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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.
Managing Director 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, 2016
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Item 1. Reports to Shareholders.
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SSGA Master Trust
Semi-Annual Report December 31, 2016
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com Please read the prospectus carefully before you invest.
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Portfolio Statistics | ||||
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Schedules of Investments | ||||
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The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com Please read the prospectus carefully before you invest.
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SSGA MULTI-ASSET REAL RETURN PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | SPDR BLOOMBERG BARCLAYS TIPS ETF | POWERSHARES DB COMMODITY INDEX TRACKING FUND | SPDR S&P GLOBAL NATURAL RESOURCES ETF | SPDR DOW JONES REIT ETF | SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF | |||||||||
MARKET VALUE | $19,432,547 | 18,033,333 | 15,273,396 | 8,849,673 | 6,630,422 | |||||||||
% OF NET ASSETS | 21.9 | 20.3 | 17.2 | 10.0 | 7.5 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
Commodities | 20.3 | % | ||||||
Inflation Linked | 25.9 | |||||||
International Equity | 5.0 | |||||||
Natural Resources | 30.2 | |||||||
Real Estate | 17.4 | |||||||
Short-Term Investment | 1.1 | |||||||
Other Assets in Excess of Liabilities | 0.1 | |||||||
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 STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | SPDR S&P DIVIDEND ETF | SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETF | SPDR BLOOMBERG BARCLAYS LONG TERM CORPORATE BOND ETF | SPDR BLOOMBERG BARCLAYS INTERMEDIATE TERM CORPORATE BOND ETF | SPDR DOW JONES REIT ETF | |||||||||
MARKET VALUE | $16,703,194 | 12,072,787 | 10,221,472 | 7,038,766 | 6,948,880 | |||||||||
% OF NET ASSETS | 16.6 | 12.0 | 10.2 | 7.0 | 6.9 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
Commodities | 2.0 | % | ||||||
Domestic Equity | 27.4 | |||||||
Domestic Fixed Income | 40.2 | |||||||
Inflation Linked | 5.0 | |||||||
International Equity | 10.8 | |||||||
Real Estate | 12.5 | |||||||
Short-Term Investment | 1.9 | |||||||
Other Assets in Excess of Liabilities | 0.2 | |||||||
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 STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | SPDR S&P 500 ETF TRUST | SPDR S&P WORLD EX-US ETF | SPDR BLOOMBERG BARCLAYS HIGH YIELD BOND ETF | SPDR DOW JONES REIT ETF | SPDR BLOOMBERG BARCLAYS INTERMEDIATE TERM CORPORATE BOND ETF | |||||||||
MARKET VALUE | $38,001,441 | 17,751,324 | 15,298,393 | 13,308,256 | 11,458,392 | |||||||||
% OF NET ASSETS | 20.0 | 9.3 | 8.1 | 7.0 | 6.0 | |||||||||
(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, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
Commodities | 4.0 | % | ||||||
Domestic Equity | 31.8 | |||||||
Domestic Fixed Income | 23.1 | |||||||
Inflation Linked | 5.0 | |||||||
International Equity | 18.0 | |||||||
Real Estate | 11.7 | |||||||
Short-Term Investment | 6.2 | |||||||
Other Assets in Excess of Liabilities | 0.2 | |||||||
100.0 | % |
* | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
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BLACKSTONE / GSO SENIOR LOAN PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | PETSMART, INC. SENIOR SECURED TERM LOAN B2 4.00% 03/11/2022 | INFORMATION RESOURCES, INC. SENIOR SECURED 1ST LIEN TERM LOAN 4.50% 12/16/2023 | BMC SOFTWARE FINANCE, INC. SENIOR SECURED TERM LOAN 5.00% 09/10/2020 | DELL, INC. SENIOR SECURED TERM LOAN B 4.02% 09/07/2023 | AMERICAN AIRLINES, INC. SENIOR SECURED TERM LOAN B 3.25% 12/14/2023 | |||||||||
MARKET VALUE | $21,824,821 | 18,773,263 | 18,742,998 | 18,279,158 | 14,987,890 | |||||||||
% OF NET ASSETS | 2.0 | 1.7 | 1.7 | 1.6 | 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 company.)
INDUSTRY ALLOCATION AS OF DECEMBER 31, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
Media | 9.2 | % | ||||||
Software | 8.3 | |||||||
Hotels, Restaurants & Leisure | 6.4 | |||||||
Diversified Telecommunication Services | 6.2 | |||||||
Commercial Services & Supplies | 5.3 | |||||||
Health Care Providers & Services | 4.8 | |||||||
Specialty Retail | 3.9 | |||||||
Insurance | 3.5 | |||||||
Semiconductors & Semiconductor Equipment | 3.5 | |||||||
Pharmaceuticals | 3.3 | |||||||
Professional Services | 3.2 | |||||||
Containers & Packaging | 2.7 | |||||||
Internet Software & Services | 2.6 | |||||||
Aerospace & Defense | 2.2 | |||||||
Food & Staples Retailing | 2.2 | |||||||
Computers & Peripherals | 2.0 | |||||||
Telecommunications | 2.0 | |||||||
Health Care Services | 1.9 | |||||||
Airlines | 1.8 | |||||||
Entertainment | 1.8 | |||||||
Building Products | 1.5 | |||||||
Technology Hardware, Storage & Peripherals | 1.5 | |||||||
Chemicals | 1.4 | |||||||
Health Care Technology | 1.2 | |||||||
Construction Materials | 1.1 | |||||||
Electrical Equipment | 1.1 | |||||||
Life Sciences Tools & Services | 1.1 | |||||||
Diversified Financial Services | 1.0 | |||||||
Food Products | 1.0 | |||||||
Health Care Equipment & Supplies | 1.0 | |||||||
IT Services | 0.9 | |||||||
Distributors | 0.8 | |||||||
Electronic Equipment, Instruments & Components | 0.8 | |||||||
Real Estate Investment Trusts (REITs) | 0.8 | |||||||
Road & Rail | 0.8 | |||||||
Wireless Telecommunication Services | 0.7 | |||||||
Household Durables | 0.6 | |||||||
Packaging & Containers | 0.6 | |||||||
Machinery | 0.5 | |||||||
Real Estate Management & Development | 0.5 | |||||||
Automobiles | 0.4 | |||||||
Biotechnology | 0.4 | |||||||
Electric Utilities | 0.4 | |||||||
Internet & Catalog Retail | 0.4 | |||||||
Personal Products | 0.4 | |||||||
Trading Companies & Distributors | 0.4 | |||||||
Diversified Consumer Services | 0.3 | |||||||
Energy Equipment & Services | 0.2 | |||||||
Food | 0.2 | |||||||
Independent Power Producers & Energy Traders | 0.2 | |||||||
Multiline Retail | 0.2 | |||||||
Capital Markets | 0.1 | |||||||
Communications Equipment | 0.1 | |||||||
Health Care Products | 0.1 | |||||||
Household Products | 0.1 | |||||||
Food Service | 0.0 | ** | ||||||
Retail | 0.0 | ** | ||||||
Short-Term Investment | 5.8 | |||||||
Liabilities in Excess of Other Assets | (5.4 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
** | Amount shown represents less than 0.05% of net assets. |
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SSGA ULTRA SHORT TERM BOND PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | TREASURY NOTES 0.88% 03/31/2018 | TREASURY BILLS 5.96% 09/14/2017 | BA CREDIT CARD TRUST SERIES 2016-A1, CLASS A 1.09% 10/15/2021 | AMERICAN EXPRESS CREDIT CORP. 1.54% 03/18/2019 | DISCOVER CARD EXECUTION NOTE TRUST SERIES 2013-A6, CLASS A6, ABS 0.99% 04/15/2021 | |||||||||
MARKET VALUE | $549,309 | 497,510 | 401,167 | 350,710 | 300,874 | |||||||||
% OF NET ASSETS | 3.9 | 3.5 | 2.9 | 2.5 | 2.1 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
Banks | 21.8 | % | ||||||
Credit Card | 14.6 | |||||||
Oil & Gas | 11.7 | |||||||
U.S. Treasury Obligations | 10.6 | |||||||
Automobile | 7.6 | |||||||
Auto Manufacturers | 7.5 | |||||||
Machinery-Diversified | 2.9 | |||||||
Retail | 2.8 | |||||||
Diversified Financial Services | 2.5 | |||||||
IT Services | 2.5 | |||||||
Aerospace & Defense | 1.8 | |||||||
Pharmaceuticals | 1.8 | |||||||
Software | 1.8 | |||||||
Asset-Backed — Other | 1.4 | |||||||
Beverages | 1.4 | |||||||
Machinery, Construction & Mining | 1.4 | |||||||
Semiconductors | 1.1 | |||||||
Telecommunications | 1.1 | |||||||
Transportation | 0.7 | |||||||
Short-Term Investments | 2.9 | |||||||
Other Assets in Excess of Liabilities | 0.1 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of total common stock and may change over time. |
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STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | TREASURY NOTES 2.13% 01/31/2021 | TREASURY NOTES 1.75% 03/31/2022 | FEDERAL HOME LOAN MORTGAGE CORP. 3.50% 05/01/2046 | TREASURY NOTES 1.00% 03/15/2018 | TREASURY NOTES 2.00% 02/15/2025 | |||||||||
MARKET VALUE | $123,526,146 | 86,151,130 | 66,972,053 | 66,730,685 | 64,738,414 | |||||||||
% OF NET ASSETS | 4.0 | 2.8 | 2.2 | 2.2 | 2.1 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
U.S. Government Agency Obligations | 43.2 | % | ||||||
U.S. Treasury Obligations | 15.5 | |||||||
Commercial Mortgage Backed Securities | 13.4 | |||||||
Banks | 3.0 | |||||||
Asset-Backed Securities | 2.4 | |||||||
Mortgage-Backed Securities | 2.2 | |||||||
Foreign Government Obligations | 1.8 | |||||||
Media | 0.9 | |||||||
Oil & Gas | 0.9 | |||||||
Electric | 0.8 | |||||||
Pharmaceuticals | 0.7 | |||||||
Telecommunications | 0.7 | |||||||
Diversified Financial Services | 0.6 | |||||||
Food | 0.6 | |||||||
Health Care Services | 0.6 | |||||||
Health Care Providers & Services | 0.4 | |||||||
Pipelines | 0.4 | |||||||
Real Estate Investment Trusts | 0.4 | |||||||
Software | 0.4 | |||||||
Auto Parts & Equipment | 0.3 | |||||||
Beverages | 0.3 | |||||||
Chemicals | 0.3 | |||||||
Commercial Services | 0.3 | |||||||
Food Products | 0.3 | |||||||
Hotels, Restaurants & Leisure | 0.3 | |||||||
Insurance | 0.3 | |||||||
Leisure Time | 0.3 | |||||||
Retail | 0.3 | |||||||
Commercial Services & Supplies | 0.2 | |||||||
Containers & Packaging | 0.2 | |||||||
Forest Products & Paper | 0.2 | |||||||
Internet | 0.2 | |||||||
Packaging & Containers | 0.2 | |||||||
Personal Products | 0.2 | |||||||
Semiconductors & Semiconductor Equipment | 0.2 | |||||||
Specialty Retail | 0.2 | |||||||
Technology Hardware, Storage & Peripherals | 0.2 | |||||||
Transportation | 0.2 | |||||||
Aerospace & Defense | 0.1 | |||||||
Agriculture | 0.1 | |||||||
Airlines | 0.1 | |||||||
Auto Manufacturers | 0.1 | |||||||
Building Products | 0.1 | |||||||
Computers & Peripherals | 0.1 | |||||||
Construction & Engineering | 0.1 | |||||||
Construction Materials | 0.1 | |||||||
Diversified Telecommunication Services | 0.1 | |||||||
Electronics | 0.1 | |||||||
Engineering & Construction | 0.1 | |||||||
Environmental Control | 0.1 | |||||||
Gas | 0.1 | |||||||
Health Care Equipment & Supplies | 0.1 | |||||||
Holding Companies-Divers | 0.1 | |||||||
Household Products | 0.1 | |||||||
IT Services | 0.1 | |||||||
Internet & Catalog Retail | 0.1 | |||||||
Internet Software & Services | 0.1 | |||||||
Investment Company Security | 0.1 | |||||||
Lodging | 0.1 | |||||||
Machinery | 0.1 | |||||||
Machinery, Construction & Mining | 0.1 | |||||||
Real Estate Management & Development | 0.1 | |||||||
Trading Companies & Distributors | 0.1 | |||||||
Wireless Telecommunication Services | 0.1 | |||||||
Short-Term Investment | 3.6 | |||||||
Other Assets in Excess of Liabilities | 0.2 | |||||||
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 MFS SYSTEMATIC CORE EQUITY PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | JPMORGAN CHASE & CO. | AMAZON.COM, INC. | VERIZON COMMUNICATIONS, INC. | INTERNATIONAL BUSINESS MACHINES CORP. | EXELON CORP. | |||||||||
MARKET VALUE | $293,386 | 249,707 | 246,829 | 224,584 | 207,155 | |||||||||
% OF NET ASSETS | 4.7 | 4.0 | 3.9 | 3.5 | 3.3 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2016*
�� | PERCENTAGE OF NET ASSETS | |||||||
Pharmaceuticals | 8.5 | % | ||||||
Internet & Catalog Retail | 7.2 | |||||||
IT Services | 6.2 | |||||||
Technology Hardware, Storage & Peripherals | 6.2 | |||||||
Banks | 6.1 | |||||||
Oil, Gas & Consumable Fuels | 5.7 | |||||||
Food Products | 5.4 | |||||||
Insurance | 5.2 | |||||||
Software | 4.9 | |||||||
Biotechnology | 4.8 | |||||||
Specialty Retail | 4.4 | |||||||
Diversified Telecommunication Services | 3.9 | |||||||
Tobacco | 3.6 | |||||||
Health Care Providers & Services | 3.4 | |||||||
Electric Utilities | 3.3 | |||||||
Aerospace & Defense | 3.1 | |||||||
Chemicals | 2.8 | |||||||
Media | 2.8 | |||||||
Hotels, Restaurants & Leisure | 2.4 | |||||||
Independent Power Producers & Energy Traders | 1.7 | |||||||
Textiles, Apparel & Luxury Goods | 1.5 | |||||||
Trading Companies & Distributors | 1.5 | |||||||
Consumer Finance | 1.4 | |||||||
Household Products | 1.2 | |||||||
Internet Software & Services | 1.0 | |||||||
Auto Components | 0.7 | |||||||
Short-Term Investment | 1.0 | |||||||
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 MFS SYSTEMATIC GROWTH EQUITY ETF — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | FACEBOOK, INC. CLASS A | COMCAST CORP. CLASS A | PRICELINE GROUP, INC. | LEAR CORP. | NORTHROP GRUMMAN CORP. | |||||||||
MARKET VALUE | $645,661 | 521,466 | 444,216 | 432,056 | 424,924 | |||||||||
% OF NET ASSETS | 5.1 | 4.1 | 3.5 | 3.4 | 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 company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
Software | 9.3 | % | ||||||
Health Care Providers & Services | 9.0 | |||||||
Internet Software & Services | 8.8 | |||||||
Media | 7.3 | |||||||
Pharmaceuticals | 5.9 | |||||||
Specialty Retail | 5.8 | |||||||
IT Services | 5.4 | |||||||
Internet & Catalog Retail | 5.4 | |||||||
Aerospace & Defense | 4.2 | |||||||
Biotechnology | 4.2 | |||||||
Tobacco | 4.2 | |||||||
Auto Components | 3.4 | |||||||
Food Products | 3.0 | |||||||
Hotels, Restaurants & Leisure | 3.0 | |||||||
Trading Companies & Distributors | 3.0 | |||||||
Insurance | 2.7 | |||||||
Diversified Telecommunication Services | 2.6 | |||||||
Technology Hardware, Storage & Peripherals | 2.6 | |||||||
Real Estate Investment Trusts (REITs) | 2.4 | |||||||
Beverages | 2.3 | |||||||
Chemicals | 1.7 | |||||||
Food & Staples Retailing | 1.1 | |||||||
Textiles, Apparel & Luxury Goods | 0.8 | |||||||
Road & Rail | 0.7 | |||||||
Short-Term Investment | 1.1 | |||||||
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 MFS SYSTEMATIC VALUE EQUITY ETF — PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2016
DESCRIPTION | JPMORGAN CHASE & CO. | PRUDENTIAL FINANCIAL, INC. | DISCOVER FINANCIAL SERVICES | BANK OF AMERICA CORP. | EXELON CORP. | |||||||||
MARKET VALUE | $183,712 | 106,869 | 100,277 | 98,566 | 94,190 | |||||||||
% OF NET ASSETS | 6.3 | 3.7 | 3.5 | 3.4 | 3.2 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2016*
PERCENTAGE OF NET ASSETS | ||||||||
Banks | 11.9 | % | ||||||
Oil, Gas & Consumable Fuels | 10.5 | |||||||
Insurance | 8.3 | |||||||
Electric Utilities | 6.9 | |||||||
Food Products | 5.6 | |||||||
Pharmaceuticals | 5.5 | |||||||
Technology Hardware, Storage & Peripherals | 4.4 | |||||||
Health Care Providers & Services | 3.7 | |||||||
Aerospace & Defense | 3.5 | |||||||
Consumer Finance | 3.5 | |||||||
Real Estate Investment Trusts (REITs) | 3.2 | |||||||
Tobacco | 3.2 | |||||||
Diversified Telecommunication Services | 2.7 | |||||||
Semiconductors & Semiconductor Equipment | 2.3 | |||||||
Specialty Retail | 2.1 | |||||||
Automobiles | 2.0 | |||||||
Chemicals | 2.0 | |||||||
Trading Companies & Distributors | 1.9 | |||||||
Communications Equipment | 1.8 | |||||||
Health Care Equipment & Supplies | 1.7 | |||||||
Internet & Catalog Retail | 1.5 | |||||||
Software | 1.5 | |||||||
Multi-Utilities | 1.4 | |||||||
IT Services | 1.3 | |||||||
Textiles, Apparel & Luxury Goods | 1.3 | |||||||
Hotels, Restaurants & Leisure | 1.2 | |||||||
Airlines | 1.1 | |||||||
Biotechnology | 1.1 | |||||||
Energy Equipment & Services | 0.8 | |||||||
Road & Rail | 0.6 | |||||||
Short-Term Investment | 1.3 | |||||||
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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SSGA MULTI-ASSET REAL RETURN PORTFOLIO
SPDR SSGA Multi-Asset Real Return ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Multi-Asset Real Return Portfolio. The schedule of investments for the SSGA Multi-Asset Real Return Portfolio follows.
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SSGA Multi-Asset Real Return Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.8% | ||||||||
COMMODITIES — 20.3% | ||||||||
PowerShares DB Commodity Index Tracking Fund (a) (b) | 1,138,468 | $ | 18,033,333 | |||||
PowerShares DB Oil Fund (a) (b) | 527 | 5,101 | ||||||
|
| |||||||
18,038,434 | ||||||||
|
| |||||||
INFLATION LINKED — 25.9% | ||||||||
SPDR Bloomberg Barclays TIPS ETF (c) | 345,829 | 19,432,547 | ||||||
SPDR Citi International Government Inflation-Protected Bond ETF (c) | 67,358 | 3,503,963 | ||||||
|
| |||||||
22,936,510 | ||||||||
|
| |||||||
INTERNATIONAL EQUITY — 5.0% | ||||||||
SPDR S&P Global Infrastructure ETF (c) | 98,737 | 4,443,165 | ||||||
|
| |||||||
NATURAL RESOURCES — 30.2% | ||||||||
PowerShares Global Agriculture Portfolio (b) | 70,583 | 1,756,811 | ||||||
SPDR S&P Global Natural Resources ETF (c) | 371,705 | 15,273,396 | ||||||
SPDR S&P International Energy Sector ETF (c) | 100,465 | 1,878,695 | ||||||
SPDR S&P Metals & Mining ETF (c) | 85,317 | 2,594,490 | ||||||
The Energy Select Sector SPDR Fund (c) | 70,028 | 5,274,509 | ||||||
|
| |||||||
26,777,901 | ||||||||
|
| |||||||
REAL ESTATE — 17.4% | ||||||||
SPDR Dow Jones International Real Estate ETF (c) | 183,770 | 6,630,422 | ||||||
SPDR Dow Jones REIT ETF (c) | 94,801 | 8,849,673 | ||||||
|
| |||||||
15,480,095 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS | 87,676,105 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 1.1% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Premier | 959,235 | 959,235 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $98,140,959) | 88,635,340 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 55,388 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 88,690,728 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Qualified Publicly Traded Partnership |
(c) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2016. |
REIT = Real Estate Investment Trust
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Commodities | $ | 18,038,434 | $ | — | $ | — | $ | 18,038,434 | ||||||||
Inflation Linked | 22,936,510 | — | — | 22,936,510 | ||||||||||||
International Equity | 4,443,165 | — | — | 4,443,165 | ||||||||||||
Natural Resources | 26,777,901 | — | — | 26,777,901 | ||||||||||||
Real Estate | 15,480,095 | — | — | 15,480,095 | ||||||||||||
Short-Term Investment | 959,235 | — | — | 959,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 88,635,340 | $ | — | $ | — | $ | 88,635,340 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
11
Table of Contents
SSGA Multi-Asset Real Return Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 307,088 | $ | 17,857,167 | 106,180 | 67,439 | 345,829 | $ | 19,432,547 | $ | 270,264 | $ | (20,198 | ) | |||||||||||||||||||
SPDR Citi International Government Inflation-Protected Bond ETF | 103,106 | 5,661,551 | 20,028 | 55,776 | 67,358 | 3,503,963 | — | (297,230 | ) | |||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 187,281 | 7,764,670 | 51,148 | 54,659 | 183,770 | 6,630,422 | 486,359 | (138,775 | ) | |||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 121,440 | 12,074,780 | 26,468 | 53,107 | 94,801 | 8,849,673 | 228,487 | 234,853 | ||||||||||||||||||||||||
SPDR S&P Global Infrastructure ETF | — | — | 136,349 | 37,612 | 98,737 | 4,443,165 | 75,033 | (73,271 | ) | |||||||||||||||||||||||
SPDR S&P Global Natural Resources ETF | 339,282 | 12,590,755 | 126,202 | 93,779 | 371,705 | 15,273,396 | 140,993 | (387,512 | ) | |||||||||||||||||||||||
SPDR S&P International Energy Sector ETF | 96,628 | 1,697,744 | 19,746 | 15,909 | 100,465 | 1,878,695 | 34,300 | (43,740 | ) | |||||||||||||||||||||||
SPDR S&P Metals & Mining ETF | 19,438 | 473,704 | 90,203 | 24,324 | 85,317 | 2,594,490 | 9,412 | 92,471 | ||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 2,073,243 | 2,073,243 | 480,188 | 2,553,431 | — | — | 887 | — | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 1,349,076 | 389,841 | 959,235 | 959,235 | 124 | — | ||||||||||||||||||||||||
The Energy Select Sector SPDR Fund | 59,348 | 4,049,909 | 25,834 | 15,154 | 70,028 | 5,274,509 | 52,393 | (41,218 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 64,243,523 | $ | 68,840,095 | $ | 1,298,252 | $ | (674,620 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
12
Table of Contents
SSGA INCOME ALLOCATION PORTFOLIO
SPDR SSGA Income Allocation ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Income Allocation Portfolio. The schedule of investments for the SSGA Income Allocation Portfolio follows.
13
Table of Contents
SSGA Income Allocation Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.9% |
| |||||||
COMMODITIES — 2.0% | ||||||||
iShares Currency Hedged MSCI Eurozone ETF | 76,908 | $ | 2,045,753 | |||||
|
| |||||||
DOMESTIC EQUITY — 27.4% | ||||||||
SPDR S&P Dividend ETF (a) | 195,222 | 16,703,194 | ||||||
SPDR Wells Fargo Preferred Stock ETF (a) | 118,072 | 4,953,121 | ||||||
The Industrial Select Sector SPDR Fund (a) | 31,456 | 1,957,192 | ||||||
The Materials Select Sector SPDR Fund (a) | 39,176 | 1,947,047 | ||||||
The Technology Select Sector SPDR Fund (a) | 41,484 | 2,006,166 | ||||||
|
| |||||||
27,566,720 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 40.2% |
| |||||||
SPDR Bloomberg Barclays Convertible Securities ETF (a) | 109,302 | 4,989,636 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 331,215 | 12,072,787 | ||||||
SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF (a) | 207,572 | 7,038,767 | ||||||
SPDR Bloomberg Barclays Long Term Corporate Bond ETF (a) | 256,370 | 10,221,472 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF (a) | 88,072 | 6,067,280 | ||||||
|
| |||||||
40,389,942 | ||||||||
|
| |||||||
INFLATION LINKED — 5.0% | ||||||||
SPDR Bloomberg Barclays TIPS ETF (a) | 89,172 | 5,010,682 | ||||||
|
| |||||||
INTERNATIONAL EQUITY — 10.8% |
| |||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) | 76,413 | 2,031,058 | ||||||
SPDR MSCI Emerging Markets StrategicFactors ETF (a) | 76,874 | 3,854,831 | ||||||
SPDR S&P Global Infrastructure ETF (a) | 66,853 | 3,008,385 | ||||||
SPDR S&P International Dividend ETF (a) | 54,540 | 1,966,712 | ||||||
|
| |||||||
10,860,986 | ||||||||
|
| |||||||
REAL ESTATE — 12.5% | ||||||||
SPDR Dow Jones International Real Estate ETF (a) | 156,771 | 5,656,298 | ||||||
SPDR Dow Jones REIT ETF (a) | 74,439 | 6,948,880 | ||||||
|
| |||||||
12,605,178 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS | 98,479,261 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 1.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42% (b) (c) | 1,969,581 | 1,969,581 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% |
| |||||||
(Cost $100,383,984) | 100,448,842 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 178,906 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 100,627,748 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
14
Table of Contents
SSGA Income Allocation Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Commodities | $ | 2,045,753 | $ | — | $ | — | $ | 2,045,753 | ||||||||
Domestic Equity | 27,566,720 | — | — | 27,566,720 | ||||||||||||
Domestic Fixed Income | 40,389,942 | — | — | 40,389,942 | ||||||||||||
Inflation Linked | 5,010,682 | — | — | 5,010,682 | ||||||||||||
International Equity | 10,860,986 | — | — | 10,860,986 | ||||||||||||
Real Estate | 12,605,178 | — | — | 12,605,178 | ||||||||||||
Short-Term Investment | 1,969,581 | — | — | 1,969,581 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 100,448,842 | $ | — | $ | — | $ | 100,448,842 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Convertible Securities ETF | 118,404 | $ | 5,190,831 | 1,729 | 10,831 | 109,302 | $ | 4,989,636 | $ | 168,937 | $ | 452 | ||||||||||||||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | — | — | 78,097 | 1,684 | 76,413 | 2,031,058 | — | (972 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 351,674 | 12,554,762 | 5,134 | 25,593 | 331,215 | 12,072,787 | 442,828 | 5,182 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF | 208,399 | 7,271,041 | 41,407 | 42,234 | 207,572 | 7,038,766 | 115,328 | 4,921 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Corporate Bond ETF | 253,475 | 10,699,180 | 21,287 | 18,392 | 256,370 | 10,221,472 | 248,071 | 42,544 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 122,621 | 9,787,608 | 1,562 | 36,111 | 88,072 | 6,067,280 | 102,984 | 193,975 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 88,421 | 5,141,681 | 4,766 | 4,015 | 89,172 | 5,010,682 | 80,436 | 11,246 | ||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 147,841 | 6,129,488 | 15,406 | 6,476 | 156,771 | 5,656,298 | 410,704 | 31,135 | ||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 98,971 | 9,840,687 | 1,445 | 25,977 | 74,439 | 6,948,880 | 188,228 | 19,004 | ||||||||||||||||||||||||
SPDR MSCI Emerging Markets StrategicFactors ETF | 21,370 | 1,065,722 | 59,422 | 3,918 | 76,874 | 3,854,831 | 43,691 | 10,723 | ||||||||||||||||||||||||
SPDR S&P Dividend ETF | 137,751 | 11,560,064 | 74,173 | 16,702 | 195,222 | 16,703,194 | 236,212 | 293,942 | ||||||||||||||||||||||||
SPDR S&P Global Infrastructure ETF | 66,584 | 3,108,141 | 3,186 | 2,917 | 66,853 | 3,008,385 | 51,527 | 18,663 | ||||||||||||||||||||||||
SPDR S&P International Dividend ETF | 61,571 | 2,167,299 | 1,086 | 8,117 | 54,540 | 1,966,713 | 66,584 | (47,137 | ) | |||||||||||||||||||||||
SPDR STOXX Europe 50 ETF | 112,268 | 3,352,322 | — | 112,268 | — | — | — | (507,906 | ) | |||||||||||||||||||||||
SPDR Wells Fargo Preferred Stock ETF | 108,700 | 5,002,374 | 14,456 | 5,084 | 118,072 | 4,953,121 | 168,348 | 5,382 | ||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 4,781,480 | 4,781,480 | 1,971,477 | 6,752,957 | — | — | 3,710 | — | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 3,920,682 | 1,951,101 | 1,969,581 | 1,969,581 | 1,239 | — | ||||||||||||||||||||||||
The Consumer Discretionary Select Sector SPDR Fund | 13,128 | 1,024,640 | — | 13,128 | — | — | — | 81,735 |
See accompanying notes to financial statements.
15
Table of Contents
SSGA Income Allocation Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
The Consumer Staples Select Sector SPDR Fund | 38,571 | $ | 2,127,191 | 563 | 39,134 | — | $ | — | $ | 12,472 | $ | 89,333 | ||||||||||||||||||||
The Industrial Select Sector SPDR Fund | 37,083 | 2,075,165 | �� | 541 | 6,168 | 31,456 | 1,957,192 | 23,470 | 37,947 | |||||||||||||||||||||||
The Materials Select Sector SPDR Fund | — | — | 43,911 | 4,735 | 39,176 | 1,947,047 | 13,089 | 21,321 | ||||||||||||||||||||||||
The Technology Select Sector SPDR Fund | — | — | 44,863 | 3,379 | 41,484 | 2,006,166 | 17,492 | 1,759 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 102,879,676 | $ | 98,403,089 | $ | 2,395,350 | $ | 313,249 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
SSGA GLOBAL ALLOCATION PORTFOLIO
SPDR SSGA Global Allocation ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Global Allocation Portfolio. The schedule of investments for the SSGA Global Allocation Portfolio follows.
17
Table of Contents
SSGA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 93.6% |
| |||||||
COMMODITIES — 4.0% |
| |||||||
iShares Currency Hedged MSCI | 146,417 | $ | 3,894,692 | |||||
PowerShares DB Gold Fund (a) | 101,328 | 3,752,176 | ||||||
|
| |||||||
7,646,868 | ||||||||
|
| |||||||
DOMESTIC EQUITY — 31.8% | ||||||||
SPDR Russell 2000 ETF (b) | 46,804 | 3,726,534 | ||||||
SPDR S&P 500 ETF Trust (b) | 170,006 | 38,001,441 | ||||||
SPDR S&P Dividend ETF (b) | 43,593 | 3,729,817 | ||||||
SPDR S&P MidCap 400 ETF Trust (b) | 12,357 | 3,728,478 | ||||||
The Industrial Select Sector SPDR Fund (b) | 59,978 | 3,731,831 | ||||||
The Materials Select Sector SPDR Fund (b) | 74,210 | 3,688,237 | ||||||
The Technology Select Sector SPDR | 79,152 | 3,827,791 | ||||||
|
| |||||||
60,434,129 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 23.1% |
| |||||||
SPDR Bloomberg Barclays Aggregate Bond ETF (b) | 167,769 | 9,549,412 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 419,709 | 15,298,393 | ||||||
SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF (b) | 337,906 | 11,458,392 | ||||||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF (b) | 31,994 | 1,908,762 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF (b) | 27,729 | 1,910,251 | ||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF (b) | 138,329 | 3,828,947 | ||||||
|
| |||||||
43,954,157 | ||||||||
|
| |||||||
INFLATION LINKED — 5.0% | ||||||||
SPDR Bloomberg Barclays TIPS ETF (b) | 169,500 | 9,524,408 | ||||||
|
| |||||||
INTERNATIONAL EQUITY — 18.0% |
| |||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (b) | 72,220 | 1,919,608 | ||||||
SPDR S&P Emerging Markets ETF (b) | 129,236 | 7,402,638 | ||||||
SPDR S&P Emerging Markets SmallCap ETF (b) | 45,909 | 1,823,505 | ||||||
SPDR S&P International Small Cap ETF (b) | 187,987 | 5,451,623 | ||||||
SPDR S&P World ex-US ETF (b) | 690,713 | 17,751,324 | ||||||
|
| |||||||
34,348,698 | ||||||||
|
| |||||||
REAL ESTATE — 11.7% | ||||||||
SPDR Dow Jones International Real Estate ETF (b) | 248,156 | 8,953,469 | ||||||
SPDR Dow Jones REIT ETF (b) | 142,563 | 13,308,256 | ||||||
|
| |||||||
22,261,725 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS | 178,169,985 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 6.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42% (c) (d) | 11,801,117 | 11,801,117 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 189,971,102 | |||||||
OTHER ASSETS IN EXCESS OF | 399,840 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 190,370,942 | ||||||
|
|
(a) | Qualified Publicly Traded Partnership |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2016. |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
18
Table of Contents
SSGA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Commodities | $ | 7,646,868 | $ | — | $ | — | $ | 7,646,868 | ||||||||
Domestic Equity | 60,434,129 | — | — | 60,434,129 | ||||||||||||
Domestic Fixed Income | 43,954,157 | — | — | 43,954,157 | ||||||||||||
Inflation Linked | 9,524,408 | — | — | 9,524,408 | ||||||||||||
International Equity | 34,348,698 | — | — | 34,348,698 | ||||||||||||
Real Estate | 22,261,725 | — | — | 22,261,725 | ||||||||||||
Short-Term Investment | 11,801,117 | — | — | 11,801,117 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 189,971,102 | $ | — | $ | — | $ | 189,971,102 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Aggregate | 222,017 | $ | 13,190,030 | 17,981 | 72,229 | 167,769 | $ | 9,549,412 | $ | 159,610 | $ | 44,557 | ||||||||||||||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | — | — | 76,210 | 3,990 | 72,220 | 1,919,608 | — | (1,431 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield | 418,891 | 14,954,409 | 33,351 | 32,533 | 419,709 | 15,298,393 | 546,305 | 1,403 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Intermediate Term Corporate Bond ETF | 216,183 | 7,542,625 | 141,006 | 19,283 | 337,906 | 11,458,392 | 166,834 | 5,881 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF | 30,530 | 1,882,175 | 3,292 | 1,828 | 31,994 | 1,908,762 | 13,198 | 20 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 121,549 | 9,702,041 | 11,020 | 104,840 | 27,729 | 1,910,251 | 85,555 | 122,619 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | — | — | 141,222 | 2,893 | 138,329 | 3,828,947 | 28,238 | 1,291 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 161,908 | 9,414,950 | 18,129 | 10,537 | 169,500 | 9,524,408 | 147,299 | 8,153 | ||||||||||||||||||||||||
SPDR Dow Jones International Real | 259,646 | 10,764,923 | 40,496 | 51,986 | 248,156 | 8,953,469 | 674,337 | (113,219 | ) | |||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 157,151 | 15,625,524 | 35,027 | 49,615 | 142,563 | 13,308,256 | 355,178 | (213,842 | ) | |||||||||||||||||||||||
SPDR Russell 2000 ETF | — | — | 53,652 | 6,848 | 46,804 | 3,726,534 | 19,778 | 59,268 | ||||||||||||||||||||||||
SPDR S&P 500 ETF Trust | 35,139 | 7,362,675 | 141,556 | 6,689 | 170,006 | 38,001,441 | 314,918 | 194,251 | ||||||||||||||||||||||||
SPDR S&P 500 Growth ETF | 164,140 | 16,563,367 | 6,725 | 170,865 | — | — | 34,806 | 1,451,960 | ||||||||||||||||||||||||
SPDR S&P Dividend ETF | — | — | 95,982 | 52,389 | 43,593 | 3,729,817 | 78,706 | 109,773 | ||||||||||||||||||||||||
SPDR S&P Emerging Markets ETF | — | — | 134,579 | 5,343 | 129,236 | 7,402,638 | 64,696 | (6,503 | ) | |||||||||||||||||||||||
SPDR S&P Emerging Markets Small | — | — | 46,679 | 770 | 45,909 | 1,823,505 | 39,034 | (1,702 | ) | |||||||||||||||||||||||
SPDR S&P International Small | 181,960 | 5,288,485 | 26,635 | 20,608 | 187,987 | 5,451,623 | 150,375 | 51,419 | ||||||||||||||||||||||||
SPDR S&P Mid Cap 400 ETF Trust | — | — | 13,917 | 1,560 | 12,357 | 3,728,478 | 14,635 | 42,352 | ||||||||||||||||||||||||
SPDR S&P World ex-US ETF | 950,409 | 23,693,696 | 60,989 | 320,685 | 690,713 | 17,751,324 | 297,981 | (689,972 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 20,031,452 | 20,031,452 | 2,526,090 | 22,557,542 | — | — | 16,137 | — |
See accompanying notes to financial statements.
19
Table of Contents
SSGA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | $ | — | 13,689,420 | 1,888,303 | 11,801,117 | $ | 11,801,117 | $ | 7,559 | $ | — | ||||||||||||||||||||
The Consumer Discretionary Select Sector SPDR Fund | 46,932 | 3,663,043 | 1,251 | 48,183 | — | — | — | 196,383 | ||||||||||||||||||||||||
The Consumer Staples Select Sector SPDR Fund | 69,248 | 3,819,027 | 5,225 | 74,473 | — | — | 23,178 | 122,102 | ||||||||||||||||||||||||
The Industrial Select Sector SPDR Fund | 65,280 | 3,653,069 | 4,868 | 10,170 | 59,978 | 3,731,831 | 43,807 | 46,423 | ||||||||||||||||||||||||
The Materials Select Sector SPDR Fund | — | — | 83,085 | 8,875 | 74,210 | 3,688,237 | 25,209 | 32,470 | ||||||||||||||||||||||||
The Technology Select Sector SPDR Fund | — | — | 85,647 | 6,495 | 79,152 | 3,827,791 | 33,185 | 2,331 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 167,151,491 | $ | 182,324,234 | $ | 3,340,558 | $ | 1,465,987 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
20
Table of Contents
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SPDR Blackstone / GSO Senior Loan ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the Blackstone / GSO Senior Loan Portfolio. The schedule of investments for the Blackstone / GSO Senior Loan Portfolio follows.
21
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
SENIOR FLOATING RATE LOANS — 90.3% (a) |
| |||||||
AEROSPACE & DEFENSE — 2.2% |
| |||||||
DigitalGlobe, Inc. | $ | 4,810,997 | $ | 4,853,093 | ||||
TransDigm, Inc.: | ||||||||
Senior Secured Extended Term Loan F, 3.77%, 6/9/2023 | 6,568,861 | 6,645,224 | ||||||
Senior Secured Term Loan C, 3.96%, 2/28/2020 | 2,963,984 | 2,990,378 | ||||||
Senior Secured Term Loan D, 3.98%, 6/4/2021 | 4,911,839 | 4,955,579 | ||||||
Senior Secured Term Loan E, 3.85%, 5/14/2022 | 1,875,324 | 1,894,396 | ||||||
WP CPP Holdings LLC | 2,784,902 | 2,727,464 | ||||||
|
| |||||||
24,066,134 | ||||||||
|
| |||||||
AIRLINES — 1.6% |
| |||||||
Air Canada | 2,821,705 | 2,845,803 | ||||||
American Airlines, Inc. | 14,889,249 | 14,987,890 | ||||||
|
| |||||||
17,833,693 | ||||||||
|
| |||||||
AUTOMOBILES — 0.4% |
| |||||||
Doosan Infracore International, Inc. | 1,385,420 | 1,407,074 | ||||||
FCA US LLC | 2,037,421 | 2,045,693 | ||||||
TI Group Automotive Systems LLC | 1,103,739 | 1,118,231 | ||||||
|
| |||||||
4,570,998 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 0.4% |
| |||||||
Grifols Worldwide Operations USA, Inc. | 3,949,239 | 3,981,741 | ||||||
|
| |||||||
BUILDING PRODUCTS — 1.5% |
| |||||||
American Builders & Contractors Supply Co., Inc. | 8,443,894 | 8,536,523 | ||||||
Jeld-Wen, Inc. | 2,542,373 | 2,577,724 | ||||||
Quikrete Holdings, Inc. | 5,486,111 | 5,548,982 | ||||||
|
| |||||||
16,663,229 | ||||||||
|
| |||||||
CAPITAL MARKETS — 0.1% |
| |||||||
Hamilton Lane Advisors LLC | 1,339,819 | 1,347,630 | ||||||
|
| |||||||
CHEMICALS — 1.4% |
| |||||||
Avantor Performance Materials Holdings, Inc. | 6,776,837 | 6,912,374 | ||||||
Axalta Coating Systems US Holdings, Inc. | 3,865,876 | 3,912,595 | ||||||
INEOS Styrolution Group GmbH | 434,877 | 441,944 | ||||||
Ineos US Finance LLC | 3,978,195 | 3,995,799 | ||||||
|
| |||||||
15,262,712 | ||||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 5.3% |
| |||||||
Advanced Disposal Services, Inc. | 9,582,310 | 9,680,146 | ||||||
Asurion LLC: | ||||||||
Senior Secured 2nd Lien Term Loan, 8.50%, 3/3/2021 | 11,951,309 | 12,171,691 | ||||||
Senior Secured Term Loan B2, 4.02%, 7/8/2020 (b) | 1,693,108 | 1,710,301 | ||||||
Senior Secured Term Loan B4, 5.00%, 8/4/2022 | 8,404,809 | 8,527,729 | ||||||
Senior Secured Term Loan B5, 4.75%, 11/3/2023 | 7,244,092 | 7,356,376 | ||||||
KAR Auction Services, Inc.: | ||||||||
Senior Secured Term Loan B2, 4.19%, 3/11/2021 | 2,774,181 | 2,801,922 | ||||||
Senior Secured Term Loan B3, 4.50%, 3/9/2023 | 1,921,189 | 1,950,305 | ||||||
Lineage Logistics Holdings LLC | 4,723,791 | 4,700,172 | ||||||
Multi Packaging Solutions, Inc. | 1,515,822 | 1,520,089 | ||||||
Prime Security Services Borrower LLC | 7,456,721 | 7,580,689 | ||||||
|
| |||||||
57,999,420 | ||||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
COMMUNICATIONS EQUIPMENT — 0.1% |
| |||||||
CommScope, Inc. | $ | 1,387,978 | $ | 1,403,593 | ||||
|
| |||||||
COMPUTERS & PERIPHERALS — 2.0% |
| |||||||
Dell, Inc. | 17,948,546 | 18,279,158 | ||||||
TierPoint LLC | 3,391,407 | 3,410,500 | ||||||
Western Digital Corp. | 796,000 | 809,930 | ||||||
|
| |||||||
22,499,588 | ||||||||
|
| |||||||
CONSTRUCTION MATERIALS — 1.1% |
| |||||||
Forterra, Inc. | 10,268,382 | 10,407,006 | ||||||
Headwaters, Inc. | 2,030,038 | 2,044,319 | ||||||
|
| |||||||
12,451,325 | ||||||||
|
| |||||||
CONTAINERS & PACKAGING — 2.7% |
| |||||||
Anchor Glass Container Corp. | 1,234,568 | 1,247,302 | ||||||
Ardagh Holdings USA, Inc. | 1,979,502 | 2,005,483 | ||||||
Berlin Packaging LLC | 2,335,527 | 2,359,057 | ||||||
Berry Plastics Holding Corp. | 4,105,503 | 4,138,019 | ||||||
Flex Acquisition Co., Inc. | 7,329,843 | 7,406,953 | ||||||
Reynolds Group Holdings, Inc. | 8,839,011 | 8,968,591 | ||||||
Signode Industrial Group US, Inc. | 1,574,074 | 1,589,815 | ||||||
Tekni-Plex, Inc. | 2,202,484 | 2,216,250 | ||||||
|
| |||||||
29,931,470 | ||||||||
|
| |||||||
DISTRIBUTORS — 0.8% |
| |||||||
American Tire Distributors Holdings, Inc. | 5,609,676 | 5,603,842 | ||||||
HD Supply, Inc. | 3,675,000 | 3,707,928 | ||||||
|
| |||||||
9,311,770 | ||||||||
|
| |||||||
DIVERSIFIED CONSUMER SERVICES — 0.3% |
| |||||||
Nord Anglia Education Finance LLC | 2,780,749 | 2,826,812 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.7% |
| |||||||
AlixPartners LLP | 1,759,946 | 1,777,703 | ||||||
Faenza Acquisition GmbH | 1,683,689 | 1,698,421 | ||||||
Tech Finance & Co. S.C.A | 2,659,255 | 2,680,861 | ||||||
UFC Holdings LLC | 1,602,671 | 1,625,910 | ||||||
|
| |||||||
7,782,895 | ||||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 6.2% |
| |||||||
Consolidated Communications, Inc.: | ||||||||
Senior Secured Term Loan B, 4.00%, 10/4/2023 | 1,407,261 | 1,418,322 | ||||||
Senior Secured Term Loan B2, 4.00%, 10/5/2023 | 5,514,706 | 5,558,052 | ||||||
Coral-US Co.-Borrower LLC | 5,007,692 | 5,083,208 | ||||||
Fairpoint Communications, Inc. | 4,268,078 | 4,322,112 | ||||||
Hargray Communications Group, Inc. | 411,366 | 416,936 | ||||||
Level 3 Financing, Inc. | 6,500,000 | 6,588,010 | ||||||
Telesat Canada | 11,402,066 | 11,583,701 | ||||||
Virgin Media Investment Holdings, Ltd. | 14,788,732 | 14,876,577 | ||||||
Windstream Corp.: | ||||||||
Senior Secured Delayed Draw Term Loan, 4.75%, 3/29/2021 | 3,037,383 | 3,052,570 | ||||||
Senior Secured Repriced Term Loan B6, 4.75%, 3/16/2021 | 14,826,491 | 14,970,160 | ||||||
|
| |||||||
67,869,648 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 0.4% |
| |||||||
PowerTeam Services LLC | 2,852,991 | 2,861,907 | ||||||
TPF II Power LLC | 1,190,476 | 1,202,976 | ||||||
|
| |||||||
4,064,883 | ||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
ELECTRICAL EQUIPMENT — 1.1% |
| |||||||
Atkore International, Inc. | $ | 1,498,763 | $ | 1,513,750 | ||||
Gates Global, Inc. | 7,475,423 | 7,492,168 | ||||||
Generac Power Systems, Inc. | 2,704,996 | 2,733,710 | ||||||
|
| |||||||
11,739,628 | ||||||||
|
| |||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.7% |
| |||||||
TTM Technologies, Inc. | 6,428,336 | 6,524,761 | ||||||
Zebra Technologies Corp. | 1,690,688 | 1,712,760 | ||||||
|
| |||||||
8,237,521 | ||||||||
|
| |||||||
ENERGY EQUIPMENT & SERVICES — 0.2% |
| |||||||
Vistra Operations Co. LLC | 1,911,315 | 1,939,688 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 2.2% |
| |||||||
Albertsons LLC: | ||||||||
Senior Secured Term Loan B4, 3.77%, 8/22/2021 (b) | 6,922,806 | 7,014,395 | ||||||
Senior Secured Term Loan B6, 4.06%, 6/22/2023 | 2,775,326 | 2,814,833 | ||||||
Chobani LLC | 5,458,221 | 5,546,917 | ||||||
Supervalu, Inc. | 848,700 | 856,364 | ||||||
US Foods, Inc. | 7,828,066 | 7,921,846 | ||||||
|
| |||||||
24,154,355 | ||||||||
|
| |||||||
FOOD PRODUCTS — 1.0% |
| |||||||
AdvancePierre Foods, Inc. | 1,984,366 | 2,018,844 | ||||||
Candy Intermediate Holdings, Inc. | 3,561,053 | 3,592,764 | ||||||
Dole Food Co., Inc. | 4,631,982 | 4,666,722 | ||||||
Hostess Brands LLC | 1,082,369 | 1,096,034 | ||||||
|
| |||||||
11,374,364 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.0% |
| |||||||
Convatec, Inc. | 2,145,923 | 2,164,700 | ||||||
Onex Carestream Finance LP | 8,668,657 | 8,444,702 | ||||||
|
| |||||||
10,609,402 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 4.8% |
| |||||||
Air Medical Group Holdings, Inc. | 3,461,103 | 3,461,639 | ||||||
CeramTec Acquisition Corp. | 146,422 | 147,703 | ||||||
CHG Healthcare Services, Inc. | 4,979,767 | 5,045,127 | ||||||
Community Health Systems, Inc.: | ||||||||
Senior Secured Term Loan F, 4.02%, 12/31/2018 | 1,964,747 | 1,937,319 | ||||||
Senior Secured Term Loan G, 3.75%, 12/31/2019 | 4,997,221 | 4,861,372 | ||||||
Envision Healthcare Corp. | 14,174,486 | 14,360,597 | ||||||
FHC Health Systems, Inc. | 448,430 | 437,219 | ||||||
HCA, Inc. | 1,334,180 | 1,352,005 | ||||||
inVentiv Health, Inc. | 5,121,359 | 5,175,313 | ||||||
MPH Acquisition Holdings LLC | 4,326,125 | 4,408,798 | ||||||
National Mentor Holdings, Inc. | 2,685,084 | 2,705,222 | ||||||
NVA Holdings, Inc. | 1,502,010 | 1,514,214 | ||||||
Surgical Care Affiliates, Inc. | 3,240,975 | 3,271,375 | ||||||
U.S. Renal Care, Inc. | 3,884,687 | 3,656,461 | ||||||
|
| |||||||
52,334,364 | ||||||||
|
| |||||||
HEALTH CARE TECHNOLOGY — 1.2% |
| |||||||
CT Technologies Intermediate Holdings, Inc. | 4,670,248 | 4,477,600 |
See accompanying notes to financial statements.
24
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Press Ganey Holdings, Inc. | $ | 2,310,231 | $ | 2,326,842 | ||||
Quintiles IMS, Inc. | 6,352,359 | 6,407,942 | ||||||
|
| |||||||
13,212,384 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 6.4% |
| |||||||
Aristocrat International Pty, Ltd. | 1,639,344 | 1,659,492 | ||||||
Boyd Gaming Corp. | 2,493,750 | 2,527,590 | ||||||
Burger King 1011778 B.C. Unlimited Liability Co. | 12,911,423 | 13,044,604 | ||||||
CEC Entertainment, Inc. | 8,747,492 | 8,732,928 | ||||||
Delta 2 (LUX) S.A.R.L.: | ||||||||
Senior Secured 2nd Lien Term Loan, 8.07%, 7/31/2022 | 5,070,000 | 5,120,700 | ||||||
Senior Secured Term Loan B3, 5.07%, 7/30/2021 | 7,018,093 | 7,099,784 | ||||||
Four Seasons Holdings, Inc. | 1,307,902 | 1,325,179 | ||||||
La Quinta Intermediate Holdings LLC | 7,428,435 | 7,443,552 | ||||||
Scientific Games International, Inc. | 13,739,030 | 13,935,499 | ||||||
Travelport Finance (Luxembourg) S.A.R.L. | 9,674,283 | 9,786,166 | ||||||
|
| |||||||
70,675,494 | ||||||||
|
| |||||||
HOUSEHOLD DURABLES — 0.6% |
| |||||||
Serta Simmons Bedding LLC | 6,607,143 | 6,689,732 | ||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 0.1% |
| |||||||
Samsonite International SA | 881,768 | 897,014 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.2% |
| |||||||
Calpine Construction Finance Company L.P. | 1,949,644 | 1,953,300 | ||||||
|
| |||||||
INSURANCE — 2.9% |
| |||||||
Alliant Holdings I, Inc. | 2,332,895 | 2,349,668 | ||||||
Confie Seguros Holding II Co. | 10,000,000 | 10,067,500 | ||||||
Hub International, Ltd. | 8,917,416 | 8,999,011 | ||||||
NFP Corp. | 2,932,961 | 2,963,024 | ||||||
Sedgwick Claims Management Services, Inc.: | ||||||||
Senior Secured 1st Lien Term Loan, 3.75%, 3/1/2021 | 3,951,738 | 3,968,671 | ||||||
Senior Secured 1st Lien Term Loan, 4.25%, 3/1/2021 | 995,000 | 1,007,751 | ||||||
Senior Secured 2nd Lien Term Loan, 6.75%, 2/28/2022 | 2,000,000 | 2,004,170 | ||||||
|
| |||||||
31,359,795 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 0.4% |
| |||||||
Harbor Freight Tools USA, Inc. | 4,567,460 | 4,639,443 | ||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 2.6% |
| |||||||
Abacus Innovations Corp. | 2,487,047 | 2,515,697 | ||||||
Go Daddy Operating Company LLC | �� | 1,338,951 | 1,355,186 | |||||
GTT Communications, Inc. | 2,590,674 | 2,634,935 | ||||||
Inmar, Inc. | 3,102,273 | 3,087,149 | ||||||
Landslide Holdings, Inc. | 4,289,163 | 4,353,500 | ||||||
Rackspace Hosting, Inc. | 3,750,000 | 3,804,300 | ||||||
Sabre, Inc. | 4,423,907 | 4,479,671 | ||||||
TCH-2 Holding LLC | 5,914,786 | 5,936,966 | ||||||
|
| |||||||
28,167,404 | ||||||||
|
| |||||||
IT SERVICES — 0.9% |
| |||||||
First Data Corp. | 7,928,694 | 8,030,538 | ||||||
Global Payments, Inc. | 797,649 | 806,922 | ||||||
NeuStar, Inc. | 287,538 | 288,617 |
See accompanying notes to financial statements.
25
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
TNS, Inc. | $ | 1,261,519 | $ | 1,275,320 | ||||
|
| |||||||
10,401,397 | ||||||||
|
| |||||||
LIFE SCIENCES TOOLS & SERVICES — 1.1% |
| |||||||
Albany Molecular Research, Inc. | 2,984,887 | 3,025,929 | ||||||
Jaguar Holding Company II | 9,011,949 | 9,124,599 | ||||||
|
| |||||||
12,150,528 | ||||||||
|
| |||||||
MACHINERY — 0.5% |
| |||||||
Rexnord LLC | 2,880,440 | 2,897,003 | ||||||
Wilsonart LLC | 2,747,253 | 2,775,577 | ||||||
|
| |||||||
5,672,580 | ||||||||
|
| |||||||
MEDIA — 8.2% | ||||||||
Acosta Holdco, Inc. | 4,673,250 | 4,569,574 | ||||||
Altice US Finance I Corp. | 1,134,216 | 1,149,811 | ||||||
AMC Entertainment, Inc. | 1,921,845 | 1,945,147 | ||||||
CBS Radio, Inc. | 3,492,905 | 3,533,632 | ||||||
Charter Communications Operating LLC | 1,663,801 | 1,676,280 | ||||||
CSC Holdings LLC | 8,745,185 | 8,854,500 | ||||||
Entercom Radio LLC | 5,545,287 | 5,624,140 | ||||||
Gray Television, Inc. | 1,000,000 | 1,017,500 | ||||||
Lions Gate Entertainment Corp. | 5,877,061 | 5,926,047 | ||||||
Live Nation Entertainment, Inc. | 1,024,319 | 1,034,562 | ||||||
McGraw-Hill Global Education Holdings LLC | 7,970,216 | 7,992,652 | ||||||
Mission Broadcasting, Inc. | 457,191 | 461,834 | ||||||
Nexstar Broadcasting, Inc. | 5,130,702 | 5,182,804 | ||||||
Nielsen Finance LLC | 4,601,781 | 4,662,180 | ||||||
Numericable U.S. LLC | 3,133,425 | 3,180,160 | ||||||
Telenet International Finance S.A.R.L. | 3,860,150 | 3,897,092 | ||||||
Univision Communications, Inc. | 4,844,638 | 4,877,509 | ||||||
UPC Financing Partnership | 6,000,000 | 6,072,180 | ||||||
WideOpenWest Finance LLC | 12,013,915 | 12,159,764 | ||||||
WMG Acquisition Corp. | 4,779,354 | 4,830,637 | ||||||
Ziggo B.V.: | ||||||||
Senior Secured Term Loan B2A, 3.50%, 1/15/2022 | 1,177,872 | 1,185,075 | ||||||
Senior Secured Term Loan B3, 3.70%, 1/15/2022 | 136,191 | 137,024 | ||||||
|
| |||||||
89,970,104 | ||||||||
|
| |||||||
MULTILINE RETAIL — 0.2% |
| |||||||
Neiman Marcus Group, Inc. | 2,401,666 | 2,094,853 | ||||||
|
| |||||||
PERSONAL PRODUCTS — 0.4% |
| |||||||
Revlon Consumer Products Corp. | 3,965,217 | 4,012,066 | ||||||
|
| |||||||
PHARMACEUTICALS — 3.3% |
| |||||||
Amneal Pharmaceuticals LLC | 2,223,030 | 2,231,367 | ||||||
Arbor Pharmaceuticals, Inc. | 1,686,864 | 1,710,059 | ||||||
Capsugel Holdings US, Inc. | 2,977,500 | 2,990,839 | ||||||
Concordia Healthcare Corp. | 3,523,599 | 2,768,967 | ||||||
Genoa, a QoL Healthcare Co. LLC | 2,990,553 | 3,027,935 |
See accompanying notes to financial statements.
26
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Horizon Pharma, Inc.: | ||||||||
Senior Secured Incremental Term Loan B, 5.50%, 5/7/2021 | $ | 1,838,235 | $ | 1,841,112 | ||||
Senior Secured Term Loan B, 5.00%, 5/7/2021 | 663,308 | 664,469 | ||||||
Valeant Pharmaceuticals International, Inc.: | ||||||||
Senior Secured Series E Term Loan B, 5.25%, 8/5/2020 | 8,238,342 | 8,232,039 | ||||||
Senior Secured Term Loan B F1, 5.50%, 4/1/2022 | 13,213,884 | 13,243,087 | ||||||
|
| |||||||
36,709,874 | ||||||||
|
| |||||||
PROFESSIONAL SERVICES — 3.2% |
| |||||||
Advantage Sales & Marketing, Inc. | 8,313,996 | 8,357,644 | ||||||
GFL Environmental, Inc. | 1,113,488 | 1,118,588 | ||||||
Information Resources, Inc. | 18,610,422 | 18,773,263 | ||||||
TransUnion LLC | 6,427,103 | 6,493,688 | ||||||
|
| |||||||
34,743,183 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.8% |
| |||||||
Communications Sales & Leasing, Inc. | 8,541,687 | 8,676,219 | ||||||
|
| |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5% |
| |||||||
Americold Realty Operating Partnership L.P. | 1,182,178 | 1,197,700 | ||||||
RE/MAX International, Inc. | 1,496,250 | 1,500,933 | ||||||
Realogy Corp. | 2,309,284 | 2,328,059 | ||||||
|
| |||||||
5,026,692 | ||||||||
|
| |||||||
ROAD & RAIL — 0.8% |
| |||||||
Hertz Corp. | 8,559,140 | 8,606,600 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.5% |
| |||||||
Avago Technologies Cayman, Ltd. | 11,556,728 | 11,739,498 | ||||||
Cavium, Inc. | 859,091 | 868,756 | ||||||
Cypress Semiconductor Corp. | 2,960,568 | 3,034,582 | ||||||
M/A-COM Technology Solutions Holdings, Inc. | 1,787,242 | 1,811,816 | ||||||
Microsemi Corp. | 3,315,246 | 3,352,957 | ||||||
NXP B.V. | 3,558,535 | 3,582,342 | ||||||
ON Semiconductor Corp. | 13,598,621 | 13,796,481 | ||||||
|
| |||||||
38,186,432 | ||||||||
|
| |||||||
SOFTWARE — 7.8% |
| |||||||
Applied Systems, Inc. | 2,411,338 | 2,438,466 | ||||||
Aspect Software, Inc. | 7,221,360 | 7,233,384 | ||||||
Avast Software B.V. | 2,687,075 | 2,733,682 | ||||||
BMC Software Finance, Inc. | 18,725,396 | 18,742,998 | ||||||
CCC Information Services, Inc. | 4,869,018 | 4,884,233 | ||||||
Compuware Corp. | 6,400,851 | 6,449,657 | ||||||
DTI Holdco, Inc. | 3,666,486 | 3,626,394 | ||||||
Epicor Software Corp. | 5,544,499 | 5,576,186 | ||||||
Hyland Software, Inc. | 1,980,707 | 1,995,563 | ||||||
Infor (US), Inc. | 5,909,612 | 5,927,459 | ||||||
Informatica Corp. | 2,332,658 | 2,327,071 | ||||||
MA FinanceCo. LLC | 6,897,329 | 6,998,341 | ||||||
Mediware Information Systems, Inc. | 627,358 | 632,848 | ||||||
Mitchell International, Inc. | 4,255,686 | 4,269,432 |
See accompanying notes to financial statements.
27
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
SolarWinds Holdings, Inc. | $ | 1,641,237 | $ | 1,664,247 | ||||
Solera Holdings, Inc. | 479,503 | 486,696 | ||||||
Sophia L.P. | 3,450,741 | 3,488,492 | ||||||
Vertafore, Inc. | 6,372,347 | 6,405,897 | ||||||
|
| |||||||
85,881,046 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 3.9% |
| |||||||
Ascena Retail Group, Inc. | 5,916,615 | 5,788,668 | ||||||
Burlington Coat Factory Warehouse Corp. | 1,000,000 | 1,008,925 | ||||||
Michaels Stores, Inc. | 4,900,995 | 4,964,953 | ||||||
Outerwall, Inc. | 843,807 | 857,519 | ||||||
Petco Animal Supplies, Inc. | 8,452,231 | 8,514,735 | ||||||
PetSmart, Inc. | 21,733,431 | 21,824,821 | ||||||
|
| |||||||
42,959,621 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.5% |
| |||||||
Diebold, Inc. | 827,742 | 841,711 | ||||||
Engility Corp. | 4,911,126 | 4,995,842 | ||||||
Quest Software US Holdings, Inc. | 3,516,908 | 3,569,679 | ||||||
RCN Grande | 6,521,739 | 6,576,522 | ||||||
|
| |||||||
15,983,754 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.4% |
| |||||||
Beacon Roofing Supply, Inc. | 1,755,665 | 1,774,688 | ||||||
McJunkin Red Man Corp. | 1,224,664 | 1,234,614 | ||||||
Univar, Inc. | $ | 1,430,503 | $ | 1,446,295 | ||||
|
| |||||||
4,455,597 | ||||||||
|
| |||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.7% |
| |||||||
LTS Buyer LLC | 7,549,047 | 7,610,383 | ||||||
|
| |||||||
TOTAL SENIOR FLOATING RATE LOANS | 990,992,358 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 8.6% |
| |||||||
AIRLINES — 0.2% | ||||||||
Air Canada | 2,000,000 | 2,230,000 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.3% |
| |||||||
Fly Leasing, Ltd. | 3,145,000 | 3,270,800 | ||||||
|
| |||||||
ENTERTAINMENT — 1.8% |
| |||||||
AMC Entertainment Holdings, Inc. | 1,170,000 | 1,196,325 | ||||||
Cedar Fair L.P./Canada’s Wonderland Co./Magnum Management Corp. | 2,000,000 | 2,065,000 | ||||||
Scientific Games Corp. | 10,907,000 | 11,043,338 | ||||||
Scientific Games International, Inc. | 5,400,000 | 5,791,500 | ||||||
|
| |||||||
20,096,163 | ||||||||
|
| |||||||
FOOD — 0.2% |
| |||||||
Dole Food Co., Inc. | 1,970,000 | 2,009,400 | ||||||
|
| |||||||
FOOD SERVICE — 0.0% (d) |
| |||||||
Aramark Services, Inc. | 229,000 | 233,866 | ||||||
|
| |||||||
HEALTH CARE PRODUCTS — 0.1% |
| |||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 830,000 | 900,550 | ||||||
|
| |||||||
HEALTH CARE SERVICES — 1.9% |
| |||||||
CHS/Community Health Systems, Inc. | 5,000,000 | 4,931,250 | ||||||
Tenet Healthcare Corp.: | ||||||||
4.46%, 6/15/2020 | 3,000,000 | 3,022,500 | ||||||
5.00%, 3/1/2019 | 3,000,000 | 2,919,375 | ||||||
6.75%, 2/1/2020 | 2,000,000 | 1,927,500 | ||||||
8.13%, 4/1/2022 | 8,000,000 | 7,528,000 | ||||||
|
| |||||||
20,328,625 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 0.0% (d) |
| |||||||
Revlon Consumer Products Corp. | 470,000 | 473,525 | ||||||
|
| |||||||
MEDIA — 1.0% |
| |||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 1,000,000 | 1,028,750 |
See accompanying notes to financial statements.
28
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance | $ | 360,000 | $ | 362,700 | ||||
SFR Group SA | 2,000,000 | 2,050,000 | ||||||
Sinclair Television Group, Inc. | 2,000,000 | 2,040,000 | ||||||
Univision Communications, Inc. | 6,240,000 | 5,959,200 | ||||||
|
| |||||||
11,440,650 | ||||||||
|
| |||||||
PACKAGING & CONTAINERS — 0.6% |
| |||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 1,320,000 | 1,382,700 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu: | ||||||||
4.38%, 7/15/2021 (c) | 2,000,000 | 2,045,000 | ||||||
5.75%, 10/15/2020 | 1,000,000 | 1,031,300 | ||||||
7.00%, 7/15/2024 (c) | 1,550,000 | 1,647,852 | ||||||
|
| |||||||
6,106,852 | ||||||||
|
| |||||||
RETAIL — 0.0% (d) |
| |||||||
CEC Entertainment, Inc. | 440,000 | 448,800 | ||||||
|
| |||||||
SOFTWARE — 0.5% |
| |||||||
Infor US, Inc. | 5,000,000 | 5,212,500 | ||||||
|
| |||||||
TELECOMMUNICATIONS — 2.0% |
| |||||||
Altice Luxembourg SA | 2,000,000 | 2,139,200 | ||||||
FairPoint Communications, Inc. | 5,170,000 | 5,396,187 | ||||||
Frontier Communications Corp. | 5,000,000 | 5,275,000 | ||||||
Level 3 Financing, Inc.: | ||||||||
5.38%, 1/15/2024 | 540,000 | 545,400 | ||||||
5.63%, 2/1/2023 | 1,450,000 | 1,486,250 | ||||||
T-Mobile USA, Inc.: | ||||||||
6.50%, 1/15/2026 | 2,000,000 | 2,162,600 | ||||||
6.63%, 4/1/2023 | 2,000,000 | 2,115,000 | ||||||
6.73%, 4/28/2022 | 2,730,000 | 2,852,850 | ||||||
|
| |||||||
21,972,487 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 94,724,218 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENT — 5.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42% (e) (f) | 63,215,576 | 63,215,576 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 104.7% | 1,148,932,152 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.7)% | (51,697,197 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,097,234,955 | ||||||
|
|
(a) | The rate shown represents the rate at December 31, 2016. |
(b) | This Senior Loan will settle after December 31, 2016, at which time the interest rate will be determined. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 3.3% of net assets as of December 31, 2016, 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) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Senior Floating Rate Loans | ||||||||||||||||
Aerospace & Defense | $ | — | $ | 24,066,134 | $ | — | $ | 24,066,134 | ||||||||
Airlines | — | 17,833,693 | — | 17,833,693 | ||||||||||||
Automobiles | — | 4,570,998 | — | 4,570,998 | ||||||||||||
Biotechnology | — | 3,981,741 | — | 3,981,741 | ||||||||||||
Building Products | — | 16,663,229 | — | 16,663,229 | ||||||||||||
Capital Markets | — | 1,347,630 | — | 1,347,630 | ||||||||||||
Chemicals | — | 15,262,712 | — | 15,262,712 | ||||||||||||
Commercial Services & Supplies | — | 57,999,420 | — | 57,999,420 | ||||||||||||
Communications Equipment | — | 1,403,593 | — | 1,403,593 |
See accompanying notes to financial statements.
29
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Computers & Peripherals | $ | — | $ | 22,499,588 | $ | — | $ | 22,499,588 | ||||||||
Construction Materials | — | 12,451,325 | — | 12,451,325 | ||||||||||||
Containers & Packaging | — | 29,931,470 | — | 29,931,470 | ||||||||||||
Distributors | — | 9,311,770 | — | 9,311,770 | ||||||||||||
Diversified Consumer Services | — | 2,826,812 | — | 2,826,812 | ||||||||||||
Diversified Financial Services | — | 7,782,895 | — | 7,782,895 | ||||||||||||
Diversified Telecommunication Services | — | 67,869,648 | — | 67,869,648 | ||||||||||||
Electric Utilities | — | 4,064,883 | — | 4,064,883 | ||||||||||||
Electrical Equipment | — | 11,739,628 | — | 11,739,628 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 8,237,521 | — | 8,237,521 | ||||||||||||
Energy Equipment & Services | — | 1,939,688 | — | 1,939,688 | ||||||||||||
Food & Staples Retailing | — | 24,154,355 | — | 24,154,355 | ||||||||||||
Food Products | — | 11,374,364 | — | 11,374,364 | ||||||||||||
Health Care Equipment & Supplies | — | 10,609,402 | — | 10,609,402 | ||||||||||||
Health Care Providers & Services | — | 52,334,364 | — | 52,334,364 | ||||||||||||
Health Care Technology | — | 13,212,384 | — | 13,212,384 | ||||||||||||
Hotels, Restaurants & Leisure | — | 70,675,494 | — | 70,675,494 | ||||||||||||
Household Durables | — | 6,689,732 | — | 6,689,732 | ||||||||||||
Household Products | — | 897,014 | — | 897,014 | ||||||||||||
Independent Power Producers & Energy Traders | — | 1,953,300 | — | 1,953,300 | ||||||||||||
Insurance | — | 31,359,795 | — | 31,359,795 | ||||||||||||
Internet & Catalog Retail | — | 4,639,443 | — | 4,639,443 | ||||||||||||
Internet Software & Services | — | 28,167,404 | — | 28,167,404 | ||||||||||||
IT Services | — | 10,401,397 | — | 10,401,397 | ||||||||||||
Life Sciences Tools & Services | — | 12,150,528 | — | 12,150,528 | ||||||||||||
Machinery | — | 5,672,580 | — | 5,672,580 | ||||||||||||
Media | — | 89,970,104 | — | 89,970,104 | ||||||||||||
Multiline Retail | — | 2,094,853 | — | 2,094,853 | ||||||||||||
Personal Products | — | 4,012,066 | — | 4,012,066 | ||||||||||||
Pharmaceuticals | — | 36,709,874 | — | 36,709,874 | ||||||||||||
Professional Services | — | 34,743,183 | — | 34,743,183 | ||||||||||||
Real Estate Investment Trusts (REITs) | — | 8,676,219 | — | 8,676,219 | ||||||||||||
Real Estate Management & Development | — | 5,026,692 | — | 5,026,692 | ||||||||||||
Road & Rail | — | 8,606,600 | — | 8,606,600 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 38,186,432 | — | 38,186,432 | ||||||||||||
Software | — | 85,881,046 | — | 85,881,046 | ||||||||||||
Specialty Retail | — | 42,959,621 | — | 42,959,621 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 15,983,754 | — | 15,983,754 | ||||||||||||
Trading Companies & Distributors | — | 4,455,597 | — | 4,455,597 | ||||||||||||
Wireless Telecommunication Services | — | 7,610,383 | — | 7,610,383 | ||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Airlines | — | 2,230,000 | — | 2,230,000 | ||||||||||||
Diversified Financial Services | — | 3,270,800 | — | 3,270,800 | ||||||||||||
Entertainment | — | 20,096,163 | — | 20,096,163 | ||||||||||||
Food | — | 2,009,400 | — | 2,009,400 | ||||||||||||
Food Service | — | 233,866 | — | 233,866 | ||||||||||||
Health Care Products | — | 900,550 | — | 900,550 | ||||||||||||
Health Care Services | — | 20,328,625 | — | 20,328,625 | ||||||||||||
Household Products | — | 473,525 | — | 473,525 | ||||||||||||
Media | — | 11,440,650 | — | 11,440,650 | ||||||||||||
Packaging & Containers | — | 6,106,852 | — | 6,106,852 | ||||||||||||
Retail | — | 448,800 | — | 448,800 | ||||||||||||
Software | — | 5,212,500 | — | 5,212,500 | ||||||||||||
Telecommunications | — | 21,972,487 | — | 21,972,487 | ||||||||||||
Short-Term Investment | 63,215,576 | — | — | 63,215,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 63,215,576 | $ | 1,085,716,576 | $ | — | $ | 1,148,932,152 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
30
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 68,870,496 | $ | 68,870,496 | 118,632,928 | 187,503,424 | — | $ | — | $ | 52,910 | $ | — | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 245,265,661 | 182,050,085 | 63,215,576 | 63,215,576 | 52,004 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 68,870,496 | $ | 63,215,576 | $ | 104,914 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
31
Table of Contents
SSGA ULTRA SHORT TERM BOND PORTFOLIO
SPDR SSGA Ultra Short Term Bond ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Ultra Short Term Bond Portfolio. The schedule of investments for the SSGA Ultra Short Term Bond Portfolio follows.
32
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
ASSET-BACKED SECURITIES — 23.6% |
| |||||||
ASSET-BACKED — OTHER — 1.4% |
| |||||||
Ford Credit Floorplan Master Owner Trust A | $ | 200,000 | $ | 200,034 | ||||
|
| |||||||
AUTOMOBILE — 7.6% |
| |||||||
Ford Credit Auto Owner Trust | 300,000 | 299,694 | ||||||
Harley-Davidson Motorcycle Trust | 146,370 | 146,351 | ||||||
Hyundai Auto Receivables Trust | 162,391 | 162,344 | ||||||
Mercedes-Benz Auto Receivables Trust | 94,564 | 94,480 | ||||||
Toyota Auto Receivables Owner Trust: | ||||||||
Series 2015-A, Class A3, | 160,405 | 160,294 | ||||||
Series 2016-D, Class A2A, | 200,000 | 199,577 | ||||||
|
| |||||||
1,062,740 | ||||||||
|
| |||||||
CREDIT CARD — 14.6% |
| |||||||
American Express Credit Account Master Trust | 230,000 | 230,522 | ||||||
BA Credit Card Trust | 400,000 | 401,167 | ||||||
Barclays Dryrock Issuance Trust | 100,000 | 100,017 | ||||||
Capital One Multi-Asset Execution Trust | 250,000 | 250,347 | ||||||
Chase Issuance Trust: | ||||||||
Series 2007-A3, Class A3, | 200,000 | 200,926 | ||||||
Series 2013-A3, Class A3, 1 Month USD LIBOR + 0.28%, 0.98%, 4/15/2020 (a) | 150,000 | 150,238 | ||||||
Citibank Credit Card Issuance Trust | 220,000 | 220,178 | ||||||
Discover Card Execution Note Trust | 300,000 | 300,874 | ||||||
Evergreen Credit Card Trust | 200,000 | 200,888 | ||||||
|
| |||||||
2,055,157 | ||||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES | 3,317,931 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 62.8% |
| |||||||
AEROSPACE & DEFENSE — 1.8% |
| |||||||
United Technologies Corp. | 250,000 | 250,568 | ||||||
|
| |||||||
AUTO MANUFACTURERS — 7.5% |
| |||||||
American Honda Finance Corp. | 300,000 | 300,081 | ||||||
Daimler Finance North America LLC | 250,000 | 250,060 | ||||||
Toyota Motor Credit Corp.: | ||||||||
Series 2547, 3 month USD LIBOR + 0.32%, 1.19%, 1/12/2018 (a) | 250,000 | 250,097 | ||||||
Series MTN, 3 month USD LIBOR + 0.440%, 1.32%, 10/18/2019 (a) | 250,000 | 250,375 | ||||||
|
| |||||||
1,050,613 | ||||||||
|
| |||||||
BANKS — 21.8% |
| |||||||
Bank of America NA | 150,000 | 150,102 | ||||||
Bank of Montreal | 200,000 | 200,208 | ||||||
Bank of Nova Scotia | 200,000 | 200,058 | ||||||
Goldman Sachs Group, Inc.: | ||||||||
3 month USD LIBOR + 1.02%, | 200,000 | 201,430 | ||||||
Series 1, 3 month USD LIBOR + 1.20%, 2.09%, 4/30/2018 (a) | 100,000 | 100,854 | ||||||
JPMorgan Chase & Co. | 250,000 | 253,812 | ||||||
JPMorgan Chase Bank NA | 250,000 | 250,265 | ||||||
Morgan Stanley | 205,000 | 206,195 | ||||||
PNC Bank NA | 250,000 | 250,078 |
See accompanying notes to financial statements.
33
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Royal Bank of Canada | $ | 250,000 | $ | 250,198 | ||||
Toronto-Dominion Bank: | ||||||||
3 month USD LIBOR + 0.44%, | 250,000 | 249,650 | ||||||
Series MTN, 3 month USD LIBOR + 0.84%, 1.72%, 1/22/2019 (a) | 100,000 | 100,791 | ||||||
US Bank NA: | ||||||||
3 month USD LIBOR + 0.30%, | 100,000 | 100,038 | ||||||
3 month USD LIBOR + 0.48%, | 100,000 | 100,234 | ||||||
Series MTN, 3 month USD LIBOR + 0.58%, 1.47%, 1/29/2018 (a) | 100,000 | 100,309 | ||||||
Wells Fargo & Co. | 100,000 | 100,270 | ||||||
Wells Fargo Bank NA | 250,000 | 251,057 | ||||||
|
| |||||||
3,065,549 | ||||||||
|
| |||||||
BEVERAGES — 1.4% |
| |||||||
Anheuser-Busch InBev Finance, Inc. | 200,000 | 200,222 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 2.5% |
| |||||||
American Express Credit Corp. | 350,000 | 350,710 | ||||||
|
| |||||||
IT SERVICES — 2.5% |
| |||||||
Apple, Inc. | 150,000 | 150,024 | ||||||
International Business Machines Corp. | 205,000 | 205,176 | ||||||
|
| |||||||
355,200 | ||||||||
|
| |||||||
MACHINERY, CONSTRUCTION & MINING — 1.4% |
| |||||||
Caterpillar Financial Services Corp. | 200,000 | 200,014 | ||||||
|
| |||||||
MACHINERY-DIVERSIFIED — 2.9% |
| |||||||
John Deere Capital Corp.: | ||||||||
3 Month USD LIBOR + 0.57%, | 200,000 | 201,186 | ||||||
Series MTN, 3 Month USD LIBOR + 0.22%, 1.18%, 12/15/2017 (a) | 200,000 | 200,129 | ||||||
|
| |||||||
401,315 | ||||||||
|
| |||||||
OIL & GAS — 11.7% |
| |||||||
BP Capital Markets PLC: | ||||||||
3 Month USD LIBOR + 0.51%, | 250,000 | 250,227 | ||||||
3 Month USD LIBOR + 0.43%, | 250,000 | 250,424 | ||||||
Chevron Corp. | 250,000 | 250,480 | ||||||
ConocoPhillips Co. | 100,000 | 99,706 | ||||||
Shell International Finance B.V. | 300,000 | 300,006 | ||||||
Statoil ASA: | ||||||||
3 month USD LIBOR + 0.20%, | 250,000 | 249,923 | ||||||
3 month USD LIBOR + 0.46%, | 250,000 | 250,592 | ||||||
|
| |||||||
1,651,358 | ||||||||
|
| |||||||
PHARMACEUTICALS — 1.8% |
| |||||||
Pfizer, Inc. | 250,000 | 250,443 | ||||||
|
| |||||||
RETAIL — 2.8% |
| |||||||
Home Depot, Inc. | 150,000 | 150,260 | ||||||
Lowe’s Cos., Inc. | 250,000 | 250,527 | ||||||
|
| |||||||
400,787 | ||||||||
|
| |||||||
SEMICONDUCTORS — 1.1% |
| |||||||
QUALCOMM, Inc. | 150,000 | 149,885 | ||||||
|
| |||||||
SOFTWARE — 1.8% |
| |||||||
Oracle Corp. | 250,000 | 251,255 | ||||||
|
| |||||||
TELECOMMUNICATIONS — 1.1% |
| |||||||
Cisco Systems, Inc. | 150,000 | 150,311 | ||||||
|
| |||||||
TRANSPORTATION — 0.7% |
| |||||||
Canadian National Railway Co. | 100,000 | 100,083 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 8,828,313 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 10.6% |
| |||||||
Treasury Bill | 500,000 | 497,510 | ||||||
Treasury Notes: | ||||||||
0.63%, 9/30/2017 | 150,000 | 149,782 | ||||||
0.63%, 6/30/2018 | 300,000 | 298,124 | ||||||
0.88%, 3/31/2018 | 550,000 | 549,309 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 1,494,725 | |||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Shares | | |||||||
SHORT-TERM INVESTMENTS — 2.9% |
| |||||||
CERTIFICATES OF DEPOSIT — 2.5% | ||||||||
Nordea Bank Finland PLC 1.28% | 350,000 | $ | 350,454 | |||||
|
| |||||||
MONEY MARKET FUND — 0.4% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42% (c) (d) | 56,339 | 56,339 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 406,793 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 14,047,762 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 20,210 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 14,067,972 | ||||||
|
|
(a) | Variable Rate Security — Interest rate shown is rate in effect at December 31, 2016. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 3.2% of net assets as of December 31, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Asset-Backed — Other | $ | — | $ | 200,034 | $ | — | $ | 200,034 | ||||||||
Automobile | — | 1,062,740 | — | 1,062,740 | ||||||||||||
Credit Card | — | 2,055,157 | — | 2,055,157 | ||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Aerospace & Defense | — | 250,568 | — | 250,568 | ||||||||||||
Auto Manufacturers | — | 1,050,613 | — | 1,050,613 | ||||||||||||
Banks | — | 3,065,549 | — | 3,065,549 | ||||||||||||
Beverages | — | 200,222 | — | 200,222 | ||||||||||||
Diversified Financial Services | — | 350,710 | — | 350,710 | ||||||||||||
IT Services | — | 355,200 | — | 355,200 | ||||||||||||
Machinery, Construction & Mining | — | 200,014 | — | 200,014 | ||||||||||||
Machinery-Diversified | — | 401,315 | — | 401,315 | ||||||||||||
Oil & Gas | — | 1,651,358 | — | 1,651,358 | ||||||||||||
Pharmaceuticals | — | 250,443 | — | 250,443 | ||||||||||||
Retail | — | 400,787 | — | 400,787 | ||||||||||||
Semiconductors | — | 149,885 | — | 149,885 | ||||||||||||
Software | — | 251,255 | — | 251,255 | ||||||||||||
Telecommunications | — | 150,311 | — | 150,311 | ||||||||||||
Transportation | — | 100,083 | — | 100,083 | ||||||||||||
U.S. Treasury Obligations | — | 1,494,725 | — | 1,494,725 | ||||||||||||
Short-Term Investments | 56,339 | 350,454 | — | 406,793 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 56,339 | $ | 13,991,423 | $ | — | $ | 14,047,762 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
35
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 483,761 | $ | 483,761 | 2,476,195 | 2,959,956 | — | $ | — | $ | 347 | $ | — | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 3,081,318 | �� | 3,024,979 | 56,339 | 56,339 | 307 | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 483,761 | $ | 56,339 | $ | 654 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
36
Table of Contents
STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO
SPDR DoubleLine Total Return Tactical ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the State Street DoubleLine Total Return Tactical Portfolio. The schedule of investments for the State Street DoubleLine Total Return Tactical Portfolio follows.
37
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
ASSET-BACKED SECURITIES — 2.4% |
| |||||||
Ajax Mortgage Loan Trust | $ | 9,363,792 | $ | 9,344,928 | ||||
Apidos CLO | 1,250,000 | 1,248,614 | ||||||
AVANT Loans Funding Trust | 319,340 | 320,528 | ||||||
Colony Starwood Homes Trust | 4,000,000 | 4,010,085 | ||||||
Flagship Credit Auto Trust | 3,500,000 | 3,468,382 | ||||||
Octagon Investment Partners, Ltd.: | ||||||||
Series 2012-1AR, Class AR, 3 Month USD LIBOR + 1.27%, 1.57%, 5/5/2023 (a) (c) | 1,218,484 | 1,218,668 | ||||||
Series 2016-1A, Class B, 3 Month USD LIBOR + 2.15%, 2.81%, 7/15/2027 (a) (c) | 2,500,000 | 2,510,685 | ||||||
OneMain Financial Issuance Trust | 24,000,000 | 24,170,333 | ||||||
Progress Residential Trust | 1,000,000 | 1,001,992 | ||||||
TCI-Cent CLO, Ltd.: | ||||||||
Series 2016-1A, Class A1, 3 Month USD LIBOR + 1.52%, 2.45%, 12/21/2029 (a) (c) | 2,500,000 | 2,498,750 | ||||||
Series 2016-1A, Class A2, 3 Month USD LIBOR + 2.20%, 3.13%, 12/21/2029 (a) (c) | 2,500,000 | 2,497,500 | ||||||
TCI-Flatiron CLO, Ltd. | 2,500,000 | 2,514,875 | ||||||
US Residential Opportunity Fund III Trust | 11,401,479 | 11,354,235 | ||||||
Venture CLO, Ltd. | 2,500,000 | 2,502,280 | ||||||
Westlake Automobile Receivables Trust | 2,500,000 | 2,502,057 | ||||||
Wind River CLO, Ltd. | 2,500,000 | 2,510,660 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES | 73,674,572 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 13.2% |
| |||||||
AUSTRALIA — 0.1% | ||||||||
Westpac Banking Corp.: | ||||||||
2.00%, 8/19/2021 | 370,000 | 359,177 | ||||||
2.60%, 11/23/2020 | 2,630,000 | 2,632,604 | ||||||
|
| |||||||
2,991,781 | ||||||||
|
| |||||||
BELGIUM — 0.1% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 3,120,000 | 3,131,731 | ||||||
|
| |||||||
BERMUDA — 0.0% (d) | ||||||||
Aircastle, Ltd. | 465,000 | 476,625 | ||||||
|
| |||||||
BRAZIL — 0.3% | ||||||||
CIMPOR Financial Operations B.V. | 700,000 | 581,070 | ||||||
Cosan Overseas, Ltd. | 4,564,000 | 4,550,308 | ||||||
Eldorado Intl. Finance GmbH | 500,000 | 427,500 | ||||||
Globo Comunicacao e Participacoes SA 5.31%, 5/11/2022 (b) | 700,000 | 700,000 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. 7.25%, 6/1/2021 (a) | 974,000 | 1,008,796 | ||||||
Marfrig Holdings Europe B.V. | 1,500,000 | 1,552,650 | ||||||
Minerva Luxembourg SA | 650,000 | 665,438 | ||||||
|
| |||||||
9,485,762 | ||||||||
|
| |||||||
CANADA — 0.3% | ||||||||
Bank of Montreal | 1,730,000 | 1,676,975 | ||||||
Fortis, Inc. | 1,040,000 | 1,004,106 | ||||||
Lundin Mining Corp. | 1,060,000 | 1,123,600 | ||||||
Open Text Corp. | 672,000 | 707,280 | ||||||
Royal Bank of Canada | 3,000,000 | 2,988,720 | ||||||
Toronto-Dominion Bank | 3,050,000 | 3,004,464 | ||||||
|
| |||||||
10,505,145 | ||||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
CAYMAN ISLANDS — 0.0% (d) | ||||||||
Interoceanica IV Finance, Ltd. | $ | 453,183 | $ | 444,119 | ||||
|
| |||||||
CHILE — 0.5% | ||||||||
Celulosa Arauco y Constitucion SA: | ||||||||
4.75%, 1/11/2022 | 1,500,000 | 1,553,700 | ||||||
5.00%, 1/21/2021 | 260,000 | 272,056 | ||||||
Cencosud SA | 3,000,000 | 3,032,313 | ||||||
Colbun SA | 1,800,000 | 1,941,804 | ||||||
Corp. Group Banking SA | 2,750,000 | 2,612,858 | ||||||
Empresa Electrica Guacolda SA | 300,000 | 273,143 | ||||||
Guanay Finance, Ltd. | 3,909,658 | 3,948,754 | ||||||
Inversiones CMPC SA | 1,580,000 | 1,603,890 | ||||||
Itau CorpBanca | 1,300,000 | 1,339,803 | ||||||
|
| |||||||
16,578,321 | ||||||||
|
| |||||||
CHINA — 0.4% | ||||||||
CNOOC Finance 2011, Ltd. | 500,000 | 520,923 | ||||||
CNOOC Finance 2015 Australia Pty, Ltd. | 4,000,000 | 3,980,920 | ||||||
Sinopec Group Overseas Development 2015, Ltd. | 1,000,000 | 993,372 | ||||||
Sinopec Group Overseas Development 2016, Ltd.: | ||||||||
2.00%, 9/29/2021 (a) | 1,300,000 | 1,238,152 | ||||||
2.75%, 5/3/2021 | 2,000,000 | 1,975,304 | ||||||
Tencent Holdings, Ltd.: | ||||||||
2.88%, 2/11/2020 | 2,200,000 | 2,208,743 | ||||||
3.38%, 5/2/2019 | 800,000 | 818,061 | ||||||
|
| |||||||
11,735,475 | ||||||||
|
| |||||||
COLOMBIA — 0.6% | ||||||||
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings, Ltd. | 1,500,000 | 1,522,500 | ||||||
Banco GNB Sudameris SA: | ||||||||
3.88%, 5/2/2018 | 1,500,000 | 1,492,500 | ||||||
7.50%, 7/30/2022 | 300,000 | 316,500 | ||||||
Bancolombia SA | 3,000,000 | 3,187,500 | ||||||
Empresa de Energia de Bogota SA ESP | 3,200,000 | 3,296,000 | ||||||
Empresas Publicas de Medellin ESP | 900,000 | 1,005,750 | ||||||
Grupo Aval, Ltd. | 2,800,000 | 2,762,200 | ||||||
GrupoSura Finance SA | 1,150,000 | 1,177,600 | ||||||
Transportadora de Gas Internacional SA ESP | 1,900,000 | 1,957,000 | ||||||
|
| |||||||
16,717,550 | ||||||||
|
| |||||||
COSTA RICA — 0.2% | ||||||||
Banco Nacional de Costa Rica: | ||||||||
4.88%, 11/1/2018 | 950,000 | 957,790 | ||||||
5.88%, 4/25/2021 (a) | 4,290,000 | 4,332,375 | ||||||
|
| |||||||
5,290,165 | ||||||||
|
| |||||||
DOMINICAN REPUBLIC — 0.2% | ||||||||
Aeropuertos Dominicanos Siglo XXI SA | 400,000 | 416,500 | ||||||
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It | 2,200,000 | 2,269,784 | ||||||
Banco de Reservas de la Republica Dominicana | 4,100,000 | 4,100,779 | ||||||
|
| |||||||
6,787,063 | ||||||||
|
| |||||||
GUATEMALA — 0.2% | ||||||||
Agromercantil Senior Trust | 1,714,000 | 1,757,776 | ||||||
Cementos Progreso Trust | 1,100,000 | 1,153,790 | ||||||
Central American Bottling Corp. | 2,300,000 | 2,346,000 | ||||||
Industrial Senior Trust 5.50%, 11/1/2022 | 1,900,000 | 1,822,746 | ||||||
|
| |||||||
7,080,312 | ||||||||
|
| |||||||
HONG KONG — 0.1% | ||||||||
Hutchison Whampoa International 12 II, Ltd. | 1,500,000 | 1,513,806 | ||||||
Hutchison Whampoa International 12, Ltd. | 1,000,000 | 1,010,000 | ||||||
|
| |||||||
2,523,806 | ||||||||
|
| |||||||
INDIA — 0.6% | ||||||||
Adani Ports & Special Economic Zone, Ltd. | 5,000,000 | 4,975,055 | ||||||
Bharat Petroleum Corp., Ltd. | 1,100,000 | 1,150,578 | ||||||
Bharti Airtel, Ltd. | 1,600,000 | 1,577,909 | ||||||
Export-Import Bank of India | 2,000,000 | 1,987,434 | ||||||
Indian Oil Corp., Ltd. | 1,500,000 | 1,629,531 | ||||||
ONGC Videsh Vankorneft Pte, Ltd. | 1,200,000 | 1,141,340 | ||||||
Reliance Holding USA, Inc.: | ||||||||
4.50%, 10/19/2020 | 1,650,000 | 1,740,382 | ||||||
5.40%, 2/14/2022 | 2,600,000 | 2,810,865 | ||||||
|
| |||||||
17,013,094 | ||||||||
|
|
See accompanying notes to financial statements.
39
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
ISRAEL — 0.3% | ||||||||
Delek & Avner Tamar Bond, Ltd.: | ||||||||
4.44%, 12/30/2020 (a) | $ | 3,000,000 | $ | 3,052,500 | ||||
5.41%, 12/30/2025 (a) | 1,500,000 | 1,515,000 | ||||||
Israel Electric Corp., Ltd.: | ||||||||
5.63%, 6/21/2018 | 2,100,000 | 2,184,840 | ||||||
Series 6, 5.00%, 11/12/2024 (a) | 2,000,000 | 2,081,140 | ||||||
|
| |||||||
8,833,480 | ||||||||
|
| |||||||
JAMAICA — 0.1% | ||||||||
Digicel Group, Ltd.: | ||||||||
7.13%, 4/1/2022 | 3,300,000 | 2,552,550 | ||||||
8.25%, 9/30/2020 | 1,000,000 | 857,970 | ||||||
|
| |||||||
3,410,520 | ||||||||
|
| |||||||
MALAYSIA — 0.3% | ||||||||
Axiata SPV2 Bhd | 1,900,000 | 1,911,244 | ||||||
Malayan Banking Bhd | 2,750,000 | 2,761,454 | ||||||
Petronas Global Sukuk, Ltd. | 4,800,000 | 4,792,550 | ||||||
|
| |||||||
9,465,248 | ||||||||
|
| |||||||
MEXICO — 0.9% | ||||||||
Banco Mercantil del Norte SA | 2,400,000 | 2,229,000 | ||||||
Banco Nacional de Comercio Exterior SNC 5 year CMT + 3.00%, | 5,095,000 | 4,770,193 | ||||||
Banco Santander Mexico SA | 4,450,000 | 4,527,875 | ||||||
BBVA Bancomer SA: | 980,000 | 901,600 | ||||||
6.01%, 5/17/2022 (c) | 2,350,000 | 2,350,000 | ||||||
Comision Federal de Electricidad | 2,300,000 | 2,208,000 | ||||||
Credito Real SAB de CV SOFOM ER | 2,600,000 | 2,652,000 | ||||||
Fermaca Enterprises S de RL de CV | 572,227 | 563,644 | ||||||
Grupo Elektra SAB de CV | 409,000 | 410,227 | ||||||
Grupo Idesa SA de CV | 2,000,000 | 1,810,000 | ||||||
Nemak SAB de CV | 2,000,000 | 1,985,000 | ||||||
Petroleos Mexicanos: | ||||||||
5.50%, 2/4/2019 | 400,000 | 414,356 | ||||||
6.63%, 1/30/2017 | 600,000 | 564,000 | ||||||
Sixsigma Networks Mexico SA de CV | 600,000 | 564,000 | ||||||
TV Azteca SAB de CV: | ||||||||
7.50%, 5/25/2018 | 600,000 | 534,000 | ||||||
7.63%, 9/18/2020 | 600,000 | 474,000 | ||||||
|
| |||||||
26,957,895 | ||||||||
|
| |||||||
NETHERLANDS — 0.2% | ||||||||
Ajecorp B.V. | 150,000 | 76,500 | ||||||
Mylan NV | 1,700,000 | 1,670,063 | ||||||
NXP B.V./NXP Funding LLC | 1,075,000 | 1,109,938 | ||||||
Shell International Finance B.V. | 3,075,000 | 3,042,497 | ||||||
|
| |||||||
5,898,998 | ||||||||
|
| |||||||
NEW ZEALAND — 0.1% | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 1,335,000 | 1,363,369 | ||||||
|
| |||||||
PANAMA — 0.3% | ||||||||
Aeropuerto Internacional de Tocumen SA | 2,588,000 | 2,697,990 | ||||||
ENA Norte Trust | 2,995,963 | 3,100,822 | ||||||
Global Bank Corp. | 4,500,000 | 4,590,000 | ||||||
|
| |||||||
10,388,812 | ||||||||
|
| |||||||
PARAGUAY — 0.1% | ||||||||
Banco Regional SAECA | 550,000 | 580,938 | ||||||
Telefonica Celular del Paraguay SA | 1,500,000 | 1,526,250 | ||||||
|
| |||||||
2,107,188 | ||||||||
|
| |||||||
PERU — 0.2% | ||||||||
Abengoa Transmision Sur SA | 1,995,800 | 2,045,695 | ||||||
Banco de Credito del Peru | 200,000 | 197,500 | ||||||
Banco Internacional del Peru SAA | 500,000 | 544,000 | ||||||
Inkia Energy, Ltd. | 700,000 | 724,500 | ||||||
Peru Enhanced Pass-Through Finance, Ltd. | 1,600,000 | 1,276,784 | ||||||
Union Andina de Cementos SAA | 1,000,000 | 1,035,000 | ||||||
|
| |||||||
5,823,479 | ||||||||
|
| |||||||
QATAR — 0.0% (d) | ||||||||
Ras Laffan Liquefied Natural Gas Co., Ltd. II | 384,480 | 403,704 | ||||||
|
| |||||||
SINGAPORE — 0.5% | ||||||||
DBS Bank, Ltd. | 3,500,000 | 3,530,586 |
See accompanying notes to financial statements.
40
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
DBS Group Holdings, Ltd. | $ | 2,000,000 | $ | 1,926,042 | ||||
Oversea-Chinese Banking Corp., Ltd. | 4,500,000 | 4,620,528 | ||||||
United Overseas Bank, Ltd.: | 3,500,000 | 3,461,682 | ||||||
USD 5 Year Swap Rate + 2.00%, 3.75%, 9/19/2024 (c) | 1,500,000 | 1,528,125 | ||||||
|
| |||||||
15,066,963 | ||||||||
|
| |||||||
TRINIDAD AND TOBAGO — 0.1% |
| |||||||
National Gas Co. of Trinidad & Tobango, Ltd. | 3,900,000 | 3,939,000 | ||||||
|
| |||||||
UNITED STATES — 6.5% | ||||||||
AbbVie, Inc. | 2,300,000 | 2,299,816 | ||||||
Acadia Healthcare Co., Inc. | 760,000 | 760,000 | ||||||
Actavis Funding SCS: | ||||||||
3.80%, 3/15/2025 | 500,000 | 500,130 | ||||||
3.85%, 6/15/2024 | 2,375,000 | 2,398,346 | ||||||
Allison Transmission, Inc. | 810,000 | 820,125 | ||||||
Amazon.com, Inc.: | ||||||||
2.60%, 12/5/2019 | 1,825,000 | 1,860,150 | ||||||
3.80%, 12/5/2024 | 1,030,000 | 1,080,243 | ||||||
AMC Entertainment Holdings, Inc. | 765,000 | 782,213 | ||||||
American Axle & Manufacturing, Inc. | 1,835,000 | 1,888,765 | ||||||
American Express Credit Corp. | 3,335,000 | 3,336,367 | ||||||
Anthem, Inc. | 2,982,000 | 2,976,841 | ||||||
Apache Corp. | 1,215,000 | 1,260,805 | ||||||
Bank of America Corp. | 3,078,000 | 3,084,156 | ||||||
BB&T Corp.: | ||||||||
2.05%, 5/10/2021 | 2,045,000 | 2,007,617 | ||||||
Series MTN, 2.45%, 1/15/2020 | 930,000 | 935,850 | ||||||
Berry Plastics Corp. | 1,825,000 | 1,880,891 | ||||||
Boston Properties L.P. | 2,775,000 | 2,748,332 | ||||||
Burlington Northern Santa Fe LLC | 2,976,000 | 3,060,757 | ||||||
Calpine Corp. | 850,000 | 820,250 | ||||||
Caterpillar, Inc. | 2,791,000 | 2,868,143 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||||
5.13%, 5/1/2023 (a) | 325,000 | 333,938 | ||||||
5.25%, 9/30/2022 | 1,620,000 | 1,684,800 | ||||||
Centene Corp.: | ||||||||
4.75%, 5/15/2022 | 475,000 | 480,344 | ||||||
4.75%, 1/15/2025 | 1,275,000 | 1,244,719 | ||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 1,710,000 | 1,759,162 | ||||||
Chevron Corp.: | ||||||||
1.56%, 5/16/2019 | 1,160,000 | 1,155,279 | ||||||
1.79%, 11/16/2018 | 496,000 | 497,810 | ||||||
Cincinnati Bell, Inc. | 925,000 | 978,188 | ||||||
Cisco Systems, Inc. | 3,220,000 | 3,063,766 | ||||||
Citigroup, Inc. | 3,460,000 | 3,303,712 | ||||||
Comcast Corp. | 2,908,000 | 3,054,622 | ||||||
CommScope, Inc. | 1,350,000 | 1,390,500 | ||||||
CSC Holdings LLC: | ||||||||
5.50%, 4/15/2027 (a) | 765,000 | 774,563 | ||||||
6.75%, 11/15/2021 | 372,000 | 400,384 | ||||||
Dollar Tree, Inc. | 1,759,000 | 1,860,142 | ||||||
Duke Energy Corp. | 3,195,000 | 2,982,692 | ||||||
Eli Lilly & Co. | 2,715,000 | 2,585,712 | ||||||
Energy Transfer Equity L.P. | 450,000 | 438,750 | ||||||
Energy Transfer Partners L.P. | 2,255,000 | 2,323,890 | ||||||
Enterprise Products Operating LLC | 2,245,000 | 2,277,373 | ||||||
Envision Healthcare Corp. | 1,235,000 | 1,306,013 | ||||||
Equinix, Inc. | 1,565,000 | 1,627,443 | ||||||
ESH Hospitality, Inc. | 1,785,000 | 1,776,075 | ||||||
Express Scripts Holding Co. | 1,580,000 | 1,517,558 | ||||||
FedEx Corp. | 2,690,000 | 2,794,721 | ||||||
First Data Corp. | 1,175,000 | 1,208,781 | ||||||
General Motors Financial Co., Inc.: | ||||||||
3.20%, 7/13/2020 | 970,000 | 971,213 | ||||||
4.20%, 3/1/2021 | 1,795,000 | 1,849,927 | ||||||
Georgia-Pacific LLC | 3,033,000 | 3,067,631 | ||||||
Goldman Sachs Group, Inc. | 3,300,000 | 3,208,722 | ||||||
Goodyear Tire & Rubber Co. | 1,535,000 | 1,581,050 |
See accompanying notes to financial statements.
41
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Gray Television, Inc. | $ | 1,675,000 | $ | 1,628,937 | ||||
HCA, Inc. | 1,710,000 | 1,778,571 | ||||||
Hewlett Packard Enterprise Co. | 2,920,000 | 2,980,603 | ||||||
Hilton Domestic Operating Co., Inc. | 1,255,000 | 1,217,350 | ||||||
Home Depot, Inc.: | ||||||||
3.00%, 4/1/2026 | 2,237,000 | 2,228,947 | ||||||
3.35%, 9/15/2025 | 836,000 | 856,775 | ||||||
International Paper Co. | 735,000 | 693,311 | ||||||
JPMorgan Chase & Co. | 3,100,000 | 3,089,491 | ||||||
Kinder Morgan, Inc. | 3,185,000 | 3,221,150 | ||||||
Kindred Healthcare, Inc. | 1,440,000 | 1,432,800 | ||||||
Kraft Heinz Foods Co. | 2,990,000 | 3,011,080 | ||||||
Laboratory Corp. of America Holdings | 2,871,000 | 2,853,803 | ||||||
Level 3 Communications, Inc. | 1,751,000 | 1,799,152 | ||||||
Levi Strauss & Co. | 1,120,000 | 1,120,000 | ||||||
LifePoint Health, Inc. | 1,490,000 | 1,455,730 | ||||||
Live Nation Entertainment, Inc. | 775,000 | 775,000 | ||||||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. | 220,000 | 229,900 | ||||||
Morgan Stanley: | ||||||||
2.50%, 4/21/2021 | 1,385,000 | 1,368,463 | ||||||
Series MTN, | 1,770,000 | 1,745,981 | ||||||
National Rural Utilities Cooperative Finance Corp. | 1,947,000 | 1,932,962 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 970,000 | 982,125 | ||||||
NCL Corp., Ltd. | 1,485,000 | 1,484,109 | ||||||
Nexstar Escrow Corp. | 800,000 | 792,000 | ||||||
Novelis Corp. | 1,350,000 | 1,363,500 | ||||||
NRG Energy, Inc. | 625,000 | 625,000 | ||||||
Oracle Corp.: | ||||||||
1.90%, 9/15/2021 | 1,705,000 | 1,665,120 | ||||||
2.25%, 10/8/2019 | 1,265,000 | 1,278,358 | ||||||
2.38%, 1/15/2019 | 220,000 | 223,148 | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. | 725,000 | 751,281 | ||||||
PepsiCo, Inc. | 1,875,000 | 1,702,838 | ||||||
Pilgrim’s Pride Corp. | 815,000 | 815,000 | ||||||
Pinnacle Entertainment, Inc. | 1,215,000 | 1,216,580 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 1,140,000 | 1,242,600 | ||||||
Prudential Financial, Inc. | 2,750,000 | 2,810,143 | ||||||
Quintiles IMS, Inc. | 1,805,000 | 1,829,187 | ||||||
Revlon Consumer Products Corp. | 795,000 | 800,963 | ||||||
Reynolds American, Inc. | 2,730,000 | 2,853,778 | ||||||
Sabre GLBL, Inc. | 1,520,000 | 1,560,850 | ||||||
Sally Holdings LLC/Sally Capital, Inc. | 1,634,000 | 1,697,317 | ||||||
Scientific Games International, Inc. | 1,060,000 | 1,136,850 | ||||||
Select Medical Corp. | 1,685,000 | 1,685,000 | ||||||
ServiceMaster Co. LLC | 1,575,000 | 1,602,562 | ||||||
Shire Acquisitions Investments Ireland DAC | 4,285,000 | 4,132,143 | ||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. | 720,000 | 718,200 | ||||||
Simon Property Group L.P. | 2,590,000 | 2,828,228 | ||||||
Sinclair Television Group, Inc. | 1,825,000 | 1,861,500 | ||||||
Sirius XM Radio, Inc. | 1,090,000 | 1,065,475 | ||||||
Southern Co.: | ||||||||
1.85%, 7/1/2019 | 565,000 | 561,932 | ||||||
2.45%, 9/1/2018 | 2,505,000 | 2,526,618 | ||||||
Spectrum Brands, Inc. | 862,000 | 911,565 | ||||||
Station Casinos LLC | 1,435,000 | 1,503,163 | ||||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. | 850,000 | 841,500 | ||||||
Thermo Fisher Scientific, Inc. | 2,945,000 | 2,981,871 | ||||||
TIAA Asset Management Finance Co. LLC | 2,275,000 | 2,297,827 | ||||||
TransDigm, Inc. | 1,750,000 | 1,820,000 | ||||||
TreeHouse Foods, Inc. | 375,000 | 392,813 | ||||||
Tribune Media Co. | 695,000 | 704,591 |
See accompanying notes to financial statements.
42
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Tyson Foods, Inc. | $ | 3,060,000 | $ | 3,125,025 | ||||
UnitedHealth Group, Inc. | 2,600,000 | 2,643,966 | ||||||
Universal Health Services, Inc. | 1,175,000 | 1,189,688 | ||||||
Verizon Communications, Inc. | 2,925,000 | 2,921,344 | ||||||
Viking Cruises, Ltd. | 1,470,000 | 1,525,125 | ||||||
Waste Management, Inc. | 2,347,000 | 2,348,455 | ||||||
Wells Fargo & Co.: | ||||||||
3.00%, 4/22/2026 | 1,410,000 | 1,344,717 | ||||||
3.00%, 10/23/2026 | 1,295,000 | 1,231,454 | ||||||
Series MTN, 3.55%, 9/29/2025 | 565,000 | 563,847 | ||||||
Williams Partners L.P./ACMP Finance Corp. | 1,125,000 | 1,135,519 | ||||||
|
| |||||||
199,584,158 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 404,003,763 | |||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.8% |
| |||||||
COLOMBIA — 0.0% (d) | ||||||||
Colombia Government International Bond | 200,000 | 206,140 | ||||||
|
| |||||||
COSTA RICA — 0.3% | ||||||||
Banco de Costa Rica | 5,000,000 | 5,043,500 | ||||||
Costa Rica Government International Bond | 2,905,000 | 3,419,998 | ||||||
Instituto Costarricense de Electricidad | 1,200,000 | 1,249,800 | ||||||
|
| |||||||
9,713,298 | ||||||||
|
| |||||||
DOMINICAN REPUBLIC — 0.2% | ||||||||
Dominican Republic International Bond: | ||||||||
7.50%, 5/6/2021 | 3,500,000 | 3,798,690 | ||||||
9.04%, 1/23/2018 | 1,147,626 | 1,186,760 | ||||||
|
| |||||||
4,985,450 | ||||||||
|
| |||||||
GUATEMALA — 0.0% (d) |
| |||||||
Guatemala Government Bond | 1,000,000 | 965,060 | ||||||
|
| |||||||
HUNGARY — 0.2% | ||||||||
Hungary Government International Bond: | ||||||||
4.00%, 3/25/2019 | 3,000,000 | 3,105,000 | ||||||
6.25%, 1/29/2020 | 2,500,000 | 2,734,375 | ||||||
|
| |||||||
5,839,375 | ||||||||
|
| |||||||
INDIA — 0.1% |
| |||||||
Export-Import Bank of India | 2,125,000 | 2,102,352 | ||||||
|
| |||||||
INDONESIA — 0.2% | ||||||||
Indonesia Government International Bond: | ||||||||
4.35%, 1/8/2027 (a) | 500,000 | 501,061 | ||||||
5.88%, 3/13/2020 | 5,000,000 | 5,456,965 | ||||||
|
| |||||||
5,958,026 | ||||||||
|
| |||||||
MEXICO — 0.2% |
| |||||||
Mexico Government International Bond: | ||||||||
4.13%, 1/21/2026 | 5,000,000 | 4,976,850 | ||||||
4.75%, 3/8/2044 | 1,000,000 | 916,310 | ||||||
|
| |||||||
5,893,160 | ||||||||
|
| |||||||
PANAMA — 0.3% |
| |||||||
Banco Latinoamericano de Comercio Exterior SA | 4,500,000 | 4,527,000 | ||||||
Panama Government International Bond: | ||||||||
3.88%, 3/17/2028 | 1,500,000 | 1,473,285 | ||||||
5.20%, 1/30/2020 | 2,700,000 | 2,903,067 | ||||||
|
| |||||||
8,903,352 | ||||||||
|
| |||||||
POLAND — 0.1% |
| |||||||
Poland Government International Bond: | ||||||||
3.25%, 4/6/2026 | 1,000,000 | 958,750 | ||||||
5.13%, 4/21/2021 | 3,000,000 | 3,270,000 | ||||||
|
| |||||||
4,228,750 | ||||||||
|
| |||||||
QATAR — 0.2% |
| |||||||
Qatar Government International Bond | 5,700,000 | 5,575,592 | ||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
| 54,370,555 | ||||||
|
| |||||||
SENIOR FLOATING RATE LOANS — 4.5% |
| |||||||
AEROSPACE & DEFENSE — 0.0% (d) |
| |||||||
BE Aerospace, Inc. | 1,454,357 | 1,464,174 | ||||||
|
| |||||||
AUTO COMPONENTS — 0.0% (d) | ||||||||
Federal-Mogul Holdings Corp. | 329,078 | 326,610 | ||||||
|
| |||||||
BUILDING PRODUCTS — 0.1% | ||||||||
Jeld-Wen, Inc. | 1,459,027 | 1,479,315 | ||||||
Quikrete Holdings, Inc. | 695,000 | 702,965 | ||||||
SRS Distribution, Inc. | 830,000 | 844,006 | ||||||
|
| |||||||
3,026,286 | ||||||||
|
|
See accompanying notes to financial statements.
43
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
CAPITAL MARKETS — 0.0% (d) |
| |||||||
Guggenheim Partners LLC | $ | 1,237,309 | $ | 1,250,301 | ||||
|
| |||||||
CHEMICALS — 0.2% | ||||||||
Avantor Performance Materials Holdings, Inc. | 1,473,308 | 1,502,774 | ||||||
Huntsman International LLC | 1,435,190 | 1,452,527 | ||||||
Klockner-Pentaplast of America, Inc. | 1,177,745 | 1,189,522 | ||||||
Kraton Polymers LLC | 780,000 | 790,308 | ||||||
PQ Corp. | 1,477,971 | 1,499,682 | ||||||
|
| |||||||
6,434,813 | ||||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 0.2% |
| |||||||
Asurion LLC | 657,416 | 664,092 | ||||||
Dealer Tire LLC | 1,449,524 | 1,473,079 | ||||||
KAR Auction Services, Inc. | 1,468,701 | 1,490,960 | ||||||
Prime Security Services Borrower LLC | 415,000 | 418,114 | ||||||
USAGM HoldCo LLC | 1,447,158 | 1,457,563 | ||||||
|
| |||||||
5,503,808 | ||||||||
|
| |||||||
COMPUTERS & PERIPHERALS — 0.1% |
| |||||||
Dell, Inc. | 1,382,000 | 1,407,456 | ||||||
Western Digital Corp. | 822,932 | 837,334 | ||||||
|
| |||||||
2,244,790 | ||||||||
|
| |||||||
CONSTRUCTION & ENGINEERING — 0.1% |
| |||||||
Safway Group Holding LLC | 827,925 | 841,205 | ||||||
Summit Materials Cos., I LLC | 1,418,937 | 1,434,020 | ||||||
|
| |||||||
2,275,225 | ||||||||
|
| |||||||
CONTAINERS & PACKAGING — 0.2% |
| |||||||
Ardagh Holdings USA, Inc. | 1,455,393 | 1,474,495 | ||||||
Berry Plastics Holding Corporation | 1,425,414 | 1,441,678 | ||||||
Flex Acquisition Co., Inc. | 245,000 | 247,577 | ||||||
Reynolds Group Holdings, Inc. | 1,449,230 | 1,470,476 | ||||||
|
| |||||||
4,634,226 | ||||||||
|
| |||||||
DISTRIBUTORS — 0.0% (d) |
| |||||||
American Tire Distributors Holdings, Inc. | 688,249 | 687,533 | ||||||
|
| |||||||
DIVERSIFIED CONSUMER SERVICES — 0.0% (d) |
| |||||||
Nord Anglia Education Finance LLC | 1,426,129 | 1,449,753 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% |
| |||||||
AlixPartners LLP | 1,340,467 | 1,353,992 | ||||||
UFC Holdings LLC | 1,450,000 | 1,471,025 | ||||||
|
| |||||||
2,825,017 | ||||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% |
| |||||||
Telesat Canada | 1,456,350 | 1,479,550 | ||||||
Virgin Media Investment Holdings, Ltd. | 1,500,000 | 1,508,910 | ||||||
|
| |||||||
2,988,460 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 0.0% (d) |
| |||||||
EFS Cogen Holdings I LLC | 1,432,730 | 1,447,057 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.0% (d) |
| |||||||
Albertsons LLC | 1,418,094 | 1,436,855 | ||||||
|
| |||||||
FOOD PRODUCTS — 0.3% | ||||||||
AdvancePierre Foods, Inc. | 1,479,707 | 1,505,417 | ||||||
B&G Foods, Inc. | 1,452,015 | 1,473,410 |
See accompanying notes to financial statements.
44
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Candy Intermediate Holdings, Inc. | $ | 1,463,882 | $ | 1,476,918 | ||||
CSM Bakery Solutions LLC | 1,498,625 | 1,361,501 | ||||||
Hostess Brands LLC | 1,401,616 | 1,419,311 | ||||||
Maple Holdings Acquisition Corp. | 632,548 | 643,272 | ||||||
|
| |||||||
7,879,829 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% |
| |||||||
DJO Finance LLC | 1,561,038 | 1,501,523 | ||||||
National Vision, Inc. | 1,479,236 | 1,475,538 | ||||||
|
| |||||||
2,977,061 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 0.4% |
| |||||||
Acadia Healthcare Co., Inc. | 1,422,592 | 1,436,818 | ||||||
American Renal Holdings, Inc. | 1,449,995 | 1,456,339 | ||||||
CHG Healthcare Services, Inc. | 1,414,230 | 1,432,792 | ||||||
Envision Healthcare Corp. | 1,436,561 | 1,455,423 | ||||||
HCA, Inc. | 498,750 | 505,413 | ||||||
MPH Acquisition Holdings LLC | 1,387,026 | 1,413,532 | ||||||
Select Medical Corp. | 410,000 | 417,175 | ||||||
Surgery Center Holdings, Inc. | 1,500,041 | 1,515,042 | ||||||
U.S. Renal Care, Inc. | 1,397,478 | 1,315,376 | ||||||
Vizient, Inc. | 1,460,535 | 1,485,415 | ||||||
|
| |||||||
12,433,325 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 0.3% |
| |||||||
Boyd Gaming Corp. | 1,411,463 | 1,430,616 | ||||||
Burger King 1011778 B.C. Unlimited Liability Co. | 1,414,119 | 1,428,705 | ||||||
Eldorado Resorts LLC | 1,363,962 | 1,375,467 | ||||||
Four Seasons Holdings, Inc. | 1,455,000 | 1,474,221 | ||||||
LTF Merger Sub, Inc. | 1,486,963 | 1,499,045 | ||||||
MGM Growth Prop. Operating Partnership L.P. | 1,424,191 | 1,442,756 | ||||||
Mohegan Tribal Gaming Authority | 543,638 | 549,245 | ||||||
Scientific Games International, Inc. | 681,552 | 691,298 | ||||||
|
| |||||||
9,891,353 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 0.1% |
| |||||||
KIK Custom Products, Inc. | 1,445,331 | 1,461,592 | ||||||
Samsonite International SA | 1,302,735 | 1,325,259 | ||||||
|
| |||||||
2,786,851 | ||||||||
|
| |||||||
INSURANCE — 0.1% |
| |||||||
Lonestar Intermediate Super Holdings LLC | 800,000 | 826,000 | ||||||
York Risk Services Holding Corp. | 1,017,557 | 967,951 | ||||||
|
| |||||||
1,793,951 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 0.1% |
| |||||||
Harbor Freight Tools USA, Inc. | 1,461,550 | 1,484,584 | ||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 0.1% |
| |||||||
GTT Communications, Inc. | 660,000 | 671,276 | ||||||
Match Group Inc. | 1,279,968 | 1,300,768 | ||||||
|
| |||||||
1,972,044 | ||||||||
|
| |||||||
IT SERVICES — 0.0% (d) |
| |||||||
First Data Corp. | 1,442,480 | 1,461,009 | ||||||
|
|
See accompanying notes to financial statements.
45
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (d) |
| |||||||
Jaguar Holding Company II | $ | 1,459,442 | $ | 1,477,685 | ||||
|
| |||||||
MACHINERY — 0.1% | ||||||||
Filtration Group Corp. | 1,425,804 | 1,438,722 | ||||||
Harsco Corp. | 410,000 | 419,481 | ||||||
Wilsonart LLC | 130,000 | 131,340 | ||||||
|
| |||||||
1,989,543 | ||||||||
|
| |||||||
MEDIA — 0.4% |
| |||||||
Charter Communications Operating LLC | 1,420,122 | 1,430,773 | ||||||
CSC Holdings LLC | 1,430,486 | 1,448,367 | ||||||
Emerald Expositions Holding, Inc. | 1,478,122 | 1,489,208 | ||||||
McGraw-Hill Global Education Holdings LLC | 777,616 | 779,805 | ||||||
Mission Broadcasting, Inc. | 127,227 | 128,519 | ||||||
Nexstar Broadcasting, Inc. | 1,427,773 | 1,442,272 | ||||||
Rentpath, Inc. | 423,919 | 417,560 | ||||||
Sinclair Television Group, Inc. | 720,000 | 720,900 | ||||||
Tribune Media Co. | 1,372,255 | 1,386,149 | ||||||
Univision Communications, Inc. | 1,438,418 | 1,448,177 | ||||||
WMG Acquisition Corp. | 1,470,000 | 1,485,773 | ||||||
Yankee Cable Acquisition LLC | 610,555 | 612,463 | ||||||
|
| |||||||
12,789,966 | ||||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 0.0% (d) |
| |||||||
Western Refining, Inc. | 522,807 | 526,401 | ||||||
|
| |||||||
PERSONAL PRODUCTS — 0.2% | ||||||||
Galleria Co. | 1,305,000 | 1,313,763 | ||||||
NBTY, Inc. | 1,489,095 | 1,503,755 | ||||||
Revlon Consumer Products Corp. | 1,421,438 | 1,438,232 | ||||||
Zodiac Pool Solutions | 1,570,000 | 1,584,727 | ||||||
|
| |||||||
5,840,477 | ||||||||
|
| |||||||
PHARMACEUTICALS — 0.0% (d) |
| |||||||
Endo Luxembourg Finance Company I S.A.R.L. | 1,447,080 | 1,456,384 | ||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.0% (d) |
| |||||||
Capital Automotive L.P. | 1,426,182 | 1,442,896 | ||||||
|
| |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.1% |
| |||||||
Americold Realty Operating Partnership L.P. | 1,257,680 | 1,274,193 | ||||||
Lightstone Generation LLC | 480,000 | 486,800 | ||||||
|
| |||||||
1,760,993 | ||||||||
|
| |||||||
ROAD & RAIL — 0.0% (d) |
| |||||||
PODS LLC | 1,419,815 | 1,436,675 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR |
| |||||||
Avago Technologies Cayman, Ltd. | 1,424,758 | 1,447,291 | ||||||
Micron Technology, Inc. | 408,972 | 416,027 | ||||||
Microsemi Corp. | 1,434,839 | 1,451,160 | ||||||
ON Semiconductor Corp. | 1,451,363 | 1,472,480 | ||||||
|
| |||||||
4,786,958 | ||||||||
|
|
See accompanying notes to financial statements.
46
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
SOFTWARE — 0.3% |
| |||||||
Cengage Learning Acquisitions, Inc. | $ | 999,379 | $ | 975,179 | ||||
Cision US Inc. | 716,400 | 711,475 | ||||||
Kronos Incorporated | 1,455,000 | 1,475,464 | ||||||
Mitchell International, Inc. | 280,000 | 278,390 | ||||||
RP Crown Parent LLC | 830,000 | 840,479 | ||||||
SolarWinds Holdings, Inc. | 1,455,064 | 1,475,464 | ||||||
Solera Holdings, Inc. | 827,915 | 840,333 | ||||||
Sophia L.P. | 1,425,979 | 1,441,580 | ||||||
VF Holding Corp. | 1,420,815 | 1,428,296 | ||||||
|
| |||||||
9,466,660 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 0.2% |
| |||||||
Jo-Ann Stores, Inc. | 955,000 | 963,953 | ||||||
Leslies Poolmart, Inc. | 1,426,425 | 1,445,154 | ||||||
Outerwall, Inc. | 807,975 | 821,105 | ||||||
Party City Holdings, Inc. | 1,454,409 | 1,470,662 | ||||||
|
| |||||||
4,700,874 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.2% |
| |||||||
Genesys Telecommunications Laboratories, Inc. | 1,475,000 | 1,504,965 | ||||||
Precyse Acquisition Corp. | 1,460,000 | 1,481,900 | ||||||
Quest Software US Holdings, Inc. | 1,440,000 | 1,461,607 | ||||||
RCN Grande | 1,470,000 | 1,482,348 | ||||||
|
| |||||||
5,930,820 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.1% |
| |||||||
Solenis International LP | 491,971 | 494,175 | ||||||
Univar, Inc. | 1,435,379 | 1,451,225 | ||||||
|
| |||||||
1,945,400 | ||||||||
|
| |||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.1% |
| |||||||
LTS Buyer LLC | 89,767 | 90,497 | ||||||
T-Mobile USA, Inc. | 1,427,392 | 1,447,240 | ||||||
|
| |||||||
1,537,737 | ||||||||
|
| |||||||
TOTAL SENIOR FLOATING RATE LOANS | 137,764,384 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 13.4% |
| |||||||
A10 Securitization LLC: | ||||||||
Series 2016-1, Class 2A3, CMO, 3.00%, 12/20/2030 (a) (c) | 3,835,361 | 3,839,856 | ||||||
Series 2016-1, Class A1, 2.42%, 3/15/2035 (a) | 2,487,000 | 2,474,209 | ||||||
Ajax Mortgage Loan Trust | 6,906,450 | 6,899,275 | ||||||
Alternative Loan Trust: | ||||||||
Series 2005-79CB, Class A4, 5.50%, 1/25/2036 | 11,351,175 | 9,445,255 | ||||||
Series 2006-24CB, Class A9, 6.00%, 6/25/2036 | 5,557,666 | 4,843,350 | ||||||
Series 2007-11T1, Class A21, 6.00%, 5/25/2037 | 2,300,739 | 1,809,006 | ||||||
Series 2007-14T2, Class A1, CMO, 6.00%, 7/25/2037 | 40,144,846 | 27,140,871 | ||||||
AVANT Loans Funding Trust | 802,600 | 804,438 | ||||||
BAMLL Commercial Mortgage Securities Trust | 30,000,000 | 872,331 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2005-7, Class 2CB1, 6.00%, 8/25/2035 | 12,237,130 | 11,939,813 | ||||||
Series 2005-9, Class 1CB2, CMO, 5.50%, 10/25/2035 | 7,133,987 | 6,953,199 | ||||||
Banc of America Commercial Mortgage Trust | 945,000 | 920,591 | ||||||
Banc of America Funding Trust: | ||||||||
Series 2005-5, Class 2A1, 5.50%, 9/25/2035 | 1,836,867 | 1,910,944 |
See accompanying notes to financial statements.
47
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Series 2006-8T2, Class A4, 5.83%, 10/25/2036 (b) | $ | 5,990,159 | $ | 5,218,168 | ||||
Series 2007-5, Class CA1, 6.00%, 7/25/2037 | 8,189,308 | 6,388,783 | ||||||
Series 2010-R5, Class 1A3, 6.00%, 10/26/2037 (a) | 5,428,239 | 4,775,993 | ||||||
BBCMS Trust | 1,750,000 | 1,718,805 | ||||||
BCAP LLC Trust | 6,824,453 | 5,955,853 | ||||||
Bear Stearns ALTA Trust | 4,824,435 | 3,371,964 | ||||||
BlueMountain CLO, Ltd.: | ||||||||
Series 2012-1A, Class A, 3 Month USD LIBOR + 1.32%, 2.20%, 7/20/2023 (a) (c) | 2,135,899 | 2,138,008 | ||||||
Series 2013-4A, Class A, 3 Month USD LIBOR + 1.50%, 2.38%, 4/15/2025 (a) (c) | 2,500,000 | 2,518,510 | ||||||
Series 2015-2A, Class D, 3 Month USD LIBOR + 3.55%, 4.43%, 7/18/2027 (a) (c) | 750,000 | 732,643 | ||||||
Series 2015-3A, Class A1, 3 Month USD LIBOR + 1.48%, 2.36%, 10/20/2027 (a) (c) | 2,500,000 | 2,501,727 | ||||||
Series 2015-3A, Class B, 3 Month USD LIBOR + 3.10%, 3.98%, 10/20/2027 (a) (c) | 2,500,000 | 2,492,730 | ||||||
Series 2015-3A, Class C, 3 Month USD LIBOR + 3.55%, 4.43%, 10/20/2027 (a) (c) | 2,500,000 | 2,445,112 | ||||||
BXHTL Mortgage Trust | 1,500,000 | 1,504,236 | ||||||
CD Mortgage Trust: | ||||||||
Series 2007-CD4, Class AMFX, 5.37%, 12/11/2049 (c) | 2,542,000 | 2,544,556 | ||||||
Series 2007-CD5, Class AJA, 6.12%, 11/15/2044 (c) | 800,000 | 821,427 | ||||||
CFCRE Commercial Mortgage Trust: | ||||||||
Series 2016-C3, Class XA, IO, 1.09%, 1/10/2048 (c) | 24,988,391 | 1,825,092 | ||||||
Series 2016-C4, Class XA, IO, 1.77%, 5/10/2058 (c) | 19,851,808 | 2,301,899 | ||||||
CGGS Commercial Mortgage Trust | 2,025,298 | 2,031,073 | ||||||
CHL Mortgage PassThrough Trust: | ||||||||
Series 2005-HYB8, Class 4A1, 3.11%, 12/20/2035 (c) | 13,879,867 | 11,492,284 | ||||||
Series 2005-J2, Class 3A14, 5.50%, 8/25/2035 | 1,767,302 | 1,546,348 | ||||||
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 | 6,119,916 | 5,358,273 | ||||||
Series 2007-HY1, Class 1A1, 3.03%, 4/25/2037 (c) | 2,346,411 | 2,199,576 | ||||||
Citigroup Commercial Mortgage Trust: | ||||||||
Series 2007-C6, Class AMFX, 5.71%, 12/10/2049 (a) (c) | 750,000 | 761,289 | ||||||
Series 2015-GC27, Class D, 4.43%, 2/10/2048 (a) (c) | 943,700 | 738,322 | ||||||
Series 2015-GC31, Class C, 4.06%, 6/10/2048 (c) | 1,500,000 | 1,433,103 | ||||||
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (c) | 1,500,000 | 1,494,900 | ||||||
Series 2015-GC35, Class C, 4.50%, 11/10/2048 (c) | 1,435,000 | 1,391,376 | ||||||
Series 2016-GC36, Class XA, IO, 1.35%, 2/10/2049 (c) | 22,112,936 | 1,926,335 | ||||||
Citigroup Mortgage Loan Trust: | ||||||||
Series 2007-AR5, Class 1A2A, 3.12%, 4/25/2037 (c) | 4,281,851 | 3,681,630 | ||||||
Series 2009-7, Class 3A2, 6.00%, 7/25/2036 (a) | 5,880,923 | 3,936,375 | ||||||
CitiMortgage Alternative Loan Trust: | ||||||||
Series 2006-A7, Class 1A8, CMO, 5.75%, 12/25/2036 | 6,395,006 | 5,568,153 | ||||||
Series 2007-A1, Class 1A7, 6.00%, 1/25/2037 | 11,101,449 | 9,605,047 | ||||||
Colony Mortgage Capital, Ltd. | 729,878 | 732,197 | ||||||
COMM Mortgage Trust: | ||||||||
Series 2015-CR22, Class D, 4.13%, 3/10/2048 (a) (c) | 1,500,000 | 1,182,690 | ||||||
Series 2015-CR22, Class XA, 1.02%, 3/10/2048 (c) | 10,863,429 | 594,217 | ||||||
Series 2015-CR23, Class D, 4.26%, 5/10/2048 (c) | 900,000 | 662,304 | ||||||
Series 2015-CR26, Class B, 4.50%, 10/10/2048 (c) | 1,600,000 | 1,680,176 | ||||||
Series 2015-CR26, Class XA, 1.06%, 10/10/2048 (c) | 22,732,554 | 1,459,132 | ||||||
Series 2015-DC1, Class D, 4.35%, 2/10/2048 (a) (c) | 750,000 | 567,351 | ||||||
Series 2015-DC1, Class XA, 1.17%, 2/10/2048 (c) | 9,149,892 | 573,223 | ||||||
Series 2015-LC19, Class D, 2.87%, 2/10/2048 (a) | 1,200,000 | 912,826 | ||||||
Series 2015-LC21, Class C, 4.31%, 7/10/2048 (c) | 968,000 | 862,870 | ||||||
Series 2016-CR28, Class C, 4.65%, 2/10/2049 (c) | 2,235,000 | 2,230,955 | ||||||
Series 2016-DC2, Class C, 4.64%, 2/10/2049 (c) | 1,329,000 | 1,274,830 | ||||||
Series 2016-DC2, Class XA, 1.08%, 2/10/2049 (c) | 19,913,074 | 1,374,329 | ||||||
Commercial Mortgage Trust | 3,000,000 | 2,997,750 |
See accompanying notes to financial statements.
48
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Countrywide Commercial Mortgage Trust | $ | 822,390 | $ | 831,326 | ||||
Credit Suisse Commercial Mortgage Trust: | ||||||||
Series 2007-C4, Class A1AM, 5.94%, 9/15/2039 (c) | 3,118,000 | 3,172,484 | ||||||
Series 2007-C5, Class A4, 5.70%, 9/15/2040 (c) | 1,475,044 | 1,496,124 | ||||||
CSAIL Commercial Mortgage Trust: | ||||||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (c) | 900,000 | 918,135 | ||||||
Series 2015-C4, Class XA, IO, 0.95%, 11/15/2048 (c) | 36,381,426 | 2,147,941 | ||||||
CSMC MortgageBacked Trust: | ||||||||
Series 2006-7, Class 7A7, 6.00%, 8/25/2036 | 3,662,051 | 3,521,995 | ||||||
Series 2006-8, Class 4A1, 6.50%, 10/25/2021 | 7,119,107 | 5,788,647 | ||||||
CSMC Trust: | ||||||||
Series 2015-RPL1, Class A1, 3.63%, 2/25/2057 (a) (b) | 4,179,943 | 4,115,287 | ||||||
Series 2015-SAND, Class D, 1 Month USD LIBOR + 2.85%, 3.55%, 8/15/2030 (a) (c) | 1,550,000 | 1,542,335 | ||||||
Galaxy CLO, Ltd. | 2,500,000 | 2,498,740 | ||||||
GE Commercial Mortgage Corp. Trust | 2,109,000 | 2,110,189 | ||||||
GS Mortgage Securities Corp. II | 15,327,777 | 1,109,867 | ||||||
GS Mortgage Securities Trust: | ||||||||
Series 2014-GC20, Class XA, 1.16%, 4/10/2047 (c) | 54,156,756 | 3,047,401 | ||||||
Series 2014-GC24, Class XA, 0.86%, 9/10/2047 (c) | 32,313,024 | 1,478,492 | ||||||
Series 2015-GC32, Class XA, 0.89%, 7/10/2048 (c) | 26,565,122 | 1,347,378 | ||||||
Series 2015-GC34, Class XA, 1.37%, 10/10/2048 (c) | 17,376,418 | 1,497,700 | ||||||
Series 2015-GS1, Class XA, 0.84%, 11/10/2048 (c) | 27,075,191 | 1,521,848 | ||||||
Series 2016-ICE2, Class A, 1 Month USD LIBOR + 1.93%, 2.63%, 2/15/2033 (a) (c) | 2,225,000 | 2,244,525 | ||||||
GSAA Home Equity Trust | 3,254,408 | 2,333,926 | ||||||
GSR Mortgage Loan Trust | 6,162,917 | 5,891,752 | ||||||
IndyMac INDX Mortgage Loan Trust | 7,537,309 | 6,357,161 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2006-LDP9, Class AM, 5.37%, 5/15/2047 | 1,100,325 | 1,099,963 | ||||||
Series 2007-C1, Class AM, 6.06%, 2/15/2051 (c) | 2,108,000 | 2,130,871 | ||||||
Series 2007-CB20, Class AJ, 6.15%, 2/12/2051 (c) | 1,500,000 | 1,510,560 | ||||||
Series 2007-LD11, Class AM, 5.75%, 6/15/2049 (c) | 2,180,000 | 2,198,337 | ||||||
Series 2007-LD12, Class AM, 6.04%, 2/15/2051 (c) | 800,000 | 818,437 | ||||||
Series 2008-C2, Class A4, 6.07%, 2/12/2051 | 1,819,359 | 1,852,798 | ||||||
Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (c) | 1,775,000 | 1,829,059 | ||||||
Series 2015-JP1, Class XA, 1.15%, 1/15/2049 (c) | 23,178,598 | 1,380,640 | ||||||
JP Morgan Mortgage Trust: | ||||||||
Series 2006-A3, Class 1A1, 3.10%, 5/25/2036 (c) | 11,337,758 | 10,467,266 | ||||||
Series 2007-S3, Class 1A35, 6.00%, 8/25/2037 | 15,251,361 | 13,395,975 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-C25, Class XA, 1.00%, 11/15/2047 (c) | 6,425,199 | 341,882 | ||||||
Series 2014-C26, Class C, 4.43%, 1/15/2048 (c) | 1,500,000 | 1,454,580 | ||||||
Series 2015-C27, Class XA, 1.37%, 2/15/2048 (c) | 7,861,914 | 544,719 | ||||||
Series 2015-C28, Class XA, 1.20%, 10/15/2048 (c) | 11,889,432 | 713,246 | ||||||
Series 2015-C30, Class XA, 0.70%, 7/15/2048 (c) | 30,796,789 | 1,101,583 | ||||||
Series 2015-C32, Class C, 4.67%, 11/15/2048 (c) | 1,300,000 | 1,185,949 | ||||||
Series 2015-C33, Class C, 4.62%, 12/15/2048 (c) | 1,739,000 | 1,730,670 | ||||||
Series 2016-C1, Class C, 4.91%, 3/15/2049 (c) | 2,180,000 | 2,184,229 | ||||||
JPMDB Commercial Mortgage Securities Trust | 22,065,751 | 2,250,195 | ||||||
LB Commercial Mortgage Trust: | ||||||||
Series 2007-C3, Class AMB, 5.19%, 7/15/2044 | 1,084,000 | 1,097,007 | ||||||
Series 2007-C3, Class AMFL, 5.92%, 7/15/2044 (a) (c) | 990,000 | 1,004,545 | ||||||
LBUBS Commercial Mortgage Trust: | ||||||||
Series 2007-C1, Class AJ, 5.48%, 2/15/2040 | 3,000,000 | 3,002,622 | ||||||
Series 2007-C7, Class AJ, 6.25%, 9/15/2045 (c) | 1,615,000 | 1,628,402 | ||||||
LCM L.P. | 2,500,000 | 2,509,555 |
See accompanying notes to financial statements.
49
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Limerock CLO | $ | 500,000 | $ | 497,384 | ||||
Madison Park Funding, Ltd. | 1,250,000 | 1,250,179 | ||||||
Merrill Lynch Mortgage Investors Trust | 3,355,663 | 2,738,949 | ||||||
Merrill Lynch Mortgage Trust: | ||||||||
Series 2006-C1, Class AJ, 5.59%, 5/12/2039 (c) | 312,316 | 312,081 | ||||||
Series 2007-C1, Class AM, 5.83%, 6/12/2050 (c) | 2,180,000 | 2,114,741 | ||||||
ML-CFC Commercial Mortgage Trust | 1,873,341 | 1,885,302 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2013-C12, Class XA, 0.93%, 10/15/2046 (c) | 19,046,985 | 650,152 | ||||||
Series 2013-C7, Class XA, 1.53%, 2/15/2046 (c) | 17,511,255 | 1,063,063 | ||||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 355,000 | 356,289 | ||||||
Series 2015-C20, Class C, 4.46%, 2/15/2048 (c) | 500,000 | 459,105 | ||||||
Series 2015-C25, Class C, 4.53%, 10/15/2048 (c) | 1,700,000 | 1,684,870 | ||||||
Series 2015-C27, Class C, 4.54%, 12/15/2047 (c) | 1,219,000 | 1,158,970 | ||||||
Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (c) | 1,750,000 | 1,080,456 | ||||||
Series 2016-C28, Class XA, IO, 1.29%, 1/15/2049 (c) | 24,224,434 | 1,993,220 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2007-IQ14, Class A4, 5.69%, 4/15/2049 (c) | 1,198,632 | 1,201,317 | ||||||
Series 2015-UBS8, Class XA, 0.98%, 12/15/2048 (c) | 26,189,997 | 1,653,139 | ||||||
Series 2015-XLF1, Class D, 1 Month USD LIBOR + 3.00%, 3.70%, 8/14/2031 (a) (c) | 750,000 | 747,846 | ||||||
Morgan Stanley Mortgage Loan Trust | 8,810,298 | 7,364,838 | ||||||
OZLM, Ltd. | 2,500,000 | 2,481,012 | ||||||
RALI Trust | 1,865,833 | 1,894,337 | ||||||
Residential Asset Securitization Trust | 3,370,121 | 3,090,131 | ||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||
Series 2005-21, Class 1A, 3.30%, 11/25/2035 (c) | 2,925,336 | 2,489,432 | ||||||
Series 2006-8, Class 4A3, 3.24%, 9/25/2036 (c) | 2,098,887 | 1,832,004 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | 3,411,337 | 3,000,465 | ||||||
Towd Point Mortgage Trust | 2,823,067 | 2,840,012 | ||||||
Venture CLO, Ltd. | 2,500,000 | 2,513,442 | ||||||
Wachovia Bank Commercial Mortgage Trust: | ||||||||
Series 2006-C28, Class AJ, 5.63%, 10/15/2048 (c) | 1,330,425 | 1,328,738 | ||||||
Series 2007-C33, Class AM, 5.97%, 2/15/2051 (c) | 3,150,000 | 3,172,792 | ||||||
Series 2007-C34, Class A3, 5.68%, 5/15/2046 | 695,033 | 700,063 | ||||||
Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | ||||||||
Series 2005-8, Class 2CB1, 5.50%, 10/25/2035 | 3,141,060 | 3,064,964 | ||||||
Series 2006-5, Class 3A2, 6.00%, 7/25/2036 (b) | 3,554,238 | 1,583,850 | ||||||
Waterfall Commercial Mortgage Trust | 13,264,877 | 12,960,445 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2014-LC16, Class D, 3.94%, 8/15/2050 (a) | 920,000 | 724,786 | ||||||
Series 2015-C26, Class D, 3.59%, 2/15/2048 (a) | 900,000 | 635,332 | ||||||
Series 2015-C26, Class XA, IO, 1.31%, 2/15/2048 (c) | 9,056,279 | 691,299 | ||||||
Series 2015-C27, Class C, 3.89%, 2/15/2048 | 750,000 | 654,549 | ||||||
Series 2015-C28, Class C, 4.14%, 5/15/2048 (c) | 1,500,000 | 1,332,510 | ||||||
Series 2015-LC20, Class XA, 1.40%, 4/15/2050 (c) | 7,902,161 | 596,688 | ||||||
Series 2015-NXS1, Class XA, 1.19%, 5/15/2048 (c) | 9,869,109 | 649,233 | ||||||
Series 2015-NXS2, Class XA, 0.79%, 7/15/2058 (c) | 29,710,977 | 1,300,839 | ||||||
Series 2015-NXS3, Class C, 4.49%, 9/15/2057 (c) | 1,600,000 | 1,454,076 | ||||||
Series 2015-P2, Class A4, 3.81%, 12/15/2048 | 1,568,000 | 1,633,009 | ||||||
Series 2015-P2, Class XA, 1.03%, 12/15/2048 (c) | 22,095,768 | 1,401,108 |
See accompanying notes to financial statements.
50
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Series 2016-C32, Class C, 4.72%, 1/15/2059 (c) | $ | 1,581,000 | $ | 1,454,813 | ||||
Series 2016-C33, Class XA, 1.81%, 3/15/2059 (c) | 15,556,798 | 1,743,741 | ||||||
Wells Fargo Mortgage Backed Securities Trust | 10,696,111 | 10,214,938 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2014-C19, Class XA, IO, 1.24%, 3/15/2047 (c) | 10,473,398 | 603,213 | ||||||
Series 2014-C21, Class XA, 1.16%, 8/15/2047 (c) | 19,500,227 | 1,162,752 | ||||||
|
| |||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 409,200,395 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 2.2% |
| |||||||
Alternative Loan Trust | 5,061,940 | 4,312,882 | ||||||
Bear Stearns Commercial Mortgage Securities Trust: | ||||||||
Series 2007-PW17, Class A4, 5.69%, 6/11/2050 (c) | 1,730,463 | 1,760,363 | ||||||
Series 2007-PW18, Class A4, 5.70%, 6/11/2050 | 2,507,823 | 2,561,608 | ||||||
Citigroup Commercial Mortgage Trust: | ||||||||
Series 2007-C6, Class AM, 5.71%, 12/10/2049 (c) | 800,000 | 811,475 | ||||||
Series 2008-C7, Class AM, 6.14%, 12/10/2049 (c) | 2,836,000 | 2,916,728 | ||||||
Series 2010-RR2, Class JA4B, 6.07%, 2/19/2051 (a) (c) | 912,000 | 931,362 | ||||||
Series 2016-P4, Class A4, 2.90%, 7/10/2049 | 2,023,000 | 1,954,238 | ||||||
Series 2016-P6, Class A5, 3.72%, 12/10/2049 (c) | 2,558,000 | 2,643,404 | ||||||
COBALT CMBS Commercial Mortgage Trust | 1,386,200 | 1,410,459 | ||||||
COMM Mortgage Trust | 33,738,106 | 2,085,039 | ||||||
Commercial Mortgage Trust | 225,000 | 229,947 | ||||||
Credit Suisse Commercial Mortgage Trust | 1,700,000 | 1,741,078 | ||||||
Greenwich Capital Commercial Funding Corp. | 1,815,102 | 1,813,990 | ||||||
GS Mortgage Securities Trust | 32,923,432 | 2,928,809 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (c) | 2,393,000 | 2,372,326 | ||||||
Series 2016-ASH, Class B, 1 Month USD LIBOR + 2.15%, 2.85%, 10/15/2034 (a) (c) | 2,044,000 | 2,054,204 | ||||||
Series 2016-ASH, Class C, 1 Month USD LIBOR + 2.75%, 3.54%, 10/15/2034 (a) (c) | 1,154,000 | 1,159,520 | ||||||
Series 2016-JP2, Class XA, IO, 1.87%, 8/15/2049 (c) | 20,083,760 | 2,674,237 | ||||||
Series 2016-WIKI, Class E, 4.01%, 10/5/2031 (a) (c) | 3,160,000 | 3,052,449 | ||||||
Series 2016-WPT, Class E, 1 Month USD LIBOR + 5.00%, 5.70%, 10/15/2033 (a) (c) | 1,288,000 | 1,295,801 | ||||||
LBUBS Commercial Mortgage Trust | 2,876,000 | 2,899,831 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2016-C30, Class XA, IO, 1.47%, 9/15/2049 (c) | 28,785,299 | 2,914,854 | ||||||
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 2,665,000 | 2,730,104 | ||||||
Morgan Stanley Capital I Trust | 58,280,000 | 3,170,438 | ||||||
RAIT Trust | 611,000 | 611,647 | ||||||
Wachovia Bank Commercial Mortgage Trust: | ||||||||
Series 2006-C26, Class AM, 6.07%, 6/15/2045 (c) | 1,932,000 | 1,932,160 | ||||||
Series 2007-C30, Class AJ, 5.41%, 12/15/2043 (c) | 3,198,000 | 3,227,384 | ||||||
Series 2007-C30, Class AM, 5.38%, 12/15/2043 | 1,750,000 | 1,750,396 | ||||||
Series 2007-C32, Class A3, 5.71%, 6/15/2049 (c) | 2,643,912 | 2,659,997 | ||||||
Waldorf Astoria Boca Raton Trust: | ||||||||
Series 2016-BOCA, Class B, 1 Month USD LIBOR + 2.05%, 2.75%, 6/15/2029 (a) (c) | 1,536,000 | 1,539,707 | ||||||
Series 2016-BOCA, Class C, 1 Month USD LIBOR + 2.50%, 3.20%, 6/15/2029 (a) (c) | 1,300,000 | 1,302,938 | ||||||
Wells Fargo Commercial Mortgage Trust | 16,702,880 | 1,950,120 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES | 67,399,495 | |||||||
|
|
See accompanying notes to financial statements.
51
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State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 43.2% |
| |||||||
Federal Home Loan Mortgage Corp.: | ||||||||
3.00%, 11/1/2042 | $ | 20,657,275 | $ | 20,632,077 | ||||
Series 4483, Class CA, 3.00%, 6/15/2044 | 28,720,257 | 28,823,307 | ||||||
3.00%, 1/1/2045 | 3,350,105 | 3,331,920 | ||||||
3.00%, 2/1/2045 | 2,346,217 | 2,333,481 | ||||||
3.00%, 3/1/2045 | 2,453,462 | 2,440,144 | ||||||
3.00%, 4/1/2045 | 49,864,464 | 49,589,302 | ||||||
3.00%, 5/1/2045 | 8,591,727 | 8,545,089 | ||||||
3.00%, 7/1/2045 | 4,395,790 | 4,371,929 | ||||||
3.00%, 8/1/2045 | 23,009,082 | 22,884,184 | ||||||
3.00%, 10/1/2045 | 15,214,958 | 15,132,368 | ||||||
3.00%, 12/1/2045 | 65,097,756 | 64,744,390 | ||||||
3.00%, 1/1/2046 | 19,802,850 | 19,695,356 | ||||||
3.00%, 9/1/2046 | 29,491,015 | 29,316,098 | ||||||
3.50%, 2/1/2045 | 4,660,114 | 4,775,022 | ||||||
3.50%, 4/1/2045 | 39,020,475 | 39,982,635 | ||||||
3.50%, 6/1/2045 | 16,145,933 | 16,544,057 | ||||||
3.50%, 10/1/2045 | 18,577,524 | 19,035,605 | ||||||
3.50%, 2/1/2046 | 20,234,154 | 20,737,815 | ||||||
3.50%, 5/1/2046 | 65,345,496 | 66,972,053 | ||||||
4.50%, 6/1/2044 | 3,284,257 | 3,530,449 | ||||||
IO, 6.00% - 1 Month USD LIBOR, 5.30%, 5/15/2041 (c) | 18,332,602 | 3,192,870 | ||||||
Series 3822, Class ZG, 4.00%, 2/15/2041 | 3,459,826 | 3,609,868 | ||||||
Series 3889, Class VZ, 4.00%, 7/15/2041 | 17,302,194 | 18,252,185 | ||||||
Series 3935, Class SJ, IO, 6.65% - 1 Month USD LIBOR, 5.95%, 5/15/2041 (c) | 4,343,945 | 541,875 | ||||||
Series 4165, Class ZT, 3.00%, 2/15/2043 | 15,023,895 | 13,710,361 | ||||||
Series 4215, Class KC, 2.25%, 3/15/2038 | 21,615,032 | 21,798,159 | ||||||
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 | 37,490,636 | 39,333,871 | ||||||
Series 4444, Class CZ, 3.00%, 2/15/2045 | 14,790,553 | 13,066,240 | ||||||
Series 4447, Class A, 3.00%, 6/15/2041 | 2,574,052 | 2,620,849 | ||||||
Series 4629, Class KA, CMO, REMIC, 3.00%, 3/15/2045 | 53,712,194 | 53,907,750 | ||||||
Series 4471, Class BA, 3.00%, 12/15/2041 | 8,290,077 | 8,341,715 | ||||||
Series 4471, Class GA, 3.00%, 2/15/2044 | 12,361,224 | 12,419,798 | ||||||
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 | 11,024,886 | 11,643,416 | ||||||
Series 4481, Class B, 3.00%, 12/15/2042 | 8,390,069 | 8,434,714 | ||||||
Series 4491, Class B, 3.00%, 8/15/2040 | 16,535,387 | 16,706,148 | ||||||
Series 4492, Class GZ, 3.50%, 7/15/2045 | 7,984,265 | 7,731,858 | ||||||
Series 4499, Class AB, 3.00%, 6/15/2042 | 16,844,495 | 16,955,942 | ||||||
Series 4504, Class CA, 3.00%, 4/15/2044 | 18,138,502 | 18,371,740 | ||||||
Series 4511, Class QA, 3.00%, 1/15/2041 | 15,556,047 | 15,715,825 | ||||||
Series 4511, Class QC, 3.00%, 12/15/2040 | 11,876,268 | 12,047,825 | ||||||
Series 4543, Class HG, 2.70%, 4/15/2044 | 21,907,165 | 21,738,274 | ||||||
Series 4582, Class HA, 3.00%, 9/15/2045 | 17,806,951 | 18,000,132 | ||||||
Series K053, Class A2, 3.00%, 12/25/2025 | 2,232,000 | 2,248,539 | ||||||
Federal National Mortgage Association: |
| |||||||
2.50%, 9/1/2046 | 6,016,737 | 5,692,957 | ||||||
3.00%, 6/1/2036 | 18,990,151 | 19,249,840 | ||||||
3.00%, 4/1/2040 | 17,788,275 | 17,705,368 | ||||||
3.00%, 3/1/2043 | 7,043,031 | 6,999,616 | ||||||
3.00%, 1/1/2045 | 2,500,307 | 2,468,548 | ||||||
3.00%, 2/1/2045 | 3,011,090 | 2,972,522 | ||||||
3.00%, 3/1/2045 | 3,349,431 | 3,333,820 | ||||||
3.00%, 4/1/2045 | 13,857,283 | 13,679,432 | ||||||
3.00%, 7/1/2045 | 57,708,595 | 57,259,094 | ||||||
3.00%, 7/1/2046 | 65,787,816 | 64,940,065 | ||||||
3.00%, 8/1/2046 | 28,834,138 | 28,464,047 | ||||||
3.00%, 9/1/2046 | 42,237,699 | 42,020,315 | ||||||
3.50%, 9/1/2034 | 3,705,273 | 3,860,160 | ||||||
3.50%, 12/1/2034 | 3,352,075 | 3,492,198 | ||||||
3.50%, 2/1/2035 | 2,157,369 | 2,248,383 | ||||||
3.50%, 1/1/2045 | 15,730,940 | 16,157,219 | ||||||
3.50%, 2/1/2045 | 6,739,314 | 6,912,706 | ||||||
3.50%, 6/1/2045 | 16,442,178 | 16,865,210 | ||||||
4.50%, 3/1/2044 | 4,262,754 | 4,590,664 | ||||||
4.50%, 6/1/2044 | 2,218,054 | 2,388,676 | ||||||
4.50%, 7/1/2044 | 2,422,751 | 2,609,120 | ||||||
4.50%, 2/1/2045 | 2,848,524 | 3,067,646 | ||||||
Series 2010-109, Class N, 3.00%, 10/25/2040 | 4,602,566 | 4,694,154 | ||||||
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR, 5.24%, 6/25/2041 (c) | 13,409,707 | 2,217,885 | ||||||
Series 2012-127, Class PA, 2.75%, 11/25/2042 | 5,394,952 | 5,352,637 | ||||||
Series 2012-151, Class SB, 6.00% - 1 Month USD LIBOR, 5.08%, 1/25/2043 (c) | 1,266,592 | 1,141,639 | ||||||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 | 15,692,471 | 14,966,343 | ||||||
Series 2013-30, Class PS, 6.00% - 1 Month USD LIBOR, 5.08%, 4/25/2043 (c) | 1,718,187 | 1,585,346 | ||||||
Series 2014-21, Class GZ, 3.00%, 4/25/2044 | 5,997,593 | 5,372,511 | ||||||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 | 8,622,266 | 8,196,247 | ||||||
Series 2015-42, Class CA, 3.00%, 3/25/2044 | 9,702,861 | 9,813,848 | ||||||
Series 2015-9, Class HA, 3.00%, 1/25/2045 | 17,603,180 | 17,987,297 | ||||||
Series 2015-95, Class AP, CMO, REMIC, 3.00%, 8/25/2042 | 21,909,855 | 22,206,308 |
See accompanying notes to financial statements.
52
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Principal | Value | ||||||
Series 2016-21, Class BZ, CMO, REMIC, 3.00%, 4/25/2046 | $ | 4,429,669 | $ | 3,949,051 | ||||
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 | 17,917,643 | 17,685,320 | ||||||
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 | 24,759,939 | 24,920,133 | ||||||
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 | 34,759,575 | 34,716,915 | ||||||
Series 2016-9, Class A, CMO, REMIC, 3.00%, 9/25/2043 | 12,303,667 | 12,349,876 | ||||||
Series 2016-M3, Class A2, 2.70%, 2/25/2026 | 2,150,000 | 2,109,322 | ||||||
Government National Mortgage Association: | ||||||||
Series 2013-169, Class SE, IO, 6.05% - 1 Month USD LIBOR, 5.34%, 11/16/2043 (c) | 4,311,779 | 800,294 | ||||||
Series 2013-34, Class PL, 3.00%, 3/20/2042 | 16,133,999 | 16,244,989 | ||||||
Series 2014-43, Class PS, IO, 6.18% - 1 Month USD LIBOR, 5.44%, 7/20/2042 (c) | 12,795,778 | 1,755,276 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 1,318,850,232 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 15.5% |
| |||||||
Treasury Bond | 32,600,000 | 33,039,446 | ||||||
Treasury Inflation Protected Indexed Notes: | ||||||||
0.13%, 7/15/2024 | 28,300,400 | 27,841,368 | ||||||
0.13%, 7/15/2026 | 41,748,588 | 40,413,468 | ||||||
1.00%, 2/15/2046 | 32,032,710 | 32,220,101 | ||||||
Treasury Notes: | ||||||||
1.00%, 3/15/2018 | 66,700,000 | 66,730,685 | ||||||
1.75%, 3/31/2022 | 87,300,000 | 86,151,130 | ||||||
2.00%, 2/15/2025 | 66,500,000 | 64,738,414 | ||||||
2.13%, 1/31/2021 | 121,900,000 | 123,526,146 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 474,660,758 | |||||||
|
| |||||||
| Value | |||||||
SHORT-TERM INVESTMENT — 3.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42% (f) (g) | 111,028,867 | 111,028,867 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 3,050,953,021 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 6,051,228 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,057,004,249 | ||||||
|
|
(a) | 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, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Step-up bond—Coupon rate increases in increments to maturity. Rate shown as of December 31, 2016. Maturity date shown is the final maturity. |
(c) | Variable Rate Security—Interest rate shown is rate in effect at December 31, 2016. |
(d) | Amount shown represents less than 0.05% of net assets. |
(e) | This Senior Loan will settle after December 31, 2016, at which time the interest rate will be determined. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
CMO = Collateralized Mortgage Obligation
CMT = Constant Maturity Treasury
IO = Interest Only
LIBOR = London Interbank Offered Rate
PIK = Payment in Kind
REMIC = Real Estate Mortgage Investment Conduit
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 73,674,572 | $ | — | $ | 73,674,572 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Australia | — | 2,991,781 | — | 2,991,781 | ||||||||||||
Belgium | — | 3,131,731 | — | 3,131,731 | ||||||||||||
Bermuda | — | 476,625 | — | 476,625 | ||||||||||||
Brazil | — | 9,485,762 | — | 9,485,762 | ||||||||||||
Canada | — | 10,505,145 | — | 10,505,145 |
See accompanying notes to financial statements.
53
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Cayman Islands | $ | — | $ | 444,119 | $ | — | $ | 444,119 | ||||||||
Chile | — | 16,578,321 | — | 16,578,321 | ||||||||||||
China | — | 11,735,475 | — | 11,735,475 | ||||||||||||
Colombia | — | 16,717,550 | — | 16,717,550 | ||||||||||||
Costa Rica | — | 5,290,165 | — | 5,290,165 | ||||||||||||
Dominican Republic | — | 6,787,063 | — | 6,787,063 | ||||||||||||
Guatemala | — | 7,080,312 | — | 7,080,312 | ||||||||||||
Hong Kong | — | 2,523,806 | — | 2,523,806 | ||||||||||||
India | — | 17,013,094 | — | 17,013,094 | ||||||||||||
Israel | — | 8,833,480 | — | 8,833,480 | ||||||||||||
Jamaica | — | 3,410,520 | — | 3,410,520 | ||||||||||||
Malaysia | — | 9,465,248 | — | 9,465,248 | ||||||||||||
Mexico | — | 26,957,895 | — | 26,957,895 | ||||||||||||
Netherlands | — | 5,898,998 | — | 5,898,998 | ||||||||||||
New Zealand | — | 1,363,369 | — | 1,363,369 | ||||||||||||
Panama | — | 10,388,812 | — | 10,388,812 | ||||||||||||
Paraguay | — | 2,107,188 | — | 2,107,188 | ||||||||||||
Peru | — | 5,823,479 | — | 5,823,479 | ||||||||||||
Qatar | — | 403,704 | — | 403,704 | ||||||||||||
Singapore | — | 15,066,963 | — | 15,066,963 | ||||||||||||
Trinidad And Tobago | — | 3,939,000 | — | 3,939,000 | ||||||||||||
United States | — | 199,584,158 | — | 199,584,158 | ||||||||||||
Foreign Government Obligations | ||||||||||||||||
Colombia | — | 206,140 | — | 206,140 | ||||||||||||
Costa Rica | — | 9,713,298 | — | 9,713,298 | ||||||||||||
Dominican Republic | — | 4,985,450 | — | 4,985,450 | ||||||||||||
Guatemala | — | 965,060 | — | 965,060 | ||||||||||||
Hungary | — | 5,839,375 | — | 5,839,375 | ||||||||||||
India | — | 2,102,352 | — | 2,102,352 | ||||||||||||
Indonesia | — | 5,958,026 | — | 5,958,026 | ||||||||||||
Mexico | — | 5,893,160 | — | 5,893,160 | ||||||||||||
Panama | — | 8,903,352 | — | 8,903,352 | ||||||||||||
Poland | — | 4,228,750 | — | 4,228,750 | ||||||||||||
Qatar | — | 5,575,592 | — | 5,575,592 | ||||||||||||
Senior Floating Rate Loans | ||||||||||||||||
Aerospace & Defense | — | 1,464,174 | — | 1,464,174 | ||||||||||||
Auto Components | — | 326,610 | — | 326,610 | ||||||||||||
Building Products | — | 3,026,286 | — | 3,026,286 | ||||||||||||
Capital Markets | — | 1,250,301 | — | 1,250,301 | ||||||||||||
Chemicals | — | 6,434,813 | — | 6,434,813 | ||||||||||||
Commercial Services & Supplies | — | 5,503,808 | — | 5,503,808 | ||||||||||||
Computers & Peripherals | — | 2,244,790 | — | 2,244,790 | ||||||||||||
Construction & Engineering | — | 2,275,225 | — | 2,275,225 | ||||||||||||
Containers & Packaging | — | 4,634,226 | — | 4,634,226 | ||||||||||||
Distributors | — | 687,533 | — | 687,533 | ||||||||||||
Diversified Consumer Services | — | 1,449,753 | — | 1,449,753 | ||||||||||||
Diversified Financial Services | — | 2,825,017 | — | 2,825,017 | ||||||||||||
Diversified Telecommunication Services | — | 2,988,460 | — | 2,988,460 | ||||||||||||
Electric Utilities | — | 1,447,057 | — | �� | 1,447,057 | |||||||||||
Food & Staples Retailing | — | 1,436,855 | — | 1,436,855 | ||||||||||||
Food Products | — | 7,879,829 | — | 7,879,829 | ||||||||||||
Health Care Equipment & Supplies | — | 2,977,061 | — | 2,977,061 | ||||||||||||
Health Care Providers & Services | — | 12,433,325 | — | 12,433,325 | ||||||||||||
Hotels, Restaurants & Leisure | — | 9,891,353 | — | 9,891,353 | ||||||||||||
Household Products | — | 2,786,851 | — | 2,786,851 | ||||||||||||
Insurance | — | 1,793,951 | — | 1,793,951 | ||||||||||||
Internet & Catalog Retail | — | 1,484,584 | — | 1,484,584 |
See accompanying notes to financial statements.
54
Table of Contents
State Street DoubleLine Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Internet Software & Services | $ | — | $ | 1,972,044 | $ | — | $ | 1,972,044 | ||||||||
IT Services | — | 1,461,009 | — | 1,461,009 | ||||||||||||
Life Sciences Tools & Services | — | 1,477,685 | — | 1,477,685 | ||||||||||||
Machinery | — | 1,989,543 | — | 1,989,543 | ||||||||||||
Media | — | 12,789,966 | — | 12,789,966 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 526,401 | — | 526,401 | ||||||||||||
Personal Products | — | 5,840,477 | — | 5,840,477 | ||||||||||||
Pharmaceuticals | — | 1,456,384 | — | 1,456,384 | ||||||||||||
Real Estate Investment Trusts (REITs) | — | 1,442,896 | — | 1,442,896 | ||||||||||||
Real Estate Management & Development | — | 1,760,993 | — | 1,760,993 | ||||||||||||
Road & Rail | — | 1,436,675 | — | 1,436,675 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 4,786,958 | — | 4,786,958 | ||||||||||||
Software | — | 9,466,660 | — | 9,466,660 | ||||||||||||
Specialty Retail | — | 4,700,874 | — | 4,700,874 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 5,930,820 | — | 5,930,820 | ||||||||||||
Trading Companies & Distributors | — | 1,945,400 | — | 1,945,400 | ||||||||||||
Wireless Telecommunication Services | — | 1,537,737 | — | 1,537,737 | ||||||||||||
Commercial Mortgage Backed Securities | — | 409,200,395 | — | 409,200,395 | ||||||||||||
Mortgage-Backed Securities | — | 67,399,495 | — | 67,399,495 | ||||||||||||
U.S. Government Agency Obligations | — | 1,318,850,232 | — | 1,318,850,232 | ||||||||||||
U.S. Treasury Obligations | — | 474,660,758 | — | 474,660,758 | ||||||||||||
Short-Term Investment | 111,028,867 | — | — | 111,028,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 111,028,867 | $ | 2,939,924,154 | $ | — | $ | 3,050,953,021 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 351,792,987 | $ | 351,792,987 | 418,025,516 | 769,818,503 | — | $ | — | $ | 308,306 | $ | — | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 537,471,397 | 426,442,530 | 111,028,867 | 111,028,867 | 139,857 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 351,792,987 | $ | 111,028,867 | $ | 448,163 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
55
Table of Contents
SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO
SPDR MFS Systematic Core Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Core Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Core Equity Portfolio follows.
56
Table of Contents
SSGA MFS Systematic Core Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 98.9% | ||||||||
AEROSPACE & DEFENSE — 3.1% | ||||||||
Northrop Grumman Corp. | 845 | $ | 196,530 | |||||
|
| |||||||
AUTO COMPONENTS — 0.7% | ||||||||
Lear Corp. | 350 | 46,330 | ||||||
|
| |||||||
BANKS — 6.1% | ||||||||
JPMorgan Chase & Co. | 3,400 | 293,386 | ||||||
Wells Fargo & Co. | 1,662 | 91,593 | ||||||
|
| |||||||
384,979 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 4.8% | ||||||||
Amgen, Inc. | 387 | 56,583 | ||||||
Celgene Corp. (a) | 783 | 90,632 | ||||||
Gilead Sciences, Inc. | 2,199 | 157,471 | ||||||
|
| |||||||
304,686 | ||||||||
|
| |||||||
CHEMICALS — 2.8% | ||||||||
LyondellBasell Industries NV Class A | 2,082 | 178,594 | ||||||
|
| |||||||
CONSUMER FINANCE — 1.4% | ||||||||
Discover Financial Services | 1,212 | 87,373 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.9% |
| |||||||
Verizon Communications, Inc. | 4,624 | 246,829 | ||||||
|
| |||||||
ELECTRIC UTILITIES — 3.3% | ||||||||
Exelon Corp. | 5,837 | 207,155 | ||||||
|
| |||||||
FOOD PRODUCTS — 5.4% | ||||||||
Archer-Daniels-Midland Co. | 4,283 | 195,519 | ||||||
Mondelez International, Inc. Class A | 930 | 41,227 | ||||||
Tyson Foods, Inc. Class A | 1,685 | 103,931 | ||||||
|
| |||||||
340,677 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 3.4% |
| |||||||
Aetna, Inc. | 616 | 76,390 | ||||||
HCA Holdings, Inc. (a) | 867 | 64,175 | ||||||
UnitedHealth Group, Inc. | 471 | 75,379 | ||||||
|
| |||||||
215,944 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 2.4% |
| |||||||
Domino’s Pizza, Inc. | 574 | 91,404 | ||||||
McDonald’s Corp. | 491 | 59,764 | ||||||
|
| |||||||
151,168 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 1.2% | ||||||||
Procter & Gamble Co. | 913 | 76,765 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.7% |
| |||||||
AES Corp. | 9,280 | 107,834 | ||||||
|
| |||||||
INSURANCE — 5.2% | ||||||||
MetLife, Inc. | 2,352 | 126,749 | ||||||
Prudential Financial, Inc. | 1,919 | 199,691 | ||||||
|
| |||||||
326,440 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 7.2% |
| |||||||
Amazon.com, Inc. (a) | 333 | 249,707 | ||||||
Priceline Group, Inc. (a) | 138 | 202,316 | ||||||
|
| |||||||
452,023 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 1.0% |
| |||||||
Alphabet, Inc. Class C (a) | 86 | 66,377 | ||||||
|
| |||||||
IT SERVICES — 6.2% | ||||||||
Global Payments, Inc. | 2,424 | 168,250 | ||||||
International Business Machines Corp. | 1,353 | 224,584 | ||||||
|
| |||||||
392,834 | ||||||||
|
| |||||||
MEDIA — 2.8% | ||||||||
Charter Communications, Inc. Class A (a) | 378 | 108,834 | ||||||
Comcast Corp. Class A | 946 | 65,321 | ||||||
|
| |||||||
174,155 | ||||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 5.7% |
| |||||||
Exxon Mobil Corp. | 1,674 | 151,095 | ||||||
Valero Energy Corp. | 3,011 | 205,712 | ||||||
|
| |||||||
356,807 | ||||||||
|
| |||||||
PHARMACEUTICALS — 8.5% | ||||||||
Eli Lilly & Co. | 2,137 | 157,176 | ||||||
Johnson & Johnson | 1,756 | 202,309 | ||||||
Merck & Co., Inc. | 2,954 | 173,902 | ||||||
|
| |||||||
533,387 | ||||||||
|
| |||||||
SOFTWARE — 4.9% | ||||||||
Electronic Arts, Inc. (a) | 1,327 | 104,514 | ||||||
Intuit, Inc. | 1,111 | 127,332 | ||||||
Oracle Corp. | 1,968 | 75,670 | ||||||
|
| |||||||
307,516 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 4.4% | ||||||||
Best Buy Co., Inc. | 2,650 | 113,075 | ||||||
Dick’s Sporting Goods, Inc. | 1,297 | 68,871 | ||||||
Gap, Inc. | 1,298 | 29,127 | ||||||
O’Reilly Automotive, Inc. (a) | 248 | 69,046 | ||||||
|
| |||||||
280,119 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.2% |
| |||||||
Apple, Inc. | 1,371 | 158,789 | ||||||
Hewlett Packard Enterprise Co. | 7,724 | 178,734 | ||||||
HP, Inc. | 3,817 | 56,644 | ||||||
|
| |||||||
394,167 | ||||||||
|
| |||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.5% |
| |||||||
Michael Kors Holdings, Ltd. (a) | 2,145 | 92,192 | ||||||
|
| |||||||
TOBACCO — 3.6% | ||||||||
Altria Group, Inc. | 1,205 | 81,482 | ||||||
Philip Morris International, Inc. | 1,567 | 143,365 | ||||||
|
| |||||||
224,847 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 1.5% |
| |||||||
United Rentals, Inc. (a) | 876 | 92,488 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 6,238,216 | |||||||
|
|
See accompanying notes to financial statements.
57
Table of Contents
SSGA MFS Systematic Core Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT-TERM INVESTMENT — 1.0% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Premier | 62,865 | $ | 62,865 | |||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 6,301,081 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 3,898 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 6,304,979 | ||||||
|
|
(a) | Non-income producing security. |
(b) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 196,530 | $ | — | $ | — | $ | 196,530 | ||||||||
Auto Components | 46,330 | — | — | 46,330 | ||||||||||||
Banks | 384,979 | — | — | 384,979 | ||||||||||||
Biotechnology | 304,686 | — | — | 304,686 | ||||||||||||
Chemicals | 178,594 | — | — | 178,594 | ||||||||||||
Consumer Finance | 87,373 | — | — | 87,373 | ||||||||||||
Diversified Telecommunication Services | 246,829 | — | — | 246,829 | ||||||||||||
Electric Utilities | 207,155 | — | — | 207,155 | ||||||||||||
Food Products | 340,677 | — | — | 340,677 | ||||||||||||
Health Care Providers & Services | 215,944 | — | — | 215,944 | ||||||||||||
Hotels, Restaurants & Leisure | 151,168 | — | — | 151,168 | ||||||||||||
Household Products | 76,765 | — | — | 76,765 | ||||||||||||
Independent Power Producers & Energy Traders | 107,834 | — | — | 107,834 | ||||||||||||
Insurance | 326,440 | — | — | 326,440 | ||||||||||||
Internet & Catalog Retail | 452,023 | — | — | 452,023 | ||||||||||||
Internet Software & Services | 66,377 | — | — | 66,377 | ||||||||||||
IT Services | 392,834 | — | — | 392,834 | ||||||||||||
Media | 174,155 | — | — | 174,155 | ||||||||||||
Oil, Gas & Consumable Fuels | 356,807 | — | — | 356,807 | ||||||||||||
Pharmaceuticals | 533,387 | — | — | 533,387 | ||||||||||||
Software | 307,516 | — | — | 307,516 | ||||||||||||
Specialty Retail | 280,119 | — | — | 280,119 | ||||||||||||
Technology Hardware, Storage & Peripherals | 394,167 | — | — | 394,167 | ||||||||||||
Textiles, Apparel & Luxury Goods | 92,192 | — | — | 92,192 | ||||||||||||
Tobacco | 224,847 | — | — | 224,847 | ||||||||||||
Trading Companies & Distributors | 92,488 | — | — | 92,488 | ||||||||||||
Short-Term Investment | 62,865 | — | — | 62,865 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 6,301,081 | $ | — | $ | — | $ | 6,301,081 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
58
Table of Contents
SSGA MFS Systematic Core Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 70,177 | $ | 70,177 | 34,483 | 104,660 | — | $ | — | $ | 63 | $ | — | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 99,901 | 37,036 | 62,865 | 62,865 | 39 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 70,177 | $ | 62,865 | $ | 102 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
59
Table of Contents
SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO
SPDR MFS Systematic Growth Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Growth Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Growth Equity Portfolio follows.
60
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 98.8% | ||||||||
AEROSPACE & DEFENSE — 4.2% | ||||||||
Huntington Ingalls Industries, Inc. | 586 | $ | 107,935 | |||||
Northrop Grumman Corp. | 1,827 | 424,924 | ||||||
|
| |||||||
532,859 | ||||||||
|
| |||||||
AUTO COMPONENTS — 3.4% | ||||||||
Lear Corp. | 3,264 | 432,056 | ||||||
|
| |||||||
BEVERAGES — 2.3% | ||||||||
Coca-Cola Co. | 5,863 | 243,080 | ||||||
PepsiCo, Inc. | 396 | 41,433 | ||||||
|
| |||||||
284,513 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 4.2% | ||||||||
Amgen, Inc. | 1,691 | 247,241 | ||||||
Gilead Sciences, Inc. | 3,934 | 281,714 | ||||||
|
| |||||||
528,955 | ||||||||
|
| |||||||
CHEMICALS — 1.7% | ||||||||
LyondellBasell Industries NV Class A | 2,467 | 211,619 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.6% |
| |||||||
Verizon Communications, Inc. | 6,039 | 322,362 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 1.1% |
| |||||||
CVS Health Corp. | 1,755 | 138,487 | ||||||
|
| |||||||
FOOD PRODUCTS — 3.0% | ||||||||
Tyson Foods, Inc. Class A | 6,077 | 374,829 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 9.0% |
| |||||||
Anthem, Inc. | 1,954 | 280,927 | ||||||
Express Scripts Holding Co. (a) | 2,880 | 198,115 | ||||||
HCA Holdings, Inc. (a) | 1,159 | 85,789 | ||||||
McKesson Corp. | 1,810 | 254,214 | ||||||
UnitedHealth Group, Inc. | 1,946 | 311,438 | ||||||
|
| |||||||
1,130,483 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 3.0% |
| |||||||
Carnival Corp. | 3,139 | 163,416 | ||||||
Domino’s Pizza, Inc. | 1,362 | 216,885 | ||||||
|
| |||||||
380,301 | ||||||||
|
| |||||||
INSURANCE — 2.7% | ||||||||
Prudential Financial, Inc. | 3,230 | 336,114 | ||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 5.4% |
| |||||||
Amazon.com, Inc. (a) | 318 | 238,459 | ||||||
Priceline Group, Inc. (a) | 303 | 444,216 | ||||||
|
| |||||||
682,675 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 8.8% |
| |||||||
Alphabet, Inc. Class A (a) | 474 | 375,621 | ||||||
Facebook, Inc. Class A (a) | 5,612 | 645,661 | ||||||
VeriSign, Inc. (a) | 1,056 | 80,330 | ||||||
|
| |||||||
1,101,612 | ||||||||
|
| |||||||
IT SERVICES — 5.4% | ||||||||
Fiserv, Inc. (a) | 1,490 | 158,357 | ||||||
Global Payments, Inc. | 2,062 | 143,124 | ||||||
International Business Machines Corp. | 2,305 | 382,607 | ||||||
|
| |||||||
684,088 | ||||||||
|
| |||||||
MEDIA — 7.3% | ||||||||
Charter Communications, Inc. Class A (a) | 1,371 | 394,738 | ||||||
Comcast Corp. Class A | 7,552 | 521,466 | ||||||
|
| |||||||
916,204 | ||||||||
|
| |||||||
PHARMACEUTICALS — 5.9% | ||||||||
Bristol-Myers Squibb Co. | 2,789 | 162,989 | ||||||
Eli Lilly & Co. | 3,336 | 245,363 | ||||||
Johnson & Johnson | 1,886 | 217,286 | ||||||
Merck & Co., Inc. | 1,873 | 110,264 | ||||||
|
| |||||||
735,902 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.4% |
| |||||||
Medical Properties Trust, Inc. REIT | 14,962 | 184,033 | ||||||
Simon Property Group, Inc. REIT | 693 | 123,125 | ||||||
|
| |||||||
307,158 | ||||||||
|
| |||||||
ROAD & RAIL — 0.7% | ||||||||
Union Pacific Corp. | 886 | 91,860 | ||||||
|
| |||||||
SOFTWARE — 9.3% | ||||||||
Activision Blizzard, Inc. | 4,493 | 162,242 | ||||||
Electronic Arts, Inc. (a) | 5,384 | 424,044 | ||||||
Oracle Corp. | 7,722 | 296,911 | ||||||
Take-Two Interactive Software, Inc. (a) | 5,694 | 280,657 | ||||||
|
| |||||||
1,163,854 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 5.8% | ||||||||
AutoZone, Inc. (a) | 189 | 149,270 | ||||||
Best Buy Co., Inc. | 3,877 | 165,432 | ||||||
Dick’s Sporting Goods, Inc. | 1,532 | 81,349 | ||||||
Gap, Inc. | 8,823 | 197,988 | ||||||
Urban Outfitters, Inc. (a) | 4,724 | 134,540 | ||||||
|
| |||||||
728,579 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.6% |
| |||||||
Apple, Inc. | 2,810 | 325,454 | ||||||
|
| |||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.8% |
| |||||||
Michael Kors Holdings, Ltd. (a) | 2,297 | 98,725 | ||||||
|
| |||||||
TOBACCO — 4.2% | ||||||||
Altria Group, Inc. | 4,948 | 334,584 | ||||||
Philip Morris International, Inc. | 2,063 | 188,744 | ||||||
|
| |||||||
523,328 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 3.0% |
| |||||||
United Rentals, Inc. (a) | 3,628 | 383,044 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 12,415,061 | |||||||
|
|
See accompanying notes to financial statements.
61
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT-TERM INVESTMENT — 1.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42% (b) (c) | 143,886 | $ | 143,886 | |||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 12,558,947 | |||||||
OTHER ASSETS IN EXCESS OF | 10,909 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,569,856 | ||||||
|
|
(a) | Non-income producing security. |
(b) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
REIT = Real Estate Investment Trust
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 532,859 | $ | — | $ | — | $ | 532,859 | ||||||||
Auto Components | 432,056 | — | — | 432,056 | ||||||||||||
Beverages | 284,513 | — | — | 284,513 | ||||||||||||
Biotechnology | 528,955 | — | — | 528,955 | ||||||||||||
Chemicals | 211,619 | — | — | 211,619 | ||||||||||||
Diversified Telecommunication Services | 322,362 | — | — | 322,362 | ||||||||||||
Food & Staples Retailing | 138,487 | — | — | 138,487 | ||||||||||||
Food Products | 374,829 | — | — | 374,829 | ||||||||||||
Health Care Providers & Services | 1,130,483 | — | — | 1,130,483 | ||||||||||||
Hotels, Restaurants & Leisure | 380,301 | — | — | 380,301 | ||||||||||||
Insurance | 336,114 | — | — | 336,114 | ||||||||||||
Internet & Catalog Retail | 682,675 | — | — | 682,675 | ||||||||||||
Internet Software & Services | 1,101,612 | — | — | 1,101,612 | ||||||||||||
IT Services | 684,088 | — | — | 684,088 | ||||||||||||
Media | 916,204 | — | — | 916,204 | ||||||||||||
Pharmaceuticals | 735,902 | — | — | 735,902 | ||||||||||||
Real Estate Investment Trusts (REITs) | 307,158 | — | — | 307,158 | ||||||||||||
Road & Rail | 91,860 | — | — | 91,860 | ||||||||||||
Software | 1,163,854 | — | — | 1,163,854 | ||||||||||||
Specialty Retail | 728,579 | — | — | 728,579 | ||||||||||||
Technology Hardware, Storage & Peripherals | 325,454 | — | — | 325,454 | ||||||||||||
Textiles, Apparel & Luxury Goods | 98,725 | — | — | 98,725 | ||||||||||||
Tobacco | 523,328 | — | — | 523,328 | ||||||||||||
Trading Companies & Distributors | 383,044 | — | — | 383,044 | ||||||||||||
Short-Term Investment | 143,886 | — | — | 143,886 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 12,558,947 | $ | — | $ | — | $ | 12,558,947 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 175,794 | $ | 175,794 | 48,676 | 224,470 | — | $ | — | $ | 167 | $ | — | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 201,085 | 57,199 | 143,886 | 143,886 | 96 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 175,794 | $ | 143,886 | $ | 263 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
62
Table of Contents
SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO
SPDR MFS Systematic Value Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Value Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Value Equity Portfolio follows.
63
Table of Contents
SSGA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 98.5% | ||||||||
AEROSPACE & DEFENSE — 3.5% | ||||||||
Northrop Grumman Corp. | 361 | $ | 83,961 | |||||
United Technologies Corp. | 150 | 16,443 | ||||||
|
| |||||||
100,404 | ||||||||
|
| |||||||
AIRLINES — 1.1% | ||||||||
Copa Holdings SA Class A | 360 | 32,699 | ||||||
|
| |||||||
AUTOMOBILES — 2.0% | ||||||||
General Motors Co. | 1,640 | 57,138 | ||||||
|
| |||||||
BANKS — 11.9% | ||||||||
Bank of America Corp. | 4,460 | 98,566 | ||||||
Citigroup, Inc. | 1,061 | 63,055 | ||||||
JPMorgan Chase & Co. | 2,129 | 183,712 | ||||||
|
| |||||||
345,333 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 1.1% | ||||||||
Gilead Sciences, Inc. | 452 | 32,368 | ||||||
|
| |||||||
CHEMICALS — 2.0% | ||||||||
LyondellBasell Industries NV Class A | 676 | 57,987 | ||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 1.8% |
| |||||||
Cisco Systems, Inc. | 1,678 | 50,709 | ||||||
|
| |||||||
CONSUMER FINANCE — 3.5% | ||||||||
Discover Financial Services | 1,391 | 100,277 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.7% |
| |||||||
Verizon Communications, Inc. | 1,456 | 77,721 | ||||||
|
| |||||||
ELECTRIC UTILITIES — 6.9% | ||||||||
Exelon Corp. | 2,654 | 94,190 | ||||||
PG&E Corp. | 854 | 51,898 | ||||||
PPL Corp. | 1,577 | 53,697 | ||||||
|
| |||||||
199,785 | ||||||||
|
| |||||||
ENERGY EQUIPMENT & SERVICES — 0.8% |
| |||||||
Schlumberger, Ltd. | 290 | 24,345 | ||||||
|
| |||||||
FOOD PRODUCTS — 5.6% | ||||||||
Archer-Daniels-Midland Co. | 930 | 42,455 | ||||||
J.M. Smucker Co. | 400 | 51,224 | ||||||
Tyson Foods, Inc. Class A | 1,121 | 69,143 | ||||||
|
| |||||||
162,822 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.7% |
| |||||||
Abbott Laboratories | 407 | 15,633 | ||||||
Danaher Corp. | 424 | 33,004 | ||||||
|
| |||||||
48,637 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 3.7% |
| |||||||
HCA Holdings, Inc. (a) | 1,140 | 84,383 | ||||||
UnitedHealth Group, Inc. | 151 | 24,166 | ||||||
|
| |||||||
108,549 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 1.2% |
| |||||||
Carnival Corp. | 693 | 36,078 | ||||||
|
| |||||||
INSURANCE — 8.3% | ||||||||
MetLife, Inc. | 1,108 | 59,710 | ||||||
Prudential Financial, Inc. | 1,027 | 106,869 | ||||||
Travelers Cos., Inc. | 192 | 23,505 | ||||||
Unum Group | 360 | 15,815 | ||||||
Validus Holdings, Ltd. | 629 | 34,601 | ||||||
|
| |||||||
240,500 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 1.5% |
| |||||||
Priceline Group, Inc. (a) | 30 | 43,982 | ||||||
|
| |||||||
IT SERVICES — 1.3% | ||||||||
Global Payments, Inc. | 550 | 38,175 | ||||||
|
| |||||||
MULTI-UTILITIES — 1.4% | ||||||||
DTE Energy Co. | 410 | 40,389 | ||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 10.5% |
| |||||||
Anadarko Petroleum Corp. | 610 | 42,535 | ||||||
Exxon Mobil Corp. | 433 | 39,083 | ||||||
Occidental Petroleum Corp. | 544 | 38,749 | ||||||
Rice Energy, Inc. (a) | 3,100 | 66,185 | ||||||
Valero Energy Corp. | 1,363 | 93,120 | ||||||
Williams Cos., Inc. | 830 | 25,846 | ||||||
|
| |||||||
305,518 | ||||||||
|
| |||||||
PHARMACEUTICALS — 5.5% | ||||||||
Johnson & Johnson | 629 | 72,467 | ||||||
Merck & Co., Inc. | 1,469 | 86,480 | ||||||
|
| |||||||
158,947 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.2% |
| |||||||
STORE Capital Corp. | 2,580 | 63,752 | ||||||
Sun Communities, Inc. REIT | 390 | 29,878 | ||||||
|
| |||||||
93,630 | ||||||||
|
| |||||||
ROAD & RAIL — 0.6% | ||||||||
Union Pacific Corp. | 180 | 18,662 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.3% |
| |||||||
Intel Corp. | 1,876 | 68,043 | ||||||
|
| |||||||
SOFTWARE — 1.5% | ||||||||
Activision Blizzard, Inc. | 499 | 18,019 | ||||||
Oracle Corp. | 650 | 24,992 | ||||||
|
| |||||||
43,011 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 2.1% | ||||||||
Dick’s Sporting Goods, Inc. | 550 | 29,205 | ||||||
Gap, Inc. | 1,420 | 31,865 | ||||||
|
| |||||||
61,070 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 4.4% |
| |||||||
Hewlett Packard Enterprise Co. | 2,610 | 60,395 | ||||||
HP, Inc. | 1,809 | 26,846 | ||||||
NetApp, Inc. | 1,151 | 40,596 | ||||||
|
| |||||||
127,837 | ||||||||
|
| |||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.3% |
| |||||||
Michael Kors Holdings, Ltd. (a) | 870 | 37,393 | ||||||
|
|
See accompanying notes to financial statements.
64
Table of Contents
SSGA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
TOBACCO — 3.2% | ||||||||
Altria Group, Inc. | 1,000 | $ | 67,620 | |||||
Philip Morris International, Inc. | 280 | 25,617 | ||||||
|
| |||||||
93,237 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 1.9% |
| |||||||
United Rentals, Inc. (a) | 520 | 54,902 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,860,148 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 1.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier | 37,372 | 37,372 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 2,897,520 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 4,599 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,902,119 | ||||||
|
|
(a) | Non-income producing security. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
REIT = Real Estate Investment Trust
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 100,404 | $ | — | $ | — | $ | 100,404 | ||||||||
Airlines | 32,699 | — | — | 32,699 | ||||||||||||
Automobiles | 57,138 | — | — | 57,138 | ||||||||||||
Banks | 345,333 | — | — | 345,333 | ||||||||||||
Biotechnology | 32,368 | — | — | 32,368 | ||||||||||||
Chemicals | 57,987 | — | — | 57,987 | ||||||||||||
Communications Equipment | 50,709 | — | — | 50,709 | ||||||||||||
Consumer Finance | 100,277 | — | — | 100,277 | ||||||||||||
Diversified Telecommunication Services | 77,721 | — | — | 77,721 | ||||||||||||
Electric Utilities | 199,785 | — | — | 199,785 | ||||||||||||
Energy Equipment & Services | 24,345 | — | — | 24,345 | ||||||||||||
Food Products | 162,822 | — | — | 162,822 | ||||||||||||
Health Care Equipment & Supplies | 48,637 | — | — | 48,637 | ||||||||||||
Health Care Providers & Services | 108,549 | — | — | 108,549 | ||||||||||||
Hotels, Restaurants & Leisure | 36,078 | — | — | 36,078 | ||||||||||||
Insurance | 240,500 | — | — | 240,500 | ||||||||||||
Internet & Catalog Retail | 43,982 | — | — | 43,982 | ||||||||||||
IT Services | 38,175 | — | — | 38,175 | ||||||||||||
Multi-Utilities | 40,389 | — | — | 40,389 | ||||||||||||
Oil, Gas & Consumable Fuels | 305,518 | — | — | 305,518 | ||||||||||||
Pharmaceuticals | 158,947 | — | — | 158,947 | ||||||||||||
Real Estate Investment Trusts (REITs) | 93,630 | — | — | 93,630 | ||||||||||||
Road & Rail | 18,662 | — | — | 18,662 | ||||||||||||
Semiconductors & Semiconductor Equipment | 68,043 | — | — | 68,043 | ||||||||||||
Software | 43,011 | — | — | 43,011 | ||||||||||||
Specialty Retail | 61,070 | — | — | 61,070 | ||||||||||||
Technology Hardware, Storage & Peripherals | 127,837 | — | — | 127,837 |
See accompanying notes to financial statements.
65
Table of Contents
SSGA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Textiles, Apparel & Luxury Goods | $ | 37,393 | $ | — | $ | — | $ | 37,393 | ||||||||
Tobacco | 93,237 | — | — | 93,237 | ||||||||||||
Trading Companies & Distributors | 54,902 | — | — | 54,902 | ||||||||||||
Short-Term Investment | 37,372 | — | — | 37,372 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 2,897,520 | $ | — | $ | — | $ | 2,897,520 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 31,318 | $ | 31,318 | 24,823 | 56,141 | — | $ | — | $ | 31 | $ | — | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 55,730 | 18,358 | 37,372 | 37,372 | 23 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 31,318 | $ | 37,372 | $ | 54 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
66
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[This Page Intentionally Left Blank]
67
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2016 (Unaudited)
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | SSGA Global Allocation Portfolio | ||||||||||
ASSETS | ||||||||||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 19,795,245 | $ | 2,045,753 | $ | 7,646,868 | ||||||
Investments in affiliated issuers, at value (Note 2) | 68,840,095 | 98,403,089 | 182,324,234 | |||||||||
|
|
|
|
|
| |||||||
Total Investments | 88,635,340 | 100,448,842 | 189,971,102 | |||||||||
Receivable for investments sold | — | — | — | |||||||||
Receivable for capital contributions | — | — | — | |||||||||
Dividends receivable — unaffiliated issuers (Note 2) | — | 13,016 | 24,716 | |||||||||
Interest receivable — unaffiliated issuers (Note 2) | — | — | — | |||||||||
Dividends receivable — affiliated issuers (Note 2) | 70,413 | 182,862 | 407,771 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 88,705,753 | 100,644,720 | 190,403,589 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Due to custodian (Note 4) | — | — | — | |||||||||
Payable for investments purchased | — | — | — | |||||||||
Advisory fee payable (Note 4) | 14,649 | 16,972 | 32,647 | |||||||||
Trustees’ fees and expenses payable (Note 5) | 376 | — | — | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 15,025 | 16,972 | 32,647 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 88,690,728 | $ | 100,627,748 | $ | 190,370,942 | ||||||
|
|
|
|
|
| |||||||
COST OF INVESTMENTS: | ||||||||||||
Investments in unaffiliated issuers | $ | 25,762,751 | $ | 2,015,951 | $ | 8,021,217 | ||||||
Investments in affiliated issuers | 72,378,208 | 98,368,033 | 181,323,355 | |||||||||
|
|
|
|
|
| |||||||
Total cost of investments | $ | 98,140,959 | $ | 100,383,984 | $ | 189,344,572 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
68
Table of Contents
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 | |||||||||||||||||
$ | 1,085,716,576 | $ | 13,991,423 | $ | 2,939,924,154 | $ | 6,238,216 | $ | 12,415,061 | $ | 2,860,148 | |||||||||||
63,215,576 | 56,339 | 111,028,867 | 62,865 | 143,886 | 37,372 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,148,932,152 | 14,047,762 | 3,050,953,021 | 6,301,081 | 12,558,947 | 2,897,520 | |||||||||||||||||
62,622,247 | — | 8,607,507 | — | — | — | |||||||||||||||||
11,853,267 | — | — | — | — | — | |||||||||||||||||
— | — | — | 5,496 | 14,098 | 5,331 | |||||||||||||||||
5,793,970 | 22,593 | 15,212,783 | — | — | — | |||||||||||||||||
16,390 | 40 | — | 18 | 42 | 10 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,229,218,026 | 14,070,395 | 3,074,773,311 | 6,306,595 | 12,573,087 | 2,902,861 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
— | — | 92,516 | — | — | — | |||||||||||||||||
131,716,030 | — | 16,903,877 | — | — | — | |||||||||||||||||
267,041 | 2,389 | 772,669 | 1,616 | 3,231 | 742 | |||||||||||||||||
— | 34 | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
131,983,071 | 2,423 | 17,769,062 | 1,616 | 3,231 | 742 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,097,234,955 | $ | 14,067,972 | $ | 3,057,004,249 | $ | 6,304,979 | $ | 12,569,856 | �� | $ | 2,902,119 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,070,927,931 | $ | 13,977,941 | $ | 2,993,904,076 | $ | 5,816,471 | $ | 11,732,098 | $ | 2,540,322 | |||||||||||
63,215,576 | 56,339 | 111,028,867 | 62,865 | 143,886 | 37,372 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,134,143,507 | $ | 14,034,280 | $ | 3,104,932,943 | $ | 5,879,336 | $ | 11,875,984 | $ | 2,577,694 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
69
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2016 (Unaudited)
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | SSGA Global Allocation Portfolio | ||||||||||
INVESTMENT INCOME | ||||||||||||
Interest income — unaffiliated issuers (Note 2) | $ | — | $ | — | $ | — | ||||||
Dividend income — unaffiliated issuers (Note 2) | 24,556 | 18,914 | 24,716 | |||||||||
Dividend income — affiliated issuers (Note 2) | 1,298,252 | 2,395,350 | 3,340,558 | |||||||||
|
|
|
|
|
| |||||||
TOTAL INVESTMENT INCOME (LOSS) | 1,322,808 | 2,414,264 | 3,365,274 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES | ||||||||||||
Advisory fee (Note 4) | 85,369 | 104,309 | 192,686 | |||||||||
Trustees’ fees and expenses (Note 5) | 1,101 | 1,051 | 1,786 | |||||||||
Miscellaneous expenses | 118 | 135 | 220 | |||||||||
|
|
|
|
|
| |||||||
TOTAL EXPENSES | 86,588 | 105,495 | 194,692 | |||||||||
|
|
|
|
|
| |||||||
NET INVESTMENT INCOME (LOSS) | 1,236,220 | 2,308,769 | 3,170,582 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments — unaffiliated issuers | (1,045,575 | ) | (237,701 | ) | (1,816,051 | ) | ||||||
Investments — affiliated issuers | (718,965 | ) | 197,818 | 1,366,778 | ||||||||
Capital gain distributions—affiliated issuers | 44,345 | 115,431 | 99,209 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (1,720,195 | ) | 75,548 | (350,064 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments — unaffiliated issuers | 1,352,148 | 576,928 | (171,383 | ) | ||||||||
Investments — affiliated issuers | 304,533 | (3,297,807 | ) | (2,204,890 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | 1,656,681 | (2,720,879 | ) | (2,376,273 | ) | |||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (63,514 | ) | (2,645,331 | ) | (2,726,337 | ) | ||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 1,172,706 | $ | (336,562 | ) | $ | 444,245 | |||||
|
|
|
|
|
|
See accompanying notes to financial statements.
70
Table of Contents
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 | |||||||||||||||||
$ | 20,922,887 | $ | 82,031 | $ | 51,499,785 | $ | — | $ | — | $ | — | |||||||||||
— | — | — | 68,132 | 98,183 | 34,881 | |||||||||||||||||
104,914 | 654 | 448,163 | 102 | 263 | 54 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
21,027,801 | 82,685 | 51,947,948 | 68,234 | 98,446 | 34,935 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,361,857 | 14,052 | 4,423,845 | 9,200 | 18,840 | 4,160 | |||||||||||||||||
7,381 | 285 | 23,901 | 173 | 230 | 144 | |||||||||||||||||
951 | 45 | 2,154 | 6 | 13 | 3 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,370,189 | 14,382 | 4,449,900 | 9,379 | 19,083 | 4,307 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
19,657,612 | 68,303 | 47,498,048 | 58,855 | 79,363 | 30,628 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
2,018,201 | 3,108 | 4,812,176 | 38,874 | 145,668 | 27,354 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
2,018,201 | 3,108 | 4,812,176 | 38,874 | 145,668 | 27,354 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
15,998,741 | 17,709 | (80,429,447 | ) | 429,003 | 250,009 | 259,807 | ||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
15,998,741 | 17,709 | (80,429,447 | ) | 429,003 | 250,009 | 259,807 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
18,016,942 | 20,817 | (75,617,271 | ) | 467,877 | 395,677 | 287,161 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 37,674,554 |
| $ | 89,120 | $ | (28,119,223 | ) | $ | 526,732 | $ | 475,040 | $ | 317,789 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
71
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 12/31/16 (Unaudited) | Year Ended 6/30/16 | Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,236,220 | $ | 1,279,623 | $ | 2,308,769 | $ | 3,464,371 | ||||||||
Net realized gain (loss) | (1,720,195 | ) | (16,425,437 | ) | 75,548 | (3,781,497 | ) | |||||||||
Net change in unrealized appreciation/depreciation | 1,656,681 | 6,755,612 | (2,720,879 | ) | 3,854,282 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 1,172,706 | (8,390,202 | ) | (336,562 | ) | 3,537,156 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Contributions | 16,971,238 | 26,711,193 | 1,595,744 | 3,064,239 | ||||||||||||
Withdrawals | (10,278,240 | ) | (79,491,499 | ) | (6,128,304 | ) | (22,253,312 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital transactions | 6,692,998 | (52,780,306 | ) | (4,532,560 | ) | (19,189,073 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 7,865,704 | (61,170,508 | ) | (4,869,122 | ) | (15,651,917 | ) | |||||||||
Net assets at beginning of period | 80,825,024 | 141,995,532 | 105,496,870 | 121,148,787 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS AT END OF PERIOD | $ | 88,690,728 | $ | 80,825,024 | $ | 100,627,748 | $ | 105,496,870 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
72
Table of Contents
SSGA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio | SSGA Ultra Short Term Bond Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | |||||||||||||||||
$ | 3,170,582 | $ | 3,986,999 | $ | 19,657,612 | $ | 34,077,238 | $ | 68,303 | $ | 221,537 | |||||||||||
(350,064 | ) | (8,789,786 | ) | 2,018,201 | (46,703,017 | ) | 3,108 | (268,835 | ) | |||||||||||||
| (2,376,273 | ) | 1,852,646 | 15,998,741 | 7,786,198 | 17,709 | 5,488 | |||||||||||||||
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|
|
|
|
|
|
|
|
|
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| |||||||||||
| 444,245 |
| (2,950,141 | ) | 37,674,554 | (4,839,581 | ) | 89,120 | (41,810 | ) | ||||||||||||
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| |||||||||||
20,177,475 | 99,464,019 | 281,031,380 | 239,502,612 | 2,023,265 | 195,887,137 | |||||||||||||||||
(9,963,991 | ) | (61,576,069 | ) | (23,960,227 | ) | (104,437,485 | ) | (12,084,180 | ) | (187,824,678 | ) | |||||||||||
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|
|
|
|
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|
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| |||||||||||
| 10,213,484 |
| 37,887,950 | 257,071,153 | 135,065,127 | (10,060,915 | ) | 8,062,459 | ||||||||||||||
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|
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|
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|
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| |||||||||||
| 10,657,729 |
| 34,937,809 | 294,745,707 | 130,225,546 | (9,971,795 | ) | 8,020,649 | ||||||||||||||
179,713,213 | 144,775,404 | 802,489,248 | 672,263,702 | 24,039,767 | 16,019,118 | |||||||||||||||||
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| |||||||||||
$ | 190,370,942 | $ | 179,713,213 | $ | 1,097,234,955 | $ | 802,489,248 | $ | 14,067,972 | $ | 24,039,767 | |||||||||||
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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 12/31/16 (Unaudited) | Year Ended 6/30/16 | Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 47,498,048 | $ | 58,040,301 | $ | 58,855 | $ | 100,266 | ||||||||
Net realized gain (loss) | 4,812,176 | (3,169,628 | ) | 38,874 | 351,176 | |||||||||||
Net change in unrealized appreciation/depreciation | (80,429,447 | ) | 33,117,161 | 429,003 | (346,393 | ) | ||||||||||
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| |||||||||
Net increase (decrease) in net assets resulting from operations | (28,119,223 | ) | 87,987,834 | 526,732 | 105,049 | |||||||||||
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| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Contributions | 496,297,530 | 1,856,614,856 | — | 5,860,886 | ||||||||||||
Withdrawals | (47,247,035 | ) | (55,223,775 | ) | (58,916 | ) | (3,069,067 | ) | ||||||||
|
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| |||||||||
Net increase (decrease) in net assets from capital transactions | 449,050,495 | 1,801,391,081 | (58,916 | ) | 2,791,819 | |||||||||||
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| |||||||||
Net increase (decrease) in net assets during the period | 420,931,272 | 1,889,378,915 | 467,816 | 2,896,868 | ||||||||||||
Net assets at beginning of period | 2,636,072,977 | 746,694,062 | 5,837,163 | 2,940,295 | ||||||||||||
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| |||||||||
NET ASSETS AT END OF PERIOD | $ | 3,057,004,249 | $ | 2,636,072,977 | $ | 6,304,979 | $ | 5,837,163 | ||||||||
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|
See accompanying notes to financial statements.
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SSGA MFS Systematic Growth Equity Portfolio | SSGA MFS Systematic Value Equity Portfolio | |||||||||||||||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | |||||||||||||||||||||||||||
$ | 79,363 | $ | 145,216 | $ | 30,628 | $ | 57,782 | |||||||||||||||||||||||
145,668 | 378,209 | 27,354 | 109,895 | |||||||||||||||||||||||||||
| 250,009 |
| 53,236 | 259,807 | (243,654 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||
| 475,040 |
| 576,661 | 317,789 | (75,977 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||
— | 8,964,864 | — | — | |||||||||||||||||||||||||||
(73,193 | ) | (3,418,489 | ) | (29,469 | ) | (219,833 | ) | |||||||||||||||||||||||
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| |||||||||||||||||||||||
| (73,193 | ) | 5,546,375 | (29,469 | ) | (219,833 | ) | |||||||||||||||||||||||
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| |||||||||||||||||||||||
| 401,847 |
| 6,123,036 | 288,320 | (295,810 | ) | ||||||||||||||||||||||||
12,168,009 | 6,044,973 | 2,613,799 | 2,909,609 | |||||||||||||||||||||||||||
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| |||||||||||||||||||||||
$ | 12,569,856 | $ | 12,168,009 | $ | 2,902,119 | $ | 2,613,799 | |||||||||||||||||||||||
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SSGA MASTER TRUST
The following table includes selected supplemental data and ratios to average net assets:
SSGA Multi-Asset Real Return Portfolio† | ||||||||||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | |||||||||||||||||||
Ratios and Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 88,691 | $ | 80,825 | $ | 141,996 | $ | 164,635 | $ | 121,584 | $ | 5,827 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.20 | %(a) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(a) | ||||||||||||
Net investment income (loss) | 2.90 | %(a) | 1.36 | % | 1.56 | % | 2.01 | % | 2.91 | % | 3.84 | %(a) | ||||||||||||
Portfolio turnover rate | 22 | %(b) | 25 | % | 33 | % | 40 | % | 31 | % | 10 | %(b) | ||||||||||||
Total return | 5.54 | %(b) | (3.94 | )% | (14.80 | )% | 13.93 | % | (1.63 | )% | (3.42 | )%(b) |
† | 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. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
SSGA Income Allocation Portfolio† | ||||||||||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | |||||||||||||||||||
Ratios and Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 100,628 | $ | 105,497 | $ | 121,149 | $ | 104,030 | $ | 174,255 | $ | 9,114 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.20 | %(a) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(a) | ||||||||||||
Net investment income (loss) | 4.43 | %(a) | 3.23 | % | 3.15 | % | 3.89 | % | 4.65 | % | 8.39 | %(a) | ||||||||||||
Portfolio turnover rate | 17 | %(b) | 54 | % | 64 | % | 63 | % | 80 | % | 15 | %(b) | ||||||||||||
Total return | 4.39 | %(b) | 3.95 | % | (1.42 | )% | 13.84 | % | 4.39 | % | 0.92 | %(b) |
† | 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. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
SSGA Global Allocation Portfolio† | ||||||||||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | |||||||||||||||||||
Ratios and Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 190,371 | $ | 179,713 | $ | 144,775 | $ | 98,492 | $ | 51,936 | $ | 4,451 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.20 | %(a) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(a) | ||||||||||||
Net investment income (loss) | 3.30 | %(a) | 2.30 | % | 2.45 | % | 2.76 | % | 3.07 | % | 4.34 | %(a) | ||||||||||||
Portfolio turnover rate | 43 | %(b) | 86 | % | 98 | % | 89 | % | 123 | % | 25 | %(b) | ||||||||||||
Total return | 3.09 | %(b) | (0.80 | )% | 0.49 | % | 16.80 | % | 9.92 | % | (1.82 | )%(b) |
† | 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. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
Blackstone / GSO Senior Loan Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | For the Period 4/3/13* - 6/30/13 | ||||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,097,235 | $ | 802,489 | $ | 672,264 | $ | 610,477 | $ | 332,792 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.30 | %(a) | 0.30 | % | 0.31 | % | 0.30 | % | 0.30 | %(a) | ||||||||||
Net investment income (loss) | 4.33 | %(a) | 4.54 | % | 4.49 | % | 3.63 | % | 2.57 | %(a) | ||||||||||
Portfolio turnover rate | 31 | %(b) | 88 | % | 65 | % | 77 | % | 4 | %(b) | ||||||||||
Total return | 4.31 | %(b) | (0.20 | )% | 2.98 | % | 4.00 | % | (0.31 | )%(b) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
SSGA Ultra Short Term Bond Portfolio | ||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 10/9/13* - 6/30/14 | |||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 14,068 | $ | 24,040 | $ | 16,019 | $ | 14,036 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.20 | %(a) | 0.20 | % | 0.20 | % | 0.20 | %(a) | ||||||||
Net investment income (loss) | 0.97 | %(a) | 0.69 | % | 0.33 | % | 0.34 | %(a) | ||||||||
Portfolio turnover rate | 39 | %(b) | 407 | % | 79 | % | 39 | %(b) | ||||||||
Total return | 0.79 | %(b) | 0.65 | % | 0.21 | % | 0.47 | %(b) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
State Street DoubleLine Total Return Tactical Portfolio | ||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | For the Period 2/23/15* - 6/30/15 | ||||||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 3,057,004 | $ | 2,636,073 | $ | 746,694 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.30 | %(a) | 0.30 | % | 0.30 | %(a) | ||||||
Net investment income (loss) | 3.22 | %(a) | 3.38 | % | 3.46 | %(a) | ||||||
Portfolio turnover rate | 31 | %(b) | 38 | % | 14 | %(b) | ||||||
Total return | (0.80 | )%(b) | 4.32 | % | (0.36 | )%(b) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
SSGA MFS Systematic Core Equity Portfolio | ||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 1/8/14* - 6/30/14 | |||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 6,305 | $ | 5,837 | $ | 2,940 | $ | 5,378 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.31 | %(a) | 0.30 | % | 0.30 | % | 0.30 | %(a) | ||||||||
Net investment income (loss) | 1.92 | %(a) | 2.08 | % | 1.72 | % | 1.55 | %(a) | ||||||||
Portfolio turnover rate | 29 | %(b) | 39 | % | 54 | % | 27 | %(b) | ||||||||
Total return | 8.53 | %(b) | 2.53 | % | 14.00 | % | 7.92 | %(b) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
SSGA MFS Systematic Growth Equity Portfolio | ||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 1/8/14* - 6/30/14 | |||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 12,570 | $ | 12,168 | $ | 6,045 | $ | 5,373 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.30 | %(a) | 0.30 | % | 0.30 | % | 0.30 | %(a) | ||||||||
Net investment income (loss) | 1.26 | %(a) | 1.37 | % | 1.44 | % | 1.46 | %(a) | ||||||||
Portfolio turnover rate | 30 | %(b) | 56 | % | 67 | % | 20 | %(b) | ||||||||
Total return | 3.59 | %(b) | 4.24 | % | 17.85 | % | 7.85 | %(b) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS (continued)
The following table includes selected supplemental data and ratios to average net assets:
SSGA MFS Systematic Value Equity Portfolio | ||||||||||||||||
Six Months Ended 12/31/16 (Unaudited) | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 1/8/14* - 6/30/14 | |||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,902 | $ | 2,614 | $ | 2,910 | $ | 5,286 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.31 | %(a) | 0.31 | % | 0.30 | % | 0.30 | %(a) | ||||||||
Net investment income (loss) | 2.21 | %(a) | 2.15 | % | 1.67 | % | 1.73 | %(a) | ||||||||
Portfolio turnover rate | 39 | %(b) | 64 | % | 61 | % | 23 | %(b) | ||||||||
Total return | 11.64 | %(b) | (2.13 | )% | 13.79 | % | 6.20 | %(b) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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SSGA Master Trust
December 31, 2016 (Unaudited)
1. | Organization |
SSGA Master Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company.
As of December 31, 2016, the Trust consists of nine (9) series, 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 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
Each Portfolio is classified as a diversified investment company under the 1940 Act, with the exception of SSGA Ultra Short Term Bond Portfolio and State Street DoubleLine Total Return Tactical 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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
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.
Valuation techniques used to value each Portfolio’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. |
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SSGA Master Trust
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2016 (Unaudited)
• | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices. |
• | Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by the Portfolios’ underlying benchmarks. Various inputs are used in determining the value of the
Portfolios’ investments.
The Portfolios value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Portfolio’s investments according to the fair value hierarchy as of December 31, 2016, is disclosed in each Portfolio’s respective Schedule of Investments.
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.
The Portfolios had no material transfers between levels for the period ended December 31, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Portfolios may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
Certain Portfolios invest in Real Estate Investment Trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolios’ policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar
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year’s to return of capital or capital gains distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
All of the net investment income and realized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolios within the Trust.
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 at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
3. | Securities and Other Investments |
Loan Agreements
The Blackstone / GSO Senior Loan Portfolio and State Street DoubleLine Total Return Tactical Portfolio invest in Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus are highly leveraged. The Portfolios do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Portfolios as the issuers of such loans.
4. | Fees and Transactions with Affiliates |
Advisory Fee
Each Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Portfolios, facilities furnished, and expenses borne by the Adviser, each Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Portfolio’s average daily net assets as shown in the following table:
Annual Rate | ||||
SSGA Multi-Asset Real Return Portfolio | 0.20 | % | ||
SSGA Income Allocation Portfolio | 0.20 | |||
SSGA Global Allocation Portfolio | 0.20 | |||
Blackstone / GSO Senior Loan Portfolio | 0.30 | |||
SSGA Ultra Short Term Bond Portfolio | 0.20 | |||
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 |
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The Adviser pays all expenses of each Portfolio other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (“Independent Trustees”) (including and 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 Company (“MFS”) receives fees for its services as the 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-adviser to the State Street DoubleLine Total Return Tactical Portfolio from the Adviser.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
Due to Custodian
In certain circumstances, the Portfolios may have cash overdraft with the custodian. The Due to custodian amount, if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Portfolios. The State Street DoubleLine Total Return Tactical Portfolio has a cash overdraft related to trade payment.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act, are paid directly by the Portfolios. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2016, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
SSGA Multi-Asset Real Return Portfolio | $ | — | $ | — | $ | 20,484,327 | $ | 18,783,085 | ||||||||
SSGA Income Allocation Portfolio | — | — | 20,813,154 | 16,678,835 | ||||||||||||
SSGA Global Allocation Portfolio | — | — | 87,393,664 | 76,732,759 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | — | — | 594,085,864 | 272,382,568 | ||||||||||||
SSGA Ultra Short Term Bond Portfolio | 698,496 | 400,539 | 4,154,365 | 11,861,418 | ||||||||||||
State Street DoubleLine Total Return Tactical Portfolio | 1,078,640,192 | 527,782,081 | 403,020,765 | 305,174,181 | ||||||||||||
SSGA MFS Systematic Core Equity Portfolio | — | — | 1,744,573 | 1,736,390 | ||||||||||||
SSGA MFS Systematic Growth Equity Portfolio | — | — | 3,662,866 | 3,634,770 | ||||||||||||
SSGA MFS Systematic Value Equity Portfolio | — | — | 1,048,915 | 1,054,789 |
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2016 (Unaudited)
For the period ended December 31, 2016, the following Portfolios had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:
Contributions | Redemptions | Net Realized Gains/(Losses) | ||||||||||
SSGA Multi-Asset Real Return Portfolio | $ | 16,895,647 | $ | 1,531,887 | $ | 730,161 | ||||||
SSGA Income Allocation Portfolio | 1,531,887 | 4,530,370 | 506,919 | |||||||||
SSGA Global Allocation Portfolio | 12,090,001 | 7,494,887 | 515,885 |
7. | Income Tax Information |
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 its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolios file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
At December 31, 2016, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
SSGA Multi-Asset Real Return Portfolio | $ | 95,104,282 | $ | 4,195,538 | $ | 10,664,480 | $ | (6,468,942 | ) | |||||||
SSGA Income Allocation Portfolio | 101,223,463 | 2,422,884 | 3,197,505 | (774,621 | ) | |||||||||||
SSGA Global Allocation Portfolio | 183,303,813 | 9,998,658 | 3,331,369 | 6,667,289 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | 1,121,564,725 | 29,148,657 | 1,781,230 | 27,367,427 | ||||||||||||
SSGA Ultra Short Term Bond Portfolio | 13,648,417 | 409,658 | 10,313 | 399,345 | ||||||||||||
State Street DoubleLine Total Return Tactical Portfolio | 3,021,872,181 | 93,983,671 | 64,902,831 | 29,080,840 | ||||||||||||
SSGA MFS Systematic Core Equity Portfolio | 5,867,652 | 616,657 | 183,228 | 433,429 | ||||||||||||
SSGA MFS Systematic Growth Equity Portfolio | 11,878,201 | 1,187,303 | 506,557 | 680,746 | ||||||||||||
SSGA MFS Systematic Value Equity Portfolio | 2,581,328 | 372,808 | 56,616 | 316,192 |
8. | Line of Credit |
Certain Portfolios and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. Blackstone / GSO Senior Loan Portfolio has exclusive access to $100 million of the total credit facility. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the participants could borrow up to $360 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements. The following Portfolios participate in the credit facility:
Blackstone / GSO Senior Loan Portfolio
SSGA Ultra Short Term Bond Portfolio
State Street DoubleLine Total Return Tactical Portfolio
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Blackstone / GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are
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ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was calculated at a rate per annum equal to the sum of the New York Fed Bank 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. No Portfolios had outstanding loans during the period ended December 31, 2016.
9. | Risks |
Concentration Risk
As a result of the Portfolios’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolios’ investments more than if the Portfolios were more broadly diversified.
Foreign and Emerging Markets Risks
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolios’ invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolios through the date on which 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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DECEMBER 31, 2016 (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 (the “SEC”), at www.sec.gov.
Information regarding how the investment adviser voted for the most recent 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 Portfolios’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.
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Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President; Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Christopher A. Madden, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics 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
1111 Pennsylvania Avenue, NW
Washington, DC 20004
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 adviser. SSGA Funds Management has retained GSO Capital Partners, Massachusetts Financial Services Company & DoubleLine Capital LP as the sub-adviser.
DoubleLine® is a registered trademark of DoubleLine Capital LP.
GSO Capital Partners, Massachusetts Financial Services Company and DoubleLine Capital LP is not affiliated with State Street Global Markets, LLC.
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
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com Please read the prospectus carefully before you invest.
State Street Global Advisors | © 2017 State Street Corporation - All Rights Reserved SPDRACTSAR |
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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 7, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | March 7, 2017 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | March 7, 2017 |