23/2018		400,000		399,756
Westpac Banking Corp. 0.82%, 11/25/2016		220,000		220,215

				3,637,627

BEVERAGES — 3.6%
Anheuser-Busch InBev Finance, Inc. 0.73%, 2/1/2019 (a)		250,000		245,462
PepsiCo, Inc. 0.57%, 7/17/2017 (a)		250,000		249,823

				495,285

DIVERSIFIED FINANCIAL SERVICES — 3.6%
GE Capital International Funding Co. 0.96%, 4/15/2016 (b)		350,000		350,158
General Electric Capital Corp. Series GMTN, 1.21%, 5/9/2016 (a)		150,000		150,285

				500,443

See accompanying notes to financial statements.

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

HEALTH CARE SERVICES — 4.3%
Roche Holdings, Inc. 0.69%, 9/29/2017 (a) (b)	$	350,000	$	348,174
UnitedHealth Group, Inc. 0.77%, 1/17/2017		250,000		250,167

				598,341

INTERNET — 1.1%
eBay, Inc. 0.81%, 8/1/2019 (a)		160,000		154,473

MACHINERY, CONSTRUCTION & MINING — 1.4%
Caterpillar Financial Services Corp. Series GMTN, 0.65%, 6/9/2017 (a)		200,000		199,390

MACHINERY-DIVERSIFIED — 1.4%
John Deere Capital Corp. 1.85%, 9/15/2016		200,000		201,112

MEDIA — 3.2%
NBCUniversal Enterprise, Inc. 0.86%, 4/15/2016 (a) (b)		450,000		449,767

MINING — 1.4%
Rio Tinto Finance USA PLC 1.37%, 6/17/2016 (a)		200,000		199,302

OIL & GAS — 3.6%
Chevron Corp. 0.59%, 3/2/2018 (a)		250,000		248,212
ConocoPhillips Co. 0.69%, 5/15/2018 (a)		250,000		248,160

				496,372

RETAIL — 7.6%
Home Depot Inc 0.88%, 9/15/2017 (a)		300,000		300,442
Lowe’s Cos., Inc. 0.91%, 9/10/2019 (a)		250,000		248,483
Target Corp. 5.88%, 7/15/2016		500,000		512,973

				1,061,898

TELECOMMUNICATIONS — 2.1%
Cisco Systems, Inc. 0.82%, 6/15/2018 (a)		300,000		299,370

TOTAL CORPORATE BONDS & NOTES (Cost $9,627,031)				9,596,644

U.S. TREASURY OBLIGATIONS — 7.3%
Treasury Notes:
0.63%, 5/31/2017		400,000		398,235
0.63%, 9/30/2017		620,000		615,713

TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,020,342)				1,013,948


SHORT-TERM INVESTMENT — 0.9%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (c) (d) (e) (Cost $126,552)		126,552		126,552

TOTAL INVESTMENTS — 99.8% (f) (Cost $13,995,129)				13,954,745
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%				24,039

NET ASSETS — 100.0%			$	13,978,784

(a)	Variable Rate Security — Interest rate shown is rate in effect at December 31, 2015.

(b)

Securities purchased pursuant to Rule 144A of the Securities Act of 1933. Securities, which represent 22.1% of net assets as of December 31, 2015, securities considered liquid based upon procedures approved by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(d)	The rate shown is the annualized seven-day yield at December 31, 2015.

(e)	Value is determined based on Level 1 inputs (Note 2).

(f)	Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2).

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

CORPORATE BONDS & NOTES — 13.5%
AUSTRALIA — 0.1%
Westpac Banking Corp. 2.60%, 11/23/2020	$	1,780,000	$	1,776,682

BRAZIL — 0.3%
Banco do Brasil SA/Cayman 9.00%, 6/18/2024 (a)		200,000		131,000
CIMPOR Financial Operations B.V. 5.75%, 7/17/2024		700,000		465,500
Cosan Overseas, Ltd. 8.25%, 2/5/2016		700,000		558,250
ESAL GmbH 6.25%, 2/5/2023		200,000		176,500
Globo Comunicacao e Participacoes SA 5.31%, 5/11/2022 (b)		700,000		697,375
Gol LuxCo SA 8.88%, 1/24/2022		200,000		86,000
JBS Investments GmbH 7.75%, 10/28/2020		400,000		384,000
JBS USA LLC / JBS USA Finance, Inc. 7.25%, 6/1/2021 (c)		759,000		753,308
Marfrig Holdings Europe B.V. 6.88%, 6/24/2019		1,000,000		892,500
Marfrig Overseas, Ltd. 9.50%, 5/4/2020		250,000		245,000
Minerva Luxembourg SA 8.75%, 4/3/2019 (a)		1,300,000		1,189,500

				5,578,933

CANADA — 0.2%
Royal Bank of Canada Series MTN, 2.35%, 10/30/2020		1,780,000		1,762,244
Toronto-Dominion Bank Series GMTN, 1.75%, 7/23/2018		1,775,000		1,771,702

				3,533,946

CAYMAN ISLANDS — 0.0% (d)
Interoceanica IV Finance, Ltd. Zero Coupon, 11/30/2018		679,774		638,987

CHILE — 1.2%
AES Gener SA 5.25%, 8/15/2021		1,550,000		1,589,649
Celulosa Arauco y Constitucion SA:
4.75%, 1/11/2022		1,500,000		1,520,625
5.00%, 1/21/2021		260,000		269,425
Cencosud SA:
4.88%, 1/20/2023		200,000		189,003
5.50%, 1/20/2021		2,000,000		2,039,850
Colbun SA 6.00%, 1/21/2020		1,500,000		1,619,903
Corpbanca SA 3.88%, 9/22/2019		1,300,000		1,287,664
CorpGroup Banking SA 6.75%, 3/15/2023		1,000,000		925,000
E.CL SA 5.63%, 1/15/2021		100,000		107,939

Empresa Electrica Angamos SA 4.88%, 5/25/2029		3,000,000		2,676,261
Empresa Electrica Guacolda SA 4.56%, 4/30/2025 (c)		900,000		828,055
Empresa Nacional de Telecomunicaciones SA 4.75%, 8/1/2026		200,000		187,113
GNL Quintero SA 4.63%, 7/31/2029		2,500,000		2,362,707
Guanay Finance, Ltd. 6.00%, 12/15/2020		1,750,000		1,728,125
Inversiones CMPC SA 4.50%, 4/25/2022		1,580,000		1,538,748
Latam Airlines Group SA 7.25%, 6/9/2020 (c)		800,000		714,000
Tanner Servicios Financieros SA 4.38%, 3/13/2018		1,100,000		1,072,500
Telefonica Chile SA 3.88%, 10/12/2022		200,000		197,062

				20,853,629

CHINA — 0.2%
CNOOC Finance 2015 Australia Pty, Ltd. 2.63%, 5/5/2020		1,500,000		1,469,587
CNPC General Capital, Ltd. 2.75%, 5/14/2019		500,000		499,195
CNPC HK Overseas Capital, Ltd. 4.50%, 4/28/2021		400,000		422,391
Sinopec Group Overseas Development 2014, Ltd. 2.75%, 4/10/2019		287,000		287,852
Sinopec Group Overseas Development 2015, Ltd.:
2.50%, 4/28/2020		500,000		491,875
2.50%, 4/28/2020 (c)		500,000		491,875

				3,662,775

COLOMBIA — 0.9%
Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings, Ltd. 8.38%, 5/10/2020		1,500,000		971,250
Banco Davivienda SA 5.88%, 7/9/2022		1,600,000		1,594,000
Banco GNB Sudameris SA 7.50%, 7/30/2022		400,000		404,000
Bancolombia SA 6.13%, 7/26/2020		3,000,000		3,082,500
Ecopetrol SA 5.88%, 5/28/2045		500,000		356,875
Empresa de Energia de Bogota SA ESP 6.13%, 11/10/2021		700,000		717,500
Empresas Publicas de Medellin ESP 7.63%, 7/29/2019		600,000		673,500
Grupo Aval, Ltd. 4.75%, 9/26/2022		3,000,000		2,818,140
GrupoSura Finance SA 5.70%, 5/18/2021		2,000,000		2,087,500

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

Pacific Exploration and Production Corp. 7.25%, 12/12/2021	$	400,000	$	80,000
Transportadora de Gas Internacional SA ESP:
5.70%, 3/20/2022 (c)		200,000		200,500
5.70%, 3/20/2022		2,800,000		2,807,000

				15,792,765

COSTA RICA — 0.0% (d)
Banco Nacional de Costa Rica 4.88%, 11/1/2018		700,000		694,750

DOMINICAN REPUBLIC — 0.0% (d)
Aeropuertos Dominicanos Siglo XXI SA 9.75%, 11/13/2019		400,000		416,000

GUATEMALA — 0.2%
Agromercantil Senior Trust 6.25%, 4/10/2019		1,714,000		1,726,855
Cementos Progreso Trust 7.13%, 11/6/2023		500,000		496,250
Central American Bottling Corp. 6.75%, 2/9/2022		500,000		506,250
Comcel Trust via Comunicaciones Celulares SA 6.88%, 2/6/2024		300,000		231,000
Industrial Senior Trust 5.50%, 11/1/2022		600,000		552,750

				3,513,105

HONG KONG — 0.2%
Hutchison Whampoa International 12 II, Ltd. 3.25%, 11/8/2022		500,000		498,006
Hutchison Whampoa International 12, Ltd. 6.00%, 5/7/2017 (a)		2,000,000		2,092,012

				2,590,018

INDIA — 0.1%
ONGC Videsh, Ltd. 3.25%, 7/15/2019		500,000		502,115
Reliance Holding USA, Inc. 4.50%, 10/19/2020		250,000		264,762
Vedanta Resources PLC 8.25%, 6/7/2021		500,000		290,173

				1,057,050

ISRAEL — 0.2%
Delek & Avner Tamar Bond, Ltd.:
4.44%, 12/30/2020 (c)		2,000,000		2,055,000
5.41%, 12/30/2025 (c)		400,000		402,500
Israel Electric Corp., Ltd.:
5.63%, 6/21/2018		1,000,000		1,053,080
Series 6, 5.00%, 11/12/2024 (c)		700,000		713,566

				4,224,146


Security Description	Principal Amount		Value

JAMAICA — 0.1%
Digicel Group, Ltd.:
7.13%, 4/1/2022	$	1,300,000	$	975,000
8.25%, 9/30/2020		1,000,000		825,000

				1,800,000


MEXICO — 1.0%
Banco Nacional de Comercio Exterior SNC 4.38%, 10/14/2025 (c)		1,200,000		1,185,000
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5.95%, 1/30/2024 (a)		2,000,000		2,050,000
BBVA Bancomer SA 5.35%, 11/12/2029 (a)		980,000		960,400
BBVA Bancomer SA / Grand Cayman 6.01%, 5/17/2022 (a)		1,850,000		1,833,812
Comision Federal de Electricidad 6.13%, 6/16/2045		1,200,000		1,101,000
Credito Real SAB de CV SOFOM ER 7.50%, 3/13/2019		200,000		198,000
Fermaca Enterprises S de RL de CV 6.38%, 3/30/2038		1,713,606		1,602,221
Grupo Bimbo SAB de CV 4.50%, 1/25/2022		600,000		614,846
Grupo Elektra SAB de CV 7.25%, 8/6/2018		900,000		801,000
Grupo Idesa SA de CV 7.88%, 12/18/2020		850,000		841,500
Grupo Posadas SAB de CV 7.88%, 6/30/2022 (c)		400,000		382,500
Mexichem SAB de CV 5.88%, 9/17/2044		1,000,000		837,500
Mexico Generadora de Energia S de rl 5.50%, 12/6/2032		2,226,952		1,981,987
Petroleos Mexicanos:
5.50%, 1/21/2021		1,500,000		1,518,365
6.38%, 1/23/2045		1,000,000		849,026
Sixsigma Networks Mexico SA de CV 8.25%, 11/7/2021		200,000		191,000
TV Azteca SAB de CV:
7.50%, 5/25/2018		600,000		408,000
7.63%, 9/18/2020		600,000		349,500
Unifin Financiera SAPI de CV SOFOM ENR 6.25%, 7/22/2019		400,000		368,000

				18,073,657

NETHERLANDS — 0.0% (d)
Ajecorp B.V. 6.50%, 5/14/2022		150,000		63,750

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

PANAMA — 0.4%
Aeropuerto Internacional de Tocumen SA 5.75%, 10/9/2023	$	1,000,000	$	1,031,000
ENA Norte Trust 4.95%, 4/25/2028		2,693,801		2,745,309
Global Bank Corp.:
4.75%, 10/5/2017		1,000,000		1,005,525
5.13%, 10/30/2019 (c)		200,000		198,000
5.13%, 10/30/2019		2,300,000		2,277,000

				7,256,834


PARAGUAY — 0.2%
Banco Continental SAECA 8.88%, 10/15/2017		1,373,000		1,397,028
Banco Regional SAECA 8.13%, 1/24/2019		550,000		559,625
Telefonica Celular del Paraguay SA 6.75%, 12/13/2022		1,500,000		1,368,750

				3,325,403

PERU — 1.0%
Abengoa Transmision Sur SA:
6.88%, 4/30/2043		2,000,000		2,075,000
6.88%, 4/30/2043 (c)		500,000		518,750
Banco de Credito del Peru 6.13%, 4/24/2027 (a)		2,000,000		2,090,000
Banco Internacional del Peru SAA Interbank 6.63%, 3/19/2029 (a)		2,500,000		2,512,500
BBVA Banco Continental SA 5.25%, 9/22/2029 (a)		500,000		485,000
Cia Minera Ares SAC 7.75%, 1/23/2021		1,000,000		932,500
Corp. Azucarera del Peru SA 6.38%, 8/2/2022		300,000		246,000
Corp. Financiera de Desarrollo SA:
3.25%, 7/15/2019 (c)		1,000,000		996,250
3.25%, 7/15/2019		1,000,000		996,250
5.25%, 7/15/2029 (a)		500,000		491,250
Inkia Energy, Ltd.:
8.38%, 4/4/2021		200,000		194,800
8.38%, 4/4/2021 (c)		200,000		194,800
Intercorp Peru, Ltd. 5.88%, 2/12/2025		600,000		571,500
Lima Metro Line 2 Finance, Ltd. 5.88%, 7/5/2034		500,000		485,000
Minsur SA 6.25%, 2/7/2024		400,000		368,000
Peru Enhanced Pass-Through Finance, Ltd. Zero Coupon, 6/2/2025		1,100,000		834,339
Southern Copper Corp. 5.88%, 4/23/2045		1,200,000		927,306
Union Andina de Cementos SAA 5.88%, 10/30/2021		1,246,000		1,202,390
Volcan Cia Minera SAA 5.38%, 2/2/2022		1,800,000		1,143,000

				17,264,635

QATAR — 0.0% (d)
Ras Laffan Liquefied Natural Gas Co., Ltd. II 5.30%, 9/30/2020		472,590		501,357


Security Description	Principal Amount		Value

SINGAPORE — 0.3%
Oversea-Chinese Banking Corp., Ltd. 4.00%, 10/15/2024 (a)	$	3,000,000	$	3,052,065
United Overseas Bank, Ltd. 3.75%, 9/19/2024 (a)		3,000,000		3,028,008

				6,080,073


UNITED STATES — 6.9%
21st Century Fox America, Inc. 3.00%, 9/15/2022		1,675,000		1,653,317
AbbVie, Inc. 3.20%, 11/6/2022		1,800,000		1,777,466
Actavis Funding SCS 3.85%, 6/15/2024		1,725,000		1,727,964
Activision Blizzard, Inc. 5.63%, 9/15/2021 (c)		1,043,000		1,092,543
Air Medical Merger Sub Corp. 6.38%, 5/15/2023 (c)		785,000		698,650
Alere, Inc. 6.50%, 6/15/2020		1,100,000		1,056,000
Amazon.com, Inc. 2.60%, 12/5/2019		1,825,000		1,846,344
American Axle & Manufacturing, Inc. 6.63%, 10/15/2022		1,155,000		1,209,862
American Express Credit Corp. Series MTN, 1.80%, 7/31/2018		1,820,000		1,813,406
Anthem, Inc. 3.30%, 1/15/2023		1,830,000		1,787,683
Apache Corp. 4.75%, 4/15/2043		1,420,000		1,222,013
Apple, Inc. 4.38%, 5/13/2045		1,755,000		1,765,054
AT&T, Inc. 3.40%, 5/15/2025		1,855,000		1,774,873
Audatex North America, Inc. 6.00%, 6/15/2021 (c)		880,000		886,600
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 5.50%, 4/1/2023		1,120,000		1,122,800
Bank of America Corp. 2.00%, 1/11/2018		1,793,000		1,788,944
Baxalta, Inc. 5.25%, 6/23/2045 (c)		1,620,000		1,622,371
BB&T Corp. Series MTN, 2.45%, 1/15/2020		1,755,000		1,757,605
Berry Plastics Corp. 5.50%, 5/15/2022		585,000		582,806
Burlington Northern Santa Fe LLC 3.40%, 9/1/2024		1,790,000		1,785,192
Caterpillar, Inc. 3.40%, 5/15/2024		1,825,000		1,839,770
CCO Holdings LLC / CCO Holdings Capital Corp.:
5.13%, 5/1/2023 (c)		250,000		250,000
5.25%, 9/30/2022		1,210,000		1,222,100
CDW LLC / CDW Finance Corp. 6.00%, 8/15/2022		257,000		271,135

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

Cequel Communications Holdings I LLC / Cequel Capital Corp. 6.38%, 9/15/2020 (c)	$	1,135,000	$	1,109,462
Chevron Corp.:
1.37%, 3/2/2018		848,000		839,744
1.79%, 11/16/2018		516,000		512,206
Cisco Systems, Inc. 3.50%, 6/15/2025		1,685,000		1,736,273
Citigroup, Inc. 3.30%, 4/27/2025		1,825,000		1,786,771
Comcast Corp. 4.40%, 8/15/2035		1,610,000		1,624,479
CommScope, Inc. 5.00%, 6/15/2021 (c)		1,110,000		1,064,213
CSC Holdings LLC 6.75%, 11/15/2021		507,000		498,128
Dollar Tree, Inc. 5.75%, 3/1/2023 (c)		1,045,000		1,081,575
Dow Chemical Co. 3.00%, 11/15/2022		1,905,000		1,829,650
Duke Energy Corp. 3.75%, 4/15/2024		1,835,000		1,853,324
Energy Transfer Partners L.P. 4.75%, 1/15/2026		1,420,000		1,217,538
Enterprise Products Operating LLC 3.75%, 2/15/2025		1,495,000		1,356,750
EP Energy LLC / Everest Acquisition Finance, Inc. 9.38%, 5/1/2020		535,000		341,063
First Data Corp. 5.75%, 1/15/2024 (c)		1,105,000		1,088,425
Freeport-McMoRan, Inc.:
3.88%, 3/15/2023		800,000		456,000
4.00%, 11/14/2021		700,000		420,000
5.45%, 3/15/2043		300,000		156,000
Frontier Communications Corp. 10.50%, 9/15/2022 (c)		705,000		702,356
Gates Global LLC / Gates Global Co. 6.00%, 7/15/2022 (c)		1,041,000		749,520
GE Capital International Funding Co. 0.96%, 4/15/2016 (c)		1,980,000		1,980,893
General Motors Financial Co., Inc. 3.20%, 7/13/2020		1,800,000		1,770,075
Georgia-Pacific LLC 3.60%, 3/1/2025 (c)		1,788,000		1,766,732
Goldman Sachs Group, Inc. 2.60%, 4/23/2020		1,795,000		1,789,115
Goodyear Tire & Rubber Co 7.00%, 5/15/2022		705,000		755,231
HCA, Inc. 4.25%, 10/15/2019		1,095,000		1,116,900
HD Supply, Inc. 7.50%, 7/15/2020		770,000		800,800
Hewlett Packard Enterprise Co. 3.60%, 10/15/2020 (c)		1,725,000		1,726,388
Home Depot, Inc. 3.35%, 9/15/2025		1,746,000		1,786,471
Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. 4.88%, 3/15/2019		500,000		495,500

JPMorgan Chase & Co. Series MTN, 1.35%, 2/15/2017		1,780,000		1,775,413
Kindred Healthcare, Inc. 8.00%, 1/15/2020		1,190,000		1,112,650
Kraft Heinz Foods Co. 2.80%, 7/2/2020 (c)		1,790,000		1,778,715
Laboratory Corp. of America Holdings 3.60%, 2/1/2025		1,400,000		1,349,830
Level 3 Communications, Inc. 5.75%, 12/1/2022		1,071,000		1,095,098
Levi Strauss & Co. 5.00%, 5/1/2025		1,115,000		1,109,425
LifePoint Health, Inc. 5.50%, 12/1/2021		1,088,000		1,107,040
Memorial Production Partners L.P. / Memorial Production Finance Corp. 6.88%, 8/1/2022		1,495,000		448,500
MetLife, Inc. 3.60%, 4/10/2024		1,780,000		1,808,554
Morgan Stanley 2.65%, 1/27/2020		1,765,000		1,757,514
National Rural Utilities Cooperative Finance Corp. 2.30%, 11/1/2020		1,560,000		1,531,834
NCL Corp., Ltd. 5.25%, 11/15/2019 (c)		1,090,000		1,113,849
Oracle Corp.:
2.25%, 10/8/2019		1,450,000		1,460,419
2.38%, 1/15/2019		380,000		385,185
Platform Specialty Products Corp. 6.50%, 2/1/2022 (c)		829,000		717,085
Quintiles Transnational Corp. 4.88%, 5/15/2023 (c)		1,125,000		1,130,625
Regal Entertainment Group 5.75%, 3/15/2022		1,085,000		1,085,000
Revlon Consumer Products Corp. 5.75%, 2/15/2021		1,245,000		1,204,537
Reynolds American, Inc. 4.00%, 6/12/2022		1,785,000		1,853,215
Sally Holdings LLC / Sally Capital, Inc. 5.75%, 6/1/2022		1,070,000		1,107,450
SBA Communications Corp. 5.63%, 10/1/2019		1,050,000		1,094,625
Scientific Games International, Inc. 7.00%, 1/1/2022 (c)		1,130,000		1,079,150
Select Medical Corp. 6.38%, 6/1/2021		1,345,000		1,176,875
Service Corp. International/US 5.38%, 1/15/2022		1,065,000		1,110,262
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. 6.38%, 5/1/2022 (c)		1,240,000		1,054,000
Simon Property Group L.P. 5.65%, 2/1/2020		1,590,000		1,778,164
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (c)		1,100,000		1,069,750

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

Southern Co. 2.45%, 9/1/2018	$	1,790,000	$	1,793,448
Southern Star Central Corp. 5.13%, 7/15/2022 (c)		325,000		268,125
Station Casinos LLC 7.50%, 3/1/2021		1,040,000		1,060,800
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp. 6.25%, 10/15/2022 (c)		1,055,000		999,613
Thermo Fisher Scientific, Inc. 3.30%, 2/15/2022		1,840,000		1,841,367
TIAA Asset Management Finance Co. LLC 4.13%, 11/1/2024 (c)		1,875,000		1,881,369
Time Warner, Inc. 4.88%, 3/15/2020		1,680,000		1,813,828
TransDigm, Inc. 6.00%, 7/15/2022		1,090,000		1,065,475
Tribune Media Co. 5.88%, 7/15/2022 (c)		680,000		680,000
Tyson Foods, Inc. 3.95%, 8/15/2024		1,620,000		1,657,649
Ultra Petroleum Corp.:
5.75%, 12/15/2018 (c)		1,330,000		319,200
6.13%, 10/1/2024 (c)		145,000		32,988
United Rentals North America, Inc. 7.63%, 4/15/2022		1,135,000		1,212,974
United Technologies Corp. 3.10%, 6/1/2022		1,785,000		1,815,629
Verizon Communications, Inc. 3.50%, 11/1/2024		1,875,000		1,843,332
Viking Cruises, Ltd. 8.50%, 10/15/2022 (c)		705,000		667,988
Waste Management, Inc. 3.13%, 3/1/2025		1,455,000		1,412,967
Wells Fargo & Co. Series MTN, 3.55%, 9/29/2025		1,815,000		1,828,993

				122,456,589

TOTAL CORPORATE BONDS & NOTES (Cost $252,315,750)				241,155,084

FOREIGN GOVERNMENT OBLIGATIONS — 1.2%
COLOMBIA — 0.3%
Colombia Government International Bond 4.38%, 7/12/2021		5,000,000		5,037,676

COSTA RICA — 0.1%
Banco de Costa Rica 5.25%, 8/12/2018		650,000		651,625
Instituto Costarricense de Electricidad 6.95%, 11/10/2021		400,000		398,500

				1,050,125

MEXICO — 0.2%
Mexico Government International Bond:
5.63%, 1/15/2017		1,736,000		1,807,654

3.50%, 1/21/2021		2,800,000		2,847,987

				4,655,641

PANAMA — 0.4%
Banco Latinoamericano de Comercio Exterior SA:
3.25%, 5/7/2020		500,000		492,500
3.25%, 5/7/2020 (c)		1,500,000		1,477,500
Panama Government International Bond 5.20%, 1/30/2020		5,000,000		5,433,309

				7,403,309

PERU — 0.2%
Fondo MIVIVIENDA SA 3.38%, 4/2/2019		1,500,000		1,496,250
Peruvian Government International Bond 4.13%, 8/25/2027		2,000,000		1,974,291

				3,470,541

TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $21,941,766)				21,617,292

SENIOR FLOATING RATE LOANS — 4.0%
AEROSPACE & DEFENSE — 0.1%
BE Aerospace, Inc. Senior Secured Term Loan B, 1.00%, 12/16/2021		799,357		800,157

AUTO COMPONENTS — 0.0% (d)
Federal-Mogul Holdings Corp. Senior Secured Term Loan C, 1.00%, 4/15/2021		672,305		595,830

BUILDING PRODUCTS — 0.1%
Builders FirstSource, Inc. Senior Secured Term Loan B, 1.00%, 7/31/2022		404,072		400,536

Jeld-Wen Inc. Senior Secured Term Loan, 1.00%, 7/1/2022		798,425		786,948

				1,187,484

CAPITAL MARKETS — 0.2%
Duff & Phelps Investment Management Co. Senior Secured Term Loan B1, 1.00%, 4/23/2020		846,871		830,641
Grosvenor Capital Management Holdings LP Senior Secured Term Loan B, 1.00%, 1/4/2021		792,747		767,644
Guggenheim Partners LLC Senior Secured Term Loan, 1.00%, 7/22/2020		789,803		785,195
RCS Capital Corporation Senior Secured 1st Lien Term Loan, 1.00%, 4/29/2019		676,345		571,511

				2,954,991

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

CHEMICALS — 0.2%
AZ Chem US Inc. Senior Secured 1st Lien Term Loan, 1.00%, 6/12/2021	$	643,329	$	642,123
Klockner-Pentaplast of America, Inc. Senior Secured Term Loan, 1.00%, 4/28/2020		773,776		768,337
MacDermid, Inc. Senior Secured Term Loan B2, 1.00%, 6/7/2020		533,546		517,443
PolyOne Corporation Senior Secured Term Loan B, 1.00%, 11/11/2022		715,000		716,566

				2,644,469

COMMERCIAL SERVICES & SUPPLIES — 0.3%
Allied Security Holdings LLC Senior Secured 1st Lien Term Loan, 1.00%, 2/12/2021		921,386		898,352
Asurion LLC:
Senior Secured Term Loan B1, 1.00%, 5/24/2019		720,262		676,823
Senior Secured Term Loan B4, 1.00%, 8/4/2022		597,000		547,449
Dealer Tire, LLC Senior Secured Term Loan B, 1.00%, 12/22/2021		817,935		819,979
Prime Security Services Borrower, LLC Senior Secured 1st Lien Term Loan, 1.00%, 7/1/2021		718,200		705,854
USAGM HoldCo LLC Senior Secured Term Loan, 1.00%, 7/28/2022		1,225,000		1,172,938

				4,821,395

CONSTRUCTION & ENGINEERING — 0.0% (d)
Summit Materials Companies I, LLC Senior Secured Term Loan B, 1.00%, 7/17/2022		801,598		792,580

CONTAINERS & PACKAGING — 0.2%
Ardagh Holdings USA, Inc. Senior Secured Term Loan, 1.00%, 12/17/2019		808,167		796,651
Coveris Holdings S.A. Senior Secured Term Loan B1, 1.00%, 5/8/2019		818,112		796,636
KP Germany Erste GmbH Senior Secured 1st Lien Term Loan, 1.00%, 4/28/2020		330,674		328,349
Reynolds Group Holdings, Inc. Senior Secured Dollar Term Loan, 1.00%, 12/1/2018		789,671		783,338
Signode Industrial Group US, Inc. Senior Secured Term Loan B, 1.00%, 5/1/2021		791,021		764,653

				3,469,627


DISTRIBUTORS — 0.1%
American Tire Distributors Holdings, Inc. Senior Secured Term Loan, 1.00%, 9/1/2021		836,552		825,401

DIVERSIFIED CONSUMER SERVICES — 0.0% (d)
Nord Anglia Education Finance LLC Senior Secured Term Loan, 1.00%, 3/31/2021		803,532		787,461

DIVERSIFIED FINANCIAL SERVICES — 0.1% (d)
AlixPartners LLP Senior Secured Term Loan B, 1.00%, 7/28/2022		798,000		793,515

DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1%
Level 3 Financing, Inc. Senior Secured Term Loan B2, 1.00%, 5/31/2022		670,000		660,787
Virgin Media Investment Holdings, Ltd. Senior Secured Term Loan F, 1.00%, 6/30/2023		675,000		661,976

				1,322,763

ELECTRIC UTILITIES — 0.1%
EFS Cogen Holdings I LLC Senior Secured Term Loan B, 1.00%, 12/17/2020		777,227		753,910
Southeast PowerGen LLC Senior Secured Term Loan B, 1.00%, 12/2/2021		796,821		794,829
TPF II Power LLC Senior Secured Term Loan B, 1.00%, 10/2/2021		782,111		768,424

				2,317,163

ELECTRICAL EQUIPMENT — 0.0% (d)
Gates Global, Inc. Senior Secured Term Loan B, 1.00%, 7/5/2021		282,302		265,564

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.1%
Allflex Holdings III, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 7/20/2020		812,763		799,214

FOOD & STAPLES RETAILING — 0.1%
Albertsons LLC Senior Secured Term Loan B4, 1.00%, 8/25/2021		803,872		798,450

FOOD PRODUCTS — 0.2%
B&G Foods, Inc. Senior Secured Term Loan B, 1.00%, 11/2/2022		790,000		790,739
Candy Intermediate Holdings, Inc. Senior Secured Term Loan, 1.00%, 6/18/2018		805,134		802,115
Charger Opco BV Senior Secured Term Loan B1, 1.00%, 7/2/2022		692,541		690,810

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

CSM Bakery Solutions LLC Senior Secured 1st Lien Term Loan, 1.00%, 7/3/2020	$	809,800	$	792,591
Hostess Brands LLC Senior Secured 1st Lien Term Loan, 1.00%, 8/3/2022		837,900		835,805

				3,912,060

HEALTH CARE EQUIPMENT & SUPPLIES — 0.1%
Alere, Inc. Senior Secured Term Loan B, 1.00%, 6/18/2022		806,071		800,615
National Vision, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 3/12/2021		686,784		661,888

				1,462,503

HEALTH CARE PROVIDERS & SERVICES — 0.3%
Air Medical Group Holdings, Inc. Senior Secured Term Loan B, 1.00%, 4/28/2022		816,499		792,518
American Renal Holdings Inc. Senior Secured 1st Lien Term Loan, 1.00%, 9/20/2019		812,609		800,420
Envision Healthcare Corp. Senior Secured Term Loan B2, 1.00%, 10/28/2022		720,000		716,940
Surgery Center Holdings, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 11/3/2020		567,136		561,935
Team Health, Inc. Senior Secured Term Loan B, 1.00%, 11/23/2022		725,000		723,869
U.S. Renal Care, Inc.:
Senior Secured Term Loan, 1.00%, 7/3/2019		548,531		546,817
Senior Secured Term Loan B, 1.00%, 12/31/2022		780,000		775,125

				4,917,624

HOTELS, RESTAURANTS & LEISURE — 0.3%
Burger King 1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B2, 1.00%, 12/10/2021		806,493		800,444
Eldorado Resorts LLC Senior Secured Term Loan B, 1.00%, 7/23/2022		808,675		803,956
Four Seasons Holdings, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 6/27/2020		796,303		783,693
Hilton Worldwide Finance LLC Senior Secured Term Loan B2, 1.00%, 10/26/2020		858,067		857,578
Scientific Games International, Inc. Senior Secured Term Loan B2, 1.00%, 10/1/2021		850,687		778,226
Station Casinos LLC Senior Secured Term Loan B, 1.00%, 3/2/2020		791,175		777,084

Travelport Finance (Luxembourg) S.A.R.L. Senior Secured Term Loan B, 1.00%, 9/2/2021		790,762		775,813

				5,576,794

HOUSEHOLD DURABLES — 0.1%
Serta Simmons Holdings LLC Senior Secured Term Loan, 1.00%, 10/1/2019		795,000		791,311
Spin Holdco Inc. Senior Secured Term Loan B, 1.00%, 11/14/2019		811,512		781,689

				1,573,000

HOUSEHOLD PRODUCTS — 0.0% (d)
KIK Custom Products, Inc. Senior Secured Term Loan B, 1.00%, 8/26/2022		802,988		781,909

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (d)
Calpine Corporation Senior Secured Term Loan B5, 1.00%, 5/27/2022		826,786		790,614

INSURANCE — 0.1%
National Financial Partners Corp. Senior Secured Term Loan B, 1.00%, 7/1/2020		269,252		259,379
York Risk Services Holding Corp. Senior Secured Term Loan B, 1.00%, 10/1/2021		802,967		761,313

				1,020,692

INTERNET SOFTWARE & SERVICES — 0.0% (d)
Match Group Inc. Senior Secured Term Loan B1, 1.00%, 11/16/2022		500,000		495,000

IT SERVICES — 0.0% (d)
First Data Corp. Senior Secured Extended Term Loan, 1.00%, 3/24/2018		670,000		662,416

LIFE SCIENCES TOOLS & SERVICES — 0.0% (d)
Jaguar Holding Company II Senior Secured Term Loan B, 1.00%, 8/18/2022		627,099		611,030

MACHINERY — 0.2%
Crosby US Acquisition Corp. Senior Secured 1st Lien Term Loan, 1.00%, 11/23/2020		1,492,386		1,178,985
Filtration Group Corp. Senior Secured 1st Lien Term Loan, 1.00%, 11/21/2020		848,666		827,097
Hillman Group Inc. (The) Senior Secured Term Loan B, 1.00%, 6/30/2021		666,855		646,436

				2,652,518

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

MEDIA — 0.3%
CCO Safari III LLC Senior Secured Term Loan I, 1.00%, 1/24/2023	$	715,000	$	715,300
Emerald Expositions Holding, Inc. Senior Secured Term Loan B, 1.00%, 6/17/2020		836,841		825,682
Live Nation Entertainment, Inc. Senior Secured Term Loan B1, 1.00%, 8/16/2020		787,788		787,048
MGOC, Inc. Senior Secured Term Loan B, 1.00%, 7/31/2020		791,508		783,593
Neptune Finco Corp. Senior Secured Term Loan B, 1.00%, 10/9/2022		710,000		710,224
TWCC Holding Corp. Senior Secured Term Loan B1, 1.00%, 2/11/2020		744,375		744,773
Univision Communications, Inc. Senior Secured Term Loan C3, 1.00%, 3/1/2020		781,156		765,674

				5,332,294

MULTILINE RETAIL — 0.0% (d)
Neiman Marcus Group, Inc. Senior Secured Term Loan, 1.00%, 10/25/2020		830,794		737,761

OIL, GAS & CONSUMABLE FUELS — 0.0% (d)
Energy Transfer Equity L.P. Senior Secured Term Loan, 1.00%, 12/2/2019		739,118		668,284

PERSONAL PRODUCTS — 0.1%
Galleria Co. Senior Secured Term Loan B, 1.00%, 10/22/2022		680,000		676,179
Prestige Brands, Inc. Senior Secured Term Loan B3, 1.00%, 9/3/2021		664,779		662,150

				1,338,329

PHARMACEUTICALS (d) — 0.1%
Endo Luxembourg Finance Company I S.a r.l. Senior Secured Term Loan B, 1.00%, 9/26/2022		740,000		731,675
Valeant Pharmaceuticals International Senior Secured Term Loan B F1, 1.00%, 4/1/2022		572,118		551,736

				1,283,411

PROFESSIONAL SERVICES (d) — 0.0%
TransUnion LLC Senior Secured Term Loan B2, 1.00%, 4/9/2021		791,537		770,759

REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1%
Capital Automotive L.P. Senior Secured Term Loan B, 1.00%, 4/10/2019		794,705		795,202


ROAD & RAIL — 0.0%
PODS LLC Senior Secured 1st Lien Term Loan, 1.00%, 2/2/2022		802,068		792,043

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.1%
Avago Technologies, Ltd. Senior Secured Term Loan B, 1.00%, 11/11/2022		720,000		713,758
Microsemi Corp. Senior Secured Term Loan B, 1.00%, 1/15/2023		450,000		443,025
NXP B.V. Senior Secured Term Loan B, 1.00%, 12/7/2020		795,000		793,211

				1,949,994

SOFTWARE — 0.1%
BMC Software Finance, Inc. Senior Secured Term Loan, 1.00%, 9/10/2020		959,355		793,521
Informatica Corp. Senior Secured Term Loan, 1.00%, 8/5/2022		334,163		322,527
Mitchell International, Inc. Senior Secured 2nd Lien Term Loan, 1.00%, 10/11/2021		280,000		268,568
Sophia L.P. Senior Secured Term Loan B, 1.00%, 9/30/2022		803,450		795,415

				2,180,031

SPECIALTY RETAIL — 0.1%
Michaels Stores, Inc. Senior Secured Term Loan B2, 1.00%, 1/28/2020		656,907		653,895
Party City Holdings Inc. Senior Secured Term Loan B, 1.00%, 8/19/2022		718,200		699,049

				1,352,944

TRADING COMPANIES & DISTRIBUTORS — 0.1%
North American Lifting Holdings, Inc. Senior Secured 1st Lien Term Loan, 1.00%, 11/27/2020		1,488,620		1,094,136
Solenis International LP Senior Secured 1st Lien Term Loan, 1.00%, 7/31/2021		686,775		662,312
Univar, Inc. Senior Secured Term Loan, 1.00%, 7/1/2022		798,250		774,522

				2,530,970

WIRELESS TELECOMMUNICATION SERVICES — 0.0% (d)
T-Mobile USA, Inc. Senior Secured Term Loan B, 1.00%, 11/9/2022		715,000		715,894

TOTAL SENIOR FLOATING RATE LOANS (Cost $72,111,942)				70,080,140

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

COMMERCIAL MORTGAGE BACKED SECURITIES — 20.7%
Ajax Mortgage Loan Trust 2015-B Series 2015-B, Class A, 3.88%, 7/25/2060 (b) (c)	$	7,798,009	$	7,767,710
ALM VII, Ltd. Series 2012-7A, Class A1, 1.74%, 10/19/2024 (a) (c)		2,500,000		2,461,750
Alternative Loan Trust 2005-79CB 5.50%, 1/25/2036		14,284,552		12,902,435
Alternative Loan Trust 2006-24CB Series 2006-24CB, Class A9, 6.00%, 6/25/2036		6,646,402		6,048,244
Alternative Loan Trust 2007-11T1 Series 2007-11T1, Class A21, 6.00%, 5/25/2037		2,665,897		2,283,699
Anchorage Capital CLO 5, Ltd. Series 2014-5A, Class A, 1.92%, 10/15/2026 (a) (c)		2,500,000		2,486,250
Atrium V Series 5A, Class A4, 0.76%, 7/20/2020 (a) (c)		1,000,000		967,000
AVANT Loans Funding Trust 2015-A Series 2015-A, Class A, 4.00%, 8/16/2021 (c)		2,939,232		2,910,759
BAMLL Commercial Mortgage Securities Trust 2015-200P Series 2015-200P, Class XA, 0.38%, 4/14/2033 (a) (c)		30,000,000		951,000
BAMLL Re-REMIC Trust 2011-07C1 Series 2011-07C1, Class A3B, 5.38%, 12/15/2016 (c)		550,000		559,557
Banc of America Alternative Loan Trust 2005-7 Series 2005-7, Class 2CB1, 6.00%, 8/25/2035		15,247,508		14,784,774
Banc of America Commercial Mortgage Trust 2006-6 Series 2006-6, Class AM, 5.39%, 10/10/2045		500,000		512,684
Banc of America Commercial Mortgage Trust 2015-UBS7 Series 2015-UBS7, Class C, 4.37%, 9/15/2048 (a)		945,000		897,897
Banc of America Funding 2005-5 Trust Series 2005-5, Class 2A1, 5.50%, 9/25/2035		2,425,180		2,554,034
Banc of America Funding 2006 8T2 Trust Series 2006-8T2, Class A4, 5.83%, 10/25/2036 (b)		7,237,444		6,032,687
Banc of America Funding 2007-5 Trust Series 2007-5, Class CA1, 6.00%, 7/25/2037		9,787,651		7,533,349

Banc of America Funding 2010-R5 Trust Series 2010-R5, Class 1A3, 6.00%, 10/26/2037 (c)		5,957,928		5,008,019
BBCMS Trust 2015-STP Series 2015-STP, Class D, 4.28%, 9/10/2028 (a) (c)		1,750,000		1,706,750
BCAP LLC 2012-RR1 Trust Series 2012-RR1, Class 3A4, 5.99%, 10/26/2035 (a) (c)		6,975,232		6,035,733
Bear Stearns ALT-A Trust 2006-1 Series 2006-1, Class 21A2, 2.58%, 2/25/2036 (a)		5,475,725		3,969,853
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15 Series 2007-PW15, Class AM, 5.36%, 2/11/2044		1,500,000		1,528,057
BlueMountain CLO 2012-2, Ltd. Series 2012-2A, Class A1, 1.78%, 11/20/2024 (a) (c)		2,500,000		2,494,500
BlueMountain CLO 2013-4, Ltd. Series 2013-4A, Class A, 1.82%, 4/15/2025 (a) (c)		2,500,000		2,488,000
BlueMountain CLO 2015-1, Ltd. Series 2015-1A, Class A2, 2.57%, 4/13/2027 (a) (c)		1,800,000		1,771,560
BlueMountain CLO 2015-2, Ltd. Series 2015-2A, Class D, 3.83%, 7/18/2027 (a) (c)		750,000		678,975
BlueMountain CLO 2015-3, Ltd.:
Series 2015-3A, Class B, 3.43%, 10/20/2027 (a) (c)		2,500,000		2,433,000
Series 2015-3A, Class C, 3.88%, 10/20/2027 (a) (c)		2,500,000		2,264,000
BXHTL 2015-JWRZ Mortgage Trust Series 2015-JWRZ, Class A, 1.56%, 5/15/2029 (a) (c)		1,500,000		1,486,363
CD 2007-CD5 Mortgage Trust Series 2007-CD5, Class AJA, 6.12%, 11/15/2044 (a)		800,000		831,197
Cent CLO 21, Ltd. Series 2014-21A, Class A1A, 1.81%, 7/27/2026 (a) (c)		2,500,000		2,473,250
CHL Mortgage Pass-Through Trust 2005-HYB8 Series 2005-HYB8, Class 4A1, 2.75%, 12/20/2035 (a)		16,583,695		14,605,960
CHL Mortgage Pass-Through Trust 2005-J2 Series 2005-J2, Class 3A14, 5.50%, 8/25/2035		2,316,630		2,125,876
CHL Mortgage Pass-Through Trust 2007-HY1 Series 2007-HY1, Class 1A1, 2.63%, 4/25/2037 (a)		2,592,842		2,432,369
Citigroup Commercial Mortgage Trust 2007-C6:
Series 2007-C6, Class AM, 5.71%, 12/10/2049 (a)		800,000		817,466

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

Series 2007-C6, Class AMFX, 5.90%, 12/10/2049 (a) (c)	$	750,000	$	764,507
Citigroup Commercial Mortgage Trust 2015-GC27 Series 2015-GC27, Class D, 4.43%, 2/10/2048 (a) (c)		943,700		735,644
Citigroup Commercial Mortgage Trust 2015-GC31 Series 2015-GC31, Class C, 4.07%, 6/10/2048 (a)		1,500,000		1,399,965
Citigroup Commercial Mortgage Trust 2015-GC33 Series 2015-GC33, Class C, 4.57%, 9/10/2058		1,500,000		1,404,966
Citigroup Commercial Mortgage Trust 2015-GC35 4.65%, 11/10/2048		1,435,000		1,372,987
Citigroup Mortgage Loan Trust 2007-AR5 Series 2007-AR5, Class 1A2A, 2.86%, 4/25/2037 (a)		5,086,971		4,612,081
Citigroup Mortgage Loan Trust 2009-7 Series 2009-7, Class 3A2, 6.00%, 7/25/2036 (c)		6,508,943		4,141,384
CitiMortgage Alternative Loan Trust Series 2007-A1 Series 2007-A1, Class 1A7, 6.00%, 1/25/2037		13,122,201		11,315,308
Colony Mortgage Capital Series 2015-FL3, Ltd. Series 2015-FL3, Class A, 2.22%, 9/5/2032 (a) (c)		1,600,000		1,593,440
ColumbusNova CLO, Ltd. 2006-I Series 2006-1A, Class A, 0.58%, 7/18/2018 (a) (c)		613,414		612,249
COMM 2014-KYO Mortgage Trust Series 2014-KYO, Class F, 3.92%, 6/11/2027 (a) (c)		750,000		742,177
COMM 2015-CCRE22 Mortgage Trust:
Series 2015-CR22, Class D, 4.13%, 3/10/2048 (a) (c)		1,500,000		1,175,285
Series 2015-CR22, Class XA, 1.03%, 3/10/2048 (a)		10,944,060		676,567
COMM 2015-CCRE23 Mortgage Trust Series 2015-CR23, Class D, 4.26%, 5/10/2048 (a)		900,000		698,507
COMM 2015-CCRE26 Mortgage Trust:
Series 2015-CR26, Class B, 4.50%, 10/10/2048 (a)		1,600,000		1,633,727
Series 2015-CR26, Class XA, 1.07%, 10/10/2048 (a)		22,876,662		1,642,535
COMM 2015-DC1 Mortgage Trust:
Series 2015-DC1, Class D, 4.35%, 2/10/2048 (a) (c)		750,000		610,939
Series 2015-DC1, Class XA, 1.19%, 2/10/2048 (a)		9,211,336		657,180

COMM 2015-LC19 Mortgage Trust Series 2015-LC19, Class D, 2.87%, 2/10/2048 (c)		1,200,000		892,915
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class C, 4.31%, 7/10/2048 (a)		968,000		885,049
Commercial Mortgage Trust 2007-GG11:
Series 2007-GG11, Class AJ, 6.05%, 12/10/2049 (a)		3,000,000		3,041,653
Series 2007-GG11, Class AM, 5.87%, 12/10/2049 (a)		225,000		233,733
Countrywide Commercial Mortgage Trust 2007-MF1 Series 2007-MF1, Class A, 6.07%, 11/12/2043 (a) (c)		898,950		920,256
Credit Suisse Commercial Mortgage Trust Series 2007-C4 Series 2007-C4, Class A1AM, 5.95%, 9/15/2039 (a)		1,500,000		1,570,004
Credit Suisse Commercial Mortgage Trust Series 2008-C1 Series 2008-C1, Class AM, 6.07%, 2/15/2041 (a) (c)		1,700,000		1,799,709
Csail 2015-C2 Commercial Mortgage Trust Series 2015-C2, Class AS, 3.85%, 6/15/2057		900,000		888,365
CSMC 2015-RPL1 Trust Series 2015-RPL1, Class A1, 3.63%, 2/25/2057 (b) (c)		4,650,506		4,547,808
CSMC Mortgage-Backed Trust 2006-7 Series 2006-7, Class 7A7, 6.00%, 8/25/2036		4,633,195		4,224,532
CSMC Mortgage-Backed Trust 2006-8 Series 2006-8, Class 4A1, 6.50%, 10/25/2021		9,370,836		7,898,623
CSMC Trust 2013-6 Series 2013-6, Class 1A1, 2.50%, 7/25/2028 (a) (c)		3,698,592		3,663,052
CSMC Trust 2015-SAND Series 2015-SAND, Class D, 3.18%, 8/15/2030 (a) (c)		1,550,000		1,531,772
CSMLT 2015-2 Trust Series 2015-2, Class A7, 3.50%, 8/25/2045 (a) (c)		7,554,230		7,548,330
Galaxy XV CLO, Ltd. Series 2013-15A, Class A, 1.57%, 4/15/2025 (a) (c)		2,500,000		2,468,750
Galaxy XVIII CLO, Ltd. Series 2014-18A, Class A, 1.79%, 10/15/2026 (a) (c)		1,000,000		991,300
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, 1.62%, 2/10/2046 (a)		15,651,869		1,301,135

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

GS Mortgage Securities Trust 2006-GG6 Series 2006-GG6, Class AJ, 5.64%, 4/10/2038 (a)	$	1,000,000	$	999,052
GS Mortgage Securities Trust 2006-GG8 Series 2006-GG8, Class AJ, 5.62%, 11/10/2039		1,000,000		992,517
GS Mortgage Securities Trust 2014-GC20 Series 2014-GC20, Class XA, 1.19%, 4/10/2047 (a)		19,618,299		1,287,788
GS Mortgage Securities Trust 2014-GC24 Series 2014-GC24, Class XA, 0.88%, 9/10/2047 (a)		32,643,431		1,695,905
GS Mortgage Securities Trust 2015-GC32:
Series 2015-GC32, Class B, 4.40%, 7/10/2048 (a)		1,500,000		1,530,015
Series 2015-GC32, Class XA, 0.91%, 7/10/2048 (a)		26,881,309		1,552,863
GS Mortgage Securities Trust 2015-GC34 Series 2015-GC34, Class XA, 1.38%, 10/10/2048 (a)		17,482,988		1,677,432
GS Mortgage Securities Trust 2015-GS1 0.85%, 11/10/2048 (a)		27,236,396		1,724,775
GSAA Home Equity Trust 2007-10 Series 2007-10, Class A2A, 6.50%, 11/25/2037		3,767,934		2,824,669
GSR Mortgage Loan Trust 2007-3F Series 2007-3F, Class 2A1, 5.75%, 5/25/2037		8,548,777		8,275,635
IndyMac INDX Mortgage Loan Trust 2006-FLX2 Series 2006-R1, Class A3, 2.68%, 12/25/2035 (a)		7,817,264		6,243,915
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 Series 2006-LDP9, Class AM, 5.37%, 5/15/2047		1,465,000		1,489,681
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 Series 2007-C1, Class AM, 5.95%, 2/15/2051 (a)		1,000,000		1,050,687
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 Series 2007-CB20, Class AJ, 6.08%, 2/12/2051 (a)		1,500,000		1,524,281
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 Series 2007-LD12, Class AM, 6.01%, 2/15/2051 (a)		800,000		829,976

JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (c)		1,775,000		1,797,824
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO Series 2015-CSMO, Class C, 2.58%, 1/15/2032 (a) (c)		1,500,000		1,488,161
JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1 1.32%, 1/15/2049 (a)		23,322,000		1,634,555
JP Morgan Mortgage Trust 2006-A3 Series 2006-A3, Class 1A1, 2.67%, 5/25/2036 (a)		13,871,801		12,540,620
JP Morgan Mortgage Trust 2007-S3 6.00%, 8/25/2037		17,829,869		15,649,404
JPMBB Commercial Mortgage Securities Trust 2014-C25 Series 2014-C25, Class XA, 1.01%, 11/15/2047 (a)		6,460,028		392,540
JPMBB Commercial Mortgage Securities Trust 2014-C26 Series 2014-C26, Class C, 4.43%, 1/15/2048 (a)		1,500,000		1,415,346
JPMBB Commercial Mortgage Securities Trust 2015-C27 Series 2015-C27, Class XA, 1.39%, 2/15/2048 (a)		7,938,562		632,677
JPMBB Commercial Mortgage Securities Trust 2015-C28 Series 2015-C28, Class XA, 1.21%, 10/15/2048 (a)		11,958,016		829,806
JPMBB Commercial Mortgage Securities Trust 2015-C30 Series 2015-C30, Class XA, 0.72%, 7/15/2048 (a)		31,098,617		1,305,268
JPMBB Commercial Mortgage Securities Trust 2015-C32 Series 2015-C32, Class C, 4.67%, 11/15/2048 (a)		1,300,000		1,177,168
JPMBB Commercial Mortgage Securities Trust 2015-C33 4.62%, 12/15/2048 (a)		1,739,000		1,667,433
LB-UBS Commercial Mortgage Trust 2007-C1 Series 2007-C1, Class AJ, 5.48%, 2/15/2040		3,000,000		3,030,121
LB-UBS Commercial Mortgage Trust 2007-C2 Series 2007-C2, Class AM, 5.49%, 2/15/2040 (a)		1,110,000		1,136,178
LB-UBS Commercial Mortgage Trust 2007-C7 Series 2007-C7, Class AJ, 6.24%, 9/15/2045 (a)		1,615,000		1,663,449

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

LCM XVI L.P. Series 16A, Class A, 1.82%, 7/15/2026 (a) (c)	$	2,500,000	$	2,484,000
Limerock CLO I Series 2007-1A, Class B, 0.95%, 4/24/2023 (a) (c)		500,000		476,250
Madison Park Funding XIV, Ltd. Series 2014-14A, Class D, 3.92%, 7/20/2026 (a) (c)		1,250,000		1,172,375
Madison Park Funding XVI, Ltd. Series 2015-16A, Class B, 3.27%, 4/20/2026 (a) (c)		2,500,000		2,450,750
Merrill Lynch Mortgage Investors Trust Series 2006-AF2 Series 2006-AF2, Class AF2, 6.25%, 10/25/2036		4,550,351		3,918,612
Merrill Lynch Mortgage Trust 2006-C1 Series 2006-C1, Class AJ, 5.67%, 5/12/2039 (a)		1,607,000		1,602,758
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 Series 2013-C12, Class XA, 0.98%, 10/15/2046 (a)		19,406,224		812,737
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class XA, 1.66%, 2/15/2046 (a)		18,921,822		1,362,984
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20:
Series 2015-C20, Class A4, 3.25%, 2/15/2048		355,000		349,089
Series 2015-C20, Class C, 4.46%, 2/15/2048 (a)		500,000		454,062
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 Series 2015-C25, Class C, 4.53%, 10/15/2048 (a)		1,700,000		1,555,745
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27:
3.24%, 12/15/2047 (a) (c)		1,750,000		1,198,828
4.54%, 12/15/2047 (a)		1,219,000		1,114,363
Morgan Stanley Capital I Trust 2015-UBS8 1.14%, 12/15/2048 (a)		26,400,000		1,829,243
Morgan Stanley Capital I Trust 2015-XLF1 Series 2015-XLF1, Class D, 3.32%, 8/14/2031 (a) (c)		750,000		742,710
Morgan Stanley Mortgage Loan Trust 2005-3AR Series 2005-3AR, Class 2A1, 2.58%, 7/25/2035 (a)		11,588,493		9,788,354
Octagon Investment Partners XIX, Ltd. Series 2014-1A, Class A, 1.84%, 4/15/2026 (a) (c)		2,500,000		2,480,000
OZLM VI, Ltd. Series 2014-6A, Class A2A, 2.47%, 4/17/2026 (a) (c)		2,500,000		2,448,250

Race Point VII CLO, Ltd. Series 2012-7A, Class A, 1.76%, 11/8/2024 (a) (c)		2,500,000		2,471,500
RALI Series 2004-QS7 Trust Series 2004-QS7, Class A4, 5.50%, 5/25/2034		2,256,832		2,319,309
Residential Asset Securitization Trust 2005-A13 Series 2005-A13, Class 1A7, 5.50%, 10/25/2035		4,049,066		3,610,978
Sierra CLO II, Ltd. Series 2006-2A, Class A3L, 1.04%, 1/22/2021 (a) (c)		500,000		487,900
Structured Adjustable Rate Mortgage Loan Trust Series 2005-21, Class 1A, 2.65%, 11/25/2035 (a)		3,420,995		2,716,562
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8 Series 2006-8, Class 4A3, 5.04%, 9/25/2036 (a)		2,633,771		2,339,377
Towd Point Mortgage Trust 2015-1 Series 2015-1, Class AE, 3.00%, 10/25/2053 (c)		3,420,243		3,383,388
Venture XVII CLO, Ltd. 2.42%, 7/15/2026 (a) (c)		2,500,000		2,425,750
Voya CLO 2014-4, Ltd. Series 2014-4A, Class A1, 1.82%, 10/14/2026 (a) (c)		2,500,000		2,481,000
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 Series 2006-C23, Class AJ, 5.52%, 1/15/2045 (a)		1,277,726		1,276,558
Wachovia Bank Commercial Mortgage Trust Series 2006-C28 Series 2006-C28, Class AJ, 5.63%, 10/15/2048 (a)		1,500,000		1,518,249
Wachovia Bank Commercial Mortgage Trust Series 2007-C30 Series 2007-C30, Class AM, 5.38%, 12/15/2043		1,750,000		1,783,096
Wachovia Bank Commercial Mortgage Trust Series 2007-C33 Series 2007-C33, Class AJ, 5.95%, 2/15/2051 (a)		1,600,000		1,630,648
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust Series 2005-8, Class 2CB1, 5.50%, 10/25/2035		3,757,171		3,764,719
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust Series 2006-5, Class 3A2, 6.00%, 7/25/2036 (b)		3,752,039		1,851,359
Wells Fargo Commercial Mortgage Trust 2014-LC16 Series 2014-LC16, Class D, 3.94%, 8/15/2050 (c)		920,000		736,910

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

Wells Fargo Commercial Mortgage Trust 2015-C26 Series 2015-C26, Class D, 3.59%, 2/15/2048 (c)	$	900,000	$	669,759
Wells Fargo Commercial Mortgage Trust 2015-C27 Series 2015-C27, Class C, 3.89%, 2/15/2048		750,000		670,804
Wells Fargo Commercial Mortgage Trust 2015-C28 Series 2015-C28, Class C, 4.14%, 5/15/2048 (a)		1,500,000		1,369,873
Wells Fargo Commercial Mortgage Trust 2015-LC20 Series 2015-LC20, Class XA, 1.41%, 4/15/2050 (a)		7,960,478		688,668
Wells Fargo Commercial Mortgage Trust 2015-NXS1 Series 2015-NXS1, Class XA, 1.21%, 5/15/2048 (a)		9,949,697		732,511
Wells Fargo Commercial Mortgage Trust 2015-NXS2 Series 2015-NXS2, Class XA, 0.81%, 7/15/2058 (a)		29,918,042		1,494,780
Wells Fargo Commercial Mortgage Trust 2015-NXS3 Series 2015-NXS3, Class C, 4.49%, 9/15/2057 (a)		1,600,000		1,516,459
Wells Fargo Commercial Mortgage Trust 2015-P2:
1.18%, 12/15/2048 (a)		22,200,000		1,552,815
3.81%, 12/15/2048		1,568,000		1,600,322
WFRBS Commercial Mortgage Trust 2014-C21 Series 2014-C21, Class XA, 1.18%, 8/15/2047 (a)		19,729,148		1,354,566

TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $375,215,755)				369,749,902

U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.3%
Federal Home Loan Mortgage Corp.:
3.00%, 6/15/2044		15,000,000		15,083,914
3.00%, 1/1/2045		4,149,009		4,146,362
3.00%, 2/1/2045		2,849,195		2,847,378
3.00%, 3/1/2045		2,888,113		2,886,271
3.00%, 4/1/2045		19,377,030		19,364,670
3.00%, 5/1/2045		9,731,334		9,725,127
3.00%, 7/1/2045		4,918,005		4,914,868
3.00%, 8/1/2045		25,638,956		25,622,602
3.00%, 10/1/2045		16,524,692		16,514,152
3.00%, 12/1/2045		31,820,219		31,799,922
3.50%, 2/1/2045		5,657,795		5,830,076
3.50%, 4/1/2045		9,520,734		9,810,643
3.50%, 4/1/2045		7,727,878		7,963,193
3.50%, 6/1/2045		16,835,293		17,347,931
4.50%, 6/1/2044		3,726,858		4,015,967
5.67%, 5/15/2041 (a)		23,289,981		3,804,295

Series 3822, Class ZG, 4.00%, 2/15/2041		3,324,386		3,514,988
Series 3889, Class VZ, 4.00%, 7/15/2041		18,028,572		18,934,412
Series 3935, Class SJ, 6.32%, 5/15/2041 (a)		5,660,619		823,801
Series 4165, Class ZT, 3.00%, 2/15/2043		14,580,418		13,048,310
Series 4215, Class KC, 2.25%, 3/15/2038		30,028,187		30,115,350
Series 4434, Class LZ, 3.00%, 2/15/2045		3,075,849		2,699,894
Series 4444, Class CZ, 3.00%, 2/15/2045		11,278,114		10,023,763
Series 4447, Class A, 3.00%, 6/15/2041		3,114,560		3,174,212
Series 4447, Class Z, 3.00%, 3/15/2045		3,722,493		3,362,736
Series 4471, Class BA, 3.00%, 12/15/2041		9,660,533		9,843,279
Series 4471, Class GA , 3.00%, 2/15/2044		14,110,493		14,147,654
Series 4481, Class B, 3.00%, 12/15/2042		9,715,316		9,859,802
Series 4483, Class CA, 3.00%, 6/15/2044		18,809,609		19,101,842
Series 4491, Class B, 3.00%, 8/15/2040		19,474,465		19,692,711
Series 4492, Class GZ, 3.50%, 7/15/2045		7,710,042		7,449,133
Series 4499, Class AB, 3.00%, 6/15/2042		19,592,766		19,936,043
Series 4504, Class CA, 3.00%, 4/15/2044		21,321,144		21,664,193
Series 4511, Class QA, 3.00%, 1/15/2041		19,721,205		19,993,563
Series 4511, Class QC, 3.00%, 12/15/2040		14,674,951		14,904,705
Federal National Mortgage Association:
3.00%, 10/1/2034		6,246,727		6,362,601
3.00%, 4/1/2035		4,930,184		5,022,361
3.00%, 4/1/2035		5,554,836		5,658,693
3.00%, 5/1/2035		2,886,057		2,940,017
3.00%, 5/1/2035		2,896,413		2,950,567
3.00%, 4/1/2040		22,692,274		22,713,071
3.00%, 1/1/2045		4,050,213		4,017,458
3.00%, 2/1/2045		4,312,694		4,277,555
3.00%, 3/1/2045		3,861,206		3,864,745
3.00%, 4/1/2045		17,286,829		17,145,136
3.00%, 7/1/2045		14,695,875		14,574,818
3.50%, 9/1/2034		4,771,368		4,973,054
3.50%, 12/1/2034		4,292,878		4,474,338
3.50%, 2/1/2035		2,702,005		2,816,955
3.50%, 2/1/2045		9,538,962		9,850,176
4.50%, 3/1/2044		2,290,169		2,473,656
4.50%, 3/1/2044		3,731,736		4,030,721
4.50%, 6/1/2044		3,297,176		3,561,345
4.50%, 7/1/2044		3,530,037		3,812,863

See accompanying notes to financial statements.

State Street DoubleLine Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Principal Amount		Value

4.50%, 2/1/2045	$	3,890,229	$	4,201,913
Series 2010-109, Class N, 3.00%, 10/25/2040		6,069,468		6,229,195
Series 2012-127, Class PA, 2.75%, 11/25/2042		6,403,607		6,342,443
Series 2012-151, Class SB, 5.63%, 1/25/2043 (a)		1,555,877		1,462,701
Series 2014-21, Class GZ, 3.00%, 4/25/2044		5,820,555		5,329,982
Series 2015-42, Class CA, 3.00%, 3/25/2044		11,296,107		11,568,133
Series 2015-9, Class HA, 3.00%, 1/25/2045		21,892,281		22,520,762
Government National Mortgage Association:
Series 2013-169, Class SE, 5.71%, 11/16/2043 (a)		5,794,354		897,205
Series 2013-34, Class PL, 3.00%, 3/20/2042		18,942,736		19,247,943
Series 2014-43, Class PS, 5.78%, 7/20/2042 (a)		17,422,459		2,445,683

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $634,328,780)				629,733,852

U.S. TREASURY OBLIGATIONS — 7.6%
Treasury Bonds 3.13%, 2/15/2043		16,000,000		16,408,162
Treasury Inflation Protected Indexed Notes 0.13%, 4/15/2019		16,544,989		16,454,488
Treasury Notes:
0.38%, 3/31/2016		6,600,000		6,600,990
1.38%, 4/30/2020		26,800,000		26,456,692
1.75%, 3/31/2022		41,100,000		40,472,403
2.50%, 5/15/2024		28,400,000		29,020,822

TOTAL U.S. TREASURY OBLIGATIONS (Cost $136,477,329)				135,413,557

SHORT-TERM INVESTMENT — 19.0%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (e) (f) (g) (Cost $339,272,762)		339,272,762		339,272,762

TOTAL INVESTMENTS — 101.3% (h) (Cost $1,831,664,084)				1,807,022,589
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.3)%				(22,610,172	)

NET ASSETS — 100.0%			$	1,784,412,417

(a)	Variable Rate Security — Interest rate shown is rate in effect at December 31, 2015.

(b)	Step-up bond — Coupon rate increases in increments to maturity. Rate shown as of December 31, 2015. Maturity date shown is the final maturity.

(c)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 8.5% of net assets as of December 31, 2015, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

(e)	Value is determined based on Level 1 inputs (Note 2).

(f)	The rate shown is the annualized seven-day yield at December 31, 2015.

(g)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(h)	Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2).

See accompanying notes to financial statements.

SSGA MFS Systematic Core Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.3%
AEROSPACE & DEFENSE — 6.8%
General Dynamics Corp.		1,319	$	181,178
Northrop Grumman Corp.		1,171		221,096

				402,274

BANKS — 6.6%
JPMorgan Chase & Co.		3,776		249,329
Wells Fargo & Co.		2,603		141,499

				390,828

BIOTECHNOLOGY — 5.1%
Amgen, Inc.		626		101,619
Gilead Sciences, Inc.		1,943		196,612

				298,231

BUILDING PRODUCTS — 3.3%
Owens Corning		4,074		191,600

CHEMICALS — 3.1%
LyondellBasell Industries NV Class A		2,121		184,315

CONSUMER FINANCE — 1.1%
Discover Financial Services		1,235		66,221

DIVERSIFIED TELECOMMUNICATION SERVICES — 2.2%
Verizon Communications, Inc.		2,837		131,126

FOOD & STAPLES RETAILING — 2.4%
Kroger Co.		3,404		142,389

FOOD PRODUCTS — 2.5%
Archer-Daniels-Midland Co.		2,083		76,405
Mondelez International, Inc. Class A		1,535		68,829

				145,234

HEALTH CARE EQUIPMENT & SUPPLIES — 1.0%
Alere, Inc. (a)		1,427		55,782

HEALTH CARE PROVIDERS & SERVICES — 5.1%
Anthem, Inc.		1,405		195,913
McKesson Corp.		232		45,758
UnitedHealth Group, Inc.		480		56,467

				298,138

HOTELS, RESTAURANTS & LEISURE — 4.5%
Carnival Corp.		772		42,058
Royal Caribbean Cruises, Ltd.		2,179		220,537

				262,595

HOUSEHOLD PRODUCTS — 1.3%
Procter & Gamble Co.		932		74,010

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.5%
AES Corp.		9,453		90,465

INSURANCE — 7.2%
MetLife, Inc.		3,772		181,848
Prudential Financial, Inc.		2,341		190,581
Validus Holdings, Ltd.		1,111		51,428

				423,857

INTERNET & CATALOG RETAIL — 6.9%
Amazon.com, Inc. (a)		430		290,633
Priceline Group, Inc. (a)		92		117,295

				407,928


MEDIA — 0.9%
Comcast Corp. Class A		964		54,399

MULTILINE RETAIL — 0.8%
Target Corp.		616		44,728

OIL, GAS & CONSUMABLE FUELS — 5.8%
Exxon Mobil Corp.		1,569		122,303
Valero Energy Corp.		3,067		216,868

				339,171

PHARMACEUTICALS — 7.8%
Eli Lilly & Co.		1,635		137,765
Johnson & Johnson		1,789		183,766
Merck & Co., Inc.		2,645		139,709

				461,240

REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.7%
Extra Space Storage, Inc.		1,815		160,101

SOFTWARE — 7.8%
Activision Blizzard, Inc.		1,785		69,098
Electronic Arts, Inc. (a)		2,989		205,404
Intuit, Inc.		630		60,795
Oracle Corp.		3,400		124,202

				459,499

SPECIALTY RETAIL — 2.7%
Best Buy Co., Inc.		5,265		160,319

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.3%
Apple, Inc.		2,537		267,045
Hewlett Packard Enterprise Co.		3,888		59,097
HP, Inc.		3,888		46,034

				372,176

TOBACCO — 3.9%
Altria Group, Inc.		1,227		71,424
Philip Morris International, Inc.		1,769		155,512

				226,936

TOTAL COMMON STOCKS (Cost $5,884,158)				5,843,562

SHORT-TERM INVESTMENT — 0.7%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) (Cost $41,006)		41,006		41,006

TOTAL INVESTMENTS — 100.0% (d) (Cost $5,925,164)				5,884,568
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (e)				2,710

NET ASSETS — 100.0%			$	5,887,278

(a)	Non-income producing security

(b)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(c)	The rate shown is the annualized seven-day yield at December 31, 2015.

(d)	Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2).

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

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 131.4%
AEROSPACE & DEFENSE — 1.4%
General Dynamics Corp.		943	$	129,531

AIR FREIGHT & LOGISTICS — 0.6%
FedEx Corp.		365		54,381

AUTO COMPONENTS — 3.9%
Goodyear Tire & Rubber Co.		7,737		252,768
Lear Corp.		879		107,967

				360,735

BEVERAGES — 2.8%
Coca-Cola Co.		5,975		256,686

BIOTECHNOLOGY — 8.1%
Amgen, Inc.		1,585		257,293
Gilead Sciences, Inc.		4,818		487,533

				744,826

CHEMICALS — 4.5%
LyondellBasell Industries NV Class A		4,746		412,427

COMMUNICATIONS EQUIPMENT — 0.4%
QUALCOMM, Inc.		824		41,188

CONSUMER FINANCE — 0.7%
American Express Co.		891		61,969

DIVERSIFIED TELECOMMUNICATION SERVICES — 3.3%
Verizon Communications, Inc.		6,676		308,565

FOOD & STAPLES RETAILING — 6.7%
CVS Health Corp.		1,788		174,813
Kroger Co.		10,711		448,041

				622,854

FOOD PRODUCTS — 7.9%
Ingredion, Inc.		3,507		336,111
Tyson Foods, Inc. Class A		7,392		394,215

				730,326

HEALTH CARE EQUIPMENT & SUPPLIES — 2.4%
Edwards Lifesciences Corp. (a)		2,785		219,959

HEALTH CARE PROVIDERS & SERVICES — 6.6%
Anthem, Inc.		1,117		155,755
HCA Holdings, Inc. (a)		1,146		77,504
McKesson Corp.		1,927		380,062

				613,321

HOTELS, RESTAURANTS & LEISURE — 6.0%
Carnival Corp.		3,199		174,281
Norwegian Cruise Line Holdings, Ltd. (a)		6,526		382,424

				556,705

INSURANCE — 3.3%
Prudential Financial, Inc.		3,702		301,380

INTERNET & CATALOG RETAIL — 12.0%
Amazon.com, Inc. (a)		1,105		746,858
Priceline Group, Inc. (a)		281		358,261

				1,105,119

INTERNET SOFTWARE & SERVICES — 6.1%
Alphabet, Inc. Class A (a)		183		142,376
VeriSign, Inc. (a)		4,795		418,891

				561,267


IT SERVICES — 6.1%
Cognizant Technology Solutions Corp. Class A (a)		5,840		350,517
FleetCor Technologies, Inc. (a)		1,464		209,249

				559,766

MACHINERY — 1.3%
Caterpillar, Inc.		1,783		121,173

MEDIA — 4.7%
Comcast Corp. Class A		7,696		434,285

OIL, GAS & CONSUMABLE FUELS — 3.3%
Marathon Petroleum Corp.		5,192		269,153
Valero Energy Corp.		464		32,810

				301,963

PHARMACEUTICALS — 6.5%
Bristol-Myers Squibb Co.		2,842		195,501
Eli Lilly & Co.		1,828		154,027
Johnson & Johnson		812		83,409
Merck & Co., Inc.		3,101		163,795

				596,732

REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.1%
Extra Space Storage, Inc.		1,350		119,083
Simon Property Group, Inc. REIT		852		165,663

				284,746

ROAD & RAIL — 0.9%
Union Pacific Corp.		1,090		85,238

SOFTWARE — 8.4%
Aspen Technology, Inc. (a)		1,523		57,509
Electronic Arts, Inc. (a)		6,562		450,941
Oracle Corp.		7,346		268,349

				776,799

SPECIALTY RETAIL — 7.2%
AutoZone, Inc. (a)		179		132,802
Best Buy Co., Inc.		10,743		327,124
O’Reilly Automotive, Inc. (a)		820		207,805

				667,731

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.1%
Apple, Inc.		5,310		558,931

TEXTILES, APPAREL & LUXURY GOODS — 0.6%
NIKE, Inc. Class B		907		56,688

TOBACCO — 4.2%
Altria Group, Inc.		3,495		203,444
Philip Morris International, Inc.		2,102		184,787

				388,231

TRADING COMPANIES & DISTRIBUTORS — 2.3%
United Rentals, Inc. (a)		2,943		213,485

TOTAL COMMON STOCKS (Cost $12,000,648)				12,127,007

See accompanying notes to financial statements.

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Shares		Value

SHORT-TERM INVESTMENT — 0.9%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) (Cost $80,949)		80,949	$	80,949

TOTAL INVESTMENTS — 132.3% (d) (Cost $12,081,597)				12,207,956
LIABILITIES IN EXCESS OF OTHER ASSETS — (32.3)%				(2,979,673	)

NET ASSETS — 100.0%			$	9,228,283

(a)	Non-income producing security

(b)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(c)	The rate shown is the annualized seven-day yield at December 31, 2015.

(d)	Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2).

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.2%
AEROSPACE & DEFENSE — 5.1%
General Dynamics Corp.		389	$	53,433
Northrop Grumman Corp.		479		90,440

				143,873

AUTO COMPONENTS — 4.1%
Gentex Corp.		1,714		27,441
Goodyear Tire & Rubber Co.		2,720		88,862

				116,303

BANKS — 14.4%
Citigroup, Inc.		2,376		122,958
JPMorgan Chase & Co.		2,285		150,878
Wells Fargo & Co.		2,374		129,051

				402,887

BIOTECHNOLOGY — 2.3%
Gilead Sciences, Inc.		640		64,762

CHEMICALS — 2.9%
LyondellBasell Industries NV Class A		950		82,555

COMMUNICATIONS EQUIPMENT — 1.7%
Cisco Systems, Inc.		1,780		48,336

CONSUMER FINANCE — 0.7%
Discover Financial Services		351		18,821

DIVERSIFIED TELECOMMUNICATION SERVICES — 1.3%
Verizon Communications, Inc.		780		36,052

ELECTRIC UTILITIES — 3.2%
Exelon Corp.		3,270		90,808

FOOD PRODUCTS — 5.3%
Bunge, Ltd.		710		48,479
Mondelez International, Inc. Class A		370		16,591
Tyson Foods, Inc. Class A		1,570		83,728

				148,798

HEALTH CARE EQUIPMENT & SUPPLIES — 0.7%
Abbott Laboratories		432		19,401

HEALTH CARE PROVIDERS & SERVICES — 5.2%
Anthem, Inc.		587		81,851
Cardinal Health, Inc.		327		29,191
McKesson Corp.		82		16,173
UnitedHealth Group, Inc.		160		18,823

				146,038

HOTELS, RESTAURANTS & LEISURE — 2.6%
Carnival Corp.		980		53,390
Royal Caribbean Cruises, Ltd.		198		20,040

				73,430

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.9%
AES Corp.		5,433		51,994

INDUSTRIAL CONGLOMERATES — 1.5%
Danaher Corp.		450		41,796

INSURANCE — 9.1%
Everest Re Group, Ltd.		69		12,633
MetLife, Inc.		1,738		83,789
Prudential Financial, Inc.		1,163		94,680
Travelers Cos., Inc.		341		38,485

Validus Holdings, Ltd.		551		25,506

				255,093

INTERNET SOFTWARE & SERVICES — 1.0%
eBay, Inc. (a)		990		27,205

MULTI-UTILITIES — 1.5%
PG&E Corp.		810		43,084

OIL, GAS & CONSUMABLE FUELS — 10.1%
Exxon Mobil Corp.		646		50,356
Marathon Petroleum Corp.		1,168		60,549
Occidental Petroleum Corp.		280		18,931
Valero Energy Corp.		1,339		94,681
WPX Energy, Inc. (a)		10,160		58,318

				282,835

PHARMACEUTICALS — 5.4%
Johnson & Johnson		668		68,617
Merck & Co., Inc.		1,558		82,293

				150,910

REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.5%
AvalonBay Communities, Inc. REIT		436		80,281
WP Glimcher, Inc.		1,786		18,949

				99,230

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.1%
Broadcom Corp. Class A		781		45,157
Intel Corp.		1,990		68,556

				113,713

SOFTWARE — 4.8%
Activision Blizzard, Inc.		1,330		51,484
Electronic Arts, Inc. (a)		1,195		82,121

				133,605

SPECIALTY RETAIL — 4.4%
American Eagle Outfitters, Inc.		3,100		48,050
Best Buy Co., Inc.		2,439		74,267

				122,317

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.7%
HP, Inc.		1,303		15,427
NetApp, Inc.		1,220		32,367

				47,794

TRADING COMPANIES & DISTRIBUTORS — 0.7%
United Rentals, Inc. (a)		260		18,860

TOTAL COMMON STOCKS (Cost $2,683,224)				2,780,500

SHORT-TERM INVESTMENT — 0.7%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) (Cost $21,531)		21,531		21,531

TOTAL INVESTMENTS — 99.9% (d) (Cost $2,704,755)				2,802,031
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				1,637

NET ASSETS — 100.0%			$	2,803,668

See accompanying notes to financial statements.

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)

(a)	Non-income producing security

(b)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(c)	The rate shown is the annualized seven-day yield at December 31, 2015.

(d)	Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2).

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA Risk Aware Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 99.5%
BANKS — 6.6%
Capital Bank Financial Corp. Class A		2,717	$	86,890
First Connecticut Bancorp, Inc.		144		2,507
HomeTrust Bancshares, Inc. (a)		1,070		21,667
People’s United Financial, Inc.		759		12,258

				123,322

BEVERAGES — 6.3%
Coca-Cola Co.		1,011		43,433
Dr. Pepper Snapple Group, Inc.		226		21,063
PepsiCo, Inc.		535		53,457

				117,953

BIOTECHNOLOGY — 3.9%
Amgen, Inc.		409		66,393
Chimerix, Inc. (a)		481		4,305
NewLink Genetics Corp. (a)		47		1,710

				72,408

CAPITAL MARKETS — 0.3%
Goldman Sachs Group, Inc.		31		5,587

COMMERCIAL SERVICES & SUPPLIES — 4.6%
Rollins, Inc.		315		8,159
Stericycle, Inc. (a)		640		77,184

				85,343

DIVERSIFIED FINANCIAL SERVICES — 4.1%
Berkshire Hathaway, Inc. Class B (a)		573		75,659
McGraw Hill Financial, Inc.		13		1,281
Moody’s Corp.		5		502

				77,442

DIVERSIFIED TELECOMMUNICATION SERVICES — 7.4%
AT&T, Inc.		1,925		66,239
Verizon Communications, Inc.		1,549		71,595

				137,834

ELECTRIC UTILITIES — 2.2%
Entergy Corp.		238		16,269
FirstEnergy Corp.		775		24,591

				40,860

FOOD & STAPLES RETAILING — 4.0%
Wal-Mart Stores, Inc.		1,218		74,663

FOOD PRODUCTS — 4.8%
General Mills, Inc.		1,010		58,237
Hershey Co.		229		20,443
TreeHouse Foods, Inc. (a)		144		11,298

				89,978

HEALTH CARE EQUIPMENT & SUPPLIES — 1.7%
Cooper Cos., Inc.		236		31,671

HEALTH CARE PROVIDERS & SERVICES — 0.1%
Nobilis Health Corp. (a)		611		1,723

HOTELS, RESTAURANTS & LEISURE — 6.1%
McDonald’s Corp.		892		105,381
Norwegian Cruise Line Holdings, Ltd. (a)		153		8,966

				114,347

HOUSEHOLD PRODUCTS — 5.7%
Kimberly-Clark Corp.		127		16,167

Procter & Gamble Co.		1,132		89,892

				106,059

INSURANCE — 1.6%
Allied World Assurance Co. Holdings AG		640		23,802
American International Group, Inc.		94		5,825

				29,627

INTERNET & CATALOG RETAIL — 0.5%
Expedia, Inc.		71		8,825

IT SERVICES — 2.0%
Visa, Inc. Class A		476		36,914

MEDIA — 0.6%
Eros International PLC (a)		763		6,982
Time Warner Cable, Inc.		21		3,897

				10,879

METALS & MINING — 0.4%
Newmont Mining Corp.		430		7,736

MULTI-UTILITIES — 3.7%
CenterPoint Energy, Inc.		246		4,517
CMS Energy Corp.		416		15,009
Dominion Resources, Inc.		525		35,511
PG&E Corp.		271		14,414

				69,451

MULTILINE RETAIL — 7.1%
Dollar General Corp.		475		34,138
Dollar Tree, Inc. (a)		1,272		98,224

				132,362

OIL, GAS & CONSUMABLE FUELS — 1.4%
California Resources Corp.		1,680		3,914
Kinder Morgan, Inc.		1,452		21,664

				25,578

PAPER & FOREST PRODUCTS — 0.1%
Clearwater Paper Corp. (a)		43		1,958

PHARMACEUTICALS — 14.3%
Allergan PLC (a)		246		76,875
Bristol-Myers Squibb Co.		911		62,668
Eli Lilly & Co.		149		12,555
Johnson & Johnson		442		45,402
Merck & Co., Inc.		982		51,869
Perrigo Co. PLC		119		17,219

				266,588

PROFESSIONAL SERVICES — 1.1%
Advisory Board Co. (a)		156		7,739
Verisk Analytics, Inc. (a)		176		13,531

				21,270

REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.2%
American Tower Corp. REIT		80		7,756
Annaly Capital Management, Inc.		1,550		14,539

				22,295

SPECIALTY RETAIL — 4.8%
AutoZone, Inc. (a)		121		89,771

TOBACCO — 1.0%
Altria Group, Inc.		336		19,559

See accompanying notes to financial statements.

SSGA Risk Aware Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Security Description	Shares		Value

WATER UTILITIES — 1.9%
American Water Works Co., Inc.		592	$	35,372

TOTAL COMMON STOCKS (Cost $1,856,997)				1,857,375

SHORT-TERM INVESTMENT — 0.4%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) (Cost $6,792)		6,792		6,792

TOTAL INVESTMENTS — 99.9% (d) (Cost $1,863,789)				1,864,167
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				2,532

NET ASSETS — 100.0%			$	1,866,699

(a)	Non-income producing security

(b)	The rate shown is the annualized seven-day yield at December 31, 2015.

(c)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(d)	Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2).

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA MASTER TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2015 (Unaudited)


	SSGA Multi-Asset Real Return Portfolio		SSGA Income Allocation Portfolio		SSGA Global Allocation Portfolio		Blackstone/GSO Senior Loan Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at value	$	15,115,348	$	11,060,972	$	33,926,178	$	733,688,100
Investments in securities of affiliated issuers, at value		70,626,345		90,538,708		158,860,667		73,468,378

Total investments		85,741,693		101,599,680		192,786,845		807,156,478

Cash		—		—		—		—
Receivable for investment securities sold		—		—		—		27,816,822
Dividends receivable from affiliated issuers (Note 3)		77,198		400,574		270,411		—
Dividends receivable from unaffiliated issuers		—		—		—		—
Interest receivable from unaffiliated issuers		—		—		—		4,904,009

TOTAL ASSETS	$	85,818,891	$	102,000,254	$	193,057,256	$	839,877,309

LIABILITIES
Payable for investments purchased		3,033,894		—		—		53,774,365
Due to custodian		—		—		—		—
Accrued advisory fees (Note 3)		13,241		17,991		33,805		199,005
Accrued trustees’ fees and expenses (Note 3)		17		6		2		19

TOTAL LIABILITIES		3,047,152		17,997		33,807		53,973,389

NET ASSETS	$	82,771,739	$	101,982,257	$	193,023,449	$	785,903,920

COST OF INVESTMENTS
Unaffiliated issuers	$	24,475,994	$	12,564,902	$	38,720,223	$	73,468,378
Affiliated issuers		84,073,085		94,645,824		162,442,859		769,302,005

Total cost of investments	$	108,549,079	$	107,210,726	$	201,163,082	$	842,770,383

See accompanying notes to financial statements.


SSGA Ultra Short Term Bond Portfolio		State Street DoubleLine Total Return Tactical Portfolio		SSGA MFS Systematic Core Equity Portfolio		SSGA MFS Systematic Growth Equity Portfolio		SSGA MFS Systematic Value Equity Portfolio		State Street Risk Aware Portfolio

$	13,828,193	$	1,467,749,827	$	5,843,562	$	12,127,007	$	2,780,500	$	1,857,375
	126,552		339,272,762		41,006		80,949		21,531		6,792

	13,954,745		1,807,022,589		5,884,568		12,207,956		2,802,031		1,864,167

	—		130,877		—		—		—		—
	—		1,868,374		—		—		—		—
	—		—		4		10		3		2,929
	—		—		3,651		6,770		2,349		—
	26,415		32,147,300		—		—		—		—

$	13,981,160	$	1,841,169,140	$	5,888,223	$	12,214,736	$	2,804,383	$	1,867,096


	—		56,335,868		—		2,984,093		—		—
	6		—		—		—		—		—
	2,368		420,855		945		2,360		715		397
	2		—		—		—		—		—

	2,376		56,756,723		945		2,986,453		715		397

$	13,978,784	$	1,784,412,417	$	5,887,278	$	9,228,283	$	2,803,668	$	1,866,699


$	13,868,577	$	1,492,391,322	$	5,884,158	$	12,000,648	$	2,683,224	$	1,856,997
	126,552		339,272,762		41,006		80,949		21,531		6,792

$	13,995,129	$	1,831,664,084	$	5,925,164	$	12,081,597	$	2,704,755	$	1,863,789

SSGA MASTER TRUST

STATEMENTS OF OPERATIONS

For the Six Months Ended December 31, 2015 (Unaudited)


	SSGA Multi-Asset Real Return Portfolio			SSGA Income Allocation Portfolio			SSGA Global Allocation Portfolio			Blackstone/GSO Senior Loan Portfolio
INVESTMENT INCOME
Dividend and interest income on securities of unaffiliated issuers (Note 2)	$	50,218		$	72,304		$	211,873		$	18,037,603
Dividend income on securities of affiliated issuers (Note 3)		791,837			2,015,491			2,148,937			31,396

TOTAL INVESTMENT INCOME		842,055			2,087,795			2,360,810			18,068,999

EXPENSES
Advisory fees (Note 3)		110,439			114,344			170,378			1,088,588
Trustees’ fees (Note 3)		984			900			1,448			5,293
Other expenses		—			—			—			18,176

TOTAL EXPENSES		111,423			115,244			171,826			1,112,057

NET INVESTMENT INCOME	$	730,632		$	1,972,551		$	2,188,984		$	16,956,942

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments in securities of unaffiliated issuers	$	(3,982,608	)	$	(64,799	)	$	358,561		$	(16,572,773	)
Net realized gain (loss) on investments in securities of affiliated issuers		(7,459,967	)		(1,868,029	)		(1,377,258	)		—
Capital gains distributions from unaffiliated issuers		—			676,557			1,995,453			—
Capital gains distributions from affiliated issuers		51,217			340,816			75,613			—
Net change in unrealized appreciation (depreciation) on investments		(4,889,474	)		(4,542,501	)		(9,526,394	)		(26,617,611	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		(16,280,832	)		(5,457,956	)		(8,474,025	)		(43,190,384	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(15,550,200	)	$	(3,485,405	)	$	(6,285,041	)	$	(26,233,442	)

See accompanying notes to financial statements.


SSGA Ultra Short Term Bond Portfolio			State Street DoubleLine Total Return Tactical Portfolio			SSGA MFS Systematic Core Equity Portfolio			SSGA MFS Systematic Growth Equity Portfolio			SSGA MFS Systematic Value Equity Portfolio			State Street Risk Aware Portfolio


$	43,504		$	22,096,356		$	44,389		$	78,886		$	32,187		$	20,821

	142			127,228			19			54			12			6

	43,646			22,223,584			44,408			78,940			32,199			20,827


	14,690			1,817,607			5,962			14,545			4,269			2,376
	155			7,576			28			63			22			23
	182			13,330			—			—			—			—

	15,027			1,838,513			5,990			14,608			4,291			2,399

$	28,619		$	20,385,071		$	38,418		$	64,332		$	27,908		$	18,428




$	(8,884	)	$	(5,006,969	)	$	372,235		$	575,632		$	100,685		$	(92,534	)

	—			—			—			—			—			—
	—			—			—			—			—			—
	—			—			—			—			—			—

	(30,669	)		(17,973,859	)		(379,731	)		(253,359	)		(206,397	)		(10,521	)


	(39,553	)		(22,980,828	)		(7,496	)		322,273			(105,712	)		(103,055	)


$	(10,934	)	$	(2,595,757	)	$	30,922		$	386,605		$	(77,804	)	$	(84,627	)

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SSGA Multi-Asset Real Return Portfolio						SSGA Income Allocation Portfolio
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	730,632		$	2,533,608		$	1,972,551		$	3,664,590
Net realized gain (loss) on investments		(11,391,358	)		(4,432,160	)		(915,455	)		544,895
Net change in unrealized appreciation (depreciation) on investments		(4,889,474	)		(23,442,541	)		(4,542,501	)		(6,320,056	)

Net increase (decrease) in net assets resulting from operations		(15,550,200	)		(25,341,093	)		(3,485,405	)		(2,110,571	)

CAPITAL TRANSACTIONS
Contributions		17,733,619			66,337,576			1,547,506			34,191,856
Withdrawals		(61,407,212	)		(63,635,938	)		(17,228,631	)		(14,962,876	)
Other capital		—			—			—			—

Net increase (decrease) in net assets from capital transactions		(43,673,593	)		2,701,638			(15,681,125	)		19,228,980

Net increase (decrease) in net assets during the period		(59,223,793	)		(22,639,455	)		(19,166,530	)		17,118,409
NET ASSETS
Net assets at beginning of period		141,995,532			164,634,987			121,148,787			104,030,378

NET ASSETS END OF PERIOD	$	82,771,739		$	141,995,532		$	101,982,257		$	121,148,787

*	Commencement of operations

See accompanying notes to financial statements.


SSGA Global Allocation Portfolio						Blackstone/GSO Senior Loan Portfolio						SSGA Ultra Short Term Bond Portfolio
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15


$	2,188,984		$	3,038,349		$	16,956,942		$	27,436,035		$	28,619		$	53,847
	1,052,369			2,763,789			(16,572,773	)		(750,613	)		(8,884	)		(4,837	)

	(9,526,394	)		(5,265,539	)		(26,617,611	)		(10,613,268	)		(30,669	)		(20,194	)


	(6,285,041	)		536,599			(26,233,442	)		16,072,154			(10,934	)		28,816


	78,157,249			72,106,656			178,665,835			123,474,946			3,997,836			6,012,275
	(23,624,163	)		(26,359,458	)		(38,997,647	)		(77,954,422	)		(6,027,236	)		(4,061,512	)
	—			—			205,472			194,062			—			3,608


	54,533,086			45,747,198			139,873,660			45,714,586			(2,029,400	)		1,954,371


	48,248,045			46,283,797			113,640,218			61,786,740			(2,040,334	)		1,983,187

	144,775,404			98,491,607			672,263,702			610,476,962			16,019,118			14,035,931

$	193,023,449		$	144,775,404		$	785,903,920		$	672,263,702		$	13,978,784		$	16,019,118

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)


	State Street DoubleLine Total Return Tactical Portfolio						SSGA MFS Systematic Core Equity Portfolio
	Six Months Ended 12/31/15 (Unaudited)			For the Period 2/23/15* - 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	20,385,071		$	4,868,673		$	38,418		$	52,825
Net realized gain (loss) on investments		(5,006,969	)		(1,029,740	)		372,235			313,500
Net change in unrealized appreciation (depreciation) on investments		(17,973,859	)		(6,667,636	)		(379,731	)		48,740

Net increase (decrease) in net assets resulting from operations		(2,595,757	)		(2,828,703	)		30,922			415,065

CAPITAL TRANSACTIONS
Contributions		1,064,344,777			749,143,987			5,860,886			—
Withdrawals		(24,295,019	)		—			(2,944,825	)		(2,852,753	)
Other capital		264,354			378,778			—			—

Net increase (decrease) in net assets from capital transactions		1,040,314,112			749,522,765			2,916,061			(2,852,753	)

Net increase (decrease) in net assets during the period		1,037,718,355			746,694,062			2,946,983			(2,437,688	)
NET ASSETS
Net assets at beginning of period		746,694,062			—			2,940,295			5,377,983

NET ASSETS END OF PERIOD	$	1,784,412,417		$	746,694,062		$	5,887,278		$	2,940,295

*	Commencement of operations

See accompanying notes to financial statements.


SSGA MFS Systematic Growth Equity Portfolio						SSGA MFS Systematic Value Equity Portfolio						State Street Risk Aware Portfolio
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Six Months Ended 12/31/15 (Unaudited)			For the Period 9/9/14* - 6/30/15


$	64,332		$	52,332		$	27,908		$	49,890		$	18,428		$	26,381
	575,632			451,931			100,685			294,237			(92,534	)		(232,469	)

	(253,359	)		35,715			(206,397	)		41,453			(10,521	)		10,899


	386,605			539,978			(77,804	)		385,580			(84,627	)		(195,189	)


	8,964,863			3,023,489			—			—			—			4,000,000
	(6,168,158	)		(2,891,074	)		(28,137	)		(2,762,295	)		(15,708	)		(1,837,777	)
	—			—			—			—			—			—


	2,796,705			132,415			(28,137	)		(2,762,295	)		(15,708	)		2,162,223


	3,183,310			672,393			(105,941	)		(2,376,715	)		(100,335	)		1,967,034

	6,044,973			5,372,580			2,909,609			5,286,324			1,967,034			—

$	9,228,283		$	6,044,973		$	2,803,668		$	2,909,609		$	1,866,699		$	1,967,034

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

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


	SSGA Multi-Asset Real Return Portfolio*
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	82,772		$	141,996		$	164,635		$	121,584		$	5,827

Ratios to average net assets:
Operating expenses		0.20	%(1)		0.20	%		0.20	%		0.20	%		0.20	%(1)
Net investment income		1.33	%(1)		1.56	%		2.01	%		2.91	%		3.84	%(1)
Portfolio turnover rate		9	%		33	%		40	%		31	%		10	%
Total return		(13.08	)%(2)		(14.80	)%		13.93	%		(1.63	)%		(3.42	)%(2)

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

**	Commencement of operations

(1)	Annualized.

(2)	Total return for periods of less than one year is not annualized.

See accompanying notes to financial statements.


SSGA Income Allocation Portfolio*															SSGA Global Allocation Portfolio*
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12

$	101,982		$	121,149		$	104,030		$	174,255		$	9,114		$	193,023		$	144,775		$	98,492		$	51,936		$	4,451


	0.20	%(1)		0.20	%		0.20	%		0.20	%		0.20	%(1)		0.20	%(1)		0.20	%		0.20	%		0.20	%		0.20	%(1)
	3.44	%(1)		3.15	%		3.89	%		4.65	%		8.39	%(1)		2.57	%(1)		2.45	%		2.76	%		3.07	%		4.34	%(1)
	27	%		64	%		63	%		80	%		15	%		31	%		98	%		89	%		123	%		25	%
	(3.06	)%(2)		(1.42	)%		13.84	%		4.39	%		0.92	%(2)		(3.49	)%(2)		0.49	%		16.80	%		9.92	%		(1.82	)%(2)

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

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


	Blackstone/GSO Senior Loan Portfolio*
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			Year Ended 6/30/14			For the Period 4/3/13** - 6/30/13
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	785,904		$	672,264		$	610,477		$	332,792

Ratios to average net assets:
Operating expenses		0.31	%(1)		0.31	%		0.30	%		0.30	%(1)
Net investment income		4.66	%(1)		4.49	%		3.63	%		2.57	%(1)
Portfolio turnover rate		34	%		65	%		77	%		4	%
Total return		(2.96	)%(2)		2.98	%		4.00	%		(0.31	)%(2)

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

**	Commencement of operations

(1)	Annualized.

(2)	Total return for periods of less than one year is not annualized.

See accompanying notes to financial statements.


SSGA Ultra Short Term Bond Portfolio*									State Street DoubleLine Total Return Tactical Portfolio*						SSGA MFS Systematic Core Equity Portfolio*
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period 10/9/13** - 6/30/14			Six Months Ended 12/31/15 (Unaudited)			For the Period 2/23/15** - 6/30/15			Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period 1/8/14** - 6/30/14

$	13,979		$	16,019		$	14,036		$	1,784,412		$	746,694		$	5,887		$	2,940		$	5,378


	0.20	%(1)		0.20	%		0.20	%(1)		0.30	%(1)		0.30	%(1)		0.30	%(1)		0.30	%		0.30	%(1)
	0.39	%(1)		0.33	%		0.34	%(1)		3.36	%(1)		3.46	%(1)		1.93	%(1)		1.72	%		1.55	%(1)
	47	%		79	%		39	%		15	%		14	%		15	%		54	%		27	%
	(0.08	)%(2)		0.21	%		0.47	%(2)		0.21	%(2)		(0.36)	%(2)		1.12	%(2)		14.00	%		7.92	%(2)

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

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


	SSGA MFS Systematic Growth Equity Portfolio*
	Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period 1/8/14** - 6/30/14
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	9,228		$	6,045		$	5,373

Ratios to average net assets:
Operating expenses		0.30	%(1)		0.30	%		0.30	%(1)
Net investment income		1.32	%(1)		1.44	%		1.46	%(1)
Portfolio turnover rate		25	%		67	%		20	%
Total return		2.49	%(2)		17.85	%		7.85	%(2)

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

**	Commencement of operations

(1)	Annualized.

(2)	Total return for periods of less than one year is not annualized.

See accompanying notes to financial statements.


SSGA MFS Systematic Value Equity Portfolio*									State Street Risk Aware Portfolio*
Six Months Ended 12/31/15 (Unaudited)			Year Ended 6/30/15			For the Period 1/8/14** - 6/30/14			Six Months Ended 12/31/15 (Unaudited)			For the Period 9/9/14** - 6/30/15

$	2,804		$	2,910		$	5,286		$	1,867		$	1,967


	0.30	%(1)		0.30	%		0.30	%(1)		0.25	%(1)		0.25	%(1)
	1.97	%(1)		1.67	%		1.73	%(1)		1.93	%(1)		1.46	%(1)
	34	%		61	%		23	%		25	%		122	%
	(2.68	)%(2)		13.79	%		6.20	%(2)		(4.31	)%(2)		(0.46	)%(2)

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 (Unaudited)

1.	Organization

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

As of December 31, 2015, the Trust offered ten (10) portfolios, each of which represents a separate series of beneficial interest in the Trust (each a “Portfolio” and collectively; the “Portfolios”). The financial statements herein relate to the following ten (10) Portfolios: SSGA Multi-Asset Real Return Portfolio, SSGA Income Allocation Portfolio, SSGA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSGA Ultra Short Term Bond Portfolio, State Street DoubleLine Total Return Tactical Portfolio, SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio, SSGA MFS Systematic Value Equity Portfolio and State Street Risk Aware Portfolio, which are each a “diversified” investment company, with the exception of SSGA Ultra Short Term Bond Portfolio and the State Street Risk Aware Portfolio, which are each a “non-diversified” investment company. Each portfolio serves as a master fund in a master feeder structure.

2.	Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).

Security Valuation

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

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

•

Equity investments (including 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.

•

Debt obligations (both governmental and non- governmental) purchased with greater than sixty days to maturity and not investment grade are valued at last reported evaluated bid prices obtained from independent pricing services or brokers. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures.

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

•

Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with the Portfolios procedures to stabilize net asset value.

•

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

In the event prices or quotations are not readily available or that application of these valuation methods results in a price for an investment which 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 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 net asset value and the prices used by the Portfolios’ underlying indices. Various inputs are used in determining the value of Portfolios’ investments. These inputs are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes.

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

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

•

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

•

Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the 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 following table summarizes the inputs used in valuing the Portfolios’ investments as of December 31, 2015:


	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
SSGA Multi-Asset Real Return Portfolio	$	85,741,693	$	—	$	—	$	85,741,693
SSGA Income Allocation Portfolio		101,599,680		—		—		101,599,680
SSGA Global Allocation Portfolio		192,786,845		—		—		192,786,845
Blackstone / GSO Senior Loan Portfolio		73,468,378		733,688,100		—		807,156,478
SSGA Ultra Short Term Bond Portfolio		126,552		13,828,193		—		13,954,745
State Street DoubleLine Total Return Tactical Portfolio		339,272,762		1,467,749,827		—		1,807,022,589
SSGA MFS Systematic Core Equity Portfolio		5,884,568		—		—		5,884,568
SSGA MFS Systematic Growth Equity Portfolio		12,207,956		—		—		12,207,956
SSGA MFS Systematic Value Equity Portfolio		2,802,031		—		—		2,802,031
State Street Risk Aware Portfolio		1,864,167		—		—		1,864,167

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

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

There were no transfers between levels for the period ended December 31, 2015.

Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes. Dividend income and capital gains distributions, if any, are recognized on the ex-dividend date. Interest income is recorded daily on an accrual basis. Non-cash dividends received in the form of stock, if any, are received as dividend income at fair value. Distributions received by a Portfolio many include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Certain Portfolios invest in Real Estate Investments Trusts (“REITS”). REITS determine the tax character of their distributions annually and may characterize a portion of their distributions as income, return of capital or capital gain. The Portfolios’ policy is to record all REIT distributions initially as dividend income and re-designate to return of capital or capital gains distributions at year end based on information provided by the REIT and management’s estimates of such re-designations for which actual information has not yet been reported. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.

Expenses

Advisory fees and other expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio. Trustees’ fees and other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolios. In addition to the these direct expenses, the Portfolios bear certain expenses indirectly, such as fees of underlying Portfolios in which the Portfolio invest that are reflected in the reported value of such Portfolios.

Foreign Currency Translation

The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates deemed appropriate pursuant to the valuation policy and procedures at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of the transactions. The Portfolios do not isolate the effect of fluctuations in foreign exchange from the effect of fluctuations in the market price of securities. Such fluctuations are reflected by the Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

Federal Income Tax

The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes. The Portfolios have reviewed the tax positions for the open tax years as of June 30, 2015, and have determined that no provision for income tax is required in the Portfolios’ Financial Statements. The Portfolios’ federal tax returns are subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Portfolios’ recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.

3.	Fees and Compensation Paid to Affiliates and other Related Party Transactions

Advisory Fee

Each Portfolio has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Portfolios, facilities furnished, and expenses borne by the Adviser, each

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Portfolio’s average daily net assets as shown in the following table:


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

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

GSO/Blackstone Debt Funds Management LLC receives fees for its services as the sub-adviser to the Blackstone/GSO Senior Loan Portfolio from the Adviser.

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

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

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

4.	Trustees’ Fees

The Trust, SSGA Active Trust, SPDR Series Trust and SPDR Index Shares Funds (together with the Trust, the “Trusts”) pay, in the aggregate, each Independent Trustee an annual fee of $200,000 plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trusts also reimburse each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

Transactions with Affiliates

Each Portfolio may invest in certain money market funds and underlying funds affiliated with the Adviser. Amounts related to investments in affiliated underlying Funds at December 31, 2015, and for the period then ended are:


SSGA Multi-Asset Real Return Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold					Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA Multi-Asset Real Return Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares			Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SPDR Barclays TIPS ETF		400,523	$	22,321,147	$	8,481,208		153,787	$	11,639,801		(210,321	)		343,989	$	18,792,119	$	25,904	$	(279,381	)
SPDR DB International Government Inflation-Protected Bond ETF		119,100		6,539,781		2,564,216		49,231		3,593,691		(68,022	)		100,309		5,058,583		4,395		(183,071	)
Energy Select Sector SPDR Fund		88,920		6,683,227		1,250,086		19,623		3,080,429		(45,523	)		63,020		3,815,861		71,954		(567,204	)
SPDR S&P Global Natural Resources ETF		938,966		39,483,520		5,332,575		156,248		17,164,502		(481,050	)		614,164		19,714,664		355,831		(6,492,166	)
SPDR S&P International Energy Sector ETF		144,816		2,802,190		352,295		22,719		1,080,121		(62,595	)		104,940		1,607,681		41,322		(336,340	)
SPDR S&P Metals & Mining ETF		25,451		619,223		215,977		11,352		246,820		(13,534	)		23,269		347,872		6,017		(91,862	)
SPDR Dow Jones International Real Estate ETF		286,691		12,000,885		1,643,528		42,123		5,780,639		(142,441	)		186,373		7,290,911		113,534		(159,902	)
SPDR Dow Jones REIT ETF		158,157		13,345,288		1,423,984		15,689		8,238,163		(91,813	)		82,033		7,516,684		167,980		701,176
State Street Institutional Liquid Reserves Fund		6,724,192		6,724,192		15,739,717		15,739,717		15,981,939		15,981,939			6,481,970		6,481,970		4,900		—


SSGA Income Allocation Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold					Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA Income Allocation Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares			Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
Consumer Discretionary Select Sector SPDR Fund		32,130	$	2,457,302	$	38,759		510	$	552,481		(7,011	)		25,629	$	2,002,906	$	17,280	$	21,244
Financial Select Sector Fund		—		—		2,494,818		99,536		2,317,748		99,536			—		—		11,142		(177,071	)
Health Care Select Sector SPDR Fund		33,002		2,455,019		204,351		2,919		505,265		(6,984	)		28,937		2,084,911		17,463		57,298
Industrial Select Sector Fund		—		—		2,275,251		42,550		2,310,370		42,550			—		—		—		35,119
SPDR S&P Dividend ETF		63,111		4,809,689		3,414,968		44,385		2,013,637		(27,161	)		80,335		5,910,246		77,094		283,361
SPDR Wells Fargo Preferred Stock ETF		138,428		6,006,391		210,585		4,801		1,232,514		(27,777	)		115,452		5,160,704		172,923		(6,470	)
Technology Select Sector SPDR Fund		57,368		2,375,035		2,193,763		50,390		2,568,582		(60,880	)		46,878		2,007,785		10,424		334,198
SPDR Barclays Convertible Securities ETF		126,174		6,002,097		275,084		5,899		964,469		(20,922	)		111,151		4,810,615		196,059		120,210
SPDR Barclays High Yield Bond ETF		521,165		20,028,371		1,493,599		41,043		4,264,948		(117,383	)		444,825		15,084,016		625,565		(295,520	)
SPDR Barclays Intermediate Term Corporate Bond ETF		72,189		2,449,373		2,235,588		65,939		528,247		(15,634	)		122,494		4,094,974		52,501		(1,034	)
SPDR Barclays Long Term Corporate Bond ETF		444,142		17,006,197		577,192		14,941		6,053,339		(159,219	)		299,864		11,268,889		371,892		(464,640	)
SPDR Barclays Long Term Treasury ETF		125,248		8,556,943		4,408,374		61,778		3,581,734		(51,974	)		135,052		9,437,434		141,917		(104,593	)
SPDR Barclays TIPS ETF		33,157		1,847,840		3,305,730		59,681		557,523		(10,115	)		82,723		4,519,158		5,858		(4,065	)
SPDR S&P Emerging Markets Dividend ETF		36,433		1,192,452		163,531		5,698		1,117,430		(42,131	)		—		—		—		(344,061	)
SPDR S&P Global Infrastructure ETF		76,611		3,573,137		397,665		8,927		2,603,434		(61,434	)		24,104		1,001,280		20,036		(132,932	)

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)


SSGA Income Allocation Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold					Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA Income Allocation Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares			Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SPDR S&P International Dividend ETF		85,886	$	3,561,692	$	448,407		11,607	$	1,379,909		(38,632	)		58,861	$	1,963,603	$	62,078	$	(383,994	)
SPDR STOXX Europe 50 ETF		136,012		4,729,137		433,375		12,778		801,203		(23,743	)		125,047		3,981,496		40,259		(10,711	)
SPDR Barclays Emerging Markets Local Bond ETF		135,253		3,662,651		237,386		9,239		3,623,848		(144,492	)		—		—		—		(745,168	)
SPDR Dow Jones International Real Estate ETF		116,337		4,869,867		1,721,705		41,961		2,220,462		(53,750	)		104,548		4,089,918		57,642		(21,380	)
SPDR Dow Jones REIT ETF		98,588		8,318,855		2,572,772		29,264		5,143,845		(57,324	)		70,528		6,462,481		132,120		312,996
State Street Institutional Liquid Reserves Fund		2,787,882		2,787,882		7,560,266		7,560,266		3,689,856		3,689,856			6,658,292		6,658,292		3,238		—


SSGA Global Allocation Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold					Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA Global Allocation Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares			Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
Consumer Discretionary Select Sector SPDR Fund		38,328	$	2,931,325	$	1,583,773		20,077	$	750,523		(9,671	)		48,734	$	3,808,562	$	29,881	$	8,874
Financial Select Sector Fund		—		—		3,648,856		146,236		3,405,503		146,236			—		—		15,785		(243,353	)
Health Care Select Sector SPDR Fund		39,379		2,929,404		1,764,127		24,629		640,676		(9,056	)		54,952		3,959,291		29,857		54,125
Industrial Select Sector SPDR Fund		—		—		3,813,105		71,142		3,648,644		67,226			3,916		207,587		1,357		45,125
SPDR S&P 500 ETF Trust		63,090		12,987,077		6,970,819		33,761		8,186,120		(40,502	)		56,349		11,488,998		124,930		293,985
Technology Select Sector SPDR Fund		68,939		2,854,075		4,350,914		100,168		3,583,323		(85,077	)		84,030		3,599,005		19,719		292,306
SPDR Barclays Aggregate Bond ETF		50,686		2,909,376		3,712,470		64,419		801,560		(13,963	)		101,142		5,770,151		63,654		(2,408	)
SPDR Barclays High Yield Bond ETF		599,493		23,038,516		11,575,459		320,080		11,928,443		(326,239	)		593,334		20,119,956		737,323		(679,077	)
SPDR Barclays Intermediate Term Corporate Bond ETF		41,866		1,420,513		784,197		23,220		222,053		(6,599	)		58,487		1,955,221		26,445		384
SPDR Barclays Intermediate Term Treasury ETF		—		—		2,127,715		35,355		200,221		3,330			32,025		1,921,820		7,386		736
SPDR Barclays Long Term Corporate Bond ETF		302,860		11,596,509		4,044,354		105,264		9,298,069		(245,426	)		162,698		6,114,191		243,689		(588,205	)
SPDR Barclays Long Term Treasury ETF		65,248		4,457,743		11,954,047		168,650		4,300,528		(62,241	)		171,657		11,995,391		125,938		(95,727	)
SPDR Barclays TIPS ETF		52,369		2,918,524		6,090,505		109,733		1,083,731		(19,701	)		142,401		7,779,367		10,101		(2,453	)
SPDR S&P Emerging Markets ETF		22,137		1,426,508		358,800		6,143		1,504,454		(28,280	)		—		—		—		(350,847	)
SPDR S&P International Small Cap ETF		143,131		4,368,358		2,429,585		83,707		641,855		(23,002	)		203,836		5,754,290		118,764		41,707
SPDR S&P World ex-US ETF		785,051		22,075,634		12,612,763		466,929		4,938,836		(188,330	)		1,063,650		27,388,987		361,931		(131,685	)
SPDR Dow Jones International Real Estate ETF		68,930		2,885,410		4,996,849		123,693		3,958,742		(96,379	)		96,244		3,765,065		47,693		(47,177	)
SPDR Dow Jones REIT ETF		117,788		9,938,951		5,635,243		63,492		8,294,458		(92,427	)		88,853		8,141,601		166,563		102,045
State Street Institutional Liquid Reserves Fund		15,054,957		15,054,957		25,991,684		25,991,684		5,955,457		5,955,457			35,091,184		35,091,184		17,921		—


Blackstone/GSO Senior Loan Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold				Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
Blackstone/GSO Senior Loan Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares		Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		11,996,420	$	11,996,420	$	282,742,050		282,742,050	$	221,270,092		221,270,092		73,468,378	$	73,468,378	$	31,396	$	—

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)


SSGA Ultra Short Term Bond Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold				Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA Ultra Short Term Bond Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares		Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		487,918	$	487,918	$	5,286,651		5,286,651	$	5,648,017		5,648,017		126,552	$	126,552	$	142	$	—

State Street DoubleLine Total Return Tactical Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold				Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street DoubleLine Total Return Tactical Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares		Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		152,859,462		152,859,462		1,002,071,358		1,002,071,358		815,658,058		815,658,058		339,272,762		339,272,762		127,228		—

SSGA MFS Systematic Core Equity Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold				Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA MFS Systematic Core Equity Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares		Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		26,105	$	26,105	$	87,200		87,200	$	72,299		72,299		41,006	$	41,006	$	19	$	—

SSGA MFS Systematic Growth Equity Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold				Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA MFS Systematic Growth Equity Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares		Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		63,671	$	63,671	$	199,143		199,143	$	181,865		181,865		80,949	$	80,949	$	54	$	—

SSGA MFS Systematic Value Equity Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold				Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
SSGA MFS Systematic Value Equity Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares		Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		27,610	$	27,610	$	60,241		60,241	$	66,320		66,320		21,531	$	21,531	$	12	$	—

State Street Risk Aware Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Purchased				Sold				Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Risk Aware Portfolio	Number of Shares Held at 6/30/15		Value At 6/30/15		Cost		Shares		Proceeds		Shares		Number of Shares Held at 12/31/15		Value at 12/31/15		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		9,120	$	9,120	$	32,714		32,714	$	35,042		35,042		6,792	$	6,792	$	6	$	—

5.	Aggregate Unrealized Appreciation and Depreciation

As of December 31, 2015, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
SSGA Multi-Asset Real Return Portfolio	$	108,549,079	$	850,186	$	(23,657,572	)	$	(22,807,386	)
SSGA Income Allocation Portfolio		107,210,726		1,621,134		(7,232,180	)		(5,611,046	)
SSGA Global Allocation Portfolio		201,163,082		1,985,200		(10,361,437	)		(8,376,237	)
Blackstone / GSO Senior Loan Portfolio		842,770,383		897,381		(36,511,286	)		(35,613,905	)
SSGA Ultra Short Term Bond Portfolio		13,995,129		1,023		(41,406	)		(40,384	)
State Street DoubleLine Total Return Tactical Portfolio		1,831,664,084		2,296,811		(26,938,306	)		(24,641,495	)
SSGA MFS Systematic Core Equity Portfolio		5,925,164		110,396		(150,992	)		(40,596	)
SSGA MFS Systematic Growth Equity Portfolio		12,081,597		525,973		(399,614	)		126,359
SSGA MFS Systematic Value Equity Portfolio		2,704,755		277,100		(179,824	)		97,276
State Street Risk Aware Portfolio		1,863,789		126,864		(126,486	)		378

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

6.	Investment Transactions

For the period ended December 31, 2015, the Portfolios had purchases and sales of investment securities as follows:


	SSGA Multi-Asset Real Return Portfolio		SSGA Income Allocation Portfolio		SSGA Global Allocation Portfolio		Blackstone/ GSO Senior Loan Portfolio		SSGA Ultra Short Term Bond Portfolio		State Street DoubleLine Total Return Tactical Portfolio		SSGA MFS Systematic Core Equity Portfolio		SSGA MFS Systematic Growth Equity Portfolio		SPDR MFS Systematic Value Equity Portfolio		State Street Risk Aware Portfolio
Purchases
Long Term	$	9,787,640	$	29,632,203	$	44,844,202	$	341,330,523	$	5,399,239	$	984,529,028	$	622,436	$	2,338,528	$	964,917	$	470,909

Sales
Long Term	$	12,919,674	$	33,258,514	$	54,530,167	$	239,276,551	$	7,286,237	$	157,272,138	$	619,072	$	2,328,365	$	958,055	$	467,408

For the period ended December 31, 2015, the Portfolios had purchases and sales of U.S. Government obligations as follows:


	SSGA Ultra Short Term Bond Portfolio
Purchases
Long Term	$	1,020,436

Sales
Long Term	$	1,276,205

For the period ended December 31, 2015, the Trust did not pay any commissions to an affiliate of the Adviser for investment transactions.

7.	Line of Credit

Effective October 15, 2015, Blackstone/GSO Senior Loan Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) share in a $360 million revolving credit facility provided by a syndication of banks. Blackstone/GSO Senior Loan Portfolio has exclusive access to $100 million of the total credit facility. The Participants may borrow for the purpose of meeting shareholder redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Blackstone/GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees on the shared credit line are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses and are 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 the Federal Funds Rate plus 1%. Blackstone/GSO Senior Loan Portfolio may borrow up to a maximum of 25 percent of its assets or a lower amount as set forth in the Portfolio’s prospectus. Blackstone/GSO Senior Loan Portfolio had no outstanding loans during the six months ended December 31, 2015.

Risks

Although the Portfolios do not intend to concentrate their investments in any particular industry, if a Portfolio concentrates in a single industry, group of industries or type of instrument, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry, group of industries or type of instrument. The Trust invests in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.

SSGA Multi-Asset Real Return Portfolio, SSGA Income Allocation Portfolio and SSGA Global Allocation Portfolio invest their assets in other exchange-traded products (referred to as “underlying funds). The underlying funds, in turn, may engage in a number of investment techniques and practices, which involve certain risks. Certain underlying funds invest their portfolios in debt securities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

Certain underlying funds invest their portfolios in foreign securities including emerging markets. Foreign investments involve certain risks that are greater than those associated with investments in securities of U.S. issuers. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in securities issued by entities based outside the United States pose distinct risks since political and economic events unique to a country or region will affect those markets and their issuers. Investment in emerging markets involves greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. Certain underlying funds invest their portfolios in commodities markets. Commodities are subject to substantial price fluctuations over short periods of time and may be affected by unpredictable economic, political and environmental events. Factors that may significantly affect the prices of commodities include, but are not limited to: global supply and demand; domestic and international interest rates and investors’ expectations of interest rates; inflation rates and investors’ expectations of inflation rates; the investment and trading activities of commodity futures contracts; political, economic, or financial events, both globally and regionally.

The Blackstone/GSO Senior Loan Portfolio and DoubleLine Total Return Tactical Portfolio invest their assets in senior loans. Investments in senior loans are subject to credit risks which may include delay in receiving payments of principal and interest paid by the borrower to the agent or by the agent to the lender or offsets against payments received from the borrower.

SSGA Ultra Short Term Bond Portfolio invests primarily in investment grade debt securities with varying maturities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.

SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio, SSGA MFS Systematic Value Equity Portfolio and State Street Risk Aware Portfolio invest in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.

An investment in a Portfolio involves risks similar to those of investing in any fund, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in security prices. The values of securities could decline generally or could underperform other investments. Different types of securities tend to go through cycles of out-performance and underperformance in comparison to the general securities market. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.

9.	Subsequent Events

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

SSGA MASTER TRUST

OTHER INFORMATION

December 31, 2015 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Portfolios’ investment adviser to vote proxies relating to the Portfolios’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolios’ website at www.spdrs.com.

Quarterly Portfolio Schedule

The Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Portfolios’ website at www.spdrs.com.

The SPDR^® Family of Exchange Traded Funds

SPDR Series Trust

SPDR Russell 3000^® ETF (THRK)

SPDR Russell 1000^® ETF (ONEK)

SPDR Russell 2000^® ETF (TWOK)

SPDR Russell 1000 Yield Focus ETF (ONEY)

SPDR Russell 1000 Momentum Focus ETF (ONEO)

SPDR Russell 1000 Low Volatility Focus ETF (ONEV)

SPDR S&P 500 Buyback ETF (SPYB)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR S&P 500 High Dividend ETF (SPYD)

SPDR S&P 500 Fossil Fuel Free ETF (SPYX)

SPDR Russell Small Cap Completeness ETF (RSCO)

SPDR S&P 400 Mid Cap Growth ETF (MDYG)

SPDR S&P 400 Mid Cap Value ETF (MDYV)

SPDR S&P 600 Small Cap ETF (SLY)

SPDR S&P 600 Small Cap Growth ETF (SLYG)

SPDR S&P 600 Small Cap Value ETF (SLYV)

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

SPDR S&P Oil & Gas Equipment & Services ETF (XES)

SPDR S&P Oil & Gas Exploration & Production ETF (XOP)

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR S&P 1500 Value Tilt ETF (VLU)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR Russell 1000 Low Volatility ETF (LGLV)

SPDR Russell 2000 Low Volatility ETF (SMLV)

SPDR MSCI USA Quality Mix ETF (QUS)

SPDR Wells Fargo Preferred Stock ETF (PSK)

SPDR Barclays 1-3 Month T-Bill ETF (BIL)

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays 0-5 Year TIPS ETF (SIPE)

SPDR Barclays 1-10 Year TIPS ETF (TIPX)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SPDR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (BNDS)

SPDR Nuveen Barclays Municipal Bond ETF (TFI)

SPDR Nuveen Barclays California Municipal Bond ETF (CXA)

SPDR Nuveen Barclays New York Municipal Bond ETF (INY)

SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)

SPDR Nuveen S&P High Yield Municipal Bond ETF (HYMB)

SPDR Nuveen Barclays Build America Bond ETF (BABS)

SPDR DB International Government Inflation-Protected Bond ETF (WIP)

SPDR Barclays Short Term International Treasury Bond ETF (BWZ)

SPDR Barclays International Treasury Bond ETF (BWX)

SPDR Barclays International Corporate Bond ETF (IBND)

SPDR Barclays Emerging Markets Local Bond ETF (EBND)

SPDR Barclays International High Yield Bond ETF (IJNK)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF (EMCD)

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (CJNK)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR EURO STOXX Small Cap (SMEZ)

SPDR EURO STOXX 50 Currency Hedged ETF (HFEZ)

SPDR S&P International Dividend Currency Hedged ETF (HDWX)

SPDR MSCI International Real Estate Currency Hedged ETF (HREX)

SPDR S&P Emerging Asia Pacific ETF (GMF)

SPDR S&P Russia ETF (RBL)

SPDR S&P China ETF (GXC)

SPDR MSCI China A Shares IMI ETF (XINA)

SPDR S&P Emerging Markets ETF (GMM)

SPDR S&P Emerging Markets Dividend ETF (EDIV)

SPDR S&P BRIC 40 ETF (BIK)

SPDR S&P Emerging Europe ETF (GUR)

SPDR S&P Emerging Latin America ETF (GML)

SPDR S&P Emerging Middle East & Africa ETF (GAF)

SPDR S&P North American Natural Resources ETF (NANR)

SPDR S&P World ex-US ETF (GWL)

SPDR S&P International Small Cap ETF (GWX)

SPDR Dow Jones International Real Estate ETF (RWX)

SPDR S&P Global Infrastructure ETF (GII)

SPDR S&P Global Natural Resources ETF (GNR)

SPDR MSCI ACWI ex-US ETF (CWI)

SPDR MSCI ACWI IMI ETF (ACIM)

SPDR MSCI ACWI Low Carbon Target ETF (LOWC)

SPDR MSCI EM 50 ETF (EMFT)

SPDR MSCI EM Beyond BRIC ETF (EMBB)

SPDR MSCI EAFE Quality Mix ETF (QEFA)

SPDR MSCI Emerging Markets Quality Mix ETF (QEMM)

SPDR MSCI World Quality Mix ETF (QWLD)

SPDR MSCI Australia Quality Mix ETF (QAUS)

SPDR MSCI Canada Quality Mix ETF (QCAN)

SPDR MSCI Germany Quality Mix ETF (QDEU)

SPDR MSCI Japan Quality Mix ETF (QJPN)

SPDR MSCI Mexico Quality Mix ETF (QMEX)

SPDR MSCI South Korea Quality Mix ETF (QKOR)

SPDR MSCI Spain Quality Mix ETF (QESP)

SPDR MSCI Taiwan Quality Mix ETF (QTWN)

SPDR MSCI United Kingdom Quality Mix ETF (QGBR)

SPDR Russell/Nomura PRIME^TMJapan ETF (JPP)

SPDR Russell/Nomura Small Cap^TMJapan ETF (JSC)

SPDR S&P Global Dividend ETF (WDIV)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

SPDR S&P Emerging Markets Small Cap ETF (EWX)

SPDR Dow Jones Global Real Estate ETF (RWO)

SPDR S&P International Consumer Discretionary Sector ETF (IPD)

SPDR S&P International Consumer Staples Sector ETF (IPS)

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

SPDR S&P International Health Care Sector ETF (IRY)

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The Financial Services Select Sector SPDR Fund (XLFS)

The Health Care Select Sector SPDR Fund (XLV)

The Industrial Select Sector SPDR Fund (XLI)

The Materials Select Sector SPDR Fund (XLB)

The Real Estate Select Sector SPDR Fund (XLRE)

The Technology Select Sector SPDR Fund (XLK)

The Utilities Select Sector SPDR Fund (XLU)

SSGA Active Trust

SPDR SSGA Multi-Asset Real Return ETF (RLY)

SPDR SSGA Income Allocation ETF (INKM)

SPDR SSGA Global Allocation ETF (GAL)

SPDR Blackstone/GSO Senior Loan ETF (SRLN)

SPDR SSGA Ultra Short Term Bond ETF (ULST)

SPDR DoubleLine Total Return Tactical ETF (TOTL)

State Street Clarion Global Infrastructure& MLP Portfolio (SSIDX)

SPDR MFS Systematic Core Equity ETF (SYE)

SPDR MFS Systematic Growth Equity ETF (SYG)

SPDR MFS Systematic Value Equity ETF (SYV)

SPDR SSGA Risk Aware ETF (RORO)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

SSGA Master Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Ann Carpenter, Vice President and Deputy Treasurer

Michael P. Riley, Vice President

Bruce Rosenberg, Treasurer

Chad C. Hallett, Deputy Treasurer

Daniel Foley, Assistant Treasurer

Sujata Upreti, Assistant Treasurer

Christopher A. Madden, Secretary

Patricia A. Morisette, Assistant Secretary

Brian Harris, Chief Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

2020 K Street, NW

Washington, DC 20006

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

For more complete information, please call 866.787.2257 or

visit www.spdrs.com today.

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

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

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

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

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

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

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

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

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

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

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

Not FDIC Insured. No Bank Guarantee. May Lose Value

State Street Global Advisors

SPDRACTSAR IBG-18490

Semi-Annual Report

31 December 2015

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

LOGO

TABLE OF CONTENTS


Portfolio Summary			3
Schedule of Investments			4
Financial Statements			6
Financial Highlights			9
Notes to Financial Statements			10
Other Information			16

LOGO

STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP PORTFOLIO —

PERFORMANCE SUMMARY

The following performance chart of the Fund’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 Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (1/20/15, 1/21/15, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

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. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for State Street Clarion Global Infrastructure & MLP Portfolio as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 is 0.00%.

PERFORMANCE AS OF DECEMBER 31, 2015

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET
VALUE

PRIMARY
BENCHMARK:

MSCI ACWI
IMI INDEX

SECONDARY
BENCHMARK:

STATE STREET

CLARION GLOBAL
INFRASTRUCTURE &
MLP COMPOSITE

INDEX

NET ASSET
VALUE

PRIMARY
BENCHMARK:

MSCI ACWI
IMI INDEX

SECONDARY
BENCHMARK:

STATE STREET

CLARION GLOBAL
INFRASTRUCTURE &
MLP COMPOSITE

INDEX

SIX MONTHS

–5.79%

–5.16%

–7.62%

N/A

SINCE INCEPTION (1)

–4.85%

-0.88%

–10.52%

N/A

(1)

For the period January 20, 2015 to December 31, 2015.

LOGO

STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP PORTFOLIO —

PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

LOGO

Past performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

LOGO

STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP PORTFOLIO —

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015



DESCRIPTION	CROWN CASTLE INTERNATIONAL CORP.	TRANSURBAN GROUP	EAST JAPAN RAILWAY CO.	CENTRAL JAPAN RAILWAY CO.	NATIONAL GRID PLC
% OF NET ASSETS	4.9	4.8	4.7	3.7	3.7

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

INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*


INDUSTRY	% OF NET ASSETS
Electric Utilities		18.3	%
Oil, Gas & Consumable Fuels		17.7
Multi-Utilities		16.4
Transportation Infrastructure		13.0
Road & Rail		12.7
Real Estate Investment Trusts (REITs)		7.1
Construction & Engineering		5.9
Independent Power Producers & Energy Traders		2.0
Water Utilities		1.8
Gas Utilities		1.6
Communications Equipment		1.2
Industrial Conglomerates		0.8
Short-Term Investments		1.7
Liabilities in Excess of Other Assets		(0.2	)
TOTAL		100.0	%

The Portfolio’s industry breakdown is expressed as a percentage of total common stock and may change over time.

State Street Clarion Global Infrastructure & MLP Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2015 (Unaudited)


Security Description	Shares		Value

COMMON STOCKS — 98.5%
AUSTRALIA — 5.0%
Transurban Group Stapled Security (a) (b)		93,689	$	709,038
Transurban Group (a) (b) (c)		5,205		39,649

				748,687

CANADA — 2.3%
Pembina Pipeline Corp.		8,100		175,808
Veresen, Inc.		26,100		166,472

				342,280

CHINA — 1.8%
Beijing Enterprises Holdings, Ltd. (b)		19,000		114,536
COSCO Pacific, Ltd. (b)		132,700		145,866

				260,402

FRANCE — 6.3%
Aeroports de Paris (b)		1,653		192,278
Suez Environnement Co. (b)		11,169		208,811
Vinci SA (b)		8,332		533,816

				934,905

ITALY — 3.6%
Atlantia SpA (b)		5,041		133,321
Ei Towers SpA (b)		2,847		183,354
Enel SpA (b)		52,206		218,825

				535,500

JAPAN — 8.5%
Central Japan Railway Co. (b)		3,100		549,897
East Japan Railway Co. (b)		7,500		705,657

				1,255,554

MEXICO — 1.1%
Grupo Aeroportuario del Sureste SAB de CV Class B		11,370		160,558

SPAIN — 8.2%
Abertis Infraestructuras SA (b)		23,414		366,029
Enagas SA (b)		8,386		236,454
Ferrovial SA (b)		14,956		338,063
Red Electrica Corp. SA (b)		3,362		280,710

				1,221,256

SWITZERLAND — 1.3%
Flughafen Zuerich AG (b)		250		187,690

UNITED KINGDOM — 4.6%
National Grid PLC (b)		39,798		548,765
United Utilities Group PLC (b)		9,403		129,447

				678,212

UNITED STATES — 55.8%
American Electric Power Co., Inc.		4,300		250,561
American Tower Corp. REIT		3,300		319,935
Avangrid, Inc. (c)		3,300		126,720
Boardwalk Pipeline Partners L.P.		8,700		112,926
California Water Service Group		5,600		130,312
Crown Castle International Corp. REIT		8,335		720,561
Dominion Midstream Partners L.P. (c)		5,400		165,564
Dominion Resources, Inc.		5,968		403,675
DTE Energy Co.		5,784		463,819
Edison International		5,509		326,188
Energy Transfer Partners L.P.		8,229		277,564

Enterprise Products Partners L.P.		13,400		342,772
EQT Midstream Partners L.P.		3,960		298,822
Eversource Energy		5,062		258,516
Exelon Corp.		15,898		441,487
Genesis Energy L.P.		3,000		110,220
ITC Holdings Corp.		5,300		208,025
Magellan Midstream Partners L.P.		3,100		210,552
NextEra Energy Partners L.P.		5,100		152,235
NextEra Energy, Inc.		4,310		447,766
NiSource, Inc.		13,319		259,854
Norfolk Southern Corp.		3,800		321,442
NRG Yield, Inc. Class A		11,100		154,401
PG&E Corp.		5,900		313,821
PPL Corp.		4,500		153,585
Sempra Energy		2,505		235,495
Sunoco Logistics Partners L.P.		8,571		220,275
Tesoro Logistics L.P.		2,600		130,832
Union Pacific Corp.		3,694		288,871
Valero Energy Partners L.P.		1,800		92,898
Williams Cos., Inc.		8,000		205,600
Williams Partners L.P.		4,100		114,186

				8,259,480

TOTAL COMMON STOCKS (Cost $15,304,548)				14,584,524

SHORT-TERM INVESTMENT — 1.7%
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (d) (e) (Cost $257,047)		257,047		257,047

TOTAL INVESTMENTS (f) — 100.2% (Cost $15,561,595)				14,841,571
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%				(33,348	)

NET ASSETS — 100.0%			$	14,808,223

(a)	Reflects separate holdings of the issuer’s common stock traded on different securities exchanges.

(b)

Security is fair valued at year end by applying factors provided by independent third party in accordance with Fund’s valuation policy and procedures. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.Total market value of such securities represent 5,782,557 and 39.1% of net assets of the Fund at December 31, 2015.

(c)	Non-income producing security.

(d)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3).

(e)	The rate shown is the annualized seven-day yield at December 31, 2015.

(f)	Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.

See accompanying notes to financial statements.

State Street Clarion Global Infrastructure & MLP Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2015 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Other Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
INVESTMENTS:
Common Stocks	$	8,762,318	$	5,822,206	$	—	$	14,584,524
Short-Term Investment		257,047		—		—		257,047

TOTAL INVESTMENTS	$	9,019,365	$	5,822,206	$	—	$	14,841,571

See accompanying notes to financial statements.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2015 (Unaudited)


ASSETS
Investments in securities of unaffiliated issuers, at value	$	14,584,524
Investments in securities of affiliated issuers, at value		257,047

Total Investments		14,841,571
Foreign currency, at value		22,763
Dividends receivable from unaffiliated issuers (Note 3)		34,815
Dividends receivable from affiliated funds (Note 3)		40
Receivable for foreign taxes recoverable		8,347
Receivable from Adviser (Note 3)		33,340

TOTAL ASSETS		14,940,876

LIABILITIES
Payable for investments purchased		87,957
Payable for fund shares repurchased		11,201
Advisory fees payable (Note 3)		33,340
Trustees’ fees payable		155

TOTAL LIABILITIES		132,653

NET ASSETS	$	14,808,223

NET ASSETS CONSIST OF:
Paid-in capital	$	16,456,615
Distributions in excess of net investment income		(5,693	)
Accumulated net realized loss		(922,215	)
Net unrealized appreciation (depreciation) on:
Investments in securities of unaffiliated issuers		(720,024	)
Foreign currency transactions		(460	)

NET ASSETS	$	14,808,223

NET ASSETS	$	14,808,223
Shares of beneficial interest outstanding		1,652,756

Net asset value, and redemption price per share	$	8.96

Investments in securities of unaffiliated issuers, at cost		15,304,548
Investments in securities of affiliated issuers, at cost		257,047

Total cost of investments	$	15,561,595

Foreign currency, at cost	$	22,817

See accompanying notes to financial statements.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

STATEMENTS OF OPERATIONS

Six Months Ended December 31, 2015 (Unaudited)


INCOME
Dividend income from unaffiliated issuers	$	318,165
Interest income on securities of affiliated issuers (Note 2)		149
Return of capital on dividends		(49,137	)
Foreign taxes withheld		(9,747	)

		259,430

EXPENSES
Advisory fees (Note 3)		23,056
Trustees’ fees and expenses (Note 3)		136
Miscellaneous expenses		337

TOTAL EXPENSES		23,529

Less: Expenses waived/reimbursed by the Adviser (Note 3)		(23,056	)

Net expenses		473

NET INVESTMENT INCOME	$	258,957

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments in securities of unaffiliated issuers (Note 3)		(926,024	)
Foreign currency transactions		(4,677	)
Change in unrealized appreciation (depreciation) on:
Investments in securities of unaffiliated issuers		(243,050	)
Foreign currency transactions		(505	)

NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS		(1,174,256	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(915,299	)

See accompanying notes to financial statements.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

STATEMENTS OF CHANGES IN NET ASSETS


	For the Six Months Ended December 31, 2015 (Unaudited)			For the Period 1/21/15* to 6/30/15
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM:
OPERATIONS:
Net investment income	$	258,957		$	213,493
Net realized gain (loss) on investments and foreign currency transactions		(930,701	)		415,237
Change in net unrealized appreciation/depreciation on investments and foreign currency transactions		(243,555	)		(476,929	)

Net increase (decrease) in net assets from operations		(915,299	)		151,801

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(291,027	)		(180,817	)
Net realized gain on investments		(413,050	)		—

Total distributions to shareholders		(704,077	)		(180,817	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
In-kind transfer from CBRE Clarion Global Infrastructure Fund, LP		—			11,569,962
Contribution from SSGA FM (Note 1)		—			4,000,100
Proceeds from shares sold		128,989			348,304
Reinvestment of distributions		704,077			180,817
Cost of redemptions		(316,412	)		(159,222	)

Net increase in net assets from beneficial interest transactions		516,654			15,939,961

Net Increase (Decrease) in Net Assets		(1,102,722	)		15,910,945
NET ASSETS
Beginning of period		15,910,945			—

End of period	$	14,808,223		$	15,910,945

Undistributed (distributions in excess of) net investment income	$	(5,693	)	$	86,937

SHARES OF BENEFICIAL INTEREST:
In-kind transfer from CBRE Clarion Global Listed Infrastructure Fund, LP		—			1,176,596
Shares sold		13,822			414,875
Reinvestment of distributions		80,052			17,385
Shares redeemed		(34,599	)		(15,375	)

Net increase in shares		59,275			1,593,481

*	Commencement of operations

See accompanying notes to financial statements.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below:


	Six Months Ended 12/31/15 (Unaudited)			Period From 1/21/15* to 6/30/15
Per Share Operating Performance:
Net Asset Value, Beginning of Period	$	9.99		$	10.00

Income (loss) from investment operations:
Net investment income (a)		0.16			0.14
Net realized and unrealized gain (loss) on investments		(0.42	)		(0.04	)

Total from investment operations		(0.26	)		0.10

Less Distributions From:
Net investment income		(0.18	)		(0.11	)
Net realized gain		(0.59	)		0.00

Total distributions		(0.77	)		(0.11	)

Net decrease in net assets		(1.03	)		(0.01	)

Net Asset Value, End of Period	$	8.96		$	9.99

Total Return (b)		(5.79	)%		1.00	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	14,808		$	15,911
Ratios to average net assets:
Expenses before waiver and payments by affiliates		0.31	%(c)		0.30	%(c)
Expenses net of waiver and payments by affiliates		0.01	%(c)		0.00	%(c)(d)
Net investment income		3.37	%(c)		2.97	%(c)
Portfolio turnover rate		54	%		37	%

*	Commencement of operations

(a)	Net investment income per share is calculated using the average shares method.

(b)

Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. Results represent past performance and are not indicative of future results.

(c)	Annualized.

(d)	Less than 0.005%

See accompanying notes to financial statements.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 (Unaudited)

1.	Organization

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

As of December 31, 2015, the Trust offered eleven (11) funds, 10 feeders and 1 master portfolio. The financial statements herein relate to the State Street Clarion Global Infrastructure & MLP Portfolio (the “Portfolio”), a separate non-diversified series of the Active Trust. The Portfolio operates as the master portfolio in a master feeder structure.

The investment objective of the Portfolio is to provide long-term total return. The Portfolio invests in infrastructure companies located worldwide including infrastructure companies organized as Master Limited Partnerships (“MLPs”). SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) serves as the investment adviser and CBRE Clarion Securities LLC serves as the subadviser.

The Portfolio commenced operations on January 21, 2015, after it acquired the net assets of the CBRE Clarion Global Listed Infrastructure Fund, LP (the “Partnership”), in exchange for Fund shares. The Partnership commenced operations on March 1, 2012. The acquisition of net assets of the Partnership was accomplished by an in-kind transfer of all of the Partnership’s net assets amounting to $11,569,962 and a cash transfer of $196,000 by the Partnership in exchange for 1,176,596 shares of Portfolio’s Feeder Fund namely State Street Clarion Global Infrastructure & MLP Fund. The Partnership elected to make a deemed sale election pursuant to the subscription agreement. SSGA FM contributed initial capital of $4,000,100 to the Portfolio’s feeder Fund in exchange for Feeder shares. The feeder fund substantially invested all of its assets into the MLP Portfolio as part of commencement of its operations. Immediately prior to the acquisition, the Portfolio did not have any assets or liabilities nor operations or investment activities.

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 accounting principles generally accepted in the United States of America (“U.S. GAAP”) which 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 in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Security Valuation

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

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

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

•

In the event prices or quotations are not readily available or that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with 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 net asset value and the prices used by the Portfolio’s underlying index, which in turn could result in a difference between the Portfolio’s performance and the performance of the Portfolio’s underlying index. Various inputs are used in determining the value of Portfolio’s investments. These inputs are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes. The Portfolio values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

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

•

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

•

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Portfolio had no transfers between levels for the period ended December 31, 2015.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Interest income, if any, is recorded daily on an accrual basis. Dividend income and capital gain distributions received, if any, are recognized on the ex-dividend dates, net of any foreign taxes withheld at the source. 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 SSGA FM. Such amounts are recorded as a reduction of the cost of investments or reclassified as capital gains. Realized gains and losses from investment transactions are determined using identified cost method.

Distributions received from the Portfolio’s investments in master limited partnerships or limited liability companies that have economic characteristics substantially similar to master limited partnerships (collectively, “MLPs”) generally are

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

comprised of ordinary income and return of capital from the MLPs. The Portfolio allocates distributions between income and return of capital based on estimates made at the time such distributions are received. Such estimates are based on information provided by each MLP and other industry sources. These estimates may subsequently be revised based on actual allocations received from MLPs after their tax reporting periods are concluded, as the actual character of these distributions is not known until after the fiscal year end of the Portfolio. For the period ended December 31, 2015, the Portfolio estimated the allocation of investment income and return of capital for the distributions received from MLPs within the Statement of Operations.

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 deemed appropriate pursuant to the valuation policy at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of transactions. The Portfolio does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities. Such fluctuations are reflected by the Portfolio as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

Foreign Taxes

The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with 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 its statements of operations as follows: foreign taxes withheld at source are presented as a reduction of income, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred and foreign taxes recoverable as of December 31, 2015, if any, are disclosed in the Portfolio’s statements of assets and liabilities.

Expenses

Advisory fees and other expenses, which are directly identifiable to the Portfolio, are applied to the Portfolio. Trustees’ fees and other expenses which cannot be attributed directly to the 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.

Federal Income Tax

The Portfolio has qualified and intends to continue to qualify for and elect treatment as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, 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. In addition, by distributing during each calendar year substantially all of net investment income and capital gains, if any, the Portfolio will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.


Paid-In Capital	Accumulated Gain (Loss)		Undistributed Net Investment Income (Loss)
$—	$	6,299	$	(6,299	)

These book-tax differences are primarily due to differing treatments for foreign currencies, return of capital securities and losses deferred due to wash sales.

For the period ended June 30, 2015, there were no significant differences between the book basis and the tax basis character of distributions to shareholders.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

The tax character of distributions paid during the period ended June 30, 2015 was as follows:


Ordinary Income	Long-Term Capital Gains		Tax Return of Capital
$180,817	$	—	$	—

For the period ended June 30, 2015, there were no significant differences between the book basis and the tax basis of components of net assets other than differences in the net unrealized appreciation (depreciation) in the value of investments attributable to the tax deferral of losses on wash sales and the deferral of post-October losses.

As of June 30, 2015, the components of distributable earnings on a tax basis were as follows:


Undistributed Ordinary Income	Undistributed Long-Term Capital Gains		Net Unrealized Appreciation (Depreciation)
$439,427	$	—	$	(468,443	)

As a limited partner in the MLPs, the Portfolio reports its allocable share of the MLP’s taxable income in computing its own taxable income. The distributions paid by the MLPs generally do not constitute income for tax purposes. Each MLP may allocate losses to the Portfolio which are generally not deductible in computing the Portfolio’s taxable income until such time as that particular MLP either generates income to offset those losses or the Portfolio disposes of units in that MLP. This may result in the Portfolio’s taxable income being substantially different than its book income in any given year. As a result, the Portfolio may have insufficient taxable income to support its distributions paid resulting in a return of capital to shareholders. A return of capital distribution is generally not treated as taxable income to shareholders and instead reduces a shareholder’s basis in their shares of the Portfolio.

SSGA FM has analyzed the Portfolio’s tax positions it will take on its income tax returns and has concluded that as of June 30, 2015, no provision for income tax is required in the Portfolio’s financial statements. The Portfolio’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

Dividends and Distributions

Dividends from net investment income, if any, are generally declared and paid quarterly. Distributions of net realized capital gains, if any, are generally declared and paid at least annually, unless otherwise required to be compliant with applicable tax regulations. The Portfolio currently intends to pay distributions out of its distributable cash flow, which generally consists of cash and paid-in-kind distributions from MLPs or their affiliates, dividends from common stocks and income from other investments held by the Portfolio less current or accrued operating expenses of the Portfolio, including taxes on Portfolio taxable income. Dividends and distributions paid by the Portfolio are recorded on the ex-dividend dates. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. GAAP.

3.	Fees and Compensation Paid to Affiliates and Other Related Party Transactions

Advisory Fee

The Trust, on behalf of the Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Portfolio, the Adviser is paid a management fee by the Portfolio at an annual rate of 0.30% of its average daily net assets. The Adviser is contractually obligated until April 30, 2016 to waive its management fee and/or to reimburse the Portfolio for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, and distribution, shareholder servicing, and sub-transfer agency expenses) exceed 1.05% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Portfolio’s Board of Trustees.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

The Adviser pays all operating expenses of the Portfolio other than management fee, distribution fee pursuant to the Portfolio’s Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, and other extraordinary expenses.

SSGA FM serves as Administrator and State Street Bank and Trust Company (“State Street”) serves as Sub-Administrator. State Street, an affiliate of the Adviser, receives fees for its services as Custodian, Sub-Administrator and Transfer Agent from the Adviser. CBRE Clarion Securities LLC serves as the subadviser for the Portfolio.

Trustees’ Fees

The Trust, SSGA Master Trust, SPDR Series Trust and SPDR Index Shares Funds (together with the Trust, the “Trusts”) pay, in the aggregate, each Independent Trustee an annual fee of $185,000 (effective July 1, 2015, the annual fee is $200,000) plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trust also reimburses each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Independent Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.

Transactions with Affiliates

The Portfolio may invest in certain money market funds affiliated with the Adviser. Amounts related to investments in affiliated underlying Portfolio at December 31, 2015, and for the period then ended are:

State Street Clarion Global

Infrastructure & MLP Portfolio

Value at
6/30/15

Shares
Purchased

Shares
Sold

Value at
12/31/15

Income

Realized
Gain/(Loss)

State Street Institutional Liquid Reserves Fund, Premier Class

284,165

3,553,157

3,580,275

257,047

149

4.	Aggregate Unrealized Appreciation and Depreciation

As of December 31, 2015, gross unrealized appreciation and gross unrealized depreciation 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 Clarion Global Infrastructure & MLP Portfolio	$	15,610,732	$	466,432	$	(1,235,593	)	$	(769,161	)

5.	Investment Transactions

For the period ended December 31, 2015, the Portfolio had purchases and sales of investments (excluding in-kind transactions and short-term investments) that aggregated to $14,504,070 and $14,132,776, respectively.

6.	Concentration of Ownership

From time to time, the Portfolio may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Portfolio. As of December 31, 2015, based on management’s evaluation of the shareholder account base, the Portfolio had accounts representing controlling ownership of more than 5% of the Portfolio’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


Fund	Number of 5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership			Percentage of Affiliated Ownership			Total Percentage of Ownership
State Street Clarion Global Infrastructure & MLP Fund		0		0	%		100	%		100	%

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2015 (Unaudited)

7.	Concentration of Risk

The Portfolio concentrates its investments in the infrastructure sector. Because the Portfolio concentrates its investments in infrastructure-related securities, the Portfolio has greater exposure to adverse economic, regulatory, political, legal, and other conditions or events affecting the issuers of such securities. Additionally, infrastructure-related entities may be subject to regulation by various governmental authorities and may also be affected by governmental regulation of rates charged to customers, service interruption and or legal challenges due to environmental, operational or other conditions or events and the imposition of special tariffs and changes in tax laws, regulatory policies and accounting standards.

8.	Subsequent Events

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

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

OTHER INFORMATION

December 31, 2015 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. 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 July 1, 2015 to December 31, 2015.

Actual Expenses

Hypothetical Example for Comparison Purposes

The second table below also provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The Portfolio charges transaction fees at scheduled amounts ranging from $50 to $1,350 per Creation Unit to those persons creating or redeeming Creation Units. If you buy or sell the Portfolio’s shares in the secondary market, you will incur customary brokerage commissions and charges.

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 creation and redemption fees, or brokerage charges. Therefore, the second 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.


	Annualized Expense Ratio			Beginning Account Value 7/1/15		Ending Account Value 12/31/15		Expenses Paid During Period* 7/1/15 to 12/31/15
Actual		0.01	%	$	1,000	$	942.10	$	0.05
Hypothetical (assuming a 5% return before expenses)		0.01	%	$	1,000	$	1,025.09	$	0.05

*	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by the number of days in the most recent six month period, and then divided by 366.

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 of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolio’s website at www.ssgafunds.com.

SSGA Active Trust

State Street Clarion Global Infrastructure & MLP Portfolio

OTHER INFORMATION (continued)

December 31, 2015 (Unaudited)

Quarterly Portfolio Schedule

The Portfolio files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Portfolio’s website at www.ssgafunds.com.

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Ann Carpenter, Vice President and Deputy Treasurer

Michael P. Riley, Vice President

Bruce S. Rosenberg, Treasurer

Chad C. Hallett, Deputy Treasurer

Dan Foley, Assistant Treasurer

Sujata Upreti, Assistant Treasurer

Christopher A. Madden, Secretary

Patricia A. Morisette, Assistant Secretary

Brian Harris, Chief Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Markets, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

2020 K Street, NW

Washington, DC 20006

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Fund Shares are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Markets, LLC; member FINRA, SIPC.

Item 2. Code of Ethics.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 3. Audit Committee Financial Expert.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 4. Principal Accountant Fees and Services.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 5. Audit Committees of Listed Registrants.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 6. Investments.

(a)	A Schedule of Investments for each series of the registrant is included as a part of the reports to shareholders filed under Item 1 of this Form N-CSR.

(b)	Not applicable to the registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.

(b) In the registrant’s second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the registrant’s internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12. Exhibits.

(a)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, for each principal executive officer and principal financial officer of the registrant are attached.

(a)(3) Not applicable to the registrant.

(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

SSGA Active Trust


By:		/s/ Ellen M. Needham
		Ellen M. Needham
		President and Principal Executive Officer

Date:		March 8, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ Ellen M. Needham
		Ellen M. Needham
		President and Principal Executive Officer

Date:		March 8, 2016

By:		/s/ Bruce S. Rosenberg
		Bruce S. Rosenberg
		Treasurer and Principal Financial Officer

Date:		March 8, 2016