SSGA Master Trust N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22705

SSGA MASTER TRUST

(Exact name of registrant as specified in charter)

One Lincoln Street, Boston, Massachusetts 02111

(Address of principal executive offices) (zip code)

Christopher A. Madden, Esq.

State Street Bank and Trust Company

One Lincoln Street/CPH0326

Boston, Massachusetts 02111

(Name and address of agent for service)

Copy to:

W. John McGuire, Esq.

Morgan, Lewis & Bockius LLP

2020 K Street, N.W.

Washington, DC 20006

Registrant’s telephone number, including area code: (866) 787-2257

Date of fiscal year end: June 30

Date of reporting period: December 31, 2014

Item 1. Reports to Shareholders.

SSGA Master Trust

Semi-Annual Report December 31, 2014

TABLE OF CONTENTS

Portfolio Summary
SSGA Multi-Asset Real Return Portfolio	1
SSGA Income Allocation Portfolio	2
SSGA Global Allocation Portfolio	3
Blackstone/GSO Senior Loan Portfolio	4
SSGA Ultra Short Term Bond Portfolio	5
SSGA MFS Systematic Core Equity Portfolio	6
SSGA MFS Systematic Value Equity Portfolio	7
SSGA MFS Systematic Growth Equity Portfolio	8
SSGA Risk Aware Portfolio	9
Schedules of Investments
SSGA Multi-Asset Real Return Portfolio	10
SSGA Income Allocation Portfolio	11
SSGA Global Allocation Portfolio	12
Blackstone/GSO Senior Loan Portfolio	13
SSGA Ultra Short Term Bond Portfolio	18
SSGA MFS Systematic Core Equity Portfolio	20
SSGA MFS Systematic Value Equity Portfolio	21
SSGA MFS Systematic Growth Equity Portfolio	23
SSGA Risk Aware Portfolio	24
Financial Statements	26
Financial Highlights	34
Notes to Financial Statements	40
Other Information	49

SSGA MULTI-ASSET REAL RETURN PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	SPDR S&P GLOBAL NATURAL RESOURCES ETF	SPDR BARCLAYS TIPS ETF	POWERSHARES DB COMMODITY INDEX TRACKING FUND	SPDR DOW JONES REIT ETF	SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF
MARKET VALUE	$52,519,456	24,633,104	21,676,776	17,437,801	13,615,173
% OF NET ASSETS	31.6	14.8	13.0	10.5	8.2

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Natural Resources		44.1	%
Inflation Linked		19.4
Real Estate		18.7
Commodities		13.0
Short Term Investments		5.2
Other Assets & Liabilities		(0.4	)
TOTAL		100.0	%

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

1

SSGA INCOME ALLOCATION PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	SPDR BARCLAYS LONG TERM CORPORATE BOND ETF	SPDR S&P DIVIDEND ETF	SPDR BARCLAYS HIGH YIELD BOND ETF	SPDR DOW JONES REIT ETF	SPDR BARCLAYS LONG TERM TREASURY ETF
MARKET VALUE	$18,020,061	17,919,672	10,581,727	9,363,336	7,303,068
% OF NET ASSETS	15.2	15.1	8.9	7.9	6.2

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Domestic Fixed Income		35.0	%
Domestic Equity		26.0
International Equity		16.3
Real Estate		12.7
International Fixed Income		5.0
Short Term Investments		3.9
Inflation Linked		0.5
Other Assets & Liabilities		0.6
TOTAL		100.0	%

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

2

SSGA GLOBAL ALLOCATION PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	SPDR S&P 500 ETF TRUST	SPDR S&P WORLD EX-US ETF	SPDR BARCLAYS LONG TERM CORPORATE BOND ETF	SPDR DOW JONES REIT ETF	SPDR BARCLAYS HIGH YIELD BOND ETF
MARKET VALUE	$32,485,029	22,901,019	13,819,199	10,838,916	8,050,069
% OF NET ASSETS	24.0	16.9	10.2	8.0	5.9

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Domestic Equity		33.9	%
International Equity		21.8
Domestic Fixed Income		19.2
Real Estate		11.0
Short Term Investments		10.3
International Fixed Income		2.0
Inflation Linked		1.0
Other Assets & Liabilities		0.8
TOTAL		100.0	%

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

3

BLACKSTONE/GSO SENIOR LOAN PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	SGMS ESCROW CORP.	DELL, INC.	iHEARTCOMMUNICATIONS, INC.	BMC SOFTWARE FINANCE, INC.	CAESARS ENTERTAINMENT RESORT PROPERTIES LLC
MARKET VALUE	$12,787,500	11,962,519	11,820,000	10,402,219	8,058,115
% OF NET ASSETS	2.3	2.1	2.1	1.8	1.4

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Hotels, Restaurants & Leisure		11.4	%
Media		7.4
Software		5.4
Commercial Services & Supplies		4.4
Specialty Retail		3.4
Food & Staples Retailing		3.3
Health Care Equipment & Supplies		3.2
Wireless Telecommunication Services		3.1
Health Care Providers & Services		3.0
Machinery		2.9
Energy Equipment & Services		2.8
Chemicals		2.6
Technology Hardware, Storage & Peripherals		2.5
Food Products		2.4
Internet Software & Services		2.4
Oil, Gas & Consumable Fuels		2.4
IT Services		2.3
Semiconductors & Semiconductor Equipment		2.1
Auto Components		2.0
Diversified Telecommunication Services		1.9
Diversified Consumer Services		1.8
Containers & Packaging		1.7
Life Sciences Tools & Services		1.7
Electronic Equipment, Instruments & Components		1.6

	PERCENT OF NET ASSETS
Insurance		1.6	%
Communications Equipment		1.5
Diversified Financial Services		1.5
Pharmaceuticals		1.4
Independent Power & Renewable Electricity Producers		1.3
Airlines		1.2
Multiline Retail		1.2
Metals & Mining		1.1
Building Products		1.0
Electric Utilities		1.0
Personal Products		1.0
Health Care Technology		0.8
Short Term Investments		0.8
Automobiles		0.7
Household Durables		0.7
Marine		0.7
Multi-utilities		0.5
Leisure Products		0.4
Professional Services		0.4
Real Estate Management & Development		0.3
Distributors		0.1
Other Assets & Liabilities		3.1
TOTAL		100.0	%

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

4

SSGA ULTRA SHORT TERM BOND PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	NISSAN AUTO LEASE TRUST	FORD CREDIT AUTO LEASE TRUST	DIAGEO FINANCE BV	HARLEY-DAVIDSON FINANCIAL SERVICES,  INC.	BANK OF AMERICA NA
MARKET VALUE	$599,793	550,651	502,784	401,092	399,338
% OF NET ASSETS	3.8	3.4	3.1	2.5	2.5

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Automobiles		31.6	%
Banks		23.4
Diversified Financial Services		12.4
Beverages		6.2
Credit Card Receivables		5.3
Chemicals		2.8
Metals & Mining		2.5
Media		2.2
Regional (state/province)		2.2
Student Loan ABS		1.8
Communications Equipment		1.6
Aerospace & Defense		1.5
Oil, Gas & Consumable Fuels		1.5
U.S. Treasury Obligations		1.2
Internet Software & Services		1.0
Health Care Providers & Services		0.9
Consumer Finance		0.8
Road & Rail		0.7
Short Term Investments		0.2
Other Assets & Liabilities		0.2
TOTAL		100.0	%

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

5

SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	APPLE, INC.	JPMORGAN CHASE & CO.	FACEBOOK, INC. (CLASS A)	HEWLETT-PACKARD CO.	THE KROGER CO.
MARKET VALUE	$144,267	121,718	119,527	112,163	111,725
% OF NET ASSETS	4.9	4.2	4.1	3.8	3.8

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Health Care Providers & Services		11.3	%
Insurance		8.8
Technology Hardware, Storage & Peripherals		8.8
Oil, Gas & Consumable Fuels		7.7
Banks		7.3
Software		6.2
Internet Software & Services		6.0
Pharmaceuticals		4.4
Aerospace & Defense		4.0
Food & Staples Retailing		3.8
Hotels, Restaurants & Leisure		3.7
Tobacco		3.6
Specialty Retail		3.4
Real Estate Investment Trusts		3.1
Chemicals		2.6
Diversified Telecommunication Services		2.3
Independent Power & Renewable Electricity Producers		2.3
Media		2.3
Biotechnology		1.8
Household Products		1.5
Consumer Finance		1.4
Electric Utilities		1.2
Food Products		1.0
Internet & Catalog Retail		0.9
Short Term Investments		0.5
Other Assets & Liabilities		0.1
TOTAL		100.0	%

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

6

SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	JPMORGAN CHASE & CO.	WELLS FARGO & CO.	HEWLETT-PACKARD CO.	EXXON MOBIL CORP.	ELECTRONIC ARTS, INC.
MARKET VALUE	$140,054	132,610	118,303	115,470	102,070
% OF NET ASSETS	4.9	4.7	4.2	4.1	3.6

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Banks		13.0	%
Insurance		12.0
Oil, Gas & Consumable Fuels		10.2
Health Care Providers & Services		9.8
Pharmaceuticals		6.1
Software		4.9
Real Estate Investment Trusts		4.7
Technology Hardware, Storage & Peripherals		4.2
Hotels, Restaurants & Leisure		3.3
Semiconductors & Semiconductor Equipment		3.2
Chemicals		3.0
Independent Power & Renewable Electricity Producers		2.7
Aerospace & Defense		2.3
Food Products		2.2
Electric Utilities		2.1
Food & Staples Retailing		2.0
Household Durables		2.0
Specialty Retail		1.9
Consumer Finance		1.6
Internet Software & Services		1.4
Beverages		1.2
Machinery		1.0
Multiline Retail		1.0
Diversified Telecommunication Services		0.9
Short Term Investments		0.9
Auto Components		0.8
Capital Markets		0.8
Health Care Equipment & Supplies		0.7
Other Assets & Liabilities		0.1
TOTAL		100.0	%

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

7

SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	FACEBOOK, INC.	ORACLE CORP.	THE KROGER CO.	COMCAST CORP.	APPLE, INC.
MARKET VALUE	$134,819	127,265	118,146	115,730	113,360
% OF NET ASSETS	4.5	4.3	4.0	3.9	3.8

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Software		10.4	%
Internet Software & Services		8.6
Health Care Providers & Services		8.4
Food & Staples Retailing		5.5
Media		5.2
Real Estate Investment Trusts		4.5
Specialty Retail		4.4
IT Services		4.3
Tobacco		4.3
Hotels, Restaurants & Leisure		4.2
Oil, Gas & Consumable Fuels		4.1
Technology Hardware, Storage & Peripherals		3.8
Insurance		3.5
Chemicals		3.3
Pharmaceuticals		3.0
Diversified Telecommunication Services		2.8
Biotechnology		2.4
Beverages		2.2
Machinery		2.2
Aerospace & Defense		2.1
Health Care Equipment & Supplies		2.1
Communications Equipment		1.3
Textiles, Apparel & Luxury Goods		1.3
Household Durables		1.2
Road & Rail		1.1
Food Products		0.9
Short Term Investments		0.8
Auto Components		0.7
Multiline Retail		0.7
Internet & Catalog Retail		0.6
Other Assets & Liabilities		0.1
TOTAL		100.0	%

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

8

SSGA RISK AWARE PORTFOLIO

PORTFOLIO SUMMARY

TOP FIVE HOLDINGS AS OF DECEMBER 31, 2014

DESCRIPTION	THE PROCTER & GAMBLE CO.	VERISK ANALYTICS, INC.	DR PEPPER SNAPPLE GROUP, INC.	MCDONALD’S CORP.	CAPITAL BANK FINANCIAL CORP.
MARKET VALUE	$103,114	84,610	73,687	71,025	69,653
% OF NET ASSETS	5.2	4.3	3.8	3.6	3.5

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

ASSET ALLOCATION AS OF DECEMBER 31, 2014*

	PERCENT OF NET ASSETS
Pharmaceuticals		12.0	%
Beverages		8.5
Real Estate Investment Trusts		8.3
Banks		7.6
Hotels, Restaurants & Leisure		6.9
Multi-utilities		6.4
Chemicals		5.9
Professional Services		5.9
Household Products		5.2
Insurance		4.3
Commercial Services & Supplies		3.5
Diversified Telecommunication Services		3.5
Multiline Retail		2.6
Semiconductors & Semiconductor Equipment		2.6
Food Products		2.4
Food & Staples Retailing		2.1
Internet & Catalog Retail		2.0
Biotechnology		1.2
Media		1.2
Specialty Retail		1.0
Diversified Financial Services		0.9
Auto Components		0.7
Construction & Engineering		0.7
Short Term Investments		0.7
Thrifts & Mortgage Finance		0.6
Electrical Equipment		0.5
Automobiles		0.4
Communications Equipment		0.4
Containers & Packaging		0.4
Electric Utilities		0.4
Aerospace & Defense		0.2
Consumer Finance		0.2
Paper & Forest Products		0.2
Capital Markets		0.1
Energy Equipment & Services		0.1
Oil, Gas & Consumable Fuels		0.1
Textiles, Apparel & Luxury Goods		0.1
Air Freight & Logistics		—	**
Software		—	**
Wireless Telecommunication Services		—	**
Other Assets & Liabilities		0.2
TOTAL		100.0	%

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

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

9

SSGA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Shares		Value
EXCHANGE TRADED PRODUCTS — 95.2%
COMMODITIES — 13.0%
PowerShares DB Commodity Index Tracking Fund (a)		1,174,893	$	21,676,776
PowerShares DB Oil Fund (a)		898		14,098
				21,690,874
INFLATION LINKED — 19.4%
SPDR Barclays TIPS ETF (b)		440,034		24,633,104
SPDR DB International Government Inflation-Protected Bond ETF (b)		133,154		7,583,120
				32,216,224
NATURAL RESOURCES — 44.1%
Market Vectors Gold Miners ETF		38,770		712,593
PowerShares Global Agriculture Portfolio		175,668		5,148,829
SPDR S&P Global Natural Resources ETF (b)		1,193,624		52,519,456
SPDR S&P International Energy Sector ETF (b)		155,927		3,215,215
SPDR S&P Metals & Mining ETF (b)		158,558		4,893,100
The Energy Select Sector SPDR Fund (b)		86,122		6,817,417
				73,306,610
REAL ESTATE — 18.7%
SPDR Dow Jones International Real Estate ETF (b)		327,524		13,615,173
SPDR Dow Jones REIT ETF (b)		191,835		17,437,801
				31,052,974
TOTAL EXCHANGE TRADED PRODUCTS (Cost $173,979,441)			$	158,266,682
SHORT TERM INVESTMENTS — 5.2%
MONEY MARKET FUND — 5.2%
State Street Institutional Liquid Reserves Fund 0.07% (b) (c) (Cost $8,548,874)		8,548,874		8,548,874
TOTAL INVESTMENTS — 100.4% (d) (Cost $182,528,315)				166,815,556
OTHER ASSETS & LIABILITIES — (0.4)%				(603,126	)
NET ASSETS — 100.0%			$	166,212,430

(a) Qualified Publicly Traded Partnerships

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

(c) The rate shown is the annualized seven-day yield at period end.

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

See accompanying notes to financial statements.

10

SSGA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Shares		Value
EXCHANGE TRADED PRODUCTS — 95.5%
DOMESTIC EQUITY — 26.0%
SPDR S&P Dividend ETF (a)		227,407	$	17,919,672
SPDR Wells Fargo Preferred Stock ETF (a)		134,219		5,876,108
The Financial Select Sector SPDR Fund (a)		97,707		2,416,294
The Health Care Select Sector SPDR Fund (a)		33,340		2,279,789
The Technology Select Sector SPDR Fund (a)		57,420		2,374,317
				30,866,180
DOMESTIC FIXED INCOME — 35.0%
SPDR Barclays Convertible Securities ETF (a)		119,178		5,588,256
SPDR Barclays High Yield Bond ETF (a)		274,067		10,581,727
SPDR Barclays Long Term Corporate Bond ETF (a)		434,323		18,020,061
SPDR Barclays Long Term Treasury ETF (a)		100,226		7,303,068
				41,493,112
INFLATION LINKED — 0.5%
SPDR Barclays TIPS ETF (a)		10,572		591,820
INTERNATIONAL EQUITY — 16.3%
SPDR EURO STOXX 50 ETF (a)		30,308		1,117,153
SPDR S&P Emerging Markets Dividend ETF (a)		99,028		3,377,845
SPDR S&P Global Infrastructure ETF (a)		72,493		3,517,361
SPDR S&P International Dividend ETF (a)		162,412		6,824,552
SPDR STOXX Europe 50 ETF (a)		130,287		4,458,421
				19,295,332
INTERNATIONAL FIXED INCOME — 5.0%
SPDR Barclays Emerging Markets Local Bond ETF (a)		124,047		3,526,656
SPDR Barclays International Corporate Bond ETF (a)		68,364		2,349,671
				5,876,327
REAL ESTATE — 12.7%
SPDR Dow Jones International Real Estate ETF (a)		138,326		5,750,212
SPDR Dow Jones REIT ETF (a)		103,007		9,363,336
				15,113,548
TOTAL EXCHANGE TRADED PRODUCTS (Cost: $ 110,434,746)				113,236,319

Security Description	Shares		Value
SHORT TERM INVESTMENTS — 3.9%
MONEY MARKET FUND — 3.9%
State Street Institutional Liquid Reserves Fund 0.07% (a) (b) (Cost: $ 4,658,484)		4,658,484	$	4,658,484
TOTAL INVESTMENTS — 99.4% (c) (Cost $115,093,230)				117,894,803
OTHER ASSETS & LIABILITIES — 0.6%				664,119
NET ASSETS — 100.0%			$	118,558,922

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

(b) The rate shown is the annualized seven-day yield at period end.

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

See accompanying notes to financial statements.

11

SSGA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Shares		Value
EXCHANGE TRADED PRODUCTS — 88.9%
DOMESTIC EQUITY — 33.9%
SPDR S&P 500 ETF Trust (a)		158,078	$	32,485,029
SPDR S&P 500 Growth ETF (a)		27,707		2,677,605
SPDR S&P MidCap 400 ETF Trust (a)		10,388		2,742,120
The Financial Select Sector SPDR Fund (a)		109,381		2,704,992
The Health Care Select Sector SPDR Fund (a)		38,259		2,616,150
The Technology Select Sector SPDR Fund (a)		65,988		2,728,604
				45,954,500
DOMESTIC FIXED INCOME — 19.2%
SPDR Barclays High Yield Bond ETF (a)		208,497		8,050,069
SPDR Barclays Long Term Corporate Bond ETF (a)		333,073		13,819,199
SPDR Barclays Long Term Treasury ETF (a)		56,664		4,128,879
				25,998,147
INFLATION LINKED — 1.0%
SPDR Barclays TIPS ETF (a)		24,301		1,360,370
INTERNATIONAL EQUITY — 21.8%
SPDR S&P International Small Cap ETF (a)		131,500		3,599,155
SPDR S&P World ex-US ETF (a)		851,339		22,901,019
WisdomTree Japan Hedged Equity Fund		60,778		2,992,101
				29,492,275
INTERNATIONAL FIXED INCOME — 2.0%
SPDR Barclays International Corporate Bond ETF (a)		39,207		1,347,545
SPDR Barclays International Treasury Bond ETF (a)		24,395		1,349,775
				2,697,320
REAL ESTATE — 11.0%
SPDR Dow Jones International Real Estate ETF (a)		98,018		4,074,608
SPDR Dow Jones REIT ETF (a)		119,240		10,838,916
				14,913,524
TOTAL EXCHANGE TRADED PRODUCTS (Cost $117,091,536)			$	120,416,136
SHORT TERM INVESTMENTS — 10.3%
MONEY MARKET FUND — 10.3%
State Street Institutional Liquid Reserves Fund 0.07% (a) (b) (Cost $13,994,187)		13,994,187		13,994,187
TOTAL INVESTMENTS — 99.2% (c) (Cost $131,085,723)				134,410,323
OTHER ASSETS & LIABILITIES — 0.8%				1,041,957
NET ASSETS — 100.0%			$	135,452,280

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

(b) The rate shown is the annualized seven-day yield at period end.

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

See accompanying notes to financial statements.

12

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Principal Amount		Value
SENIOR FLOATING RATE LOANS* — 88.6%
AIRLINES — 1.2%
American Airlines, Inc., Senior Secured Term Loan B, 4.25%, 10/10/21	$	3,750,000	$	3,758,025
US Airways Group, Inc., Senior Secured Term Loan B1, 3.50%, 5/23/19		3,254,528		3,195,246
				6,953,271
AUTO COMPONENTS — 2.0%
Allison Transmission, Inc., Senior Secured Term Loan B3, 3.75%, 8/23/19		3,936,488		3,901,335
Federal-Mogul Holdings Corp., Senior Secured Term Loan C, 4.75%, 4/15/21		4,987,500		4,961,315
Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan, 4.75%, 7/26/19		2,648,062		2,644,090
				11,506,740
AUTOMOBILES — 0.7%
Chrysler Group LLC, Senior Secured Term Loan B, 3.25%, 12/31/18		4,135,417		4,104,401
BUILDING PRODUCTS — 1.0%
Quikrete Holdings, Inc., Senior Secured First Lien Term Loan, 4.00%, 9/28/20		5,674,442		5,607,768
CHEMICALS — 2.6%
Axalta Coating Systems US Holdings, Inc., Senior Secured Term Loan, 3.75%, 2/1/20		5,418,481		5,292,339
Ineos US Finance LLC, Senior Secured 6 Year Term Loan, 3.75%, 5/4/18		6,893,161		6,702,048
Univar, Inc., Senior Secured Term Loan B, 5.00%, 6/30/17		2,961,508		2,873,477
				14,867,864
COMMERCIAL SERVICES & SUPPLIES — 4.2%
Acosta Holdco, Inc., Senior Secured Term Loan, 5.00%, 9/26/21		1,849,711		1,852,680
ADS Waste Holdings, Inc., Senior Secured Term Loan, 3.75%, 10/9/19		3,901,303		3,798,893
Aramark Services, Inc.
Senior Secured Term Loan E, 3.25%, 9/7/19		1,940,000		1,915,149
Senior Secured Term Loan F, 3.25%, 2/24/21		1,985,000		1,958,332
Asurion LLC
Senior Secured Term Loan B1, 5.00%, 5/24/19		3,078,966		3,045,436
Senior Secured Second Lien Term Loan, 8.50%, 3/3/21		4,276,596		4,262,333
EnergySolutions LLC, Senior Secured Term Loan, 6.75%, 5/29/20 (a)		1,990,000		1,989,373
Lineage Logistics Holdings LLC, Senior Secured Term Loan, 4.50%, 4/7/21 (a)		3,053,846		2,974,965
West Corp., Senior Secured Term Loan B10, 3.25%, 6/30/18		1,734,560		1,707,241
				23,504,402

Security Description	Principal Amount		Value
COMMUNICATIONS EQUIPMENT — 1.1%
Blue Coat Systems, Inc., Senior Secured First Lien Term Loan, 4.00%, 5/31/19	$	5,000,113	$	4,881,361
Penton Media, Inc., Senior Secured First Lien Term Loan, 5.50%, 10/3/19		1,580,000		1,573,095
				6,454,456
CONTAINERS & PACKAGING — 1.5%
Berry Plastics Holding Corp.
Senior Secured Term Loan D, 3.50%, 2/8/20		2,949,962		2,863,558
Senior Secured Term Loan E, 3.75%, 1/6/21		1,105,503		1,078,855
Multi Packaging Solutions, Inc., Senior Secured Term Loan B, 4.25%, 9/30/20 (a)		1,985,000		1,950,262
Reynolds Group Issuer, Inc., Senior Secured New Dollar Term Loan, 4.00%, 12/1/18		2,462,563		2,424,947
				8,317,622
DISTRIBUTORS — 0.1%
Exopack Holdings SA, Senior Secured Term Loan B, 5.25%, 5/8/19		742,500		742,734
DIVERSIFIED CONSUMER SERVICES — 1.1%
ServiceMaster Co., Senior Secured Term Loan B, 4.25%, 7/1/21		6,131,422		6,031,786
DIVERSIFIED FINANCIAL SERVICES — 1.5%
AlixPartners LLP, Senior Secured Term Loan B2, 4.00%, 7/10/20		2,463,800		2,436,083
Opal Acquisition, Inc., Senior Secured First Lien Term Loan, 5.00%, 11/27/20		1,650,765		1,638,384
TransUnion LLC, Senior Secured Term Loan, 4.00%, 4/9/21		4,543,976		4,492,856
				8,567,323
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.9%
Intelsat Jackson Holdings, Ltd., Senior Secured Term Loan B2, 3.75%, 6/30/19		4,141,243		4,090,512
Telesat Canada, Senior Secured Term Loan B2, 3.50%, 3/28/19		1,965,000		1,942,904
Virgin Media Bristol LLC, Senior Secured Term Loan B, 3.50%, 6/7/20		2,000,000		1,967,470
Zayo Group LLC, Senior Secured Term Loan B, 4.00%, 7/2/19		2,516,082		2,496,054
				10,496,940
ELECTRIC UTILITIES — 1.0%
Calpine Construction Finance Company LP, Senior Secured Term Loan B2, 3.25%, 1/31/22		1,989,929		1,924,430
La Frontera Generation LLC, Senior Secured Term Loan, 4.50%, 9/30/20		3,538,779		3,494,545
				5,418,975

See accompanying notes to financial statements.

13

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2014 (Unaudited)

Security Description	Principal Amount		Value
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.6%
CDW LLC, Senior Secured Term Loan, 3.25%, 4/29/20	$	4,091,881	$	3,978,004
Pelican Products, Inc., Senior Secured Term Loan, 5.25%, 4/10/20 (a)		373,969		372,099
Zebra Technologies Corp., Senior Secured Term Loan B, 4.75%, 10/27/21		4,597,701		4,631,034
				8,981,137
ENERGY EQUIPMENT & SERVICES — 2.8%
Expro FinServices S.A.R.L., Senior Secured Term Loan, 5.75%, 9/2/21 (a)		5,610,938		4,629,023
Granite Acquisition, Inc.
Senior Secured Term Loan B, 5.00%, 10/15/21		7,043,047		7,098,793
Senior Secured Term Loan C, 5.00%, 10/15/21		309,894		312,347
Sandy Creek Energy Associates LP, Senior Secured Term Loan B, 5.00%, 11/6/20		3,666,506		3,601,426
				15,641,589
FOOD & STAPLES RETAILING — 3.3%
Albertson’s Holdings LLC
Senior Secured Term Loan B4, 4.50%, 8/25/21		2,727,273		2,731,827
Senior Secured Term Loan B4, 4.50%, 8/25/21		2,685,455		2,689,939
Albertson’s LLC, Senior Secured Term Loan B2, 4.75%, 3/21/19		3,975,070		3,961,157
Supervalu, Inc., Senior Secured Term Loan B, 4.50%, 3/21/19		2,943,978		2,901,261
US Foods, Inc., Senior Secured Term Loan, 4.50%, 3/31/19		6,612,821		6,579,757
				18,863,941
FOOD PRODUCTS — 1.7%
Dole Food Co., Inc., Senior Secured Term Loan B, 4.50%, 11/1/18		2,275,183		2,253,376
H.J. Heinz Co., Senior Secured Term Loan B2, 3.50%, 6/5/20		1,688,543		1,681,307
New HB Acquisition LLC, Senior Secured Term Loan, 6.75%, 4/9/20 (a)		3,970,000		4,039,475
Pinnacle Foods Finance LLC, Senior Secured Term Loan G, 3.00%, 4/29/20		1,733,936		1,686,799
				9,660,957
HEALTH CARE EQUIPMENT & SUPPLIES — 3.2%
Accellent, Inc., Senior Secured First Lien Term Loan, 4.50%, 3/12/21		2,420,732		2,374,326
Immucor, Inc., Senior Secured Term Loan B2, 5.00%, 8/17/18 (a)		3,439,831		3,405,432
Kinetic Concepts, Inc., Senior Secured Term Loan E1, 4.00%, 5/4/18		5,496,366		5,429,942
Ortho-Clinical Diagnostics, Inc., Senior Secured Term Loan B, 4.75%, 6/30/21		6,835,878		6,740,176
				17,949,876

Security Description	Principal Amount		Value
HEALTH CARE PROVIDERS & SERVICES — 3.0%
Air Medical Group Holdings, Inc., Senior Unsecured Term Loan, 5.00%, 6/30/18 (a)	$	3,046,803	$	3,054,420
CHG Healthcare Services, Inc., Senior Secured Term Loan, 4.25%, 11/19/19		828,883		821,113
Community Health Systems, Inc., Senior Secured Term Loan D, 4.25%, 1/27/21		4,000,000		3,997,080
FHC Health Systems, Inc., Senior Secured Term Loan, 5.00%, 12/23/21 (a)		2,500,000		2,481,250
MPH Acquisition Holdings LLC, Senior Secured Term Loan, 3.75%, 3/31/21		2,972,894		2,899,315
National Mentor Holdings, Inc., Senior Secured Term Loan B, 4.25%, 1/31/21 (a)		719,948		707,349
Truven Health Analytics, Inc., Senior Secured Term Loan B, 4.50%, 6/6/19		2,838,691		2,767,723
				16,728,250
HEALTH CARE TECHNOLOGY — 0.8%
IMS Health, Inc., Senior Secured Term Loan, 3.50%, 3/17/21		4,462,643		4,372,452
HOTELS, RESTAURANTS & LEISURE — 10.5%
Alpha Topco (Delta 2 (LUX) S.A.R.L.)
Senior Secured Second Lien Term Loan, 7.75%, 7/31/22		1,944,444		1,900,694
Senior Secured Term Loan B3, 4.75%, 7/30/21		6,518,093		6,380,953
Burger King 1011778 B.C. Unlimited Liability Co., Senior Secured Term Loan B, 4.50%, 12/12/21		7,905,882		7,896,000
Caesars Entertainment Operating Co., Inc.
Senior Secured Extended Term Loan B5, 5.99%, 3/1/17		2,392,225		2,098,939
Senior Secured Extended Term Loan B6, 6.99%, 3/1/17		6,508,462		5,720,060
Caesars Entertainment Resort Properties LLC, Senior Secured Term Loan B, 7.00%, 10/11/20		8,587,674		8,058,115
CEC Entertainment, Inc., Senior Secured Term Loan, 4.00%, 2/14/21		3,398,234		3,310,457
Hilton Worldwide Finance LLC, Senior Secured Term Loan B2, 3.50%, 10/26/20		4,166,667		4,125,854
PGA Holdings, Inc., Senior Secured First Lien Term Loan, 4.25%, 4/20/18		4,191,118		4,155,766
PRA Holdings, Inc., Senior Secured First Lien Term Loan, 4.50%, 9/23/20		2,797,498		2,766,026
SGMS Escrow Corp., Senior Secured Incremental Term Loan B2, 6.00%, 10/1/21		12,941,176		12,787,500
				59,200,364

See accompanying notes to financial statements.

14

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2014 (Unaudited)

Security Description	Principal Amount		Value
HOUSEHOLD DURABLES — 0.7%
Spin Holdco, Inc., Senior Secured Term Loan B, 4.25%, 11/14/19	$	3,890,700	$	3,837,222
INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 0.8%
Calpine Corp.
Senior Secured Term Loan B1, 4.00%, 4/1/18		2,456,613		2,438,189
Senior Secured Term Loan B3, 4.00%, 10/9/19		2,363,728		2,341,284
				4,779,473
INSURANCE — 1.6%
Alliant Holdings I, Inc., Senior Secured Term Loan B, 4.25%, 12/20/19		2,916,664		2,880,206
AmWINS Group LLC, Senior Secured Second Lien Term Loan, 9.50%, 9/6/20 (a)		3,071,429		3,010,000
National Financial Partners Corp., Senior Secured Term Loan B, 4.50%, 7/1/20		3,368,604		3,343,340
				9,233,546
INTERNET SOFTWARE & SERVICES — 2.4%
Go Daddy Operating Co. LLC, Senior Secured Term Loan B, 4.75%, 5/13/21		3,366,417		3,348,188
Inmar, Inc., Senior Secured First Lien Term Loan, 4.25%, 1/27/21		3,165,909		3,082,962
Sabre, Inc., Senior Secured Term Loan B, 4.00%, 2/19/19		5,415,870		5,332,682
SurveyMonkey.com LLC, Senior Secured Term Loan B, 5.50%, 2/5/19		1,927,382		1,922,564
				13,686,396
IT SERVICES — 2.3%
First Data Corp.
Senior Secured Extended Term Loan, 3.67%, 3/23/18		6,487,969		6,372,418
Senior Secured Term Loan, 3.67%, 9/24/18		1,960,401		1,922,174
Information Resources, Inc., Senior Secured Term Loan B, 4.75%, 9/30/20		3,036,290		3,028,699
SunGard Data Systems, Inc., Senior Secured Term Loan E, 4.00%, 3/8/20		1,745,566		1,732,474
				13,055,765
LIFE SCIENCES TOOLS & SERVICES — 1.7%
Pharmaceutical Product Development, Inc., Senior Secured Term Loan B, 4.00%, 12/5/18		2,948,603		2,932,636
Quintiles Transnational Corp., Senior Secured Term Loan B3, 3.75%, 6/8/18		6,897,586		6,834,370
				9,767,006

Security Description	Principal Amount		Value
MACHINERY — 2.9%
Doosan Infracore International, Inc., Senior Secured Term Loan B, 4.50%, 5/28/21	$	2,578,868	$	2,565,973
Gardner Denver, Inc., Senior Secured Term Loan, 4.25%, 7/30/20		2,969,925		2,787,557
Gates Global, Inc., Senior Secured Term Loan B, 4.25%, 7/5/21		6,034,875		5,891,547
Rexnord LLC, Senior Secured First Lien Term Loan B, 4.00%, 8/21/20		5,360,714		5,262,881
				16,507,958
MARINE — 0.7%
Drillships Ocean Ventures, Inc., Senior Secured Term Loan B, 5.50%, 7/25/21		5,024,720		4,070,023
MEDIA — 5.1%
AMC Entertainment, Inc., Senior Secured Term Loan, 3.50%, 4/30/20		3,023,519		2,981,946
Cengage Learning Acquisitions, Inc., Senior Secured First Lien Term Loan, 7.00%, 3/31/20		3,000,000		2,976,255
Clear Channel Communications, Inc., Senior Secured Term Loan D, 6.92%, 1/30/19		5,000,000		4,725,875
Cumulus Media Holdings, Inc., Senior Secured Term Loan, 4.25%, 12/23/20		5,915,423		5,755,203
Interactive Data Corp., Senior Secured Term Loan, 4.75%, 5/2/21		7,502,157		7,466,522
Univision Communications, Inc.
Senior Secured Term Loan C3, 4.00%, 3/1/20		1,991,364		1,951,537
Senior Secured Term Loan C4, 4.00%, 3/1/20		2,957,320		2,898,174
				28,755,512
METALS & MINING — 1.1%
Fairmount Minerals, Ltd., Senior Secured Term Loan B2, 4.50%, 9/5/19		2,962,500		2,701,430
FMG Resources August 2006 Pty, Ltd., Senior Secured Term Loan B, 3.75%, 6/30/19		4,109,194		3,746,044
				6,447,474
MULTI-UTILITIES — 0.5%
Power Team Services LLC
Senior Secured First Lien Term Loan, 4.25%, 5/6/20 (a)		2,761,606		2,697,178
Senior Secured Delayed Draw Term Loan, 4.25%, 5/6/20 (a)		147,458		144,018
				2,841,196
MULTILINE RETAIL — 1.2%
The Neiman Marcus Group, Inc., Senior Secured Term Loan, 4.25%, 10/25/20		6,904,427		6,767,063

See accompanying notes to financial statements.

15

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2014 (Unaudited)

Security Description	Principal Amount		Value
OIL, GAS & CONSUMABLE FUELS — 2.4%
Arch Coal, Inc., Senior Secured Term Loan B, 6.25%, 5/16/18	$	6,964,367	$	5,789,130
EMG Utica LLC, Senior Secured Term Loan, 4.75%, 3/27/20 (a)		3,000,000		2,973,750
Fieldwood Energy LLC, Senior Secured Second Lien Term Loan, 8.38%, 9/30/20		6,389,590		4,716,317
				13,479,197
PERSONAL PRODUCTS — 1.0%
Revlon Consumer Products Corp., Senior Secured Acquisition Term Loan, 4.00%, 10/8/19		5,948,684		5,859,454
PHARMACEUTICALS — 1.4%
CCC Information Services, Inc., Senior Secured Term Loan, 4.00%, 12/20/19		2,949,837		2,920,339
Par Pharmaceutical Cos., Inc., Senior Secured Term Loan B2, 4.00%, 9/30/19		1,396,644		1,361,728
Valeant Pharmaceuticals International, Inc., Senior Secured Term Loan B, 3.50%, 8/5/20		3,454,684		3,428,773
				7,710,840
PROFESSIONAL SERVICES — 0.4%
Advantage Sales & Marketing, Inc.
Senior Secured First Lien Term Loan, 4.25%, 7/23/21		2,358,040		2,338,881
Senior Secured Delayed Draw Term Loan, 4.25%, 7/23/21		78,601		77,962
				2,416,843
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.3%
Realogy Corp., Senior Secured Term Loan B, 3.75%, 3/5/20		1,965,150		1,930,760
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.1%
Avago Technologies, Ltd., Senior Secured Term Loan B, 3.75%, 5/6/21		6,413,086		6,403,755
Freescale Semiconductor, Inc.
Senior Secured Term Loan B4, 4.25%, 2/28/20		2,957,588		2,895,671
Senior Secured Term Loan B5, 5.00%, 1/15/21		2,468,750		2,469,984
				11,769,410
SOFTWARE — 5.4%
Applied Systems, Inc., Senior Secured First Lien Term Loan, 4.25%, 1/25/21		1,650,000		1,628,352
Aspect Software, Inc., Senior Secured Term Loan B, 7.25%, 5/7/16 (a)		973,684		954,211
BMC Software Finance, Inc., Senior Secured Term Loan, 5.00%, 9/10/20		10,658,666		10,402,219
Epicor Software Corp. (Eagle Parent, Inc.), Senior Secured Term Loan, 4.00%, 5/16/18		1,897,184		1,877,026

Security Description	Principal Amount		Value
Infor (US), Inc.
Senior Secured Term Loan B3, 3.75%, 6/3/20	$	1,690,781	$	1,642,644
Senior Secured Term Loan B5, 3.75%, 6/3/20		2,691,980		2,617,412
MA FinanceCo. LLC, Senior Secured Term Loan B, 5.25%, 10/7/21		4,980,237		4,832,399
Magic Newco LLC, Senior Secured First Lien Term Loan, 5.00%, 12/12/18		722,388		721,485
Mitchell International, Inc., Senior Secured First Lien Term Loan, 4.50%, 10/12/20		2,846,217		2,813,372
Vertafore, Inc., Senior Secured First Lien Term Loan, 4.25%, 10/3/19		3,369,096		3,341,301
				30,830,421
SPECIALTY RETAIL — 3.4%
J Crew Group, Inc., Senior Secured Term Loan B, 4.00%, 3/5/21		4,857,239		4,590,091
Michaels Stores, Inc., Senior Secured Term Loan B, 3.75%, 1/28/20		1,970,000		1,935,929
Party City Holdings, Inc., Senior Secured Term Loan, 4.00%, 7/27/19		5,912,657		5,797,360
Serta Simmons Holdings LLC, Senior Secured Term Loan, 4.25%, 10/1/19		3,216,919		3,172,686
The Men’s Wearhouse, Inc., Senior Secured Term Loan B, 4.50%, 6/18/21		3,892,683		3,882,951
				19,379,017
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.5%
BWAY Holding Co., Inc., Senior Secured Term Loan B, 5.50%, 8/14/20		2,132,143		2,129,477
Dell, Inc., Senior Secured Term Loan B, 4.50%, 4/29/20		11,970,000		11,962,519
				14,091,996
WIRELESS TELECOMMUNICATION SERVICES — 1.9%
Avaya, Inc., Senior Secured Term Loan B6, 6.50%, 3/30/18		5,929,968		5,853,352
Syniverse Holdings, Inc.
Senior Secured Term Loan, 4.00%, 4/23/19		1,967,079		1,915,444
Senior Secured Term Loan B, 4.00%, 4/23/19		2,908,564		2,835,850
				10,604,646
TOTAL SENIOR FLOATING RATE LOANS (Cost $513,597,667)				501,794,066
CORPORATE BONDS & NOTES — 7.5%
COMMERCIAL SERVICES & SUPPLIES — 0.2%
Aramark Services, Inc., 5.75%, 3/15/20		1,000,000		1,032,500
COMMUNICATIONS EQUIPMENT — 0.4%
Alcatel-Lucent USA, Inc., 4.63%, 7/1/17 (b)		2,000,000		2,020,000

See accompanying notes to financial statements.

16

Blackstone/GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2014 (Unaudited)

Security Description	Principal Amount		Value
CONTAINERS & PACKAGING — 0.2%
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Is, 6.00%, 6/15/17 (b)	$	1,000,000	$	975,000
DIVERSIFIED CONSUMER SERVICES — 0.7%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
7.13%, 4/15/19		2,000,000		2,067,500
9.00%, 4/15/19		2,000,000		2,070,000
				4,137,500
FOOD PRODUCTS — 0.7%
Big Heart Pet Brands, 7.63%, 2/15/19		4,000,000		3,930,000
HOTELS, RESTAURANTS & LEISURE — 0.9%
Caesars Entertainment Resort Properties LLC, 8.00%, 10/1/20 (b)		5,465,000		5,355,700
INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 0.5%
AES Corp., 3.23%, 6/1/19		3,000,000		2,925,000
LEISURE PRODUCTS — 0.4%
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 5.25%, 3/15/21 (a)		2,000,000		2,010,000
MEDIA — 2.3%
iHeartCommunications, Inc., 9.00%, 12/15/19		12,000,000		11,820,000
Univision Communications, Inc., 6.88%, 5/15/19 (b)		1,000,000		1,041,250
				12,861,250
WIRELESS TELECOMMUNICATION SERVICES — 1.2%
Avaya, Inc.
7.00%, 4/1/19 (b)		3,000,000		2,925,000
9.00%, 4/1/19 (b)		4,000,000		4,090,000
				7,015,000
TOTAL CORPORATE BONDS & NOTES (Cost $43,425,756)				42,261,950
SHORT TERM INVESTMENTS — 0.8%
MONEY MARKET FUNDS — 0.8%
State Street Institutional Liquid Reserves Fund 0.07% (c) (d) (e)		4,725,025		4,725,025
TOTAL SHORT TERM INVESTMENTS (Cost $4,725,025)				4,725,025
TOTAL INVESTMENTS — 96.9% (f) (Cost $561,748,448)				548,781,041
OTHER ASSETS & LIABILITIES — 3.1%				17,413,612
NET ASSETS — 100.0%			$	566,194,653

* The interest rate shown represents the rate at period end.

(a) Securities are valued at fair value as determined in good faith by the Trust’s Oversight Committee in accordance with procedures approved by the Board of Trustees (Note 2).

(b) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 2.9% of net assets as of December 31, 2014, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

(d) The rate shown is the annualized seven-day yield at period end.

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

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

See accompanying notes to financial statements.

17

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Principal Amount		Value
ASSET BACKED SECURITIES — 29.4%
AUTOMOBILES — 22.3%
BMW Vehicle Lease Trust, 0.54%, 9/21/15	$	147,801	$	147,825
Chrysler Capital Auto Receivables Trust, 0.61%, 11/15/16 (a)		89,434		89,447
Ford Credit Auto Lease Trust
1.10%, 12/15/15 (a)		550,000		550,651
0.76%, 9/15/16		250,000		250,158
Ford Credit Auto Owner Trust, 0.48%, 11/15/16		144,792		144,778
Ford Credit Floorplan Master Owner Trust, 0.56%, 2/15/19 (b)		200,000		200,100
GE Dealer Floorplan Master Note Trust
0.64%, 6/20/17 (b)		200,000		200,086
0.55%, 7/20/19 (b)		250,000		249,758
Honda Auto Receivables Owner Trust, 0.70%, 2/16/16		88,914		88,950
John Deere Owner Trust, 0.54%, 7/17/17		400,000		399,162
Nissan Auto Lease Trust, 0.32%, 9/15/16 (b)		600,000		599,793
Santander Drive Auto Receivables Trust, 0.82%, 2/15/18		380,000		380,224
Toyota Auto Receivables Owner Trust, 0.75%, 2/16/16		66,320		66,353
World Omni Auto Receivables Trust, 0.60%, 1/16/18		200,000		199,748
				3,567,033
CREDIT CARD RECEIVABLES — 5.3%
BA Credit Card Trust, 0.45%, 1/15/20 (b)		300,000		299,946
Barclays Dryrock Issuance Trust
0.52%, 12/16/19 (b)		200,000		199,748
0.50%, 3/16/20 (b)		100,000		99,885
Citibank Credit Card Issuance Trust, 0.59%, 9/10/20 (b)		250,000		249,944
				849,523
STUDENT LOAN — 1.8%
SLM Student Loan Trust, 0.42%, 7/25/19 (b)		287,659		287,595
TOTAL ASSET BACKED SECURITIES (Cost $4,706,736)			$	4,704,151
CORPORATE BONDS & NOTES — 66.8%
AEROSPACE & DEFENSE — 1.5%
The Boeing Co., 0.36%, 10/30/17 (b)		250,000		249,751
AUTOMOBILES — 9.3%
American Honda Finance Corp., 0.36%, 9/2/16 (b)		100,000		99,807
Daimler Finance North America LLC
0.91%, 8/1/16 (a) (b)		160,000		160,852
1.25%, 1/11/16 (a)		350,000		350,952
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (a)		400,000		401,092
Volkswagen International Finance NV
1.63%, 3/22/15 (a)		225,000		225,458
1.15%, 11/20/15 (a)		250,000		250,957
				1,489,118

Security Description	Principal Amount		Value
BANKS — 23.4%
American Express Centurion Bank, 0.68%, 11/13/15 (b)	$	60,000	$	60,106
Bank of America NA
0.70%, 2/14/17 (b)		125,000		124,633
0.65%, 5/8/17 (b)		400,000		399,338
Bank of Montreal, 0.75%, 7/15/16 (b)		175,000		175,799
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/NY, 0.72%, 3/18/16 (b)		225,000		225,673
JPMorgan Chase & Co.
0.68%, 11/18/16 (b)		225,000		224,910
2.60%, 1/15/16		250,000		254,285
Lloyds Bank PLC, 4.38%, 1/12/15 (a)		110,000		110,078
National Australia Bank, Ltd., 0.54%, 6/30/17 (a) (b)		250,000		249,876
Nederlandse Waterschapsbank NV, 0.43%, 10/18/16 (a) (b)		200,000		200,569
Royal Bank of Canada
0.61%, 3/8/16 (b)		150,000		150,259
0.48%, 6/16/17 (b)		320,000		319,595
Svenska Handelsbanken AB, 0.70%, 3/21/16 (b)		250,000		250,798
The Toronto-Dominion Bank, 0.47%, 5/2/17 (b)		380,000		379,028
US Bancorp, 0.72%, 11/15/18 (b)		150,000		150,512
US Bank NA, 4.80%, 4/15/15		100,000		101,297
Wells Fargo & Co., 0.53%, 6/2/17 (b)		150,000		149,350
Westpac Banking Corp., 0.66%, 11/25/16 (b)		220,000		220,571
				3,746,677
BEVERAGES — 6.2%
Anheuser-Busch InBev Worldwide, Inc., 3.63%, 4/15/15		250,000		252,201
Diageo Finance BV, 5.30%, 10/28/15		485,000		502,784
PepsiCo, Inc., 0.70%, 8/13/15		240,000		240,451
				995,436
CHEMICALS — 2.8%
EI du Pont de Nemours & Co., 4.75%, 3/15/15		240,000		241,993
Praxair, Inc., 3.25%, 9/15/15		200,000		203,792
				445,785
COMMUNICATIONS EQUIPMENT — 1.6%
Cisco Systems, Inc., 0.51%, 3/3/17 (b)		250,000		250,044
CONSUMER FINANCE — 0.8%
Caterpillar Financial Services Corp., 0.47%, 2/26/16 (b)		125,000		125,135

See accompanying notes to financial statements.

18

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2014 (Unaudited)

Security Description	Principal Amount		Value
DIVERSIFIED FINANCIAL SERVICES — 12.4%
American Express Credit Corp., 0.55%, 9/22/17 (b)	$	250,000	$	248,578
American Honda Finance Corp., 0.61%, 5/26/16 (a) (b)		220,000		220,417
BP Capital Markets PLC, 0.56%, 11/6/15 (b)		150,000		150,136
General Electric Capital Corp. 0.61%, 7/10/15 (b)		70,000		70,122
1.10%, 5/9/16 (b)		150,000		151,348
0.43%, 5/11/16 (b)		300,000		300,076
JPMorgan Chase & Co., 3.70%, 1/20/15		140,000		140,235
PACCAR Financial Corp., 0.50%, 2/8/16 (b)		200,000		200,224
Toyota Motor Credit Corp. 0.43%, 5/16/17 (b)		400,000		398,951
0.35%, 9/23/16 (b)		100,000		99,892
				1,979,979
HEALTH CARE PROVIDERS & SERVICES — 0.9%
UnitedHealth Group, Inc., 4.88%, 3/15/15		140,000		141,196
INTERNET SOFTWARE & SERVICES — 1.0%
eBay, Inc., 0.71%, 8/1/19 (b)		160,000		156,938
MEDIA — 2.2%
NBCUniversal Enterprise, Inc. 0.77%, 4/15/16 (a) (b)		200,000		200,361
0.92%, 4/15/18 (a) (b)		150,000		151,248
				351,609
METALS & MINING — 2.5%
Rio Tinto Finance USA PLC 1.13%, 3/20/15		200,000		200,213
1.08%, 6/17/16 (b)		200,000		200,726
				400,939
OIL, GAS & CONSUMABLE FUELS — 1.5%
Statoil ASA, 0.43%, 11/9/17 (b)		250,000		249,500
ROAD & RAIL — 0.7%
Canadian National Railway Co., 0.43%, 11/6/15 (b)		119,000		119,038
TOTAL CORPORATE BONDS & NOTES (Cost $10,713,338)			$	10,701,145
FOREIGN GOVERNMENT OBLIGATIONS — 2.2%
Province of Ontario Canada, 0.39%, 4/1/15 (b)		350,000		350,105
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $350,151)			$	350,105
U.S. TREASURY OBLIGATIONS — 1.2%
Treasury Note, 0.38%, 1/31/16		200,000		200,094
TOTAL U.S. TREASURY OBLIGATIONS (Cost $200,273)			$	200,094

Security Description	Principal Amount		Value
SHORT TERM INVESTMENTS — 0.2%
MONEY MARKET FUNDS — 0.2%
State Street Institutional Liquid Reserve Fund 0.07% (c) (d) (e) (Cost $26,091)	$	26,091	$	26,091
TOTAL INVESTMENTS — 99.8% (f) (Cost $15,996,589)				15,981,586
OTHER ASSETS & LIABILITIES — 0.2%				32,551
NET ASSETS — 100.0%			$	16,014,137

(a) Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 19.7% of net assets as of December 31, 2014, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b) Variable rate security. Rate shown is rate in effect at December 31, 2014. Maturity date disclosed is the ultimate maturity.

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

(d) The rate shown is the annualized seven-day yield at period end.

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

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

See accompanying notes to financial statements.

19

SSGA MFS Systematic Core Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.4%
AEROSPACE & DEFENSE — 4.0%
General Dynamics Corp.		680	$	93,582
Precision Castparts Corp.		97		23,365
				116,947
BANKS — 7.3%
Citigroup, Inc.		297		16,071
JPMorgan Chase & Co.		1,945		121,718
Wells Fargo & Co.		1,410		77,296
				215,085
BIOTECHNOLOGY — 1.8%
Amgen, Inc.		339		53,999
CHEMICALS — 2.6%
LyondellBasell Industries NV (Class A)		954		75,738
CONSUMER FINANCE — 1.4%
Discover Financial Services		636		41,652
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.3%
Verizon Communications, Inc.		1,461		68,346
ELECTRIC UTILITIES — 1.2%
Edison International		524		34,312
FOOD & STAPLES RETAILING — 3.8%
The Kroger Co.		1,740		111,725
FOOD PRODUCTS — 1.0%
Mondelez International, Inc. (Class A)		791		28,733
HEALTH CARE PROVIDERS & SERVICES — 11.3%
Aetna, Inc.		502		44,593
Anthem, Inc.		817		102,672
Cardinal Health, Inc.		1,057		85,332
McKesson Corp.		475		98,600
				331,197
HOTELS, RESTAURANTS & LEISURE — 3.7%
Royal Caribbean Cruises, Ltd.		1,301		107,241
HOUSEHOLD PRODUCTS — 1.5%
The Procter & Gamble Co.		480		43,723
INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 2.3%
AES Corp.		4,870		67,060
INSURANCE — 8.8%
Everest Re Group, Ltd.		158		26,907
MetLife, Inc.		1,060		57,335
Prudential Financial, Inc.		1,041		94,169
Validus Holdings, Ltd.		1,935		80,419
				258,830
INTERNET & CATALOG RETAIL — 0.9%
Expedia, Inc.		316		26,974
INTERNET SOFTWARE & SERVICES — 6.0%
Facebook, Inc. (Class A) (a)		1,532		119,527
Google, Inc. (Class A) (a)		79		41,922
Google, Inc. (Class C) (a)		29		15,265
				176,714

Security Description	Shares		Value
MEDIA — 2.3%
Comcast Corp. (Class A)		496	$	28,773
Time Warner Cable, Inc.		244		37,103
				65,876
OIL, GAS & CONSUMABLE FUELS — 7.7%
Chevron Corp.		247		27,708
Exxon Mobil Corp.		1,207		111,587
Valero Energy Corp.		1,769		87,566
				226,861
PHARMACEUTICALS — 4.4%
Johnson & Johnson		922		96,414
Merck & Co., Inc.		588		33,392
				129,806
REAL ESTATE INVESTMENT TRUSTS — 3.1%
Iron Mountain, Inc.		2,330		90,078
SOFTWARE — 6.2%
Electronic Arts, Inc. (a)		2,214		104,091
Oracle Corp.		1,751		78,743
				182,834
SPECIALTY RETAIL — 3.4%
Best Buy Co., Inc.		2,522		98,308
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 8.8%
Apple, Inc.		1,307		144,267
Hewlett-Packard Co.		2,795		112,163
				256,430
TOBACCO — 3.6%
Altria Group, Inc.		632		31,139
Philip Morris International, Inc.		912		74,282
				105,421
TOTAL COMMON STOCKS (Cost $2,572,099)			$	2,913,890
SHORT TERM INVESTMENTS — 0.5%
MONEY MARKET FUND — 0.5%
State Street Institutional Liquid Reserves Fund 0.07% (b) (c) (Cost $14,163)		14,163		14,163
TOTAL INVESTMENTS — 99.9% (d) (Cost $2,586,262)				2,928,053
OTHER ASSETS & LIABILITIES — 0.1%				2,277
NET ASSETS — 100.0%			$	2,930,330

(a) Non-income producing security

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

(c) The rate shown is the annualized seven-day yield at period end.

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

See accompanying notes to financial statements.

20

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.1%
AEROSPACE & DEFENSE — 2.1%
General Dynamics Corp.		245	$	33,717
Huntington Ingalls Industries, Inc.		248		27,890
				61,607
AUTO COMPONENTS — 0.7%
Lear Corp.		228		22,362
BEVERAGES — 2.2%
The Coca-Cola Co.		1,549		65,399
BIOTECHNOLOGY — 2.4%
Amgen, Inc.		411		65,468
Gilead Sciences, Inc. (a)		69		6,504
				71,972
CHEMICALS — 3.3%
LyondellBasell Industries NV (Class A)		1,231		97,729
COMMUNICATIONS EQUIPMENT — 1.3%
Juniper Networks, Inc.		1,028		22,945
QUALCOMM, Inc.		214		15,907
				38,852
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.8%
Verizon Communications, Inc.		1,792		83,830
FOOD & STAPLES RETAILING — 5.5%
CVS Health Corp.		463		44,592
The Kroger Co.		1,840		118,146
				162,738
FOOD PRODUCTS — 0.9%
Ingredion, Inc.		330		27,997
HEALTH CARE EQUIPMENT & SUPPLIES — 2.1%
Edwards Lifesciences Corp. (a)		485		61,779
HEALTH CARE PROVIDERS & SERVICES — 8.4%
Cardinal Health, Inc.		545		43,998
HCA Holdings, Inc. (a)		1,401		102,819
McKesson Corp.		500		103,790
				250,607
HOTELS, RESTAURANTS & LEISURE — 4.2%
Carnival Corp.		380		17,225
Royal Caribbean Cruises, Ltd.		1,294		106,665
				123,890
HOUSEHOLD DURABLES — 1.2%
PulteGroup, Inc.		1,675		35,945
INSURANCE — 3.5%
Prudential Financial, Inc.		301		27,229
Validus Holdings, Ltd.		1,818		75,556
				102,785
INTERNET & CATALOG RETAIL — 0.6%
The Priceline Group, Inc. (a)		16		18,243
INTERNET SOFTWARE & SERVICES — 8.6%
Facebook, Inc. (Class A) (a)		1,728		134,819
Google, Inc. (Class A) (a)		64		33,962
VeriSign, Inc. (a)		1,521		86,697
				255,478

Security Description	Shares		Value
IT SERVICES — 4.3%
Cognizant Technology Solutions Corp. (a)		1,363	$	71,776
FleetCor Technologies, Inc. (a)		378		56,212
				127,988
MACHINERY — 2.2%
Caterpillar, Inc.		701		64,163
MEDIA — 5.2%
Comcast Corp. (Class A)		1,995		115,730
Time Warner Cable, Inc.		252		38,319
				154,049
MULTILINE RETAIL — 0.7%
Macy’s, Inc.		317		20,843
OIL, GAS & CONSUMABLE FUELS — 4.1%
EOG Resources, Inc.		172		15,836
Marathon Petroleum Corp.		977		88,184
Valero Energy Corp.		381		18,860
				122,880
PHARMACEUTICALS — 3.0%
Bristol-Myers Squibb Co.		737		43,505
Johnson & Johnson		425		44,442
				87,947
REAL ESTATE INVESTMENT TRUSTS — 4.5%
Iron Mountain, Inc.		2,406		93,016
Simon Property Group, Inc.		221		40,246
				133,262
ROAD & RAIL — 1.1%
Union Pacific Corp.		283		33,714
SOFTWARE — 10.4%
Electronic Arts, Inc. (a)		2,390		112,366
Microsoft Corp.		1,528		70,976
Oracle Corp.		2,830		127,265
				310,607
SPECIALTY RETAIL — 4.4%
Best Buy Co., Inc.		2,506		97,684
The Home Depot, Inc.		330		34,640
				132,324
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 3.8%
Apple, Inc.		1,027		113,360
TEXTILES, APPAREL & LUXURY GOODS — 1.3%
Hanesbrands, Inc.		346		38,620
TOBACCO — 4.3%
Altria Group, Inc.		906		44,639
Philip Morris International, Inc.		1,019		82,997
				127,636
TOTAL COMMON STOCKS (Cost $2,559,199)			$	2,948,606

See accompanying notes to financial statements.

21

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2014 (Unaudited)

Security Description	Shares		Value
MONEY MARKET FUND — 0.8%
State Street Institutional Liquid Reserves Fund 0.07% (b) (c) (Cost $25,211)		25,211	$	25,211
TOTAL INVESTMENTS — 99.9% (d) (Cost $2,584,410)				2,973,817
OTHER ASSETS & LIABILITIES — 0.1%				2,186
NET ASSETS — 100.0%			$	2,976,003

(a) Non-income producing security

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

(c) The rate shown is the annualized seven-day yield at period end.

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

See accompanying notes to financial statements.

22

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.0%
AEROSPACE & DEFENSE — 2.3%
Northrop Grumman Corp.		437	$	64,409
AUTO COMPONENTS — 0.8%
Gentex Corp.		659		23,810
BANKS — 13.0%
Citigroup, Inc.		1,137		61,523
JPMorgan Chase & Co.		2,238		140,054
The Pnc Financial Services Group, Inc.		384		35,032
Wells Fargo & Co.		2,419		132,610
				369,219
BEVERAGES — 1.2%
Molson Coors Brewing Co. (Class B)		444		33,087
CAPITAL MARKETS — 0.8%
The Goldman Sachs Group, Inc.		123		23,841
CHEMICALS — 3.0%
LyondellBasell Industries NV (Class A)		1,080		85,741
CONSUMER FINANCE — 1.6%
Discover Financial Services		684		44,795
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.9%
Verizon Communications, Inc.		534		24,981
ELECTRIC UTILITIES — 2.1%
Edison International		928		60,765
FOOD & STAPLES RETAILING — 2.0%
The Kroger Co.		904		58,046
FOOD PRODUCTS — 2.2%
Mondelez International, Inc. (Class A)		1,712		62,188
HEALTH CARE EQUIPMENT & SUPPLIES — 0.7%
Abbott Laboratories		440		19,809
HEALTH CARE PROVIDERS & SERVICES — 9.8%
Aetna, Inc.		880		78,170
Anthem, Inc.		771		96,892
Cardinal Health, Inc.		333		26,883
McKesson Corp.		359		74,521
				276,466
HOTELS, RESTAURANTS & LEISURE — 3.3%
Royal Caribbean Cruises, Ltd.		1,119		92,239
HOUSEHOLD DURABLES — 2.0%
PulteGroup, Inc.		2,611		56,032
INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS
AES Corp.		5,535		76,217
INSURANCE — 12.0%
Everest Re Group Ltd.		437		74,421
MetLife, Inc.		1,740		94,117
Prudential Financial, Inc.		1,073		97,063
The Travelers Cos., Inc.		289		30,591
Validus Holdings Ltd.		1,010		41,976
				338,168
INTERNET SOFTWARE & SERVICES — 1.4%
VeriSign, Inc. (a)		677		38,589
MACHINERY — 1.0%
Caterpillar, Inc.		314		28,740

Security Description	Shares		Value
MULTILINE RETAIL — 1.0%
Macy’s, Inc.		416	$	27,352
OIL, GAS & CONSUMABLE FUELS — 10.2%
Chesapeake Energy Corp.		624		12,212
Chevron Corp.		417		46,779
Exxon Mobil Corp.		1,249		115,470
Marathon Petroleum Corp.		529		47,747
Valero Energy Corp.		1,364		67,518
				289,726
PHARMACEUTICALS — 6.1%
Johnson & Johnson		601		62,847
Merck & Co., Inc.		1,098		62,355
Pfizer, Inc.		1,537		47,878
				173,080
REAL ESTATE INVESTMENT TRUSTS — 4.7%
AvalonBay Communities, Inc.		190		31,044
Host Hotels & Resorts, Inc.		873		20,751
Iron Mountain, Inc.		1,260		48,712
Washington Prime Group, Inc.		1,820		31,340
				131,847
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.2%
Broadcom Corp. (Class A)		2,100		90,993
SOFTWARE — 4.9%
Citrix Systems, Inc. (a)		590		37,642
Electronic Arts, Inc. (a)		2,171		102,070
				139,712
SPECIALTY RETAIL — 1.9%
Best Buy Co., Inc.		1,370		53,403
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 4.2%
Hewlett-Packard Co.		2,948		118,303
TOTAL COMMON STOCKS (Cost $2,541,678)			$	2,801,558
SHORT TERM INVESTMENTS — 0.9%
MONEY MARKET FUND — 0.9%
State Street Institutional Liquid Reserves Fund 0.07% (b) (c) (Cost $25,223)		25,223		25,223
TOTAL INVESTMENTS — 99.9% (d) (Cost $2,566,901)				2,826,781
OTHER ASSETS & LIABILITIES — 0.1%				2,184
NET ASSETS — 100.0%			$	2,828,965

(a) Non-income producing security

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

(c) The rate shown is the annualized seven-day yield at period end.

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

See accompanying notes to financial statements.

23

SSGA Risk Aware Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2014 (Unaudited)

Security Description	Shares		Value
COMMON STOCKS — 99.1%
AEROSPACE & DEFENSE — 0.2%
American Science & Engineering, Inc.		60	$	3,114
AIR FREIGHT & LOGISTICS — 0.0% (a)
Air Transport Services Group, Inc. (b)		74		633
AUTO COMPONENTS — 0.7%
Cooper Tire & Rubber Co.		342		11,850
Standard Motor Products, Inc.		34		1,296
				13,146
AUTOMOBILES — 0.4%
Ford Motor Co.		503		7,797
BANKS — 7.6%
Associated Banc-Corp.		1,544		28,765
Bank of America Corp.		2,063		36,907
Capital Bank Financial Corp. (b)		2,599		69,653
First Financial Bankshares, Inc.		94		2,809
National Penn Bancshares, Inc.		682		7,178
OFG Bancorp		55		916
Pinnacle Financial Partners, Inc.		25		988
S&T Bancorp, Inc.		63		1,878
				149,094
BEVERAGES — 8.5%
Dr Pepper Snapple Group, Inc.		1,028		73,687
PepsiCo., Inc.		535		50,590
The Coca-Cola Co.		1,011		42,684
				166,961
BIOTECHNOLOGY — 1.2%
Amgen, Inc.		153		24,371
CAPITAL MARKETS — 0.1%
Calamos Asset Management, Inc.		143		1,905
GAMCO Investors, Inc.		8		711
				2,616
CHEMICALS — 5.9%
Ashland, Inc.		427		51,137
The Dow Chemical Co.		900		41,049
The Scotts Miracle-gro Co.		121		7,541
WR Grace & Co. (b)		169		16,121
				115,848
COMMERCIAL SERVICES & SUPPLIES — 3.5%
Rollins, Inc.		210		6,951
Stericycle, Inc. (b)		473		62,001
				68,952
COMMUNICATIONS EQUIPMENT — 0.4%
Emulex Corp. (b)		149		845
Finisar Corp. (b)		355		6,890
				7,735
CONSTRUCTION & ENGINEERING — 0.7%
Granite Construction, Inc.		378		14,372
CONSUMER FINANCE — 0.2%
Encore Capital Group, Inc. (b)		83		3,685
CONTAINERS & PACKAGING — 0.4%
Graphic Packaging Holding Co. (b)		598		8,145

Security Description	Shares		Value
DIVERSIFIED FINANCIAL SERVICES — 0.9%
Berkshire Hathaway, Inc. (b)		123	$	18,468
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.5%
AT&T, Inc.		1,925		64,661
Verizon Communications, Inc.		86		4,023
				68,684
ELECTRIC UTILITIES — 0.4%
PPL Corp.		234		8,501
ELECTRICAL EQUIPMENT — 0.5%
Enphase Energy, Inc. (b)		741		10,589
ENERGY EQUIPMENT & SERVICES — 0.1%
Helix Energy Solutions Group, Inc. (b)		121		2,626
FOOD & STAPLES RETAILING — 2.1%
Rite Aid Corp. (b)		1,170		8,798
Wal-Mart Stores, Inc.		380		32,635
				41,433
FOOD PRODUCTS — 2.4%
General Mills, Inc.		524		27,945
The Hershey Co.		180		18,707
				46,652
HOTELS, RESTAURANTS & LEISURE — 6.9%
McDonald’s Corp.		758		71,025
Ruby Tuesday, Inc. (b)		264		1,806
Ruth’s Hospitality Group, Inc.		122		1,830
Wyndham Worldwide Corp.		706		60,546
				135,207
HOUSEHOLD PRODUCTS — 5.2%
The Procter & Gamble Co.		1,132		103,114
INSURANCE — 4.3%
American International Group, Inc.		477		26,717
CNO Financial Group, Inc.		205		3,530
Genworth Financial, Inc. (b)		2,000		17,000
Principal Financial Group, Inc.		515		26,749
Protective Life Corp.		123		8,567
XL Group PLC		78		2,681
				85,244
INTERNET & CATALOG RETAIL — 2.0%
HSN, Inc.		78		5,928
Liberty Interactive Corp. (b)		974		28,655
Liberty Ventures, (b)		138		5,205
				39,788
MEDIA — 1.2%
Carmike Cinemas, Inc. (b)		101		2,653
Live Nation Entertainment, Inc. (b)		235		6,136
Starz (b)		493		14,642
				23,431
MULTI-UTILITIES — 6.4%
Dominion Resources, Inc.		525		40,372
PG&E Corp.		682		36,310
Public Service Enterprise Group, Inc.		1,209		50,065
				126,747
MULTILINE RETAIL — 2.6%
Dillard’s, Inc.		34		4,256

See accompanying notes to financial statements.

24

SSGA Risk Aware Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2014 (Unaudited)

Security Description	Shares		Value
Dollar General Corp. (b)		190	$	13,433
Dollar Tree, Inc. (b)		433		30,475
Tuesday Morning Corp. (b)		110		2,387
				50,551
OIL, GAS & CONSUMABLE FUELS — 0.1%
CVR Energy, Inc.		53		2,052
Resolute Energy Corp. (b)		250		330
				2,382
PAPER & FOREST PRODUCTS — 0.2%
Clearwater Paper Corp. (b)		43		2,948
PHARMACEUTICALS — 12.0%
Actavis PLC (b)		223		57,402
Bristol-Myers Squibb Co.		1,025		60,506
Johnson & Johnson		442		46,220
Merck & Co., Inc.		661		37,538
Perrigo Co. PLC		204		34,101
TherapeuticsMD, Inc. (b)		110		489
				236,256
PROFESSIONAL SERVICES — 5.9%
The Advisory Board Co. (b)		646		31,641
Verisk Analytics, Inc. (b)		1,321		84,610
				116,251
REAL ESTATE INVESTMENT TRUSTS — 8.3%
Brandywine Realty Trust REIT		240		3,835
CBL & Associates Properties, Inc. REIT		1,028		19,964
Cedar Realty Trust, Inc. REIT		150		1,101
DDR Corp. REIT		2,080		38,189
Host Hotels & Resorts, Inc. REIT		1,899		45,139
LaSalle Hotel Properties REIT		105		4,249
The Macerich Co. REIT		612		51,047
				163,524
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.6%
Diodes, Inc. (b)		35		965
Photronics, Inc. (b)		115		956
RF Micro Devices, Inc. (b)		1,275		21,152
TriQuint Semiconductor, Inc. (b)		497		13,692
Ultratech, Inc. (b)		272		5,048
Veeco Instruments, Inc. (b)		179		6,244
Xcerra Corp. (b)		247		2,263
				50,320
SOFTWARE — 0.0% (a)
Epiq Systems, Inc.		49		837
SPECIALTY RETAIL — 1.0%
AutoZone, Inc. (b)		10		6,191
Select Comfort Corp. (b)		489		13,218
				19,409
TEXTILES, APPAREL & LUXURY GOODS — 0.1%
Perry Ellis International, Inc. (b)		36		934
Unifi, Inc. (b)		25		743
				1,677
THRIFTS & MORTGAGE FINANCE — 0.6%
People’s United Financial, Inc.		759		11,522

Security Description	Shares		Value
WIRELESS TELECOMMUNICATION SERVICES — 0.0% (a)
Shenandoah Telecommunications Co.		22	$	688
TOTAL COMMON STOCKS (Cost $1,882,892)			$	1,953,318
SHORT TERM INVESTMENTS — 0.7%
MONEY MARKET FUND — 0.7%
State Street Institutional Liquid Reserves Fund 0.07% (c) (d) (Cost $14,204)		14,204		14,204
TOTAL INVESTMENTS — 99.8% (e) (Cost $1,897,096)				1,967,522
OTHER ASSETS & LIABILITIES — 0.2%				3,296
NET ASSETS — 100.0%			$	1,970,818

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

(b) Non-income producing security

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

(d) The rate shown is the annualized seven-day yield at period end.

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

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

25

SSGA MASTER TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2014 (Unaudited)

	SSGA Multi-Asset Real Return Portfolio		SSGA Income Allocation Portfolio		SSGA Global Allocation Portfolio			Blackstone / GSO Senior Loan Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at value	$	27,552,296	$	—	$	2,992,101		$	544,056,016
Investments in securities of affiliated issuers, at value		139,263,260		117,894,803		131,418,222			4,725,025
Total investments		166,815,556		117,894,803		134,410,323			548,781,041
Cash		—		364		371			—
Receivable for investment securities sold		—		—		—	��		35,495,038
Dividends receivable from affiliated issuers (Note 3)		688,938		683,005		1,063,306			—
Dividends receivable from unaffiliated issuers		—		—		—			—
Interest receivable from unaffiliated issuers		—		—		—			3,367,009
TOTAL ASSETS		167,504,494		118,578,172		135,474,000			587,643,088
LIABILITIES
Payable for investments purchased		1,265,890		—		—			21,302,619
Due to Custodian		12		—		—			78
Accrued advisory fees (Note 3)		26,045		19,169		21,631			145,259
Accrued trustees’ fees and expenses (Note 3)		117		81		89			479
TOTAL LIABILITIES		1,292,064		19,250		21,720			21,448,435
NET ASSETS	$	166,212,430	$	118,558,922	$	135,452,280		$	566,194,653
COST OF INVESTMENTS
Unaffiliated issuers	$	34,851,682	$	—	$	3,350,214		$	557,023,423
Affiliated issuers		147,676,633		115,093,230		127,735,509			4,725,025
Total cost of investments	$	182,528,315	$	115,093,230	$	131,085,723		$	561,748,448

See accompanying notes to financial statements.

26

SSGA Ultra Short Term Bond Portfolio		SSGA MFS Systematic Core Equity Portfolio		SSGA MFS Systematic Growth Equity Portfolio		SSGA MFS Systematic Value Equity Portfolio		SSGA Risk Aware Portfolio
$	15,955,495	$	2,913,890	$	2,948,606	$	2,801,558	$	1,953,318
	26,091		14,163		25,211		25,223		14,204
	15,981,586		2,928,053		2,973,817		2,826,781		1,967,522
	—		12		12		12		5
	—		—		—		—		—
	—		2		2		2		—
	—		3,050		2,971		2,932		3,718
	35,241		—		—		—		—
	16,016,827		2,931,117		2,976,802		2,829,727		1,971,245
	—		—		—		—		—
	—		—		—		—		—
	2,677		743		755		717		415
	13		44		44		45		12
	2,690		787		799		762		427
$	16,014,137	$	2,930,330	$	2,976,003	$	2,828,965	$	1,970,818
$	15,970,498	$	2,572,099	$	2,559,199	$	2,541,678	$	1,882,892
	26,091		14,163		25,211		25,223		14,204
$	15,996,589	$	2,586,262	$	2,584,410	$	2,566,901	$	1,897,096

27

SSGA MASTER TRUST

STATEMENTS OF OPERATIONS

For the Six Months Ended December 31, 2014 (Unaudited)

	SSGA Multi-Asset Real  Return Portfolio			SSGA Income Allocation Portfolio			SSGA Global Allocation Portfolio			Blackstone/GSO Senior Loan Portfolio
INVESTMENT INCOME
Dividend and interest income on securities of unaffiliated issuers (Note 2)	$	6,949		$	—		$	2,614		$	14,203,755
Dividend income on securities of affiliated issuers (Note 3)		1,449,947			2,340,395			1,844,860			8,984
TOTAL INVESTMENT INCOME		1,456,896			2,340,395			1,847,474			14,212,739
EXPENSES
Advisory fees (Note 3)		163,392			107,223			113,137			906,054
Trustees’ fees (Note 3)		1,501			919			947			5,428
TOTAL EXPENSES		164,893			108,142			114,084			911,482
NET INVESTMENT INCOME		1,292,003			2,232,253			1,733,390			13,301,257
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments in securities of unaffiliated issuers		(1,860,432	)		(1	)		1,635			(893,671	)
Net realized gain (loss) on investments in securities of affiliated issuers		(693,418	)		(73,432	)		898,076			—
Net change in unrealized appreciation (depreciation) on investments		(21,237,388	)		(2,449,938	)		(3,091,096	)		(14,584,381	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		(23,791,238	)		(2,523,371	)		(2,191,385	)		(15,478,052	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(22,499,235	)	$	(291,118	)	$	(457,995	)	$	(2,176,795	)

* For the period September 9, 2014 (commencement of operations) to December 31, 2014.

See accompanying notes to financial statements.

28

SSGA Ultra Short Term Bond Portfolio			SSGA MFS Systematic Core Equity Portfolio		SSGA MFS Systematic Growth Equity Portfolio		SSGA MFS Systematic Value Equity Portfolio			SSGA Risk Aware Portfolio*
$	42,487		$	31,186	$	25,631	$	29,454		$	16,059
	121			11		10		12			4
	42,608			31,197		25,641		29,466			16,063
	16,429			4,871		4,925		4,742			2,045
	140			69		69		69			18
	16,569			4,940		4,994		4,811			2,063
	26,039			26,257		20,647		24,655			14,000
	(4,254	)		228,535		311,739		211,179			(290,239	)
	—			—		—		—			—
	(25,482	)		51,396		45,404		(2,340	)		70,426
	(29,736	)		279,931		357,143		208,839			(219,813	)
$	(3,697	)	$	306,188	$	377,790	$	233,494		$	(205,813	)

29

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS

	SSGA Multi-Asset Real Return  Portfolio						SSGA Income Allocation Portfolio
	Six Months Ended 12/31/14 (Unaudited)			Year Ended 6/30/14			Six Months Ended 12/31/14 (Unaudited)			Year Ended 6/30/14
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	1,292,003		$	2,587,021		$	2,232,253		$	4,096,865
Net realized gain (loss) on investments		(2,553,850	)		(2,207,394	)		(73,433	)		(1,346,791	)
Net change in unrealized appreciation (depreciation) on investments		(21,237,388	)		16,133,508			(2,449,938	)		11,409,215
Net increase (decrease) in net assets resulting from operations		(22,499,235	)		16,513,135			(291,118	)		14,159,289
CAPITAL TRANSACTIONS
Contributions		47,753,317			91,367,610			19,439,975			7,804,636
Withdrawals		(23,676,639	)		(64,829,742	)		(4,620,313	)		(92,188,375	)
Other capital		—			—			—			—
Net increase (decrease) in net assets from capital transactions		24,076,678			26,537,868			14,819,662			(84,383,739	)
Net increase (decrease) in net assets during the period		1,577,443			43,051,003			14,528,544			(70,224,450	)
NET ASSETS
Net assets at beginning of period		164,634,987			121,583,984			104,030,378			174,254,828
NET ASSETS END OF PERIOD	$	166,212,430		$	164,634,987		$	118,558,922		$	104,030,378

* Commencement of operations

See accompanying notes to financial statements.

30

SSGA Global Allocation Portfolio						Blackstone / GSO Senior Loan Portfolio						SSGA Ultra Short Term Bond Portfolio
Six Months Ended 12/31/14 (Unaudited)			Year Ended 6/30/14			Six Months Ended 12/31/14 (Unaudited)			Year Ended 6/30/14			Six Months Ended 12/31/14 (Unaudited)			For the Period 10/9/13*  - 6/30/14
$	1,733,390		$	1,874,897		$	13,301,257		$	20,364,761		$	26,039		$	32,351
	899,711			1,718,573			(893,671	)		(2,767,913	)		(4,254	)		888
	(3,091,096	)		6,937,869			(14,584,381	)		4,689,730			(25,482	)		10,479
	(457,995	)		10,531,339			(2,176,795	)		22,286,578			(3,697	)		43,718
	41,962,193			47,337,163			14,857,682			286,897,792			6,012,276			16,010,331
	(4,543,525	)		(11,312,504	)		(57,103,281	)		(31,961,441	)		(4,033,981	)		(2,033,325	)
	—			—			140,085			461,549			3,608			15,207
	37,418,668			36,024,659			(42,105,514	)		255,397,900			1,981,903			13,992,213
	36,960,673			46,555,998			(44,282,309	)		277,684,478			1,978,206			14,035,931
	98,491,607			51,935,609			610,476,962			332,792,484			14,035,931			—
$	135,452,280		$	98,491,607		$	566,194,653		$	610,476,962		$	16,014,137		$	14,035,931

31

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	SSGA MFS Systematic Core Equity Portfolio						SSGA MFS Systematic Growth Equity Portfolio
	Six Months Ended 12/31/14 (Unaudited)			For the Period 1/8/14* - 6/30/14			Six Months Ended 12/31/14 (Unaudited)			For the Period 1/8/14* - 6/30/14
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	26,257		$	38,006		$	20,647		$	35,730
Net realized gain (loss) on investments		228,535			68,581			311,739			10,976
Net change in unrealized appreciation (depreciation) on investments		51,396			290,395			45,404			344,003
Net increase (decrease) in net assets resulting from operations		306,188			396,982			377,790			390,709
CAPITAL TRANSACTIONS
Contributions		—			5,001,000			—			5,001,000
Withdrawals		(2,753,841	)		(19,999	)		(2,774,367	)		(19,129	)
Other capital		—			—			—			—
Net increase (decrease) in net assets from capital transactions		(2,753,841	)		4,981,001			(2,774,367	)		4,981,871
Net increase (decrease) in net assets during the period		(2,447,653	)		5,377,983			(2,396,577	)		5,372,580
NET ASSETS
Net assets at beginning of period		5,377,983			—			5,372,580			—
NET ASSETS END OF PERIOD	$	2,930,330		$	5,377,983		$	2,976,003		$	5,372,580

* Commencement of operations

See accompanying notes to financial statements.

32

SSGA MFS Systematic Value Equity Portfolio						SSGA Risk Aware Portfolio
Six Months Ended 12/31/14 (Unaudited)			For the Period 1/8/14* - 6/30/14			For the Period 9/9/14* - 12/31/14 (Unaudited)
$	24,655		$	41,704		$	14,000
	211,179			4,238			(290,239	)
	(2,340	)		262,220			70,426
	233,494			308,162			(205,813	)
	—			5,001,000			4,000,000
	(2,690,853	)		(22,838	)		(1,823,369	)
	—			—			—
	(2,690,853	)		4,978,162			2,176,631
	(2,457,359	)		5,286,324			1,970,818
	5,286,324			—			—
$	2,828,965		$	5,286,324		$	1,970,818

33

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

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

	SSGA Multi-Asset Real Return Portfolio*
	Six Months Ended 12/31/14 (Unaudited)			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	166,212		$	164,635		$	121,584		$	5,827
Ratios to average net assets:
Operating expenses		0.20	%(1)		0.20	%		0.20	%		0.20	%(1)
Net investment income		1.58	%(1)		2.01	%		2.91	%		3.84	%(1)
Portfolio turnover rate		21	%		40	%		31	%		10	%
Total return		(12.90	)%(2)		13.93	%		(1.63	)%		(3.42	)%(2)

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

** Commencement of operations

(1) Annualized.

(2) Total return for periods of less than one year is not annualized.

See accompanying notes to financial statements.

34

SSGA Income Allocation Portfolio*												SSGA Global Allocation Portfolio*
Six  Months Ended 12/31/14 (Unaudited)			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12			Six Months Ended 12/31/14 (Unaudited)			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12
$	118,559		$	104,030		$	174,255		$	9,114		$	135,452		$	98,492		$	51,936		$	4,451
	0.20	%(1)		0.20	%		0.20	%		0.20	%(1)		0.20	%(1)		0.20	%		0.20	%		0.20	%(1)
	4.16	%(1)		3.89	%		4.65	%		8.39	%(1)		3.06	%(1)		2.76	%		3.07	%		4.34	%(1)
	29	%		63	%		80	%		15	%		54	%		89	%		123	%		25	%
	0.12	%(2)		13.84	%		4.39	%		0.92	%(2)		(0.48	)%(2)		16.80	%		9.92	%		(1.82	)%(2)

35

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 12/31/14 (Unaudited)			Year Ended 6/30/14			For the Period 4/3/13* - 6/30/13
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	566,195		$	610,477		$	332,792
Ratios to average net assets:
Operating expenses		0.30	%(1)		0.30	%		0.30	%(1)
Net investment income		4.40	%(1)		3.63	%		2.57	%(1)
Portfolio turnover rate		31	%		77	%		4	%
Total return		(0.35	)%(2)		4.00	%		(0.31	)%(2)

 * Commencement of operations

(1) Annualized.

(2) Total return for periods of less than one year is not annualized.

(3) Less than 0.05% of average net assets.

See accompanying notes to financial statements.

36

SSGA Ultra Short Term Bond Portfolio						SSGA MFS Systematic Core Equity Portfolio
Six Months Ended 12/31/14 (Unaudited)			For the Period 10/9/13* - 6/30/14			Six Months Ended 12/31/14 (Unaudited)			For the Period 1/8/14* - 6/30/14
$	16,014		$	14,036		$	2,930		$	5,378
	0.20	%(1)		0.20	%(1)		0.30	%(1)		0.30	%(1)
	0.32	%(1)		0.34	%(1)		1.62	%(1)		1.55	%(1)
	46	%		39	%		27	%		27	%
	0.00	%(2)(3)		0.47	%(2)		9.82	%(2)		7.92	%(2)

37

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

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

	SSGA MFS Systematic Growth Equity Portfolio
	Six Months Ended 12/31/14 (Unaudited)			For the Period 1/8/14* - 6/30/14
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	2,976		$	5,373
Ratios to average net assets:
Operating expenses		0.30	%(1)		0.30	%(1)
Net investment income		1.26	%(1)		1.46	%(1)
Portfolio turnover rate		44	%		20	%
Total return		11.53	%(2)		7.85	%

 * Commencement of operations

(1) Annualized.

(2) Total return for periods of less than one year is not annualized.

See accompanying notes to financial statements.

38

SSGA MFS Systematic Value Equity Portfolio						SSGA Risk Aware Portfolio
Six Months Ended 12/31/14 (Unaudited)			For the Period 1/8/14** - 6/30/14			For the Period 9/9/14* - 12/31/14 (Unaudited)
$	2,829		$	5,286		$	1,971
	0.30	%(1)		0.30	%(1)		0.26	%(1)
	1.56	%(1)		1.73	%(1)		1.74	%(1)
	34	%		23	%		16	%
	7.87	%(2)		6.20	%(2)		(1.31	)%(2)

39

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2014 (Unaudited)

1. Organization

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

As of December 31, 2014, the Trust offered nine (9) portfolios, each of which represents a separate series of beneficial interest in the Trust (each a “Portfolio” and collectively; the “Portfolios”). The financial statements herein relate to the following nine (9) Portfolios: SSGA Multi-Asset Real Return Portfolio, SSGA Income Allocation Portfolio, SSGA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSGA Ultra Short Term Bond Portfolio, SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio, SSGA MFS Systematic Value Equity Portfolio and SSGA Risk Aware Portfolio. Each Portfolio serves as a master fund in a master feeder structure.

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

The Trust invests in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.

SSGA Multi-Asset Real Return Portfolio, SSGA Income Allocation Portfolio and SSGA Global Allocation Portfolio invest their assets in other exchange-traded products (referred to as “underlying Funds”). The underlying Funds, in turn, may engage in a number of investment techniques and practices, which involve certain risks. Certain underlying Funds invest their portfolios in debt securities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates. Certain underlying Funds invest their portfolios in foreign securities including emerging markets. Foreign investments involve certain risks that are greater than those associated with investments in securities of U.S. issuers. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in securities issued by entities based outside the United States pose distinct risks since political and economic events unique to a country or region will affect those markets and their issuers. Investment in emerging markets involves greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. Certain underlying Funds invest their portfolios in commodities markets. Commodities are subject to substantial price fluctuations over short periods of time and may be affected by unpredictable economic, political and environmental events. Factors that may significantly affect the prices of commodities include, but are not limited to: global supply and demand; domestic and international interest rates and investors’ expectations of interest rates; inflation rates and investors’ expectations of inflation rates; the investment and trading activities of commodity futures contracts; political, economic, or financial events, both globally and regionally.

The Blackstone/GSO Senior Loan Portfolio invests its assets in senior loans. Investments in senior loans are subject to credit risks which may include delay in receiving payments of principal and interest paid by the borrower to the agent or by the agent to the lender or offsets against payments received from the borrower.

SSGA Ultra Short Term Bond Portfolio invests primarily in investment grade debt securities with varying maturities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.

SSGA MFS Systematic Core Equity ETF, SSGA MFS Systematic Growth Equity ETF, SSGA MFS Systematic Value Equity ETF and SSGA Risk Aware Portfolio invest in various investments which are exposed to risks, such as market risk. Due to the level of risk

40

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.

An investment in a Fund involves risks similar to those of investing in any fund, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in security prices. The values of securities could decline generally or could underperform other investments. Different types of securities tend to go through cycles of out-performance and underperformance in comparison to the general securities market. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.

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 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. These financial statements are presented in United States dollars.

Security Valuation

The fair value of each Portfolio’s portfolio securities and other financial instruments is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in underlying funds are valued at their market price each business day. Loans are primarily valued by using a composite loan price from a loan pricing service. The methodology used by the Portfolios’ loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. U.S. fixed income securities may be valued as of the announced closing time for trading in fixed income instruments on any day that the Securities Industry and Financial Markets Association announces an early closing time. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the “Board”) believes will better reflect fair value in accordance with the Trust’s valuation policies and procedures. The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The Portfolios follow the authoritative guidance for fair value measurements and the fair value option for financial assets and financial liabilities. The guidance establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. The guidance establishes three levels of inputs that may be used to measure fair value:

• Level 1 — quoted prices in active markets for identical investments

• Level 2 — other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 — significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments)

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for

41

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Portfolios’ net assets are computed and that may materially affect the value of the Portfolios’ investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts, acts of terrorism, and significant market fluctuations. The valuation of senior floating rate loans held by the Funds are obtained from an independent loan pricing service and categorized as Level 2 based on the use of other significant observable inputs.

Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by such Portfolio’s benchmark index, which, in turn, could result in a difference between a Portfolio’s performance and the performance of the Portfolio’s benchmark index. The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.

The type of inputs used to value each security is identified in the Schedule of Investments, which also includes a breakdown of a Portfolio’s investments by category.

The following table summarizes the inputs used in valuing the Portfolios’ investments as of December 31, 2014:

	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
SSGA Multi-Asset Real Return Portfolio	$	166,815,556	$	—	$	—	$	166,815,556
SSGA Income Allocation Portfolio		117,894,803		—		—		117,894,803
SSGA Global Allocation Portfolio		134,410,323		—		—		134,410,323
Blackstone/GSO Senior Loan Portfolio		4,725,025		544,056,016		—		548,781,041
SSGA Ultra Short Term Bond Portfolio		26,091		15,955,495		—		15,981,586
SSGA MFS Systematic Core Equity Portfolio		2,928,053		—		—		2,928,053
SSGA MFS Systematic Growth Equity Portfolio		2,973,817		—		—		2,973,817
SSGA MFS Systematic Value Equity Portfolio		2,826,781		—		—		2,826,781
SSGA Risk Aware Portfolio		1,967,522		—		—		1,967,522

There were no transfers between levels for the period ended December 31, 2014.

Investment Income

Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities.

Expenses

Advisory fees and other expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio. Trustees’ fees and other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolios. In addition to the these direct expenses, the Portfolios bear certain expenses indirectly, such as fees of underlying Portfolios in which the Portfolio invest that are reflected in the reported value of such Portfolios.

Investment Transactions

Investment transactions are recorded as of the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date.

42

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

Federal Income Tax

The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes. The Portfolios have reviewed the tax positions for the open tax years as of June 30, 2014 and have determined that no provision for income tax is required in the Portfolios’ Financial Statements. The Portfolios’ federal tax returns are subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Portfolios’ recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.

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

Advisory Fee

Each Portfolio has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Portfolio’s average daily net assets as shown in the following table:

	Annual Rate
SSGA Multi-Asset Real Return Portfolio		0.20	%
SSGA Income Allocation Portfolio		0.20
SSGA Global Allocation Portfolio		0.20
Blackstone/GSO Senior Loan Portfolio		0.30
SSGA Ultra Short Term Bond Portfolio		0.20
SSGA MFS Systematic Core Equity Portfolio		0.30
SSGA MFS Systematic Growth Equity Portfolio		0.30
SSGA MFS Systematic Value Equity Portfolio		0.30
SSGA Risk Aware Portfolio		0.20

The Adviser pays all operating expenses of each Portfolio other than management fee, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.

GSO / Blackstone Debt Funds Management LLC receives fees for its services as the sub-adviser to the SPDR Blackstone/GSO Senior Loan Portfolio from the Adviser.

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

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

Trustees’ Fees

The Trust, SSGA Master Trust, SPDR Series Trust and SPDR Index Shares Funds pay, in the aggregate, each Independent Trustee an annual fee of $185,000 plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trust also reimburses each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Independent Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.

43

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

Transactions with Affiliates

Each Portfolio may invest in certain money market funds and underlying Funds affiliated with the Adviser. Amounts related to investments in affiliated underlying Funds at December 31, 2014, and for the period then ended are:

SPDR SSGA Multi-Asset Real Return Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
SPDR Barclays TIPS ETF		243,141	$	13,941,705	$	14,832,277		260,240	$	3,569,129		63,347		440,034	$	24,633,104	$	131,187	$	(68,069	)
SPDR DB International Government Inflation-Protected Bond ETF		39,783		2,466,944		6,764,452		111,364		1,060,487		17,993		133,154		7,583,120		75,496		(14,343	)
SPDR S&P Global Natural Resources ETF		971,968		51,368,509		21,420,237		443,000		10,503,549		221,344		1,193,624		52,519,456		510,834		(769,990	)
SPDR S&P International Energy Sector ETF		114,255		3,376,235		1,252,652		54,943		323,073		13,271		155,927		3,215,215		56,349		(4,790	)
SPDR S&P Metals & Mining ETF		118,602		5,010,934		2,080,630		60,243		766,240		20,287		158,558		4,893,100		62,759		(23,871	)
The Energy Select Sector SPDR Fund		67,060		6,712,706		5,088,958		59,289		3,508,896		40,227		86,122		6,817,417		75,433		(150,372	)
SPDR Dow Jones International Real Estate ETF		418,421		18,510,945		5,056,765		117,210		8,878,184		208,107		327,524		13,615,173		210,436		(184,953	)
SPDR Dow Jones REIT ETF		242,545		20,131,235		6,225,424		72,103		10,495,289		122,813		191,835		17,437,801		326,357		522,970
State Street Institutional Liquid Reserves Fund		334,186		334,186		25,185,607		25,185,607		16,970,919		16,970,919		8,548,874		8,548,874		1,096		—

SPDR SSGA Income Allocation Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
SPDR S&P Dividend ETF		208,856	$	15,996,281	$	4,245,690		54,804	$	2,793,495		36,253		227,407	$	17,919,672	$	650,626	$	128,088
SPDR Wells Fargo Preferred Stock ETF		118,540		5,174,271		978,365		22,275		287,444		6,596		134,219		5,876,108		192,577		(5,309	)
The Financial Select Sector SPDR Fund		—		—		4,636,711		194,768		2,236,370		97,061		97,707		2,416,294		21,426		(25,605	)
The Health Care Select Sector SPDR Fund		34,459		2,096,141		392,740		5,849		457,248		6,968		33,340		2,279,789		16,439		21,155
The Industrial Select Sector SPDR Fund		37,178		2,009,843		2,179,956		41,946		4,304,210		79,124		—		—		—		246,424
The Material Select SPDR Fund		—		—		2,105,540		42,763		2,125,650		42,763		—		—		—		20,110
The Technology Select Sector SPDR Fund		53,943		2,068,714		397,656		9,735		250,445		6,258		57,420		2,374,317		21,760		7,477
SPDR Barclays Convertible Securities ETF		51,996		2,625,798		3,555,222		71,113		191,037		3,931		119,178		5,588,256		334,376		19,547
SPDR Barclays High Yield Bond ETF		183,915		7,674,773		6,193,702		155,707		2,672,217		65,555		274,067		10,581,727		246,815		26,508
SPDR Barclays Long Term Corporate Bond ETF		348,105		14,133,063		6,192,067		152,286		2,696,025		66,068		434,323		18,020,061		395,087		(1,740	)
SPDR Barclays Long Term Treasury Bond ETF		110,934		7,354,924		2,170,320		30,736		2,793,797		41,444		100,226		7,303,068		103,003		(48,273	)
SPDR Barclays TIPS ETF		64,001		3,669,817		160,946		2,861		3,188,494		56,290		10,572		591,820		27,583		31,854
SPDR EURO STOXX 50 ETF		34,566		1,495,671		450,093		11,480		589,586		15,738		30,308		1,117,153		12,164		(4,426	)
SPDR S&P Emerging Markets Dividend ETF		101,157		4,055,384		2,906,115		74,280		2,785,967		76,409		99,028		3,377,845		132,299		(439,622	)

44

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

SPDR SSGA Income Allocation Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
SPDR S&P Global Infrastructure 100 ETF		81,481	$	4,145,753	$	665,300		13,494	$	1,114,384		22,482		72,493	$	3,517,361	$	50,595	$	149,803
SPDR S&P International Dividend ETF		118,992		6,104,290		2,156,478		47,318		172,993		3,898		162,412		6,824,552		164,226		(10,680	)
SPDR STOXX Europe 50 ETF		154,452		6,080,775		1,310,250		35,927		2,265,704		60,092		130,287		4,458,421		46,059		(29,317	)
SPDR Barclays Emerging Markets Local Bond ETF		99,028		3,091,654		1,818,377		59,839		1,002,058		34,820		124,047		3,526,656		—		(116,433	)
SPDR Barclays International Corporate Bond ETF		55,214		2,087,090		526,865		14,918		62,817		1,768		68,364		2,349,671		20,921		2,060
SPDR Dow Jones International Real Estate ETF		136,457		6,036,858		2,037,457		47,623		1,913,162		45,754		138,326		5,750,212		92,473		(82,146	)
SPDR Barclays Intermediate Term Corporate Bond ETF		—		—		1,050,240		30,490		1,039,765		30,490		—		—		2,196		(10,474	)
SPDR Dow Jones REIT ETF		86,378		7,169,374		4,008,248		46,262		2,506,257		29,633		103,007		9,363,336		169,154		47,567
State Street Institutional Liquid Reserves Fund		519,279		519,279		11,286,300		11,286,300		7,147,095		7,147,095		4,658,484		4,658,484		751		—

SPDR SSGA Global Allocation Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
SPDR S&P 500 ETF Trust		100,138	$	19,599,009	$	19,983,380		101,265	$	8,848,425		43,325		158,078	$	32,485,029	$	322,275	$	394,170
SPDR S&P 500 Growth ETF		21,483		1,954,309		2,753,830		28,647		2,041,836		22,423		27,707		2,677,605		10,311		120,846
SPDR S&P 500 Value ETF		—		—		1,001,342		10,229		987,607		10,229		—		—		2		(13,735	)
SPDR S&P MidCap 400 ETF Trust		7,604		1,981,298		2,853,182		10,932		2,049,659		8,148		10,388		2,742,120		10,427		231,876
The Financial Select Sector SPDR Fund		—		—		5,006,653		209,848		2,322,830		100,467		109,381		2,704,992		22,170		(24,931	)
The Health Care Select Sector SPDR Fund		32,724		1,990,601		899,586		13,873		555,485		8,338		38,259		2,616,150		17,486		22,653
The Industrial Select Sector SPDR Fund		35,237		1,904,912		2,507,174		48,258		4,546,345		83,495		—		—		—		248,409
The Material Select SPDR Fund		—		—		2,139,726		43,420		2,155,966		43,420		—		—		348		16,240
The Technology Select Sector SPDR Fund		51,139		1,961,181		901,179		22,518		309,487		7,669		65,988		2,728,604		23,200		12,506
SPDR Barclays Aggregate Bond ETF		50,949		2,953,004		427,983		7,418		3,383,570		58,367		—		—		21,062		60,375
SPDR Barclays High Yield Bond ETF		47,109		1,965,858		8,513,491		214,653		2,167,778		53,265		208,497		8,050,069		90,818		55,414
SPDR Barclays Intermediate Term Corporate Bond ETF		—		—		1,072,229		31,132		1,061,850		31,132		—		—		2,315		(10,379	)
SPDR Barclays Long Term Corporate Bond ETF		146,578		5,951,067		11,012,961		269,788		3,389,787		83,293		333,073		13,819,199		247,729		(934	)
SPDR Barclays Long Term Treasury ETF		—		—		4,120,205		57,400		53,007		736		56,664		4,128,879		9,224		236
SPDR Barclays TIPS ETF		60,632		3,476,639		773,064		13,660		2,815,614		49,991		24,301		1,360,370		28,701		1,005
SPDR DB International Government Inflation-Protected Bond ETF		23,868		1,480,055		161,046		2,619		1,594,025		26,487		—		—		6,627		11,937
SPDR EURO STOXX 50 ETF		65,373		2,828,690		369,489		9,103		3,000,462		74,476		—		—		1,278		(96,012	)
SPDR Russell/Nomura PRIME Japan ETF		86,174		4,002,782		883,218		19,785		4,746,518		105,959		—		—		—		170,431
SPDR S&P Emerging Markets ETF		72,046		4,871,390		2,190,030		31,438		6,841,816		103,484		—		—		—		(69,286	)
SPDR S&P Emerging Markets Small Cap ETF		—		—		1,137,450		22,783		1,090,796		22,783		—		—		—		(46,654	)

45

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

SPDR SSGA Global Allocation Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
SPDR S&P International Small Cap ETF		84,669	$	2,990,509	$	1,621,602		51,340	$	144,956		4,509		131,500	$	3,599,155	$	437,418	$	9,200
SPDR S&P World ex-US ETF		638,099		19,315,257		8,862,466		314,268		2,791,579		101,028		851,339		22,901,019		303,961		(145,989	)
SPDR STOXX Europe 50 ETF		73,112		2,878,419		377,847		9,807		3,127,970		82,919		—		—		365		92,946
SPDR Barclays Emerging Markets Local Bond ETF		—		—		1,334,965		43,371		1,243,385		43,371		—		—		—		(91,580	)
SPDR Barclays International Corporate Bond ETF		26,163		988,961		556,859		15,675		92,882		2,631		39,207		1,347,545		11,230		(3,081	)
SPDR Barclays International Treasury Bond ETF		16,302		990,999		1,521,774		26,250		1,086,942		18,157		24,395		1,349,775		13,787		39,223
SPDR Dow Jones International Real Estate ETF		120,691		5,339,370		4,155,709		96,691		4,968,543		119,364		98,018		4,074,608		83,865		(198,983	)
SPDR Dow Jones REIT ETF		76,299		6,332,817		7,117,437		81,830		3,334,942		38,889		119,240		10,838,916		177,617		112,173
State Street Institutional Liquid Reserves Fund		2,055,704		2,055,704		21,283,264		21,283,264		9,344,781		9,344,781		13,994,187		13,994,187		2,644		—

Blackstone/GSO Senior Loan Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
State Street Institutional Liquid Reserves Fund		39,685,659	$	39,685,659	$	111,824,161		111,824,161	$	146,784,795		146,784,795		4,725,025	$	4,725,025	$	8,984	$	—

SSGA Ultra Short Term Bond Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
State Street Institutional Liquid Reserves Fund		518,551	$	518,551	$	5,721,195		5,721,195	$	6,213,655		6,213,655		26,091	$	26,091	$	121	$	—

SSGA MFS Systematic Core Equity Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
State Street Institutional Liquid Reserves Fund		58,605	$	58,605	$	31,399		31,399	$	75,841		75,841		14,163	$	14,163	$	11	$	—

SSGA MFS Systematic Growth Equity Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
State Street Institutional Liquid Reserves Fund		75,976	$	75,976	$	23,079		23,079	$	73,844		73,844		25,211	$	25,211	$	10	$	—

SSGA MFS Systematic Value Equity Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
State Street Institutional Liquid Reserves Fund		81,360	$	81,360	$	30,310		30,310	$	86,447		86,447		25,223	$	25,223	$	12	$	—

SSGA Risk Aware Portfolio	Number of Shares Held at 6/30/14		Value at 6/30/14		Purchased				Sold				Number of Shares Held at 12/31/14		Value at 12/31/14		Dividend Income		Realized Gain (Loss)
					Cost		Shares		Proceeds		Shares
State Street Institutional Liquid Reserves Fund		—	$	—	$	64,783		64,783	$	50,579		50,579		14,204	$	14,204	$	4	$	—

46

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

4. Aggregate Unrealized Appreciation and Depreciation

The identified cost of investments in securities owned by each Portfolio for federal income tax purposes and the gross unrealized appreciation and depreciation at December 31, 2014, was as follows:

	Identified Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SSGA Multi-Asset Real Return Portfolio	$	182,528,315	$	2,387,719	$	18,100,478	$	(15,712,759	)
SSGA Income Allocation Portfolio		115,093,230		5,535,326		2,733,753		2,801,573
SSGA Global Allocation Portfolio		131,085,723		5,201,061		1,876,461		3,324,600
Blackstone/GSO Senior Loan Portfolio		561,748,448		687,694		13,655,101		(12,967,407)
SSGA Ultra Short Term Bond Portfolio		15,996,589		5,131		20,134		(15,003	)
SSGA MFS Systematic Core Equity Portfolio		2,586,262		395,280		53,489		341,791
SSGA MFS Systematic Growth Equity Portfolio		2,584,410		422,992		33,585		389,407
SSGA MFS Systematic Value Equity Portfolio		2,566,901		314,757		54,877		259,880
SSGA Risk Aware Portfolio		1,897,096		102,833		32,407		70,426

5. Investment Transactions

For the period ended December 31, 2014, the Portfolios had purchases and sales of investment securities as follows:

	Purchases				Sales
	Short Term		Long Term		Short Term		Long Term
SSGA Multi-Asset Real Return Portfolio	$	25,185,607	$	76,465,248	$	16,970,919	$	57,958,569
SSGA Income Allocation Portfolio		11,286,300		50,138,338		7,147,095		37,449,124
SSGA Global Allocation Portfolio		21,283,265		97,647,803		9,344,781		70,797,409
Blackstone/GSO Senior Loan Portfolio		111,824,161		241,356,506		146,784,795		273,351,777
SSGA Ultra Short Term Bond Portfolio		2,635,078		12,588,989		3,327,572		9,107,203
SSGA MFS Systematic Core Equity Portfolio		31,399		858,383		75,841		3,538,932
SSGA MFS Systematic Growth Equity Portfolio		23,079		1,420,692		73,844		4,120,604
SSGA MFS Systematic Value Equity Portfolio		30,310		1,054,337		86,447		3,662,980
SSGA Risk Aware Portfolio		64,783		5,481,671		50,579		3,308,540

For the period ended December 31, 2014, the Portfolios had purchases and sales of U.S. Government obligations as follows:

	Purchases				Sales
	Short Term		Long Term		Short Term		Long Term
SSGA Ultra Short Term Bond Portfolio	$	3,086,117	$	—	$	2,886,083	$	—

For the period ended December 31, 2014, the Trust did not pay any commissions to an affiliate of the Adviser for investment transactions.

6. Concentration of Risk

Although the Portfolios do not intend to concentrate their investments in any particular industry, if a Portfolio concentrates in a single industry, group of industries or type of instrument, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry, group of industries or type of instrument.

47

SSGA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2014 (Unaudited)

7. Line of Credit

Blackstone / GSO Senior Loan Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) share in a $300 million revolving credit facility provided by a syndication of banks. Blackstone / GSO Senior Loan Portfolio has exclusive access to $100 million of the total credit facility. The Participants may borrow for the purpose of meeting shareholder redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Blackstone / GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees on the shared credit line are allocated among each of the Participants based on net assets. Commitment fees are ordinary fund operating expenses and are paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1%. Blackstone / GSO Senior Loan Portfolio may borrow up to a maximum of 25 percent of its assets. Blackstone / GSO Senior Loan Portfolio had no outstanding loans during the period ended December 31, 2014.

48

SSGA MASTER TRUST

OTHER INFORMATION

December 31, 2014 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Funds’ website at www.spdrs.com.

Quarterly Portfolio Schedule

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

Approval of Advisory Agreements

At in-person meetings held prior to December 31, 2014, the Board of Trustees of the Trusts (the “Board”) evaluated proposals (1) to continue the separate Investment Advisory Agreements (the “Current Agreements”) between each Trust and SSGA Funds Management, Inc. (the “Adviser”) with respect to the operational series of SSGA Active Trust (the “Current ETFs”) and SSGA Master Trust (together with the Current ETFs, the “Current Funds”), and (2) to approve separate Investment Advisory Agreements (together, the “New Agreements” and, collectively with the Current Agreements, the “Agreements”) between the Adviser and (a) the SSGA Active Trust with respect to the SPDR SSGA Risk Aware ETF, a new series of the SSGA Active Trust (the “New ETF” and, together with the Current ETFs, the “ETFs”), and (b) SSGA Master Trust with respect to the New ETF’s corresponding master fund, the State Street Risk Aware Portfolio (together with the New ETF, the “New Funds”) (with the Current Funds and New Funds collectively being referred to hereafter as the “Funds”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”) also met separately with their independent legal counsel to consider the Agreements.

In evaluating the Agreements, the Board drew on materials provided to them by the Adviser and on other materials provided by State Street Bank and Trust Company, the Trust’s Administrator, Transfer Agent and Custodian (“State Street”). In deciding whether to approve the Agreements, the Board considered various factors, including (i) the nature, extent and quality of services provided by or expected to be provided by the Adviser with respect to the Funds under the Agreements, (ii) the investment performance of the Current Funds, (iii) the costs to the Adviser of its services and profits realized by the Adviser and its affiliates from its relationship with the Trusts, and (iv) the extent to which economies of scale would be realized if and as the Funds grow and whether the fee levels in the Agreements reflect these economies of scale.

The Board considered the nature, extent and quality of services provided or expected to be provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trusts and materials provided prior to and at the meeting. The Board reviewed the Agreements and the Adviser’s responsibilities for managing investment operations of each of the Funds in accordance with each Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the ETFs as exchange-traded funds in a master-feeder structure and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for portfolio management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management and oversight resources, structures and practices of the Adviser, including those associated with monitoring and securing each Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment business and that of its affiliates which make up State Street Global Advisors, through which the Adviser

49

SSGA MASTER TRUST

OTHER INFORMATION (continued)

December 31, 2014 (Unaudited)

shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for exchange-traded funds. The Board also considered the Adviser’s experience in active management, managing exchange-traded funds in master-feeder structures and overseeing third-party sub-advisers, as applicable.

The Board then reviewed the Current Funds’ performance. The Board compared each Current Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable funds, noting that the performance of each Current Fund was satisfactory.

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

The Board considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trusts, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trusts’ brokerage transactions.

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

The Board evaluated the Funds’ unitary fee through review of comparative information with respect to fees paid by similar funds — i.e., exchange-traded funds that are actively managed, as applicable. The Board reviewed the universe of similar exchange-traded funds for the ETFs based upon data obtained from Lipper Analytical Services and related comparative information for similar exchange-traded funds. The Board also reviewed the fee structure of the Funds in connection with the master-feeder structure, the estimated expense ratio for the New Funds and the historical expense ratios of the Current Funds. In doing so, the Board used a fund by fund analysis of the data.

The Board, including the Independent Trustees voting separately, approved the Agreements for each Fund after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to each Agreement were as follows: (a) the nature and extent of the services provided or expected to be provided by the Adviser with respect to the Funds were appropriate; (b) the performance of each Current Fund had been satisfactory; (c) the Adviser’s fee for each Fund and the unitary fee, considered in relation to services provided or expected to be provided, were fair and reasonable; (d) profitability of the Trusts’ relationship with the Adviser was not excessive; (e) any additional benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions; and (f) fees paid or expected to be paid to the Adviser shared economies of scale with respect to the Funds by way of the relatively low fee structure of the Trusts.

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

At an in-person meeting held prior to December 31, 2014, the Board also evaluated proposals to continue the separate Sub-Advisory Agreements (the “GSO / Blackstone Sub-Advisory Agreements”) between the Adviser and GSO / Blackstone Debt Funds Management LLC (“GSO / Blackstone”) with respect to the SPDR Blackstone / GSO Senior Loan ETF, a series of the SSGA Active Trust, and Blackstone / GSO Senior Loan Portfolio, a series of the SSGA Master Trust, each sub-advised by GSO / Blackstone (the “GSO / Blackstone Funds”). The Trustees who are not “interested persons” of the Trusts within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”) also met separately with their independent legal counsel to consider the GSO / Blackstone Sub-Advisory Agreements.

In evaluating the GSO / Blackstone Sub-Advisory Agreements, the Board drew on materials provided to them by GSO / Blackstone and the Adviser. In deciding whether to approve the GSO / Blackstone Sub-Advisory Agreements, the Board

50

SSGA MASTER TRUST

OTHER INFORMATION (continued)

December 31, 2014 (Unaudited)

considered various factors, including (i) the nature, extent and quality of services provided by GSO / Blackstone with respect to the GSO / Blackstone Funds under the GSO / Blackstone Sub-Advisory Agreements and (ii) the investment performance of the GSO / Blackstone Funds. The Board was apprised of the portion of the current advisory fee that the Adviser would pay to GSO / Blackstone under the GSO / Blackstone Sub-Advisory Agreements and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the GSO / Blackstone Funds.

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

The Board, including the Independent Trustees voting separately, approved the GSO / Blackstone Sub-Advisory Agreements for each GSO / Blackstone Fund after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to each GSO / Blackstone Sub-Advisory Agreement were as follows: (a) the nature and extent of the services expected provided by GSO / Blackstone to the GSO / Blackstone Funds were appropriate; (b) the performance of the GSO / Blackstone Funds had been satisfactory; (c) GSO / Blackstone’s fees for the GSO / Blackstone Funds and the unitary fee, considered in relation to the services provided, were fair and reasonable; (d) any additional benefits to GSO / Blackstone were not of a magnitude to materially affect the Board’s conclusions; and (e) fees paid to GSO / Blackstone adequately shared the economies of scale with the GSO / Blackstone Funds by way of the relatively low fee structure of the Trusts.

51

The SPDR^® Family of Exchange Traded Funds

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

SPDR Series Trust

SPDR Russell 3000^® ETF (THRK)

SPDR Russell 1000^® ETF (ONEK)

SPDR Russell 2000^® ETF (TWOK)

SPDR S&P 500 Buyback ETF (SPYB)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR Russell Small Cap Completeness ETF (RSCO)

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

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

SPDR S&P 600 Small Cap ETF (SLY)

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

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

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Mortgage Finance ETF (KME)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

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

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

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR S&P 1500 Value Tilt ETF (VLU)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR Russell 1000 Low Volatility ETF (LGLV)

SPDR Russell 2000 Low Volatility ETF (SMLV)

SPDR Wells Fargo Preferred Stock ETF (PSK)

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

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays 0-5 Year TIPS ETF (SIPE)

SPDR Barclays 1-10 Year TIPS ETF (TIPX)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SPDR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (LAG)

SPDR Nuveen Barclays Municipal Bond ETF (TFI)

SPDR Nuveen Barclays California Municipal Bond ETF (CXA)

SPDR Nuveen Barclays New York Municipal Bond ETF (INY)

SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)

SPDR Nuveen S&P VRDO Municipal Bond ETF (VRD)

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

SPDR Nuveen Barclays Build America Bond ETF (BABS)

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

SPDR Barclays Short Term International Treasury Bond ETF (BWZ)

SPDR Barclays International Treasury Bond ETF (BWX)

SPDR Barclays International Corporate Bond ETF (IBND)

SPDR Barclays Emerging Markets Local Bond ETF (EBND)

SPDR Barclays International High Yield Bond ETF (IJNK)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

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

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (XOVR)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR EURO STOXX Small Cap ETF (SMEZ)

SPDR S&P Emerging Asia Pacific ETF (GMF)

SPDR S&P Small Cap Emerging Asia Pacific ETF (GMFS)

SPDR S&P Russia ETF (RBL)

SPDR S&P China ETF (GXC)

SPDR S&P Emerging Markets ETF (GMM)

SPDR S&P Emerging Markets Dividend ETF (EDIV)

SPDR S&P BRIC 40 ETF (BIK)

SPDR S&P Emerging Europe ETF (GUR)

SPDR S&P Emerging Latin America ETF (GML)

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

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

SPDR S&P International Small Cap ETF (GWX)

SPDR Dow Jones International Real Estate ETF (RWX)

SPDR S&P Global Infrastructure ETF (GII)

SPDR S&P Global Natural Resources ETF (GNR)

SPDR MSCI ACWI ex-US ETF (CWI)

SPDR MSCI ACWI IMI ETF (ACIM)

SPDR MSCI ACWI Low Carbon Target ETF (LOWC)

SPDR MSCI China A Shares IMI ETF (XINA)

SPDR MSCI EM 50 ETF (EMFT)

SPDR MSCI EM Beyond BRIC ETF (EMBB)

SPDR MSCI EAFE Quality Mix ETF (QEFA)

SPDR MSCI Emerging Markets Quality Mix ETF (QEMM)

SPDR MSCI World Quality Mix ETF (QWLD)

SPDR MSCI Australia Quality Mix ETF (QAUS)

SPDR MSCI Canada Quality Mix ETF (QCAN)

SPDR MSCI Germany Quality Mix ETF (QDEU)

SPDR MSCI Japan Quality Mix ETF (QJPN)

SPDR MSCI Mexico Quality Mix ETF (QMEX)

SPDR MSCI South Korea Quality Mix ETF (QKOR)

SPDR MSCI Spain Quality Mix ETF (QESP)

SPDR MSCI Taiwan Quality Mix ETF (QTWN)

SPDR MSCI United Kingdom Quality Mix ETF (QGBR)

SPDR Russell/Nomura PRIMETM Japan ETF (JPP)

SPDR Russell/Nomura Small CapTM Japan ETF (JSC)

SPDR S&P Global Dividend ETF (WDIV)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

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

SPDR Dow Jones Global Real Estate ETF (RWO)

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

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

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

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

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The Health Care Select Sector SPDR Fund (XLV)

The Industrial Select Sector SPDR Fund (XLI)

The Materials Select Sector SPDR Fund (XLB)

The Technology Select Sector SPDR Fund (XLK)

The Utilities Select Sector SPDR Fund (XLU)

SSGA Active Trust

SPDR SSGA Multi-Asset Real Return ETF (RLY)

SPDR SSGA Income Allocation ETF (INKM)

SPDR SSGA Global Allocation ETF (GAL)

SPDR Blackstone/GSO Senior Loan ETF (SRLN)

SPDR SSGA Ultra Short Term Bond ETF (ULST)

SPDR MFS Systematic Core Equity ETF (SYE)

SPDR MFS Systematic Growth Equity ETF (SYG)

SPDR MFS Systematic Value Equity ETF (SYV)

SPDR SSGA Risk Aware ETF (RORO)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust, SPDR Index Shares Funds, and SSGA Active Trust. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR S&P 500 ETF Trust (SPY) and SPDR Dow Jones Industrial Average ETF Trust (DIA), both unit investment trusts. ALPS Portfolio Solutions Distributor, Inc. is the distributor for all investment portfolios of The Select Sector SPDR Trust. Distributor: State Street Global Markets, LLC is the distributor for all registered products on behalf of the advisor. SSGA Funds Management has retained GSO Capital Partners & Nuveen Asset Management, Massachusetts Financial Services Company as the sub-advisor.

SSGA Master Trust

TRUSTEES

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

OFFICERS

Ellen M. Needham, President

Ann Carpenter, Vice President

Michael P. Riley, Vice President

Chad C. Hallett, Treasurer

Matthew W. Flaherty, Assistant Treasurer

Laura F. Dell, Assistant Treasurer

Christopher A. Madden, Secretary

Brian Harris, Chief Compliance Officer

INVESTMENT MANAGER

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

CUSTODIAN, ADMINISTRATORAND TRANSFER AGENT

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

LEGAL COUNSEL

Morgan, Lewis & Bockius LLP

2020 K Street, NW

Washington, DC 20006

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

State Street Global Advisors

State Street Financial Center

One Lincoln Street

Boston, MA 02111

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

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

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

Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates rise bond values and yields 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.

”SPDR” is a product of S&P Dow Jones Indices LLC (SPDJI), and has been licensed for use by State Street Corporation. Standard & Poors and S&P are registered trademarks of Standard & Poors Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); SPDR is a trademark of the SPDJI; and these trademarks have been licensed for use by 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 none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of SPDR.

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

© 2015 State Street Corporation SPDRACTSAR    Exp Date - 02/29/2016    IBG-14266

Not FDIC Insured — No Bank Guarantee — May Lose Value

For more complete information, please call 866.787.2257 or visit www.spdrs.com today.

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. Disclosure of Audit Committees for Listed Companies.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 6. Schedule of Investments.

(a) A Schedule of Investments for each series of the registrant is included as a part of the reports to shareholders filed under Item 1 of this Form N-CSR.

(b) Not applicable to the registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Chad C. Hallett, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Hallett 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 Securities and Exchange Commission.

(b) In the registrant’s second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the registrant’s internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12. Exhibits.

(a)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 for each principal executive officer and principal financial officer of the registrant are attached.

(a)(3) Not applicable to the registrant.

(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

SSgA Master Trust

By:	/s/ Ellen M. Needham
	Ellen M. Needham
	President and Principal Executive Officer
Date:	March 9, 2015

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 9, 2015
By:	/s/ Chad C. Hallett
	Chad C. Hallett
	Treasurer and Principal Financial Officer
Date:	March 9, 2015