SSGA Active Trust NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22542

SSGA ACTIVE ETF TRUST

(Exact name of registrant as specified in charter)

One Lincoln Street, Boston, Massachusetts 02111

(Address of principal executive offices) (zip code)

Christopher A. Madden, Esq.

State Street Bank and Trust Company

One Lincoln Street/CPH0326

Boston, Massachusetts 02111

(Name and address of agent for service)

Copy to:

W. John McGuire, Esq.

Bingham McCutchen LLP

2020 K Street, N.W.

Washington, DC 20006

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

Date of fiscal year end: June 30

Date of reporting period: June 30, 2013

Item 1. Reports to Shareholders.

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SSgA Active ETF Trust

Annual Report June 30, 2013

Precise in a world that isn’t.^SM

TABLE OF CONTENTS


President’s Letter to Shareholders			1
Management’s Discussion of Fund Performance & Performance Summary
SPDR SSgA Multi-Asset Real Return ETF (RLY)			2
SPDR SSgA Income Allocation ETF (INKM)			5
SPDR SSgA Global Allocation ETF (GAL)			8
SPDR Blackstone / GSO Senior Loan ETF (SRLN)			11
Financial Statements			12
Financial Highlights			16
Notes to Financial Statements			18
Report of Independent Registered Public Accounting Firm			22
Other Information			23

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PRESIDENT’S LETTERTO SHAREHOLDERS

Dear Shareholders:

The economy continues to recover. Fueled by unprecedented injections of central bank liquidity and an improving economy, the S&P 500 Index posted a 13.82% gain through the second quarter of 2013 as markets around the globe hit record highs. However, after a May peak of the S&P 500 Index, volatility returned to the market when the Federal Reserve (the “Fed”) announced plans to ease off its quantitative easing policy. The Fed’s mere utterance of plans to taper its bond-buying program sparked a steep, across-the-board global sell-off. Also, in another troublesome development, interest rates spiked higher, pushing bond returns into uncharted negative territory.

The market’s immediate reaction to the Fed’s statement served both as a reality check for investors who had prematurely heralded a return to normalcy and as a harbinger of future challenges. The Fed’s decision to end cash infusions could negatively impact European economies that have just begun to move past the recession as well as more fragile emerging markets.

With market uncertainty underscoring the need to implement investment decisions with greater precision, investors continued to embrace a broad array of ETFs for their ability to provide transparent, low cost and liquid access to all corners of the global market.

As part of our continued commitment to provide the products you need to help achieve your investment goals, State Street Global Advisors, with GSO Capital Partners LP, launched SPDR^® Blackstone / GSO Senior Loan ETF (Ticker Symbol: SRLN), an actively managed ETF that provides exposure to senior loans.

We take great pride in this new addition to our SPDR family. You will find additional information on the SSgA Active ETF Trust Exchange Traded Funds, including Management’s Discussion of Fund Performance, in the enclosed June 30, 2013 Annual Report.

On behalf of the SSgA Active ETF Trust, I thank you for your continued support.

Sincerely,

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Ellen M. Needham

President

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SPDR SSgA MULTI-ASSET REAL RETURN ETF — MANAGEMENT’S DISCUSSIONOF FUND PERFORMANCE

The SPDR SSgA Multi-Asset Real Return ETF (the “Fund”), normally invests substantially all of its assets in the SSgA Multi-Asset Real Return Portfolio (the “Portfolio”), which seeks to achieve real return consisting of capital appreciation and current income. As a result, this Fund invests indirectly through the Portfolio.

For the 12-month period ended June 30, 2013 (the “Reporting Period”), the total return for the Fund was -1.67%, and the total return for the Barclays U.S. Government Inflation-linked Bond Index (the “Index”) was -5.16%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund outperformed the Index during the Reporting Period. As optimistic expectations related to global growth seemed unlikely to materialize and unease developed in connection with potential tapering of the U.S. Federal Reserve’s (the “Fed”) bond-buying program, the prospects for real assets moderated over the period. However, diversified exposure within the Fund’s portfolio offered a buffer from sharp increases in real yields that more negatively afflicted the Index following the Fed’s comments regarding tapering of the bond-buying program.

Benign inflation prints across many developed economies tempered the outlook for real assets over the period. Weaker than expected industrial production data out of China compounded growth concerns. Additionally, market reaction was rather severe given the change in tone of the Fed’s monetary policy during May and June of 2013, which caused nominal and real return bonds alike to sell off sharply. The unwelcome news prompted volatility beyond bond assets as the market reassessed outlooks amid the backdrop of tempered central bank policy.

Allocations to international and U.S. securitized real estate proved beneficial to the Fund’s performance as the low-rate environment served to benefit the asset class in multiple ways. First, low-cost financing enabled securitized real estate to bolster balance sheets and develop projects with more favorable terms. Second, investors desperate for yield acquiesced to taking on risk in favor of higher yielding asset classes. Another constructive portfolio holding was the targeted exposure to the U.S. energy sector, which was buoyed by attractive valuations and favorable increases in energy prices during the Reporting Period.

Exposure to resource equities detracted from performance as the composite group was overwhelmed by the negative performance of the metals and mining sector. Performance of this sector was hampered by bearish supply and demand fundamentals, falling metals prices, and concerns regarding rising production costs. A steady downward trend in gold prices over the period magnified the underperformance of the gold mining sub-industry relative to the broader metals and mining sector. U.S. inflation-linked bonds were also negative contributors to Fund performance. Performance of these bonds deteriorated as tapering concerns coupled with a reduction in forward looking inflation expectations prompted a dramatic back up in real yields.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

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SPDR SSgA MULTI-ASSET REAL RETURN ETF — PERFORMANCE SUMMARY

The following performance chart of the Fund’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Fund’s performance is negatively impacted by these deductions.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSgA Multi-Asset Real Return ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2012 is 0.70%.

PERFORMANCE AS OF JUNE 30, 2013

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN

NET ASSET
VALUE

MARKET
VALUE

PRIMARY
BENCHMARK:
BARCLAYS
U.S. GOVERNMENT
INFLATION-
LINKED BOND
INDEX

SECONDARY
BENCHMARK:
SSgA
MULTI-ASSET
REAL RETURN
COMPOSITE
INDEX

NET ASSET
VALUE

MARKET
VALUE

PRIMARY
BENCHMARK:
BARCLAYS
U.S. GOVERNMENT
INFLATION-
LINKED BOND
INDEX

SECONDARY
BENCHMARK:
SSgA
MULTI-ASSET
REAL RETURN
COMPOSITE
INDEX

ONE YEAR

–1.67%

–1.56%

–5.16%

0.93%

–1.67%

–1.56%

–5.16%

0.93%

SINCE
INCEPTION (1)

–5.05%

–5.02%

–3.60%

–2.76%

–4.29%

–4.25%

–3.06%

–2.34%

(1)

For the period April 25, 2012 to June 30, 2013

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SPDR SSgA MULTI-ASSET REAL RETURN ETF — PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

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Past Performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

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SPDR SSgA INCOME ALLOCATION ETF — MANAGEMENT’S DISCUSSIONOF FUND PERFORMANCE

The SPDR SSgA Income Allocation ETF (the “Fund”), normally invests substantially all of its assets in the SSgA Income Allocation Portfolio (the “Portfolio”), which seeks to provide total return by focusing on investments in income and yield-generating assets. As a result, this Fund invests indirectly through the Portfolio.

For the 12-month period ended June 30, 2013 (the “Reporting Period”), the total return for the Fund was 4.22%, and the total return for the MSCI World Index (the “Index”) was 18.58%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s focus on income and yield-generating investments, contributed to its underperformance relative to the Index during the Reporting Period. Unfortunately, a May 2013 shift in language from the U.S. Federal Reserve (the “Fed”) raised the possibility that the pace of asset purchases in its quantitative easing program might ebb later in 2013. Even though any tapering of asset purchases would be conditional on U.S. economic performance, investors had to adjust to the more nuanced priorities at the Fed. As a result, debt securities lost value across the board, and many higher dividend stocks faltered as well. While the Fund lagged the Index significantly during May and June of 2013, it performed more closely in line with a globally diversified portfolio of income-focused securities that includes broad exposure to both stocks and bonds.

The relative strength of the U.S. dollar and U.S. equities had a negative effect on performance because the Fund maintains ample holdings in non-U.S. securities. Concerns in late 2012 about U.S. fiscal constraints gradually dissipated in the first half of 2013, even as European growth stagnated and worries increased about decelerating activity in China. Moreover, the apparently hawkish turn in U.S. monetary emphasis encouraged significant capital withdrawal from international markets. Talk of tapered accommodation shocked the bond markets as well, taking a notable toll on the Fund’s holdings of both government and corporate debt. The simultaneous deterioration in stock and bond prices that arose from fears of altered policy represented a shift in market behavior. The more usual pattern had been bond appreciation when equities were declining, but the change in Fed language unleashed a sharp rise in real yields that hurt both fixed income and equities, resulting in greater realized volatility for the Fund.

The top positive contributor to the Fund’s performance was the SPDR S&P Dividend ETF, which appreciated during each quarter of the Reporting Period. This holding, which retained a healthy double-digit weighting in the Fund throughout the period, benefited from the growing global preference for U.S. equities during the first half of 2013. While other securities in the Fund had a much smaller influence on performance, both the SPDR S&P Global Infrastructure ETF and the SPDR Dow Jones REIT ETF were noted contributors. Even though their appeal waned when tapering of asset purchases became a possibility, they retained positive performance for the Reporting Period.

The most negative contributors to the Fund’s performance were its long duration, fixed-income holdings in the SPDR Barclays Long Term Treasury ETF and the SPDR Barclays Long Term Corporate Bond ETF. While these positions continued to provide consistent income to the Fund, the change in Fed posture during the second quarter of 2013 provoked a major adjustment in bond yields that diminished their value and compromised their role as a diversifier of equity risk. Also detracting from Fund performance was the SPDR S&P Emerging Markets Dividend ETF, which offered scant protection from rising concerns that growth prospects in emerging countries might be dimming.

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SPDR SSgA INCOME ALLOCATION ETF — PERFORMANCE SUMMARY

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSgA Income Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2012 is 0.70%.

PERFORMANCE AS OF JUNE 30, 2013



	CUMULATIVE TOTAL RETURN								AVERAGE ANNUAL TOTAL RETURN
	NET ASSET VALUE		MARKET VALUE		PRIMARY BENCHMARK: MSCI WORLD INDEX		SECONDARY BENCHMARK: SSgA INCOME ALLOCATION COMPOSITE INDEX		NET ASSET VALUE		MARKET VALUE		PRIMARY BENCHMARK: MSCI WORLD INDEX		SECONDARY BENCHMARK: SSgA INCOME ALLOCATION COMPOSITE INDEX
ONE YEAR		4.22%		4.19%		18.58%		6.77%		4.22%		4.19%		18.58%		6.77%
SINCE INCEPTION (1)		5.12%		5.11%		14.68%		7.20%		4.31%		4.30%		12.31%		6.09%

(1)

For the period April 25, 2012 to June 30, 2013

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SPDR SSgA INCOME ALLOCATION ETF — PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

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Past Performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

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SPDR SSgA GLOBAL ALLOCATION ETF — MANAGEMENT’S DISCUSSIONOF FUND PERFORMANCE

The SPDR SSgA Global Allocation ETF (the “Fund”), normally invests substantially all of its assets in the SSgA Global Allocation Portfolio (the “Portfolio”), which seeks to provide capital appreciation. As a result, this Fund invests indirectly through the Portfolio.

For the 12-month period ended June 30, 2013 (the “Reporting Period”), the total return for the Fund was 9.91%, and the total return for the MSCI All Country World IMI Index (the “Index”) was 17.08%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund invests broadly across regions and asset classes. The Fund’s diversified investment exposures, contributed to its underperformance relative to the equity only Index during the Reporting Period. The Fund generally enjoyed strong positive performance during the period until May 2013 when the shift in the language from the U.S. Federal Reserve (the “Fed”) raised the possibility that the pace of asset purchases in its quantitative easing program might ebb later in 2013. Even though any tapering of asset purchases would be conditional on U.S. economic performance, investors had to adjust to the more nuanced priorities at the Fed. As a result, debt securities, along with risky assets like equities, commodities, and real estate, lost value across the board.

Reflecting both the global exposures of the Fund and our tactical preference for risky assets in the past year, the Fund had overweight exposures to equities compared to bonds. The top positive contributors to the Fund’s performance were the SPDR S&P 500 ETF and the SPDR S&P World ex-US ETF. Other strong contributors within equities include SPDR S&P International Small Cap ETF, SPDR STOXX Europe 50 ETF, SPDR S&P Dividend ETF, and SPDR S&P 600 Small Cap ETF. In addition, investments in equity sectors added significant value to the Fund’s portfolio, with The Consumer Discretionary Select Sector SPDR Fund and The Financial Select Sector SPDR Fund performing strongly for the Fund. The Fund also enjoyed positive contributions from its real estate and high yield exposures through investments in the SPDR Dow Jones International Real Estate ETF and the SPDR Barclays High Yield Bond ETF.

The most negative contributors to the Fund’s performance were its holdings in the PowerShares DB Gold Fund and the SPDR Barclays TIPS ETF. Other detractors from performance were the SPDR Barclays Emerging Markets Local Bond ETF and the SPDR Barclays Aggregate Bond ETF.

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SPDR SSgA GLOBAL ALLOCATION ETF — PERFORMANCE SUMMARY

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSgA Global Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2012 is 0.35%.

PERFORMANCE AS OF JUNE 30, 2013



	CUMULATIVE TOTAL RETURN								AVERAGE ANNUAL TOTAL RETURN
	NET ASSET VALUE		MARKET VALUE		PRIMARY BENCHMARK: MSCI ACWI IMI INDEX		SECONDARY BENCHMARK: SSgA GLOBAL ALLOCIATION COMPOSITE INDEX		NET ASSET VALUE		MARKET VALUE		PRIMARY BENCHMARK: MSCI ACWI IMI INDEX		SECONDARY BENCHMARK: SSgA GLOBAL ALLOCIATION COMPOSITE INDEX
ONE YEAR		9.91%		10.01%		17.08%		10.28%		9.91%		10.01%		17.08%		10.28%
SINCE INCEPTION (1)		7.90%		7.90%		12.60%		8.26%		6.64%		6.63%		10.58%		6.96%

(1)

For the period April 25, 2012 to June 30, 2013

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SPDR SSgA GLOBAL ALLOCATION ETF — PERFORMANCE SUMMARY (CONTINUED)

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)

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Past Performance is not a guarantee of future results.

Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

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SPDR BLACKSTONE / GSO SENIOR LOAN ETF — PERFORMANCE SUMMARY

The Fund had less than six months of operations at reporting period end and therefore does not have performance history to provide in this report.

SSgA ACTIVE ETF TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2013


	SPDR SSgA Multi-Asset Real Return ETF			SPDR SSgA Income Allocation ETF			SPDR SSgA Global Allocation ETF			SPDR Blackstone / GSO Senior Loan ETF
ASSETS
Investments in corresponding Portfolio, at market value (Note 1)	$	121,583,035		$	174,253,776		$	51,934,532		$	332,791,500
Due from Advisor		—			—			6,126			—

TOTAL ASSETS		121,583,035			174,253,776			51,940,658			332,791,500

LIABILITIES
Income distributions payable		1,144,521			2,261,400			456,897			—
Accrued Advisory fees		4,167			15,703			—			137,595
Accrued trustees’ fees and expenses		48			62			17			155

TOTAL LIABILITIES		1,148,736			2,277,165			456,914			137,750

NET ASSETS	$	120,434,299		$	171,976,611		$	51,483,744		$	332,653,750

NET ASSETS CONSIST OF:
Paid-in capital (Note 4)	$	132,135,990		$	179,580,951		$	52,361,000		$	335,319,068
Undistributed (distributions in excess of) net investment income		(66,390	)		(349,701	)		(65,033	)		425,759
Accumulated net realized gain (loss) on investments		(1,026,495	)		(1,096,929	)		(289,986	)		(18,346	)
Net unrealized appreciation (depreciation) on investments		(10,608,806	)		(6,157,710	)		(522,237	)		(3,072,731	)

NET ASSETS	$	120,434,299		$	171,976,611		$	51,483,744		$	332,653,750

NET ASSET VALUE PER SHARE
Net asset value per share	$	27.68		$	29.90		$	31.18		$	49.65

Shares outstanding (unlimited amount authorized, $0.00 par value)		4,351,111			5,751,111			1,651,111			6,700,000

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSgA ACTIVE ETF TRUST

STATEMENTS OF OPERATIONS

Periods Ended June 30, 2013


	SPDR SSgA Multi-Asset Real Return ETF			SPDR SSgA Income Allocation ETF			SPDR SSgA Global Allocation ETF			SPDR Blackstone / GSO Senior Loan ETF*
INCOME AND EXPENSES ALLOCATED FROM PORTFOLIO
Dividend income allocated from Portfolio (Note 2)	$	1,860,768		$	3,763,417		$	716,581		$	1,378,207
Expenses allocated from Portfolio (Note 2)		(120,352	)		(156,089	)		(44,008	)		(144,375	)

TOTAL INCOME		1,740,416			3,607,328			672,573			1,233,832

EXPENSES
Advisory fees (Note 3)		25,833			113,843			—			288,262
Trustee Fees (Note 3)		577			727			199			277
Miscellaneous expenses		29			37			9			—

TOTAL EXPENSES		26,439			114,607			208			288,539

Fees reimbursed by Adviser		—			—			(35,535	)		—

NET INVESTMENT INCOME		1,713,977			3,492,721			707,900			945,293

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) allocated from Portfolio		(924,336	)		(1,103,415	)		31,543			(18,346	)
Net change in unrealized appreciation (depreciation) from corresponding Portfolio		(10,378,139	)		(6,205,343	)		(434,651	)		(3,072,731	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		(11,302,475	)		(7,308,758	)		(403,108	)		(3,091,077	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(9,588,498	)	$	(3,816,037	)	$	304,792		$	(2,145,784	)

*	For the period April 3, 2013 (commencement of operations) to June 30, 2013.

See Notes to Financial Statements and Financial Statements of the Master Portfolios.

SSgA ACTIVE ETF TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SPDR SSgA Multi-Asset Real Return ETF						SPDR SSgA Income Allocation ETF
	Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	1,713,977		$	40,831		$	3,492,721		$	97,347
Net realized gain (loss) on investments		(924,336	)		(6,834	)		(1,103,415	)		(17,901	)
Net change in unrealized appreciation (depreciation) on investments		(10,378,139	)		(230,667	)		(6,205,343	)		47,633

Net increase (decrease) in net assets resulting from operations		(9,588,498	)		(196,670	)		(3,816,037	)		127,079

Net equalization credits and charges		57,257			(1,313	)		300,070			25,031

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(1,773,687	)		(39,652	)		(3,792,817	)		(122,565	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares		130,398,415			7,426,281			170,596,375			8,984,576
Cost of shares redeemed		(4,387,694	)		(1,404,196	)		—			—
Net income equalization (Note 2)		(57,257	)		1,313			(300,070	)		(25,031	)
Other capital (Note 4)		—			—			—			—

Net increase (decrease) in net assets from beneficial interest transactions		125,953,464			6,023,398			170,296,305			8,959,545

Net increase (decrease) in net assets during the period		114,648,536			5,785,763			162,987,521			8,989,090
Net assets at beginning of period		5,785,763			—			8,989,090			—

NET ASSETS END OF PERIOD (1)	$	120,434,299		$	5,785,763		$	171,976,611		$	8,989,090

SHARES OF BENEFICIAL INTEREST
Shares sold		4,300,000			251,111			5,450,000			301,111
Shares redeemed		(150,000	)		(50,000	)		—			—

Net increase in shares		4,150,000			201,111			5,450,000			301,111

(1) Undistributed (distributions in excess of) net investment income	$	(66,390	)	$	1,179		$	(349,701	)	$	(25,218	)

*	Commencement of operations

See Notes to Financial Statements and Financial Statements of the Master Portfolios.


SPDR SSgA Global Allocation ETF						SPDR Blackstone / GSO Senior Loan ETF
Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			For the Period 4/3/13* - 6/30/13

$	707,900		$	42,385		$	945,293
	31,543			(140,394	)		(18,346	)
	(434,651	)		(87,586	)		(3,072,731	)

	304,792			(185,595	)		(2,145,784	)

	59,672			(3,002	)		232,911



	(768,378	)		(39,306	)		(519,534	)



	50,769,956			6,033,333			334,914,199
	(3,233,657	)		(1,397,401	)		—
	(59,672	)		3,002			(232,911	)
	—			—			404,869

	47,476,627			4,638,934			335,086,157


	47,072,713			4,411,031			332,653,750
	4,411,031			—			—

$	51,483,744		$	4,411,031		$	332,653,750


	1,600,000			201,111			6,700,000
	(100,000	)		(50,000	)		—

	1,500,000			151,111			6,700,000

$	(65,033	)	$	3,079		$	425,759

SSgA ACTIVE ETF TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share of beneficial interest outstanding throughout each period is presented below (1):


	SPDR SSgA Multi-Asset Real Return ETF						SPDR SSgA Income Allocation ETF
	Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
Net asset value, beginning of period	$	28.77		$	30.00		$	29.85		$	30.00

Income (loss) from investment operations:
Net investment income (loss) (2)		0.86			0.20			1.41			0.44
Net realized and unrealized gain (loss) on investments (3)		(1.33	)		(1.22	)		(0.25	)		(0.29	)

Total from investment operations		(0.47	)		(1.02	)		1.16			0.15

Net equalization credits and charges (2)		0.03			(0.01	)		0.12			0.11

Other capital		—			—			—			—

Distributions to shareholders from:
Net investment income		(0.65	)		(0.20	)		(1.23	)		(0.41	)

Total distributions		(0.65	)		(0.20	)		(1.23	)		(0.41	)

Net asset value, end of period	$	27.68		$	28.77		$	29.90		$	29.85

Total Return (4)		(1.67	)%		(3.44	)%		4.22	%		0.87	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	120,434		$	5,786		$	171,977		$	8,989
Ratios to average net assets:
Total expenses		0.25	%		0.27	%(5)		0.35	%		0.36	%(5)
Net operating expenses		0.25	%		0.27	%(5)		0.35	%		0.36	%(5)
Net investment income		2.86	%		3.77	%(5)		4.50	%		8.24	%(5)
Portfolio turnover rate (6)		31	%		10	%		80	%		15	%

*	Commencement of operations

(1)	The per share amounts and percentages include each Fund’s proportionate share of income and expenses of their respective Portfolio.

(2)	Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.

(3)	Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.

(4)

Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation.

(5)	Annualized.

(6)	Portfolio turnover rate is from their respective Portfolio.


SPDR SSgA Global Allocation ETF						SPDR Blackstone / GSO Senior Loan ETF
Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			For the Period 4/3/13* - 6/30/13
$	29.19		$	30.00		$	50.00


	1.03			0.24			0.24
	1.77			(0.77	)		(0.65	)

	2.80			(0.53	)		(0.41	)

	0.09			(0.02	)		0.06

	—			—			0.10


	(0.90	)		(0.26	)		(0.10	)

	(0.90	)		(0.26	)		(0.10	)

$	31.18		$	29.19		$	49.65

	9.91	%		(1.82	)%		(0.48	)%

$	51,484		$	4,411		$	332,654

	0.20	%		0.20	%(5)		0.90	%(5)
	0.04	%		0.05	%(5)		0.90	%(5)
	3.23	%		4.48	%(5)		1.97	%(5)
	123	%		25	%		4	%

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS

June 30, 2013

1.	Organization

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

As of June 30, 2013, the Trust offered four (4) portfolios, each of which represents a separate series of beneficial interest in the Trust (each referred to as a “Fund”, collectively as the “Funds”). The financial statements herein relate to the following four (4) Funds: SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF, SPDR SSgA Global Allocation ETF and SPDR Blackstone / GSO Senior Loan ETF.

The Trust is part of a master-feeder structure and each Fund invests substantially all of its assets in interests of its respective master portfolio; the SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio and Blackstone / GSO Senior Loan Portfolio (each referred to as a “Portfolio”; collectively as “Portfolios”), each of which is a series of a separately registered investment company called SSgA Master Trust (“Master Trust”). The investment objective and policies of each Fund are substantially similar to those of its respective Portfolio. The value of each Fund’s investment in its respective Portfolio reflects the Fund’s proportionate interest in the net assets of that Portfolio (99.99% for SPDR SSgA Multi-Asset Real Return ETF, 99.99% for SPDR SSgA Income Allocation ETF, 99.99% for SPDR SSgA Global Allocation ETF and 99.99% for SPDR Blackstone / GSO Senior Loan ETF at June 30, 2013). The performance of each Fund is directly affected by the performance of its respective Portfolio. The financial statements of the Portfolios, including their Schedules of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

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

2.	Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. These financial statements are presented in United States dollars.

Security Valuation

Each Fund records its investments in its respective Portfolio at value each business day. The valuation policies of the Portfolios are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.

The Portfolios adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The summary of the inputs used for each Portfolio, as of June 30, 2013, in valuing each Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.

Investment Income

Net investment income consists of a Fund’s pro-rata share of the net investment income of its respective Portfolio, less expenses of the Fund.

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013

Expenses

Advisory fees and other expenses, which are directly identifiable to a specific Fund, are applied to that Fund. Trustees’ fees and other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds. The Fund’s are allocated a pro-rata share of the expenses of its respective Portfolio.

Equalization

The Funds follow the accounting practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net Assets.

Investment Transactions

Investment transactions are recorded as of the trade date. Realized gains and losses from security transactions consist of a Fund’s pro-rata share of its respective Portfolio’s realized gains and losses. Realized gains and losses from security transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date.

Federal Income Tax

The Funds have qualified and intend to continue to qualify for and elect treatment as “regulated investment companies” under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. These book-tax differences are primarily due to differing treatments for tax equalization, in-kind transactions for financial statement purposes and losses deferred due to wash sales.

Additionally, based on the Funds’ understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which the applicable Funds invest, the Funds will provide for foreign taxes and, where appropriate, deferred foreign taxes. The Funds have reviewed the tax positions for the open tax years as of June 30, 2013 and have determined that no provision for income tax is required in the Funds’ Financial Statements. The Funds’ federal tax returns are subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Funds recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.

For the year ended June 30, 2013, the following Funds reclassified non-taxable security gains and losses realized on the in-kind redemption of Creation Units (Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:


	Net Gain (Loss) Reclassified to Paid in Capital
SPDR SSgA Multi-Asset Real Return ETF	$	89,690
SPDR SSgA Income Allocation ETF		—
SPDR SSgA Global Allocation ETF		285,159
SPDR Blackstone / GSO Senior Loan ETF		—

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013

At June 30, 2013, the Funds had capital loss carryforwards which may be utilized to offset any net realized capital gains. These losses will not expire and are treated as though the losses were incurred on the first day of the next fiscal year:


	Short Term		Long Term
SPDR SSgA Multi-Asset Real Return ETF	$	636,237	$	60,440
SPDR SSgA Income Allocation ETF		949,441		—
SPDR SSgA Global Allocation ETF		159,781		19,428
SPDR Blackstone / GSO Senior Loan ETF		12,487		—

For the year ended June 30, 2013, there were no significant differences between the book basis and the tax basis character of distributions to shareholders.

The tax character of distributions paid during the years ended June 30, 2012 and June 30, 2013 was as follows:


	Distributions Paid in 2013				Distributions Paid in 2012
	Ordinary Income		Long-term Capital Gains		Ordinary Income		Long-term Capital Gains
SPDR SSgA Multi-Asset Real Return ETF	$	1,773,687	$	—	$	39,652	$	—
SPDR SSgA Income Allocation ETF		3,792,817		—		122,565		—
SPDR SSgA Global Allocation ETF		768,378		—		39,306		—
SPDR Blackstone / GSO Senior Loan ETF		519,534		—		—		—

For the year ended June 30, 2013, there were no significant differences between the book basis and the tax basis of components of net assets other than differences in the net unrealized appreciation (depreciation) in the value of investments attributable to the tax deferral of losses on wash sales, the cumulative return of capital payment, PFICs (Passive Foreign Investment Companies), redemptions in-kind, dividend payables and the deferral of post-October losses.

As of June 30, 2013, the components of distributable earnings on a tax basis were as follows:


	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Net Unrealized Appreciation (Depreciation)
SPDR SSgA Multi-Asset Real Return ETF	$	1,078,131	$	—	$	(10,938,624	)
SPDR SSgA Income Allocation ETF		1,911,699		—		(6,305,198	)
SPDR SSgA Global Allocation ETF		391,864		—		(633,014	)
SPDR Blackstone / GSO Senior Loan ETF		425,759		—		(3,078,590	)

Distributions

Each Fund declares and distributes dividends from net investment income, if any, to its shareholders quarterly (monthly for SPDR Blackstone / GSO Senior Loan ETF). Each Fund declares and distributes net realized capital gains, if any, at least annually. Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles.

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

Advisory Fee

Each Fund has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013

Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:


	Annual Rate*
SPDR SSgA Multi-Asset Real Return ETF		0.70	%
SPDR SSgA Income Allocation ETF		0.70
SPDR SSgA Global Allocation ETF		0.35
SPDR Blackstone / GSO Senior Loan ETF		0.90

The Advisory fee is reduced by the proportional amount of the advisory fee, as well as, for SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF and the SPDR SSgA Global Allocation ETF, acquired fund fees and expenses of each Fund’s respective Portfolio. For the period ended June 30, 2013, the net annualized advisory fee was 0.04%, 0.15%, (0.16)% and 0.60% for the SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF, SPDR SSgA Global Allocation ETF and SPDR Blackstone / GSO Senior Loan ETF, respectively. For the SPDR SSgA Global Allocation ETF the reduction resulted in a fee reimbursement which is identified on the Statement of Operations.

The Adviser pays all operating expenses of each Fund other than management fee, distribution fee pursuant to each Fund’s Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, and other extraordinary expenses.

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

State Street Global Markets, LLC (the “Distributor”), an affiliate of the Adviser, serves as the distributor of the shares of each Fund. Pursuant to a Distribution and Service Plan adopted in accordance with Rule 12b-1 under the 1940 Act, each Fund is authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution-related activities. However, the Board of Trustees has determined that no such payments will be made through at least October 31, 2013 and therefore no such payments have been made.

The Distributor has established an assisted trading program to aid Authorized Participants in certain creation and redemption activity for which the Distributor receives commissions from Authorized Participants. In addition, the Distributor receives compensation from State Street associated with on-line creation and redemption activity of Authorized Participants.

Trustees’ Fees

The Trust, SSgA Master Trust, SPDR Series Trust and SPDR Index Shares Funds pay, in the aggregate, each Independent Trustee an annual fee of $150,000 plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trust also reimburses each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.

4.	Shareholder Transactions

Shares are issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000 shares. Such transactions are generally permitted on an in-kind basis, with a separate cash payment, which is a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees ranging from of $100 to $400 per Creation Unit for each Fund, regardless of the number of Creation Units that are created or redeemed on the same day, are charged to those persons creating or redeeming Creation Units. An additional variable fee may be charged for certain transactions. Transaction fees are received by the Trust and/or Custodian and are used to defray related expenses. The Custodian also receives amounts earned on cash collateral provided by Authorized Participants pending delivery of missing deposit securities. The amounts are included in Other Capital on the Statements of Changes in Net Assets.

SSgA ACTIVE ETF TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

June 30, 2013

To the Shareholders and Board of Trustees of

SSgA Active ETF Trust

We have audited the accompanying statements of assets and liabilities of SSgA Active ETF Trust (comprising, respectively, SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF, SPDR SSgA Global Allocation ETF, and SPDR Blackstone / GSO Senior Loan ETF) (collectively, the “Funds”) as of June 30, 2013, and the related statements of operations, statements of changes in net assets and financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Funds constituting SSgA Active ETF Trust at June 30, 2013, and the results of their operations, the changes in their net assets and their financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

August 29, 2013

SSgA ACTIVE ETF TRUST

OTHER INFORMATION

June 30, 2013 (Unaudited)

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, which may include creation and redemption fees or brokerage charges and (2) ongoing costs, including management fees, trustee fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. It is based on an investment of $1,000 invested on January 1, 2013 and held for the six months ended June 30, 2013.

Actual Expenses

The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. 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 in the first table under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

Hypothetical Example for Comparison Purposes

The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The Funds charge transaction fees at scheduled amounts ranging from $100 to $400 per Creation Unit to those persons creating or redeeming Creation Units. If you buy or sell the Funds’ shares in the secondary market, you will incur customary brokerage commissions and charges.

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 creation and redemption fees, or brokerage charges. Therefore, the second 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	Annualized Expense Ratio			Beginning Account Value 1/1/13		Ending Account Value 6/30/13		Expenses Paid During Period* 1/1/13 to 6/30/13
SPDR SSgA Multi-Asset Real Return ETF		0.25	%	$	1,000	$	913.90	$	1.19
SPDR SSgA Income Allocation ETF		0.35			1,000		983.70		1.72
SPDR SSgA Global Allocation ETF		0.04			1,000		1,019.50		0.20
SPDR Blackstone / GSO Senior Loan ETF**		0.90			1,000		995.20		2.16


Hypothetical (assuming a 5% return before expenses)	Annualized Expense Ratio			Beginning Account Value 1/1/13		Ending Account Value 6/30/13		Expenses Paid During Period* 1/1/13 to 6/30/13
SPDR SSgA Multi-Asset Real Return ETF		0.25	%	$	1,000	$	1,023.56	$	1.25
SPDR SSgA Income Allocation ETF		0.35			1,000		1,023.06		1.76
SPDR SSgA Global Allocation ETF		0.04			1,000		1,024.60		0.20
SPDR Blackstone / GSO Senior Loan ETF**		0.90			1,000		1,020.34		4.51

*	Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by the number of days in the most recent six month period, then divided by 365.

**	Actual period is from commencement of operations 4/3/13. Hypothetical period is from 1/1/13.

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)

Premium/Discount Information

Information regarding how often the Shares of each Fund traded on the Exchange at a price above (i.e. at a premium) or below (i.e. at a discount) the net asset value of the Fund for the past calendar year can be found on the Funds’ website at www.spdrs.com.

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2013.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended June 30, 2013, are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 5% to 15% depending on the individual’s tax bracket. These amounts are noted below:


	Amount
SPDR SSgA Multi-Asset Real Return ETF	$	767,262
SPDR SSgA Income Allocation ETF		977,824
SPDR SSgA Global Allocation ETF		125,926

Qualified Interest Income

The Funds designated a portion of dividends distributed during the fiscal year ended June 30, 2013, as qualified interest income. These amounts are noted below:


	Amount
SPDR Blackstone / GSO Senior Loan ETF	$	115,745

At June 30, 2013, the Funds had foreign source income. These amounts are noted below:


	Amount
SPDR SSgA Multi-Asset Real Return ETF	$	1,220,163
SPDR SSgA Income Allocation ETF		1,436,358
SPDR SSgA Global Allocation ETF		320,893

Foreign Tax Credit

The Trust has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by a Fund to its shareholders. For the year ended June 30, 2013, the total amount of foreign taxes that will be passed through are:


	Amount
SPDR SSgA Multi-Asset Real Return ETF	$	13,006
SPDR SSgA Income Allocation ETF		21,557
SPDR SSgA Global Allocation ETF		3,862

Percentage of distributions which qualify for the corporate dividends received deduction:


	Percentage
SPDR SSgA Multi-Asset Real Return ETF		12.45	%
SPDR SSgA Income Allocation ETF		11.83
SPDR SSgA Global Allocation ETF		20.84
SPDR Blackstone / GSO Senior Loan ETF		0.00

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)

Proxy Voting Policies and Procedures and Records

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

Quarterly Portfolio Schedule

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

Approval of Advisory Agreement

At in-person meetings held prior to June 30, 2013, the Board of Trustees of the Trust (the “Board”) evaluated various proposals related to advisory arrangements for new series of the Trusts, including a proposal to approve the Investment Advisory Agreements (the “Agreement”) with respect to the SPDR Blackstone / GSO Senior Loan ETF, a new series of the Trust (the “New ETF”), and its underlying master fund, the Blackstone / GSO Senior Loan Portfolio, both of which commenced operations during the most recent fiscal half-year period covered by this Annual Report. The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”) also met separately with their independent legal counsel to consider the Agreement.

In evaluating the Agreement, the Board drew on materials provided to them by the Adviser and on other materials provided by State Street Bank and Trust Company, the Trust’s Administrator, Transfer Agent and Custodian (“State Street”). In deciding whether to approve the Agreement, the Board considered various factors, including (i) the nature, extent and quality of services to be provided by the Adviser with respect to the New ETF under the Agreement, (ii) costs to the Adviser of its services, and (iii) the extent to which economies of scale would be realized if and as the New ETF grows and whether the fee in the Agreement reflects these economies of scale.

The Board considered the nature, extent and quality of services to be provided by the Adviser. In doing so, they relied on their prior experience with the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the Adviser’s anticipated responsibilities for managing investment operations of the New ETF, in accordance with the New ETF’s investment objective and policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the New ETF, as an exchange-traded fund in a master-feeder structure, and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for oversight of the sub-adviser for, and compliance of, the New ETF. The Board also considered the portfolio oversight resources, structures and practices of the Adviser, including those associated with monitoring and securing the New ETF’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment business and that of its affiliates which make up State Street Global Advisors, with which the Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for ETFs. The Board also considered the Adviser’s experience in active management, in managing exchange-traded funds, in overseeing third-party sub-advisers, and in master-feeder structures.

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

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)

as assets of the Fund increase. However, the Board further noted the Adviser’s assertion that future economies of scale had been taken into consideration for the New ETF by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the New Fund from inception. The Board noted that it intends to continue to monitor fees as the New ETF grows in size and assess whether fee breakpoints may be warranted.

The Board evaluated the New ETF’s unitary fee through review of comparative information with respect to fees paid by similar funds — i.e., exchange-traded funds that are actively managed, as applicable. The Board reviewed the universe of similar exchange-traded funds for the New ETF based upon data from Lipper Analytical Services and related comparative information for similar exchange-traded funds. The Board also reviewed the estimated expense ratio for the New ETF, noting the differences in fees between the feeder and corresponding master fund in connection with the master-feeder structure.

The Board, including the Independent Trustees voting separately, approved the Agreement for the New ETF after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to the Agreement were as follows: (a) the nature and extent of the services expected to be provided by the Adviser with respect to the New ETF were appropriate; (b) the Adviser’s fee for the New ETF and the unitary fee, considered in relation to services expected to be provided, were fair and reasonable; (c) any additional benefits to the Adviser were not of a magnitude materially to affect the Board’s conclusions; and (d) fees expected to be paid to the Adviser were expected to share economies of scale with respect to the New ETF by way of the relatively low fee structure of the Trust.

At in-person meetings held prior to June 30, 2013, the Board also considered the approval of a Sub-Advisory Agreement (the “Blackstone / GSO Sub-Advisory Agreement”) between the SSgA Master Trust and GSO / Blackstone Debt Funds Management LLC (“Blackstone / GSO”) with respect to the Blackstone / GSO Senior Loan Portfolio (the “New Portfolio”) which would serve as the master fund for the New ETF.

In evaluating the Blackstone / GSO Sub-Advisory Agreement, the Board drew on materials provided to them by Blackstone / GSO and the Adviser. In deciding whether to approve the Blackstone / GSO Sub-Advisory Agreement, the Board considered various factors, including: (i) the nature, extent and quality of services expected to be provided by Blackstone / GSO with respect to the New Portfolio under the Blackstone / GSO Sub-Advisory Agreement; and (ii) investment performance of customized credit strategies, including senior secured loan strategies, managed by Blackstone / GSO. The Board was apprised of the portion of the current advisory fee that the Adviser would pay to Blackstone / GSO under the Blackstone / GSO Sub-Advisory Agreement and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the New Portfolio.

The Board considered the background and experience of Blackstone / GSO’s senior management and in particular Blackstone / GSO’s experience in investing in senior secured loans. The Board noted that Blackstone / GSO would bring significant senior secured loan experience to bear in managing the New Portfolio. The Board noted that Blackstone / GSO has extensive experience in managing senior loan portfolios and reviewed Blackstone / GSO’s assets under management in portfolios of senior loans for a wide array of closed-end funds, hedge funds and other accounts.

The Board, including the Independent Trustees voting separately, approved the Blackstone / GSO Sub-Advisory Agreement for the New Portfolio after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to the Agreement were as follows: (a) the nature and extent of the services expected to be provided by Blackstone / GSO to the New Portfolio were adequate and appropriate; and (b) Blackstone / GSO’s experience in managing senior loan portfolios is extensive.

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)

TRUSTEES

Name, Address

and Year of Birth

Position(s)
with Fund

Term of
Office and

Length of

Time Served

Principal

Occupation(s)

During Past

5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other

Directorships

Held by Trustee

Independent Trustees

FRANK NESVET
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1943

Independent
Trustee,
Chairman,
Trustee
Committee
Chair

Term: Unlimited

Served: since March 2011

Chief Executive Officer, Libra Group, Inc. (1998-present) (a financial services consulting company).

170

SPDR Series Trust

(Trustee); SPDR Index Shares Funds (Trustee); SSgA Master Trust (Trustee).

DAVID M. KELLY
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1938

Independent

Trustee,
Audit
Committee
Chair

Term: Unlimited

Served: since March 2011

Retired.

170

Penson Worldwide Inc. (Director) (retired in March 2013); SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Master Trust (Trustee).

BONNY EUGENIA BOATMAN
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1950

Independent
Trustee

Term: Unlimited

Served: since March 2011

Retired; Managing Director, Columbia Management Group, Bank of America (1984-2005).

170

SPDR Series

Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Master Trust (Trustee).

DWIGHT D. CHURCHILL
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1953

Independent
Trustee

Term: Unlimited

Served: since March 2011

Self-employed consultant since 2010; Head of Fixed Income and other Senior Management roles, Fidelity Investments (1993-2009).

170

Affiliated Managers Group, Inc. (Director); SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Master Trust (Trustee).

CARL G. VERBONCOEUR
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1952

Independent
Trustee

Term: Unlimited

Served: since March 2011

Self-employed consultant since 2009; Chief Executive Officer, Rydex Investments (2003-2009).

170

The Motley Fool Funds Trust (Trustee); SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Master Trust (Trustee).

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)

Name, Address

and Year of Birth

Position(s)
with Fund

Term of
Office and

Length of

Time Served

Principal

Occupation(s)

During Past

5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other

Directorships

Held by Trustee

Interested Trustee

JAMES E. ROSS*
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
1965

Interested

Trustee

Term: Unlimited

Served: since March 2011

Chairman and Director, SSgA Funds Management, Inc. (2005-present); President, SSgA Funds Management, Inc. (2005-2012); Senior Managing Director, State Street Global Advisors (2006-present); Principal State Street Global Advisors (2006-present).

201

SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Master Trust (Trustee); Select Sector SPDR Trust (Trustee); State Street Master Funds (Trustee); and State Street Institutional

Investment Trust

(Trustee).

*	Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009.

OFFICERS


Name, Address and Year of Birth	Position(s) with Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
ELLEN M. NEEDHAM SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967	President	Term: Unlimited Served: since March 2011	President and Director, SSgA Funds Management, Inc. (June 2012-present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010-June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992-2012); Senior Managing Director, State Street Global Advisors (1992-present).
ANN M. CARPENTER SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966	Vice President	Term: Unlimited Served: since August 2012	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2005-present).*
MICHAEL P. RILEY SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Vice President	Term: Unlimited Served: since March 2011	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-present); Principal, State Street Global Advisors and SSgA Funds Management, Inc. (2005-2008).
CHRISTOPHER A. MADDEN** State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1967	Secretary	Term: Unlimited Served: since August 2013	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Counsel, Atlantic Fund Services (2009-2013); Vice President, Citigroup Fund Services, LLC (2005-2009).*

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)


Name, Address and Year of Birth	Position(s) with Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
DANIO MASTROPIERI** State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1972	Assistant Secretary	Term: Unlimited Served: since August 2013	Vice President and Counsel, State Street Bank and Trust Company (2013-present); Vice President, Citi Fund Services Ohio, Inc. (2007-2013).*
MARK E. TUTTLE State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1970	Assistant Secretary	Term: Unlimited Served: since March 2011	Vice President and Counsel, State Street Bank and Trust Company (2007-present); Assistant Counsel, BISYS Group, Inc. (2005-2007) (a financial services company).
CHAD C. HALLETT State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1969	Treasurer	Term: Unlimited Served: since March 2011	Vice President, State Street Bank and Trust Company (2001-present).*
MATTHEW FLAHERTY State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1971	Assistant Treasurer	Term: Unlimited Served: since March 2011	Vice President, State Street Bank and Trust Company (1994-present).*
LAURA F. DELL State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1964	Assistant Treasurer	Term: Unlimited Served: since March 2011	Vice President, State Street Bank and Trust Company (2002-present).*
JACQUELINE ANGELL State Street Bank and Trust Company 20 Churchill Place London, UK E14 5HJ 1974	Chief Compliance Officer	Term: Unlimited Served: since March 2011	Head of UK Compliance, State Street Bank and Trust Company (July 2012-present); Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-2012); Director of Investment Adviser Oversight, Fidelity Investments (2006-2008).

*	Served in various capacities and/or with various affiliated companies during noted time period.

**	The Officers table is reflective of information as of August 21, 2013.

The SPDR^® Family of Exchange Traded Funds

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

SPDR Series Trust

SPDR Russell 3000^® ETF (THRK)

SPDR Russell 1000 ETF (ONEK)

SPDR Russell 2000 ETF (TWOK)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR Russell Small Cap Completeness ETF (RSCO)

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

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

SPDR S&P 600 Small Cap ETF (SLY)

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

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

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Mortgage Finance ETF (KME)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

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

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

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR S&P 1500 Value Tilt ETF (VLU)

SPDR Russell 1000 Low Volatility ETF (LGLV)

SPDR Russell 2000 Low Volatility ETF (SMLV)

SPDR Wells Fargo Preferred Stock ETF (PSK)

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

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays 1-10 Year TIPS ETF (TIPX)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SDPR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (LAG)

SPDR Nuveen Barclays Municipal Bond ETF (TFI)

SPDR Nuveen Barclays California Municipal Bond ETF (CXA)

SPDR Nuveen Barclays New York Municipal Bond ETF (INY)

SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)

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

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

SPDR Nuveen Barclays Build America Bond ETF (BABS)

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

SPDR Barclays Short Term International Treasury Bond ETF (BWZ)

SPDR Barclays International Treasury Bond ETF (BWX)

SPDR Barclays International Corporate Bond ETF (IBND)

SPDR Barclays Emerging Markets Local Bond ETF (EBND)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

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

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (XOVR)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR S&P Emerging Asia Pacific ETF (GMF)

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

SPDR S&P Russia ETF (RBL)

SPDR S&P China ETF (GXC)

SPDR S&P Emerging Markets ETF (GMM)

SPDR S&P Emerging Markets Dividend ETF (EDIV)

SPDR S&P BRIC 40 ETF (BIK)

SPDR S&P Emerging Europe ETF (GUR)

SPDR S&P Emerging Latin America ETF (GML)

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

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

SPDR S&P International Small Cap ETF (GWX)

SPDR Dow Jones International Real Estate ETF (RWX)

SPDR S&P Global Infrastructure ETF (GII)

SPDR S&P Global Natural Resources ETF (GNR)

SPDR MSCI ACWI ex-US ETF (CWI)

SPDR MSCI ACWI IMI ETF (ACIM)

SPDR MSCI EM 50 ETF (EMFT)

SPDR Russell/Nomura PRIME^TM Japan ETF (JPP)

SPDR Russell/Nomura Small Cap^TM Japan ETF (JSC)

SPDR S&P Global Dividend ETF (WDIV)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

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

SPDR Dow Jones Global Real Estate ETF (RWO)

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

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

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

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

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The Health Care Select Sector SPDR Fund (XLV)

The Industrial Select Sector SPDR Fund (XLI)

The Materials Select Sector SPDR Fund (XLB)

The Technology Select Sector SPDR Fund (XLK)

The Utilities Select Sector SPDR Fund (XLU)

SSgA Active ETF Trust

SPDR SSgA Multi-Asset Real Return ETF (RLY)

SPDR SSgA Income Allocation ETF (INKM)

SPDR SSgA Global Allocation ETF (GAL)

SPDR Blackstone / GSO Senior Loan ETF (SRLN)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

State Street Global Markets, LLC, member FINRA, SIPC, is distributor for all investment portfolios of SPDR Series Trust, SPDR Index Shares Funds, and SSgA Active ETF Trust. ALPS Distributors, Inc., a registered broker-dealer, is distributor for SPDR S&P 500 ETF Trust (SPY) and SPDR Dow Jones Industrial Average ETF Trust (DIA), both unit investment trusts, and all investment portfolios of The Select Sector SPDR Trust.

SSgA Active ETF Trust

TRUSTEES

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

OFFICERS

Ellen M. Needham, President

Ann Carpenter, Vice President

Michael P. Riley, Vice President

Chad C. Hallett, Treasurer

Matthew W. Flaherty, Assistant Treasurer

Laura F. Dell, Assistant Treasurer

Christopher A. Madden, Secretary

Mark E. Tuttle, Assistant Secretary

Danio Mastropieri, Assistant Secretary

Jacqueline Angell, Chief Compliance Officer

INVESTMENT MANAGER

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

DISTRIBUTOR

State Street Global Markets, LLC

One Lincoln Street

Boston, MA 02111

CUSTODIAN, ADMINISTRATORAND TRANSFER AGENT

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

LEGAL COUNSEL

Bingham McCutchen LLP

2020 K Street, NW

Washington, DC 20006

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Fund Shares are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street

Corporation. State Street Global Markets, LLC; member FINRA, SIPC.

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.

SSgA Master Trust

Annual Report June 30, 2013

TABLE OF CONTENTS


Portfolio Summary
SSgA Multi-Asset Real Return Portfolio			1
SSgA Income Allocation Portfolio			2
SSgA Global Allocation Portfolio			3
Blackstone / GSO Senior Loan Portfolio			4
Schedules of Investments
SSgA Multi-Asset Real Return Portfolio			5
SSgA Income Allocation Portfolio			6
SSgA Global Allocation Portfolio			7
Blackstone / GSO Senior Loan Portfolio			8
Financial Statements			13
Financial Highlights			18
Notes to Financial Statements			20
Report of Independent Registered Public Accounting Firm			28
Other Information			29

LOGO

SSgA MULTI-ASSET REAL RETURN PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2013



DESCRIPTION	SPDR S&P GLOBAL NATURAL RESOURCES ETF	SPDR BARCLAYS TIPS ETF	SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF	SPDR DOW JONES REIT ETF	POWERSHARES DB COMMODITY INDEX TRACKING FUND
MARKET VALUE	$38,987,974	16,006,716	14,743,808	13,035,147	12,120,350
% OF NET ASSETS	32.1	13.2	12.1	10.7	10.0

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

ASSET ALLOCATION AS OF JUNE 30, 2013*


	PERCENT OF NET ASSETS
Natural Resources		43.6	%
Real Estate		22.9
Inflation Linked		21.7
Commodities		10.9
Short Term Investments		0.1
Other Assets & Liabilities		0.8
TOTAL		100.0	%

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

LOGO

SSgA INCOME ALLOCATION PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2013



DESCRIPTION	SPDR BARCLAYS LONG TERM CORPORATE BOND ETF	SPDR S&P DIVIDEND ETF	SPDR WELLS FARGO PREFERRED STOCK ETF	SPDR BARCLAYS LONG TERM TREASURY ETF	SPDR S&P INTERNATIONAL DIVIDEND ETF
MARKET VALUE	$26,924,923	26,492,087	19,949,383	13,616,919	10,340,074
% OF NET ASSETS	15.5	15.2	11.4	7.8	5.9

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

ASSET ALLOCATION AS OF JUNE 30, 2013*


	PERCENT OF NET ASSETS
Domestic Fixed Income		30.2	%
Domestic Equity		28.7
International Equity		21.1
Real Estate		8.4
International Fixed Income		5.4
Inflation Linked		4.8
Short Term Investments		0.4
Other Assets & Liabilities		1.0
TOTAL		100.0	%

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

LOGO

SSgA GLOBAL ALLOCATION PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2013



DESCRIPTION	SPDR S&P WORLD EX-US ETF	SPDR S&P 500 ETF TRUST	SPDR BARCLAYS AGGREGATE BOND ETF	SPDR RUSSELL/ NOMURA PRIME JAPAN ETF	SPDR WELLS FARGO PREFERRED STOCK ETF
MARKET VALUE	$9,519,923	7,152,447	6,243,757	2,698,669	2,572,381
% OF NET ASSETS	18.3	13.8	12.0	5.2	5.0

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

ASSET ALLOCATION AS OF JUNE 30, 2013*


	PERCENT OF NET ASSETS
Domestic Equity		31.9	%
International Equity		31.4
Domestic Fixed Income		20.1
Inflation Linked		4.9
Real Estate		4.0
International Fixed Income		3.9
Short Term Investments		3.2
Other Assets & Liabilities		0.6
TOTAL		100.0	%

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

LOGO

BLACKSTONE / GSO SENIOR LOAN PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2013



DESCRIPTION	ONEX CARESTREAM FINANCE LP, SENIOR SECURED FIRST LIEN TERM LOAN, 5.00%, 6/7/19	ALPHA D2, LTD., SENIOR SECURED TERM LOAN B, LIBOR + 3.50%, 4/30/19	SEQUA CORP., SENIOR SECURED TERM LOAN B, 5.25%, 6/19/17	US FOODS, INC., SENIOR SECURED TERM LOAN, LIBOR + 3.50%, 3/29/19	BASS PRO GROUP LLC, SENIOR SECURED TERM LOAN, 4.00%, 11/20/19
MARKET VALUE	$4,698,060	4,596,737	4,512,451	4,426,699	3,998,812
% OF NET ASSETS	1.4	1.4	1.4	1.3	1.2

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2013*


INDUSTRY	PERCENT OF NET ASSETS
Media		8.0	%
Hotels, Restaurants & Leisure		6.2
Health Care Providers & Services		5.8
Specialty Retail		4.9
Commercial Services & Supplies		4.4
Diversified Telecommunication Services		4.3
Health Care Equipment & Supplies		3.8
Food & Staples Retailing		3.4
Software		3.2
Independent Power Producers & Energy Traders		3.1
Diversified Consumer Services		2.4
Oil, Gas & Consumable Fuels		2.4
Airlines		2.2
Insurance		2.2
Containers & Packaging		1.9
Food Products		1.8
Aerospace & Defense		1.5
Building Products		1.5
Capital Markets		1.5
Leisure Equipment & Products		1.5
Life Sciences Tools & Services		1.5
Professional Services		1.5
Industrial Conglomerates		1.4
Chemicals		1.2
Communications Equipment		1.2
IT Services		1.2


INDUSTRY	PERCENT OF NET ASSETS
Internet Software & Services		1.2	%
Auto Components		1.0
Household Durables		1.1
Biotechnology		0.9
Health Care Technology		0.9
Multiline Retail		0.9
Personal Products		0.8
Wireless Telecommunication Services		0.8
Automobiles		0.6
Diversified Financial Services		0.6
Metals & Mining		0.6
Real Estate Management & Development		0.6
Road & Rail		0.6
Semiconductors & Semiconductor Equipment		0.6
Textiles, Apparel & Luxury Goods		0.6
Trading Companies & Distributors		0.6
Air Freight & Logistics		0.5
Beverages		0.5
Electrical Equipment		0.3
Pharmaceuticals		0.3
Electric Utilities		0.2
Multi-Utilities		0.2
Short Term Investments		28.9
Other Assets & Liabilities		(17.3	)
TOTAL		100.0	%

The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time.

SSgA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2013


Security Description	Shares		Value


EXCHANGE TRADED PRODUCTS — 99.1%
COMMODITIES — 10.9%
PowerShares DB Commodity Index Tracking Fund (a)		482,306	$	12,120,350
PowerShares DB Gold Fund (a)		26,625		1,109,730
PowerShares DB Oil Fund (a)		632		16,381

				13,246,461

INFLATION LINKED — 21.7%
SPDR Barclays TIPS ETF (b)		288,046		16,006,716
SPDR DB International Government Inflation-Protected Bond ETF (b)		179,144		10,313,320

				26,320,036

NATURAL RESOURCES — 43.6%
Market Vectors Gold Miners ETF		43,285		1,056,587
PowerShares Global Agriculture Portfolio		162,756		4,760,613
SPDR S&P Global Natural Resources ETF (b)		866,592		38,987,974
SPDR S&P International Energy Sector ETF (b)		103,539		2,396,928
SPDR S&P Metals & Mining ETF (b)		103,088		3,415,306
The Energy Select Sector SPDR Fund (b)		31,198		2,444,675

				53,062,083

REAL ESTATE — 22.9%
SPDR Dow Jones International Real Estate ETF (b)		369,519		14,743,808
SPDR Dow Jones REIT ETF (b)		171,628		13,035,147

				27,778,955

TOTAL EXCHANGE TRADED PRODUCTS — (Cost $131,016,414)				120,407,535

SHORT TERM INVESTMENT — 0.1%
MONEY MARKET FUND — 0.1%
State Street Institutional Liquid Reserves Fund 0.09% (b) (c) (Cost $154,629)		154,629		154,629

TOTAL INVESTMENTS — 99.2% (d) (Cost $131,171,043)				120,562,164
OTHER ASSETS & LIABILITIES — 0.8%				1,021,820

NET ASSETS — 100.0%			$	121,583,984

(a)	Qualified Publicly Traded Partnerships.

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

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

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

See accompanying notes to financial statements.

SSgA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2013


Security Description	Shares		Value


EXCHANGE TRADED PRODUCTS — 98.6%
DOMESTIC EQUITY — 28.7%
SPDR S&P Dividend ETF (a)		399,579	$	26,492,087
SPDR Wells Fargo Preferred Stock ETF (a)		458,923		19,949,383
The Financial Select Sector SPDR Fund (a)		91,613		1,785,537
The Technology Select Sector SPDR Fund (a)		59,725		1,826,988

				50,053,995

DOMESTIC FIXED INCOME — 30.2%
SPDR Barclays Convertible Securities ETF (a)		20,742		885,269
SPDR Barclays High Yield Bond ETF (a)		174,086		6,874,656
SPDR Barclays Long Term Corporate Bond ETF (a)		713,243		26,924,923
SPDR Barclays Long Term Treasury ETF (a)		212,247		13,616,919
SPDR Barclays Short Term High Yield Bond ETF (a)		58,976		1,779,896
SPDR Nuveen Barclays Build America Bond ETF (a)		46,701		2,591,438

				52,673,101

INFLATION LINKED — 4.8%
SPDR Barclays TIPS ETF (a)		149,424		8,303,492

INTERNATIONAL EQUITY — 21.1%
SPDR S&P Global Infrastructure ETF (a)		249,730		10,158,767
SPDR S&P Emerging Markets Dividend ETF (a)		224,002		8,693,517
SPDR S&P International Dividend ETF (a)		236,886		10,340,074
SPDR S&P International Telecommunications Sector ETF (a)		106,930		2,476,499
SPDR STOXX Europe 50 ETF (a)		152,694		5,041,956

				36,710,813

INTERNATIONAL FIXED INCOME — 5.4%
SPDR Barclays Emerging Markets Local Bond ETF (a)		175,002		5,188,809
SPDR Barclays International Corporate Bond ETF (a)		122,066		4,192,967

				9,381,776

REAL ESTATE — 8.4%
SPDR Dow Jones International Real Estate ETF (a)		214,867		8,573,193
SPDR Dow Jones REIT ETF (a)		81,004		6,152,254

				14,725,447

TOTAL EXCHANGE TRADED PRODUCTS — (Cost $178,006,328)				171,848,624


Security Description	Shares		Value


SHORT TERM INVESTMENT — 0.4%
MONEY MARKET FUND — 0.4%
State Street Institutional Liquid Reserves Fund 0.09% (a) (b) (Cost $620,536)		620,536	$	620,536

TOTAL INVESTMENTS — 99.0% (c) (Cost $178,626,864)				172,469,160
OTHER ASSETS & LIABILITIES — 1.0%				1,785,668

NET ASSETS — 100.0%			$	174,254,828

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

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

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

See accompanying notes to financial statements.

SSgA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2013


Security Description	Shares		Value


EXCHANGE TRADED PRODUCTS — 96.2%
DOMESTIC EQUITY — 31.9%
SPDR S&P 500 ETF Trust (a)		44,700	$	7,152,447
SPDR S&P 500 Value ETF (a)		18,869		1,550,088
SPDR S&P 600 Small Cap ETF (a)		18,111		1,572,578
SPDR S&P Dividend ETF (a)		8,746		579,860
SPDR S&P MidCap 400 ETF Trust (a)		4,927		1,036,542
SPDR Wells Fargo Preferred Stock ETF (a)		59,176		2,572,381
The Consumer Discretionary Select Sector SPDR Fund (a)		18,730		1,056,372
The Financial Select Sector SPDR Fund (a)		53,233		1,037,511

				16,557,779

DOMESTIC FIXED INCOME — 20.1%
SPDR Barclays Aggregate Bond ETF (a)		109,790		6,243,757
SPDR Barclays High Yield Bond ETF (a)		25,999		1,026,701
SPDR Barclays Intermediate Term Corporate Bond ETF (a)		46,629		1,566,035
SPDR Barclays Long Term Corporate Bond ETF (a)		28,079		1,059,982
SPDR Barclays Short Term High Yield Bond ETF (a)		17,294		521,933

				10,418,408

INFLATION LINKED — 4.9%
SPDR Barclays TIPS ETF (a)		32,448		1,803,136
SPDR DB International Government Inflation-Protected Bond ETF (a)		13,281		764,587

				2,567,723

INTERNATIONAL EQUITY — 31.4%
SPDR Russell/Nomura PRIME Japan ETF (a)		63,112		2,698,669
SPDR S&P Emerging Markets ETF (a)		26,308		1,568,220
SPDR S&P International Small Cap ETF (a)		53,091		1,531,144
SPDR S&P World ex-US ETF (a)		378,827		9,519,923
SPDR STOXX Europe 50 ETF (a)		30,060		992,581

				16,310,537

INTERNATIONAL FIXED INCOME — 3.9%
SPDR Barclays Emerging Markets Local Bond ETF (a)		1,014		30,065
SPDR Barclays International Corporate Bond ETF (a)		44,149		1,516,518
SPDR Barclays International Treasury Bond ETF (a)		8,626		485,472

				2,032,055

REAL ESTATE — 4.0%
SPDR Dow Jones International Real Estate ETF (a)		25,764		1,027,983
SPDR Dow Jones REIT ETF (a)		13,662		1,037,629

				2,065,612

TOTAL EXCHANGE TRADED PRODUCTS — (Cost $50,474,287)				49,952,114


Security Description	Shares		Value


SHORT TERM INVESTMENT — 3.2%
MONEY MARKET FUND — 3.2%
State Street Institutional Liquid Reserves Fund 0.09% (a) (b) (Cost $1,648,718)		1,648,718	$	1,648,718

TOTAL INVESTMENTS — 99.4% (c) (Cost $52,123,005)				51,600,832
OTHER ASSETS & LIABILITIES — 0.6%				334,777

NET ASSETS — 100.0%			$	51,935,609

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

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

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

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2013


Security Description	Principal Amount		Value


*SENIOR FLOATING RATE LOANS — 84.6%**
AEROSPACE & DEFENSE — 1.5%
Booz Allen Hamilton, Inc., Senior Secured Term Loan B, 4.50%, 7/31/19	$	1,994,975	$	1,998,097
DigitalGlobe, Inc., Senior Secured Term Loan B, 3.75%, 1/31/20		1,995,000		1,992,506
Spirit Aerosystems, Inc., Senior Secured Term Loan B, LIBOR + 3.00%, 4/18/19		1,000,000		1,009,795

				5,000,398

AIR FREIGHT & LOGISTICS — 0.5%
Kenan Advantage Group, Inc., Senior Secured Term Loan, 3.75%, 6/10/16		1,705,144		1,712,963

AIRLINES — 2.2%
Delta Air Lines, Inc.
Senior Secured Term Loan B, LIBOR + 3.25%, 4/20/17		2,000,000		2,011,870
Senior Secured Term Loan B1, 4.00%, 10/18/18		1,000,000		1,001,965
United Airlines, Inc., Senior Secured Term Loan B, 4.00%, 3/22/19		2,000,000		2,001,250
US Airways Group, Inc., Senior Secured Term Loan B1, 4.25%, 5/23/19		2,287,402		2,263,796

				7,278,881

AUTO COMPONENTS — 1.0%
Affinia Group Intermediate Holdings, Inc., Senior Secured Term Loan B2, LIBOR + 3.50%, 4/15/20		2,000,000		1,997,500
Allison Transmission, Inc., Senior Secured Term Loan B3, 4.25%, 8/23/19		1,496,231		1,503,248

				3,500,748

AUTOMOBILES — 0.6%
Chrysler Group LLC, Senior Secured Term Loan B, 4.25%, 5/24/17		2,000,000		2,010,630

BEVERAGES — 0.5%
Constellation Brands, Inc., Senior Secured Term Loan, 2.75%, 5/1/20		1,600,000		1,597,848

BIOTECHNOLOGY — 0.9%
Grifols, Inc., Senior Secured Term Loan B, LIBOR + 3.25%, 6/1/17		2,990,135		3,007,896

BUILDING PRODUCTS — 1.5%
ABC Supply Co., Inc., Senior Secured Term Loan, 3.50%, 4/16/20		2,082,164		2,070,973
Apex Tool Group LLC, Senior Secured Term Loan B, 4.50%, 1/31/20		2,000,000		2,004,000
Armstrong World Industries, Inc., Senior Secured Term Loan B, 3.50%, 3/16/20		997,500		999,011

				5,073,984

CAPITAL MARKETS — 1.5%
LPL Holdings, Inc., Senior Secured Increment Trench Term Loan B, 3.25%, 3/29/19		1,926,782		1,924,373


Security Description	Principal Amount		Value


RPI Finance Trust
Senior Secured Term Loan, 3.50%, 5/9/18	$	1,990,715	$	1,998,678
Senior Secured Term Loan, 4.00%, 11/9/18		990,719		993,820

				4,916,871

CHEMICALS — 1.2%
Axalta Coating Systems US Holdings, Inc., Senior Secured Term Loan, 4.75%, 2/3/20		1,995,000		1,998,252
Ineos US Finance LLC, Senior Secured 6 Year Term Loan, 4.00%, 5/4/18		1,979,178		1,942,385

				3,940,637

COMMERCIAL SERVICES & SUPPLIES — 4.1%
ADS Waste Holdings, Inc., Senior Secured Term Loan B, 4.25%, 10/9/19		1,994,987		1,992,993
Aramark Corp.
Senior Secured Term Loan D, LIBOR + 3.00%, 3.78%, 9/9/19		2,000,000		2,000,000
Senior Secured Extended Term Loan C, 3.78%, 7/26/16		2,000,000		2,003,240
Asurion LLC, Senior Secured Term Loan B1, 4.50%, 5/24/19		2,493,734		2,475,655
KAR Auction Services, Inc., Senior Secured Term Loan B, 3.75%, 5/19/17		3,000,000		3,028,380
West Corp., Senior Secured Term Loan B8, 3.75%, 6/29/18		1,998,821		1,995,493

				13,495,761

COMMUNICATIONS EQUIPMENT — 1.2%
Alcatel-Lucent USA, Inc., Senior Secured Term Loan C, 7.25%, 1/30/19		1,994,987		2,017,850
Blue Coat Systems, Inc., Senior Secured Term Loan, 4.50%, 5/31/19		2,063,393		2,057,368

				4,075,218

CONTAINERS & PACKAGING — 1.9%
Berry Plastics Holding Corp., Senior Secured Term Loan D, 3.50%, 2/7/20		1,995,000		1,976,736
Consolidated Container Co. LLC, Senior Secured Term Loan, 5.00%, 7/3/19		1,994,975		2,006,885
Reynolds Group Holdings, Inc., Senior Secured New Dollar Term Loan, 4.75%, 9/28/18		2,493,719		2,504,366

				6,487,987


DIVERSIFIED CONSUMER SERVICES — 2.1%
Bright Horizons Family Solutions, Inc., Senior Secured Term Loan B, LIBOR + 3.00%, 1/30/20		2,992,481		3,007,070
ServiceMaster Co.
Senior Secured Term Loan, 4.25%, 1/31/17		997,494		987,105
Senior Secured Extended Term Loan, 4.45%, 1/31/17		997,481		989,795

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2013


Security Description	Principal Amount		Value


Weight Watchers International, Inc., Senior Secured Term Loan B2, 3.75%, 4/2/20	$	2,000,000	$	1,991,750

				6,975,720

DIVERSIFIED FINANCIAL SERVICES — 0.6%
AlixPartners LLP, Senior Secured Term Loan B2, 4.50%, 6/28/19		1,994,987		2,004,344

DIVERSIFIED TELECOMMUNICATION SERVICES — 4.3%
Global Tel*Link Corp., Senior Secured First Lien Term Loan, 5.00%, 5/22/20		1,928,571		1,924,955
Intelsat Jackson Holdings, Ltd., Senior Secured Term Loan B1, 4.25%, 4/2/18		1,997,494		2,004,235
Light Tower Fiber LLC, Senior Secured First Lien Term Loan, 4.50%, 4/13/20		2,500,000		2,489,075
Telesat LLC, Senior Secured Term Loan B, LIBOR + 2.75%, 4.25%, 3/28/19		1,995,000		2,001,235
Virgin Media Investment Holdings, Ltd., Senior Secured Term Loan B, LIBOR + 2.75%, 6/8/20		2,000,000		1,981,950
Windstream Corp., Senior Secured Term Loan B4, 3.50%, 1/23/20		2,000,000		2,005,940
Zayo Group LLC, Senior Secured Term Loan B, 4.50%, 7/2/19		1,994,962		1,996,618

				14,404,008

ELECTRIC UTILITIES — 0.2%
Calpine Construction Finance Company LP, Senior Secured Term Loan B2, 3.25%, 1/31/22		793,651		780,758

ELECTRICAL EQUIPMENT — 0.3%
Generac Power Systems, Inc., Senior Secured Term Loan B, 3.50%, 5/29/20		1,006,197		1,001,166

FOOD & STAPLES RETAILING — 3.4%
BJ’s Wholesale Club, Inc., Senior Secured Replacement Term Loan, 4.25%, 9/26/19		2,495,000		2,490,322
Sprouts Farmers Markets Holdings LLC, Senior Secured Term Loan, 4.50%, 4/23/20		2,000,000		2,002,500
Supervalu, Inc., Senior Secured Term Loan B, LIBOR + 4.00%, 3/21/19		2,492,203		2,481,299
US Foods, Inc., Senior Secured Term Loan, LIBOR + 3.50%, 3/29/19		4,463,523		4,426,699

				11,400,820

FOOD PRODUCTS — 1.8%
AdvancePierre Foods, Inc., Senior Secured Term Loan, 5.75%, 7/10/17		2,000,000		2,011,250
Del Monte Foods Co., Senior Secured Term Loan, 4.00%, 3/8/18		1,944,443		1,941,205


Security Description	Principal Amount		Value


H.J. Heinz Co., Senior Secured Term Loan B2, LIBOR + 2.50%, 6/5/20	$	2,000,000	$	2,002,160

				5,954,615

HEALTH CARE EQUIPMENT & SUPPLIES — 3.8%
Hologic, Inc., Senior Secured Term Loan B, 4.50%, 8/1/19		2,033,290		2,042,053
Immucor, Inc., Senior Secured Term Loan B2, 5.00%, 8/17/18		2,997,494		3,013,980
Kinetic Concepts, Inc., Senior Secured Term Loan D1, 4.50%, 5/4/18		2,934,077		2,943,980
Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 5.00%, 6/7/19		4,741,779		4,698,060

				12,698,073

HEALTH CARE PROVIDERS & SERVICES — 5.8%
Air Medical Group Holdings, Inc., Senior Unsecured Term Loan, 6.50%, 6/30/18 (a)		997,494		1,014,327
CHG Buyer Corp., Senior Secured First Lien Term Loan, 5.00%, 11/22/19		2,862,957		2,879,948
DaVita, Inc., Senior Secured Term Loan B, 4.50%, 10/20/16		2,992,327		3,009,159
HCA, Inc.
Senior Secured Extended Term Loan, 2.95%, 5/1/18		1,764,706		1,758,909
Senior Secured Term Loan B5, 3.03%, 3/31/17		1,000,000		996,565
Health Management Associates, Inc., Senior Secured Term Loan B, 3.50%, 11/16/18		3,092,152		3,088,936
Iasis Healthcare LLC, Senior Secured Term Loan B2, 4.50%, 5/3/18		2,997,494		2,996,744
Sheridan Holdings, Inc., Senior Secured Term Loan, 4.50%, 6/29/18		1,569,650		1,575,536
Truven Health Analytics, Inc., Senior Secured Term Loan B, 4.50%, 6/1/19		1,882,029		1,880,863

				19,200,987

HEALTH CARE TECHNOLOGY — 0.9%
IMS Health, Inc., Senior Secured Term Loan B1, 3.75%, 9/1/17		3,000,000		3,003,120


HOTELS, RESTAURANTS & LEISURE — 6.2%
Alpha D2, Ltd., Senior Secured Term Loan B, LIBOR + 3.50%, 4/30/19		4,595,588		4,596,737
California Pizza Kitchen, Inc., Senior Secured Term Loan, 5.26%, 3/29/18		1,000,000		1,002,500
DineEquity, Inc., Senior Secured Term Loan B2, 3.75%, 10/19/17		775,924		778,970
Dunkin’ Brands, Inc., Senior Secured Term Loan B3, 3.75%, 2/14/20		2,000,000		1,997,950
Four Seasons Holdings, Inc., Senior Secured First Lien Term Loan, LIBOR + 3.75%, 6/30/20		1,470,588		1,479,779
OSI Restaurant Partners LLC, Senior Secured Term Loan, 3.50%, 10/25/19		1,000,000		998,380

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2013


Security Description	Principal Amount		Value


PGA Holdings, Inc., Senior Secured First Lien Term Loan, LIBOR + 3.25%, 4/20/18	$	2,992,500	$	2,986,261
Scientific Games International, Inc., Senior Secured Term Loan B, LIBOR + 3.25%, 5/22/20		3,000,000		2,963,760
Seminole Tribe of Florida, Senior Secured Term Loan, 3.03%, 4/29/20		1,182,524		1,181,537
Six Flags Theme Parks, Inc., Senior Secured Term Loan B, 4.00%, 12/20/18		1,994,987		2,008,703
Wendy’s International, Inc., Senior Secured Term Loan B, 3.25%, 5/15/19		687,326		686,714

				20,681,291

HOUSEHOLD DURABLES — 1.1%
Spin Holdco, Inc., Senior Secured Term Loan B, 4.25%, 11/14/19		2,000,000		1,995,630
Tempur-Pedic International, Inc., Senior Secured Term Loan B, 3.50%, 3/18/20		1,707,644		1,696,971

				3,692,601

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 3.1%
AES Corp., Senior Secured Term Loan B, 3.75%, 6/1/18		1,994,987		2,002,598
Calpine Corp., Senior Secured Term Loan B1, 4.00%, 4/2/18		1,994,898		1,995,437
Dynegy Holdings, Inc., Senior Secured Term Loan B2, 4.00%, 4/23/20		2,356,764		2,344,992
NRG Energy, Inc., Senior Secured Term Loan B, 2.75%, 7/2/18		3,963,069		3,931,285

				10,274,312


INDUSTRIAL CONGLOMERATES — 1.4%
Sequa Corp., Senior Secured Term Loan B, 5.25%, 6/19/17		4,493,734		4,512,451

INSURANCE — 2.2%
Alliant Holdings I, Inc., Senior Secured Term Loan B, LIBOR + 3.75%, 12/20/19		3,000,000		3,005,625
CCC Information Services, Inc., Senior Secured Term Loan, LIBOR + 3.00%, 12/20/19		1,994,987		1,985,013
Sedgwick CMS Holdings, Inc., Senior Secured First Lien Term Loan, 4.50%, 6/12/18		2,444,232		2,451,357

				7,441,995

INTERNET SOFTWARE & SERVICES — 1.2%
Sabre, Inc., Senior Secured Term Loan B, LIBOR + 4.00%, 2/19/19		1,994,987		2,010,359
SurveyMonkey.com LLC, Senior Secured Term Loan B, LIBOR + 4.25%, 2/5/19		1,995,000		2,002,481

				4,012,840


Security Description	Principal Amount		Value


IT SERVICES — 1.2%
SunGard Data Systems, Inc.
Senior Secured Term Loan E, LIBOR + 3.00%, 3/8/20	$	1,000,000	$	1,001,750
Senior Secured Term Loan D, 3.50%, 1/31/20		2,000,000		2,010,630
Vantiv LLC, Senior Secured Term Loan A, LIBOR + 1.75%, 5/15/18		1,000,000		1,002,000

				4,014,380

LEISURE EQUIPMENT & PRODUCTS — 0.9%
SRAM LLC, Senior Secured Term Loan B, LIBOR + 3.00%, 4/10/20		3,100,676		3,073,545

LIFE SCIENCES TOOLS & SERVICES — 1.5%
Pharmaceutical Product Development, Inc., Senior Secured Term Loan B, 4.25%, 12/5/18		2,993,734		3,002,820
Quintiles Transnational Corp., Senior Secured Term Loan B, 4.50%, 6/8/18		2,000,000		2,003,500

				5,006,320

MEDIA — 6.2%
AMC Entertainment, Inc., Senior Secured Term Loan, 3.50%, 4/30/20		1,569,680		1,568,110
Charter Communications Operating LLC, Senior Secured Term Loan E, LIBOR + 2.25%, 4/10/20		3,658,537		3,621,951

Getty Images, Inc., Senior Secured Term Loan B, 4.75%, 10/18/19		1,994,987		1,975,866
Interactive Data Corp., Senior Secured Term Loan B, 3.75%, 2/11/18		2,000,000		1,993,330
Kabel Deutschland GMBH, Senior Secured Term Loan F1, 3.25%, 2/1/19		3,000,000		2,997,450
Mediacom Communications Corp., Senior Secured Term Loan H, 3.25%, 1/29/21		1,601,067		1,592,261
Regal Cinemas, Inc., Senior Secured Term Loan B, 2.72%, 8/23/17		1,994,885		1,998,486
Univision Communications, Inc.
Senior Secured Term Loan, LIBOR + 3.25%, 3/2/20		997,500		990,019
Senior Secured Term Loan C3, 4.00%, 3/2/20		2,021,959		1,984,472
WideOpenWest Finance LLC, Senior Secured Term Loan B, 4.75%, 3/26/19		1,995,000		2,004,147

				20,726,092

METALS & MINING — 0.6%
Fairmount Minerals, Ltd., Senior Secured Term Loan B, 5.25%, 3/15/17		2,000,000		2,004,500

MULTI-UTILITIES — 0.2%
Power Team Services LLC Senior Secured Delayed Draw Term Loan, 4.25%, 5/6/20 (b)		59,259		58,815
Senior Secured First Lien Term Loan, 4.25%, 5/6/20		474,074		470,518

				529,333

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2013


Security Description	Principal Amount		Value


MULTILINE RETAIL — 0.9%
The Neiman Marcus Group, Inc., Senior Secured Extended Term Loan, 4.00%, 5/16/18	$	3,000,000	$	2,995,155

OIL, GAS & CONSUMABLE FUELS — 2.1%
EMG Utica LLC, Senior Secured Term Loan, 4.75%, 3/27/20		2,000,000		1,995,000
Energy Transfer Equity LP, Senior Secured Term Loan B, 3.75%, 3/24/17		900,000		904,221
EP Energy LLC Senior Secured Term Loan B3, 3.50%, 5/24/18		2,000,000		1,986,670
Senior Secured Term Loan B2, 4.50%, 4/26/19		1,000,000		1,003,570

MEG Energy Corp., Senior Secured Term Loan, 3.75%, 3/31/20		997,469		998,217

				6,887,678

PERSONAL PRODUCTS — 0.8%
NBTY, Inc., Senior Secured Term Loan B2, 3.50%, 10/1/17		2,500,000		2,502,537

PHARMACEUTICALS — 0.3%
Valeant Pharmaceuticals International, Inc., Senior Secured Term Loan D1, 3.50%, 2/13/19		997,494		992,297


PROFESSIONAL SERVICES — 1.5%
Advantage Sales & Marketing, Inc., Senior Secured First Lien Term Loan, 4.25%, 12/18/17		2,000,674		2,004,675
SymphonyIRI Group, Inc., Senior Secured Term Loan B, LIBOR + 3.25%, 12/1/17		2,874,725		2,876,536

				4,881,211

REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.6%
Realogy Corp., Senior Secured Extended Term Loan, 4.50%, 3/5/20		1,997,500		2,003,992

ROAD & RAIL — 0.6%
Avis Budget Car Rental, LLC, Senior Secured Term Loan B, 3.00%, 3/15/19		1,995,000		2,001,982

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.6%
NXP B.V., Senior Secured Term Loan C, 4.75%, 1/11/20		1,994,987		2,027,406

SOFTWARE — 3.2%
Epicor Software Corp., Senior Secured Term Loan B-1, 4.50%, 5/16/18		2,000,000		2,007,500
Infor (US), Inc. Senior Secured Term Loan B3, 3.75%, 5/29/20		1,790,698		1,769,442
Senior Secured Term Loan B2, 5.25%, 4/5/18		2,815,061		2,829,136
Rovi Solutions Corp., Senior Secured Term Loan B3, LIBOR + 2.75%, 3/29/19 (a)		1,995,000		1,992,507


Security Description	Principal Amount		Value


Vertafore, Inc., Senior Secured First Lien Term Loan, 4.25%, 10/2/19	$	1,995,000	$	2,003,479

				10,602,064


SPECIALTY RETAIL — 4.9%
Bass Pro Group LLC, Senior Secured Term Loan, 4.00%, 11/20/19		3,994,897		3,998,812
Burlington Coat Factory Warehouse Corp., Senior Secured Term Loan B2, 4.25%, 2/23/17		2,000,000		2,004,000
J Crew Group, Inc., Senior Secured Term Loan B1, 4.00%, 3/7/18		2,494,911		2,487,114
Michaels Stores, Inc., Senior Secured Term Loan, LIBOR + 2.75%, 1/28/20		2,000,000		1,997,710

Party City Holdings, Inc., Senior Secured Term Loan B, 4.25%, 7/29/19		1,997,494		1,987,926
Pilot Travel Centers LLC, Senior Secured Term Loan B, 3.75%, 3/30/18		1,305,025		1,288,308
Serta Simmons Holdings LLC, Senior Secured Term Loan, 5.00%, 10/1/19		2,498,747		2,502,495

				16,266,365



TEXTILES, APPAREL & LUXURY GOODS — 0.6%
Phillips-Van Heusen Corp., Senior Secured Term Loan B, 3.25%, 2/13/20		1,995,000		1,995,628

TRADING COMPANIES & DISTRIBUTORS — 0.6%
WESCO Distribution, Inc., Senior Secured Term Loan B, 4.50%, 12/12/19		1,994,987		2,003,307

WIRELESS TELECOMMUNICATION SERVICES — 0.3%
Syniverse Holdings, Inc., Senior Secured Term Loan, 5.00%, 4/23/19		997,481		996,863

TOTAL SENIOR FLOATING RATE LOANS (Cost $284,091,694)				281,649,578

CORPORATE BONDS AND NOTES — 3.8%
COMMERCIAL SERVICES & SUPPLIES — 0.3%
Aramark Corp., 5.75%, 3/15/20 (c)		1,000,000		1,022,500

DIVERSIFIED CONSUMER SERVICES — 0.3%
Reynolds Group Issuer, Inc., 7.13%, 4/15/19		1,000,000		1,056,250

LEISURE EQUIPMENT & PRODUCTS — 0.6%
Cedar Fair LP, 5.25%, 3/15/21 (c)		2,000,000		1,920,000

MEDIA — 1.8%
Cablevision Systems Corp., 5.88%, 9/15/22		2,000,000		1,935,000
CCO Holdings LLC, 5.75%, 1/15/24		1,000,000		965,000
Sinclair Television Group, Inc., 6.13%, 10/1/22		2,000,000		2,000,000
Univision Communications, Inc., 6.88%, 5/15/19 (c)		1,000,000		1,050,000

				5,950,000

OIL, GAS & CONSUMABLE FUELS — 0.3%
Atlas Pipeline Partners LP, 5.88%, 8/1/23 (c)		1,000,000		950,000

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2013


Security Description	Principal Amount		Value


WIRELESS TELECOMMUNICATION SERVICES — 0.5%
Avaya, Inc., 7.00%, 4/1/19 (c)	$	2,000,000	$	1,805,000

TOTAL CORPORATE BONDS AND NOTES (Cost $13,334,097)				12,703,750


	Shares

SHORT TERM INVESTMENTS — 28.9%
MONEY MARKET FUND — 28.9%
State Street Institutional Liquid Reserves Fund 0.09% (d) (e) (f)		96,122,680		96,122,680

TOTAL SHORT TERM INVESTMENTS (Cost $96,122,680)				96,122,680

TOTAL INVESTMENTS — 117.3% (Cost $393,548,471)				390,476,008

LESS UNFUNDED LOAN COMMITMENTS — (0.0)% (g) (Cost $58,966)				(59,259	)

NET INVESTMENTS — 117.3% (h)
(Cost $393,489,505)				390,416,749

OTHER ASSETS & LIABILITIES — (17.3)%				(57,624,265	)

NET ASSETS — 100.0%			$	332,792,484

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

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

(b)	Unfunded or partially unfunded loan commitments.

(c)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 2.0% of net assets as of June 30, 2013, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(d)	Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3)

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

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

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

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

See accompanying notes to financial statements.

SSgA MASTER TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2013


	SSgA Multi-Asset Real Return Portfolio		SSgA Income Allocation Portfolio		SSgA Global Allocation Portfolio		Blackstone / GSO Senior Loan Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at value	$	19,063,661	$	—	$	—	$	294,294,069
Investments in securities of affiliated issuers, at value		101,498,503		172,469,160		51,600,832		96,122,680

Total Investments		120,562,164		172,469,160		51,600,832		390,416,749
Cash		9,192		1,140,800		—		5,013
Receivable for investment securities sold		—		—		448,567		94,464
Receivable for fund shares sold		—		—		—		42,193,372
Dividends receivable from affiliated issuers (Note 4)		1,032,811		1,813,801		343,233		7,690
Interest receivable from unaffiliated issuers		—		—		—		724,364

TOTAL ASSETS		121,604,167		175,423,761		52,392,632		433,441,652

LIABILITIES
Payable for investments purchased		—		1,140,800		448,575		100,580,267
Accrued advisory fees (Note 3)		20,135		28,071		8,431		68,856
Accrued trustees’ fees and expenses (Note 3)		48		62		17		45

TOTAL LIABILITIES		20,183		1,168,933		457,023		100,649,168

NET ASSETS	$	121,583,984	$	174,254,828	$	51,935,609	$	332,792,484

COST OF INVESTMENTS
Unaffiliated issuers	$	21,321,165	$	—	$	—	$	297,366,825
Affiliated issuers		109,849,878		178,626,864		52,123,005		96,122,680

Total cost of investments	$	131,171,043	$	178,626,864	$	52,123,005	$	393,489,505

See accompanying notes to financial statements.

SSgA MASTER TRUST

STATEMENTS OF OPERATIONS

Periods Ended June 30, 2013


	SSgA Multi-Asset Real Return Portfolio			SSgA Income Allocation Portfolio			SSgA Global Allocation Portfolio			Blackstone / GSO Senior Loan Portfolio*
INVESTMENT INCOME
Dividend and interest income on securities of unaffiliated issuers (Note 2)	$	41,282		$	—		$	—		$	1,356,067
Dividend income on securities of affiliated issuers (Note 4)		1,819,510			3,763,463			716,613			22,147

TOTAL INVESTMENT INCOME		1,860,792			3,763,463			716,613			1,378,214

EXPENSES
Advisory fees (Note 3)		119,802			155,323			43,792			144,209
Trustees’ fees (Note 3)		522			733			210			167
Other expenses		30			36			9			—

TOTAL EXPENSES		120,354			156,092			44,011			144,376

NET INVESTMENT INCOME		$ 1,740,438		$	3,607,371		$	672,602		$	1,233,838

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments in securities of unaffiliated issuers		(605,115	)		—			(161,682	)		(18,345	)
Net realized gain (loss) on investments in securities of affiliated issuers		(319,225	)		(1,103,424	)		193,232			—
Net change in unrealized appreciation (depreciation) on investments		(10,378,172	)		(6,205,334	)		(434,591	)		(3,072,756	)

NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS		(11,302,512	)		(7,308,758	)		(403,041	)		(3,091,101	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(9,562,074	)	$	(3,701,387	)	$	269,561		$	(1,857,263	)

*	For the period April 3, 2013 (commencement of operations) to June 30, 2013.

See accompanying notes to financial statements.

[This Page Intentionally Left Blank]

SSgA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SSgA Multi-Asset Real Return Portfolio						SSgA Income Allocation Portfolio
	Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	1,740,438		$	41,553		$	3,607,371		$	99,208
Net realized gain (loss) on investments		(924,340	)		(6,835	)		(1,103,424	)		(17,903	)
Net change in unrealized appreciation (depreciation) on investments		(10,378,172	)		(230,707	)		(6,205,334	)		47,630

Net increase (decrease) in net assets resulting from operations		(9,562,074	)		(195,989	)		(3,701,387	)		128,935

CAPITAL TRANSACTIONS
Contributions		130,398,415			7,426,949			170,596,375			8,984,674
Withdrawals		(5,079,121	)		(1,404,196	)		(1,753,769	)		—
Other capital		—			—			—			—

Net increase in net assets from capital transactions		125,319,294			6,022,753			168,842,606			8,984,674

Net increase in net assets during the period		115,757,220			5,826,764			165,141,219			9,113,609
NET ASSETS
Net assets at beginning of period		5,826,764			—			9,113,609			—

NET ASSETS END OF PERIOD	$	121,583,984		$	5,826,764		$	174,254,828		$	9,113,609

*	Commencement of operations

See accompanying notes to financial statements.


SSgA Global Allocation Portfolio						Blackstone / GSO Senior Loan Portfolio
Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			For the Period 4/3/13* - 6/30/13

$	672,602		$	40,985		$	1,233,838
	31,550			(140,424	)		(18,345	)
	(434,591)			(87,582	)		(3,072,756	)

	269,561			(187,021	)		(1,857,263	)


	50,799,932			6,035,173			334,915,199
	(3,584,635	)		(1,397,401	)		(670,323	)
	—			—			404,871

	47,215,297			4,637,772			334,649,747

	47,484,858			4,450,751			332,792,484

	4,450,751			—			—

$	51,935,609		$	4,450,751		$	332,792,484

SSgA MASTER TRUST

FINANCIAL HIGHLIGHTS

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


	SSgA Multi-Asset Real Return Portfolio						SSgA Income Allocation Portfolio
	Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	121,584		$	5,827		$	174,255		$	9,114

Ratios to average net assets:
Operating expenses		0.20	%		0.20	%(1)		0.20	%		0.20	%(1)
Net investment income		2.91	%		3.84	%(1)		4.65	%		8.39	%(1)
Portfolio turnover rate		31	%		10	%		80	%		15	%
Total return		(1.63	)%		(3.42	)%(2)		4.39	%		0.92	%(2)

*	Commencement of operations

(1)	Annualized.

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

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


SSgA Global Allocation Portfolio						Blackstone / GSO Senior Loan Portfolio
Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			For the Period 4/3/13* - 6/30/13

$	51,936		$	4,451		$	332,792


	0.20	%		0.20	%(1)		0.30	%(1)
	3.07	%		4.34	%(1)		2.57	%(1)
	123	%		25	%		4	%
	9.92	%		(1.82	)%(2)		(0.31	)%(2)

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS

June 30, 2013

1.	Organization

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

As of June 30, 2013, the Trust offered four (4) portfolios, each of which represents a separate series of beneficial interest in the Trust (each referred to as a “Portfolio”, collectively as the “Portfolios”). The financial statements herein relate to the following four (4) Portfolios: SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio and Blackstone / GSO Senior Loan Portfolio. Each Portfolio serves as a master fund in a master feeder structure.

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

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

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

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:

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013

statements. Actual results could differ from those estimates. These financial statements are presented in United States dollars.

Security Valuation

The value of each Portfolio’s portfolio securities and other financial instruments is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in underlying funds are valued at their market price each business day. Loans are primarily valued by using a composite loan price from a loan pricing service. The methodology used by the Portfolios’ loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the “Board”) believes will better reflect fair value in accordance with the Trust’s valuation policies and procedures. The Board has delegated the process of valuing securities for which market quotations are not readily available or do not otherwise accurately reflect the fair value of the security to the Pricing and Investment Committee (the “Committee”). The Committee, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Accordingly, a Portfolio’s net asset value may reflect certain portfolio securities’ fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

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

•

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

•

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

•

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

The valuation of senior floating rate loans held by the Funds are obtained from an independent loan pricing service and categorized as Level 2 based on the use of other significant observable inputs. Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Portfolios’ net assets are computed and that may materially affect the value of the Portfolios’ investments). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts, acts of terrorism, and significant market fluctuations.

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

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

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013

The following table summarizes the inputs used in valuing the Portfolios’ investments as of June 30, 2013:


	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
SSgA Multi-Asset Real Return Portfolio	$	120,562,164	$	—	$	—	$	120,562,164
SSgA Income Allocation Portfolio		172,469,160		—		—		172,469,160
SSgA Global Allocation Portfolio		51,600,832		—		—		51,600,832
Blackstone / GSO Senior Loan Portfolio		96,122,680		294,294,069*		—		390,416,749

*	Less Unfunded Loan Committments

There were no transfers between levels for the periods ended June 30, 2013.

Investment Income

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

Expenses

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

Investment Transactions

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

Federal Income Tax

The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes. The Portfolios have reviewed the tax positions for the open tax years as of June 30, 2013 and have determined that no provision for income tax is required in the Portfolios’ Financial Statements. The Portfolios’ federal tax returns are subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Portfolios’ recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.

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

Advisory Fee

Each Portfolio has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser,

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013

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

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

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

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

Trustees’ Fees

The Trust, SSgA Active ETF Trust, SPDR Series Trust and SPDR Index Shares Funds pay, in the aggregate, each Independent Trustee an annual fee of $150,000 plus $10,000 per in-person meeting attended and $1,250 for each telephonic or video conference meeting attended. The Chairman of the Board receives an additional annual fee of $50,000 and the Chairman of the Audit Committee receives an additional annual fee of $20,000. The Trust also reimburses each Independent Trustee for travel and other out-of-pocket expenses incurred by him/her in connection with attending such meetings and in connection with attending industry seminars and meetings. Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.

Transactions with Affiliates

Each Portfolio may invest in certain money market funds and underlying Funds affiliated with the Adviser. Amounts related to investments in affiliated underlying Funds at June 30, 2013, and for the period then ended are:


	Number of Shares Held at 6/30/12		Value at 6/30/12		Purchased				Sold				Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SSgA Multi-Asset Real Return Portfolio	Number of Shares Held at 6/30/12		Value at 6/30/12		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SPDR Barclays TIPS ETF		15,983	$	952,587	$	17,642,114		292,238	$	1,219,568		20,175		288,046	$	16,006,716	$	103,216	$	(1,410	)
SPDR DB International Government Inflation-Protected Bond ETF		6,282		369,884		12,313,399		197,782		1,554,803		24,920		179,144		10,313,320		139,912		(8,203	)
SPDR S&P Global Natural Resources ETF		29,315		1,394,690		47,513,444		935,934		4,790,384		98,657		866,592		38,987,974		808,805		(350,863	)
SPDR S&P International Energy Sector ETF		4,935		115,479		2,662,046		107,620		220,083		9,016		103,539		2,396,928		46,468		(9,650	)
SPDR S&P Metals & Mining ETF		4,199		174,007		4,388,032		104,790		243,616		5,901		103,088		3,415,306		32,638		(27,227	)
The Energy Select Sector SPDR Fund		4,377		290,501		4,854,592		66,415		2,923,262		39,594		31,198		2,444,675		36,559		33,214
SPDR Dow Jones International Real Estate ETF		12,828		471,814		15,923,816		383,013		1,108,728		26,322		369,519		14,743,808		440,058		29,621
SPDR Dow Jones REIT ETF		12,160		886,342		13,347,409		178,271		1,388,642		18,803		171,628		13,035,147		211,595		6,099
State Street Institutional Liquid Reserves Fund		41,023		41,023		7,166,994		7,166,994		7,053,387		7,053,387		154,629		154,629		259		—

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013


	Number of Shares Held at 6/30/12		Value at 6/30/12		Purchased				Sold				Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SSgA Income Allocation Portfolio	Number of Shares Held at 6/30/12		Value at 6/30/12		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SPDR S&P Dividend ETF		30,590	$	1,702,334	$	27,045,556		431,361	$	3,822,132		62,372		399,579	$	26,492,087	$	339,626	$	(23,439	)
SPDR Wells Fargo Preferred Stock ETF		11,963		541,326		20,773,878		456,997		455,729		10,037		458,923		19,949,383		539,914		(8,985	)
The Consumer Staples Select Sector SPDR Fund		—		—		1,200,431		31,904		1,231,049		31,904		—		—		—		30,618
The Financial Select Sector SPDR Fund		—		—		3,635,022		193,107		1,993,996		101,494		91,613		1,785,537		11,296		41,576
The Health Care Select Sector SPDR Fund		—		—		1,418,268		31,751		1,471,470		31,751		—		—		5,410		53,202
The Industrial Select Sector SPDR Fund		—		—		1,820,487		42,541		1,838,377		42,541		—		—		—		17,890
The Technology Select Sector SPDR Fund		—		—		1,817,998		59,725		—		—		59,725		1,826,988		14,335		—
SPDR Barclays Convertible Securities ETF		4,649		174,616		1,012,673		24,724		343,095		8,631		20,742		885,269		15,595		86
SPDR Barclays High Yield Bond ETF		22,084		871,435		13,433,171		332,815		7,424,670		180,813		174,086		6,874,656		203,452		34,331
SPDR Barclays Long Term Corporate Bond ETF		31,334		1,278,427		32,814,908		802,950		4,998,940		121,041		713,243		26,924,923		521,980		(85,380	)
SPDR Barclays Long Term Treasury Bond ETF		11,918		861,195		15,353,145		223,181		1,564,570		22,852		212,247		13,616,919		123,164		(99,137	)
SPDR Barclays Short Term High Yield Bond		—		—		3,209,922		104,445		1,399,368		45,469		58,976		1,779,896		41,277		(1,912	)
SPDR Nuveen Barclays Build America Bond ETF		3,008		180,528		3,019,958		51,025		457,397		7,332		46,701		2,591,438		35,426		3,837
SPDR Barclays TIPS ETF		7,366		439,013		13,202,328		218,781		4,637,975		76,723		149,424		8,303,492		53,370		(11,130	)
SPDR EURO STOXX 50 ETF		—		—		3,993,305		115,688		3,904,273		115,688		—		—		11,238		(89,032	)
SPDR S&P Global Infrastructure ETF		11,312		448,973		11,776,994		285,917		1,944,308		47,499		249,730		10,158,767		317,943		2,861
SPDR S&P Emerging Markets Dividend ETF		10,804		488,017		14,629,879		322,501		4,609,791		109,303		224,002		8,693,517		365,406		(552,996	)
SPDR S&P International Dividend ETF		13,900		619,106		18,224,395		378,817		7,413,025		155,831		236,886		10,340,074		579,937		(278,341	)
SPDR S&P International Telecommunications Sector ETF		8,217		179,541		4,188,208		182,719		2,057,001		84,006		106,930		2,476,499		78,822		110,777
SPDR STOXX Europe 50 ETF		14,518		429,733		7,248,453		216,212		2,640,746		78,036		152,694		5,041,956		138,715		(11,446	)
SPDR Barclays Emerging Markets Local Bond ETF		2,864		89,214		7,721,324		239,217		2,171,032		67,079		175,002		5,188,809		72,675		(8,550	)
SPDR Barclays International Corporate Bond ETF		191		6,188		6,093,641		173,604		1,755,636		51,729		122,066		4,192,967		11,662		(84,162	)
SPDR Dow Jones International Real Estate ETF		9,970		366,697		10,265,455		240,988		1,435,354		36,091		214,867		8,573,193		183,771		(138,610	)
SPDR S&P World ex-US ETF		—		—		2,148,217		82,882		2,165,869		82,882		—		—		—		17,652
SPDR Dow Jones REIT ETF		4,398		320,570		6,809,301		89,652		960,645		13,046		81,004		6,152,254		98,047		(23,134	)
State Street Institutional Liquid Reserves Fund		117,900		117,900		8,657,746		8,657,746		8,155,110		8,155,110		620,536		620,536		402		—

	Number of Shares Held at 6/30/12		Value at 6/30/12		Purchased				Sold				Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SSgA Global Allocation Portfolio	Number of Shares Held at 6/30/12		Value at 6/30/12		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SPDR S&P 500 ETF Trust		6,882	$	937,810	$	8,218,120		53,120	$	2,280,944		15,302		44,700	$	7,152,447	$	70,919	$	73,544
SPDR S&P 500 Value ETF		—		—		1,879,425		23,316		370,587		4,447		18,869		1,550,088		12,197		7,344
SPDR S&P 600 Small Cap ETF		2,533		178,653		1,556,170		19,422		312,061		3,844		18,111		1,572,578		10,305		15,681
SPDR S&P Dividend ETF		5,525		307,466		1,835,584		29,475		1,696,245		26,254		8,746		579,860		19,672		63,648
SPDR S&P MidCap 400 ETF Trust		507		86,849		1,016,809		5,097		139,263		677		4,927		1,036,542		6,687		8,474

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013


	Number of Shares Held at 6/30/12		Value at 6/30/12		Purchased				Sold				Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SSgA Global Allocation Portfolio	Number of Shares Held at 6/30/12		Value at 6/30/12		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
SPDR Wells Fargo Preferred Stock ETF		—	$	—	$	3,087,239		67,616	$	385,880		8,440		59,176	$	2,572,381	$	59,577	$	570
The Consumer Staples Select Sector SPDR Fund		—		—		603,245		16,133		621,382		16,133		—		—		—		18,137
The Consumer Discretionary Select Sector SPDR Fund		—		—		1,654,287		31,767		669,052		13,037		18,730		1,056,372		3,302		14,565
The Energy Select Sector SPDR Fund		—		—		543,213		7,320		566,757		7,320		—		—		—		23,545
The Financial Select Sector SPDR Fund		—		—		1,089,172		60,237		136,368		7,004		53,233		1,037,511		6,390		4,534
The Health Care Select Sector SPDR Fund		—		—		765,423		17,933		830,291		17,933		—		—		2,927		64,868
The Industrial Select Sector SPDR Fund		—		—		1,112,382		26,856		1,167,621		26,856				—		—		55,239
The Technology Select Sector SPDR Fund		—		—		735,935		24,366		729,136		24,366		—		—		2,767		(6,799	)
SPDR Barclays Aggregate Bond ETF		2,963		173,750		6,577,009		113,091		366,916		6,264		109,790		6,243,757		21,289		867
SPDR Barclays High Yield Bond ETF		7,815		308,380		3,447,555		84,756		2,696,296		66,572		25,999		1,026,701		61,821		(26,803	)
SPDR Barclays Intermediate Term Corporate Bond ETF		11,454		390,925		3,160,411		91,068		1,935,868		55,893		46,629		1,566,035		33,439		(4,556	)
SPDR Barclays Long Term Corporate Bond ETF		4,332		176,745		3,404,526		83,342		2,423,732		59,595		28,079		1,059,982		44,520		(28,056	)
SPDR Barclays Short Term High Yield Bond ETF		—		—		950,668		30,913		419,248		13,619		17,294		521,933		10,974		117
SPDR Barclays TIPS ETF		2,866		170,814		2,055,555		34,080		270,868		4,498		32,448		1,803,136		10,225		1,273
SPDR DB International Government Inflation-Protected Bond ETF		—		—		958,128		15,434		133,661		2,153		13,281		764,587		9,343		3,716
SPDR Russell/Nomura PRIME Japan ETF		—		—		3,183,442		75,063		505,690		11,951		63,112		2,698,669		5,561		(23,653	)
SPDR EURO STOXX 50 ETF		—		—		1,701,701		49,740		1,710,739		49,740		—		—		4,017		9,039
SPDR S&P Emerging Markets ETF		5,132		307,869		4,316,901		65,310		2,875,324		44,134		26,308		1,568,220		27,501		(80,479	)
SPDR S&P International Dividend ETF		3,983		177,403		1,006,074		21,106		1,176,123		25,089		—		—		7,993		(3,287	)
SPDR S&P International Small Cap ETF		1,693		43,696		1,913,098		65,291		414,707		13,893		53,091		1,531,144		17,200		16,394
SPDR S&P World ex-US ETF		23,954		536,809		10,413,921		402,071		1,224,097		47,198		378,827		9,519,923		178,597		83,775
SPDR STOXX Europe 50 ETF		—		—		2,195,757		65,381		1,207,869		35,321		30,060		992,581		29,727		13,004
SPDR Barclays Emerging Markets Local Bond ETF		—		—		1,615,308		49,605		1,493,331		48,591		1,014		30,065		8,337		(91,425	)
SPDR Barclays International Corporate Bond ETF		5,377		174,215		1,591,773		45,453		223,375		6,681		44,149		1,516,518		3,232		859
SPDR Barclays International Treasury Bond ETF		—		—		499,552		8,626		—		—		8,626		485,472		—		—
SPDR Dow Jones International Real Estate ETF		1,230		45,239		1,855,146		44,744		834,044		20,210		25,764		1,027,983		30,064		(9,388	)
SPDR Dow Jones REIT ETF		3,098		225,813		1,752,628		22,960		926,234		12,396		13,662		1,037,629		17,768		(11,515	)
State Street Institutional Liquid Reserves Fund		158,815		158,815		5,489,084		5,489,084		3,999,181		3,999,181		1,648,718		1,648,718		262		—

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013


	Number of Shares Held at 6/30/12		Value at 6/30/12		Purchased				Sold				Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
Blackstone / GSO Senior Loan Portfolio	Number of Shares Held at 6/30/12		Value at 6/30/12		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/13		Value at 6/30/13		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		—	$	—	$	359,957,147		359,957,147	$	263,834,467		263,834,467		96,122,680	$	96,122,680	$	22,147	$	—

4.	Aggregate Unrealized Appreciation and Depreciation

The identified cost of investments in securities owned by each Portfolio for federal income tax purposes and the gross unrealized appreciation and depreciation at June 30, 2013, was as follows:


	Identified Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SSgA Multi-Asset Real Return Portfolio	$	132,521,659	$	—	$	10,938,624	$	(10,938,624	)
SSgA Income Allocation Portfolio		180,558,974		—		6,305,198		(6,305,198	)
SSgA Global Allocation Portfolio		52,567,546		—		633,014		(633,014	)
Blackstone / GSO Senior Loan Portfolio		335,870,090		—		3,078,590		(3,078,590	)

5.	Investment Transactions

For the period ended June 30, 2013, the Portfolios had purchases and sales of investment securities as follows:


Purchases	SSgA Multi-Asset Real Return Portfolio		SSgA Income Allocation Portfolio		SSgA Global Allocation Portfolio		Blackstone / GSO Senior Loan Portfolio
Short Term	$	7,166,994	$	8,657,745	$	5,489,084	$	359,957,148
Long Term		148,160,370		232,856,916		77,861,251		342,672,060

Sales
Short Term		7,053,387		8,155,110		3,999,181		263,834,468
Long Term		22,227,890		62,696,447		31,793,780		45,176,466

For the year ended June 30, 2013, the Trust did not pay any commissions to an affiliate of the Adviser for investment transactions.

6.	Concentration of Risk

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

7.	Recent Accounting Pronouncements

In December 2011, FASB issued ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities.” These common disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a portfolio’s financial position. They are also intended to improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition, ASU 2011-11 is intended to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2011-11 requires entities to disclose both gross and net information about both instruments and transactions eligible for offset in the financial position; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the implications of ASU 2011-11 and its impact on financial statement disclosures.

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2013

In January 2013, Accounting Standard Update 2013-01 (ASU 2013-01), Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, replaced Accounting Standards Update 2011-11 (ASU 2011-11), Disclosures about Offsetting Assets and Liabilities. ASU 2013-01 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. As described above, ASU 2011-11 was intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. The ASU 2013-01 limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements, and securities lending transactions to the extent that they are (1) offset in the financial statements or (2) subject to an enforceable master netting arrangement or similar agreement. Management is currently evaluating the application of ASU 2013-01 and its impact, if any, on the Portfolios’ financial statements.

SSgA MASTER TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

June 30, 2013

To the Owners of Beneficial Interest and Board of Trustees of

SSgA Master Trust

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SSgA Master Trust (comprising, respectively, SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio, and Blackstone / GSO Senior Loan Portfolio) (collectively, the “Portfolios”) as of June 30, 2013, and the related statements of operations, statements of changes in net assets and financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2013 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Portfolios constituting SSgA Master Trust at June 30, 2013, and the results of their operations, the changes in their net assets and their financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

August 29, 2013

SSgA MASTER TRUST

OTHER INFORMATION

June 30, 2013 (Unaudited)

Proxy Voting Policies and Procedures and Records

Quarterly Portfolio Schedule

Approval of Advisory Agreement

At in-person meetings held prior to June 30, 2013, the Board of Trustees of the Trust (the “Board”) evaluated various proposals related to advisory arrangements for new series of the Trusts, including a proposal to approve the Investment Advisory Agreements (the “Agreement”) with respect to the SPDR Blackstone / GSO Senior Loan ETF, a new series of the Trust (the “New ETF”), and its underlying master fund, the Blackstone/GSO Senior Loan Portfolio, both of which commenced operations during the most recent fiscal half-year period covered by this Annual Report. The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”) also met separately with their independent legal counsel to consider the Agreement.

SSgA MASTER TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)

The Board reviewed information regarding economies of scale or other efficiencies that may result as the New ETF’s assets grow in size. The Board noted that the Agreement did not provide for breakpoints in the Fund’s advisory fee rates as assets of the Fund increase. However, the Board further noted the Adviser’s assertion that future economies of scale had been taken into consideration for the New ETF by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the New Fund from inception. The Board noted that it intends to continue to monitor fees as the New ETF grows in size and assess whether fee breakpoints may be warranted.

At in-person meetings held prior to June 30, 2013, the Board also considered the approval of a Sub-Advisory Agreement (the “Blackstone/GSO Sub-Advisory Agreement”) between the SSgA Master Trust and GSO/Blackstone Debt Funds Management LLC (“Blackstone/GSO”) with respect to the Blackstone / GSO Senior Loan Portfolio (the “New Portfolio”) which would serve as the master fund for the New ETF.

In evaluating the Blackstone/GSO Sub-Advisory Agreement, the Board drew on materials provided to them by Blackstone/GSO and the Adviser. In deciding whether to approve the Blackstone/GSO Sub-Advisory Agreement, the Board considered various factors, including: (i) the nature, extent and quality of services expected to be provided by Blackstone/GSO with respect to the New Portfolio under the Blackstone/GSO Sub-Advisory Agreement; and (ii) investment performance of customized credit strategies, including senior secured loan strategies, managed by Blackstone/GSO. The Board was apprised of the portion of the current advisory fee that the Adviser would pay to Blackstone/GSO under the Blackstone/GSO Sub-Advisory Agreement and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the New Portfolio.

The Board considered the background and experience of Blackstone/GSO’s senior management and in particular Blackstone/GSO’s experience in investing in senior secured loans. The Board noted that Blackstone/GSO would bring significant senior secured loan experience to bear in managing the New Portfolio. The Board noted that Blackstone/GSO has extensive experience in managing senior loan portfolios and reviewed Blackstone/GSO’s assets under management in portfolios of senior loans for a wide array of closed-end funds, hedge funds and other accounts.

The Board, including the Independent Trustees voting separately, approved the Blackstone/GSO Sub-Advisory Agreement for the New Portfolio after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to the Agreement were as follows: (a) the nature and extent of the services expected to be provided by Blackstone/GSO to the New Portfolio were adequate and appropriate; and (b) Blackstone/GSO’s experience in managing senior loan portfolios is extensive.

SSgA MASTER TRUST

OTHER INFORMATION

June 30, 2013 (Unaudited)

TRUSTEES

Name, Address

and Year of Birth

Position(s)
with Fund

Term of

Office and

Length of

Time Served

Principal

Occupation(s)

During Past

5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other

Directorships

Held by Trustee

Independent Trustees

FRANK NESVET
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1943

Independent
Trustee,
Chairman,
Trustee
Committee
Chair

Term: Unlimited

Served: since

March 2011

Chief Executive Officer, Libra Group, Inc. (1998-present) (a financial services consulting company).

170

SPDR Series Trust

(Trustee); SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee).

DAVID M. KELLY
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1938

Independent

Trustee,
Audit
Committee
Chair

Term: Unlimited

Served: since

March 2011

Retired.

170

Penson Worldwide Inc. (Director) (retired in March 2013); SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee).

BONNY EUGENIA BOATMAN
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1950

Independent
Trustee

Term: Unlimited

Served: since

March 2011

Retired; Managing Director, Columbia Management Group, Bank of America (1984-2005).

170

SPDR Series

Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee).

DWIGHT D. CHURCHILL
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1953

Independent
Trustee

Term: Unlimited

Served: since

March 2011

Self-employed consultant since 2010; Head of Fixed Income and other Senior Management roles, Fidelity Investments (1993-2009).

170

Affiliated Managers Group, Inc. (Director); SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee).

CARL G. VERBONCOEUR
c/o SSgA Active ETF Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1952

Independent
Trustee

Term: Unlimited

Served: since

March 2011

Self-employed consultant since 2009; Chief Executive Officer, Rydex Investments (2003-2009).

170

The Motley Fool Funds Trust (Trustee); SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee).

SSgA MASTER TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)

Name, Address

and Year of Birth

Position(s)
with Fund

Term of

Office and

Length of

Time Served

Principal

Occupation(s)

During Past

5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other

Directorships

Held by Trustee

Interested Trustee

JAMES E. ROSS*
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
1965

Interested

Trustee

Term: Unlimited

Served: since March 2011

201

SPDR Series Trust (Trustee); SPDR Index Shares Funds (Trustee); SSgA Active ETF Trust (Trustee); Select Sector SPDR Trust (Trustee); State Street Master Funds (Trustee); and State Street Institutional

Investment Trust

(Trustee).

*	Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009.

OFFICERS


Name, Address and Year of Birth	Position(s) with Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
ELLEN M. NEEDHAM SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967	President	Term: Unlimited Served: since March 2011	President and Director, SSgA Funds Management, Inc. (June 2012-present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010-June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992-2012); Senior Managing Director, State Street Global Advisors (1992-present).
ANN M. CARPENTER SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966	Vice President	Term: Unlimited Served: since August 2012	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2005-present).*
MICHAEL P. RILEY SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Vice President	Term: Unlimited Served: since March 2011	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-present); Principal, State Street Global Advisors and SSgA Funds Management, Inc. (2005-2008).
CHRISTOPHER A. MADDEN** State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1967	Secretary	Term: Unlimited Served: since August 2013	Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Counsel, Atlantic Fund Services (2009-2013); Vice President, Citigroup Fund Services, LLC (2005-2009).*

SSgA MASTER TRUST

OTHER INFORMATION (continued)

June 30, 2013 (Unaudited)


Name, Address and Year of Birth	Position(s) with Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
DANIO MASTROPIERI** State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1972	Assistant Secretary	Term: Unlimited Served: since August 2013	Vice President and Counsel, State Street Bank and Trust Company (2013-present); Vice President, Citi Fund Services Ohio, Inc. (2007-2013).*
MARK E. TUTTLE State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1970	Assistant Secretary	Term: Unlimited Served: since March 2011	Vice President and Counsel, State Street Bank and Trust Company (2007-present); Assistant Counsel, BISYS Group, Inc. (2005-2007) (a financial services company).
CHAD C. HALLETT State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1969	Treasurer	Term: Unlimited Served: since March 2011	Vice President, State Street Bank and Trust Company (2001-present).*
MATTHEW FLAHERTY State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1971	Assistant Treasurer	Term: Unlimited Served: since March 2011	Vice President, State Street Bank and Trust Company (1994-present).*
LAURA F. DELL State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1964	Assistant Treasurer	Term: Unlimited Served: since March 2011	Vice President, State Street Bank and Trust Company (2002-present).*
JACQUELINE ANGELL State Street Bank and Trust Company 20 Churchill Place London, UK E14 5HJ 1974	Chief Compliance Officer	Term: Unlimited Served: since March 2011	Head of UK Compliance, State Street Bank and Trust Company (July 2012-present); Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-2012); Director of Investment Adviser Oversight, Fidelity Investments (2006-2008).

*	Served in various capacities and/or with various affiliated companies during noted time period.

**	The Officers table is reflective of information as of August 21, 2013.

The SPDR^® Family of Exchange Traded Funds

SPDR Series Trust

SPDR Russell 3000^® ETF (THRK)

SPDR Russell 1000 ETF (ONEK)

SPDR Russell 2000 ETF (TWOK)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR Russell Small Cap Completeness ETF (RSCO)

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

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

SPDR S&P 600 Small Cap ETF (SLY)

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

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

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Mortgage Finance ETF (KME)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

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

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

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR S&P 1500 Value Tilt ETF (VLU)

SPDR Russell 1000 Low Volatility ETF (LGLV)

SPDR Russell 2000 Low Volatility ETF (SMLV)

SPDR Wells Fargo Preferred Stock ETF (PSK)

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

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays 1-10 Year TIPS ETF (TIPX)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SDPR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (LAG)

SPDR Nuveen Barclays Municipal Bond ETF (TFI)

SPDR Nuveen Barclays California Municipal Bond ETF (CXA)

SPDR Nuveen Barclays New York Municipal Bond ETF (INY)

SPDR Nuveen Barclays Short Term Municipal Bond ETF (SHM)

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

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

SPDR Nuveen Barclays Build America Bond ETF (BABS)

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

SPDR Barclays Short Term International Treasury Bond ETF (BWZ)

SPDR Barclays International Treasury Bond ETF (BWX)

SPDR Barclays International Corporate Bond ETF (IBND)

SPDR Barclays Emerging Markets Local Bond ETF (EBND)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

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

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (XOVR)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR S&P Emerging Asia Pacific ETF (GMF)

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

SPDR S&P Russia ETF (RBL)

SPDR S&P China ETF (GXC)

SPDR S&P Emerging Markets ETF (GMM)

SPDR S&P Emerging Markets Dividend ETF (EDIV)

SPDR S&P BRIC 40 ETF (BIK)

SPDR S&P Emerging Europe ETF (GUR)

SPDR S&P Emerging Latin America ETF (GML)

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

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

SPDR S&P International Small Cap ETF (GWX)

SPDR Dow Jones International Real Estate ETF (RWX)

SPDR S&P Global Infrastructure ETF (GII)

SPDR S&P Global Natural Resources ETF (GNR)

SPDR MSCI ACWI ex-US ETF (CWI)

SPDR MSCI ACWI IMI ETF (ACIM)

SPDR MSCI EM 50 ETF (EMFT)

SPDR Russell/Nomura PRIME^TM Japan ETF (JPP)

SPDR Russell/Nomura Small Cap^TM Japan ETF (JSC)

SPDR S&P Global Dividend ETF (WDIV)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

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

SPDR Dow Jones Global Real Estate ETF (RWO)

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

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

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

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

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The Health Care Select Sector SPDR Fund (XLV)

The Industrial Select Sector SPDR Fund (XLI)

The Materials Select Sector SPDR Fund (XLB)

The Technology Select Sector SPDR Fund (XLK)

The Utilities Select Sector SPDR Fund (XLU)

SSgA Active ETF Trust

SPDR SSgA Multi-Asset Real Return ETF (RLY)

SPDR SSgA Income Allocation ETF (INKM)

SPDR SSgA Global Allocation ETF (GAL)

SPDR Blackstone / GSO Senior Loan ETF (SRLN)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

SSgA Master Trust

TRUSTEES

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

OFFICERS

Ellen M. Needham, President

Ann Carpenter, Vice President

Michael P. Riley, Vice President

Chad C. Hallett, Treasurer

Matthew W. Flaherty, Assistant Treasurer

Laura F. Dell, Assistant Treasurer

Christopher A. Madden, Secretary

Mark E. Tuttle, Assistant Secretary

Danio Mastropieri, Assistant Secretary

Jacqueline Angell, Chief Compliance Officer

INVESTMENT MANAGER

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

CUSTODIAN, ADMINISTRATORAND TRANSFER AGENT

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

LEGAL COUNSEL

Bingham McCutchen LLP

2020 K Street, NW

Washington, DC 20006

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

LOGO

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.

Bond funds contain interest rate risk (as interest rates rise bond prices usually fall); the risk of issuer default; issuer credit risk; liquidity risk; and inflation risk.

Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors.

“SPDR” is a registered trademark of Standard & Poor Financial Services LLC (“S&P”) and has been licensed for use by State Street Corporation. No financial product offered by State Street Corporation or its affiliates is sponsored, endorsed, sold or promoted by S&P or its Affiliates, and S&P and its affiliates make no representation, warranty or condition regarding the advisability of buying, selling or holding units/shares in such products. Further limitations and important information that could affect investors’ rights are described in the prospectus for the applicable product.

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.

IBG-9496

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

Item 2. Code of Ethics.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.

The Code of Ethics is attached hereto as Exhibit 12(a)(1).

Item 3. Audit Committee Financial Expert.

(a)(1) The Board of Trustees of the registrant has determined that the registrant has five Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”

(2) Bonny Eugenia Boatman, Dwight D. Churchill, David M. Kelly, Frank Nesvet and Carl G. Verboncoeur are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees.

For the fiscal year ending June 30, 2013 and for the fiscal period from the commencement of operations April 25, 2012 to June 30, 2012, the aggregate audit fees billed for professional services rendered by the principal accountant were $38,160 and $27,000, respectively. Audit fees include the performance of the annual audits and routine regulatory filings (one for each SEC registrant). The amount provided for the 2012 aggregate audit fees is an estimate provided by the principal accountant.

(b) Audit-Related Fees.

For the fiscal year ending June 30, 2013 and for the fiscal period from the commencement of operations April 25, 2012 to June 30, 2012, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.

For the fiscal year ending June 30, 2013 and for the fiscal period from the commencement of operations April 25, 2012 to June 30, 2012, the aggregate tax fees billed for professional services rendered by the principal accountant were $32,960 and $24,000, respectively. Tax fees represent services related to the review of year-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant.

(d) All Other Fees.

There were no other fees billed by the principal accountant for the fiscal year ending June 30, 2013 and for the fiscal period from the commencement of operations April 25, 2012 to June 30, 2012.

(e)(1) Audit Committee Pre-Approval Policies and Procedures.

The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:

Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:

The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting;

The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter.

De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.

Pre-Approval of Non-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved.

Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person).

(e)(2) Percentage of Services.

One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) The aggregate non-audit fees billed for by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:


	FY 2013 (in millions)			FY 2012 (in millions)
Non audit services billed to:
Registrant:		See Item 4	(c)		See Item 4	(c)
Investment Adviser:		—			—

Other entities in the Investment Company Complex (1)(2):
Audit Related Fees	$	15.9		$	7.4
Tax Fees		3.9			6.0
All Other Fees		3.6			1.5

(1)	Information is for the calendar year 2012 and 2011, respectively.

(2)

Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees consisted of advisory services related to certain regulatory initiatives.

(h) The registrant’s principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.

Item 5. Disclosure of Audit Committees for Listed Companies.

The registrant has an audit committee which was established by the Board of Trustees of the Trust in accordance with
Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant’s audit committee are Bonny Eugenia Boatman, Dwight D. Churchill, David M. Kelly, Frank Nesvet and Carl G. Verboncoeur.

Item 6. Schedule of Investments.

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.

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.

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

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Chad C. Hallett, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Hallett determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission.

(b) There were no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12. Exhibits.

(a)(1) Code of Ethics referred to in Item 2.

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

(a)(3) Not applicable

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

SIGNATURES

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


SSgA Active ETF Trust

By:		/s/ Ellen M. Needham
		Ellen M. Needham
		President and Principal Executive Officer

Date:		September 6, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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:		September 6, 2013

By:		/s/ Chad C. Hallett
		Chad C. Hallett
		Treasurer and Principal Financial Officer

Date:		September 6, 2013

SSGA Active Trust N-CSRCertified annual shareholder report (management investment company)