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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, 2017
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Item 1. Reports to Shareholders.
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SSGA Master Trust
Semi-Annual Report December 31, 2017
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 (Unaudited) | ||||
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3 | ||||
4 | ||||
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8 | ||||
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Schedules of Investments (Unaudited) | ||||
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21 | ||||
33 | ||||
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87 |
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, 2017
Description | Market Value | % of Net Assets | ||||||||||
SPDR S&P Global Natural Resources ETF | $ | 31,103,560 | 27.2 | % | ||||||||
PowerShares DB Commodity Index Tracking Fund | 23,932,103 | 20.9 | ||||||||||
SPDR Bloomberg Barclays TIPS ETF | 16,551,675 | 14.5 | ||||||||||
SPDR S&P Global Infrastructure ETF | 10,799,264 | 9.5 | ||||||||||
SPDR Dow Jones International Real Estate ETF | 6,790,780 | 5.9 |
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular fund.)
Asset Allocation as of December 31, 2017*
Percentage of Net Assets | ||||||||
Natural Resources | 39.5 | % | ||||||
Commodities | 20.9 | |||||||
Inflation Linked | 19.4 | |||||||
Real Estate | 9.8 | |||||||
International Equity | 9.5 | |||||||
Short-Term Investments | 1.1 | |||||||
Liabilities in Excess of Other Assets | (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 INCOME ALLOCATION PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)
Top Five Holdings as of December 31, 2017
Description | Market Value | % of Net Assets | ||||||||||
SPDR S&P Dividend ETF | $ | 15,352,811 | 15.0 | % | ||||||||
SPDR S&P International Dividend ETF | 11,182,334 | 10.9 | ||||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 10,117,240 | 9.9 | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 8,957,771 | 8.8 | ||||||||||
SPDR MSCI Emerging Markets StrategicFactors ETF | 7,139,236 | 7.0 |
(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, 2017*
Percentage of Net Assets | ||||||||
Domestic Fixed Income | 30.3 | % | ||||||
International Equity | 26.7 | |||||||
Domestic Equity | 25.9 | |||||||
Real Estate | 6.5 | |||||||
Inflation Linked | 4.9 | |||||||
International Fixed Income | 4.0 | |||||||
Short-Term Investments | 8.4 | |||||||
Liabilities in Excess of Other Assets | (6.7 | ) | ||||||
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, 2017
Description | Market Value | % of Net Assets | ||||||||||
SPDR Portfolio Developed World ex-US ETF | $ | 63,327,122 | 26.9 | % | ||||||||
SPDR S&P 500 ETF Trust | 58,094,888 | 24.7 | ||||||||||
SPDR Portfolio Emerging Markets ETF | 21,557,192 | 9.2 | ||||||||||
SPDR Bloomberg Barclays TIPS ETF | 11,558,981 | 4.9 | ||||||||||
Vanguard FTSE Pacific ETF | 9,260,341 | 3.9 |
(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, 2017*
Percentage of Net Assets | ||||||||
International Equity | 44.0 | % | ||||||
Domestic Equity | 35.5 | |||||||
Domestic Fixed Income | 9.9 | |||||||
Inflation Linked | 4.9 | |||||||
Real Estate | 1.9 | |||||||
International Fixed Income | 1.0 | |||||||
Short-Term Investments | 3.4 | |||||||
Liabilities in Excess of Other Assets | (0.6 | ) | ||||||
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, 2017
Description | Market Value | % of Net Assets | ||||||||||
McAfee LLC Senior Secured 2017 USD Term Loan B 6.07%, 9/30/2024 | $ | 36,845,156 | 1.6 | % | ||||||||
CenturyLink , Inc. Senior Secured 2017 Term Loan B 4.32%, 1/31/2025 | 35,189,793 | 1.5 | ||||||||||
Univision Communications, Inc. Senior Secured Term Loan C5 4.32%, 3/15/2024 | 32,729,283 | 1.4 | ||||||||||
Valeant Pharmaceuticals International, Inc. Senior Secured Term Loan B Series F4 4.94%, 4/1/2022 | 31,668,955 | 1.4 | ||||||||||
Red Ventures, LLC Senior Secured 1st Lien Term Loan 5.57%, 11/8/2024 | 31,640,513 | 1.3 |
(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, 2017*
Percentage of Net Assets | ||||||||
Software | 12.4 | % | ||||||
Media | 10.7 | |||||||
Commercial Services & Supplies | 7.1 | |||||||
Health Care Providers & Services | 6.4 | |||||||
Hotels, Restaurants & Leisure | 5.5 | |||||||
Pharmaceuticals | 3.8 | |||||||
Specialty Retail | 3.6 | |||||||
Insurance | 3.3 | |||||||
Diversified Telecommunication Services | 2.9 | |||||||
Internet Software & Services | 2.7 | |||||||
Aerospace & Defense | 2.4 | |||||||
Professional Services | 1.8 | |||||||
Diversified Financial Services | 1.7 | |||||||
Distributors | 1.7 | |||||||
Food & Staples Retailing | 1.7 | |||||||
Containers & Packaging | 1.6 | |||||||
Health Care Services | 1.6 | |||||||
IT Services | 1.6 | |||||||
Life Sciences Tools & Services | 1.4 | |||||||
Health Care Equipment & Supplies | 1.3 | |||||||
Food Products | 1.2 | |||||||
Real Estate Investment Trusts (REITs) | 1.2 | |||||||
Diversified Consumer Services | 1.1 | |||||||
Electric Utilities | 1.1 | |||||||
Independent Power Producers & Energy Traders | 1.1 | |||||||
Semiconductor Equipment | 1.0 | |||||||
Chemicals | 0.9 | |||||||
Communications Equipment | 0.9 | |||||||
Construction & Engineering | 0.9 | |||||||
Trading Companies & Distributors | 0.8 | |||||||
Auto Components | 0.7 | |||||||
Capital Markets | 0.7 | |||||||
Health Care Technology | 0.7 | |||||||
Retail | 0.7 |
Percentage of Net Assets | ||||||||
Semiconductors & Semiconductor Equipment | 0.6 | % | ||||||
Electrical Equipment | 0.5 | |||||||
Automobiles | 0.5 | |||||||
Construction Materials | 0.4 | |||||||
Distribution & Wholesale | 0.4 | |||||||
Entertainment | 0.4 | |||||||
Machinery | 0.4 | |||||||
Building Products | 0.3 | |||||||
Computers & Peripherals | 0.3 | |||||||
Electronic Equipment, Instruments & Components | 0.3 | |||||||
Household Durables | 0.3 | |||||||
Packaging & Containers | 0.3 | |||||||
Airlines | 0.2 | |||||||
Commercial Banks | 0.2 | |||||||
Electronics | 0.2 | |||||||
Food | 0.2 | |||||||
Industrial Conglomerates | 0.2 | |||||||
Internet & Catalog Retail | 0.2 | |||||||
Multiline Retail | 0.2 | |||||||
Real Estate Management & Development | 0.2 | |||||||
Road & Rail | 0.2 | |||||||
Beverages | 0.1 | |||||||
Environmental Control | 0.1 | |||||||
Metals & Mining | 0.1 | |||||||
Pollution Control | 0.1 | |||||||
Thrifts & Mortgage Finance | 0.1 | |||||||
Health Care Products | 0.0 | ** | ||||||
Short-Term Investment | 8.9 | |||||||
Liabilities in Excess of Other Assets | (4.1 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown 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, 2017
Description | Market Value | % of Net Assets | ||||||||||
Treasury Notes 1.00%, 11/30/2018 | $ | 1,191,549 | 4.9 | % | ||||||||
Treasury Notes 0.88%, 3/31/2018 | 649,162 | 2.7 | ||||||||||
BMW US Capital LLC 3 month USD LIBOR + 0.38% 2.08%, 4/6/2020 | 602,682 | 2.5 | ||||||||||
Treasury Notes 0.63%, 6/30/2018 | 597,388 | 2.5 | ||||||||||
Treasury Notes 1.25%, 6/30/2019 | 545,125 | 2.3 |
(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, 2017*
Percentage of Net Assets | ||||||||
Banks | 21.5 | % | ||||||
Soverign | 15.4 | |||||||
Credit Card | 11.2 | |||||||
Auto Manufacturers | 10.6 | |||||||
Oil & Gas | 6.9 | |||||||
Automobile | 4.9 | |||||||
Retail | 3.5 | |||||||
IT Services | 2.9 | |||||||
Miscellaneous Manufacturer | 2.9 | |||||||
Media | 2.7 | |||||||
Machinery, Construction & Mining | 2.3 | |||||||
Biotechnology | 2.1 | |||||||
Beverages | 1.9 | |||||||
Telecommunications | 1.9 | |||||||
Diversified Financial Services | 1.5 | |||||||
Semiconductors | 1.3 | |||||||
Aerospace & Defense | 1.0 | |||||||
Electronics | 1.0 | |||||||
Pharmaceuticals | 1.0 | |||||||
Software | 1.0 | |||||||
Machinery-Diversified | 0.8 | |||||||
Transportation | 0.8 | |||||||
Short-Term Investment | 1.9 | |||||||
Liabilities in Excess of Other Assets | (1.0 | ) | ||||||
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, 2017
Description | Market Value | % of Net Assets | ||||||||||
Treasury Notes 1.50%, 5/31/2020 | $ | 93,275,895 | 2.6 | % | ||||||||
Federal National Mortgage Series 2017-18, Class A, CMO, REMIC 3.00%, 8/25/2042 | 93,135,587 | 2.6 | ||||||||||
Treasury Notes 2.13%, 1/31/2021 | 90,617,860 | 2.5 | ||||||||||
Federal National Mortgage Association Series 2017-9, Class EA, CMO, REMIC 3.00%, 10/25/2042 | 78,348,671 | 2.2 | ||||||||||
Federal National Mortgage Association Series 2017-15, Class MA, CMO, REMIC 3.00%, 2/25/2042 | 75,151,354 | 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, 2017*
Percentage of Net Assets | ||||||||
U.S. Government Agency Obligations | 47.3 | % | ||||||
U.S. Treasury Obligations | 14.8 | |||||||
Commercial Mortgage Backed Securities | 6.7 | |||||||
Mortgage-Backed Securities | 2.7 | |||||||
Asset-Backed Securities | 3 | |||||||
Foreign Government Obligations | 2.4 | |||||||
Banks | 3.2 | |||||||
Oil&Gas | 1.9 | |||||||
Software | 1.4 | |||||||
Media | 1.1 | |||||||
Hotels, Restaurants & Leisure | 1 | |||||||
Telecommunications | 0.9 | |||||||
Food | 0.6 | |||||||
Electric | 0.5 | |||||||
Insurance | 0.5 | |||||||
Pharmaceuticals | 0.4 | |||||||
Health Care Providers & Services | 0.4 | �� | ||||||
Diversified Financial Services | 0.4 | |||||||
Pipelines | 0.4 | |||||||
Healthcare-Services | 0.4 | |||||||
REITS | 0.4 | |||||||
Diversified Telecommunication Services | 0.3 | |||||||
Beverages | 0.3 | |||||||
Internet | 0.3 | |||||||
Commercial Services & Supplies | 0.3 | |||||||
IT Services | 0.3 | |||||||
Retail | 0.3 | |||||||
Lodging | 0.2 | |||||||
Containers & Packaging | 0.2 | |||||||
Investment Company Security | 0.2 | |||||||
Forest Products&Paper | 0.2 | |||||||
Food & Staples Retailing | 0.2 | |||||||
Communications Equipment | 0.2 | |||||||
Holding Companies-Divers | 0.2 | |||||||
Life Sciences Tools & Services | 0.2 | |||||||
Chemicals | 0.2 | |||||||
Airlines | 0.2 | |||||||
Environmental Control | 0.2 | |||||||
Commercial Services | 0.1 | |||||||
Packaging & Containers | 0.1 | |||||||
Transportation | 0.1 | |||||||
Construction & Engineering | 0.1 | |||||||
Gas | 0.1 | |||||||
Auto Manufacturers | 0.1 | |||||||
Health Care Technology | 0.1 | |||||||
Electric Utilities | 0.1 | |||||||
Biotechnology | 0.1 | |||||||
Leisure Time | 0.1 | |||||||
Healthcare-Products | 0.1 | |||||||
Agriculture | 0.1 | |||||||
Entertainment | 0.1 | |||||||
Auto Components | 0.1 | |||||||
Real Estate Investment Trusts (REITs) | 0.1 | |||||||
Specialty Retail | 0.1 | |||||||
Machinery, Construction & Mining | 0.1 | |||||||
Semiconductor Equipment | 0.1 | |||||||
Auto Parts&Equipment | 0.1 | |||||||
Capital Markets | 0.1 | |||||||
Energy Equipment & Services | 0.1 | |||||||
Construction Materials | 0.1 | |||||||
Coal | 0.1 | |||||||
Trading Companies & Distributors | 0.1 | |||||||
Electrical Equipment | 0.1 | |||||||
Aerospace & Defense | 0.1 | |||||||
Energy-Alternate Sources | 0.1 | |||||||
Financial Services | 0.0 | ** | ||||||
Mining | 0.0 | ** | ||||||
Household Products/Wares | 0.0 | ** | ||||||
Trucking&Leasing | 0.0 | ** | ||||||
Household Products | 0.0 | ** | ||||||
Home Furnishings | 0.0 | ** | ||||||
Oil&Gas Services | 0.0 | ** | ||||||
Machinery-Diversified | 0.0 | ** | ||||||
Food Products | 0.0 | ** | ||||||
Advertising | 0.0 | ** | ||||||
Commercial Banks | 0.0 | ** | ||||||
Distributors | 0.0 | ** | ||||||
Machinery | 0.0 | ** | ||||||
Internet Software & Services | 0.0 | ** | ||||||
Short-Term Investment | 2.7 | |||||||
Other Assets in Excess of Liabilities | 0.2 | |||||||
100.0 | % |
* | The Portfolio’s industry breakdown 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 MFS SYSTEMATIC CORE EQUITY PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)
Top Five Holdings as of December 31, 2017
Description | Market Value | % of Net Assets | ||||||||||
Boeing Co. | $ | 470,087 | 4.2 | % | ||||||||
Citigroup, Inc. | 460,970 | 4.1 | ||||||||||
JPMorgan Chase & Co. | 434,925 | 3.9 | ||||||||||
Union Pacific Corp. | 422,951 | 3.7 | ||||||||||
Johnson & Johnson | 407,424 | 3.6 |
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2017*
Percentage of Net Assets | ||||||||
Pharmaceuticals | 8.3 | % | ||||||
Banks | 7.9 | |||||||
Insurance | 7.9 | |||||||
Software | 7.4 | |||||||
Health Care Providers & Services | 6.8 | |||||||
Internet Software & Services | 6.1 | |||||||
Oil, Gas & Consumable Fuels | 5.4 | |||||||
IT Services | 5.3 | |||||||
Food Products | 4.7 | |||||||
Aerospace & Defense | 4.2 | |||||||
Road & Rail | 3.7 | |||||||
Hotels, Restaurants & Leisure | 3.6 | |||||||
Speciality Retail | 3.5 | |||||||
Technology Hardware, Storage & Peripherals | 3.4 | |||||||
Electric Utilities | 3.1 | |||||||
Internet & Catalog Retail | 3.1 | |||||||
Media | 3.0 | |||||||
Independent Power Producers & Energy Traders | 2.8 | |||||||
Tobacco | 2.2 | |||||||
Biotechnology | 1.2 | |||||||
Consumer Finance | 1.2 | |||||||
Machinery | 1.0 | |||||||
Semiconductors & Semiconductor Equipment | 1.0 | |||||||
Household Products | 1.0 | |||||||
Real Estate Investment Trusts (REITs) | 0.7 | |||||||
Chemicals | 0.7 | |||||||
Short-Term Investment | 0.8 | |||||||
Liabilities in Excess of Other Assets | (0.0 | )** | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown 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 MFS SYSTEMATIC GROWTH EQUITY ETF — PORTFOLIO STATISTICS (UNAUDITED)
Top Five Holdings as of December 31, 2017
Description | Market Value | % of Net Assets | ||||||||||
Facebook, Inc. | $ | 4,215,100 | 6.2 | % | ||||||||
Boeing Co. | 3,035,214 | 4.5 | ||||||||||
Apple, Inc. | 2,708,526 | 4.0 | ||||||||||
Caterpillar, Inc. | 2,587,936 | 3.8 | ||||||||||
UnitedHealth Group, Inc. | 2,313,507 | 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, 2017*
Description | Percentage of Net Assets | |||||||
Internet Software & Services | 12.3 | % | ||||||
Software | 11.1 | |||||||
Health Care Providers & Services | 9.9 | |||||||
Technology Hardware, Storage & Peripherals | 6.9 | |||||||
IT Services | 6.3 | |||||||
Media | 5.2 | |||||||
Aerospace & Defense | 4.5 | |||||||
Pharmaceuticals | 4.0 | |||||||
Machinery | 3.8 | |||||||
Tobacco | 3.6 | |||||||
Specialty Retail | 3.4 | |||||||
Internet & Catalog Retail | 3.0 | |||||||
Real Estate Investment Trusts (REITs) | 3.0 | |||||||
Biotechnology | 2.9 | |||||||
Auto Components | 2.8 | |||||||
Insurance | 2.6 | |||||||
Food Products | 2.3 | |||||||
Trading Companies & Distributors | 2.2 | |||||||
Hotels, Restaurants & Leisure | 2.2 | |||||||
Semiconductors & Semiconductor Equipment | 2.0 | |||||||
Chemicals | 1.7 | |||||||
Independent Power Producers & Energy Traders | 1.1 | |||||||
Household Durables | 0.9 | |||||||
Road & Rail | 0.7 | |||||||
Food & Staples | 0.3 | |||||||
Beverages | 0.2 | |||||||
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 VALUE EQUITY ETF — PORTFOLIO STATISTICS (UNAUDITED)
Top Five Holdings as of December 31, 2017
Description | Market Value | % of Net Assets | ||||||||||
Bank of America Corp. | $ | 322,211 | 4.8 | % | ||||||||
JPMorgan Chase & Co. | 318,467 | 4.7 | ||||||||||
Citigroup, Inc. | 309,546 | 4.6 | ||||||||||
Valero Energy Corp. | 245,400 | 3.6 | ||||||||||
Best Buy Co., Inc. | 236,701 | 3.5 |
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of December 31, 2017*
Percentage of Net Assets | ||||||||
Banks | 14.1 | % | ||||||
Oil, Gas & Consumable Fuels | 9.0 | |||||||
Health Care Providers & Services | 8.1 | |||||||
Insurance | 6.7 | |||||||
Electric Utilities | 5.6 | |||||||
Food Products | 5.5 | |||||||
Consumer Finance | 5.0 | |||||||
Pharmaceuticals | 4.8 | |||||||
Specialty Retail | 4.5 | |||||||
Electrical Equipment | 3.7 | |||||||
Machinery | 3.6 | |||||||
Hotels, Restaurants & Leisure | 3.1 | |||||||
IT Services | 3.1 | |||||||
Independent Power Producers & Energy Traders | 2.9 | |||||||
Semiconductors & Semiconductor Equipment | 2.5 | |||||||
Road & Rail | 2.4 | |||||||
Software | 2.2 | |||||||
Real Estate Investments Trusts (REITs) | 2.0 | |||||||
Communications Equipment | 1.9 | |||||||
Technology Hardware, Storage & Peripherals | 1.8 | |||||||
Chemicals | 1.5 | |||||||
Real Estate Management & Development | 1.2 | |||||||
Beverages | 0.9 | |||||||
Tobacco | 0.9 | |||||||
Internet & Catalog Retail | 0.7 | |||||||
Energy Equipment & Services | 0.6 | |||||||
Health Care Equipment & Supplies | 0.5 | |||||||
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 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, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.1% |
| |||||||
COMMODITIES — 20.9% | ||||||||
PowerShares DB Commodity Index Tracking Fund (a) (b) | 1,440,825 | $ | 23,932,103 | |||||
|
| |||||||
INFLATION LINKED — 19.4% | ||||||||
SPDR Bloomberg Barclays TIPS ETF (c) | 294,252 | 16,551,675 | ||||||
SPDR Citi International Government Inflation-Protected Bond ETF (c) | 98,267 | 5,652,318 | ||||||
|
| |||||||
22,203,993 | ||||||||
|
| |||||||
INTERNATIONAL EQUITY — 9.5% |
| |||||||
SPDR S&P Global Infrastructure ETF (c) | 208,480 | 10,799,264 | ||||||
|
| |||||||
NATURAL RESOURCES — 39.5% | ||||||||
PowerShares Global Agriculture Portfolio (b) | 83,374 | 2,291,951 | ||||||
SPDR S&P Global Natural Resources ETF (c) | 633,861 | 31,103,560 | ||||||
SPDR S&P Metals & Mining ETF (c) | 133,407 | 4,852,013 | ||||||
SPDR S&P Oil & Gas Equipment & Services ETF (c) (d) | 138,255 | 2,368,308 | ||||||
The Energy Select Sector SPDR Fund | 63,716 | 4,604,118 | ||||||
|
| |||||||
45,219,950 | ||||||||
|
| |||||||
REAL ESTATE — 9.8% |
| |||||||
SPDR Dow Jones International Real Estate ETF (c) | 167,715 | 6,790,780 | ||||||
SPDR Dow Jones REIT ETF (c) | 47,224 | 4,424,417 | ||||||
|
| |||||||
11,215,197 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $111,492,940) | 113,370,507 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 1.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (e) (f) | 1,037,868 | 1,037,868 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (e) (g) | 161,000 | 161,000 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 1,198,868 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% | 114,569,375 | |||||||
LIABILITIES IN EXCESS OF | (179,731 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 114,389,644 | ||||||
|
|
(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, 2017 are shown in the Affiliate Table below. |
(d) | All or a portion of the shares of the security are on loan at December 31, 2017. |
(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, 2017 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2017. |
(g) | Investment of cash collateral for securities loaned. |
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 | $ | 23,932,103 | $ | — | $ | — | $ | 23,932,103 | ||||||||
Inflation Linked | 22,203,993 | — | — | 22,203,993 | ||||||||||||
International Equity | 10,799,264 | — | — | 10,799,264 | ||||||||||||
Natural Resources | 45,219,950 | — | — | 45,219,950 | ||||||||||||
Real Estate | 11,215,197 | — | — | 11,215,197 | ||||||||||||
Short-Term Investments | 1,198,868 | — | — | 1,198,868 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 114,569,375 | $ | — | $ | — | $ | 114,569,375 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
11
Table of Contents
SSGA Multi-Asset Real Return Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 346,902 | $ | 19,485,485 | $ | 1,313,409 | $ | 4,286,144 | $ | 3,449 | $ | 35,476 | 294,252 | $ | 16,551,675 | $ | 350,453 | $ | — | ||||||||||||||||||||||
SPDR Citi International Government Inflation-Protected Bond ETF | 102,895 | 5,716,846 | 661,072 | 925,899 | 71,852 | 128,447 | 98,267 | 5,652,318 | 61,039 | 46,310 | ||||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 233,843 | 8,909,418 | 392,016 | 2,969,309 | (57,046 | ) | 515,701 | 167,715 | 6,790,780 | 100,704 | — | |||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 62,686 | 5,828,544 | 296,383 | 1,749,677 | 163,113 | (113,946 | ) | 47,224 | 4,424,417 | 75,842 | — | |||||||||||||||||||||||||||||
SPDR S&P Global Infrastructure ETF | 267,952 | 13,515,499 | 1,293,530 | 4,408,019 | 280,910 | 117,344 | 208,480 | 10,799,264 | 186,473 | — | ||||||||||||||||||||||||||||||
SPDR S&P Global Natural Resources ETF | 609,759 | 25,323,291 | 5,776,096 | 4,569,027 | 633,086 | 3,940,115 | 633,861 | 31,103,560 | 404,543 | — | ||||||||||||||||||||||||||||||
SPDR S&P International Energy Sector ETF | 126,242 | 2,209,235 | — | 2,271,297 | (654,917 | ) | 716,979 | — | — | — | — | |||||||||||||||||||||||||||||
SPDR S&P Metals & Mining ETF | 119,139 | 3,570,596 | 1,434,777 | 990,304 | 126,169 | 710,775 | 133,407 | 4,852,013 | 41,603 | — | ||||||||||||||||||||||||||||||
SPDR S&P Oil & Gas Equipment & Services ETF | 149,481 | 2,312,471 | 463,865 | 652,616 | (107,256 | ) | 351,844 | 138,255 | 2,368,308 | 36,439 | — | |||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares . | 913,190 | 913,190 | 2,426,864 | 2,302,186 | — | — | 1,037,868 | 1,037,868 | 1,401 | — | ||||||||||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio . | — | — | 16,045,191 | 15,884,191 | — | — | 161,000 | 161,000 | 2,623 | — | ||||||||||||||||||||||||||||||
The Energy Select Sector SPDR Fund | 35,655 | 2,314,723 | 2,473,625 | 568,771 | 12,430 | 372,110 | 63,716 | 4,604,118 | 72,213 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 90,099,298 | $ | 32,576,828 | $ | 41,577,440 | $ | 471,790 | $ | 6,774,845 | $ | 88,345,321 | $ | 1,333,333 | $ | 46,310 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.3% |
| |||||||
DOMESTIC EQUITY — 25.9% | ||||||||
SPDR S&P Dividend ETF (a) | 162,498 | $ | 15,352,811 | |||||
SPDR Wells Fargo Preferred Stock ETF (a) (b) | 112,037 | 4,934,109 | ||||||
The Financial Select Sector SPDR Fund (a) | 76,138 | 2,125,012 | ||||||
The Health Care Select Sector SPDR Fund (a) | 24,517 | 2,027,066 | ||||||
The Technology Select Sector SPDR Fund (a) | 31,312 | 2,002,402 | ||||||
|
| |||||||
26,441,400 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 30.3% | ||||||||
SPDR Bloomberg Barclays Convertible Securities ETF (a) | 96,424 | 4,879,054 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) (b) | 243,948 | 8,957,771 | ||||||
SPDR Portfolio Long Term Corporate Bond ETF (a) | 353,626 | 10,117,240 | ||||||
SPDR Portfolio Long Term Treasury ETF (a) | 191,467 | 7,005,777 | ||||||
|
| |||||||
30,959,842 | ||||||||
|
| |||||||
INFLATION LINKED — 4.9% | ||||||||
SPDR Bloomberg Barclays TIPS ETF (a) | 88,002 | 4,950,112 | ||||||
|
| |||||||
INTERNATIONAL EQUITY — 26.7% | ||||||||
SPDR MSCI Emerging Markets StrategicFactors ETF (a) | 110,703 | 7,139,236 | ||||||
SPDR S&P Global Infrastructure ETF (a) | 94,881 | 4,914,836 | ||||||
SPDR S&P International Dividend ETF (a) (b) | 271,350 | 11,182,334 | ||||||
SPDR STOXX Europe 50 ETF (a) | 113,103 | 4,062,659 | ||||||
|
| |||||||
27,299,065 | ||||||||
|
| |||||||
INTERNATIONAL FIXED INCOME — 4.0% |
| |||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) (b) | 137,688 | 4,086,580 | ||||||
|
| |||||||
REAL ESTATE — 6.5% | ||||||||
SPDR Dow Jones International Real Estate ETF (a) | 96,731 | $ | 3,916,638 | |||||
SPDR Dow Jones REIT ETF (a) | 29,186 | 2,734,437 | ||||||
|
| |||||||
6,651,075 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS | 100,388,074 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 8.4% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,792,571 | 1,792,571 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e) | 6,838,050 | 6,838,050 | ||||||
|
| |||||||
TOTAL SHORT-TERM | 8,630,621 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 106.7% | 109,018,695 | |||||||
LIABILITIES IN EXCESS OF | (6,854,667 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 102,164,028 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2017. |
(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, 2017 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2017. |
(e) | Investment of cash collateral for securities loaned. |
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 | ||||||||||||||||
Domestic Equity | $ | 26,441,400 | $ | — | $ | — | $ | 26,441,400 | ||||||||
Domestic Fixed Income | 30,959,842 | — | — | 30,959,842 | ||||||||||||
Inflation Linked | 4,950,112 | — | — | 4,950,112 | ||||||||||||
International Equity | 27,299,065 | — | — | 27,299,065 | ||||||||||||
International Fixed Income | 4,086,580 | — | — | 4,086,580 | ||||||||||||
Real Estate | 6,651,074 | — | — | 6,651,074 | ||||||||||||
Short-Term Investments | 8,630,621 | — | — | 8,630,621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 109,018,695 | $ | — | $ | — | $ | 109,018,695 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
14
Table of Contents
SSGA Income Allocation Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||
SPDR Bloomberg Barclays Convertible Securities ETF | 97,367 | $ | 4,831,351 | $ | 159,139 | $ | 207,794 | $ | 10,152 | $ | 86,206 | 96,424 | $ | 4,879,054 | $ | 148,458 | $ | — | ||||||||||||||||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 133,579 | 3,879,134 | 308,094 | 190,955 | 14,354 | 75,953 | 137,688 | 4,086,580 | 79,827 | — | ||||||||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond | 254,955 | 9,484,326 | 683,745 | 1,082,286 | (69,077 | ) | (58,937 | ) | 243,948 | 8,957,771 | 292,408 | — | ||||||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Corporate Bond ETF | 258,724 | 10,773,267 | 336,913 | 1,303,065 | 34,426 | 275,699 | 353,626 | 10,117,240 | 253,610 | — | ||||||||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treausury ETF | 94,945 | 6,846,484 | 405,071 | 350,807 | 11,224 | 93,805 | 191,467 | 74,005,777 | 105,484 | — | ||||||||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 84,440 | 4,742,995 | 313,969 | 112,259 | 1,491 | 3,916 | 88,002 | 4,950,112 | 99,149 | — | ||||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 118,801 | 4,526,318 | 246,396 | 1,119,509 | (62,150 | ) | 325,583 | 96,731 | 3,916,638 | 51,759 | — | |||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 47,469 | 4,413,668 | 163,165 | 1,889,525 | 286,181 | (239,052 | ) | 29,186 | 2,734,437 | 49,731 | — | |||||||||||||||||||||||||||||
SPDR MSCI Emerging Markets StrategicFactors ETF | 99,731 | 5,804,344 | 983,650 | 305,265 | 27,850 | 628,657 | 110,703 | 7,139,236 | 103,880 | — | ||||||||||||||||||||||||||||||
SPDR S&P Dividend ETF | 129,110 | 11,476,588 | 3,313,478 | 225,201 | 67,471 | 720,475 | 162,498 | 15,352,811 | 170,197 | 378,394 | ||||||||||||||||||||||||||||||
SPDR S&P Global Infrastructure ETF | 63,319 | 3,193,810 | 1,731,393 | 64,740 | 14,662 | 39,711 | 94,881 | 4,914,836 | 84,865 | — | ||||||||||||||||||||||||||||||
SPDR S&P International Dividend ETF. | 261,756 | 10,239,895 | 662,669 | 273,009 | 11,222 | 541,557 | 271,350 | 11,182,334 | 205,588 | — | ||||||||||||||||||||||||||||||
SPDR STOXX Europe 50 ETF | 136,758 | 4,642,934 | 276,474 | 1,123,480 | 49,238 | 217,493 | 113,103 | 4,062,659 | 20,768 | — | ||||||||||||||||||||||||||||||
SPDR Wells Fargo Preferred Stock ETF. | 105,452 | 4,742,176 | 394,460 | 98,384 | (236 | ) | (103,907 | ) | 112,037 | 4,934,109 | 141,736 | — | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 810,640 | 810,640 | 2,937,294 | 1,955,363 | — | — | 1,792,571 | 1,792,571 | 1,910 | — | ||||||||||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | — | — | 55,735,305 | 48,897,255 | — | — | 6,838,050 | 6,838,050 | 1,672 | — | ||||||||||||||||||||||||||||||
The Financial Select Sector SPDR Fund. | — | — | 1,991,156 | — | — | 133,856 | 76,138 | 2,125,012 | 9,767 | — | ||||||||||||||||||||||||||||||
The Health Care Select Sector SPDR Fund | 25,080 | 1,987,339 | 109,161 | 156,420 | 10,178 | 76,808 | 24,517 | 2,027,066 | 15,290 | — | ||||||||||||||||||||||||||||||
The Industrial Select Sector SPDR Fund | 28,744 | 1,957,754 | 32,052 | 2,084,981 | 435,707 | (340,532 | ) | — | — | 9,035 | — | |||||||||||||||||||||||||||||
The Technology Select Sector SPDR Fund | 35,468 | 1,940,809 | 63,855 | 316,055 | 60,881 | 252,908 | 31,312 | 2,002,402 | 14,454 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 96,293,832 | $ | 70,847,443 | $ | 61,756,353 | $ | 903,574 | $ | 2,730,199 | $ | 109,018,695 | $ | 1,859,588 | $ | 378,394 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
15
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.
16
Table of Contents
SSGA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.2% |
| |||||||
DOMESTIC EQUITY — 35.5% |
| |||||||
SPDR Portfolio Small Cap ETF (a) (b) | 229,737 | $ | 6,926,571 | |||||
SPDR S&P 500 ETF Trust (a) | 217,698 | 58,094,888 | ||||||
SPDR S&P MidCap 400 ETF Trust (a) | 13,496 | 4,661,653 | ||||||
The Financial Select Sector SPDR Fund (a) | 166,259 | 4,640,289 | ||||||
The Health Care Select Sector SPDR Fund (a) | 54,800 | 4,530,864 | ||||||
The Technology Select Sector SPDR Fund (a) | 72,254 | 4,620,643 | ||||||
|
| |||||||
83,474,908 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 9.9% |
| |||||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 126,158 | 4,632,522 | ||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF (a) | 167,998 | 4,630,025 | ||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) (b) | 135,033 | 4,620,829 | ||||||
SPDR Portfolio Long Term Corporate Bond ETF (a) | 1,204 | 34,446 | ||||||
SPDR Portfolio Long Term Treasury ETF (a) | 252,552 | 9,240,878 | ||||||
|
| |||||||
23,158,700 | ||||||||
|
| |||||||
INFLATION LINKED — 4.9% |
| |||||||
SPDR Bloomberg Barclays TIPS ETF (a) (b) | 205,493 | 11,558,981 | ||||||
|
| |||||||
INTERNATIONAL EQUITY — 44.0% |
| |||||||
SPDR Portfolio Developed World ex-US ETF (a) | 1,997,701 | 63,327,122 | ||||||
SPDR Portfolio Emerging Markets ETF (a) | 565,064 | 21,557,192 | ||||||
SPDR S&P Emerging Markets SmallCap ETF (a) | 46,483 | 2,417,116 | ||||||
SPDR S&P International Small Cap ETF (a) | 192,767 | 6,839,373 | ||||||
Vanguard FTSE Pacific ETF | 127,028 | 9,260,341 | ||||||
|
| |||||||
103,401,144 | ||||||||
|
| |||||||
INTERNATIONAL FIXED INCOME — 1.0% |
| |||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) (b) | 78,608 | 2,333,086 | ||||||
|
| |||||||
REAL ESTATE — 1.9% |
| |||||||
SPDR Dow Jones International Real Estate ETF (a) | 58,458 | 2,366,964 | ||||||
SPDR Dow Jones REIT ETF (a) | 23,629 | 2,213,801 | ||||||
|
| |||||||
4,580,765 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS | 228,507,584 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 3.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (c) (d) | 6,375,740 | 6,375,740 | ||||||
State Street Navigator Securities Lending Government Money Market | 1,618,675 | 1,618,675 | ||||||
|
| |||||||
TOTAL SHORT-TERM | 7,994,415 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.6% | 236,501,999 | |||||||
LIABILITIES IN EXCESS OF | (1,341,641 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 235,160,358 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2017. |
(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, 2017 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2017. |
(e) | Investment of cash collateral for securities loaned. |
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 |
| |||||||||||||||
Domestic Equity | $ | 83,474,908 | $ | — | $ | — | $ | 83,474,908 | ||||||||
Domestic Fixed Income | 23,158,700 | — | — | 23,158,700 | ||||||||||||
Inflation Linked | 11,558,981 | — | — | 11,558,981 | ||||||||||||
International Equity | 103,401,144 | — | — | 103,401,144 | ||||||||||||
International Fixed Income | 2,333,086 | — | — | 2,333,086 | ||||||||||||
Real Estate | 4,580,765 | — | — | 4,580,765 | ||||||||||||
Short-Term Investments | 7,994,415 | — | — | 7,994,415 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 236,501,999 | $ | — | $ | — | $ | 236,501,999 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
17
Table of Contents
SSGA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||
SPDR Bloomberg Barclays Emering Markets Local Bond ETF | 72,061 | $ | 2,092,651 | $ | 224,952 | $ | 33,307 | $ | 2,533 | $ | 46,256 | 78,608 | $ | 2,333,086 | $ | 44,261 | $ | — | ||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Corporate Bond ETF | 100,783 | 4,196,604 | 131,913 | 4,339,795 | 187,994 | (142,270 | ) | 1,204 | 34,446 | 58,858 | — | |||||||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treausury ETF | 121,473 | 4,179,886 | 531,940 | 65,519 | 1,403 | (26,881 | ) | 135,033 | 4,620,829 | 72,413 | — | |||||||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treausury ETF | 116,138 | 8,374,711 | 862,069 | 130,590 | 7,546 | 127,142 | 252,552 | 9,240,878 | 135,124 | — | ||||||||||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 149,753 | 4,188,592 | 570,595 | 65,286 | 1,712 | (65,587 | ) | 167,998 | 4,630,025 | 138,009 | — | |||||||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 184,720 | 10,375,722 | 1,335,029 | 162,568 | 2,104 | 8,694 | 205,493 | 11,558,981 | 226,427 | — | ||||||||||||||||||||||||||||||
SPDR Bloomberg High Yield Bond | 225,592 | 8,392,023 | 877,724 | 4,503,289 | (43,278 | ) | (90,657 | ) | 126,158 | 4,632,522 | 230,272 | — | ||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 157,955 | 6,018,086 | 593,264 | 4,478,572 | 63,785 | 170,401 | 58,458 | 2,366,964 | 48,876 | — | ||||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 67,658 | 6,290,841 | 329,362 | 4,496,095 | 496,390 | (406,697 | ) | 23,629 | 2,213,801 | 51,001 | — | |||||||||||||||||||||||||||||
SPDR Russell 2000 ETF | 76,418 | 6,364,855 | 559,982 | 559,008 | 33,086 | 527,656 | 229,737 | 6,926,571 | 65,308 | — | ||||||||||||||||||||||||||||||
SPDR S&P 500 ETF Trust | 163,300 | 39,485,940 | 15,574,228 | 1,713,148 | 178,713 | 4,569,155 | 217,698 | 58,094,888 | 496,777 | — | ||||||||||||||||||||||||||||||
SPDR S&P Emerging Markets SmallCap ETF | 44,738 | 2,087,922 | 121,437 | 33,972 | 5,033 | 236,696 | 46,483 | 2,417,116 | 48,232 | — | ||||||||||||||||||||||||||||||
SPDR S&P Emering Markets ETF | 218,911 | 14,581,662 | 5,666,797 | 945,457 | 83,384 | 2,170,806 | 565,064 | 21,557,192 | 155,371 | — | ||||||||||||||||||||||||||||||
SPDR S&P International Small Cap ETF | 188,209 | 6,278,652 | 358,348 | 200,760 | 16,154 | 386,979 | 192,767 | 6,839,373 | 159,730 | 194,677 | ||||||||||||||||||||||||||||||
SPDR S&P MidCap 400 ETF Trust | 13,243 | 4,206,242 | 236,990 | 155,792 | 9,957 | 364,256 | 13,496 | 4,661,653 | 36,664 | — | ||||||||||||||||||||||||||||||
SPDR World ex-US ETF | 2,052,465 | 59,788,305 | 4,249,810 | 5,950,452 | 328,563 | 4,910,896 | 1,997,701 | 63,327,122 | 459,377 | — | ||||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,706,546 | 5,706,546 | 6,309,031 | 5,639,837 | — | — | 6,375,740 | 6,375,740 | 22,848 | — | ||||||||||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | — | — | 45,045,294 | 43,426,619 | — | — | 1,618,675 | 1,618,675 | 11,240 | — | ||||||||||||||||||||||||||||||
The Financial Select Sector SPDR Fund | — | — | 4,453,253 | 120,619 | 5,695 | 301,960 | 166,259 | 4,640,289 | 21,328 | — |
See accompanying notes to financial statements.
18
Table of Contents
SSGA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||
The Health Care Select Sector SPDR Fund | 54,224 | �� | $ | 4,296,710 | $ | 237,632 | $ | 190,986 | $ | 3,419 | $ | 184,089 | 54,800 | $ | 4,530,864 | $ | 34,639 | $ | — | |||||||||||||||||||||
The Industrial Select Sector SPDR Fund | 62,056 | 4,226,634 | 169,102 | 4,574,348 | 862,196 | (683,584 | ) | — | — | 19,602 | — | |||||||||||||||||||||||||||||
The Technology Select Sector SPDR Fund | 73,150 | 4,002,768 | 240,053 | 305,889 | 25,455 | 658,255 | 72,254 | 4,620,643 | 32,519 | — | ||||||||||||||||||||||||||||||
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TOTAL | $ | 205,135,352 | $ | 88,678,805 | $ | 82,091,908 | $ | 2,271,844 | $ | 13,247,565 | $ | 227,241,658 | $ | 2,568,876 | $ | 194,677 | ||||||||||||||||||||||||
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See accompanying notes to financial statements.
19
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.
20
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
SENIOR FLOATING RATE LOANS — 88.2% |
| |||||||
AEROSPACE & DEFENSE — 2.2% |
| |||||||
DAE Aviation Holdings, Inc. | $ | 8,604,753 | $ | 8,683,659 | ||||
Engility Corp. | 4,231,562 | 4,278,512 | ||||||
MacDonald Dettwiler & Associates, Ltd. | 16,263,941 | 16,365,590 | ||||||
TransDigm, Inc.: | ||||||||
Senior Secured 2017 Term Loan E 4.32%, 5/14/2022 | 5,322,957 | 5,344,435 | ||||||
Senior Secured Extended Term Loan F 4.36%, 6/9/2023 | 14,834,840 | 14,873,930 | ||||||
Senior Secured Term Loan G 4.67%, 8/22/2024 | 2,933,804 | 2,951,128 | ||||||
|
| |||||||
52,497,254 | ||||||||
|
| |||||||
AIRLINES — 0.2% |
| |||||||
American Airlines, Inc. | 4,379,513 | 4,379,251 | ||||||
United Airlines, Inc. | 795,868 | 798,784 | ||||||
|
| |||||||
5,178,035 | ||||||||
|
| |||||||
AUTO COMPONENTS — 0.7% |
| |||||||
BBB Industries U.S. Holdings, Inc. | 1,898,930 | 1,923,863 | ||||||
USI, Inc. | 15,184,450 | 15,184,450 | ||||||
|
| |||||||
17,108,313 | ||||||||
|
| |||||||
AUTOMOBILES — 0.5% |
| |||||||
American Axle & Manufacturing, Inc. | 4,355,442 | 4,377,916 | ||||||
CWGS Group LLC | 5,652,210 | 5,697,146 | ||||||
TI Group Automotive Systems LLC | 891,755 | 897,885 | ||||||
|
| |||||||
10,972,947 | ||||||||
|
| |||||||
BEVERAGES — 0.1% |
| |||||||
Refresco Group B.V. | 2,929,687 | 2,935,181 | ||||||
|
| |||||||
BUILDING PRODUCTS — 0.3% |
| |||||||
Builders FirstSource, Inc. | 4,949,749 | 4,975,660 | ||||||
Jeld-Wen, Inc. | 1,865,979 | 1,874,927 | ||||||
|
| |||||||
6,850,587 | ||||||||
|
| |||||||
CAPITAL MARKETS — 0.7% |
| |||||||
Duff & Phelps Corp. | 12,500,000 | 12,542,187 | ||||||
LPL Holdings, Inc. | 4,655,000 | 4,678,275 | ||||||
|
| |||||||
17,220,462 | ||||||||
|
| |||||||
CHEMICALS — 0.9% |
| |||||||
Alpha 3 B.V. | 1,771,724 | 1,785,756 | ||||||
Avantor, Inc. | 19,671,052 | 19,787,899 | ||||||
INEOS Styrolution Group GmbH | 371,802 | 373,313 | ||||||
|
| |||||||
21,946,968 | ||||||||
|
| |||||||
COMMERCIAL BANKS — 0.2% |
| |||||||
Jack’s Family Restaurants, Inc. | 5,237,399 | 5,257,039 | ||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 6.9% |
| |||||||
Advanced Disposal Services, Inc. | 4,507,858 | 4,524,762 | ||||||
Allied Universal Holdco LLC | 27,430,203 | 27,254,513 | ||||||
Ancestry.com Operations Inc. | 8,710,297 | 8,763,386 | ||||||
Aramark Services, Inc. | 2,169,700 | 2,183,608 | ||||||
Asurion LLC: | ||||||||
Senior Secured 2017 2nd Lien Term Loan 7.57%, 8/4/2025 | 21,181,818 | 21,810,600 | ||||||
Senior Secured 2017 Term Loan B4 4.32%, 8/4/2022 | 12,684,250 | 12,763,527 | ||||||
Senior Secured Term Loan B5 4.57%, 11/3/2023 | 9,978,864 | 10,038,936 | ||||||
Belron S.A. | 4,447,268 | 4,499,390 | ||||||
GFL Environmental, Inc. | 1,102,326 | 1,109,215 | ||||||
IBC Capital Limited | 4,527,531 | 4,533,756 |
See accompanying notes to financial statements.
21
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
KAR Auction Services, Inc.: | ||||||||
Senior Secured Term Loan B4 4.00%, 3/11/2021 | $ | 1,822,407 | $ | 1,834,553 | ||||
Senior Secured Term Loan B5 4.25%, 3/9/2023 | 1,493,510 | 1,504,249 | ||||||
Lineage Logistics Holdings LLC | 12,544,308 | 12,609,037 | ||||||
Packers Holdings, LLC | 7,911,392 | 7,949,288 | ||||||
Prime Security Services Borrower LLC | 27,860,974 | 28,099,046 | ||||||
Southern Graphics, Inc.: | ||||||||
Senior Secured 1st Lien Term Loan Zero Coupon, 12/31/2022 | 11,956,522 | 12,032,745 | ||||||
Senior Secured Delayed Draw Term Loan Zero Coupon, 12/31/2022 | 1,932,367 | 1,944,686 | ||||||
TruGreen, Ltd. Partnership | 734,356 | 745,834 | ||||||
|
| |||||||
164,201,131 | ||||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 0.9% |
| |||||||
Arris Group, Inc. | 1,965,346 | 1,975,664 | ||||||
Avaya, Inc. | 3,597,646 | 3,547,063 | ||||||
Digicel International Finance, Ltd. | 2,389,222 | 2,402,661 | ||||||
Riverbed Technology, Inc. | 14,000,000 | 13,811,420 | ||||||
|
| |||||||
21,736,808 | ||||||||
|
| |||||||
COMPUTERS & PERIPHERALS — 0.3% |
| |||||||
TierPoint LLC | 5,244,658 | 5,218,461 | ||||||
Western Digital Corp. | 2,816,212 | 2,829,589 | ||||||
|
| |||||||
8,048,050 | ||||||||
|
| |||||||
CONSTRUCTION & ENGINEERING — 0.9% |
| |||||||
CNT Holdings III Corp. | 4,987,405 | 4,850,252 | ||||||
Pike Corp. | 8,617,133 | 8,753,542 | ||||||
Summit Materials Companies I LLC | 7,619,048 | 7,665,486 | ||||||
|
| |||||||
21,269,280 | ||||||||
|
| |||||||
CONSTRUCTION MATERIALS — 0.4% |
| |||||||
Forterra, Inc. | 5,390,716 | 5,058,433 | ||||||
Traverse Midstream Partners LLC | 3,431,373 | 3,481,556 | ||||||
|
| |||||||
8,539,989 | ||||||||
|
| |||||||
CONTAINERS & PACKAGING — 1.6% |
| |||||||
Berlin Packaging LLC | 8,664,259 | 8,734,049 | ||||||
Plastipak Holdings, Inc. | 2,801,966 | 2,820,880 | ||||||
Reynolds Group Holdings, Inc. | 21,412,200 | 21,537,462 | ||||||
Signode Industrial Group US, Inc. | 1,375,661 | 1,380,827 | ||||||
Tekni-Plex, Inc. | 3,133,641 | 3,155,184 | ||||||
|
| |||||||
37,628,402 | ||||||||
|
| |||||||
DISTRIBUTORS — 1.7% |
| |||||||
American Builders & Contractors Supply Co., Inc. | 8,380,564 | 8,426,113 | ||||||
American Tire Distributors Holdings, Inc. | 7,037,313 | 7,097,799 | ||||||
Explorer Holdings, Inc. | 24,936,709 | 25,170,490 | ||||||
|
| |||||||
40,694,402 | ||||||||
|
| |||||||
DIVERSIFIED CONSUMER SERVICES — 1.1% |
| |||||||
Weight Watchers International, Inc. | 25,000,000 | 25,198,000 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 1.6% |
| |||||||
AlixPartners LLP | 9,149,367 | 9,209,799 | ||||||
Clipper Acquisitions Corp. Senior Secured 2017 Term Loan B | 2,772,723 | 2,780,805 | ||||||
Faenza Acquisition GmbH: | ||||||||
Senior Secured USD Term Loan B1 4.23%, 8/30/2020 | 1,509,249 | 1,510,977 |
See accompanying notes to financial statements.
22
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Senior Secured USD Term Loan B3 4.23%, 8/30/2020 | $ | 462,166 | $ | 462,695 | ||||
Focus Financial Partners LLC | 10,241,773 | 10,344,191 | ||||||
Infinity Acquisition LLC | 5,752,503 | 5,766,884 | ||||||
UFC Holdings LLC | 2,498,705 | 2,515,496 | ||||||
William Morris Endeavor Entertainment LLC | 4,837,925 | 4,868,162 | ||||||
|
| |||||||
37,459,009 | ||||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.9% |
| |||||||
CenturyLink Escrow LLC | 36,418,932 | 35,189,793 | ||||||
Consolidated Communications, Inc. | 14,172,855 | 13,962,034 | ||||||
Hargray Communications Group, Inc. | 6,965,000 | 6,992,860 | ||||||
Telesat Canada | 11,288,045 | 11,353,290 | ||||||
|
| |||||||
67,497,977 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 1.1% |
| |||||||
PowerTeam Services LLC | 2,823,850 | 2,836,219 | ||||||
TEX Operations Co. LLC: | ||||||||
Senior Secured Exit Term Loan B 4.02%, 8/4/2023 | 17,473,936 | 17,588,653 | ||||||
Senior Secured Exit Term Loan C 3.83%, 8/4/2023 | 3,096,569 | 3,116,898 | ||||||
Vistra Operations Co. LLC | 1,892,202 | 1,907,916 | ||||||
|
| |||||||
25,449,686 | ||||||||
|
| |||||||
ELECTRICAL EQUIPMENT — 0.5% |
| |||||||
EXC Holdings III Corp. | 1,917,808 | 1,936,085 | ||||||
Gates Global LLC | 9,358,805 | 9,423,802 | ||||||
Generac Power Systems, Inc. | 1,704,996 | 1,712,455 | ||||||
|
| |||||||
13,072,342 | ||||||||
|
| |||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.3% |
| |||||||
CPI International, Inc. | 4,705,189 | 4,742,430 | ||||||
TTM Technologies, Inc. | 3,341,625 | 3,347,891 | ||||||
|
| |||||||
8,090,321 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 1.7% |
| |||||||
Albertsons LLC: | ||||||||
Senior Secured Term Loan B4 4.32%, 8/25/2021 | 10,334,616 | 10,144,924 | ||||||
Senior Secured USD 2017 Term Loan B5 4.67%, 12/21/2022 | 2,448,909 | 2,403,825 | ||||||
Senior Secured USD 2017 Term Loan B6 4.46%, 6/22/2023 | 12,918,339 | 12,674,312 | ||||||
Chobani LLC | 8,097,892 | 8,175,469 | ||||||
Genoa, a QoL Healthcare Co. LLC | 2,960,685 | 2,982,890 | ||||||
US Foods, Inc. | 4,872,588 | 4,906,526 | ||||||
|
| |||||||
41,287,946 | ||||||||
|
| |||||||
FOOD PRODUCTS — 1.2% | ||||||||
CSM Bakery Solutions LLC | 3,041,978 | 3,013,079 | ||||||
Dole Food Co., Inc. | 4,777,479 | 4,796,063 | ||||||
Hostess Brands LLC | 2,766,331 | 2,772,168 | ||||||
4.10%, 10/30/2022 | 7,972,495 | 7,845,932 | ||||||
Keurig Green Mountain, Inc. | 1,561,703 | 1,560,726 | ||||||
Post Holdings, Inc. | 8,546,012 | 8,587,247 | ||||||
|
| |||||||
28,575,215 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.3% |
| |||||||
DJO Finance LLC | 8,708,740 | 8,607,675 | ||||||
Onex Carestream Finance L.P.: | ||||||||
Senior Secured 1st Lien Term Loan 5.69%, 6/7/2019 | 4,323,128 | 4,336,638 | ||||||
Senior Secured 2nd Lien Term Loan 10.19%, 12/7/2019 | 16,900,077 | 16,688,825 | ||||||
|
| |||||||
29,633,138 | ||||||||
|
|
See accompanying notes to financial statements.
23
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
HEALTH CARE PROVIDERS & SERVICES — 6.4% |
| |||||||
Air Medical Group Holdings, Inc.: | ||||||||
Senior Secured 2017 Term Loan B2 Zero Coupon, 9/7/2024 | $ | 24,041,096 | $ | 24,136,299 | ||||
Senior Secured Term Loan B 4.94%, 4/28/2022 | 2,598,153 | 2,592,359 | ||||||
ATI Holdings Acquisition, Inc. | 2,974,932 | 3,004,681 | ||||||
BioClinica, Inc. | 2,361,605 | 2,314,373 | ||||||
CeramTec Acquisition Corp. | 193,768 | 193,990 | ||||||
Certara L.P. | 897,750 | 904,483 | ||||||
CHG Healthcare Services, Inc. | 6,311,000 | 6,369,187 | ||||||
Community Health Systems, Inc.: | ||||||||
Senior Secured Term Loan G 4.23%, 12/31/2019 | 2,191,118 | 2,127,379 | ||||||
Senior Secured Term Loan H 4.48%, 1/27/2021 | 5,148,539 | 4,922,544 | ||||||
Envision Healthcare Corp. | 24,007,552 | 24,102,502 | ||||||
GHX Ultimate Parent Corp. | 4,364,035 | 4,386,772 | ||||||
MPH Acquisition Holdings LLC | 15,687,384 | 15,736,407 | ||||||
National Mentor Holdings, Inc. | 2,657,474 | 2,684,886 | ||||||
NVA Holdings, Inc. | 5,410,480 | 5,462,340 | ||||||
Ortho-Clinical Diagnostics, Inc. | 13,356,401 | 13,407,423 | ||||||
PharMerica Corp. | 12,000,000 | 12,078,000 | ||||||
Sterigenics-Nordion Holdings LLC | 11,397,685 | 11,409,595 | ||||||
Surgery Center Holdings, Inc. | 6,857,813 | 6,797,807 | ||||||
Team Health Holdings, Inc. | 3,989,950 | 3,895,208 | ||||||
U.S. Renal Care, Inc. | 4,973,407 | 4,911,239 | ||||||
|
| |||||||
151,437,474 | ||||||||
|
| |||||||
HEALTH CARE TECHNOLOGY — 0.7% |
| |||||||
Change Healthcare Holdings, Inc. | 12,902,500 | 12,940,433 | ||||||
Press Ganey Holdings, Inc. | 2,542,406 | 2,560,686 | ||||||
|
| |||||||
15,501,119 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 5.5% |
| |||||||
1011778 BC ULC | 12,426,840 | 12,436,781 | ||||||
Boyd Gaming Corp. | 903,249 | 909,333 | ||||||
CEC Entertainment, Inc. | 8,657,544 | 8,181,379 | ||||||
Churchill Downs Incorporated | 1,595,745 | 1,599,734 | ||||||
Cyan Blue Holding co. 3, Ltd. | 5,572,000 | 5,615,545 | ||||||
Delta 2 (LUX) S.a.r.l. | 27,196,665 | 27,383,642 | ||||||
Golden Nugget, Inc. | 16,464,354 | 16,611,545 | ||||||
Intrawest Resorts Holdings, Inc. | 6,150,906 | 6,206,665 | ||||||
La Quinta Intermediate Holdings LLC | 7,353,020 | 7,394,380 | ||||||
NPC International, Inc. | 6,524,590 | 6,592,544 | ||||||
Penn National Gaming, Inc. | 1,885,000 | 1,895,132 | ||||||
Red Lobster Management LLC | 1,760,850 | 1,769,663 | ||||||
Scientific Games International, Inc. | 13,546,296 | 13,672,345 | ||||||
Travel Leaders Group LLC | 4,407,729 | 4,476,621 |
See accompanying notes to financial statements.
24
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Travelport Finance (Luxembourg) S.A.R.L. | $ | 14,996,734 | $ | 15,010,381 | ||||
|
| |||||||
129,755,690 | ||||||||
|
| |||||||
HOUSEHOLD DURABLES — 0.3% |
| |||||||
Serta Simmons Bedding LLC | 8,378,473 | 7,711,714 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.1% |
| |||||||
Calpine Corp.: | ||||||||
Senior Secured Term Loan B5 Zero Coupon, 1/15/2024 | 12,468,031 | 12,465,101 | ||||||
Senior Secured Term Loan B6 4.20%, 1/15/2023 | 6,234,097 | 6,237,120 | ||||||
Senior Secured Term Loan B7 Zero Coupon, 5/31/2023 | 6,234,177 | 6,238,073 | ||||||
|
| |||||||
24,940,294 | ||||||||
|
| |||||||
INDUSTRIAL CONGLOMERATES — 0.2% |
| |||||||
Robertshaw US Holding Corp. | 4,010,050 | 4,050,151 | ||||||
|
| |||||||
INSURANCE — 3.2% | ||||||||
Acrisure LLC | 7,444,924 | 7,529,610 | ||||||
Alliant Holdings I, Inc. | 4,294,012 | 4,319,518 | ||||||
AmWINS Group, Inc. | 5,076,923 | 5,099,845 | ||||||
AssuredPartners, Inc. | 16,571,496 | 16,699,262 | ||||||
Hub International, Ltd. | 16,349,427 | 16,440,575 | ||||||
NFP Corp. | 10,622,230 | 10,691,275 | ||||||
Sedgwick Claims Management Services, Inc.: | ||||||||
Senior Secured 2016 1st Lien Term Loan 4.94%, 3/1/2021 | 985,000 | 989,103 | ||||||
Senior Secured 2017 1st Lien Term Loan Zero Coupon, 2/26/2021 | 12,777,778 | 12,769,856 | ||||||
Senior Secured 2nd Lien Term Loan 7.32%, 2/28/2022 | 2,000,000 | 2,017,500 | ||||||
|
| |||||||
76,556,544 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 0.2% |
| |||||||
Harbor Freight Tools USA, Inc. | 4,498,776 | 4,534,811 | ||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 2.7% |
| |||||||
Go Daddy Operating Company LLC Senior Secured 2017 Repriced Term Loan 3.82%, 2/15/2024 | 20,383,640 | 20,461,302 | ||||||
LANDesk Group, Inc. | 19,973,411 | 19,049,641 | ||||||
Rackspace Hosting, Inc. | 14,188,134 | 14,200,974 | ||||||
TCH-2 Holding LLC | 10,614,613 | 10,688,915 | ||||||
|
| |||||||
64,400,832 | ||||||||
|
| |||||||
IT SERVICES — 1.4% | ||||||||
First Data Corp.: | ||||||||
Senior Secured 2022 USD Term Loan 3.80%, 7/8/2022 | 7,640,675 | 7,654,543 | ||||||
Senior Secured 2024 USD Term Loan 3.80%, 4/26/2024 | 11,018,044 | 11,034,792 | ||||||
Presidio, Inc. | 7,487,795 | 7,525,234 | ||||||
TKC Holdings, Inc. | 7,116,507 | 7,180,982 | ||||||
|
| |||||||
33,395,551 | ||||||||
|
| |||||||
LIFE SCIENCES TOOLS & SERVICES — 1.4% |
| |||||||
Albany Molecular Research, Inc. | 4,290,323 | 4,244,738 | ||||||
INC Research LLC | 6,758,046 | 6,776,530 | ||||||
Jaguar Holding Co. II | 8,920,457 | 8,944,275 | ||||||
Parexel International Corp. | 12,442,828 | 12,512,818 | ||||||
|
| |||||||
32,478,361 | ||||||||
|
| |||||||
MACHINERY — 0.4% |
| |||||||
Apex Tool Group LLC | 662,408 | 661,719 | ||||||
Clark Equipment Co. | 2,334,281 | 2,347,703 |
See accompanying notes to financial statements.
25
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Engineered Machinery Holdings, Inc.: | ||||||||
Senior Secured 1st Lien Delayed Draw Term Loan 4.94%, 7/19/2024 | $ | 575,221 | $ | 576,300 | ||||
Senior Secured USD 1st Lien Term Loan 4.94%, 7/19/2024 | 4,424,779 | 4,433,075 | ||||||
Hayward Industries, Inc. | 2,450,754 | 2,459,945 | ||||||
|
| |||||||
10,478,742 | ||||||||
|
| |||||||
MEDIA — 9.4% |
| |||||||
Acosta Holdco, Inc. | 13,000,000 | 11,483,355 | ||||||
Altice Financing SA | 5,514,706 | 5,414,062 | ||||||
Atlantic Broadband Finance LLC | 2,972,973 | 2,969,495 | ||||||
CBS Radio, Inc. | 1,714,286 | 1,725,891 | ||||||
Coral-US Co. Borrower LLC | 17,581,301 | 17,622,529 | ||||||
CSC Holdings LLC | 8,873,307 | 8,851,789 | ||||||
Entravision Communications Corp. | 8,312,500 | 8,348,867 | ||||||
Gray Television, Inc. | 8,373,431 | 8,431,752 | ||||||
MH Sub I LLC | 7,830,000 | 7,865,235 | ||||||
Mission Broadcasting, Inc. | 512,895 | 514,955 | ||||||
Nexstar Broadcasting, Inc. | 4,062,832 | 4,079,144 | ||||||
Numericable Group SA | 18,156,425 | 17,537,926 | ||||||
Red Ventures, LLC | 31,620,750 | 31,640,513 | ||||||
Sinclair Television Group, Inc. | 24,390,244 | 24,378,902 | ||||||
Unitymedia Finance LLC | 11,111,111 | 11,100,278 | ||||||
Univision Communications, Inc. | 32,788,466 | 32,729,283 | ||||||
Virgin Media Bristol LLC | 21,590,909 | 21,615,307 | ||||||
WMG Acquisition Corp. | 4,779,354 | 4,789,439 | ||||||
Ziggo Secured Finance Partnership | 2,089,036 | 2,075,113 | ||||||
|
| |||||||
223,173,835 | ||||||||
|
| |||||||
METALS & MINING — 0.1% |
| |||||||
PLZ Aeroscience Corp. | 1,296,098 | 1,309,260 | ||||||
|
| |||||||
MULTILINE RETAIL — 0.2% |
| |||||||
Neiman Marcus Group, Ltd. LLC | 5,467,617 | 4,480,056 | ||||||
|
| |||||||
PHARMACEUTICALS — 3.3% |
| |||||||
Akorn, Inc. | 1,666,667 | 1,675,000 | ||||||
Amneal Pharmaceuticals LLC | 2,200,404 | 2,212,441 | ||||||
Arbor Pharmaceuticals, Inc. | ||||||||
Senior Secured Term Loan B 6.69%, 7/5/2023 | 1,644,427 | 1,661,900 | ||||||
5.88%, 4/29/2024 | 25,423,966 | 25,622,654 | ||||||
Horizon Pharma, Inc. | 14,754,154 | 14,834,859 | ||||||
Valeant Pharmaceuticals International, Inc. | 31,668,955 | 32,156,498 | ||||||
|
| |||||||
78,163,352 | ||||||||
|
| |||||||
POLLUTION CONTROL — 0.1% |
| |||||||
Core & Main L.P. | 2,356,021 | 2,377,378 | ||||||
|
| |||||||
PROFESSIONAL SERVICES — 1.8% |
| |||||||
Advantage Sales & Marketing, Inc.: | ||||||||
Senior Secured 2014 1st Lien Term Loan 4.63%, 7/23/2021 | 11,470,361 | 11,212,278 | ||||||
Senior Secured 2014 2nd Lien Term Loan 7.88%, 7/25/2022 | 13,253,373 | 12,458,171 | ||||||
Information Resources, Inc. | 18,470,844 | 18,590,165 | ||||||
|
| |||||||
42,260,614 | ||||||||
|
|
See accompanying notes to financial statements.
26
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.2% |
| |||||||
Capital Automotive L.P. | $ | 1,281,940 | $ | 1,287,068 | ||||
Communications Sales & Leasing, Inc. | 12,530,475 | 12,135,013 | ||||||
VICI Properties 1 LLC | 13,911,290 | 13,935,426 | ||||||
|
| |||||||
27,357,507 | ||||||||
|
| |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.2% |
| |||||||
Americold Realty Operating Partnership L.P. | 1,313,545 | 1,329,970 | ||||||
Realogy Corp. | 2,286,191 | 2,295,131 | ||||||
|
| |||||||
3,625,101 | ||||||||
|
| |||||||
ROAD & RAIL — 0.2% |
| |||||||
Direct ChassisLink Inc. | 5,000,000 | 5,100,000 | ||||||
|
| |||||||
SEMICONDUCTOR EQUIPMENT — 1.0% |
| |||||||
Lumileds Holding B.V. | 1,509,005 | 1,520,949 | ||||||
MA FinanceCo. LLC | 2,817,485 | 2,823,360 | ||||||
Seattle Spinco, Inc. | 19,027,175 | 19,066,846 | ||||||
|
| |||||||
23,411,155 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR |
| |||||||
Cypress Semiconductor Corp. | 8,402,422 | 8,490,647 | ||||||
Microsemi Corp. | 3,097,697 | 3,113,201 | ||||||
ON Semiconductor Corp. | 1,703,985 | 1,713,834 | ||||||
|
| |||||||
13,317,682 | ||||||||
|
| |||||||
SOFTWARE — 11.9% |
| |||||||
Applied Systems, Inc.: | ||||||||
Senior Secured 1st Lien Term Loan 4.94%, 9/19/2024 | 1,834,483 | 1,856,267 | ||||||
Senior Secured 2017 2nd Lien Term Loan 8.69%, 9/19/2025 | 454,545 | 471,450 | ||||||
Aspect Software, Inc. | 7,038,541 | 6,950,559 | ||||||
Avast Software B.V. | 2,687,385 | 2,709,596 | ||||||
BMC Software Finance, Inc. | 31,429,619 | 31,506,307 | ||||||
CCC Information Services, Inc. | 4,545,266 | 4,558,333 | ||||||
Compuware Corp. | 23,537,986 | 23,721,935 | ||||||
Dell Inc. | 11,797,036 | 11,805,117 | ||||||
Epicor Software Corp. | 2,793,279 | 2,803,754 | ||||||
Hyland Software, Inc. | 10,722,603 | 10,809,778 | ||||||
Informatica Corp. | 2,308,931 | 2,320,268 | ||||||
Kronos, Inc. | 18,822,763 | 18,969,862 | ||||||
McAfee LLC | 36,845,156 | 36,779,388 | ||||||
Mitchell International, Inc.: | ||||||||
Senior Secured 2017 1st Lien Term Loan 4.94%, 11/20/2024 | 14,002,357 | 14,026,162 | ||||||
Senior Secured 2017 2nd Lien Term Loan | 17,272,727 | 17,469,118 | ||||||
Project Alpha Intermediate Holding, Inc. | 7,960,000 | 7,804,103 | ||||||
Project Ruby Ultimate Parent Corp. | 5,984,914 | 6,034,799 | ||||||
Quest Software US Holdings, Inc. | 17,695,261 | 18,009,617 | ||||||
SolarWinds Holdings, Inc. | 10,110,539 | 10,162,356 | ||||||
Solera Holdings, Inc. | 1,900,163 | 1,914,813 | ||||||
Sophia L.P. | 3,353,304 | 3,361,000 | ||||||
TIBCO Software, Inc. | 18,518,360 | 18,595,582 |
See accompanying notes to financial statements.
27
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Verint Systems, Inc. | $ | 4,617,169 | $ | 4,639,286 | ||||
Veritas Bermuda, Ltd. | 14,595,588 | 14,648,862 | ||||||
VF Holding Corp. | 11,258,339 | 11,358,819 | ||||||
|
| |||||||
283,287,131 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 3.6% |
| |||||||
Bass Pro Group, LLC | 19,242,113 | 19,218,061 | ||||||
Burlington Coat Factory Warehouse Corp. | 9,838,673 | 9,867,402 | ||||||
Michaels Stores, Inc. | 16,847,080 | 16,869,656 | ||||||
National Vision, Inc. | 7,355,692 | 7,374,081 | ||||||
Petco Animal Supplies, Inc. | 8,937,808 | 6,787,148 | ||||||
PetSmart, Inc. | 15,242,533 | 12,244,098 | ||||||
Staples, Inc. | 12,217,606 | 12,002,270 | ||||||
|
| |||||||
84,362,716 | ||||||||
|
| |||||||
THRIFTS & MORTGAGE FINANCE — 0.1% |
| |||||||
Capri Finance LLC | 3,303,910 | 3,307,528 | ||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.8% |
| |||||||
Avolon TLB Borrower 1 (Luxembourg) S.A.R.L. | 6,790,206 | 6,750,415 | ||||||
SiteOne Landscape Supply, Inc. | 1,033,679 | 1,039,493 | ||||||
Univar, Inc. | 10,696,601 | 10,746,234 | ||||||
|
| |||||||
18,536,142 | ||||||||
|
| |||||||
TOTAL SENIOR FLOATING RATE LOANS | 2,087,659,222 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 7.0% |
| |||||||
AEROSPACE & DEFENSE — 0.2% |
| |||||||
TransDigm, Inc. 6.50%, 7/15/2024 | 5,000,000 | 5,112,500 | ||||||
|
| |||||||
COMMERCIAL SERVICES — 0.2% |
| |||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (a) | 2,000,000 | 2,215,000 | ||||||
Team Health Holdings, Inc. | 3,000,000 | 2,677,500 | ||||||
|
| |||||||
4,892,500 | ||||||||
|
| |||||||
DISTRIBUTION & WHOLESALE — 0.4% |
| |||||||
Avantor, Inc. | 10,000,000 | 9,975,000 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% |
| |||||||
Fly Leasing, Ltd. 5.25%, 10/15/2024 | 3,145,000 | 3,145,000 | ||||||
|
| |||||||
ELECTRONICS — 0.2% |
| |||||||
TTM Technologies, Inc. | 3,500,000 | 3,570,000 | ||||||
|
| |||||||
ENTERTAINMENT — 0.4% |
| |||||||
Scientific Games International, Inc. | 8,900,000 | 9,378,375 | ||||||
|
| |||||||
ENVIRONMENTAL CONTROL — 0.1% |
| |||||||
GFL Environmental, Inc. | 2,154,000 | 2,269,778 | ||||||
|
| |||||||
FOOD — 0.2% | ||||||||
Post Holdings, Inc. | 4,000,000 | 3,935,200 | ||||||
|
| |||||||
HEALTH CARE PRODUCTS — 0.0% (b) |
| |||||||
Kinetic Concepts, Inc./KCI USA, Inc. | 830,000 | 865,275 | ||||||
|
| |||||||
HEALTH CARE SERVICES — 1.6% |
| |||||||
MPH Acquisition Holdings LLC | 15,000,000 | 16,050,000 | ||||||
Tenet Healthcare Corp.: | ||||||||
4.63%, 7/15/2024 (a) | 5,517,000 | 5,379,075 | ||||||
5.13%, 5/1/2025 (a) | 6,167,000 | 6,059,077 | ||||||
6.75%, 2/1/2020 | 2,000,000 | 2,027,500 | ||||||
8.13%, 4/1/2022 | 8,000,000 | 8,170,000 | ||||||
|
| |||||||
37,685,652 | ||||||||
|
| |||||||
INSURANCE — 0.1% | ||||||||
AssuredPartners, Inc. | 3,410,000 | 3,392,950 | ||||||
|
| |||||||
IT SERVICES — 0.2% | ||||||||
Riverbed Technology, Inc. | 5,500,000 | 5,190,625 | ||||||
|
| |||||||
MEDIA — 1.3% | ||||||||
Altice Luxembourg SA | 2,000,000 | 1,965,600 | ||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 700,000 | 710,500 | ||||||
Gray Television, Inc.: | ||||||||
5.13%, 10/15/2024 (a) | 3,000,000 | 2,992,500 | ||||||
5.88%, 7/15/2026 (a) | 3,000,000 | 3,075,000 | ||||||
Nexstar Broadcasting, Inc. | 1,000,000 | 1,030,000 |
See accompanying notes to financial statements.
28
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
SFR Group SA: | ||||||||
6.00%, 5/15/2022 (a) | $ | 2,000,000 | $ | 2,031,250 | ||||
7.38%, 5/1/2026 (a) | 5,000,000 | 5,150,000 | ||||||
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (a) | 5,000,000 | 5,150,000 | ||||||
Univision Communications, Inc. | 8,740,000 | 8,521,500 | ||||||
|
| |||||||
30,626,350 | ||||||||
|
| |||||||
PACKAGING & CONTAINERS — 0.3% |
| |||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 2,320,000 | 2,525,900 | ||||||
Flex Acquisition Co., Inc. | 1,478,000 | 1,530,654 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 3 Month USD LIBOR + 3.50% 4.86%, 7/15/2021 (a) (c) | 2,000,000 | 2,040,000 | ||||||
|
| |||||||
6,096,554 | ||||||||
|
| |||||||
PHARMACEUTICALS — 0.5% |
| |||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 1,017,000 | 1,034,797 | ||||||
Endo Finance LLC/Endo Finco, Inc. | 6,000,000 | 4,680,000 | ||||||
Valeant Pharmaceuticals International, Inc.: | ||||||||
5.50%, 11/1/2025 (a) | 3,000,000 | 3,060,000 | ||||||
6.50%, 3/15/2022 (a) | 1,734,000 | 1,825,035 | ||||||
|
| |||||||
10,599,832 | ||||||||
|
| |||||||
RETAIL — 0.7% | ||||||||
1011778 BC ULC/New Red Finance, Inc. 4.25%, 5/15/2024 (a) | 13,534,000 | 13,500,165 | ||||||
CEC Entertainment, Inc. | 3,175,000 | 2,984,500 | ||||||
|
| |||||||
16,484,665 | ||||||||
|
| |||||||
SOFTWARE — 0.5% | ||||||||
First Data Corp. | 4,896,000 | 5,042,880 | ||||||
Infor US, Inc. | 7,000,000 | 7,245,000 | ||||||
|
| |||||||
12,287,880 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 165,508,136 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 8.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (d) (e) | 209,993,789 | 209,993,789 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 104.1% | 2,463,161,147 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.1)% | (99,247,257 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,363,913,890 | ||||||
|
|
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.9% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Amount shown represents less than 0.05% of net assets. |
(c) | Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017. |
(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, 2017 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2017. |
LIBOR = London Interbank Offered Rate
At December 31, 2017, the Fund had unfunded loan commitments of $1,129,222, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation ($) | |||||||||
Mitchell International, Inc. | $ | 1,129,222 | $ | 1,131,142 | $ | 1,920 |
See accompanying notes to financial statements.
29
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
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 | $ | — | $ | 52,497,254 | $ | — | $ | 52,497,254 | ||||||||
Airlines | — | 5,178,035 | — | 5,178,035 | ||||||||||||
Auto Components | — | 17,108,312 | — | 17,108,312 | ||||||||||||
Automobiles | — | 10,972,946 | — | 10,972,946 | ||||||||||||
Beverages | — | 2,935,181 | — | 2,935,181 | ||||||||||||
Building Products | — | 6,850,588 | — | 6,850,588 | ||||||||||||
Capital Markets | — | 17,220,462 | — | 17,220,462 | ||||||||||||
Chemicals | — | 21,946,968 | — | 21,946,968 | ||||||||||||
Commercial Banks | — | 5,257,039 | — | 5,257,039 | ||||||||||||
Commercial Services & Supplies | — | 164,201,131 | — | 164,201,131 | ||||||||||||
Communications Equipment | — | 21,736,809 | — | 21,736,809 | ||||||||||||
Computers & Peripherals | — | 8,048,050 | — | 8,048,050 | ||||||||||||
Construction & Engineering | — | 21,269,280 | — | 21,269,280 | ||||||||||||
Construction Materials | — | 8,539,988 | — | 8,539,988 | ||||||||||||
Containers & Packaging | — | 37,628,402 | — | 37,628,402 | ||||||||||||
Distributors | — | 40,694,403 | — | 40,694,403 | ||||||||||||
Diversified Consumer Services | — | 25,198,000 | — | 25,198,000 | ||||||||||||
Diversified Financial Services | — | 37,459,010 | — | 37,459,010 | ||||||||||||
Diversified Telecommunication Services | — | 67,497,977 | — | 67,497,977 | ||||||||||||
Electric Utilities | — | 25,449,687 | — | 25,449,687 | ||||||||||||
Electrical Equipment | — | 13,072,342 | — | 13,072,342 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 8,090,321 | — | 8,090,321 | ||||||||||||
Food & Staples Retailing. | — | 41,287,945 | — | 41,287,945 | ||||||||||||
Food Products | — | 28,575,215 | — | 28,575,215 | ||||||||||||
Health Care Equipment & Supplies | — | 29,633,138 | — | 29,633,138 | ||||||||||||
Health Care Providers & Services | — | 151,437,474 | — | 151,437,474 | ||||||||||||
Health Care Technology | — | 15,501,119 | — | 15,501,119 | ||||||||||||
Hotels, Restaurants & Leisure | — | 129,755,690 | — | 129,755,690 | ||||||||||||
Household Durables | — | 7,711,714 | — | 7,711,714 | ||||||||||||
Independent Power Producers & Energy Traders | — | 24,940,295 | — | 24,940,295 | ||||||||||||
Industrial Conglomerates | — | 4,050,151 | — | 4,050,151 | ||||||||||||
Insurance | — | 76,556,544 | — | 76,556,544 | ||||||||||||
Internet & Catalog Retail | — | 4,534,811 | — | 4,534,811 | ||||||||||||
Internet Software & Services | — | 64,400,832 | — | 64,400,832 | ||||||||||||
IT Services | — | 33,395,551 | — | 33,395,551 | ||||||||||||
Life Sciences Tools & Services | — | 32,478,361 | — | 32,478,361 | ||||||||||||
Machinery | — | 10,478,742 | — | 10,478,742 | ||||||||||||
Media | — | 223,173,835 | — | 223,173,835 | ||||||||||||
Metals & Mining. | — | 1,309,260 | — | 1,309,260 | ||||||||||||
Multiline Retail | — | 4,480,056 | — | 4,480,056 | ||||||||||||
Pharmaceuticals | — | 78,163,350 | — | 78,163,350 | ||||||||||||
Pollution Control | — | 2,377,378 | — | 2,377,378 | ||||||||||||
Professional Services | — | 42,260,614 | — | 42,260,614 | ||||||||||||
Real Estate Investment Trusts (REITs) | — | 27,357,506 | — | 27,357,506 | ||||||||||||
Real Estate Management & Development | — | 3,625,101 | — | 3,625,101 | ||||||||||||
Road & Rail | — | 5,100,000 | — | 5,100,000 | ||||||||||||
Semiconductor Equipment | — | 23,411,155 | — | 23,411,155 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 13,317,682 | — | 13,317,682 | ||||||||||||
Software | — | 283,287,131 | — | 283,287,131 | ||||||||||||
Specialty Retail | — | 84,362,717 | — | 84,362,717 | ||||||||||||
Thrifts & Mortgage Finance | — | 3,307,528 | — | 3,307,528 | ||||||||||||
Trading Companies & Distributors | — | 18,536,142 | — | 18,536,142 |
See accompanying notes to financial statements.
30
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Aerospace & Defense | $ | — | $ | 5,112,500 | $ | — | $ | 5,112,500 | ||||||||
Commercial Services | — | 4,892,500 | — | 4,892,500 | ||||||||||||
Distribution & Wholesale | — | 9,975,000 | — | 9,975,000 | ||||||||||||
Diversified Financial Services | — | 3,145,000 | — | 3,145,000 | ||||||||||||
Electronics | — | 3,570,000 | — | 3,570,000 | ||||||||||||
Entertainment | — | 9,378,375 | — | 9,378,375 | ||||||||||||
Environmental Control | — | 2,269,777 | — | 2,269,777 | ||||||||||||
Food | — | 3,935,200 | — | 3,935,200 | ||||||||||||
Health Care Products | — | 865,275 | — | 865,275 | ||||||||||||
Health Care Services | — | 37,685,652 | — | 37,685,652 | ||||||||||||
Insurance | — | 3,392,950 | — | 3,392,950 | ||||||||||||
IT Services | — | 5,190,625 | — | 5,190,625 | ||||||||||||
Media | — | 30,626,350 | — | 30,626,350 | ||||||||||||
Packaging & Containers | — | 6,096,554 | — | 6,096,554 | ||||||||||||
Pharmaceuticals | — | 10,599,833 | — | 10,599,833 | ||||||||||||
Retail | — | 16,484,665 | — | 16,484,665 | ||||||||||||
Software | — | 12,287,880 | — | 12,287,880 | ||||||||||||
Short-Term Investments | 209,993,789 | — | — | 209,993,789 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 209,993,789 | $ | 2,253,167,358 | $ | — | $ | 2,463,161,147 | ||||||||
|
|
|
|
|
|
|
| |||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||||||||||
Unfunded Loan Commitments (a) | — | 1,920 | — | 1,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $ | 209,993,789 | $ | 2,253,169,277 | $ | — | $ | 2,463,163,066 | ||||||||
|
|
|
|
|
|
|
|
(a) | Includes appreciation on unfunded loan commitments. |
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 119,281,817 | $ | 119,281,817 | $ | 702,228,773 | $ | 611,516,801 | $ | — | $ | — | 209,993,789 | $ | 209,993,789 | $ | 872,468 |
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, 2017 (Unaudited)
Security Description | Principal | Value | ||||||
ASSET-BACKED SECURITIES — 16.1% |
| |||||||
AUTOMOBILE — 4.9% | ||||||||
Ford Credit Auto Owner Trust | $ | 144,556 | $ | 144,574 | ||||
Harley-Davidson Motorcycle Trust | 4,300 | 4,299 | ||||||
Honda Auto Receivables 2014-4 Owner Trust | 350,000 | 349,552 | ||||||
Honda Auto Receivables 2016-1 Owner Trust | 192,490 | 191,772 | ||||||
Nissan Auto Receivables Owner Trust | 109,949 | 109,737 | ||||||
Toyota Auto Receivables Owner Trust: | ||||||||
Series 2016-D, Class A2A, | 89,132 | 88,974 | ||||||
Series 2015-A, Class A3, | 29,687 | 29,659 | ||||||
Series 2015-A, Class A4, | 250,000 | 249,341 | ||||||
|
| |||||||
1,167,908 | ||||||||
|
| |||||||
CREDIT CARD — 11.2% | ||||||||
American Express Credit Account Master Trust | 500,000 | 497,295 | ||||||
BA Credit Card Trust | 400,000 | 401,356 | ||||||
Chase Issuance Trust: | ||||||||
Series 2015-A7, Class A7, | 490,000 | 489,519 | ||||||
Series 2013-A3, Class A3, 1 Month USD LIBOR + 0.28%, | 150,000 | 150,084 | ||||||
Citibank Credit Card Issuance Trust: | ||||||||
Series 2014-A8, Class A8, | 450,000 | 449,992 | ||||||
Series 2013-A2, Class A2, 1 Month USD LIBOR + 0.28%, | 220,000 | 220,172 | ||||||
Discover Card Execution Note Trust | 300,000 | 300,873 | ||||||
Evergreen Credit Card Trust | 200,000 | 200,372 | ||||||
|
| |||||||
2,709,663 | ||||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES | 3,877,571 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 67.6% |
| |||||||
AEROSPACE & DEFENSE — 1.0% | ||||||||
United Technologies Corp. | $ | 250,000 | $ | 250,858 | ||||
|
| |||||||
AUTO MANUFACTURERS — 10.6% | ||||||||
American Honda Finance Corp.: | ||||||||
Series MTN, 3 Month USD LIBOR + 0.15%, 1.51%, 1/22/2019 (a) | 300,000 | 300,108 | ||||||
Series MTN, 3 Month USD LIBOR + 0.28%, 1.72%, 11/19/2018 (a) | 300,000 | 300,432 | ||||||
BMW US Capital LLC | 600,000 | 602,682 | ||||||
Daimler Finance North America LLC: | ||||||||
1.65%, 5/18/2018 (b) | 300,000 | 299,724 | ||||||
3 Month USD LIBOR + 0.25%, 1.64%, 11/5/2018 (a) (b) | 300,000 | 300,132 | ||||||
Nissan Motor Acceptance Corp. | 250,000 | 250,407 | ||||||
Toyota Motor Credit Corp.: | ||||||||
Series 2547, 3 Month USD LIBOR + 0.32%, 1.68%, 1/12/2018 (a) | 250,000 | 250,008 | ||||||
Series MTN, 3 Month USD LIBOR + 0.44%, 1.79%, 10/18/2019 (a) | 250,000 | 251,312 | ||||||
|
| |||||||
2,554,805 | ||||||||
|
| |||||||
BANKS — 21.5% | ||||||||
Australia & New Zealand Banking Group, Ltd. | 300,000 | 299,808 | ||||||
Bank of Montreal | 200,000 | 201,322 | ||||||
Bank of Nova Scotia | 400,000 | 402,396 | ||||||
Branch Banking & Trust Co. | 250,000 | 250,715 | ||||||
Citibank NA | 250,000 | 250,145 | ||||||
Goldman Sachs Group, Inc.: | ||||||||
3 Month USD LIBOR + 1.02%, | 409,000 | 413,380 | ||||||
Series 1, 3 Month USD LIBOR + 1.20%, 2.58%, 4/30/2018 (a) | 100,000 | 100,303 | ||||||
JPMorgan Chase & Co. | 250,000 | 255,132 | ||||||
JPMorgan Chase Bank NA | 250,000 | 251,547 | ||||||
Morgan Stanley | 430,000 | 432,369 |
See accompanying notes to financial statements.
33
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal | Value | ||||||
PNC Bank NA | $ | 250,000 | $ | 250,365 | ||||
Royal Bank of Canada: | ||||||||
Series GMTN, 3 Month USD LIBOR + | 250,000 | 251,028 | ||||||
Series GMTN, 3 Month USD LIBOR + | 250,000 | 250,975 | ||||||
Santander UK PLC | 250,000 | 249,888 | ||||||
Toronto-Dominion Bank: | ||||||||
Series BKNT, 3 Month USD LIBOR + | 250,000 | 251,080 | ||||||
Series MTN, 3 Month USD LIBOR + | 100,000 | 100,704 | ||||||
UBS AG | 250,000 | 250,053 | ||||||
US Bank NA | 100,000 | 100,493 | ||||||
Wells Fargo & Co. | 100,000 | 100,144 | ||||||
Wells Fargo Bank NA | 250,000 | 250,063 | ||||||
Westpac Banking Corp. | 275,000 | 276,237 | ||||||
|
| |||||||
5,188,147 | ||||||||
|
| |||||||
BEVERAGES — 1.9% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 200,000 | 200,660 | ||||||
PepsiCo, Inc. | 250,000 | 251,438 | ||||||
|
| |||||||
452,098 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 2.1% |
| |||||||
Gilead Sciences, Inc. | 500,000 | 500,060 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 1.5% |
| |||||||
American Express Credit Corp. | 350,000 | 351,586 | ||||||
|
| |||||||
ELECTRONICS — 1.0% |
| |||||||
Honeywell International, Inc. | 235,000 | 235,705 | ||||||
|
| |||||||
IT SERVICES — 2.9% |
| |||||||
Apple, Inc. | 250,000 | 250,150 | ||||||
International Business Machines Corp.: | ||||||||
3 Month USD LIBOR + 0.19%, 1.58%, 2/6/2018 (a) | 205,000 | 204,998 | ||||||
3 Month USD LIBOR + 0.23%, 1.60%, 1/27/2020 (a) | 250,000 | 250,700 | ||||||
|
| |||||||
705,848 | ||||||||
|
| |||||||
MACHINERY, CONSTRUCTION & MINING — 2.3% |
| |||||||
Caterpillar Financial Services Corp.: | ||||||||
3 month USD LIBOR + 0.28%, 1.94%, 3/22/2019 (a) | 300,000 | 300,600 | ||||||
Series MTN, 3 Month USD LIBOR + 0.18%, 1.69%, 12/6/2018 (a) | 250,000 | 250,105 | ||||||
|
| |||||||
550,705 | ||||||||
|
| |||||||
MACHINERY-DIVERSIFIED — 0.8% |
| |||||||
John Deere Capital Corp. | 200,000 | 201,002 | ||||||
|
| |||||||
MEDIA — 2.7% |
| |||||||
NBCUniversal Enterprise, Inc.: | ||||||||
1.66%, 4/15/2018 (b) | 250,000 | 249,850 | ||||||
3 Month USD LIBOR + 0.40%, | 400,000 | 401,056 | ||||||
|
| |||||||
650,906 | ||||||||
|
| |||||||
MISCELLANEOUS MANUFACTURER — 2.9% |
| |||||||
General Electric Co. | 200,000 | 200,280 | ||||||
Siemens Financieringsmaatschappij NV | 500,000 | 501,735 | ||||||
|
| |||||||
702,015 | ||||||||
|
| |||||||
OIL & GAS — 6.9% |
| |||||||
BP Capital Markets PLC: | ||||||||
3 Month USD LIBOR + 0.43%, | 250,000 | 250,048 | ||||||
3 Month USD LIBOR + 0.65%, | 250,000 | 251,590 | ||||||
ConocoPhillips Co.: | ||||||||
3 Month USD LIBOR + 0.33%, | 100,000 | 100,026 | ||||||
3 Month USD LIBOR + 0.90%, | 250,000 | 254,737 | ||||||
Shell International Finance B.V.: | ||||||||
3 Month USD LIBOR + 0.35%, | 300,000 | 301,356 | ||||||
3 Month USD LIBOR + 0.58%, | 250,000 | 251,075 | ||||||
Statoil ASA | 250,000 | 250,707 | ||||||
|
| |||||||
1,659,539 | ||||||||
|
| |||||||
PHARMACEUTICALS — 1.0% |
| |||||||
Pfizer, Inc. | 250,000 | 250,225 | ||||||
|
|
See accompanying notes to financial statements.
34
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal | Value | ||||||
RETAIL — 3.5% |
| |||||||
Home Depot, Inc. | $ | 350,000 | $ | 350,602 | ||||
Lowe’s Cos., Inc.: | ||||||||
3 Month USD LIBOR + 0.42%, | 250,000 | 251,327 | ||||||
3 Month USD LIBOR + 0.60%, | 250,000 | 250,915 | ||||||
|
| |||||||
852,844 | ||||||||
|
| |||||||
SEMICONDUCTORS — 1.3% |
| |||||||
QUALCOMM, Inc.: | ||||||||
3 Month USD LIBOR + 0.27%, | 150,000 | 150,021 | ||||||
3 Month USD LIBOR + 0.36%, | 150,000 | 150,273 | ||||||
|
| |||||||
300,294 | ||||||||
|
| |||||||
SOFTWARE — 1.0% |
| |||||||
Oracle Corp. | 250,000 | 251,795 | ||||||
|
| |||||||
TELECOMMUNICATIONS — 1.9% |
| |||||||
Cisco Systems, Inc.: | ||||||||
3 Month USD LIBOR + 0.31%, | 150,000 | 150,150 | ||||||
3 Month USD LIBOR + 0.34%, | 310,000 | 311,404 | ||||||
|
| |||||||
461,554 | ||||||||
|
| |||||||
TRANSPORTATION — 0.8% | ||||||||
United Parcel Service, Inc. | 200,000 | 200,546 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 16,320,532 | |||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.0% |
| |||||||
CANADA — 1.0% | ||||||||
Province of Quebec Canada | 250,000 | 250,060 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 14.4% |
| |||||||
Treasury Notes: | ||||||||
0.63%, 6/30/2018 | 600,000 | 597,388 | ||||||
0.88%, 3/31/2018 | 650,000 | 649,162 | ||||||
1.00%, 11/30/2018 | 1,200,000 | 1,191,549 | ||||||
1.25%, 6/30/2019 | 550,000 | 545,125 | ||||||
1.38%, 9/30/2019 | 500,000 | 495,693 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 3,478,917 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS — 1.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 453,598 | 453,598 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 101.0% | 24,380,678 | |||||||
LIABILITIES IN EXCESS OF | (245,932 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 24,134,746 | ||||||
|
|
(a) | Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 13.9% of net assets as of December 31, 2017, 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, 2017 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2017. |
BKNT = Bank Notes
GMTN = Global Medium Term Note
LIBOR = London Interbank Offered Rate
MTN = Medium Term Note
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Auto Manufacturers | $ | — | $ | 2,554,805 | $ | — | $ | 2,554,805 | ||||||||
Diversified Financial Services | — | 351,586 | — | 351,586 | ||||||||||||
Beverages | — | 452,098 | — | 452,098 | ||||||||||||
IT Services | — | 705,848 | — | 705,848 | ||||||||||||
Banks | — | 5,188,147 | — | 5,188,147 |
See accompanying notes to financial statements.
35
Table of Contents
SSGA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Oil & Gas | $ | — | $ | 1,659,539 | $ | — | $ | 1,659,539 | ||||||||
Machinery, Construction & Mining | — | 550,705 | — | 550,705 | ||||||||||||
Telecommunications | — | 461,554 | — | 461,554 | ||||||||||||
Machinery-Diversified | — | 201,002 | — | 201,002 | ||||||||||||
Miscellaneous Manufacturer | — | 702,015 | — | 702,015 | ||||||||||||
Retail | — | 852,844 | — | 852,844 | ||||||||||||
Electronics | — | 235,705 | — | 235,705 | ||||||||||||
Media | — | 650,906 | — | 650,906 | ||||||||||||
Software | — | 251,795 | — | 251,795 | ||||||||||||
Pharmaceuticals | — | 250,225 | — | 250,225 | ||||||||||||
Semiconductors | — | 300,294 | — | 300,294 | ||||||||||||
Transportation | — | 200,546 | — | 200,546 | ||||||||||||
Aerospace & Defense | — | 250,858 | — | 250,858 | ||||||||||||
Biotechnology | — | 500,060 | — | 500,060 | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Automobile | — | 1,167,908 | — | 1,167,908 | ||||||||||||
Credit Card | — | 2,709,663 | — | 2,709,663 | ||||||||||||
U.S. Treasury Obligations | — | 3,478,917 | — | 3,478,917 | ||||||||||||
Foreign Government Obligations | — | 250,060 | — | 250,060 | ||||||||||||
Short-Term Investments | 453,598 | — | — | 453,598 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 453,598 | $ | 23,927,080 | $ | — | $ | 24,380,678 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 133,860 | $ | 133,860 | $ | 6,046,228 | $ | 5,726,490 | $ | — | $ | — | 453,598 | $ | 453,598 | $ | 1,833 |
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, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES — 3.0% |
| |||||||
Aegis Asset Backed Securities Trust 2006-1 Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 1.50% 1/25/2037 (a) | $ | 32,425,334 | $ | 25,985,264 | ||||
Ajax Mortgage Loan Trust: | ||||||||
Series 2016-B, Class A, | 8,283,050 | 8,271,894 | ||||||
Series 2017-C, Class A, | 7,940,486 | 7,911,449 | ||||||
Colony Starwood Homes Trust | 4,000,000 | 4,049,073 | ||||||
Flagship Credit Auto Trust Series 2016-3, Class B, 2.43% 6/15/2021 (b) | 3,500,000 | 3,500,587 | ||||||
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50% 11/25/2037 | 3,028,726 | 2,174,390 | ||||||
Navient Student Loan Trust | 13,500,000 | 13,645,651 | ||||||
OneMain Financial Issuance Trust Series 2015-1A, Class A, 3.19% 3/18/2026 (b) | 24,000,000 | 24,122,697 | ||||||
Progress Residential Trust | 1,000,000 | 1,015,077 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.17%, 1.72% 12/25/2036 (a) | 2,851,282 | 2,756,107 | ||||||
Towd Point Mortgage Trust | 2,214,348 | 2,225,575 | ||||||
US Residential Opportunity Fund IV Trust | 9,000,000 | 8,975,119 | ||||||
Westlake Automobile Receivables Trust | 2,500,000 | 2,501,784 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES | 107,134,667 | |||||||
|
| |||||||
CORPORATE BONDS & NOTES — 13.7% |
| |||||||
AUSTRALIA — 0.2% |
| |||||||
Commonwealth Bank of Australia 2.75%, 3/10/2022 (b) | 2,895,000 | 2,903,317 | ||||||
FMG Resources August 2006 Pty, Ltd. | 1,275,000 | 1,289,344 | ||||||
Macquarie Group, Ltd. | 3,600,000 | 3,574,944 | ||||||
|
| |||||||
7,767,605 | ||||||||
|
| |||||||
BELGIUM — 0.1% |
| |||||||
Anheuser-Busch InBev Finance, Inc. 2.65%, 2/1/2021 | 3,305,000 | 3,324,367 | ||||||
|
| |||||||
BRAZIL — 0.1% |
| |||||||
JBS USA LUX SA/JBS USA Finance, Inc.: | ||||||||
7.25%, 6/1/2021 (b) | 1,769,000 | 1,797,746 | ||||||
7.25%, 6/1/2021 (b) | 100,000 | 101,625 | ||||||
MARB BondCo PLC | 600,000 | 602,250 | ||||||
Marfrig Holdings Europe B.V. 8.00%, 6/8/2023 (b) | 1,000,000 | 1,042,500 | ||||||
|
| |||||||
3,544,121 | ||||||||
|
| |||||||
CANADA — 0.3% | ||||||||
1011778 BC ULC/New Red Finance, Inc. 4.25%, 5/15/2024 (b) | 1,885,000 | 1,880,288 | ||||||
Canadian Natural Resources, Ltd. | 3,855,000 | 3,834,915 | ||||||
Fortis, Inc. | 1,605,000 | 1,565,139 | ||||||
Royal Bank of Canada | 3,605,000 | 3,599,448 | ||||||
|
| |||||||
10,879,790 | ||||||||
|
| |||||||
CAYMAN ISLANDS — 0.1% |
| |||||||
Cosan Overseas, Ltd. | 4,314,000 | 4,416,026 | ||||||
Industrial Senior Trust | 500,000 | 510,000 | ||||||
|
| |||||||
4,926,026 | ||||||||
|
| |||||||
CHILE — 0.8% | ||||||||
Banco de Credito e Inversiones | 2,000,000 | 2,082,771 | ||||||
Banco del Estado de Chile: | ||||||||
Series REGS, 3.88%, 2/8/2022 | 1,500,000 | 1,562,777 | ||||||
Series REGS, 4.13%, 10/7/2020 | 1,900,000 | 1,981,292 | ||||||
Banco Santander Chile | 434,000 | 451,053 | ||||||
Celulosa Arauco y Constitucion SA | 1,400,000 | 1,481,190 | ||||||
Embotelladora Andina SA | 4,900,000 | 5,391,916 | ||||||
Guanay Finance, Ltd. | 1,270,630 | 1,305,001 | ||||||
Inversiones CMPC SA | 2,130,000 | 2,229,753 | ||||||
Itau CorpBanca | 7,214,000 | 7,355,462 | ||||||
SACI Falabella 3.75%, 4/30/2023 | 3,600,000 | 3,686,702 | ||||||
Transelec SA | 1,000,000 | 990,000 | ||||||
|
| |||||||
28,517,917 | ||||||||
|
| |||||||
CHINA — 0.7% | ||||||||
Alibaba Group Holding, Ltd.: | ||||||||
2.80%, 6/6/2023 | 200,000 | 199,566 | ||||||
3.13%, 11/28/2021 | 560,000 | 568,876 | ||||||
CNOOC Finance 2011, Ltd. | 700,000 | 727,550 |
See accompanying notes to financial statements.
38
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CNOOC Finance 2012, Ltd. | $ | 1,100,000 | $ | 1,133,838 | ||||
CNOOC Finance 2015 USA LLC | 5,700,000 | 5,758,881 | ||||||
CNPC General Capital, Ltd.: | ||||||||
Series REGS, 3.40%, 4/16/2023 | 3,000,000 | 3,029,807 | ||||||
Series REGS, 3.95%, 4/19/2022 | 500,000 | 518,325 | ||||||
CNPC HK Overseas Capital, Ltd. | 3,700,000 | 3,886,691 | ||||||
Sinopec Group Overseas Development 2016, Ltd.: | ||||||||
Series REGS, 2.75%, 5/3/2021 | 2,000,000 | 1,993,234 | ||||||
Series REGS, 2.75%, 9/29/2026 | 4,300,000 | 4,080,520 | ||||||
Sinopec Group Overseas Development 2017, Ltd.: | ||||||||
2.25%, 9/13/2020 (b) | 800,000 | 789,434 | ||||||
3.63%, 4/12/2027 (b) | 700,000 | 704,193 | ||||||
|
| |||||||
23,390,915 | ||||||||
|
| |||||||
COLOMBIA — 0.0% (d) | ||||||||
Bancolombia SA 6.13%, 7/26/2020 | 400,000 | 427,000 | ||||||
|
| |||||||
COSTA RICA — 0.1% | ||||||||
Banco Nacional de Costa Rica: | ||||||||
Series REGS, | 1,700,000 | 1,770,125 | ||||||
Series REGS, 5.88%, 4/25/2021 | 1,290,000 | 1,343,213 | ||||||
|
| |||||||
3,113,338 | ||||||||
|
| |||||||
DOMINICAN REPUBLIC — 0.2% |
| |||||||
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It | 2,200,000 | 2,381,500 | ||||||
Banco de Reservas de la Republica Dominicana: | ||||||||
Series REGS, | 1,200,000 | 1,265,058 | ||||||
Series REGS, 7.00%, 2/1/2023 | 2,750,000 | 2,899,091 | ||||||
|
| |||||||
6,545,649 | ||||||||
|
| |||||||
HONG KONG — 0.2% | ||||||||
CK Hutchison International 17, Ltd.: | ||||||||
2.25%, 9/29/2020 (b) | 400,000 | 396,108 | ||||||
2.75%, 3/29/2023 (b) | 1,000,000 | 980,930 | ||||||
3.50%, 4/5/2027 (b) | 2,600,000 | 2,598,140 | ||||||
Series REGS, 2.88%, 4/5/2022 | 900,000 | 896,682 | ||||||
Hutchison Whampoa International 12 II, Ltd. 3.25%, 11/8/2022 | 2,600,000 | 2,628,154 | ||||||
|
| |||||||
7,500,014 | ||||||||
|
| |||||||
INDIA — 1.0% | ||||||||
Adani Ports & Special Economic Zone, Ltd.: | ||||||||
3.50%, 7/29/2020 | 700,000 | 707,221 | ||||||
Series REGS, 3.95%, 1/19/2022 | 2,500,000 | 2,549,472 | ||||||
Bharat Petroleum Corp., Ltd. 4.63%, 10/25/2022 | 1,100,000 | 1,160,940 | ||||||
Bharti Airtel International Netherlands B.V. | 3,400,000 | 3,603,282 | ||||||
Bharti Airtel, Ltd. | 4,000,000 | 4,070,063 | ||||||
BPRL International Singapore Pte, Ltd. | 3,900,000 | 4,021,692 | ||||||
Export-Import Bank of India | 2,150,000 | 2,159,327 | ||||||
Indian Oil Corp., Ltd.: | ||||||||
5.63%, 8/2/2021 | 2,000,000 | 2,170,394 | ||||||
5.75%, 8/1/2023 | 4,900,000 | 5,458,316 | ||||||
ONGC Videsh Vankorneft Pte, Ltd. | 6,500,000 | 6,467,565 | ||||||
Reliance Holding USA, Inc. | 1,650,000 | 1,725,105 | ||||||
|
| |||||||
34,093,377 | ||||||||
|
| |||||||
ISRAEL — 0.0% (d) |
| |||||||
Delek & Avner Tamar Bond, Ltd.: | ||||||||
4.44%, 12/30/2020 (b) | 1,600,000 | 1,602,528 | ||||||
5.41%, 12/30/2025 (b) | 140,000 | 140,921 | ||||||
|
| |||||||
1,743,449 | ||||||||
|
| |||||||
JAMAICA — 0.1% |
| |||||||
Digicel Group, Ltd.: | ||||||||
Series REGS, 7.13%, 4/1/2022 | 3,300,000 | 3,056,625 | ||||||
Series REGS, 8.25%, 9/30/2020 | 1,000,000 | 983,790 | ||||||
|
| |||||||
4,040,415 | ||||||||
|
| |||||||
JAPAN — 0.1% |
| |||||||
Sumitomo Mitsui Financial Group, Inc. | 2,785,000 | 2,787,590 | ||||||
|
| |||||||
MALAYSIA — 0.7% |
| |||||||
Axiata SPV2 Bhd | 6,200,000 | 6,276,458 | ||||||
Gohl Capital, Ltd. 4.25%, 1/24/2027 | 5,000,000 | 5,127,635 | ||||||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (a) | 7,700,000 | 7,862,193 | ||||||
Petronas Capital, Ltd. | 5,300,000 | 5,435,240 | ||||||
Petronas Global Sukuk, Ltd. | 1,900,000 | 1,901,486 | ||||||
|
| |||||||
26,603,012 | ||||||||
|
| |||||||
MEXICO — 0.3% |
| |||||||
America Movil SAB de CV: | ||||||||
3.13%, 7/16/2022 | 1,000,000 | 1,012,930 | ||||||
5.00%, 3/30/2020 | 885,000 | 933,206 | ||||||
Banco Santander Mexico SA | 3,500,000 | 3,640,000 | ||||||
Coca-Cola Femsa SAB de CV 3.88%, 11/26/2023 | 650,000 | 679,003 | ||||||
Fomento Economico Mexicano SAB de CV 2.88%, 5/10/2023 | 2,314,000 | 2,292,225 | ||||||
Grupo Idesa SA de CV 7.88%, 12/18/2020 | 2,000,000 | 1,880,000 | ||||||
Sixsigma Networks Mexico SA de CV | 200,000 | 211,500 | ||||||
|
| |||||||
10,648,864 | ||||||||
|
|
See accompanying notes to financial statements.
39
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
NETHERLANDS — 0.0% (d) |
| |||||||
Ajecorp B.V. | $ | 150,000 | $ | 133,500 | ||||
|
| |||||||
NEW ZEALAND — 0.1% |
| |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.13%, 7/15/2023 (b) | 1,900,000 | 1,966,500 | ||||||
|
| |||||||
PANAMA — 0.2% |
| |||||||
Global Bank Corp. | 7,521,000 | 7,774,458 | ||||||
|
| |||||||
PERU — 0.2% |
| |||||||
Banco de Credito del Peru | 2,300,000 | 2,449,500 | ||||||
Banco Internacional del Peru SAA | 500,000 | 549,000 | ||||||
BBVA Banco Continental SA | 1,000,000 | 1,078,750 | ||||||
Corp. Financiera de Desarrollo SA | 1,000,000 | 1,007,500 | ||||||
Transportadora de Gas del Peru SA 4.25%, 4/30/2028 | 2,500,000 | 2,585,000 | ||||||
|
| |||||||
7,669,750 | ||||||||
|
| |||||||
PHILIPPINES — 0.2% |
| |||||||
BDO Unibank, Inc.: | ||||||||
2.95%, 3/6/2023 | 6,200,000 | 6,078,858 | ||||||
Series MTN, 2.63%, 10/24/2021 | 1,450,000 | 1,435,596 | ||||||
|
| |||||||
7,514,454 | ||||||||
|
| |||||||
QATAR — 0.0% (d) |
| |||||||
Ooredoo International Finance, Ltd. | 1,800,000 | 1,788,084 | ||||||
|
| |||||||
SINGAPORE — 0.9% |
| |||||||
DBS Group Holdings, Ltd.: | ||||||||
3 Month USD LIBOR + 0.62%, | 5,100,000 | 5,127,314 | ||||||
Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (a) | 1,300,000 | 1,294,193 | ||||||
Series REGS, 3 Month USD LIBOR + 0.62%, 1.99%, 7/25/2022 (a) | 1,200,000 | 1,206,427 | ||||||
ONGC Videsh Vankorneft Pte, Ltd. | 700,000 | 691,847 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 5,000,000 | 5,087,463 | ||||||
SingTel Group Treasury Pte, Ltd. | 1,300,000 | 1,380,857 | ||||||
SP PowerAssets, Ltd. | 500,000 | 497,941 | ||||||
Temasek Financial I, Ltd. | 7,650,000 | 7,552,856 | ||||||
United Overseas Bank, Ltd.: | ||||||||
USD 5 Year Swap Rate + 2.24%, | 4,500,000 | 4,529,385 | ||||||
Series EMTN, USD 5 Year Swap Rate + 2.00%, | 3,100,000 | 3,136,595 | ||||||
|
| |||||||
30,504,878 | ||||||||
|
| |||||||
UNITED ARAB EMIRATES — 0.0% (d) |
| |||||||
DAE Funding LLC | 1,150,000 | 1,129,875 | ||||||
|
| |||||||
UNITED KINGDOM — 0.3% |
| |||||||
AstraZeneca PLC 2.38%, 6/12/2022 | 2,150,000 | 2,122,587 | ||||||
Reynolds American, Inc. | 3,440,000 | 3,594,490 | ||||||
Royal Bank of Scotland Group PLC | 3,555,000 | 3,562,359 | ||||||
|
| |||||||
9,279,436 | ||||||||
|
| |||||||
UNITED STATES — 6.8% |
| |||||||
AbbVie, Inc. 3.20%, 11/6/2022 | 1,650,000 | 1,675,394 | ||||||
Aircastle, Ltd. 5.00%, 4/1/2023 | 625,000 | 659,375 | ||||||
Allergan Funding SCS: | ||||||||
3.80%, 3/15/2025 | 1,115,000 | 1,134,791 | ||||||
3.85%, 6/15/2024 | 2,375,000 | 2,439,695 | ||||||
Altice US Finance I Corp. 5.38%, 7/15/2023 (b) | 1,850,000 | 1,898,562 | ||||||
Amazon.com, Inc.: | ||||||||
2.60%, 12/5/2019 | 1,825,000 | 1,843,578 | ||||||
2.80%, 8/22/2024 (b) | 1,985,000 | 1,979,402 | ||||||
3.80%, 12/5/2024 | 1,255,000 | 1,327,589 | ||||||
American Axle & Manufacturing, Inc. 6.63%, 10/15/2022 | 1,260,000 | 1,306,463 | ||||||
American Electric Power Co., Inc. 3.20%, 11/13/2027 | 300,000 | 298,194 | ||||||
American Express Co. 2.50%, 8/1/2022 | 3,670,000 | 3,625,556 | ||||||
Anthem, Inc. 3.30%, 1/15/2023 | 2,982,000 | 3,026,044 | ||||||
AT&T, Inc. 3.80%, 3/1/2024 | 1,550,000 | 1,586,503 | ||||||
B&G Foods, Inc. 5.25%, 4/1/2025 | 1,840,000 | 1,866,450 | ||||||
Bank of America Corp. | 3,675,000 | 3,666,915 | ||||||
Becton Dickinson and Co. 2.89%, 6/6/2022 | 3,635,000 | 3,613,528 | ||||||
Boston Properties L.P. 3.65%, 2/1/2026 | 3,725,000 | 3,787,729 | ||||||
BWAY Holding Co. | 1,845,000 | 1,923,412 | ||||||
Calpine Corp. 5.75%, 1/15/2025 | 950,000 | 897,750 | ||||||
Cardinal Health, Inc. 3.41%, 6/15/2027 | 3,605,000 | 3,535,099 | ||||||
Caterpillar, Inc. 3.40%, 5/15/2024 | 2,791,000 | 2,894,685 | ||||||
CBS Corp. 3.70%, 6/1/2028 (b) | 190,000 | 186,783 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||||
4.00%, 3/1/2023 (b) | 455,000 | 449,904 | ||||||
5.13%, 5/1/2023 (b) | 325,000 | 331,500 | ||||||
Celgene Corp. 4.35%, 11/15/2047 | 3,700,000 | 3,853,883 | ||||||
Centene Corp. 4.75%, 1/15/2025 | 1,855,000 | 1,887,462 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,575,000 | 1,645,623 | ||||||
Cheniere Energy Partners L.P. | 935,000 | 952,531 |
See accompanying notes to financial statements.
40
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Cincinnati Bell, Inc. | $ | 1,179,000 | $ | 1,170,158 | ||||
Cisco Systems, Inc. | 1,730,000 | 1,673,983 | ||||||
Citigroup, Inc. | 3,565,000 | 3,611,702 | ||||||
Comcast Corp. 4.40%, 8/15/2035 | 3,563,000 | 3,899,525 | ||||||
CommScope, Inc. | 1,350,000 | 1,373,625 | ||||||
CRC Escrow Issuer LLC/CRC Finco, Inc. 5.25%, 10/15/2025 (b) | 1,920,000 | 1,936,800 | ||||||
CSC Holdings LLC | 276,000 | 296,010 | ||||||
Delta Air Lines, Inc. | 2,230,000 | 2,268,066 | ||||||
Discover Financial Services | 1,930,000 | 1,977,536 | ||||||
Dollar Tree, Inc. 5.75%, 3/1/2023 | 1,034,000 | 1,081,823 | ||||||
Duke Energy Corp. 2.65%, 9/1/2026 | 3,810,000 | 3,651,009 | ||||||
eBay, Inc. 2.75%, 1/30/2023 | 1,985,000 | 1,966,559 | ||||||
Energy Transfer Equity L.P. 4.25%, 3/15/2023 | 1,800,000 | 1,782,000 | ||||||
Energy Transfer L.P.: | ||||||||
4.20%, 4/15/2027 | 280,000 | 279,250 | ||||||
4.75%, 1/15/2026 | 2,330,000 | 2,420,777 | ||||||
Enterprise Products Operating LLC | 2,355,000 | 2,426,333 | ||||||
Envision Healthcare Corp. | 320,000 | 330,800 | ||||||
EQT Corp. 3.90%, 10/1/2027 | 3,685,000 | 3,672,471 | ||||||
Equinix, Inc. 5.38%, 4/1/2023 | 1,840,000 | 1,902,560 | ||||||
ESH Hospitality, Inc. | 2,010,000 | 2,030,100 | ||||||
Expedia, Inc. 3.80%, 2/15/2028 | 3,640,000 | 3,517,355 | ||||||
FedEx Corp. 4.75%, 11/15/2045 | 3,400,000 | 3,816,534 | ||||||
First Data Corp. | 1,325,000 | 1,373,031 | ||||||
General Motors Co. | 820,000 | 824,910 | ||||||
General Motors Financial Co., Inc. 3.95%, 4/13/2024 | 3,265,000 | 3,361,383 | ||||||
Georgia-Pacific LLC 3.60%, 3/1/2025 (b) | 3,288,000 | 3,379,154 | ||||||
Goldman Sachs Group, Inc. | 3,710,000 | 3,714,820 | ||||||
Goodyear Tire & Rubber Co. | 1,345,000 | 1,398,800 | ||||||
Gray Television, Inc. | 1,915,000 | 1,910,212 | ||||||
HCA, Inc. 4.25%, 10/15/2019 | 2,165,000 | 2,197,475 | ||||||
Hilton Domestic Operating Co., Inc. | 1,800,000 | 1,820,250 | ||||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 6.25%, 2/1/2022 | 1,950,000 | 2,003,625 | ||||||
John Deere Capital Corp. Series MTN, 2.65%, 1/6/2022 | 795,000 | 800,708 | ||||||
JPMorgan Chase & Co. | 3,650,000 | 3,647,336 | ||||||
Kinder Morgan, Inc. | 1,995,000 | 2,012,476 | ||||||
Kraft Heinz Foods Co. | 3,590,000 | 3,609,961 | ||||||
Laboratory Corp. of America Holdings | 3,271,000 | 3,333,051 | ||||||
Level 3 Financing, Inc. | 1,915,000 | 1,939,512 | ||||||
Level 3 Parent LLC | 1,301,000 | 1,304,643 | ||||||
Live Nation Entertainment, Inc. | 600,000 | 616,500 | ||||||
LTF Merger Sub, Inc. | 1,700,000 | 1,799,875 | ||||||
Microsoft Corp. 2.40%, 2/6/2022 | 1,805,000 | 1,805,036 | ||||||
Morgan Stanley 2.75%, 5/19/2022 | 3,855,000 | 3,839,580 | ||||||
Mosaic Co. 4.05%, 11/15/2027 | 1,810,000 | 1,813,946 | ||||||
National Rural Utilities Cooperative Finance Corp. 2.30%, 11/1/2020 | 1,947,000 | 1,943,418 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. 6.50%, 7/1/2021 | 1,460,000 | 1,478,250 | ||||||
Navient Corp. 6.50%, 6/15/2022 | 1,310,000 | 1,372,225 | ||||||
NCL Corp., Ltd. | 1,810,000 | 1,871,087 | ||||||
New York Life Global Funding 2.30%, 6/10/2022 (b) | 1,705,000 | 1,681,121 | ||||||
Nexstar Broadcasting, Inc. | 900,000 | 927,000 | ||||||
NextEra Energy Operating Partners L.P. 4.25%, 9/15/2024 (b) | 1,785,000 | 1,814,095 | ||||||
NGL Energy Partners L.P./NGL Energy Finance Corp. 6.13%, 3/1/2025 | 1,665,000 | 1,621,294 | ||||||
NRG Energy, Inc. 6.25%, 7/15/2022 | 825,000 | 858,000 | ||||||
NUVEEN FINANCE LLC 4.13%, 11/1/2024 (b) | 3,220,000 | 3,398,253 | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. 5.25%, 2/15/2022 | 760,000 | 779,000 | ||||||
Packaging Corp. of America 3.40%, 12/15/2027 | 905,000 | 909,344 | ||||||
Peabody Energy Corp. 6.00%, 3/31/2022 (b) | 2,253,000 | 2,343,120 | ||||||
Penske Automotive Group, Inc. 3.75%, 8/15/2020 | 1,790,000 | 1,823,562 | ||||||
Penske Truck Leasing Co. L.P./PTL Finance Corp. | 675,000 | 701,634 | ||||||
Pilgrim’s Pride Corp. | 925,000 | 956,265 | ||||||
Post Holdings, Inc. | 1,800,000 | 1,860,750 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (b) | 1,245,000 | 1,378,838 | ||||||
Prudential Financial, Inc. Series MTN, 3.50%, 5/15/2024 | 3,480,000 | 3,616,312 |
See accompanying notes to financial statements.
41
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Quintiles IMS, Inc. | $ | 2,200,000 | $ | 2,279,750 | ||||
Reliance Holding USA, Inc. | 5,350,000 | 5,810,732 | ||||||
Republic Services, Inc. 3.38%, 11/15/2027 | 1,815,000 | 1,831,063 | ||||||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027 | 2,500,000 | 2,672,700 | ||||||
Santander Holdings USA, Inc. 3.40%, 1/18/2023 (b) | 1,850,000 | 1,845,375 | ||||||
SBA Communications Corp. 4.00%, 10/1/2022 (b) | 1,895,000 | 1,899,737 | ||||||
Scientific Games International, Inc. 7.00%, 1/1/2022 (b) | 1,160,000 | 1,222,350 | ||||||
Select Medical Corp. 6.38%, 6/1/2021 | 1,350,000 | 1,383,750 | ||||||
Simon Property Group L.P. 2.75%, 6/1/2023 | 1,760,000 | 1,757,096 | ||||||
Sirius XM Radio, Inc.: | ||||||||
3.88%, 8/1/2022 (b) | 785,000 | 790,809 | ||||||
5.38%, 7/15/2026 (b) | 625,000 | 646,484 | ||||||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (b) | 2,265,000 | 2,296,144 | ||||||
Smithfield Foods, Inc. | 1,620,000 | 1,662,435 | ||||||
Southern Co.: | ||||||||
1.85%, 7/1/2019 | 1,320,000 | 1,311,328 | ||||||
2.45%, 9/1/2018 | 2,405,000 | 2,411,992 | ||||||
Spectrum Brands, Inc. 6.63%, 11/15/2022 | 1,197,000 | 1,241,139 | ||||||
Starwood Property Trust, Inc. 4.75%, 3/15/2025 (b) | 1,915,000 | 1,900,637 | ||||||
Sysco Corp. 3.25%, 7/15/2027 | 1,820,000 | 1,820,673 | ||||||
Tempur Sealy International, Inc. | 925,000 | 962,000 | ||||||
TerraForm Power Operating LLC 4.25%, 1/31/2023 (b) | 1,890,000 | 1,871,100 | ||||||
Transocean Proteus, Ltd. | 846,000 | 887,243 | ||||||
TreeHouse Foods, Inc. | 375,000 | 390,000 | ||||||
Tribune Media Co. | 1,045,000 | 1,073,738 | ||||||
United Continental Holdings, Inc. | 1,905,000 | 1,914,525 | ||||||
Valeant Pharmaceuticals International, Inc. 6.50%, 3/15/2022 (b) | 1,260,000 | 1,326,150 | ||||||
Valero Energy Corp. | 1,025,000 | 1,358,125 | ||||||
Verizon Communications, Inc. | 1,510,000 | 1,536,410 | ||||||
VMware, Inc. 2.95%, 8/21/2022 | 3,870,000 | 3,860,944 | ||||||
Waste Management, Inc. 3.13%, 3/1/2025 | 3,547,000 | 3,575,412 | ||||||
WellCare Health Plans, Inc. 5.25%, 4/1/2025 | 1,375,000 | 1,454,063 | ||||||
Wells Fargo & Co.: | ||||||||
3.07%, 1/24/2023 | 1,810,000 | 1,826,091 | ||||||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (a) | 1,785,000 | 1,818,504 | ||||||
Whiting Petroleum Corp. 5.00%, 3/15/2019 | 945,000 | 969,098 | ||||||
Williams Partners L.P. 3.75%, 6/15/2027 | 1,710,000 | 1,713,181 | ||||||
|
| |||||||
242,540,006 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | 490,154,390 | |||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.4% |
| |||||||
CHILE — 0.3% | ||||||||
Chile Government International Bond: | ||||||||
2.25%, 10/30/2022 | 700,000 | 690,361 | ||||||
3.13%, 3/27/2025 | 2,200,000 | 2,243,142 | ||||||
3.13%, 1/21/2026 | 8,300,000 | 8,434,875 | ||||||
|
| |||||||
11,368,378 | ||||||||
|
| |||||||
COSTA RICA — 0.1% | ||||||||
Costa Rica Government International Bond 10.00%, 8/1/2020 | 2,905,000 | 3,340,750 | ||||||
|
| |||||||
INDIA — 0.1% | ||||||||
Export-Import Bank of India: | ||||||||
3 Month USD LIBOR + 1.00%, 2.44%, 8/21/2022 (a) | 1,300,000 | 1,305,434 | ||||||
Series EMTN, 2.75%, 4/1/2020 | 200,000 | 199,684 | ||||||
Series EMTN, 4.00%, 1/14/2023 | 2,050,000 | 2,122,816 | ||||||
|
| |||||||
3,627,934 | ||||||||
|
| |||||||
INDONESIA — 0.3% | ||||||||
Indonesia Government | 2,300,000 | 2,452,959 | ||||||
Perusahaan Penerbit SBSN Indonesia III: | ||||||||
Series 144A, 4.15%, 3/29/2027 (b) | 4,500,000 | 4,646,700 | ||||||
Series REGS, 4.15%, 3/29/2027 | 2,000,000 | 2,065,200 | ||||||
|
| |||||||
9,164,859 | ||||||||
|
| |||||||
ISRAEL — 0.3% | ||||||||
Israel Government International Bond: | ||||||||
2.88%, 3/16/2026 | 3,900,000 | 3,894,072 | ||||||
3.15%, 6/30/2023 | 1,500,000 | 1,533,480 | ||||||
4.00%, 6/30/2022 | 3,400,000 | 3,604,748 | ||||||
|
| |||||||
9,032,300 | ||||||||
|
| |||||||
MALAYSIA — 0.2% | ||||||||
Malaysia Sovereign Sukuk Bhd: | ||||||||
3.04%, 4/22/2025 | 2,900,000 | 2,908,700 | ||||||
Series REGS, 3.18%, 4/27/2026 | 2,250,000 | 2,266,650 | ||||||
Wakala Global Sukuk Bhd 4.65%, 7/6/2021 | 1,000,000 | 1,066,300 | ||||||
|
| |||||||
6,241,650 | ||||||||
|
| |||||||
MEXICO — 0.3% | ||||||||
Mexico Government International Bond: | ||||||||
4.00%, 10/2/2023 | 2,500,000 | 2,619,700 | ||||||
4.13%, 1/21/2026 | 5,200,000 | 5,432,440 | ||||||
4.15%, 3/28/2027 | 3,500,000 | 3,636,150 | ||||||
|
| |||||||
11,688,290 | ||||||||
|
|
See accompanying notes to financial statements.
42
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
PANAMA — 0.3% | ||||||||
Panama Government International Bond: | ||||||||
3.88%, 3/17/2028 | $ | 2,800,000 | $ | 2,928,492 | ||||
4.00%, 9/22/2024 | 5,600,000 | 5,954,648 | ||||||
|
| |||||||
8,883,140 | ||||||||
|
| |||||||
PERU — 0.2% | ||||||||
Banco de Credito del Peru | 5,200,000 | 5,200,000 | ||||||
Fondo MIVIVIENDA SA: | ||||||||
Series 144A, 3.50%, 1/31/2023 (b) | 800,000 | 803,120 | ||||||
Series REGS, 3.50%, 1/31/2023 | 1,800,000 | 1,807,020 | ||||||
|
| |||||||
7,810,140 | ||||||||
|
| |||||||
PHILIPPINES — 0.3% | ||||||||
Philippine Government International Bond: | ||||||||
3.70%, 2/2/2042 | 3,000,000 | 2,985,960 | ||||||
4.20%, 1/21/2024 | 7,900,000 | 8,583,430 | ||||||
|
| |||||||
11,569,390 | ||||||||
|
| |||||||
POLAND — 0.0% (d) | ||||||||
Poland Government International Bond 5.13%, 4/21/2021 | 1,100,000 | 1,191,388 | ||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS | 83,918,219 | |||||||
|
| |||||||
SENIOR FLOATING RATE LOANS — 6.5% (e) |
| |||||||
AEROSPACE & DEFENSE — 0.0% (d) |
| |||||||
TransDigm, Inc.: | ||||||||
Senior Secured Extended Term Loan F 4.36%, 6/9/2023 | 573,563 | 575,074 | ||||||
Senior Secured Term Loan G 4.67%, 8/22/2024 | 1,308,425 | 1,316,151 | ||||||
|
| |||||||
1,891,225 | ||||||||
|
| |||||||
AUTO COMPONENTS — 0.1% | ||||||||
CH Hold Corp. | 108,160 | 108,972 | ||||||
Federal-Mogul Holdings Corp. | 3,230,084 | 3,258,557 | ||||||
|
| |||||||
3,367,529 | ||||||||
|
| |||||||
CAPITAL MARKETS — 0.1% | ||||||||
Duff & Phelps Corp. | 2,545,000 | 2,553,589 | ||||||
|
| |||||||
CHEMICALS — 0.1% | ||||||||
Kraton Polymers LLC | 2,128,544 | 2,153,703 | ||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 0.3% |
| |||||||
Asurion LLC | 4,655,166 | 4,683,191 | ||||||
Prime Security Services | 4,532,237 | 4,570,965 | ||||||
West Corp. | 1,450,000 | 1,455,735 | ||||||
|
| |||||||
10,709,891 | ||||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 0.2% |
| |||||||
Avaya, Inc. | 4,200,000 | 4,140,948 | ||||||
Digicel International Finance, Ltd. | 2,319,188 | 2,332,233 | ||||||
Riverbed Technology, Inc. | 230,000 | 226,902 | ||||||
|
| |||||||
6,700,083 | ||||||||
|
| |||||||
CONSTRUCTION & ENGINEERING — 0.1% |
| |||||||
Brand Energy & Infrastructure Services, Inc. | 4,263,575 | 4,285,703 | ||||||
|
| |||||||
CONSTRUCTION MATERIALS — 0.1% |
| |||||||
Traverse Midstream Partners LLC | 2,310,000 | 2,343,784 | ||||||
|
| |||||||
CONTAINERS & PACKAGING — 0.2% |
| |||||||
Berry Plastics Group, Inc. | 3,498,627 | 3,516,785 | ||||||
BWAY Holding Company | 547,250 | 550,230 | ||||||
Reynolds Group Holdings, Inc. | 4,053,648 | 4,077,361 | ||||||
|
| |||||||
8,144,376 | ||||||||
|
| |||||||
DISTRIBUTORS — 0.0% (d) | ||||||||
American Tire Distributors Holdings, Inc. | 465,104 | 469,101 | ||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (d) |
| |||||||
AlixPartners LLP | 1,994,925 | 2,008,101 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% |
| |||||||
CenturyLink Escrow LLC | 3,440,000 | 3,323,900 | ||||||
Intelsat Jackson Holdings S.A. | 4,700,000 | 4,611,875 | ||||||
Telesat Canada | 3,961,336 | 3,984,233 | ||||||
|
| |||||||
11,920,008 | ||||||||
|
|
See accompanying notes to financial statements.
43
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
ELECTRIC UTILITIES — 0.1% | ||||||||
EFS Cogen Holdings I LLC | $ | 3,823,357 | $ | 3,865,337 | ||||
|
| |||||||
ELECTRICAL EQUIPMENT — 0.1% |
| |||||||
Gates Global LLC | 2,133,902 | 2,148,722 | ||||||
|
| |||||||
ENERGY EQUIPMENT & SERVICES — 0.1% |
| |||||||
BCP Renaissance Parent LLC | 2,330,000 | 2,360,873 | ||||||
|
| |||||||
FINANCIAL SERVICES — 0.0% (d) | ||||||||
GTCR Valor Companies, Inc. | 1,586,025 | 1,607,175 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.2% |
| |||||||
Albertsons LLC | 3,618,365 | 3,551,950 | ||||||
BJ’s Wholesale Club, Inc. | 3,213,850 | 3,166,654 | ||||||
|
| |||||||
6,718,604 | ||||||||
|
| |||||||
FOOD PRODUCTS — 0.0% (d) | ||||||||
CSM Bakery Solutions LLC | 808,032 | 800,356 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 0.4% |
| |||||||
Air Methods Corp. | 2,630,701 | 2,630,294 | ||||||
CHG Healthcare Services, Inc. | 2,626,419 | 2,650,635 | ||||||
Envision Healthcare Corp. | 3,088,472 | 3,100,687 | ||||||
HCA Inc. | 495,009 | 498,682 | ||||||
Select Medical Corp. | 3,364,575 | 3,402,427 | ||||||
Team Health Holdings, Inc. | 3,955,113 | 3,861,198 | ||||||
U.S. Renal Care, Inc. | 8,881 | 8,770 | ||||||
|
| |||||||
16,152,693 | ||||||||
|
| |||||||
HEALTH CARE TECHNOLOGY — 0.1% |
| |||||||
Change Healthcare Holdings, Inc. Senior Secured Term Loan B 4.32%, 3/1/2024 | 4,064,288 | 4,076,237 | ||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 1.0% |
| |||||||
Caesars Resort Collection LLC | 3,770,000 | 3,791,546 | ||||||
CityCenter Holdings LLC | 4,648,482 | 4,674,932 | ||||||
ClubCorp Club Operations, Inc. | 3,339,304 | 3,357,303 | ||||||
Delta 2 (LUX) S.a.r.l. | 4,335,000 | 4,364,803 | ||||||
Eldorado Resorts LLC | 1,412,031 | 1,414,897 | ||||||
Golden Nugget, Inc. | 587,026 | 592,274 | ||||||
Intrawest Resorts Holdings, Inc. | 2,495,000 | 2,517,617 | ||||||
LTF Merger Sub, Inc. | 4,066,169 | 4,085,666 | ||||||
MGM Growth Properties Operating Partnership LP | 3,909,401 | 3,929,632 | ||||||
Mohegan Tribal Gaming Authority Senior Secured Term Loan B 5.62%, 10/13/2023 | 143,799 | 145,305 | ||||||
Scientific Games International, Inc. Senior Secured Term Loan B4 4.70%, 8/14/2024 | 4,374,038 | 4,414,738 | ||||||
Travel Leaders Group LLC | 948,757 | 963,586 | ||||||
|
| |||||||
34,252,299 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 0.0% (d) |
| |||||||
KIK Custom Products, Inc. | 1,040,682 | 1,049,007 | ||||||
|
| |||||||
INSURANCE — 0.2% | ||||||||
Acrisure LLC | 2,035,474 | 2,058,627 | ||||||
AssuredPartners, Inc. | 4,673,288 | 4,709,319 | ||||||
York Risk Services Holding Corp. | 1,007,148 | 988,515 | ||||||
|
| |||||||
7,756,461 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 0.0% (d) |
| |||||||
SkillSoft Corp. | 306,701 | 296,131 | ||||||
|
|
See accompanying notes to financial statements.
44
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
IT SERVICES — 0.3% | ||||||||
Optiv Security, Inc. | $ | 1,625,679 | $ | 1,522,042 | ||||
Peak 10, Inc. | 4,339,125 | 4,343,876 | ||||||
TKC Holdings, Inc. | 4,099,025 | 4,136,162 | ||||||
|
| |||||||
10,002,080 | ||||||||
|
| |||||||
LIFE SCIENCES TOOLS & SERVICES — 0.2% |
| |||||||
Jaguar Holding Co. II | 3,909,347 | 3,919,784 | ||||||
Parexel International Corp. | 1,975,050 | 1,986,160 | ||||||
|
| |||||||
5,905,944 | ||||||||
|
| |||||||
MACHINERY — 0.0% (d) | ||||||||
Milacron LLC | 346,500 | 347,295 | ||||||
|
| |||||||
MEDIA — 0.7% | ||||||||
CBS Radio, Inc. | 2,285,000 | 2,300,469 | ||||||
CSC Holdings LLC | 3,932,013 | 3,922,478 | ||||||
Mission Broadcasting, Inc. | 135,110 | 135,653 | ||||||
Nexstar Broadcasting, Inc. | 1,070,258 | 1,074,555 | ||||||
Radiate Holdco LLC | 3,935,000 | 3,911,469 | ||||||
Rentpath, Inc. | 860,052 | 864,219 | ||||||
Sinclair Television Group, Inc. | 3,820,000 | 3,818,224 | ||||||
Tribune Media Co.: | ||||||||
Senior Secured Term Loan 4.57%, 12/27/2020 | 83,967 | 84,194 | ||||||
Senior Secured Term Loan C 4.57%, 1/27/2024 | 3,836,509 | 3,847,903 | ||||||
WMG Acquisition Corp. | 3,950,000 | 3,958,335 | ||||||
|
| |||||||
23,917,499 | ||||||||
|
| |||||||
PHARMACEUTICALS — 0.1% |
| |||||||
Grifols Worldwide Operations USA, Inc. | 3,920,375 | 3,931,940 | ||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% |
| |||||||
Capital Automotive L.P.: | ||||||||
Senior Secured 1st Lien Term Loan 4.07%, 3/24/2024 | 2,517,052 | 2,527,120 | ||||||
Senior Secured 2nd Lien Term Loan 7.57%, 3/24/2025 | 414,462 | 426,896 | ||||||
|
| |||||||
2,954,016 | ||||||||
|
| |||||||
SEMICONDUCTOR EQUIPMENT — 0.1% |
| |||||||
Lumileds Holding B.V. | 2,736,250 | 2,757,907 | ||||||
|
| |||||||
SOFTWARE — 1.1% |
| |||||||
Almonde, Inc. | 3,930,150 | 3,945,556 | ||||||
Applied Systems, Inc. | 4,548,600 | 4,602,615 | ||||||
Cengage Learning Acquisitions, Inc. Senior Secured Term Loan B 5.71%, 6/7/2023 | 4,675,000 | 4,475,658 | ||||||
Dell Inc. | 3,729,882 | 3,732,437 | ||||||
Greeneden U.S. Holdings II LLC Senior Secured Term Loan B2 5.44%, 12/1/2023 | 2,189,499 | 2,204,552 | ||||||
Kronos, Inc. | 3,969,975 | 4,001,001 | ||||||
Quest Software US Holdings, Inc. Senior Secured Term Loan B 6.92%, 10/31/2022 | 4,350,127 | 4,427,407 | ||||||
RP Crown Parent LLC | 821,700 | 826,708 | ||||||
SolarWinds Holdings, Inc. | 4,064,212 | 4,085,041 | ||||||
Solera Holdings, Inc. | 4,021,978 | 4,052,988 | ||||||
Sophia L.P. | 4,026,582 | 4,035,823 | ||||||
|
| |||||||
40,389,786 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 0.1% |
| |||||||
Jo-Ann Stores, Inc. | 945,450 | 914,723 | ||||||
Staples, Inc. | 2,055,000 | 2,018,781 | ||||||
|
| |||||||
2,933,504 | ||||||||
|
|
See accompanying notes to financial statements.
45
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
TRADING COMPANIES & DISTRIBUTORS — 0.1% |
| |||||||
Univar, Inc. | $ | 2,254,374 | $ | 2,264,835 | ||||
|
| |||||||
TOTAL SENIOR FLOATING RATE LOANS | 233,035,794 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 6.7% |
| |||||||
A10 Securitization LLC: | ||||||||
Series 2016-1, Class A1, 2.42%, 3/15/2035 (b) | 390,611 | 391,144 | ||||||
Atrium Hotel Portfolio Trust: | ||||||||
Series 2017-ATRM, Class E, 1 Month LIBOR + 3.05% 4.53%, 11/15/2019 (a) (b) | 3,697,000 | 3,655,852 | ||||||
BAMLL Commercial Mortgage Securities Trust: | ||||||||
Series 2015-200P, Class XA, IO 0.38%, 4/14/2033 (a) (b) | 30,000,000 | 775,758 | ||||||
Banc of America Commercial Mortgage Trust: | ||||||||
Series 2015-UBS7, Class C, 4.37%, 9/15/2048 (a) | 945,000 | 967,530 | ||||||
BANK 2017-BNK4: | ||||||||
Series 2017-BNK4, Class XA, IO 1.46%, 5/15/2050 (a) | 30,659,749 | 2,926,605 | ||||||
BANK 2017-BNK6: | ||||||||
Series 2017-BNK6, Class XA, IO 0.88%, 7/15/2060 (a) | 55,525,028 | 3,401,380 | ||||||
BBCMS Mortgage Trust: | ||||||||
Series 2017-DELC, Class C, 1 Month LIBOR + 1.20% 2.68%, 8/15/2036 (a) (b) | 863,000 | 861,160 | ||||||
Series 2017-DELC, Class D, 1 Month LIBOR + 1.70% 3.18%, 8/15/2036 (a) (b) | 983,000 | 980,903 | ||||||
Series 2017-DELC, Class E, 1 Month LIBOR + 2.50% 3.98%, 8/15/2036 (a) (b) | 2,060,000 | 2,055,601 | ||||||
Series 2017-DELC, Class F, 1 Month LIBOR + 3.50% 4.98%, 8/15/2036 (a) (b) | 1,974,000 | 1,970,087 | ||||||
BBCMS Trust: | ||||||||
Series 2015-STP, Class D, 4.28%, 9/10/2028 (a) (b) | 1,750,000 | 1,762,331 | ||||||
BX Trust 2017-APPL: | ||||||||
Series 2017-APPL, Class D, 1 Month LIBOR + 2.05% 3.53%, 7/15/2034 (a) (b) | 1,344,000 | 1,346,944 | ||||||
Series 2017-APPL, Class E, 1 Month LIBOR + 3.15% 4.63%, 7/15/2034 (a) (b) | 2,080,000 | 2,085,856 | ||||||
BX Trust 2017-SLCT: | ||||||||
Series 2017-IMC, Class D, 1 Month USD LIBOR + 2.25% 3.50%, 10/15/2032 (a) (b) | 1,412,000 | 1,413,768 | ||||||
Series 2017-IMC, Class E, 1 Month USD LIBOR + 3.25% 4.50%, 10/15/2032 (a) (b) | 2,277,000 | 2,279,850 | ||||||
Series 2017-SLCT, Class D, 1 Month LIBOR + 2.05% 3.53%, 7/15/2034 (a) (b) | 1,291,000 | 1,292,216 | ||||||
Series 2017-SLCT, Class E, 1 Month LIBOR + 3.15% 4.63%, 7/15/2034 (a) (b) | 2,124,000 | 2,133,297 | ||||||
CD Mortgage Trust: | ||||||||
Series 2017-CD4, Class XA, IO 1.33%, 5/10/2050 (a) | 16,983,096 | 1,529,430 | ||||||
CFCRE Commercial Mortgage Trust: | ||||||||
Series 2016-C3, Class XA, IO 1.07%, 1/10/2048 (a) | 24,764,874 | 1,650,824 | ||||||
Series 2016-C4, Class XA, IO 1.75%, 5/10/2058 (a) | 19,644,325 | 2,088,809 | ||||||
Series 2017-C8, Class XA, IO 1.67%, 6/15/2050 (a) | 28,291,444 | 3,141,270 | ||||||
CHT COSMO Mortgage Trust: | ||||||||
Series 2017-CSMO, Class E, 1 Month LIBOR + 3.00% 4.38%, 11/15/2036 (a) (b) | 2,407,000 | 2,413,747 | ||||||
Series 2017-CSMO, Class F, 1 Month LIBOR + 3.74% 5.12%, 11/15/2036 (a) (b) | 1,284,000 | 1,286,001 | ||||||
Citigroup Commercial Mortgage Trust: | ||||||||
Series 2008-C7, Class AM, 6.19%, 12/10/2049 (a) | 2,442,409 | 2,432,251 | ||||||
Series 2010-RR2, Class JA4B, 6.07%, 2/19/2051 (a) (b) | 685,555 | 684,344 | ||||||
Series 2015-GC27, Class D, 4.43%, 2/10/2048 (a) (b) | 943,700 | 799,412 | ||||||
Series 2015-GC31, Class C, 4.06%, 6/10/2048 (a) | 1,500,000 | 1,453,608 | ||||||
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (a) | 1,500,000 | 1,515,752 | ||||||
Series 2015-GC35, Class C, 4.50%, 11/10/2048 (a) | 1,435,000 | 1,433,402 | ||||||
Series 2016-GC36, Class XA, IO 1.34%, 2/10/2049 (a) | 21,961,509 | 1,755,300 | ||||||
Series 2016-P4, Class A4, 2.90%, 7/10/2049 | 2,023,000 | 1,994,100 | ||||||
Series 2016-P6, Class A5, 3.72%, 12/10/2049 (a) | 2,558,000 | 2,674,176 | ||||||
CLNS Trust: | ||||||||
Series 2017-IKPR, Class D, 1 Month LIBOR + 2.05% 3.48%, 6/11/2032 (a) (b) | 3,338,000 | 3,341,128 | ||||||
Cold Storage Trust: | ||||||||
Series 2017-ICE3, Class A, 1 Month LIBOR + 1.00% 2.48%, 4/15/2036 (a) (b) | 1,965,000 | 1,969,867 | ||||||
Series 2017-ICE3, Class C, 1 Month LIBOR + 1.35% 2.83%, 4/15/2036 (a) (b) | 2,397,000 | 2,402,264 | ||||||
COMM 2017-PANW Mortgage Trust: | ||||||||
Series 2017-PANW, Class D, 3.93%, 10/10/2029 (a) (b) | 1,388,000 | 1,394,500 | ||||||
Series 2017-PANW, Class E, 3.81%, 10/10/2029 (a) (b) | 2,316,000 | 2,231,479 |
See accompanying notes to financial statements.
46
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
COMM Mortgage Trust: | ||||||||
Series 2013-CR12, Class XA, IO 1.29%, 10/10/2046 (a) | $ | 32,886,759 | $ | 1,677,251 | ||||
Series 2015-CR22, Class D, 4.12%, 3/10/2048 (a) (b) | 1,500,000 | 1,256,959 | ||||||
Series 2015-CR22, Class XA, IO 0.99%, 3/10/2048 (a) | 10,709,519 | 503,220 | ||||||
Series 2015-CR23, Class D, 4.25%, 5/10/2048 (a) | 900,000 | 773,635 | ||||||
Series 2015-CR26, Class B, 4.49%, 10/10/2048 (a) | 1,600,000 | 1,695,725 | ||||||
Series 2015-CR26, Class XA, IO 1.04%, 10/10/2048 (a) | 22,554,056 | 1,303,182 | ||||||
Series 2015-DC1, Class D, 4.35%, 2/10/2048 (a) (b) | 750,000 | 587,378 | ||||||
Series 2015-DC1, Class XA, IO 1.16%, 2/10/2048 (a) | 9,077,856 | 494,717 | ||||||
Series 2015-LC19, Class D, 2.87%, 2/10/2048 (b) | 1,200,000 | 991,497 | ||||||
Series 2015-LC21, Class C, 4.31%, 7/10/2048 (a) | 968,000 | 955,394 | ||||||
Series 2016-CR28, Class C, 4.65%, 2/10/2049 (a) | 2,235,000 | 2,307,180 | ||||||
Series 2016-DC2, Class C, 4.64%, 2/10/2049 (a) | 1,329,000 | 1,299,679 | ||||||
Series 2016-DC2, Class XA, IO 1.06%, 2/10/2049 (a) | 19,740,440 | 1,238,766 | ||||||
Countrywide Commercial Mortgage Trust: | ||||||||
Series 2007-MF1, Class A, 6.29%, 11/12/2043 (a) (b) | 33,602 | 33,537 | ||||||
Credit Suisse Commercial Mortgage Trust: | ||||||||
Series 2008-C1, Class AM, 6.33%, 2/15/2041 (a) (b) | 1,498,084 | 1,497,042 | ||||||
CSAIL Commercial Mortgage Trust: | ||||||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (a) | 900,000 | 923,066 | ||||||
Series 2015-C4, Class XA, IO 0.93%, 11/15/2048 (a) | 36,062,011 | 1,913,746 | ||||||
Series 2017-CX10, Class XA, IO 0.73%, 11/15/2050 (a) | 65,181,452 | 3,633,820 | ||||||
GE Commercial Mortgage Corp. Trust: | ||||||||
Series 2007-C1, Class AM, 5.61%, 12/10/2049 (a) | 2,109,000 | 2,134,678 | ||||||
Great Wolf Trust 2017-WOLF: | ||||||||
Series 2017-WOLF, Class D, 1 Month USD LIBOR + 2.10% 3.73%, 9/15/2034 (a) (b) | 1,798,000 | 1,798,565 | ||||||
Series 2017-WOLF, Class E, 1 Month USD LIBOR + 3.10% 4.73%, 9/15/2034 (a) (b) | 2,787,000 | 2,787,882 | ||||||
Series 2017-WOLF, Class F, 1 Month USD LIBOR + 4.07% 5.70%, 9/15/2034 (a) (b) | 1,484,000 | 1,484,469 | ||||||
GS Mortgage Securities Corp. II: | ||||||||
Series 2013-GC10, Class XA, IO 1.56%, 2/10/2046 (a) | 14,560,692 | 886,643 | ||||||
Series 2017-GS8, Class C, 4.34%, 11/10/2050 (a) | 469,000 | 482,264 | ||||||
GS Mortgage Securities Trust: | ||||||||
Series 2013-GC14, Class A2, 3.00%, 8/10/2046 | 2,642,416 | 2,650,063 | ||||||
Series 2014-GC20, Class XA, IO 1.00%, 4/10/2047 (a) | 47,908,831 | 2,363,127 | ||||||
Series 2014-GC24, Class XA, IO 0.83%, 9/10/2047 (a) | 31,906,972 | 1,266,602 | ||||||
Series 2015-GC32, Class XA, IO 0.86%, 7/10/2048 (a) | 26,185,054 | 1,207,259 | ||||||
Series 2015-GC34, Class XA, IO 1.36%, 10/10/2048 (a) | 17,250,268 | 1,345,797 | ||||||
Series 2015-GS1, Class XA, IO 0.82%, 11/10/2048 (a) | 26,879,894 | 1,390,887 | ||||||
Series 2016-GS3, Class XA, IO 1.28%, 10/10/2049 (a) | 32,753,019 | 2,652,641 | ||||||
Series 2017-GS7, Class XA, IO 1.14%, 8/10/2050 (a) | 40,870,906 | 3,425,652 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp.: | ||||||||
Series 2017-FL10, Class B, 1 Month LIBOR + 1.00% 2.48%, 6/15/2032 (a) (b) | 815,000 | 818,079 | ||||||
Series 2017-FL10, Class C, 1 Month LIBOR + 1.25% 2.73%, 6/15/2032 (a) (b) | 616,000 | 618,327 | ||||||
Series 2017-FL10, Class D, 1 Month LIBOR + 1.90% 3.38%, 6/15/2032 (a) (b) | 1,994,000 | 1,992,349 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2006-LDP9, Class AM, 5.37%, 5/15/2047 | 723,380 | 723,950 | ||||||
Series 2007-C1, Class AM, 5.95%, 2/15/2051 (a) | 1,403,227 | 1,400,852 | ||||||
Series 2007-LD11, Class AM, 6.01%, 6/15/2049 (a) | 697,919 | 708,863 | ||||||
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (a) | 962,183 | 964,793 | ||||||
Series 2008-C2, Class A4, 6.07%, 2/12/2051 | 432,936 | 432,361 | ||||||
Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (b) | 1,775,000 | 1,820,292 | ||||||
Series 2015-JP1, Class XA, IO 1.14%, 1/15/2049 (a) | 22,999,277 | 1,230,427 | ||||||
Series 2016-ASH, Class B, 1 Month LIBOR + 2.15% 3.63%, 10/15/2034 (a) (b) | 2,044,000 | 2,048,475 | ||||||
Series 2016-ASH, Class C, 1 Month LIBOR + 2.75% 4.23%, 10/15/2034 (a) (b) | 1,154,000 | 1,157,966 | ||||||
Series 2016-JP2, Class XA, IO 1.86%, 8/15/2049 (a) | 19,966,020 | 2,422,028 | ||||||
Series 2016-WIKI, Class E, 4.01%, 10/5/2031 (a) (b) | 3,160,000 | 3,115,535 | ||||||
Series 2016-WPT, Class E, 1 Month LIBOR + 5.00% 6.48%, 10/15/2033 (a) (b) | 1,288,000 | 1,300,861 |
See accompanying notes to financial statements.
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Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Series 2017-MAUI, Class C, 1 Month LIBOR + 1.25% 2.73%, 7/15/2034 (a) (b) | $ | 865,000 | $ | 865,005 | ||||
Series 2017-MAUI, Class D, 1 Month LIBOR + 1.95% 3.43%, 7/15/2034 (a) (b) | 812,000 | 812,259 | ||||||
Series 2017-MAUI, Class E, 1 Month LIBOR + 2.95% 4.43%, 7/15/2034 (a) (b) | 719,000 | 719,230 | ||||||
Series 2017-MAUI, Class F, 1 Month LIBOR + 3.75% 5.23%, 7/15/2034 (a) (b) | 1,012,000 | 1,012,640 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-C25, Class XA, IO 0.97%, 11/15/2047 (a) | 6,332,054 | 293,883 | ||||||
Series 2014-C26, Class C, 4.42%, 1/15/2048 (a) | 1,500,000 | 1,515,057 | ||||||
Series 2015-C27, Class XA, IO 1.35%, 2/15/2048 (a) | 7,770,865 | 468,782 | ||||||
Series 2015-C28, Class XA, IO 1.18%, 10/15/2048 (a) | 11,792,159 | 613,515 | ||||||
Series 2015-C30, Class XA, IO 0.69%, 7/15/2048 (a) | 30,504,282 | 966,205 | ||||||
Series 2015-C32, Class C, 4.67%, 11/15/2048 (a) | 1,300,000 | 1,295,611 | ||||||
Series 2015-C33, Class C, 4.62%, 12/15/2048 (a) | 1,739,000 | 1,820,687 | ||||||
Series 2016-C1, Class C, 4.75%, 3/15/2049 (a) | 2,180,000 | 2,299,103 | ||||||
JPMDB Commercial Mortgage Securities Trust: | ||||||||
Series 2016-C2, Class XA, IO 1.70%, 6/15/2049 (a) | 21,941,757 | 2,013,951 | ||||||
LSTAR Commercial Mortgage Trust: | ||||||||
Series 2017-5, Class X, IO 1.23%, 3/10/2050 (a) (b) | 53,888,523 | 2,682,156 | ||||||
Merrill Lynch Mortgage Trust: | ||||||||
Series 2006-C1, Class AJ, 5.59%, 5/12/2039 (a) | 151,163 | 152,326 | ||||||
Series 2007-C1, Class AM, 5.81%, 6/12/2050 (a) | 2,180,000 | 2,190,372 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2013-C12, Class XA, IO 0.87%, 10/15/2046 (a) | 18,662,787 | 497,675 | ||||||
Series 2013-C7, Class XA, IO 1.39%, 2/15/2046 (a) | 15,113,343 | 867,643 | ||||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 355,000 | 360,513 | ||||||
Series 2015-C20, Class C, 4.46%, 2/15/2048 (a) | 500,000 | 494,481 | ||||||
Series 2015-C25, Class C, 4.53%, 10/15/2048 (a) | 1,700,000 | 1,750,959 | ||||||
Series 2015-C27, Class C, 4.53%, 12/15/2047 (a) | 1,219,000 | 1,176,019 | ||||||
Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (b) | 1,750,000 | 1,306,745 | ||||||
Series 2016-C28, Class XA, IO 1.28%, 1/15/2049 (a) | 24,092,012 | 1,805,277 | ||||||
Series 2016-C30, Class XA, IO 1.46%, 9/15/2049 (a) | 28,582,941 | 2,671,608 | ||||||
Series 2016-C31, Class C, 4.32%, 11/15/2049 (a) | 3,358,000 | 3,358,024 | ||||||
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 2,665,000 | 2,782,862 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2015-UBS8, Class XA, IO 0.96%, 12/15/2048 (a) | 25,934,325 | 1,500,931 | ||||||
Series 2015-XLF1, Class D, 1 Month LIBOR + 3.00% 4.48%, 8/14/2031 (a) (b) | 750,000 | 750,158 | ||||||
Series 2016-UB12, Class XA, IO 0.82%, 12/15/2049 (a) | 57,600,060 | 2,867,751 | ||||||
PFP, Ltd.: | ||||||||
Series 2017-3, Class A, 1 Month LIBOR + 1.05% 2.48%, 1/14/2035 (a) (b) | 1,413,367 | 1,415,134 | ||||||
Series 2017-3, Class AS, 1 Month LIBOR + 1.30% 2.73%, 1/14/2035 (a) (b) | 1,253,000 | 1,258,675 | ||||||
Series 2017-3, Class B, 1 Month LIBOR + 1.75% 3.18%, 1/14/2035 (a) (b) | 720,000 | 722,500 | ||||||
Series 2017-3, Class C, 1 Month LIBOR + 2.50% 3.93%, 1/14/2035 (a) (b) | 752,000 | 755,357 | ||||||
RAIT Trust: | ||||||||
Series 2016-FL6, Class A, 1 Month LIBOR + 1.45% 2.91%, 11/13/2031 (a) (b) | 201,294 | 202,134 | ||||||
Rosslyn Portfolio Trust: | ||||||||
Series 2017-ROSS, Class A, 1 Month LIBOR + 0.95% 2.43%, 6/15/2033 (a) (b) | 1,686,000 | 1,661,513 | ||||||
Series 2017-ROSS, Class B, 1 Month LIBOR + 1.25% 2.73%, 6/15/2033 (a) (b) | 1,686,000 | 1,663,656 | ||||||
UBS Commercial Mortgage Trust: | ||||||||
Series 2017-C1, Class XA, IO 1.61%, 6/15/2050 (a) | 28,434,122 | 3,172,045 | ||||||
Series 2017-C4, Class XA, IO 1.11%, 10/15/2050 (a) | 44,536,719 | 3,596,750 | ||||||
Wachovia Bank Commercial Mortgage Trust: | ||||||||
Series 2006-C26, Class AM, 6.00%, 6/15/2045 (a) | 263,783 | 265,132 | ||||||
Series 2006-C28, Class AJ, 5.63%, 10/15/2048 (a) | 699,854 | 703,826 | ||||||
Series 2007-C30, Class AJ, 5.41%, 12/15/2043 (a) | 1,734,608 | 1,769,369 | ||||||
Series 2007-C33, Class AJ, 6.01%, 2/15/2051 (a) | 4,866,000 | 4,947,262 | ||||||
Series 2007-C33, Class AM, 6.01%, 2/15/2051 (a) | 808,996 | 807,842 | ||||||
Waldorf Astoria Boca Raton Trust: | ||||||||
Series 2016-BOCA, Class B, 1 Month LIBOR + 2.05% 3.53%, 6/15/2029 (a) (b) | 1,536,000 | 1,538,371 |
See accompanying notes to financial statements.
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Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Series 2016-BOCA, Class C, 1 Month LIBOR + 2.50% 3.98%, 6/15/2029 (a) (b) | $ | 1,300,000 | $ | 1,302,007 | ||||
Waterfall Commercial Mortgage Trust: | ||||||||
Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b) | 8,985,205 | 8,891,632 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2014-LC16, Class D, 3.94%, 8/15/2050 (b) | 920,000 | 758,322 | ||||||
Series 2015-C26, Class D, 3.59%, 2/15/2048 (b) | 900,000 | 707,020 | ||||||
Series 2015-C26, Class XA, IO 1.29%, 2/15/2048 (a) | 8,925,840 | 601,054 | ||||||
Series 2015-C27, Class C, 3.89%, 2/15/2048 | 750,000 | 708,045 | ||||||
Series 2015-C28, Class C, 4.13%, 5/15/2048 (a) | 1,500,000 | 1,459,983 | ||||||
Series 2015-LC20, Class XA, IO 1.38%, 4/15/2050 (a) | 7,822,722 | 518,833 | ||||||
Series 2015-NXS1, Class XA, 1.18%, 5/15/2048 (a) | 9,767,868 | 555,844 | ||||||
Series 2015-NXS2, Class XA, IO 0.77%, 7/15/2058 (a) | 29,444,805 | 1,130,056 | ||||||
Series 2015-NXS3, Class C, 4.64%, 9/15/2057 (a) | 1,600,000 | 1,581,998 | ||||||
Series 2015-P2, Class A4, 3.81%, 12/15/2048 | 1,568,000 | 1,648,559 | ||||||
Series 2015-P2, Class XA, IO 1.02%, 12/15/2048 (a) | 21,982,722 | 1,241,982 | ||||||
Series 2016-C32, Class C, 4.72%, 1/15/2059 (a) | 1,581,000 | 1,511,756 | ||||||
Series 2016-C33, Class XA, IO 1.80%, 3/15/2059 (a) | 15,414,311 | 1,554,990 | ||||||
Series 2016-LC24, Class XA, IO 1.73%, 10/15/2049 (a) | 16,519,685 | 1,760,785 | ||||||
Series 2017-C38, Class XA, IO 1.09%, 7/15/2050 (a) | 39,120,316 | 3,001,725 | ||||||
Series 2017-RC1, Class XA, IO 1.57%, 1/15/2060 (a) | 25,611,189 | 2,589,511 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2014-C19, Class XA, IO 1.14%, 3/15/2047 (a) | 10,075,806 | 479,884 | ||||||
Series 2014-C21, Class XA, IO 1.13%, 8/15/2047 (a) | 19,230,960 | 979,123 | ||||||
|
| |||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES | 237,583,530 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 2.7% |
| |||||||
A10 Securitization LLC: | ||||||||
Series 2016-1, Class 2A3, CMO 3.00%, 12/20/2030 (a) (b) | 3,117,648 | 3,097,554 | ||||||
Alternative Loan Trust: | ||||||||
Series 2005-79CB, Class A4, CMO 5.50%, 1/25/2036 | 8,802,904 | 7,466,762 | ||||||
Series 2006-24CB, Class A9, CMO 6.00%, 6/25/2036 | 4,735,683 | 4,041,403 | ||||||
Series 2006-43CB, Class 1A12, CMO 5.75%, 2/25/2037 | 4,275,017 | 3,651,572 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2005-9, Class 1CB2, CMO 5.50%, 10/25/2035 | 5,373,940 | 5,331,190 | ||||||
Banc of America Funding Trust: | ||||||||
Series 2006-8T2, Class A4, CMO 5.83%, 10/25/2036 (c) | 4,947,712 | 4,492,964 | ||||||
Series 2007-5, Class CA1, CMO 6.00%, 7/25/2037 | 6,625,427 | 5,863,022 | ||||||
CHL Mortgage PassThrough Trust: | ||||||||
Series 2005-J2, Class 3A14, CMO 5.50%, 8/25/2035 | 1,439,661 | 1,332,478 | ||||||
Series 2007-12, Class A9, CMO 5.75%, 8/25/2037 | 4,782,969 | 4,361,601 | ||||||
Citigroup Mortgage Loan Trust: | ||||||||
Series 2007-AR5, Class 1A2A, CMO 3.50%, 4/25/2037 (a) | 2,998,617 | 2,713,789 | ||||||
CitiMortgage Alternative Loan Trust: | ||||||||
Series 2006-A7, Class 1A8, CMO 5.75%, 12/25/2036 | 5,199,872 | 4,840,412 | ||||||
Series 2007-A1, Class 1A7, CMO 6.00%, 1/25/2037 | 8,907,722 | 8,322,909 | ||||||
CSMC MortgageBacked Trust: | ||||||||
Series 2006-7, Class 7A7, CMO 6.00%, 8/25/2036 | 2,947,979 | 2,855,398 | ||||||
RALI Trust: | ||||||||
Series 2004-QS7, Class A4, CMO 5.50%, 5/25/2034 | 1,495,359 | 1,527,609 | ||||||
Shellpoint Co-Originator Trust: | ||||||||
Series 2017-1, Class A4, CMO 3.50%, 4/25/2047 (a) (b) | 19,397,818 | 19,596,006 | ||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||
Series 2006-8, Class 4A3, CMO 3.63%, 9/25/2036 (a) | 1,383,673 | 1,260,120 | ||||||
VSD LLC: | ||||||||
3.60%, 12/25/2043 | 3,078,717 | 3,077,478 | ||||||
Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | ||||||||
Series 2005-8, Class 2CB1, CMO 5.50%, 10/25/2035 | 2,450,454 | 2,392,029 | ||||||
Series 2006-5, Class 3A2, CMO 6.00%, 7/25/2036 (c) | 3,350,367 | 1,524,125 | ||||||
Wells Fargo Mortgage Backed Securities Trust: | ||||||||
Series 2007-AR4, Class A1, CMO 3.65%, 8/25/2037 (a) | 6,928,462 | 6,758,559 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES | 94,506,980 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 47.3% |
| |||||||
Federal Home Loan Mortgage Corp.: | ||||||||
3.00%, 11/1/2042 | 18,350,584 | 18,468,394 | ||||||
3.00%, 1/1/2045 | 2,944,430 | 2,954,756 | ||||||
3.00%, 2/1/2045 | 2,083,020 | 2,086,582 | ||||||
3.00%, 3/1/2045 | 2,198,104 | 2,201,862 |
See accompanying notes to financial statements.
49
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
3.00%, 4/1/2045 | $ | 44,746,859 | $ | 44,876,438 | ||||
3.00%, 5/1/2045 | 7,730,834 | 7,744,053 | ||||||
3.00%, 7/1/2045 | 3,977,691 | 3,984,492 | ||||||
3.00%, 8/1/2045 | 20,923,145 | 20,958,921 | ||||||
3.00%, 10/1/2045 | 13,953,153 | 13,977,011 | ||||||
3.00%, 12/1/2045 | 26,824,519 | 26,870,387 | ||||||
3.00%, 1/1/2046 | 18,145,281 | 18,176,308 | ||||||
3.00%, 7/15/2046 | 25,000,000 | 25,076,173 | ||||||
3.00%, 9/1/2046 | 27,335,234 | 27,348,065 | ||||||
3.50%, 2/1/2045 | 4,041,964 | 4,161,532 | ||||||
3.50%, 4/1/2045 | 33,182,637 | 34,100,234 | ||||||
3.50%, 6/1/2045 | 14,816,980 | 15,226,713 | ||||||
3.50%, 10/1/2045 | 17,181,795 | 17,656,921 | ||||||
3.50%, 2/1/2046 | 17,948,145 | 18,440,627 | ||||||
3.50%, 5/1/2046 | 56,885,473 | 58,446,363 | ||||||
4.00%, 4/1/2047 | 45,824,960 | 48,011,343 | ||||||
4.00%, 7/1/2047 | 14,264,611 | 14,945,199 | ||||||
4.00%, 10/1/2047 | 28,632,077 | 29,998,160 | ||||||
4.50%, 6/1/2044 | 2,741,371 | 2,919,080 | ||||||
Series 326, Class 300, CMO 3.00%, 3/15/2044 | 39,323,318 | 38,777,409 | ||||||
Series 358, Class 300, CMO 3.00%, 10/15/2047 | 39,081,280 | 39,194,565 | ||||||
Series 3822, Class ZG, CMO, REMIC 4.00%, 2/15/2041 | 3,600,785 | 3,808,874 | ||||||
Series 3852, Class NS, CMO, IO, REMIC 1 Month LIBOR + 6.00% 4.52%, 5/15/2041 (a) | 14,284,384 | 2,007,157 | ||||||
Series 3889, Class VZ, CMO, REMIC 4.00%, 7/15/2041 | 14,663,576 | 15,105,180 | ||||||
Series 3935, Class SJ, CMO, IO, REMIC 1 Month LIBOR + 6.65% 5.17%, 5/15/2041 (a) | 3,325,845 | 335,063 | ||||||
Series 4120, Class KA, CMO, REMIC 1.75%, 10/15/2032 | 21,841,402 | 21,317,187 | ||||||
Series 4165, Class ZT, CMO, REMIC 3.00%, 2/15/2043 | 15,480,861 | 14,275,938 | ||||||
Series 4215, Class KC, CMO, REMIC 2.25%, 3/15/2038 | 16,027,110 | 16,010,735 | ||||||
Series 4364, Class ZX, CMO, REMIC 4.00%, 7/15/2044 | 39,018,063 | 41,189,941 | ||||||
Series 4434, Class LZ, CMO, REMIC 3.00%, 2/15/2045 | 3,265,805 | 3,033,936 | ||||||
Series 4444, Class CZ, CMO, REMIC 3.00%, 2/15/2045 | 11,974,617 | 11,339,671 | ||||||
Series 4447, Class A, CMO, REMIC 3.00%, 6/15/2041 | 2,189,001 | 2,208,289 | ||||||
Series 4447, Class Z, CMO, REMIC 3.00%, 3/15/2045 | 3,952,383 | 3,714,718 | ||||||
Series 4471, Class BA, CMO, REMIC 3.00%, 12/15/2041 | 7,283,270 | 7,254,952 | ||||||
Series 4471, Class GA, CMO, REMIC 3.00%, 2/15/2044 | 10,994,893 | 10,994,932 | ||||||
Series 4474, Class ZX, CMO, REMIC 4.00%, 4/15/2045 | 11,474,057 | 12,218,909 | ||||||
Series 4481, Class B, CMO, REMIC 3.00%, 12/15/2042 | 7,419,241 | 7,447,467 | ||||||
Series 4483, Class CA, CMO, REMIC 3.00%, 6/15/2044 | 13,814,151 | 13,845,924 | ||||||
Series 4484, Class CD, CMO, REMIC 1.75%, 7/15/2030 | 19,702,839 | 19,329,762 | ||||||
Series 4491, Class B, CMO, REMIC 3.00%, 8/15/2040 | 14,102,549 | 14,229,933 | ||||||
Series 4492, Class GZ, CMO, REMIC 3.50%, 7/15/2045 | 8,268,241 | 8,107,138 | ||||||
Series 4499, Class AB, CMO, REMIC 3.00%, 6/15/2042 | 14,834,018 | 14,923,469 | ||||||
Series 4504, Class CA, CMO, REMIC 3.00%, 4/15/2044 | 15,670,773 | 15,775,370 | ||||||
Series 4511, Class QA, CMO, REMIC 3.00%, 1/15/2041 | 13,398,573 | 13,444,014 | ||||||
Series 4511, Class QC, CMO, REMIC 3.00%, 12/15/2040 | 9,791,633 | 9,867,262 | ||||||
Series 4533, Class AB, CMO, REMIC 3.00%, 6/15/2044 | 10,706,803 | 10,650,320 | ||||||
Series 4543, Class HG, CMO, REMIC 2.70%, 4/15/2044 | 19,429,553 | 19,194,172 | ||||||
Series 4582, Class HA, CMO, REMIC 3.00%, 9/15/2045 | 15,333,985 | 15,430,296 | ||||||
Series 4629, Class KA, CMO, REMIC 3.00%, 3/15/2045 | 46,199,717 | 46,130,935 | ||||||
Series K053, Class A2, 3.00%, 12/25/2025 | 2,232,000 | 2,267,762 | ||||||
Federal National Mortgage Association: | ||||||||
2.50%, 9/1/2046 | 5,569,592 | 5,360,480 | ||||||
3.00%, 4/1/2040 | 17,086,349 | 17,113,673 | ||||||
3.00%, 10/1/2041 | 35,550,665 | 35,564,249 | ||||||
3.00%, 3/1/2043 | 6,229,512 | 6,245,760 | ||||||
3.00%, 7/1/2043 | 9,689,495 | 9,645,876 | ||||||
3.00%, 1/1/2045 | 2,140,710 | 2,131,109 | ||||||
3.00%, 3/1/2045 | 3,026,514 | 3,031,354 | ||||||
3.00%, 4/1/2045 | 12,481,773 | 12,425,602 | ||||||
3.00%, 7/1/2045 | 39,097,225 | 39,199,299 | ||||||
3.50%, 9/1/2034 | 2,998,969 | 3,114,350 | ||||||
3.50%, 12/1/2034 | 2,715,023 | 2,819,480 | ||||||
3.50%, 2/1/2035 | 1,740,835 | 1,807,811 | ||||||
3.50%, 1/1/2045 | 14,759,464 | 15,193,516 | ||||||
3.50%, 2/1/2045 | 5,633,171 | 5,798,833 | ||||||
3.50%, 6/1/2045 | 14,666,402 | 15,070,046 | ||||||
4.50%, 3/1/2044 | 3,230,928 | 3,443,768 | ||||||
4.50%, 6/1/2044 | 1,683,343 | 1,794,235 | ||||||
4.50%, 7/1/2044 | 1,794,230 | 1,912,427 | ||||||
4.50%, 2/1/2045 | 2,220,663 | 2,366,951 | ||||||
Series 2010-109, Class N, CMO, REMIC 3.00%, 10/25/2040 | 3,556,156 | 3,582,160 | ||||||
Series 2011-51, Class CI, CMO, IO, REMIC 1 Month LIBOR + 6.00% 4.45%, 6/25/2041 (a) | 9,607,770 | 1,242,499 | ||||||
Series 2012-101, Class AP, CMO, REMIC 2.00%, 8/25/2040 | 8,912,252 | 8,749,210 | ||||||
Series 2012-127, Class PA, CMO, REMIC 2.75%, 11/25/2042 | 4,495,954 | 4,463,205 | ||||||
Series 2012-151, Class SB, CMO, REMIC 1 Month LIBOR + 6.00% 3.96%, 1/25/2043 (a) | 1,248,324 | 1,088,821 |
See accompanying notes to financial statements.
50
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
Series 2013-114, Class HZ, CMO, REMIC 3.00%, 11/25/2038 | $ | 16,169,772 | $ | 15,452,489 | ||||
Series 2013-18, Class CD, CMO, REMIC 1.50%, 10/25/2027 | 6,834,712 | 6,633,160 | ||||||
Series 2013-30, Class PS, CMO, REMIC 1 Month LIBOR + 6.00% 3.96%, 4/25/2043 (a) | 1,718,187 | 1,481,462 | ||||||
Series 2014-21, Class GZ, CMO, REMIC 3.00%, 4/25/2044 | 6,180,016 | 5,817,655 | ||||||
Series 2014-39, Class ZA, CMO, REMIC 3.00%, 7/25/2044 | 8,884,521 | 8,540,853 | ||||||
Series 2015-42, Class CA, CMO, REMIC 3.00%, 3/25/2044 | 8,611,737 | 8,692,108 | ||||||
Series 2015-9, Class HA, CMO, REMIC 3.00%, 1/25/2045 | 13,985,270 | 14,079,724 | ||||||
Series 2015-95, Class AP, CMO, REMIC 3.00%, 8/25/2042 | 17,221,758 | 17,422,417 | ||||||
Series 2016-21, Class BZ, CMO, REMIC 3.00%, 4/25/2046 | 4,564,402 | 4,192,834 | ||||||
Series 2016-32, Class LA, CMO, REMIC 3.00%, 10/25/2044 | 15,165,630 | 15,290,258 | ||||||
Series 2016-72, Class PA, CMO, REMIC 3.00%, 7/25/2046 | 22,961,993 | 22,919,405 | ||||||
Series 2016-81, Class PA, CMO, REMIC 3.00%, 2/25/2044 | 32,186,973 | 32,312,200 | ||||||
Series 2016-9, Class A, CMO, REMIC 3.00%, 9/25/2043 | 11,349,284 | 11,368,149 | ||||||
Series 2016-92, Class A, CMO, REMIC 3.00%, 4/25/2042 | 37,076,555 | 37,048,292 | ||||||
Series 2016-M3, Class A2, 2.70%, 2/25/2026 | 2,150,000 | 2,131,984 | ||||||
Series 2017-13, Class CA, CMO, REMIC 2.50%, 10/25/2043 | 33,654,993 | 33,259,405 | ||||||
Series 2017-15, Class MA, CMO, REMIC 3.00%, 2/25/2042 | 74,734,552 | 75,151,354 | ||||||
Series 2017-18, Class A, CMO, REMIC 3.00%, 8/25/2042 | 93,373,372 | 93,135,587 | ||||||
Series 2017-32, Class CA, CMO, REMIC 3.00%, 10/25/2042 | 45,308,874 | 45,496,892 | ||||||
Series 2017-87, Class BA, CMO, REMIC 3.00%, 12/25/2042 | 31,107,744 | 31,134,951 | ||||||
Series 2017-9, Class EA, CMO, REMIC 3.00%, 10/25/2042 | 77,846,584 | 78,348,671 | ||||||
Government National Mortgage Association: | ||||||||
Series 2013-169, Class SE, CMO, IO, REMIC 1 Month LIBOR + 6.05% 4.56%, 11/16/2043 (a) | 3,222,724 | 426,876 | ||||||
Series 2013-34, Class PL, CMO, REMIC 3.00%, 3/20/2042 | 13,543,586 | 13,504,587 | ||||||
Series 2014-43, Class PS, CMO, IO, REMIC 1 Month LIBOR + 6.18% 4.68%, 7/20/2042 (a) | 9,518,783 | 1,184,804 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 1,690,251,725 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 14.8%, |
| |||||||
Treasury Bonds: | ||||||||
3.00%, 11/15/2045 | 18,100,000 | 19,012,421 | ||||||
3.13%, 2/15/2043 | 30,290,000 | 32,548,728 | ||||||
Treasury Inflation Protected Indexed Notes: | ||||||||
0.13%, 4/15/2022 | 27,588,416 | 27,401,918 | ||||||
Treasury Notes: | ||||||||
1.00%, 3/15/2018 | 72,030,000 | 71,988,944 | ||||||
1.50%, 5/31/2020 | 94,200,000 | 93,275,895 | ||||||
1.63%, 5/15/2026 | 79,620,000 | 75,006,023 | ||||||
1.75%, 3/31/2022 | 62,460,000 | 61,443,152 | ||||||
2.13%, 1/31/2021 | 90,300,000 | 90,617,860 | ||||||
2.13%, 2/29/2024 | 59,400,000 | 58,819,070 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 530,114,011 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENT — 2.7% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (f) (g) | 95,761,169 | 95,761,169 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 3,562,460,485 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 8,319,605 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,570,780,090 | ||||||
|
|
(a) | Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 8.2% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Step-up bond — Coupon rate increases in increments to maturity. Rate shown as of December 31, 2017. Maturity date shown is the final maturity. |
(d) | Amount shown represents less than 0.05% of net assets. |
(e) | Rate shown is the discount rate at time of purchase. |
(f) | 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, 2017 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2017. |
CMO | = Collateralized Mortgage Obligation |
CMT | = Constant Maturity Treasury |
EMTN | = Euro Medium Term Note |
GMTN | = Global Medium Term Note |
IO | = Interest Only |
LIBOR | = London Interbank Offered Rate |
MTN | = Medium Term Note |
REMIC | = Real Estate Mortgage Investment Conduit |
See accompanying notes to financial statements.
51
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Asset-Backed Securities | $— | $ | 107,134,667 | $— | $ | 107,134,667 | ||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Australia | — | 7,767,605 | — | 7,767,605 | ||||||||||||
Belgium | — | 3,324,368 | — | 3,324,368 | ||||||||||||
Brazil | — | 3,544,121 | — | 3,544,121 | ||||||||||||
Canada | — | 10,879,788 | — | 10,879,788 | ||||||||||||
Cayman Islands | — | 4,926,026 | — | 4,926,026 | ||||||||||||
Chile | — | 28,517,917 | — | 28,517,917 | ||||||||||||
China | — | 23,390,914 | — | 23,390,914 | ||||||||||||
Colombia | — | 427,000 | — | 427,000 | ||||||||||||
Costa Rica | — | 3,113,338 | — | 3,113,338 | ||||||||||||
Dominican Republic | — | 6,545,649 | — | 6,545,649 | ||||||||||||
Hong Kong | — | 7,500,013 | — | 7,500,013 | ||||||||||||
India | — | 34,093,378 | — | 34,093,378 | ||||||||||||
Israel | — | 1,743,449 | — | 1,743,449 | ||||||||||||
Jamaica | — | 4,040,415 | — | 4,040,415 | ||||||||||||
Japan | — | 2,787,590 | — | 2,787,590 | ||||||||||||
Malaysia | — | 26,603,012 | — | 26,603,012 | ||||||||||||
Mexico | — | 10,648,864 | — | 10,648,864 | ||||||||||||
Netherlands | — | 133,500 | — | 133,500 | ||||||||||||
New Zealand | — | 1,966,500 | — | 1,966,500 | ||||||||||||
Panama. | — | 7,774,458 | — | 7,774,458 | ||||||||||||
Peru | — | 7,669,750 | — | 7,669,750 | ||||||||||||
Philippines | — | 7,514,454 | — | 7,514,454 | ||||||||||||
Qatar | — | 1,788,084 | — | 1,788,084 | ||||||||||||
Singapore | — | 30,504,878 | — | 30,504,878 | ||||||||||||
United Arab Emirates | — | 1,129,875 | — | 1,129,875 | ||||||||||||
United Kingdom | — | 9,279,436 | — | 9,279,436 | ||||||||||||
United States | — | 242,540,008 | — | 242,540,008 | ||||||||||||
Foreign Government Obligations | ||||||||||||||||
Chile | — | 11,368,378 | — | 11,368,378 | ||||||||||||
Costa Rica | — | 3,340,750 | — | 3,340,750 | ||||||||||||
India | — | 3,627,934 | — | 3,627,934 | ||||||||||||
Indonesia | — | 9,164,859 | — | 9,164,859 | ||||||||||||
Israel | — | 9,032,300 | — | 9,032,300 | ||||||||||||
Malaysia | — | 6,241,650 | — | 6,241,650 | ||||||||||||
Mexico | — | 11,688,290 | — | 11,688,290 | ||||||||||||
Panama. | — | 8,883,140 | — | 8,883,140 | ||||||||||||
Peru | — | 7,810,140 | — | 7,810,140 | ||||||||||||
Philippines | — | 11,569,390 | — | 11,569,390 | ||||||||||||
Poland | — | 1,191,388 | — | 1,191,388 | ||||||||||||
Senior Floating Rate Loans | ||||||||||||||||
Aerospace & Defense | — | 1,891,225 | — | 1,891,225 | ||||||||||||
Auto Components | — | 3,367,529 | — | 3,367,529 | ||||||||||||
Capital Markets | — | 2,553,589 | — | 2,553,589 | ||||||||||||
Chemicals | — | 2,153,703 | — | 2,153,703 | ||||||||||||
Commercial Services & Supplies | — | 10,709,891 | — | 10,709,891 | ||||||||||||
Communications Equipment | — | 6,700,083 | — | 6,700,083 | ||||||||||||
Construction & Engineering | — | 4,285,703 | — | 4,285,703 | ||||||||||||
Construction Materials | — | 2,343,784 | — | 2,343,784 | ||||||||||||
Containers & Packaging | — | 8,144,376 | — | 8,144,376 | ||||||||||||
Distributors | — | 469,101 | — | 469,101 |
See accompanying notes to financial statements.
52
Table of Contents
State Street Doubleline Total Return Tactical Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Diversified Financial Services | $ | — | $ | 2,008,101 | $ — | $ | 2,008,101 | |||||||||
Diversified Telecommunication Services | — | 11,920,008 | — | 11,920,008 | ||||||||||||
Electric Utilities | — | 3,865,337 | — | 3,865,337 | ||||||||||||
Electrical Equipment | — | 2,148,722 | — | 2,148,722 | ||||||||||||
Energy Equipment & Services | — | 2,360,873 | — | 2,360,873 | ||||||||||||
Financial Services | — | 1,607,175 | — | 1,607,175 | ||||||||||||
Food & Staples Retailing. | — | 6,718,604 | — | 6,718,604 | ||||||||||||
Food Products | — | 800,356 | — | 800,356 | ||||||||||||
Health Care Providers & Services | — | 16,152,693 | — | 16,152,693 | ||||||||||||
Health Care Technology | — | 4,076,237 | — | 4,076,237 | ||||||||||||
Hotels, Restaurants & Leisure | — | 34,252,299 | — | 34,252,299 | ||||||||||||
Household Products | — | 1,049,007 | — | 1,049,007 | ||||||||||||
Insurance | — | 7,756,461 | — | 7,756,461 | ||||||||||||
Internet Software & Services | — | 296,131 | — | 296,131 | ||||||||||||
IT Services | — | 10,002,080 | — | 10,002,080 | ||||||||||||
Life Sciences Tools & Services | — | 5,905,944 | — | 5,905,944 | ||||||||||||
Machinery | — | 347,295 | — | 347,295 | ||||||||||||
Media | — | 23,917,499 | — | 23,917,499 | ||||||||||||
Pharmaceuticals | — | 3,931,940 | — | 3,931,940 | ||||||||||||
Real Estate Investment Trusts (REITs) | — | 2,954,016 | — | 2,954,016 | ||||||||||||
Semiconductor Equipment | — | 2,757,907 | — | 2,757,907 | ||||||||||||
Software | — | 40,389,786 | — | 40,389,786 | ||||||||||||
Specialty Retail | — | 2,933,504 | — | 2,933,504 | ||||||||||||
Trading Companies & Distributors | — | 2,264,835 | — | 2,264,835 | ||||||||||||
Commercial Mortgage Backed Securities | — | 233,927,678 | — | 237,583,530 | ||||||||||||
Mortgage-Backed Securities | — | 94,506,980 | — | 94,506,980 | ||||||||||||
U.S. Government Agency Obligations | — | 1,690,251,725 | — | 1,690,251,725 | ||||||||||||
U.S. Treasury Obligations | — | 530,114,011 | — | 530,114,011 | ||||||||||||
Short-Term Investment | 95,761,169 | — | — | 95,761,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 95,761,169 | $ | 3,463,043,464 | $— | $ | 3,562,460,485 | |||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 119,660,357 | $ | 119,660,357 | $ | 550,261,663 | $ | 574,160,851 | $ | — | $ | — | 95,761,169 | $ | 95,761,169 | $ | 1,068,155 |
See accompanying notes to financial statements.
53
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.
54
Table of Contents
SSGA MFS Systematic Core Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 99.2% |
| |||||||
AEROSPACE & DEFENSE — 4.2% |
| |||||||
Boeing Co. | 1,594 | $ | 470,087 | |||||
|
| |||||||
BANKS — 7.9% |
| |||||||
Citigroup, Inc. | 6,195 | 460,970 | ||||||
JPMorgan Chase & Co. | 4,067 | 434,925 | ||||||
|
| |||||||
895,895 | ||||||||
|
| |||||||
BIOTECHNOLOGY — 1.2% |
| |||||||
Celgene Corp. (a) | 1,261 | 131,598 | ||||||
|
| |||||||
CHEMICALS — 0.7% |
| |||||||
LyondellBasell Industries NV Class A, | 661 | 72,921 | ||||||
|
| |||||||
CONSUMER FINANCE — 1.2% |
| |||||||
Discover Financial Services | 1,821 | 140,071 | ||||||
|
| |||||||
ELECTRIC UTILITIES — 3.1% |
| |||||||
Exelon Corp. | 8,763 | 345,350 | ||||||
|
| |||||||
FOOD PRODUCTS — 4.7% |
| |||||||
Archer-Daniels-Midland Co. | 4,447 | 178,236 | ||||||
Tyson Foods, Inc. Class A, | 4,286 | 347,466 | ||||||
|
| |||||||
525,702 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 6.8% |
| |||||||
Express Scripts Holding Co. (a) | 5,372 | 400,966 | ||||||
McKesson Corp. | 1,012 | 157,821 | ||||||
Molina Healthcare, Inc. (a) | 933 | 71,542 | ||||||
UnitedHealth Group, Inc. | 636 | 140,213 | ||||||
|
| |||||||
770,542 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 3.6% |
| |||||||
Carnival Corp. | 1,690 | 112,165 | ||||||
Royal Caribbean Cruises, Ltd. | 2,503 | 298,558 | ||||||
|
| |||||||
410,723 | ||||||||
|
| |||||||
HOUSEHOLD PRODUCTS — 1.0% |
| |||||||
Procter & Gamble Co. | 1,254 | 115,217 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.8% |
| |||||||
AES Corp. | 14,879 | 161,140 | ||||||
NRG Energy, Inc. | 5,515 | 157,067 | ||||||
|
| |||||||
318,207 | ||||||||
|
| |||||||
INSURANCE — 7.9% |
| |||||||
Hartford Financial Services Group, Inc. | 5,054 | 284,439 | ||||||
MetLife, Inc. | 4,728 | 239,048 | ||||||
Prudential Financial, Inc. | 3,191 | 366,901 | ||||||
|
| |||||||
890,388 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 3.1% |
| |||||||
Amazon.com, Inc. (a) | 142 | 166,065 | ||||||
Priceline Group, Inc. (a) | 107 | 185,938 | ||||||
|
| |||||||
352,003 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 6.1% |
| |||||||
Alphabet, Inc. Class C, (a) | 304 | 318,106 | ||||||
Facebook, Inc. Class A, (a) | 2,076 | 366,331 | ||||||
|
| |||||||
684,437 | ||||||||
|
| |||||||
IT SERVICES — 5.3% |
| |||||||
DXC Technology Co. | 3,692 | 350,371 | ||||||
International Business Machines Corp. | 1,590 | 243,938 | ||||||
|
| |||||||
594,309 | ||||||||
|
| |||||||
MACHINERY — 1.0% |
| |||||||
Allison Transmission Holdings, Inc. | 2,635 | 113,489 | ||||||
|
| |||||||
MEDIA — 3.0% |
| |||||||
Comcast Corp. Class A, | 8,411 | 336,861 | ||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 5.4% |
| |||||||
Exxon Mobil Corp. | 2,632 | 220,141 | ||||||
Valero Energy Corp. | 4,265 | 391,996 | ||||||
|
| |||||||
612,137 | ||||||||
|
| |||||||
PHARMACEUTICALS — 8.3% |
| |||||||
Eli Lilly & Co. | 3,338 | 281,927 | ||||||
Johnson & Johnson | 2,916 | 407,424 | ||||||
Merck & Co., Inc. | 4,433 | 249,445 | ||||||
|
| |||||||
938,796 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.7% |
| |||||||
SBA Communications Corp. REIT (a) | 492 | 80,373 | ||||||
|
| |||||||
ROAD & RAIL — 3.7% |
| |||||||
Union Pacific Corp. | 3,154 | 422,951 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.0% |
| |||||||
Intel Corp. | 2,532 | 116,877 | ||||||
|
| |||||||
SOFTWARE — 7.4% |
| |||||||
Adobe Systems, Inc. (a) | 1,180 | 206,783 | ||||||
Electronic Arts, Inc. (a) | 1,098 | 115,356 | ||||||
Oracle Corp. | 3,704 | 175,125 | ||||||
Take-Two Interactive Software, Inc. (a) | 3,130 | 343,612 | ||||||
|
| |||||||
840,876 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 3.5% |
| |||||||
Best Buy Co., Inc. | 5,692 | 389,731 | ||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 3.4% |
| |||||||
Apple, Inc. | 2,277 | 385,337 | ||||||
|
| |||||||
TOBACCO — 2.2% |
| |||||||
Philip Morris International, Inc. | 2,353 | 248,594 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 11,203,472 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 0.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) | 90,664 | 90,664 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 100.8% | 11,294,136 | |||||||
LIABILITIES IN EXCESS OF | 5,491 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 11,299,627 | ||||||
|
|
(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, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2017. |
(d) | Amount is less than 0.05% of net assets. |
REIT – Real Estate Investment Trust
See accompanying notes to financial statements.
55
Table of Contents
SSGA MFS Systematic Core Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 470,087 | $ | — | $ | — | $ | 470,087 | ||||||||
Banks | 895,895 | — | — | 895,895 | ||||||||||||
Biotechnology | 131,598 | — | — | 131,598 | ||||||||||||
Chemicals | 72,921 | — | — | 72,921 | ||||||||||||
Consumer Finance | 140,071 | — | — | 140,071 | ||||||||||||
Electric Utilities | 345,350 | — | — | 345,350 | ||||||||||||
Food Products | 525,702 | — | — | 525,702 | ||||||||||||
Health Care Providers & Services | 770,542 | — | — | 770,542 | ||||||||||||
Hotels, Restaurants & Leisure | 410,723 | — | — | 410,723 | ||||||||||||
Household Products | 115,217 | — | — | 115,217 | ||||||||||||
Independent Power Producers & Energy Traders | 318,207 | — | — | 318,207 | ||||||||||||
Insurance | 890,388 | — | — | 890,388 | ||||||||||||
Internet & Catalog Retail | 352,003 | — | — | 352,003 | ||||||||||||
Internet Software & Services | 684,437 | — | — | 684,437 | ||||||||||||
IT Services | 594,309 | — | — | 594,309 | ||||||||||||
Machinery | 113,489 | — | — | 113,489 | ||||||||||||
Media | 336,861 | — | — | 336,861 | ||||||||||||
Oil, Gas & Consumable Fuels | 612,137 | — | — | 612,137 | ||||||||||||
Pharmaceuticals | 938,796 | — | — | 938,796 | ||||||||||||
Real Estate Investment Trusts (REITs) | 80,373 | — | — | 80,373 | ||||||||||||
Road & Rail | 422,951 | — | — | 422,951 | ||||||||||||
Semiconductors & Semiconductor Equipment | 116,877 | — | — | 116,877 | ||||||||||||
Software | 840,876 | — | — | 840,876 | ||||||||||||
Specialty Retail | 389,731 | — | — | 389,731 | ||||||||||||
Technology Hardware, Storage & Peripherals | 385,337 | — | — | 385,337 | ||||||||||||
Tobacco | 248,594 | — | — | 248,594 | ||||||||||||
Short-Term Investments | 90,664 | — | — | 90,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 11,294,136 | $ | — | $ | — | $ | 11,294,136 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 45,055 | $ | 45,055 | $ | 186,830 | $ | 141,221 | $ | — | $ | — | 90,664 | $ | 90,664 | $ | 254 |
See accompanying notes to financial statements.
56
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.
57
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 98.9% |
| |||||||
AEROSPACE & DEFENSE — 4.5% |
| |||||||
Boeing Co. | 10,292 | $ | 3,035,214 | |||||
|
| |||||||
AUTO COMPONENTS — 2.8% |
| |||||||
Lear Corp. | 10,750 | 1,899,095 | ||||||
|
| |||||||
BEVERAGES — 0.2% |
| |||||||
PepsiCo, Inc. | 1,274 | 152,778 | ||||||
|
| |||||||
BIOTECHNOLOGY — 2.9% |
| |||||||
Amgen, Inc. | 6,405 | 1,113,830 | ||||||
Celgene Corp. (a) | 4,165 | 434,659 | ||||||
Gilead Sciences, Inc. | 5,950 | 426,258 | ||||||
|
| |||||||
1,974,747 | ||||||||
|
| |||||||
CHEMICALS — 1.7% |
| |||||||
FMC Corp. | 2,959 | 280,099 | ||||||
LyondellBasell Industries NV Class A, | 7,747 | 854,649 | ||||||
|
| |||||||
1,134,748 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.3% |
| |||||||
Costco Wholesale Corp. | 946 | 176,070 | ||||||
|
| |||||||
FOOD PRODUCTS — 2.3% |
| |||||||
Tyson Foods, Inc. Class A, | 18,798 | 1,523,954 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 9.9% |
| |||||||
Centene Corp. (a) | 4,152 | 418,853 | ||||||
Express Scripts Holding Co. (a) | 3,856 | 287,812 | ||||||
Humana, Inc. | 4,270 | 1,059,259 | ||||||
McKesson Corp. | 9,679 | 1,509,440 | ||||||
Molina Healthcare, Inc. (a) | 9,585 | 734,978 | ||||||
UnitedHealth Group, Inc. | 10,494 | 2,313,507 | ||||||
WellCare Health Plans, Inc. (a) | 1,981 | 398,399 | ||||||
|
| |||||||
6,722,248 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 2.2% |
| |||||||
Carnival Corp. | 17,401 | 1,154,904 | ||||||
Marriott International, Inc. Class A, | 2,230 | 302,678 | ||||||
|
| |||||||
1,457,582 | ||||||||
|
| |||||||
HOUSEHOLD DURABLES — 0.9% |
| |||||||
PulteGroup, Inc. | 17,408 | 578,816 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.1% |
| |||||||
NRG Energy, Inc. | 26,959 | 767,792 | ||||||
|
| |||||||
INSURANCE — 2.6% |
| |||||||
Allstate Corp. | 6,216 | 650,878 | ||||||
Prudential Financial, Inc. | 9,836 | 1,130,943 | ||||||
|
| |||||||
1,781,821 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 3.0% |
| |||||||
Priceline Group, Inc. (a) | 1,180 | 2,050,533 | ||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 12.3% |
| |||||||
Alphabet, Inc. Class C, (a) | 1,750 | 1,831,200 | ||||||
Alphabet, Inc. Class A, (a) | 2,177 | 2,293,252 | ||||||
Facebook, Inc. Class A, (a) | 23,887 | �� | 4,215,100 | |||||
|
| |||||||
8,339,552 | ||||||||
|
| |||||||
IT SERVICES — 6.3% |
| |||||||
DXC Technology Co. | 23,668 | 2,246,093 | ||||||
International Business Machines Corp. | 10,800 | 1,656,936 | ||||||
Mastercard, Inc. Class A, | 1,240 | 187,687 | ||||||
Visa, Inc. Class A, | 1,766 | 201,359 | ||||||
|
| |||||||
4,292,075 | ||||||||
|
| |||||||
MACHINERY — 3.8% |
| |||||||
Caterpillar, Inc. | 16,423 | $ | 2,587,936 | |||||
|
| |||||||
MEDIA — 5.2% |
| |||||||
Charter Communications, Inc. Class A, (a) | 5,528 | 1,857,187 | ||||||
Comcast Corp. Class A, | 41,401 | 1,658,110 | ||||||
|
| |||||||
3,515,297 | ||||||||
|
| |||||||
PHARMACEUTICALS — 4.0% |
| |||||||
Eli Lilly & Co. | 18,492 | 1,561,835 | ||||||
Johnson & Johnson | 8,024 | 1,121,113 | ||||||
|
| |||||||
2,682,948 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.0% |
| |||||||
SBA Communications Corp. REIT (a) | 12,210 | 1,994,626 | ||||||
|
| |||||||
ROAD & RAIL — 0.7% |
| |||||||
Union Pacific Corp. | 3,772 | 505,825 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.0% |
| |||||||
BroadCom, Ltd. | 5,329 | 1,369,020 | ||||||
|
| |||||||
SOFTWARE — 11.1% |
| |||||||
Adobe Systems, Inc. (a) | 10,714 | 1,877,521 | ||||||
Electronic Arts, Inc. (a) | 14,468 | 1,520,008 | ||||||
Oracle Corp. | 42,946 | 2,030,487 | ||||||
Take-Two Interactive Software, Inc. (a) | 19,045 | 2,090,760 | ||||||
|
| |||||||
7,518,776 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 3.4% |
| |||||||
Best Buy Co., Inc. | 33,301 | 2,280,119 | ||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.9% |
| |||||||
Apple, Inc. | 16,005 | 2,708,526 | ||||||
Western Digital Corp. | 24,913 | 1,981,331 | ||||||
|
| |||||||
4,689,857 | ||||||||
|
| |||||||
TOBACCO — 3.6% |
| |||||||
Altria Group, Inc. | 21,067 | 1,504,395 | ||||||
Philip Morris International, Inc. | 8,788 | 928,452 | ||||||
|
| |||||||
2,432,847 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 2.2% |
| |||||||
United Rentals, Inc. (a) | 8,645 | 1,486,162 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 66,950,438 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 685,065 | |||||||
TOTAL INVESTMENTS — 98.9% | 67,635,503 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1% | 32,983 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 67,668,486 | ||||||
|
|
(a) | Non-income producing security. |
(b) | The rate shown is the annualized seven-day yield at December 31, 2017. |
(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, 2017 are shown in the Affiliate Table below. |
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
58
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 3,035,214 | $ | — | $ | — | $ | 3,035,214 | ||||||||
Auto Components | 1,899,095 | — | — | 1,899,095 | ||||||||||||
Beverages | 152,778 | — | — | 152,778 | ||||||||||||
Biotechnology | 1,974,747 | — | — | 1,974,747 | ||||||||||||
Chemicals | 1,134,748 | — | — | 1,134,748 | ||||||||||||
Food & Staples Retailing | 176,070 | — | — | 176,070 | ||||||||||||
Food Products | 1,523,954 | — | — | 1,523,954 | ||||||||||||
Health Care Providers & Services | 6,722,248 | — | — | 6,722,248 | ||||||||||||
Hotels, Restaurants & Leisure | 1,457,582 | — | — | 1,457,582 | ||||||||||||
Household Durables | 578,816 | — | — | 578,816 | ||||||||||||
Independent Power Producers & Energy Traders | 767,792 | — | — | 767,792 | ||||||||||||
Insurance | 1,781,821 | — | — | 1,781,821 | ||||||||||||
Internet & Catalog Retail | 2,050,533 | — | — | 2,050,533 | ||||||||||||
Internet Software & Services | 8,339,552 | — | — | 8,339,552 | ||||||||||||
IT Services | 4,292,075 | — | — | 4,292,075 | ||||||||||||
Machinery | 2,587,936 | — | — | 2,587,936 | ||||||||||||
Media | 3,515,297 | — | — | 3,515,297 | ||||||||||||
Pharmaceuticals | 2,682,948 | — | — | 2,682,948 | ||||||||||||
Real Estate Investment Trusts (REITs) | 1,994,626 | — | — | 1,994,626 | ||||||||||||
Road & Rail | 505,825 | — | — | 505,825 | ||||||||||||
Semiconductors & Semiconductor Equipment | 1,369,020 | — | — | 1,369,020 | ||||||||||||
Software | 7,518,776 | — | — | 7,518,776 | ||||||||||||
Specialty Retail | 2,280,119 | — | — | 2,280,119 | ||||||||||||
Technology Hardware, Storage & Peripherals | 4,689,857 | — | — | 4,689,857 | ||||||||||||
Tobacco | 2,432,847 | — | — | 2,432,847 | ||||||||||||
Trading Companies & Distributors | 1,486,162 | — | — | 1,486,162 | ||||||||||||
Short-Term Investments | 685,065 | 685,065 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 67,635,503 | $ | — | $ | — | $ | 67,635,503 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 343,832 | $ | 343,832 | $ | 664,040 | $ | 322,807 | $ | — | $ | — | 685,065 | $ | 685,065 | $ | 1,863 |
See accompanying notes to financial statements.
59
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.
60
Table of Contents
SSGA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 98.8% |
| |||||||
BANKS — 14.1% |
| |||||||
Bank of America Corp. | 10,915 | $ | 322,211 | |||||
Citigroup, Inc. | 4,160 | 309,546 | ||||||
JPMorgan Chase & Co. | 2,978 | 318,467 | ||||||
|
| |||||||
950,224 | ||||||||
|
| |||||||
BEVERAGES — 0.9% |
| |||||||
PepsiCo, Inc. | 510 | 61,159 | ||||||
|
| |||||||
CHEMICALS — 1.5% |
| |||||||
LyondellBasell Industries NV Class A, | 924 | 101,936 | ||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 1.9% |
| |||||||
Cisco Systems, Inc. | 3,289 | 125,969 | ||||||
|
| |||||||
CONSUMER FINANCE — 5.0% |
| |||||||
Discover Financial Services | 2,727 | 209,761 | ||||||
Synchrony Financial | 3,310 | 127,799 | ||||||
|
| |||||||
337,560 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 5.6% |
| |||||||
Exelon Corp. | 5,203 | 205,050 | ||||||
PG&E Corp. | 1,675 | 75,090 | ||||||
PPL Corp. | 3,091 | 95,667 | ||||||
|
| |||||||
375,807 | ||||||||
|
| |||||||
ELECTRICAL EQUIPMENT — 3.7% |
| |||||||
Eaton Corp. PLC | 1,550 | 122,465 | ||||||
Regal Beloit Corp. | 1,650 | 126,390 | ||||||
|
| |||||||
248,855 | ||||||||
|
| |||||||
ENERGY EQUIPMENT & SERVICES — 0.6% |
| |||||||
Schlumberger, Ltd. | 569 | 38,345 | ||||||
|
| |||||||
FOOD PRODUCTS — 5.5% |
| |||||||
Archer-Daniels-Midland Co. | 2,172 | 87,054 | ||||||
J.M. Smucker Co. | 363 | 45,099 | ||||||
Tyson Foods, Inc. Class A, | 2,918 | 236,562 | ||||||
|
| |||||||
368,715 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.5% |
| |||||||
Danaher Corp. | 391 | 36,292 | ||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 8.1% |
| |||||||
Express Scripts Holding Co. (a) | 1,730 | 129,127 | ||||||
Humana, Inc. | 760 | 188,533 | ||||||
McKesson Corp. | 1,450 | 226,128 | ||||||
|
| |||||||
543,788 | ||||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 3.1% |
| |||||||
Royal Caribbean Cruises, Ltd. | 1,730 | 206,354 | ||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.9% |
| |||||||
NRG Energy, Inc. | 6,810 | 193,949 | ||||||
|
| |||||||
INSURANCE — 6.7% |
| |||||||
Athene Holding, Ltd. Class A, (a) | 690 | 35,680 | ||||||
MetLife, Inc. | 2,072 | 104,760 | ||||||
Prudential Financial, Inc. | 2,013 | 231,455 | ||||||
Unum Group | 705 | 38,697 | ||||||
XL Group, Ltd. | 1,080 | 37,973 | ||||||
|
| |||||||
448,565 | ||||||||
|
| |||||||
INTERNET & CATALOG RETAIL — 0.7% |
| |||||||
Priceline Group, Inc. (a) | 28 | 48,657 | ||||||
|
| |||||||
IT SERVICES — 3.1% |
| |||||||
DXC Technology Co. | 2,219 | 210,583 | ||||||
|
| |||||||
MACHINERY — 3.6% |
| |||||||
Caterpillar, Inc. | 400 | 63,032 | ||||||
Cummins, Inc. | 1,030 | 181,939 | ||||||
|
| |||||||
244,971 | ||||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 9.0% |
| |||||||
Anadarko Petroleum Corp. | 1,577 | 84,590 | ||||||
EOG Resources, Inc. | 490 | 52,876 | ||||||
Exxon Mobil Corp. | 849 | 71,010 | ||||||
Phillips 66. | 1,510 | 152,737 | ||||||
Valero Energy Corp. | 2,670 | 245,400 | ||||||
|
| |||||||
606,613 | ||||||||
|
| |||||||
PHARMACEUTICALS — 4.8% |
| |||||||
Johnson & Johnson | 1,132 | 158,163 | ||||||
Merck & Co., Inc. | 2,879 | 162,001 | ||||||
|
| |||||||
320,164 | ||||||||
|
| |||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.0% |
| |||||||
Annaly Capital Management, Inc. REIT | 5,280 | 62,779 | ||||||
Sun Communities, Inc. REIT | 765 | 70,977 | ||||||
|
| |||||||
133,756 | ||||||||
|
| |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 1.2% |
| |||||||
Realogy Holdings Corp. | 3,110 | 82,415 | ||||||
|
| |||||||
ROAD & RAIL — 2.4% |
| |||||||
Union Pacific Corp. | 1,190 | 159,579 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.5% |
| |||||||
Intel Corp. | 3,676 | 169,684 | ||||||
|
| |||||||
SOFTWARE — 2.2% |
| |||||||
Oracle Corp. | 1,402 | 66,287 | ||||||
VMware, Inc. Class A, (a) | 632 | 79,202 | ||||||
|
| |||||||
145,489 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 4.5% |
| |||||||
Best Buy Co., Inc. | 3,457 | 236,701 | ||||||
Burlington Stores, Inc. (a) | 541 | 66,559 | ||||||
|
| |||||||
303,260 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.8% |
| |||||||
NetApp, Inc. | 2,256 | 124,802 | ||||||
|
| |||||||
TOBACCO — 0.9% |
| |||||||
Philip Morris International, Inc. | 549 | 58,002 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 6,645,493 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) | 73,073 | 73,073 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% | 6,718,566 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 7,299 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 6,725,865 | ||||||
|
|
See accompanying notes to financial statements.
61
Table of Contents
SSGA MFS Systematic Value Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2017 (Unaudited)
(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, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2017. |
REIT = Real Estate Investment Trust
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Banks | $ | 950,224 | $ | — | $ | — | $ | 950,224 | ||||||||
Beverages | 61,159 | — | — | 61,159 | ||||||||||||
Chemicals | 101,936 | — | — | 101,936 | ||||||||||||
Communications Equipment | 125,969 | — | — | 125,969 | ||||||||||||
Consumer Finance | 337,560 | — | — | 337,560 | ||||||||||||
Electric Utilities | 375,807 | — | — | 375,807 | ||||||||||||
Electrical Equipment | 248,855 | — | — | 248,855 | ||||||||||||
Energy Equipment & Services | 38,345 | — | — | 38,345 | ||||||||||||
Food Products | 368,715 | — | — | 368,715 | ||||||||||||
Health Care Equipment & Supplies | 36,292 | — | — | 36,292 | ||||||||||||
Health Care Providers & Services | 543,788 | — | — | 543,788 | ||||||||||||
Hotels, Restaurants & Leisure | 206,354 | — | — | 206,354 | ||||||||||||
Independent Power Producers & Energy Traders | 193,949 | — | — | 193,949 | ||||||||||||
Insurance | 448,565 | — | — | 448,565 | ||||||||||||
Internet & Catalog Retail | 48,657 | — | — | 48,657 | ||||||||||||
IT Services | 210,583 | — | — | 210,583 | ||||||||||||
Machinery | 244,971 | — | — | 244,971 | ||||||||||||
Oil, Gas & Consumable Fuels | 606,613 | — | — | 606,613 | ||||||||||||
Pharmaceuticals | 320,164 | — | — | 320,164 | ||||||||||||
Real Estate Investment Trusts (REITs) | 133,756 | — | — | 133,756 | ||||||||||||
Real Estate Management & Development | 82,415 | — | — | 82,415 | ||||||||||||
Road & Rail | 159,579 | — | — | 159,579 | ||||||||||||
Semiconductors & Semiconductor Equipment | 169,684 | — | — | 169,684 | ||||||||||||
Software | 145,489 | — | — | 145,489 | ||||||||||||
Specialty Retail | 303,260 | — | — | 303,260 | ||||||||||||
Technology Hardware, Storage & Peripherals | 124,802 | — | — | 124,802 | ||||||||||||
Tobacco | 58,002 | — | — | 58,002 | ||||||||||||
Short-Term Investments | 73,073 | — | — | 73,073 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 6,718,566 | $ | — | $ | — | $ | 6,718,566 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 84,511 | $ | 84,511 | $ | 86,406 | $ | 97,844 | $ | — | $ | — | 73,073 | $ | 73,073 | $ | 389 |
See accompanying notes to financial statements.
62
Table of Contents
[This Page Intentionally Left Blank]
63
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2017 (Unaudited)
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | SSGA Global Allocation Portfolio | ||||||||||
ASSETS | ||||||||||||
Investments in unaffiliated issuers, at value | $ | 26,224,054 | $ | — | $ | 9,260,341 | ||||||
Investments in affiliated issuers, at value | 88,345,321 | 109,018,695 | 227,241,658 | |||||||||
|
|
|
|
|
| |||||||
Total Investments | 114,569,375 | 109,018,695 | 236,501,999 | |||||||||
Cash | 1 | 11 | 12 | |||||||||
Receivable for investments sold | — | — | — | |||||||||
Dividends receivable — affiliated issuers | 258 | 743 | 316,695 | |||||||||
Dividends receivable — unaffiliated issuers | — | — | — | |||||||||
Interest receivable — unaffiliated issuers | — | — | — | |||||||||
Receivable for foreign taxes recoverable | — | — | — | |||||||||
Unrealized appreciation on unfunded loan commitments | — | — | — | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 114,569,634 | 109,019,449 | 236,818,706 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Due to custodian | — | — | — | |||||||||
Payable upon return of securities loaned | 161,000 | 6,838,050 | 1,618,675 | |||||||||
Payable for investments purchased | — | — | — | |||||||||
Advisory fee payable | 18,982 | 17,179 | 39,456 | |||||||||
Trustees’ fees and expenses payable | 8 | 123 | 89 | |||||||||
Accrued expenses and other liabilities | — | 69 | 128 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 179,990 | 6,855,421 | 1,658,348 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 114,389,644 | $ | 102,164,028 | $ | 235,160,358 | ||||||
|
|
|
|
|
| |||||||
COST OF INVESTMENTS: | ||||||||||||
Investments in unaffiliated issuers | $ | 29,104,806 | $ | — | $ | 8,786,853 | ||||||
Investments in affiliated issuers | 83,587,002 | 102,107,667 | 199,863,583 | |||||||||
|
|
|
|
|
| |||||||
Total cost of investments | $ | 112,691,808 | $ | 102,107,667 | $ | 208,650,436 | ||||||
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|
|
|
|
| |||||||
* Includes investments in securities on loan, at value | $ | 157,596 | $ | 10,369,092 | $ | 3,687,162 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
64
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 | |||||||||||||||||
$ | 2,253,167,358 | $ | 23,927,080 | $ | 3,466,699,316 | $ | 11,203,472 | $ | 66,950,438 | $ | 6,645,493 | |||||||||||
209,993,789 | 453,598 | 95,761,169 | 90,664 | 685,065 | 73,073 | |||||||||||||||||
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|
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|
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|
| |||||||||||
2,463,161,147 | 24,380,678 | 3,562,460,485 | 11,294,136 | 67,635,503 | 6,718,566 | |||||||||||||||||
— | 101,431 | 931,488 | — | — | — | |||||||||||||||||
104,672,110 | — | 6,509,432 | — | — | — | |||||||||||||||||
157,261 | 617 | 155,269 | 82 | 539 | 65 | |||||||||||||||||
— | — | — | 8,286 | 47,772 | 8,938 | |||||||||||||||||
10,988,160 | 59,347 | 16,410,161 | — | — | — | |||||||||||||||||
— | 140 | — | — | — | — | |||||||||||||||||
1,920 | — | — | — | — | — | |||||||||||||||||
|
|
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|
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|
|
|
|
|
|
| |||||||||||
2,578,980,598 | 24,536,212 | 3,586,466,835 | 11,302,504 | 67,683,814 | 6,727,569 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
132,296 | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
214,330,079 | 397,582 | 14,761,974 | — | — | — | |||||||||||||||||
603,355 | 3,869 | 922,790 | 2,867 | 15,322 | 1,702 | |||||||||||||||||
— | 5 | — | 6 | — | — | |||||||||||||||||
978 | 10 | 1,981 | 4 | 6 | 2 | |||||||||||||||||
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| |||||||||||
215,066,708 | 401,466 | 15,686,745 | 2,877 | 15,328 | 1,704 | |||||||||||||||||
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| |||||||||||
$ | 2,363,913,890 | $ | 24,134,746 | $ | 3,570,780,090 | $ | 11,299,627 | $ | 67,668,486 | $ | 6,725,865 | |||||||||||
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| |||||||||||
$ | 2,244,019,109 | $ | 23,907,082 | $ | 3,502,276,892 | $ | 10,501,982 | $ | 61,706,160 | $ | 5,558,239 | |||||||||||
209,993,789 | 453,598 | 95,761,169 | 94,664 | 685,065 | 73,073 | |||||||||||||||||
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| |||||||||||
$ | 2,454,012,898 | $ | 24,360,680 | $ | 3,598,038,061 | $ | 10,592,646 | $ | 62,391,225 | $ | 5,631,312 | |||||||||||
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| |||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
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65
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2017 (Unaudited)
SSGA Multi-Asset Real Return Portfolio | SSGA Income Allocation Portfolio | SSGA Global Allocation Portfolio | ||||||||||
INVESTMENT INCOME | ||||||||||||
Interest income — unaffiliated income | $ | — | $ | — | $ | — | ||||||
Dividend income — unaffiliated issuers | 10,567 | — | 129,426 | |||||||||
Dividend income — affiliated issuers | 1,330,710 | 1,857,916 | 2,557,636 | |||||||||
Affiliated securities lending income | 2,623 | 1,672 | 11,240 | |||||||||
|
|
|
|
|
| |||||||
TOTAL INVESTMENT INCOME (LOSS) | 1,343,900 | 1,859,588 | 2,698,302 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES | ||||||||||||
Advisory fee | 112,477 | 98,917 | 221,655 | |||||||||
Trustees’ fees and expenses | 868 | 879 | 1,733 | |||||||||
Miscellaneous expenses | 17 | — | — | |||||||||
|
|
|
|
|
| |||||||
TOTAL EXPENSES | 113,362 | 99,796 | 223,388 | |||||||||
|
|
|
|
|
| |||||||
NET INVESTMENT INCOME (LOSS) | 1,230,538 | 1,759,792 | 2,474,914 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments — unaffiliated issuers | (447,190 | ) | — | — | ||||||||
Investments — affiliated issuers | (884,258 | ) | 707,503 | | 1,823,624 | | ||||||
In-kind redemptions — unaffiliated issuers | 187,504 | — | 2,200 | |||||||||
In-kind redemptions — affiliated issuers | 1,356,048 | 196,071 | 448,220 | |||||||||
Capital gain distributions — affiliated issuers | 46,310 | 378,394 | 194,677 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 258,414 | 1,281,968 | 2,468,721 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments — unaffiliated issuers | 3,674,803 | — | 503,816 | |||||||||
Investment transactions — affiliated issuers | 6,774,845 | 2,730,199 | 13,247,565 | |||||||||
Unfunded loan commitments | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | 10,449,648 | 2,730,199 | 13,751,381 | |||||||||
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|
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|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 10,708,062 | 4,012,167 | 16,220,102 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 11,938,600 | $ | 5,771,959 | $ | 18,695,016 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
66
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 | |||||||||||||||||
$ | 48,270,735 | $ | 166,240 | $ | 55,434,974 | $ | — | $ | — | $ | — | |||||||||||
— | — | — | 76,470 | 305,109 | 67,892 | |||||||||||||||||
872,468 | 1,833 | 1,068,155 | 254 | 1,863 | 389 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
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| |||||||||||
49,143,203 | 168,073 | 56,503,129 | 76,724 | 306,972 | 68,281 | |||||||||||||||||
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| |||||||||||
3,116,125 | 20,831 | 5,372,645 | 12,640 | 69,062 | 9,480 | |||||||||||||||||
14,278 | 140 | 27,833 | 57 | 313 | 41 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
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| |||||||||||
3,130,403 | 20,971 | 5,400,478 | 12,697 | 69,375 | 9,521 | |||||||||||||||||
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| |||||||||||
46,012,800 | 147,102 | 51,102,651 | 64,027 | 237,597 | 58,760 | |||||||||||||||||
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|
|
|
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| |||||||||||
(3,074,794 | ) | (177 | ) | 4,892,409 | (203 | ) | 23,133 | 173,887 | ||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | 1,006,803 | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
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| |||||||||||
(3,074,794 | ) | (177 | ) | 4,892,409 | 1,006,600 | 23,133 | 173,887 | |||||||||||||||
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| |||||||||||
355,006 | (19,780 | ) | (20,606,614 | ) | (203,081 | ) | 5,058,478 | 543,933 | ||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
1,920 | — | (620 | ) | — | — | — | ||||||||||||||||
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|
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|
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| |||||||||||
356,926 | (19,780 | ) | (20,607,234 | ) | (203,081 | ) | 5,058,478 | 543,933 | ||||||||||||||
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|
|
|
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| |||||||||||
(2,717,868 | ) | (19,957 | ) | (15,714,825 | ) | 803,519 | 5,081,611 | 717,820 | ||||||||||||||
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|
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|
|
|
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| |||||||||||
$ | 43,294,932 |
| $ | 127,145 | $ | 35,387,826 | $ | 867,546 | $ | 5,319,208 | $ | 776,580 | ||||||||||
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67
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 12/31/17 (Unaudited) | Year Ended 6/30/17 | Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,230,538 | $ | 2,224,477 | $ | 1,759,792 | $ | 3,696,730 | ||||||||
Net realized gain (loss) | 258,414 | (5,020,141 | ) | 1,281,968 | 1,636,049 | |||||||||||
Net change in unrealized appreciation/depreciation | 10,449,648 | 2,590,219 | 2,730,199 | 1,395,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 11,938,600 | (205,445 | ) | 5,771,959 | 6,727,872 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Contributions | 6,339,851 | 47,857,927 | 3,348,869 | 1,595,744 | ||||||||||||
Withdrawals | (19,870,390 | ) | (12,495,923 | ) | (3,234,518 | ) | (17,542,768 | ) | ||||||||
Other capital | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (13,530,539 | ) | 35,362,004 | 114,351 | (15,947,024 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | (1,591,939 | ) | 35,156,559 | 5,886,310 | (9,219,152 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 115,981,583 | 80,825,024 | 96,277,718 | 105,496,870 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS AT END OF PERIOD | $ | 114,389,644 | $ | 115,981,583 | $ | 102,164,028 | $ | 96,277,718 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
68
Table of Contents
SSGA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio | SSGA Ultra Short Term Bond Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | |||||||||||||||||
$ | 2,474,914 | $ | 5,282,029 | $ | 46,012,800 | $ | 51,271,905 | $ | 147,102 | $ | 167,936 | |||||||||||
2,468,721 | 280,705 | (3,074,794 | ) | 2,066,427 | (177 | ) | (4,025 | ) | ||||||||||||||
| 13,751,381 | 11,097,379 | 356,926 | 10,003,339 | (19,780 | ) | 44,005 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 18,695,016 | 16,660,113 | 43,294,932 | 63,341,671 | 127,145 | 207,916 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
12,916,824 | 27,444,065 | 551,756,909 | 1,009,734,223 | 6,032,774 | 6,048,995 | |||||||||||||||||
(5,915,752 | ) | (14,353,121 | ) | (52,501,447 | ) | (54,477,525 | ) | (149,662 | ) | (12,178,222 | ) | |||||||||||
— | — | 275,879 | — | 6,033 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 7,001,072 | 13,090,944 | 499,531,341 | 955,256,698 | 5,889,145 | (6,129,227 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| 25,696,088 | 29,751,057 | 542,826,273 | 1,018,598,369 | 6,016,290 | (5,921,311 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
209,464,270 | 179,713,213 | 1,821,087,617 | 802,489,248 | 18,118,456 | 24,039,767 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 235,160,358 | $ | 209,464,270 | $ | 2,363,913,890 | $ | 1,821,087,617 | $ | 24,134,746 | $ | 18,118,456 | |||||||||||
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69
Table of Contents
SSGA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
State Street DoubleLine Total Return Tactical Portfolio | SSGA MFS Systematic Core Equity Portfolio | |||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 51,102,651 | $ | 90,319,411 | $ | 64,027 | $ | 115,936 | ||||||||
Net realized gain (loss) | 4,892,409 | 2,330,165 | 1,006,600 | 141,554 | ||||||||||||
Net change in unrealized appreciation/depreciation | (20,607,234 | ) | (41,419,867 | ) | (203,081 | ) | 911,829 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 35,387,826 | 51,229,709 | 867,546 | 1,169,319 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Contributions | 299,844,384 | 768,076,980 | 10,596,042 | — | ||||||||||||
Withdrawals | (117,619,385 | ) | (103,354,126 | ) | (7,051,707 | ) | (119,679 | ) | ||||||||
Other capital | 1,141,725 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 183,366,724 | 664,722,854 | 3,544,335 | (119,679 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 218,754,550 | 715,952,563 | 4,412,824 | 1,049,640 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 3,352,025,540 | 2,636,072,977 | 6,886,803 | 5,837,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS AT END OF PERIOD | $ | 3,570,780,090 | $ | 3,352,025,540 | $ | 11,299,627 | $ | 6,886,803 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
70
Table of Contents
SSGA MFS Systematic Growth Equity Portfolio | SSGA MFS Systematic Value Equity Portfolio | |||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | |||||||||||
$ | 237,597 | $ | 262,109 | $ | 58,760 | $ | 83,021 | |||||||
23,133 | 3,301,975 | 173,887 | 55,579 | |||||||||||
| 5,058,478 | (247,154 | ) | 543,933 | 483,302 | |||||||||
|
|
|
|
|
|
|
| |||||||
| 5,319,208 | 3,316,930 | 776,580 | 621,902 | ||||||||||
|
|
|
|
|
|
|
| |||||||
23,417,506 | 45,181,471 | — | 2,907,751 | |||||||||||
(250,080 | ) | (21,484,558 | ) | (58,427 | ) | (135,740 | ) | |||||||
— | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||
| 23,167,426 | 23,696,913 | (58,427 | ) | 2,772,011 | |||||||||
|
|
|
|
|
|
|
| |||||||
| 28,486,634 | 27,013,843 | 718,153 | 3,393,913 | ||||||||||
|
|
|
|
|
|
|
| |||||||
39,181,852 | 12,168,009 | 6,007,712 | 2,613,799 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 67,668,486 | $ | 39,181,852 | $ | 6,725,865 | $ | 6,007,712 | |||||||
|
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|
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|
71
Table of Contents
SSGA MASTER TRUST
Selected data for a share outstanding throughout each period
SSGA Multi-Asset Real Return Portfolio† | ||||||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | |||||||||||||||||||
Total return | 10.10 | %(a) | 0.56 | % | (3.94 | )% | (14.80 | )% | 13.93 | % | (1.63 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 114,390 | $ | 115,982 | $ | 80,825 | $ | 141,996 | $ | 164,635 | $ | 121,584 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.20 | %(b) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||||
Net investment income (loss) | 2.19 | %(b) | 2.30 | % | 1.36 | % | 1.56 | % | 2.01 | % | 2.91 | % | ||||||||||||
Portfolio turnover rate | 8 | %(a) | 46 | % | 25 | % | 33 | % | 40 | % | 31 | % |
† | 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. |
(a) | Not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
72
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
SSGA Income Allocation Portfolio† | ||||||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | |||||||||||||||||||
Total return | 4.35 | %(a) | 7.00 | % | 3.95 | % | (1.42 | )% | 13.84 | % | 4.39 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 102,164 | $ | 96,278 | $ | 105,497 | $ | 121,149 | $ | 104,030 | $ | 174,255 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.20 | %(b) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||||
Net investment income (loss) | 3.56 | %(b) | 3.64 | % | 3.23 | % | 3.15 | % | 3.89 | % | 4.65 | % | ||||||||||||
Portfolio turnover rate | 9 | %(a) | 47 | % | 54 | % | 64 | % | 63 | % | 80 | % |
† | 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. |
(a) | Not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
SSGA Global Allocation Portfolio† | ||||||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | Year Ended 6/30/13 | |||||||||||||||||||
Total return | 7.67 | %(b) | 8.92 | % | (0.80 | )% | 0.49 | % | 16.80 | % | 9.92 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 235,160 | $ | 209,464 | $ | 179,713 | $ | 144,775 | $ | 98,492 | $ | 51,936 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses. | 0.20 | %(a) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||||
Net investment income (loss) | 2.23 | %(a) | 2.72 | % | 2.30 | % | 2.45 | % | 2.76 | % | 3.07 | % | ||||||||||||
Portfolio turnover rate | 14 | %(b) | 90 | % | 86 | % | 98 | % | 89 | % | 123 | % |
† | 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. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
Blackstone / GSO Senior Loan Portfolio | ||||||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | Year Ended 6/30/14 | For the Period 4/3/13* - 6/30/13 | |||||||||||||||||||
Total return | (0.41 | %)(a) | 6.19 | % | (0.20 | )% | 2.98 | % | 4.00 | % | (0.31 | )%(a) | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,363,914 | $ | 1,821,088 | $ | 802,489 | $ | 672,264 | $ | 610,477 | $ | 332,792 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.30 | %(b) | 0.30 | % | 0.30 | % | 0.31 | % | 0.30 | % | 0.30 | %(b) | ||||||||||||
Net investment income (loss) | 4.43 | %(b) | 4.31 | % | 4.54 | % | 4.49 | % | 3.63 | % | 2.57 | %(b) | ||||||||||||
Portfolio turnover rate. | 49 | %(a) | 68 | % | 88 | % | 65 | % | 77 | % | 4 | %(a) |
* | Commencement of operations. |
(a) | Not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
SSGA Ultra Short Term Bond Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 10/9/13* - 6/30/14 | ||||||||||||||||
Total return | (0.10 | %)(a) | 1.54 | % | 0.65 | % | 0.21 | % | 0.47 | %(a) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 24,135 | $ | 18,118 | $ | 24,040 | $ | 16,019 | $ | 14,036 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.20 | %(b) | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(b) | ||||||||||
Net investment income (loss) | 1.41 | %(b) | 1.09 | % | 0.69 | % | 0.33 | % | 0.34 | %(b) | ||||||||||
Portfolio turnover rate | 10 | %(a) | 83 | % | 407 | % | 79 | % | 39 | %(a) |
* | Commencement of Operations. |
(a) | Not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
State Street DoubleLine Total Return Tactical Portfolio | ||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | For the Period 2/23/15* - 6/30/15 | |||||||||||||
Total return | (0.73 | %)(a) | 1.75 | % | 4.32 | % | (0.36 | )%(a) | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 3,570,780 | $ | 3,352,026 | $ | 2,636,073 | $ | 746,694 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.30 | %(b) | 0.30 | % | 0.30 | % | 0.30 | %(b) | ||||||||
Net investment income (loss) | 2.85 | %(b) | 2.95 | % | 3.38 | % | 3.46 | % | ||||||||
Portfolio turnover rate | 16 | %(a) | 72 | % | 38 | % | 14 | %(a) |
* | Commencement of operations. |
(a) | Not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
SSGA MFS Systematic Core Equity Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 1/8/14* - 6/30/14 | ||||||||||||||||
Total return | 10.23 | %(a) | 20.26 | % | 2.53 | % | 14.00 | % | 7.92 | %(a) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 11,300 | $ | 6,887 | $ | 5,837 | $ | 2,940 | $ | 5,378 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.30 | %(b) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(b) | ||||||||||
Net investment income (loss) | 1.52 | %(b) | 1.83 | % | 2.08 | % | 1.72 | % | 1.55 | %(b) | ||||||||||
Portfolio turnover rate | 32 | %(a) | 67 | % | 39 | % | 54 | % | 27 | %(a) |
* | Commencement of operations. |
(a) | Not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
SSGA MFS Systematic Growth Equity Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 1/8/14* - 6/30/14 | ||||||||||||||||
Total return | 11.75 | %(b) | 18.52 | % | 4.240 | % | 17.85 | % | 7.85 | %(b) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 67,668 | $ | 39,182 | $ | 12,168 | $ | 6,045 | $ | 5,373 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.30 | %(a) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | %(a) | ||||||||||
Net investment income (loss) | 1.03 | %(a) | 1.360 | % | 1.37 | % | 1.44 | % | 1.46 | %(a) | ||||||||||
Portfolio turnover rate | 41 | %(b) | 55 | % | 56 | % | 67 | % | 20 | %(b) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
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FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
SSGA MFS Systematic Value Equity Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/17 (Unaudited) | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | For the Period 1/8/14* - 6/30/14 | ||||||||||||||||
Total return | 11.95 | (a) | 19.94 | % | (2.13 | )% | 13.79 | % | 6.20 | %(a) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 6,726 | $ | 6,008 | $ | 2,614 | $ | 2,910 | $ | 5,286 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.30 | %(b) | 0.30 | % | 0.31 | % | 0.30 | % | 0.30 | %(b) | ||||||||||
Net investment income (loss) | 1.86 | %(b) | 2.11 | % | 2.15 | % | 1.67 | % | 1.73 | %(b) | ||||||||||
Portfolio turnover rate | 23 | %(a) | 64 | % | 64 | % | 61 | % | 23 | %(a) |
* | Commencement of operations. |
(a) | Not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
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December 31, 2017 (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, 2017, the Trust consists of nine (9) series, each of which represents a separate series of beneficial interest in the Trust. The financial statements herein relate to the following Portfolios (each, a “Portfolio” and collectively, the “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 New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees (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 (“NAV”) per share or unit. |
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2017 (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 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 NAV 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 an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Portfolio’s investments according to the fair value hierarchy as of December 31, 2017 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, 2017.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Distributions received by the 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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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2017 (Unaudited)
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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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2017 (Unaudited)
The Adviser pays all expenses of each Portfolio other than management fee, brokerage expenses, taxes, interest, fees and expenses of the 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, Sub-Administrator, Custodian and Transfer Agent Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent to the Portfolios. 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 Blackstone / GSO Senior Loan Portfolio has a cash overdraft related to trading activity.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the 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, 2017, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
SSGA Multi-Asset Real Return Portfolio | $ | — | $ | — | $ | 9,511,021 | $ | 9,502,586 | ||||||||
SSGA Income Allocation Portfolio | — | — | 8,962,341 | 9,301,269 | ||||||||||||
SSGA Global Allocation Portfolio | — | — | 30,429,814 | 29,837,307 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | — | — | 1,356,211,757 | 982,143,438 | ||||||||||||
SSGA Ultra Short Term Bond Portfolio | 1,046,988 | — | 6,123,270 | 1,984,083 | ||||||||||||
State Street DoubleLine Total Return Tactical Portfolio | 563,805,466 | 289,089,232 | 367,473,978 | 229,421,171 | ||||||||||||
SSGA MFS Systematic Core Equity Portfolio | — | — | 2,903,672 | 2,914,786 | ||||||||||||
SSGA MFS Systematic Growth Equity Portfolio | — | — | 19,259,263 | 19,418,171 | ||||||||||||
SSGA MFS Systematic Value Equity Portfolio | — | — | 1,421,823 | 1,409,360 |
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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2017 (Unaudited)
For the period ended December 31, 2017, 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 | $ | 6,339,844 | $ | 18,726,502 | $ | 1,543,552 | ||||||
SSGA Income Allocation Portfolio | 3,212,505 | 1,602,467 | 196,071 | |||||||||
SSGA Global Allocation Portfolio | 11,556,116 | 3,255,212 | 450,420 |
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. As of June 30, 2017, 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.
As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
SSGA Multi-Asset Real Return Portfolio | $ | 112,691,808 | $ | 5,235,270 | $ | 3,357,703 | $ | 1,877,567 | ||||||||
SSGA Income Allocation Portfolio | 102,107,667 | 7,630,617 | 719,589 | 6,911,028 | ||||||||||||
SSGA Global Allocation Portfolio | 208,650,436 | 27,877,641 | 26,078 | 27,851,563 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | 2,454,012,898 | 16,926,690 | 7,778,441 | 9,148,249 | ||||||||||||
SSGA Ultra Short Term Bond Portfolio | 24,360,680 | 38,396 | 18,398 | 19,998 | ||||||||||||
State Street DoubleLine Total Return Tactical Portfolio | 3,598,126,664 | 16,750,566 | 52,416,745 | (35,666,179 | ) | |||||||||||
SSGA MFS Systematic Core Equity Portfolio | 10,613,589 | 822,128 | 120,638 | 680,547 | ||||||||||||
SSGA MFS Systematic Growth Equity Portfolio | 62,391,225 | 5,623,966 | 379,688 | 5,244,278 | ||||||||||||
SSGA MFS Systematic Value Equity Portfolio | 5,632,821 | 1,199,889 | 114,144 | 1,085,745 |
8. | Line of Credit |
Certain Portfolios and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. Blackstone / GSO Senior Loan Portfolio has exclusive access to $200 million of the total credit facility. This agreement expires in October 2018 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Blackstone / GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are ordinary fund operation 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 12, 2017, the Portfolios and other affiliated funds participated in a $360 million revolving credit facility and Blackstone / GSO Senior Loan Portfolio had exclusive access to $100 million of the total credit facility. The Portfolios had no outstanding loans as of December 31, 2017.
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SSGA Master Trust
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2017 (Unaudited)
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. | New Accounting Pronouncements |
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
11. | 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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SSGA MASTER TRUST
December 31, 2017 (Unaudited)
Expense Example
As a shareholder of a Portfolio, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2017 to December 31, 2017.
The table below illustrates your Portfolio’s cost in two ways:
Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return — This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
SSGA Multi-Asset Real Return Portfolio | 0.20 | % | $ | 1,101.00 | $ | 1.06 | $ | 1,024.20 | $ | 1.02 | ||||||||||
SSGA Income Allocation Portfolio | 0.20 | 1,043.50 | 1.03 | 1,024.20 | 1.02 | |||||||||||||||
SSGA Global Allocation Portfolio | 0.20 | 1,076.70 | 1.05 | 1,024.20 | 1.02 | |||||||||||||||
Blackstone/GSO Senior Loan Portfolio | 0.30 | 995.90 | 1.51 | 1,023.70 | 1.53 | |||||||||||||||
SSGA Ultra Short Term Bond Portfolio | 0.20 | 999.00 | 1.01 | 1,024.20 | 1.02 | |||||||||||||||
DoubleLine Total Return Tactical Portfolio | 0.30 | 992.70 | 1.51 | 1,023.70 | 1.53 | |||||||||||||||
MFS Systematic Core Equity Portfolio | 0.30 | 1,102.30 | 1.59 | 1,023.70 | 1.53 | |||||||||||||||
MFS Systematic Growth Equity Portfolio | 0.30 | 1,117.50 | 1.60 | 1,023.70 | 1.53 | |||||||||||||||
MFS Systematic Value Equity Portfolio | 0.30 | 1,119.50 | 1.60 | 1,023.70 | 1.53 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, and then divided by 365. |
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SSGA MASTER TRUST
OTHER INFORMATION (continued)
December 31, 2017 (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 SEC’s website, 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 Portfolios’ website at www.spdrs.com.
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SSGA Master Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President; Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Daniel G. Plourde, Assistant Treasurer
Jesse D. Hallee, 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 Advisors Funds Distributor, 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 Advisors Funds Distributor, 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 are not affiliated with State Street Global Advisors Funds Distributor, 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 | © 2018 State Street Corporation - All Rights Reserved SPDRACTIVESAR |
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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 (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
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(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
(b) A single certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSGA Master Trust
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | March 8, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | March 8, 2018 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | March 8, 2018 |