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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22705
SSGA MASTER TRUST
(Exact name of registrant as specified in charter)
One Lincoln Street, Boston, Massachusetts 02111
(Address of principal executive offices) (zip code)
Joshua A. Weinberg, Esq.
Vice President and Managing Counsel
SSGA Funds Management, Inc.
One Lincoln Street
Boston, Massachusetts 02111
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617) 664-7037
Date of fiscal year end: June 30
Date of reporting period: December 31, 2015
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Item 1. Reports to Shareholders.
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SSGA Master Trust
Semi-Annual Report December 31, 2015
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Portfolio Summary | ||||
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2 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
8 | ||||
9 | ||||
10 | ||||
Schedules of Investments | ||||
11 | ||||
12 | ||||
13 | ||||
14 | ||||
21 | ||||
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SSGA MULTI-ASSET REAL RETURN PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | SPDR S&P GLOBAL NATURAL RESOURCES ETF | SPDR BARCLAYS TIPS ETF | POWERSHARES DB COMMODITY INDEX TRACKING FUND | SPDR DOW JONES REIT ETF | SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF | |||||||||
MARKET VALUE | $19,714,664 | 18,792,119 | 12,589,970 | 7,516,684 | 7,290,911 | |||||||||
% OF NET ASSETS | 23.8 | 22.7 | 15.2 | 9.1 | 8.8 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2015*
PERCENT OF | ||||||||
Natural Resources Funds | 33.9 | % | ||||||
Inflation Linked Funds | 28.8 | |||||||
Real Estate Funds | 17.9 | |||||||
Commodities Funds | 15.2 | |||||||
Short-Term Funds | 7.8 | |||||||
Liabilities in Excess of Other Assets | (3.6 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
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SSGA INCOME ALLOCATION PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | SPDR BARCLAYS HIGH YIELD BOND ETF | SPDR BARCLAYS LONG TERM CORPORATE BOND ETF | SPDR BARCLAYS LONG TERM TREASURY ETF | SPDR DOW JONES REIT ETF | WISDOMTREE EUROPE HEDGED EQUITY FUND | |||||||||
MARKET VALUE | $15,084,016 | 11,268,889 | 9,437,434 | 6,462,481 | 6,336,074 | |||||||||
% OF NET ASSETS | 14.8 | 11.0 | 9.3 | 6.3 | 6.2 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2015*
PERCENT OF | ||||||||
Domestic Fixed Income Funds | 43.8 | % | ||||||
International Equity Funds | 17.7 | |||||||
Domestic Equity Funds | 16.8 | |||||||
Real Estate Funds | 10.4 | |||||||
Short-Term Funds | 6.5 | |||||||
Inflation Linked Funds | 4.4 | |||||||
Other Assets in Excess of Liabilities | 0.4 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
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SSGA GLOBAL ALLOCATION PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | SPDR S&P WORLD EX-US ETF | SPDR BARCLAYS HIGH YIELD BOND ETF | WISDOMTREE EUROPE HEDGED EQUITY FUND | WISDOMTREE JAPAN HEDGED EQUITY FUND | SPDR BARCLAYS LONG TERM TREASURY ETF | |||||||||
MARKET VALUE | $27,388,987 | 20,119,956 | 18,689,989 | 15,236,189 | 11,995,391 | |||||||||
% OF NET ASSETS | 14.2 | 10.4 | 9.7 | 7.9 | 6.2 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2015*
PERCENT OF | ||||||||
International Equity Funds | 34.7 | % | ||||||
Domestic Fixed Income Funds | 24.8 | |||||||
Short-Term Funds | 18.2 | |||||||
Domestic Equity Funds | 12.0 | |||||||
Real Estate Funds | 6.2 | |||||||
Inflation Linked Funds | 4.0 | |||||||
Other Assets in Excess of Liabilities | 0.1 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
3
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BLACKSTONE/GSO SENIOR LOAN PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | AVAGO TECHNOLOGIES, LTD. | DELL, INC. 4.00% 04/29/2020 | SCIENTIFIC GAMES INTERNATIONAL, INC. 6.00% 10/01/2021 | SERVICEMASTER CO. 4.25% 07/01/2021 | PETSMART, INC. 4.25% 03/11/2022 | |||||||||
MARKET VALUE | $16,051,784 | 11,807,902 | 11,720,459 | 11,486,542 | 11,372,437 | |||||||||
% OF NET ASSETS | 2.0 | 1.5 | 1.5 | 1.5 | 1.4 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*
PERCENT OF NET ASSETS | ||||||||
Software | 9.3 | % | ||||||
Hotels, Restaurants & Leisure | 7.9 | |||||||
Health Care Providers & Services | 5.1 | |||||||
Media | 4.9 | |||||||
Commercial Services & Supplies | 4.3 | |||||||
Semiconductors & Semiconductor Equipment | 4.2 | |||||||
Diversified Telecommunication Services | 3.4 | |||||||
Automobiles | 2.9 | |||||||
IT Services | 2.8 | |||||||
Food & Staples Retailing | 2.7 | |||||||
Pharmaceuticals | 2.6 | |||||||
Specialty Retail | 2.4 | |||||||
Insurance | 1.9 | |||||||
Diversified Consumer Services | 1.8 | |||||||
Health Care Equipment & Supplies | 1.8 | |||||||
Health Care Services | 1.8 | |||||||
Containers & Packaging | 1.7 | |||||||
Electric Utilities | 1.6 | |||||||
Independent Power Producers & Energy Traders | 1.6 | |||||||
Multiline Retail | 1.6 | |||||||
Professional Services | 1.6 | |||||||
Technology Hardware, Storage & Peripherals | 1.5 | |||||||
Packaging & Containers | 1.4 | |||||||
Electronic Equipment, Instruments & Components | 1.3 | |||||||
Wireless Telecommunication Services | 1.3 | |||||||
Chemicals | 1.2 | |||||||
Household Durables | 1.2 | |||||||
Internet Software & Services | 1.2 | |||||||
Machinery | 1.2 | % | ||||||
Airlines | 1.1 | |||||||
Communications Equipment | 1.1 | |||||||
Personal Products | 1.1 | |||||||
Entertainment | 1.0 | |||||||
Aerospace & Defense | 0.9 | |||||||
Metals & Mining | 0.9 | |||||||
Capital Markets | 0.8 | |||||||
Oil, Gas & Consumable Fuels | 0.8 | |||||||
Leisure Time | 0.7 | |||||||
Telecommunications | 0.7 | |||||||
Auto Components | 0.6 | |||||||
Diversified Financial Services | 0.6 | |||||||
Health Care Technology | 0.6 | |||||||
Life Sciences Tools & Services | 0.6 | |||||||
Biotechnology | 0.5 | |||||||
Electrical Equipment | 0.5 | |||||||
Real Estate Management & Development | 0.5 | |||||||
Trading Companies & Distributors | 0.4 | |||||||
Electric | 0.3 | |||||||
Energy Equipment & Services | 0.3 | |||||||
Food Products | 0.3 | |||||||
Distributors | 0.2 | |||||||
Lodging | 0.2 | |||||||
Marine | 0.2 | |||||||
Food Service | 0.1 | |||||||
Mining | 0.1 | |||||||
Short-Term Investment | 9.4 | |||||||
Liabilities in Excess of Other Assets | (2.7 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown allocation is expressed as a percentage of net assets and may change over time. |
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SSGA ULTRA SHORT TERM BOND PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | TREASURY NOTES 0.63% 09/30/2017 | TARGET CORP. 5.88% 07/15/2016 | BMW VEHICLE LEASE TRUST 0.72% 02/21/2017 | NBCUNIVERSAL ENTERPRISE, INC. 0.86% 04/15/2016 | WELLS FARGO & CO. 0.95% 04/23/2018 | |||||||||
MARKET VALUE | $615,713 | 512,973 | 484,910 | 449,767 | 399,756 | |||||||||
% OF NET ASSETS | 4.4 | 3.7 | 3.5 | 3.2 | 2.8 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*
PERCENT OF NET ASSETS | ||||||||
Banks | 26.0 | % | ||||||
Asset-Backed — Credit Card | 10.5 | |||||||
Retail | 7.6 | |||||||
Auto Manufacturers | 7.5 | |||||||
Sovereign | 7.3 | |||||||
Asset-Backed — Other | 6.2 | |||||||
Asset-Backed — Automobile | 5.8 | |||||||
Health Care Services | 4.3 | |||||||
Beverages | 3.6 | |||||||
Diversified Financial Services | 3.6 | |||||||
Oil & Gas | 3.6 | |||||||
Media | 3.2 | |||||||
Telecommunications | 2.1 | |||||||
Aerospace & Defense | 1.8 | |||||||
Machinery, Construction & Mining | 1.4 | |||||||
Machinery-Diversified | 1.4 | |||||||
Mining | 1.4 | |||||||
Internet | 1.1 | |||||||
Short-Term Investments | 0.9 | |||||||
Asset-Backed — Student Loan | 0.5 | |||||||
Other Assets in Excess of Liabilities | 0.2 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | TREASURY NOTES 1.75% 03/31/2022 | FEDERAL HOME LOAN MORTGAGE CORP. 3.00% 12/01/2045 | FEDERAL HOME LOAN MORTGAGE CORP. 2.25% 03/15/2038 | TREASURY NOTES 2.50% 05/15/2024 | TREASURY NOTES 1.38% 04/30/2020 | |||||||||
MARKET VALUE | $40,472,403 | 31,799,922 | 30,115,350 | 29,020,822 | 26,456,692 | |||||||||
% OF NET ASSETS | 2.2 | 1.8 | 1.7 | 1.6 | 1.5 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*
PERCENT OF NET ASSETS | ||||||||
U.S. Government Agency Obligations | 35.3 | % | ||||||
Commercial Mortgage Backed Securities | 20.7 | |||||||
U.S. Treasury Obligations | 7.6 | |||||||
Banks | 2.8 | |||||||
Foreign Government Obligations | 1.2 | |||||||
Electric | 1.0 | |||||||
Diversified Financial Services | 0.9 | |||||||
Media | 0.9 | |||||||
Oil & Gas | 0.7 | |||||||
Food | 0.6 | |||||||
Health Care Services | 0.6 | |||||||
Telecommunications | 0.6 | |||||||
Software | 0.5 | |||||||
Commercial Services | 0.4 | |||||||
Pharmaceuticals | 0.4 | |||||||
Pipelines | 0.4 | |||||||
Aerospace & Defense | 0.3 | |||||||
Chemicals | 0.3 | |||||||
Commercial Services & Supplies | 0.3 | |||||||
Food Products | 0.3 | |||||||
Forest Products & Paper | 0.3 | |||||||
Hotels, Restaurants & Leisure | 0.3 | |||||||
Insurance | 0.3 | |||||||
Investment Company Security | 0.3 | |||||||
Mining | 0.3 | |||||||
Retail | 0.3 | |||||||
Capital Markets | 0.2 | |||||||
Containers & Packaging | 0.2 | |||||||
Engineering & Construction | 0.2 | |||||||
Entertainment | 0.2 | |||||||
Gas | 0.2 | |||||||
Health Care Providers & Services | 0.2 | |||||||
Holding Companies-Divers | 0.2 | |||||||
IT Services | 0.2 | |||||||
Machinery | 0.2 | |||||||
PERCENT OF NET ASSETS | ||||||||
Agriculture | 0.1 | |||||||
Airlines | 0.1 | |||||||
Apparel | 0.1 | |||||||
Auto Manufacturers | 0.1 | |||||||
Auto Parts & Equipment | 0.1 | |||||||
Building Products | 0.1 | |||||||
Construction & Engineering | 0.1 | |||||||
Construction Materials | 0.1 | |||||||
Distributors | 0.1 | |||||||
Diversified Telecommunication Services | 0.1 | |||||||
Electric Utilities | 0.1 | |||||||
Electronic Equipment, Instruments & Components | 0.1 | |||||||
Electronics | 0.1 | |||||||
Environmental Control | 0.1 | |||||||
Food & Staples Retailing | 0.1 | |||||||
Health Care Equipment & Supplies | 0.1 | |||||||
Household Durables | 0.1 | |||||||
Household Products | 0.1 | |||||||
Internet | 0.1 | |||||||
Leisure Time | 0.1 | |||||||
Machinery, Construction & Mining | 0.1 | |||||||
Personal Products | 0.1 | |||||||
Real Estate Investment Trusts | 0.1 | |||||||
Real Estate Investment Trusts (REITs) | 0.1 | |||||||
Road & Rail | 0.1 | |||||||
Semiconductors & Semiconductor Equipment | 0.1 | |||||||
Specialty Retail | 0.1 | |||||||
Trading Companies & Distributors | 0.1 | |||||||
Transportation | 0.1 | |||||||
Short-Term Investment | 19.0 | |||||||
Liabilities in Excess of Other Assets | (1.3 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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[LOGO]
SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | AMAZON.COM, INC. | APPLE, INC. | JPMORGAN CHASE & CO. | NORTHROP GRUMMAN CORP. | ROYAL CARIBBEAN CRUISES, LTD. | |||||||||
MARKET VALUE | $290,633 | 267,045 | 249,329 | 221,096 | 220,537 | |||||||||
% OF NET ASSETS | 4.9 | 4.5 | 4.2 | 3.8 | 3.8 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*
PERCENT OF NET ASSETS | ||||||||
Pharmaceuticals | 7.8 | % | ||||||
Software | 7.8 | |||||||
Insurance | 7.2 | |||||||
Internet & Catalog Retail | 6.9 | |||||||
Aerospace & Defense | 6.8 | |||||||
Banks | 6.6 | |||||||
Technology Hardware, Storage & Peripherals | 6.3 | |||||||
Oil, Gas & Consumable Fuels | 5.8 | |||||||
Biotechnology | 5.1 | |||||||
Health Care Providers & Services | 5.1 | |||||||
Hotels, Restaurants & Leisure | 4.5 | |||||||
Tobacco | 3.9 | |||||||
Building Products | 3.3 | |||||||
Chemicals | 3.1 | |||||||
Real Estate Investment Trusts (REITs) | 2.7 | |||||||
Specialty Retail | 2.7 | |||||||
Food Products | 2.5 | |||||||
Food & Staples Retailing | 2.4 | |||||||
Diversified Telecommunication Services | 2.2 | |||||||
Independent Power Producers & Energy Traders | 1.5 | |||||||
Household Products | 1.3 | |||||||
Consumer Finance | 1.1 | |||||||
Health Care Equipment & Supplies | 1.0 | |||||||
Media | 0.9 | |||||||
Multiline Retail | 0.8 | |||||||
Short-Term Investments | 0.7 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | AMAZON.COM, INC. | APPLE, INC. | GILEAD SCIENCES, INC. | ELECTRONIC ARTS, INC. | KROGER CO. | |||||||||
MARKET VALUE | $746,858 | 558,931 | 487,533 | 450,941 | 448,041 | |||||||||
% OF NET ASSETS | 8.1 | 6.1 | 5.3 | 4.9 | 4.8 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*
PERCENT OF NET ASSETS | ||||||||
Internet & Catalog Retail | 12.0 | % | ||||||
Software | 8.4 | |||||||
Biotechnology | 8.1 | |||||||
Food Products | 7.9 | |||||||
Specialty Retail | 7.2 | |||||||
Food & Staples Retailing | 6.7 | |||||||
Health Care Providers & Services | 6.6 | |||||||
Pharmaceuticals | 6.5 | |||||||
IT Services | 6.1 | |||||||
Internet Software & Services | 6.1 | |||||||
Technology Hardware, Storage & Peripherals | 6.1 | |||||||
Hotels, Restaurants & Leisure | 6.0 | |||||||
Media | 4.7 | |||||||
Chemicals | 4.5 | |||||||
Tobacco | 4.2 | |||||||
Auto Components | 3.9 | |||||||
Diversified Telecommunication Services | 3.3 | |||||||
Insurance | 3.3 | |||||||
Oil, Gas & Consumable Fuels | 3.3 | |||||||
Real Estate Investment Trusts (REITs) | 3.1 | |||||||
Beverages | 2.8 | |||||||
Health Care Equipment & Supplies | 2.4 | |||||||
Trading Companies & Distributors | 2.3 | |||||||
Aerospace & Defense | 1.4 | |||||||
Machinery | 1.3 | |||||||
Road & Rail | 0.9 | |||||||
Consumer Finance | 0.7 | |||||||
Air Freight & Logistics | 0.6 | |||||||
Textiles, Apparel & Luxury Goods | 0.6 | |||||||
Communications Equipment | 0.4 | |||||||
Short-Term Investments | 0.9 | |||||||
Liabilities in Excess of Other Assets | (32.3 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO
PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | JPMORGAN CHASE & CO. | WELLS FARGO & CO. | CITIGROUP, INC. | VALERO ENERGY CORP. | PRUDENTIAL FINANCIAL, INC. | |||||||||
MARKET VALUE | $150,878 | 129,051 | 122,958 | 94,681 | 94,680 | |||||||||
% OF NET ASSETS | 5.4 | 4.6 | 4.4 | 3.3 | 3.4 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*
PERCENT OF NET ASSETS | ||||||||
Banks | 14.4 | % | ||||||
Oil, Gas & Consumable Fuels | 10.1 | |||||||
Insurance | 9.1 | |||||||
Pharmaceuticals | 5.4 | |||||||
Food Products | 5.3 | |||||||
Health Care Providers & Services | 5.2 | |||||||
Aerospace & Defense | 5.1 | |||||||
Software | 4.8 | |||||||
Specialty Retail | 4.4 | |||||||
Auto Components | 4.1 | |||||||
Semiconductors & Semiconductor Equipment | 4.1 | |||||||
Real Estate Investment Trusts (REITs) | 3.5 | |||||||
Electric Utilities | 3.2 | |||||||
Chemicals | 2.9 | |||||||
Hotels, Restaurants & Leisure | 2.6 | |||||||
Biotechnology | 2.3 | |||||||
Independent Power Producers & Energy Traders | 1.9 | |||||||
Communications Equipment | 1.7 | |||||||
Technology Hardware, Storage & Peripherals | 1.7 | |||||||
Industrial Conglomerates | 1.5 | |||||||
Multi-Utilities | 1.5 | |||||||
Diversified Telecommunication Services | 1.3 | |||||||
Internet Software & Services | 1.0 | |||||||
Consumer Finance | 0.7 | |||||||
Health Care Equipment & Supplies | 0.7 | |||||||
Trading Companies & Distributors | 0.7 | |||||||
Short-Term Investments | 0.7 | |||||||
Other Assets in Excess of Liabilities | 0.1 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2015
DESCRIPTION | MCDONALD’S CORP. | DOLLAR TREE, INC. | PROCTER & GAMBLE CO. | AUTOZONE, INC. | CAPITAL BANK FINANCIAL CORP. | |||||||||
MARKET VALUE | $105,381 | 98,224 | 89,892 | 89,771 | 86,890 | |||||||||
% OF NET ASSETS | 5.6 | 5.3 | 4.8 | 4.8 | 4.7 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2015*
PERCENT OF NET ASSETS | ||||||||
Pharmaceuticals | 14.3 | % | ||||||
Diversified Telecommunication Services | 7.4 | |||||||
Multiline Retail | 7.1 | |||||||
Banks | 6.6 | |||||||
Beverages | 6.3 | |||||||
Hotels, Restaurants & Leisure | 6.1 | |||||||
Household Products | 5.7 | |||||||
Food Products | 4.8 | |||||||
Specialty Retail | 4.8 | |||||||
Commercial Services & Supplies | 4.6 | |||||||
Diversified Financial Services | 4.1 | |||||||
Food & Staples Retailing | 4.0 | |||||||
Biotechnology | 3.9 | |||||||
Multi-Utilities | 3.7 | |||||||
Electric Utilities | 2.2 | |||||||
IT Services | 2.0 | |||||||
Water Utilities | 1.9 | |||||||
Health Care Equipment & Supplies | 1.7 | |||||||
Insurance | 1.6 | |||||||
Oil, Gas & Consumable Fuels | 1.4 | |||||||
Real Estate Investment Trusts (REITs) | 1.2 | |||||||
Professional Services | 1.1 | |||||||
Tobacco | 1.0 | |||||||
Media | 0.6 | |||||||
Internet & Catalog Retail | 0.5 | |||||||
Metals & Mining | 0.4 | |||||||
Capital Markets | 0.3 | |||||||
Health Care Providers & Services | 0.1 | |||||||
Paper & Forest Products | 0.1 | |||||||
Short-Term Investments | 0.4 | |||||||
Other Assets in Excess of Liabilities | 0.1 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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SSGA Multi-Asset Real Return Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 95.8% |
| |||||||
COMMODITIES — 15.2% | ||||||||
PowerShares DB Commodity Index Tracking Fund (a) (b) | 942,363 | $ | 12,589,970 | |||||
PowerShares DB Oil Fund (a) (b) | 562 | 5,086 | ||||||
|
| |||||||
12,595,056 | ||||||||
|
| |||||||
INFLATION LINKED — 28.8% | ||||||||
SPDR Barclays TIPS ETF (c) | 343,989 | 18,792,119 | ||||||
SPDR DB International Government Inflation-Protected Bond ETF (c) | 100,309 | 5,058,583 | ||||||
|
| |||||||
23,850,702 | ||||||||
|
| |||||||
NATURAL RESOURCES — 33.9% | ||||||||
Energy Select Sector SPDR Fund (c) | 63,020 | 3,815,861 | ||||||
PowerShares Global Agriculture Portfolio (c) | 108,727 | 2,520,292 | ||||||
SPDR S&P Global Natural Resources ETF (c) | 614,164 | 19,714,664 | ||||||
SPDR S&P International Energy Sector ETF (c) | 104,940 | 1,607,681 | ||||||
SPDR S&P Metals & Mining ETF (c) | 23,269 | 347,872 | ||||||
|
| |||||||
28,006,370 | ||||||||
|
| |||||||
REAL ESTATE — 17.9% | ||||||||
SPDR Dow Jones International Real Estate ETF (c) | 186,373 | 7,290,911 | ||||||
SPDR Dow Jones REIT ETF (c) | 82,033 | 7,516,684 | ||||||
|
| |||||||
14,807,595 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $102,067,109) | 79,259,723 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 7.8% | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (c) (d) | 6,481,970 | 6,481,970 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 103.6%(e) (Cost $108,549,079) | 85,741,693 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.6)% | (2,969,954 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 82,771,739 | ||||||
|
|
(a) | Qualified Publicly Traded Partnerships |
(b) | Non-income producing security |
(c) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(d) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(e) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs (Note 2). |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
11
Table of Contents
SSGA Income Allocation Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 93.1% |
| |||||||
DOMESTIC EQUITY — 16.8% | ||||||||
Consumer Discretionary Select Sector SPDR Fund (a) | 25,629 | $ | 2,002,906 | |||||
Health Care Select Sector SPDR Fund (a) | 28,937 | 2,084,911 | ||||||
SPDR S&P Dividend ETF (a) | 80,335 | 5,910,246 | ||||||
SPDR Wells Fargo Preferred Stock ETF (a) | 115,452 | 5,160,704 | ||||||
Technology Select Sector SPDR Fund (a) | 46,878 | 2,007,785 | ||||||
|
| |||||||
17,166,552 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 43.8% |
| |||||||
SPDR Barclays Convertible Securities ETF (a) | 111,151 | 4,810,615 | ||||||
SPDR Barclays High Yield Bond ETF (a) | 444,825 | 15,084,016 | ||||||
SPDR Barclays Intermediate Term Corporate Bond ETF (a) | 122,494 | 4,094,974 | ||||||
SPDR Barclays Long Term Corporate Bond ETF (a) | 299,864 | 11,268,889 | ||||||
SPDR Barclays Long Term Treasury ETF (a) | 135,052 | 9,437,434 | ||||||
|
| |||||||
44,695,928 | ||||||||
|
| |||||||
INFLATION LINKED — 4.4% |
| |||||||
SPDR Barclays TIPS ETF (a) | 82,723 | 4,519,158 | ||||||
|
| |||||||
INTERNATIONAL EQUITY — 17.7% |
| |||||||
SPDR S&P Global Infrastructure ETF (a) | 24,104 | 1,001,280 | ||||||
SPDR S&P International Dividend ETF (a) | 58,861 | 1,963,603 | ||||||
SPDR STOXX Europe 50 ETF (a) | 125,047 | 3,981,496 | ||||||
WisdomTree Europe Hedged Equity Fund | 117,749 | 6,336,074 | ||||||
WisdomTree Japan Hedged Equity Fund | 94,347 | 4,724,898 | ||||||
|
| |||||||
18,007,351 | ||||||||
|
| |||||||
REAL ESTATE — 10.4% |
| |||||||
SPDR Dow Jones International Real Estate ETF (a) | 104,548 | 4,089,918 | ||||||
SPDR Dow Jones REIT ETF (a) | 70,528 | 6,462,481 | ||||||
|
| |||||||
10,552,399 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS | 94,941,388 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 6.5% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (a) (b) | 6,658,292 | 6,658,292 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.6% (c) | 101,599,680 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4% | 382,577 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 101,982,257 | ||||||
|
|
(a) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(b) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(c) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs (Note 2). |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
12
Table of Contents
SSGA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 81.7% |
| |||||||
DOMESTIC EQUITY — 12.0% | ||||||||
Consumer Discretionary Select Sector SPDR Fund (a) | 48,734 | $ | 3,808,562 | |||||
Health Care Select Sector SPDR Fund (a) | 54,952 | 3,959,291 | ||||||
Industrial Select Sector SPDR Fund (a) | 3,916 | 207,587 | ||||||
SPDR S&P500 ETF Trust (a) | 56,349 | 11,488,998 | ||||||
Technology Select Sector SPDR Fund (a) | 84,030 | 3,599,005 | ||||||
|
| |||||||
23,063,443 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 24.8% |
| |||||||
SPDR Barclays Aggregate Bond ETF (a) | 101,142 | 5,770,151 | ||||||
SPDR Barclays High Yield Bond ETF (a) | 593,334 | 20,119,956 | ||||||
SPDR Barclays Intermediate Term Corporate Bond ETF (a) | 58,487 | 1,955,221 | ||||||
SPDR Barclays Intermediate Term Treasury ETF (a) | 32,025 | 1,921,820 | ||||||
SPDR Barclays Long Term Corporate Bond ETF (a) | 162,698 | 6,114,191 | ||||||
SPDR Barclays Long Term Treasury ETF (a) | 171,657 | 11,995,391 | ||||||
|
| |||||||
47,876,730 | ||||||||
|
| |||||||
INFLATION LINKED — 4.0% | ||||||||
SPDR Barclays TIPS ETF (a) | 142,401 | 7,779,367 | ||||||
|
| |||||||
INTERNATIONAL EQUITY — 34.7% |
| |||||||
SPDR S&P International Small Cap ETF (a) | 203,836 | 5,754,290 | ||||||
SPDR S&P World ex-US ETF (a) | 1,063,650 | 27,388,987 | ||||||
WisdomTree Europe Hedged Equity Fund | 347,333 | 18,689,989 | ||||||
WisdomTree Japan Hedged Equity Fund | 304,237 | 15,236,189 | ||||||
|
| |||||||
67,069,455 | ||||||||
|
| |||||||
REAL ESTATE — 6.2% | ||||||||
SPDR Dow Jones International Real Estate ETF (a) | 96,244 | 3,765,065 | ||||||
SPDR Dow Jones REIT ETF (a) | 88,853 | 8,141,601 | ||||||
|
| |||||||
11,906,666 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS | 157,695,661 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 18.2% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (a) (b) | 35,091,184 | 35,091,184 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (c) | 192,786,845 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 236,604 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 193,023,449 | ||||||
|
|
(a) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(b) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(c) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs (Note 2). |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
13
Table of Contents
Blackstone/GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
SENIOR FLOATING RATE LOANS* — 85.3% |
| |||||||
AEROSPACE & DEFENSE — 0.9% |
| |||||||
TransDigm, Inc.: | ||||||||
Senior Secured Term Loan C, | $ | 1,994,859 | $ | 1,951,081 | ||||
Senior Secured Term Loan D, | 4,962,217 | 4,847,912 | ||||||
|
| |||||||
6,798,993 | ||||||||
|
| |||||||
AIRLINES — 1.1% |
| |||||||
American Airlines, Inc.: | ||||||||
Senior Secured Term Loan, | 2,000,000 | 1,973,910 | ||||||
Senior Secured Term Loan B, | 3,712,500 | 3,682,336 | ||||||
US Airways Group, Inc. | ||||||||
Senior Secured Term Loan B1, | 3,221,654 | 3,194,479 | ||||||
|
| |||||||
8,850,725 | ||||||||
|
| |||||||
AUTO COMPONENTS — 0.6% |
| |||||||
Federal-Mogul Holdings Corp. Senior Secured Term Loan C, | 4,937,500 | 4,375,859 | ||||||
|
| |||||||
AUTOMOBILES — 2.9% |
| |||||||
Affinia Group Intermediate Holdings, Inc. | 2,700,000 | 2,696,639 | ||||||
Chrysler Group LLC: | ||||||||
Senior Secured Term Loan B, | 10,078,522 | 10,005,452 | ||||||
Senior Secured Term Loan B, | 8,477,807 | 8,461,911 | ||||||
TI Group Automotive Systems LLC | 1,995,000 | 1,955,100 | ||||||
|
| |||||||
23,119,102 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 0.5% |
| |||||||
Grifols Worldwide Operations USA, Inc. | 3,989,848 | 3,958,926 | ||||||
|
| |||||||
CAPITAL MARKETS — 0.8% |
| |||||||
Blue Coat Systems, Inc. | 4,841,246 | 4,691,990 | ||||||
Hamilton Lane Advisors LLC | 1,408,235 | 1,400,610 | ||||||
|
| |||||||
6,092,600 | ||||||||
|
| |||||||
CHEMICALS — 1.2% | ||||||||
Axalta Coating Systems US Holdings, Inc. Senior Secured Term Loan, | 5,110,713 | 5,071,692 | ||||||
Ineos US Finance LLC | 4,019,333 | 3,927,210 | ||||||
|
| |||||||
8,998,902 | ||||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 4.3% |
| |||||||
ADS Waste Holdings, Inc. | 5,259,660 | 5,105,158 | ||||||
Allied Security Holdings LLC | 314,447 | 306,586 | ||||||
Aramark Services, Inc. | 3,959,924 | 3,928,581 | ||||||
Asurion LLC: | ||||||||
Senior Secured 2nd Lien Term Loan, 8.50%, 3/3/2021 | 5,381,859 | 4,631,090 | ||||||
Senior Secured Term Loan B1, 5.00%, 5/24/2019 | 1,473,512 | 1,384,645 | ||||||
Senior Secured Term Loan B4, 5.00%, 8/4/2022 | 8,588,226 | 7,875,403 | ||||||
EnergySolutions LLC | 1,875,714 | 1,453,678 | ||||||
Lineage Logistics Holdings LLC | 2,680,616 | 2,452,764 | ||||||
Multi Packaging Solutions, Inc. | 1,592,612 | 1,548,815 | ||||||
West Corp. | 5,234,560 | 5,159,784 | ||||||
|
| |||||||
33,846,504 | ||||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 1.1% |
| |||||||
Avaya, Inc. | 10,797,789 | 7,576,431 | ||||||
CommScope, Inc. | 1,402,033 | 1,395,030 | ||||||
|
| |||||||
8,971,461 | ||||||||
|
| |||||||
CONTAINERS & PACKAGING — 1.7% |
| |||||||
Berry Plastics Holding Corp.: | ||||||||
Senior Secured Term Loan D, 3.50%, 2/8/2020 | 2,919,937 | 2,871,160 | ||||||
Senior Secured Term Loan E, 3.75%, 1/6/2021 | 1,105,503 | 1,091,756 | ||||||
Senior Secured Term Loan F, 4.00%, 10/1/2022 | 3,229,201 | 3,206,839 | ||||||
Coveris Holdings S.A. | 593,526 | 577,946 | ||||||
Hilex Poly Co. LLC | 1,211,856 | 1,212,160 |
See accompanying notes to financial statements.
14
Table of Contents
Blackstone/GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
Reynolds Group Holdings, Inc. | $ | 2,400,190 | $ | 2,380,940 | ||||
Tekni-Plex, Inc. | 2,224,845 | 2,196,111 | ||||||
|
| |||||||
13,536,912 | ||||||||
|
| |||||||
DISTRIBUTORS — 0.2% |
| |||||||
American Tire Distributors Holdings, Inc. | 1,938,442 | 1,912,602 | ||||||
|
| |||||||
DIVERSIFIED CONSUMER SERVICES — 1.8% |
| |||||||
Nord Anglia Education Finance LLC | 2,809,269 | 2,753,084 | ||||||
ServiceMaster Co. | 11,590,860 | 11,486,542 | ||||||
|
| |||||||
14,239,626 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.6% |
| |||||||
AlixPartners LLP | 1,777,723 | 1,767,732 | ||||||
Opal Acquisition, Inc. | 1,636,420 | 1,367,769 | ||||||
Tech Finance & Co S.C.A | 1,609,556 | 1,589,839 | ||||||
|
| |||||||
4,725,340 | ||||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.4% |
| |||||||
Crown Castle Operating Co. | 1,994,911 | 1,989,724 | ||||||
Intelsat Jackson Holdings, Ltd. | 4,141,243 | 3,926,789 | ||||||
Level 3 Financing, Inc. | 9,500,000 | 9,369,375 | ||||||
Telesat LLC | 3,989,744 | 3,936,540 | ||||||
Virgin Media Investment Holdings, Ltd. | 8,000,000 | 7,845,640 | ||||||
|
| |||||||
27,068,068 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 1.6% |
| |||||||
Astoria Energy LLC | 1,076,431 | 1,061,178 | ||||||
La Frontera Generation LLC | 3,430,752 | 3,256,350 | ||||||
Panda Temple II Power LLC | 3,000,000 | 2,670,000 | ||||||
PowerTeam Services LLC | 2,881,027 | 2,810,197 | ||||||
Sandy Creek Energy Associates L.P. | 3,491,785 | 2,458,217 | ||||||
|
| |||||||
12,255,942 | ||||||||
|
| |||||||
ELECTRICAL EQUIPMENT — 0.5% |
| |||||||
Gates Global, Inc. | 4,088,323 | 3,845,926 | ||||||
|
| |||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.3% |
| |||||||
CDW LLC | 6,045,120 | 5,911,372 | ||||||
Zebra Technologies Corp. | 4,252,874 | 4,263,718 | ||||||
|
| |||||||
10,175,090 | ||||||||
|
| |||||||
ENERGY EQUIPMENT & SERVICES — 0.3% |
| |||||||
Granite Acquisition, Inc.: | ||||||||
Senior Secured Term Loan B, | 2,231,237 | 2,006,250 | ||||||
Senior Secured Term Loan C, | 99,166 | 89,167 | ||||||
|
| |||||||
2,095,417 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 2.7% |
| |||||||
Albertsons LLC: | ||||||||
Senior Secured Term Loan B2, | 3,945,257 | 3,937,860 | ||||||
Senior Secured Term Loan B4, | 7,634,788 | 7,583,291 | ||||||
Supervalu, Inc. | 2,917,793 | 2,883,451 | ||||||
US Foods, Inc. | 6,545,685 | 6,476,137 | ||||||
|
| |||||||
20,880,739 | ||||||||
|
| |||||||
FOOD PRODUCTS — 0.3% |
| |||||||
Dole Food Co., Inc. | 2,676,967 | 2,665,256 | ||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.8% |
| |||||||
Greatbatch, Ltd. | 1,497,006 | 1,486,250 | ||||||
Immucor, Inc. | 1,409,872 | 1,346,428 | ||||||
Kinetic Concepts, Inc. | 5,440,847 | 5,261,734 |
See accompanying notes to financial statements.
15
Table of Contents
Blackstone/GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
Ortho-Clinical Diagnostics, Inc. | $ | 6,767,176 | $ | 5,777,476 | ||||
|
| |||||||
13,871,888 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 5.1% |
| |||||||
Air Medical Group Holdings, Inc. | 1,496,241 | 1,452,296 | ||||||
CHG Healthcare Services, Inc. | 2,111,372 | 2,079,702 | ||||||
Community Health Systems, Inc.: | ||||||||
Senior Secured Term Loan F, 3.66%, 12/31/2018 | 1,994,975 | 1,972,112 | ||||||
Senior Secured Term Loan G, 3.75%, 12/31/2019 | 5,208,037 | 5,090,048 | ||||||
Senior Secured Term Loan H, 4.00%, 1/27/2021 | 8,036,994 | 7,927,932 | ||||||
DaVita HealthCare Partners, Inc. | 2,176,295 | 2,171,757 | ||||||
Envision Healthcare Corp. | 1,604,938 | 1,598,117 | ||||||
FHC Health Systems, Inc. | 4,367,586 | 4,171,044 | ||||||
HCA, Inc. | 4,987,245 | 4,987,569 | ||||||
MPH Acquisition Holdings LLC | 5,973,239 | 5,828,896 | ||||||
National Mentor Holdings, Inc. | 712,694 | 692,504 | ||||||
Truven Health Analytics, Inc. | 2,475,413 | 2,382,585 | ||||||
|
| |||||||
40,354,562 | ||||||||
|
| |||||||
HEALTH CARE TECHNOLOGY — 0.6% |
| |||||||
CT Technologies Intermediate Holdings, Inc. | 459,231 | 444,880 | ||||||
IMS Health, Inc. | 4,417,679 | 4,330,717 | ||||||
|
| |||||||
4,775,597 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 7.9% |
| |||||||
Burger King 1011778 B.C. Unlimited Liability Co. | 3,989,903 | 3,959,979 | ||||||
Caesars Entertainment Resort Properties LLC | 4,531,310 | 4,137,675 | ||||||
CEC Entertainment, Inc. | 8,837,441 | 8,417,662 | ||||||
Delta 2 (LUX) S.a.r.l.: | ||||||||
Senior Secured 2nd Lien Term Loan, | 2,561,701 | 2,374,697 | ||||||
Senior Secured Term Loan B3, | 7,018,093 | 6,807,550 | ||||||
Hilton Worldwide Finance LLC | 3,520,833 | 3,518,826 | ||||||
La Quinta Intermediate Holdings LLC | 5,486,216 | 5,358,195 | ||||||
Las Vegas Sands LLC | 6,134,037 | 6,082,664 | ||||||
MGM Resorts International | 1,994,859 | 1,971,589 | ||||||
Scientific Games International, Inc. | 12,811,765 | 11,720,459 | ||||||
Travelport Finance (Luxembourg) S.A.R.L. | 7,979,849 | 7,828,990 | ||||||
|
| |||||||
62,178,286 | ||||||||
|
| |||||||
HOUSEHOLD DURABLES — 1.2% |
| |||||||
Jarden Corp. | 2,565,000 | 2,565,539 | ||||||
Serta Simmons Holdings LLC | 3,109,704 | 3,095,274 | ||||||
Spin Holdco Inc. | 3,851,793 | 3,710,240 | ||||||
|
| |||||||
9,371,053 | ||||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.6% |
| |||||||
Calpine Construction Finance Company L.P. | 1,969,786 | 1,873,267 | ||||||
Calpine Corp. | 2,339,547 | 2,286,181 | ||||||
NRG Energy, Inc. | 5,974,411 | 5,828,785 | ||||||
Panda Sherman Power LLC | 2,977,394 | 2,694,542 | ||||||
|
| |||||||
12,682,775 | ||||||||
|
|
See accompanying notes to financial statements.
16
Table of Contents
Blackstone/GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
INSURANCE — 1.9% |
| |||||||
Alliant Holdings I, Inc. | $ | 2,356,579 | $ | 2,305,771 | ||||
AmWINS Group LLC | 1,071,429 | 1,064,062 | ||||||
Hub International, Ltd. | 4,454,660 | 4,216,625 | ||||||
National Financial Partners Corp. | 3,913,792 | 3,770,274 | ||||||
Sedgwick Claims Management Services, Inc. | 3,992,373 | 3,840,164 | ||||||
|
| |||||||
15,196,896 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 1.2% |
| |||||||
Go Daddy Operating Company LLC | 1,352,684 | 1,346,299 | ||||||
Inmar, Inc. | 3,134,091 | 3,065,533 | ||||||
Sabre, Inc. | 5,360,606 | 5,315,041 | ||||||
|
| |||||||
9,726,873 | ||||||||
|
| |||||||
IT SERVICES — 2.8% |
| |||||||
Computer Sciences Government Services, Inc. | 847,458 | 846,932 | ||||||
First Data Corp.: | ||||||||
Senior Secured Extended Term Loan, | 10,987,969 | 10,863,585 | ||||||
Senior Secured Term Loan, | 3,960,401 | 3,912,956 | ||||||
Senior Secured Term Loan, | 4,705,882 | 4,645,294 | ||||||
TNS, Inc. | 1,428,027 | 1,409,284 | ||||||
|
| |||||||
21,678,051 | ||||||||
|
| |||||||
LIFE SCIENCES TOOLS & SERVICES — 0.6% |
| |||||||
Jaguar Holding Company II | 5,088,251 | 4,957,865 | ||||||
|
| |||||||
MACHINERY — 1.2% |
| |||||||
Allison Transmission, Inc. | 3,896,725 | 3,878,469 | ||||||
Gardner Denver, Inc. | 2,939,850 | 2,655,419 | ||||||
Rexnord LLC | 3,316,607 | 3,223,344 | ||||||
|
| |||||||
9,757,232 | ||||||||
|
| |||||||
MARINE — 0.2% |
| |||||||
Drillships Ocean Ventures, Inc. | 2,974,347 | 1,420,251 | ||||||
|
| |||||||
MEDIA — 3.7% |
| |||||||
Acosta Holdco, Inc. | 3,831,260 | 3,654,754 | ||||||
CCO Safari III LLC | 5,036,374 | 5,038,489 | ||||||
Neptune Finco Corp. | 6,849,315 | 6,851,473 | ||||||
Numericable Group SA | 1,781,818 | 1,709,432 | ||||||
Numericable U.S. LLC | 6,086,957 | 5,864,143 | ||||||
Penton Media, Inc. | 1,326,908 | 1,319,444 | ||||||
Univision Communications, Inc.: | ||||||||
Senior Secured Term Loan C3, | 1,970,335 | 1,931,283 | ||||||
Senior Secured Term Loan C4, | 2,926,327 | 2,869,263 | ||||||
|
| |||||||
29,238,281 | ||||||||
|
| |||||||
METALS & MINING — 0.9% |
| |||||||
FMG Resources (August 2006) Pty, Ltd. | 9,192,197 | 6,862,343 | ||||||
|
| |||||||
MULTILINE RETAIL — 1.6% |
| |||||||
Dollar Tree, Inc. | 6,584,469 | 6,576,271 | ||||||
Neiman Marcus Group, Inc. | 6,815,922 | 6,052,675 | ||||||
|
| |||||||
12,628,946 | ||||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 0.8% |
| |||||||
EMG Utica LLC | 2,448,431 | 2,228,072 | ||||||
Fieldwood Energy LLC | 6,389,590 | 1,019,140 | ||||||
Murray Energy Corp. | 3,901,199 | 3,023,429 | ||||||
|
| |||||||
6,270,641 | ||||||||
|
|
See accompanying notes to financial statements.
17
Table of Contents
Blackstone/GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
PERSONAL PRODUCTS — 1.1% |
| |||||||
NBTY, Inc. | $ | 2,883,639 | $ | 2,849,756 | ||||
Revlon Consumer Products Corp. | 5,782,705 | 5,764,634 | ||||||
|
| |||||||
8,614,390 | ||||||||
|
| |||||||
PHARMACEUTICALS — 2.6% |
| |||||||
Concordia Healthcare Corp. | 5,130,841 | 4,941,667 | ||||||
Endo Luxembourg Finance Company I S.a r.l. | 2,463,485 | 2,435,771 | ||||||
Valeant Pharmaceuticals International | 9,751,380 | 9,403,987 | ||||||
Valeant Pharmaceuticals International, Inc. | 3,454,684 | 3,323,406 | ||||||
|
| |||||||
20,104,831 | ||||||||
|
| |||||||
PROFESSIONAL SERVICES — 1.6% |
| |||||||
Advantage Sales & Marketing, Inc. | 6,383,744 | 6,156,770 | ||||||
TransUnion LLC | 6,493,117 | 6,322,672 | ||||||
|
| |||||||
12,479,442 | ||||||||
|
| |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5% |
| |||||||
Realogy Corp. | 3,940,211 | 3,918,855 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.2% |
| |||||||
Avago Technologies, Ltd. | 16,192,171 | 16,051,784 | ||||||
Microsemi Corp. | 8,353,222 | 8,223,747 | ||||||
NXP B.V. | 8,695,652 | 8,676,087 | ||||||
|
| |||||||
32,951,618 | ||||||||
|
| |||||||
SOFTWARE — 8.8% |
| |||||||
Applied Systems, Inc. | 1,633,118 | 1,606,580 | ||||||
Aspect Software, Inc. | 8,870,746 | 8,212,847 | ||||||
Blackboard, Inc. | 2,992,443 | 2,881,169 | ||||||
BMC Software Finance, Inc. | 10,547,090 | 8,723,920 | ||||||
CCC Information Services, Inc. | 2,919,737 | 2,875,035 | ||||||
Compuware Corp.: | ||||||||
Senior Secured 2nd Lien Term Loan, | 2,000,000 | 1,810,000 | ||||||
Senior Secured Term Loan B2, | 4,466,165 | 4,177,718 | ||||||
Epicor Software Corporation | 5,696,863 | 5,574,779 | ||||||
Infor (US), Inc.: | ||||||||
Senior Secured Term Loan B3, | 1,673,327 | 1,576,416 | ||||||
Senior Secured Term Loan B5, | 2,664,293 | 2,508,326 | ||||||
Informatica Corp. | 1,931,867 | 1,864,599 | ||||||
Kronos, Inc.: | ||||||||
Senior Secured 2nd Lien Term Loan, | 6,094,695 | 6,087,077 | ||||||
Senior Secured Initial Incremental Term Loan, | 2,990,910 | 2,949,800 | ||||||
MA FinanceCo. LLC | 4,369,426 | 4,343,493 | ||||||
Mitchell International, Inc. | 2,771,855 | 2,636,034 | ||||||
Sophia L.P. | 3,510,754 | 3,475,647 | ||||||
TIBCO Software, Inc. | 5,310,276 | 4,838,989 | ||||||
Vertafore, Inc. | 2,905,539 | 2,885,564 | ||||||
|
| |||||||
69,027,993 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 2.4% |
| |||||||
Academy, Ltd. | 3,591,651 | 3,474,168 | ||||||
Bass Pro Group LLC | 2,167,937 | 2,093,858 | ||||||
Michaels Stores, Inc. | 1,950,000 | 1,935,375 |
See accompanying notes to financial statements.
18
Table of Contents
Blackstone/GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
PetSmart, Inc. | $ | 11,650,594 | $ | 11,372,437 | ||||
|
| |||||||
18,875,838 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.5% |
| |||||||
Dell, Inc. | 11,880,074 | 11,807,902 | ||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.4% |
| |||||||
Beacon Roofing Supply, Inc. | 1,768,966 | 1,759,572 | ||||||
Univar, Inc. | 1,444,989 | 1,402,037 | ||||||
|
| |||||||
3,161,609 | ||||||||
|
| |||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.3% |
| |||||||
LTS Buyer LLC | 2,992,327 | 2,922,007 | ||||||
SBA Senior Finance II LLC | 1,994,937 | 1,958,240 | ||||||
T-Mobile USA, Inc. | 5,235,174 | 5,241,718 | ||||||
|
| |||||||
10,121,965 | ||||||||
|
| |||||||
TOTAL SENIOR FLOATING RATE LOANS | 670,449,973 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 8.0% |
| |||||||
ELECTRIC — 0.3% |
| |||||||
AES Corp. | 3,000,000 | 2,752,500 | ||||||
|
| |||||||
ENTERTAINMENT — 1.0% |
| |||||||
Cedar Fair L.P. / Canada’s Wonderland Co. / Magnum Management Corp. | 2,000,000 | 2,060,000 | ||||||
Scientific Games Corp. | 3,000,000 | 2,190,000 | ||||||
Scientific Games International, Inc. | 3,400,000 | 3,247,000 | ||||||
|
| |||||||
7,497,000 | ||||||||
|
| |||||||
FOOD SERVICE — 0.1% |
| |||||||
Aramark Services, Inc. | 1,000,000 | 1,034,375 | ||||||
|
| |||||||
HEALTH CARE SERVICES — 1.8% |
| |||||||
CHS/Community Health Systems, Inc. | 2,000,000 | 1,990,000 | ||||||
HCA, Inc.: | ||||||||
4.75%, 5/1/2023 | 4,000,000 | 3,960,000 | ||||||
5.25%, 4/15/2025 | 3,000,000 | 3,022,500 | ||||||
Tenet Healthcare Corp. | 5,000,000 | 4,875,000 | ||||||
|
| |||||||
13,847,500 | ||||||||
|
| |||||||
LEISURE TIME — 0.7% |
| |||||||
Sabre GLBL, Inc.: | ||||||||
5.25%, 11/15/2023 (a) | 750,000 | 741,562 | ||||||
5.38%, 4/15/2023 (a) | 4,950,000 | 4,925,250 | ||||||
|
| |||||||
5,666,812 | ||||||||
|
| |||||||
LODGING — 0.2% |
| |||||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope | 1,465,000 | 1,391,750 | ||||||
|
| |||||||
MEDIA — 1.2% |
| |||||||
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.50%, 8/1/2019 (a) | 5,000,000 | 4,950,000 | ||||||
Univision Communications, Inc. | 5,000,000 | 4,812,500 | ||||||
|
| |||||||
9,762,500 | ||||||||
|
| |||||||
MINING — 0.1% |
| |||||||
FMG Resources August 2006 Pty, Ltd. | 1,000,000 | 915,000 | ||||||
|
| |||||||
PACKAGING & CONTAINERS — 1.4% |
| |||||||
Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is | 3,000,000 | 2,902,500 | ||||||
Coveris Holdings SA | 2,600,000 | 2,268,500 | ||||||
Novelis, Inc. | 5,000,000 | 4,862,500 | ||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 1,000,000 | 1,017,190 | ||||||
|
| |||||||
11,050,690 | ||||||||
|
| |||||||
SOFTWARE — 0.5% |
| |||||||
Infor US, Inc. | 4,000,000 | 4,030,000 | ||||||
|
| |||||||
TELECOMMUNICATIONS — 0.7% |
| |||||||
Avaya, Inc.: | ||||||||
7.00%, 4/1/2019 (a) | 3,000,000 | 2,220,000 | ||||||
9.00%, 4/1/2019 (a) | 4,000,000 | 3,070,000 | ||||||
|
| |||||||
5,290,000 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 63,238,127 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 9.4% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 73,468,378 | 73,468,378 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 102.7% (e) |
| |||||||
(Cost $842,770,383) | 807,156,478 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.7)% | (21,252,558 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 785,903,920 | ||||||
|
|
See accompanying notes to financial statements.
19
Table of Contents
Blackstone/GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
* | The interest rate shown represents the rate at December 31, 2015. |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These Securities, which represent 5.0% of net assets as of December 31, 2015, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Value is determined based on Level 1 inputs (Note 2). |
(c) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(d) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(e) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2). |
See accompanying notes to financial statements.
20
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
ASSET-BACKED SECURITIES — 23.0% |
| |||||||
ASSET-BACKED — OTHER — 6.2% |
| |||||||
Ford Credit Floorplan Master Owner Trust A | $ | 200,000 | $ | 199,325 | ||||
GE Dealer Floorplan Master Note Trust | 250,000 | 249,648 | ||||||
John Deere Owner Trust | 166,274 | 166,138 | ||||||
Mercedes-Benz Master Owner Trust | 250,000 | 249,341 | ||||||
|
| |||||||
864,452 | ||||||||
|
| |||||||
ASSET-BACKED — STUDENT LOAN — 0.5% |
| |||||||
SLM Student Loan Trust | 65,088 | 65,017 | ||||||
|
| |||||||
AUTOMOBILE — 5.8% |
| |||||||
BMW Vehicle Lease Trust | 485,113 | 484,910 | ||||||
Drive Auto Receivables Trust | 250,000 | 250,015 | ||||||
World Omni Auto Receivables Trust | 82,619 | 82,545 | ||||||
|
| |||||||
817,470 | ||||||||
|
| |||||||
CREDIT CARD — 10.5% |
| |||||||
BA Credit Card Trust | 300,000 | 299,672 | ||||||
Barclays Dryrock Issuance Trust: | ||||||||
Series 2014-1, Class A, ABS, 0.69%, 12/16/2019 (a) | 200,000 | 199,806 | ||||||
Series 2014-2, Class A, ABS, 0.67%, 3/16/2020 (a) | 100,000 | 99,841 | ||||||
Capital One Multi-Asset Execution Trust | 250,000 | 249,664 | ||||||
Chase Issuance Trust | 274,000 | 273,072 | ||||||
Golden Credit Card Trust | 350,000 | 348,607 | ||||||
|
| |||||||
1,470,662 | ||||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES (Cost $3,221,204) | 3,217,601 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 68.6% |
| |||||||
AEROSPACE & DEFENSE — 1.8% |
| |||||||
Boeing Co | 250,000 | 249,372 | ||||||
|
| |||||||
AUTO MANUFACTURERS — 7.5% |
| |||||||
American Honda Finance Corp.: | ||||||||
Series MTN, 0.54%, 9/2/2016 (a) | 100,000 | 99,916 | ||||||
Series MTN, 0.80%, 12/11/2017 (a) | 187,000 | 185,909 | ||||||
Daimler Finance North America LLC 1.25%, 1/11/2016 (b) | 350,000 | 350,015 | ||||||
Toyota Motor Credit Corp.: | ||||||||
0.55%, 2/16/2017 | 219,000 | 218,760 | ||||||
Series MTN, 0.56%, 5/16/2017 | 200,000 | 199,292 | ||||||
|
| |||||||
1,053,892 | ||||||||
|
| |||||||
BANKS — 26.0% | ||||||||
Bank of America NA: | ||||||||
0.76%, 5/8/2017 (a) | 150,000 | 149,630 | ||||||
0.90%, 6/5/2017 (a) | 250,000 | 249,164 | ||||||
Canadian Imperial Bank of Commerce | 100,000 | 100,090 | ||||||
Commonwealth Bank of Australia | 300,000 | 298,387 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 225,000 | 224,969 | ||||||
Fifth Third Bank | 200,000 | 199,775 | ||||||
JPMorgan Chase & Co. | 250,000 | 250,104 | ||||||
National Australia Bank, Ltd. | 250,000 | 249,375 | ||||||
Nederlandse Waterschapsbank NV | 200,000 | 200,225 | ||||||
Royal Bank of Canada: | ||||||||
Series GMTN, 0.76%, 6/16/2017 (a) | 120,000 | 119,550 | ||||||
Series GMTN, 1.04%, 3/15/2019 (a) | 250,000 | 248,191 | ||||||
Svenska Handelsbanken AB | 250,000 | 249,931 | ||||||
Toronto-Dominion Bank | 230,000 | 229,484 | ||||||
US Bank NA | 250,000 | 248,781 | ||||||
Wells Fargo & Co. | 400,000 | 399,756 | ||||||
Westpac Banking Corp. | 220,000 | 220,215 | ||||||
|
| |||||||
3,637,627 | ||||||||
|
| |||||||
BEVERAGES — 3.6% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 250,000 | 245,462 | ||||||
PepsiCo, Inc. | 250,000 | 249,823 | ||||||
|
| |||||||
495,285 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 3.6% |
| |||||||
GE Capital International Funding Co. | 350,000 | 350,158 | ||||||
General Electric Capital Corp. Series GMTN, | 150,000 | 150,285 | ||||||
|
| |||||||
500,443 | ||||||||
|
|
See accompanying notes to financial statements.
21
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
HEALTH CARE SERVICES — 4.3% | ||||||||
Roche Holdings, Inc. | $ | 350,000 | $ | 348,174 | ||||
UnitedHealth Group, Inc. | 250,000 | 250,167 | ||||||
|
| |||||||
598,341 | ||||||||
|
| |||||||
INTERNET — 1.1% | ||||||||
eBay, Inc. | 160,000 | 154,473 | ||||||
|
| |||||||
MACHINERY, CONSTRUCTION & MINING — 1.4% |
| |||||||
Caterpillar Financial Services Corp. | 200,000 | 199,390 | ||||||
|
| |||||||
MACHINERY-DIVERSIFIED — 1.4% | ||||||||
John Deere Capital Corp. | 200,000 | 201,112 | ||||||
|
| |||||||
MEDIA — 3.2% | ||||||||
NBCUniversal Enterprise, Inc. | 450,000 | 449,767 | ||||||
|
| |||||||
MINING — 1.4% | ||||||||
Rio Tinto Finance USA PLC | 200,000 | 199,302 | ||||||
|
| |||||||
OIL & GAS — 3.6% | ||||||||
Chevron Corp. | 250,000 | 248,212 | ||||||
ConocoPhillips Co. | 250,000 | 248,160 | ||||||
|
| |||||||
496,372 | ||||||||
|
| |||||||
RETAIL — 7.6% | ||||||||
Home Depot Inc | 300,000 | 300,442 | ||||||
Lowe’s Cos., Inc. | 250,000 | 248,483 | ||||||
Target Corp. | 500,000 | 512,973 | ||||||
|
| |||||||
1,061,898 | ||||||||
|
| |||||||
TELECOMMUNICATIONS — 2.1% |
| |||||||
Cisco Systems, Inc. | 300,000 | 299,370 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 9,596,644 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 7.3% |
| |||||||
Treasury Notes: | ||||||||
0.63%, 5/31/2017 | 400,000 | 398,235 | ||||||
0.63%, 9/30/2017 | 620,000 | 615,713 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 1,013,948 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 0.9% | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (c) (d) (e) | 126,552 | 126,552 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% (f) | 13,954,745 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 24,039 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 13,978,784 | ||||||
|
|
(a) | Variable Rate Security — Interest rate shown is rate in effect at December 31, 2015. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. Securities, which represent 22.1% of net assets as of December 31, 2015, securities considered liquid based upon procedures approved by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(d) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(e) | Value is determined based on Level 1 inputs (Note 2). |
(f) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2). |
See accompanying notes to financial statements.
22
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
CORPORATE BONDS & NOTES — 13.5% |
| |||||||
AUSTRALIA — 0.1% | ||||||||
Westpac Banking Corp. | $ | 1,780,000 | $ | 1,776,682 | ||||
|
| |||||||
BRAZIL — 0.3% | ||||||||
Banco do Brasil SA/Cayman | 200,000 | 131,000 | ||||||
CIMPOR Financial Operations B.V. | 700,000 | 465,500 | ||||||
Cosan Overseas, Ltd. | 700,000 | 558,250 | ||||||
ESAL GmbH | 200,000 | 176,500 | ||||||
Globo Comunicacao e Participacoes SA | 700,000 | 697,375 | ||||||
Gol LuxCo SA | 200,000 | 86,000 | ||||||
JBS Investments GmbH | 400,000 | 384,000 | ||||||
JBS USA LLC / JBS USA Finance, Inc. | 759,000 | 753,308 | ||||||
Marfrig Holdings Europe B.V. | 1,000,000 | 892,500 | ||||||
Marfrig Overseas, Ltd. | 250,000 | 245,000 | ||||||
Minerva Luxembourg SA | 1,300,000 | 1,189,500 | ||||||
|
| |||||||
5,578,933 | ||||||||
|
| |||||||
CANADA — 0.2% | ||||||||
Royal Bank of Canada | 1,780,000 | 1,762,244 | ||||||
Toronto-Dominion Bank | 1,775,000 | 1,771,702 | ||||||
|
| |||||||
3,533,946 | ||||||||
|
| |||||||
CAYMAN ISLANDS — 0.0% (d) |
| |||||||
Interoceanica IV Finance, Ltd. | 679,774 | 638,987 | ||||||
|
| |||||||
CHILE — 1.2% | ||||||||
AES Gener SA | 1,550,000 | 1,589,649 | ||||||
Celulosa Arauco y Constitucion SA: | ||||||||
4.75%, 1/11/2022 | 1,500,000 | 1,520,625 | ||||||
5.00%, 1/21/2021 | 260,000 | 269,425 | ||||||
Cencosud SA: | ||||||||
4.88%, 1/20/2023 | 200,000 | 189,003 | ||||||
5.50%, 1/20/2021 | 2,000,000 | 2,039,850 | ||||||
Colbun SA | 1,500,000 | 1,619,903 | ||||||
Corpbanca SA | 1,300,000 | 1,287,664 | ||||||
CorpGroup Banking SA | 1,000,000 | 925,000 | ||||||
E.CL SA | 100,000 | 107,939 | ||||||
Empresa Electrica Angamos SA | 3,000,000 | 2,676,261 | ||||||
Empresa Electrica Guacolda SA | 900,000 | 828,055 | ||||||
Empresa Nacional de Telecomunicaciones SA | 200,000 | 187,113 | ||||||
GNL Quintero SA | 2,500,000 | 2,362,707 | ||||||
Guanay Finance, Ltd. | 1,750,000 | 1,728,125 | ||||||
Inversiones CMPC SA | 1,580,000 | 1,538,748 | ||||||
Latam Airlines Group SA | 800,000 | 714,000 | ||||||
Tanner Servicios Financieros SA | 1,100,000 | 1,072,500 | ||||||
Telefonica Chile SA | 200,000 | 197,062 | ||||||
|
| |||||||
20,853,629 | ||||||||
|
| |||||||
CHINA — 0.2% | ||||||||
CNOOC Finance 2015 Australia Pty, Ltd. | 1,500,000 | 1,469,587 | ||||||
CNPC General Capital, Ltd. | 500,000 | 499,195 | ||||||
CNPC HK Overseas Capital, Ltd. | 400,000 | 422,391 | ||||||
Sinopec Group Overseas Development 2014, Ltd. | 287,000 | 287,852 | ||||||
Sinopec Group Overseas Development 2015, Ltd.: | ||||||||
2.50%, 4/28/2020 | 500,000 | 491,875 | ||||||
2.50%, 4/28/2020 (c) | 500,000 | 491,875 | ||||||
|
| |||||||
3,662,775 | ||||||||
|
| |||||||
COLOMBIA — 0.9% | ||||||||
Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings, Ltd. | 1,500,000 | 971,250 | ||||||
Banco Davivienda SA | 1,600,000 | 1,594,000 | ||||||
Banco GNB Sudameris SA | 400,000 | 404,000 | ||||||
Bancolombia SA | 3,000,000 | 3,082,500 | ||||||
Ecopetrol SA | 500,000 | 356,875 | ||||||
Empresa de Energia de Bogota SA ESP | 700,000 | 717,500 | ||||||
Empresas Publicas de Medellin ESP | 600,000 | 673,500 | ||||||
Grupo Aval, Ltd. | 3,000,000 | 2,818,140 | ||||||
GrupoSura Finance SA | 2,000,000 | 2,087,500 |
See accompanying notes to financial statements.
23
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
Pacific Exploration and Production Corp. | $ | 400,000 | $ | 80,000 | ||||
Transportadora de Gas Internacional SA ESP: | ||||||||
5.70%, 3/20/2022 (c) | 200,000 | 200,500 | ||||||
5.70%, 3/20/2022 | 2,800,000 | 2,807,000 | ||||||
|
| |||||||
15,792,765 | ||||||||
|
| |||||||
COSTA RICA — 0.0% (d) | ||||||||
Banco Nacional de Costa Rica | 700,000 | 694,750 | ||||||
|
| |||||||
DOMINICAN REPUBLIC — 0.0% (d) |
| |||||||
Aeropuertos Dominicanos Siglo XXI SA | 400,000 | 416,000 | ||||||
|
| |||||||
GUATEMALA — 0.2% | ||||||||
Agromercantil Senior Trust | 1,714,000 | 1,726,855 | ||||||
Cementos Progreso Trust | 500,000 | 496,250 | ||||||
Central American Bottling Corp. | 500,000 | 506,250 | ||||||
Comcel Trust via Comunicaciones Celulares SA | 300,000 | 231,000 | ||||||
Industrial Senior Trust | 600,000 | 552,750 | ||||||
|
| |||||||
3,513,105 | ||||||||
|
| |||||||
HONG KONG — 0.2% | ||||||||
Hutchison Whampoa International 12 II, Ltd. | 500,000 | 498,006 | ||||||
Hutchison Whampoa International 12, Ltd. | 2,000,000 | 2,092,012 | ||||||
|
| |||||||
2,590,018 | ||||||||
|
| |||||||
INDIA — 0.1% | ||||||||
ONGC Videsh, Ltd. | 500,000 | 502,115 | ||||||
Reliance Holding USA, Inc. | 250,000 | 264,762 | ||||||
Vedanta Resources PLC | 500,000 | 290,173 | ||||||
|
| |||||||
1,057,050 | ||||||||
|
| |||||||
ISRAEL — 0.2% | ||||||||
Delek & Avner Tamar Bond, Ltd.: | ||||||||
4.44%, 12/30/2020 (c) | 2,000,000 | 2,055,000 | ||||||
5.41%, 12/30/2025 (c) | 400,000 | 402,500 | ||||||
Israel Electric Corp., Ltd.: | ||||||||
5.63%, 6/21/2018 | 1,000,000 | 1,053,080 | ||||||
Series 6, 5.00%, 11/12/2024 (c) | 700,000 | 713,566 | ||||||
|
| |||||||
4,224,146 | ||||||||
|
|
Security Description | Principal | Value | ||||||
JAMAICA — 0.1% | ||||||||
Digicel Group, Ltd.: | ||||||||
7.13%, 4/1/2022 | $ | 1,300,000 | $ | 975,000 | ||||
8.25%, 9/30/2020 | 1,000,000 | 825,000 | ||||||
|
| |||||||
1,800,000 | ||||||||
|
| |||||||
MEXICO — 1.0% | ||||||||
Banco Nacional de Comercio Exterior SNC | 1,200,000 | 1,185,000 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 2,000,000 | 2,050,000 | ||||||
BBVA Bancomer SA | 980,000 | 960,400 | ||||||
BBVA Bancomer SA / Grand Cayman | 1,850,000 | 1,833,812 | ||||||
Comision Federal de Electricidad | 1,200,000 | 1,101,000 | ||||||
Credito Real SAB de CV SOFOM ER | 200,000 | 198,000 | ||||||
Fermaca Enterprises S de RL de CV | 1,713,606 | 1,602,221 | ||||||
Grupo Bimbo SAB de CV | 600,000 | 614,846 | ||||||
Grupo Elektra SAB de CV | 900,000 | 801,000 | ||||||
Grupo Idesa SA de CV | 850,000 | 841,500 | ||||||
Grupo Posadas SAB de CV | 400,000 | 382,500 | ||||||
Mexichem SAB de CV | 1,000,000 | 837,500 | ||||||
Mexico Generadora de Energia S de rl | 2,226,952 | 1,981,987 | ||||||
Petroleos Mexicanos: | ||||||||
5.50%, 1/21/2021 | 1,500,000 | 1,518,365 | ||||||
6.38%, 1/23/2045 | 1,000,000 | 849,026 | ||||||
Sixsigma Networks Mexico SA de CV | 200,000 | 191,000 | ||||||
TV Azteca SAB de CV: | ||||||||
7.50%, 5/25/2018 | 600,000 | 408,000 | ||||||
7.63%, 9/18/2020 | 600,000 | 349,500 | ||||||
Unifin Financiera SAPI de CV SOFOM ENR | 400,000 | 368,000 | ||||||
|
| |||||||
18,073,657 | ||||||||
|
| |||||||
NETHERLANDS — 0.0% (d) | ||||||||
Ajecorp B.V. | 150,000 | 63,750 | ||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
PANAMA — 0.4% | ||||||||
Aeropuerto Internacional de Tocumen SA | $ | 1,000,000 | $ | 1,031,000 | ||||
ENA Norte Trust | 2,693,801 | 2,745,309 | ||||||
Global Bank Corp.: | ||||||||
4.75%, 10/5/2017 | 1,000,000 | 1,005,525 | ||||||
5.13%, 10/30/2019 (c) | 200,000 | 198,000 | ||||||
5.13%, 10/30/2019 | 2,300,000 | 2,277,000 | ||||||
|
| |||||||
7,256,834 | ||||||||
|
| |||||||
PARAGUAY — 0.2% | ||||||||
Banco Continental SAECA | 1,373,000 | 1,397,028 | ||||||
Banco Regional SAECA | 550,000 | 559,625 | ||||||
Telefonica Celular del Paraguay SA | 1,500,000 | 1,368,750 | ||||||
|
| |||||||
3,325,403 | ||||||||
|
| |||||||
PERU — 1.0% | ||||||||
Abengoa Transmision Sur SA: | ||||||||
6.88%, 4/30/2043 | 2,000,000 | 2,075,000 | ||||||
6.88%, 4/30/2043 (c) | 500,000 | 518,750 | ||||||
Banco de Credito del Peru | 2,000,000 | 2,090,000 | ||||||
Banco Internacional del Peru SAA Interbank | 2,500,000 | 2,512,500 | ||||||
BBVA Banco Continental SA | 500,000 | 485,000 | ||||||
Cia Minera Ares SAC | 1,000,000 | 932,500 | ||||||
Corp. Azucarera del Peru SA | 300,000 | 246,000 | ||||||
Corp. Financiera de Desarrollo SA: | ||||||||
3.25%, 7/15/2019 (c) | 1,000,000 | 996,250 | ||||||
3.25%, 7/15/2019 | 1,000,000 | 996,250 | ||||||
5.25%, 7/15/2029 (a) | 500,000 | 491,250 | ||||||
Inkia Energy, Ltd.: | ||||||||
8.38%, 4/4/2021 | 200,000 | 194,800 | ||||||
8.38%, 4/4/2021 (c) | 200,000 | 194,800 | ||||||
Intercorp Peru, Ltd. | 600,000 | 571,500 | ||||||
Lima Metro Line 2 Finance, Ltd. | 500,000 | 485,000 | ||||||
Minsur SA | 400,000 | 368,000 | ||||||
Peru Enhanced Pass-Through Finance, Ltd. | 1,100,000 | 834,339 | ||||||
Southern Copper Corp. | 1,200,000 | 927,306 | ||||||
Union Andina de Cementos SAA | 1,246,000 | 1,202,390 | ||||||
Volcan Cia Minera SAA | 1,800,000 | 1,143,000 | ||||||
|
| |||||||
17,264,635 | ||||||||
|
| |||||||
QATAR — 0.0% (d) | ||||||||
Ras Laffan Liquefied Natural Gas Co., Ltd. II | 472,590 | 501,357 | ||||||
|
|
Security Description | Principal | Value | ||||||
SINGAPORE — 0.3% | ||||||||
Oversea-Chinese Banking Corp., Ltd. | $ | 3,000,000 | $ | 3,052,065 | ||||
United Overseas Bank, Ltd. | 3,000,000 | 3,028,008 | ||||||
|
| |||||||
6,080,073 | ||||||||
|
| |||||||
UNITED STATES — 6.9% | ||||||||
21st Century Fox America, Inc. | 1,675,000 | 1,653,317 | ||||||
AbbVie, Inc. | 1,800,000 | 1,777,466 | ||||||
Actavis Funding SCS | 1,725,000 | 1,727,964 | ||||||
Activision Blizzard, Inc. | 1,043,000 | 1,092,543 | ||||||
Air Medical Merger Sub Corp. | 785,000 | 698,650 | ||||||
Alere, Inc. | 1,100,000 | 1,056,000 | ||||||
Amazon.com, Inc. | 1,825,000 | 1,846,344 | ||||||
American Axle & Manufacturing, Inc. | 1,155,000 | 1,209,862 | ||||||
American Express Credit Corp. | 1,820,000 | 1,813,406 | ||||||
Anthem, Inc. | 1,830,000 | 1,787,683 | ||||||
Apache Corp. | 1,420,000 | 1,222,013 | ||||||
Apple, Inc. | 1,755,000 | 1,765,054 | ||||||
AT&T, Inc. | 1,855,000 | 1,774,873 | ||||||
Audatex North America, Inc. | 880,000 | 886,600 | ||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. | 1,120,000 | 1,122,800 | ||||||
Bank of America Corp. | 1,793,000 | 1,788,944 | ||||||
Baxalta, Inc. | 1,620,000 | 1,622,371 | ||||||
BB&T Corp. | 1,755,000 | 1,757,605 | ||||||
Berry Plastics Corp. | 585,000 | 582,806 | ||||||
Burlington Northern Santa Fe LLC | 1,790,000 | 1,785,192 | ||||||
Caterpillar, Inc. | 1,825,000 | 1,839,770 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp.: | ||||||||
5.13%, 5/1/2023 (c) | 250,000 | 250,000 | ||||||
5.25%, 9/30/2022 | 1,210,000 | 1,222,100 | ||||||
CDW LLC / CDW Finance Corp. | 257,000 | 271,135 |
See accompanying notes to financial statements.
25
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. | $ | 1,135,000 | $ | 1,109,462 | ||||
Chevron Corp.: | ||||||||
1.37%, 3/2/2018 | 848,000 | 839,744 | ||||||
1.79%, 11/16/2018 | 516,000 | 512,206 | ||||||
Cisco Systems, Inc. | 1,685,000 | 1,736,273 | ||||||
Citigroup, Inc. | 1,825,000 | 1,786,771 | ||||||
Comcast Corp. | 1,610,000 | 1,624,479 | ||||||
CommScope, Inc. | 1,110,000 | 1,064,213 | ||||||
CSC Holdings LLC | 507,000 | 498,128 | ||||||
Dollar Tree, Inc. | 1,045,000 | 1,081,575 | ||||||
Dow Chemical Co. | 1,905,000 | 1,829,650 | ||||||
Duke Energy Corp. | 1,835,000 | 1,853,324 | ||||||
Energy Transfer Partners L.P. | 1,420,000 | 1,217,538 | ||||||
Enterprise Products Operating LLC | 1,495,000 | 1,356,750 | ||||||
EP Energy LLC / Everest Acquisition Finance, Inc. | 535,000 | 341,063 | ||||||
First Data Corp. | 1,105,000 | 1,088,425 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
3.88%, 3/15/2023 | 800,000 | 456,000 | ||||||
4.00%, 11/14/2021 | 700,000 | 420,000 | ||||||
5.45%, 3/15/2043 | 300,000 | 156,000 | ||||||
Frontier Communications Corp. | 705,000 | 702,356 | ||||||
Gates Global LLC / Gates Global Co. | 1,041,000 | 749,520 | ||||||
GE Capital International Funding Co. | 1,980,000 | 1,980,893 | ||||||
General Motors Financial Co., Inc. | 1,800,000 | 1,770,075 | ||||||
Georgia-Pacific LLC | 1,788,000 | 1,766,732 | ||||||
Goldman Sachs Group, Inc. | 1,795,000 | 1,789,115 | ||||||
Goodyear Tire & Rubber Co | 705,000 | 755,231 | ||||||
HCA, Inc. | 1,095,000 | 1,116,900 | ||||||
HD Supply, Inc. | 770,000 | 800,800 | ||||||
Hewlett Packard Enterprise Co. | 1,725,000 | 1,726,388 | ||||||
Home Depot, Inc. | 1,746,000 | 1,786,471 | ||||||
Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | 500,000 | 495,500 | ||||||
JPMorgan Chase & Co. | 1,780,000 | 1,775,413 | ||||||
Kindred Healthcare, Inc. | 1,190,000 | 1,112,650 | ||||||
Kraft Heinz Foods Co. | 1,790,000 | 1,778,715 | ||||||
Laboratory Corp. of America Holdings | 1,400,000 | 1,349,830 | ||||||
Level 3 Communications, Inc. | 1,071,000 | 1,095,098 | ||||||
Levi Strauss & Co. | 1,115,000 | 1,109,425 | ||||||
LifePoint Health, Inc. | 1,088,000 | 1,107,040 | ||||||
Memorial Production Partners L.P. / Memorial Production Finance Corp. | 1,495,000 | 448,500 | ||||||
MetLife, Inc. | 1,780,000 | 1,808,554 | ||||||
Morgan Stanley | 1,765,000 | 1,757,514 | ||||||
National Rural Utilities Cooperative Finance Corp. | 1,560,000 | 1,531,834 | ||||||
NCL Corp., Ltd. | 1,090,000 | 1,113,849 | ||||||
Oracle Corp.: | ||||||||
2.25%, 10/8/2019 | 1,450,000 | 1,460,419 | ||||||
2.38%, 1/15/2019 | 380,000 | 385,185 | ||||||
Platform Specialty Products Corp. | 829,000 | 717,085 | ||||||
Quintiles Transnational Corp. | 1,125,000 | 1,130,625 | ||||||
Regal Entertainment Group | 1,085,000 | 1,085,000 | ||||||
Revlon Consumer Products Corp. | 1,245,000 | 1,204,537 | ||||||
Reynolds American, Inc. | 1,785,000 | 1,853,215 | ||||||
Sally Holdings LLC / Sally Capital, Inc. | 1,070,000 | 1,107,450 | ||||||
SBA Communications Corp. | 1,050,000 | 1,094,625 | ||||||
Scientific Games International, Inc. | 1,130,000 | 1,079,150 | ||||||
Select Medical Corp. | 1,345,000 | 1,176,875 | ||||||
Service Corp. International/US | 1,065,000 | 1,110,262 | ||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. | 1,240,000 | 1,054,000 | ||||||
Simon Property Group L.P. | 1,590,000 | 1,778,164 | ||||||
Sinclair Television Group, Inc. | 1,100,000 | 1,069,750 |
See accompanying notes to financial statements.
26
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
Southern Co. | $ | 1,790,000 | $ | 1,793,448 | ||||
Southern Star Central Corp. | 325,000 | 268,125 | ||||||
Station Casinos LLC | 1,040,000 | 1,060,800 | ||||||
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp. | 1,055,000 | 999,613 | ||||||
Thermo Fisher Scientific, Inc. | 1,840,000 | 1,841,367 | ||||||
TIAA Asset Management Finance Co. LLC | 1,875,000 | 1,881,369 | ||||||
Time Warner, Inc. | 1,680,000 | 1,813,828 | ||||||
TransDigm, Inc. | 1,090,000 | 1,065,475 | ||||||
Tribune Media Co. | 680,000 | 680,000 | ||||||
Tyson Foods, Inc. | 1,620,000 | 1,657,649 | ||||||
Ultra Petroleum Corp.: | ||||||||
5.75%, 12/15/2018 (c) | 1,330,000 | 319,200 | ||||||
6.13%, 10/1/2024 (c) | 145,000 | 32,988 | ||||||
United Rentals North America, Inc. | 1,135,000 | 1,212,974 | ||||||
United Technologies Corp. | 1,785,000 | 1,815,629 | ||||||
Verizon Communications, Inc. | 1,875,000 | 1,843,332 | ||||||
Viking Cruises, Ltd. | 705,000 | 667,988 | ||||||
Waste Management, Inc. | 1,455,000 | 1,412,967 | ||||||
Wells Fargo & Co. | 1,815,000 | 1,828,993 | ||||||
|
| |||||||
122,456,589 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 241,155,084 | |||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.2% |
| |||||||
COLOMBIA — 0.3% | ||||||||
Colombia Government International Bond | 5,000,000 | 5,037,676 | ||||||
|
| |||||||
COSTA RICA — 0.1% | ||||||||
Banco de Costa Rica | 650,000 | 651,625 | ||||||
Instituto Costarricense de Electricidad | 400,000 | 398,500 | ||||||
|
| |||||||
1,050,125 | ||||||||
|
| |||||||
MEXICO — 0.2% | ||||||||
Mexico Government International Bond: | ||||||||
5.63%, 1/15/2017 | 1,736,000 | 1,807,654 | ||||||
3.50%, 1/21/2021 | 2,800,000 | 2,847,987 | ||||||
|
| |||||||
4,655,641 | ||||||||
|
| |||||||
PANAMA — 0.4% | ||||||||
Banco Latinoamericano de Comercio Exterior SA: | ||||||||
3.25%, 5/7/2020 | 500,000 | 492,500 | ||||||
3.25%, 5/7/2020 (c) | 1,500,000 | 1,477,500 | ||||||
Panama Government International Bond | 5,000,000 | 5,433,309 | ||||||
|
| |||||||
7,403,309 | ||||||||
|
| |||||||
PERU — 0.2% | ||||||||
Fondo MIVIVIENDA SA | 1,500,000 | 1,496,250 | ||||||
Peruvian Government International Bond | 2,000,000 | 1,974,291 | ||||||
|
| |||||||
3,470,541 | ||||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
| 21,617,292 | ||||||
|
| |||||||
SENIOR FLOATING RATE LOANS — 4.0% |
| |||||||
AEROSPACE & DEFENSE — 0.1% |
| |||||||
BE Aerospace, Inc. | 799,357 | 800,157 | ||||||
|
| |||||||
AUTO COMPONENTS — 0.0% (d) |
| |||||||
Federal-Mogul Holdings Corp. | 672,305 | 595,830 | ||||||
|
| |||||||
BUILDING PRODUCTS — 0.1% | ||||||||
Builders FirstSource, Inc. | 404,072 | 400,536 | ||||||
|
| |||||||
Jeld-Wen Inc. Senior Secured Term Loan, | 798,425 | 786,948 | ||||||
|
| |||||||
1,187,484 | ||||||||
|
| |||||||
CAPITAL MARKETS — 0.2% | ||||||||
Duff & Phelps Investment Management Co. | 846,871 | 830,641 | ||||||
Grosvenor Capital Management Holdings LP | 792,747 | 767,644 | ||||||
Guggenheim Partners LLC | 789,803 | 785,195 | ||||||
RCS Capital Corporation | 676,345 | 571,511 | ||||||
|
| |||||||
2,954,991 | ||||||||
|
|
See accompanying notes to financial statements.
27
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
CHEMICALS — 0.2% | ||||||||
AZ Chem US Inc. | $ | 643,329 | $ | 642,123 | ||||
Klockner-Pentaplast of America, Inc. | 773,776 | 768,337 | ||||||
MacDermid, Inc. | 533,546 | 517,443 | ||||||
PolyOne Corporation | 715,000 | 716,566 | ||||||
|
| |||||||
2,644,469 | ||||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 0.3% |
| |||||||
Allied Security Holdings LLC | 921,386 | 898,352 | ||||||
Asurion LLC: | ||||||||
Senior Secured Term Loan B1, 1.00%, 5/24/2019 | 720,262 | 676,823 | ||||||
Senior Secured Term Loan B4, 1.00%, 8/4/2022 | 597,000 | 547,449 | ||||||
Dealer Tire, LLC | 817,935 | 819,979 | ||||||
Prime Security Services Borrower, LLC | 718,200 | 705,854 | ||||||
USAGM HoldCo LLC | 1,225,000 | 1,172,938 | ||||||
|
| |||||||
4,821,395 | ||||||||
|
| |||||||
CONSTRUCTION & ENGINEERING — 0.0% (d) |
| |||||||
Summit Materials Companies I, LLC | 801,598 | 792,580 | ||||||
|
| |||||||
CONTAINERS & PACKAGING — 0.2% |
| |||||||
Ardagh Holdings USA, Inc. | 808,167 | 796,651 | ||||||
Coveris Holdings S.A. | 818,112 | 796,636 | ||||||
KP Germany Erste GmbH | 330,674 | 328,349 | ||||||
Reynolds Group Holdings, Inc. | 789,671 | 783,338 | ||||||
Signode Industrial Group US, Inc. | 791,021 | 764,653 | ||||||
|
| |||||||
3,469,627 | ||||||||
|
| |||||||
DISTRIBUTORS — 0.1% | ||||||||
American Tire Distributors Holdings, Inc. | 836,552 | 825,401 | ||||||
|
| |||||||
DIVERSIFIED CONSUMER SERVICES — 0.0% (d) |
| |||||||
Nord Anglia Education Finance LLC | 803,532 | 787,461 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% (d) |
| |||||||
AlixPartners LLP | 798,000 | 793,515 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% |
| |||||||
Level 3 Financing, Inc. | 670,000 | 660,787 | ||||||
Virgin Media Investment Holdings, Ltd. | 675,000 | 661,976 | ||||||
|
| |||||||
1,322,763 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 0.1% | ||||||||
EFS Cogen Holdings I LLC | 777,227 | 753,910 | ||||||
Southeast PowerGen LLC | 796,821 | 794,829 | ||||||
TPF II Power LLC | 782,111 | 768,424 | ||||||
|
| |||||||
2,317,163 | ||||||||
|
| |||||||
ELECTRICAL EQUIPMENT — 0.0% (d) |
| |||||||
Gates Global, Inc. | 282,302 | 265,564 | ||||||
|
| |||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.1% |
| |||||||
Allflex Holdings III, Inc. | 812,763 | 799,214 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.1% |
| |||||||
Albertsons LLC | 803,872 | 798,450 | ||||||
|
| |||||||
FOOD PRODUCTS — 0.2% | ||||||||
B&G Foods, Inc. | 790,000 | 790,739 | ||||||
Candy Intermediate Holdings, Inc. | 805,134 | 802,115 | ||||||
Charger Opco BV | 692,541 | 690,810 |
See accompanying notes to financial statements.
28
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
CSM Bakery Solutions LLC | $ | 809,800 | $ | 792,591 | ||||
Hostess Brands LLC | 837,900 | 835,805 | ||||||
|
| |||||||
3,912,060 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% |
| |||||||
Alere, Inc. | 806,071 | 800,615 | ||||||
National Vision, Inc. | 686,784 | 661,888 | ||||||
|
| |||||||
1,462,503 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 0.3% |
| |||||||
Air Medical Group Holdings, Inc. | 816,499 | 792,518 | ||||||
American Renal Holdings Inc. | 812,609 | 800,420 | ||||||
Envision Healthcare Corp. | 720,000 | 716,940 | ||||||
Surgery Center Holdings, Inc. | 567,136 | 561,935 | ||||||
Team Health, Inc. | 725,000 | 723,869 | ||||||
U.S. Renal Care, Inc.: | ||||||||
Senior Secured Term Loan, 1.00%, 7/3/2019 | 548,531 | 546,817 | ||||||
Senior Secured Term Loan B, 1.00%, 12/31/2022 | 780,000 | 775,125 | ||||||
|
| |||||||
4,917,624 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 0.3% |
| |||||||
Burger King 1011778 B.C. Unlimited Liability Co. | 806,493 | 800,444 | ||||||
Eldorado Resorts LLC | 808,675 | 803,956 | ||||||
Four Seasons Holdings, Inc. | 796,303 | 783,693 | ||||||
Hilton Worldwide Finance LLC | 858,067 | 857,578 | ||||||
Scientific Games International, Inc. | 850,687 | 778,226 | ||||||
Station Casinos LLC | 791,175 | 777,084 | ||||||
Travelport Finance (Luxembourg) S.A.R.L. | 790,762 | 775,813 | ||||||
|
| |||||||
5,576,794 | ||||||||
|
| |||||||
HOUSEHOLD DURABLES — 0.1% |
| |||||||
Serta Simmons Holdings LLC | 795,000 | 791,311 | ||||||
Spin Holdco Inc. | 811,512 | 781,689 | ||||||
|
| |||||||
1,573,000 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 0.0% (d) |
| |||||||
KIK Custom Products, Inc. | 802,988 | 781,909 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY |
| |||||||
Calpine Corporation | 826,786 | 790,614 | ||||||
|
| |||||||
INSURANCE — 0.1% | ||||||||
National Financial Partners Corp. | 269,252 | 259,379 | ||||||
York Risk Services Holding Corp. | 802,967 | 761,313 | ||||||
|
| |||||||
1,020,692 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 0.0% (d) |
| |||||||
Match Group Inc. | 500,000 | 495,000 | ||||||
|
| |||||||
IT SERVICES — 0.0% (d) | ||||||||
First Data Corp. | 670,000 | 662,416 | ||||||
|
| |||||||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (d) |
| |||||||
Jaguar Holding Company II | 627,099 | 611,030 | ||||||
|
| |||||||
MACHINERY — 0.2% | ||||||||
Crosby US Acquisition Corp. | 1,492,386 | 1,178,985 | ||||||
Filtration Group Corp. | 848,666 | 827,097 | ||||||
Hillman Group Inc. (The) | 666,855 | 646,436 | ||||||
|
| |||||||
2,652,518 | ||||||||
|
|
See accompanying notes to financial statements.
29
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
MEDIA — 0.3% | ||||||||
CCO Safari III LLC | $ | 715,000 | $ | 715,300 | ||||
Emerald Expositions Holding, Inc. | 836,841 | 825,682 | ||||||
Live Nation Entertainment, Inc. | 787,788 | 787,048 | ||||||
MGOC, Inc. | 791,508 | 783,593 | ||||||
Neptune Finco Corp. | 710,000 | 710,224 | ||||||
TWCC Holding Corp. | 744,375 | 744,773 | ||||||
Univision Communications, Inc. | 781,156 | 765,674 | ||||||
|
| |||||||
5,332,294 | ||||||||
|
| |||||||
MULTILINE RETAIL — 0.0% (d) |
| |||||||
Neiman Marcus Group, Inc. | 830,794 | 737,761 | ||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 0.0% (d) |
| |||||||
Energy Transfer Equity L.P. | 739,118 | 668,284 | ||||||
|
| |||||||
PERSONAL PRODUCTS — 0.1% |
| |||||||
Galleria Co. | 680,000 | 676,179 | ||||||
Prestige Brands, Inc. | 664,779 | 662,150 | ||||||
|
| |||||||
1,338,329 | ||||||||
|
| |||||||
PHARMACEUTICALS (d) — 0.1% |
| |||||||
Endo Luxembourg Finance Company I S.a r.l. | 740,000 | 731,675 | ||||||
Valeant Pharmaceuticals International | 572,118 | 551,736 | ||||||
|
| |||||||
1,283,411 | ||||||||
|
| |||||||
PROFESSIONAL SERVICES (d) — 0.0% |
| |||||||
TransUnion LLC | 791,537 | 770,759 | ||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% |
| |||||||
Capital Automotive L.P. | 794,705 | 795,202 | ||||||
|
| |||||||
ROAD & RAIL — 0.0% | ||||||||
PODS LLC | 802,068 | 792,043 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.1% |
| |||||||
Avago Technologies, Ltd. | 720,000 | 713,758 | ||||||
Microsemi Corp. | 450,000 | 443,025 | ||||||
NXP B.V. | 795,000 | 793,211 | ||||||
|
| |||||||
1,949,994 | ||||||||
|
| |||||||
SOFTWARE — 0.1% | ||||||||
BMC Software Finance, Inc. | 959,355 | 793,521 | ||||||
Informatica Corp. | 334,163 | 322,527 | ||||||
Mitchell International, Inc. | 280,000 | 268,568 | ||||||
Sophia L.P. | 803,450 | 795,415 | ||||||
|
| |||||||
2,180,031 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 0.1% | ||||||||
Michaels Stores, Inc. | 656,907 | 653,895 | ||||||
Party City Holdings Inc. | 718,200 | 699,049 | ||||||
|
| |||||||
1,352,944 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.1% |
| |||||||
North American Lifting Holdings, Inc. | 1,488,620 | 1,094,136 | ||||||
Solenis International LP | 686,775 | 662,312 | ||||||
Univar, Inc. | 798,250 | 774,522 | ||||||
|
| |||||||
2,530,970 | ||||||||
|
| |||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.0% (d) |
| |||||||
T-Mobile USA, Inc. | 715,000 | 715,894 | ||||||
|
| |||||||
TOTAL SENIOR FLOATING RATE LOANS | 70,080,140 | |||||||
|
|
See accompanying notes to financial statements.
30
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 20.7% |
| |||||||
Ajax Mortgage Loan Trust 2015-B | $ | 7,798,009 | $ | 7,767,710 | ||||
ALM VII, Ltd. | 2,500,000 | 2,461,750 | ||||||
Alternative Loan Trust 2005-79CB | 14,284,552 | 12,902,435 | ||||||
Alternative Loan Trust 2006-24CB | 6,646,402 | 6,048,244 | ||||||
Alternative Loan Trust 2007-11T1 | 2,665,897 | 2,283,699 | ||||||
Anchorage Capital CLO 5, Ltd. | 2,500,000 | 2,486,250 | ||||||
Atrium V | 1,000,000 | 967,000 | ||||||
AVANT Loans Funding Trust 2015-A | 2,939,232 | 2,910,759 | ||||||
BAMLL Commercial Mortgage Securities Trust 2015-200P | 30,000,000 | 951,000 | ||||||
BAMLL Re-REMIC Trust 2011-07C1 | 550,000 | 559,557 | ||||||
Banc of America Alternative Loan Trust 2005-7 | 15,247,508 | 14,784,774 | ||||||
Banc of America Commercial Mortgage Trust 2006-6 | 500,000 | 512,684 | ||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 | 945,000 | 897,897 | ||||||
Banc of America Funding 2005-5 Trust | 2,425,180 | 2,554,034 | ||||||
Banc of America Funding 2006 8T2 Trust | 7,237,444 | 6,032,687 | ||||||
Banc of America Funding 2007-5 Trust | 9,787,651 | 7,533,349 | ||||||
Banc of America Funding 2010-R5 Trust | 5,957,928 | 5,008,019 | ||||||
BBCMS Trust 2015-STP | 1,750,000 | 1,706,750 | ||||||
BCAP LLC 2012-RR1 Trust | 6,975,232 | 6,035,733 | ||||||
Bear Stearns ALT-A Trust 2006-1 | 5,475,725 | 3,969,853 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15 | 1,500,000 | 1,528,057 | ||||||
BlueMountain CLO 2012-2, Ltd. | 2,500,000 | 2,494,500 | ||||||
BlueMountain CLO 2013-4, Ltd. | 2,500,000 | 2,488,000 | ||||||
BlueMountain CLO 2015-1, Ltd. | 1,800,000 | 1,771,560 | ||||||
BlueMountain CLO 2015-2, Ltd. | 750,000 | 678,975 | ||||||
BlueMountain CLO 2015-3, Ltd.: | ||||||||
Series 2015-3A, Class B, 3.43%, 10/20/2027 (a) (c) | 2,500,000 | 2,433,000 | ||||||
Series 2015-3A, Class C, 3.88%, 10/20/2027 (a) (c) | 2,500,000 | 2,264,000 | ||||||
BXHTL 2015-JWRZ Mortgage Trust | 1,500,000 | 1,486,363 | ||||||
CD 2007-CD5 Mortgage Trust | 800,000 | 831,197 | ||||||
Cent CLO 21, Ltd. | 2,500,000 | 2,473,250 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8 | 16,583,695 | 14,605,960 | ||||||
CHL Mortgage Pass-Through Trust 2005-J2 | 2,316,630 | 2,125,876 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY1 | 2,592,842 | 2,432,369 | ||||||
Citigroup Commercial Mortgage Trust 2007-C6: | ||||||||
Series 2007-C6, Class AM, 5.71%, 12/10/2049 (a) | 800,000 | 817,466 |
See accompanying notes to financial statements.
31
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
Series 2007-C6, Class AMFX, 5.90%, 12/10/2049 (a) (c) | $ | 750,000 | $ | 764,507 | ||||
Citigroup Commercial Mortgage Trust 2015-GC27 | 943,700 | 735,644 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC31 | 1,500,000 | 1,399,965 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | 1,500,000 | 1,404,966 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC35 | 1,435,000 | 1,372,987 | ||||||
Citigroup Mortgage Loan Trust 2007-AR5 | 5,086,971 | 4,612,081 | ||||||
Citigroup Mortgage Loan Trust 2009-7 | 6,508,943 | 4,141,384 | ||||||
CitiMortgage Alternative Loan Trust | 13,122,201 | 11,315,308 | ||||||
Colony Mortgage Capital | 1,600,000 | 1,593,440 | ||||||
ColumbusNova CLO, Ltd. 2006-I | 613,414 | 612,249 | ||||||
COMM 2014-KYO Mortgage Trust | 750,000 | 742,177 | ||||||
COMM 2015-CCRE22 Mortgage Trust: | ||||||||
Series 2015-CR22, Class D, 4.13%, 3/10/2048 (a) (c) | 1,500,000 | 1,175,285 | ||||||
Series 2015-CR22, Class XA, 1.03%, 3/10/2048 (a) | 10,944,060 | 676,567 | ||||||
COMM 2015-CCRE23 Mortgage Trust | 900,000 | 698,507 | ||||||
COMM 2015-CCRE26 Mortgage Trust: | ||||||||
Series 2015-CR26, Class B, 4.50%, 10/10/2048 (a) | 1,600,000 | 1,633,727 | ||||||
Series 2015-CR26, Class XA, 1.07%, 10/10/2048 (a) | 22,876,662 | 1,642,535 | ||||||
COMM 2015-DC1 Mortgage Trust: | ||||||||
Series 2015-DC1, Class D, 4.35%, 2/10/2048 (a) (c) | 750,000 | 610,939 | ||||||
Series 2015-DC1, Class XA, 1.19%, 2/10/2048 (a) | 9,211,336 | 657,180 | ||||||
COMM 2015-LC19 Mortgage Trust | 1,200,000 | 892,915 | ||||||
COMM 2015-LC21 Mortgage Trust | 968,000 | 885,049 | ||||||
Commercial Mortgage Trust 2007-GG11: | ||||||||
Series 2007-GG11, Class AJ, 6.05%, 12/10/2049 (a) | 3,000,000 | 3,041,653 | ||||||
Series 2007-GG11, Class AM, 5.87%, 12/10/2049 (a) | 225,000 | 233,733 | ||||||
Countrywide Commercial Mortgage Trust 2007-MF1 | 898,950 | 920,256 | ||||||
Credit Suisse Commercial Mortgage Trust | 1,500,000 | 1,570,004 | ||||||
Credit Suisse Commercial Mortgage Trust | 1,700,000 | 1,799,709 | ||||||
Csail 2015-C2 Commercial Mortgage Trust | 900,000 | 888,365 | ||||||
CSMC 2015-RPL1 Trust | 4,650,506 | 4,547,808 | ||||||
CSMC Mortgage-Backed Trust 2006-7 | 4,633,195 | 4,224,532 | ||||||
CSMC Mortgage-Backed Trust 2006-8 | 9,370,836 | 7,898,623 | ||||||
CSMC Trust 2013-6 | 3,698,592 | 3,663,052 | ||||||
CSMC Trust 2015-SAND | 1,550,000 | 1,531,772 | ||||||
CSMLT 2015-2 Trust | 7,554,230 | 7,548,330 | ||||||
Galaxy XV CLO, Ltd. | 2,500,000 | 2,468,750 | ||||||
Galaxy XVIII CLO, Ltd. | 1,000,000 | 991,300 | ||||||
GS Mortgage Securities Corp. II | 15,651,869 | 1,301,135 |
See accompanying notes to financial statements.
32
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
GS Mortgage Securities Trust 2006-GG6 | $ | 1,000,000 | $ | 999,052 | ||||
GS Mortgage Securities Trust 2006-GG8 | 1,000,000 | 992,517 | ||||||
GS Mortgage Securities Trust 2014-GC20 | 19,618,299 | 1,287,788 | ||||||
GS Mortgage Securities Trust 2014-GC24 | 32,643,431 | 1,695,905 | ||||||
GS Mortgage Securities Trust 2015-GC32: | ||||||||
Series 2015-GC32, Class B, 4.40%, 7/10/2048 (a) | 1,500,000 | 1,530,015 | ||||||
Series 2015-GC32, Class XA, 0.91%, 7/10/2048 (a) | 26,881,309 | 1,552,863 | ||||||
GS Mortgage Securities Trust 2015-GC34 | 17,482,988 | 1,677,432 | ||||||
GS Mortgage Securities Trust 2015-GS1 | 27,236,396 | 1,724,775 | ||||||
GSAA Home Equity Trust 2007-10 | 3,767,934 | 2,824,669 | ||||||
GSR Mortgage Loan Trust 2007-3F | 8,548,777 | 8,275,635 | ||||||
IndyMac INDX Mortgage Loan Trust 2006-FLX2 | 7,817,264 | 6,243,915 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | 1,465,000 | 1,489,681 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 | 1,000,000 | 1,050,687 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 | 1,500,000 | 1,524,281 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | 800,000 | 829,976 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | 1,775,000 | 1,797,824 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO | 1,500,000 | 1,488,161 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1 | 23,322,000 | 1,634,555 | ||||||
JP Morgan Mortgage Trust 2006-A3 | 13,871,801 | 12,540,620 | ||||||
JP Morgan Mortgage Trust 2007-S3 | 17,829,869 | 15,649,404 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C25 | 6,460,028 | 392,540 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C26 | 1,500,000 | 1,415,346 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C27 | 7,938,562 | 632,677 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | 11,958,016 | 829,806 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 | 31,098,617 | 1,305,268 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C32 | 1,300,000 | 1,177,168 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C33 | 1,739,000 | 1,667,433 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | 3,000,000 | 3,030,121 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | 1,110,000 | 1,136,178 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7 | 1,615,000 | 1,663,449 |
See accompanying notes to financial statements.
33
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
LCM XVI L.P. Series 16A, Class A, | $ | 2,500,000 | $ | 2,484,000 | ||||
Limerock CLO I | 500,000 | 476,250 | ||||||
Madison Park Funding XIV, Ltd. | 1,250,000 | 1,172,375 | ||||||
Madison Park Funding XVI, Ltd. | 2,500,000 | 2,450,750 | ||||||
Merrill Lynch Mortgage Investors Trust | 4,550,351 | 3,918,612 | ||||||
Merrill Lynch Mortgage Trust 2006-C1 | 1,607,000 | 1,602,758 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | 19,406,224 | 812,737 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | 18,921,822 | 1,362,984 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20: | ||||||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 355,000 | 349,089 | ||||||
Series 2015-C20, Class C, 4.46%, 2/15/2048 (a) | 500,000 | 454,062 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 | 1,700,000 | 1,555,745 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27: | ||||||||
3.24%, 12/15/2047 (a) (c) | 1,750,000 | 1,198,828 | ||||||
4.54%, 12/15/2047 (a) | 1,219,000 | 1,114,363 | ||||||
Morgan Stanley Capital I Trust 2015-UBS8 | 26,400,000 | 1,829,243 | ||||||
Morgan Stanley Capital I Trust 2015-XLF1 | 750,000 | 742,710 | ||||||
Morgan Stanley Mortgage Loan Trust 2005-3AR | 11,588,493 | 9,788,354 | ||||||
Octagon Investment Partners XIX, Ltd. | 2,500,000 | 2,480,000 | ||||||
OZLM VI, Ltd. | 2,500,000 | 2,448,250 | ||||||
Race Point VII CLO, Ltd. | 2,500,000 | 2,471,500 | ||||||
RALI Series 2004-QS7 Trust | 2,256,832 | 2,319,309 | ||||||
Residential Asset Securitization Trust 2005-A13 | 4,049,066 | 3,610,978 | ||||||
Sierra CLO II, Ltd. | 500,000 | 487,900 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | 3,420,995 | 2,716,562 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | 2,633,771 | 2,339,377 | ||||||
Towd Point Mortgage Trust 2015-1 | 3,420,243 | 3,383,388 | ||||||
Venture XVII CLO, Ltd. | 2,500,000 | 2,425,750 | ||||||
Voya CLO 2014-4, Ltd. | 2,500,000 | 2,481,000 | ||||||
Wachovia Bank Commercial Mortgage Trust | 1,277,726 | 1,276,558 | ||||||
Wachovia Bank Commercial Mortgage Trust | 1,500,000 | 1,518,249 | ||||||
Wachovia Bank Commercial Mortgage Trust | 1,750,000 | 1,783,096 | ||||||
Wachovia Bank Commercial Mortgage Trust | 1,600,000 | 1,630,648 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT | 3,757,171 | 3,764,719 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT | 3,752,039 | 1,851,359 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 920,000 | 736,910 |
See accompanying notes to financial statements.
34
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | $ | 900,000 | $ | 669,759 | ||||
Wells Fargo Commercial Mortgage Trust 2015-C27 | 750,000 | 670,804 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 | 1,500,000 | 1,369,873 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-LC20 | 7,960,478 | 688,668 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS1 | 9,949,697 | 732,511 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | 29,918,042 | 1,494,780 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS3 | 1,600,000 | 1,516,459 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-P2: | ||||||||
1.18%, 12/15/2048 (a) | 22,200,000 | 1,552,815 | ||||||
3.81%, 12/15/2048 | 1,568,000 | 1,600,322 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | 19,729,148 | 1,354,566 | ||||||
|
| |||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 369,749,902 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.3% |
| |||||||
Federal Home Loan Mortgage Corp.: | ||||||||
3.00%, 6/15/2044 | 15,000,000 | 15,083,914 | ||||||
3.00%, 1/1/2045 | 4,149,009 | 4,146,362 | ||||||
3.00%, 2/1/2045 | 2,849,195 | 2,847,378 | ||||||
3.00%, 3/1/2045 | 2,888,113 | 2,886,271 | ||||||
3.00%, 4/1/2045 | 19,377,030 | 19,364,670 | ||||||
3.00%, 5/1/2045 | 9,731,334 | 9,725,127 | ||||||
3.00%, 7/1/2045 | 4,918,005 | 4,914,868 | ||||||
3.00%, 8/1/2045 | 25,638,956 | 25,622,602 | ||||||
3.00%, 10/1/2045 | 16,524,692 | 16,514,152 | ||||||
3.00%, 12/1/2045 | 31,820,219 | 31,799,922 | ||||||
3.50%, 2/1/2045 | 5,657,795 | 5,830,076 | ||||||
3.50%, 4/1/2045 | 9,520,734 | 9,810,643 | ||||||
3.50%, 4/1/2045 | 7,727,878 | 7,963,193 | ||||||
3.50%, 6/1/2045 | 16,835,293 | 17,347,931 | ||||||
4.50%, 6/1/2044 | 3,726,858 | 4,015,967 | ||||||
5.67%, 5/15/2041 (a) | 23,289,981 | 3,804,295 | ||||||
Series 3822, Class ZG, 4.00%, 2/15/2041 | 3,324,386 | 3,514,988 | ||||||
Series 3889, Class VZ, 4.00%, 7/15/2041 | 18,028,572 | 18,934,412 | ||||||
Series 3935, Class SJ, 6.32%, 5/15/2041 (a) | 5,660,619 | 823,801 | ||||||
Series 4165, Class ZT, 3.00%, 2/15/2043 | 14,580,418 | 13,048,310 | ||||||
Series 4215, Class KC, 2.25%, 3/15/2038 | 30,028,187 | 30,115,350 | ||||||
Series 4434, Class LZ, 3.00%, 2/15/2045 | 3,075,849 | 2,699,894 | ||||||
Series 4444, Class CZ, 3.00%, 2/15/2045 | 11,278,114 | 10,023,763 | ||||||
Series 4447, Class A, 3.00%, 6/15/2041 | 3,114,560 | 3,174,212 | ||||||
Series 4447, Class Z, 3.00%, 3/15/2045 | 3,722,493 | 3,362,736 | ||||||
Series 4471, Class BA, 3.00%, 12/15/2041 | 9,660,533 | 9,843,279 | ||||||
Series 4471, Class GA , 3.00%, 2/15/2044 | 14,110,493 | 14,147,654 | ||||||
Series 4481, Class B, 3.00%, 12/15/2042 | 9,715,316 | 9,859,802 | ||||||
Series 4483, Class CA, 3.00%, 6/15/2044 | 18,809,609 | 19,101,842 | ||||||
Series 4491, Class B, 3.00%, 8/15/2040 | 19,474,465 | 19,692,711 | ||||||
Series 4492, Class GZ, 3.50%, 7/15/2045 | 7,710,042 | 7,449,133 | ||||||
Series 4499, Class AB, 3.00%, 6/15/2042 | 19,592,766 | 19,936,043 | ||||||
Series 4504, Class CA, 3.00%, 4/15/2044 | 21,321,144 | 21,664,193 | ||||||
Series 4511, Class QA, 3.00%, 1/15/2041 | 19,721,205 | 19,993,563 | ||||||
Series 4511, Class QC, 3.00%, 12/15/2040 | 14,674,951 | 14,904,705 | ||||||
Federal National Mortgage Association: | ||||||||
3.00%, 10/1/2034 | 6,246,727 | 6,362,601 | ||||||
3.00%, 4/1/2035 | 4,930,184 | 5,022,361 | ||||||
3.00%, 4/1/2035 | 5,554,836 | 5,658,693 | ||||||
3.00%, 5/1/2035 | 2,886,057 | 2,940,017 | ||||||
3.00%, 5/1/2035 | 2,896,413 | 2,950,567 | ||||||
3.00%, 4/1/2040 | 22,692,274 | 22,713,071 | ||||||
3.00%, 1/1/2045 | 4,050,213 | 4,017,458 | ||||||
3.00%, 2/1/2045 | 4,312,694 | 4,277,555 | ||||||
3.00%, 3/1/2045 | 3,861,206 | 3,864,745 | ||||||
3.00%, 4/1/2045 | 17,286,829 | 17,145,136 | ||||||
3.00%, 7/1/2045 | 14,695,875 | 14,574,818 | ||||||
3.50%, 9/1/2034 | 4,771,368 | 4,973,054 | ||||||
3.50%, 12/1/2034 | 4,292,878 | 4,474,338 | ||||||
3.50%, 2/1/2035 | 2,702,005 | 2,816,955 | ||||||
3.50%, 2/1/2045 | 9,538,962 | 9,850,176 | ||||||
4.50%, 3/1/2044 | 2,290,169 | 2,473,656 | ||||||
4.50%, 3/1/2044 | 3,731,736 | 4,030,721 | ||||||
4.50%, 6/1/2044 | 3,297,176 | 3,561,345 | ||||||
4.50%, 7/1/2044 | 3,530,037 | 3,812,863 |
See accompanying notes to financial statements.
35
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Principal | Value | ||||||
4.50%, 2/1/2045 | $ | 3,890,229 | $ | 4,201,913 | ||||
Series 2010-109, Class N, 3.00%, 10/25/2040 | 6,069,468 | 6,229,195 | ||||||
Series 2012-127, Class PA, 2.75%, 11/25/2042 | 6,403,607 | 6,342,443 | ||||||
Series 2012-151, Class SB, 5.63%, 1/25/2043 (a) | 1,555,877 | 1,462,701 | ||||||
Series 2014-21, Class GZ, 3.00%, 4/25/2044 | 5,820,555 | 5,329,982 | ||||||
Series 2015-42, Class CA, 3.00%, 3/25/2044 | 11,296,107 | 11,568,133 | ||||||
Series 2015-9, Class HA, 3.00%, 1/25/2045 | 21,892,281 | 22,520,762 | ||||||
Government National Mortgage Association: | ||||||||
Series 2013-169, Class SE, 5.71%, 11/16/2043 (a) | 5,794,354 | 897,205 | ||||||
Series 2013-34, Class PL, 3.00%, 3/20/2042 | 18,942,736 | 19,247,943 | ||||||
Series 2014-43, Class PS, 5.78%, 7/20/2042 (a) | 17,422,459 | 2,445,683 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 629,733,852 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 7.6% |
| |||||||
Treasury Bonds | 16,000,000 | 16,408,162 | ||||||
Treasury Inflation Protected Indexed Notes | 16,544,989 | 16,454,488 | ||||||
Treasury Notes: | ||||||||
0.38%, 3/31/2016 | 6,600,000 | 6,600,990 | ||||||
1.38%, 4/30/2020 | 26,800,000 | 26,456,692 | ||||||
1.75%, 3/31/2022 | 41,100,000 | 40,472,403 | ||||||
2.50%, 5/15/2024 | 28,400,000 | 29,020,822 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 135,413,557 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 19.0% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (e) (f) (g) | 339,272,762 | 339,272,762 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 101.3% (h) | 1,807,022,589 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.3)% | (22,610,172 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,784,412,417 | ||||||
|
|
(a) | Variable Rate Security — Interest rate shown is rate in effect at December 31, 2015. |
(b) | Step-up bond — Coupon rate increases in increments to maturity. Rate shown as of December 31, 2015. Maturity date shown is the final maturity. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 8.5% of net assets as of December 31, 2015, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Value is determined based on Level 1 inputs (Note 2). |
(f) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(g) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(h) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2). |
See accompanying notes to financial statements.
36
Table of Contents
SSGA MFS Systematic Core Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 99.3% | ||||||||
AEROSPACE & DEFENSE — 6.8% | ||||||||
General Dynamics Corp. | 1,319 | $ | 181,178 | |||||
Northrop Grumman Corp. | 1,171 | 221,096 | ||||||
|
| |||||||
402,274 | ||||||||
|
| |||||||
BANKS — 6.6% | ||||||||
JPMorgan Chase & Co. | 3,776 | 249,329 | ||||||
Wells Fargo & Co. | 2,603 | 141,499 | ||||||
|
| |||||||
390,828 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 5.1% | ||||||||
Amgen, Inc. | 626 | 101,619 | ||||||
Gilead Sciences, Inc. | 1,943 | 196,612 | ||||||
|
| |||||||
298,231 | ||||||||
|
| |||||||
BUILDING PRODUCTS — 3.3% | ||||||||
Owens Corning | 4,074 | 191,600 | ||||||
|
| |||||||
CHEMICALS — 3.1% | ||||||||
LyondellBasell Industries NV Class A | 2,121 | 184,315 | ||||||
|
| |||||||
CONSUMER FINANCE — 1.1% | ||||||||
Discover Financial Services | 1,235 | 66,221 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.2% |
| |||||||
Verizon Communications, Inc. | 2,837 | 131,126 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 2.4% |
| |||||||
Kroger Co. | 3,404 | 142,389 | ||||||
|
| |||||||
FOOD PRODUCTS — 2.5% | ||||||||
Archer-Daniels-Midland Co. | 2,083 | 76,405 | ||||||
Mondelez International, Inc. Class A | 1,535 | 68,829 | ||||||
|
| |||||||
145,234 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.0% |
| |||||||
Alere, Inc. (a) | 1,427 | 55,782 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 5.1% |
| |||||||
Anthem, Inc. | 1,405 | 195,913 | ||||||
McKesson Corp. | 232 | 45,758 | ||||||
UnitedHealth Group, Inc. | 480 | 56,467 | ||||||
|
| |||||||
298,138 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 4.5% |
| |||||||
Carnival Corp. | 772 | 42,058 | ||||||
Royal Caribbean Cruises, Ltd. | 2,179 | 220,537 | ||||||
|
| |||||||
262,595 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 1.3% | ||||||||
Procter & Gamble Co. | 932 | 74,010 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.5% |
| |||||||
AES Corp. | 9,453 | 90,465 | ||||||
|
| |||||||
INSURANCE — 7.2% | ||||||||
MetLife, Inc. | 3,772 | 181,848 | ||||||
Prudential Financial, Inc. | 2,341 | 190,581 | ||||||
Validus Holdings, Ltd. | 1,111 | 51,428 | ||||||
|
| |||||||
423,857 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 6.9% |
| |||||||
Amazon.com, Inc. (a) | 430 | 290,633 | ||||||
Priceline Group, Inc. (a) | 92 | 117,295 | ||||||
|
| |||||||
407,928 | ||||||||
|
| |||||||
MEDIA — 0.9% | ||||||||
Comcast Corp. Class A | 964 | 54,399 | ||||||
|
| |||||||
MULTILINE RETAIL — 0.8% | ||||||||
Target Corp. | 616 | 44,728 | ||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 5.8% |
| |||||||
Exxon Mobil Corp. | 1,569 | 122,303 | ||||||
Valero Energy Corp. | 3,067 | 216,868 | ||||||
|
| |||||||
339,171 | ||||||||
|
| |||||||
PHARMACEUTICALS — 7.8% | ||||||||
Eli Lilly & Co. | 1,635 | 137,765 | ||||||
Johnson & Johnson | 1,789 | 183,766 | ||||||
Merck & Co., Inc. | 2,645 | 139,709 | ||||||
|
| |||||||
461,240 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.7% |
| |||||||
Extra Space Storage, Inc. | 1,815 | 160,101 | ||||||
|
| |||||||
SOFTWARE — 7.8% | ||||||||
Activision Blizzard, Inc. | 1,785 | 69,098 | ||||||
Electronic Arts, Inc. (a) | 2,989 | 205,404 | ||||||
Intuit, Inc. | 630 | 60,795 | ||||||
Oracle Corp. | 3,400 | 124,202 | ||||||
|
| |||||||
459,499 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 2.7% | ||||||||
Best Buy Co., Inc. | 5,265 | 160,319 | ||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.3% |
| |||||||
Apple, Inc. | 2,537 | 267,045 | ||||||
Hewlett Packard Enterprise Co. | 3,888 | 59,097 | ||||||
HP, Inc. | 3,888 | 46,034 | ||||||
|
| |||||||
372,176 | ||||||||
|
| |||||||
TOBACCO — 3.9% | ||||||||
Altria Group, Inc. | 1,227 | 71,424 | ||||||
Philip Morris International, Inc. | 1,769 | 155,512 | ||||||
|
| |||||||
226,936 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 5,843,562 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 0.7% | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) | 41,006 | 41,006 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (d) | 5,884,568 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (e) | 2,710 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,887,278 | ||||||
|
|
(a) | Non-income producing security |
(b) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(c) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(d) | Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2). |
(e) | Amount shown represents less than 0.05% of net assets. |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
37
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 131.4% | ||||||||
AEROSPACE & DEFENSE — 1.4% | ||||||||
General Dynamics Corp. | 943 | $ | 129,531 | |||||
|
| |||||||
AIR FREIGHT & LOGISTICS — 0.6% | ||||||||
FedEx Corp. | 365 | 54,381 | ||||||
|
| |||||||
AUTO COMPONENTS — 3.9% | ||||||||
Goodyear Tire & Rubber Co. | 7,737 | 252,768 | ||||||
Lear Corp. | 879 | 107,967 | ||||||
|
| |||||||
360,735 | ||||||||
|
| |||||||
BEVERAGES — 2.8% | ||||||||
Coca-Cola Co. | 5,975 | 256,686 | ||||||
|
| |||||||
BIOTECHNOLOGY — 8.1% | ||||||||
Amgen, Inc. | 1,585 | 257,293 | ||||||
Gilead Sciences, Inc. | 4,818 | 487,533 | ||||||
|
| |||||||
744,826 | ||||||||
|
| |||||||
CHEMICALS — 4.5% | ||||||||
LyondellBasell Industries NV Class A | 4,746 | 412,427 | ||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 0.4% |
| |||||||
QUALCOMM, Inc. | 824 | 41,188 | ||||||
|
| |||||||
CONSUMER FINANCE — 0.7% | ||||||||
American Express Co. | 891 | 61,969 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.3% |
| |||||||
Verizon Communications, Inc. | 6,676 | 308,565 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 6.7% |
| |||||||
CVS Health Corp. | 1,788 | 174,813 | ||||||
Kroger Co. | 10,711 | 448,041 | ||||||
|
| |||||||
622,854 | ||||||||
|
| |||||||
FOOD PRODUCTS — 7.9% | ||||||||
Ingredion, Inc. | 3,507 | 336,111 | ||||||
Tyson Foods, Inc. Class A | 7,392 | 394,215 | ||||||
|
| |||||||
730,326 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.4% |
| |||||||
Edwards Lifesciences Corp. (a) | 2,785 | 219,959 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 6.6% |
| |||||||
Anthem, Inc. | 1,117 | 155,755 | ||||||
HCA Holdings, Inc. (a) | 1,146 | 77,504 | ||||||
McKesson Corp. | 1,927 | 380,062 | ||||||
|
| |||||||
613,321 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 6.0% |
| |||||||
Carnival Corp. | 3,199 | 174,281 | ||||||
Norwegian Cruise Line Holdings, Ltd. (a) | 6,526 | 382,424 | ||||||
|
| |||||||
556,705 | ||||||||
|
| |||||||
INSURANCE — 3.3% | ||||||||
Prudential Financial, Inc. | 3,702 | 301,380 | ||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 12.0% |
| |||||||
Amazon.com, Inc. (a) | 1,105 | 746,858 | ||||||
Priceline Group, Inc. (a) | 281 | 358,261 | ||||||
|
| |||||||
1,105,119 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 6.1% |
| |||||||
Alphabet, Inc. Class A (a) | 183 | 142,376 | ||||||
VeriSign, Inc. (a) | 4,795 | 418,891 | ||||||
|
| |||||||
561,267 | ||||||||
|
| |||||||
IT SERVICES — 6.1% | ||||||||
Cognizant Technology Solutions Corp. Class A (a) | 5,840 | 350,517 | ||||||
FleetCor Technologies, Inc. (a) | 1,464 | 209,249 | ||||||
|
| |||||||
559,766 | ||||||||
|
| |||||||
MACHINERY — 1.3% | ||||||||
Caterpillar, Inc. | 1,783 | 121,173 | ||||||
|
| |||||||
MEDIA — 4.7% | ||||||||
Comcast Corp. Class A | 7,696 | 434,285 | ||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 3.3% |
| |||||||
Marathon Petroleum Corp. | 5,192 | 269,153 | ||||||
Valero Energy Corp. | 464 | 32,810 | ||||||
|
| |||||||
301,963 | ||||||||
|
| |||||||
PHARMACEUTICALS — 6.5% | ||||||||
Bristol-Myers Squibb Co. | 2,842 | 195,501 | ||||||
Eli Lilly & Co. | 1,828 | 154,027 | ||||||
Johnson & Johnson | 812 | 83,409 | ||||||
Merck & Co., Inc. | 3,101 | 163,795 | ||||||
|
| |||||||
596,732 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.1% |
| |||||||
Extra Space Storage, Inc. | 1,350 | 119,083 | ||||||
Simon Property Group, Inc. REIT | 852 | 165,663 | ||||||
|
| |||||||
284,746 | ||||||||
|
| |||||||
ROAD & RAIL — 0.9% | ||||||||
Union Pacific Corp. | 1,090 | 85,238 | ||||||
|
| |||||||
SOFTWARE — 8.4% | ||||||||
Aspen Technology, Inc. (a) | 1,523 | 57,509 | ||||||
Electronic Arts, Inc. (a) | 6,562 | 450,941 | ||||||
Oracle Corp. | 7,346 | 268,349 | ||||||
|
| |||||||
776,799 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 7.2% | ||||||||
AutoZone, Inc. (a) | 179 | 132,802 | ||||||
Best Buy Co., Inc. | 10,743 | 327,124 | ||||||
O’Reilly Automotive, Inc. (a) | 820 | 207,805 | ||||||
|
| |||||||
667,731 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.1% |
| |||||||
Apple, Inc. | 5,310 | 558,931 | ||||||
|
| |||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.6% |
| |||||||
NIKE, Inc. Class B | 907 | 56,688 | ||||||
|
| |||||||
TOBACCO — 4.2% | ||||||||
Altria Group, Inc. | 3,495 | 203,444 | ||||||
Philip Morris International, Inc. | 2,102 | 184,787 | ||||||
|
| |||||||
388,231 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 2.3% |
| |||||||
United Rentals, Inc. (a) | 2,943 | 213,485 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 12,127,007 | |||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT-TERM INVESTMENT — 0.9% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) | 80,949 | $ | 80,949 | |||||
|
| |||||||
TOTAL INVESTMENTS — 132.3% (d) | 12,207,956 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (32.3)% | (2,979,673 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 9,228,283 | ||||||
|
|
(a) | Non-income producing security |
(b) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(c) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(d) | Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2). |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
39
Table of Contents
SSGA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 99.2% | ||||||||
AEROSPACE & DEFENSE — 5.1% | ||||||||
General Dynamics Corp. | 389 | $ | 53,433 | |||||
Northrop Grumman Corp. | 479 | 90,440 | ||||||
|
| |||||||
143,873 | ||||||||
|
| |||||||
AUTO COMPONENTS — 4.1% | ||||||||
Gentex Corp. | 1,714 | 27,441 | ||||||
Goodyear Tire & Rubber Co. | 2,720 | 88,862 | ||||||
|
| |||||||
116,303 | ||||||||
|
| |||||||
BANKS — 14.4% | ||||||||
Citigroup, Inc. | 2,376 | 122,958 | ||||||
JPMorgan Chase & Co. | 2,285 | 150,878 | ||||||
Wells Fargo & Co. | 2,374 | 129,051 | ||||||
|
| |||||||
402,887 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 2.3% | ||||||||
Gilead Sciences, Inc. | 640 | 64,762 | ||||||
|
| |||||||
CHEMICALS — 2.9% | ||||||||
LyondellBasell Industries NV Class A | 950 | 82,555 | ||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 1.7% |
| |||||||
Cisco Systems, Inc. | 1,780 | 48,336 | ||||||
|
| |||||||
CONSUMER FINANCE — 0.7% | ||||||||
Discover Financial Services | 351 | 18,821 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.3% |
| |||||||
Verizon Communications, Inc. | 780 | 36,052 | ||||||
|
| |||||||
ELECTRIC UTILITIES — 3.2% | ||||||||
Exelon Corp. | 3,270 | 90,808 | ||||||
|
| |||||||
FOOD PRODUCTS — 5.3% | ||||||||
Bunge, Ltd. | 710 | 48,479 | ||||||
Mondelez International, Inc. Class A | 370 | 16,591 | ||||||
Tyson Foods, Inc. Class A | 1,570 | 83,728 | ||||||
|
| |||||||
148,798 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.7% |
| |||||||
Abbott Laboratories | 432 | 19,401 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 5.2% |
| |||||||
Anthem, Inc. | 587 | 81,851 | ||||||
Cardinal Health, Inc. | 327 | 29,191 | ||||||
McKesson Corp. | 82 | 16,173 | ||||||
UnitedHealth Group, Inc. | 160 | 18,823 | ||||||
|
| |||||||
146,038 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 2.6% |
| |||||||
Carnival Corp. | 980 | 53,390 | ||||||
Royal Caribbean Cruises, Ltd. | 198 | 20,040 | ||||||
|
| |||||||
73,430 | ||||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.9% |
| |||||||
AES Corp. | 5,433 | 51,994 | ||||||
|
| |||||||
INDUSTRIAL CONGLOMERATES — 1.5% |
| |||||||
Danaher Corp. | 450 | 41,796 | ||||||
|
| |||||||
INSURANCE — 9.1% | ||||||||
Everest Re Group, Ltd. | 69 | 12,633 | ||||||
MetLife, Inc. | 1,738 | 83,789 | ||||||
Prudential Financial, Inc. | 1,163 | 94,680 | ||||||
Travelers Cos., Inc. | 341 | 38,485 | ||||||
Validus Holdings, Ltd. | 551 | 25,506 | ||||||
|
| |||||||
255,093 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 1.0% |
| |||||||
eBay, Inc. (a) | 990 | 27,205 | ||||||
|
| |||||||
MULTI-UTILITIES — 1.5% | ||||||||
PG&E Corp. | 810 | 43,084 | ||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 10.1% |
| |||||||
Exxon Mobil Corp. | 646 | 50,356 | ||||||
Marathon Petroleum Corp. | 1,168 | 60,549 | ||||||
Occidental Petroleum Corp. | 280 | 18,931 | ||||||
Valero Energy Corp. | 1,339 | 94,681 | ||||||
WPX Energy, Inc. (a) | 10,160 | 58,318 | ||||||
|
| |||||||
282,835 | ||||||||
|
| |||||||
PHARMACEUTICALS — 5.4% | ||||||||
Johnson & Johnson | 668 | 68,617 | ||||||
Merck & Co., Inc. | 1,558 | 82,293 | ||||||
|
| |||||||
150,910 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.5% |
| |||||||
AvalonBay Communities, Inc. REIT | 436 | 80,281 | ||||||
WP Glimcher, Inc. | 1,786 | 18,949 | ||||||
|
| |||||||
99,230 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.1% |
| |||||||
Broadcom Corp. Class A | 781 | 45,157 | ||||||
Intel Corp. | 1,990 | 68,556 | ||||||
|
| |||||||
113,713 | ||||||||
|
| |||||||
SOFTWARE — 4.8% | ||||||||
Activision Blizzard, Inc. | 1,330 | 51,484 | ||||||
Electronic Arts, Inc. (a) | 1,195 | 82,121 | ||||||
|
| |||||||
133,605 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 4.4% | ||||||||
American Eagle Outfitters, Inc. | 3,100 | 48,050 | ||||||
Best Buy Co., Inc. | 2,439 | 74,267 | ||||||
|
| |||||||
122,317 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.7% |
| |||||||
HP, Inc. | 1,303 | 15,427 | ||||||
NetApp, Inc. | 1,220 | 32,367 | ||||||
|
| |||||||
47,794 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.7% |
| |||||||
United Rentals, Inc. (a) | 260 | 18,860 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,780,500 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 0.7% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) | 21,531 | 21,531 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (d) | 2,802,031 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 1,637 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,803,668 | ||||||
|
|
See accompanying notes to financial statements.
40
Table of Contents
SSGA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
(a) | Non-income producing security |
(b) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(c) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(d) | Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2). |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
41
Table of Contents
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 99.5% | ||||||||
BANKS — 6.6% | ||||||||
Capital Bank Financial Corp. Class A | 2,717 | $ | 86,890 | |||||
First Connecticut Bancorp, Inc. | 144 | 2,507 | ||||||
HomeTrust Bancshares, Inc. (a) | 1,070 | 21,667 | ||||||
People’s United Financial, Inc. | 759 | 12,258 | ||||||
|
| |||||||
123,322 | ||||||||
|
| |||||||
BEVERAGES — 6.3% | ||||||||
Coca-Cola Co. | 1,011 | 43,433 | ||||||
Dr. Pepper Snapple Group, Inc. | 226 | �� | 21,063 | |||||
PepsiCo, Inc. | 535 | 53,457 | ||||||
|
| |||||||
117,953 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 3.9% | ||||||||
Amgen, Inc. | 409 | 66,393 | ||||||
Chimerix, Inc. (a) | 481 | 4,305 | ||||||
NewLink Genetics Corp. (a) | 47 | 1,710 | ||||||
|
| |||||||
72,408 | ||||||||
|
| |||||||
CAPITAL MARKETS — 0.3% | ||||||||
Goldman Sachs Group, Inc. | 31 | 5,587 | ||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 4.6% |
| |||||||
Rollins, Inc. | 315 | 8,159 | ||||||
Stericycle, Inc. (a) | 640 | 77,184 | ||||||
|
| |||||||
85,343 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 4.1% |
| |||||||
Berkshire Hathaway, Inc. Class B (a) | 573 | 75,659 | ||||||
McGraw Hill Financial, Inc. | 13 | 1,281 | ||||||
Moody’s Corp. | 5 | 502 | ||||||
|
| |||||||
77,442 | ||||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 7.4% |
| |||||||
AT&T, Inc. | 1,925 | 66,239 | ||||||
Verizon Communications, Inc. | 1,549 | 71,595 | ||||||
|
| |||||||
137,834 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 2.2% | ||||||||
Entergy Corp. | 238 | 16,269 | ||||||
FirstEnergy Corp. | 775 | 24,591 | ||||||
|
| |||||||
40,860 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 4.0% |
| |||||||
Wal-Mart Stores, Inc. | 1,218 | 74,663 | ||||||
|
| |||||||
FOOD PRODUCTS — 4.8% | ||||||||
General Mills, Inc. | 1,010 | 58,237 | ||||||
Hershey Co. | 229 | 20,443 | ||||||
TreeHouse Foods, Inc. (a) | 144 | 11,298 | ||||||
|
| |||||||
89,978 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.7% |
| |||||||
Cooper Cos., Inc. | 236 | 31,671 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 0.1% |
| |||||||
Nobilis Health Corp. (a) | 611 | 1,723 | ||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 6.1% |
| |||||||
McDonald’s Corp. | 892 | 105,381 | ||||||
Norwegian Cruise Line Holdings, Ltd. (a) | 153 | 8,966 | ||||||
|
| |||||||
114,347 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 5.7% | ||||||||
Kimberly-Clark Corp. | 127 | 16,167 | ||||||
Procter & Gamble Co. | 1,132 | 89,892 | ||||||
|
| |||||||
106,059 | ||||||||
|
| |||||||
INSURANCE — 1.6% | ||||||||
Allied World Assurance Co. Holdings AG | 640 | 23,802 | ||||||
American International Group, Inc. | 94 | 5,825 | ||||||
|
| |||||||
29,627 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 0.5% |
| |||||||
Expedia, Inc. | 71 | 8,825 | ||||||
|
| |||||||
IT SERVICES — 2.0% | ||||||||
Visa, Inc. Class A | 476 | 36,914 | ||||||
|
| |||||||
MEDIA — 0.6% | ||||||||
Eros International PLC (a) | 763 | 6,982 | ||||||
Time Warner Cable, Inc. | 21 | 3,897 | ||||||
|
| |||||||
10,879 | ||||||||
|
| |||||||
METALS & MINING — 0.4% | ||||||||
Newmont Mining Corp. | 430 | 7,736 | ||||||
|
| |||||||
MULTI-UTILITIES — 3.7% | ||||||||
CenterPoint Energy, Inc. | 246 | 4,517 | ||||||
CMS Energy Corp. | 416 | 15,009 | ||||||
Dominion Resources, Inc. | 525 | 35,511 | ||||||
PG&E Corp. | 271 | 14,414 | ||||||
|
| |||||||
69,451 | ||||||||
|
| |||||||
MULTILINE RETAIL — 7.1% | ||||||||
Dollar General Corp. | 475 | 34,138 | ||||||
Dollar Tree, Inc. (a) | 1,272 | 98,224 | ||||||
|
| |||||||
132,362 | ||||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 1.4% |
| |||||||
California Resources Corp. | 1,680 | 3,914 | ||||||
Kinder Morgan, Inc. | 1,452 | 21,664 | ||||||
|
| |||||||
25,578 | ||||||||
|
| |||||||
PAPER & FOREST PRODUCTS — 0.1% | ||||||||
Clearwater Paper Corp. (a) | 43 | 1,958 | ||||||
|
| |||||||
PHARMACEUTICALS — 14.3% | ||||||||
Allergan PLC (a) | 246 | 76,875 | ||||||
Bristol-Myers Squibb Co. | 911 | 62,668 | ||||||
Eli Lilly & Co. | 149 | 12,555 | ||||||
Johnson & Johnson | 442 | 45,402 | ||||||
Merck & Co., Inc. | 982 | 51,869 | ||||||
Perrigo Co. PLC | 119 | 17,219 | ||||||
|
| |||||||
266,588 | ||||||||
|
| |||||||
PROFESSIONAL SERVICES — 1.1% | ||||||||
Advisory Board Co. (a) | 156 | 7,739 | ||||||
Verisk Analytics, Inc. (a) | 176 | 13,531 | ||||||
|
| |||||||
21,270 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.2% |
| |||||||
American Tower Corp. REIT | 80 | 7,756 | ||||||
Annaly Capital Management, Inc. | 1,550 | 14,539 | ||||||
|
| |||||||
22,295 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 4.8% | ||||||||
AutoZone, Inc. (a) | 121 | 89,771 | ||||||
|
| |||||||
TOBACCO — 1.0% | ||||||||
Altria Group, Inc. | 336 | 19,559 | ||||||
|
|
See accompanying notes to financial statements.
42
Table of Contents
SSGA Risk Aware Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
WATER UTILITIES — 1.9% | ||||||||
American Water Works Co., Inc. | 592 | $ | 35,372 | |||||
|
| |||||||
TOTAL COMMON STOCKS | 1,857,375 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 0.4% | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.23% (b) (c) | 6,792 | 6,792 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (d) | 1,864,167 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 2,532 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,866,699 | ||||||
|
|
(a) | Non-income producing security |
(b) | The rate shown is the annualized seven-day yield at December 31, 2015. |
(c) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 3). |
(d) | Unless otherwise indicated, the values of the investments of the Portfolio are determined based on Level 1 inputs (Note 2). |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
43
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2015 (Unaudited)
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | SSGA Global Allocation Portfolio | Blackstone/GSO Senior Loan Portfolio | |||||||||||||
ASSETS | ||||||||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 15,115,348 | $ | 11,060,972 | $ | 33,926,178 | $ | 733,688,100 | ||||||||
Investments in securities of affiliated issuers, at value | 70,626,345 | 90,538,708 | 158,860,667 | 73,468,378 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investments | 85,741,693 | 101,599,680 | 192,786,845 | 807,156,478 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Cash | — | — | — | — | ||||||||||||
Receivable for investment securities sold | — | — | — | 27,816,822 | ||||||||||||
Dividends receivable from affiliated issuers (Note 3) | 77,198 | 400,574 | 270,411 | — | ||||||||||||
Dividends receivable from unaffiliated issuers | — | — | — | — | ||||||||||||
Interest receivable from unaffiliated issuers | — | — | — | 4,904,009 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL ASSETS | $ | 85,818,891 | $ | 102,000,254 | $ | 193,057,256 | $ | 839,877,309 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Payable for investments purchased | 3,033,894 | — | — | 53,774,365 | ||||||||||||
Due to custodian | — | — | — | — | ||||||||||||
Accrued advisory fees (Note 3) | 13,241 | 17,991 | 33,805 | 199,005 | ||||||||||||
Accrued trustees’ fees and expenses (Note 3) | 17 | 6 | 2 | 19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL LIABILITIES | 3,047,152 | 17,997 | 33,807 | 53,973,389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 82,771,739 | $ | 101,982,257 | $ | 193,023,449 | $ | 785,903,920 | ||||||||
|
|
|
|
|
|
|
| |||||||||
COST OF INVESTMENTS | ||||||||||||||||
Unaffiliated issuers | $ | 24,475,994 | $ | 12,564,902 | $ | 38,720,223 | $ | 73,468,378 | ||||||||
Affiliated issuers | 84,073,085 | 94,645,824 | 162,442,859 | 769,302,005 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total cost of investments | $ | 108,549,079 | $ | 107,210,726 | $ | 201,163,082 | $ | 842,770,383 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
44
Table of Contents
SSGA Ultra Short Term Bond Portfolio | State Street DoubleLine Total Return Tactical Portfolio | SSGA MFS Systematic Core Equity Portfolio | SSGA MFS Systematic Growth Equity Portfolio | SSGA MFS Systematic Value Equity Portfolio | State Street Risk Aware Portfolio | |||||||||||||||||
$ | 13,828,193 | $ | 1,467,749,827 | $ | 5,843,562 | $ | 12,127,007 | $ | 2,780,500 | $ | 1,857,375 | |||||||||||
126,552 | 339,272,762 | 41,006 | 80,949 | 21,531 | 6,792 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
13,954,745 | 1,807,022,589 | 5,884,568 | 12,207,956 | 2,802,031 | 1,864,167 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
— | 130,877 | — | — | — | — | |||||||||||||||||
— | 1,868,374 | — | — | — | — | |||||||||||||||||
— | — | 4 | 10 | 3 | 2,929 | |||||||||||||||||
— | — | 3,651 | 6,770 | 2,349 | — | |||||||||||||||||
26,415 | 32,147,300 | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 13,981,160 | $ | 1,841,169,140 | $ | 5,888,223 | $ | 12,214,736 | $ | 2,804,383 | $ | 1,867,096 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
— | 56,335,868 | — | 2,984,093 | — | — | |||||||||||||||||
6 | — | — | — | — | — | |||||||||||||||||
2,368 | 420,855 | 945 | 2,360 | 715 | 397 | |||||||||||||||||
2 | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
2,376 | 56,756,723 | 945 | 2,986,453 | 715 | 397 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 13,978,784 | $ | 1,784,412,417 | $ | 5,887,278 | $ | 9,228,283 | $ | 2,803,668 | $ | 1,866,699 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 13,868,577 | $ | 1,492,391,322 | $ | 5,884,158 | $ | 12,000,648 | $ | 2,683,224 | $ | 1,856,997 | |||||||||||
126,552 | 339,272,762 | 41,006 | 80,949 | 21,531 | 6,792 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 13,995,129 | $ | 1,831,664,084 | $ | 5,925,164 | $ | 12,081,597 | $ | 2,704,755 | $ | 1,863,789 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
45
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2015 (Unaudited)
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | SSGA Global Allocation Portfolio | Blackstone/GSO Senior Loan Portfolio | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividend and interest income on securities of unaffiliated issuers (Note 2) | $ | 50,218 | $ | 72,304 | $ | 211,873 | $ | 18,037,603 | ||||||||
Dividend income on securities of affiliated issuers (Note 3) | 791,837 | 2,015,491 | 2,148,937 | 31,396 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENT INCOME | �� | 842,055 | 2,087,795 | 2,360,810 | 18,068,999 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES | ||||||||||||||||
Advisory fees (Note 3) | 110,439 | 114,344 | 170,378 | 1,088,588 | ||||||||||||
Trustees’ fees (Note 3) | 984 | 900 | 1,448 | 5,293 | ||||||||||||
Other expenses | — | — | — | 18,176 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL EXPENSES | 111,423 | 115,244 | 171,826 | 1,112,057 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INVESTMENT INCOME | $ | 730,632 | $ | 1,972,551 | $ | 2,188,984 | $ | 16,956,942 | ||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Net realized gain (loss) on investments in securities of unaffiliated issuers | $ | (3,982,608 | ) | $ | (64,799 | ) | $ | 358,561 | $ | (16,572,773 | ) | |||||
Net realized gain (loss) on investments in securities of affiliated issuers | (7,459,967 | ) | (1,868,029 | ) | (1,377,258 | ) | — | |||||||||
Capital gains distributions from unaffiliated issuers | — | 676,557 | 1,995,453 | — | ||||||||||||
Capital gains distributions from affiliated issuers | 51,217 | 340,816 | 75,613 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (4,889,474 | ) | (4,542,501 | ) | (9,526,394 | ) | (26,617,611 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | (16,280,832 | ) | (5,457,956 | ) | (8,474,025 | ) | (43,190,384 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (15,550,200 | ) | $ | (3,485,405 | ) | $ | (6,285,041 | ) | $ | (26,233,442 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
46
Table of Contents
SSGA Ultra Short Term Bond Portfolio | State Street DoubleLine Total Return Tactical Portfolio | SSGA MFS Systematic Core Equity Portfolio | SSGA MFS Systematic Growth Equity Portfolio | SSGA MFS Systematic Value Equity Portfolio | State Street Risk Aware Portfolio | |||||||||||||||||
$ | 43,504 | $ | 22,096,356 | $ | 44,389 | $ | 78,886 | $ | 32,187 | $ | 20,821 | |||||||||||
142 | 127,228 | 19 | 54 | 12 | 6 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
43,646 | 22,223,584 | 44,408 | 78,940 | 32,199 | 20,827 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
14,690 | 1,817,607 | 5,962 | 14,545 | 4,269 | 2,376 | |||||||||||||||||
155 | 7,576 | 28 | 63 | 22 | 23 | |||||||||||||||||
182 | 13,330 | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
15,027 | 1,838,513 | 5,990 | 14,608 | 4,291 | 2,399 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 28,619 | $ | 20,385,071 | $ | 38,418 | $ | 64,332 | $ | 27,908 | $ | 18,428 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (8,884 | ) | $ | (5,006,969 | ) | $ | 372,235 | $ | 575,632 | $ | 100,685 | $ | (92,534 | ) | ||||||||
— | — | — | — | — | — | |||||||||||||||||
|
— |
| — | — | — | — | — | |||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
(30,669 | ) | (17,973,859 | ) | (379,731 | ) | (253,359 | ) | (206,397 | ) | (10,521 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(39,553 | ) | (22,980,828 | ) | (7,496 | ) | 322,273 | (105,712 | ) | (103,055 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (10,934 | ) | $ | (2,595,757 | ) | $ | 30,922 | $ | 386,605 | $ | (77,804 | ) | $ | (84,627 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
47
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | |||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 730,632 | $ | 2,533,608 | $ | 1,972,551 | $ | 3,664,590 | ||||||||
Net realized gain (loss) on investments | (11,391,358 | ) | (4,432,160 | ) | (915,455 | ) | 544,895 | |||||||||
Net change in unrealized appreciation (depreciation) on investments | (4,889,474 | ) | (23,442,541 | ) | (4,542,501 | ) | (6,320,056 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (15,550,200 | ) | (25,341,093 | ) | (3,485,405 | ) | (2,110,571 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS | ||||||||||||||||
Contributions | 17,733,619 | 66,337,576 | 1,547,506 | 34,191,856 | ||||||||||||
Withdrawals | (61,407,212 | ) | (63,635,938 | ) | (17,228,631 | ) | (14,962,876 | ) | ||||||||
Other capital | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital transactions | (43,673,593 | ) | 2,701,638 | (15,681,125 | ) | 19,228,980 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | (59,223,793 | ) | (22,639,455 | ) | (19,166,530 | ) | 17,118,409 | |||||||||
NET ASSETS | ||||||||||||||||
Net assets at beginning of period | 141,995,532 | 164,634,987 | 121,148,787 | 104,030,378 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS END OF PERIOD | $ | 82,771,739 | $ | 141,995,532 | $ | 101,982,257 | $ | 121,148,787 | ||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
See accompanying notes to financial statements.
48
Table of Contents
SSGA Global Allocation Portfolio | Blackstone/GSO Senior Loan Portfolio | SSGA Ultra Short Term Bond Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | |||||||||||||||||
$ | 2,188,984 | $ | 3,038,349 | $ | 16,956,942 | $ | 27,436,035 | $ | 28,619 | $ | 53,847 | |||||||||||
1,052,369 | 2,763,789 | (16,572,773 | ) | (750,613 | ) | (8,884 | ) | (4,837 | ) | |||||||||||||
(9,526,394 | ) | (5,265,539 | ) | (26,617,611 | ) | (10,613,268 | ) | (30,669 | ) | (20,194 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(6,285,041 | ) | 536,599 | (26,233,442 | ) | 16,072,154 | (10,934 | ) | 28,816 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
78,157,249 | 72,106,656 | 178,665,835 | 123,474,946 | 3,997,836 | 6,012,275 | |||||||||||||||||
(23,624,163 | ) | (26,359,458 | ) | (38,997,647 | ) | (77,954,422 | ) | (6,027,236 | ) | (4,061,512 | ) | |||||||||||
— | — | 205,472 | 194,062 | — | 3,608 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
54,533,086 | 45,747,198 | 139,873,660 | 45,714,586 | (2,029,400 | ) | 1,954,371 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
48,248,045 | 46,283,797 | 113,640,218 | 61,786,740 | (2,040,334 | ) | 1,983,187 | ||||||||||||||||
144,775,404 | 98,491,607 | 672,263,702 | 610,476,962 | 16,019,118 | 14,035,931 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 193,023,449 | $ | 144,775,404 | $ | 785,903,920 | $ | 672,263,702 | $ | 13,978,784 | $ | 16,019,118 | |||||||||||
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|
|
49
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
State Street DoubleLine Total Return Tactical Portfolio | SSGA MFS Systematic Core Equity Portfolio | |||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | For the Period 2/23/15* - 6/30/15 | Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 20,385,071 | $ | 4,868,673 | $ | 38,418 | $ | 52,825 | ||||||||
Net realized gain (loss) on investments | (5,006,969 | ) | (1,029,740 | ) | 372,235 | 313,500 | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | (17,973,859 | ) | (6,667,636 | ) | (379,731 | ) | 48,740 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (2,595,757 | ) | (2,828,703 | ) | 30,922 | 415,065 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS | ||||||||||||||||
Contributions | 1,064,344,777 | 749,143,987 | 5,860,886 | — | ||||||||||||
Withdrawals | (24,295,019 | ) | — | (2,944,825 | ) | (2,852,753 | ) | |||||||||
Other capital | 264,354 | 378,778 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital transactions | 1,040,314,112 | 749,522,765 | 2,916,061 | (2,852,753 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 1,037,718,355 | 746,694,062 | 2,946,983 | (2,437,688 | ) | |||||||||||
NET ASSETS | ||||||||||||||||
Net assets at beginning of period | 746,694,062 | — | 2,940,295 | 5,377,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS END OF PERIOD | $ | 1,784,412,417 | $ | 746,694,062 | $ | 5,887,278 | $ | 2,940,295 | ||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
See accompanying notes to financial statements.
50
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio | SSGA MFS Systematic Value Equity Portfolio | State Street Risk Aware Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Six Months Ended 12/31/15 (Unaudited) | For the Period 9/9/14* - 6/30/15 | |||||||||||||||||
$ | 64,332 | $ | 52,332 | $ | 27,908 | $ | 49,890 | $ | 18,428 | $ | 26,381 | |||||||||||
575,632 | 451,931 | 100,685 | 294,237 | (92,534 | ) | (232,469 | ) | |||||||||||||||
(253,359 | ) | 35,715 | (206,397 | ) | 41,453 | (10,521 | ) | 10,899 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
386,605 | 539,978 | (77,804 | ) | 385,580 | (84,627 | ) | (195,189 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
8,964,863 | 3,023,489 | — | — | — | 4,000,000 | |||||||||||||||||
(6,168,158 | ) | (2,891,074 | ) | (28,137 | ) | (2,762,295 | ) | (15,708 | ) | (1,837,777 | ) | |||||||||||
— | — | — | — | — | — | |||||||||||||||||
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|
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|
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|
|
| |||||||||||
2,796,705 | 132,415 | (28,137 | ) | (2,762,295 | ) | (15,708 | ) | 2,162,223 | ||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||
3,183,310 | 672,393 | (105,941 | ) | (2,376,715 | ) | (100,335 | ) | 1,967,034 | ||||||||||||||
6,044,973 | 5,372,580 | 2,909,609 | 5,286,324 | 1,967,034 | — | |||||||||||||||||
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|
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|
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|
|
|
|
|
|
| |||||||||||
$ | 9,228,283 | $ | 6,044,973 | $ | 2,803,668 | $ | 2,909,609 | $ | 1,866,699 | $ | 1,967,034 | |||||||||||
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51
Table of Contents
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
SSGA Multi-Asset Real Return Portfolio* | ||||||||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | For the Period 4/25/12** - 6/30/12 | ||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||
Net assets, end of period (000s) | $ | 82,772 | $ | 141,996 | $ | 164,635 | $ | 121,584 | $ | 5,827 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Operating expenses | 0.20 | %(1) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(1) | ||||||||||
Net investment income | 1.33 | %(1) | 1.56 | % | 2.01 | % | 2.91 | % | 3.84 | %(1) | ||||||||||
Portfolio turnover rate | 9 | % | 33 | % | 40 | % | 31 | % | 10 | % | ||||||||||
Total return | (13.08 | )%(2) | (14.80 | )% | 13.93 | % | (1.63 | )% | (3.42 | )%(2) |
* | The Portfolio invests in other underlying funds and indirectly bears its proportionate share of fees and expenses incurred by such funds. The ratios presented do not reflect the indirect expenses of the underlying funds in which the Portfolio invests. |
** | Commencement of operations |
(1) | Annualized. |
(2) | Total return for periods of less than one year is not annualized. |
See accompanying notes to financial statements.
52
Table of Contents
SSGA Income Allocation Portfolio* | SSGA Global Allocation Portfolio* | |||||||||||||||||||||||||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | For the Period 4/25/12** - 6/30/12 | Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | For the Period 4/25/12** - 6/30/12 | |||||||||||||||||||||||||||||
$ | 101,982 | $ | 121,149 | $ | 104,030 | $ | 174,255 | $ | 9,114 | $ | 193,023 | $ | 144,775 | $ | 98,492 | $ | 51,936 | $ | 4,451 | |||||||||||||||||||
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| |||||||||||||||||||
0.20 | %(1) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(1) | 0.20 | %(1) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(1) | |||||||||||||||||||
3.44 | %(1) | 3.15 | % | 3.89 | % | 4.65 | % | 8.39 | %(1) | 2.57 | %(1) | 2.45 | % | 2.76 | % | 3.07 | % | 4.34 | %(1) | |||||||||||||||||||
27 | % | 64 | % | 63 | % | 80 | % | 15 | % | 31 | % | 98 | % | 89 | % | 123 | % | 25 | % | |||||||||||||||||||
(3.06 | )%(2) | (1.42 | )% | 13.84 | % | 4.39 | % | 0.92 | %(2) | (3.49 | )%(2) | 0.49 | % | 16.80 | % | 9.92 | % | (1.82 | )%(2) |
53
Table of Contents
SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
Blackstone/GSO Senior Loan Portfolio* | ||||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | Year Ended 6/30/14 | For the Period 4/3/13** - 6/30/13 | |||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||
Net assets, end of period (000s) | $ | 785,904 | $ | 672,264 | $ | 610,477 | $ | 332,792 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to average net assets: | ||||||||||||||||
Operating expenses | 0.31 | %(1) | 0.31 | % | 0.30 | % | 0.30 | %(1) | ||||||||
Net investment income | 4.66 | %(1) | 4.49 | % | 3.63 | % | 2.57 | %(1) | ||||||||
Portfolio turnover rate | 34 | % | 65 | % | 77 | % | 4 | % | ||||||||
Total return | (2.96 | )%(2) | 2.98 | % | 4.00 | % | (0.31 | )%(2) |
* | The Portfolio invests in other underlying funds and indirectly bears its proportionate share of fees and expenses incurred by such funds. The ratios presented do not reflect the indirect expenses of the underlying funds in which the Portfolio invests. |
** | Commencement of operations |
(1) | Annualized. |
(2) | Total return for periods of less than one year is not annualized. |
See accompanying notes to financial statements.
54
Table of Contents
SSGA Ultra Short Term Bond Portfolio* | State Street DoubleLine Total Return Tactical Portfolio* | SSGA MFS Systematic Core Equity Portfolio* | ||||||||||||||||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | For the Period 10/9/13** - 6/30/14 | Six Months Ended 12/31/15 (Unaudited) | For the Period 2/23/15** - 6/30/15 | Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | For the Period 1/8/14** - 6/30/14 | |||||||||||||||||||||||
$ | 13,979 | $ | 16,019 | $ | 14,036 | $ | 1,784,412 | $ | 746,694 | $ | 5,887 | $ | 2,940 | $ | 5,378 | |||||||||||||||
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|
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|
| |||||||||||||||
0.20 | %(1) | 0.20 | % | 0.20 | %(1) | 0.30 | %(1) | 0.30 | %(1) | 0.30 | %(1) | 0.30 | % | 0.30 | %(1) | |||||||||||||||
0.39 | %(1) | 0.33 | % | 0.34 | %(1) | 3.36 | %(1) | 3.46 | %(1) | 1.93 | %(1) | 1.72 | % | 1.55 | %(1) | |||||||||||||||
47 | % | 79 | % | 39 | % | 15 | % | 14 | % | 15 | % | 54 | % | 27 | % | |||||||||||||||
(0.08 | )%(2) | 0.21 | % | 0.47 | %(2) | 0.21 | %(2) | (0.36) | %(2) | 1.12 | %(2) | 14.00 | % | 7.92 | %(2) |
55
Table of Contents
SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average net assets:
SSGA MFS Systematic Growth Equity Portfolio* | ||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | For the Period 1/8/14** - 6/30/14 | ||||||||||
Supplemental Data and Ratios: | ||||||||||||
Net assets, end of period (000s) | $ | 9,228 | $ | 6,045 | $ | 5,373 | ||||||
|
|
|
|
|
| |||||||
Ratios to average net assets: | ||||||||||||
Operating expenses | 0.30 | %(1) | 0.30 | % | 0.30 | %(1) | ||||||
Net investment income | 1.32 | %(1) | 1.44 | % | 1.46 | %(1) | ||||||
Portfolio turnover rate | 25 | % | 67 | % | 20 | % | ||||||
Total return | 2.49 | %(2) | 17.85 | % | 7.85 | %(2) |
* | The Portfolio invests in other underlying funds and indirectly bears its proportionate share of fees and expenses incurred by such funds. The ratios presented do not reflect the indirect expenses of the underlying funds in which the Portfolio invests. |
** | Commencement of operations |
(1) | Annualized. |
(2) | Total return for periods of less than one year is not annualized. |
See accompanying notes to financial statements.
56
Table of Contents
SSGA MFS Systematic Value Equity Portfolio* | State Street Risk Aware Portfolio* | |||||||||||||||||
Six Months Ended 12/31/15 (Unaudited) | Year Ended 6/30/15 | For the Period 1/8/14** - 6/30/14 | Six Months Ended 12/31/15 (Unaudited) | For the Period 9/9/14** - 6/30/15 | ||||||||||||||
$ | 2,804 | $ | 2,910 | $ | 5,286 | $ | 1,867 | $ | 1,967 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
0.30 | %(1) | 0.30 | % | 0.30 | %(1) | 0.25 | %(1) | 0.25 | %(1) | |||||||||
1.97 | %(1) | 1.67 | % | 1.73 | %(1) | 1.93 | %(1) | 1.46 | %(1) | |||||||||
34 | % | 61 | % | 23 | % | 25 | % | 122 | % | |||||||||
(2.68 | )%(2) | 13.79 | % | 6.20 | %(2) | (4.31 | )%(2) | (0.46 | )%(2) |
57
Table of Contents
NOTES TO FINANCIAL STATEMENTS
December 31, 2015 (Unaudited)
1. | Organization |
SSGA Master Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on March 30, 2011.
As of December 31, 2015, the Trust offered ten (10) portfolios, each of which represents a separate series of beneficial interest in the Trust (each a “Portfolio” and collectively; the “Portfolios”). The financial statements herein relate to the following ten (10) Portfolios: SSGA Multi-Asset Real Return Portfolio, SSGA Income Allocation Portfolio, SSGA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSGA Ultra Short Term Bond Portfolio, State Street DoubleLine Total Return Tactical Portfolio, SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio, SSGA MFS Systematic Value Equity Portfolio and State Street Risk Aware Portfolio, which are each a “diversified” investment company, with the exception of SSGA Ultra Short Term Bond Portfolio and the State Street Risk Aware Portfolio, which are each a “non-diversified” investment company. Each portfolio serves as a master fund in a master feeder structure.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).
Security Valuation
Each Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments. The members of the Committee are approved by the Board.
Valuation techniques used to value each Portfolio’s investments by major category are as follows:
• | Equity investments (including registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Debt obligations (both governmental and non- governmental) purchased with greater than sixty days to maturity and not investment grade are valued at last reported evaluated bid prices obtained from independent pricing services or brokers. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures. |
58
Table of Contents
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with the Portfolios procedures to stabilize net asset value. |
• | Senior or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans in which the Committee determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors effecting the loan. |
In the event prices or quotations are not readily available or that application of these valuation methods results in a price for an investment which is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate the Portfolio’s net asset value and the prices used by the Portfolios’ underlying indices. Various inputs are used in determining the value of Portfolios’ investments. These inputs are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes.
The Portfolios value their assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The following table summarizes the inputs used in valuing the Portfolios’ investments as of December 31, 2015:
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
SSGA Multi-Asset Real Return Portfolio | $ | 85,741,693 | $ | — | $ | — | $ | 85,741,693 | ||||||||
SSGA Income Allocation Portfolio | 101,599,680 | — | — | 101,599,680 | ||||||||||||
SSGA Global Allocation Portfolio | 192,786,845 | — | — | 192,786,845 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | 73,468,378 | 733,688,100 | — | 807,156,478 | ||||||||||||
SSGA Ultra Short Term Bond Portfolio | 126,552 | 13,828,193 | — | 13,954,745 | ||||||||||||
State Street DoubleLine Total Return Tactical Portfolio | 339,272,762 | 1,467,749,827 | — | 1,807,022,589 | ||||||||||||
SSGA MFS Systematic Core Equity Portfolio | 5,884,568 | — | — | 5,884,568 | ||||||||||||
SSGA MFS Systematic Growth Equity Portfolio | 12,207,956 | — | — | 12,207,956 | ||||||||||||
SSGA MFS Systematic Value Equity Portfolio | 2,802,031 | — | — | 2,802,031 | ||||||||||||
State Street Risk Aware Portfolio | 1,864,167 | — | — | 1,864,167 |
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
There were no transfers between levels for the period ended December 31, 2015.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Dividend income and capital gains distributions, if any, are recognized on the ex-dividend date. Interest income is recorded daily on an accrual basis. Non-cash dividends received in the form of stock, if any, are received as dividend income at fair value. Distributions received by a Portfolio many include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Certain Portfolios invest in Real Estate Investments Trusts (“REITS”). REITS determine the tax character of their distributions annually and may characterize a portion of their distributions as income, return of capital or capital gain. The Portfolios’ policy is to record all REIT distributions initially as dividend income and re-designate to return of capital or capital gains distributions at year end based on information provided by the REIT and management’s estimates of such re-designations for which actual information has not yet been reported. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.
Expenses
Advisory fees and other expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio. Trustees’ fees and other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolios. In addition to the these direct expenses, the Portfolios bear certain expenses indirectly, such as fees of underlying Portfolios in which the Portfolio invest that are reflected in the reported value of such Portfolios.
Foreign Currency Translation
The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates deemed appropriate pursuant to the valuation policy and procedures at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of the transactions. The Portfolios do not isolate the effect of fluctuations in foreign exchange from the effect of fluctuations in the market price of securities. Such fluctuations are reflected by the Portfolios as a component of realized and unrealized gains and losses from investments for financial reporting purposes.
Federal Income Tax
The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes. The Portfolios have reviewed the tax positions for the open tax years as of June 30, 2015, and have determined that no provision for income tax is required in the Portfolios’ Financial Statements. The Portfolios’ federal tax returns are subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Portfolios’ recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.
3. | Fees and Compensation Paid to Affiliates and other Related Party Transactions |
Advisory Fee
Each Portfolio has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Portfolios, facilities furnished, and expenses borne by the Adviser, each
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Portfolio’s average daily net assets as shown in the following table:
Annual Rate | ||||
SSGA Multi-Asset Real Return Portfolio | 0.20 | % | ||
SSGA Income Allocation Portfolio | 0.20 | |||
SSGA Global Allocation Portfolio | 0.20 | |||
Blackstone/GSO Senior Loan Portfolio | 0.30 | |||
SSGA Ultra Short Term Bond Porfolio | 0.20 | |||
State Street DoubleLine Total Return Tactical Portfolio | 0.30 | |||
SSGA MFS Systematic Core Equity Portfolio | 0.30 | |||
SSGA MFS Systematic Growth Equity Portfolio | 0.30 | |||
SSGA MFS Systematic Value Equity Portfolio | 0.30 | |||
State Street Risk Aware Portfolio | 0.25 |
The Adviser pays all operating expenses of each Portfolio other than management fee, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.
GSO/Blackstone Debt Funds Management LLC receives fees for its services as the sub-adviser to the Blackstone/GSO Senior Loan Portfolio from the Adviser.
Massachusetts Financial Services Investment Management (“MFS”) receives fees for its services as sub-adviser to the SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio and SSGA MFS Systematic Value Equity Portfolio from the Adviser.
DoubleLine Capital LP receives fees for its services as the sub-advisor to the State Street DoubleLine Total Return Portfolio from the Adviser.
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”) serves as sub-administrator. State Street, an affiliate of the Adviser, receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
4. | Trustees’ Fees |
The Trust, SSGA Active Trust, SPDR Series Trust and SPDR Index Shares Funds (together with the Trust, the “Trusts”) pay, in the aggregate, each Independent Trustee an annual fee of $200,000 plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trusts also reimburse each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
Transactions with Affiliates
Each Portfolio may invest in certain money market funds and underlying funds affiliated with the Adviser. Amounts related to investments in affiliated underlying Funds at December 31, 2015, and for the period then ended are:
SSGA Multi-Asset Real Return Portfolio | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 400,523 | $ | 22,321,147 | $ | 8,481,208 | 153,787 | $ | 11,639,801 | (210,321 | ) | 343,989 | $ | 18,792,119 | $ | 25,904 | $ | (279,381 | ) | ||||||||||||||||||||||
SPDR DB International Government Inflation-Protected Bond ETF | 119,100 | 6,539,781 | 2,564,216 | 49,231 | 3,593,691 | (68,022 | ) | 100,309 | 5,058,583 | 4,395 | (183,071 | ) | ||||||||||||||||||||||||||||
Energy Select Sector SPDR Fund | 88,920 | 6,683,227 | 1,250,086 | 19,623 | 3,080,429 | (45,523 | ) | 63,020 | 3,815,861 | 71,954 | (567,204 | ) | ||||||||||||||||||||||||||||
SPDR S&P Global Natural Resources ETF | 938,966 | 39,483,520 | 5,332,575 | 156,248 | 17,164,502 | (481,050 | ) | 614,164 | 19,714,664 | 355,831 | (6,492,166 | ) | ||||||||||||||||||||||||||||
SPDR S&P International Energy Sector ETF | 144,816 | 2,802,190 | 352,295 | 22,719 | 1,080,121 | (62,595 | ) | 104,940 | 1,607,681 | 41,322 | (336,340 | ) | ||||||||||||||||||||||||||||
SPDR S&P Metals & Mining ETF | 25,451 | 619,223 | 215,977 | 11,352 | 246,820 | (13,534 | ) | 23,269 | 347,872 | 6,017 | (91,862 | ) | ||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 286,691 | 12,000,885 | 1,643,528 | 42,123 | 5,780,639 | (142,441 | ) | 186,373 | 7,290,911 | 113,534 | (159,902 | ) | ||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 158,157 | 13,345,288 | 1,423,984 | 15,689 | 8,238,163 | (91,813 | ) | 82,033 | 7,516,684 | 167,980 | 701,176 | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 6,724,192 | 6,724,192 | 15,739,717 | 15,739,717 | 15,981,939 | 15,981,939 | 6,481,970 | 6,481,970 | 4,900 | — |
SSGA Income Allocation Portfolio | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
Consumer Discretionary Select Sector SPDR Fund | 32,130 | $ | 2,457,302 | $ | 38,759 | 510 | $ | 552,481 | (7,011 | ) | 25,629 | $ | 2,002,906 | $ | 17,280 | $ | 21,244 | |||||||||||||||||||||||
Financial Select Sector Fund | — | — | 2,494,818 | 99,536 | 2,317,748 | 99,536 | — | — | 11,142 | (177,071 | ) | |||||||||||||||||||||||||||||
Health Care Select Sector SPDR Fund | 33,002 | 2,455,019 | 204,351 | 2,919 | 505,265 | (6,984 | ) | 28,937 | 2,084,911 | 17,463 | 57,298 | |||||||||||||||||||||||||||||
Industrial Select Sector Fund | — | — | 2,275,251 | 42,550 | 2,310,370 | 42,550 | — | — | — | 35,119 | ||||||||||||||||||||||||||||||
SPDR S&P Dividend ETF | 63,111 | 4,809,689 | 3,414,968 | 44,385 | 2,013,637 | (27,161 | ) | 80,335 | 5,910,246 | 77,094 | 283,361 | |||||||||||||||||||||||||||||
SPDR Wells Fargo Preferred Stock ETF | 138,428 | 6,006,391 | 210,585 | 4,801 | 1,232,514 | (27,777 | ) | 115,452 | 5,160,704 | 172,923 | (6,470 | ) | ||||||||||||||||||||||||||||
Technology Select Sector SPDR Fund | 57,368 | 2,375,035 | 2,193,763 | 50,390 | 2,568,582 | (60,880 | ) | 46,878 | 2,007,785 | 10,424 | 334,198 | |||||||||||||||||||||||||||||
SPDR Barclays Convertible Securities ETF | 126,174 | 6,002,097 | 275,084 | 5,899 | 964,469 | (20,922 | ) | 111,151 | 4,810,615 | 196,059 | 120,210 | |||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 521,165 | 20,028,371 | 1,493,599 | 41,043 | 4,264,948 | (117,383 | ) | 444,825 | 15,084,016 | 625,565 | (295,520 | ) | ||||||||||||||||||||||||||||
SPDR Barclays Intermediate Term Corporate Bond ETF | 72,189 | 2,449,373 | 2,235,588 | 65,939 | 528,247 | (15,634 | ) | 122,494 | 4,094,974 | 52,501 | (1,034 | ) | ||||||||||||||||||||||||||||
SPDR Barclays Long Term Corporate Bond ETF | 444,142 | 17,006,197 | 577,192 | 14,941 | 6,053,339 | (159,219 | ) | 299,864 | 11,268,889 | 371,892 | (464,640 | ) | ||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 125,248 | 8,556,943 | 4,408,374 | 61,778 | 3,581,734 | (51,974 | ) | 135,052 | 9,437,434 | 141,917 | (104,593 | ) | ||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 33,157 | 1,847,840 | 3,305,730 | 59,681 | 557,523 | (10,115 | ) | 82,723 | 4,519,158 | 5,858 | (4,065 | ) | ||||||||||||||||||||||||||||
SPDR S&P Emerging Markets Dividend ETF | 36,433 | 1,192,452 | 163,531 | 5,698 | 1,117,430 | (42,131 | ) | — | — | — | (344,061 | ) | ||||||||||||||||||||||||||||
SPDR S&P Global Infrastructure ETF | 76,611 | 3,573,137 | 397,665 | 8,927 | 2,603,434 | (61,434 | ) | 24,104 | 1,001,280 | 20,036 | (132,932 | ) |
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
SSGA Income Allocation Portfolio | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR S&P International Dividend ETF | 85,886 | $ | 3,561,692 | $ | 448,407 | 11,607 | $ | 1,379,909 | (38,632 | ) | 58,861 | $ | 1,963,603 | $ | 62,078 | $ | (383,994 | ) | ||||||||||||||||||||||
SPDR STOXX Europe 50 ETF | 136,012 | 4,729,137 | 433,375 | 12,778 | 801,203 | (23,743 | ) | 125,047 | 3,981,496 | 40,259 | (10,711 | ) | ||||||||||||||||||||||||||||
SPDR Barclays Emerging Markets Local Bond ETF | 135,253 | 3,662,651 | 237,386 | 9,239 | 3,623,848 | (144,492 | ) | — | — | — | (745,168 | ) | ||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 116,337 | 4,869,867 | 1,721,705 | 41,961 | 2,220,462 | (53,750 | ) | 104,548 | 4,089,918 | 57,642 | (21,380 | ) | ||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 98,588 | 8,318,855 | 2,572,772 | 29,264 | 5,143,845 | (57,324 | ) | 70,528 | 6,462,481 | 132,120 | 312,996 | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 2,787,882 | 2,787,882 | 7,560,266 | 7,560,266 | 3,689,856 | 3,689,856 | 6,658,292 | 6,658,292 | 3,238 | — |
SSGA Global Allocation Portfolio | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
Consumer Discretionary Select Sector SPDR Fund | 38,328 | $ | 2,931,325 | $ | 1,583,773 | 20,077 | $ | 750,523 | (9,671 | ) | 48,734 | $ | 3,808,562 | $ | 29,881 | $ | 8,874 | |||||||||||||||||||||||
Financial Select Sector Fund | — | — | 3,648,856 | 146,236 | 3,405,503 | 146,236 | — | — | 15,785 | (243,353 | ) | |||||||||||||||||||||||||||||
Health Care Select Sector SPDR Fund | 39,379 | 2,929,404 | 1,764,127 | 24,629 | 640,676 | (9,056 | ) | 54,952 | 3,959,291 | 29,857 | 54,125 | |||||||||||||||||||||||||||||
Industrial Select Sector SPDR Fund | — | — | 3,813,105 | 71,142 | 3,648,644 | 67,226 | 3,916 | 207,587 | 1,357 | 45,125 | ||||||||||||||||||||||||||||||
SPDR S&P 500 ETF Trust | 63,090 | 12,987,077 | 6,970,819 | 33,761 | 8,186,120 | (40,502 | ) | 56,349 | 11,488,998 | 124,930 | 293,985 | |||||||||||||||||||||||||||||
Technology Select Sector SPDR Fund | 68,939 | 2,854,075 | 4,350,914 | 100,168 | 3,583,323 | (85,077 | ) | 84,030 | 3,599,005 | 19,719 | 292,306 | |||||||||||||||||||||||||||||
SPDR Barclays Aggregate Bond ETF | 50,686 | 2,909,376 | 3,712,470 | 64,419 | 801,560 | (13,963 | ) | 101,142 | 5,770,151 | 63,654 | (2,408 | ) | ||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 599,493 | 23,038,516 | 11,575,459 | 320,080 | 11,928,443 | (326,239 | ) | 593,334 | 20,119,956 | 737,323 | (679,077 | ) | ||||||||||||||||||||||||||||
SPDR Barclays Intermediate Term Corporate Bond ETF | 41,866 | 1,420,513 | 784,197 | 23,220 | 222,053 | (6,599 | ) | 58,487 | 1,955,221 | 26,445 | 384 | |||||||||||||||||||||||||||||
SPDR Barclays Intermediate Term Treasury ETF | — | — | 2,127,715 | 35,355 | 200,221 | 3,330 | 32,025 | 1,921,820 | 7,386 | 736 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Corporate Bond ETF | 302,860 | 11,596,509 | 4,044,354 | 105,264 | 9,298,069 | (245,426 | ) | 162,698 | 6,114,191 | 243,689 | (588,205 | ) | ||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 65,248 | 4,457,743 | 11,954,047 | 168,650 | 4,300,528 | (62,241 | ) | 171,657 | 11,995,391 | 125,938 | (95,727 | ) | ||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 52,369 | 2,918,524 | 6,090,505 | 109,733 | 1,083,731 | (19,701 | ) | 142,401 | 7,779,367 | 10,101 | (2,453 | ) | ||||||||||||||||||||||||||||
SPDR S&P Emerging Markets ETF | 22,137 | 1,426,508 | 358,800 | 6,143 | 1,504,454 | (28,280 | ) | — | — | — | (350,847 | ) | ||||||||||||||||||||||||||||
SPDR S&P International Small Cap ETF | 143,131 | 4,368,358 | 2,429,585 | 83,707 | 641,855 | (23,002 | ) | 203,836 | 5,754,290 | 118,764 | 41,707 | |||||||||||||||||||||||||||||
SPDR S&P World ex-US ETF | 785,051 | 22,075,634 | 12,612,763 | 466,929 | 4,938,836 | (188,330 | ) | 1,063,650 | 27,388,987 | 361,931 | (131,685 | ) | ||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 68,930 | 2,885,410 | 4,996,849 | 123,693 | 3,958,742 | (96,379 | ) | 96,244 | 3,765,065 | 47,693 | (47,177 | ) | ||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 117,788 | 9,938,951 | 5,635,243 | 63,492 | 8,294,458 | (92,427 | ) | 88,853 | 8,141,601 | 166,563 | 102,045 | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 15,054,957 | 15,054,957 | 25,991,684 | 25,991,684 | 5,955,457 | 5,955,457 | 35,091,184 | 35,091,184 | 17,921 | — |
Blackstone/GSO Senior Loan Portfolio | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 11,996,420 | $ | 11,996,420 | $ | 282,742,050 | 282,742,050 | $ | 221,270,092 | 221,270,092 | 73,468,378 | $ | 73,468,378 | $ | 31,396 | $ | — |
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
SSGA Ultra Short Term | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 487,918 | $ | 487,918 | $ | 5,286,651 | 5,286,651 | $ | 5,648,017 | 5,648,017 | 126,552 | $ | 126,552 | $ | 142 | $ | — | ||||||||||||||||||||||||
State Street DoubleLine | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 152,859,462 | 152,859,462 | 1,002,071,358 | 1,002,071,358 | 815,658,058 | 815,658,058 | 339,272,762 | 339,272,762 | 127,228 | — | ||||||||||||||||||||||||||||||
SSGA MFS Systematic | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 26,105 | $ | 26,105 | $ | 87,200 | 87,200 | $ | 72,299 | 72,299 | 41,006 | $ | 41,006 | $ | 19 | $ | — | ||||||||||||||||||||||||
SSGA MFS Systematic | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 63,671 | $ | 63,671 | $ | 199,143 | 199,143 | $ | 181,865 | 181,865 | 80,949 | $ | 80,949 | $ | 54 | $ | — | ||||||||||||||||||||||||
SSGA MFS Systematic | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 27,610 | $ | 27,610 | $ | 60,241 | 60,241 | $ | 66,320 | 66,320 | 21,531 | $ | 21,531 | $ | 12 | $ | — | ||||||||||||||||||||||||
State Street Risk | Number of Shares Held at 6/30/15 | Value At 6/30/15 | Purchased | Sold | Number of Shares Held at 12/31/15 | Value at 12/31/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 9,120 | $ | 9,120 | $ | 32,714 | 32,714 | $ | 35,042 | 35,042 | 6,792 | $ | 6,792 | $ | 6 | $ | — |
5. | Aggregate Unrealized Appreciation and Depreciation |
As of December 31, 2015, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
SSGA Multi-Asset Real Return Portfolio | $ | 108,549,079 | $ | 850,186 | $ | (23,657,572 | ) | $ | (22,807,386 | ) | ||||||
SSGA Income Allocation Portfolio | 107,210,726 | 1,621,134 | (7,232,180 | ) | (5,611,046 | ) | ||||||||||
SSGA Global Allocation Portfolio | 201,163,082 | 1,985,200 | (10,361,437 | ) | (8,376,237 | ) | ||||||||||
Blackstone / GSO Senior Loan Portfolio | 842,770,383 | 897,381 | (36,511,286 | ) | (35,613,905 | ) | ||||||||||
SSGA Ultra Short Term Bond Portfolio | 13,995,129 | 1,023 | (41,406 | ) | (40,384 | ) | ||||||||||
State Street DoubleLine Total Return Tactical Portfolio | 1,831,664,084 | 2,296,811 | (26,938,306 | ) | (24,641,495 | ) | ||||||||||
SSGA MFS Systematic Core Equity Portfolio | 5,925,164 | 110,396 | (150,992 | ) | (40,596 | ) | ||||||||||
SSGA MFS Systematic Growth Equity Portfolio | 12,081,597 | 525,973 | (399,614 | ) | 126,359 | |||||||||||
SSGA MFS Systematic Value Equity Portfolio | 2,704,755 | 277,100 | (179,824 | ) | 97,276 | |||||||||||
State Street Risk Aware Portfolio | 1,863,789 | 126,864 | (126,486 | ) | 378 |
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
6. | Investment Transactions |
For the period ended December 31, 2015, the Portfolios had purchases and sales of investment securities as follows:
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | SSGA Global Allocation Portfolio | Blackstone/ GSO Senior Loan Portfolio | SSGA Ultra Short Term Bond Portfolio | State Street DoubleLine Total Return Tactical Portfolio | SSGA MFS Systematic Core Equity Portfolio | SSGA MFS Systematic Growth Equity Portfolio | SPDR MFS Systematic Value Equity Portfolio | State Street Risk Aware Portfolio | |||||||||||||||||||||||||||||||
Purchases | ||||||||||||||||||||||||||||||||||||||||
Long Term | $ | 9,787,640 | $ | 29,632,203 | $ | 44,844,202 | $ | 341,330,523 | $ | 5,399,239 | $ | 984,529,028 | $ | 622,436 | $ | 2,338,528 | $ | 964,917 | $ | 470,909 | ||||||||||||||||||||
Sales | ||||||||||||||||||||||||||||||||||||||||
Long Term | $ | 12,919,674 | $ | 33,258,514 | $ | 54,530,167 | $ | 239,276,551 | $ | 7,286,237 | $ | 157,272,138 | $ | 619,072 | $ | 2,328,365 | $ | 958,055 | $ | 467,408 |
For the period ended December 31, 2015, the Portfolios had purchases and sales of U.S. Government obligations as follows:
SSGA Ultra Short Term Bond Portfolio | ||||
Purchases | ||||
Long Term | $ | 1,020,436 | ||
Sales | ||||
Long Term | $ | 1,276,205 |
For the period ended December 31, 2015, the Trust did not pay any commissions to an affiliate of the Adviser for investment transactions.
7. | Line of Credit |
Effective October 15, 2015, Blackstone/GSO Senior Loan Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) share in a $360 million revolving credit facility provided by a syndication of banks. Blackstone/GSO Senior Loan Portfolio has exclusive access to $100 million of the total credit facility. The Participants may borrow for the purpose of meeting shareholder redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Blackstone/GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees on the shared credit line are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses and are paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1%. Blackstone/GSO Senior Loan Portfolio may borrow up to a maximum of 25 percent of its assets or a lower amount as set forth in the Portfolio’s prospectus. Blackstone/GSO Senior Loan Portfolio had no outstanding loans during the six months ended December 31, 2015.
8. | Risks |
Although the Portfolios do not intend to concentrate their investments in any particular industry, if a Portfolio concentrates in a single industry, group of industries or type of instrument, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry, group of industries or type of instrument. The Trust invests in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.
SSGA Multi-Asset Real Return Portfolio, SSGA Income Allocation Portfolio and SSGA Global Allocation Portfolio invest their assets in other exchange-traded products (referred to as “underlying funds). The underlying funds, in turn, may engage in a number of investment techniques and practices, which involve certain risks. Certain underlying funds invest their portfolios in debt securities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.
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SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2015 (Unaudited)
Certain underlying funds invest their portfolios in foreign securities including emerging markets. Foreign investments involve certain risks that are greater than those associated with investments in securities of U.S. issuers. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in securities issued by entities based outside the United States pose distinct risks since political and economic events unique to a country or region will affect those markets and their issuers. Investment in emerging markets involves greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. Certain underlying funds invest their portfolios in commodities markets. Commodities are subject to substantial price fluctuations over short periods of time and may be affected by unpredictable economic, political and environmental events. Factors that may significantly affect the prices of commodities include, but are not limited to: global supply and demand; domestic and international interest rates and investors’ expectations of interest rates; inflation rates and investors’ expectations of inflation rates; the investment and trading activities of commodity futures contracts; political, economic, or financial events, both globally and regionally.
The Blackstone/GSO Senior Loan Portfolio and DoubleLine Total Return Tactical Portfolio invest their assets in senior loans. Investments in senior loans are subject to credit risks which may include delay in receiving payments of principal and interest paid by the borrower to the agent or by the agent to the lender or offsets against payments received from the borrower.
SSGA Ultra Short Term Bond Portfolio invests primarily in investment grade debt securities with varying maturities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.
SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio, SSGA MFS Systematic Value Equity Portfolio and State Street Risk Aware Portfolio invest in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.
An investment in a Portfolio involves risks similar to those of investing in any fund, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in security prices. The values of securities could decline generally or could underperform other investments. Different types of securities tend to go through cycles of out-performance and underperformance in comparison to the general securities market. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolios through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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OTHER INFORMATION
December 31, 2015 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Portfolios’ investment adviser to vote proxies relating to the Portfolios’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolios’ website at www.spdrs.com.
Quarterly Portfolio Schedule
The Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Portfolios’ website at www.spdrs.com.
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The SPDR® Family of Exchange Traded Funds
The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. Please call 1-866-787-2257 to obtain a prospectus for any SPDR ETF. The prospectus contains more complete information, including charges, expenses, investment objectives and risk factors that should be carefully considered to determine if the Fund(s) are an appropriate investment for you. Read the prospectus(es) carefully before investing. Investing involves risk, including possible loss of principal.
SPDR Series Trust
SPDR Russell 3000® ETF (THRK)
SPDR Russell 1000® ETF (ONEK)
SPDR Russell 2000® ETF (TWOK)
SPDR Russell 1000 Yield Focus ETF (ONEY)
SPDR Russell 1000 Momentum Focus ETF (ONEO)
SPDR Russell 1000 Low Volatility Focus ETF (ONEV)
SPDR S&P 500 Buyback ETF (SPYB)
SPDR S&P 500 Growth ETF (SPYG)
SPDR S&P 500 Value ETF (SPYV)
SPDR S&P 500 High Dividend ETF (SPYD)
SPDR S&P 500 Fossil Fuel Free ETF (SPYX)
SPDR Russell Small Cap Completeness ETF (RSCO)
SPDR S&P 400 Mid Cap Growth ETF (MDYG)
SPDR S&P 400 Mid Cap Value ETF (MDYV)
SPDR S&P 600 Small Cap ETF (SLY)
SPDR S&P 600 Small Cap Growth ETF (SLYG)
SPDR S&P 600 Small Cap Value ETF (SLYV)
SPDR Global Dow ETF (DGT)
SPDR Dow Jones REIT ETF (RWR)
SPDR S&P Bank ETF (KBE)
SPDR S&P Capital Markets ETF (KCE)
SPDR S&P Insurance ETF (KIE)
SPDR S&P Regional Banking ETF (KRE)
SPDR Morgan Stanley Technology ETF (MTK)
SPDR S&P Dividend ETF (SDY)
SPDR S&P Aerospace & Defense ETF (XAR)
SPDR S&P Biotech ETF (XBI)
SPDR S&P Health Care Equipment ETF (XHE)
SPDR S&P Health Care Services ETF (XHS)
SPDR S&P Homebuilders ETF (XHB)
SPDR S&P Metals & Mining ETF (XME)
SPDR S&P Oil & Gas Equipment & Services ETF (XES)
SPDR S&P Oil & Gas Exploration & Production ETF (XOP)
SPDR S&P Pharmaceuticals ETF (XPH)
SPDR S&P Retail ETF (XRT)
SPDR S&P Semiconductor ETF (XSD)
SPDR S&P Software & Services ETF (XSW)
SPDR S&P Telecom ETF (XTL)
SPDR S&P Transportation ETF (XTN)
SPDR S&P 1500 Value Tilt ETF (VLU)
SPDR S&P 1500 Momentum Tilt ETF (MMTM)
SPDR Russell 1000 Low Volatility ETF (LGLV)
SPDR Russell 2000 Low Volatility ETF (SMLV)
SPDR MSCI USA Quality Mix ETF (QUS)
SPDR Wells Fargo Preferred Stock ETF (PSK)
SPDR Barclays 1-3 Month T-Bill ETF (BIL)
SPDR Barclays TIPS ETF (IPE)
SPDR Barclays 0-5 Year TIPS ETF (SIPE)
SPDR Barclays 1-10 Year TIPS ETF (TIPX)
SPDR Barclays Short Term Treasury ETF (SST)
SPDR Barclays Intermediate Term Treasury ETF (ITE)
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SPDR Barclays Long Term Treasury ETF (TLO)
SPDR Barclays Short Term Corporate Bond ETF (SCPB)
SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)
SPDR Barclays Long Term Corporate Bond ETF (LWC)
SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)
SPDR Barclays Convertible Securities ETF (CWB)
SPDR Barclays Mortgage Backed Bond ETF (MBG)
SPDR Barclays Aggregate Bond ETF (BNDS)
SPDR Nuveen Barclays Municipal Bond ETF (TFI)
SPDR Nuveen Barclays California Municipal Bond ETF (CXA)
SPDR Nuveen Barclays New York Municipal Bond ETF (INY)
SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)
SPDR Nuveen S&P High Yield Municipal Bond ETF (HYMB)
SPDR Nuveen Barclays Build America Bond ETF (BABS)
SPDR DB International Government Inflation-Protected Bond ETF (WIP)
SPDR Barclays Short Term International Treasury Bond ETF (BWZ)
SPDR Barclays International Treasury Bond ETF (BWX)
SPDR Barclays International Corporate Bond ETF (IBND)
SPDR Barclays Emerging Markets Local Bond ETF (EBND)
SPDR Barclays International High Yield Bond ETF (IJNK)
SPDR Barclays High Yield Bond ETF (JNK)
SPDR Barclays Short Term High Yield Bond ETF (SJNK)
SPDR Barclays Investment Grade Floating Rate ETF (FLRN)
SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF (EMCD)
SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (CJNK)
SPDR Index Shares Funds
SPDR STOXX Europe 50 ETF (FEU)
SPDR EURO STOXX 50 ETF (FEZ)
SPDR EURO STOXX Small Cap (SMEZ)
SPDR EURO STOXX 50 Currency Hedged ETF (HFEZ)
SPDR S&P International Dividend Currency Hedged ETF (HDWX)
SPDR MSCI International Real Estate Currency Hedged ETF (HREX)
SPDR S&P Emerging Asia Pacific ETF (GMF)
SPDR S&P Russia ETF (RBL)
SPDR S&P China ETF (GXC)
SPDR MSCI China A Shares IMI ETF (XINA)
SPDR S&P Emerging Markets ETF (GMM)
SPDR S&P Emerging Markets Dividend ETF (EDIV)
SPDR S&P BRIC 40 ETF (BIK)
SPDR S&P Emerging Europe ETF (GUR)
SPDR S&P Emerging Latin America ETF (GML)
SPDR S&P Emerging Middle East & Africa ETF (GAF)
SPDR S&P North American Natural Resources ETF (NANR)
SPDR S&P World ex-US ETF (GWL)
SPDR S&P International Small Cap ETF (GWX)
SPDR Dow Jones International Real Estate ETF (RWX)
SPDR S&P Global Infrastructure ETF (GII)
SPDR S&P Global Natural Resources ETF (GNR)
SPDR MSCI ACWI ex-US ETF (CWI)
SPDR MSCI ACWI IMI ETF (ACIM)
SPDR MSCI ACWI Low Carbon Target ETF (LOWC)
SPDR MSCI EM 50 ETF (EMFT)
SPDR MSCI EM Beyond BRIC ETF (EMBB)
SPDR MSCI EAFE Quality Mix ETF (QEFA)
SPDR MSCI Emerging Markets Quality Mix ETF (QEMM)
SPDR MSCI World Quality Mix ETF (QWLD)
SPDR MSCI Australia Quality Mix ETF (QAUS)
SPDR MSCI Canada Quality Mix ETF (QCAN)
SPDR MSCI Germany Quality Mix ETF (QDEU)
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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 Financial Services Select Sector SPDR Fund (XLFS)
The Health Care Select Sector SPDR Fund (XLV)
The Industrial Select Sector SPDR Fund (XLI)
The Materials Select Sector SPDR Fund (XLB)
The Real Estate Select Sector SPDR Fund (XLRE)
The Technology Select Sector SPDR Fund (XLK)
The Utilities Select Sector SPDR Fund (XLU)
SSGA Active Trust
SPDR SSGA Multi-Asset Real Return ETF (RLY)
SPDR SSGA Income Allocation ETF (INKM)
SPDR SSGA Global Allocation ETF (GAL)
SPDR Blackstone/GSO Senior Loan ETF (SRLN)
SPDR SSGA Ultra Short Term Bond ETF (ULST)
SPDR DoubleLine Total Return Tactical ETF (TOTL)
State Street Clarion Global Infrastructure& MLP Portfolio (SSIDX)
SPDR MFS Systematic Core Equity ETF (SYE)
SPDR MFS Systematic Growth Equity ETF (SYG)
SPDR MFS Systematic Value Equity ETF (SYV)
SPDR SSGA Risk Aware ETF (RORO)
SPDR Dow Jones Industrial Average ETF Trust (DIA)
SPDR S&P 500 ETF Trust (SPY)
State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust, SPDR Index Shares Funds, and SSGA Active Trust. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR S&P 500 ETF Trust (SPY) and SPDR Dow Jones Industrial Average ETF Trust (DIA), both unit investment trusts, and ALPS Portfolio Solutions Distributors, Inc. is the distributor for all investment portfolios of The Select Sector SPDR Trust. ALPS Distributors, Inc. and ALPS Portfolio Solutions Distributor, Inc. are not affiliated with State Street Global Markets, LLC.
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SSGA Master Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Ann Carpenter, Vice President and Deputy Treasurer
Michael P. Riley, Vice President
Bruce Rosenberg, Treasurer
Chad C. Hallett, Deputy Treasurer
Daniel Foley, Assistant Treasurer
Sujata Upreti, Assistant Treasurer
Christopher A. Madden, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer
Joshua A. Weinberg, Chief Legal Officer
Investment Manager and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
2020 K Street, NW
Washington, DC 20006
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
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For more complete information, please call 866.787.2257 or
visit www.spdrs.com today.
State Street Global Advisors, State Street Financial Center One Lincoln Street Boston, MA 02111
ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETFs net asset value. Brokerage commissions and ETF expenses will reduce returns.
Because the SPDR SSGA Active Asset Allocation ETFs are actively managed, they are therefore subject to the risk that the investments selected by SSGA may cause the ETFs to underperform relative to their benchmarks or other funds with similar investment objectives. Actively managed ETFs do not seek to replicate the performance of a specified index.
Foreign investments involve greater risks than U.S. investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Investing in commodities entail significant risk and is not appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends, commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.
Standard & Poor’s, S&P and SPDR are registered trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the SPDR ETFs.
State Street Global Markets, LLC is the distributor for all registered products on behalf of the advisor. SSGA Funds Management has retained GSO Capital Partners, Massachusetts Financial Services Company & DoubleLine Capital LP as the sub-advisor.
Before investing, consider the fund’s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 866.787.2257 or visit www.spdrs.com. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value
State Street Global Advisors | © 2016 State Street Corporation SPDRACTSAR IBG-18490 |
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Item 2. Code of Ethics.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 6. Investments.
(a) A Schedule of Investments for each series of the registrant is included as a part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
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(b) In the registrant’s second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the registrant’s internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12. Exhibits.
(a)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSGA Master Trust
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | March 8, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | March 8, 2016 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | March 8, 2016 |