N-CSRS 1 d662281dncsrs.htm SSGA ACTIVE TRUST SSGA ACTIVE TRUST
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22542

 

 

SSGA ACTIVE TRUST

(Exact name of registrant as specified in charter)

 

 

One Iron Street, Boston, Massachusetts 02210

(Address of principal executive offices) (zip code)

 

 

Joshua A. Weinberg, Esq.

Managing Director and Managing Counsel

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

(Name and address of agent for service)

 

 

Copy to:

W. John McGuire, Esq.

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

 

 

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

Date of fiscal year end: June 30

Date of reporting period: December 31, 2018

 

 

 

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Item 1. Reports to Shareholders.

 

Table of Contents
Semi-Annual Report
December 31, 2018
SSGA Active Trust
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
SPDR SSGA Ultra Short Term Bond ETF
SPDR MFS Systematic Core Equity ETF
SPDR MFS Systematic Growth Equity ETF
SPDR MFS Systematic Value Equity ETF
IMPORTANT NOTICE: Beginning on January 1, 2021, reports like this one will no longer automatically be sent by mail. See inside for more information.
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial intermediary.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.

Table of Contents
TABLE OF CONTENTS (Unaudited)
Portfolio Statistics (Unaudited)  
1
2
3
4
5
6
7
Schedules of Investments (Unaudited)  
8
10
12
15
22
24
26
29
36
43
51
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
SPDR SSGA Multi-Asset Real Return ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF 20.8%  
  SPDR S&P Global Natural Resources ETF 18.5  
  SPDR Bloomberg Barclays TIPS ETF 15.7  
  SPDR S&P Global Infrastructure ETF 10.1  
  SPDR Dow Jones International Real Estate ETF 6.5  
  TOTAL 71.6%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31, 2018

      
    % of Net Assets  
  Natural Resources 32.1%  
  Commodities 20.8  
  Inflation Linked 15.7  
  Real Estate 12.2  
  International Equity 10.1  
  International Fixed Income 6.3  
  Short Term Investments 4.6  
  Liabilities in Excess of Other Assets (1.8)  
  TOTAL 100.0%  
(The Fund's asset allocation is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1

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SPDR SSGA Income Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  SPDR Portfolio S&P 500 High Dividend ETF 16.5%  
  SPDR Portfolio Long Term Treasury ETF 12.7  
  SPDR Bloomberg Barclays High Yield Bond ETF 10.9  
  SPDR Bloomberg Barclays Emerging Markets Local Bond ETF 10.5  
  SPDR Blackstone / GSO Senior Loan ETF 9.9  
  TOTAL 60.5%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31, 2018

      
    % of Net Assets  
  Domestic Fixed Income 44.6%  
  Domestic Equity 29.8  
  International Fixed Income 10.5  
  International Equity 9.8  
  Inflation Linked 4.7  
  Short Term Investments 12.1  
  Liabilities in Excess of Other Assets (11.5)  
  TOTAL 100.0%  
(The Fund's asset allocation is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2

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SPDR SSGA Global Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  SPDR S&P 500 ETF Trust 21.5%  
  SPDR Portfolio Developed World ex-US ETF 14.1  
  SPDR Bloomberg Barclays High Yield Bond ETF 6.0  
  SPDR Bloomberg Barclays TIPS ETF 5.2  
  SPDR Portfolio Small Cap ETF 4.8  
  TOTAL 51.6%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31, 2018

      
    % of Net Assets  
  Domestic Equity 32.2%  
  International Equity 23.1  
  Domestic Fixed Income 20.6  
  Inflation Linked 5.2  
  Real Estate 3.8  
  International Fixed Income 3.1  
  Natural Resources 1.9  
  Short Term Investments 22.0  
  Liabilities in Excess of Other Assets (11.9)  
  TOTAL 100.0%  
(The Fund's asset allocation is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
3

Table of Contents
SPDR SSGA Ultra Short Term Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  Treasury Bills
2.64% 12/5/2019 		4.7%  
  Treasury Bills
2.33% 2/14/2019 		3.4  
  Treasury Notes
1.13% 4/30/2020 		2.5  
  Treasury Notes
2.61% 7/31/2019 		1.9  
  Santander Drive Auto Receivables Trust 2014-4 ABS
3.10% 11/16/2020 		1.9  
  TOTAL 14.4%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31, 2018

      
    % of Net Assets  
  Corporate Bonds & Notes 48.4%  
  Asset-Backed Securities 25.1  
  U.S. Treasury Obligations 15.8  
  Mortgage-Backed Securities 0.6  
  Foreign Government Obligations 0.2  
  Short-Term Investment 11.8  
  Certificate of Deposit 0.5  
  Liabilities in Excess of Other Assets (2.4)  
  TOTAL 100.0%  
(The Fund's asset allocation is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4

Table of Contents
SPDR MFS Systematic Core Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  Microsoft Corp. 6.8%  
  Amazon.com, Inc. 4.2  
  Intel Corp. 4.2  
  Eli Lilly & Co. 4.1  
  Boeing Co. 4.0  
  TOTAL 23.3%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2018

      
    % of Net Assets  
  Pharmaceuticals 10.6%  
  Software 8.3  
  Insurance 6.3  
  Independent Power and Renewable Electricity Producers 5.4  
  Health Care Providers & Services 5.1  
  Equity Real Estate Investment Trusts (REITs) 4.7  
  Semiconductors & Semiconductor Equipment 4.2  
  Internet & Direct Marketing Retail 4.2  
  IT Services 4.1  
  Banks 4.1  
  Hotels, Restaurants & Leisure 4.1  
  Machinery 4.0  
  Aerospace & Defense 4.0  
  Oil, Gas & Consumable Fuels 4.0  
  Technology Hardware, Storage & Peripherals 3.8  
  Food & Staples Retailing 2.8  
  Food Products 2.7  
  Road & Rail 2.6  
  Media 2.5  
  Tobacco 2.3  
  Electric Utilities 2.3  
  Interactive Media & Services 2.2  
  Beverages 1.5  
  Biotechnology 1.1  
  Consumer Finance 1.0  
  Household Products 0.6  
  Chemicals 0.5  
  Short Term Investments 0.9  
  Other Assets in Excess of Liabilities 0.1  
  TOTAL 100.0%  
(The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
5

Table of Contents
SPDR MFS Systematic Growth Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  Amazon.com, Inc. 8.0%  
  Apple, Inc. 5.6  
  Boeing Co. 4.7  
  Microsoft Corp. 4.1  
  Adobe, Inc. 4.0  
  TOTAL 26.4%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2018

      
    % of Net Assets  
  Internet & Direct Marketing Retail 11.6%  
  Software 10.4  
  Health Care Providers & Services 9.9  
  Biotechnology 6.5  
  Hotels, Restaurants & Leisure 5.9  
  Technology Hardware, Storage & Peripherals 5.6  
  IT Services 5.6  
  Pharmaceuticals 5.2  
  Aerospace & Defense 4.7  
  Tobacco 3.7  
  Insurance 3.2  
  Independent Power & Renewable Electricity Producers 3.2  
  Semiconductors & Semiconductor Equipment 2.9  
  Interactive Media & Services 2.6  
  Specialty Retail 2.2  
  Machinery 2.1  
  Entertainment 2.0  
  Chemicals 1.9  
  Equity Real Estate Investment Trusts (REITs) 1.8  
  Electrical Equipment 1.5  
  Consumer Finance 1.1  
  Capital Markets 1.1  
  Food Products 0.9  
  Professional Services 0.8  
  Road & Rail 0.8  
  Trading Companies & Distributors 0.7  
  Household Durables 0.7  
  Auto Components 0.4  
  Short-Term Investment 1.0  
  Other Assets in Excess of Liabilities 0.0*  
  TOTAL 100.0%  
* Amount shown represents less than 0.05% of net assets.
(The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
6

Table of Contents
SPDR MFS Systematic Value Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  Bank of America Corp. 4.5%  
  JPMorgan Chase & Co. 4.0  
  Intel Corp. 4.0  
  Johnson & Johnson 3.9  
  Exelon Corp. 3.7  
  TOTAL 20.1%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2018

      
    % of Net Assets  
  Pharmaceuticals 11.4%  
  Banks 9.4  
  Oil, Gas & Consumable Fuels 9.1  
  Equity Real Estate Investment Trusts (REITs) 6.7  
  Independent Power and Renewable Electricity Producers 5.5  
  Insurance 5.1  
  Health Care Providers & Services 4.9  
  Electrical Equipment 4.5  
  Semiconductors & Semiconductor Equipment 4.0  
  Electric Utilities 3.7  
  Communications Equipment 2.7  
  Tobacco 2.7  
  Consumer Finance 2.7  
  Road & Rail 2.7  
  Household Durables 2.6  
  Food & Staples Retailing 2.3  
  Chemicals 2.3  
  Machinery 2.3  
  Media 2.2  
  Food Products 2.1  
  Beverages 1.6  
  Diversified Telecommunication Services 1.5  
  IT Services 1.5  
  Hotels, Restaurants & Leisure 1.4  
  Software 1.1  
  Health Care Equipment & Supplies 0.8  
  Multiline Retail 0.7  
  Biotechnology 0.6  
  Short Term Investments 1.9  
  Other Assets in Excess of Liabilities 0.0*  
  TOTAL 100.0%  
* Amount shown represents less than 0.05% of net assets.    
(The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
7

Table of Contents
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Shares   Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.2%      
COMMODITIES — 20.8%  
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF
     1,858,357   $ 28,005,440
INFLATION LINKED — 15.7%  
SPDR Bloomberg Barclays TIPS ETF (a)
     393,488   21,205,068
INTERNATIONAL EQUITY — 10.1%  
SPDR S&P Global Infrastructure ETF (a)
     300,594   13,565,807
INTERNATIONAL FIXED INCOME — 6.3%  
SPDR FTSE International Government Inflation-Protected Bond ETF (a)
     162,450   8,452,274
NATURAL RESOURCES — 32.1%  
Invesco Global Agriculture ETF
     169,858   4,127,549
SPDR S&P Global Natural Resources ETF (a)
     606,870   25,027,319
SPDR S&P Metals & Mining ETF (a)(b)
     203,988   5,342,446
SPDR S&P Oil & Gas Equipment & Services ETF (a)(b)
     271,949   2,450,260
The Energy Select Sector SPDR Fund (a)
     112,046   6,425,838
          43,373,412
REAL ESTATE — 12.2%  
SPDR Dow Jones International Real Estate ETF (a)
     249,186   8,806,233
SPDR Dow Jones REIT ETF (a)(b)
     89,458   7,693,388
          16,499,621
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS

(Cost $147,075,522)
   131,101,622  
Security Description     Shares   Value
SHORT-TERM INVESTMENTS — 4.6%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (c)(d)
     3,798,190   $ 3,798,190
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e)
     2,474,439   2,474,439
TOTAL SHORT-TERM INVESTMENTS

(Cost $6,272,629)
         $ 6,272,629
TOTAL INVESTMENTS—101.8%

(Cost $153,348,151)
         137,374,251
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.8)%
         (2,470,593)
NET ASSETS—100.0%
         $ 134,903,658
(a) Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(b) All or a portion of the shares of the security are on loan at December 31, 2018.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at December 31, 2018.
(e) Investment of cash collateral for securities loaned.
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Mutual Funds and Exchange Traded Products
   $131,101,622   $—   $—   $131,101,622
Short-Term Investments
   6,272,629   —   —   6,272,629
TOTAL INVESTMENTS
   $137,374,251   $—   $—   $137,374,251
See accompanying notes to financial statements.
8

Table of Contents
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
SPDR Bloomberg Barclays TIPS ETF
 381,395   $ 21,178,864   $ 4,431,419   $ 3,775,138   $ (76,335)   $ (553,742)   393,488   $ 21,205,068   $ 318,364   $—
SPDR Dow Jones International Real Estate ETF
 219,619   8,595,887   2,168,164   1,082,947   (29,898)   (844,973)   249,186   8,806,233   307,330   —
SPDR Dow Jones REIT ETF
 55,830   5,245,787   4,556,435   1,372,057   67,749   (804,526)   89,458   7,693,388   188,179   —
SPDR FTSE International Government Inflation-Protected Bond ETF
 160,079   8,682,685   1,436,751   1,318,833   (87,076)   (261,253)   162,450   8,452,274   215,945   —
SPDR S&P Global Infrastructure ETF
 214,010   10,552,534   6,493,312   2,295,064   (22,304)   (1,162,671)   300,594   13,565,807   229,000   —
SPDR S&P Global Natural Resources ETF
 748,533   37,486,532   5,442,169   11,983,039   (632,208)   (5,286,135)   606,870   25,027,319   484,203   —
SPDR S&P Metals & Mining ETF
 153,827   5,456,244   1,958,056   444,627   77,405   (1,704,632)   203,988   5,342,446   29,827   —
SPDR S&P Oil & Gas Equipment & Services ETF
 172,636   2,927,906   1,349,978   220,801   (3,483)   (1,603,340)   271,949   2,450,260   11,089   —
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 12,678   12,678   4,943,904   1,158,392   —   —   3,798,190   3,798,190   10,480   —
State Street Navigator Securities Lending Government Money Market Portfolio
 7,809,131   7,809,131   114,296,930   119,631,622   —   —   2,474,439   2,474,439   77,617   —
The Energy Select Sector SPDR Fund
 95,071   7,219,692   1,651,704   558,804   18,716   (1,905,470)   112,046   6,425,838   106,415   —
Total
     $115,167,940   $148,728,822   $143,841,324   $(687,434)   $(14,126,742)       $105,241,262   $1,978,449   $—
See accompanying notes to financial statements.
9

Table of Contents
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Shares   Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4%      
DOMESTIC EQUITY — 29.8%  
Invesco KBW Premium Yield Equity REIT ETF
     130,780   $ 3,527,137
iShares Mortgage Real Estate ETF (a)
     120,138   4,798,312
SPDR Portfolio S&P 500 High Dividend ETF (a)(b)
     488,542   16,644,626
SPDR Wells Fargo Preferred Stock ETF (b)
     129,756   5,133,147
          30,103,222
DOMESTIC FIXED INCOME — 44.6%  
SPDR Blackstone / GSO Senior Loan ETF (a)(b)
     223,040   9,969,888
SPDR Bloomberg Barclays Convertible Securities ETF (a)(b)
     104,957   4,910,938
SPDR Bloomberg Barclays High Yield Bond ETF (a)(b)
     326,280   10,959,745
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)(b)
     31,803   1,050,771
SPDR Portfolio Long Term Corporate Bond ETF (b)
     206,156   5,232,240
SPDR Portfolio Long Term Treasury ETF (b)
     367,372   12,872,715
          44,996,297
INFLATION LINKED — 4.7%  
SPDR Bloomberg Barclays TIPS ETF (b)
     88,704   4,780,259
INTERNATIONAL EQUITY — 9.8%  
SPDR S&P Global Infrastructure ETF (b)
     109,373   4,936,003
SPDR S&P International Dividend ETF (b)
     142,577   4,984,492
          9,920,495
Security Description     Shares   Value
INTERNATIONAL FIXED INCOME — 10.5%  
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a)(b)
     399,722   $ 10,600,627
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS

(Cost $107,602,785)
   100,400,900  
SHORT-TERM INVESTMENTS — 12.1%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (c)(d)
     511,052   511,052
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e)
     11,704,139   11,704,139
TOTAL SHORT-TERM INVESTMENTS

(Cost $12,215,191)
         $ 12,215,191
TOTAL INVESTMENTS—111.5%

(Cost $119,817,976)
         112,616,091
LIABILITIES IN EXCESS OF OTHER ASSETS—(11.5)%
         (11,641,495)
NET ASSETS—100.0%
         $ 100,974,596
(a) All or a portion of the shares of the security are on loan at December 31, 2018.
(b) Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at December 31, 2018.
(e) Investment of cash collateral for securities loaned.
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Mutual Funds and Exchange Traded Products
   $100,400,900   $—   $—   $100,400,900
Short-Term Investments
   12,215,191   —   —   12,215,191
TOTAL INVESTMENTS
   $112,616,091   $—   $—   $112,616,091
See accompanying notes to financial statements.
10

Table of Contents
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
SPDR Blackstone / GSO Senior Loan ETF
 —   $ —   $ 10,709,460   $ 225,906   $ (15)   $ (513,651)   223,040   $ 9,969,888   $ 161,832   $—
SPDR Bloomberg Barclays Convertible Securities ETF
 87,008   4,613,164   916,717   7,925   464   (611,482)   104,957   4,910,938   234,029   —
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
 169,930   4,581,313   6,438,514   492,791   (75,953)   149,544   399,722   10,600,627   210,180   —
SPDR Bloomberg Barclays High Yield Bond ETF
 233,882   8,298,133   3,404,930   142,912   (6,843)   (593,563)   326,280   10,959,745   322,879   —
SPDR Bloomberg Barclays Long Term Corporate Bond ETF
 359,992   9,402,991   763,660   4,827,205   (186,713)   79,507   206,156   5,232,240   175,422   —
SPDR Bloomberg Barclays TIPS ETF
 85,518   4,748,815   716,639   554,507   (15,962)   (114,726)   88,704   4,780,259   70,056   —
SPDR Dow Jones International Real Estate ETF
 87,581   3,427,920   68,649   3,453,599   (109,328)   66,358   —   —   109,022   —
SPDR Dow Jones REIT ETF
 27,950   2,626,182   —   2,694,037   540,341   (472,486)   —   —   —   —
SPDR MSCI Emerging Markets StrategicFactors ETF
 89,470   5,308,255   —   5,191,851   464,242   (580,646)   —   —   —   —
SPDR Portfolio Intermediate Term Corporate Bond ETF
 85,069   2,831,947   2,915,633   4,697,696   (20,845)   21,732   31,803   1,050,771   34,906   —
SPDR Portfolio Long Term Treasury ETF
 191,485   6,707,624   6,452,575   418,628   (13,178)   144,322   367,372   12,872,715   161,070   —
SPDR Portfolio S&P 500 High Dividend ETF
 —   —   19,272,555   615,804   (20,260)   (1,991,865)   488,542   16,644,626   400,657   —
SPDR S&P Dividend ETF
 150,116   13,915,753   575,107   15,425,617   3,000,015   (2,065,258)   —   —   —   —
SPDR S&P Global Infrastructure ETF
 98,391   4,851,522   797,999   288,794   (22,283)   (402,441)   109,373   4,936,003   86,651   —
SPDR S&P International Dividend ETF
 214,263   8,208,416   786,258   3,623,291   (5,403)   (381,488)   142,577   4,984,492   109,022   —
SPDR STOXX Europe 50 ETF
 81,394   2,720,993   34,031   2,689,441   (114,800)   49,217   —   —   4,765   —
SPDR Wells Fargo Preferred Stock ETF
 108,376   4,711,105   945,931   85,986   (4,847)   (433,056)   129,756   5,133,147   177,768   —
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 —   —   3,346,036   2,834,984   —   —   511,052   511,052   7,727   —
State Street Navigator Securities Lending Government Money Market Portfolio
 12,183,127   12,183,127   114,292,218   114,771,206   —   —   11,704,139   11,704,139   76,371   —
The Energy Select Sector SPDR Fund
 24,486   1,859,467   —   1,832,828   (51,046)   24,407   —   —   —   —
The Industrial Select Sector SPDR Fund
 24,633   1,764,462   63,414   1,995,009   110,507   56,626   —   —   —   —
The Technology Select Sector SPDR Fund
 26,269   1,824,907   —   1,943,353   704,034   (585,588)   —   —   —   —
Total
     $104,586,096   $172,500,326   $168,813,370   $4,172,127   $(8,154,537)       $104,290,642   $2,342,357   $—
See accompanying notes to financial statements.
11

Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Shares   Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 89.9%      
DOMESTIC EQUITY — 32.2%  
SPDR Portfolio Small Cap ETF (a)(b)
     480,946   $ 12,677,736
SPDR S&P 500 ETF Trust (a)(b)
     228,053   56,995,006
SPDR S&P MidCap 400 ETF Trust (a)(b)
     16,979   5,139,034
The Consumer Discretionary Select Sector SPDR Fund (a)(b)
     52,959   5,243,471
The Technology Select Sector SPDR Fund (a)(b)
     83,663   5,185,433
          85,240,680
DOMESTIC FIXED INCOME — 20.6%  
SPDR Bloomberg Barclays High Yield Bond ETF (a)
     477,116   16,026,326
SPDR Bloomberg Barclays Intermediate Term Treasury ETF (a)(b)
     93,013   5,538,924
SPDR Bloomberg Barclays Short Term High Yield Bond ETF (a)(b)
     206,058   5,363,690
SPDR Portfolio Aggregate Bond ETF (a)(b)
     395,930   11,026,650
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)(b)
     166,395   5,497,691
SPDR Portfolio Long Term Treasury ETF (a)
     319,193   11,184,523
          54,637,804
INFLATION LINKED — 5.2%  
SPDR Bloomberg Barclays TIPS ETF (a)
     253,843   13,679,599
INTERNATIONAL EQUITY — 23.1%  
SPDR Portfolio Developed World ex-US ETF (a)(b)
     1,407,098   37,217,742
SPDR Portfolio Emerging Markets ETF (a)(b)
     335,893   10,869,498
SPDR S&P International Small Cap ETF (a)(b)
     278,947   7,788,200
Vanguard FTSE Pacific ETF (b)
     86,637   5,252,801
          61,128,241
INTERNATIONAL FIXED INCOME — 3.1%  
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a)
     104,816   2,779,720
Security Description     Shares   Value
SPDR Bloomberg Barclays International Corporate Bond ETF (a)(b)
     169,247   $ 5,574,996
          8,354,716
NATURAL RESOURCES — 1.9%  
The Energy Select Sector SPDR Fund (a)(b)
     86,820   4,979,127
REAL ESTATE — 3.8%  
SPDR Dow Jones International Real Estate ETF (a)(b)
     148,255   5,239,332
SPDR Dow Jones REIT ETF (a)
     57,688   4,961,168
          10,200,500
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS

(Cost $241,151,724)
   238,220,667  
SHORT-TERM INVESTMENTS — 22.0%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (c)(d)
     26,913,364   26,913,364
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e)
     31,494,853   31,494,853
TOTAL SHORT-TERM INVESTMENTS

(Cost $58,408,217)
         $ 58,408,217
TOTAL INVESTMENTS—111.9%

(Cost $299,559,941)
         296,628,884
LIABILITIES IN EXCESS OF OTHER ASSETS—(11.9)%
         (31,619,713)
NET ASSETS—100.0%
         $ 265,009,171
(a) Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(b) All or a portion of the shares of the security are on loan at December 31, 2018.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at December 31, 2018.
(e) Investment of cash collateral for securities loaned.
 
See accompanying notes to financial statements.
12

Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Mutual Funds and Exchange Traded Products
   $238,220,667   $—   $—   $238,220,667
Short-Term Investments
   58,408,217   —   —   58,408,217
TOTAL INVESTMENTS
   $296,628,884   $—   $—   $296,628,884
See accompanying notes to financial statements.
13

Table of Contents
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
 92,904   $ 2,504,692   $ 618,509   $ 305,199   $ (12,237)   $ (26,045)   104,816   $ 2,779,720   $ 70,878   $—
SPDR Bloomberg Barclays High Yield Bond ETF
 143,202   5,080,807   13,556,671   1,635,562   (20,927)   (954,663)   477,116   16,026,326   397,396   —
SPDR Bloomberg Barclays Intermediate Term Treasury ETF
 87,887   5,158,088   1,205,856   904,547   (2,461)   81,988   93,013   5,538,924   69,587   —
SPDR Bloomberg Barclays International Corporate Bond ETF
 151,066   5,109,052   1,197,995   604,114   (16,276)   (111,661)   169,247   5,574,996   21,527   —
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
 186,886   5,100,119   1,188,541   676,084   (8,050)   (240,836)   206,058   5,363,690   169,038   —
SPDR Bloomberg Barclays TIPS ETF
 232,855   12,930,438   3,002,974   1,865,692   (34,622)   (353,499)   253,843   13,679,599   197,018   —
SPDR Dow Jones International Real Estate ETF
 63,705   2,493,414   3,951,479   708,155   (29,624)   (467,782)   148,255   5,239,332   193,054   —
SPDR Dow Jones REIT ETF
 —   —   6,415,164   860,868   (20,956)   (572,172)   57,688   4,961,168   125,785   —
SPDR Portfolio Aggregate Bond ETF
 —   —   11,536,647   575,040   1,752   63,291   395,930   11,026,650   28,490   —
SPDR Portfolio Developed World ex-US ETF
 1,519,455   46,191,432   10,273,851   13,906,305   628,883   (5,970,119)   1,407,098   37,217,742   412,851   —
SPDR Portfolio Emerging Markets ETF
 545,940   19,293,520   2,417,870   9,645,237   (18,771)   (1,177,884)   335,893   10,869,498   152,765   —
SPDR Portfolio Intermediate Term Corporate Bond ETF
 154,667   5,148,865   1,201,561   813,850   (13,202)   (25,683)   166,395   5,497,691   98,857   —
SPDR Portfolio Long Term Treasury ETF
 149,332   5,231,025   7,952,648   2,034,636   (5,595)   41,081   319,193   11,184,523   161,041   —
SPDR Portfolio Small Cap ETF
 233,351   7,532,570   8,955,933   1,300,875   160,091   (2,669,983)   480,946   12,677,736   113,314   —
SPDR S&P 500 ETF Trust
 230,121   62,427,225   15,320,637   15,665,163   935,939   (6,023,632)   228,053   56,995,006   643,143   —
SPDR S&P International Small Cap ETF
 212,042   7,277,281   2,713,653   611,662   8,681   (1,599,753)   278,947   7,788,200   216,182   —
SPDR S&P MidCap 400 ETF Trust
 14,060   4,991,581   1,531,343   563,244   61,725   (882,371)   16,979   5,139,034   36,904   —
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 19,809,280   19,809,280   21,625,046   14,520,962   —   —   26,913,364   26,913,364   227,013   —
State Street Navigator Securities Lending Government Money Market Portfolio
 8,492,442   8,492,442   142,634,033   119,631,622   —   —   31,494,853   31,494,853   208,124   —
The Consumer Discretionary Select Sector SPDR Fund
 —   —   6,651,504   678,119   (18,196)   (711,718)   52,959   5,243,471   37,053   —
The Energy Select Sector SPDR Fund
 66,339   5,037,784   6,140,195   5,220,963   (148,402)   (829,487)   86,820   4,979,127   48,126   —
The Industrial Select Sector SPDR Fund
 66,988   4,798,351   216,722   5,058,045   (111,132)   154,104   —   —   24,826   —
The Technology Select Sector SPDR Fund
 71,494   4,966,688   1,439,829   635,974   159,165   (744,275)   83,663   5,185,433   40,587   —
Total
     $239,574,654   $271,748,661   $198,421,918   $1,495,785   $(23,021,099)       $291,376,083   $3,693,559   $—
See accompanying notes to financial statements.
14

Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CORPORATE BONDS & NOTES — 48.4%          
AEROSPACE & DEFENSE — 0.9%          
General Dynamics Corp.:          
3 Month USD LIBOR + 0.29%, 2.91%, 5/11/2020 (a)
     $ 435,000   $ 434,604
3 Month USD LIBOR + 0.38%, 3.00%, 5/11/2021 (a)
     694,000   693,056
United Technologies Corp.

3 Month USD LIBOR + 0.35%, 2.89%, 11/1/2019 (a)
     250,000   249,760
          1,377,420
AGRICULTURE — 0.6%          
Philip Morris International, Inc.

3 Month USD LIBOR + 0.42%, 3.07%, 2/21/2020 (a)
     1,000,000   1,000,660
AUTO MANUFACTURERS — 7.5%          
American Honda Finance Corp.:          
3 Month USD LIBOR + 0.26%, 3.05%, 6/16/2020 (a)
     250,000   248,913
Series MTN, 3 Month USD LIBOR + 0.15%, 2.62%, 1/22/2019 (a)
     300,000   299,982
Series MTN, 3 Month USD LIBOR + 0.15%, 2.80%, 2/21/2020 (a)
     500,000   497,615
Series MTN, 3 Month USD LIBOR + 0.27%, 2.74%, 7/20/2020 (a)
     400,000   398,716
Series MTN, 3 Month USD LIBOR + 0.34%, 2.95%, 2/14/2020 (a)
     500,000   498,870
BMW US Capital LLC:          
3 Month USD LIBOR + 0.37%, 2.98%, 8/14/2020 (a)  (b)
     1,100,000   1,092,751
3 Month USD LIBOR + 0.38%, 2.79%, 4/6/2020 (a)  (b)
     600,000   597,234
Daimler Finance North America LLC:          
3 Month USD LIBOR + 0.39%, 2.97%, 5/4/2020 (a)  (b)
     500,000   497,325
3 Month USD LIBOR + 0.67%, 3.25%, 11/5/2021 (a)  (b)
     500,000   495,260
3 Month USD LIBOR + 0.74%, 3.15%, 7/5/2019 (a)  (b)
     600,000   600,936
Nissan Motor Acceptance Corp.:          
3 Month USD LIBOR + 0.52%, 3.30%, 9/13/2019 (a)  (b)
     435,000   433,991
3 Month USD LIBOR + 1.01%, 3.78%, 3/8/2019 (a)  (b)
     300,000   300,300
PACCAR Financial Corp.

Series MTN, 3 Month USD LIBOR + 0.26%, 2.88%, 5/10/2021 (a)
     1,550,000   1,550,992
Security Description     Principal
Amount 		  Value
Toyota Motor Credit Corp.:          
3 Month USD LIBOR + 0.10%, 2.51%, 1/10/2020 (a)
     $ 450,000   $ 448,555
Series GMTN, 3 Month USD LIBOR + 0.17%, 2.97%, 9/18/2020 (a)
     1,000,000   993,400
Series MTN, 3 Month USD LIBOR + 0.28%, 2.72%, 4/13/2021 (a)
     1,132,000   1,125,151
Series MTN, 3 Month USD LIBOR + 0.39%, 2.84%, 1/17/2019 (a)
     368,000   368,011
Volkswagen Group of America Finance LLC

3 Month USD LIBOR + 0.94%, 3.56%, 11/12/2021 (a)  (b)
     1,250,000   1,238,150
          11,686,152
BANKS — 21.8%          
Australia & New Zealand Banking Group, Ltd.:          
3 Month USD LIBOR + 0.25%, 3.05%, 12/19/2019 (a)  (b)
     890,000   888,896
3 Month USD LIBOR + 0.32%, 2.92%, 11/9/2020 (a)  (b)
     300,000   298,725
Bank of America Corp.:          
3 Month USD LIBOR + 0.38%, 2.86%, 1/23/2022 (a)
     625,000   613,081
Series MTN, 3 Month USD LIBOR + 0.65%, 3.45%, 10/1/2021 (a)
     1,400,000   1,391,236
Bank of America NA

Series BKNT, 3 Month USD LIBOR + 0.25%, 2.96%, 8/28/2020 (a)
     250,000   249,000
Bank of Montreal:          
Series MTN, 3 Month USD LIBOR + 0.44%, 3.23%, 6/15/2020 (a)
     250,000   249,573
Series MTN, 3 Month USD LIBOR + 0.60%, 3.38%, 12/12/2019 (a)
     200,000   200,344
Bank of New York Mellon Corp.

Series MTN, 3 Month USD LIBOR + 0.87%, 3.51%, 8/17/2020 (a)
     2,000,000   2,015,000
Bank of Nova Scotia:          
3 Month USD LIBOR + 0.66%, 3.44%, 6/14/2019 (a)
     400,000   400,528
Series BKNT, 3 Month USD LIBOR + 0.44%, 2.91%, 4/20/2021 (a)
     500,000   497,050
BB&T Corp.

Series MTN, 3 Month USD LIBOR + 0.57%, 3.36%, 6/15/2020 (a)
     1,750,000   1,750,892
BPCE SA

Series MTN, 2.50%, 7/15/2019
     1,000,000   997,230
 
See accompanying notes to financial statements.
15

Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Branch Banking & Trust Co.

3 Month USD LIBOR + 0.45%, 2.89%, 1/15/2020 (a)
     $ 250,000   $ 250,103
Citibank NA:          
Series BKNT, 3 Month USD LIBOR + 0.30%, 2.77%, 10/20/2020 (a)
     500,000   496,575
Series BKNT, 3 Month USD LIBOR + 0.32%, 2.86%, 5/1/2020 (a)
     750,000   746,647
Commonwealth Bank of Australia

 3 Month USD LIBOR + 0.45%, 3.22%, 3/10/2020 (a)  (b)
     450,000   449,870
Cooperatieve Rabobank UA

3 Month USD LIBOR + 0.48%, 2.89%, 1/10/2023 (a)
     250,000   246,515
Credit Agricole SA

3 Month USD LIBOR + 0.80%, 3.24%, 4/15/2019 (a)  (b)
     500,000   500,595
Goldman Sachs Group, Inc.:          
3 Month USD LIBOR + 1.02%, 3.50%, 10/23/2019 (a)
     659,000   660,160
3 Month USD LIBOR + 1.36%, 3.85%, 4/23/2021 (a)
     750,000   755,137
Series FRN, 3 Month USD LIBOR + 1.77%, 4.46%, 2/25/2021 (a)
     250,000   253,913
JPMorgan Chase & Co.

3 Month USD LIBOR + 1.10%, 3.87%, 6/7/2021 (a)
     1,750,000   1,759,905
Morgan Stanley:          
3 Month USD LIBOR + 0.85%, 3.34%, 1/24/2019 (a)
     430,000   430,069
Series GMTN, 3 Month USD LIBOR + 0.55%, 3.17%, 2/10/2021 (a)
     500,000   495,430
Series GMTN, 3 Month USD LIBOR + 1.40%, 3.87%, 4/21/2021 (a)
     1,000,000   1,006,580
National Australia Bank, Ltd.:          
3 Month USD LIBOR + 0.58%, 3.37%, 9/20/2021 (a)  (b)
     750,000   746,857
3 Month USD LIBOR + 0.71%, 3.45%, 11/4/2021 (a)  (b)
     500,000   498,965
National Bank of Canada

Series MTN, 3 Month USD LIBOR + 0.60%, 3.05%, 1/17/2020 (a)
     665,000   665,718
PNC Bank NA

Series BKNT, 3 Month USD LIBOR + 0.36%, 3.00%, 5/19/2020 (a)
     600,000   597,582
Royal Bank of Canada:          
Series GMTN, 3 Month USD LIBOR + 0.48%, 2.99%, 7/29/2019 (a)
     250,000   250,198
Security Description     Principal
Amount 		  Value
Series GMTN, 3 Month USD LIBOR + 0.53%, 3.32%, 3/15/2019 (a)
     $ 250,000   $ 250,173
Santander UK PLC:          
3 Month USD LIBOR + 0.30%, 2.88%, 11/3/2020 (a)
     600,000   595,608
3 Month USD LIBOR + 0.62%, 3.36%, 6/1/2021 (a)
     300,000   297,726
Skandinaviska Enskilda Banken AB

3 Month USD LIBOR + 0.43%, 3.07%, 5/17/2021 (a)  (b)
     1,500,000   1,490,820
Sumitomo Mitsui Banking Corp.

3 Month USD LIBOR + 0.35%, 2.80%, 1/17/2020 (a)
     1,218,000   1,215,247
Sumitomo Mitsui Trust Bank, Ltd.

3 Month USD LIBOR + 0.91%, 3.35%, 10/18/2019 (a)  (b)
     150,000   150,548
SunTrust Bank

Series BKNT, 3 Month USD LIBOR + 0.50%, 3.01%, 10/26/2021 (a)
     1,000,000   995,710
Svenska Handelsbanken AB

Series BKNT, 3 Month USD LIBOR + 0.49%, 3.23%, 9/6/2019 (a)
     320,000   320,211
Toronto-Dominion Bank:          
3 Month USD LIBOR + 0.90%, 3.34%, 7/13/2021 (a)
     400,000   402,352
Series BKNT, 3 Month USD LIBOR + 0.44%, 3.24%, 7/2/2019 (a)
     250,000   250,190
Series MTN, 3 Month USD LIBOR + 0.56%, 3.14%, 11/5/2019 (a)
     253,000   253,463
Series MTN, 3 Month USD LIBOR + 0.84%, 3.31%, 1/22/2019 (a)
     100,000   100,031
UBS AG:          
3 Month USD LIBOR + 0.32%, 3.03%, 5/28/2019 (a)  (b)
     250,000   249,985
3 Month USD LIBOR + 0.48%, 3.22%, 12/1/2020 (a)  (b)
     550,000   550,665
3 Month USD LIBOR + 0.58%, 3.35%, 6/8/2020 (a)  (b)
     1,000,000   1,003,000
US Bank NA:          
Series BKNT, 3 Month USD LIBOR + 0.32%, 2.81%, 1/24/2020 (a)
     1,000,000   1,001,390
Series BKNT, 3 Month USD LIBOR + 0.32%, 2.83%, 4/26/2021 (a)
     1,000,000   994,070
Series BKNT, 3 Month USD LIBOR + 0.48%, 2.99%, 10/28/2019 (a)
     100,000   100,022
Wells Fargo & Co.

3 Month USD LIBOR + 0.93%, 3.55%, 2/11/2022 (a)
     500,000   495,855
 
See accompanying notes to financial statements.
16

Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Wells Fargo Bank NA:          
Series BKNT, 3 Month USD LIBOR + 0.31%, 2.75%, 1/15/2021 (a)
     $ 1,000,000   $ 990,820
Series BKNT, 3 Month USD LIBOR + 0.50%, 2.98%, 7/23/2021 (a)
     700,000   695,471
Westpac Banking Corp.:          
3 Month USD LIBOR + 0.34%, 2.83%, 1/25/2021 (a)
     1,000,000   993,400
3 Month USD LIBOR + 0.56%, 3.20%, 8/19/2019 (a)
     275,000   275,399
          34,034,530
BEVERAGES — 1.7%          
Anheuser-Busch InBev Finance, Inc.

3 Month USD LIBOR + 0.40%, 2.94%, 2/1/2019 (a)
     200,000   199,968
Diageo Capital PLC

3 Month USD LIBOR + 0.24%, 2.88%, 5/18/2020 (a)
     825,000   821,873
PepsiCo, Inc.:          
3 Month USD LIBOR + 0.27%, 2.68%, 10/4/2019 (a)
     250,000   250,105
3 Month USD LIBOR + 0.37%, 2.92%, 5/2/2022 (a)
     250,000   248,385
3 Month USD LIBOR + 0.53%, 2.94%, 10/6/2021 (a)
     1,100,000   1,103,135
          2,623,466
BIOTECHNOLOGY — 0.2%          
Gilead Sciences, Inc.

3 Month USD LIBOR + 0.22%, 3.01%, 3/20/2019 (a)
     350,000   349,983
CHEMICALS — 0.4%          
EI du Pont de Nemours & Co.

3 Month USD LIBOR + 0.53%, 3.07%, 5/1/2020 (a)
     700,000   700,658
COMPUTERS — 1.4%          
Apple, Inc.:          
 3 Month USD LIBOR + 0.07%, 2.68%, 5/11/2020 (a)
     680,000   678,123
 3 Month USD LIBOR + 0.25%, 2.85%, 2/7/2020 (a)
     790,000   789,874
IBM Credit LLC

3 Month USD LIBOR + 0.16%, 2.74%, 2/5/2021 (a)
     725,000   717,583
          2,185,580
DIVERSIFIED FINANCIAL SERVICES — 0.6%          
American Express Credit Corp.:          
3 Month USD LIBOR + 0.55%, 3.35%, 3/18/2019 (a)
     350,000   350,178
Security Description     Principal
Amount 		  Value
Series MTN, 3 Month USD LIBOR + 0.43%, 3.17%, 3/3/2020 (a)
     $ 610,000   $ 609,311
          959,489
ELECTRONICS — 0.8%          
Honeywell International, Inc.

3 Month USD LIBOR + 0.28%, 2.80%, 10/30/2019 (a)
     1,200,000   1,199,664
HEALTH CARE SERVICES — 1.7%          
Cigna Corp.

3 Month USD LIBOR + 0.35%, 3.14%, 3/17/2020 (a)  (b)
     1,000,000   993,370
Roche Holdings, Inc.

3 Month USD LIBOR + 0.34%, 3.14%, 9/30/2019 (a)  (b)
     750,000   750,383
UnitedHealth Group, Inc.:          
3 Month USD LIBOR + 0.07%, 2.51%, 10/15/2020 (a)
     300,000   298,749
3 Month USD LIBOR + 0.26%, 3.05%, 6/15/2021 (a)
     600,000   595,170
          2,637,672
INSURANCE — 0.6%          
Metropolitan Life Global Funding I

3 Month USD LIBOR + 0.57%, 3.03%, 9/7/2020 (a)  (b)
     1,000,000   993,350
IT SERVICES — 0.5%          
International Business Machines Corp.

1.80%, 5/17/2019
     750,000   746,895
MACHINERY, CONSTRUCTION & MINING — 0.8%          
Caterpillar Financial Services Corp.:          
Series MTN, 3 Month USD LIBOR + 0.13%, 2.84%, 11/29/2019 (a)
     500,000   499,255
Series MTN, 3 Month USD LIBOR + 0.28%, 3.05%, 9/7/2021 (a)
     500,000   495,520
Series MTN, 3 Month USD LIBOR + 0.28%, 3.10%, 3/22/2019 (a)
     300,000   300,057
          1,294,832
MACHINERY-DIVERSIFIED — 0.8%          
John Deere Capital Corp.:          
3 Month USD LIBOR + 0.57%, 2.98%, 1/8/2019 (a)
     200,000   200,012
Series GMTN, 3 Month USD LIBOR + 0.18%, 2.59%, 1/7/2020 (a)
     500,000   499,610
 
See accompanying notes to financial statements.
17

Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series MTN, 3 Month USD LIBOR + 0.29%, 2.69%, 10/9/2019 (a)
     $ 325,000   $ 325,084
Series MTN, 3 Month USD LIBOR + 0.29%, 3.11%, 6/22/2020 (a)
     275,000   274,915
          1,299,621
MEDIA — 0.9%          
Comcast Corp.

3 Month USD LIBOR + 0.33%, 3.13%, 10/1/2020 (a)
     1,000,000   995,400
NBCUniversal Enterprise, Inc.

3 Month USD LIBOR + 0.40%, 3.20%, 4/1/2021 (a)  (b)
     400,000   395,708
          1,391,108
MISCELLANEOUS MANUFACTURER — 0.5%          
General Electric Co.

Series GMTN, 3 Month USD LIBOR + 0.51%, 2.95%, 1/14/2019 (a)
     63,000   63,000
Siemens Financieringsmaatschappij NV:          
3 Month USD LIBOR + 0.32%, 3.10%, 9/13/2019 (a)  (b)
     200,000   200,084
3 Month USD LIBOR + 0.34%, 3.13%, 3/16/2020 (a)  (b)
     450,000   449,838
          712,922
OIL & GAS — 3.8%          
BP Capital Markets America, Inc.

3 Month USD LIBOR + 0.65%, 3.45%, 9/19/2022 (a)
     250,000   250,243
BP Capital Markets PLC

3 Month USD LIBOR + 0.87%, 3.66%, 9/16/2021 (a)
     1,250,000   1,260,175
Chevron Corp.

3 Month USD LIBOR + 0.48%, 3.22%, 3/3/2022 (a)
     1,500,000   1,497,870
ConocoPhillips Co.

3 Month USD LIBOR + 0.90%, 3.52%, 5/15/2022 (a)
     850,000   860,166
Exxon Mobil Corp.

1.71%, 3/1/2019
     500,000   499,120
Shell International Finance B.V.:          
3 Month USD LIBOR + 0.35%, 3.13%, 9/12/2019 (a)
     300,000   300,186
3 Month USD LIBOR + 0.45%, 3.07%, 5/11/2020 (a)
     900,000   901,089
Total Capital International SA

3 Month USD LIBOR + 0.35%, 3.15%, 6/19/2019 (a)
     450,000   450,319
          6,019,168
RETAIL — 1.4%          
Home Depot, Inc.:          
Security Description     Principal
Amount 		  Value
3 Month USD LIBOR + 0.15%, 2.90%, 6/5/2020 (a)
     $ 350,000   $ 348,950
3 Month USD LIBOR + 0.31%, 3.05%, 3/1/2022 (a)
     500,000   495,040
Lowe's Cos., Inc.

3 Month USD LIBOR + 0.42%, 3.19%, 9/10/2019 (a)
     750,000   749,325
Walmart, Inc.

3 Month USD LIBOR + 0.23%, 3.05%, 6/23/2021 (a)
     600,000   598,554
          2,191,869
SOFTWARE — 0.8%          
Oracle Corp.:          
3 Month USD LIBOR + 0.51%, 2.92%, 10/8/2019 (a)
     895,000   898,106
3 Month USD LIBOR + 0.58%, 3.02%, 1/15/2019 (a)
     387,000   387,050
          1,285,156
TELECOMMUNICATIONS — 0.6%          
Cisco Systems, Inc.:          
2.13%, 3/1/2019
     350,000   349,531
3 Month USD LIBOR + 0.34%, 3.13%, 9/20/2019 (a)
     560,000   560,258
          909,789
TRANSPORTATION — 0.1%          
United Parcel Service, Inc.

3 Month USD LIBOR + 0.45%, 3.25%, 4/1/2023 (a)
     200,000   198,866
TOTAL CORPORATE BONDS & NOTES

(Cost $76,110,509)
         75,798,850
ASSET-BACKED SECURITIES — 25.1%          
AUTOMOBILE — 15.2%          
Ally Auto Receivables Trust 2016-3

Series 2016-3, Class A4, 1.72%, 4/15/2021
     1,000,000   991,977
AmeriCredit Automobile Receivables Trust 2014-2

Series 2014-2, Class D, 2.57%, 7/8/2020
     1,791,636   1,790,446
BMW Floorplan Master Owner Trust

Series 2018-1, Class A2, 1 Month USD LIBOR + 0.32%, 2.78%, 5/15/2023 (a)  (b)
     500,000   497,974
CarMax Auto Owner Trust

Series 2017-3, Class A2A, 1.64%, 9/15/2020
     259,986   259,207
CarMax Auto Owner Trust 2016-2

Series 2016-2, Class A3, 1.52%, 2/16/2021
     752,741   748,252
 
See accompanying notes to financial statements.
18

Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Drive Auto Receivables Trust

Series 2018-2, Class A2, 2.64%, 9/15/2020
     $ 335,242   $ 335,029
Ford Credit Auto Owner Trust 2015-C

Series 2015-C, Class A4, 1.74%, 2/15/2021
     899,466   895,940
Ford Credit Floorplan Master Owner Trust A

Series 2016-3, Class A1, 1.55%, 7/15/2021
     1,000,000   992,385
GM Financial Automobile Leasing Trust 2017-1

Series 2017-1, Class A4, 2.26%, 8/20/2020
     2,395,000   2,381,616
GMF Floorplan Owner Revolving Trust

Series 2016-1, Class A1, 1.96%, 5/17/2021 (b)
     1,500,000   1,493,382
Honda Auto Receivables 2016-2 Owner Trust

Series 2016-2, Class A4, 1.62%, 8/15/2022
     1,000,000   992,328
Honda Auto Receivables 2016-3 Owner Trust

Series 2016-3, Class A3, 1.16%, 5/18/2020
     265,340   263,871
Honda Auto Receivables 2017-4 Owner Trust

Series 2017-4, Class A2, 1.80%, 1/21/2020
     87,580   87,389
Hyundai Auto Receivables Trust 2015-C

Series 2015-C, Class A4, 1.78%, 11/15/2021
     1,060,000   1,055,224
Hyundai Auto Receivables Trust 2017-B

Series 2017-B, Class A2A, 1.57%, 8/17/2020
     171,900   171,300
Nissan Auto Lease Trust 2017-B

Series 2017-B, Class A2A, 1.83%, 12/16/2019
     457,226   455,693
Nissan Auto Receivables Owner Trust:          
Series 2017-A, Class A2A, 1.47%, 1/15/2020
     6,864   6,860
Series 2015-C, Class A3, 1.37%, 5/15/2020
     109,346   108,991
Series 2018-A, Class A2A, 2.39%, 12/15/2020
     389,054   387,992
Nissan Master Owner Trust Receivables

Series 2016-A, Class A2, 1.54%, 6/15/2021
     1,750,000   1,738,294
Santander Drive Auto Receivables Trust 2014-4

Series 2014-4, Class D, 3.10%, 11/16/2020
     2,919,767   2,919,447
Security Description     Principal
Amount 		  Value
Toyota Auto Receivables 2016-C

Series 2016-C, Class A4, 1.32%, 11/15/2021
     $ 1,500,000   $ 1,475,481
Toyota Auto Receivables Owner Trust:          
Series 2017-B, Class A2A, 1.46%, 1/15/2020
     28,755   28,724
Series 2015-B, Class A4, 1.74%, 9/15/2020
     596,040   595,223
World Omni Auto Receivables Trust

Series 2015-B, Class A3, 1.49%, 12/15/2020
     146,727   146,416
World Omni Auto Receivables Trust 2015-A

Series 2015-A, Class A4, 1.75%, 4/15/2021
     1,012,153   1,009,602
World Omni Auto Receivables Trust 2018-A

Series 2018-A, Class A2, 2.19%, 5/17/2021
     519,699   517,658
World Omni Automobile Lease Securitization Trust 2018-B

Series 2018-B, Class A2A, 2.96%, 6/15/2021
     1,500,000   1,497,972
          23,844,673
CREDIT CARD — 9.9%          
American Express Credit Account Master Trust

Series 2017-4, Class A, 1.64%, 12/15/2021
     1,800,000   1,791,586
BA Credit Card Trust:          
Series 2017-A1, Class A1, Class A1, 1.95%, 8/15/2022
     1,000,000   988,188
Series 2016-A1, Class A, 1 Month USD LIBOR + 0.39%, 2.85%, 10/15/2021 (a)
     400,000   400,220
Series 2014-A1, Class A, 1 Month USD LIBOR + 0.38%, 2.84%, 6/15/2021 (a)
     250,000   250,017
Capital One Multi-Asset Execution Trust:          
Series 2016-A4, Class A4, 1.33%, 6/15/2022
     500,000   495,022
Series 2016-A3, Class A3, 1.34%, 4/15/2022
     1,500,000   1,488,761
CARDS II Trust:          
Series 2018-1A, Class A, 1 Month USD LIBOR + 0.35%, 2.81%, 4/17/2023 (a)  (b)
     500,000   500,614
Series 2017-1A, Class A, 1 Month USD LIBOR + 0.37%, 2.83%, 4/18/2022 (a)  (b)
     400,000   399,961
Chase Issuance Trust:          
 
See accompanying notes to financial statements.
19

Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 2016-A5, Class A5, 1.27%, 7/15/2021
     $ 1,000,000   $ 991,273
Series 2012-A4, Class A4, 1.58%, 8/15/2021
     500,000   495,889
Citibank Credit Card Issuance Trust

Series 2017-A2, Class A2, 1.74%, 1/19/2021
     2,160,000   2,158,848
Discover Card Execution Note Trust:          
Series 2016-A4, Class A4, 1.39%, 3/15/2022
     1,000,000   989,161
Series 2016-A2, Class A2, 1 Month USD LIBOR + 0.54%, 3.00%, 9/15/2021 (a)
     500,000   500,319
Evergreen Credit Card Trust:          
Series 2018-2, Class A, 1 Month USD LIBOR + 0.35%, 2.81%, 7/15/2022 (a)  (b)
     250,000   249,880
Series 2017-1, Class A, 1 Month USD LIBOR + 0.26%, 2.72%, 10/15/2021 (a)  (b)
     700,000   699,453
Golden Credit Card Trust

Series 2018-3A, Class A, 1 Month USD LIBOR + 0.32%, 2.78%, 5/15/2023 (a)  (b)
     600,000   599,981
Gracechurch Card Funding PLC

Series 2018-1A, Class A, 1 Month USD LIBOR + 0.40%, 2.86%, 7/15/2022 (a)  (b)
     500,000   499,315
Master Credit Card Trust II

Series 2018-3A, Class A, 1 Month USD LIBOR + 0.34%, 2.82%, 1/21/2022 (a)  (b)
     1,000,000   1,001,190
World Financial Network Credit Card Master Trust

Series 2012-A, Class A, 3.14%, 1/17/2023
     1,000,000   1,000,032
          15,499,710
TOTAL ASSET-BACKED SECURITIES

(Cost $39,317,130)
         39,344,383
FOREIGN GOVERNMENT OBLIGATIONS — 0.2%          
CANADA — 0.2%          
Province of Quebec Canada

Series MTN, 3 Month USD LIBOR + 0.13%, 2.92%, 9/21/2020 (a)

(Cost $250,000)
     250,000   250,535
U.S. TREASURY OBLIGATIONS — 15.8%          
Treasury Bills:          
2.33%, 2/14/2019
     5,300,000   5,285,020
2.64%, 12/5/2019
     7,500,000   7,323,132
Treasury Notes:          
Security Description     Principal
Amount 		  Value
1.13%, 4/30/2020
     $ 4,000,000   $ 3,924,687
1.25%, 6/30/2019
     1,000,000   993,779
1.38%, 9/30/2019
     1,640,000   1,624,940
2.00%, 1/31/2020
     2,550,000   2,533,179
2.61%, 7/31/2019
     3,000,000   2,971,401
TOTAL U.S. TREASURY OBLIGATIONS

(Cost $24,657,094)
         24,656,138
MORTGAGE-BACKED SECURITIES — 0.6%          
Holmes Master Issuer PLC Series 2018-2A, Class A1, 1 Month USD LIBOR + 0.35%, 2.81%, 7/15/2019 (a)  (b)
     1,000,000   999,246
    Shares  
CERTIFICATE OF DEPOSIT — 0.5%      
Bank of Nova Scotia 2.83% (a)
   500,000 499,712
MUFG Bank, Ltd. 3.20% (a)
   300,000 300,602
TOTAL CERTIFICATE OF DEPOSIT

(Cost $800,314)
     800,314
       
SHORT-TERM INVESTMENT — 11.8%  
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (c) (d)

(Cost $18,344,408)
 18,344,408 18,344,408
TOTAL INVESTMENTS — 102.4%

(Cost $160,479,455)
 160,193,874
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)%
(3,703,319)
NET ASSETS — 100.0%
 $ 156,490,555
(a) Variable Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 14.6% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at December 31, 2018.
FRN = Floating Rate Note
GMTN = Global Medium Term Note
LIBOR = London Interbank Offered Rate
 
See accompanying notes to financial statements.
20

Table of Contents
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Corporate Bonds & Notes
   $ —   $ 75,798,850   $—   $ 75,798,850
Asset-Backed Securities
   —   39,344,383   —   39,344,383
Foreign Government Obligations
   —   250,535   —   250,535
U.S. Treasury Obligations
   —   24,656,138   —   24,656,138
Mortgage-Backed Securities
   —   999,246   —   999,246
Certificate of Deposit
   —   800,314   —   800,314
Short-Term Investment
   18,344,408   —   —   18,344,408
TOTAL INVESTMENTS
   $18,344,408   $141,849,466   $—   $160,193,874
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 4,033,700   $4,033,700   $79,615,289   $65,304,581   $—   $—   18,344,408   $18,344,408   $33,147   $—
See accompanying notes to financial statements.
21

Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Shares   Value
COMMON STOCKS — 99.0%          
AEROSPACE & DEFENSE — 4.0%      
Boeing Co.
   3,096   $ 998,460
BANKS — 4.1%      
JPMorgan Chase & Co.
   8,560   835,627
Wells Fargo & Co.
   3,845   177,178
          1,012,805
BEVERAGES — 1.5%      
Molson Coors Brewing Co. Class B
   6,792   381,439
BIOTECHNOLOGY — 1.1%      
Celgene Corp. (a)
   4,145   265,653
CHEMICALS — 0.5%      
LyondellBasell Industries NV Class A
   1,543   128,316
CONSUMER FINANCE — 1.0%      
Discover Financial Services
   4,257   251,078
ELECTRIC UTILITIES — 2.3%      
Exelon Corp.
   12,715   573,447
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 4.7%      
Simon Property Group, Inc. REIT
   2,691   452,061
STORE Capital Corp. REIT
   25,621   725,331
          1,177,392
FOOD & STAPLES RETAILING — 2.8%      
Walgreens Boots Alliance, Inc.
   10,240   699,699
FOOD PRODUCTS — 2.7%      
Tyson Foods, Inc. Class A
   12,753   681,010
HEALTH CARE PROVIDERS & SERVICES — 5.1%      
Cigna Corp.
   1,723   327,244
CVS Health Corp.
   9,223   604,291
HCA Healthcare, Inc.
   1,071   133,286
Molina Healthcare, Inc. (a)
   1,623   188,625
          1,253,446
HOTELS, RESTAURANTS & LEISURE — 4.1%      
Chipotle Mexican Grill, Inc. (a)
   1,747   754,337
Starbucks Corp.
   3,938   253,607
          1,007,944
HOUSEHOLD PRODUCTS — 0.6%      
Procter & Gamble Co.
   1,697   155,988
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 5.4%      
AES Corp.
   34,787   503,020
NRG Energy, Inc.
   21,201   839,560
          1,342,580
INSURANCE — 6.3%      
MetLife, Inc.
   19,675   807,855
Prudential Financial, Inc.
   9,158   746,835
          1,554,690
Security Description     Shares   Value
INTERACTIVE MEDIA & SERVICES — 2.2%      
Alphabet, Inc. Class C (a)
   526   $ 544,731
INTERNET & DIRECT MARKETING RETAIL — 4.2%      
Amazon.com, Inc. (a)
   695   1,043,869
IT SERVICES — 4.1%      
DXC Technology Co.
   8,631   458,910
International Business Machines Corp.
   1,122   127,538
VeriSign, Inc. (a)
   2,838   420,847
          1,007,295
MACHINERY — 4.0%      
Allison Transmission Holdings, Inc.
   15,782   692,988
Cummins, Inc.
   2,169   289,865
          982,853
MEDIA — 2.5%      
Comcast Corp. Class A
   18,113   616,748
OIL, GAS & CONSUMABLE FUELS — 4.0%      
Exxon Mobil Corp.
   6,152   419,505
Valero Energy Corp.
   7,751   581,092
          1,000,597
PHARMACEUTICALS — 10.6%      
Bristol-Myers Squibb Co.
   2,378   123,609
Eli Lilly & Co.
   8,688   1,005,375
Johnson & Johnson
   6,819   879,992
Merck & Co., Inc.
   8,215   627,708
          2,636,684
ROAD & RAIL — 2.6%      
Union Pacific Corp.
   4,688   648,022
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.2%      
Intel Corp.
   22,199   1,041,799
SOFTWARE — 8.3%      
Adobe, Inc. (a)
   1,656   374,654
Microsoft Corp.
   16,465   1,672,350
          2,047,004
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 3.8%      
Apple, Inc.
   4,729   745,952
Western Digital Corp.
   5,336   197,272
          943,224
TOBACCO — 2.3%      
Philip Morris International, Inc.
   8,486   566,525
TOTAL COMMON STOCKS

(Cost $26,053,802)
         24,563,298
 
See accompanying notes to financial statements.
22

Table of Contents
SPDR MFS SYSTEMATIC CORE EQUITY ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Shares   Value
SHORT-TERM INVESTMENT — 0.9%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (b) (c)

(Cost $237,693)
   237,693   $ 237,693
TOTAL INVESTMENTS — 99.9%

(Cost $26,291,495)
   24,800,991  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
  16,891  
NET ASSETS — 100.0%
   $ 24,817,882  
    
(a) Non-income producing security.
(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(c) The rate shown is the annualized seven-day yield at December 31, 2018.
REIT = Real Estate Investment Trust
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Common Stocks
   $24,563,298   $—   $—   $24,563,298
Short-Term Investment
   237,693   —   —   237,693
TOTAL INVESTMENTS
   $24,800,991   $—   $—   $24,800,991
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 285,615   $285,615   $701,469   $749,391   $—   $—   237,693   $237,693   $2,928   $—
See accompanying notes to financial statements.
23

Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Shares   Value
COMMON STOCKS — 99.0%          
AEROSPACE & DEFENSE — 4.7%      
Boeing Co.
   4,698   $ 1,515,105
AUTO COMPONENTS — 0.4%      
Lear Corp.
   943   115,857
BIOTECHNOLOGY — 6.5%      
Amgen, Inc.
   2,738   533,007
Biogen, Inc. (a)
   990   297,911
Celgene Corp. (a)
   14,957   958,594
Gilead Sciences, Inc.
   4,857   303,805
          2,093,317
CAPITAL MARKETS — 1.1%      
S&P Global, Inc.
   2,042   347,017
CHEMICALS — 1.9%      
LyondellBasell Industries NV Class A
   7,172   596,423
CONSUMER FINANCE — 1.1%      
Synchrony Financial
   14,836   348,052
ELECTRICAL EQUIPMENT — 1.5%      
Eaton Corp. PLC
   6,849   470,252
ENTERTAINMENT — 2.0%      
Electronic Arts, Inc. (a)
   8,096   638,855
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.8%      
Extra Space Storage, Inc. REIT
   1,884   170,464
Simon Property Group, Inc. REIT
   2,401   403,344
          573,808
FOOD PRODUCTS — 0.9%      
Tyson Foods, Inc. Class A
   5,157   275,384
HEALTH CARE PROVIDERS & SERVICES — 9.9%      
AmerisourceBergen Corp.
   6,930   515,592
CVS Health Corp.
   10,079   660,376
HCA Healthcare, Inc.
   2,968   369,368
Molina Healthcare, Inc. (a)
   4,767   554,021
UnitedHealth Group, Inc.
   4,277   1,065,486
          3,164,843
HOTELS, RESTAURANTS & LEISURE — 5.9%      
Chipotle Mexican Grill, Inc. (a)
   769   332,046
Domino's Pizza, Inc.
   371   92,004
Marriott International, Inc. Class A
   4,421   479,944
Starbucks Corp.
   15,437   994,143
          1,898,137
HOUSEHOLD DURABLES — 0.7%      
PulteGroup, Inc.
   9,092   236,301
INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 3.2%      
NRG Energy, Inc.
   26,165   1,036,134
INSURANCE — 3.2%      
Allstate Corp.
   1,473   121,714
MetLife, Inc.
   6,777   278,264
Security Description     Shares   Value
Prudential Financial, Inc.
   7,704   $ 628,261
          1,028,239
INTERACTIVE MEDIA & SERVICES — 2.6%      
Alphabet, Inc. Class C (a)
   798   826,417
INTERNET & DIRECT MARKETING RETAIL — 11.6%      
Amazon.com, Inc. (a)
   1,717   2,578,882
Booking Holdings, Inc. (a)
   668   1,150,577
          3,729,459
IT SERVICES — 5.6%      
DXC Technology Co.
   4,427   235,384
International Business Machines Corp.
   8,455   961,080
Mastercard, Inc. Class A
   363   68,480
VeriSign, Inc. (a)
   3,650   541,258
          1,806,202
MACHINERY — 2.1%      
Allison Transmission Holdings, Inc.
   15,344   673,755
PHARMACEUTICALS — 5.2%      
Eli Lilly & Co.
   9,657   1,117,508
Johnson & Johnson
   4,191   540,849
          1,658,357
PROFESSIONAL SERVICES — 0.8%      
Verisk Analytics, Inc. (a)
   2,317   252,646
ROAD & RAIL — 0.8%      
Union Pacific Corp.
   1,969   272,175
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.9%      
Broadcom, Inc.
   3,632   923,545
SOFTWARE — 10.4%      
Adobe, Inc. (a)
   5,688   1,286,853
Microsoft Corp.
   12,849   1,305,073
ServiceNow, Inc. (a)
   4,117   733,032
          3,324,958
SPECIALTY RETAIL — 2.2%      
Best Buy Co., Inc.
   13,221   700,184
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 5.6%      
Apple, Inc.
   11,341   1,788,929
TOBACCO — 3.7%      
Altria Group, Inc.
   21,530   1,063,367
Philip Morris International, Inc.
   1,867   124,641
          1,188,008
TRADING COMPANIES & DISTRIBUTORS — 0.7%      
United Rentals, Inc. (a)
   2,115   216,851
TOTAL COMMON STOCKS

(Cost $34,181,723)
         31,699,210
 
See accompanying notes to financial statements.
24

Table of Contents
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Shares   Value
SHORT-TERM INVESTMENT — 1.0%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (b) (c)

(Cost $314,128)
   314,128   $ 314,128
TOTAL INVESTMENTS — 100.0%

(Cost $34,495,851)
   32,013,338  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (d)
   3,850  
NET ASSETS — 100.0%
   $ 32,017,188  
    
(a) Non-income producing security.
(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(c) The rate shown is the annualized seven-day yield at December 31, 2018.
(d) Amount is less than 0.05% of net assets.
REIT = Real Estate Investment Trust
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Common Stocks
   $31,699,210   $—   $—   $31,699,210
Short-Term Investment
   314,128   —   —   314,128
TOTAL INVESTMENTS
   $32,013,338   $—   $—   $32,013,338
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 414,275   $414,275   $1,178,403   $1,278,550   $—   $—   314,128   $314,128   $3,772   $—
See accompanying notes to financial statements.
25

Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Shares   Value
COMMON STOCKS — 98.1%          
BANKS — 9.4%      
Bank of America Corp.
   54,046   $ 1,331,694
Citigroup, Inc.
   5,038   262,278
JPMorgan Chase & Co.
   12,279   1,198,676
          2,792,648
BEVERAGES — 1.6%      
Molson Coors Brewing Co. Class B
   8,782   493,197
BIOTECHNOLOGY — 0.6%      
Biogen, Inc. (a)
   627   188,677
CHEMICALS — 2.3%      
LyondellBasell Industries NV Class A
   8,174   679,750
COMMUNICATIONS EQUIPMENT — 2.7%      
Cisco Systems, Inc.
   18,453   799,569
CONSUMER FINANCE — 2.7%      
Discover Financial Services
   13,459   793,812
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.5%      
CenturyLink, Inc.
   10,970   166,195
Verizon Communications, Inc.
   5,085   285,879
          452,074
ELECTRIC UTILITIES — 3.7%      
Exelon Corp.
   24,302   1,096,020
ELECTRICAL EQUIPMENT — 4.5%      
Eaton Corp. PLC
   11,005   755,603
Regal Beloit Corp.
   8,171   572,379
          1,327,982
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 6.7%      
Extra Space Storage, Inc. REIT
   4,996   452,038
Host Hotels & Resorts, Inc. REIT
   30,683   511,485
Simon Property Group, Inc. REIT
   1,398   234,850
STORE Capital Corp. REIT
   28,315   801,598
          1,999,971
FOOD & STAPLES RETAILING — 2.3%      
Walgreens Boots Alliance, Inc.
   9,889   675,715
FOOD PRODUCTS — 2.1%      
Tyson Foods, Inc. Class A
   11,908   635,887
HEALTH CARE EQUIPMENT & SUPPLIES — 0.8%      
Medtronic PLC
   2,615   237,861
HEALTH CARE PROVIDERS & SERVICES — 4.9%      
Cigna Corp.
   2,138   405,988
CVS Health Corp.
   9,635   631,285
Humana, Inc.
   1,526   437,168
          1,474,441
HOTELS, RESTAURANTS & LEISURE — 1.4%      
Marriott International, Inc. Class A
   1,598   173,479
Security Description     Shares   Value
Royal Caribbean Cruises, Ltd.
   2,613   $ 255,525
          429,004
HOUSEHOLD DURABLES — 2.6%      
Toll Brothers, Inc.
   23,283   766,709
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 5.5%      
AES Corp.
   46,444   671,580
NRG Energy, Inc.
   24,365   964,854
          1,636,434
INSURANCE — 5.1%      
MetLife, Inc.
   16,946   695,803
Prudential Financial, Inc.
   9,930   809,791
          1,505,594
IT SERVICES — 1.5%      
DXC Technology Co.
   8,441   448,808
MACHINERY — 2.3%      
Cummins, Inc.
   5,084   679,426
MEDIA — 2.2%      
Comcast Corp. Class A
   19,006   647,154
MULTILINE RETAIL — 0.7%      
Target Corp.
   3,382   223,516
OIL, GAS & CONSUMABLE FUELS — 9.1%      
Anadarko Petroleum Corp.
   8,994   394,297
Exxon Mobil Corp.
   7,938   541,292
Kinder Morgan, Inc.
   20,813   320,104
Phillips 66
   7,448   641,645
Valero Energy Corp.
   10,719   803,604
          2,700,942
PHARMACEUTICALS — 11.4%      
Bristol-Myers Squibb Co.
   18,107   941,202
Eli Lilly & Co.
   7,839   907,129
Johnson & Johnson
   8,919   1,150,997
Merck & Co., Inc.
   5,063   386,864
          3,386,192
ROAD & RAIL — 2.7%      
Union Pacific Corp.
   5,873   811,825
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.0%      
Intel Corp.
   25,101   1,177,990
SOFTWARE — 1.1%      
Microsoft Corp.
   3,115   316,391
TOBACCO — 2.7%      
Philip Morris International, Inc.
   12,084   806,728
TOTAL COMMON STOCKS

(Cost $31,485,427)
         29,184,317
 
See accompanying notes to financial statements.
26

Table of Contents
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Shares   Value
SHORT-TERM INVESTMENT — 1.9%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (b) (c)

(Cost $570,956)
   570,956   $ 570,956
TOTAL INVESTMENTS — 100.0%

(Cost $32,056,383)
   29,755,273  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (d)
   10,734  
NET ASSETS — 100.0%
   $ 29,766,007  
    
(a) Non-income producing security.
(b) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(c) The rate shown is the annualized seven-day yield at December 31, 2018.
(d) Amount is less than 0.05% of net assets.
REIT = Real Estate Investment Trust
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Common Stocks
   $29,184,317   $—   $—   $29,184,317
Short-Term Investment
   570,956   —   —   570,956
TOTAL INVESTMENTS
   $29,755,273   $—   $—   $29,755,273
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 272,118   $272,118   $1,086,685   $787,847   $—   $—   570,956   $570,956   $4,011   $—
See accompanying notes to financial statements.
27

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[This Page Intentionally Left Blank]
28

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
  SPDR SSGA Multi-Asset Real Return ETF   SPDR SSGA Income Allocation ETF   SPDR SSGA Global Allocation ETF
ASSETS          
Investments in unaffiliated issuers, at value*
 $ 32,132,989   $ 8,325,449   $ 5,252,801
Investments in affiliated issuers, at value
 105,241,262   104,290,642   291,376,083
Total Investments
 137,374,251   112,616,091   296,628,884
Cash
 162   —   324
Receivable for fund shares sold
 —   61,196   —
Dividends receivable — unaffiliated issuers
 —   —   517,638
Dividends receivable — affiliated issuers
 6,563   2,859   50,775
Interest receivable — unaffiliated issuers
 —   —   —
Securities lending income receivable — unaffiliated issuers
 —   —   27,441
Securities lending income receivable — affiliated issuers  
 11,736   18,653   48,927
TOTAL ASSETS
137,392,712   112,698,799   297,273,989
LIABILITIES          
Payable upon return of securities loaned
 2,474,439   11,704,139   31,494,853
Payable for investments purchased
 —   —   —
Payable for fund shares repurchased
 6   —   722,662
Advisory fee payable
 14,582   20,046   47,255
Trustees’ fees and expenses payable
 27   18   48
TOTAL LIABILITIES
2,489,054   11,724,203   32,264,818
NET ASSETS
$134,903,658   $100,974,596   $265,009,171
NET ASSETS CONSIST OF:          
Paid-in Capital
 $187,422,434   $110,991,573   $273,892,205
Total distributable earnings (loss)
 (52,518,776)   (10,016,977)   (8,883,034)
NET ASSETS
$134,903,658   $100,974,596   $265,009,171
NET ASSET VALUE PER SHARE          
Net asset value per share
 $ 22.87   $ 30.60   $ 34.64
Shares outstanding (unlimited amount authorized, no par value)
 5,900,000   3,300,000   7,650,000
COST OF INVESTMENTS:          
Investments in unaffiliated issuers
 $ 37,933,486   $ 9,798,263   $ 5,897,867
Investments in affiliated issuers
 115,414,665   110,019,713   293,662,074
Total cost of investments
 $153,348,151   $119,817,976   $299,559,941
* Includes investments in securities on loan, at value
 $ 2,527,890   $ 15,826,312   $ 97,809,604
See accompanying notes to financial statements.
29

Table of Contents
SPDR SSGA Ultra Short Term Bond ETF   SPDR MFS Systematic Core Equity ETF   SPDR MFS Systematic Growth Equity ETF   SPDR MFS Systematic Value Equity ETF
             
$141,849,466   $24,563,298   $31,699,210   $29,184,317
18,344,408   237,693   314,128   570,956
160,193,874   24,800,991   32,013,338   29,755,273
83   20   —   28
—   —   —   —
—   30,628   22,409   50,723
19,356   679   664   1,095
423,182   —   —   —
—   —   —   —
—   —   —   —
160,636,495   24,832,318   32,036,411   29,807,119
             
—   —   —   —
4,123,072   —   —   —
—   —   —   22,140
22,856   14,431   19,187   18,965
12   5   36   7
4,145,940   14,436   19,223   41,112
$156,490,555   $24,817,882   $32,017,188   $29,766,007
             
$157,137,316   $26,299,383   $35,046,188   $32,422,740
(646,761)   (1,481,501)   (3,029,000)   (2,656,733)
$156,490,555   $24,817,882   $32,017,188   $29,766,007
             
$ 40.13   $ 70.91   $ 71.15   $ 59.53
3,900,000   350,000   450,000   500,000
             
$142,135,047   $26,053,802   $34,181,723   $31,485,427
18,344,408   237,693   314,128   570,956
$160,479,455   $26,291,495   $34,495,851   $32,056,383
$ —   $ —   $ —   $ —
30

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
  SPDR SSGA Multi-Asset Real Return ETF   SPDR SSGA Income Allocation ETF   SPDR SSGA Global Allocation ETF
INVESTMENT INCOME          
Interest income — unaffiliated issuers
 $ —   $ —   $ —
Dividend income — unaffiliated issuers
 286,838   185,926   88,550
Dividend income — affiliated issuers
 1,900,832   2,265,986   3,485,435
Unaffiliated securities lending income
 25,109   40,572   67,859
Affiliated securities lending income
 77,617   76,371   208,124
Other income
 —   —   —
TOTAL INVESTMENT INCOME (LOSS)
 2,290,396   2,568,855   3,849,968
EXPENSES          
Advisory fee
 108,876   97,813   207,166
Trustees’ fees and expenses  
 1,245   811   2,165
TOTAL EXPENSES
 110,121   98,624   209,331
NET INVESTMENT INCOME (LOSS)
 $ 2,180,275   $ 2,470,231   $ 3,640,637
REALIZED AND UNREALIZED GAIN (LOSS)          
Net realized gain (loss) on:          
Investments — unaffiliated issuers
 (115,361)   42,292   (113,297)
Investments — affiliated issuers
 (1,057,924)   4,172,127   292,761
In-kind redemptions — unaffiliated issuers
 (47,436)   —   485,536
In-kind redemptions — affiliated issuers
 370,490   —   1,203,024
Net realized gain (loss)
 (850,231)   4,214,419   1,868,024
Net change in unrealized appreciation/depreciation on:          
Investments — unaffiliated issuers
 (5,834,991)   (1,472,814)   (1,182,228)
Investments — affiliated issuers
 (14,126,742)   (8,154,537)   (23,021,099)
Net change in unrealized appreciation/depreciation
 (19,961,733)   (9,627,351)   (24,203,327)
NET REALIZED AND UNREALIZED GAIN (LOSS)
 (20,811,964)   (5,412,932)   (22,335,303)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $(18,631,689)   $(2,942,701)   $(18,694,666)
See accompanying notes to financial statements.
31

Table of Contents
SPDR SSGA Ultra Short Term Bond ETF   SPDR MFS Systematic Core Equity ETF   SPDR MFS Systematic Growth Equity ETF   SPDR MFS Systematic Value Equity ETF
             
1,134,239   $ —   $ —   $ —
—   295,045   318,482   485,975
33,147   2,928   3,772   4,011
—   —   —   —
—   —   —   —
—   —   982   —
1,167,386   297,973   323,236   489,986
             
94,649   82,961   125,987   109,764
507   236   402   287
95,156   83,197   126,389   110,051
$1,072,230   $ 214,776   $ 196,847   $ 379,935
             
             
2,015   27,575   (494,683)   (338,707)
—   —   —   —
—   485,698   617,263   277,704
—   —   —   —
2,015   513,273   122,580   (61,003)
             
(290,497)   (1,925,077)   (4,142,048)   (3,180,246)
—   —   —   —
(290,497)   (1,925,077)   (4,142,048)   (3,180,246)
(288,482)   (1,411,804)   (4,019,468)   (3,241,249)
$ 783,748   $(1,197,028)   $(3,822,621)   $(2,861,314)
32

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
  SPDR SSGA Multi-Asset Real Return ETF   SPDR SSGA Income Allocation ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18 		  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:              
Net investment income (loss)
 $ 2,180,275   $ 2,500,965   $ 2,470,231   $ 3,011,514
Net realized gain (loss)
 (850,231)   (665,727)   4,214,419   1,992,130
Net change in unrealized appreciation/depreciation
 (19,961,733)   12,559,946   (9,627,351)   (1,755,232)
Net increase (decrease) in net assets resulting from operations
 (18,631,689)   14,395,184   (2,942,701)   3,248,412
Net equalization credits and charges
 42,098   (6,781)   104,356   (16,838)
Distributions to shareholders (Note 11)
 (2,193,567)   (2,524,937)   (2,785,284)   (2,983,228)
FROM BENEFICIAL INTEREST TRANSACTIONS:              
Proceeds from sale of shares sold
 24,532,577   44,751,476   14,312,912   4,988,040
Cost of shares redeemed
 (12,545,637)   (27,954,964)   —   (8,240,529)
Net income equalization
 (42,098)   6,781   (104,356)   16,838
Other Capital
 —   —   686   —
Net increase (decrease) in net assets from beneficial interest transactions
11,944,842   16,803,293   14,209,242   (3,235,651)
Net increase (decrease) in net assets during the period
 (8,838,316)   28,666,759   8,585,613   (2,987,305)
Net assets at beginning of period
 143,741,974   115,075,215   92,388,983   95,376,288
NET ASSETS AT END OF PERIOD
 $134,903,658   $143,741,974   $100,974,596   $92,388,983
SHARES OF BENEFICIAL INTEREST:              
Shares sold
 1,000,000   1,700,000   450,000   150,000
Shares redeemed
 (500,000)   (1,100,000)   —   (250,000)
Net increase (decrease) from share transactions
 500,000   600,000   450,000   (100,000)
See accompanying notes to financial statements.
33

Table of Contents
SPDR SSGA Global Allocation ETF   SPDR SSGA Ultra Short Term Bond ETF   SPDR MFS Systematic Core Equity ETF
Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18 		  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18 		  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
                     
$ 3,640,637   $ 4,967,140   $ 1,072,230   $ 478,526   $ 214,776   $ 235,376
1,868,024   5,473,116   2,015   (8,832)   513,273   1,524,281
(24,203,327)   7,172,319   (290,497)   (34,849)   (1,925,077)   (468,942)
(18,694,666)   17,612,575   783,748   434,845   (1,197,028)   1,290,715
61,705   32,328   66,453   31,387   (2,607)   9,845
(3,660,053)   (5,038,036)   (1,194,117)   (440,203)   (227,285)   (362,453)
                     
61,365,062   34,147,005   110,538,023   48,298,111   —   33,108,321
(22,930,097)   (5,573,015)   (4,025,667)   (16,107,275)   (3,860,177)   (10,795,866)
(61,705)   (32,328)   (66,453)   (31,387)   2,607   (9,845)
—   —   45,020   40,638   —   (35)
38,373,260   28,541,662   106,490,923   32,200,087   (3,857,570)   22,302,575
16,080,246   41,148,529   106,147,007   32,226,116   (5,284,490)   23,240,682
248,928,925   207,780,396   50,343,548   18,117,432   30,102,372   6,861,690
$265,009,171   $248,928,925   $156,490,555   $ 50,343,548   $24,817,882   $ 30,102,372
                     
1,700,000   900,000   2,750,000   1,200,000   —   450,000
(650,000)   (150,000)   (100,000)   (400,000)   (50,000)   (150,000)
1,050,000   750,000   2,650,000   800,000   (50,000)   300,000
34

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS  (continued)
  SPDR MFS Systematic Growth Equity ETF   SPDR MFS Systematic Value Equity ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18 		  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:              
Net investment income (loss)
 $ 196,847   $ 381,971   $ 379,935   $ 249,431
Net realized gain (loss)
 122,580   4,551,843   (61,003)   397,026
Net change in unrealized appreciation/depreciation
 (4,142,048)   1,473,870   (3,180,246)   337,481
Net increase (decrease) in net assets resulting from operations
 (3,822,621)   6,407,684   (2,861,314)   983,938
Net equalization credits and charges
 —   24,904   2,080   25,776
Distributions to shareholders (Note 11)
 (677,366)   (501,100)   (693,997)   (372,595)
FROM BENEFICIAL INTEREST TRANSACTIONS:              
Proceeds from sale of shares sold
 —   27,658,642   3,345,237   26,360,403
Cost of shares redeemed
 (7,906,693)   (28,220,128)   (2,976,598)   —
Net income equalization
 —   (24,904)   (2,080)   (25,776)
Net increase (decrease) in net assets from beneficial interest transactions
(7,906,693)   (586,390)   366,559   26,334,627
Net increase (decrease) in net assets during the period
 (12,406,680)   5,345,098   (3,186,672)   26,971,746
Net assets at beginning of period
 44,423,868   39,078,770   32,952,679   5,980,933
NET ASSETS AT END OF PERIOD
 $ 32,017,188   $ 44,423,868   $29,766,007   $32,952,679
SHARES OF BENEFICIAL INTEREST:              
Shares sold
 —   350,000   50,000   400,000
Shares redeemed
 (100,000)   (350,000)   (50,000)   —
Net increase (decrease) from share transactions
 (100,000)   —   —   400,000
See accompanying notes to financial statements.
35

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
  SPDR SSGA Multi-Asset Real Return ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  Year
Ended
6/30/14(a)
Net asset value, beginning of period
 $ 26.62   $ 23.97   $ 24.38   $ 25.85   $ 30.86   $ 27.68
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 0.40   0.53   0.56   0.30   0.43   0.57
Net realized and unrealized gain (loss) (c)
 (3.78)   2.64   (0.44)   (1.43)   (5.02)   3.22
Total from investment operations
 (3.38)   3.17   0.12   (1.13)   (4.59)   3.79
Net equalization credits and charges (b)
 0.01   (0.00)(d)   0.01   0.01   0.01   0.01
Distributions to shareholders from:                      
Net investment income
 (0.38)   (0.52)   (0.54)   (0.35)   (0.43)   (0.62)
Net asset value, end of period
 $ 22.87   $ 26.62   $ 23.97   $ 24.38   $ 25.85   $ 30.86
Total return (e)
 (12.71)%   13.26%   0.56%   (4.22)%   (14.84)%   13.85%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $134,904   $143,742   $115,075   $80,441   $140,895   $163,580
Ratios to average net assets:                      
Total expenses
 0.16%(f)   0.22%   0.22%   0.28%   0.23%   0.24%
Net investment income (loss)
 3.08%(f)   2.04%   2.28%   1.29%   1.53%   1.97%
Portfolio turnover rate
 11%(g)   44%(h)   46%(h)   25%(h)   33%(h)   40%(h)
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
36

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR SSGA Income Allocation ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  Year
Ended
6/30/14(a)
Net asset value, beginning of period
 $ 32.42   $ 32.33   $ 31.23   $ 31.16   $ 32.70   $ 29.90
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 0.85   1.02   1.10   0.93   0.97   1.16
Net realized and unrealized gain (loss) (c)
 (1.82)   0.09   0.98   0.22   (1.51)   2.86
Total from investment operations
 (0.97)   1.11   2.08   1.15   (0.54)   4.02
Net equalization credits and charges (b)
 0.04   (0.01)   (0.01)   (0.02)   0.02   (0.03)
Other capital (b)
 0.00(d)   —   —   —   —   —
Distributions to shareholders from:                      
Net investment income
 (0.89)   (1.01)   (0.97)   (1.06)   (1.02)   (1.19)
Net asset value, end of period
 $ 30.60   $ 32.42   $ 32.33   $ 31.23   $ 31.16   $ 32.70
Total return (e)
 (2.88)%   3.34%   6.78%   3.77%   (1.59)%   13.57%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $100,975   $92,389   $95,376   $104,605   $120,020   $103,035
Ratios to average net assets:                      
Total expenses
 0.21%(f)   0.39%   0.37%   0.37%   0.35%   0.36%
Net investment income (loss)
 5.23%(f)   3.07%   3.49%   3.07%   3.00%   3.73%
Portfolio turnover rate
 57%(g)   29%(h)   47%(h)   54%(h)   64%(h)   63%(h)
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
37

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR SSGA Global Allocation ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  Year
Ended
6/30/14(a)
Net asset value, beginning of period
 $ 37.72   $ 35.52   $ 33.35   $ 34.61   $ 35.47   $ 31.18
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 0.53   0.81   0.99   0.81   0.92   0.98
Net realized and unrealized gain (loss) (c)
 (3.13)   2.18   2.03   (1.09)   (0.73)   4.20
Total from investment operations
 (2.60)   2.99   3.02   (0.28)   0.19   5.18
Net equalization credits and charges (b)
 0.01   0.01   0.00(d)   0.02   0.05   0.02
Distributions to shareholders from:                      
Net investment income
 (0.49)   (0.80)   (0.85)   (0.94)   (0.91)   (0.91)
Net realized gains
 —   —   —   (0.06)   (0.19)   —
Total distributions
 (0.49)   (0.80)   (0.85)   (1.00)   (1.10)   (0.91)
Net asset value, end of period
 $ 34.64   $ 37.72   $ 35.52   $ 33.35   $ 34.61   $ 35.47
Total return (e)
 (6.90)%   8.46%   9.14%   (0.63)%   0.66%   16.81%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $265,009   $248,929   $207,780   $185,112   $143,655   $97,589
Ratios to average net assets:                      
Total expenses
 0.16%(f)   0.20%   0.20%   0.20%   0.20%   0.20%
Net expenses
 0.16%(f)   0.09%   0.01%   0.06%   0.05%   0.05%
Net investment income (loss)
 2.85%(f)   2.14%   2.91%   2.45%   2.60%   2.91%
Portfolio turnover rate
 26%(g)   43%(h)   90%(h)   86%(h)   98%(h)   89%(h)
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
38

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR SSGA Ultra Short Term Bond ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  For the
Period
10/9/13* -
6/30/14(a)
Net asset value, beginning of period
 $ 40.27   $ 40.26   $ 40.06   $ 40.05   $ 40.10   $ 40.00
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 0.46   0.68   0.44   0.27   0.13   0.10
Net realized and unrealized gain (loss) (c)
 (0.12)   (0.14)   0.13   (0.21)   (0.05)   0.03
Total from investment operations
 0.34   0.54   0.57   0.06   0.08   0.13
Net equalization credits and charges (b)
 0.03   0.04   (0.00)(d)   0.07   0.00(d)   0.00(d)
Other capital (b)
 0.02   0.06   0.05   0.12   0.01   0.05
Distributions to shareholders from:                      
Net investment income
 (0.53)   (0.63)   (0.42)   (0.18)   (0.14)   (0.08)
Net realized gains
 —   —   —   (0.06)   —   —
Total distributions
 (0.53)   (0.63)   (0.42)   (0.24)   (0.14)   (0.08)
Net asset value, end of period
 $ 40.13   $ 40.27   $ 40.26   $ 40.06   $ 40.05   $ 40.10
Total return (e)
 0.94%   1.60%   1.53%   0.65%   0.20%   0.46%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $156,491   $50,344   $18,117   $24,039   $16,018   $14,035
Ratios to average net assets:                      
Total expenses
 0.20%(f)   0.20%   0.20%   0.20%   0.20%   0.20%(f)
Net investment income (loss)
 2.27%(f)   1.70%   1.09%   0.69%   0.33%   0.34%(f)
Portfolio turnover rate
 5%(g)   76%(h)   83%(h)   407%(h)   79%(h)   39%(g)(h)
* Commencement of operations.
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
39

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR MFS Systematic Core Equity ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  For the
Period
1/8/14* -
6/30/14(a)
Net asset value, beginning of period
 $ 75.26   $ 68.62   $58.09   $58.53   $53.60   $50.00
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 0.61   1.13   0.97   1.02   0.81   0.31
Net realized and unrealized gain (loss) (c)
 (4.30)   7.30   10.53   0.00(d)   6.48   3.59
Total from investment operations
 (3.69)   8.43   11.50   1.02   7.29   3.90
Net equalization credits and charges (b)
 (0.01)   0.05   —   0.20   (0.04)   —
Other capital (b) —   (0.00)(d)   —   —   —   —
Distributions to shareholders from:                      
Net investment income
 (0.65)   (0.96)   (0.97)   (1.03)   (0.88)   (0.30)
Net realized gains
 —   (0.88)   —   (0.63)   (1.44)   —
Total distributions
 (0.65)   (1.84)   (0.97)   (1.66)   (2.32)   (0.30)
Net asset value, end of period
 $ 70.91   $ 75.26   $68.62   $58.09   $58.53   $53.60
Total return (e)
 (4.96)%   12.36%   19.92%   2.21%   13.70%   7.81%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $24,818   $30,102   $6,862   $5,809   $2,926   $5,360
Ratios to average net assets:                      
Total expenses
 0.60%(f)   0.60%   0.60%   0.61%   0.60%   0.60%(f)
Net investment income (loss)
 1.55%(f)   1.51%   1.52%   1.78%   1.42%   1.25%(f)
Portfolio turnover rate
 29%(g)   67%(h)   67%(h)   39%(h)   54%(h)   27%(g)(h)
* Commencement of operations.
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
40

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR MFS Systematic Growth Equity ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  For the
Period
1/8/14* -
6/30/14(a)
Net asset value, beginning of period
 $ 80.77   $ 71.05   $ 60.67   $ 60.24   $53.56   $50.00
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 0.39   0.61   0.70   0.63   0.66   0.28
Net realized and unrealized gain (loss) (c)
 (8.57)   9.80   10.27   1.62   8.60   3.55
Total from investment operations
 (8.18)   10.41   10.97   2.25   9.26   3.83
Net equalization credits and charges (b)
 —   0.04   0.01   0.01   0.00(d)   —
Distributions to shareholders from:                      
Net investment income
 (0.45)   (0.60)   (0.60)   (0.61)   (0.68)   0.27
Net realized gains
 (0.99)   (0.13)   —   (1.22)   (1.90)   —
Total distributions
 (1.44)   (0.73)   (0.60)   (1.83)   (2.58)   (0.27)
Net asset value, end of period
 $ 71.15   $ 80.77   $ 71.05   $ 60.67   $60.24   $53.56
Total return (e)
 (10.15)%   14.71%   18.18%   3.96%   17.53%   7.68%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $32,017   $44,424   $39,079   $12,134   $6,024   $5,356
Ratios to average net assets:                      
Total expenses
 0.60%(f)   0.61%   0.60%   0.61%   0.60%   0.60%(f)
Net investment income (loss)
 0.94%(f)   0.77%   1.05%   1.06%   1.14%   1.16%(f)
Portfolio turnover rate
 40%(g)   76%(h)   55%(h)   56%(h)   67%(h)   20%(g)(h)
* Commencement of operations.
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
41

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR MFS Systematic Value Equity ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  For the
Period
1/8/14* -
6/30/14(a)
Net asset value, beginning of period
 $ 65.91   $ 59.81   $51.99   $57.90   $52.67   $50.00
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 0.70   1.21   1.03   0.99   0.75   0.34
Net realized and unrealized gain (loss) (c)
 (5.82)   6.94   8.99   (2.66)   6.28   2.67
Total from investment operations
 (5.12)   8.15   10.02   (1.67)   7.03   3.01
Net equalization credits and charges (b)
 0.00(d)   0.12   0.04   —   (0.03)   —
Distributions to shareholders from:                      
Net investment income
 (0.72)   (1.06)   (1.01)   (1.01)   (0.85)   (0.34)
Net realized gains
 (0.54)   (1.11)   (1.23)   (3.23)   (0.92)   —
Total distributions
 (1.26)   (2.17)   (2.24)   (4.24)   (1.77)   (0.34)
Net asset value, end of period
 $ 59.53   $ 65.91   $59.81   $51.99   $57.90   $52.67
Total return (e)
 (7.80)%   13.82%   19.61%   (2.47)%   13.47%   6.04%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $29,766   $32,953   $5,981   $2,599   $2,895   $5,267
Ratios to average net assets:                      
Total expenses
 0.60%(f)   0.60%   0.60%   0.62%   0.60%   0.60%(f)
Net investment income (loss)
 2.08%(f)   1.83%   1.80%   1.85%   1.36%   1.43%(f)
Portfolio turnover rate
 28%(g)   54%(h)   64%(h)   64%(h)   61%(h)   23%(g)(h)
* Commencement of operations.
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
42

Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1.    Organization
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following series (each, a “Fund” and collectively, the “Funds”):
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
SPDR SSGA Ultra Short Term Bond ETF
SPDR MFS Systematic Core Equity ETF
SPDR MFS Systematic Growth Equity ETF
SPDR MFS Systematic Value Equity ETF
Each Fund is classified as a diversified investment company under the 1940 Act, with the exception of SPDR SSGA Ultra Short Term Bond ETF, which is a non-diversified investment company.
Prior to the close of business on May 7, 2018, each fund had been operating in a “master –feeder” arrangement, under which each Fund invested substantially all of its assets in a corresponding series of SSGA Master Trust (i.e., a “Portfolio/ Master fund”). Each Portfolio was a separate mutual fund that had identical investment objective, and substantially identical investment strategies, policies and risks as the respective Fund (i.e., a “feeder fund”). As a result of this arrangement, each Fund had an indirect interest in all of the securities owned by the corresponding Portfolio.
As of the close of business on May 8, 2018, the securities held by each Portfolio were transferred “in-kind” to their respective Feeder in a tax-free exchange of each Feeder’s interests as part of a complete liquidation of the corresponding Portfolio.
Effective May 7, 2018, each Fund pursues its investment objective through direct investment in securities of the same type that previously would have been owned by the corresponding Portfolio. The discontinuance of the master-feeder arrangement on each Fund had no impact on shareholder’s net asset value or the results of operations for each Fund.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2.    Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
43

Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Valuation techniques used to value each Fund’s investments by major category are as follows:
•  Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
•  Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
•  Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.
•  Debt obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
•  Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
•  Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•  Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2018, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions, prior to May 7, 2018, consist of the Fund’s pro-rata share of its corresponding Portfolio’s realized gains and losses. Realized gains and losses from the sale and disposition of investments are determined using the identified cost method. For activity prior to May 7, 2018, net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Subsequent to May 7, 2018, dividend income and capital gain distributions, if any, are recognized on the ex-dividend date,or when the information becomes available, net of any foreign taxes withheld at source, if any. Interest income is recorded on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income. Non-cash dividends if any, received in the form of stock are recorded as dividend income at fair value.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust.
Each Fund was allocated a pro rata share of the expenses of its corresponding Portfolio prior to May 7, 2018.
Equalization
Certain Funds in the Trust follow the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.
The following Funds utilized equalization during the period ended December 31, 2018:
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
SPDR SSGA Ultra Short Term Bond ETF
SPDR MFS Systematic Core Equity ETF
SPDR MFS Systematic Value Equity ETF
Distributions
Distributions from net investment income, if any, are declared and paid quarterly for all Funds, except for the SPDR SSGA Ultra Short Term Bond Fund ETF. The SPDR SSGA Ultra Short Term Bond Fund ETF declares and distributes distributions to shareholders monthly.
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
SPDR MFS Systematic Core Equity ETF
SPDR MFS Systematic Growth Equity ETF
SPDR MFS Systematic Value Equity ETF
Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.    Fees and Transactions with Affiliates
Advisory Fee
Each Fund has entered into an Investment Advisory Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:
  Annual Rate
SPDR SSGA Multi-Asset Real Return ETF
 0.50% (1)
SPDR SSGA Income Allocation ETF
 0.50 (1)
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Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
  Annual Rate
SPDR SSGA Global Allocation ETF
 0.35%
SPDR SSGA Ultra Short Term Bond ETF
 0.20
SPDR MFS Systematic Core Equity ETF
 0.60
SPDR MFS Systematic Growth Equity ETF
 0.60
SPDR MFS Systematic Value Equity ETF
 0.60
(1) Prior to September 4, 2018, the management fee of the Fund was 0.70%.
The Adviser pays all expenses of each Fund other than management fee, brokerage expenses,brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses, and other extraordinary expenses.
The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse expenses in an amount equal to acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes, if any) for each Fund until October 31, 2019.
Administrator, Custodian, Sub-Administrator and Transfer Agent Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates - Securities Lending
State Street, an affiliate of the Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.
Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.
In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2018, are disclosed in the Schedules of Investments.
4.    Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
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Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
5.    Investment Transactions
Purchases and sales of investments (excluding in-kind transactions and short term investments) for the period ended December 31, 2018, were as follows:
  Purchases   Sales
SPDR SSGA Multi-Asset Real Return ETF
 $15,684,694   $19,536,211
SPDR SSGA Income Allocation ETF
 52,954,189   53,283,452
SPDR SSGA Global Allocation ETF
 61,221,813   63,903,197
SPDR SSGA Ultra Short Term Bond ETF
 88,154,930   3,690,171
SPDR MFS Systematic Core Equity ETF
 8,347,321   7,997,832
SPDR MFS Systematic Growth Equity ETF
 16,099,546   16,520,155
SPDR MFS Systematic Value Equity ETF
 9,922,714   10,039,534
For the period ended December 31, 2018, the following Funds had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:
  In-kind
Contributions 		  In-kind
Redemptions 		  In-kind Net
Realized
Gains/(Losses)
SPDR SSGA Multi-Asset Real Return ETF
 $23,190,520   $11,218,711   $ 323,054
SPDR SSGA Income Allocation ETF
 13,740,126   —   —
SPDR SSGA Global Allocation ETF
 53,355,541   18,974,655   1,688,560
SPDR MFS Systematic Core Equity ETF
 —   3,831,823   485,698
SPDR MFS Systematic Growth Equity ETF
 —   7,844,452   617,263
SPDR MFS Systematic Value Equity ETF
 3,320,500   2,954,457   277,704
6.    Shareholder Transactions
Each Fund issues and redeems its shares, at NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
7.    Income Tax Information
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Funds' tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
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Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
As of December 31, 2018, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
  Tax
Cost 		  Gross
Unrealized
Appreciation 		  Gross
Unrealized
Depreciation 		  Net Unrealized
Appreciation
(Depreciation)
SPDR SSGA Multi-Asset Real Return ETF
 $157,016,215   $ —   $19,641,964   $(19,641,964)
SPDR SSGA Income Allocation ETF
 119,959,590   48,553   7,392,052   (7,343,499)
SPDR SSGA Global Allocation ETF
 299,702,147   5,360,045   8,433,308   (3,073,263)
SPDR SSGA Ultra Short Term Bond ETF
 160,480,551   53,739   340,416   (286,677)
SPDR MFS Systematic Core Equity ETF
 26,294,158   1,083,482   2,576,649   (1,493,167)
SPDR MFS Systematic Growth Equity ETF
 34,479,838   1,567,109   4,033,609   (2,466,500)
SPDR MFS Systematic Value Equity ETF
 32,057,681   1,081,086   3,383,494   (2,302,408)
8.    Securities Lending
Each Fund may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.
The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.
The market value of securities on loan as of December 31, 2018, and the value of the invested cash collateral are disclosed in the Funds Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds Statements of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of each Fund’s securities lending agreements and related cash and non-cash collateral received as of December 31, 2018:
Fund   Market Value of
Securities on Loan 		  Cash
Collateral
Received 		  Non-Cash
Collateral
Received* 		  Total
Collateral
Received
SPDR SSGA Multi-Asset Real Return ETF
   $ 2,527,890   $ 2,474,439   $ —   $ 2,474,439
SPDR SSGA Income Allocation ETF
  15,826,312   11,704,139   —   11,704,139
SPDR SSGA Global Allocation ETF
  97,809,604   31,494,853   —   31,494,853
* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.
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Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31, 2018:
        Remaining Contractual Maturity of the Agreements
As of December 31, 2018
Fund   Securities
Lending
Transactions 		  Overnight
and
Continuous 		  <30 Days   Between
30 & 90
Days 		  >90 Days   Total
Borrowings 		  Gross Amount
of Recognized
Liabilities for
Securities Lending Transactions
SPDR SSGA Multi-Asset Real Return ETF
   Mutual Funds and Exchange Traded Products   $ 2,474,439   $—   $—   $—   $ 2,474,439   $ 2,474,439
SPDR SSGA Income Allocation ETF
   Mutual Funds and Exchange Traded Products   11,704,139   —   —   —   11,704,139   11,704,139
SPDR SSGA Global Allocation ETF
   Mutual Funds and Exchange Traded Products   31,494,853   —   —   —   31,494,853   31,494,853
9.    Line of Credit
Certain Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2019 unless extended or renewed.
The SPDR SSGA Ultra Short Term Bond ETF participates in the credit facility as of period ended December 31, 2018.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. The Fund had no outstanding loans as of December 31, 2018.
10.    Risks
Concentration Risk
As a result of the Funds' ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds were more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the undefined invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the undefined invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
11.    New Accounting Pronouncements
In August 2018, the U.S. Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Funds have adopted the Final Rule for the current period with the most notable impacts being that the Funds are no longer required to present components of distributable earnings on the Statements of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net Assets.
For the period ended June 30, 2018, distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
  Net
Investment
Income 		  Net Realized
Gains 		  Total
Distributions 		  Undistributed
Net Investment
Income (Loss)
SPDR SSGA Multi-Asset Real Return ETF
 $2,524,937   $ —   $2,524,937   $ —
SPDR SSGA Income Allocation ETF
 2,983,228   —   2,983,228   302,435
SPDR SSGA Global Allocation ETF
 5,038,036   —   5,038,036   335,901
SPDR SSGA Ultra Short Term Bond ETF
 440,203   —   440,203   47,385
SPDR MFS Systematic Core Equity ETF
 230,288   132,165   362,453   —
SPDR MFS Systematic Growth Equity ETF
 390,903   110,197   501,100   —
SPDR MFS Systematic Value Equity ETF
 261,180   111,415   372,595   —
12.    Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Fund's cost in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
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SSGA ACTIVE TRUST
OTHER INFORMATION  (continued)
December 31, 2018 (Unaudited)
      Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period(a) 		  Ending Account
Value 		  Expenses Paid
During Period(a)
SPDR SSGA Multi-Asset Real Return ETF
 0.16%   $ 872.90   $0.76   $1,024.40   $0.82
SPDR SSGA Income Allocation ETF
 0.21%   971.20   1.04   1,024.10   1.07
SPDR SSGA Global Allocation ETF
 0.16%   931.00   0.78   1,024.40   0.82
SPDR SSGA Ultra Short Term Bond ETF
 0.20%   1,009.40   1.01   1,024.20   1.02
SPDR MFS Systematic Core Equity ETF
 0.60%   950.40   2.95   1,022.20   3.06
SPDR MFS Systematic Growth Equity ETF
 0.60%   898.50   2.87   1,022.20   3.06
SPDR MFS Systematic Value Equity ETF
 0.60%   922.00   2.91   1,022.20   3.06
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.
Premium/Discount Information
Information regarding how often the Shares of each Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the most recent 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Funds' website at www.spdrs.com.
Quarterly Portfolio Schedule
The Funds file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. 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.
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SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
 
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
SSGA Active Trust
For more complete information, please call 1.866.787.2257 or visit www.spdrs.com today.
State Street Global Advisors
One Iron Street
Boston, MA 02210
ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
Because the SPDR SSGA Active Asset Allocation ETFs are actively managed, they are therefore subject to the risk that the investments selected by SSGA may cause the ETFs to underperform relative to their benchmarks or other funds with similar investment objectives. Actively managed ETFs do not seek to replicate the performance of a specified index.
Foreign investments involve greater risks than U.S. investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Investing in commodities entail significant risk and is not appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends, commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and
expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.
Standard & Poor’s, S&P and SPDR are registered trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Advisors Funds Distributors, LLC, member FINRA, SIPC, an indirect 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. SSGA Funds Management has retained Massachusetts Financial Services Company as the sub-adviser.
Massachusetts Financial Services Company is not affiliated with State Street Global Advisors Funds Distributors, LLC.
Before investing, consider a Fund’s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit www.spdrs.com. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
 
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
© 2019 State Street Corporation - All Rights Reserved
SPDRACTIVETSAR

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Semi-Annual Report
December 31, 2018
SSGA Active Trust
SPDR DoubleLine Emerging Markets Fixed Income ETF
SPDR DoubleLine Short Duration Total Return Tactical ETF
SPDR DoubleLine Total Return Tactical ETF
IMPORTANT NOTICE: Beginning on January 1, 2021, reports like this one will no longer automatically be sent by mail. See inside for more information.
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial intermediary.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.

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

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SPDR DoubleLine Emerging Markets Fixed Income ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  Temasek Financial I, Ltd.
2.38% 1/23/2023 		2.5%  
  Cometa Energia SA de CV
6.38% 4/24/2035 		2.3  
  DBS Group Holdings, Ltd.
3.60% 9/7/2021 		2.3  
  Philippine Government International Bond
4.20% 1/21/2024 		2.1  
  Grupo Aval, Ltd.
4.75% 9/26/2022 		2.0  
  TOTAL 11.2%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of December 31, 2018

      
    % of Net Assets  
  Corporate Bonds & Notes 80.3%  
  Foreign Government Obligations 16.0  
  Short-Term Investment 2.6  
  Other Assets in Excess of Liabilities 1.1  
  TOTAL 100.0%  
(The Fund's portfolio composition is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
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SPDR DoubleLine Short Duration Total Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  U.S. Treasury Inflation Protected Indexed Notes
0.13% 4/15/2019 		6.7%  
  Treasury Notes
2.75% 2/15/2028 		3.7  
  Treasury Notes
2.13% 9/30/2021 		3.5  
  Treasury Notes
2.00% 8/31/2021 		3.5  
  Treasury Notes
1.50% 8/15/2020 		3.0  
  TOTAL 20.4%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of December 31, 2018

      
    % of Net Assets  
  Corporate Bonds & Notes 29.2%  
  U.S. Treasury Obligations 25.8  
  U.S. Government Agency Obligations 24.9  
  Mortgage-Backed Securities 13.5  
  Asset-Backed Securities 2.4  
  Foreign Government Obligations 1.6  
  Senior Floating Rate Loans 0.0 *  
  Short-Term Investment 2.1  
  Other Assets in Excess of Liabilities 0.5  
  TOTAL 100.0%  
* Amount shown represents less than 0.05% of net assets.
(The Fund's portfolio composition is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2

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SPDR DoubleLine Total Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  Treasury Notes
1.50% 5/31/2020 		4.1%  
  Treasury Notes
2.50% 6/30/2020 		3.7  
  Treasury Bill
2.59% 8/15/2019 		3.1  
  Treasury Notes
2.13% 2/29/2024 		2.5  
  Federal National Mortgage Association CMO, REMIC
3.00% 10/25/2042 		2.3  
  TOTAL 15.7%  
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2018

      
    % of Net Assets  
  U.S. Government Agency Obligations 43.8%  
  U.S. Treasury Obligations 18.6  
  Commercial Mortgage Backed Securities 4.7  
  Mortgage-Backed Securities 4.5  
  Asset-Backed Securities 1.8  
  Foreign Government Obligations 1.6  
  Banks 3.3  
  Oil & Gas 1.7  
  Telecommunications 1.4  
  Health Care Services 1.0  
  Software 0.8  
  Commercial Services 0.8  
  Diversified Financial Services 0.7  
  Insurance 0.6  
  Lodging 0.6  
  Pharmaceuticals 0.6  
  Electric 0.6  
  Pipelines 0.6  
  Food 0.5  
  Media 0.5  
  Internet 0.5  
  Retail 0.5  
  Investment Company Security 0.5  
  Chemicals 0.5  
  Energy-Alternate Sources 0.3  
  IT Services 0.3  
  Machinery, Construction & Mining 0.3  
  Machinery-Diversified 0.3  
  Forest Products & Paper 0.3  
  Auto Parts & Equipment 0.2  
  Real Estate Investment Trusts 0.2  
  Health Care Products 0.2  
See accompanying notes to financial statements.
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SPDR DoubleLine Total Return Tactical ETF
Portfolio Statistics (Unaudited)  (continued)

      
    % of Net Assets  
  Packaging & Containers 0.2%  
  Agriculture 0.2  
  Gas 0.1  
  Beverages 0.1  
  Leisure Time 0.1  
  Construction Materials 0.1  
  Building Materials 0.1  
  Food Service 0.1  
  Mining 0.1  
  Semiconductors 0.1  
  Biotechnology 0.1  
  Auto Manufacturers 0.1  
  Airlines 0.1  
  Real Estate 0.1  
  Transportation 0.1  
  Toys/Games/Hobbies 0.1  
  Entertainment 0.0*  
  Oil & Gas Services 0.0*  
  Aerospace & Defense 0.0*  
  Coal 0.0*  
  Electronics 0.0*  
  Sovereign 0.0*  
  Holding Companies-Divers 0.0*  
  Environmental Control 0.0*  
  Household Products 0.0*  
  Metal Fabricate & Hardware 0.0*  
  Distribution & Wholesale 0.0*  
  Home Furnishings 0.0*  
  Engineering & Construction 0.0*  
  Household Products & Wares 0.0*  
  Trucking & Leasing 0.0*  
  Iron/Steel 0.0*  
  Computers 0.0*  
  Short-Term Investment 5.1  
  Other Assets in Excess of Liabilities 0.3  
  TOTAL 100.0%  
    
* Amount shown represents less than 0.05% of net assets.  
(The Fund's industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4

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SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CORPORATE BONDS & NOTES — 80.3%      
ARGENTINA — 3.5%          
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (a)
     $ 800,000   $ 645,816
Pampa Energia SA Series REGS, 7.50%, 1/24/2027
     750,000   628,537
YPF SA:          
Series REGS, 6.95%, 7/21/2027
     200,000   162,818
Series REGS, 8.50%, 7/28/2025
     550,000   493,724
          1,930,895
BRAZIL — 6.3%          
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024 (a)
     1,000,000   857,650
Braskem Finance, Ltd. 6.45%, 2/3/2024
     600,000   630,822
Itau Unibanco Holding SA Series REGS, 5 Year CMT + 3.86%, 6.50%, 3/19/2023 (a)
     600,000   568,356
MARB BondCo PLC:          
Series REGS, 6.88%, 1/19/2025
     300,000   278,223
7.00%, 3/15/2024 (b)
     200,000   189,086
Petrobras Global Finance B.V. 5.75%, 2/1/2029
     800,000   741,592
Votorantim Cimentos International SA Series REGS, 7.25%, 4/5/2041
     200,000   204,500
          3,470,229
CANADA — 0.3%          
Canacol Energy, Ltd. Series REGS, 7.25%, 5/3/2025
     200,000   184,262
CHILE — 7.9%          
AES Gener SA Series REGS, 5.00%, 7/14/2025
     200,000   192,496
Banco de Credito e Inversiones SA Series REGS, 4.00%, 2/11/2023
     200,000   198,424
Banco del Estado de Chile 2.67%, 1/8/2021 (b)
     300,000   293,448
Banco Santander Chile Series REGS, 3.88%, 9/20/2022
     263,000   260,949
Celulosa Arauco y Constitucion SA 4.75%, 1/11/2022
     100,000   101,385
Embotelladora Andina SA Series REGS, 5.00%, 10/1/2023
     200,000   204,700
Empresa Electrica Guacolda SA Series REGS, 4.56%, 4/30/2025
     700,000   620,858
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%, 8/1/2026
     600,000   559,590
GNL Quintero SA Series REGS, 4.63%, 7/31/2029
     200,000   192,534
Inversiones CMPC SA Series REGS, 4.50%, 4/25/2022
     700,000   703,745
SACI Falabella Series REGS, 3.75%, 4/30/2023
     1,000,000   971,940
          4,300,069
CHINA — 4.2%          
Alibaba Group Holding, Ltd. 2.80%, 6/6/2023
     200,000   193,186
See accompanying notes to financial statements.
5

Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CNOOC Finance 2011, Ltd. Series REGS, 4.25%, 1/26/2021
     $ 200,000   $ 203,054
CNPC General Capital, Ltd. Series REGS, 3.95%, 4/19/2022
     300,000   303,996
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%, 2/15/2025
     600,000   558,498
Sinopec Group Overseas Development 2016, Ltd.:          
Series REGS, 2.75%, 5/3/2021
     400,000   393,768
Series REGS, 2.75%, 9/29/2026
     700,000   637,560
          2,290,062
COLOMBIA — 3.9%          
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%, 4/21/2025
     300,000   292,578
Banco de Bogota SA Series REGS, 6.25%, 5/12/2026
     200,000   202,476
Bancolombia SA 6.13%, 7/26/2020
     400,000   412,156
Ecopetrol SA 5.88%, 9/18/2023
     100,000   104,429
Grupo Aval, Ltd. Series REGS, 4.75%, 9/26/2022
     1,200,000   1,121,868
          2,133,507
HONG KONG — 1.4%          
CK Hutchison International 17 II, Ltd. Series REGS, 2.25%, 9/29/2020
     400,000   393,292
CK Hutchison International 17, Ltd. Series REGS, 2.88%, 4/5/2022
     400,000   393,016
          786,308
INDIA — 10.8%          
Adani Ports & Special Economic Zone, Ltd.:          
Series REGS, 3.50%, 7/29/2020
     500,000   495,125
Series REGS, 3.95%, 1/19/2022
     400,000   395,384
Bharat Petroleum Corp., Ltd.:          
Series EMTN, 4.00%, 5/8/2025
     500,000   474,082
4.63%, 10/25/2022
     600,000   603,744
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%, 3/11/2023
     700,000   690,025
Bharti Airtel, Ltd. Series REGS, 4.38%, 6/10/2025
     500,000   454,130
Indian Oil Corp., Ltd. 5.75%, 8/1/2023
     800,000   842,488
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026
     600,000   557,018
ONGC Videsh, Ltd. 4.63%, 7/15/2024
     250,000   249,720
Reliance Holding USA, Inc. Series REGS, 5.40%, 2/14/2022
     800,000   830,064
Vedanta Resources PLC Series REGS, 6.13%, 8/9/2024
     400,000   332,416
          5,924,196
IRELAND — 0.9%          
C&W Senior Financing DAC 7.50%, 10/15/2026 (b)
     500,000   483,120
See accompanying notes to financial statements.
6

Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
ISRAEL — 1.4%          
Delek & Avner Tamar Bond, Ltd. 4.44%, 12/30/2020 (b)
     $ 560,000   $ 558,718
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024 (b)
     200,000   202,732
          761,450
JAMAICA — 0.4%          
Digicel Group, Ltd. Series REGS, 7.13%, 4/1/2022
     400,000   188,632
LUXEMBOURG — 2.4%          
Minerva Luxembourg SA:          
Series REGS, 5.88%, 1/19/2028
     400,000   348,788
Series REGS, 6.50%, 9/20/2026
     200,000   186,192
Raizen Fuels Finance SA Series REGS, 5.30%, 1/20/2027
     800,000   777,152
          1,312,132
MALAYSIA — 7.9%          
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020
     1,000,000   998,250
Gohl Capital, Ltd. 4.25%, 1/24/2027
     800,000   752,586
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (a)
     1,000,000   987,360
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%, 4/22/2025
     800,000   777,248
Malaysia Sukuk Global Bhd Series REGS, 3.18%, 4/27/2026
     250,000   242,770
Petronas Capital, Ltd. Series REGS, 3.50%, 3/18/2025
     600,000   590,346
          4,348,560
MEXICO — 12.5%          
America Movil SAB de CV 3.13%, 7/16/2022
     600,000   588,072
Banco Mercantil del Norte SA:          
Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028 (a)
     700,000   677,635
Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022 (a)
     200,000   193,808
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028 (a)(b)
     350,000   351,522
BBVA Bancomer SA:          
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033 (a)
     1,200,000   1,041,612
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (a)
     200,000   184,204
Coca-Cola Femsa SAB de CV 3.88%, 11/26/2023
     300,000   303,636
Cometa Energia SA de CV Series REGS, 6.38%, 4/24/2035
     1,381,800   1,279,533
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022 (a)
     200,000   188,078
Fomento Economico Mexicano SAB de CV 2.88%, 5/10/2023
     600,000   574,104
Grupo Idesa SA de CV Series REGS, 7.88%, 12/18/2020
     200,000   139,646
Mexico Generadora de Energia S de rl Series REGS, 5.50%, 12/6/2032
     688,560   657,988
See accompanying notes to financial statements.
7

Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (a)
     $ 800,000   $ 658,640
          6,838,478
NETHERLANDS — 1.5%          
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%, 5/11/2026
     800,000   808,880
PANAMA — 2.3%          
Banco General SA Series REGS, 4.13%, 8/7/2027
     200,000   184,042
Global Bank Corp.:          
Series REGS, 4.50%, 10/20/2021
     600,000   583,992
Series REGS, 5.13%, 10/30/2019
     500,000   500,280
          1,268,314
PERU — 2.5%          
Banco de Credito del Peru Series REGS, 5.38%, 9/16/2020
     300,000   309,045
BBVA Banco Continental SA Series REGS, 5.00%, 8/26/2022
     100,000   101,759
Kallpa Generacion SA Series REGS, 4.13%, 8/16/2027
     1,000,000   933,900
          1,344,704
PHILIPPINES — 1.7%          
BDO Unibank, Inc.:          
Series EMTN, 2.63%, 10/24/2021
     450,000   432,135
Series EMTN, 2.95%, 3/6/2023
     500,000   472,600
          904,735
SINGAPORE — 8.5%          
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (a)
     1,300,000   1,241,500
ONGC Videsh Vankorneft Pte, Ltd. 2.88%, 1/27/2022
     400,000   385,856
PSA International Pte, Ltd. Series GMTN, 3.88%, 2/11/2021
     650,000   659,852
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023
     1,400,000   1,356,446
United Overseas Bank, Ltd.:          
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023 (a)
     900,000   828,996
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026 (a)
     200,000   198,038
          4,670,688
TOTAL CORPORATE BONDS & NOTES

(Cost $45,577,129)
         43,949,221
FOREIGN GOVERNMENT OBLIGATIONS — 16.0%      
ARGENTINA — 2.4%          
Argentine Republic Government International Bond:          
See accompanying notes to financial statements.
8

Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
5.88%, 1/11/2028
     $ 200,000   $ 144,570
6.63%, 7/6/2028
     350,000   259,998
6.88%, 1/26/2027
     650,000   497,386
Provincia de Buenos Aires Series REGS, 7.88%, 6/15/2027
     600,000   431,670
          1,333,624
CHILE — 1.4%          
Chile Government International Bond:          
3.13%, 3/27/2025
     200,000   194,556
3.13%, 1/21/2026
     600,000   580,212
          774,768
INDIA — 0.9%          
Export-Import Bank of India Series EMTN, 4.00%, 1/14/2023
     500,000   498,078
INDONESIA — 2.5%          
Indonesia Government International Bond Series REGS, 4.88%, 5/5/2021
     500,000   511,320
Perusahaan Penerbit SBSN Indonesia III 4.15%, 3/29/2027 (b)
     900,000   866,178
          1,377,498
ISRAEL — 2.6%          
Israel Government International Bond:          
2.88%, 3/16/2026
     400,000   387,396
3.15%, 6/30/2023
     400,000   399,652
4.00%, 6/30/2022
     600,000   614,970
          1,402,018
MEXICO — 1.8%          
Mexico Government International Bond:          
3.75%, 1/11/2028
     200,000   187,368
4.00%, 10/2/2023
     300,000   298,758
4.15%, 3/28/2027
     500,000   482,860
          968,986
PANAMA — 1.5%          
Panama Government International Bond 4.00%, 9/22/2024
     800,000   806,120
PERU — 0.3%          
Fondo MIVIVIENDA SA Series REGS, 3.50%, 1/31/2023
     200,000   192,514
PHILIPPINES — 2.6%          
Philippine Government International Bond:          
4.00%, 1/15/2021
     300,000   303,447
See accompanying notes to financial statements.
9

Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
4.20%, 1/21/2024
     $1,100,000   $1,131,438
          1,434,885
TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost $9,439,173)
         8,788,491
    Shares  
SHORT-TERM INVESTMENT — 2.6%  
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (c) (d)

(Cost $1,418,548)
 1,418,548 1,418,548
TOTAL INVESTMENTS — 98.9%

(Cost $56,434,850)
 54,156,260
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1%
585,235
NET ASSETS — 100.0%
$ 54,741,495
(a) Variable Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.4% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at December 31, 2018.
CMT = Constant Maturity Treasury
GMTN = Global Medium Term Note
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Corporate Bonds & Notes
   $ —   $43,949,221   $—   $43,949,221
Foreign Government Obligations
   —   8,788,491   —   8,788,491
Short-Term Investment
   1,418,548   —   —   1,418,548
TOTAL INVESTMENTS
   $1,418,548   $52,737,712   $—   $54,156,260
See accompanying notes to financial statements.
10

Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Affiliate Table
  Number of
Shares Held
at 6/30/18 		  Value at
6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at 12/31/18 		  Value at
12/31/18 		  Dividend
Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 3,529,453   $3,529,453   $15,224,290   $17,335,195   $—   $—   1,418,548   $1,418,548   $22,873
See accompanying notes to financial statements.
11

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CORPORATE BONDS & NOTES — 29.2%          
ADVERTISING — 0.4%          
Omnicom Group, Inc./Omnicom Capital, Inc.

3.63%, 5/1/2022
     $ 375,000   $ 369,964
AEROSPACE & DEFENSE — 0.4%          
Northrop Grumman Corp.

2.08%, 10/15/2020
     370,000   363,029
AGRICULTURE — 0.7%          
BAT Capital Corp.

2.30%, 8/14/2020
     490,000   478,465
Reynolds American, Inc.

3.25%, 6/12/2020
     65,000   64,493
          542,958
AIRLINES — 0.5%          
Delta Air Lines, Inc.

3.40%, 4/19/2021
     385,000   380,734
AUTO MANUFACTURERS — 1.4%          
Daimler Finance North America LLC

2.30%, 2/12/2021 (a)
     560,000   546,387
General Motors Financial Co., Inc.:          
2.65%, 4/13/2020
     130,000   127,872
3.20%, 7/6/2021
     460,000   449,176
          1,123,435
BANKS — 8.5%          
Banco de Credito del Peru:          
Series REGS, 4.25%, 4/1/2023
     100,000   99,474
Series REGS, 5.38%, 9/16/2020
     90,000   92,714
Banco del Estado de Chile

Series REGS, 3.88%, 2/8/2022
     200,000   198,952
Banco Mercantil del Norte SA

Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022 (b)
     200,000   193,808
Banco Santander Mexico SA

5 Year CMT + 3.00%, 5.95%, 10/1/2028 (a)  (b)
     200,000   200,870
Bank of America Corp.

Series MTN, 3 Month USD LIBOR + 0.79%, 3.54%, 3/5/2024 (b)
     350,000   338,769
BBVA Bancomer SA

Series REGS, 6.75%, 9/30/2022
     150,000   158,742
BBVA Bancomer SA Texas

7.25%, 4/22/2020
     100,000   103,427
See accompanying notes to financial statements.
12

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
BDO Unibank, Inc.

Series EMTN, 2.63%, 10/24/2021
     $ 200,000   $ 192,060
Capital One Financial Corp.

2.40%, 10/30/2020
     522,000   510,965
Citigroup, Inc.

3 Month USD LIBOR + 1.02%, 3.76%, 6/1/2024 (b)
     575,000   561,257
DBS Group Holdings, Ltd.

Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (b)
     200,000   191,000
Global Bank Corp.

Series REGS, 5.13%, 10/30/2019
     200,000   200,112
Goldman Sachs Group, Inc.

2.30%, 12/13/2019
     350,000   346,469
Grupo Aval, Ltd.

Series REGS, 4.75%, 9/26/2022
     200,000   186,978
Itau Unibanco Holding SA

Series REGS, 6.20%, 12/21/2021
     200,000   208,114
Morgan Stanley

3 Month USD LIBOR + 0.93%, 3.40%, 7/22/2022 (b)
     530,000   525,421
Multibank, Inc.

Series REGS, 4.38%, 11/9/2022
     200,000   194,020
PNC Financial Services Group, Inc.:          
4.38%, 8/11/2020
     100,000   101,833
5.13%, 2/8/2020
     420,000   428,824
Royal Bank of Canada

Series GMTN, 3.20%, 4/30/2021
     350,000   350,270
Sumitomo Mitsui Financial Group, Inc.

2.06%, 7/14/2021
     550,000   532,504
Toronto-Dominion Bank

Series MTN, 3.25%, 6/11/2021
     345,000   346,283
United Overseas Bank, Ltd.

Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027 (b)
     200,000   192,500
Westpac Banking Corp.:          
1.60%, 8/19/2019
     355,000   352,298
2.65%, 1/25/2021
     220,000   217,452
          7,025,116
BIOTECHNOLOGY — 0.7%          
Celgene Corp.

2.88%, 8/15/2020
     550,000   545,919
CHEMICALS — 0.9%          
Braskem Netherlands Finance B.V.

Series REGS, 3.50%, 1/10/2023
     200,000   190,370
See accompanying notes to financial statements.
13

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
DowDuPont, Inc.

3.77%, 11/15/2020
     $ 140,000   $ 141,292
Sherwin-Williams Co.

2.25%, 5/15/2020
     227,000   223,443
UPL Corp., Ltd.

Series REGS, 3.25%, 10/13/2021
     200,000   194,178
          749,283
DIVERSIFIED FINANCIAL SERVICES — 1.3%          
Air Lease Corp.

2.50%, 3/1/2021
     540,000   525,771
American Express Co.

3.70%, 11/5/2021
     355,000   358,461
Unifin Financiera SAB de CV

7.25%, 9/27/2023
     200,000   184,534
          1,068,766
ELECTRIC — 1.5%          
Consolidated Edison, Inc.:          
2.00%, 5/15/2021
     445,000   431,196
Series A, 2.00%, 3/15/2020
     150,000   147,743
Israel Electric Corp., Ltd.

Series REGS, 6.88%, 6/21/2023
     200,000   218,546
Pampa Energia SA

Series REGS, 7.38%, 7/21/2023
     100,000   89,706
PSEG Power LLC

3.85%, 6/1/2023
     365,000   363,372
          1,250,563
FOOD — 1.0%          
Kroger Co.

6.15%, 1/15/2020
     280,000   287,857
Marfrig Holdings Europe B.V.

Series REGS, 8.00%, 6/8/2023
     200,000   200,200
Mondelez International, Inc.

3.00%, 5/7/2020
     375,000   373,545
          861,602
HEALTH CARE PRODUCTS — 0.7%          
Thermo Fisher Scientific, Inc.

3.60%, 8/15/2021
     540,000   541,922
HEALTH CARE SERVICES — 1.1%          
Anthem, Inc.

2.50%, 11/21/2020
     535,000   527,537
See accompanying notes to financial statements.
14

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Cigna Corp.

3.40%, 9/17/2021 (a)
     $ 350,000   $ 349,286
          876,823
INSURANCE — 0.7%          
Prudential Financial, Inc.:          
Series D, 7.38%, 6/15/2019
     200,000   203,670
Series MTN, 4.50%, 11/15/2020
     325,000   332,231
          535,901
INTERNET — 0.7%          
Alibaba Group Holding, Ltd.

3.13%, 11/28/2021
     200,000   198,366
eBay, Inc.

2.75%, 1/30/2023
     380,000   365,533
          563,899
INVESTMENT COMPANY SECURITY — 0.3%          
Temasek Financial I, Ltd.

Series REGS, 2.38%, 1/23/2023
     250,000   242,223
MEDIA — 0.4%          
Comcast Corp.

3.45%, 10/1/2021
     360,000   363,665
MINING — 0.2%          
Fresnillo PLC

Series REGS, 5.50%, 11/13/2023
     200,000   203,994
OIL & GAS — 1.4%          
CNPC General Capital, Ltd.

Series REGS, 3.95%, 4/19/2022
     200,000   202,664
Ecopetrol SA

5.88%, 9/18/2023
     200,000   208,858
Indian Oil Corp., Ltd.

5.63%, 8/2/2021
     200,000   208,505
ONGC Videsh, Ltd.

3.75%, 5/7/2023
     200,000   195,138
Petrobras Global Finance B.V.

4.38%, 5/20/2023
     200,000   192,252
YPF SA

Series REGS, 8.50%, 3/23/2021
     150,000   148,472
          1,155,889
See accompanying notes to financial statements.
15

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
PACKAGING & CONTAINERS — 0.7%          
Packaging Corp. of America

2.45%, 12/15/2020
     $ 570,000   $ 558,412
PHARMACEUTICALS — 1.8%          
AstraZeneca PLC

2.38%, 11/16/2020
     555,000   545,687
Cardinal Health, Inc.:          
1.95%, 6/14/2019
     275,000   273,262
2.62%, 6/15/2022
     285,000   274,885
CVS Health Corp.

2.80%, 7/20/2020
     365,000   361,748
          1,455,582
PIPELINES — 0.2%          
Oleoducto Central SA

Series REGS, 4.00%, 5/7/2021
     200,000   197,108
RETAIL — 0.2%          
SACI Falabella

Series REGS, 3.75%, 4/30/2023
     200,000   194,388
SEMICONDUCTORS — 0.9%          
Analog Devices, Inc.

2.95%, 1/12/2021
     370,000   366,678
Microchip Technology, Inc.

3.92%, 6/1/2021 (a)
     385,000   381,277
          747,955
TELECOMMUNICATIONS — 1.5%          
AT&T, Inc.

2.80%, 2/17/2021
     535,000   528,141
Axiata SPV2 Bhd

Series 2, 3.47%, 11/19/2020
     200,000   199,650
Bharti Airtel International Netherlands B.V.

Series REGS, 5.13%, 3/11/2023
     200,000   197,150
Verizon Communications, Inc.

3 Month USD LIBOR + 1.10%, 3.72%, 5/15/2025 (b)
     345,000   334,609
          1,259,550
TEXTILES — 0.7%          
Cintas Corp. No. 2

2.90%, 4/1/2022
     555,000   545,598
See accompanying notes to financial statements.
16

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
TRANSPORTATION — 0.4%          
Union Pacific Corp.

3.20%, 6/8/2021
     $ 365,000   $ 366,325
TOTAL CORPORATE BONDS & NOTES

(Cost $24,361,835)
         24,090,603
ASSET-BACKED SECURITIES — 2.4%          
AUTOMOBILE — 0.5%          
Westlake Automobile Receivables Trust

Series 2017-2A, Class C, 2.59%, 12/15/2022 (a)
     400,000   396,165
OTHER ABS — 1.9%          
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd.

Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.61%, 6/15/2028 (a)  (b)
     71,000   70,872
Consumer Loan Underlying Bond Credit Trust 2018-P1

Series 2018-P1, Class A, 3.39%, 7/15/2025 (a)
     364,285   363,463
LoanCore 2018-CRE1 Issuer, Ltd.

Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 3.59%, 5/15/2028 (a)  (b)
     100,000   99,850
Marathon CRE 2018 FL1, Ltd.

Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.61%, 6/15/2028 (a)  (b)
     100,000   99,999
Marlette Funding Trust

Series 2018-3A, Class A, 3.20%, 9/15/2028 (a)
     375,379   375,159
Mill City Mortgage Trust

Series 2015-2, Class A1, 3.00%, 9/25/2057 (a)  (b)
     183   183
OneMain Financial Issuance Trust

Series 2017-1A, Class A1, 2.37%, 9/14/2032 (a)
     250,000   246,142
Sofi Consumer Loan Program 2018-2 Trust

Series 2018-2, Class A1, 2.93%, 4/26/2027 (a)
     142,005   141,610
Sofi Consumer Loan Program LLC

Series 2017-1, Class A, 3.28%, 1/26/2026 (a)
     184,802   184,733
          1,582,011
TOTAL ASSET-BACKED SECURITIES

(Cost $1,987,008)
         1,978,176
FOREIGN GOVERNMENT OBLIGATIONS — 1.6%          
CHILE — 0.2%          
Chile Government International Bond

2.25%, 10/30/2022
     200,000   192,946
See accompanying notes to financial statements.
17

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
DOMINICAN REPUBLIC — 0.3%          
Dominican Republic International Bond

Series REGS, 7.50%, 5/6/2021
     $ 200,000   $ 206,348
INDONESIA — 0.3%          
Indonesia Government International Bond

Series REGS, 4.88%, 5/5/2021
     200,000   204,528
ISRAEL — 0.3%          
Israel Government International Bond

4.00%, 6/30/2022
     200,000   204,990
MALAYSIA — 0.3%          
Wakala Global Sukuk Bhd

4.65%, 7/6/2021
     250,000   259,423
PHILIPPINES — 0.2%          
Philippine Government International Bond

4.00%, 1/15/2021
     200,000   202,298
TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost $1,296,847)
         1,270,533
U.S. GOVERNMENT AGENCY OBLIGATIONS — 24.9%          
Federal Home Loan Mortgage Corp.:          
3.50%, 9/1/2032
     815,410   825,918
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027
     1,921,125   1,864,575
Series 4060, Class QA, CMO, REMIC, 1.50%, 9/15/2026
     685,907   665,473
Series 4125, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.35%, 2.81%, 11/15/2042 (b)
     469,437   466,771
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030
     336,608   323,702
Series 4582, Class HA, CMO, REMIC, 3.00%, 9/15/2045
     670,632   656,686
Series 4738, Class LA, CMO, REMIC, 3.00%, 11/15/2043
     921,185   908,343
Series 4764, Class WF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.76%, 2/15/2048 (b)
     940,971   937,150
Series K722, Class X1, IO, 1.31%, 3/25/2023 (b)
     490,474   20,994
Federal National Mortgage Association:          
3.00%, 11/1/2036
     546,200   539,792
Series 2018-77, Class FA, CMO, 1 Month USD LIBOR + 0.30%, 2.81%, 10/25/2048 (b)
     962,154   955,561
Series 2007-54, Class FW, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.76%, 6/25/2037 (b)
     771,550   773,554
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026
     2,170,397   2,118,716
Series 2015-59, Class A, CMO, REMIC, 3.00%, 6/25/2041
     527,308   523,101
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 2.96%, 3/25/2046 (b)
     669,739   668,310
See accompanying notes to financial statements.
18

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 2017-13, Class ML, CMO, REMIC, 3.00%, 8/25/2041
     $ 859,748   $ 852,190
Series 2017-2, Class HA, CMO, REMIC, 3.00%, 9/25/2041
     799,658   793,236
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.81%, 12/25/2047 (b)
     924,440   916,331
Series 2018-30, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.81%, 5/25/2048 (b)
     932,893   928,974
Series 2018-39, Class EF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.24%, 6/25/2048 (b)
     902,224   900,506
Series 2018-39, Class FG, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.76%, 11/25/2033 (b)
     875,067   870,039
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.81%, 6/25/2048 (b)
     902,979   896,204
Government National Mortgage Association:          
Series 2014-94, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.72%, 9/20/2035 (b)
     767,967   765,083
Series 2017-116, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.65%, 11/20/2043 (b)
     667,560   664,789
Series 2017-116, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.72%, 5/20/2044 (b)
     768,345   767,979
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $20,897,911)
         20,603,977
U.S. TREASURY OBLIGATIONS — 25.8%          
Treasury Bill:          
2.27%, 2/21/2019
     2,080,000   2,073,198
2.59%, 8/15/2019
     320,000   315,000
Treasury Notes:          
1.50%, 8/15/2020
     2,520,000   2,478,744
1.88%, 1/31/2022
     850,000   834,902
2.00%, 8/31/2021
     2,940,000   2,903,981
2.13%, 9/30/2021
     2,940,000   2,912,490
2.25%, 3/31/2020
     1,240,000   1,235,037
2.75%, 2/15/2028
     3,000,000   3,015,644
U.S. Treasury Inflation Protected Indexed Notes 0.13%, 4/15/2019
     5,654,851   5,575,774
TOTAL U.S. TREASURY OBLIGATIONS

(Cost $21,273,316)
         21,344,770
MORTGAGE-BACKED SECURITIES — 13.5%          
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037
     405,137   333,080
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 5.51%, 12/15/2036 (a)  (b)
     36,000   35,229
See accompanying notes to financial statements.
19

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Atrium Hotel Portfolio Trust 2018-ATRM Series 2018-ATRM, Class A, 1 Month USD LIBOR + 0.95%, 3.41%, 6/15/2035 (a)  (b)
     $ 100,000   $ 99,128
BANK Series 2017-BNK6, Class XA, IO, 0.87%, 7/15/2060 (b)
     1,132,083   60,037
BBCMS Mortgage Trust:          
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%, 3.66%, 8/15/2036 (a)  (b)
     17,000   16,781
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70%, 4.16%, 8/15/2036 (a)  (b)
     19,000   18,810
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 4.96%, 8/15/2036 (a)  (b)
     38,000   37,775
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%, 5.96%, 8/15/2036 (a)  (b)
     38,000   37,825
Series 2018-TALL, Class A, 1 Month USD LIBOR + 0.72%, 3.18%, 3/15/2037 (a)  (b)
     31,000   30,476
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 10/15/2037 (a)  (b)
     15,000   14,888
Bear Stearns Commercial Mortgage Securities Trust Series 2014-BXO, Class E, 1 Month USD LIBOR + 3.75%, 6.21%, 8/15/2027 (a)  (b)
     26,000   26,027
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.53%, 1/15/2051 (b)
     2,267,381   83,622
BHMS Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 3.71%, 7/15/2035 (a)  (b)
     75,000   74,114
Braemar Hotels & Resorts Trust 2018-Prime Series 2018-PRME, Class A, 1 Month USD LIBOR + 0.82%, 3.28%, 6/15/2035 (a)  (b)
     115,000   114,013
BX Commercial Mortgage Trust Series 2018-BIOA, Class E, 1 Month USD LIBOR + 1.95%, 4.41%, 3/15/2037 (a)  (b)
     257,000   250,608
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 3.54%, 9/15/2037 (a)  (b)
     15,000   14,891
BX Trust 2017-IMC Series 2017-IMC, Class A, 1 Month USD LIBOR + 1.05%, 3.51%, 10/15/2032 (a)  (b)
     100,000   99,486
BX Trust 2018-BILT Series 2018-BILT, Class A, 1 Month USD LIBOR + 0.80%, 3.26%, 5/15/2030 (a)  (b)
     115,000   111,963
BX Trust 2018-MCSF Series 2018-MCSF, Class F, 1 Month USD LIBOR + 2.65%, 5.05%, 4/15/2035 (a)  (b)
     47,000   45,987
BXMT, Ltd. Series 2017-FL1, Class C, 1 Month USD LIBOR + 1.95%, 4.41%, 6/15/2035 (a)  (b)
     150,000   150,017
CFCRE Commercial Mortgage Trust:          
Series 2018-TAN, Class B, 4.69%, 2/15/2033 (a)
     55,000   55,595
Series 2018-TAN, Class C, 5.29%, 2/15/2033 (a)
     55,000   56,352
Series 2018-TAN, Class D, 6.10%, 2/15/2033 (a)
     33,000   33,805
CGGS Commercial Mortgage Trust Series 2018-WSS, Class D, 1 Month USD LIBOR + 2.30%, 4.76%, 2/15/2037 (a)  (b)
     100,000   98,898
See accompanying notes to financial statements.
20

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CGGS Commercial Mortgage Trust 2018-WSS Series 2018-WSS, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 2/15/2037 (a)  (b)
     $ 100,000   $ 98,380
CHT COSMO Mortgage Trust:          
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 5.46%, 11/15/2036 (a)  (b)
     59,000   58,619
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74%, 6.20%, 11/15/2036 (a)  (b)
     131,000   129,526
Citigroup Commercial Mortgage Trust:          
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 4.26%, 12/15/2036 (a)  (b)
     95,000   94,052
Series 2016-GC37, Class XA, IO, 1.79%, 4/10/2049 (b)
     504,949   50,548
CLNS Trust:          
Series 2017-IKPR, Class D, 1 Month USD LIBOR + 2.05%, 4.45%, 6/11/2032 (a)  (b)
     18,000   17,895
Series 2017-IKPR, Class E, 1 Month USD LIBOR + 3.50%, 5.90%, 6/11/2032 (a)  (b)
     18,000   18,030
COLT Mortgage Loan Trust Series 2018-1, Class A1, CMO, 2.93%, 2/25/2048 (a)  (b)
     193,021   190,810
COMM Mortgage Trust:          
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 9/15/2033 (a)  (b)
     70,000   69,674
Series 2015-CR25, Class XA, IO, 0.92%, 8/10/2048 (b)
     1,337,622   63,910
Credit Suisse Mortgage Capital Certificates Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 4.36%, 7/15/2032 (a)  (b)
     29,000   28,848
CSAIL Commercial Mortgage Trust:          
Series 2017-C8, Class XA, IO, 1.25%, 6/15/2050 (b)
     342,439   21,269
Series 2017-CX10, Class XA, IO, 0.73%, 11/15/2050 (b)
     996,341   48,704
Series 2017-CX9, Class XA, IO, 0.89%, 9/15/2050 (b)
     1,848,953   74,373
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 3.26%, 5/15/2035 (a)  (b)
     139,221   138,341
Federal Home Loan Mortgage Corp.:          
Series 4703, Class FA, 1 Month USD LIBOR + 0.35%, 2.81%, 7/15/2047 (b)
     1,219,150   1,214,791
Series 4818, Class FC, 1 Month USD LIBOR + 0.30%, 2.76%, 4/15/2048 (b)
     724,522   717,898
Federal National Mortgage Association:          
Series 2012-56, Class FK, 1 Month USD LIBOR + 0.45%, 2.96%, 6/25/2042 (b)
     1,182,223   1,179,700
Series 2017-96, Class FA, 1 Month USD LIBOR + 0.40%, 2.91%, 12/25/2057 (b)
     1,050,026   1,047,736
Series 2018-55, Class FA, 1 Month USD LIBOR + 0.30%, 2.81%, 8/25/2048 (b)
     931,401   924,511
See accompanying notes to financial statements.
21

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
GPMT 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.90%, 3.38%, 11/21/2035 (a)  (b)
     $ 100,000   $ 99,533
GPT 2018-GPP Mortgage Trust Series 2018-GPP, Class B, 1 Month USD LIBOR + 1.28%, 3.74%, 6/15/2035 (a)  (b)
     75,000   73,641
GS Mortgage Securities Trust:          
Series 2017-500K, Class E, 1 Month USD LIBOR + 1.50%, 3.96%, 7/15/2032 (a)  (b)
     50,000   48,621
Series 2017-500K, Class F, 1 Month USD LIBOR + 1.80%, 4.26%, 7/15/2032 (a)  (b)
     107,000   106,793
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 7/15/2031 (a)  (b)
     100,000   100,198
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 4.06%, 7/15/2031 (a)  (b)
     100,000   98,799
Series 2017-GS7, Class XA, IO, 1.14%, 8/10/2050 (b)
     392,544   28,747
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 6/15/2032 (a)  (b)
     100,000   98,059
JP Morgan Chase Commercial Mortgage Securities Trust:          
Series 2006-LDP9, Class AMS, 5.34%, 5/15/2047
     67,000   67,266
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (b)
     6,580   6,566
Series 2017-MAUI, Class C, 1 Month USD LIBOR + 1.25%, 3.64%, 7/15/2034 (a)  (b)
     27,000   26,685
Series 2017-MAUI, Class D, 1 Month USD LIBOR + 1.95%, 4.34%, 7/15/2034 (a)  (b)
     25,000   24,122
Series 2017-MAUI, Class E, 1 Month USD LIBOR + 2.95%, 5.34%, 7/15/2034 (a)  (b)
     22,000   21,501
Series 2017-MAUI, Class F, 1 Month USD LIBOR + 3.75%, 6.14%, 7/15/2034 (a)  (b)
     31,000   31,099
Series 2018-WPT, Class EFL, 1 Month USD LIBOR + 2.60%, 4.98%, 7/5/2033 (a)  (b)
     100,000   99,669
Series 2016-JP4, Class XA, IO, 0.80%, 12/15/2049 (b)
     1,674,357   63,150
JPMBB Commercial Mortgage Securities Trust Series 2014-C22, Class XA, IO, 0.88%, 9/15/2047 (b)
     1,027,698   40,247
LMREC 2015-CRE1, Inc. Series 2015-CRE1, Class AR, 1 Month USD LIBOR + 0.98% , 3.48%, 2/22/2032 (a)  (b)
     110,000   109,813
Morgan Stanley Bank of America Merrill Lynch Trust:          
Series 2014-C15, Class XA, IO, 0.98%, 4/15/2047 (b)
     846,224   35,153
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a)
     1,228,672   38,531
Morgan Stanley Capital I Trust:          
Series 2018-SUN, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 7/15/2035 (a)  (b)
     74,000   73,171
Series 2016-UB12, Class XA, IO, 0.80%, 12/15/2049 (b)
     1,607,450   68,818
See accompanying notes to financial statements.
22

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 10/15/2037 (a)  (b)
     $ 79,000   $ 77,560
Natixis Commercial Mortgage Securities Trust 2018-FL1 Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 3.26%, 6/15/2035 (a)  (b)
     100,000   98,765
RAIT Trust Series 2017-FL7, Class AS, 1 Month USD LIBOR + 1.30%, 3.76%, 6/15/2037 (a)  (b)
     6,000   6,000
Rosslyn Portfolio Trust:          
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95%, 3.41%, 6/15/2033 (a)  (b)
     15,000   14,945
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25%, 3.71%, 6/15/2033 (a)  (b)
     15,000   14,988
TPG Real Estate Finance, Ltd.:          
Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.75%, 3.21%, 2/15/2035 (a)  (b)
     59,288   59,022
Series 2018-FL1, Class AS, 1 Month USD LIBOR + 0.95%, 3.41%, 2/15/2035 (a)  (b)
     117,000   116,738
Series 2018-FL1, Class B, 1 Month USD LIBOR + 1.30%, 3.76%, 2/15/2035 (a)  (b)
     49,000   48,889
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.60%, 6/15/2050 (b)
     642,177   63,172
Velocity Commercial Capital Loan Trust:          
Series 2018-2, Class A, 4.05%, 10/26/2048 (a)  (b)
     965,727   974,061
Series 2016-1, Class AFX, ABS, 3.53%, 4/25/2046 (a)  (b)
     143,150   142,929
VSD LLC 3.60%, 12/25/2043
     7,662   7,655
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Class F, 5.19%, 5/15/2043 (b)
     12,901   12,895
Waldorf Astoria Boca Raton Trust:          
Series 2016-BOCA, Class B, 1 Month USD LIBOR + 2.05%, 4.51%, 6/15/2029 (a)  (b)
     37,000   37,033
Series 2016-BOCA, Class C, 1 Month USD LIBOR + 2.50%, 4.96%, 6/15/2029 (a)  (b)
     31,000   31,023
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.75%, 12/15/2046 (b)
     1,151,969   33,668
TOTAL MORTGAGE-BACKED SECURITIES

(Cost $11,470,190)
         11,186,547
SENIOR FLOATING RATE LOANS — 0.0% (c)      
HEALTH CARE PROVIDERS & SERVICES — 0.0% (c)        
Select Medical Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50%, 5.01%, 3/6/2025(b)
   90   86
See accompanying notes to financial statements.
23

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
MEDIA — 0.0% (c)        
Tribune Media Co. Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%, 12/27/2020(b)
   $4,246   $4,228
TOTAL SENIOR FLOATING RATE LOANS

(Cost $4,341)
   4,314  
    Shares  
SHORT-TERM INVESTMENT — 2.1%  
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (d) (e)

(Cost $1,782,183)
 1,782,183 1,782,183
TOTAL INVESTMENTS — 99.5%

(Cost $83,073,631)
 82,261,103
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%
381,617
NET ASSETS — 100.0%
 $ 82,642,720
(a) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 10.2% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(b) Variable Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
(c) Amount is less than 0.05% of net assets.
(d) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(e) The rate shown is the annualized seven-day yield at December 31, 2018.
ABS = Asset-Backed Security
CMO = Collateralized Mortgage Obligation
CMT = Constant Maturity Treasury
GMTN = Global Medium Term Note
IO = Interest Only
LIBOR = London Interbank Offered Rate
MTN = Medium Term Note
REMIC = Real Estate Mortgage Investment Conduit
See accompanying notes to financial statements.
24

Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments  (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Corporate Bonds & Notes
   $ —   $24,090,603   $—   $24,090,603
Asset-Backed Securities
   —   1,978,176   —   1,978,176
Foreign Government Obligations
   —   1,270,533   —   1,270,533
U.S. Government Agency Obligations
   —   20,603,977   —   20,603,977
U.S. Treasury Obligations
   —   21,344,770   —   21,344,770
Mortgage-Backed Securities
   —   11,186,547   —   11,186,547
Senior Floating Rate Loans
   —   4,314   —   4,314
Short-Term Investment
   1,782,183   —   —   1,782,183
TOTAL INVESTMENTS
   $1,782,183   $80,478,920   $—   $82,261,103
Affiliate Table
  Number of
Shares Held
at 6/30/18 		  Value at
6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at 12/31/18 		  Value at
12/31/18 		  Dividend
Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 376,094   $376,094   $21,564,140   $20,158,051   $—   $—   1,782,183   $1,782,183   $14,447
See accompanying notes to financial statements.
25

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CORPORATE BONDS & NOTES — 13.5%          
ARGENTINA — 0.3%          
Other Securities
       $ 8,098,301
AUSTRALIA — 0.2%          
Other Securities
       4,959,757
BELGIUM — 0.0% (a)          
Other Security
       1,454,736
BRAZIL — 0.7%          
Other Securities
       19,671,349
CANADA — 0.3%          
Other Securities
       8,078,500
CAYMAN ISLANDS — 0.1%          
Other Securities
       4,653,696
CHILE — 0.6%          
Other Securities
       18,364,845
CHINA — 0.2%          
Other Securities
       7,624,912
COLOMBIA — 0.2%          
Other Securities
       4,827,548
COSTA RICA — 0.1%          
Other Securities
       2,865,018
DOMINICAN REPUBLIC — 0.2%          
Other Securities
       6,174,420
FRANCE — 0.0% (a)          
Other Security
       389,810
HONG KONG — 0.0% (a)          
Other Security
       1,064,976
INDIA — 1.1%          
Other Securities
       34,332,500
IRELAND — 0.2%          
Other Securities
       5,520,587
ISRAEL — 0.1%          
Other Securities
       3,960,155
JAMAICA — 0.1%          
Other Securities
       2,234,394
See accompanying notes to financial statements.
26

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
JAPAN — 0.1%          
Other Securities
       $ 2,976,306
LUXEMBOURG — 0.2%          
Other Securities
       4,786,077
MALAYSIA — 0.6%          
Other Securities
       17,438,809
MEXICO — 0.6%          
Other Securities
       16,944,678
NETHERLANDS — 0.1%          
Other Securities
       1,752,229
PANAMA — 0.2%          
Other Security
       6,003,360
PERU — 0.1%          
Other Securities
       2,215,693
PHILIPPINES — 0.2%          
Other Securities
       7,012,600
SINGAPORE — 0.6%          
Other Securities
       17,130,482
UNITED KINGDOM — 0.3%          
Other Securities
       7,822,115
UNITED STATES — 6.1%          
Other Securities
       181,243,280
Total Corporate Bonds & Notes

(Cost $418,086,477)
         399,601,133
ASSET-BACKED SECURITIES — 1.8%          
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%,

2.68%, 1/25/2037 (b)
     $30,018,585   23,737,564
Other Securities
       28,537,831
Total Asset-Backed Securities

(Cost $52,761,926)
         52,275,395
FOREIGN GOVERNMENT OBLIGATIONS — 1.6%          
ARGENTINA — 0.3%          
Other Securities
       7,566,022
BRAZIL — 0.1%          
Other Security
       2,342,200
See accompanying notes to financial statements.
27

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CANADA — 0.0% (a)          
Other Security
       $ 461,845
CHILE — 0.2%          
Other Securities
       6,780,660
COSTA RICA — 0.1%          
Other Security
       2,996,711
INDIA — 0.0% (a)          
Other Security
       1,195,387
INDONESIA — 0.2%          
Other Securities
       6,255,730
ISRAEL — 0.1%          
Other Security
       3,389,715
MEXICO — 0.0% (a)          
Other Security
       1,124,208
PANAMA — 0.2%          
Other Security
       5,038,250
PERU — 0.1%          
Other Securities
       2,502,682
PHILIPPINES — 0.3%          
Other Security
       7,200,060
UNITED STATES — 0.0% (a)          
Other Security
       73,366
Total Foreign Government Obligations

(Cost $50,764,053)
         46,926,836
SENIOR FLOATING RATE LOANS — 6.1%          
AEROSPACE & DEFENSE — 0.0% (a)          
Other Securities
       755,450
AUTO COMPONENTS — 0.2%          
Other Securities
       5,724,373
BUILDING PRODUCTS — 0.1%          
Other Security
       3,097,464
CAPITAL MARKETS — 0.1%          
Other Security
       2,850,951
CASINO SERVICES — 0.0% (a)          
Other Security
       761,977
See accompanying notes to financial statements.
28

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CHEMICALS — 0.2%          
Other Securities
       $ 5,246,752
COMMERCIAL SERVICES & SUPPLIES — 0.3%          
Other Securities
       9,471,818
COMMUNICATIONS EQUIPMENT — 0.2%          
Other Securities
       5,975,325
CONSTRUCTION & ENGINEERING — 0.0% (a)          
Other Security
       527,850
CONSTRUCTION MATERIALS — 0.1%          
Other Securities
       3,015,169
CONTAINERS & PACKAGING — 0.1%          
Other Security
       2,479,627
DISTRIBUTORS — 0.0% (a)          
Other Security
       171,608
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2%          
Other Securities
       4,808,707
ELECTRICAL EQUIPMENT — 0.1%          
Other Security
       2,012,493
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a)          
Other Security
       908,747
ENERGY EQUIPMENT & SERVICES — 0.0% (a)          
Other Security
       1,220,851
FINANCIAL SERVICES — 0.2%          
Other Securities
       5,227,788
FOOD & STAPLES RETAILING — 0.1%          
Other Security
       2,505,572
FOOD PRODUCTS — 0.0% (a)          
Other Security
       750,460
HEALTH CARE PROVIDERS & SERVICES — 0.5%          
Other Securities
       15,501,957
HEALTH CARE TECHNOLOGY — 0.1%          
Other Security
       3,750,928
HOTELS, RESTAURANTS & LEISURE — 0.5%          
Other Securities
       15,647,990
See accompanying notes to financial statements.
29

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
HOUSEHOLD PRODUCTS — 0.0% (a)          
Other Security
       $ 823,887
INSURANCE — 0.3%          
Other Securities
       10,027,215
INTERACTIVE MEDIA & SERVICES — 0.2%          
Other Securities
       7,223,262
IT SERVICES — 0.3%          
Other Securities
       9,321,894
LIFE SCIENCES TOOLS & SERVICES — 0.2%          
Other Securities
       4,746,692
MACHINERY — 0.2%          
Other Securities
       4,865,560
MACHINERY-CONSTR&MINING — 0.1%          
Other Security
       1,963,369
MEDIA — 0.2%          
Other Securities
       5,352,599
METAL-DIVERSIFIED — 0.0% (a)          
Other Security
       750,680
METALS & MINING — 0.1%          
Other Securities
       2,605,115
OIL REFINING&MARKETING — 0.0% (a)          
Other Security
       1,049,943
OIL, GAS & CONSUMABLE FUELS — 0.1%          
Other Security
       3,315,409
PHARMACEUTICALS — 0.1%          
Other Securities
       1,546,495
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1%          
Other Securities
       1,535,742
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.1%          
Other Security
       2,019,708
RETAIL-RESTAURANTS — 0.1%          
Other Security
       3,503,221
SOFTWARE — 0.8%          
Other Securities
       24,294,849
SPECIALTY RETAIL — 0.1%          
Other Securities
       2,380,989
See accompanying notes to financial statements.
30

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
TELECOMMUNICATION EQUIP — 0.1%          
Other Security
       $ 2,658,092
Total Senior Floating Rate Loans

(Cost $191,955,428)
         182,398,578
U.S. GOVERNMENT AGENCY OBLIGATIONS — 43.8%          
Federal Home Loan Mortgage Corp.:          

3.00%, 11/1/2042
     $ 16,465,243   16,177,533

3.00%, 1/1/2045
     2,650,095   2,599,716

3.00%, 2/1/2045
     1,862,076   1,823,020

3.00%, 3/1/2045
     1,981,380   1,939,822

3.00%, 4/1/2045
     13,704,097   13,416,663

3.00%, 4/1/2045
     26,597,781   26,092,147

3.00%, 5/1/2045
     6,949,522   6,803,761

3.00%, 8/1/2045
     18,955,835   18,558,249

3.50%, 2/1/2045
     3,508,782   3,525,272

3.50%, 4/1/2045
     17,892,382   17,945,692

3.50%, 4/1/2045
     11,218,403   11,251,829

3.50%, 6/1/2045
     13,537,780   13,578,116

3.50%, 10/1/2045
     15,610,182   15,656,693

3.50%, 2/1/2046
     16,036,888   16,072,107

4.00%, 4/1/2047
     41,403,387   42,246,728

4.00%, 7/1/2047
     12,657,017   12,914,827

4.00%, 10/1/2047
     25,826,016   26,352,063

4.50%, 6/1/2044
     2,554,381   2,657,375
Series 326, Class 300, CMO

3.00%, 3/15/2044
     33,894,334   33,119,315
Series 358, Class 300, CMO

3.00%, 10/15/2047
     33,961,692   33,481,384
Series 3822, Class ZG, CMO, REMIC

4.00%, 2/15/2041
     3,747,487   3,893,734
Series 3852, Class NS, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR,

3.54%, 5/15/2041 (b)
     11,434,021   1,493,116
Series 3889, Class VZ, CMO, REMIC

4.00%, 7/15/2041
     11,982,080   12,251,676
Series 3935, Class SJ, CMO, IO, REMIC 6.65% - 1 Month USD LIBOR,

4.19%, 5/15/2041 (b)
     2,756,307   246,364
Series 4120, Class KA, CMO, REMIC

1.75%, 10/15/2032
     17,792,224   17,169,065
See accompanying notes to financial statements.
31

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 4165, Class ZT, CMO, REMIC

3.00%, 2/15/2043
     $ 15,951,726   $ 14,214,394
Series 4215, Class KC, CMO, REMIC

2.25%, 3/15/2038
     11,804,357   11,657,378
Series 4364, Class ZX, CMO, REMIC

4.00%, 7/15/2044
     28,678,890   29,571,827
Series 4434, Class LZ, CMO, REMIC

3.00%, 2/15/2045
     3,365,137   2,956,763
Series 4444, Class CZ, CMO, REMIC

3.00%, 2/15/2045
     12,338,837   10,898,818
Series 4447, Class A, CMO, REMIC

3.00%, 6/15/2041
     1,863,052   1,857,841
Series 4447, Class Z, CMO, REMIC

3.00%, 3/15/2045
     4,072,598   3,619,954
Series 4471, Class BA, CMO, REMIC

3.00%, 12/15/2041
     6,406,347   6,335,268
Series 4471, Class GA, CMO, REMIC

3.00%, 2/15/2044
     9,803,283   9,637,259
Series 4474, Class ZX, CMO, REMIC

4.00%, 4/15/2045
     11,941,528   12,402,727
Series 4481, Class B, CMO, REMIC

3.00%, 12/15/2042
     6,575,192   6,473,600
Series 4483, Class CA, CMO, REMIC

3.00%, 6/15/2044
     12,091,047   11,890,362
Series 4484, Class CD, CMO, REMIC

1.75%, 7/15/2030
     14,700,060   14,136,431
Series 4491, Class B, CMO, REMIC

3.00%, 8/15/2040
     11,957,302   11,858,424
Series 4492, Class GZ, CMO, REMIC

3.50%, 7/15/2045
     8,562,317   8,154,121
Series 4499, Class AB, CMO, REMIC

3.00%, 6/15/2042
     13,084,487   12,921,491
Series 4504, Class CA, CMO, REMIC

3.00%, 4/15/2044
     13,136,328   12,931,954
Series 4511, Class QA, CMO, REMIC

3.00%, 1/15/2041
     11,025,124   10,934,087
Series 4511, Class QC, CMO, REMIC

3.00%, 12/15/2040
     8,717,823   8,642,007
Series 4533, Class AB, CMO, REMIC

3.00%, 6/15/2044
     9,198,835   9,050,948
Series 4543, Class HG, CMO, REMIC

2.70%, 4/15/2044
     17,114,783   16,625,182
See accompanying notes to financial statements.
32

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 4582, Class HA, CMO, REMIC

3.00%, 9/15/2045
     $ 13,412,647   $ 13,133,728
Series 4629, Class KA, CMO, REMIC

3.00%, 3/15/2045
     41,710,493   41,118,946
Series 4750, Class PA,

3.00%, 7/15/2046
     23,586,076   23,248,802
Series 4792, Class A, CMO, REMIC

3.00%, 5/15/2048
     25,836,126   25,190,856
Series K053, Class A2, Class A2,

3.00%, 12/25/2025
     2,232,000   2,212,019
Federal National Mortgage Association:          

2.50%, 9/1/2046
     5,098,507   4,788,183

2.50%, 2/1/2047
     13,792,411   13,018,145

3.00%, 10/1/2041
     32,189,147   31,407,401

3.00%, 3/1/2043
     5,530,675   5,435,708

3.00%, 7/1/2043
     8,718,114   8,500,533

3.00%, 1/1/2045
     2,005,182   1,953,665

3.00%, 3/1/2045
     2,728,900   2,672,500

3.00%, 4/1/2045
     11,371,527   11,056,887

3.00%, 7/1/2045
     33,248,955   32,678,039

3.50%, 9/1/2034
     2,594,111   2,630,938

3.50%, 12/1/2034
     2,312,932   2,345,767

3.50%, 2/1/2035
     1,476,446   1,497,407

3.50%, 1/1/2045
     13,361,168   13,426,550

3.50%, 2/1/2045
     4,800,101   4,823,590

3.50%, 6/1/2045
     13,517,510   13,560,409

4.50%, 3/1/2044
     2,709,235   2,819,123

4.50%, 6/1/2044
     1,362,254   1,417,508

4.50%, 7/1/2044
     1,409,080   1,466,233

4.50%, 2/1/2045
     1,697,631   1,766,488
Series 2010-109, Class N, CMO, REMIC

3.00%, 10/25/2040
     2,905,935   2,880,672
Series 2011-51, Class CI, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR,

3.49%, 6/25/2041 (b)
     7,701,976   991,832
Series 2012-101, Class AP, CMO, REMIC

2.00%, 8/25/2040
     7,587,414   7,283,146
Series 2012-127, Class PA, CMO, REMIC

2.75%, 11/25/2042
     3,868,543   3,733,966
Series 2012-151, Class SB, CMO, REMIC 6.00% - 1 Month USD LIBOR,

2.48%, 1/25/2043 (b)
     1,248,324   943,500
See accompanying notes to financial statements.
33

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 2013-114, Class HZ, CMO, REMIC

3.00%, 11/25/2038
     $ 16,661,591   $ 15,331,681
Series 2013-18, Class CD, CMO, REMIC

1.50%, 10/25/2027
     5,389,879   5,170,891
Series 2013-30, Class PS, CMO, REMIC 6.00% - 1 Month USD LIBOR,

2.48%, 4/25/2043 (b)
     1,718,187   1,360,082
Series 2014-21, Class GZ, CMO, REMIC

3.00%, 4/25/2044
     6,367,987   5,680,622
Series 2014-39, Class ZA, CMO, REMIC

3.00%, 7/25/2044
     9,154,752   8,465,477
Series 2015-42, Class CA, CMO, REMIC

3.00%, 3/25/2044
     7,520,082   7,389,997
Series 2015-9, Class HA, CMO, REMIC

3.00%, 1/25/2045
     11,214,375   11,007,683
Series 2015-95, Class AP, CMO, REMIC

3.00%, 8/25/2042
     14,776,225   14,576,991
Series 2016-21, Class BZ, CMO, REMIC

3.00%, 4/25/2046
     4,703,232   4,119,396
Series 2016-32, Class LA, CMO, REMIC

3.00%, 10/25/2044
     12,679,607   12,491,456
Series 2016-72, Class PA, CMO, REMIC

3.00%, 7/25/2046
     20,779,761   20,385,718
Series 2016-81, Class PA, CMO, REMIC

3.00%, 2/25/2044
     28,834,789   28,518,457
Series 2016-9, Class A, CMO, REMIC

3.00%, 9/25/2043
     10,620,294   10,412,456
Series 2016-92, Class A, CMO, REMIC

3.00%, 4/25/2042
     34,072,426   33,552,353
Series 2016-M3, Class A2,

2.70%, 2/25/2026
     2,150,000   2,081,724
Series 2017-13, Class CA, CMO, REMIC

2.50%, 10/25/2043
     27,296,030   26,622,932
Series 2017-15, Class MA, CMO, REMIC

3.00%, 2/25/2042
     16,676,166   16,515,525
Series 2017-18, Class A, CMO, REMIC

3.00%, 8/25/2042
     42,238,781   41,975,130
Series 2017-32, Class CA, CMO, REMIC

3.00%, 10/25/2042
     40,816,411   40,356,062
Series 2017-87, Class BA, CMO, REMIC

3.00%, 12/25/2042
     29,349,857   29,406,762
Series 2017-9, Class EA, CMO, REMIC

3.00%, 10/25/2042
     68,929,076   68,063,410
See accompanying notes to financial statements.
34

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SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 2018-27, Class JA, CMO, REMIC

3.00%, 12/25/2047
     $ 16,408,806   $ 16,038,411
Series 2018-38, Class JB, CMO, REMIC

3.00%, 6/25/2048
     13,544,682   13,298,210
Other Securities
       12,620,108
Total U.S. Government Agency Obligations

(Cost $1,345,160,769)
         1,301,481,178
U.S. TREASURY OBLIGATIONS — 18.6%          
Treasury Bill

2.59%, 8/15/2019
     95,000,000   93,515,720
Treasury Notes:          

1.50%, 5/31/2020
     122,300,000   120,503,164

1.63%, 5/15/2026
     66,620,000   62,220,421

2.13%, 2/29/2024
     76,000,000   74,564,383

2.25%, 11/15/2025
     63,700,000   62,304,552

2.25%, 11/15/2027
     30,000,000   28,980,812

2.50%, 6/30/2020
     111,600,000   111,513,889
Total U.S. Treasury Obligations

(Cost $554,790,959)
         553,602,941
MORTGAGE-BACKED SECURITIES — 4.5%          
Other Securities (Cost $136,482,292)
       132,874,390
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.7%          
Other Securities (Cost $158,740,696)
       139,549,406
    Shares  
SHORT-TERM INVESTMENT - 5.1%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (Cost $150,002,235) (c) (d)
   150,002,235 150,002,235
TOTAL INVESTMENTS - 99.7%

(Cost $3,058,744,835)
     2,958,712,092
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3%
    9,280,487
NET ASSETS - 100.0%
     $ 2,967,992,579
    
See accompanying notes to financial statements.
35

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed below may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available on the Fund's website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC's website at www.sec.gov.
 
(a) Amount shown represents less than 0.05% of net assets.
(b) Variable Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at December 31, 2018.
CMO Collateralized Mortgage Obligation
IO Interest Only
LIBOR London Interbank Offered Rate
REMIC Real Estate Mortgage Investment Conduit
At December 31, 2018, the Fund had unfunded loan commitments of $435,119, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower   Unfunded Loan
Commitment ($) 		  Value ($)   Unrealized
Appreciation/(Depreciation) ($)
Mavis Tire Express Services Corp.   435,119   420,978   (14,141)
See accompanying notes to financial statements.
36

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Corporate Bonds & Notes
   $ —   $ 399,601,133   $—   $ 399,601,133
Asset-Backed Securities
   —   52,275,395   —   52,275,395
Foreign Government Obligations
   —   46,926,836   —   46,926,836
U.S. Government Agency Obligations
   —   1,301,481,178   —   1,301,481,178
U.S. Treasury Obligations
   —   553,602,941   —   553,602,941
Mortgage-Backed Securities
   —   132,874,390   —   132,874,390
Commercial Mortgage Backed Securities
   —   139,549,406   —   139,549,406
Senior Floating Rate Loans
   —   182,398,578   —   182,398,578
Short-Term Investment
   150,002,235   —   —   150,002,235
TOTAL INVESTMENTS
   $150,002,235   $2,808,709,857   $—   $2,958,712,092
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Unfunded Loans
   —   (14,141)   —   (14,141)
TOTAL OTHER FINANCIAL INSTRUMENTS
   $ —   $ (14,141)   $—   $ (14,141)
Affiliate Table
  Number of
Shares Held
at 6/30/18 		  Value at
6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at 12/31/18 		  Value at
12/31/18 		  Dividend
Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 —   $—   $440,854,524   $290,852,289   $—   $—   150,002,235   $150,002,235   $404,486
See accompanying notes to financial statements.
37

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
  SPDR DoubleLine Emerging Markets Fixed Income ETF   SPDR DoubleLine Short Duration Total Return Tactical ETF
ASSETS      
Investments in unaffiliated issuers, at value
 $52,737,712   $80,478,920
Investments in affiliated issuers, at value
 1,418,548   1,782,183
Total Investments
 54,156,260   82,261,103
Cash
 12,552   17,262
Receivable for investments sold
 —   28,707
Dividends receivable — affiliated issuers
 4,994   2,401
Interest receivable — unaffiliated issuers
 795,886   364,559
Receivable from Adviser
 4,899   3,733
TOTAL ASSETS
54,974,591   82,677,765
LIABILITIES      
Payable for investments purchased
 196,913   —
Advisory fee payable
 36,165   35,030
Trustees’ fees and expenses payable
 18   15
TOTAL LIABILITIES
233,096   35,045
NET ASSETS
$54,741,495   $82,642,720
NET ASSETS CONSIST OF:      
Paid-in Capital
 $57,277,902   $83,950,897
Total distributable earnings (loss)
 (2,536,407)   (1,308,177)
NET ASSETS
$54,741,495   $82,642,720
NET ASSET VALUE PER SHARE      
Net asset value per share
 $ 47.60   $ 48.61
Shares outstanding (unlimited amount authorized, no par value)
 1,150,000   1,700,000
COST OF INVESTMENTS:      
Investments in unaffiliated issuers
 $55,016,302   $81,291,448
Investments in affiliated issuers
 1,418,548   1,782,183
Total cost of investments
 $56,434,850   $83,073,631
See accompanying notes to financial statements.
38

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES  (continued)
December 31, 2018 (Unaudited)
  SPDR DoubleLine Total Return Tactical ETF
ASSETS  
Investments in unaffiliated issuers, at value
 $2,808,709,857
Investments in affiliated issuers, at value
 150,002,235
Total Investments
 2,958,712,092
Cash
 11,562
Receivable for investments sold
 4,124,445
Dividends receivable — affiliated issuers
 202,979
Interest receivable — unaffiliated issuers
 13,881,346
Receivable from Adviser
 253,316
TOTAL ASSETS
2,977,185,740
LIABILITIES  
Payable for investments purchased
 5,043,775
Payable for fund shares repurchased
 2,354,816
Unrealized depreciation on unfunded loan commitments
 14,141
Advisory fee payable
 1,777,845
Trustees’ fees and expenses payable
 1,515
Accrued expenses and other liabilities
 1,069
TOTAL LIABILITIES
9,193,161
NET ASSETS
$2,967,992,579
NET ASSETS CONSIST OF:  
Paid-in Capital
 $3,130,136,701
Total distributable earnings (loss)
 (162,129,981)
NET ASSETS
$2,967,992,579
NET ASSET VALUE PER SHARE  
Net asset value per share
 $ 47.19
Shares outstanding (unlimited amount authorized, no par value)
 62,900,000
COST OF INVESTMENTS:  
Investments in unaffiliated issuers
 $2,908,742,600
Investments in affiliated issuers
 150,002,235
Total cost of investments
 $3,058,744,835
See accompanying notes to financial statements.
39

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
  SPDR DoubleLine Emerging Markets Fixed Income ETF   SPDR DoubleLine Short Duration Total Return Tactical ETF
INVESTMENT INCOME      
Interest income — unaffiliated issuers
 $1,178,562   $1,246,522
Dividend income — affiliated issuers
 22,873   14,447
TOTAL INVESTMENT INCOME (LOSS)
 1,201,435   1,260,969
EXPENSES      
Advisory fee
 199,371   213,052
Trustees’ fees and expenses
 408   651
TOTAL EXPENSES
 199,779   213,703
Expenses waived/reimbursed by the Adviser
 (26,991)   (21,956)
NET EXPENSES
 172,788   191,747
NET INVESTMENT INCOME (LOSS)
 1,028,647   1,069,222
REALIZED AND UNREALIZED GAIN (LOSS)      
Net realized gain (loss) on:      
Investments — unaffiliated issuers
 (81,755)   (133,636)
Net change in unrealized appreciation/depreciation on:      
Investments — unaffiliated issuers
 (556,081)   (43,411)
NET REALIZED AND UNREALIZED GAIN (LOSS)
 (637,836)   (177,047)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $ 390,811   $ 892,175
See accompanying notes to financial statements.
40

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS  (continued)
For the Six Months Ended December 31, 2018 (Unaudited)
  SPDR DoubleLine Total Return Tactical ETF
INVESTMENT INCOME  
Interest income — unaffiliated issuers
 $ 56,763,583
Dividend income — affiliated issuers
 404,486
TOTAL INVESTMENT INCOME (LOSS)
 57,168,069
EXPENSES  
Advisory fee
 9,876,511
Trustees’ fees and expenses
 27,038
TOTAL EXPENSES
 9,903,549
Expenses waived/reimbursed by the Adviser
 (1,546,501)
NET EXPENSES
 8,357,048
NET INVESTMENT INCOME (LOSS)
 48,811,021
REALIZED AND UNREALIZED GAIN (LOSS)  
Net realized gain (loss) on:  
Investments — unaffiliated issuers
 (22,604,234)
Net change in unrealized appreciation/depreciation on:  
Investments — unaffiliated issuers
 8,032,913
Unfunded loan commitments
 (12,529)
Net change in unrealized appreciation/depreciation
 8,020,384
NET REALIZED AND UNREALIZED GAIN (LOSS)
 (14,583,850)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $ 34,227,171
See accompanying notes to financial statements.
41

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
  SPDR DoubleLine
Emerging Markets Fixed Income ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:      
Net investment income (loss)
 $ 1,028,647   $ 1,040,266
Net realized gain (loss)
 (81,755)   203,609
Net change in unrealized appreciation/depreciation
 (556,081)   (1,996,624)
Net increase (decrease) in net assets resulting from operations
 390,811   (752,749)
Net equalization credits and charges
 16,667   34,869
Distributions to shareholders (Note 11)
 (1,168,454)   (1,497,862)
FROM BENEFICIAL INTEREST TRANSACTIONS:      
Proceeds from sale of shares sold
 9,604,814   22,676,121
Cost of shares redeemed
 (2,375,935)   —
Net income equalization
 (16,667)   (34,869)
Other capital
 37,180   79,367
Net increase (decrease) in net assets from beneficial interest transactions
 7,249,392   22,720,619
Net increase (decrease) in net assets during the period
 6,488,416   20,504,877
Net assets at beginning of period
 48,253,079   27,748,202
NET ASSETS AT END OF PERIOD
 $54,741,495   $48,253,079
SHARES OF BENEFICIAL INTEREST:      
Shares sold
 200,000   450,000
Shares redeemed
 (50,000)   —
Net increase (decrease)
 150,000   450,000
See accompanying notes to financial statements.
42

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS  (continued)
  SPDR DoubleLine
Short Duration Total Return Tactical ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:      
Net investment income (loss)
 $ 1,069,222   $ 1,015,044
Net realized gain (loss)
 (133,636)   (66,759)
Net change in unrealized appreciation/depreciation
 (43,411)   (702,128)
Net increase (decrease) in net assets resulting from operations
 892,175   246,157
Net equalization credits and charges
 1,723   46,752
Distributions to shareholders (Note 11)
 (1,267,497)   (974,641)
FROM BENEFICIAL INTEREST TRANSACTIONS:      
Proceeds from sale of shares sold
 4,870,230   48,865,257
Cost of shares redeemed
 (4,850,418)   —
Net income equalization
 (1,723)   (46,752)
Other capital
 14,601   122,163
Net increase (decrease) in net assets from beneficial interest transactions
 32,690   48,940,668
Net increase (decrease) in net assets during the period
 (340,909)   48,258,936
Net assets at beginning of period
 82,983,629   34,724,693
NET ASSETS AT END OF PERIOD
 $82,642,720   $82,983,629
SHARES OF BENEFICIAL INTEREST:      
Shares sold
 100,000   1,000,000
Shares redeemed
 (100,000)   —
Net increase (decrease)
 —   1,000,000
See accompanying notes to financial statements.
43

Table of Contents
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS  (continued)
  SPDR DoubleLine Total Return Tactical ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:      
Net investment income (loss)
 $ 48,811,021   $ 95,786,055
Net realized gain (loss)
 (22,604,234)   (5,407,972)
Net change in unrealized appreciation/depreciation
 8,020,384   (93,096,941)
Net increase (decrease) in net assets resulting from operations
 34,227,171   (2,718,858)
Net equalization credits and charges
 (289,413)   37,755
Distributions to shareholders (Note 11)
 (63,190,410)   (103,695,830)
FROM BENEFICIAL INTEREST TRANSACTIONS:      
Proceeds from sale of shares sold
 127,177,020   299,844,384
Cost of shares redeemed
 (313,376,121)   (366,600,086)
Net income equalization
 289,413   (37,755)
Other capital
 916,122   1,607,981
Net increase (decrease) in net assets from beneficial interest transactions
 (184,993,566)   (65,185,476)
Net increase (decrease) in net assets during the period
 (214,246,218)   (171,562,409)
Net assets at beginning of period
 3,182,238,797   3,353,801,206
NET ASSETS AT END OF PERIOD
 $2,967,992,579   $3,182,238,797
SHARES OF BENEFICIAL INTEREST:      
Shares sold
 2,700,000   6,100,000
Shares redeemed
 (6,650,000)   (7,650,000)
Net increase (decrease)
 (3,950,000)   (1,550,000)
See accompanying notes to financial statements.
44

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
  SPDR DoubleLine Emerging Markets Fixed Income ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18 		  Year
Ended
6/30/17 		  For the
Period
4/14/16* -
6/30/16
Net asset value, beginning of period
 $ 48.25   $ 50.45   $ 51.52   $ 50.00
Income (loss) from investment operations:              
Net investment income (loss) (a)
 0.94   1.31   1.77   0.45
Net realized and unrealized gain (loss)
 (0.58)   (1.74)   1.91   1.17
Total from investment operations
 0.36   (0.43)   3.68   1.62
Net equalization credits and charges (a)
 0.02   0.04   0.01   —
Other capital (a)
 0.03   0.10   0.05   0.15
Distributions to shareholders from:              
Net investment income
 (1.06)   (1.36)   (1.81)   (0.25)
Net realized gains
 —   (0.55)   (3.00)   —
Total distributions
 (1.06)   (1.91)   (4.81)   (0.25)
Net asset value, end of period
 $ 47.60   $ 48.25   $ 50.45   $ 51.52
Total return (b)
 0.85%   (0.65)%   7.67%   3.55%
Ratios and Supplemental Data:              
Net assets, end of period (in 000s)
 $54,741   $48,253   $27,748   $38,639
Ratios to average net assets:              
Total expenses
 0.75%(c)   0.76%   0.75%   0.75%(c)
Net expenses
 0.65%(c)   0.65%   0.65%   0.65%(c)
Net investment income (loss)
 3.87%(c)   2.64%   3.46%   4.15%(c)
Portfolio turnover rate (d)
 17%(e)   55%   141%   12%(e)
* Commencement of operations.
(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(b) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(c) Annualized.
(d) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.
(e) Not annualized.
See accompanying notes to financial statements.
45

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR DoubleLine Short Duration Total Return Tactical ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18 		  Year
Ended
6/30/17 		  For the
Period
4/14/16* -
6/30/16
Net asset value, beginning of period
 $ 48.81   $ 49.61   $ 50.40   $ 50.00
Income (loss) from investment operations:              
Net investment income (loss) (a)
 0.62   1.02   1.04   0.22
Net realized and unrealized gain (loss)
 (0.10)   (0.99)   (0.53)   0.20
Total from investment operations
 0.52   0.03   0.51   0.42
Net equalization credits and charges (a)
 0.00(b)   0.05   0.00(b)   —
Other capital (a)
 0.01   0.12   0.06   0.10
Distributions to shareholders from:              
Net investment income
 (0.73)   (1.00)   (1.13)   (0.12)
Net realized gains
 —   —   (0.23)   —
Total distributions
 (0.73)   (1.00)   (1.36)   (0.12)
Net asset value, end of period
 $ 48.61   $ 48.81   $ 49.61   $ 50.40
Total return (c)
 1.10%   0.43%   1.14%   1.04%
Ratios and Supplemental Data:              
Net assets, end of period (in 000s)
 $82,643   $82,984   $34,725   $50,404
Ratios to average net assets:              
Total expenses
 0.50%(d)   0.50%   0.50%   0.50%(d)
Net expenses
 0.45%(d)   0.45%   0.45%   0.45%(d)
Net investment income (loss)
 2.51%(d)   2.07%   2.10%   2.06%(d)
Portfolio turnover rate (e)
 20%(f)   50%   123%   25%(f)
* Commencement of operations.
(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(b) Amount is less than $0.005 per share.
(c) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(d) Annualized.
(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.
(f) Not annualized.
See accompanying notes to financial statements.
46

Table of Contents
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS  (continued)
Selected data for a share outstanding throughout each period
  SPDR DoubleLine Total Return Tactical ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  For the
Period
2/23/15* -
6/30/15(a)
Net asset value, beginning of period
 $ 47.60   $ 49.03   $ 49.87   $ 49.43   $ 50.00
Income (loss) from investment operations:                  
Net investment income (loss) (b)
 0.76   1.34   1.33   1.54   0.55
Net realized and unrealized gain (loss) (c)
 (0.19)   (1.34)   (0.66)   0.34   (0.88)
Total from investment operations
 0.57   —   0.67   1.88   (0.33)
Net equalization credits and charges (b)
 (0.00)(d)   0.00(d)   0.01   0.07   0.10
Other capital (b)
 0.01   0.02   0.04   0.03   0.05
Distributions to shareholders from:                  
Net investment income
 (0.99)   (1.45)   (1.48)   (1.54)   (0.39)
Net realized gains
 —   —   (0.08)   —   —
Total distributions
 (0.99)   (1.45)   (1.56)   (1.54)   (0.39)
Net asset value, end of period
 $ 47.19   $ 47.60   $ 49.03   $ 49.87   $ 49.43
Total return (e)
 1.20%   0.04%   1.55%   4.03%   (0.34)%
Ratios and Supplemental Data:                  
Net assets, end of period (in 000s)
 $2,967,993   $3,182,239   $3,353,801   $2,657,951   $746,443
Ratios to average net assets:                  
Total expenses
 0.65%(f)   0.65%   0.66%   0.65%   0.65%(f)
Net expenses
 0.55%(f)   0.55%   0.55%   0.55%   0.56%(f)
Net investment income (loss)
 3.21%(f)   2.78%   2.70%   3.14%   3.18%(f)
Portfolio turnover rate
 23%(g)   34%(h)   72%(h)   38%(h)   14%(h)
* Commencement of operations.
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Amount is less than $0.005 per share.
(e) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(f) Annualized.
(g) Not annualized.
(h) Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1.
See accompanying notes to financial statements.
47

Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1.    Organization
SSGA Active Trust (the “Trust”), a Massachusetts business trust, registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest at no par value. The financial statements herein relate to the following series (each a “Fund”, and collectively, the “Funds”):
SPDR DoubleLine Emerging Markets Fixed Income ETF
SPDR DoubleLine Short Duration Total Return Tactical ETF
SPDR DoubleLine Total Return Tactical ETF
Each Fund is classified as a diversified investment company under the 1940 Act, with the exception of SPDR DoubleLine Total Return Tactical ETF, which is a non-diversified investment company.
Prior to the close of business on May 7, 2018, SPDR DoubleLine Total Return Tactical ETF had been operating in a “master –feeder” arrangement, under which the Fund invested substantially all of its assets in a corresponding series of SSGA Master Trust (i.e., a “Portfolio/ Master fund”). The State Street DoubleLine Total Return Tactical Portfolio (the “Portfolio”) was a separate mutual fund that had an identical investment objective, and substantially identical investment strategies, policies and risks as the Fund (i.e., a “feeder fund”). As a result of this arrangement, the Fund had an indirect interest in all of the securities owned by the Portfolio.
As of the close of business on May 7, 2018, the securities held by the Portfolio were transferred “in-kind” to the feeder fund in a tax free exchange of the feeder fund’s interests as part of a complete liquidation of the Portfolio.
Effective May 8, 2018, the feeder fund pursues its investment objective through direct investment in securities of the same type that previously would have been owned by the Portfolio. The discontinuance of the master-feeder arrangement on the feeder fund had no impact on shareholder’s net asset value or the results of operations for the feeder fund.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with
48

Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2.    Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
•  Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
•  Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure
49

Table of Contents
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
proper accrual of income.
•  Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
•  Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate a Fund's NAV and the prices used by the Funds' underlying benchmarks. Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
•  Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
•  Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
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NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
•  Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according to the fair value hierarchy as of December 31, 2018, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Paydown gains and losses are recorded as an adjustment to interest income.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds within the Trust.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2018, if any, are disclosed in the Funds' Statements of Assets and Liabilities.
Equalization
The Funds in the Trust follow the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales
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NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.
The following Funds utilized equalization during the period ended December 31, 2018:
SPDR DoubleLine Emerging Markets Fixed Income ETF
SPDR DoubleLine Short Duration Total Return Tactical ETF
SPDR DoubleLine Total Return Tactical ETF
Distributions
Distributions from net investment income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.    Securities and Other Investments
Loan Agreements
The SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Total Return Tactical ETF invest in Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus are highly leveraged. The Funds do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Funds as the issuers of such loans.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
4.    Fees and Transactions with Affiliates
Advisory Fee
Each Fund has entered into an Investment Advisory Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:
  Annual Rate
SPDR DoubleLine Emerging Markets Fixed Income ETF
 0.75%
SPDR DoubleLine Short Duration Total Return Tactical ETF
 0.50
SPDR DoubleLine Total Return Tactical ETF
 0.65
The Adviser has contractually agreed to waive a portion of its advisory fee and/or reimburse certain expenses, until October 31, 2019, so that the net annual Fund operating expenses of each Fund will be limited to 0.65%, 0.45% and 0.55% of the Fund’s average daily net assets for the SPDR DoubleLine Emerging Markets Fixed Income ETF, the SPDR DoubleLine Short Duration Total Return Tactical ETF and the SPDR DoubleLine Total Return Tactical ETF, respectively, before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2019, the waiver and/or reimbursement may be 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 expenses of each Fund other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses, and other extraordinary expenses.
DoubleLine Capital LP receives fees for its services as the sub-adviser to the Funds from the Adviser.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Administrator, Custodian, Sub-Administrator and Transfer Agent Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2018, are disclosed in the Schedules of Investments.
5.    Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6.    Investment Transactions
Purchases and sales of investments (excluding in-kind transactions and short term investments) for the period ended December 31, 2018, were as follows:
  U.S. Government Obligations   Other Securities
  Purchases   Sales   Purchases   Sales
SPDR DoubleLine Emerging Markets Fixed Income ETF
 $ —   $ —   $ 17,432,993   $ 8,223,862
SPDR DoubleLine Short Duration Total Return Tactical ETF
 11,939,210   7,940,316   9,148,344   6,496,893
SPDR DoubleLine Total Return Tactical ETF
 261,605,747   527,198,042   130,614,418   262,632,081
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
7.    Shareholder Transactions
Each Fund issues and redeems its shares, at NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
8.    Income Tax Information
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed each Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
As of December 31, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
  Tax
Cost 		  Gross
Unrealized
Appreciation 		  Gross
Unrealized
Depreciation 		  Net Unrealized
Appreciation
(Depreciation)
SPDR DoubleLine Emerging Markets Fixed Income ETF
 $ 56,434,850   $ 90,226   $ 2,368,816   $ (2,278,590)
SPDR DoubleLine Short Duration Total Return Tactical ETF
 83,073,631   147,016   959,544   (812,528)
SPDR DoubleLine Total Return Tactical ETF
 3,058,744,835   7,394,441   107,427,184   (100,032,743)
9.    Line of Credit
The Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2019 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Funds had no outstanding loans as of December 31, 2018.
10.    Risks
Concentration Risk
As a result of the Funds' ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds' were more broadly diversified.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
11.    Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In August 2018, the U.S. Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Portfolio has adopted the Final Rule for the current period.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
  Net
Investment
Income 		  Net Realized
Capital
Gains 		  Total
Distributions 		  Undistributed
Net Investment
Income (Loss) 		 
SPDR DoubleLine Emerging Markets Fixed Income ETF
 $ 1,032,793   $ 465,069   $ 1,497,862   $ 85,677  
SPDR DoubleLine Short Duration Total Return Tactical ETF
 974,641   —   974,641   79,557  
SPDR DoubleLine Total Return Tactical ETF
 103,695,830   —   103,695,830   9,694,482  
12.    Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Fund's cost in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
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OTHER INFORMATION  (continued)
December 31, 2018 (Unaudited)
  SPDR DoubleLine Emerging Markets Fixed Income ETF   SPDR DoubleLine Short Duration Total Return Tactical ETF   SPDR DoubleLine Total Return Tactical ETF
Annualized Expense Ratio
 0.65%   0.45%   0.55%
Actual:          
Ending Account Value
 $1,008.50   $1,011.00   $1,012.00
Expenses Paid During Period(a)
 3.29   2.28   2.79
Hypothetical (assuming a 5% return before expenses):          
Ending Account Value
 1,021.90   1,022.90   1,022.40
Expenses Paid During Period(a)
 3.31   2.29   2.80
(a) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.
Premium/Discount Information
Information regarding how often the Shares of each Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the most recent 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Funds' website at www.spdrs.com.
Quarterly Portfolio Schedule
The Funds file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. 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.
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SSGA ACTIVE TRUST
OTHER INFORMATION  (continued)
December 31, 2018 (Unaudited)
Full Portfolio Schedule
The complete schedule of portfolio holdings for the SPDR DoubleLine Total Return Tactical ETF is available on the Fund's website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.
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Table of Contents
SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
 
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
SSGA Active Trust
For more complete information, please call 1.866.787.2257 or visit www.spdrs.com today.
State Street Global Advisors
One Iron Street
Boston, MA 02210
ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
Foreign investments involve greater risks than U.S. investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Investing in commodities entail significant risk and is not appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends, commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.
Standard & Poor’s, S&P and SPDR are registered trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Advisors Funds Distributors, LLC, member FINRA, SIPC, an indirect 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.
SSGA Funds Management has retained DoubleLine Capital LP as the sub-adviser.
DoubleLine® is a registered trademark of DoubleLine Capital LP.
DoubleLine Capital LP is not affiliated with State Street Global Advisors Funds Distributors, LLC.
Before investing, consider a fund’s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit www.spdrs.com. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
 
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
© 2019 State Street Corporation - All Rights Reserved
SPDREMTLSAR

Table of Contents
Semi-Annual Report
December 31, 2018
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

Table of Contents

Table of Contents
TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

Table of Contents
State Street Disciplined Global Equity Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

        
  Description Market Value % of Net Assets  
  Merck & Co., Inc. 29,647 1.5%  
  Waste Management, Inc. 29,278 1.4  
  Eli Lilly & Co. 28,814 1.4  
  CLP Holdings, Ltd. 28,259 1.4  
  HCA Healthcare, Inc. 28,250 1.4  
  TOTAL 144,248 7.1%  
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2018

      
    % of Net Assets  
  Pharmaceuticals 11.2%  
  Insurance 7.7  
  Banks 7.5  
  Health Care Providers & Services 7.3  
  Electric Utilities 4.4  
  Multi-Utilities 4.1  
  Food & Staples Retailing 4.0  
  Equity Real Estate Investment Trusts (REITs) 3.7  
  Trading Companies & Distributors 3.7  
  Diversified Telecommunication Services 3.6  
  Hotels, Restaurants & Leisure 3.3  
  Specialty Retail 3.1  
  Airlines 2.5  
  Food Products 2.4  
  Beverages 2.4  
  Health Care Equipment & Supplies 2.0  
  Communications Equipment 2.0  
  Mortgage Real Estate Investment Trust (REITs) 2.0  
  Automobiles 2.0  
  Oil, Gas & Consumable Fuels 2.0  
  Aerospace & Defense 1.8  
  Commercial Services & Supplies 1.7  
  Gas Utilities 1.6  
  Construction & Engineering 1.4  
  Industrial Conglomerates 1.2  
  Household Products 1.2  
  Technology Hardware, Storage & Peripherals 1.1  
  Wireless Telecommunication Services 1.1  
  Tobacco 1.1  
  Consumer Finance 1.0  
  Multiline Retail 1.0  
  Electronic Equipment, Instruments & Components 0.9  
  Real Estate Management & Development 0.7  
  Air Freight & Logistics 0.6  
  Chemicals 0.6  
  Road & Rail 0.5  
  Textiles, Apparel & Luxury Goods 0.5  
  Metals & Mining 0.4  
  Capital Markets 0.2  
  Other Assets in Excess of Liabilities 0.5  
  TOTAL 100.0%  
(The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
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Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Shares   Value
COMMON STOCKS — 99.5%          
AUSTRALIA — 4.0%          
Coles Group, Ltd. (a)
     399   $ 3,298
Insurance Australia Group, Ltd. (a)
     615   3,031
Macquarie Group, Ltd.
     66   5,048
Mirvac Group REIT
     6,316   9,960
Qantas Airways, Ltd.
     2,520   10,272
Scentre Group REIT
     5,920   16,254
Sonic Healthcare, Ltd.
     253   3,938
South32, Ltd.
     3,183   7,507
Telstra Corp., Ltd.
     2,143   4,300
Wesfarmers, Ltd.
     399   9,050
Woodside Petroleum, Ltd.
     400   8,819
          81,477
BELGIUM — 0.5%          
Ageas
     237   10,647
CANADA — 2.8%          
Bank of Montreal
     154   10,057
Sun Life Financial, Inc.
     227   7,527
TELUS Corp.
     490   16,234
Toronto-Dominion Bank
     465   23,104
          56,922
DENMARK — 1.1%          
Novo Nordisk A/S Class B
     469   21,403
FRANCE — 1.7%          
Peugeot SA
     764   16,284
Sanofi
     209   18,077
          34,361
GERMANY — 0.9%          
Allianz SE
     28   5,606
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
     57   12,416
          18,022
HONG KONG — 4.9%          
CLP Holdings, Ltd.
     2,500   28,259
Hang Seng Bank, Ltd.
     800   17,963
Jardine Matheson Holdings, Ltd.
     200   13,916
Link REIT
     2,500   25,322
Sun Hung Kai Properties, Ltd.
     1,000   14,254
          99,714
ITALY — 1.4%          
Enel SpA
     2,097   12,091
Eni SpA
     1,088   17,099
          29,190
JAPAN — 14.8%          
Astellas Pharma, Inc.
     1,800   22,993
FUJIFILM Holdings Corp.
     300   11,676
Hitachi, Ltd.
     700   18,729
ITOCHU Corp.
     900   15,315
Japan Airlines Co., Ltd.
     700   24,825
Security Description     Shares   Value
Japan Post Holdings Co., Ltd.
     1,000   $ 11,530
Marubeni Corp.
     2,900   20,416
Mitsubishi Corp.
     600   16,515
Mitsui & Co., Ltd.
     1,500   23,112
Mitsui Chemicals, Inc.
     500   11,320
Mizuho Financial Group, Inc.
     14,700   22,817
Nippon Telegraph & Telephone Corp.
     500   20,426
NTT DOCOMO, Inc.
     1,000   22,536
Taisei Corp.
     400   17,154
Tokio Marine Holdings, Inc.
     200   9,545
Tokyo Gas Co., Ltd.
     300   7,617
Toyota Motor Corp.
     400   23,355
          299,881
NETHERLANDS — 1.4%          
Koninklijke Ahold Delhaize NV
     1,099   27,733
NORWAY — 2.3%          
DNB ASA
     1,275   20,342
Equinor ASA
     832   17,655
Telenor ASA
     494   9,556
          47,553
SPAIN — 0.6%          
ACS Actividades de Construccion y Servicios SA
     321   12,414
SWEDEN — 1.1%          
Swedish Match AB
     554   21,814
SWITZERLAND — 4.3%          
Novartis AG
     226   19,267
Roche Holding AG
     103   25,431
Swiss Re AG
     242   22,123
Swisscom AG
     18   8,577
Zurich Insurance Group AG
     38   11,298
          86,696
UNITED KINGDOM — 0.6%          
Direct Line Insurance Group PLC
     3,228   13,102
UNITED STATES — 57.1%          
Aflac, Inc.
     276   12,575
AGNC Investment Corp. REIT
     1,141   20,013
Allstate Corp.
     263   21,732
Ameren Corp.
     374   24,396
American Express Co.
     214   20,398
Annaly Capital Management, Inc. REIT
     1,995   19,591
Anthem, Inc.
     90   23,637
Archer-Daniels-Midland Co.
     511   20,936
AutoZone, Inc. (a)
     29   24,312
Baxter International, Inc.
     411   27,052
BB&T Corp.
     439   19,017
Bristol-Myers Squibb Co.
     216   11,228
Carnival Corp.
     162   7,987
CenterPoint Energy, Inc.
     637   17,982
Cigna Corp.
     104   19,752
Cisco Systems, Inc.
     320   13,866
Coca-Cola Co.
     529   25,048
DTE Energy Co.
     224   24,707
 
See accompanying notes to financial statements.
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Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Shares   Value
Eli Lilly & Co.
     249   $ 28,814
Eversource Energy
     181   11,772
Exelon Corp.
     568   25,617
HCA Healthcare, Inc.
     227   28,250
Hershey Co.
     76   8,146
Home Depot, Inc.
     105   18,041
Honeywell International, Inc.
     79   10,437
HP, Inc.
     526   10,762
Humana, Inc.
     79   22,632
Johnson & Johnson
     199   25,681
JPMorgan Chase & Co.
     246   24,015
Kellogg Co.
     356   20,296
Lockheed Martin Corp.
     71   18,591
McDonald's Corp.
     143   25,392
Medtronic PLC
     159   14,463
Merck & Co., Inc.
     388   29,647
Motorola Solutions, Inc.
     237   27,264
PepsiCo, Inc.
     215   23,753
Pfizer, Inc.
     515   22,480
Pinnacle West Capital Corp.
     115   9,798
PNC Financial Services Group, Inc.
     64   7,482
Procter & Gamble Co.
     271   24,910
Public Service Enterprise Group, Inc.
     324   16,864
Quest Diagnostics, Inc.
     150   12,490
Raytheon Co.
     125   19,169
Republic Services, Inc.
     81   5,839
Simon Property Group, Inc. REIT
     143   24,023
Starbucks Corp.
     186   11,978
Sysco Corp.
     351   21,994
Security Description     Shares   Value
Target Corp.
     309   $ 20,422
TJX Cos., Inc.
     476   21,296
Torchmark Corp.
     154   11,478
UGI Corp.
     453   24,168
Union Pacific Corp.
     69   9,538
United Continental Holdings, Inc. (a)
     188   15,741
United Parcel Service, Inc. Class B
     122   11,899
UnitedHealth Group, Inc.
     102   25,410
Universal Health Services, Inc. Class B
     97   11,306
US Bancorp
     180   8,226
Verizon Communications, Inc.
     247   13,886
VF Corp.
     132   9,417
Walmart, Inc.
     188   17,512
Waste Management, Inc.
     329   29,278
Yum! Brands, Inc.
     245   22,520
          1,156,926
TOTAL COMMON STOCKS

(Cost $1,960,299)
         2,017,855
TOTAL INVESTMENTS — 99.5%

(Cost $1,960,299)
   2,017,855  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%
  10,180  
NET ASSETS — 100.0%
  $ 2,028,035  
(a) Non-income producing security.
REIT = Real Estate Investment Trust
 
The following table summarizes the value of the Portfolio's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Common Stocks
   $2,017,855   $—   $—   $2,017,855
TOTAL INVESTMENTS
   $2,017,855   $—   $—   $2,017,855
Affiliate Table
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 33,569   $33,569   $695,359   $728,928   $—   $—   —   $—   $549   $—
See accompanying notes to financial statements.
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Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
ASSETS  
Investments in unaffiliated issuers, at value
 $2,017,855
Foreign currency, at value
 26,681
Receivable for investments sold
 7,131
Dividends receivable — unaffiliated issuers
 4,975
Dividends receivable — affiliated issuers
 120
Receivable from Adviser
 958
Receivable for foreign taxes recoverable
 3,920
TOTAL ASSETS
2,061,640
LIABILITIES  
Due to custodian
 9,497
Payable for investments purchased
 18,648
Payable for fund shares repurchased
 4,522
Advisory fee payable
 937
Trustees’ fees and expenses payable
 1
TOTAL LIABILITIES
33,605
NET ASSETS
$2,028,035
NET ASSETS CONSIST OF:  
Paid-in Capital
 $1,905,781
Total distributable earnings (loss)
 122,254
NET ASSETS
$2,028,035
NET ASSET VALUE PER SHARE  
Net asset value per share
 $ 9.74
Shares outstanding (unlimited amount authorized, no par value)
 208,269
COST OF INVESTMENTS:  
Investments in unaffiliated issuers
 $1,960,299
Foreign currency, at cost
 $ 26,659
See accompanying notes to financial statements.
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Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
INVESTMENT INCOME  
Dividend income — unaffiliated issuers
 $ 67,511
Dividend income — affiliated issuers
 549
Foreign taxes withheld
 (2,405)
TOTAL INVESTMENT INCOME (LOSS)
 65,655
EXPENSES  
Advisory fee
 6,558
Trustees’ fees and expenses  
 47
TOTAL EXPENSES
 6,605
Expenses waived/reimbursed by the Adviser
 (6,605)
NET EXPENSES
 —
NET INVESTMENT INCOME (LOSS)
 $ 65,655
REALIZED AND UNREALIZED GAIN (LOSS)  
Net realized gain (loss) on:  
Investments — unaffiliated issuers
 53,787
Foreign currency transactions
 (1,372)
Net realized gain (loss)
 52,415
Net change in unrealized appreciation/depreciation on:  
Investments — unaffiliated issuers
 (400,305)
Foreign currency translations
 90
Net change in unrealized appreciation/depreciation
 (400,215)
NET REALIZED AND UNREALIZED GAIN (LOSS)
 (347,800)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $(282,145)
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:      
Net investment income (loss)
 $ 65,655   $ 168,284
Net realized gain (loss)
 52,415   222,062
Net change in unrealized appreciation/depreciation
 (400,215)   (82,662)
Net increase (decrease) in net assets resulting from operations
 (282,145)   307,684
Distributions to shareholders (Note 9)
 (351,240)   (211,763)
FROM BENEFICIAL INTEREST TRANSACTIONS:      
Proceeds from sale of shares sold
 503,557   348,917
Reinvestment of distributions
 351,240   211,763
Cost of shares redeemed
 (3,198,070)   (282,814)
Net increase (decrease) in net assets from beneficial interest transactions
(2,343,273)   277,866
Net increase (decrease) in net assets during the period
 (2,976,658)   373,787
Net assets at beginning of period
 5,004,693   4,630,906
NET ASSETS AT END OF PERIOD
 $ 2,028,035   $5,004,693
SHARES OF BENEFICIAL INTEREST:      
Shares sold
 39,829   27,995
Reinvestment of distributions
 36,856   17,050
Shares redeemed
 (275,879)   (22,549)
Net increase (decrease) from share transactions
 (199,194)   22,496
See accompanying notes to financial statements.
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Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
  State Street Disciplined Global Equity Portfolio
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18 		  Year
Ended
6/30/17 		  For the
Period
2/19/16* -
6/30/16
Net asset value, beginning of period
 $12.28   $12.03   $10.89   $10.00
Net investment income (loss) (a)
 0.16   0.42   0.31   0.15
Net realized and unrealized gain (loss)
 (0.70)   0.36   1.21   0.74
Total from investment operations
 (0.54)   0.78   1.52   0.89
Distributions to shareholders from:              
Net investment income
 (0.74)   (0.38)   (0.28)   —
Net realized gains
 (1.26)   (0.15)   (0.10)   —
Total distributions
 (2.00)   (0.53)   (0.38)   —
Net asset value, end of period
 $ 9.74   $12.28   $12.03   $10.89
Total return (b)
 (4.03)%(c)   6.48%   14.43%   8.90%(c)
Ratios and Supplemental Data:              
Net assets, end of period (in 000s)
 $2,028   $5,005   $4,631   $3,270
Ratios to average net assets:              
Total expenses
 0.25%(d)   0.30%   0.33%   0.27%(d)
Net expenses
 —%(d)(e)   —%(e)   —%(e)   —%(d)
Net investment income (loss)
 2.50%(d)   3.37%   2.75%   4.00%(d)
Portfolio turnover rate
 39%(c)   47%   30%   21%(c)
* Commencement of operations.
(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(b) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.
(c) Not annualized.
(d) Annualized.
(e) Amount is less than 0.005%.
See accompanying notes to financial statements.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1.    Organization
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the following Portfolio (the “Portfolio”):
Portfolio Commencement of Operations Diversification Classification
State Street Disciplined Global Equity Portfolio February 19, 2016 Diversified
The Portfolio serves as a master fund in a master-feeder structure.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2.    Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Portfolio's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Portfolio's investments by major category are as follows:
•  Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
•  Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Various inputs are used in determining the value of the Portfolio’s investments.
The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
•  Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
•  Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•  Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2018 is disclosed in the Portfolio’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date or when the information becomes available, net of any foreign taxes withheld at source, if any.
The Portfolio invests in Real Estate Investment Trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar years to return of capital or capital gains distributions at year end based on information provided by the REIT.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.
Foreign Currency Translation
The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Foreign Taxes
The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2018, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.    Fees and Transactions with Affiliates
Advisory Fee
The Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Portfolio pays the Adviser a fee accrued daily and paid monthly, at a rate of 0.25% of the Portfolio’s average daily net assets.
The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse expenses in such an amount equal to the “Total annual Fund operating expenses” until the later of April 30, 2020 or such time as the shares of the Portfolio cease to be the only investment security held by the State Street Defensive Global Equity Fund (formerly, State Street Disciplined Global Equity Fund), a separate series of State Street Institutional Investment Trust. 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 the waiver and/or reimbursement may be canceled or modified at any time after April 30, 2020. This waiver and/or reimbursement may not be terminated prior to April 30, 2020 except with the approval of the Trust’s Board of Trustees. For the period ended December 31, 2018, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $6,605.
Administrator, Custodian, Sub-Administrator and Transfer Agent Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, including securities issued by State Street Corporation., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2018, are disclosed in the Schedule of Investments.
Due to Custodian
In certain circumstances, the Portfolio may have cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to custodian amount if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Portfolio.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
4.    Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5.    Investment Transactions
Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2018, were as follows:
  Purchases   Sales
State Street Disciplined Global Equity Portfolio
 $1,872,819   $4,400,883
6.    Income Tax Information
The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Under tax reform legislation commonly referred to as the Tax Cuts and Jobs Act (the “Tax Act”), a direct REIT shareholder is permitted to claim a 20% deduction for “qualified REIT dividends” (i.e., ordinary REIT dividends other than capital gain dividends and portions of REIT dividends designated as qualified dividend income). Originally, the Act did not contain a provision permitting a regulated investment company, such as the Fund, to pass through the special character of “qualified REIT dividends” to its shareholders. On January 18, 2019, the Treasury Department and IRS issued proposed regulations (the “Proposed Regulations”) that generally permit regulated investment companies, such as the Fund, to pass through “qualified REIT dividends” to its shareholders under Section 199A of the Internal Revenue Code.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of December 31, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
  Tax
Cost 		  Gross
Unrealized
Appreciation 		  Gross
Unrealized
Depreciation 		  Net Unrealized
Appreciation
(Depreciation)
State Street Disciplined Global Equity Portfolio
 $1,960,299   $174,281   $116,725   $57,556
7.    Line of Credit
The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2019 unless extended or renewed.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of December 31, 2018.
8.    Risks
Concentration Risk
As a result of the Portfolio's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio was more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enters into transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
9.    New Accounting Pronouncements
In August 2018, the U.S. Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Portfolio has adopted the Final Rule for the current period.
10.    Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Portfolio's cost in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio's costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION  (continued)
December 31, 2018 (Unaudited)
      Actual   Hypothetical (assuming a 5%
return before expenses)
  Annualized
Expense Ratio 		  Ending Account
Value 		  Expenses Paid
During Period(a) 		  Ending Account
Value 		  Expenses Paid
During Period(a)
State Street Disciplined Global Equity Portfolio
 0.00%(b)   $959.70   $0.00(c)   $1,025.20   $0.00(c)
(a) Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.
(b) Amount is less than 0.005%.
(c) Amount is less than $0.005.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio's investment adviser to vote proxies relating to the Portfolio’s portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Portfolio's website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Portfolio files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio's Forms N-Q are available on the SEC’s website at www.sec.gov. The information on the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Portfolio's website at www.ssgafunds.com.
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SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Portfolio Shares are distributed by State Street Global Advisors Funds Distributors, LLC, an indirect, wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
 
© 2019 State Street Corporation -All Rights Reserved

Table of Contents
Semi-Annual Report
December 31, 2018
SSGA Active Trust
SPDR Blackstone / GSO Senior Loan ETF
IMPORTANT NOTICE: Beginning on January 1, 2021, reports like this one will no longer automatically be sent by mail. See inside for more information.
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial intermediary.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.

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

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SSGA ACTIVE TRUST
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
  SPDR Blackstone / GSO Senior Loan ETF
ASSETS  
Investment in corresponding affiliated Portfolio, at value
 $2,193,048,867
Cash
 1,370
TOTAL ASSETS
2,193,050,237
LIABILITIES  
Advisory fee payable
 914,831
Trustees’ fees and expenses payable
 699
TOTAL LIABILITIES
915,530
NET ASSETS
$2,192,134,707
NET ASSETS CONSIST OF:  
Paid-in Capital
 $2,389,425,761
Total distributable earnings (loss)
 (197,291,054)
NET ASSETS
$2,192,134,707
NET ASSET VALUE PER SHARE  
Net asset value per share
 $ 44.92
Shares outstanding (unlimited amount authorized, no par value)
 48,800,000
COST OF INVESTMENTS:  
Investments in corresponding affiliated Portfolio
 $2,281,057,617
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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SSGA ACTIVE TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
  SPDR Blackstone / GSO Senior Loan ETF
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO  
Interest income allocated from affiliated Portfolio
 $ 92,034,256
Dividend income allocated from affiliated Portfolio
 2,277,597
Expenses allocated from affiliated Portfolio
 (4,910,511)
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO
 89,401,342
EXPENSES  
Advisory fee
 6,503,506
Trustees’ fees and expenses
 26,355
TOTAL EXPENSES
 6,529,861
NET INVESTMENT INCOME (LOSS)
 82,871,481
REALIZED AND UNREALIZED GAIN (LOSS)  
Net realized gain (loss) on:  
Investment transactions allocated from affiliated Portfolio
 (47,295,865)
Net change in unrealized appreciation/depreciation on:  
Investment transactions allocated from affiliated Portfolio
 (80,291,010)
NET REALIZED AND UNREALIZED GAIN (LOSS)
 (127,586,875)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $ (44,715,394)
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
  SPDR Blackstone / GSO Senior Loan ETF
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:      
Net investment income (loss)
 $ 82,871,481   $ 103,046,158
Net realized gain (loss)
 (47,295,865)   (11,863,241)
Net change in unrealized appreciation/depreciation
 (80,291,010)   (16,510,899)
Net increase (decrease) in net assets resulting from operations
 (44,715,394)   74,672,018
Net equalization credits and charges
 (1,244,639)   1,868,667
Distributions to shareholders (Note 7):
 (93,227,500)   (97,740,250)
FROM BENEFICIAL INTEREST TRANSACTIONS:      
Proceeds from sale of shares sold
 280,085,173   1,509,849,497
Cost of shares redeemed
 (1,142,931,350)   (118,513,417)
Net income equalization
 1,244,639   (1,868,667)
Other capital
 3,300,163   850,598
Net increase (decrease) in net assets from beneficial interest transactions
 (858,301,375)   1,390,318,011
Net increase (decrease) in net assets during the period
 (997,488,908)   1,369,118,446
Net assets at beginning of period
 3,189,623,615   1,820,505,169
NET ASSETS AT END OF PERIOD
 $ 2,192,134,707   $3,189,623,615
SHARES OF BENEFICIAL INTEREST:      
Shares sold
 5,950,000   31,900,000
Shares redeemed
 (24,950,000)   (2,500,000)
Net increase (decrease)
 (19,000,000)   29,400,000
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
  SPDR Blackstone / GSO Senior Loan ETF
  Six Months
Ended
12/31/18(a)
(Unaudited) 		  Year
Ended
6/30/18(a) 		  Year
Ended
6/30/17(a) 		  Year
Ended
6/30/16(a) 		  Year
Ended
6/30/15(a) 		  Year
Ended
6/30/14(a)
Net asset value, beginning of period
 $ 47.04   $ 47.41   $ 46.64   $ 49.22   $ 50.02   $ 49.65
Income (loss) from investment operations:                      
Net investment income (loss) (b)
 1.20   2.04   1.85   1.95   2.01   1.54
Net realized and unrealized gain (loss) (c)
 (1.98)   (0.50)   0.73   (2.58)   (0.88)   0.24
Total from investment operations
 (0.78)   1.54   2.58   (0.63)   1.13   1.78
Net equalization credits and charges (b)
 (0.02)   0.04   0.05   0.02   0.01   0.03
Other capital (b)
 0.05   0.02   0.02   0.02   0.02   0.04
Distributions to shareholders from:                      
Net investment income
 (1.37)   (1.97)   (1.88)   (1.99)   (1.96)   (1.48)
Net asset value, end of period
 $ 44.92   $ 47.04   $ 47.41   $ 46.64   $ 49.22   $ 50.02
Total return (d)
 (1.67)%   3.43%   5.77%   (1.15)%   2.38%   3.77%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $2,192,135   $3,189,624   $1,820,505   $802,228   $671,810   $610,275
Ratios to average net assets:                      
Total expenses
 0.70%(e)   0.70%   0.70%   0.71%   0.71%   0.85%
Net investment income (loss)
 5.10%(e)   4.30%   3.91%   4.15%   4.09%   3.09%
Portfolio turnover rate (f)
 41%(g)   90%   68%   88%   65%   77%
(a) The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio.
(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.
(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.
(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.
(e) Annualized.
(f) Portfolio turnover rate is from the Portfolio.
(g) Not annualized.
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1.    Organization
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the SPDR Blackstone / GSO Senior Loan ETF(the “Fund”).
The Fund is classified as a diversified investment company under the 1940 Act.
The Fund is part of a master-feeder structure and invests substantially all of its assets in the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”), a series of SSGA Master Trust (“Master Trust”). The value of the Fund's investment in the Portfolio reflects the Fund's proportionate interest in net assets of the Portfolio (100.00% at December 31, 2018). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund's financial statements.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2.    Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Security Valuation
The Fund records its investment in the Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio's Notes to Financial Statements, which are attached to this report.
The Portfolio's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Trust. Class specific expenses are borne by each class.
The Fund is allocated a pro-rata share of the expenses of its Portfolio.
Equalization
The Fund follows the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.
Distributions
Distributions from net investment income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.    Fees and Transactions with Affiliates
Advisory Fee
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc.(the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of the Fund’s average daily net assets as shown in the following table:
  Annual Rate
SPDR Blackstone / GSO Senior Loan ETF
 0.70%
The Adviser pays all expenses of the Fund other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses and other extraordinary expenses.
Administrator, Custodian, Sub-Administrator and Transfer Agent Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Distributor
State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2018, are disclosed in the Statement of Assets and Liabilities.
4.    Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5.    Shareholder Transactions
The Fund issues and redeems its shares, at Net Asset Value (“NAV”), only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in capital shares for the Fund are disclosed in detail in the Statement of Changes in Net Assets.
The consideration for the purchase of Creation Units of the Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statement of Changes on Net Assets.
6.    Income Tax Information
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of December 31, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
  Tax
Cost 		  Gross
Unrealized
Appreciation 		  Gross
Unrealized
Depreciation 		  Net Unrealized
Appreciation
(Depreciation)
SPDR Blackstone / GSO Senior Loan ETF
 $2,281,057,617   $—   $88,008,750   $(88,008,750)
7.    New Accounting Pronouncements
In August 2018, the U.S. Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Fund has adopted the Final Rule for the current period with the most notable impacts being that the Fund are no longer required to present components of distributable earnings on the Statement of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net Assets.
For the period ended June 30, 2018, distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
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SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
  Net
Investment
Income 		  Net Realized
Capital
Gains 		  Total
Distributions 		  Undistributed
Net Investment
Income (Loss) 		 
SPDR Blackstone / GSO Senior Loan ETF
 $ 97,740,250   $—   $ 97,740,250   $ 8,406,201  
8.    Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Fund's cost in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
12

Table of Contents
SSGA ACTIVE TRUST
OTHER INFORMATION  (continued)
December 31, 2018 (Unaudited)
  SPDR Blackstone / GSO Senior Loan ETF (a)
Annualized Expense Ratio
 0.70%
Actual:  
Ending Account Value
 $ 983.30
Expenses Paid During Period(b)
 3.50
Hypothetical (assuming a 5% return before expenses):  
Ending Account Value
 1,021.70
Expenses Paid During Period(b)
 3.57
(a) Because the Fund invests all of its assets in its respective Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invest.
(b) Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.
Premium/Discount Information
Information regarding how often the Shares of the Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund's investment adviser to vote proxies relating to the Fund's portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the prior 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Fund's website at www.spdrs.com.
Quarterly Portfolio Schedule
The Fund files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Fund’s website at www.spdrs.com.
13

Table of Contents
SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
 
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
Semi-Annual Report
December 31, 2018
SSGA Master Trust
Blackstone / GSO Senior Loan Portfolio
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

Table of Contents
[This Page Intentionally Left Blank]

Table of Contents

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

Table of Contents
Blackstone / GSO Senior Loan Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31, 2018

      
  Description % of Net Assets  
  CenturyLink Escrow LLC Senior Secured 2017 Term Loan B
5.27% 1/31/2025 		1.7%  
  Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan
5.02% 2/1/2024 		1.4  
  Scientific Games International, Inc. Senior Secured 2018 Term Loan B5
5.27% 8/14/2024 		1.4  
  Hub International, Ltd. Senior Secured 2018 Term Loan B
5.24% 4/25/2025 		1.3  
  Allied Universal Holdco LLC Senior Secured 2015 Term Loan
6.27% 7/28/2022 		1.3  
  TOTAL 7.1%  
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2018

      
    % of Net Assets  
  Commercial Services & Supplies 10.4%  
  Software 10.1  
  Health Care Providers & Services 7.2  
  Media 5.7  
  Insurance 5.1  
  Hotels, Restaurants & Leisure 4.3  
  Pharmaceuticals 3.8  
  Specialty Retail 2.6  
  Diversified Telecommunication Services 2.5  
  Aerospace & Defense 2.5  
  Diversified Financial Services 2.2  
  IT Services 1.9  
  Chemicals 1.9  
  Containers & Packaging 1.6  
  Retail-Restaurants 1.6  
  Interactive Media & Services 1.5  
  Machinery 1.4  
  Health Care Equipment & Supplies 1.1  
  Life Sciences Tools & Services 1.1  
  Capital Markets 1.0  
  Building Products 0.9  
  Electronic Equipment, Instruments & Components 0.9  
  Auto Components 0.9  
  Oil, Gas & Consumable Fuels 0.8  
  Multiline Retail 0.7  
  Computer Services 0.7  
  Professional Services 0.6  
See accompanying notes to financial statements.
1

Table of Contents
Blackstone / GSO Senior Loan Portfolio
Portfolio Statistics (Unaudited)  (continued)

      
    % of Net Assets  
  Food & Staples Retailing 0.6%  
  Health Care Technology 0.6  
  Semiconductor Equipment 0.6  
  Internet & Catalog Retail 0.6  
  Machinery-Constr&Mining 0.6  
  Recycling 0.6  
  Construction & Engineering 0.5  
  Construction Materials 0.5  
  Paper&Related Products 0.5  
  Advertising Services 0.5  
  Semiconductors & Semiconductor Equipment 0.4  
  Distributors 0.4  
  Pollution Control 0.4  
  Communications Equipment 0.4  
  Computers & Peripherals 0.4  
  Food Products 0.3  
  Financial Services 0.3  
  Household Products 0.3  
  Road & Rail 0.2  
  Thrifts & Mortgage Finance 0.2  
  Diagnostic Equipment 0.2  
  Energy Equipment & Services 0.1  
  Metals & Mining 0.1  
  Electrical Equipment 0.1  
  Telecom Services 0.1  
  Telecommunication Equip 0.1  
  Entertainment 0.1  
  Electric Utilities 0.0  
  Diversified Consumer Services 0.0  
  Oil-Field Services 0.0  
  Containers-Paper/Plastic 0.0  
  Food & Beverage 0.0  
  Short-Term Investment 13.0  
  Other Assets in Excess of Liabilities 2.3  
  TOTAL 100.0%  
(The Portfolio's industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
SENIOR FLOATING RATE LOANS — 82.4% (a)          
ADVERTISING SERVICES — 0.5%          
AppLovin Corp.

Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%,

6.27%, 8/15/2025
     $ 1,804,124   $ 1,777,062
Red Ventures LLC

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.52%, 11/8/2024
     9,863,713   9,419,846
          11,196,908
AEROSPACE & DEFENSE — 2.5%          
DAE Aviation Holdings, Inc.

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.27%, 7/7/2022
     2,521,933   2,498,681
MacDonald Dettwiler & Associates, Ltd.

Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 10/4/2024
     16,101,301   14,853,450
TransDigm, Inc.:          
Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.50%, 5.02%, 5/30/2025
     25,202,735   23,852,120
Senior Secured 2018 Term Loan F, 1 Month USD LIBOR + 2.50%, 5.02%, 6/9/2023
     15,374,884   14,548,484
          55,752,735
AUTO COMPONENTS — 0.9%          
USI, Inc.

Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00%,

5.80%, 5/16/2024
     21,944,525   20,765,007
BUILDING PRODUCTS — 0.9%          
AZEK Co. LLC

Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 3.75%,

6.63%, 5/5/2024
     1,984,848   1,910,417
Builders FirstSource, Inc.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%,

5.80%, 2/29/2024
     1,907,170   1,795,467
See accompanying notes to financial statements.
3

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
SRS Distribution, Inc.

Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%,

5.77%, 5/23/2025
     $ 16,685,455   $ 15,613,998
          19,319,882
CAPITAL MARKETS — 1.0%          
AqGen Ascensus, Inc.

Senior Secured 2017 Repriced Term Loan,

6.12%, 12/3/2022
     2,322,120   2,316,315
Duff & Phelps Corp.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.77%, 2/13/2025
     18,591,875   17,654,566
Victory Capital Holdings, Inc.

Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 2.75%,

5.55%, 2/12/2025
     935,011   926,829
          20,897,710
CHEMICALS — 1.9%          
Alpha 3 B.V.

Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.00%,

5.80%, 1/31/2024
     4,290,040   4,094,844
Avantor, Inc.

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%,

6.57%, 11/21/2024
     1,881,046   1,828,142
Composite Resins Holding B.V.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%,

6.83%, 8/1/2025
     14,925,000   14,589,187
LTI Holdings, Inc.

Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%,

6.02%, 9/6/2025
     11,195,083   10,570,061
Starfruit Finco B.V.

Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%,

5.75%, 10/1/2025
     6,985,075   6,705,672
See accompanying notes to financial statements.
4

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Vantage Specialty Chemicals, Inc.

Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%,

6.00%, 10/28/2024
     $ 3,464,507   $ 3,351,910
          41,139,816
COMMERCIAL SERVICES & SUPPLIES — 10.3%          
Allied Universal Holdco LLC:          
Senior Secured 2015 Term Loan, 3 Month USD LIBOR + 3.75%, 6.27%, 7/28/2022
     30,939,622   29,439,050
Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 4.25%, 6.77%, 7/28/2022
     2,092,199   2,003,280
Ancestry.com Operations, Inc.

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.78%, 10/19/2023
     3,603,564   3,454,917
APX Group, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 5.00%,

7.50%, 4/1/2024
     4,275,017   4,166,346
Asurion LLC:          
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 9.02%, 8/4/2025
     21,082,345   20,911,156
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 5.52%, 8/4/2022
     4,580,659   4,413,786
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.52%, 11/3/2023
     1,648,131   1,584,266
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 5.52%, 11/3/2024
     7,134,244   6,846,663
Cast and Crew Payroll LLC

Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.50%,

5.03%, 9/27/2024
     498,737   496,166
Comet Acquisition, Inc.

Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%,

6.28%, 10/24/2025
     4,090,909   4,024,432
Equian LLC

Senior Secured Add on Term Loan B, 1 Month USD LIBOR + 3.25%,

5.76%, 5/20/2024
     4,381,745   4,252,484
GFL Environmental, Inc.

Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%,

5.52%, 5/30/2025
     26,702,761   24,980,433
See accompanying notes to financial statements.
5

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
KUEHG Corp.

Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 3.75%,

6.55%, 2/21/2025
     $ 4,866,568   $ 4,690,179
Learning Care Group, Inc.

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.76%, 3/13/2025
     10,036,517   9,660,148
Lineage Logistics Holdings LLC

Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%,

5.52%, 2/27/2025
     21,478,973   20,431,873
Packers Holdings LLC

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.51%, 12/4/2024
     7,832,278   7,597,310
Prime Security Services Borrower LLC

Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%,

5.27%, 5/2/2022
     29,713,359   28,413,400
Prometric Holdings, Inc.

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%,

5.53%, 1/29/2025
     905,187   874,637
Southern Graphics, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.75%, 12/31/2022
     18,718,454   17,657,679
SSH Group Holdings, Inc.

Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%,

6.77%, 7/30/2025
     3,398,889   3,271,431
TruGreen, Ltd. Partnership

Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 4.00%,

6.51%, 4/13/2023
     726,994   721,541
Verscend Holding Corp.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%,

7.02%, 8/27/2025
     21,820,312   21,165,703
VT Buyer Acquisition Corp.:          
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%, 8/1/2025
     3,433,256   3,395,713
Senior Secured 2018 Delayed Draw Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%, 8/1/2025
     432,054   427,329
          224,879,922
See accompanying notes to financial statements.
6

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
COMMUNICATIONS EQUIPMENT — 0.4%          
Riverbed Technology, Inc.

Senior Secured 2016 Term Loan, 1 Month USD LIBOR + 3.25%,

5.78%, 4/24/2022
     $ 8,929,257   $ 8,446,095
COMPUTER SERVICES — 0.7%          
Genuine Financial Holdings LLC

Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%,

6.55%, 7/12/2025
     16,196,428   15,649,798
COMPUTERS & PERIPHERALS — 0.4%          
TierPoint LLC

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.27%, 5/6/2024
     10,166,696   9,531,277
CONSTRUCTION & ENGINEERING — 0.5%          
CNT Holdings III Corp.

Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%,

5.78%, 1/22/2023
     4,937,028   4,764,232
Minimax GmbH & Co. KG

Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 3.00%,

5.52%, 7/31/2025
     1,999,868   1,944,871
Pike Corp.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%,

6.03%, 3/23/2025
     3,608,836   3,543,426
          10,252,529
CONSTRUCTION MATERIALS — 0.5%          
Forterra Finance, Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.52%, 10/25/2023
     1,712,045   1,552,457
Quikrete Holdings, Inc.

Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%,

5.27%, 11/15/2023
     10,000,000   9,556,300
Traverse Midstream Partners LLC

Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 4.00%,

6.60%, 9/27/2024
     881,373   848,321
          11,957,078
See accompanying notes to financial statements.
7

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CONTAINERS & PACKAGING — 1.6%          
Berlin Packaging LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%,

5.52%, 11/7/2025
     $ 4,607,174   $ 4,353,780
Reynolds Group Holdings, Inc.

Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%,

5.27%, 2/5/2023
     25,168,016   24,062,385
Trident TPI Holdings, Inc.

Senior Secured 2017 USD Term Loan B1, 1 Month USD LIBOR + 3.25%,

5.77%, 10/17/2024
     7,652,219   7,221,782
          35,637,947
DIAGNOSTIC EQUIPMENT — 0.2%          
Lifescan Global Corp.

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 6.00%,

8.80%, 9/27/2024
     4,389,000   4,158,577
DISTRIBUTORS — 0.3%          
Explorer Holdings, Inc.

Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 3.75%,

6.55%, 5/2/2023
     5,482,777   5,316,018
Spin Holdco Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%,

6.03%, 11/14/2022
     2,493,671   2,386,443
          7,702,461
DIVERSIFIED CONSUMER SERVICES — 0.0% (b)          
Weight Watchers International, Inc.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.75%,

7.56%, 11/29/2024
     937,662   929,458
DIVERSIFIED FINANCIAL SERVICES — 2.1%          
Edelman Financial Center LLC:          
Senior Secured 2018 1st Lien Term Loan, 5.69%, 7/21/2025
     12,012,578   11,609,256
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 6.75%, 9.54%, 7/20/2026
     5,769,231   5,509,615
See accompanying notes to financial statements.
8

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
IG Investment Holdings LLC

Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%,

6.30%, 5/23/2025
     $ 2,218,581   $ 2,166,445
LDiscovery LLC

Senior Secured Term Loan, 1 Month USD LIBOR + 5.88%,

8.49%, 12/9/2022
     3,290,043   2,985,714
UFC Holdings LLC

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.78%, 8/18/2023
     449,531   439,192
William Morris Endeavor Entertainment LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%,

5.28%, 5/18/2025
     24,260,181   22,402,821
          45,113,043
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.5%          
CenturyLink Escrow LLC

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 1/31/2025
     38,923,071   36,451,456
Consolidated Communications, Inc.

Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.53%, 10/4/2023
     10,040,220   9,431,532
Hargray Communications Group, Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.52%, 5/16/2024
     4,401,329   4,258,286
Intelsat Jackson Holdings S.A.

Senior Secured 2017 Term Loan B3, 1 Month USD LIBOR + 3.75%,

6.26%, 11/27/2023
     1,000,000   972,590
Telesat Canada

Senior Secured Term Loan B4, 3 Month USD LIBOR + 2.50%,

5.31%, 11/17/2023
     2,961,760   2,815,152
          53,929,016
ELECTRIC UTILITIES — 0.0% (b)          
TEX Operations Co. LLC

Senior Secured Exit Term Loan B, 1 Month USD LIBOR + 2.00%,

4.52%, 8/4/2023
     524,886   507,316
See accompanying notes to financial statements.
9

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
ELECTRICAL EQUIPMENT — 0.1%          
EXC Holdings III Corp.

Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%,

6.30%, 12/2/2024
     $ 2,304,742   $ 2,229,838
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.9%          
CPI International, Inc.

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%,

6.01%, 7/26/2024
     9,607,894   9,335,654
GrafTech Finance, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%,

6.02%, 2/12/2025
     10,625,945   10,081,365
TTM Technologies, Inc.

Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%,

5.02%, 9/28/2024
     1,451,703   1,375,489
          20,792,508
ENERGY EQUIPMENT & SERVICES — 0.1%          
BCP Renaissance Parent LLC

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%,

6.03%, 10/31/2024
     2,274,286   2,219,419
FINANCIAL SERVICES — 0.3%          
AI Alpine AT Bidco GmbH

Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%,

5.81%, 10/31/2025
     4,051,095   3,889,051
GTCR Valor Companies, Inc.

Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.25%,

5.55%, 6/16/2023
     2,992,036   2,886,566
          6,775,617
FOOD & STAPLES RETAILING — 0.6%          
Albertsons LLC:          
Senior Secured USD 2017 Term Loan B5, 3 Month USD LIBOR + 3.00%, 5.82%, 12/21/2022
     2,205,812   2,124,009
Senior Secured USD 2017 Term Loan B6, 3 Month USD LIBOR + 3.00%, 5.69%, 6/22/2023
     2,805,194   2,671,947
See accompanying notes to financial statements.
10

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Mastronardi Produce, Ltd.

Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%,

5.77%, 5/1/2025
     $ 2,367,484   $ 2,337,891
Smart & Final Stores LLC

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%,

6.02%, 11/15/2022
     5,750,000   5,343,935
          12,477,782
FOOD PRODUCTS — 0.3%          
Dole Food Co., Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.26%, 4/6/2024
     4,683,136   4,554,350
JBS USA LLC

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.50%,

5.30%, 10/30/2022
     2,495,504   2,407,125
          6,961,475
HEALTH CARE EQUIPMENT & SUPPLIES — 1.0%          
Carestream Health, Inc.:          
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 5.75%, 8.27%, 2/28/2021
     4,323,128   4,247,473
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 9.50%, 12.02%, 6/7/2021
     17,069,077   16,813,041
DJO Finance LLC

Senior Secured 2015 Term Loan, 1 Month USD LIBOR + 3.25%,

5.77%, 6/8/2020
     11,937   11,814
          21,072,328
HEALTH CARE PROVIDERS & SERVICES — 6.9%          
ADMI Corp.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.52%, 4/30/2025
     6,462,211   6,160,620
Air Medical Group Holdings, Inc.:          
Senior Secured 2017 Term Loan B2, 1 Month USD LIBOR + 4.25%, 6.75%, 3/14/2025
     27,037,361   25,260,601
Senior Secured 2018 Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.76%, 4/28/2022
     2,572,172   2,412,208
ATI Holdings Acquisition, Inc.

Senior Secured 2016 Term Loan, 1 Month USD LIBOR + 3.50%,

5.96%, 5/10/2023
     2,944,730   2,845,345
See accompanying notes to financial statements.
11

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Auris Luxembourg III S.A.R.L.

Senior Secured 2018 USD Term Loan B,

3.75%, 7/20/2025
     $ 3,538,461   $ 3,456,652
BioClinica, Inc.

Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%,

6.75%, 10/20/2023
     1,785,263   1,658,063
Certara L.P.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%,

6.30%, 8/15/2024
     1,661,353   1,630,203
CHG Healthcare Services, Inc.

Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%,

5.53%, 6/7/2023
     2,168,465   2,087,147
Envision Healthcare Corp.

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.27%, 10/10/2025
     22,903,226   21,406,271
GHX Ultimate Parent Corp.

Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%,

6.06%, 6/28/2024
     1,327,770   1,256,960
Heartland Dental LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.27%, 4/30/2025
     9,287,580   8,927,687
MPH Acquisition Holdings LLC

Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 2.75%,

5.55%, 6/7/2023
     9,429,312   8,964,400
National Mentor Holdings, Inc.

Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%,

5.80%, 1/31/2021
     2,629,864   2,597,806
Ortho-Clinical Diagnostics, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.76%, 6/30/2025
     20,088,788   18,682,573
PharMerica Corp.

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%,

5.96%, 12/6/2024
     1,935,126   1,854,499
See accompanying notes to financial statements.
12

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
PharMerica Corporation

Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%,

10.21%, 12/5/2025
     $ 4,765,000   $ 4,550,575
RegionalCare Hospital Partners Holdings, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%,

7.13%, 11/16/2025
     1,342,658   1,277,626
Sterigenics-Nordion Holdings LLC

Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%,

5.52%, 5/15/2022
     4,987,310   4,798,191
Surgery Center Holdings, Inc.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%,

5.78%, 9/2/2024
     6,921,081   6,613,993
Team Health Holdings, Inc.

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%,

5.27%, 2/6/2024
     12,604,481   11,328,277
U.S. Anesthesia Partners, Inc.

Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%,

5.52%, 6/23/2024
     2,035,650   1,955,750
U.S. Renal Care, Inc.

Senior Secured 2015 Term Loan B, 3 Month USD LIBOR + 4.25%,

7.05%, 12/30/2022
     12,709,294   12,140,554
          151,866,001
HEALTH CARE TECHNOLOGY — 0.6%          
Agiliti Health, Inc

Senior Secured Term Loan,

Zero Coupon, 1/4/2026
     2,702,703   2,621,622
Change Healthcare Holdings, Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 3/1/2024
     7,525,453   7,161,710
Press Ganey Holdings, Inc.

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%,

5.27%, 10/23/2023
     2,516,725   2,425,494
          12,208,826
See accompanying notes to financial statements.
13

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
HOTELS, RESTAURANTS & LEISURE — 4.3%          
1011778 BC ULC

Senior Secured Term Loan B3, 1 Month USD LIBOR + 2.25%,

4.77%, 2/16/2024
     $ 347,542   $ 331,756
Big Jack Holdings L.P.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.78%, 4/5/2024
     6,755,874   6,485,639
CEC Entertainment, Inc.

Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%,

5.77%, 2/14/2021
     7,478,117   6,942,198
Delta 2 (LUX) S.A.R.L.

Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%,

5.02%, 2/1/2024
     32,346,487   30,735,794
Golden Nugget, Inc.

Senior Secured 2017 Incremental Term Loan B, 1 Month USD LIBOR + 2.75%,

5.28%, 10/4/2023
     5,901,807   5,700,526
Intrawest Resorts Holdings, Inc.

Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%,

5.52%, 7/31/2024
     2,111,933   2,030,982
NPC International, Inc.

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%,

6.02%, 4/19/2024
     6,459,016   6,071,476
Red Lobster Management LLC

Senior Secured Term Loan B, 1 Month USD LIBOR + 5.25%,

7.77%, 7/28/2021
     1,742,650   1,694,727
Scientific Games International, Inc.

Senior Secured 2018 Term Loan B5, 3 Month USD LIBOR + 2.75%,

5.27%, 8/14/2024
     31,743,843   29,895,875
SeaWorld Parks & Entertainment, Inc.

Senior Secured Term Loan B5, 1 Month USD LIBOR + 3.00%,

5.52%, 3/31/2024
     2,992,386   2,864,671
Travel Leaders Group LLC

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%,

6.46%, 1/25/2024
     726,300   722,367
          93,476,011
See accompanying notes to financial statements.
14

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
HOUSEHOLD PRODUCTS — 0.3%          
Champ Acquisition Corp.

Senior Secured Term Loan, 1 Month USD LIBOR + 5.50%,

7.98%, 12/12/2025
     $ 7,462,687   $ 7,280,784
INSURANCE — 4.7%          
Acrisure LLC:          
Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%, 11/22/2023
     15,290,088   14,860,131
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.27%, 11/22/2023
     4,192,416   3,972,314
Alliant Holdings I, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.21%, 5/9/2025
     11,493,502   10,896,529
AmWINS Group, Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 1/25/2024
     997,455   955,562
AssuredPartners, Inc.

Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.25%,

5.77%, 10/22/2024
     13,183,084   12,482,799
Broadstreet Partners, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.77%, 11/8/2023
     1,405,505   1,358,070
Hub International, Ltd.

Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%,

5.24%, 4/25/2025
     31,152,353   29,502,368
Hyperion Insurance Group Ltd.

Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.50%,

6.06%, 12/20/2024
     1,484,347   1,441,672
NFP Corp.

Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%,

5.52%, 1/8/2024
     12,754,686   12,101,009
Sedgwick Claims Management Services, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.77%, 12/31/2025
     16,354,839   15,666,627
          103,237,081
See accompanying notes to financial statements.
15

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
INTERACTIVE MEDIA & SERVICES — 1.5%          
Go Daddy Operating Co. LLC

Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 2.25%,

4.77%, 2/15/2024
     $ 299,240   $ 286,672
ION Trading Technologies S.A.R.L.

Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%,

6.52%, 11/21/2024
     8,891,603   8,424,794
LANDesk Group, Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%,

6.76%, 1/20/2024
     13,797,570   13,452,631
Rackspace Hosting, Inc.

Senior Secured 2017 Incremental 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%,

5.58%, 11/3/2023
     9,907,619   8,790,535
SMS Systems Maintenance Services, Inc.

Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 5.00%,

7.52%, 10/30/2023
     1,945,114   1,481,943
          32,436,575
INTERNET & CATALOG RETAIL — 0.6%          
Harbor Freight Tools USA, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%,

5.02%, 8/18/2023
     13,020,198   12,332,601
Spencer Gifts LLC

Senior Secured Term Loan B1, 1 Month USD LIBOR + 4.25%,

6.72%, 7/16/2021
     694,071   663,706
          12,996,307
IT SERVICES — 1.8%          
Access CIG LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.46%, 2/27/2025
     5,101,385   4,970,687
DigiCert, Inc.:          
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 8.00%, 10.52%, 10/31/2025
     6,400,000   6,232,000
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 4.00%, 6.52%, 10/31/2024
     2,554,477   2,509,774
See accompanying notes to financial statements.
16

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
First Data Corp.

Senior Secured 2024 USD Term Loan, 1 Month USD LIBOR + 2.00%,

4.50%, 4/26/2024
     $ 7,417,829   $ 7,104,425
Presidio, Inc.

Senior Secured 2017 Refinanced Term Loan B, 3 Month USD LIBOR + 2.75%,

5.55%, 2/2/2024
     933,197   899,756
TKC Holdings, Inc.

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.28%, 2/1/2023
     11,885,897   11,343,663
Web.com Group, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%,

6.27%, 10/10/2025
     6,000,000   5,790,000
          38,850,305
LIFE SCIENCES TOOLS & SERVICES — 1.1%          
Albany Molecular Research, Inc.

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.77%, 8/30/2024
     4,232,312   4,023,363
Jaguar Holding Co. II

Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%,

5.02%, 8/18/2022
     4,839,301   4,615,484
Parexel International Corp.

Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 9/27/2024
     16,772,975   15,284,373
          23,923,220
MACHINERY — 1.4%          
Apex Tool Group LLC

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%,

6.27%, 2/1/2022
     589,956   570,192
Engineered Machinery Holdings, Inc.

Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%,

6.05%, 7/19/2024
     4,950,000   4,795,313
Hayward Industries, Inc.

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%,

6.02%, 8/5/2024
     2,949,859   2,845,376
See accompanying notes to financial statements.
17

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Hillman Group, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%,

6.80%, 5/31/2025
     $ 4,987,469   $ 4,750,564
Pro Mach Group, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.51%, 3/7/2025
     7,066,659   6,742,794
Titan Acquisition, Ltd.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.52%, 3/28/2025
     12,721,550   11,703,826
          31,408,065
MACHINERY-CONSTR&MINING — 0.4%          
Brookfield WEC Holdings, Inc.:          
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%, 8/1/2025
     3,526,316   3,427,456
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.27%, 8/3/2026
     5,484,423   5,385,018
          8,812,474
MEDIA — 5.7%          
Altice Financing SA

Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%,

5.22%, 1/31/2026
     2,406,927   2,229,416
CBS Radio, Inc.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.26%, 11/18/2024
     7,746,960   7,316,035
Entravision Communications Corp.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 11/29/2024
     6,840,278   6,395,660
MH Sub I LLC

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.25%, 9/13/2024
     19,757,628   18,794,444
Mission Broadcasting, Inc.

Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 2.25%,

4.76%, 1/17/2024
     2,399   2,278
See accompanying notes to financial statements.
18

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Radiate Holdco LLC

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%,

5.52%, 2/1/2024
     $ 25,883,506   $ 24,498,350
Univision Communications, Inc.

Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%,

5.27%, 3/15/2024
     17,709,708   16,115,834
Virgin Media Bristol LLC

Senior Secured Term Loan K, 1 Month USD LIBOR + 2.50%,

5.01%, 1/15/2026
     17,371,485   16,498,655
WideOpenWest Finance LLC

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%,

5.72%, 8/18/2023
     24,168,883   22,446,850
Ziggo Secured Finance Partnership

Senior Secured USD Term Loan E, 1 Month USD LIBOR + 2.50%,

5.01%, 4/15/2025
     11,089,036   10,477,420
          124,774,942
METALS & MINING — 0.1%          
Aleris International, Inc.

Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%,

7.25%, 2/27/2023
     2,033,684   2,020,658
PLZ Aeroscience Corp.

Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%,

6.02%, 7/31/2022
     1,271,559   1,268,380
          3,289,038
MULTILINE RETAIL — 0.7%          
AI Aqua Merger Sub, Inc.

Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%,

5.77%, 12/13/2023
     14,961,929   14,382,154
OIL, GAS & CONSUMABLE FUELS — 0.8%          
BCP Raptor LLC

Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%,

6.87%, 6/24/2024
     1,804,441   1,692,791
EG Finco, Ltd.

Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%,

6.81%, 2/7/2025
     10,157,660   9,814,839
See accompanying notes to financial statements.
19

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Lucid Energy Group II LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%,

5.50%, 2/17/2025
     $ 6,925,896   $ 6,394,922
          17,902,552
OIL-FIELD SERVICES — 0.0% (b)          
MRC Global (US) Inc.

Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%,

5.52%, 9/20/2024
     838,244   813,097
PAPER&RELATED PRODUCTS — 0.5%          
Flex Acquisition Co., Inc.

Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.25%,

5.77%, 6/29/2025
     11,875,000   11,281,250
PHARMACEUTICALS — 3.6%          
Akorn, Inc.

Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%,

8.06%, 4/16/2021
     4,579,232   3,754,970
Alvogen Pharma US, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.75%,

7.27%, 4/2/2022
     3,438,769   3,377,525
Amneal Pharmaceuticals LLC

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%,

6.06%, 5/4/2025
     6,708,757   6,378,887
Arbor Pharmaceuticals, Inc.

Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%,

7.80%, 7/5/2023
     1,591,381   1,432,243
Endo Luxembourg Finance Co. I S.A.R.L.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%,

6.81%, 4/29/2024
     26,914,508   25,568,782
Horizon Pharma, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.56%, 3/29/2024
     9,054,087   8,661,773
Pearl Intermediate Parent LLC:          
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.25%, 2/14/2025
     14,082,510   13,395,988
See accompanying notes to financial statements.
20

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Senior Secured 2018 Delayed Draw Term Loan, 3 Month USD LIBOR + 2.75%, 5.25%, 2/14/2025
     $ 3,172,334   $ 3,017,683
Valeant Pharmaceuticals International, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%,

5.51%, 6/2/2025
     13,941,240   13,354,593
          78,942,444
POLLUTION CONTROL — 0.4%          
Core & Main L.P.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%,

5.74%, 8/1/2024
     2,332,461   2,260,551
EnergySolutions LLC

Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%,

6.55%, 5/9/2025
     7,420,090   6,900,684
          9,161,235
PROFESSIONAL SERVICES — 0.6%          
Advantage Sales & Marketing, Inc.

Senior Secured 2014 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%,

9.02%, 7/25/2022
     15,753,373   12,478,010
RECYCLING — 0.6%          
Gopher Resource LLC

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.77%, 3/6/2025
     6,066,630   5,869,465
Tunnel Hill Partners, LP

Senior Secured Term Loan B,

Zero Coupon, 10/1/2025
     7,743,363   7,641,731
          13,511,196
RETAIL-RESTAURANTS — 1.2%          
Flynn Restaurant Group LP

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%,

6.02%, 6/27/2025
     9,099,943   8,644,946
Fogo de Chao Churrascaria Holdings LLC

Senior Secured 2018 Add On Term Loan, 1 Month USD LIBOR + 4.25%,

6.77%, 4/5/2025
     10,780,673   10,349,446
See accompanying notes to financial statements.
21

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BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
IRB Holding Corp.

Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%,

5.76%, 2/5/2025
     $ 1,978,511   $ 1,891,456
K-Mac Holdings Corp.

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.75%, 3/14/2025
     2,481,250   2,372,708
Tacala LLC

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.77%, 1/31/2025
     2,190,593   2,108,446
          25,367,002
ROAD & RAIL — 0.2%          
Direct ChassisLink, Inc.

Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.00%,

8.53%, 6/15/2023
     5,000,000   4,825,000
SEMICONDUCTOR EQUIPMENT — 0.6%          
MA FinanceCo. LLC

Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%,

5.02%, 6/21/2024
     1,700,039   1,587,412
Seattle Spinco, Inc.

Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%,

5.02%, 6/21/2024
     11,480,786   10,720,184
          12,307,596
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.4%          
Cypress Semiconductor Corp.

Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.00%,

4.53%, 7/5/2021
     935,115   909,988
MACOM Technology Solutions Holdings, Inc.

Senior Secured 2017 Add on Term Loan, 1 Month USD LIBOR + 2.25%,

4.77%, 5/17/2024
     7,629,314   7,224,961
          8,134,949
See accompanying notes to financial statements.
22

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
SOFTWARE — 10.1%          
Applied Systems, Inc.

Senior Secured 2017 2nd Lien Term Loan, 3 Month USD LIBOR + 7.00%,

9.52%, 9/19/2025
     $ 454,545   $ 447,159
BMC Software Finance, Inc.

Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%,

7.05%, 10/2/2025
     14,000,000   13,538,490
CCC Information Services, Inc.

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%,

5.53%, 4/26/2024
     1,507,180   1,435,589
Compuware Corpo.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%,

6.01%, 8/22/2025
     193,548   191,129
Dynatrace LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.77%, 8/22/2025
     2,800,000   2,719,500
Epicor Software Corp.

Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.78%, 6/1/2022
     4,673,691   4,483,238
Flexera Software LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.78%, 2/26/2025
     6,498,766   6,284,306
GlobalLogic Holdings, Inc.

Senior Secured 2018 Add On 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%,

5.77%, 8/1/2025
     4,112,729   3,973,924
Help/Systems LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%,

6.27%, 3/28/2025
     2,779,512   2,675,281
Hyland Software, Inc.:          
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 9.52%, 7/7/2025
     2,079,284   2,058,491
Senior Secured 2018 Term Loan 3, 1 Month USD LIBOR + 3.50%, 6.02%, 7/1/2024
     4,560,375   4,433,825
Imperva, Inc.:          
Senior Secured 1st Lien Term Loan, Zero Coupon, 1/12/2026
     1,409,091   1,389,716
See accompanying notes to financial statements.
23

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Senior Secured 2nd Lien Term Loan, Zero Coupon, 1/11/2027
     $ 2,941,177   $ 2,941,176
Informatica Corp.

Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.25%,

5.77%, 8/5/2022
     1,932,184   1,880,015
Kronos, Inc.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%,

5.54%, 11/1/2023
     9,704,205   9,253,347
McAfee LLC

Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%,

6.27%, 9/30/2024
     6,044,507   5,900,950
Mitchell International, Inc.:          
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%, 11/29/2024
     22,130,611   21,383,814
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 9.77%, 12/1/2025
     12,848,485   12,535,367
NAVEX TopCo, Inc.

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%,

5.78%, 9/5/2025
     3,485,646   3,285,221
Project Alpha Intermediate Holding, Inc.

Senior Secured 2017 Term Loan B, 6 Month USD LIBOR + 3.50%,

6.37%, 4/26/2024
     5,335,482   5,162,079
Project Ruby Ultimate Parent Corp.

Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%,

6.01%, 2/9/2024
     2,348,882   2,310,713
Quest Software US Holdings, Inc.:          
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.78%, 5/16/2025
     15,000,000   14,550,000
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 10.78%, 5/16/2026
     12,000,000   11,890,020
Rocket Software, Inc.

Senior Secured 2018 2nd Lien Term Loan,

10.77%, 11/20/2026
     9,000,000   8,947,485
SolarWinds Holdings, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 2/5/2024
     17,906,344   17,282,487
See accompanying notes to financial statements.
24

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Solera Holdings, Inc.

Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%,

5.27%, 3/3/2023
     $ 2,769,487   $ 2,620,641
SonicWALL, Inc.

Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%,

6.14%, 5/16/2025
     16,935,484   16,208,613
Sophia L.P.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%,

6.05%, 9/30/2022
     1,324,136   1,279,917
SS&C Technologies Holdings Europe S.A.R.L.

Senior Secured 2018 Term Loan B4, 1 Month USD LIBOR + 2.25%,

4.77%, 4/16/2025
     6,127,222   5,798,987
SS&C Technologies, Inc.:          
Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.49%, 4/16/2025
     16,153,447   15,288,107
Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.25%, 4.77%, 4/16/2025
     2,036,240   1,928,075
Veritas Bermuda, Ltd.

Senior Secured USD Repriced Term Loan B, 1 Month USD LIBOR + 4.50%,

7.30%, 1/27/2023
     16,802,736   14,444,388
Vero Parent, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%,

7.02%, 8/16/2024
     3,273,486   3,243,828
          221,765,878
SPECIALTY RETAIL — 2.5%          
Bass Pro Group LLC

Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%,

7.52%, 9/25/2024
     22,719,079   21,833,035
Party City Holdings, Inc.

Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%,

5.03%, 8/19/2022
     1,688,923   1,634,742
Petco Animal Supplies, Inc.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%,

5.78%, 1/26/2023
     10,000,000   7,394,450
See accompanying notes to financial statements.
25

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BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
PetSmart, Inc.

Senior Secured Term Loan B2,

Zero Coupon, 3/11/2022
     $ 5,000,000   $ 3,967,850
Staples, Inc.

Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.00%,

6.54%, 9/12/2024
     20,361,934   19,568,735
          54,398,812
TELECOM SERVICES — 0.0% (b)          
Securus Technologies Holdings, Inc.

Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%,

7.02%, 11/1/2024
     1,022,556   986,767
TELECOMMUNICATION EQUIP — 0.1%          
MLN US HoldCo LLC

Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%,

7.02%, 11/30/2025
     2,443,662   2,374,946
THRIFTS & MORTGAGE FINANCE — 0.2%          
Capri Finance LLC

Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%,

5.78%, 11/1/2024
     4,201,081   4,001,530
TOTAL SENIOR FLOATING RATE LOANS

(Cost $1,891,736,153)
         1,807,489,589
CORPORATE BONDS & NOTES — 2.3%          
COMMERCIAL SERVICES — 0.1%          
Prime Security Services Borrower LLC/Prime Finance, Inc.

9.25%, 5/15/2023 (c)
     2,122,000   2,187,846
COMPUTERS — 0.1% (b)          
Banff Merger Sub, Inc.

9.75%, 9/1/2026 (c)
     1,122,000   1,026,787
ENGINEERING & CONSTRUCTION — 0.0% (b)          
frontdoor, Inc.

6.75%, 8/15/2026 (c)
     250,000   238,072
ENTERTAINMENT — 0.1%          
AMC Entertainment Holdings, Inc.:          
5.75%, 6/15/2025
     2,000,000   1,773,320
See accompanying notes to financial statements.
26

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
5.88%, 11/15/2026
     $ 1,000,000   $ 857,010
          2,630,330
FOOD — 0.0% (b)          
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC

5.75%, 3/15/2025
     24,000   21,000
HEALTH CARE PRODUCTS — 0.1%          
Avantor, Inc.

6.00%, 10/1/2024 (c)
     776,000   762,156
Kinetic Concepts, Inc./KCI USA, Inc.

7.88%, 2/15/2021 (c)
     830,000   840,815
          1,602,971
HEALTH CARE SERVICES — 0.3%          
MPH Acquisition Holdings LLC

7.13%, 6/1/2024 (c)
     2,000,000   1,865,020
Tenet Healthcare Corp.:          
6.75%, 6/15/2023
     2,727,000   2,560,026
8.13%, 4/1/2022
     2,000,000   2,002,560
          6,427,606
HOLDING COMPANIES-DIVERS — 0.1%          
Trident Merger Sub, Inc.

6.63%, 11/1/2025 (c)
     1,688,000   1,505,527
INSURANCE — 0.4%          
AssuredPartners, Inc.

7.00%, 8/15/2025 (c)
     5,410,000   4,887,718
HUB International, Ltd.

7.00%, 5/1/2026 (c)
     3,964,000   3,581,514
          8,469,232
LODGING — 0.0% (b)          
Boyd Gaming Corp.

6.38%, 4/1/2026
     670,000   646,805
MACHINERY, CONSTRUCTION & MINING — 0.2%          
Terex Corp.

5.63%, 2/1/2025 (c)
     4,000   3,705
Vertiv Group Corp.

9.25%, 10/15/2024 (c)
     4,814,000   4,356,478
          4,360,183
See accompanying notes to financial statements.
27

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
MACHINERY-DIVERSIFIED — 0.0% (b)          
Titan Acquisition, Ltd./Titan Co-Borrower LLC

7.75%, 4/15/2026 (c)
     $ 500,000   $ 430,550
MEDIA — 0.0% (b)          
Sinclair Television Group, Inc.

5.63%, 8/1/2024 (c)
     1,000,000   939,280
PACKAGING & CONTAINERS — 0.1%          
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

7.25%, 5/15/2024 (c)
     320,000   317,149
Flex Acquisition Co., Inc.

6.88%, 1/15/2025 (c)
     1,478,000   1,317,474
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu

7.00%, 7/15/2024 (c)
     1,000,000   945,010
          2,579,633
PHARMACEUTICALS — 0.2%          
Bausch Health Cos., Inc.

6.50%, 3/15/2022 (c)
     734,000   737,897
Endo Finance LLC

5.75%, 1/15/2022 (c)
     198,000   164,847
Endo Finance LLC/Endo Finco, Inc.

7.25%, 1/15/2022 (c)
     621,000   543,189
NVA Holdings, Inc.

6.88%, 4/1/2026 (c)
     2,998,000   2,665,852
          4,111,785
RETAIL — 0.5%          
CEC Entertainment, Inc.

8.00%, 2/15/2022
     1,148,000   1,013,833
IRB Holding Corp.

6.75%, 2/15/2026 (c)
     8,000,000   6,955,120
Party City Holdings, Inc.

6.63%, 8/1/2026 (c)
     2,500,000   2,273,600
          10,242,553
SOFTWARE — 0.0% (b)          
Riverbed Technology, Inc.

8.88%, 3/1/2023 (c)
     500,000   360,375
TELECOMMUNICATIONS — 0.1%          
Hughes Satellite Systems Corp.

6.63%, 8/1/2026
     1,053,000   967,370
See accompanying notes to financial statements.
28

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Intelsat Jackson Holdings SA

8.50%, 10/15/2024 (c)
     $630,000   $ 607,950
          1,575,320
TOTAL CORPORATE BONDS & NOTES

(Cost $53,003,083)
         49,355,855
    Shares  
SHORT-TERM INVESTMENT — 13.0%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (d) (e)

(Cost $286,499,216)
   286,499,216 286,499,216
TOTAL INVESTMENTS — 97.7%

(Cost $2,231,238,452)
     2,143,344,660
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.3%
     49,705,358
NET ASSETS — 100.0%
     $ 2,193,050,018
(a) The rate shown represents the rate at December 31, 2018.
(b) Amount is less than 0.05% of net assets.
(c) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.8% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(d) The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(e) The rate shown is the annualized seven-day yield at December 31, 2018.
LIBOR = London Interbank Offered Rate
LP = Limited Partnership
At December 31, 2018, the Portfolio had unfunded loan commitments of $3,489,711, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower   Unfunded Loan
Commitment ($) 		  Value ($)   Unrealized
Appreciation/(Depreciation) ($)
Access CIG LLC   640,413   624,005   (16,408)
Heartland Dental LLC   850,069   817,129   (32,940)
GlobalLogic Holdings, Inc.   586,191   569,126   (17,065)
Pearl Intermediate Parent LLC   985,674   941,770   (43,904)
See accompanying notes to financial statements.
29

Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Borrower   Unfunded Loan
Commitment ($) 		  Value ($)   Unrealized
Appreciation/(Depreciation) ($)
VT Buyer Acquisition Corp.   427,364   422,691   (4,673)
            $(114,990)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Corporate Bonds & Notes
   $ —   $ 49,355,855   $—   $ 49,355,855
Senior Floating Rate Loans
   —   1,807,489,589   —   1,807,489,589
Short-Term Investment
   286,499,216   —   —   286,499,216
TOTAL INVESTMENTS
   $286,499,216   $1,856,845,444   $—   $2,143,344,660
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Unfunded Loans(a)
   —   (114,990)   —   (114,990)
TOTAL OTHER FINANCIAL INSTRUMENTS
   $ —   $ (114,990)   $—   $ (114,990)
(a) Includes appreciation (depreciation) on unfunded loan commitments.
Affiliate Table
  Number of
Shares Held
at 6/30/18 		  Value at
6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at 12/31/18 		  Value at
12/31/18 		  Dividend
Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 196,673,118   $196,673,118   $1,235,395,031   $1,145,568,933   $—   $—   286,499,216   $286,499,216   $2,277,597
See accompanying notes to financial statements.
30

Table of Contents
SSGA MASTER TRUST
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
  Blackstone / GSO Senior Loan Portfolio
ASSETS  
Investments in unaffiliated issuers, at value
 $1,856,845,444
Investments in affiliated issuers, at value
 286,499,216
Total Investments
 2,143,344,660
Receivable for investments sold
 232,235,113
Dividends receivable — affiliated issuers
 448,982
Interest receivable — unaffiliated issuers
 12,567,386
Other Receivable
 216,026
TOTAL ASSETS
2,388,812,167
LIABILITIES  
Due to custodian
 6,692,276
Payable for investments purchased
 136,613,784
Payable for fund shares repurchased
 51,651,524
Unrealized depreciation on unfunded loan commitments
 114,990
Advisory fee payable
 687,817
Trustees’ fees and expenses payable
 599
Accrued expenses and other liabilities
 1,159
TOTAL LIABILITIES
195,762,149
NET ASSETS
$2,193,050,018
COST OF INVESTMENTS:  
Investments in unaffiliated issuers
 $1,944,739,236
Investments in affiliated issuers
 286,499,216
Total cost of investments
 $2,231,238,452
See accompanying notes to financial statements.
31

Table of Contents
SSGA MASTER TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
  Blackstone / GSO Senior Loan Portfolio
INVESTMENT INCOME  
Interest income — unaffiliated issuers
 $ 92,034,230
Dividend income — affiliated issuers
 2,277,597
TOTAL INVESTMENT INCOME (LOSS)
 94,311,827
EXPENSES  
Advisory fee
 4,884,230
Trustees’ fees and expenses
 26,283
TOTAL EXPENSES
 4,910,513
NET INVESTMENT INCOME (LOSS)
 89,401,314
REALIZED AND UNREALIZED GAIN (LOSS)  
Net realized gain (loss) on:  
Investments — unaffiliated issuers
 (47,295,884)
Net change in unrealized appreciation/depreciation on:  
Investments — unaffiliated issuers
 (80,057,499)
Unfunded loan commitments
 (233,547)
Net change in unrealized appreciation/depreciation
 (80,291,046)
NET REALIZED AND UNREALIZED GAIN (LOSS)
 (127,586,930)
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
 $ (38,185,616)
See accompanying notes to financial statements.
32

Table of Contents
SSGA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
  Blackstone / GSO Senior Loan Portfolio
  Six Months
Ended
12/31/18
(Unaudited) 		  Year Ended
6/30/18
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:      
Net investment income (loss)
 $ 89,401,314   $ 112,665,248
Net realized gain (loss)
 (47,295,884)   (11,863,247)
Net change in unrealized appreciation/depreciation
 (80,291,046)   (16,510,979)
Net increase (decrease) in net assets resulting from operations
 (38,185,616)   84,291,022
CAPITAL TRANSACTIONS      
Contributions
 280,085,172   1,509,849,498
Withdrawals
 (1,242,812,661)   (225,415,777)
Other capital
 3,300,164   850,599
Net increase (decrease) in net assets from capital transactions
 (959,427,325)   1,285,284,320
Net increase (decrease) in net assets during the period
 (997,612,941)   1,369,575,342
Net assets at beginning of period
 3,190,662,959   1,821,087,617
NET ASSETS AT END OF PERIOD
 $ 2,193,050,018   $3,190,662,959
See accompanying notes to financial statements.
33

Table of Contents
SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
  Blackstone / GSO Senior Loan Portfolio
  Six Months
Ended
12/31/18
(Unaudited) 		  Year
Ended
6/30/18 		  Year
Ended
6/30/17 		  Year
Ended
6/30/16 		  Year
Ended
6/30/15 		  Year
Ended
6/30/14
Total return
 (1.47)%(a)   4.43%   6.19%   (0.20)%   2.98%   4.00%
Ratios and Supplemental Data:                      
Net assets, end of period (in 000s)
 $2,193,050   $3,190,663   $1,821,088   $802,489   $672,264   $610,477
Ratios to average net assets:                      
Total expenses
 0.30%(b)   0.30%   0.30%   0.30%   0.31%   0.30%
Net investment income (loss)
 5.49%(b)   4.70%   4.31%   4.54%   4.49%   3.63%
Portfolio turnover rate
 41%(a)   90%   68%   88%   65%   77%
(a) Not annualized.
(b) Annualized.
See accompanying notes to financial statements.
34

Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1.    Organization
SSGA Master Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of one (1) series, which represents a separate series of beneficial interest in the Trust. The financial statements herein relate to the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”).
The Portfolio is classified as a diversified investment company under the 1940 Act.
The Portfolio serves as a master fund in a master-feeder structure.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2.    Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Portfolio's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the
35

Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
“Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Portfolio's investments by major category are as follows:
•  Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
•  Debt obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
•  Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate the Portfolio's NAV and the prices used by the Portfolio's underlying benchmark.
Various inputs are used in determining the value of the Portfolio's investments.
The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
36

Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
•  Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
•  Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•  Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2018, is disclosed in the Portfolio’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Distributions received by the Portfolio may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
All of the net investment income and realized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Expenses which are directly identifiable to the Portfolio are applied to the Portfolio within the Trust.
37

Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
3.    Securities and Other Investments
Loan Agreements
The Portfolio invests in Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus are highly leveraged. The Portfolio does not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Portfolio as the issuers of such loans.
4.    Fees and Transactions with Affiliates
Advisory Fee
The Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Portfolio, facilities furnished, and expenses borne by the Adviser, the Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of the Portfolio’s average daily net assets as shown in the following table:
  Annual Rate
Blackstone / GSO Senior Loan Portfolio
 0.30%
The Adviser pays all expenses of the Portfolio other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust's Independent Trustees (including any Trustees' counsel fees), acquired fund fees and expenses, litigation expenses and other extraordinary expenses.
GSO / Blackstone Debt Funds Management LLC receives fees for its services as the sub-adviser to the Portfolio from the Adviser.
Administrator, Custodian, Sub-Administrator and Transfer Agent Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
38

Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Due to Custodian
In certain circumstances, the Portfolio may have cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to custodian amount if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Portfolio.
5.    Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6.    Investment Transactions
Purchases and sales of investments (excluding in-kind transactions and short term investments) for the period ended December 31, 2018, were as follows:
  Purchases   Sales
Blackstone / GSO Senior Loan Portfolio
 $1,216,609,413   $2,393,570,349
7.    Income Tax Information
The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio's partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
39

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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
As of December 31, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
  Tax
Cost 		  Gross
Unrealized
Appreciation 		  Gross
Unrealized
Depreciation 		  Net Unrealized
Appreciation
(Depreciation)
Blackstone / GSO Senior Loan Portfolio
 $2,231,238,452   $314,310   $88,208,102   $(87,893,792)
8.    Line of Credit
Certain Portfolios and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The Portfolio has exclusive access to $300 million of the total credit facility. This agreement expires in October 2019 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. The Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Blackstone / GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are ordinary fund operating expenses paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of December 31, 2018.
9.    Risks
Concentration Risk
As a result of the Portfolio's ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if the Portfolio was more broadly diversified.
40

Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS  (continued)
December 31, 2018 (Unaudited)
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
10.    New and Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In August 2018, the U.S. Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Portfolio has adopted the Final Rule for the current period.
11.    Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
41

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SSGA MASTER TRUST
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Portfolio’s cost in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
42

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SSGA MASTER TRUST
OTHER INFORMATION  (continued)
December 31, 2018 (Unaudited)
  Blackstone / GSO Senior Loan Portfolio
Annualized Expense Ratio
 0.30%
Actual:  
Ending Account Value
 $ 985.30
Expenses Paid During Period(a)
 1.50
Hypothetical (assuming a 5% return before expenses):  
Ending Account Value
 1,023.70
Expenses Paid During Period(a)
 1.53
(a) Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio's investment adviser to vote proxies relating to the Portfolio's portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the prior 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Portfolio's website www.spdrs.com.
Quarterly Portfolio Schedule
The Portfolio files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at www.sec.gov. 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.spdrs.com.
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SSGA Master Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116

Table of Contents
SSGA Master Trust
For more complete information, please call 1.866.787.2257 or visit www.spdrs.com today.
State Street Global Advisors
One Iron Street
Boston, MA 02210
ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
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.
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.
Standard & Poor’s, S&P and SPDR are registered trademarks of Standard & Poor’s Financial
Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Advisors Funds Distributors, LLC, member FINRA, SIPC, an indirect 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. SSGA Funds Management has retained GSO Capital Partners as the sub-adviser.
Before investing, consider a Fund’s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit www.spdrs.com. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
 
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
© 2019 State Street Corporation -All Rights Reserved
SPDRGSOSAR

Table of Contents

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)

The Schedule of Investments for the SPDR DoubleLine Total Return Tactical ETF is listed below. Summary Schedule of Investments for this Fund as well as the Schedules of Investments for the remaining series of the registrant are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CORPORATE BONDS & NOTES — 13.5%          
ARGENTINA — 0.3%          
Pampa Energia SA Series REGS,

7.50%, 1/24/2027
     $ 4,350,000   $ 3,645,518
YPF SA:          
Series REGS,

6.95%, 7/21/2027
     1,500,000   1,221,135
Series REGS,

8.50%, 7/28/2025
     3,600,000   3,231,648
          8,098,301
AUSTRALIA — 0.2%          
Commonwealth Bank of Australia

2.75%, 3/10/2022 (a)
     2,305,000   2,259,592
Macquarie Group, Ltd.:          
3 Month USD LIBOR + 1.02%,

3.19%, 11/28/2023 (a)  (b)
     1,155,000   1,113,281
3 Month USD LIBOR + 1.33%,

4.15%, 3/27/2024 (a)  (b)
     1,590,000   1,586,884
          4,959,757
BELGIUM — 0.0% (c)          
Anheuser-Busch InBev Finance, Inc.

2.65%, 2/1/2021
     1,480,000   1,454,736
BRAZIL — 0.7%          
Banco BTG Pactual SA Series REGS,

5.50%, 1/31/2023
     900,000   874,656
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%,

6.25%, 4/15/2024 (b)
     4,700,000   4,030,955
Braskem Finance, Ltd.

6.45%, 2/3/2024
     300,000   315,411
Itau Unibanco Holding SA Series REGS, 5 Year CMT + 3.86%,

6.50%, 3/19/2023 (b)
     1,000,000   947,260
JBS Investments GmbH Series REGS,

7.25%, 4/3/2024
     4,300,000   4,362,350
JBS USA LUX SA/JBS USA Finance, Inc.

6.75%, 2/15/2028 (a)
     670,000   654,503
MARB BondCo PLC:          

7.00%, 3/15/2024 (a)
     600,000   567,258
Series REGS,

6.88%, 1/19/2025
     2,200,000   2,040,302
Marfrig Holdings Europe B.V.

8.00%, 6/8/2023 (a)
     1,000,000   1,001,000
Petrobras Global Finance B.V.

5.75%, 2/1/2029
     4,600,000   4,264,154
Security Description     Principal
Amount 		  Value
Votorantim Cimentos International SA Series REGS,

7.25%, 4/5/2041
     $ 600,000   $ 613,500
          19,671,349
CANADA — 0.3%          
1011778 BC ULC/New Red Finance, Inc.

5.00%, 10/15/2025 (a)
     890,000   818,773
Calfrac Holdings L.P.

8.50%, 6/15/2026 (a)
     220,000   166,144
Canadian Natural Resources, Ltd.

2.95%, 1/15/2023
     2,975,000   2,844,695
Fortis, Inc.

2.10%, 10/4/2021
     1,395,000   1,338,935
Garda World Security Corp.

8.75%, 5/15/2025 (a)
     620,000   565,533
Kronos Acquisition Holdings, Inc.

9.00%, 8/15/2023 (a)
     415,000   322,720
MEG Energy Corp.

7.00%, 3/31/2024 (a)
     230,000   219,650
Superior Plus L.P./Superior General Partner, Inc.

7.00%, 7/15/2026 (a)
     635,000   610,813
Telesat Canada/Telesat LLC

8.88%, 11/15/2024 (a)
     390,000   405,779
Tervita Escrow Corp.

7.63%, 12/1/2021 (a)
     825,000   785,458
          8,078,500
CAYMAN ISLANDS — 0.1%          
Avolon Holdings Funding, Ltd.

5.13%, 10/1/2023 (a)
     320,000   307,341
Cosan Overseas, Ltd.

8.25%, 2/5/2019
     4,314,000   4,346,355
          4,653,696
CHILE — 0.6%          
AES Gener SA Series REGS,

5.00%, 7/14/2025
     200,000   192,496
Banco de Credito e Inversiones SA Series REGS,

4.00%, 2/11/2023
     2,000,000   1,984,240
Banco del Estado de Chile Series REGS,

3.88%, 2/8/2022
     1,000,000   994,760
Banco Santander Chile Series REGS,

3.88%, 9/20/2022
     434,000   430,615
Celulosa Arauco y Constitucion SA

4.75%, 1/11/2022
     1,400,000   1,419,390
Embotelladora Andina SA Series REGS,

5.00%, 10/1/2023
     1,804,000   1,846,394
 
1

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Empresa Nacional de Telecomunicaciones SA Series REGS,

4.75%, 8/1/2026
     $ 1,400,000   $ 1,305,710
GNL Quintero SA Series REGS,

4.63%, 7/31/2029
     200,000   192,534
Guanay Finance, Ltd. Series REGS,

6.00%, 12/15/2020
     872,046   875,229
Inversiones CMPC SA Series REGS,

4.50%, 4/25/2022
     2,300,000   2,312,305
SACI Falabella Series REGS,

3.75%, 4/30/2023
     3,600,000   3,498,984
Transelec SA Series REGS,

3.88%, 1/12/2029
     1,000,000   911,300
VTR Finance B.V.:          

6.88%, 1/15/2024 (a)
     500,000   500,185
Series REGS,

6.88%, 1/15/2024
     1,900,000   1,900,703
          18,364,845
CHINA — 0.2%          
Alibaba Group Holding, Ltd.

2.80%, 6/6/2023
     200,000   193,186
CNPC General Capital, Ltd. Series REGS,

3.40%, 4/16/2023
     3,000,000   2,969,700
Gran Tierra Energy International Holdings, Ltd. Series REGS,

6.25%, 2/15/2025
     2,600,000   2,420,158
Sinopec Group Overseas Development 2016, Ltd. Series REGS,

2.75%, 9/29/2026
     1,500,000   1,366,200
Sinopec Group Overseas Development 2017, Ltd.

3.63%, 4/12/2027 (a)
     700,000   675,668
          7,624,912
COLOMBIA — 0.2%          
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS,

4.88%, 4/21/2025
     500,000   487,630
Bancolombia SA

4.88%, 10/18/2027 (b)
     1,700,000   1,640,908
Ecopetrol SA

5.88%, 9/18/2023
     300,000   313,287
Grupo Aval, Ltd. Series REGS,

4.75%, 9/26/2022
     500,000   467,445
Millicom International Cellular SA:          

6.63%, 10/15/2026 (a)
     1,500,000   1,523,070
Series REGS,

6.00%, 3/15/2025
     400,000   395,208
          4,827,548
Security Description     Principal
Amount 		  Value
COSTA RICA — 0.1%          
Banco Nacional de Costa Rica Series REGS,

5.88%, 4/25/2021 (a)
     $ 2,990,000   $ 2,865,018
DOMINICAN REPUBLIC — 0.2%          
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It

7.95%, 5/11/2026 (a)
     2,200,000   2,224,420
Banco de Reservas de la Republica Dominicana Series REGS,

7.00%, 2/1/2023 (a)
     3,950,000   3,950,000
          6,174,420
FRANCE — 0.0% (c)          
Altice France SA

7.38%, 5/1/2026 (a)
     425,000   389,810
HONG KONG — 0.0% (c)          
CK Hutchison International 17, Ltd.

3.50%, 4/5/2027 (a)
     1,100,000   1,064,976
INDIA — 1.1%          
Adani Ports & Special Economic Zone, Ltd.:          
Series REGS,

3.50%, 7/29/2020
     200,000   198,050
Series REGS,

3.95%, 1/19/2022
     2,500,000   2,471,150
Bharat Petroleum Corp., Ltd.

4.63%, 10/25/2022
     1,100,000   1,106,864
Bharti Airtel International Netherlands B.V. Series REGS,

5.13%, 3/11/2023
     3,400,000   3,351,550
Bharti Airtel, Ltd. Series REGS,

4.38%, 6/10/2025
     4,000,000   3,633,040
BPRL International Singapore Pte, Ltd. Series EMTN,

4.38%, 1/18/2027
     3,900,000   3,685,094
Indian Oil Corp., Ltd.:          

5.63%, 8/2/2021
     2,000,000   2,085,052

5.75%, 8/1/2023
     4,900,000   5,160,239
ONGC Videsh Vankorneft Pte, Ltd.

3.75%, 7/27/2026
     5,500,000   5,105,997
Reliance Holding USA, Inc. Series REGS,

5.40%, 2/14/2022
     4,500,000   4,669,110
Vedanta Resources PLC:          
Series REGS,

6.13%, 8/9/2024
     2,800,000   2,326,912
Series REGS,

7.13%, 5/31/2023
     600,000   539,442
          34,332,500
 
2

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
IRELAND — 0.2%          
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

6.00%, 2/15/2025 (a)
     $ 625,000   $ 577,475
C&W Senior Financing DAC:          

7.50%, 10/15/2026 (a)
     1,300,000   1,256,112
Series REGS,

6.88%, 9/15/2027
     4,000,000   3,687,000
          5,520,587
ISRAEL — 0.1%          
Delek & Avner Tamar Bond, Ltd.:          

4.44%, 12/30/2020 (a)
     1,600,000   1,596,336

5.41%, 12/30/2025 (a)
     340,000   339,558
Israel Electric Corp., Ltd. Series 6,

5.00%, 11/12/2024 (a)
     600,000   608,196
Teva Pharmaceutical Finance Netherlands III B.V.

2.80%, 7/21/2023
     1,645,000   1,416,065
          3,960,155
JAMAICA — 0.1%          
Digicel Group, Ltd.:          
Series REGS,

7.13%, 4/1/2022
     3,300,000   1,556,214
Series REGS,

8.25%, 9/30/2020
     1,000,000   678,180
          2,234,394
JAPAN — 0.1%          
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.74%,

3.48%, 3/2/2023 (b)
     1,325,000   1,308,729
Sumitomo Mitsui Financial Group, Inc. 3 Month USD LIBOR + 0.74%,

3.19%, 1/17/2023 (b)
     1,685,000   1,667,577
          2,976,306
LUXEMBOURG — 0.2%          
Intelsat Jackson Holdings SA:          

5.50%, 8/1/2023
     215,000   188,981

8.50%, 10/15/2024 (a)
     240,000   231,600
Millicom International Cellular SA Series REGS,

5.13%, 1/15/2028
     600,000   538,050
Minerva Luxembourg SA:          
Series REGS,

5.88%, 1/19/2028
     1,400,000   1,220,758
Series REGS,

6.50%, 9/20/2026
     2,800,000   2,606,688
          4,786,077
Security Description     Principal
Amount 		  Value
MALAYSIA — 0.6%          
Axiata SPV2 Bhd Series 2,

3.47%, 11/19/2020
     $ 2,500,000   $ 2,495,625
Gohl Capital, Ltd.

4.25%, 1/24/2027
     5,000,000   4,703,660
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%,

3.91%, 10/29/2026 (b)
     7,000,000   6,911,520
Malaysia Sovereign Sukuk Bhd Series REGS,

3.04%, 4/22/2025
     1,400,000   1,360,184
Petronas Capital, Ltd. Series REGS,

3.50%, 3/18/2025
     2,000,000   1,967,820
          17,438,809
MEXICO — 0.6%          
Banco Mercantil del Norte SA:          
Series REGS, 10 Year CMT + 5.35%,

7.63%, 1/10/2028 (b)
     2,510,000   2,429,805
Series REGS, 5 year CMT + 4.447%,

5.75%, 10/4/2031 (b)
     1,200,000   1,079,592
Series REGS, 5 Year CMT + 5.04%,

6.88%, 7/6/2022 (b)
     464,000   449,635
Banco Santander Mexico SA 5 Year CMT + 3.00%,

5.95%, 10/1/2028 (a)  (b)
     1,700,000   1,707,395
BBVA Bancomer SA:          
Series REGS, 5 Year CMT + 2.65%,

5.13%, 1/18/2033 (b)
     5,200,000   4,513,652
Series REGS, 5 Year CMT + 3.00%,

5.35%, 11/12/2029 (b)
     200,000   184,204
Coca-Cola Femsa SAB de CV

3.88%, 11/26/2023
     650,000   657,878
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%,

9.13%, 11/29/2022 (b)
     900,000   846,351
Fomento Economico Mexicano SAB de CV

2.88%, 5/10/2023
     1,000,000   956,840
Grupo Idesa SA de CV Series REGS,

7.88%, 12/18/2020
     2,000,000   1,396,460
Unifin Financiera SAB de CV:          
Series REGS,

7.38%, 2/12/2026
     200,000   170,636
Series REGS, 5 Year CMT + 6.31%,

8.88%, 1/29/2025 (b)
     3,100,000   2,552,230
          16,944,678
 
3

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
NETHERLANDS — 0.1% (c)          
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS,

7.95%, 5/11/2026
     1,200,000   $ 1,213,320
Ajecorp B.V. Series REGS,

6.50%, 5/14/2022
     $ 150,000   102,944
Starfruit Finco B.V./Starfruit US Holdco LLC

8.00%, 10/1/2026 (a)
     150,000   139,566
Stars Group Holdings B.V.

7.00%, 7/15/2026 (a)
     305,000   296,399
          1,752,229
PANAMA — 0.2%          
Global Bank Corp. Series REGS,

5.13%, 10/30/2019
     6,000,000   6,003,360
PERU — 0.1%          
Banco Internacional del Peru SAA Series REGS, 3 Month USD LIBOR + 6.74%,

8.50%, 4/23/2070 (b)
     500,000   522,750
BBVA Banco Continental SA Series REGS,

5.00%, 8/26/2022
     1,000,000   1,017,590
Transportadora de Gas del Peru SA Series REGS,

4.25%, 4/30/2028
     700,000   675,353
          2,215,693
PHILIPPINES — 0.2%          
BDO Unibank, Inc.:          
Series EMTN,

2.63%, 10/24/2021
     1,200,000   1,152,360
Series EMTN,

2.95%, 3/6/2023
     6,200,000   5,860,240
          7,012,600
SINGAPORE — 0.6%          
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%,

3.60%, 9/7/2021 (b)
     4,100,000   3,915,500
Temasek Financial I, Ltd. Series REGS,

2.38%, 1/23/2023
     7,650,000   7,412,008
United Overseas Bank, Ltd.:          
Series EMTN, USD 5 Year Swap Rate + 1.79%,

3.88%, 10/19/2023 (b)
     2,000,000   1,842,214
Series EMTN, USD 5 Year Swap Rate + 2.24%,

3.50%, 9/16/2026 (b)
     4,000,000   3,960,760
          17,130,482
UNITED KINGDOM — 0.3%          
AstraZeneca PLC

2.38%, 6/12/2022
     1,600,000   1,532,016
Security Description     Principal
Amount 		  Value
Avation Capital SA

6.50%, 5/15/2021 (a)
     $ 400,000   $ 400,000
MARB BondCo PLC Series REGS,

7.00%, 3/15/2024
     400,000   378,172
Reynolds American, Inc.

4.00%, 6/12/2022
     2,770,000   2,735,043
Royal Bank of Scotland Group PLC 3 Month USD LIBOR + 1.48%,

3.50%, 5/15/2023 (b)
     2,895,000   2,776,884
          7,822,115
UNITED STATES — 6.1%          
AbbVie, Inc.

3.20%, 11/6/2022
     1,450,000   1,430,396
Air Lease Corp.

3.25%, 3/1/2025
     2,995,000   2,752,495
Air Medical Group Holdings, Inc.

6.38%, 5/15/2023 (a)
     190,000   160,552
AK Steel Corp.

6.38%, 10/15/2025
     240,000   188,182
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC

5.75%, 3/15/2025
     725,000   634,375
Alcoa Nederland Holding B.V.

6.13%, 5/15/2028 (a)
     220,000   210,815
Allergan Funding SCS:          

3.80%, 3/15/2025
     465,000   453,612

3.85%, 6/15/2024
     2,375,000   2,342,368
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer

8.25%, 8/1/2023 (a)
     815,000   807,453
Amazon.com, Inc.:          

2.80%, 8/22/2024
     1,985,000   1,929,222

3.80%, 12/5/2024
     1,255,000   1,284,819
American Axle & Manufacturing, Inc.

6.25%, 3/15/2026
     435,000   390,834
American Express Co.

2.50%, 8/1/2022
     1,530,000   1,477,123
Anthem, Inc.

3.30%, 1/15/2023
     2,982,000   2,934,109
Aramark Services, Inc.

5.00%, 4/1/2025 (a)
     605,000   595,217
Arrow Electronics, Inc.

3.88%, 1/12/2028
     359,000   326,812
Ascend Learning LLC

6.88%, 8/1/2025 (a)
     595,000   571,736
Ashland LLC

4.75%, 8/15/2022
     380,000   373,517
ASP AMC Merger Sub, Inc.

8.00%, 5/15/2025 (a)
     593,000   314,604
AssuredPartners, Inc.

7.00%, 8/15/2025 (a)
     597,000   539,366
 
4

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
AT&T, Inc.

3.40%, 5/15/2025
     $ 1,530,000   $ 1,441,306
Avantor, Inc.

9.00%, 10/1/2025 (a)
     560,000   559,681
B&G Foods, Inc.

5.25%, 4/1/2025
     610,000   567,648
Banff Merger Sub, Inc.

9.75%, 9/1/2026 (a)
     195,000   178,452
Bank of America Corp. Series GMTN, 3 Month USD LIBOR + 0.66%,

2.37%, 7/21/2021 (b)
     2,815,000   2,767,201
Bausch Health Cos., Inc.

7.00%, 3/15/2024 (a)
     240,000   243,101
Beacon Roofing Supply, Inc.

4.88%, 11/1/2025 (a)
     650,000   571,851
Becton Dickinson and Co.

2.89%, 6/6/2022
     2,895,000   2,802,707
Boston Properties L.P.

3.65%, 2/1/2026
     2,890,000   2,801,248
Boyne USA, Inc.

7.25%, 5/1/2025 (a)
     835,000   860,075
Builders FirstSource, Inc.

5.63%, 9/1/2024 (a)
     860,000   797,874
Calpine Corp.

5.75%, 1/15/2025
     210,000   191,789
Camelot Finance SA

7.88%, 10/15/2024 (a)
     415,000   401,471
Cardinal Health, Inc.

3.41%, 6/15/2027
     3,280,000   2,980,503
Caterpillar, Inc.

3.40%, 5/15/2024
     2,791,000   2,800,154
CCO Holdings LLC/CCO Holdings Capital Corp.:          

5.00%, 2/1/2028 (a)
     475,000   436,957

5.75%, 2/15/2026 (a)
     405,000   397,042
CDK Global, Inc.

5.88%, 6/15/2026
     205,000   204,770
Celgene Corp.

4.35%, 11/15/2047
     3,360,000   2,845,282
Cengage Learning, Inc.

9.50%, 6/15/2024 (a)
     485,000   330,043
Centene Corp.

4.75%, 1/15/2025
     880,000   841,262
Centene Escrow I Corp.

5.38%, 6/1/2026 (a)
     90,000   87,886
Charter Communications Operating LLC/Charter Communications Operating Capital

4.46%, 7/23/2022
     1,475,000   1,489,204
Cheniere Energy Partners L.P.

5.25%, 10/1/2025
     935,000   871,046
Cincinnati Bell, Inc.

7.00%, 7/15/2024 (a)
     439,000   363,966
Citigroup, Inc. 3 Month USD LIBOR + 1.39%,

3.67%, 7/24/2028 (b)
     2,970,000   2,810,778
Security Description     Principal
Amount 		  Value
CNX Midstream Partners L.P./CNX Midstream Finance Corp.

6.50%, 3/15/2026 (a)
     $ 730,000   $ 690,799
Comcast Corp.

4.70%, 10/15/2048
     1,530,000   1,548,192
Constellation Merger Sub, Inc.

8.50%, 9/15/2025 (a)
     200,000   180,440
Continental Resources, Inc.

4.38%, 1/15/2028
     1,465,000   1,381,070
CRC Escrow Issuer LLC/CRC Finco, Inc.

5.25%, 10/15/2025 (a)
     420,000   366,811
Crown Americas LLC/Crown Americas Capital Corp.

4.75%, 2/1/2026 (a)
     405,000   383,276
CSC Holdings LLC:          

5.25%, 6/1/2024
     440,000   403,867

5.38%, 7/15/2023 (a)
     875,000   854,770
CSI Compressco L.P./CSI Compressco Finance, Inc.

7.50%, 4/1/2025 (a)
     425,000   396,980
CVS Health Corp.

3.70%, 3/9/2023
     3,015,000   2,985,393
Dana Financing Luxembourg Sarl

5.75%, 4/15/2025 (a)
     425,000   395,960
Delta Air Lines, Inc.

3.63%, 3/15/2022
     1,885,000   1,817,442
Delta Merger Sub, Inc.

6.00%, 9/15/2026 (a)
     155,000   146,456
Discover Financial Services

4.10%, 2/9/2027
     1,400,000   1,305,808
DISH DBS Corp.

5.88%, 11/15/2024
     230,000   185,086
DJO Finance LLC/DJO Finance Corp.

8.13%, 6/15/2021 (a)
     420,000   432,285
Dollar Tree, Inc.

4.00%, 5/15/2025
     1,550,000   1,489,767
DowDuPont, Inc.

5.42%, 11/15/2048
     1,145,000   1,192,414
Duke Energy Corp.

2.65%, 9/1/2026
     3,085,000   2,804,851
Edison International

4.13%, 3/15/2028
     685,000   649,544
Eldorado Resorts, Inc.

6.00%, 4/1/2025
     420,000   405,363
Embarq Corp.

8.00%, 6/1/2036
     460,000   416,065
Energy Transfer Operating L.P.

4.75%, 1/15/2026
     2,130,000   2,066,547
Enterprise Products Operating LLC

3.75%, 2/15/2025
     2,155,000   2,130,002
Envision Helthcare Corp.

8.75%, 10/15/2026 (a)
     45,000   38,959
 
5

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
EP Energy LLC/Everest Acquisition Finance, Inc.

7.75%, 5/15/2026 (a)
     $ 440,000   $ 390,210
EQT Corp.

3.90%, 10/1/2027
     3,240,000   2,801,822
EQT Midstream Partners L.P. Series 5Y,

4.75%, 7/15/2023
     1,895,000   1,885,051
ESH Hospitality, Inc.

5.25%, 5/1/2025 (a)
     710,000   667,975
Expedia Group, Inc.

3.80%, 2/15/2028
     3,275,000   2,972,718
Exterran Energy Solutions L.P./EES Finance Corp.

8.13%, 5/1/2025
     190,000   182,248
Extraction Oil & Gas, Inc.

5.63%, 2/1/2026 (a)
     155,000   115,746
FedEx Corp.

4.75%, 11/15/2045
     1,425,000   1,338,246
Financial & Risk US Holdings, Inc.:          

6.25%, 5/15/2026 (a)
     270,000   259,856

8.25%, 11/15/2026 (a)
     80,000   73,106
First Data Corp.

5.75%, 1/15/2024 (a)
     835,000   813,758
Flex Acquisition Co., Inc.:          

6.88%, 1/15/2025 (a)
     405,000   361,013

7.88%, 7/15/2026 (a)
     140,000   126,350
Foresight Energy LLC/Foresight Energy Finance Corp.

11.50%, 4/1/2023 (a)
     510,000   434,790
frontdoor, Inc.

6.75%, 8/15/2026 (a)
     390,000   371,393
Frontier Communications Corp.:          

8.50%, 4/15/2020
     155,000   137,175

8.50%, 4/1/2026 (a)
     240,000   209,990
FTS International, Inc.

6.25%, 5/1/2022
     405,000   359,632
General Motors Co. 3 Month USD LIBOR + 0.80%,

3.39%, 8/7/2020 (b)
     645,000   639,214
General Motors Financial Co., Inc.:          

3.95%, 4/13/2024
     125,000   118,311
3 Month USD LIBOR + 0.99%,

3.40%, 1/5/2023 (b)
     2,070,000   1,967,245
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC

10.00%, 11/30/2024 (a)
     765,000   801,360
Georgia-Pacific LLC

3.60%, 3/1/2025 (a)
     1,543,000   1,542,645
GLP Capital L.P./GLP Financing II, Inc.:          

5.30%, 1/15/2029
     535,000   524,867
Security Description     Principal
Amount 		  Value

5.75%, 6/1/2028
     $ 950,000   $ 944,481
Golden Nugget, Inc.

6.75%, 10/15/2024 (a)
     580,000   546,551
Goldman Sachs Group, Inc.:          
3 Month USD LIBOR + 0.78%,

3.31%, 10/31/2022 (b)
     1,115,000   1,086,110
3 Month USD LIBOR + 1.17%,

3.79%, 5/15/2026 (b)
     1,650,000   1,557,336
Gray Escrow, Inc.

7.00%, 5/15/2027 (a)
     200,000   194,712
Gray Television, Inc.

5.13%, 10/15/2024 (a)
     195,000   179,823
GTT Communications, Inc.

7.88%, 12/31/2024 (a)
     665,000   575,996
Gulfport Energy Corp.

6.38%, 5/15/2025
     405,000   360,450
Halfmoon Parent, Inc. 3 Month USD LIBOR + 0.89%,

3.33%, 7/15/2023 (a)  (b)
     2,935,000   2,890,388
Hasbro, Inc.

3.50%, 9/15/2027
     1,685,000   1,537,832
HCA Healthcare, Inc.

6.25%, 2/15/2021
     400,000   409,108
HCA, Inc.:          

5.25%, 4/15/2025
     190,000   189,609

5.38%, 9/1/2026
     795,000   773,392
Hess Infrastructure Partners L.P./Hess Infrastructure Partners Finance Corp.

5.63%, 2/15/2026 (a)
     845,000   821,551
Hexion, Inc.:          

6.63%, 4/15/2020
     225,000   179,649

10.38%, 2/1/2022 (a)
     440,000   347,644
Hilcorp Energy I L.P./Hilcorp Finance Co.

6.25%, 11/1/2028 (a)
     415,000   364,889
Hilton Domestic Operating Co., Inc.

4.25%, 9/1/2024
     440,000   416,209
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.

6.25%, 2/1/2022
     805,000   802,915
Indigo Natural Resources LLC

6.88%, 2/15/2026 (a)
     445,000   383,247
Informatica LLC

7.13%, 7/15/2023 (a)
     800,000   779,792
IRB Holding Corp.

6.75%, 2/15/2026 (a)
     685,000   595,532
Iridium Communications, Inc.

10.25%, 4/15/2023 (a)
     490,000   519,988
Jeld-Wen, Inc.

4.63%, 12/15/2025 (a)
     450,000   396,000
KAR Auction Services, Inc.

5.13%, 6/1/2025 (a)
     440,000   397,100
 
6

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Kinder Morgan, Inc.

4.30%, 3/1/2028
     $ 1,435,000   $ 1,405,769
Kratos Defense & Security Solutions, Inc.

6.50%, 11/30/2025 (a)
     200,000   204,074
Laboratory Corp. of America Holdings

3.60%, 2/1/2025
     3,096,000   2,974,637
Level 3 Financing, Inc.

5.38%, 1/15/2024
     595,000   566,738
Live Nation Entertainment, Inc.

5.63%, 3/15/2026 (a)
     425,000   418,651
LTF Merger Sub, Inc.

8.50%, 6/15/2023 (a)
     375,000   380,276
Marriott Ownership Resorts, Inc.

6.50%, 9/15/2026 (a)
     190,000   183,213
Match Group, Inc.

5.00%, 12/15/2027 (a)
     400,000   366,964
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc.

8.50%, 6/1/2026 (a)
     210,000   167,334
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc.

4.50%, 1/15/2028
     645,000   565,633
Microchip Technology, Inc.

4.33%, 6/1/2023 (a)
     3,075,000   2,977,523
Morgan Stanley 3 Month USD LIBOR + 0.85%,

3.74%, 4/24/2024 (b)
     2,800,000   2,775,668
Mosaic Co.

4.05%, 11/15/2027
     1,540,000   1,481,049
Moss Creek Resources Holdings, Inc.

7.50%, 1/15/2026 (a)
     520,000   449,805
MPH Acquisition Holdings LLC

7.13%, 6/1/2024 (a)
     400,000   373,004
MPT Operating Partnership L.P./MPT Finance Corp.

5.25%, 8/1/2026
     855,000   806,693
Nabors Industries, Inc.

5.75%, 2/1/2025
     440,000   332,059
Navient Corp.

6.50%, 6/15/2022
     720,000   671,256
NCL Corp., Ltd.

4.75%, 12/15/2021 (a)
     375,000   374,325
Netflix, Inc.

5.88%, 2/15/2025
     195,000   197,100
New York Life Global Funding

2.30%, 6/10/2022 (a)
     1,555,000   1,502,130
NFP Corp.

6.88%, 7/15/2025 (a)
     730,000   658,832
NUVEEN FINANCE LLC

4.13%, 11/1/2024 (a)
     3,045,000   3,107,301
Security Description     Principal
Amount 		  Value
Par Petroleum LLC/Petroleum Finance Corp.

7.75%, 12/15/2025 (a)
     $ 425,000   $ 402,501
Peabody Energy Corp.

6.00%, 3/31/2022 (a)
     718,000   702,807
Penske Truck Leasing Co. L.P./PTL Finance Corp.

4.20%, 4/1/2027 (a)
     675,000   659,759
PetSmart, Inc.:          

5.88%, 6/1/2025 (a)
     90,000   65,231

7.13%, 3/15/2023 (a)
     455,000   264,401
Pilgrim's Pride Corp.

5.75%, 3/15/2025 (a)
     885,000   832,166
Polaris Intermediate Corp. PIK PIK,

8.50%, 12/1/2022 (a)
     200,000   182,696
Post Holdings, Inc.

5.50%, 3/1/2025 (a)
     600,000   576,462
Prime Security Services Borrower LLC/Prime Finance, Inc.

9.25%, 5/15/2023 (a)
     1,009,000   1,040,309
Prudential Financial, Inc. Series MTN,

3.50%, 5/15/2024
     2,775,000   2,784,879
QEP Resources, Inc.

5.25%, 5/1/2023
     1,000,000   888,570
Radiate Holdco LLC/Radiate Finance, Inc.

6.88%, 2/15/2023 (a)
     465,000   423,466
RegionalCare Hospital Partners Holdings, Inc.

8.25%, 5/1/2023 (a)
     160,000   161,613
Resideo Funding, Inc.

6.13%, 11/1/2026 (a)
     190,000   187,629
Riverbed Technology, Inc.

8.88%, 3/1/2023 (a)
     255,000   183,791
Roper Technologies, Inc.

4.20%, 9/15/2028
     1,505,000   1,497,264
Sabine Pass Liquefaction LLC

5.00%, 3/15/2027
     2,240,000   2,254,694
Santander Holdings USA, Inc.

3.40%, 1/18/2023
     1,400,000   1,346,324
Schweitzer-Mauduit International, Inc.

6.88%, 10/1/2026 (a)
     290,000   273,386
Scientific Games International, Inc.

5.00%, 10/15/2025 (a)
     340,000   304,538
Select Medical Corp.

6.38%, 6/1/2021
     1,350,000   1,348,907
Sirius XM Radio, Inc.

5.38%, 7/15/2026 (a)
     625,000   590,700
Six Flags Entertainment Corp.

4.88%, 7/31/2024 (a)
     430,000   407,249
Smithfield Foods, Inc.

4.25%, 2/1/2027 (a)
     1,620,000   1,480,307
 
7

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Solera LLC/Solera Finance, Inc.

10.50%, 3/1/2024 (a)
     $ 360,000   $ 383,400
Sophia L.P./Sophia Finance, Inc.

9.00%, 9/30/2023 (a)
     733,000   739,890
Southern Co.

1.85%, 7/1/2019
     1,320,000   1,310,245
Springleaf Finance Corp.

7.13%, 3/15/2026
     415,000   370,744
Sprint Corp.

7.13%, 6/15/2024
     1,355,000   1,340,691
Stevens Holding Co., Inc.

6.13%, 10/1/2026 (a)
     405,000   399,456
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp.

7.50%, 6/15/2025 (a)
     565,000   533,998
Sunoco L.P./Sunoco Finance Corp. Series WI,

5.50%, 2/15/2026
     450,000   424,620
Sysco Corp.

3.25%, 7/15/2027
     1,595,000   1,492,330
Tapstone Energy LLC/Tapstone Energy Finance Corp.

9.75%, 6/1/2022 (a)
     225,000   173,320
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.

5.88%, 4/15/2026 (a)
     615,000   598,819
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.

6.75%, 6/1/2025 (a)
     600,000   565,140
Tempur Sealy International, Inc.

5.50%, 6/15/2026
     602,000   547,748
Tenet Healthcare Corp.

7.00%, 8/1/2025
     625,000   580,556
TerraForm Power Operating LLC

4.25%, 1/31/2023 (a)
     535,000   500,728
T-Mobile USA, Inc.

4.50%, 2/1/2026
     450,000   415,643
TransDigm, Inc.

6.38%, 6/15/2026
     600,000   559,044
Transocean Guardian, Ltd.

5.88%, 1/15/2024 (a)
     220,000   211,110
Transocean Proteus, Ltd.

6.25%, 12/1/2024 (a)
     532,000   514,258
Transocean, Inc.

7.25%, 11/1/2025 (a)
     255,000   225,045
Trident Merger Sub, Inc.

6.63%, 11/1/2025 (a)
     250,000   222,975
Triumph Group, Inc.

7.75%, 8/15/2025
     617,000   535,932
Uber Technologies, Inc.

8.00%, 11/1/2026 (a)
     350,000   337,302
United Rentals North America, Inc.

6.50%, 12/15/2026
     300,000   295,500
Univision Communications, Inc.

5.13%, 5/15/2023 (a)
     120,000   107,885
Security Description     Principal
Amount 		  Value
USA Compression Partners L.P./USA Compression Finance Corp.

6.88%, 4/1/2026 (a)
     $ 665,000   $ 638,127
Valeant Pharmaceuticals International, Inc.

8.50%, 1/31/2027 (a)
     565,000   547,389
Verizon Communications, Inc.

3.50%, 11/1/2024
     1,510,000   1,490,113
Verscend Escrow Corp.

9.75%, 8/15/2026 (a)
     375,000   352,436
Viking Cruises, Ltd.

5.88%, 9/15/2027 (a)
     765,000   714,349
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp.

8.75%, 4/15/2023 (a)
     230,000   179,803
Vistra Operations Co. LLC

5.50%, 9/1/2026 (a)
     400,000   388,328
Vizient, Inc.

10.38%, 3/1/2024 (a)
     780,000   826,301
Wand Merger Corp.

8.13%, 7/15/2023 (a)
     380,000   370,796
Waste Pro USA, Inc.

5.50%, 2/15/2026 (a)
     435,000   401,035
Weatherford International, Ltd.

9.88%, 2/15/2024
     220,000   134,572
WellCare Health Plans, Inc.:          

5.25%, 4/1/2025
     575,000   553,547

5.38%, 8/15/2026 (a)
     165,000   159,545
Wells Fargo & Co.:          

3.07%, 1/24/2023
     1,535,000   1,490,777
Series MTN, 3 Month USD LIBOR + 1.31%,

3.58%, 5/22/2028 (b)
     1,585,000   1,521,917
Whiting Petroleum Corp.

6.63%, 1/15/2026
     600,000   513,120
Williams Cos., Inc.

3.75%, 6/15/2027
     1,510,000   1,419,702
WRKCo, Inc.

3.75%, 3/15/2025 (a)
     1,460,000   1,424,084
Zimmer Biomet Holdings, Inc.

3.70%, 3/19/2023
     1,580,000   1,557,201
          181,243,280
TOTAL CORPORATE BONDS & NOTES

(Cost $418,086,477)
         399,601,133
ASSET-BACKED SECURITIES — 1.8%          
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%,

2.68%, 1/25/2037 (b)
     30,018,585   23,737,564
Ajax Mortgage Loan Trust Series 2017-C, Class A,

3.75%, 7/25/2060 (a)  (d)
     6,737,333   6,664,076
 
8

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Colony Starwood Homes Trust Series 2016-2A, Class D, 1 Month USD LIBOR + 2.35%,

4.81%, 12/17/2033 (a)  (b)
     $ 2,964,812   $ 2,964,819
Flagship Credit Auto Trust Series 2016-3, Class B,

2.43%, 6/15/2021 (a)
     3,500,000   3,487,306
GSAA Home Equity Trust Series 2007-10, Class A2A,

6.50%, 11/25/2037
     2,685,090   1,817,185
OneMain Financial Issuance Trust Series 2015-1A, Class A,

3.19%, 3/18/2026 (a)
     4,665,244   4,661,466
Progress Residential Trust Series 2016-SFR2, Class D, 1 Month USD LIBOR + 2.50%,

4.96%, 1/17/2034 (a)  (b)
     1,000,000   1,000,688
Structured Asset Investment Loan Trust Series 2006-BNC2, Class A5, 1 Month USD LIBOR + 0.16%,

2.67%, 5/25/2036 (b)
     4,372,200   4,123,525
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.17%,

2.68%, 12/25/2036 (b)
     2,428,363   2,301,179
Towd Point Mortgage Trust Series 2015-1, Class AE,

3.00%, 10/25/2053 (a)
     1,535,626   1,517,587
TOTAL ASSET-BACKED SECURITIES

(Cost $52,761,926)
         52,275,395
FOREIGN GOVERNMENT OBLIGATIONS — 1.6%          
ARGENTINA — 0.3%          
Argentine Republic Government International Bond:          

5.88%, 1/11/2028
     1,350,000   975,847

6.63%, 7/6/2028
     1,150,000   854,278

6.88%, 1/26/2027
     3,500,000   2,678,235
Provincia de Buenos Aires Series REGS,

7.88%, 6/15/2027
     4,250,000   3,057,662
          7,566,022
BRAZIL — 0.1%          
Itau Unibanco Holding SA Series REGS,

6.13%, 12/12/2022 (b)
     2,500,000   2,342,200
CANADA — 0.0% (c)          
Masonite International Corp.

5.75%, 9/15/2026 (a)
     490,000   461,845
CHILE — 0.2%          
Chile Government International Bond:          
Security Description     Principal
Amount 		  Value

3.13%, 3/27/2025
     $ 2,000,000   $ 1,945,560

3.13%, 1/21/2026
     5,000,000   4,835,100
          6,780,660
COSTA RICA — 0.1%          
Costa Rica Government International Bond

10.00%, 8/1/2020
     2,905,000   2,996,711
INDIA — 0.0% (c)          
Export-Import Bank of India Series EMTN,

4.00%, 1/14/2023
     1,200,000   1,195,387
INDONESIA — 0.2%          
Perusahaan Penerbit SBSN Indonesia III:          

4.15%, 3/29/2027 (a)
     4,500,000   4,330,890
Series REGS,

4.15%, 3/29/2027
     2,000,000   1,924,840
          6,255,730
ISRAEL — 0.1%          
Israel Government International Bond

2.88%, 3/16/2026
     3,500,000   3,389,715
MEXICO — 0.0% (c)          
Mexico Government International Bond

3.75%, 1/11/2028
     1,200,000   1,124,208
PANAMA — 0.2%          
Panama Government International Bond

4.00%, 9/22/2024
     5,000,000   5,038,250
PERU — 0.1%          
Fondo MIVIVIENDA SA:          

3.50%, 1/31/2023 (a)
     800,000   770,056
Series REGS,

3.50%, 1/31/2023
     1,800,000   1,732,626
          2,502,682
PHILIPPINES — 0.3%          
Philippine Government International Bond

4.20%, 1/21/2024
     7,000,000   7,200,060
UNITED STATES — 0.0% (c)          
Mavis Tire Express Services Corp.

2.56%, 3/20/2025
     75,831   73,366
TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost $50,764,053)
         46,926,836
 
9

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
SENIOR FLOATING RATE LOANS — 6.1%          
AEROSPACE & DEFENSE — 0.0% (c)          
TransDigm, Inc.:          
Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.50%, 5.02%, 5/30/2025
     $ 230,488   $ 218,136
Senior Secured 2018 Term Loan F, 1 Month USD LIBOR + 2.50%, 5.02%, 6/9/2023
     567,835   537,314
          755,450
AUTO COMPONENTS — 0.2%          
CH Hold Corp. Senior Secured 1st Lien Term Loan,

1 Month USD LIBOR + 3.00%, 5.52%, 2/1/2024
     107,024   106,133
Mavis Tire Express Services Corp. Senior Secured 2018 1st Lien Term Loan,

1 Month USD LIBOR + 3.25%, 5.75%, 3/20/2025
     3,169,766   3,066,749
Tenneco, Inc. Senior Secured 2018 Term Loan B,

5.27%, 10/1/2025
     2,705,000   2,551,491
          5,724,373
BUILDING PRODUCTS — 0.1%          
NCI Building Systems, Inc. Senior Secured 2018 Term Loan,

6.55%, 4/12/2025
     3,385,207   3,097,464
CAPITAL MARKETS — 0.1%          
Duff & Phelps Corp. Senior Secured 2017 Term Loan B,

1 Month USD LIBOR + 3.25%, 5.77%, 2/13/2025
     3,002,313   2,850,951
CASINO SERVICES — 0.0% (c)          
Stars Group Holdings B.V. Senior Secured 2018 USD Incremental Term Loan,

3 Month USD LIBOR + 3.50%, 6.30%, 7/10/2025
     786,050   761,977
CHEMICALS — 0.2%          
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan,

1 Month USD LIBOR + 4.00%, 6.57%, 11/21/2024
     1,103,044   1,072,021
Security Description     Principal
Amount 		  Value
LTI Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan,

1 Month USD LIBOR + 3.50%, 6.02%, 9/6/2025
     $ 947,625   $ 894,719
Messer Industries, L.L.C. Senior Secured 2018 USD Term Loan,

2.50%, 10/1/2025
     1,265,000   1,203,862
Schenectady International Group, Inc. Senior Secured 2018 1st Lien Term Loan,

7.54%, 10/15/2025
     510,000   492,150
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B,

1 Month USD LIBOR + 3.25%, 5.75%, 10/1/2025
     1,650,000   1,584,000
          5,246,752
COMMERCIAL SERVICES & SUPPLIES — 0.3%          
Asurion LLC Senior Secured 2017 2nd Lien Term Loan,

1 Month USD LIBOR + 6.50%, 9.02%, 8/4/2025
     940,000   932,367
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan,

1 Month USD LIBOR + 2.75%, 5.27%, 5/2/2022
     3,864,679   3,695,599
Verscend Holding Corp. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 4.50%, 7.02%, 8/27/2025
     2,349,112   2,278,639
West Corp. Senior Secured 2017 Term Loan,

1 Month USD LIBOR + 4.00%, 6.53%, 10/10/2024
     2,784,476   2,565,213
          9,471,818
COMMUNICATIONS EQUIPMENT — 0.2%          
Avaya, Inc. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 4.25%, 6.76%, 12/15/2024
     2,173,037   2,103,772
Digicel International Finance, Ltd. Senior Secured 2017 Term Loan B,

1 Month USD LIBOR + 3.25%, 5.96%, 5/28/2024
     2,032,278   1,850,643
Plantronics, Inc. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 2.50%, 5.02%, 7/2/2025
     2,094,750   2,020,910
          5,975,325
 
10

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CONSTRUCTION & ENGINEERING — 0.0% (c)          
Brand Energy & Infrastructure Services, Inc. Senior Secured 2017 Term Loan,

3 Month USD LIBOR + 4.25%, 6.73%, 6/21/2024
     $ 554,336   $ 527,850
CONSTRUCTION MATERIALS — 0.1%          
Forterra Finance, Inc. Senior Secured 2017 Term Loan B,

1 Month USD LIBOR + 3.00%, 5.52%, 10/25/2023
     582,021   527,768
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan,

6 Month USD LIBOR + 4.00%, 6.60%, 9/27/2024
     2,584,312   2,487,401
          3,015,169
CONTAINERS & PACKAGING — 0.1%          
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan,

1 Month USD LIBOR + 2.75%, 5.27%, 2/5/2023
     2,593,563   2,479,627
DISTRIBUTORS — 0.0% (c)          
American Tire Distributors Holdings, Inc. Senior Secured 2015 Term Loan,

3 Month USD LIBOR + 7.50%, 10.02%, 9/2/2024
     208,431   171,608
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2%          
CenturyLink Escrow LLC Senior Secured 2017 Term Loan B,

1 Month USD LIBOR + 2.75%, 5.27%, 1/31/2025
     3,405,600   3,189,345
Intelsat Jackson Holdings S.A. Senior Secured 2017 Term Loan B3,

1 Month USD LIBOR + 3.75%, 6.26%, 11/27/2023
     1,665,000   1,619,362
          4,808,707
ELECTRICAL EQUIPMENT — 0.1%          
Gates Global LLC Senior Secured 2017 USD Repriced Term Loan B,

1 Month USD LIBOR + 2.75%, 5.27%, 4/1/2024
     2,112,509   2,012,493
Security Description     Principal
Amount 		  Value
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c)          
Verifone Systems, Inc. Senior Secured 2018 1st Lien Term Loan,

3 Month USD LIBOR + 4.00%, 6.64%, 8/20/2025
     $ 936,853   $ 908,747
ENERGY EQUIPMENT & SERVICES — 0.0% (c)          
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B,

3 Month USD LIBOR + 3.50%, 6.03%, 10/31/2024
     1,251,032   1,220,851
FINANCIAL SERVICES — 0.2%          
Financial & Risk US Holdings, Inc. Senior Secured 2018 USD Term Loan,

6.27%, 10/1/2025
     2,640,000   2,524,500
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1,

3 Month USD LIBOR + 3.25%, 5.55%, 6/16/2023
     2,802,061   2,703,288
          5,227,788
FOOD & STAPLES RETAILING — 0.1%          
BJ's Wholesale Club, Inc. Senior Secured 2017 1st Lien Term Loan,

1 Month USD LIBOR + 3.00%, 5.51%, 2/3/2024
     2,570,147   2,505,572
FOOD PRODUCTS — 0.0% (c)          
CSM Bakery Solutions LLC Senior Secured 1st Lien Term Loan,

3 Month USD LIBOR + 4.00%, 6.80%, 7/3/2020
     808,032   750,460
HEALTH CARE PROVIDERS & SERVICES — 0.5%          
Air Methods Corp. Senior Secured 2017 Term Loan B,

3 Month USD LIBOR + 3.50%, 6.30%, 4/21/2024
     1,125,701   898,147
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B,

3.75%, 7/20/2025
     810,000   791,273
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B,

1 Month USD LIBOR + 3.00%, 5.53%, 6/7/2023
     3,182,526   3,063,181
 
11

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan,

1 Month USD LIBOR + 3.75%, 6.27%, 10/10/2025
     $ 3,300,000   $ 3,084,312
Gentiva Health Services, Inc. Senior Secured 2018 1st Lien Term Loan,

1 Month USD LIBOR + 3.75%, 6.31%, 7/2/2025
     3,519,505   3,422,719
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 4.50%, 7.13%, 11/16/2025
     1,530,000   1,455,894
Select Medical Corp. Senior Secured 2017 Term Loan B,

1 Month USD LIBOR + 2.50%, 5.01%, 3/6/2025
     2,897,507   2,786,431
          15,501,957
HEALTH CARE TECHNOLOGY — 0.1%          
Change Healthcare Holdings, Inc. Senior Secured 2017 Term Loan B,

1 Month USD LIBOR + 2.75%, 5.27%, 3/1/2024
     3,941,437   3,750,928
HOTELS, RESTAURANTS & LEISURE — 0.5%          
ClubCorp Club Operations, Inc. Senior Secured 2017 Term Loan B,

3 Month USD LIBOR + 2.75%, 5.55%, 9/18/2024
     3,339,304   3,158,414
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan,

1 Month USD LIBOR + 2.50%, 5.02%, 2/1/2024
     1,405,525   1,335,537
Intrawest Resorts Holdings, Inc. Senior Secured Term Loan B1,

1 Month USD LIBOR + 3.00%, 5.52%, 7/31/2024
     2,942,976   2,830,172
LTF Merger Sub, Inc. Senior Secured 2017 Term Loan B,

3 Month USD LIBOR + 2.75%, 5.46%, 6/10/2022
     4,475,845   4,324,158
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5,

3 Month USD LIBOR + 2.75%, 5.27%, 8/14/2024
     4,246,945   3,999,709
          15,647,990
Security Description     Principal
Amount 		  Value
HOUSEHOLD PRODUCTS — 0.0% (c)          
KIK Custom Products, Inc. Senior Secured 2015 Term Loan B,

1 Month USD LIBOR + 4.00%, 6.52%, 5/15/2023
     $ 870,682   $ 823,887
INSURANCE — 0.3%          
Acrisure LLC:          
Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%, 11/22/2023
     4,079,998   3,965,269
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.27%, 11/22/2023
     905,450   857,914
AssuredPartners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan,

1 Month USD LIBOR + 3.25%, 5.77%, 10/22/2024
     3,891,629   3,684,906
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B,

5.77%, 12/31/2025
     610,000   584,331
York Risk Services Holding Corp. Senior Secured Term Loan B,

1 Month USD LIBOR + 3.75%, 6.27%, 10/1/2021
     996,738   934,795
          10,027,215
INTERACTIVE MEDIA & SERVICES — 0.2%          
GTT Communications, Inc. Senior Secured 2018 USD Term Loan B,

1 Month USD LIBOR + 2.75%, 5.27%, 5/31/2025
     4,208,850   3,970,355
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B,

3 Month USD LIBOR + 4.00%, 6.52%, 11/21/2024
     3,433,147   3,252,907
          7,223,262
IT SERVICES — 0.3%          
Peak 10, Inc. Senior Secured 2017 1st Lien Term Loan,

6.30%, 8/1/2024
     4,295,625   3,919,758
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan,

1 Month USD LIBOR + 3.75%, 6.28%, 2/1/2023
     4,057,725   3,872,611
 
12

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Web.com Group, Inc. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 3.75%, 6.27%, 10/10/2025
     $ 1,585,000   $ 1,529,525
          9,321,894
LIFE SCIENCES TOOLS & SERVICES — 0.2%          
Jaguar Holding Co. II Senior Secured 2018 Term Loan,

1 Month USD LIBOR + 2.50%, 5.02%, 8/18/2022
     3,869,251   3,690,298
Parexel International Corp. Senior Secured Term Loan B,

1 Month USD LIBOR + 2.75%, 5.27%, 9/27/2024
     1,159,280   1,056,394
          4,746,692
MACHINERY — 0.2%          
Altra Industrial Motion Corp. Senior Secured 2018 Term Loan B,

4.52%, 10/1/2025
     911,194   867,912
Filtration Group Corporation Senior Secured 2018 1st Lien Term Loan,

1 Month USD LIBOR + 3.00%, 5.52%, 3/29/2025
     898,213   869,021
Milacron LLC Senior Secured Amended Term Loan B,

1 Month USD LIBOR + 2.50%, 5.02%, 9/28/2023
     309,541   290,969
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 3.00%, 5.52%, 3/28/2025
     3,084,411   2,837,658
          4,865,560
MACHINERY-CONSTR&MINING — 0.1%          
Brookfield WEC Holdings, Inc. Senior Secured 2018 1st Lien Term Loan,

1 Month USD LIBOR + 3.75%, 6.27%, 8/1/2025
     2,020,000   1,963,369
MEDIA — 0.2%          
CSC Holdings, LLC Senior Secured 2018 Incremental Term Loan,

4.76%, 1/15/2026
     400,000   380,000
Meredith Corporation Senior Secured 2018 Term Loan B,

5.27%, 1/31/2025
     404,542   394,036
NEP/NCP Holdco, Inc. Senior Secured 2018 1st Lien Term Loan,

5.77%, 10/20/2025
     275,000   264,861
Security Description     Principal
Amount 		  Value
Rentpath, Inc. Senior Secured 2017 Term Loan,

1 Month USD LIBOR + 4.75%, 7.28%, 12/17/2021
     $ 562,688   $ 454,019
Tribune Media Co.:          
Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%, 12/27/2020
     83,967   83,599
Senior Secured Term Loan C, 1 Month USD LIBOR + 3.00%, 5.52%, 1/27/2024
     3,836,508   3,776,084
          5,352,599
METAL-DIVERSIFIED — 0.0% (c)          
Covia Holdings Corp. Senior Secured Term Loan,

3 Month USD LIBOR + 3.75%, 6.55%, 6/1/2025
     1,028,329   750,680
METALS & MINING — 0.1%          
Aleris International, Inc. Senior Secured 2018 Term Loan,

1 Month USD LIBOR + 4.75%, 7.25%, 2/27/2023
     1,631,800   1,621,348
U.S. Silica Company Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 4.00%, 6.56%, 5/1/2025
     1,121,632   983,767
          2,605,115
OIL REFINING&MARKETING — 0.0% (c)          
Gulf Finance LLC Senior Secured Term Loan B,

3 Month USD LIBOR + 5.25%, 7.89%, 8/25/2023
     1,361,353   1,049,943
OIL, GAS & CONSUMABLE FUELS — 0.1%          
EG Finco, Ltd. Senior Secured 2018 USD Term Loan,

3 Month USD LIBOR + 4.00%, 6.81%, 2/7/2025
     3,431,212   3,315,409
PHARMACEUTICALS — 0.1%          
Bausch Health Companies, Inc. Senior Secured Term Loan B,

5.26%, 11/27/2025
     1,140,563   1,085,496
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 3.00%, 5.51%, 6/2/2025
     481,250   460,999
          1,546,495
 
13

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1%          
Capital Automotive L.P. Senior Secured 2017 2nd Lien Term Loan,

1 Month USD LIBOR + 6.00%, 8.53%, 3/24/2025
     $ 393,809   $ 390,119
Forest City Enterprises, L.P. Senior Secured Term Loan B,

6.51%, 12/7/2025
     1,170,000   1,145,623
          1,535,742
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.1%          
Bright Bidco B.V. Senior Secured 2018 Term Loan B,

3 Month USD LIBOR + 3.50%, 6.02%, 6/30/2024
     2,381,380   2,019,708
RETAIL-RESTAURANTS — 0.1%          
IRB Holding Corp. Senior Secured 1st Lien Term Loan,

3 Month USD LIBOR + 3.25%, 5.76%, 2/5/2025
     3,664,457   3,503,221
SOFTWARE — 0.8%          
Almonde, Inc.:          
Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.30%, 6/13/2024
     2,094,326   1,957,451
Senior Secured USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 10.05%, 6/13/2025
     1,060,000   982,016
Applied Systems, Inc. Senior Secured 2017 1st Lien Term Loan,

3 Month USD LIBOR + 3.00%, 5.52%, 9/19/2024
     593,111   567,162
BMC Software Finance, Inc. Senior Secured 2018 USD Term Loan B,

1 Month USD LIBOR + 4.25%, 7.05%, 10/2/2025
     3,878,271   3,750,424
Kronos, Inc. Senior Secured 2017 Term Loan B,

3 Month USD LIBOR + 3.00%, 5.54%, 11/1/2023
     3,851,053   3,672,133
Mitchell International, Inc. Senior Secured 2017 1st Lien Term Loan,

1 Month USD LIBOR + 3.25%, 5.77%, 11/29/2024
     1,346,608   1,301,167
Security Description     Principal
Amount 		  Value
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B,

1 Month USD LIBOR + 2.75%, 5.27%, 2/5/2024
     $ 1,961,395   $ 1,893,061
Solera Holdings, Inc. Senior Secured USD Term Loan B,

1 Month USD LIBOR + 2.75%, 5.27%, 3/3/2023
     3,981,042   3,767,081
Sophia L.P. Senior Secured 2017 Term Loan B,

3 Month USD LIBOR + 3.25%, 6.05%, 9/30/2022
     3,848,167   3,719,657
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5,

1 Month USD LIBOR + 2.25%, 4.77%, 4/16/2025
     977,536   925,609
Vertafore, Inc. Senior Secured 2018 1st Lien Term Loan,

1 Month USD LIBOR + 3.25%, 6.05%, 7/2/2025
     1,845,000   1,759,088
          24,294,849
SPECIALTY RETAIL — 0.1%          
Jo-Ann Stores, Inc. Senior Secured 2016 Term Loan,

3 Month USD LIBOR + 5.00%, 7.48%, 10/20/2023
     917,880   877,723
Staples, Inc. Senior Secured 2017 Term Loan B,

3 Month USD LIBOR + 4.00%, 6.54%, 9/12/2024
     1,564,200   1,503,266
          2,380,989
TELECOMMUNICATION EQUIP — 0.1%          
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan,

1 Month USD LIBOR + 4.50%, 7.02%, 11/30/2025
     2,735,000   2,658,092
TOTAL SENIOR FLOATING RATE LOANS

(Cost $191,955,428)
         182,398,578
U.S. GOVERNMENT AGENCY OBLIGATIONS — 43.8%          
Federal Home Loan Mortgage Corp.:          

3.00%, 11/1/2042
     16,465,243   16,177,533

3.00%, 1/1/2045
     2,650,095   2,599,716

3.00%, 2/1/2045
     1,862,076   1,823,020

3.00%, 3/1/2045
     1,981,380   1,939,822

3.00%, 4/1/2045
     40,301,878   39,508,810

3.00%, 5/1/2045
     6,949,522   6,803,761

3.00%, 8/1/2045
     18,955,835   18,558,249

3.50%, 2/1/2045
     3,508,782   3,525,272

3.50%, 4/1/2045
     29,110,785   29,197,521
 
14

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value

3.50%, 6/1/2045
     $ 13,537,780   $ 13,578,116

3.50%, 10/1/2045
     15,610,182   15,656,693

3.50%, 2/1/2046
     16,036,888   16,072,107

4.00%, 4/1/2047
     41,403,387   42,246,728

4.00%, 7/1/2047
     12,657,017   12,914,827

4.00%, 10/1/2047
     25,826,016   26,352,063

4.50%, 6/1/2044
     2,554,381   2,657,375
Series 326, Class 300, CMO,

3.00%, 3/15/2044
     33,894,334   33,119,315
Series 358, Class 300, CMO,

3.00%, 10/15/2047
     33,961,692   33,481,384
Series 3822, Class ZG, CMO, REMIC,

4.00%, 2/15/2041
     3,747,487   3,893,734
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR

3.54%, 5/15/2041 (b)
     11,434,021   1,493,116
Series 3889, Class VZ, CMO, REMIC,

4.00%, 7/15/2041
     11,982,080   12,251,676
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1 Month USD LIBOR

4.19%, 5/15/2041 (b)
     2,756,307   246,364
Series 4120, Class KA, CMO, REMIC,

1.75%, 10/15/2032
     17,792,224   17,169,065
Series 4165, Class ZT, CMO, REMIC,

3.00%, 2/15/2043
     15,951,726   14,214,394
Series 4215, Class KC, CMO, REMIC,

2.25%, 3/15/2038
     11,804,357   11,657,378
Series 4364, Class ZX, CMO, REMIC,

4.00%, 7/15/2044
     28,678,890   29,571,827
Series 4434, Class LZ, CMO, REMIC,

3.00%, 2/15/2045
     3,365,137   2,956,763
Series 4444, Class CZ, CMO, REMIC,

3.00%, 2/15/2045
     12,338,837   10,898,818
Series 4447, Class A, CMO, REMIC,

3.00%, 6/15/2041
     1,863,052   1,857,841
Series 4447, Class Z, CMO, REMIC,

3.00%, 3/15/2045
     4,072,598   3,619,954
Series 4471, Class BA, CMO, REMIC,

3.00%, 12/15/2041
     6,406,347   6,335,268
Series 4471, Class GA, CMO, REMIC,

3.00%, 2/15/2044
     9,803,283   9,637,259
Series 4474, Class ZX, CMO, REMIC,

4.00%, 4/15/2045
     11,941,528   12,402,727
Security Description     Principal
Amount 		  Value
Series 4481, Class B, CMO, REMIC,

3.00%, 12/15/2042
     $ 6,575,192   $ 6,473,600
Series 4483, Class CA, CMO, REMIC,

3.00%, 6/15/2044
     12,091,047   11,890,362
Series 4484, Class CD, CMO, REMIC,

1.75%, 7/15/2030
     14,700,060   14,136,431
Series 4491, Class B, CMO, REMIC,

3.00%, 8/15/2040
     11,957,302   11,858,424
Series 4492, Class GZ, CMO, REMIC,

3.50%, 7/15/2045
     8,562,317   8,154,121
Series 4499, Class AB, CMO, REMIC,

3.00%, 6/15/2042
     13,084,487   12,921,491
Series 4504, Class CA, CMO, REMIC,

3.00%, 4/15/2044
     13,136,328   12,931,954
Series 4511, Class QA, CMO, REMIC,

3.00%, 1/15/2041
     11,025,124   10,934,087
Series 4511, Class QC, CMO, REMIC,

3.00%, 12/15/2040
     8,717,823   8,642,007
Series 4533, Class AB, CMO, REMIC,

3.00%, 6/15/2044
     9,198,835   9,050,948
Series 4543, Class HG, CMO, REMIC,

2.70%, 4/15/2044
     17,114,783   16,625,182
Series 4582, Class HA, CMO, REMIC,

3.00%, 9/15/2045
     13,412,647   13,133,728
Series 4629, Class KA, CMO, REMIC,

3.00%, 3/15/2045
     41,710,493   41,118,946
Series 4750, Class PA,

3.00%, 7/15/2046
     23,586,076   23,248,802
Series 4792, Class A, CMO, REMIC,

3.00%, 5/15/2048
     25,836,126   25,190,856
Series K053, Class A2, Class A2,

3.00%, 12/25/2025
     2,232,000   2,212,019
Federal National Mortgage Association:          

2.50%, 9/1/2046
     5,098,507   4,788,183

2.50%, 2/1/2047
     13,792,411   13,018,145

3.00%, 10/1/2041
     32,189,147   31,407,401

3.00%, 3/1/2043
     5,530,675   5,435,708

3.00%, 7/1/2043
     8,718,114   8,500,533

3.00%, 1/1/2045
     2,005,182   1,953,665

3.00%, 3/1/2045
     2,728,900   2,672,500

3.00%, 4/1/2045
     11,371,527   11,056,887

3.00%, 7/1/2045
     33,248,955   32,678,039
 
15

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value

3.50%, 9/1/2034
     $ 2,594,111   $ 2,630,938

3.50%, 12/1/2034
     2,312,932   2,345,767

3.50%, 2/1/2035
     1,476,446   1,497,407

3.50%, 1/1/2045
     13,361,168   13,426,550

3.50%, 2/1/2045
     4,800,101   4,823,590

3.50%, 6/1/2045
     13,517,510   13,560,409

4.50%, 3/1/2044
     2,709,235   2,819,123

4.50%, 6/1/2044
     1,362,254   1,417,508

4.50%, 7/1/2044
     1,409,080   1,466,233

4.50%, 2/1/2045
     1,697,631   1,766,488
Series 2010-109, Class N, CMO, REMIC,

3.00%, 10/25/2040
     2,905,935   2,880,672
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR

3.49%, 6/25/2041 (b)
     7,701,976   991,832
Series 2012-101, Class AP, CMO, REMIC,

2.00%, 8/25/2040
     7,587,414   7,283,146
Series 2012-127, Class PA, CMO, REMIC,

2.75%, 11/25/2042
     3,868,543   3,733,966
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1 Month USD LIBOR

2.48%, 1/25/2043 (b)
     1,248,324   943,500
Series 2013-114, Class HZ, CMO, REMIC,

3.00%, 11/25/2038
     16,661,591   15,331,681
Series 2013-18, Class CD, CMO, REMIC,

1.50%, 10/25/2027
     5,389,879   5,170,891
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1 Month USD LIBOR

2.48%, 4/25/2043 (b)
     1,718,187   1,360,082
Series 2014-21, Class GZ, CMO, REMIC,

3.00%, 4/25/2044
     6,367,987   5,680,622
Series 2014-39, Class ZA, CMO, REMIC,

3.00%, 7/25/2044
     9,154,752   8,465,477
Series 2015-42, Class CA, CMO, REMIC,

3.00%, 3/25/2044
     7,520,082   7,389,997
Series 2015-9, Class HA, CMO, REMIC,

3.00%, 1/25/2045
     11,214,375   11,007,683
Series 2015-95, Class AP, CMO, REMIC,

3.00%, 8/25/2042
     14,776,225   14,576,991
Series 2016-21, Class BZ, CMO, REMIC,

3.00%, 4/25/2046
     4,703,232   4,119,396
Series 2016-32, Class LA, CMO, REMIC,

3.00%, 10/25/2044
     12,679,607   12,491,456
Security Description     Principal
Amount 		  Value
Series 2016-72, Class PA, CMO, REMIC,

3.00%, 7/25/2046
     $ 20,779,761   $ 20,385,718
Series 2016-81, Class PA, CMO, REMIC,

3.00%, 2/25/2044
     28,834,789   28,518,457
Series 2016-9, Class A, CMO, REMIC,

3.00%, 9/25/2043
     10,620,294   10,412,456
Series 2016-92, Class A, CMO, REMIC,

3.00%, 4/25/2042
     34,072,426   33,552,353
Series 2016-M3, Class A2,

2.70%, 2/25/2026
     2,150,000   2,081,724
Series 2017-13, Class CA, CMO, REMIC,

2.50%, 10/25/2043
     27,296,030   26,622,932
Series 2017-15, Class MA, CMO, REMIC,

3.00%, 2/25/2042
     16,676,166   16,515,525
Series 2017-18, Class A, CMO, REMIC,

3.00%, 8/25/2042
     42,238,781   41,975,130
Series 2017-32, Class CA, CMO, REMIC,

3.00%, 10/25/2042
     40,816,411   40,356,062
Series 2017-87, Class BA, CMO, REMIC,

3.00%, 12/25/2042
     29,349,857   29,406,762
Series 2017-9, Class EA, CMO, REMIC,

3.00%, 10/25/2042
     68,929,076   68,063,410
Series 2018-27, Class JA, CMO, REMIC,

3.00%, 12/25/2047
     16,408,806   16,038,411
Series 2018-38, Class JB, CMO, REMIC,

3.00%, 6/25/2048
     13,544,682   13,298,210
Government National Mortgage Association:          
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05% - 1 Month USD LIBOR

3.59%, 11/16/2043 (b)
     2,635,827   352,521
Series 2013-34, Class PL, CMO, REMIC,

3.00%, 3/20/2042
     11,629,659   11,555,725
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% - 1 Month USD LIBOR

3.71%, 7/20/2042 (b)
     7,553,962   711,862
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,345,160,769)
         1,301,481,178
U.S. TREASURY OBLIGATIONS — 18.6%          
Treasury Bill 2.59%, 8/15/2019
     95,000,000   93,515,720
 
16

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Treasury Notes:          

1.50%, 5/31/2020
     $ 122,300,000   $ 120,503,164

1.63%, 5/15/2026
     66,620,000   62,220,421

2.13%, 2/29/2024
     76,000,000   74,564,383

2.25%, 11/15/2025
     63,700,000   62,304,552

2.25%, 11/15/2027
     30,000,000   28,980,812

2.50%, 6/30/2020
     111,600,000   111,513,889
TOTAL U.S. TREASURY OBLIGATIONS

(Cost $554,790,959)
         553,602,941
MORTGAGE-BACKED SECURITIES — 4.5%          
Alternative Loan Trust:          
Series 2005-79CB, Class A4, CMO,

5.50%, 1/25/2036
     6,981,126   5,801,919
Series 2006-24CB, Class A9, CMO,

6.00%, 8/1/2036
     4,104,253   3,541,333
Series 2006-43CB, Class 1A12, CMO,

5.75%, 2/25/2037
     3,770,695   3,210,550
Angel Oak Mortgage Trust I Series 2018-1, Class A1, 3.26%, 4/27/2048 (a)  (b)
     7,172,481   7,145,259
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 5.51%, 12/15/2036 (a)  (b)
     3,697,000   3,617,865
Banc of America Alternative Loan Trust Series 2005-9, Class 1CB2, CMO, 5.50%, 10/25/2035
     4,608,902   4,419,376
Banc of America Funding Trust:          
Series 2006-8T2, Class A4, CMO,

5.83%, 10/25/2036 (d)
     4,131,209   3,571,632
Series 2007-5, Class CA1, CMO,

6.00%, 7/25/2037
     6,015,703   5,168,028
BANK Series 2017-BNK6, Class XA, IO, 0.87%, 7/15/2060 (b)
     55,138,263   2,924,119
BBCMS Mortgage Trust:          
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%

3.66%, 8/15/2036 (a)  (b)
     863,000   851,862
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70%

4.16%, 8/15/2036 (a)  (b)
     983,000   973,193
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%

4.96%, 8/15/2036 (a)  (b)
     1,982,000   1,970,293
Security Description     Principal
Amount 		  Value
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%

5.96%, 8/15/2036 (a)  (b)
     $ 1,974,000   $ 1,964,889
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 10/15/2037 (a)  (b)
     246,500   244,661
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 6.19%, 1/26/2037 (a)  (b)
     12,163,912   10,221,018
BHMS Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 3.71%, 7/15/2035 (a)  (b)
     3,284,000   3,245,215
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 3.54%, 9/15/2037 (a)  (b)
     246,500   244,707
CHL Mortgage PassThrough Trust:          
Series 2005-J2, Class 3A14, CMO,

5.50%, 8/25/2035
     1,275,352   1,099,819
Series 2007-12, Class A9, CMO,

5.75%, 8/25/2037
     4,251,434   3,521,183
CHT COSMO Mortgage Trust:          
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%

5.46%, 11/15/2036 (a)  (b)
     2,407,000   2,391,457
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74%

6.20%, 11/15/2036 (a)  (b)
     1,284,000   1,269,551
Citigroup Mortgage Loan Trust Series 2007-AR5, Class 1A2A, CMO, 4.19%, 4/25/2037 (b)
     2,148,743   1,987,861
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037
     7,774,356   7,147,933
CLNS Trust Series 2017-IKPR, Class D, 1 Month USD LIBOR + 2.05%, 4.45%, 6/11/2032 (a)  (b)
     3,338,000   3,318,435
Credit Suisse Commercial Mortgage Trust Series 2018-TOP, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 8/15/2035 (a)  (b)
     790,000   779,988
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class XA, IO, 0.73%, 11/15/2050 (b)
     64,961,437   3,175,516
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036
     2,227,928   2,227,928
 
17

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
CSMC Trust Series 2018-RPL2, Class A1, CMO, 4.03%, 8/25/2062 (a)  (d)
     $ 1,881,291   $ 1,873,458
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 3.26%, 5/15/2035 (a)  (b)
     3,086,062   3,066,555
GS Mortgage Securities Corp. Trust Series 2018-3PCK, Class A, 1 Month USD LIBOR + 1.45%, 3.91%, 9/15/2021 (a)  (b)
     3,200,000   3,169,697
GS Mortgage Securities Trust:          
Series 2017-GS7, Class XA, IO, 1.14%, 8/10/2050 (b)
     40,755,872   2,984,679
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%

3.36%, 7/15/2031 (a)  (b)
     650,000   651,283
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%

4.06%, 7/15/2031 (a)  (b)
     650,000   642,193
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.10%

4.56%, 7/15/2031 (a)  (b)
     650,000   638,302
Series 2018-TWR, Class F, 1 Month USD LIBOR + 2.80%

5.26%, 7/15/2031 (a)  (b)
     650,000   637,170
Series 2018-TWR, Class G, 1 Month USD LIBOR + 3.92%

6.38%, 7/15/2031 (a)  (b)
     650,000   638,586
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 6/15/2032 (a)  (b)
     3,287,000   3,223,204
JP Morgan Chase Commercial Mortgage Securities Trust:          
Series 2007-LDPX, Class AM,

5.46%, 1/15/2049 (b)
     195,242   194,839
Series 2017-MAUI, Class C, 1 Month USD LIBOR + 1.25%

3.64%, 7/15/2034 (a)  (b)
     865,000   854,922
Series 2017-MAUI, Class D, 1 Month USD LIBOR + 1.95%

4.34%, 7/15/2034 (a)  (b)
     812,000   783,494
Series 2017-MAUI, Class E, 1 Month USD LIBOR + 2.95%

5.34%, 7/15/2034 (a)  (b)
     719,000   702,679
Security Description     Principal
Amount 		  Value
Series 2017-MAUI, Class F, 1 Month USD LIBOR + 3.75%

6.14%, 7/15/2034 (a)  (b)
     $ 1,012,000   $ 1,015,219
Morgan Stanley Capital I Trust Series 2016-UB12, Class XA, IO, 0.80%, 12/15/2049 (b)
     56,880,502   2,435,172
OBX Trust Series 2018-1, Class A2, CMO, 1 Month USD LIBOR + 0.65%, 3.16%, 6/25/2057 (a)  (b)
     1,493,449   1,480,541
Rosslyn Portfolio Trust:          
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95%

3.41%, 6/15/2033 (a)  (b)
     1,686,000   1,679,829
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25%

3.71%, 6/15/2033 (a)  (b)
     1,686,000   1,684,624
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 4.41%, 9/25/2036 (b)
     1,020,852   955,880
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 3.14%, 7/19/2034 (b)
     2,850,118   2,761,689
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.60%, 6/15/2050 (b)
     18,342,422   1,804,373
VSD LLC 3.60%, 12/25/2043
     852,442   851,706
Waldorf Astoria Boca Raton Trust:          
Series 2016-BOCA, Class B, 1 Month USD LIBOR + 2.05%

4.51%, 6/15/2029 (a)  (b)
     1,536,000   1,537,388
Series 2016-BOCA, Class C, 1 Month USD LIBOR + 2.50%

4.96%, 6/15/2029 (a)  (b)
     1,300,000   1,300,967
Washington Mutual Mortgage PassThrough Certificates WMALT Trust:          
Series 2005-8, Class 2CB1, CMO,

5.50%, 10/25/2035
     2,040,315   2,038,612
Series 2006-5, Class 3A2, CMO,

6.00%, 7/25/2036 (d)
     3,171,254   1,223,106
Wells Fargo Commercial Mortgage Trust Series 2015-P2, Class A4, Class A4, 3.81%, 12/15/2048
     1,568,000   1,592,616
 
18

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 4.57%, 8/25/2037 (b)
     $ 4,472,076   $ 4,416,017
TOTAL MORTGAGE-BACKED SECURITIES

(Cost $136,482,292)
         132,874,390
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.7%          
Banc of America Commercial Mortgage Trust Series 2015-UBS7, Class C, 4.36%, 9/15/2048 (b)
     945,000   928,983
BANK Series 2017-BNK4, Class XA, IO, 1.44%, 5/15/2050 (b)
     30,408,669   2,565,761
BBCMS Trust Series 2015-STP, Class D, 4.28%, 9/10/2028 (a)  (b)
     1,750,000   1,741,384
BX Trust:          
Series 2017-APPL, Class D, 1 Month USD LIBOR + 3.15%

4.51%, 7/15/2034 (a)  (b)
     1,202,526   1,196,185
Series 2017-APPL, Class E, 1 Month USD LIBOR + 3.15%

5.61%, 7/15/2034 (a)  (b)
     1,861,052   1,846,390
Series 2017-IMC, Class D, 1 Month USD LIBOR + 2.25%

4.71%, 10/15/2032 (a)  (b)
     1,412,000   1,411,045
Series 2017-IMC, Class E, 1 Month USD LIBOR + 3.25%

5.71%, 10/15/2032 (a)  (b)
     2,277,000   2,269,642
Series 2017-SLCT, Class D, 1 Month USD LIBOR + 2.05%

4.51%, 7/15/2034 (a)  (b)
     1,065,050   1,048,765
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.15%

5.61%, 7/15/2034 (a)  (b)
     1,805,400   1,782,461
Series 2018-GW, Class A, 1 Month USD LIBOR + 0.80%

3.26%, 5/15/2035 (a)  (b)
     3,140,000   3,072,279
Series 2018-GW, Class D, 1 Month USD LIBOR + 1.77%

4.23%, 5/15/2035 (a)  (b)
     275,000   274,946
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.32%, 5/10/2050 (b)
     16,894,392   1,333,544
Security Description     Principal
Amount 		  Value
CFCRE Commercial Mortgage Trust:          
Series 2016-C3, Class XA, IO, 1.05%, 1/10/2048 (b)
     $ 24,515,880   $ 1,471,353
Series 2016-C4, Class XA, IO, 1.73%, 5/10/2058 (b)
     11,834,306   1,139,336
Series 2017-C8, Class XA, IO, 1.66%, 6/15/2050 (b)
     28,048,236   2,728,544
Citigroup Commercial Mortgage Trust:          
Series 2015-GC27, Class D,

4.43%, 2/10/2048 (a)  (b)
     839,700   765,633
Series 2015-GC31, Class C,

4.06%, 6/10/2048 (b)
     1,500,000   1,350,437
Series 2015-GC33, Class C,

4.57%, 9/10/2058 (b)
     1,500,000   1,469,094
Series 2015-GC35, Class C,

4.50%, 11/10/2048 (b)
     1,435,000   1,388,915
Series 2016-GC36, Class XA, IO, 1.30%, 2/10/2049 (b)
     21,540,845   1,522,626
Series 2016-P4, Class A4,

2.90%, 7/10/2049
     2,023,000   1,930,317
Series 2016-P6, Class A5,

3.72%, 12/10/2049 (b)
     2,558,000   2,577,668
Cold Storage Trust:          
Series 2017-ICE3, Class A, 1 Month USD LIBOR + 1.00%

3.46%, 4/15/2036 (a)  (b)
     1,965,000   1,928,306
Series 2017-ICE3, Class C, 1 Month USD LIBOR + 1.35%

3.81%, 4/15/2036 (a)  (b)
     2,397,000   2,394,216
COMM Mortgage Trust:          
Series 2013-CR12, Class XA, IO, 1.18%, 10/10/2046 (b)
     29,626,772   1,299,193
Series 2015-CR22, Class D,

4.12%, 3/10/2048 (a)  (b)
     1,500,000   1,346,423
Series 2015-CR22, Class XA, IO, 0.97%, 3/10/2048 (b)
     10,512,707   412,801
Series 2015-CR23, Class D,

4.25%, 5/10/2048 (b)
     900,000   815,755
Series 2015-CR26, Class B,

4.48%, 10/10/2048 (b)
     1,600,000   1,615,708
Series 2015-CR26, Class XA, IO, 0.96%, 10/10/2048 (b)
     21,577,296   1,110,424
Series 2015-DC1, Class XA, IO, 1.13%, 2/10/2048 (b)
     8,905,708   397,736
Series 2015-LC21, Class C,

4.30%, 7/10/2048 (b)
     968,000   942,673
Series 2016-CR28, Class C,

4.65%, 2/10/2049 (b)
     2,235,000   2,207,668
Series 2016-DC2, Class C,

4.64%, 2/10/2049 (b)
     1,329,000   1,304,123
Series 2016-DC2, Class XA, IO, 1.04%, 2/10/2049 (b)
     19,488,106   1,090,823
Series 2017-PANW, Class D,

3.93%, 10/10/2029 (a)  (b)
     1,388,000   1,376,420
 
19

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 2017-PANW, Class E,

3.81%, 10/10/2029 (a)  (b)
     $ 2,316,000   $ 2,190,922
CSAIL Commercial Mortgage Trust:          
Series 2015-C2, Class AS,

3.85%, 6/15/2057 (b)
     900,000   893,002
Series 2015-C4, Class XA, IO, 0.91%, 11/15/2048 (b)
     35,626,221   1,654,198
GE Commercial Mortgage Corp. Trust Series 2007-C1, Class AM, 5.61%, 12/10/2049 (b)
     348,802   334,353
Great Wolf Trust:          
Series 2017-WOLF, Class D, 1 Month USD LIBOR + 2.10%

4.71%, 9/15/2034 (a)  (b)
     1,798,000   1,761,894
Series 2017-WOLF, Class E, 1 Month USD LIBOR + 3.10%

5.71%, 9/15/2034 (a)  (b)
     2,787,000   2,790,676
Series 2017-WOLF, Class F, 1 Month USD LIBOR + 4.07%

6.68%, 9/15/2034 (a)  (b)
     1,484,000   1,479,865
GS Mortgage Securities Corp. Series 2017-GS8, Class C, 4.34%, 11/10/2050 (b)
     469,000   455,868
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.52%, 2/10/2046 (b)
     13,505,722   701,253
GS Mortgage Securities Trust:          
Series 2014-GC20, Class XA, IO, 1.06%, 4/10/2047 (b)
     37,521,239   1,524,218
Series 2014-GC24, Class XA, IO, 0.80%, 9/10/2047 (b)
     31,454,932   1,038,762
Series 2015-GC32, Class XA, IO, 0.82%, 7/10/2048 (b)
     25,732,928   1,015,129
Series 2015-GC34, Class XA, IO, 1.34%, 10/10/2048 (b)
     17,072,216   1,163,971
Series 2015-GS1, Class XA, IO, 0.81%, 11/10/2048 (b)
     26,605,338   1,221,233
Series 2016-GS3, Class XA, IO, 1.27%, 10/10/2049 (b)
     24,046,795   1,713,377
JP Morgan Chase Commercial Mortgage Securities Corp.:          
Series 2017-FL10, Class B, 1 Month USD LIBOR + 1.00%

3.46%, 6/15/2032 (a)  (b)
     815,000   810,716
Series 2017-FL10, Class C, 1 Month USD LIBOR + 1.25%

3.71%, 6/15/2032 (a)  (b)
     616,000   614,746
Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90%

4.36%, 6/15/2032 (a)  (b)
     1,994,000   1,965,782
Security Description     Principal
Amount 		  Value
JP Morgan Chase Commercial Mortgage Securities Trust:          
Series 2006-LDP9, Class AM,

5.37%, 5/15/2047
     $ 424,122   $ 420,081
Series 2012-C8, Class B,

3.98%, 10/15/2045 (a)  (b)
     1,775,000   1,788,829
Series 2015-JP1, Class XA, IO, 1.12%, 1/15/2049 (b)
     22,778,178   994,720
Series 2016-WIKI, Class E,

4.01%, 10/5/2031 (a)  (b)
     3,160,000   3,036,639
JPMBB Commercial Mortgage Securities Trust:          
Series 2014-C25, Class XA, IO, 0.94%, 11/15/2047 (b)
     6,255,037   238,441
Series 2014-C26, Class C,

4.42%, 1/15/2048 (b)
     1,500,000   1,469,437
Series 2015-C28, Class XA, IO, 1.12%, 10/15/2048 (b)
     11,220,845   488,269
Series 2015-C30, Class XA, IO, 0.61%, 7/15/2048 (b)
     28,529,006   790,690
Series 2015-C32, Class C,

4.67%, 11/15/2048 (b)
     1,300,000   1,284,857
Series 2015-C33, Class C,

4.62%, 12/15/2048 (b)
     1,739,000   1,709,292
Series 2016-C1, Class C,

4.74%, 3/15/2049 (b)
     2,180,000   2,180,953
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.69%, 6/15/2049 (b)
     21,770,600   1,711,342
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 1.11%, 3/10/2050 (a)  (b)
     48,090,911   2,262,812
Merrill Lynch Mortgage Trust:          
Series 2006-C1, Class AJ,

5.59%, 5/12/2039 (b)
     132,181   133,210
Series 2007-C1, Class AM,

5.79%, 6/12/2050 (b)
     4,676   4,697
Morgan Stanley Bank of America Merrill Lynch Trust:          
Series 2013-C12, Class XA, IO, 0.62%, 10/15/2046 (b)
     13,692,273   333,265
Series 2013-C7, Class XA, IO, 1.35%, 2/15/2046 (b)
     14,275,031   649,024
Series 2015-C20, Class C,

4.46%, 2/15/2048 (b)
     500,000   492,126
Series 2015-C25, Class C,

4.53%, 10/15/2048 (b)
     1,700,000   1,690,167
Series 2015-C27, Class C,

4.53%, 12/15/2047 (b)
     1,219,000   1,179,133
Series 2015-C27, Class D,

3.24%, 12/15/2047 (a)  (b)
     1,750,000   1,459,816
Series 2016-C28, Class XA, IO, 1.26%, 1/15/2049 (b)
     23,813,464   1,540,955
Series 2016-C30, Class XA, IO, 1.45%, 9/15/2049 (b)
     18,741,415   1,556,156
Series 2016-C31, Class C,

4.32%, 11/15/2049 (b)
     3,358,000   3,229,309
 
20

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
Security Description     Principal
Amount 		  Value
Series 2016-C32, Class A4,

3.72%, 12/15/2049
     $ 2,665,000   $ 2,679,453
Morgan Stanley Capital I Trust Series 2015-UBS8, Class XA, IO, 0.92%, 12/15/2048 (b)
     25,305,933   1,286,088
PFP, Ltd.:          
Series 2017-3, Class AS, 1 Month USD LIBOR + 1.30%

3.76%, 1/14/2035 (a)  (b)
     1,253,000   1,253,074
Series 2017-3, Class B, 1 Month USD LIBOR + 1.75%

4.21%, 1/14/2035 (a)  (b)
     720,000   717,579
Series 2017-3, Class C, 1 Month USD LIBOR + 2.50%

4.96%, 1/14/2035 (a)  (b)
     752,000   749,397
UBS Commercial Mortgage Trust Series 2017-C4, Class XA, IO, 1.11%, 10/15/2050 (b)
     5,682,308   413,242
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a)  (b)
     6,865,315   6,898,198
Wells Fargo Commercial Mortgage Trust:          
Series 2014-LC16, Class D,

3.94%, 8/15/2050 (a)
     920,000   772,014
Series 2015-C26, Class D,

3.59%, 2/15/2048 (a)
     900,000   759,007
Series 2015-C26, Class XA, IO, 1.23%, 2/15/2048 (b)
     8,630,997   494,257
Series 2015-C27, Class C,

3.89%, 2/15/2048
     750,000   702,956
Series 2015-C28, Class C,

4.13%, 5/15/2048 (b)
     1,500,000   1,427,818
Series 2015-LC20, Class XA, IO, 1.35%, 4/15/2050 (b)
     7,696,853   433,203
Series 2015-NXS1, Class XA, IO, 1.15%, 5/15/2048 (b)
     9,648,693   455,813
Series 2015-NXS2, Class XA, IO, 0.75%, 7/15/2058 (b)
     29,105,808   921,499
Series 2015-NXS3, Class C,

4.64%, 9/15/2057 (b)
     1,600,000   1,559,379
Series 2015-P2, Class XA, IO, 1.01%, 12/15/2048 (b)
     21,812,082   1,059,407
Series 2016-C32, Class C,

4.72%, 1/15/2059 (b)
     1,581,000   1,547,737
Series 2016-C33, Class XA, IO, 1.77%, 3/15/2059 (b)
     15,156,983   1,348,855
Series 2017-C38, Class XA, IO, 1.08%, 7/15/2050 (b)
     38,835,087   2,612,878
Series 2017-RC1, Class XA, IO, 1.55%, 1/15/2060 (b)
     25,362,090   2,233,201
Security Description     Principal
Amount 		  Value
WFRBS Commercial Mortgage Trust:          
Series 2014-C19, Class XA, IO, 1.08%, 3/15/2047 (b)
     $ 9,692,459   $ 394,179
Series 2014-C21, Class XA, IO, 1.07%, 8/15/2047 (b)
     18,546,184   798,410
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES

(Cost $158,740,696)
         139,549,406
    Shares  
SHORT-TERM INVESTMENT — 5.1%      
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (e) (f)

(Cost $150,002,235)
   150,002,235 150,002,235
TOTAL INVESTMENTS — 99.7%

(Cost $3,058,744,835)
     2,958,712,092
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%
    9,280,487
NET ASSETS — 100.0%
    $ 2,967,992,579
(a) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 7.8% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(b) Variable Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.
(c) Amount is less than 0.05% of net assets.
(d) Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2018. Maturity date shown is the final maturity.
(e) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below.
(f) The rate shown is the annualized seven-day yield at December 31, 2018.
CMO =Collateralized Mortgage Obligation
CMT =Constant Maturity Treasury
EMTN =Euro Medium Term Note
GMTN =Global Medium Term Note
IO =Interest Only
LIBOR =London Interbank Offered Rate
MTN =Medium Term Note
PIK =Payment in Kind
REMIC =Real Estate Mortgage Investment Conduit
 
21

Table of Contents
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS  (continued)
December 31, 2018 (Unaudited)
At December 31, 2018, the Fund had unfunded loan commitments of $435,119, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower   Unfunded Loan
Commitment ($) 		  Value ($)   Unrealized
Appreciation/(Depreciation) ($)
Mavis Tire Express Services Corp.
   435,119   420,978   (14,141)
Description   Level 1 –
Quoted Prices 		  Level 2 –
Other Significant
Observable Inputs 		  Level 3 –
Significant
Unobservable Inputs 		  Total
ASSETS:                
INVESTMENTS:                
Corporate Bonds & Notes
   $ —   $ 399,601,133   $—   $ 399,601,133
Asset-Backed Securities
   —   52,275,395   —   52,275,395
Foreign Government Obligations
   —   46,926,836   —   46,926,836
U.S. Government Agency Obligations
   —   1,301,481,178   —   1,301,481,178
U.S. Treasury Obligations
   —   553,602,941   —   553,602,941
Mortgage-Backed Securities
   —   132,874,390   —   132,874,390
Commercial Mortgage Backed Securities
   —   139,549,406   —   139,549,406
Senior Floating Rate Loans
   —   182,398,578   —   182,398,578
Short-Term Investment
   150,002,235   —   —   150,002,235
TOTAL INVESTMENTS
   $150,002,235   $2,808,709,857   $—   $2,958,712,092
LIABILITIES:                
OTHER FINANCIAL INSTRUMENTS:                
Unfunded Loans
   —   (14,141)   —   (14,141)
TOTAL OTHER FINANCIAL INSTRUMENTS
   $ —   $ (14,141)   $—   $ (14,141)
  Number of
Shares Held
at
6/30/18 		  Value at

6/30/18 		  Cost of
Purchases 		  Proceeds
from
Shares Sold 		  Realized
Gain (Loss) 		  Change in
Unrealized
Appreciation/
Depreciation 		  Number of
Shares Held
at
12/31/18 		  Value at

12/31/18 		  Dividend
Income 		  Capital
Gains
Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares
 —   $—   $440,854,524   $290,852,289   $—   $—   150,002,235   $150,002,235   $404,486   $—
22 ARTOTL

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(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.

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Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) Not applicable to the registrant.

(b) Not applicable to the registrant.

Item 13. Exhibits.

(a)(1) 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.

(a)(4) Not applicable.

(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.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

SSGA Active Trust

 

By:  

/s/ Ellen M. Needham

  Ellen M. Needham
  President and Principal Executive Officer
Date:   March 7, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Ellen M. Needham

  Ellen M. Needham
  President and Principal Executive Officer
Date:   March 7, 2019
By:  

/s/ Bruce S. Rosenberg

  Bruce S. Rosenberg
  Treasurer and Principal Financial Officer
Date:   March 7, 2019