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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22542
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: December 31, 2013
Table of Contents
Item 1. Reports to Shareholders.
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Table of Contents
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Performance Summary | ||||
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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. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. 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, 2013 is 0.70%.
PERFORMANCE AS OF DECEMBER 31, 2013
CUMULATIVE TOTAL RETURN | AVERAGE ANNUAL TOTAL RETURN | |||||||||||||||||||||||||||||||||||||||||||||
NET ASSET VALUE | MARKET VALUE | PRIMARY BENCH MARK: BARCLAYS US GOVERNMENT INFLATION- LINKED BOND INDEX | SECONDARY BENCH MARK: SSGA MULTI- ASSET REAL RETURN COMPOSITE INDEX | TERTIARY BENCH MARK: DBIQ OPTIMUM YIELD DIVERSIFIED COMMODITY INDEX EXCESS RETURN | NET ASSET VALUE | MARKET VALUE | PRIMARY BENCH MARK: BARCLAYS US GOVERN MENT INFLATION- LINKED BOND INDEX | SECONDARY BENCH MARK: SSGA MULTI- ASSET REAL RETURN COMPOSITE INDEX | TERTIARY BENCH MARK: DBIQ OPTIMUM YIELD DIVERSIFIED COMMODITY INDEX EXCESS RETURN | |||||||||||||||||||||||||||||||||||||
SIX MONTHS | 6.08% | 6.03% | –1.54% | 5.75% | 2.41% | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
ONE YEAR | –3.08% | –3.05% | –9.26% | –1.48% | –6.60% | –3.08% | –3.05% | –9.26% | –1.48% | –6.60% | ||||||||||||||||||||||||||||||||||||
SINCE INCEPTION (1) | 0.72% | 0.71% | –5.08% | 2.83% | –7.42% | 0.43% | 0.42% | –3.05% | 1.67% | –4.48% | ||||||||||||||||||||||||||||||||||||
(1) | For the period April 25, 2012 to December 31, 2013. |
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Table of Contents
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)
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.
2
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SPDR SSgA INCOME ALLOCATION 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. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. 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 Income Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2013 is 0.70%.
PERFORMANCE AS OF DECEMBER 31, 2013
CUMULATIVE TOTAL RETURN | AVERAGE ANNUAL TOTAL RETURN | |||||||||||||||||||||||||||||||||||||||
NET ASSET VALUE | MARKET VALUE | PRIMARY BENCH MARK: MSCI WORLD INDEX | SECONDARY BENCH MARK: SSGA INCOME ALLO CATION COMPOSITE INDEX | TERTIARY BENCHMARK: BARCLAYS US LONG GOVE RNMENT/ CREDIT BOND INDEX | NET ASSET VALUE | MARKET VALUE | PRIMARY BENCH MARK: MSCI WORLD INDEX | SECONDARY BENCH MARK: SSGA INCOME ALLO CATION COMPOSITE INDEX | TERTIARY BENCH MARK: BARCLAYS US LONG GOVERN MENT/ CREDIT BOND INDEX | |||||||||||||||||||||||||||||||
SIX MONTHS | 4.74% | 4.63% | 16.83% | 5.14% | –0.93% | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
ONE YEAR | 3.01% | 2.85% | 26.68% | 5.24% | –8.83% | 3.01% | 2.85% | 26.68% | 5.24% | –8.83% | ||||||||||||||||||||||||||||||
SINCE INCEPTION (1) | 10.11% | 9.98% | 33.98% | 12.73% | –1.17% | 5.87% | 5.80% | 18.97% | 7.38% | –0.70% | ||||||||||||||||||||||||||||||
(1) | For the period April 25, 2012 to December 31, 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)
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.
4
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SPDR SSgA GLOBAL ALLOCATION 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. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. 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 Global Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2013 is 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2013
CUMULATIVE TOTAL RETURN | AVERAGE ANNUAL TOTAL RETURN | |||||||||||||||||||||||||||||||||||
NET ASSET VALUE | MARKET VALUE | PRIMARY BENCH MARK: MSCI ACWI IMI INDEX | SECONDARY BENCHMARK: SSGA GLOBAL ALLO CATION COMPOSITE INDEX | TERTIARY BENCH MARK: BARCLAYS US AGGREGATE INDEX | NET ASSET VALUE | MARKET VALUE | PRIMARY BENCH MARK: MSCI ACWI IMI INDEX | SECONDARY BENCHMARK: SSGA GLOBAL ALLO CATION COMPOSITE INDEX | TERTIARY BENCH MARK: BARCLAYS US AGGREGATE INDEX | |||||||||||||||||||||||||||
SIX MONTHS | 10.54% | 10.52% | 16.12% | 9.55% | 0.43% | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
ONE YEAR | 12.68% | 12.61% | 23.55% | 11.87% | –2.02% | 12.68% | 12.61% | 23.55% | 11.87% | –2.02% | ||||||||||||||||||||||||||
SINCE INCEPTION (1) | 19.28% | 19.25% | 30.75% | 18.60% | 0.92% | 11.01% | 11.00% | 17.26% | 10.66% | 0.55% | ||||||||||||||||||||||||||
(1) | For the period April 25, 2012 to December 31, 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)
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 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. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/3/13, 4/4/13, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. 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 Blackstone/GSO Senior Loan ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2013 is 0.90%.
PERFORMANCE AS OF DECEMBER 31, 2013
CUMULATIVE TOTAL RETURN | AVERAGE ANNUAL TOTAL RETURN | |||||||||||||||||||||||||||||||||||||
NET ASSET VALUE | MARKET VALUE | PRIMARY BENCHMARK: MARKIT IBOXX USD LIQUID LEVERAGED LOAN INDEX | SECONDARY BENCHMARK: S&P/LSTA U.S. LEVERAGED LOAN 100 INDEX | NET ASSET VALUE | MARKET VALUE | PRIMARY BENCHMARK: MARKIT IBOXX USD LIQUID LEVERAGED LOAN INDEX | SECONDARY BENCHMARK: S&P/LSTA U.S. LEVERAGED LOAN 100 INDEX | |||||||||||||||||||||||||||||||
SIX MONTHS | 2.28% | 2.30% | 3.06% | 1.84% | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
SINCE INCEPTION (1) | 1.79% | 1.97% | 2.66% | 2.78% | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||
(1) | For the period April 3, 2013 to December 31, 2013. |
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SPDR BLACKSTONE / GSO SENIOR LOAN ETF — PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
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.
8
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SPDR SSgA ULTRA SHORT TERM BOND 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.
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STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2013 (Unaudited)
SPDR SSgA Multi-Asset Real Return ETF | SPDR SSgA Income Allocation ETF | SPDR SSgA Global Allocation ETF | SPDR Blackstone / GSO Senior Loan ETF | SPDR SSgA Ultra Short Term Bond ETF | ||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments in corresponding Portfolio, at market value (Note 1) | $ | 109,942,006 | $ | 101,073,088 | $ | 65,270,067 | $ | 593,750,848 | $ | 12,016,910 | ||||||||||
Due from Advisor | — | — | 15,328 | — | — | |||||||||||||||
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TOTAL ASSETS | 109,942,006 | 101,073,088 | 65,285,395 | 593,750,848 | 12,016,910 | |||||||||||||||
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LIABILITIES | ||||||||||||||||||||
Income distributions payable | 1,065,807 | 1,480,949 | 632,166 | 1,590,926 | 3,502 | |||||||||||||||
Accrued Advisory fees | 9,689 | 28,341 | — | 571,068 | — | |||||||||||||||
Accrued trustees’ fees and expenses | 101 | 82 | 39 | 368 | 29 | |||||||||||||||
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TOTAL LIABILITIES | 1,075,597 | 1,509,372 | 632,205 | 2,162,362 | 3,531 | |||||||||||||||
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NET ASSETS | $ | 108,866,409 | $ | 99,563,716 | $ | 64,653,190 | $ | 591,588,486 | $ | 12,013,379 | ||||||||||
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NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in capital (Note 4) | $ | 115,717,813 | $ | 104,861,234 | $ | 61,729,138 | $ | 592,582,265 | $ | 12,013,865 | ||||||||||
Undistributed (distributions in excess of) net investment income | (15,443 | ) | (256,813 | ) | (126,632 | ) | (578,199 | ) | (144 | ) | ||||||||||
Accumulated net realized gain (loss) on investments | (3,353,695 | ) | (2,699,797 | ) | (287,195 | ) | (1,428,901 | ) | (87 | ) | ||||||||||
Net unrealized appreciation (depreciation) on investments | (3,482,266 | ) | (2,340,908 | ) | 3,337,879 | 1,013,321 | (255 | ) | ||||||||||||
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NET ASSETS | $ | 108,866,409 | $ | 99,563,716 | $ | 64,653,190 | $ | 591,588,486 | $ | 12,013,379 | ||||||||||
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NET ASSET VALUE PER SHARE | ||||||||||||||||||||
Net asset value per share | $ | 29.02 | $ | 30.62 | $ | 34.01 | $ | 49.92 | $ | 40.04 | ||||||||||
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Shares outstanding (unlimited amount authorized, $0.00 par value) | 3,751,111 | 3,251,111 | 1,901,111 | 11,850,000 | 300,000 | |||||||||||||||
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See Notes to Financial Statements and Financial Statements of the Master Portfolios.
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SSgA ACTIVE ETF TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2013 (Unaudited)
SPDR SSgA Multi-Asset Real Return ETF | SPDR SSgA Income Allocation ETF | SPDR SSgA Global Allocation ETF | SPDR Blackstone / GSO Senior Loan ETF | SPDR SSgA Ultra Short Term Bond ETF* | ||||||||||||||||
INCOME AND EXPENSES ALLOCATED FROM PORTFOLIO | ||||||||||||||||||||
Dividend income allocated from Portfolio (Note 2) | $ | 1,532,057 | $ | 2,587,060 | $ | 765,144 | $ | 10,003,608 | $ | 12,987 | ||||||||||
Expenses allocated from Portfolio (Note 2) | (140,372 | ) | (114,068 | ) | (55,313 | ) | (775,301 | ) | (5,276 | ) | ||||||||||
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TOTAL INCOME | 1,391,685 | 2,472,992 | 709,831 | 9,228,307 | 7,711 | |||||||||||||||
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EXPENSES | ||||||||||||||||||||
Advisory fees (Note 3) | 29,443 | 89,204 | — | 1,538,667 | — | |||||||||||||||
Trustee Fees (Note 3) | 1,510 | 1,445 | 593 | 4,960 | 30 | |||||||||||||||
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TOTAL EXPENSES | 30,953 | 90,649 | 593 | 1,543,627 | 30 | |||||||||||||||
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Fees reimbursed by Adviser | — | — | (41,855 | ) | — | — | ||||||||||||||
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NET INVESTMENT INCOME | $ | 1,360,732 | $ | 2,382,343 | $ | 751,093 | $ | 7,684,680 | $ | 7,681 | ||||||||||
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REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net realized gain (loss) allocated from Portfolio | (852,446 | ) | (191,335 | ) | 873,572 | (1,410,555 | ) | (87 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) from Portfolio | 7,126,540 | 3,816,802 | 3,860,116 | 4,086,052 | (255 | ) | ||||||||||||||
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NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 6,274,094 | 3,625,467 | 4,733,688 | 2,675,497 | (342 | ) | ||||||||||||||
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NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 7,634,826 | $ | 6,007,810 | $ | 5,484,781 | $ | 10,360,177 | $ | 7,339 | ||||||||||
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* | For the period October 9, 2013 (commencement of operations) to December 31, 2013. |
See Notes to Financial Statements and Financial Statements of the Master Portfolios.
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SSgA ACTIVE ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
SPDR SSgA Multi-Asset Real Return ETF | SPDR SSgA Income Allocation ETF | |||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,360,732 | $ | 1,713,977 | $ | 2,382,343 | $ | 3,492,721 | ||||||||
Net realized gain (loss) on investments | (852,446 | ) | (924,336 | ) | (191,335 | ) | (1,103,415 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investments | 7,126,540 | (10,378,139 | ) | 3,816,802 | (6,205,343 | ) | ||||||||||
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Net increase (decrease) in net assets resulting from operations | 7,634,826 | (9,588,498 | ) | 6,007,810 | (3,816,037 | ) | ||||||||||
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Net equalization credits and charges | (266,337 | ) | 57,257 | (98,162 | ) | 300,070 | ||||||||||
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DISTRIBUTIONS TO | ||||||||||||||||
Net investment income | (1,309,785 | ) | (1,773,687 | ) | (2,289,455 | ) | (3,792,817 | ) | ||||||||
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FROM BENEFICIAL INTEREST TRANSACTIONS: | ||||||||||||||||
Proceeds from sale of shares | 37,023,614 | 130,398,415 | 4,556,841 | 170,596,375 | ||||||||||||
Cost of shares redeemed | (54,916,545 | ) | (4,387,694 | ) | (80,688,091 | ) | — | |||||||||
Net income equalization | 266,337 | (57,257 | ) | 98,162 | (300,070 | ) | ||||||||||
Other capital (Note 4) | — | — | — | — | ||||||||||||
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Net increase (decrease) in net assets from beneficial interest transactions | (17,626,594 | ) | 125,953,464 | (76,033,088 | ) | 170,296,305 | ||||||||||
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Net increase (decrease) in net assets during the period | (11,567,890 | ) | 114,648,536 | (72,412,895 | ) | 162,987,521 | ||||||||||
Net assets at beginning of period | 120,434,299 | 5,785,763 | 171,976,611 | 8,989,090 | ||||||||||||
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NET ASSETS END OF | $ | 108,866,409 | $ | 120,434,299 | $ | 99,563,716 | $ | 171,976,611 | ||||||||
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SHARES OF BENEFICIAL INTEREST | ||||||||||||||||
Shares sold | — | 4,300,000 | 150,000 | 5,450,000 | ||||||||||||
Shares redeemed | (600,000 | ) | (150,000 | ) | (2,650,000 | ) | — | |||||||||
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Net increase (decrease) in shares | (600,000 | ) | 4,150,000 | (2,500,000 | ) | 5,450,000 | ||||||||||
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(1) Including undistributed (distributions in excess of) net investment income | $ | (15,443 | ) | $ | (66,390 | ) | $ | (256,813 | ) | $ | (349,701 | ) | ||||
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* | Commencement of operations |
See Notes to Financial Statements and Financial Statements of the Master Portfolios.
12
Table of Contents
SPDR SSgA Global Allocation ETF | SPDR Blackstone / GSO Senior Loan ETF | SPDR SSgA Ultra Short Term Bond ETF | ||||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | Six Months Ended 12/31/13 (Unaudited) | For the Period 4/3/13* - 6/30/13 | For the Period 10/9/13* - 12/31/13 (Unaudited) | ||||||||||||||
$ | 751,093 | $ | 707,900 | $ | 7,684,680 | $ | 945,293 | $ | 7,681 | |||||||||
873,572 | 31,543 | (1,410,555 | ) | (18,346 | ) | (87 | ) | |||||||||||
| 3,860,116 | | (434,651 | ) | 4,086,052 | (3,072,731 | ) | (255 | ) | |||||||||
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| 5,484,781 | | 304,792 | 10,360,177 | (2,145,784 | ) | 7,339 | |||||||||||
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26,816 | 59,672 | 363,253 | 232,911 | 138 | ||||||||||||||
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(812,692 | ) | (768,378 | ) | (8,688,638 | ) | (519,534 | ) | (7,825 | ) | |||||||||
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18,339,913 | 50,769,956 | 256,877,882 | 334,914,199 | 12,001,864 | ||||||||||||||
(9,842,556 | ) | (3,233,657 | ) | — | — | — | ||||||||||||
(26,816 | ) | (59,672 | ) | (363,253 | ) | (232,911 | ) | (138 | ) | |||||||||
— | — | 385,315 | 404,869 | 12,001 | ||||||||||||||
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| 8,470,541 | | 47,476,627 | 256,899,944 | 335,086,157 | 12,013,727 | ||||||||||||
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| 13,169,446 | | 47,072,713 | 258,934,736 | 332,653,750 | 12,013,379 | ||||||||||||
51,483,744 | 4,411,031 | 332,653,750 | — | — | ||||||||||||||
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$ | 64,653,190 | $ | 51,483,744 | $ | 591,588,486 | $ | 332,653,750 | $ | 12,013,379 | |||||||||
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550,000 | 1,600,000 | 5,150,000 | 6,700,000 | 300,000 | ||||||||||||||
(300,000 | ) | (100,000 | ) | — | — | — | ||||||||||||
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250,000 | 1,500,000 | 5,150,000 | 6,700,000 | 300,000 | ||||||||||||||
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$ | (126,632 | ) | $ | (65,033 | ) | $ | (578,199 | ) | $ | 425,759 | $ | (144 | ) | |||||
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13
Table of Contents
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 | |||||||||||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | |||||||||||||||||||
Net asset value, beginning of period | $ | 27.68 | $ | 28.77 | $ | 30.00 | $ | 29.90 | $ | 29.85 | $ | 30.00 | ||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) (2) | 0.28 | 0.86 | 0.20 | 0.65 | 1.41 | 0.44 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments (3) | 1.45 | (1.33 | ) | (1.22 | ) | 0.79 | (0.25 | ) | (0.29 | ) | ||||||||||||||
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Total from investment operations | 1.73 | (0.47 | ) | (1.02 | ) | 1.44 | 1.16 | 0.15 | ||||||||||||||||
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Net equalization credits and charges (2) | (0.06 | ) | 0.03 | (0.01 | ) | (0.03 | ) | 0.12 | 0.11 | |||||||||||||||
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Other capital | — | — | — | — | — | — | ||||||||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.33 | ) | (0.65 | ) | (0.20 | ) | (0.69 | ) | (1.23 | ) | (0.41 | ) | ||||||||||||
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Net asset value, end of period | $ | 29.02 | $ | 27.68 | $ | 28.77 | $ | 30.62 | $ | 29.90 | $ | 29.85 | ||||||||||||
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Total Return (5) | 6.08 | % | (1.67 | )% | (3.44 | )% | 4.74 | % | 4.22 | % | 0.87 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 108,866 | $ | 120,434 | $ | 5,786 | $ | 99,564 | $ | 171,977 | $ | 8,989 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total operating expenses | 0.25 | %(6) | 0.25 | % | 0.27 | %(6) | 0.36 | %(6) | 0.35 | % | 0.36 | %(6) | ||||||||||||
Net operating expenses | 0.25 | %(6) | 0.25 | % | 0.27 | %(6) | 0.36 | %(6) | 0.35 | % | 0.36 | %(6) | ||||||||||||
Net investment income | 1.96 | %(6) | 2.86 | % | 3.77 | %(6) | 4.23 | %(6) | 4.50 | % | 8.24 | %(6) | ||||||||||||
Portfolio turnover rate (7) | 19 | % | 31 | % | 10 | % | 29 | % | 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) | Amount is less than $0.005 per share. |
(5) | 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. |
(6) | Annualized. |
(7) | Portfolio turnover rate is from their respective Portfolio. |
See Notes to Financial Statements and Financial Statements of the Master Portfolios.
14
Table of Contents
SPDR SSgA Global Allocation ETF | SPDR Blackstone / GSO Senior Loan ETF | SPDR SSgA Ultra Short Term Bond ETF | ||||||||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | Six Months Ended 12/31/13 (Unaudited) | For the Period 4/3/13* - 6/30/13 | For the Period 10/9/13* - 12/31/13 (Unaudited) | |||||||||||||||||
$ | 31.18 | $ | 29.19 | $ | 30.00 | $ | 49.65 | $ | 50.00 | $ | 40.00 | |||||||||||
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0.46 | 1.03 | 0.24 | 0.75 | 0.24 | 0.03 | |||||||||||||||||
| 2.80 | | 1.77 | (0.77 | ) | 0.29 | (0.65 | ) | (0.00 | )(4) | ||||||||||||
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3.26 | 2.80 | (0.53 | ) | 1.04 | (0.41 | ) | 0.03 | |||||||||||||||
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0.02 | 0.09 | (0.02 | ) | 0.04 | 0.06 | 0.00 | (4) | |||||||||||||||
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— | — | — | 0.04 | 0.10 | 0.04 | |||||||||||||||||
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(0.45 | ) | (0.90 | ) | (0.26 | ) | (0.85 | ) | (0.10 | ) | (0.03 | ) | |||||||||||
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$ | 34.01 | $ | 31.18 | $ | 29.19 | $ | 49.92 | $ | 49.65 | $ | 40.04 | |||||||||||
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10.54 | % | 9.91 | % | (1.82 | )% | 2.28 | % | (0.48 | )% | 0.18 | % | |||||||||||
$ | 64,653 | $ | 51,484 | $ | 4,411 | $ | 591,588 | $ | 332,654 | $ | 12,013 | |||||||||||
0.20 | %(6) | 0.20 | % | 0.20 | %(6) | 0.90 | %(6) | 0.90 | %(6) | 0.20 | %(6) | |||||||||||
0.05 | %(6) | 0.04 | % | 0.05 | %(6) | 0.90 | %(6) | 0.90 | %(6) | 0.20 | %(6) | |||||||||||
2.75 | %(6) | 3.23 | % | 4.48 | %(6) | 3.00 | %(6) | 1.97 | %(6) | 0.29 | %(6) | |||||||||||
38 | % | 123 | % | 25 | % | 34 | % | 4 | % | 12 | % |
15
Table of Contents
NOTES TO FINANCIAL STATEMENTS
December 31, 2013 (Unaudited)
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 December 31, 2013, the Trust offered five (5) 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 five (5) Funds: SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF, SPDR SSgA Global Allocation ETF, SPDR Blackstone / GSO Senior Loan ETF and SPDR SSgA Ultra Short Term Bond 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, Blackstone / GSO Senior Loan Portfolio and SSgA Ultra Short Term Bond 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, 99.99% for SPDR Blackstone / GSO Senior Loan ETF and 99.99% for SPDR SSgA Ultra Short Term Bond ETF, at December 31, 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 December 31, 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.
16
Table of Contents
SSgA ACTIVE ETF TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
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 Funds are allocated a pro-rata share of the expense 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 period ended December 31, 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 | $ | 1,175,720 | ||
SPDR SSgA Income Allocation ETF | 907,124 | |||
SPDR SSgA Global Allocation ETF | 566,601 | |||
SPDR Blackstone / GSO Senior Loan ETF | — | |||
SPDR SSgA Ultra Short Term Bond ETF | — |
17
Table of Contents
SSgA ACTIVE ETF TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
At December 31, 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 | — |
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 and SPDR SSgA Ultra Short Term Bond 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 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 | |||
SPDR SSgA Ultra Short Term Bond ETF | 0.20 |
* | 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, SPDR SSgA Global Allocation ETF, and SPDR SSgA Ultra Short Term Bond ETF, acquired fund fees and expenses of each Fund’s respective Portfolio. For the period ended December 31, 2013, the net annualized advisory fee was 0.04%, 0.15%, (0.15%), 0.60% and 0.00% for the SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF, SPDR SSgA Global Allocation ETF, SPDR Blackstone / GSO Senior Loan ETF and SPDR SSgA Ultra Short Term Bond ETF, respectively. For the SPDR SSgA Global Allocation ETF the reduction resulted in a fee reimbursement which is identified on the Statements 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, 2014 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.
18
Table of Contents
SSgA ACTIVE ETF TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
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 $170,000 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.
19
Table of Contents
OTHER INFORMATION
December 31, 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 July 1, 2013 and held for the six months ended December 31, 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 7/1/13 | Ending Account Value 12/31/13 | Expenses Paid During Period* 7/1/13 to 12/31/13 | ||||||||||||
SPDR SSgA Multi-Asset Real Return ETF | 0.25 | % | $ | 1,000 | $ | 1,060.80 | $ | 1.30 | ||||||||
SPDR SSgA Income Allocation ETF | 0.36 | 1,000 | 1,047.40 | 1.86 | ||||||||||||
SPDR SSgA Global Allocation ETF | 0.05 | 1,000 | 1,105.40 | 0.27 | ||||||||||||
SPDR Blackstone / GSO Senior Loan ETF | 0.90 | 1,000 | 1,022.80 | 4.59 | ||||||||||||
SPDR SSgA Ultra Short Term Bond ETF** | 0.20 | 1,000 | 1,001.80 | 0.46 | ||||||||||||
Hypothetical (assuming a 5% return before expenses) | ||||||||||||||||
SPDR SSgA Multi-Asset Real Return ETF | 0.25 | 1,000 | 1,023.95 | 1.28 | ||||||||||||
SPDR SSgA Income Allocation ETF | 0.36 | 1,000 | 1,023.39 | 1.84 | ||||||||||||
SPDR SSgA Global Allocation ETF | 0.05 | 1,000 | 1,024.95 | 0.26 | ||||||||||||
SPDR Blackstone / GSO Senior Loan ETF | 0.90 | 1,000 | 1,020.67 | 4.58 | ||||||||||||
SPDR SSgA Ultra Short Term Bond ETF** | 0.20 | 1,000 | 1,010.92 | 0.46 |
* | 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 10/9/13. Hypothetical period is from 7/1/13. |
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SSgA ACTIVE ETF TRUST
OTHER INFORMATION (continued)
December 31, 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 a Fund voted proxies relating to its portfolio securities during the 12-month 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 December 31, 2013, the Board of Trustees of the Trusts (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 SSgA Ultra Short Term Bond ETF, a new series of the Active Trust (the “New ETF” and together with the Current ETFs, the “SPDR ETFs”), and its underlying master fund, the SSgA Ultra Short Term Bond Portfolio, both of which commenced operations during the most recent fiscal half-year period covered by this Semi-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 portfolio management and compliance of, the New ETF. The Board also considered the portfolio management 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 best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment business and that of its affiliates which make up State Street Global Advisors, 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 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.
21
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SSgA ACTIVE ETF TRUST
OTHER INFORMATION (continued)
December 31, 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.
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 ETFs. The Board also reviewed the estimated expense ratio for the New ETF, noting the differences in fees between the feeder and corresponding master funds 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 SPDR ETF by way of the relatively low fee structure of the Trust.
22
Table of Contents
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)
SPDR Barclays Short Term Corporate Bond ETF (SCPB)
SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)
SPDR Barclays Long Term Corporate Bond ETF (LWC)
SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)
SPDR Barclays Convertible Securities ETF (CWB)
Table of Contents
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 MSCI EM Beyond BRIC ETF (EMBB)
SPDR Russell/Nomura PRIMETM Japan ETF (JPP)
SPDR Russell/Nomura Small CapTM Japan ETF (JSC)
SPDR S&P Global Dividend ETF (WDIV)
SPDR S&P International Dividend ETF (DWX)
SPDR S&P International Mid Cap ETF (MDD)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
SPDR Dow Jones Global Real Estate ETF (RWO)
SPDR S&P International Consumer Discretionary Sector ETF (IPD)
SPDR S&P International Consumer Staples Sector ETF (IPS)
SPDR S&P International Energy Sector ETF (IPW)
SPDR S&P International Financial Sector ETF (IPF)
SPDR S&P International Health Care Sector ETF (IRY)
SPDR S&P International Industrial Sector ETF (IPN)
SPDR S&P International Materials Sector ETF (IRV)
SPDR S&P International Technology Sector ETF (IPK)
SPDR S&P International Telecommunications Sector ETF (IST)
SPDR S&P International Utilities Sector ETF (IPU)
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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 SSgA Ultra Short Term Bond ETF (ULST)
SPDR MFS Systematic Core Equity ETF (SYE)
SPDR MFS Systematic Value Equity ETF (SYV)
SPDR MFS Systematic Growth Equity ETF (SYG)
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. ALPS Portfolio Solutions Distributors, Inc. is the distributor for all investment portfolios of The Select Sector SPDR Trust.
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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
Danio Mastropieri, Assistant Secretary
Brian Harris, 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.
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SSgA Master Trust
Semi-Annual Report December 31, 2013
Table of Contents
Portfolio Summary | ||||
1 | ||||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
Schedules of Investments | ||||
6 | ||||
7 | ||||
8 | ||||
9 | ||||
15 | ||||
17 | ||||
22 | ||||
24 | ||||
32 |
Table of Contents
SSgA MULTI-ASSET REAL RETURN PORTFOLIO
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2013
DESCRIPTION | SPDR S&P GLOBAL NATURAL RESOURCES ETF | SPDR BARCLAYS TIPS ETF | POWERSHARES DB COMMODITY INDEX TRACKING FUND | SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF | SPDR DOW JONES REIT ETF | |||||||||
MARKET VALUE | $41,303,409 | 13,994,306 | 11,999,788 | 10,187,277 | 9,466,295 | |||||||||
% OF NET ASSETS | 37.6 | 12.7 | 10.9 | 9.3 | 8.6 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2013*
PERCENT OF NET ASSET | ||||||||
Natural Resources | 50.6 | % | ||||||
Inflation Linked | 19.0 | |||||||
Real Estate | 17.9 | |||||||
Commodities | 11.4 | |||||||
Short Term Investment | 0.4 | |||||||
Other Assets & Liabilities | 0.7 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
1
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SSgA INCOME ALLOCATION PORTFOLIO
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2013
DESCRIPTION | SPDR S&P DIVIDEND ETF | SPDR BARCLAYS LONG TERM CORPORATE BOND ETF | SPDR BARCLAYS LONG TERM TREASURY ETF | SPDR BARCLAYS HIGH YIELD BOND ETF | SPDR S&P INTERNATIONAL DIVIDEND ETF | |||||||||
MARKET VALUE | $15,903,707 | 11,542,984 | 7,891,759 | 6,997,087 | 6,640,960 | |||||||||
% OF NET ASSETS | 15.7 | 11.4 | 7.8 | 6.9 | 6.6 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2013*
PERCENT OF NET ASSET | ||||||||
Domestic Fixed Income | 30.5 | % | ||||||
Domestic Equity | 26.8 | |||||||
International Equity | 24.1 | |||||||
Real Estate | 11.7 | |||||||
International Fixed Income | 4.0 | |||||||
Inflation Linked | 1.4 | |||||||
Short Term Investment | 0.8 | |||||||
Other Assets & Liabilities | 0.7 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s asset allocation is expressed as a percentage of net assets and may change over time. |
2
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SSgA GLOBAL ALLOCATION PORTFOLIO
TOP FIVE HOLDINGS AS OF DECEMBER 31, 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 BARCLAYS HIGH YIELD BOND ETF | |||||||||
MARKET VALUE | $13,009,823 | 7,946,719 | 6,930,713 | 3,991,193 | 3,819,860 | |||||||||
% OF NET ASSETS | 19.9 | 12.2 | 10.6 | 6.1 | 5.9 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
ASSET ALLOCATION AS OF DECEMBER 31, 2013*
PERCENT OF NET ASSET | ||||||||
International Equity | 37.0 | % | ||||||
Domestic Equity | 27.4 | |||||||
Domestic Fixed Income | 18.5 | |||||||
Real Estate | 5.6 | |||||||
International Fixed Income | 4.9 | |||||||
Inflation Linked | 4.8 | |||||||
Short Term Investment | 1.2 | |||||||
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. |
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BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2013
DESCRIPTION | LAS VEGAS SANDS LLC, SENIOR SECURED TERM LOAN B, 3.25%, 12/20/20 | DELL, INC., SENIOR SECURED TERM LOAN, 4.50%, 4/29/20. | US FOODS, INC., SENIOR SECURED TERM LOAN, 4.50%, 3/29/19 | DELTA 2 (LUX) S.A.R.L., SENIOR SECURED TERM LOAN B, 4.50%, 4/30/19 | CUMULUS MEDIA HOLDINGS, INC., SENIOR SECURED TERM LOAN, 4.25%, 12/12/20 | |||||||||
MARKET VALUE | $8,357,558 | 7,127,250 | 6,753,702 | 6,629,480 | 6,338,952 | |||||||||
% OF NET ASSETS | 1.4 | 1.2 | 1.1 | 1.1 | 1.1 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2013*
PERCENT OF NET ASSET | ||||||||
Hotels, Restaurants & Leisure | 7.1 | % | ||||||
Media | 6.1 | |||||||
Specialty Retail | 4.8 | |||||||
Software | 4.1 | |||||||
Commercial Services & Supplies | 3.9 | |||||||
Diversified Telecommunication Services | 3.7 | |||||||
Food & Staples Retailing | 3.5 | |||||||
Health Care Providers & Services | 2.9 | |||||||
Food Products | 2.8 | |||||||
Diversified Consumer Services | 2.5 | |||||||
Building Products | 2.4 | |||||||
Chemicals | 2.4 | |||||||
Communications Equipment | 2.4 | |||||||
Health Care Equipment & Supplies | 2.4 | |||||||
Insurance | 2.3 | |||||||
Airlines | 2.1 | |||||||
Independent Power Producers & Energy Traders | 2.0 | |||||||
Pharmaceuticals | 1.9 | |||||||
Multiline Retail | 1.6 | |||||||
Auto Components | 1.5 | |||||||
Semiconductors & Semiconductor Equipment | 1.5 | |||||||
Wireless Telecommunication Services | 1.5 | |||||||
IT Services | 1.4 | |||||||
Personal Products | 1.4 | |||||||
Internet Software & Services | 1.3 | |||||||
Computers & Peripherals | 1.2 |
PERCENT OF NET ASSET | ||||||||
Containers & Packaging | 1.2 | % | ||||||
Life Sciences Tools & Services | 1.2 | |||||||
Oil, Gas & Consumable Fuels | 1.2 | |||||||
Aerospace & Defense | 1.0 | |||||||
Household Durables | 0.9 | |||||||
Machinery | 0.9 | |||||||
Metals & Mining | 0.9 | |||||||
Capital Markets | 0.8 | |||||||
Leisure Equipment & Products | 0.8 | |||||||
Biotechnology | 0.7 | |||||||
Consumer Finance | 0.7 | |||||||
Electronic Equipment, Instruments & Components | 0.7 | |||||||
Industrial Conglomerates | 0.7 | |||||||
Diversified Financial Services | 0.6 | |||||||
Electric Utilities | 0.6 | |||||||
Professional Services | 0.6 | |||||||
Distributors | 0.5 | |||||||
Energy Equipment & Services | 0.5 | |||||||
Health Care Technology | 0.5 | |||||||
Road & Rail | 0.4 | |||||||
Automobiles | 0.3 | |||||||
Multi-Utilities | 0.3 | |||||||
Real Estate Management & Development | 0.3 | |||||||
Trading Companies & Distributors | 0.3 | |||||||
Air Freight & Logistics | 0.2 | |||||||
Short Term Investments | 15.4 | |||||||
Other Assets & Liabilities | (2.9 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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SSgA ULTRA SHORT TERM BOND PORTFOLIO
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2013
�� | ||||||||||||||
DESCRIPTION | TREASURY NOTE, 0.25%, 6/30/14 | PACCAR, INC., 6.88%, 2/15/14 | HONDA AUTO RECEIVABLES OWNER TRUST, 0.70%, 2/16/16 | VOLKSWAGEN AUTO LEASE TRUST, 0.87%, 7/20/15 | BOEING CAPITAL CORP., 3.25%, 10/27/14 | |||||||||
MARKET VALUE | $800,625 | 503,628 | 400,801 | 384,049 | 358,136 | |||||||||
% OF NET ASSETS | 6.7 | 4.2 | 3.3 | 3.2 | 3.0 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular Fund.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2013*
PERCENT OF NET ASSET | ||||||||
Automobiles | 30.9 | % | ||||||
Commercial Banks | 21.8 | |||||||
Diversified Financial Services | 14.9 | |||||||
Machinery | 4.2 | |||||||
Media | 3.8 | |||||||
Diversified Telecommunication Services | 3.6 | |||||||
Consumer Finance | 2.7 | |||||||
Credit Card Receivables | 2.1 | |||||||
Beverages | 1.7 | |||||||
Health Care Providers & Services | 1.7 | |||||||
Oil, Gas & Consumable Fuels | 1.3 | |||||||
Pharmaceuticals | 1.3 | |||||||
Road & Rail | 1.0 | |||||||
U.S. Treasury Obligations | 6.7 | |||||||
Short Term Investments | 2.0 | |||||||
Other Assets & Liabilities | 0.3 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
5
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SSgA Multi-Asset Real Return Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2013 (Unaudited)
Security Description | Shares | Value | ||||||
EXCHANGE TRADED PRODUCTS — 98.9% |
| |||||||
COMMODITIES — 11.4% |
| |||||||
PowerShares DB Commodity Index Tracking Fund (a) | 467,828 | $ | 11,999,788 | |||||
PowerShares DB Gold Fund (a) | 13,504 | 545,022 | ||||||
PowerShares DB Oil Fund (a) | 548 | 15,185 | ||||||
|
| |||||||
12,559,995 | ||||||||
|
| |||||||
INFLATION LINKED — 19.0% |
| |||||||
SPDR Barclays TIPS ETF (b) | 257,201 | 13,994,306 | ||||||
SPDR DB International Government Inflation-Protected Bond ETF (b) | 119,086 | 6,960,577 | ||||||
|
| |||||||
20,954,883 | ||||||||
|
| |||||||
NATURAL RESOURCES — 50.6% |
| |||||||
Market Vectors Gold Miners ETF | 34,875 | 736,560 | ||||||
PowerShares Global Agriculture Portfolio | 127,245 | 3,817,350 | ||||||
SPDR S&P Global Natural Resources ETF (b) | 822,122 | 41,303,409 | ||||||
SPDR S&P International Energy Sector ETF (b) | 85,728 | 2,235,066 | ||||||
SPDR S&P Metals & Mining ETF (b) | 101,746 | 4,281,472 | ||||||
The Energy Select Sector SPDR Fund (b) | 36,410 | 3,222,649 | ||||||
|
| |||||||
55,596,506 | ||||||||
|
| |||||||
REAL ESTATE — 17.9% |
| |||||||
SPDR Dow Jones International Real Estate ETF (b) | 247,264 | 10,187,277 | ||||||
SPDR Dow Jones REIT ETF (b) | 132,823 | 9,466,295 | ||||||
|
| |||||||
19,653,572 | ||||||||
|
| |||||||
TOTAL EXCHANGE TRADED PRODUCTS | 108,764,956 | |||||||
|
| |||||||
SHORT TERM INVESTMENT — 0.4% |
| |||||||
MONEY MARKET FUND — 0.4% |
| |||||||
State Street Institutional Liquid Reserves Fund 0.06% (b) (c) | 387,793 | 387,793 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.3% (d) | 109,152,749 | |||||||
OTHER ASSETS & LIABILITIES — 0.7% | 790,263 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 109,943,012 | ||||||
|
|
(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.
6
Table of Contents
SSgA Income Allocation Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2013 (Unaudited)
Security Description | Shares | Value | ||||||
EXCHANGE TRADED PRODUCTS — 98.5% |
| |||||||
DOMESTIC EQUITY — 26.8% |
| |||||||
SPDR S&P Dividend ETF (a) | 218,999 | $ | 15,903,707 | |||||
SPDR Wells Fargo Preferred Stock ETF (a) | 166,384 | 6,558,857 | ||||||
The Financial Select Sector SPDR Fund (a) | 69,790 | 1,525,609 | ||||||
The Health Care Select Sector SPDR | 18,170 | 1,007,345 | ||||||
The Industrial Select Sector SPDR Fund (a) | 19,767 | 1,033,024 | ||||||
The Utilities Select Sector SPDR Fund (a) | 26,983 | 1,024,545 | ||||||
|
| |||||||
27,053,087 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 30.5% |
| |||||||
SPDR Barclays Aggregate Bond ETF (a) | 15,682 | 882,583 | ||||||
SPDR Barclays Convertible Securities ETF (a) | 43,405 | 2,028,315 | ||||||
SPDR Barclays High Yield Bond ETF (a) | 172,512 | 6,997,087 | ||||||
SPDR Barclays Long Term Corporate Bond ETF (a) | 310,964 | 11,542,984 | ||||||
SPDR Barclays Long Term Treasury ETF (a) | 131,881 | 7,891,759 | ||||||
SPDR Nuveen Barclays Build America Bond ETF (a) | 27,895 | 1,501,588 | ||||||
|
| |||||||
30,844,316 | ||||||||
|
| |||||||
INFLATION LINKED — 1.4% |
| |||||||
SPDR Barclays TIPS ETF (a) | 27,124 | 1,475,817 | ||||||
|
| |||||||
INTERNATIONAL EQUITY — 24.1% |
| |||||||
SPDR EURO STOXX 50 ETF (a) | 37,248 | 1,571,866 | ||||||
SPDR S&P Emerging Markets Dividend ETF (a) | 150,248 | 5,868,687 | ||||||
SPDR S&P Global Infrastructure ETF (a) | 112,938 | 5,074,304 | ||||||
SPDR S&P International Dividend ETF (a) | 139,957 | 6,640,960 | ||||||
SPDR STOXX Europe 50 ETF (a) | 132,235 | 5,200,802 | ||||||
|
| |||||||
24,356,619 | ||||||||
|
| |||||||
INTERNATIONAL FIXED INCOME — 4.0% |
| |||||||
SPDR Barclays Emerging Markets Local Bond ETF (a) | 100,645 | 2,994,189 | ||||||
SPDR Barclays International Corporate Bond ETF (a) | 27,675 | 1,015,672 | ||||||
|
| |||||||
4,009,861 | ||||||||
|
| |||||||
REAL ESTATE — 11.7% | ||||||||
SPDR Dow Jones International Real Estate ETF (a) | 156,972 | 6,467,247 | ||||||
SPDR Dow Jones REIT ETF (a) | 75,512 | 5,381,740 | ||||||
|
| |||||||
11,848,987 | ||||||||
|
| |||||||
TOTAL EXCHANGE TRADED PRODUCTS | 99,588,687 | |||||||
|
|
Security Description | Shares | Value | ||||||
SHORT TERM INVESTMENT — 0.8% |
| |||||||
MONEY MARKET FUND — 0.8% |
| |||||||
State Street Institutional Liquid Reserves Fund 0.06% (a) (b) | 752,517 | $ | 752,517 | |||||
|
| |||||||
TOTAL INVESTMENTS — 99.3% (c) | 100,341,204 | |||||||
OTHER ASSETS & | 732,986 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 101,074,190 | ||||||
|
|
(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.
7
Table of Contents
SSgA Global Allocation Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2013 (Unaudited)
Security Description | Shares | Value | ||||||
EXCHANGE TRADED PRODUCTS — 98.2% |
| |||||||
DOMESTIC EQUITY — 27.4% |
| |||||||
SPDR S&P 500 ETF Trust (a) | 43,032 | $ | 7,946,719 | |||||
SPDR S&P 500 Value ETF (a) | 7,103 | 657,738 | ||||||
SPDR S&P 600 Small Cap ETF (a) | 31,675 | 3,252,706 | ||||||
SPDR S&P Dividend ETF (a) | 8,966 | 651,111 | ||||||
SPDR S&P MidCap 400 ETF Trust (a) | 5,436 | 1,327,471 | ||||||
The Consumer Discretionary Select Sector SPDR Fund (a) | 20,054 | 1,340,209 | ||||||
The Health Care Select Sector SPDR Fund (a) | 23,912 | 1,325,681 | ||||||
The Industrial Select Sector SPDR Fund (a) | 25,987 | 1,358,081 | ||||||
|
| |||||||
17,859,716 | ||||||||
|
| |||||||
DOMESTIC FIXED INCOME — 18.5% |
| |||||||
SPDR Barclays Aggregate Bond ETF (a) | 123,147 | 6,930,713 | ||||||
SPDR Barclays High Yield Bond ETF (a) | 94,178 | 3,819,860 | ||||||
SPDR Barclays Long Term Corporate Bond ETF (a) | 34,513 | 1,281,122 | ||||||
|
| |||||||
12,031,695 | ||||||||
|
| |||||||
INFLATION LINKED — 4.8% |
| |||||||
SPDR Barclays TIPS ETF (a) | 40,220 | 2,188,370 | ||||||
SPDR DB International Government Inflation-Protected Bond ETF (a) | 16,160 | 944,552 | ||||||
|
| |||||||
3,132,922 | ||||||||
|
| |||||||
INTERNATIONAL EQUITY — 37.0% |
| |||||||
SPDR Russell/Nomura PRIME Japan ETF (a) | 85,906 | 3,991,193 | ||||||
SPDR S&P Emerging Markets ETF (a) | 39,827 | 2,559,283 | ||||||
SPDR S&P International Small Cap ETF (a) | 57,984 | 1,948,262 | ||||||
SPDR S&P World ex-US ETF (a) | 442,963 | 13,009,823 | ||||||
SPDR STOXX Europe 50 ETF (a) | 67,339 | 2,648,443 | ||||||
|
| |||||||
24,157,004 | ||||||||
|
| |||||||
INTERNATIONAL FIXED INCOME — 4.9% |
| |||||||
SPDR Barclays International Corporate Bond ETF (a) | 53,232 | 1,953,615 | ||||||
SPDR Barclays International Treasury Bond ETF (a) | 21,907 | 1,264,910 | ||||||
|
| |||||||
3,218,525 | ||||||||
|
| |||||||
REAL ESTATE — 5.6% |
| |||||||
SPDR Dow Jones International Real Estate ETF (a) | 44,949 | 1,851,899 | ||||||
SPDR Dow Jones REIT ETF (a) | 25,599 | 1,824,441 | ||||||
|
| |||||||
3,676,340 | ||||||||
|
| |||||||
TOTAL EXCHANGE TRADED PRODUCTS |
| 64,076,202 | ||||||
|
|
Security Description | Shares | Value | ||||||
SHORT TERM INVESTMENT — 1.2% |
| |||||||
MONEY MARKET FUND — 1.2% |
| |||||||
State Street Institutional Liquid | 791,360 | $ | 791,360 | |||||
|
| |||||||
TOTAL INVESTMENTS — 99.4% (c) |
| 64,867,562 | ||||||
OTHER ASSETS & LIABILITIES — 0.6% | 403,693 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 65,271,255 | ||||||
|
|
(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.
8
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2013 (Unaudited)
Security Description | Principal | Value | ||||||
SENIOR FLOATING RATE LOANS* — 82.8% |
| |||||||
AEROSPACE & DEFENSE — 1.0% |
| |||||||
Booz Allen Hamilton, Inc., Senior Secured Term Loan, 3.75%, 7/31/19 | $ | 2,979,887 | $ | 2,992,924 | ||||
DigitalGlobe, Inc., Senior Secured Term Loan B, 3.75%, 1/31/20 | 1,985,000 | 1,999,580 | ||||||
Spirit Aerosystems, Inc., Senior Secured Term Loan B, 3.75%, 4/18/19 | 994,950 | 1,001,944 | ||||||
|
| |||||||
5,994,448 | ||||||||
|
| |||||||
AIR FREIGHT & LOGISTICS — 0.2% |
| |||||||
Kenan Advantage Group, Inc., Senior Secured Term Loan, 3.75%, 6/10/16 | 1,373,998 | 1,377,433 | ||||||
|
| |||||||
AIRLINES — 2.1% |
| |||||||
Delta Air Lines, Inc. | ||||||||
Senior Secured Term Loan B, 3.50%, 4/20/17 | 1,984,733 | 1,997,137 | ||||||
Senior Secured Term Loan B1, 4.00%, 10/18/18 | 2,982,431 | 3,001,444 | ||||||
United Airlines, Inc., Senior Secured Term Loan B, 4.00%, 4/1/19 | 3,984,987 | 4,014,875 | ||||||
US Airways Group, Inc., Senior Secured Term Loan B1, 4.00%, 5/23/19 | 3,287,402 | 3,313,405 | ||||||
|
| |||||||
12,326,861 | ||||||||
|
| |||||||
AUTO COMPONENTS — 1.5% |
| |||||||
Affinia Group Intermediate Holdings, Inc., Senior Secured Term Loan B2, 4.75%, 4/27/20 (a) | 1,990,000 | 2,019,850 | ||||||
Allison Transmission, Inc., Senior Secured Term Loan B3, 3.75%, 8/23/19 | 3,976,250 | 4,000,108 | ||||||
Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan, 4.75%, 7/26/19 | 2,674,878 | 2,711,229 | ||||||
|
| |||||||
8,731,187 | ||||||||
|
| |||||||
AUTOMOBILES — 0.3% |
| |||||||
Chrysler Group LLC, Senior Secured Term Loan B, 4.25%, 5/24/17 | 1,989,822 | 2,007,362 | ||||||
|
| |||||||
BIOTECHNOLOGY — 0.7% |
| |||||||
Grifols, Inc., Senior Secured Term Loan B, 4.25%, 6/1/17 | 3,963,805 | 3,994,069 | ||||||
|
| |||||||
BUILDING PRODUCTS — 2.4% |
| |||||||
ABC Supply Co., Inc., Senior Secured Term Loan, 3.50%, 4/16/20 | 3,074,459 | 3,084,066 | ||||||
Apex Tool Group LLC, Senior Secured Term Loan B, 4.50%, 1/31/20 | 2,987,494 | 3,006,375 | ||||||
Armstrong World Industries, Inc., Senior Secured Term Loan B, 3.50%, 3/16/20 | 2,982,475 | 2,986,203 | ||||||
Quikrete Holdings, Inc., Senior Secured First Lien Term Loan, 4.00%, 9/28/20 | 5,000,000 | 5,031,675 | ||||||
|
| |||||||
14,108,319 | ||||||||
|
|
Security Description | Principal | Value | ||||||
CAPITAL MARKETS — 0.8% |
| |||||||
LPL Holdings, Inc., Senior Secured Term Loan B, 3.25%, 3/29/19 | $ | 1,917,124 | $ | 1,918,082 | ||||
RPI Finance Trust | ||||||||
Senior Secured Term Loan B2, 3.25%, 5/9/18 (a) | 1,980,673 | 1,992,438 | ||||||
Senior Secured Term Loan B3, 3.25%, 11/9/18 | 985,724 | 988,805 | ||||||
|
| |||||||
4,899,325 | ||||||||
|
| |||||||
CHEMICALS — 2.4% |
| |||||||
Axalta Coating Systems US Holdings, Inc., Senior Secured Term Loan, 4.75%, 2/1/20 | 5,711,862 | 5,759,357 | ||||||
Huntsman International LLC, Senior Secured Incremental Term Loan, LIBOR + 3.00%, 10/15/20 | 2,398,524 | 2,405,120 | ||||||
Ineos US Finance LLC, Senior Secured 6 Year Term Loan, 4.00%, 5/4/18 | 2,962,899 | 2,978,336 | ||||||
Univar, Inc., Senior Secured Term Loan B, 5.00%, 6/30/17 | 2,992,302 | 2,973,809 | ||||||
|
| |||||||
14,116,622 | ||||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 3.7% |
| |||||||
4L Holdings LLC, Senior Secured Term Loan B, 6.75%, 5/7/18 (a) | 3,310,829 | 3,310,829 | ||||||
ADS Waste Holdings, Inc., Senior Secured Term Loan B, 4.25%, 10/9/19 | 3,974,912 | 4,001,703 | ||||||
Aramark Corp. | ||||||||
Senior Secured Extended Term Loan C, 3.75%, 7/26/16 | 2,000,000 | 2,007,750 | ||||||
Senior Secured Term Loan D, 4.00%, 9/9/19 | 2,000,000 | 2,015,400 | ||||||
Asurion LLC | ||||||||
Senior Secured Term Loan B2, 3.50%, 7/8/20 | 2,602,308 | 2,551,693 | ||||||
Senior Secured Term Loan B1, 4.50%, 5/24/19 | 3,179,440 | 3,183,541 | ||||||
KAR Auction Services, Inc., Senior Secured Term Loan B, 3.75%, 5/19/17 | 992,741 | 999,412 | ||||||
Monitronics International, Inc., Senior Secured Term Loan B, 4.25%, 3/23/18 (a) | 2,134,067 | 2,154,960 | ||||||
West Corp., Senior Secured Term Loan B8, 3.75%, 6/29/18 | 1,973,711 | 1,985,119 | ||||||
|
| |||||||
22,210,407 | ||||||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 2.1% |
| |||||||
Alcatel-Lucent USA, Inc., Senior Secured Term Loan C, 5.75%, 1/30/19 | 5,534,307 | 5,569,394 | ||||||
Blue Coat Systems, Inc., Senior Secured Term Loan, 4.50%, 5/31/19 (a) | 5,050,734 | 5,075,988 | ||||||
Penton Media, Inc., Senior Secured First Lien Term Loan, 5.50%, 10/1/19 | 1,596,000 | 1,593,016 | ||||||
|
| |||||||
12,238,398 | ||||||||
|
| |||||||
COMPUTERS & PERIPHERALS — 1.2% |
| |||||||
Dell, Inc., Senior Secured Term Loan, 4.50%, 4/29/20 | 7,090,909 | 7,127,250 | ||||||
|
|
See accompanying notes to financial statements.
9
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2013 (Unaudited)
Security Description | Principal | Value | ||||||
CONSUMER FINANCE — 0.7% |
| |||||||
Moneygram International, Inc., Senior Secured Term Loan B, 4.25%, 3/27/20 | $ | 3,979,950 | $ | 4,021,421 | ||||
|
| |||||||
CONTAINERS & PACKAGING — 1.1% |
| |||||||
Berry Plastics Holding Corp. | ||||||||
Senior Secured Term Loan E, | 1,220,052 | 1,220,815 | ||||||
Senior Secured Term Loan D, 3.50%, 2/7/20 | 2,979,987 | 2,976,635 | ||||||
Reynolds Group Issuer, Inc., | 2,487,437 | 2,513,717 | ||||||
|
| |||||||
6,711,167 | ||||||||
|
| |||||||
DISTRIBUTORS — 0.5% |
| |||||||
Exopack Holdings SA, Senior Secured Term Loan B, 5.25%, 5/8/19 | 750,000 | 764,062 | ||||||
McJunkin Red Man Corp., Senior Secured Term Loan, 5.00%, 11/8/19 | 2,318,514 | 2,354,022 | ||||||
|
| |||||||
3,118,084 | ||||||||
|
| |||||||
DIVERSIFIED CONSUMER SERVICES — 2.1% |
| |||||||
Bright Horizons Family Solutions, Inc., Senior Secured Term Loan B, 4.00%, 1/30/20 | 3,972,418 | 4,002,827 | ||||||
ServiceMaster Co. | ||||||||
Senior Secured Term Loan, | 3,977,406 | 3,948,192 | ||||||
Senior Secured Extended Term Loan, 4.42%, 1/31/17 | 3,977,292 | 3,958,658 | ||||||
Weight Watchers International, Inc., Senior Secured Term Loan B2, 3.75%, 4/2/20 | 511,313 | 457,434 | ||||||
|
| |||||||
12,367,111 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 0.6% |
| |||||||
AlixPartners LLP, Senior Secured Term Loan B2, 5.00%, 7/10/20 | 2,463,800 | 2,485,358 | ||||||
One Call Medical, Inc., Senior Secured First Lien Term Loan, 5.00%, 11/27/20 | 1,234,568 | 1,237,074 | ||||||
|
| |||||||
3,722,432 | ||||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.2% |
| |||||||
Crown Castle International Corp., Senior Secured Term Loan, 3.25%, 1/31/19 | 2,984,975 | 2,991,079 | ||||||
Global Tel*Link Corp., Senior Secured First Lien Term Loan, 5.00%, 5/22/20 | 2,913,929 | 2,854,747 | ||||||
Intelsat Jackson Holdings, Ltd., Senior Secured Term Loan B2, 3.75%, 6/30/19 | 2,891,243 | 2,917,842 | ||||||
LTS Buyer LLC, Senior Secured First Lien Term Loan, 4.50%, 4/13/20 | 2,487,500 | 2,501,890 | ||||||
Telesat LLC, Senior Secured Term Loan B2, 3.50%, 3/28/19 | 1,985,000 | 1,992,851 | ||||||
Virgin Media Investment Holdings, Ltd., Senior Secured Term Loan B, 3.50%, 6/8/20 | 2,000,000 | 2,005,970 |
Security Description | Principal | Value | ||||||
Windstream Corp., Senior Secured Term Loan B4, 3.50%, 1/23/20 | $ | 1,984,962 | $ | 1,991,523 | ||||
Zayo Group LLC, Senior Secured Term Loan B, 4.00%, 7/2/19 | 1,984,892 | 1,989,854 | ||||||
|
| |||||||
19,245,756 | ||||||||
|
| |||||||
ELECTRIC UTILITIES — 0.6% |
| |||||||
Calpine Construction Finance Company LP, Senior Secured Term Loan B2, 3.25%, 1/31/22 | 789,683 | 784,352 | ||||||
EFS Cogen Holdings I, Inc., Senior Secured Term Loan B, 3.75%, 12/1/20 (a) | 925,926 | 934,028 | ||||||
La Frontera Generation LLC, Senior Secured Term Loan, 4.50%, 9/30/20 | 1,868,261 | 1,891,035 | ||||||
|
| |||||||
3,609,415 | ||||||||
|
| |||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.7% |
| |||||||
CDW LLC, Senior Secured Term Loan, 3.25%, 4/29/20 | 4,138,578 | 4,133,922 | ||||||
|
| �� | ||||||
ENERGY EQUIPMENT & SERVICES — 0.5% |
| |||||||
Sandy Creek Energy Associates LP, Senior Secured Term Loan B, 5.00%, 11/6/20 | 3,116,883 | 3,122,478 | ||||||
|
| |||||||
FOOD & STAPLES RETAILING — 3.5% |
| |||||||
Albertson’s LLC, Senior Secured Term Loan B2, 4.75%, 3/21/19 | 4,670,338 | 4,703,404 | ||||||
BJ’s Wholesale Club, Inc., Senior Secured First Lien Term Loan, 4.50%, 9/26/19 | 4,477,469 | 4,510,400 | ||||||
Sprouts Farmers Markets Holdings LLC, Senior Secured Term Loan, 4.00%, 4/23/20 (a) | 1,582,500 | 1,590,745 | ||||||
Supervalu, Inc., Senior Secured Term Loan B, 5.00%, 3/21/19 | 2,969,515 | 3,001,987 | ||||||
US Foods, Inc., Senior Secured Term Loan, 4.50%, 3/29/19 (a) | 6,679,956 | 6,753,702 | ||||||
|
| |||||||
20,560,238 | ||||||||
|
| |||||||
FOOD PRODUCTS — 2.8% |
| |||||||
Del Monte Foods Co., Senior Secured Term Loan, 4.00%, 3/8/18 | 3,944,443 | 3,964,145 | ||||||
Dole Food Co., Inc., Senior Secured Term Loan B, 4.50%, 11/1/18 | 2,345,550 | 2,358,743 | ||||||
H.J. Heinz Co., Senior Secured Term Loan B2, 3.50%, 6/5/20 | 3,980,000 | 4,016,238 | ||||||
New HB Acquisition LLC, Senior Secured Term Loan, 6.75%, 4/9/20 (a) | 4,000,000 | 4,150,000 | ||||||
Pinnacle Foods Finance LLC, Senior Secured Term Loan G, 3.25%, 4/29/20 | 1,989,975 | 1,990,851 | ||||||
|
| |||||||
16,479,977 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.4% |
| |||||||
Hologic, Inc., Senior Secured Term Loan B, 3.75%, 8/1/19 | 2,563,100 | 2,582,643 | ||||||
Immucor, Inc., Senior Secured Term Loan B2, 5.00%, 8/17/18 (a) | 3,474,931 | 3,500,124 |
See accompanying notes to financial statements.
10
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2013 (Unaudited)
Security Description | Principal | Value | ||||||
Kinetic Concepts, Inc., Senior Secured Term Loan D1, 4.50%, 5/4/18 (a) | $ | 3,551,885 | $ | 3,576,304 | ||||
Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 5.00%, 6/7/19 | 4,623,235 | 4,688,538 | ||||||
|
| |||||||
14,347,609 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 2.9% |
| |||||||
Air Medical Group Holdings, Inc., Senior Unsecured Term Loan, 5.00%, 6/30/18 (a) | 3,073,593 | 3,113,934 | ||||||
CHG Buyer Corp., Senior Secured Term Loan, 5.00%, 11/19/19 | 3,860,697 | 3,883,205 | ||||||
DaVita, Inc., Senior Secured Term Loan B, 4.50%, 10/20/16 (a) | 2,976,982 | 3,001,914 | ||||||
Health Management Associates, Inc., Senior Secured Term Loan B, 3.50%, 11/16/18 | 3,076,456 | 3,080,778 | ||||||
Sheridan Holdings, Inc., Senior Secured Term Loan, 4.50%, 6/29/18 | 1,561,766 | 1,569,574 | ||||||
Truven Health Analytics, Inc., Senior Secured Term Loan B, 4.50%, 6/6/19 (a) | 2,867,583 | 2,873,863 | ||||||
|
| |||||||
17,523,268 | ||||||||
|
| |||||||
HEALTH CARE TECHNOLOGY — 0.5% |
| |||||||
IMS Health, Inc., Senior Secured Term Loan B1, 3.75%, 9/1/17 (a) | 2,996,365 | 3,012,755 | ||||||
|
| |||||||
HOTELS, RESTAURANTS & LEISURE — 7.1% |
| |||||||
Caesars Entertainment Operating Co., Inc., Senior Secured Extended Term Loan B5, 4.49%, 1/26/18 | 1,918,648 | 1,818,715 | ||||||
Caesars Entertainment Resort Properties LLC, Senior Secured Term Loan B, 7.00%, 10/12/20 | 5,674,419 | 5,646,046 | ||||||
California Pizza Kitchen, Inc., Senior Secured Term Loan, 5.25%, 3/29/18 (a) | 3,987,481 | 3,911,041 | ||||||
Cedar Fair LP, Senior Secured Term Loan B, 3.25%, 3/6/20 | 1,969,527 | 1,979,719 | ||||||
Centaur LLC, Senior Secured First Lien Term Loan, 5.25%, 2/20/19 (a) | 3,591,870 | 3,642,749 | ||||||
Delta 2 (LUX) S.A.R.L., Senior Secured Term Loan B, 4.50%, 4/30/19 | 6,551,096 | 6,629,480 | ||||||
Dunkin’ Brands, Inc., Senior Secured Term Loan B3, 3.75%, 2/11/20 | 1,983,730 | 1,992,826 | ||||||
Las Vegas Sands LLC, Senior Secured Term Loan B, 3.25%, 12/20/20 | 8,357,558 | 8,357,558 | ||||||
OSI Restaurant Partners LLC, Senior Secured Term Loan, 3.53%, 10/25/19 | 958,974 | 961,252 | ||||||
PGA Holdings, Inc, Senior Secured First Lien Term Loan, 4.25%, 4/20/18 (a) | 3,974,987 | 3,983,693 | ||||||
Pinnacle Entertainment, Inc., Senior Secured Term Loan B2, 3.75%, 8/13/20 | 3,015,152 | 3,032,866 | ||||||
|
| |||||||
41,955,945 | ||||||||
|
|
Security Description | Principal | Value | ||||||
HOUSEHOLD DURABLES — 0.9% |
| |||||||
Spin Holdco, Inc. | ||||||||
Senior Secured Incremental Term Loan B, 4.25%, 11/14/19 | $ | 937,500 | $ | 944,531 | ||||
Senior Secured Term Loan B, 4.25%, 11/14/19 | 2,992,500 | 3,011,203 | ||||||
Tempur-Pedic International, Inc., Senior Secured Term Loan B, 3.50%, 3/18/20 | 1,699,084 | 1,699,993 | ||||||
|
| |||||||
5,655,727 | ||||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.5% |
| |||||||
AES Corp., Senior Secured Term Loan B, 3.75%, 6/1/18 | 3,977,418 | 4,005,121 | ||||||
Calpine Corp. | ||||||||
Senior Secured Term Loan B1, 4.00%, 4/2/18 | 2,482,136 | 2,503,421 | ||||||
Senior Secured Term Loan B3, 4.00%, 10/9/19 | 2,387,909 | 2,407,848 | ||||||
|
| |||||||
8,916,390 | ||||||||
|
| |||||||
INDUSTRIAL CONGLOMERATES — 0.7% |
| |||||||
Sequa Corp., Senior Secured Term Loan B, 5.25%, 6/19/17 | 4,471,153 | 4,378,958 | ||||||
|
| |||||||
INSURANCE — 2.3% |
| |||||||
Alliant Holdings I, Inc., Senior Secured Term Loan B, 4.25%, 12/20/19 | 2,977,444 | 2,994,192 | ||||||
Hub International, Ltd., Senior Secured Term Loan B, 4.75%, 10/2/20 | 4,518,088 | 4,578,992 | ||||||
National Financial Partners Corp., Senior Secured Term Loan, 5.25%, 7/1/20 (a) | 2,985,000 | 3,021,074 | ||||||
Sedgwick CMS Holdings, Inc., Senior Secured First Lien Term Loan, 4.25%, 6/12/18 (a) | 2,929,511 | 2,951,453 | ||||||
|
| |||||||
13,545,711 | ||||||||
|
| |||||||
INTERNET SOFTWARE & SERVICES — 1.3% |
| |||||||
Sabre, Inc., Senior Secured Term Loan B, 5.25%, 2/19/19 | 5,471,134 | 5,520,730 | ||||||
SurveyMonkey.com LLC, Senior Secured Term Loan B, 5.50%, 2/5/19 (a) | 1,985,000 | 2,007,331 | ||||||
|
| |||||||
7,528,061 | ||||||||
|
| |||||||
IT SERVICES — 1.4% |
| |||||||
Information Resources, Inc., Senior Secured Term Loan B, 4.75%, 9/30/20 | 3,067,037 | 3,088,767 | ||||||
SunGard Data Systems, Inc. | ||||||||
Senior Secured Term Loan E, 4.00%, 3/9/20 | 1,987,487 | 2,001,768 | ||||||
Senior Secured Term Loan D, 4.50%, 1/31/20 | 2,979,937 | 3,000,424 | ||||||
|
| |||||||
8,090,959 | ||||||||
|
| |||||||
LEISURE EQUIPMENT & PRODUCTS — 0.5% |
| |||||||
SRAM LLC, Senior Secured Term Loan B, 4.03%, 4/10/20 | 3,041,815 | 3,046,879 | ||||||
|
|
See accompanying notes to financial statements.
11
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2013 (Unaudited)
Security Description | Principal | Value | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.2% |
| |||||||
Pharmaceutical Product Development, Inc., Senior Secured Term Loan B, 4.00%, 12/5/18 | $ | 2,978,690 | $ | 3,003,190 | ||||
Quintiles Transnational Corp., Senior Secured Term Loan B3, 2.75%, 6/8/18 | 4,000,000 | 4,003,480 | ||||||
|
| |||||||
7,006,670 | ||||||||
|
| |||||||
MACHINERY — 0.9% |
| |||||||
Rexnord LLC, Senior Secured First Lien Term Loan B, 4.00%, 8/21/20 | 5,420,000 | 5,441,653 | ||||||
|
| |||||||
MEDIA — 4.7% |
| |||||||
AMC Entertainment, Inc., Senior Secured Term Loan, 3.50%, 4/30/20 | 3,054,293 | 3,062,768 | ||||||
Charter Communications Operating LLC, Senior Secured Term Loan E, 3.00%, 7/1/20 | 3,640,244 | 3,623,572 | ||||||
Cumulus Media Holdings, Inc., Senior Secured Term Loan, 4.25%, 12/12/20 | 6,291,764 | 6,338,952 | ||||||
Interactive Data Corp., Senior Secured Term Loan B, 3.75%, 2/11/18 | 1,990,566 | 1,994,547 | ||||||
MCC Iowa LLC, Senior Secured Term Loan H, 3.25%, 1/29/21 | 1,593,062 | 1,584,300 | ||||||
Univision Communications, Inc. | ||||||||
Senior Secured Term Loan C3, 4.00%, 3/2/20 | 2,011,824 | 2,023,895 | ||||||
Senior Secured Converted Extended Term Loan, 4.50%, 3/2/20 | 2,987,475 | 3,005,893 | ||||||
WideOpenWest Finance LLC, Senior Secured Term Loan B, 4.75%, 4/1/19 | 3,974,975 | 4,001,567 | ||||||
Yankee Cable Acquisition LLC, Senior Secured Term Loan B, 4.50%, 3/2/20 | 2,487,469 | 2,510,279 | ||||||
|
| |||||||
28,145,773 | ||||||||
|
| |||||||
METALS & MINING — 0.9% |
| |||||||
Fairmount Minerals, Ltd. | ||||||||
Senior Secured Term Loan B1, 4.25%, 3/15/17(a) | 1,995,000 | 2,026,172 | ||||||
Senior Secured Term Loan B2, 5.00%, 9/5/19 | 2,992,500 | 3,044,869 | ||||||
|
| |||||||
5,071,041 | ||||||||
|
| |||||||
MULTI-UTILITIES — 0.3% |
| |||||||
Power Team Services LLC | ||||||||
Senior Secured Delayed Draw Term Loan, 3.69%, 5/6/20 (b) | 170,618 | 168,859 | ||||||
Senior Secured First Lien Term Loan, 4.25%, 5/6/20 | 1,358,118 | 1,344,115 | ||||||
|
| |||||||
1,512,974 | ||||||||
|
| |||||||
MULTILINE RETAIL — 1.3% |
| |||||||
Hudson’s Bay Co., Senior Secured First Lien Term Loan, 4.75%, 11/4/20 | 4,000,000 | 4,070,260 | ||||||
The Neiman Marcus Group, Inc., Senior Secured Term Loan B, 5.00%, 10/26/20 | 3,548,387 | 3,597,674 | ||||||
|
| |||||||
7,667,934 | ||||||||
|
|
Security Description | Principal | Value | ||||||
OIL, GAS & CONSUMABLE FUELS — 1.0% |
| |||||||
EMG Utica LLC, Senior Secured Term Loan, 4.75%, 3/27/20 | $ | 3,000,000 | $ | 3,015,015 | ||||
EP Energy LLC | ||||||||
Senior Secured Term Loan B3, 3.50%, 5/24/18 | 2,000,000 | 2,003,750 | ||||||
Senior Secured Term Loan B2, 4.50%, 4/30/19 | 750,000 | 752,344 | ||||||
|
| |||||||
5,771,109 | ||||||||
|
| |||||||
PERSONAL PRODUCTS — 1.4% |
| |||||||
NBTY, Inc., Senior Secured Term Loan B2, 3.50%, 10/1/17 | 3,500,000 | 3,528,123 | ||||||
Revlon Consumer Products Corp., Senior Secured Acquisition Term Loan, 4.00%, 8/19/19 | 5,008,772 | 5,034,592 | ||||||
|
| |||||||
8,562,715 | ||||||||
|
| |||||||
PHARMACEUTICALS — 1.5% |
| |||||||
Aptalis Pharma, Inc., Senior Secured Term Loan B, 6.00%, 9/18/20 | 3,917,657 | 3,993,561 | ||||||
CCC Information Services, Inc., Senior Secured Term Loan, 4.00%, 12/20/19 | 2,979,937 | 2,988,013 | ||||||
PRA Holdings, Inc., Senior Secured First Lien Term Loan, 5.00%, 9/23/20 | 2,106,789 | 2,113,036 | ||||||
|
| |||||||
9,094,610 | ||||||||
|
| |||||||
PROFESSIONAL SERVICES — 0.6% |
| |||||||
Advantage Sales & Marketing, Inc., Senior Secured First Lien Term Loan, 4.25%, 12/18/17 | 3,407,069 | 3,427,512 | ||||||
|
| |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.3% |
| |||||||
Realogy Corp., Senior Secured Extended Term Loan, 4.50%, 3/5/20 (a) | 1,985,000 | 2,009,505 | ||||||
|
| |||||||
ROAD & RAIL — 0.3% |
| |||||||
Avis Budget Car Rental LLC, Senior Secured Term Loan B, 3.00%, 3/15/19 | 1,985,000 | 1,986,737 | ||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT —1.5% |
| |||||||
Freescale Acquisition Corp. | ||||||||
Senior Secured Term Loan B4, 5.00%, 2/28/20 | 2,987,462 | 3,022,924 | ||||||
Senior Secured Term Loan B5, 5.00%, 1/15/21 | 2,493,750 | 2,525,134 | ||||||
NXP B.V., Senior Secured Term Loan D, 3.25%, 1/11/20 | 3,649,388 | 3,663,529 | ||||||
|
| |||||||
9,211,587 | ||||||||
|
| |||||||
SOFTWARE — 4.1% |
| |||||||
BMC Software Finance, Inc., Senior Secured Term Loan, 5.00%, 9/10/20 | 4,916,667 | 4,939,701 | ||||||
Eagle Parent, Inc., Senior Secured Term Loan, 4.50%, 5/16/18 (a) | 1,958,501 | 1,970,986 |
See accompanying notes to financial statements.
12
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2013 (Unaudited)
Security Description | Principal | Value | ||||||
Infor (US), Inc. | ||||||||
Senior Secured Term Loan B3, 3.75%, 6/3/20 | $ | 2,752,247 | $ | 2,750,541 | ||||
Senior Secured Term Loan B2, 5.25%, 4/5/18 | 2,772,823 | 2,773,405 | ||||||
Kronos, Inc., Senior Secured Term Loan, 4.50%, 10/30/19 | 270,299 | 273,173 | ||||||
Magic Newco LLC, Senior Secured First Lien Term Loan, 5.00%, 12/12/18 | 729,769 | 736,155 | ||||||
Mitchell International, Inc., Senior Secured First Lien Term Loan, 4.50%, 10/12/20 | 2,377,193 | 2,395,521 | ||||||
Rovi Solutions Corp., Senior Secured Term Loan B3, 3.50%, 3/29/19 | 3,888,578 | 3,853,289 | ||||||
Vertafore, Inc., Senior Secured First Lien Term Loan, 4.00%, 10/3/19 | 4,388,885 | 4,429,109 | ||||||
|
| |||||||
24,121,880 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 4.8% |
| |||||||
Bass Pro Group LLC, Senior Secured Term Loan, 3.75%, 11/20/19 | 4,962,922 | 4,997,538 | ||||||
Burlington Coat Factory Warehouse Corp., Senior Secured Term Loan B2, 4.25%, 2/23/17 | 3,982,494 | 4,021,701 | ||||||
J Crew Group, Inc., Senior Secured Term Loan B1, 4.00%, 3/7/18 | 4,474,522 | 4,507,500 | ||||||
Michaels Stores, Inc., Senior Secured Term Loan, 3.75%, 1/28/20 | 1,990,000 | 2,000,567 | ||||||
Party City Holdings, Inc., Senior Secured Term Loan B, 4.25%, 7/29/19 (a) | 5,972,381 | 6,007,379 | ||||||
Pilot Travel Centers LLC, Senior Secured Term Loan B, 3.75%, 3/30/18 (a) | 3,288,375 | 3,299,654 | ||||||
Serta Simmons Holdings LLC, Senior Secured Term Loan, 4.25%, 10/1/19 | 3,404,545 | 3,429,228 | ||||||
|
| |||||||
28,263,567 | ||||||||
|
| |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.3% |
| |||||||
WESCO Distribution, Inc., Senior Secured Term Loan B, 3.75%, 12/12/19 | 1,504,126 | 1,513,903 | ||||||
|
| |||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.5% |
| |||||||
Cricket Communications, Inc., Senior Secured Term Loan C, 4.75%, 3/9/20 | 3,980,000 | 3,999,542 | ||||||
Syniverse Holdings, Inc. | ||||||||
Senior Secured Term Loan B, 4.00%, 4/23/19 | 2,908,564 | 2,925,841 | ||||||
Senior Secured Term Loan, 4.00%, 4/23/19 (a) | 1,967,079 | 1,973,846 | ||||||
|
| |||||||
8,899,229 | ||||||||
|
| |||||||
TOTAL SENIOR FLOATING RATE LOANS | 491,934,343 | |||||||
|
|
Security Description | Principal | Value | ||||||
CORPORATE BONDS & NOTES — 4.7% |
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 0.2% |
| |||||||
Aramark Corp., 5.75%, 3/15/20 (a) (c) | $ | 1,000,000 | $ | 1,045,000 | ||||
|
| |||||||
COMMUNICATIONS EQUIPMENT — 0.3% |
| |||||||
Alcatel-Lucent USA, Inc., 4.63%, 7/1/17 (c) | 2,000,000 | 2,000,000 | ||||||
|
| |||||||
CONTAINERS & PACKAGING — 0.1% |
| |||||||
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer, Inc., 6.00%, 6/15/17 (c) | 700,000 | 707,000 | ||||||
|
| |||||||
DIVERSIFIED CONSUMER SERVICES — 0.4% |
| |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.13%, 4/15/19 (a) | 2,000,000 | 2,130,000 | ||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.5% |
| |||||||
Verizon Communications, Inc. | ||||||||
1.77%, 9/15/16 | 1,750,000 | 1,802,955 | ||||||
1.99%, 9/14/18 | 1,000,000 | 1,051,528 | ||||||
|
| |||||||
2,854,483 | ||||||||
|
| |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.5% |
| |||||||
NRG Energy, Inc., 7.63%, 5/15/19 | 3,000,000 | 3,168,750 | ||||||
|
| |||||||
LEISURE EQUIPMENT & PRODUCTS — 0.3% |
| |||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 5.25%, 3/15/21 | 2,000,000 | 1,960,000 | ||||||
|
| |||||||
MEDIA — 1.4% |
| |||||||
Allbritton Communications Co., 8.00%, 5/15/18 | 2,000,000 | 2,115,000 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24 | 1,000,000 | 936,250 | ||||||
Sinclair Television Group, Inc., 6.13%, 10/1/22 | 4,000,000 | 4,040,000 | ||||||
Univision Communications, Inc., 6.88%, 5/15/19 (c) | 1,000,000 | 1,073,750 | ||||||
|
| |||||||
8,165,000 | ||||||||
|
| |||||||
SPECIALTY RETAIL — 0.3% |
| |||||||
J Crew Group, Inc., 8.13%, 3/1/19 | 2,000,000 | 2,097,500 | ||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 0.2% |
| |||||||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 5.88%, 8/1/23 (c) | 1,000,000 | 952,500 | ||||||
|
| |||||||
PHARMACEUTICALS — 0.4% |
| |||||||
Grifols, Inc., 8.25%, 2/1/18 | 2,000,000 | 2,135,000 | ||||||
|
| |||||||
ROAD & RAIL — 0.1% |
| |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.00%, 12/1/17 (c) | 750,000 | 753,750 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES | $ | 27,968,983 | ||||||
|
|
See accompanying notes to financial statements.
13
Table of Contents
Blackstone / GSO Senior Loan Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2013 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT TERM INVESTMENT — 15.4% |
| |||||||
MONEY MARKET FUND — 15.4% |
| |||||||
State Street Institutional Liquid Reserves Fund 0.06% (d) (e) (f) | 91,271,888 | $ | 91,271,888 | |||||
|
| |||||||
TOTAL INVESTMENTS — 102.9% | 611,175,214 | |||||||
|
| |||||||
LESS UNFUNDED LOAN COMMITMENTS —(0.0)% (g) | (96,397 | ) | ||||||
|
| |||||||
NET INVESTMENTS — 102.9% (h) | 611,078,817 | |||||||
OTHER ASSETS & LIABILITIES — (2.9)% | (17,326,945 | ) | ||||||
NET ASSETS — 100.0% | $ | 593,751,872 | ||||||
|
|
* | 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 1.1% of net assets as of December 31, 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.
14
Table of Contents
SSgA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS
December 31, 2013 (Unaudited)
Security Description | Principal | Value | ||||||
ASSET BACKED SECURITIES — 26.3% |
| |||||||
AUTOMOBILES — 24.2% |
| |||||||
Ally Master Owner Trust, 1.54%, 9/15/16 | $ | 350,000 | $ | 352,234 | ||||
BMW Vehicle Lease Trust, 0.54%, 9/21/15 | 300,000 | 300,095 | ||||||
Chrysler Capital Auto Receivables Trust, 0.61%, 11/15/16 (a) | 300,000 | 300,089 | ||||||
Ford Credit Auto Lease Trust, 0.46%, 5/15/15 | 274,436 | 274,330 | ||||||
Ford Credit Floorplan Master Owner Trust, 0.77%, 2/15/16 (b) | 325,000 | 325,196 | ||||||
Honda Auto Receivables Owner Trust, 0.70%, 2/16/16 | 400,000 | 400,801 | ||||||
Santander Drive Auto Receivables Trust, 0.55%, 9/15/16 | 255,519 | 255,437 | ||||||
Toyota Auto Receivables Owner Trust, 0.75%, 2/16/16 | 319,322 | 319,941 | ||||||
Volkswagen Auto Lease Trust, 0.87%, 7/20/15 | 383,198 | 384,049 | ||||||
|
| |||||||
2,912,172 | ||||||||
|
| |||||||
CREDIT CARD RECEIVABLES — 2.1% |
| |||||||
Citibank Credit Card Issuance Trust, 0.60%, 9/10/20 (b) | 250,000 | 250,441 | ||||||
|
| |||||||
TOTAL ASSET BACKED SECURITIES | 3,162,613 | |||||||
CORPORATE BONDS & NOTES — 64.7% |
| |||||||
AUTOMOBILES — 6.7% |
| |||||||
Daimler Finance North America LLC, 1.88%, 9/15/14 (a) | 325,000 | 327,812 | ||||||
Volkswagen International Finance NV | 325,000 | 328,667 | ||||||
1.88%, 4/1/14 (a) | 150,000 | 150,032 | ||||||
|
| |||||||
806,511 | ||||||||
|
| |||||||
BEVERAGES — 1.7% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc., 3.63%, 4/15/15 | 200,000 | 208,027 | ||||||
|
| |||||||
COMMERCIAL BANKS — 21.8% |
| |||||||
American Express Centurion Bank, 0.69%, 11/13/15 (b) | 160,000 | 160,723 | ||||||
Australia & New Zealand Banking Group, Ltd., 3.70%, 1/13/15 (a) | 300,000 | 309,772 | ||||||
Bank of Montreal | 150,000 | 150,079 | ||||||
0.76%, 7/15/16 (b) | 175,000 | 175,705 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 0.72%, 3/18/16 (b) | 325,000 | 326,216 | ||||||
Nederlandse Waterschapsbank NV, 0.45%, 10/18/16 (a) (b) | 200,000 | 199,999 | ||||||
Royal Bank of Canada, 0.61%, 3/8/16 (b) | 250,000 | 250,485 | ||||||
Svenska Handelsbanken AB | 250,000 | 250,569 | ||||||
4.88%, 6/10/14 (a) | 200,000 | 203,954 | ||||||
US Bancorp, 0.73%, 11/15/18 (b) | 150,000 | 150,429 | ||||||
Wells Fargo & Co., 1.50%, 7/1/15 | 120,000 | 121,687 | ||||||
Wells Fargo Bank NA, 0.52%, 7/20/15 (b) | 325,000 | 325,498 | ||||||
|
| |||||||
2,625,116 | ||||||||
|
|
Security Description | Principal | Value | ||||||
CONSUMER FINANCE — 2.7% |
| |||||||
Caterpillar Financial Services Corp., 0.48%, 2/26/16 (b) | $ | 325,000 | $ | 325,300 | ||||
|
| |||||||
DIVERSIFIED FINANCIAL SERVICES — 14.9% |
| |||||||
American Express Credit Corp., 5.13%, 8/25/14 | 200,000 | 206,090 | ||||||
Boeing Capital Corp., 3.25%, 10/27/14 | 350,000 | 358,136 | ||||||
BP Capital Markets PLC, 1.70%, 12/5/14 | 200,000 | 202,523 | ||||||
General Electric Capital Corp. | 300,000 | 298,892 | ||||||
0.62%, 7/10/15 (b) | 70,000 | 70,244 | ||||||
JPMorgan Chase & Co., 0.69%, 4/23/15 (b) | 325,000 | 325,640 | ||||||
Toyota Motor Credit Corp., | 325,000 | 325,444 | ||||||
|
| |||||||
1,786,969 | ||||||||
|
| |||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.6% |
| |||||||
AT&T, Inc. | 100,000 | 100,211 | ||||||
5.10%, 9/15/14 | 325,000 | 335,359 | ||||||
|
| |||||||
435,570 | ||||||||
|
| |||||||
HEALTH CARE PROVIDERS & SERVICES — 1.7% |
| |||||||
UnitedHealth Group, Inc., 5.00%, 8/15/14 | 200,000 | 205,630 | ||||||
|
| |||||||
MACHINERY — 4.2% |
| |||||||
PACCAR, Inc., 6.88%, 2/15/14 | 500,000 | 503,628 | ||||||
|
| |||||||
MEDIA — 3.8% |
| |||||||
NBCUniversal Enterprise, Inc. | 300,000 | 301,638 | ||||||
0.93%, 4/15/18 (a) (b) | 150,000 | 150,549 | ||||||
|
| |||||||
452,187 | ||||||||
|
| |||||||
OIL, GAS & CONSUMABLE FUELS — 1.3% |
| |||||||
Total Capital Canada, Ltd., 0.62%, 1/15/16 (b) | 160,000 | 160,846 | ||||||
|
| |||||||
PHARMACEUTICALS — 1.3% |
| |||||||
Merck & Co., Inc., 0.60%, 5/18/18 (b) | 150,000 | 150,393 | ||||||
|
| |||||||
ROAD & RAIL — 1.0% |
| |||||||
Canadian National Railway Co., 0.44%, 11/6/15 (b) | 119,000 | 119,087 | ||||||
|
| |||||||
TOTAL CORPORATE | 7,779,264 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 6.7% |
| |||||||
Treasury Note, 0.25%, 6/30/14 | 800,000 | 800,625 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS | 800,625 | |||||||
|
|
See accompanying notes to financial statements.
15
Table of Contents
SSgA Ultra Short Term Bond Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2013 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT TERM INVESTMENT — 2.0% |
| |||||||
MONEY MARKET FUND — 2.0% |
| |||||||
State Street Institutional Liquid Reserves Fund 0.06% (c) (d) (e) | 234,884 | $ | 234,884 | |||||
|
| |||||||
TOTAL INVESTMENTS — 99.7% | 11,977,386 | |||||||
|
| |||||||
NET INVESTMENTS — 99.7% (f) | 11,977,386 | |||||||
OTHER ASSETS & | 40,525 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,017,911 | ||||||
|
|
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 18.9% of net assets as of December 31, 2013, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable rate security. Rate shown is rate in effect at December 31, 2013. Maturity date disclosed is the ultimate maturity. |
(c) | Affiliated Fund managed by SSgA Funds Management, Inc. (Note 3) |
(d) | The rate shown is the annualized seven-day yield at period end. |
(e) | Value is determined based on Level 1 inputs. (Note 2) |
(f) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs. (Note 2) |
See accompanying notes to financial statements.
16
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2013 (Unaudited)
SSgA Multi-Asset Real Return Portfolio | SSgA Income Allocation Portfolio | SSgA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio | SSgA Ultra Short Term Bond Portfolio | ||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value | $ | 17,113,905 | $ | — | $ | — | $ | 519,806,929 | $ | 11,742,502 | ||||||||||
Investments in securities of affiliated issuers, at value | 92,038,844 | 100,341,204 | 64,867,562 | 91,271,888 | 234,884 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investments | 109,152,749 | 100,341,204 | 64,867,562 | 611,078,817 | 11,977,386 | |||||||||||||||
Cash | — | 269,201 | 1,766,380 | — | — | |||||||||||||||
Receivable for investment securities sold | — | — | — | 9,583,522 | — | |||||||||||||||
Receivable for fund interests sold | — | — | — | 4,991,996 | — | |||||||||||||||
Dividends receivable from affiliated issuers (Note 4) | 837,965 | 498,082 | 347,771 | — | — | |||||||||||||||
Interest receivable from unaffiliated issuers | — | — | — | 2,180,588 | 44,550 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL ASSETS | 109,990,714 | 101,108,487 | 66,981,713 | 627,834,923 | 12,021,936 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES | ||||||||||||||||||||
Payable for investments purchased | — | — | 1,690,782 | 33,796,739 | — | |||||||||||||||
Accrued advisory fees (Note 3) | 47,601 | 34,216 | 19,637 | 285,944 | 4,017 | |||||||||||||||
Accrued trustees’ fees and expenses (Note 3) | 101 | 81 | 39 | 368 | 8 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL LIABILITIES | 47,702 | 34,297 | 1,710,458 | 34,083,051 | 4,025 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 109,943,012 | $ | 101,074,190 | $ | 65,271,255 | $ | 593,751,872 | $ | 12,017,911 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
COST OF INVESTMENTS | ||||||||||||||||||||
Unaffiliated issuers | $ | 18,373,867 | $ | — | $ | — | $ | 518,793,609 | $ | 11,742,758 | ||||||||||
Affiliated issuers | 94,261,169 | 102,682,078 | 61,529,539 | 91,271,888 | 234,884 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total cost of investments | $ | 112,635,036 | $ | 102,682,078 | $ | 61,529,539 | $ | 610,065,497 | $ | 11,977,642 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
17
Table of Contents
SSgA MASTER TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2013 (Unaudited)
SSgA Multi-Asset Real Return Portfolio | SSgA Income Allocation Portfolio | SSgA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio | SSgA Ultra Short Term Bond Portfolio* | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Dividend and interest income on securities of unaffiliated issuers (Note 2) | $ | 60,116 | $ | — | $ | — | $ | 9,971,213 | $ | 12,957 | ||||||||||
Dividend income on securities of affiliated issuers (Note 3) | 1,471,952 | 2,587,086 | 765,160 | 32,416 | 31 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL INVESTMENT INCOME | 1,532,068 | 2,587,086 | 765,160 | 10,003,629 | 12,988 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
EXPENSES | ||||||||||||||||||||
Advisory fees (Note 3) | 138,859 | 112,631 | 54,719 | 770,228 | 5,267 | |||||||||||||||
Trustees’ fees (Note 3) | 1,514 | 1,440 | 595 | 5,075 | 10 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL EXPENSES | 140,373 | 114,071 | 55,314 | 775,303 | 5,277 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET INVESTMENT INCOME | 1,391,695 | 2,473,015 | 709,846 | 9,228,326 | 7,711 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||||||
Net realized gain (loss) on investments in securities of unaffiliated issuers | (836,973 | ) | — | — | (1,410,558 | ) | (87 | ) | ||||||||||||
Net realized gain (loss) on investments in securities of affiliated issuers | (15,478 | ) | (191,337 | ) | 873,590 | — | — | |||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 7,126,592 | 3,816,830 | 3,860,196 | 4,086,076 | (256 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | 6,274,141 | 3,625,493 | 4,733,786 | 2,675,518 | (343 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 7,665,836 | $ | 6,098,508 | $ | 5,443,632 | $ | 11,903,844 | $ | 7,368 | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | For the period October 9, 2013 (commencement of operations) to December 31, 2013. |
See accompanying notes to financial statements.
18
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[This Page Intentionally Left Blank]
19
Table of Contents
SSgA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
SSgA Multi-Asset Real Return Portfolio | SSgA Income Allocation Portfolio | |||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,391,695 | $ | 1,740,438 | $ | 2,473,015 | $ | 3,607,371 | ||||||||
Net realized gain (loss) on investments | (852,451 | ) | (924,340 | ) | (191,337 | ) | (1,103,424 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investments | 7,126,592 | (10,378,172 | ) | 3,816,830 | (6,205,334 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 7,665,836 | (9,562,074 | ) | 6,098,508 | (3,701,387 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS | ||||||||||||||||
Contributions | 37,023,614 | 130,398,415 | 4,556,841 | 170,596,375 | ||||||||||||
Withdrawals | (56,330,422 | ) | (5,079,121 | ) | (83,835,987 | ) | (1,753,769 | ) | ||||||||
Other capital | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital transactions | (19,306,808 | ) | 125,319,294 | (79,279,146 | ) | 168,842,606 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | (11,640,972 | ) | 115,757,220 | (73,180,638 | ) | 165,141,219 | ||||||||||
NET ASSETS | ||||||||||||||||
Net assets at beginning of period | 121,583,984 | 5,826,764 | 174,254,828 | 9,113,609 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS END OF PERIOD | $ | 109,943,012 | $ | 121,583,984 | $ | 101,074,190 | $ | 174,254,828 | ||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
See accompanying notes to financial statements.
20
Table of Contents
SSgA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio | SSgA Ultra Short | ||||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | Six Months Ended 12/31/13 (Unaudited) | For the Period 4/3/13* - 6/30/13 | For the Period 10/9/13* - 12/31/13 (Unaudited) | ||||||||||||||
$ | 709,846 | $ | 672,602 | $ | 9,228,326 | $ | 1,233,838 | $ | 7,711 | |||||||||
873,590 | 31,550 | (1,410,558 | ) | (18,345 | ) | (87 | ) | |||||||||||
3,860,196 | (434,591 | ) | 4,086,076 | (3,072,756 | ) | (256 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
5,443,632 | 269,561 | 11,903,844 | (1,857,263 | ) | 7,368 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
18,339,913 | 50,799,932 | 256,877,882 | 334,915,199 | 12,002,865 | ||||||||||||||
(10,447,899 | ) | (3,584,635 | ) | (8,207,655 | ) | (670,323 | ) | (4,324 | ) | |||||||||
— | — | 385,317 | 404,871 | 12,002 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
7,892,014 | 47,215,297 | 249,055,544 | 334,649,747 | 12,010,543 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
13,335,646 | 47,484,858 | 260,959,388 | 332,792,484 | 12,017,911 | ||||||||||||||
51,935,609 | 4,450,751 | 332,792,484 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 65,271,255 | $ | 51,935,609 | $ | 593,751,872 | $ | 332,792,484 | $ | 12,017,911 | |||||||||
|
|
|
|
|
|
|
|
|
|
21
Table of Contents
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 | |||||||||||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | |||||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 109,943 | $ | 121,584 | $ | 5,827 | $ | 101,074 | $ | 174,255 | $ | 9,114 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Operating expenses | 0.20 | %(1) | 0.20 | % | 0.20 | %(1) | 0.20 | %(1) | 0.20 | % | 0.20 | %(1) | ||||||||||||
Net investment income | 2.00 | %(1) | 2.91 | % | 3.84 | %(1) | 4.39 | %(1) | 4.65 | % | 8.39 | %(1) | ||||||||||||
Portfolio turnover rate | 19 | % | 31 | % | 10 | % | 29 | % | 80 | % | 15 | % | ||||||||||||
Total return | 6.12 | %(2) | (1.63 | )% | (3.42 | )%(2) | 4.90 | %(2) | 4.39 | % | 0.92 | %(2) |
The Portfolio invests in other underlying Portfolios and indirectly bears its proportionate share of fees and expenses incurred by such Portfolios.
The ratios presented do not reflect the indirect expenses of the underlying Portfolios in which the Portfolio invests.
* | Commencement of operations |
(1) | Annualized. |
(2) | Total return for periods of less than one year is not annualized. |
See accompanying notes to financial statements.
22
Table of Contents
SSgA Global Allocation Portfolio | Blackstone / GSO Senior Loan Portfolio | SSgA Ultra Short Term Bond Portfolio | ||||||||||||||||||||
Six Months Ended 12/31/13 (Unaudited) | Year Ended 6/30/13 | For the Period 4/25/12* - 6/30/12 | Six Months Ended 12/31/13 (Unaudited) | For the Period 4/3/13* - 6/30/13 | For the Period 10/9/13* - 12/31/13 (Unaudited) | |||||||||||||||||
$ | 65,271 | $ | 51,936 | $ | 4,451 | $ | 593,752 | $ | 332,792 | $ | 12,018 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
0.20 | %(1) | 0.20 | % | 0.20 | %(1) | 0.30 | %(1) | 0.30 | %(1) | 0.20 | %(1) | |||||||||||
2.59 | %(1) | 3.07 | % | 4.34 | %(1) | 3.59 | %(1) | 2.57 | %(1) | 0.29 | %(1) | |||||||||||
38 | % | 123 | % | 25 | % | 34 | % | 4 | % | 12 | % | |||||||||||
10.53 | %(2) | 9.92 | % | (1.82 | )%(2) | 2.59 | %(2) | (0.31 | )%(2) | 0.19 | %(2) |
23
Table of Contents
NOTES TO FINANCIAL STATEMENTS
December 31, 2013 (Unaudited)
1. | Organization |
SSgA Master Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end investment management company that was organized as a Massachusetts business trust on March 30, 2011.
As of December 31, 2013, the Trust offered five (5) 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 five (5) Portfolios: SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio and SSgA Ultra Short Term Bond Portfolio. Each Portfolio serves as a master fund in a master feeder structure.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
The Trust invests in various investments which are exposed to risks, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.
SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio and SSgA Global Allocation Portfolio invest their assets in other exchange-traded products (referred to as “underlying Funds”). The underlying Funds, in turn, may engage in a number of investment techniques and practices, which involve certain risks. Certain underlying Funds invest their portfolios in debt securities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates. Certain underlying Funds invest their portfolios in foreign securities including emerging markets. Foreign investments involve certain risks that are greater than those associated with investments in securities of U.S. issuers. Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in securities issued by entities based outside the United States pose distinct risks since political and economic events unique to a country or region will affect those markets and their issuers. Investment in emerging markets involves greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. Certain underlying Funds invest their portfolios in commodities markets. Commodities are subject to substantial price fluctuations over short periods of time and may be affected by unpredictable economic, political and environmental events. Factors that may significantly affect the prices of commodities include, but are not limited to: global supply and demand; domestic and international interest rates and investors’ expectations of interest rates; inflation rates and investors’ expectations of inflation rates; the investment and trading activities of commodity futures contracts; political, economic, or financial events, both globally and regionally.
The Blackstone / GSO Senior Loan Portfolio invests its assets in senior loans. Investments in senior loans are subject to credit risks which may include delay in receiving payments of principal and interest paid by the borrower to the agent or by the agent to the lender or offsets against payments received from the borrower.
SSgA Ultra Short Term Bond Portfolio invests primarily in investment grade debt securities with varying maturities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.
24
Table of Contents
SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. These financial statements are presented in United States dollars.
Security Valuation
The value of each Portfolio’s portfolio securities and other financial instruments is based on the market price of the securities, which generally means a valuation obtained from an exchange or other market (or based on a price quotation or other equivalent indication of value supplied by an exchange or other market) or a valuation obtained from an independent pricing service. Investments in underlying funds are valued at their market price each business day. Loans are primarily valued by using a composite loan price from a loan pricing service. The methodology used by the Portfolios’ loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more brokers or dealers. U.S. fixed income securities may be valued as of the announced closing time for trading in fixed income instruments on any day that the Securities Industry and Financial Markets Association announces an early closing time. If a security’s market price is not readily available or does not otherwise accurately reflect the fair value of the security, the security will be valued by another method that the Board of Trustees of the Trust (the “Board”) believes will better reflect fair value in accordance with the Trust’s valuation policies and procedures. The Board has 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. 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
25
Table of Contents
SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
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.
The following table summarizes the inputs used in valuing the Portfolios’ investments as of December 31, 2013:
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | |||||||||||||
SSgA Multi-Asset Real Return Portfolio | $ | 109,152,749 | $ | — | $ | — | $ | 109,152,749 | ||||||||
SSgA Income Allocation Portfolio | 100,341,204 | — | — | 100,341,204 | ||||||||||||
SSgA Global Allocation Portfolio | 64,867,562 | — | — | 64,867,562 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | 91,271,888 | 519,806,929* | — | 611,078,817 | ||||||||||||
SSgA Ultra Short Term Bond Portfolio | 234,884 | 11,742,502 | — | 11,977,386 |
* | Less Unfunded Loan Commitments |
There were no transfers between levels for the period ended December 31, 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.
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SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
3. | Fees and Compensation Paid to Affiliates and Other Related Party Transactions |
Advisory Fee
Each Portfolio has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Portfolio’s average daily net assets as shown in the following table:
Annual Rate | ||||
SSgA Multi-Asset Real Return Portfolio | 0.20 | % | ||
SSgA Income Allocation Portfolio | 0.20 | |||
SSgA Global Allocation Portfolio | 0.20 | |||
Blackstone/GSO Senior Loan Portfolio | 0.30 | |||
SSgA Ultra Short Term Bond Portfolio | 0.20 |
The Adviser pays all operating expenses of each Portfolio other than management fee, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.
GSO / Blackstone Debt Funds Management LLC receives fees for its services as the sub-adviser to the Blackstone/GSO Senior Loan Portfolio from the Adviser.
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 $170,000 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 December 31, 2013, and for the period then ended are:
SSgA Multi-Asset Real | Number of Shares Held at 6/30/13 | Value at 6/30/13 | Purchased | Sold | Number of Shares Held at 12/31/13 | Value at 12/31/13 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 288,046 | $ | 16,006,716 | $ | 8,334,013 | 150,309 | $ | 9,934,478 | 181,154 | 257,201 | $ | 13,994,306 | $ | 106,175 | $ | (371,645 | ) | |||||||||||||||||||||||
SPDR DB International Government Inflation-Protected Bond ETF | 179,144 | 10,313,320 | 4,673,987 | 79,705 | 8,204,727 | 139,763 | 119,086 | 6,960,577 | 140,037 | (320,461 | ) | |||||||||||||||||||||||||||||
SPDR S&P Global Natural Resources ETF | 866,592 | 38,987,974 | 22,533,623 | 469,759 | 25,181,549 | 514,229 | 822,122 | 41,303,409 | 504,519 | 383,715 | ||||||||||||||||||||||||||||||
SPDR S&P International Energy Sector ETF | 103,539 | 2,396,928 | 690,685 | 28,219 | 1,175,047 | 46,030 | 85,728 | 2,235,066 | 47,466 | 67,129 | ||||||||||||||||||||||||||||||
SPDR S&P Metals & Mining ETF | 103,088 | 3,415,306 | 1,833,924 | 50,639 | 2,070,350 | 51,981 | 101,746 | 4,281,472 | 37,745 | 214,715 | ||||||||||||||||||||||||||||||
The Energy Select Sector SPDR Fund | 31,198 | 2,444,675 | 2,092,955 | 24,614 | 1,670,650 | 19,402 | 36,410 | 3,222,649 | 32,186 | 270,835 |
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SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
SSgA Multi-Asset Real | Number of Shares Held at 6/30/13 | Value at 6/30/13 | Purchased | Sold | Number of Shares Held at 12/31/13 | Value at 12/31/13 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 369,519 | $ | 14,743,808 | $ | 4,190,091 | 102,515 | $ | 9,145,835 | 224,770 | 247,264 | $ | 10,187,277 | $ | 379,557 | $ | (91,883 | ) | |||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 171,628 | 13,035,147 | 4,757,570 | 64,445 | 7,530,606 | 103,250 | 132,823 | 9,466,295 | 224,186 | (167,883 | ) | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 154,629 | 154,629 | 8,665,335 | 8,665,335 | 8,432,171 | 8,432,171 | 387,793 | 387,793 | 81 | — |
SSgA Income Allocation | Number of Shares Held at 6/30/13 | Value at 6/30/13 | Purchased | Sold | Number of Shares Held at 12/31/13 | Value at 12/31/13 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR S&P Dividend ETF | 399,579 | $ | 26,492,087 | $ | 3,011,108 | 43,151 | $ | 15,549,711 | 223,731 | 218,999 | $ | 15,903,707 | $ | 455,755 | $ | 2,077,641 | ||||||||||||||||||||||||
SPDR Wells Fargo Preferred Stock ETF | 458,923 | 19,949,383 | 498,959 | 12,019 | 12,941,161 | 304,558 | 166,384 | 6,558,857 | 313,133 | (810,401 | ) | |||||||||||||||||||||||||||||
The Financial Select Sector SPDR Fund | 91,613 | 1,785,537 | 1,560,490 | 74,863 | 1,967,555 | 96,686 | 69,790 | 1,525,609 | 7,059 | 179,829 | ||||||||||||||||||||||||||||||
The Health Care Select Sector SPDR Fund | — | — | 1,020,165 | 18,450 | 15,394 | 280 | 18,170 | 1,007,345 | 4,088 | (88 | ) | |||||||||||||||||||||||||||||
The Industrial Select Sector SPDR Fund | — | — | 1,028,839 | 20,859 | 54,940 | 1,092 | 19,767 | 1,033,024 | 5,113 | 1,079 | ||||||||||||||||||||||||||||||
The Technology Select Sector SPDR Fund | 59,725 | 1,826,988 | 1,044,617 | 30,886 | 2,947,938 | 90,611 | — | — | — | 85,323 | ||||||||||||||||||||||||||||||
The Utilities Select Sector SPDR Fund | — | — | 2,139,504 | 57,707 | 1,155,135 | 30,724 | 26,983 | 1,024,545 | 31,309 | 15,682 | ||||||||||||||||||||||||||||||
SPDR Barclays Aggregate Bond ETF | — | — | 980,471 | 17,399 | 97,319 | 1,717 | 15,682 | 882,583 | 4,199 | 956 | ||||||||||||||||||||||||||||||
SPDR Barclays Convertible Securities ETF | 20,742 | 885,269 | 1,580,980 | 34,830 | 540,786 | 12,167 | 43,405 | 2,028,315 | 37,743 | 54,715 | ||||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 174,086 | 6,874,656 | 6,341,613 | 160,044 | 6,504,680 | 161,618 | 172,512 | 6,997,087 | 270,086 | 118,466 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Corporate Bond ETF | 713,243 | 26,924,923 | 1,323,953 | 36,295 | 16,420,204 | 438,574 | 310,964 | 11,542,984 | 464,663 | (1,101,129 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury Bond ETF | 212,247 | 13,616,919 | 3,844,898 | 62,236 | 8,907,979 | 142,602 | 131,881 | 7,891,759 | 158,681 | (598,585 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Short Term High Yield Bond | 58,976 | 1,779,896 | 15,492 | 514 | 1,792,876 | 59,490 | — | — | 7,885 | (31,259 | ) | |||||||||||||||||||||||||||||
SPDR Nuveen Barclays Build America Bond ETF | 46,701 | 2,591,438 | 150,993 | 2,802 | 1,178,336 | 21,608 | 27,895 | 1,501,588 | 47,040 | (14,856 | ) | |||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 149,424 | 8,303,492 | 955,300 | 17,326 | 7,768,892 | 139,626 | 27,124 | 1,475,817 | 21,699 | (584,621 | ) | |||||||||||||||||||||||||||||
SPDR EURO STOXX 50 ETF | — | — | 2,622,434 | 78,084 | 1,454,010 | 40,836 | 37,248 | 1,571,866 | 11,023 | 79,570 | ||||||||||||||||||||||||||||||
SPDR S&P Emerging Markets Dividend ETF | 224,002 | 8,693,517 | 1,512,012 | 37,316 | 4,416,615 | 111,070 | 150,248 | 5,868,687 | 115,567 | (355,499 | ) | |||||||||||||||||||||||||||||
SPDR Global Infrastructure 100 ETF | 249,730 | 10,158,767 | 301,158 | 7,023 | 6,054,434 | 143,815 | 112,938 | 5,074,304 | 83,689 | 179,465 | ||||||||||||||||||||||||||||||
SPDR S&P International Dividend ETF | 236,886 | 10,340,074 | 1,005,074 | 21,758 | 5,379,699 | 118,687 | 139,957 | 6,640,960 | 169,880 | (50,916 | ) | |||||||||||||||||||||||||||||
SPDR S&P International Telecommunications Sector ETF | 106,930 | 2,476,499 | 52,408 | 2,099 | 2,739,890 | 109,029 | — | — | 3,376 | 266,963 | ||||||||||||||||||||||||||||||
SPDR STOXX Europe 50 ETF | 152,694 | 5,041,956 | 2,070,372 | 56,608 | 2,684,952 | 77,067 | 132,235 | 5,200,802 | 42,948 | 254,145 | ||||||||||||||||||||||||||||||
SPDR Barclays Emerging Markets Local Bond ETF | 175,002 | 5,188,809 | 193,939 | 6,450 | 2,440,220 | 80,807 | 100,645 | 2,994,189 | 51,271 | (104,025 | ) | |||||||||||||||||||||||||||||
SPDR Barclays International Corporate Bond ETF | 122,066 | 4,192,967 | 563,300 | 15,960 | 3,749,372 | 110,351 | 27,675 | 1,015,672 | 10,639 | (107,606 | ) | |||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 214,867 | 8,573,193 | 2,022,528 | 48,738 | 4,407,468 | 106,633 | 156,972 | 6,467,247 | 173,976 | 80,960 | ||||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 81,004 | 6,152,254 | 2,523,222 | 34,071 | 3,071,942 | 39,563 | 75,512 | 5,381,740 | 96,061 | 172,854 | ||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 620,536 | 620,536 | 6,749,071 | 6,749,071 | 6,617,090 | 6,617,090 | 752,517 | 752,517 | 203 | — |
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SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
Number of Shares Held at 6/30/13 | Value at 6/30/13 | Purchased | Sold | Number of Shares Held at 12/31/13 | Value at 12/31/13 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||||||||||
SSgA Global Allocation Portfolio | Cost | Shares | Proceeds | Shares | ||||||||||||||||||||||||||||||||||||
SPDR S&P 500 ETF Trust | 44,700 | $ | 7,152,447 | $ | 3,110,078 | 17,703 | $ | 3,267,845 | 19,371 | 43,032 | $ | 7,946,719 | $ | 64,890 | $ | 236,420 | ||||||||||||||||||||||||
SPDR S&P 500 Value ETF | 18,869 | 1,550,088 | 338,916 | 3,860 | 1,376,799 | 15,626 | 7,103 | 657,738 | 8,795 | 97,359 | ||||||||||||||||||||||||||||||
SPDR S&P 600 Small Cap ETF | 18,111 | 1,572,578 | 1,761,786 | 17,668 | 388,437 | 4,104 | 31,675 | 3,252,706 | 40,668 | 112,476 | ||||||||||||||||||||||||||||||
SPDR S&P Dividend ETF | 8,746 | 579,860 | 194,529 | 2,727 | 174,711 | 2,507 | 8,966 | 651,111 | 17,046 | 21,296 | ||||||||||||||||||||||||||||||
SPDR S&P MidCap 400 ETF Trust | 4,927 | 1,036,542 | 378,937 | 1,627 | 255,895 | 1,118 | 5,436 | 1,327,471 | 6,621 | 43,966 | ||||||||||||||||||||||||||||||
The Consumer Discretionary Select Sector SPDR Fund | 18,730 | 1,056,372 | 390,993 | 6,240 | 298,488 | 4,916 | 20,054 | 1,340,209 | 7,982 | 27,202 | ||||||||||||||||||||||||||||||
The Financial Select Sector SPDR Fund | 53,233 | 1,037,511 | 1,208,672 | 61,181 | 2,353,035 | 114,414 | — | — | — | 187,025 | ||||||||||||||||||||||||||||||
The Health Care Select Sector SPDR Fund | — | — | 2,346,171 | 44,884 | 1,043,985 | 20,972 | 23,912 | 1,325,681 | 9,291 | (24,780 | ) | |||||||||||||||||||||||||||||
The Industrial Select Sector SPDR Fund | — | — | 2,574,010 | 54,310 | 1,382,372 | 28,323 | 25,987 | 1,358,081 | 11,136 | 122,143 | ||||||||||||||||||||||||||||||
The Technology Select Sector SPDR Fund | — | — | 1,169,260 | 34,515 | 1,203,496 | 34,515 | — | — | — | 34,236 | ||||||||||||||||||||||||||||||
SPDR Wells Fargo Preferred Stock ETF | 59,176 | 2,572,381 | 95,350 | 2,210 | 2,593,705 | 61,386 | — | — | — | (203,575 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Aggregate Bond ETF | 109,790 | 6,243,757 | 3,885,190 | 68,676 | 3,125,322 | 55,319 | 123,147 | 6,930,713 | 79,299 | (72,648 | ) | |||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 25,999 | 1,026,701 | 4,434,465 | 111,355 | 1,729,875 | 43,176 | 94,178 | 3,819,860 | 118,148 | 7,584 | ||||||||||||||||||||||||||||||
SPDR Barclays Intermediate Term Corporate Bond ETF | 46,629 | 1,566,035 | 174,705 | 5,168 | 1,743,136 | 51,797 | — | — | 11,014 | (41,220 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Long Term Corporate Bond ETF | 28,079 | 1,059,982 | 456,485 | 12,279 | 217,605 | 5,845 | 34,513 | 1,281,122 | 31,526 | (4,557 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Short Term High Yield Bond ETF | 17,294 | 521,933 | — | — | 521,172 | 17,294 | — | — | 2,312 | (10,366 | ) | |||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 32,448 | 1,803,136 | 808,528 | 14,603 | 380,831 | 6,831 | 40,220 | 2,188,370 | 10,079 | (4,570 | ) | |||||||||||||||||||||||||||||
SPDR DB International Government Inflation-Protected Bond ETF | 13,281 | 764,587 | 346,697 | 5,873 | 176,557 | 2,994 | 16,160 | 944,552 | 11,071 | (1,800 | ) | |||||||||||||||||||||||||||||
SPDR Russell/Nomura PRIME Japan ETF | 63,112 | 2,698,669 | 2,265,880 | 50,410 | 1,222,578 | 27,616 | 85,906 | 3,991,193 | 31,596 | 48,210 | ||||||||||||||||||||||||||||||
SPDR S&P Emerging Markets ETF | 26,308 | 1,568,220 | 2,383,589 | 38,682 | 1,588,081 | 25,163 | 39,827 | 2,559,283 | 17,763 | (5,007 | ) | |||||||||||||||||||||||||||||
SPDR S&P International Small Cap ETF | 53,091 | 1,531,144 | 568,514 | 17,446 | 397,320 | 12,553 | 57,984 | 1,948,262 | 45,435 | 41,966 | ||||||||||||||||||||||||||||||
SPDR S&P World ex-US ETF | 378,827 | 9,519,923 | 4,641,176 | 165,948 | 2,804,466 | 101,812 | 442,963 | 13,009,823 | 114,915 | 213,785 | ||||||||||||||||||||||||||||||
SPDR STOXX Europe 50 ETF | 30,060 | 992,581 | 1,618,318 | 43,785 | 236,440 | 6,506 | 67,339 | 2,648,443 | 18,329 | 32,807 | ||||||||||||||||||||||||||||||
SPDR Barclays Emerging Markets Local Bond ETF | 1,014 | 30,065 | — | — | 29,906 | 1,014 | — | — | — | (646 | ) | |||||||||||||||||||||||||||||
SPDR Barclays International Corporate Bond ETF | 44,149 | 1,516,518 | 1,102,406 | 30,906 | 753,207 | 21,823 | 53,232 | 1,953,615 | 16,356 | (13,142 | ) | |||||||||||||||||||||||||||||
SPDR Barclays International Treasury Bond ETF | 8,626 | 485,472 | 1,472,364 | 25,539 | 710,654 | 12,258 | 21,907 | 1,264,910 | 12,596 | (1,152 | ) | |||||||||||||||||||||||||||||
SPDR Dow Jones International Real Estate ETF | 25,764 | 1,027,983 | 1,031,418 | 24,831 | 237,968 | 5,646 | 44,949 | 1,851,899 | 46,895 | 18,693 | ||||||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 13,662 | 1,037,629 | 1,124,445 | 15,085 | 241,258 | 3,148 | 25,599 | 1,824,441 | 31,004 | 11,885 | ||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 1,648,718 | 1,648,718 | 4,735,965 | 4,735,965 | 5,593,323 | 5,593,323 | 791,360 | 791,360 | 393 | — |
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SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
Blackstone / GSO Senior Loan | Number of Shares Held at 6/30/13 | Value at 6/30/13 | Purchased | Sold | Number of Shares Held at 12/31/13 | Value at 12/31/13 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | 96,122,680 | $ | 96,122,680 | $ | 223,174,952 | 223,174,952 | $ | 228,025,744 | 228,025,744 | 91,271,888 | $ | 91,271,888 | $ | 32,416 | $ | — | ||||||||||||||||||||||||
SSgA Ultra Short Term Bond | Number of Shares Held at 6/30/13 | Value at 6/30/13 | Purchased | Sold | Number of Shares Held at 12/31/13 | Value at 12/31/13 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | — | $ | — | $ | 2,114,079 | 2,114,079 | $ | 1,879,195 | 1,879,195 | 234,884 | $ | 234,884 | $ | 31 | $ | — |
4. | Aggregate Unrealized Appreciation and Depreciation |
The identified cost of investments in securities owned by each Portfolio for federal income tax purposes and the gross unrealized appreciation and depreciation at December 31, 2013, was as follows:
Identified Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
SSgA Multi-Asset Real Return Portfolio | $ | 112,635,036 | $ | 353,579 | $ | 3,835,866 | $ | (3,482,287 | ) | |||||||
SSgA Income Allocation Portfolio | 102,682,078 | 3,102,587 | 5,443,461 | (2,340,874 | ) | |||||||||||
SSgA Global Allocation Portfolio | 61,529,539 | 3,923,729 | 585,706 | 3,338,023 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | 610,065,497 | 2,645,484 | 1,632,164 | 1,013,320 | ||||||||||||
SSgA Ultra Short Term Bond Portfolio | 11,977,642 | 4,170 | 4,426 | (256 | ) |
5. | Investment Transactions |
For the period ended December 31, 2013, the Portfolios had purchases and sales of investment securities as follows:
Purchases | Sales | |||||||||||||||
Short Term | Long Term | Short Term | Long Term | |||||||||||||
SSgA Multi-Asset Real Return Portfolio | $ | 8,665,335 | $ | 60,892,543 | $ | 8,432,171 | $ | 78,809,264 | ||||||||
SSgA Income Allocation Portfolio | 6,749,072 | 38,363,832 | 6,617,090 | 114,241,508 | ||||||||||||
SSgA Global Allocation Portfolio | 4,735,965 | 39,882,884 | 5,593,323 | 30,455,147 | ||||||||||||
Blackstone / GSO Senior Loan Portfolio | 223,174,952 | 504,571,775 | 228,025,744 | 264,841,154 | ||||||||||||
SSgA Ultra Short Term Bond Portfolio | 2,114,079 | 11,446,925 | 1,879,195 | 341,963 |
For the period ended December 31, 2013, the Portfolios had purchases and sales of U.S. Government obligations as follows:
Purchases | Sales | |||||||||||||||
Short Term | Long Term | Short Term | Long Term | |||||||||||||
SSgA Ultra Short Term Bond Portfolio | — | 1,751,168 | — | 950,649 |
For the period ended December 31, 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 concentrates in a single industry, group of industries or type of instrument, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry, group of industries or type of instrument.
30
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SSgA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2013 (Unaudited)
7. | Recent Accounting Pronouncements |
The Fund has adopted the disclosure provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Update 2011-11 (“ASU 2011-11”), Balance Sheet (Topic 210) — Disclosures about Offsetting Assets and Liabilities along with the related scope clarification provisions of FASB Accounting Standards Update 2013-01 (“ASU
2013-01”) entitled Balance Sheet (Topic 210) — Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. ASU 2011-11 is intended to enhance disclosures on the offsetting of financial assets and liabilities by requiring entities to disclose both gross and net information about financial instruments and transactions that are either offset in the statement of assets and liabilities or subject to a master netting agreement or similar arrangement. ASU 2013-01 limits the scope of ASU 2011-11’s disclosure requirements on offsetting to financial assets and financial liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions. Management has determined that there is no material impact to the financial statements.
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SSgA MASTER TRUST
December 31, 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 Portfolios’ investment adviser to vote proxies relating to the Portfolios’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolios’ website at www.spdrs.com.
Quarterly Portfolio Schedule
The Portfolios file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolios’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Portfolios’ website at www.spdrs.com.
Approval of Advisory Agreements
At in-person meetings held prior to December 31, 2013, the Board of Trustees of the Trusts (the “Board”) evaluated various proposals related to advisory arrangements for certain new series of the Trusts, including a proposal to approve separate Investment Advisory Agreements (together, the “Agreements”) between SSgA Funds Management, Inc. (the “Adviser”) and (1) the SSgA Active ETF Trust with respect to the SPDR SSgA Ultra Short Term Bond ETF (the “New ETF”) and (2) SSgA Master Trust with respect to the New ETF’s corresponding master fund, the SSgA Ultra Short Term Bond Portfolio (together with the New ETF, the “New Funds”), both of which commenced operations during the most recent fiscal half-year period covered by this Semi-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 Agreements.
In evaluating the Agreements, the Board drew on materials provided to them by the Adviser and on other materials provided by State Street Bank and Trust Company, the Trust’s Administrator, Transfer Agent and Custodian (“State Street”). In deciding whether to approve the Agreements, the Board considered various factors, including (i) the nature, extent and quality of services to be provided by the Adviser with respect to the New Funds under the Agreements, (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 Funds grow and whether the fees in the Agreements reflect 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 Agreements and the Adviser’s anticipated responsibilities for managing investment operations of the New Funds in accordance with each New Fund’s investment objective, investment 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 portfolio management and compliance of, the New Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing each New Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment business and that of its affiliates which make up State Street Global Advisors, 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 and in managing exchange-traded funds in master-feeder structures.
The Board considered whether the Adviser or its affiliates 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.
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SSgA MASTER TRUST
OTHER INFORMATION (continued)
December 31, 2013 (Unaudited)
The Board reviewed information regarding economies of scale or other efficiencies that may result as each New Fund’s assets grow in size. The Board noted that the Agreements did not provide for breakpoints in each New Fund’s advisory fee rates as assets of a Fund increase. However, the Board further noted the Adviser’s assertion that future economies of scale had been taken into consideration for the New Funds by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the New Funds from inception. The Board noted that it intends to continue to monitor fees as the New Funds grow in size and assess whether fee breakpoints may be warranted.
The Board evaluated the New Funds’ unitary fees 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 ETFs. The Board also reviewed the fee structure of the New Funds in connection with the master-feeder structure.
The Board, including the Independent Trustees voting separately, approved the Agreements for each New Fund after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to each Agreement were as follows: (a) the nature and extent of the services expected to be provided by the Adviser with respect to the New Funds were appropriate; (b) the Adviser’s fee for the New Funds and the unitary fee, considered in relation to services expected to be provided, were fair and reasonable; (c) any additional benefits to the Adviser or its affiliates 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 Funds by way of the relatively low fee structure of the Trust.
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The SPDR® Family of Exchange Traded Funds
The following is a list of SPDR ETFs being offered, along with their respective exchange trading symbols. Please call 1-866-787-2257 to obtain a prospectus for any SPDR ETF. The prospectus contains more complete information, including charges, expenses, investment objectives and risk factors that should be carefully considered to determine if the Fund(s) are an appropriate investment for you. Read the prospectus(es) carefully before investing. Investing involves risk, including possible loss of principal.
SPDR Series Trust
SPDR Russell 3000® ETF (THRK)
SPDR Russell 1000 ETF (ONEK)
SPDR Russell 2000 ETF (TWOK)
SPDR 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)
SPDR Barclays Short Term Corporate Bond ETF (SCPB)
SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)
SPDR Barclays Long Term Corporate Bond ETF (LWC)
SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)
SPDR Barclays Convertible Securities ETF (CWB)
SPDR Barclays Mortgage Backed Bond ETF (MBG)
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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 MSCI EM Beyond BRIC ETF (EMBB)
SPDR Russell/Nomura PRIMETM Japan ETF (JPP)
SPDR Russell/Nomura Small CapTM Japan ETF (JSC)
SPDR S&P Global Dividend ETF (WDIV)
SPDR S&P International Dividend ETF (DWX)
SPDR S&P International Mid Cap ETF (MDD)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
SPDR Dow Jones Global Real Estate ETF (RWO)
SPDR S&P International Consumer Discretionary Sector ETF (IPD)
SPDR S&P International Consumer Staples Sector ETF (IPS)
SPDR S&P International Energy Sector ETF (IPW)
SPDR S&P International Financial Sector ETF (IPF)
SPDR S&P International Health Care Sector ETF (IRY)
SPDR S&P International Industrial Sector ETF (IPN)
SPDR S&P International Materials Sector ETF (IRV)
SPDR S&P International Technology Sector ETF (IPK)
SPDR S&P International Telecommunications Sector ETF (IST)
SPDR S&P International Utilities Sector ETF (IPU)
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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 SSgA Ultra Short Term Bond ETF (ULST)
SPDR MFS Systematic Core Equity ETF (SYE)
SPDR MFS Systematic Value Equity ETF (SYV)
SPDR MFS Systematic Growth Equity ETF (SYG)
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. ALPS Portfolio Solutions Distributor, Inc. is the distributor for all investment portfolios of The Select Sector SPDR Trust.
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SSgA Master Trust
TRUSTEES
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
OFFICERS
Ellen M. Needham, President
Ann Carpenter, Vice President
Michael P. Riley, Vice President
Chad C. Hallett, Treasurer
Matthew W. Flaherty, Assistant Treasurer
Laura F. Dell, Assistant Treasurer
Christopher A. Madden, Secretary
Danio Mastropieri, Assistant Secretary
Brian Harris, Chief Compliance Officer
INVESTMENT MANAGER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
CUSTODIAN, ADMINISTRATORAND TRANSFER AGENT
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
LEGAL COUNSEL
Bingham McCutchen LLP
2020 K Street, NW
Washington, DC 20006
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
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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.
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.
“SPDR” is a 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.
© 2014 State Street Corporation SPDRACTSAR Exp Date - 02/28/2015 IBG-10855
![]() | For more complete information, please call 866.787.2257 or visit www.spdrs.com today. |
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Item 2. Code of Ethics.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 5. Disclosure of Audit Committees for Listed Companies.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 6. Schedule of Investments.
A Schedule of Investments for each series of the registrant is included as a part of the semi-annual 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 (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) 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 changes in the registrant’s internal control over financial reporting (as defined in Rule
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30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable
(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.
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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: | March 10, 2014 |
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: | March 10, 2014 | |
By: | /s/ Chad C. Hallett | |
Chad C. Hallett | ||
Treasurer and Principal Financial Officer | ||
Date: | March 10, 2014 |