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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22542

SSGA ACTIVE ETF TRUST

(Exact name of registrant as specified in charter)

One Lincoln Street,

Boston, Massachusetts 02111

(Address of principal executive offices) (zip code)

Christopher Madden, Esq.

State Street Bank and Trust Company

One Lincoln Street/CPH0326

Boston, Massachusetts 02111

(Name and address of agent for service)

Copy to:

W. John McGuire, Esq.

Bingham McCutchen LLP

2020 K Street, N.W.

Washington, DC 20006

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

Date of fiscal year end: June 30

Date of reporting period: June 30, 2014

Item 1. Reports to Shareholders.

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TABLE OF CONTENTS


Management’s Discussion of Fund Performance & Performance Summary
President’s Letter to Shareholders			1
SPDR SSgA Multi-Asset Real Return ETF (RLY)			2
SPDR SSgA Income Allocation ETF (INKM)			6
SPDR SSgA Global Allocation ETF (GAL)			10
SPDR Blackstone / GSO Senior Loan ETF (SRLN)			13
SPDR SSgA Ultra Short Term Bond ETF (ULST)			16
Financial Statements			20
Financial Highlights			28
Notes to Financial Statements			30
Report of Independent Registered Public Accounting Firm			35
Other Information			36

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PRESIDENT’S LETTERTO SHAREHOLDERS

Dear Shareholders:

The past year unfolded contrary to expectations. Rather than continuing last year’s upward trajectory without interruption, equities faltered early in the year before recovering, bonds rallied, and interest rates fell. In countering these events, the market was supported by some important constants, including globally accommodative monetary policies and increasing investor confidence. World markets continue to grow at a slow but steady pace, with the United States and Europe leading the way.

While current volatility remains low, investors should be wary as recent geopolitical developments, including sectarian violence in Iraq, U.S. and European sanctions against Russia, and the conflict between Israel and Hamas, may produce future market turbulence.

With these uncertainties underscoring the need to implement investment decisions with precision, investors continued to embrace a broad array of ETFs for their ability to provide transparent, low cost and liquid access to global markets. Of particular note, the ETF industry’s overall assets under management are at an all-time high.

As part of our continued commitment to provide investment products to help achieve your investment goals, State Street Global Advisors introduced active ETFs to complement our passive funds. Since July 2013, State Street Global Advisors launched the following active SPDR ETFs:

SPDR SSgA Ultra Short Term Bond ETF (Ticker Symbol: ULST) seeks to provide current income consistent with preservation of capital and daily liquidity through short duration high quality investments. Each of SPDR MFS Systematic Core Equity ETF (Ticker Symbol: SYE), SPDR MFS Systematic Growth Equity ETF (Ticker Symbol: SYG), and SPDR MFS Systematic Value Equity ETF (Ticker Symbol: SYV) seeks capital appreciation.

We take great pride in these new additions to our SPDR family. You will find additional information on the SSgA Active ETF Trust Exchange Traded Funds, including Management’s Discussion of Fund Performance, in the enclosed June 30, 2014 Annual Report.

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

Sincerely,

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Ellen M. Needham

President

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

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

For the 12-month period ended June 30, 2014 (the “Reporting Period”), the total return for the Fund was 13.85%, and the total return for the Barclays U.S. Government Inflation-linked Bond Index (the “Index”) was 4.72%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund outperformed the Index during the Reporting Period. Developed economies globally experienced robust gains over the period. Though tame inflation and smaller advances in commodity prices could make returns more difficult in the real asset space, the Fund’s diverse exposure, including equities and REITs, allowed it to capture more of the upside enjoyed by risk markets.

Accommodative policies along with an optimistic shift in global growth expectations served to broadly benefit real assets during the Reporting Period. Commentary from the US Federal Reserve (the “Fed”) related to reduction in bond purchases prompted turmoil in the markets during May and June of 2013. However, after digesting the commentary and accepting that policymakers across the globe intended to carry on, accommodative yields slowly trended lower following the infamous “taper-tantrum.” Securitized Real Estate in the United States was a considerable beneficiary as investors sought attractive valuations and higher yields. Macroeconomic prints remained mixed during much of the period, but data demonstrated enough improvement to benefit market optimism for global growth. Despite risks to global growth such as the weather induced slowdown in the United States and potential for a Chinese hard landing, the market sentiment improved. This benefitted resource equities as investors began to tilt towards more economically sensitive sectors such as energy and materials, which were among top S&P sector performers over the period.

Allocations to broad natural resource equities, securitized real estate, along with targeted exposures to US energy and metals and mining equities provided positive contributions to the Fund’s performance over the period. Following the initial half of 2013, the market shifted focus from the potential for Fed tapering of bond purchases to glimmers of positive economic data. As unemployment and industrial production improved in the US, the market allocated to more economically sensitive sectors within the Fund’s resource equity exposure. The materials sector, which tends to perform well in periods of economic acceleration, represented the strongest S&P 500 sector performer over the one-year period. Battered mining companies benefited from attractive valuations and the potential for improved demand prospects in industrial metals benefited earnings prospects. The Portfolio’s targeted overweight to the US energy sector offered an additional boost to Portfolio returns. Oil prices were supported by a confluence of fundamental supply and demand factors, as geopolitical risks in the Middle East prompted consternation regarding oil supplies, and an uncharacteristically cold snap across the US increased demand. As oil prices trended upward, increased hydraulic fracturing “fracking” in US shale fields generated the largest domestic oil production in over two decades. These factors aided the S&P energy sector in outperforming the broader S&P 500 Index over the period as earnings prospects improved. REIT valuations improved markedly following the Fed’s tapering commentary during the middle months of 2013. Securitized real estate garnered a tailwind from declining government bond yields renewing investor interest for greater yields. Broadly speaking, the rally in REIT prices was also supported by increased lease rates across a number of sectors, improving growth in funds from operations.

Broadly speaking, Portfolio holdings predominantly offered positive returns during the fiscal year with the exception of agricultural commodities. Agricultural commodities were lead lower by corn, as 2013 yielded

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

a record corn harvest in the US, along with supportive planting conditions during 2014, which alleviated supply related concerns. US Treasury inflation-protected securities (TIPS) offered positive contribution to overall portfolio returns, but results lagged the majority of other portfolio holdings. Fundamentals for US inflation-linked bonds appeared less convincing, as negative to low real yields across the term structure of the real yield curve and low inflation expectations did not generate significant support for the asset class.

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

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SPDR SSgA MULTI-ASSET REAL RETURN ETF — PERFORMANCE SUMMARY

The following performance chart of the Fund’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market return is based on the market price per share of the Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 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 JUNE 30, 2014



	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: 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: DBIQ OPTIMUM YIELD DIVERSIFIED COMMODITY INDEX EXCESS RETURN
ONE YEAR		13.85%		13.93%		4.72%		6.38%		13.85%		13.93%		4.72%		6.38%
SINCE INCEPTION (1)		8.10%		8.21%		0.95%		-3.83%		3.63%		3.68%		0.43%		-1.78%

(1)

For the period April 25, 2012 to June 30, 2014.

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

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

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Past performance is not a guarantee of future results.

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

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

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

For the 12-month period ended June 30, 2014 (the “Reporting Period”), the total return for the Fund was 13.57%, and the total return for the MSCI World Index (the “Index”) was 24.05%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s focus on income and yield-generating investments contributed to its underperformance relative to the Index during the Reporting Period. During the second half of 2013, interest rate volatility led to weak returns in the longer term government issues held in the Portfolio, but steady economic growth helped to lift the Portfolio’s equity investments and also served to compress credit spreads, which had a favorable impact on the performance of both investment grade and below investment grade exposures held in the Portfolio. The turn of the year brought indigestion to certain pockets of the global markets — most notably in emerging markets as fears of slower growth in China caused emerging market equities and currencies to tumble. However, most developed markets were able to recoup early 2014 losses and generate solid performance through the end of the Reporting Period. And in contrast to 2013, the assumption of interest rate risk proved a significant source of return as longer duration fixed-income instruments were among the best performing assets held in the Portfolio. Although the Portfolio was not able to maintain the same pace as its Index, its performance was comparable to a multi-asset portfolio of income-generating stocks and bonds.

During the Reporting Period, financial assets had to contend with the introduction of the Federal Reserve’s tapering of asset purchases, as well as a change in leadership as Janet Yellen assumed her role as Chair of the Board of Governors of the Federal Reserve System. The anticipation of lessened bond market support caused the longer duration fixed-income instruments held in the Portfolio to struggle, but by the time formal plans to reduce bond purchases were made in late 2013, those assets were poised to sustain an extended rally. Riskier assets had to contend with severe winter weather in the United States as well as geopolitical conflicts in Syria and the Ukraine. Yet the underlying growth of earnings and support from policymakers helped assets such as income equities and REITs deliver strong returns. Additionally, the Portfolio maintained a healthy diversification into non-US securities, which were bolstered by moderate weakness in the US dollar against broad averages of major currencies.

The top positive contributor to the Fund’s performance was the SPDR S&P Dividend ETF, which advanced steadily during the period and exhibited a maximum drawdown of just over 5%. This was the largest holding for the Portfolio on average, and it benefited from the low level of volatility exhibited in the markets, which helped to facilitate strong performance across equities in general. Other holdings that supported the Fund’s performance included longer term corporate bonds via the SPDR Barclays Long Term Corporate Bond ETF and international dividend payers via the SPDR S&P International Dividend ETF. Longer term corporates benefited from investor preference for credit assets, which was exemplified by a consistent trend of tighter credit spreads during the fiscal year, and they also benefited greatly from improved sentiment towards longer duration assets in the first half of 2014. International dividend stocks rode the same wave of equity market appreciation as US dividend payers, and were able to produce relatively better results as some of the countries and currencies represented in the ETF came back into favor.

In terms of negative contributions, the healthy market environment over the past fiscal year helped many asset classes deliver positive absolute returns, and the only holding in the Portfolio to demonstrate negative returns from an absolute return perspective was the SPDR Russell/Nomura PRIME Japan ETF. This holding did not have a particularly large impact on the Fund, as it was only held for a brief period in

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

early 2014. Nonetheless, Japanese equities struggled with concerns over the upcoming VAT hike and as slower growth in China weighted on the market. Other holdings in the Portfolio with below average performance included the SPDR Barclays TIPS ETF and the SPDR Barclays Long Term Treasury ETF. Both of these ETFs delivered positive mid-single digit performance over the period, but lagged most other assets held in the Portfolio.

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SPDR SSgA INCOME ALLOCATION ETF — PERFORMANCE SUMMARY

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSgA Income Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2013 is 0.70%.

PERFORMANCE AS OF JUNE 30, 2014



	CUMULATIVE TOTAL RETURN								AVERAGE ANNUAL TOTAL RETURN
	NET ASSET VALUE		MARKET VALUE		PRIMARY BENCH MARK: MSCI WORLD INDEX		SECONDARY BENCHMARK: BARCLAYS US LONG GOVE RNMENT/ CREDIT BOND INDEX		NET ASSET VALUE		MARKET VALUE		PRIMARY BENCH MARK: MSCI WORLD INDEX		SECONDARY BENCH MARK: BARCLAYS US LONG GOVERN MENT/ CREDIT BOND INDEX
ONE YEAR		13.57%		13.59%		24.05%		10.77%		13.57%		13.59%		24.05%		10.77%
SINCE INCEPTION (1)		19.39%		19.40%		42.26%		10.50%		8.45%		8.46%		17.55%		4.69%

(1)

For the period April 25, 2012 to June 30, 2014.

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SPDR SSgA INCOME ALLOCATION ETF — PERFORMANCE SUMMARY (CONTINUED)

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

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Past performance is not a guarantee of future results.

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

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

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

For the 12-month period ended June 30, 2014 (the “Reporting Period”), the total return for the Fund was 16.81%, and the total return for the MSCI ACWI IMI Index (the “Index”) was 23.35%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Portfolio invests broadly across regions and asset classes. During the Reporting Period, the Fund’s diversified investment exposures contributed to its underperformance relative to the equity only Index. Financial conditions over the last year remained relatively stable, bolstered largely by the accommodative policies coming from the central banks of many of the major developed markets. In turn, credit spreads narrowed, while volatility generally decreased across most equity markets. The already rosy environment for financial assets also drew support from a steady improvement in economic data.

With a favorable backdrop for risk assets firmly in place, equity markets experienced sound gains over the Reporting Period, particularly in the United States and Europe. Doubts in emerging economies persisted throughout, as these markets failed to keep pace with their developed counterparts. Still, the emerging markets as a whole were able to shrug off domestic and geopolitical risk to post very respectable gains. Higher global growth prospects combined with a sustained low interest rate environment also proved profitable for REIT securities, which overcame a sluggish end to 2013. And in contrast to 2013, the assumption of interest rate risk proved a significant source of return, as longer duration fixed-income instruments were among the best performing assets among the Portfolio’s fixed-income holdings.

Reflecting both the global exposures of the Fund and our tactical preference for risky assets in the past year, the Fund had overweight exposures to equities compared to bonds. The top positive contributor to performance over the Reporting Period was the SPDR S&P World ex-US ETF. Close behind was the SPDR S&P 500 ETF. Relative weightings in the SPDR Barclays Long Term Bond ETF also proved positive.

The SPDR Wells Fargo Preferred Stock ETF was the largest negative contributor to the Fund’s returns. Other detractors from performance were the SPDR Barclays Emerging Markets Local Bond ETF and the SPDR Barclays Aggregate Bond ETF. Lastly, an allocation to cash negatively impacted overall Fund performance.

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SPDR SSgA GLOBAL ALLOCATION ETF — PERFORMANCE SUMMARY

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for SPDR SSgA Global Allocation ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2013 is 0.35%.

PERFORMANCE AS OF JUNE 30, 2014



	CUMULATIVE TOTAL RETURN								AVERAGE ANNUAL TOTAL RETURN
	NET ASSET VALUE		MARKET VALUE		PRIMARY BENCH MARK: MSCI ACWI IMI INDEX		SECONDARY BENCH MARK: BARCLAYS US AGGREGATE INDEX		NET ASSET VALUE		MARKET VALUE	PRIMARY BENCH MARK: MSCI ACWI IMI INDEX	SECONDARY BENCH MARK: BARCLAYS US AGGREGATE INDEX
ONE YEAR		16.81%		16.84%		23.35%		4.37%		16.81%	16.84%	23.35%	4.37%
SINCE INCEPTION (1)		26.04%		26.06%		38.89%		4.88%		11.18%	11.19%	16.27%	2.21%

(1)

For the period April 25, 2012 to June 30, 2014.

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SPDR SSgA GLOBAL ALLOCATION ETF — PERFORMANCE SUMMARY (CONTINUED)

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

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Past performance is not a guarantee of future results.

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

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SPDR BLACKSTONE / GSO SENIOR LOAN ETF — MANAGEMENT’S DISCUSSIONOF FUND PERFORMANCE

The SPDR Blackstone / GSO Senior Loan ETF (the “Fund”) normally invests substantially all of its assets in the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”), which seeks to provide current income consistent with the preservation of capital. As a result, the Fund invests indirectly through the Portfolio.

For the 12-month period ended June 30, 2014 (the “Reporting Period”), the total return for the Fund was 3.77%, and the total return for the Markit iBoxx USD Liquid Leveraged Loan Index (the “Index”) was 5.46%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund underperformed the Index during the Reporting Period, due primarily to (i) credit selection, as higher credit risk (as measured by corporate ratings) outperformed the less risky credits, and (ii) a higher cash balance, which was maintained to help meet potential liquidity needs. A benign credit environment (measured by a very low default rate versus the long-term average), coupled with significant interest in the leverage loan asset class (as represented by fund flows and issuance activity for collateralized loan obligations), was very supportive of secondary market prices, but also led to compression of credit spreads, as better rated companies refinanced at lower total interest costs. Lower quality loans rated CCC grossly outperformed high quality segments of the market. During this fiscal year, the return of loans rated CCC almost doubled those of B and BB rated loans. Since the Portfolio maintained a quality bias, and was underweighted in CCC and below rated assets throughout the year, it was unable to capture this return.

On an individual security level, the top positive contributors to the Fund’s performance were Weight Watchers (“WTW”), Caesars Entertainment Resort Properties (“CERP”) and Education Management. The Fund’s performance benefitted from the Portfolio’s decision to sell Weight Watchers early this year after a re-evaluation on the fundamental business model. WTW loans continued to decline in value after the Portfolio’s exit. The Portfolio purchased CERP through the primary refinancing transaction at a significant discount to par value. The CERP loans appreciated by more than 5 points prior to inclusion in the Index, contributing to both positive Portfolio performance and excess return versus the Index. The Portfolio’s full underweight to Education Management also contributed meaningfully to performance as the asset suffered a severe price decline after the company announced that it expected to breach its covenants. The top negative contributors were Texas Competitive Electric (“TXU”), Clear Channel, and Caesars Entertainment Operating Company (“CEOC”). The Portfolio had no exposure to TXU as the view was that the company would file bankruptcy and might not pay its pre-petition interest. However, TXU traded up considerably after filing for Chapter 11. The Portfolio added a position in Clear Channel, a generally high-beta credit on the belief that there are near-term catalysts for continued price appreciation. Local gaming authorities are currently reviewing recent amendments to the CEOC outstanding loans. The regulatory delay caused the CEOC loans in the Portfolio to underperform expectations.

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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.

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 (as supplemented on April 1, 2014) is 0.70%.

PERFORMANCE AS OF JUNE 30, 2014



	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
ONE YEAR		3.77%		3.61%		5.46%		5.56%		3.77%		3.61%		5.46%		5.56%
SINCE INCEPTION (1)		3.27%		3.26%		5.04%		5.32%		2.62%		2.62%		4.04%		4.27%

(1)

For the period April 3, 2013 to June 30, 2014.

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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)

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Past performance is not a guarantee of future results.

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

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SPDR SSgA ULTRA SHORT TERM BOND ETF — MANAGEMENT’S DISCUSSIONOF FUND PERFORMANCE

The SPDR SSgA Ultra Short Term Bond ETF (the “Fund”) normally invests substantially all of its assets in the SSgA Ultra Short Term Bond Portfolio (the “Portfolio”), which seeks to provide current income consistent with preservation of capital and daily liquidity through short duration high quality investments. As a result, the Fund invests indirectly through the Portfolio.

For the period that began October 9, 2013, and ended June 30, 2014 (the “Reporting Period”), the total return for the Fund was 0.46%, and the total return for the Barclays US Treasury Bellwether 3 Month Index (the “Index”) was 0.06%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund outperformed the Index during the Reporting Period. The Portfolio maintained a duration of approximately 0.5 years during the period versus the benchmark’s duration of 0.25 years. As of quarter end, the Portfolio’s asset allocation consisted of corporate bonds (72.8%), asset-backed securities (ABS) (25.3%) and cash (1.9%). 42.9% of fund assets had fixed rates and 57.1% had floating rate coupons. The Portfolio’s use of floating rate bonds allowed for substantial exposure to corporate bonds and ABS without adding significant interest rate risk. The Portfolio’s long duration stance and yield curve positioning was responsible for approximately half of the outperformance against the benchmark, while the Portfolio’s sector exposure (corporates and ABS) contributed the other half. The Federal Open Market Committee continued its accommodative monetary policy during the period by leaving the target federal funds rate unchanged at 0% – 0.25% and continuing with its Large Scale Asset Purchase (LSAP) program. As a result, yields in the front end (0-1 year) of the yield curve were virtually unchanged during the period. The Portfolio’s focus on corporate bonds and ABS allowed for a yield advantage compared to the benchmark. Further, credit spreads on corporate bonds and ABS narrowed during the period, giving the Portfolio another return advantage versus its benchmark. Overall, corporate bond credit spreads narrowed more than ABS. Generally speaking, longer maturity bonds in the portfolio performed better than shorter maturity bonds due to the combination of higher yields and more pronounced spread narrowing. The Fund maintained a weighted average maturity near the 1.5-year area in order to take advantage of the higher yields available in 2–5 year corporate bonds and ABS.

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SPDR SSgA ULTRA SHORT TERM BOND 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 (10/9/13, 10/10/13, 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.

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 Ultra Short Term Bond ETF as stated in the Fees and Expenses table of the prospectus dated October 31, 2013 is 0.20%.

PERFORMANCE AS OF JUNE 30, 2014

CUMULATIVE TOTAL RETURN

AVERAGE ANNUAL TOTAL RETURN (2)

NET ASSET
VALUE

MARKET
VALUE

BARCLAYS
US TREASURY
BELLWETHER
3 MONTH
INDEX

NET ASSET
VALUE

MARKET
VALUE

BARCLAYS
US TREASURY
BELLWETHER
3 MONTH
INDEX

SINCE INCEPTION (1)

0.46%

0.39%

0.06%

N/A

(1)

For the period October 9, 2013 to June 30, 2014.

(2)

Total returns for periods of less than one year are not annualized.

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SPDR SSgA ULTRA SHORT TERM BOND ETF — PERFORMANCE SUMMARY

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

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Past Performance is not a guarantee of future results.

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

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SPDR SSgA MFS Systematic Core Equity ETF

SPDR SSgA MFS Systematic Growth Equity ETF

SPDR SSgA MFS Systematic Value Equity ETF — PERFORMANCE SUMMARY

These Funds had less than six months of operations at reporting period end and therefore do not have performance history to provide in this report.

SSgA ACTIVE ETF TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2014


	SPDR SSgA Multi-Asset Real Return ETF			SPDR SSgA Income Allocation ETF			SPDR SSgA Global Allocation ETF
ASSETS
Investments in corresponding Portfolio, at market value (Note 1)	$	164,633,907		$	104,029,182		$	98,490,352
Due from Advisor		1,030			—			11,204
Receivable for fund shares sold		24,685,995			—			—

TOTAL ASSETS		189,320,932			104,029,182			98,501,556

LIABILITIES
Payable to Master Portfolio		24,685,995			—			—
Income distributions payable		1,054,507			981,401			912,654
Accrued Advisory fees		—			12,885			—
Accrued trustees’ fees and expenses		77			63			34

TOTAL LIABILITIES		25,740,579			994,349			912,688

NET ASSETS	$	163,580,353		$	103,034,833		$	97,588,868

NET ASSETS CONSIST OF:
Paid-in capital (Note 4)	$	162,658,930		$	101,878,090		$	90,729,373
Undistributed (distributions in excess of) net investment income		(217,343	)		(264,228	)		(113,125	)
Accumulated net realized gain (loss) on investments		(4,385,807	)		(3,830,418	)		557,108
Net unrealized appreciation (depreciation) on investments		5,524,573			5,251,389			6,415,512

NET ASSETS	$	163,580,353		$	103,034,833		$	97,588,868

NET ASSET VALUE PER SHARE
Net asset value per share	$	30.86		$	32.70		$	35.47

Shares outstanding (unlimited amount authorized, $0.00 par value)		5,301,111			3,151,111			2,751,111

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


SPDR Blackstone / GSO Senior Loan ETF			SPDR SSgA Ultra Short Term Bond ETF		SPDR MFS Systematic Core Equity ETF		SPDR MFS Systematic Growth Equity ETF		SPDR MFS Systematic Value Equity ETF

$	610,475,920		$	14,034,928	$	5,376,904	$	5,371,501	$	5,285,262
	—			—		—		—		—
	—			—		—		—		—

	610,475,920			14,034,928		5,376,904		5,371,501		5,285,262


	—			—		—		—		—
	—			—		15,957		14,294		16,870
	200,342			—		1,323		1,322		1,298
	299			11		10		10		10

	200,641			11		17,290		15,626		18,178

$	610,275,279		$	14,034,917	$	5,359,614	$	5,355,875	$	5,267,084


$	610,197,772		$	14,019,568	$	5,000,000	$	5,000,000	$	5,000,000
	1,246,787			4,155		710		967		679
	(2,786,254	)		715		68,567		10,974		4,237
	1,616,974			10,479		290,337		343,934		262,168

$	610,275,279		$	14,034,917	$	5,359,614	$	5,355,875	$	5,267,084


$	50.02		$	40.10	$	53.60	$	53.56	$	52.67

	12,200,000			350,000		100,000		100,000		100,000

SSgA ACTIVE ETF TRUST

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2014


	SPDR SSgA Multi-Asset Real Return ETF			SPDR SSgA Income Allocation ETF			SPDR SSgA Global Allocation ETF
INCOME AND EXPENSES ALLOCATED FROM PORTFOLIO
Dividend income allocated from Portfolio (Note 2)	$	2,847,611		$	4,309,792		$	2,012,056
Expenses allocated from Portfolio (Note 2)		(260,599	)		(212,962	)		(137,182	)

TOTAL INCOME		2,587,012			4,096,830			1,874,874

EXPENSES
Advisory fees (Note 3)		43,345			163,921			—
Trustee Fees (Note 3)		2,565			2,315			1,094

TOTAL EXPENSES		45,910			166,236			1,094

Fees reimbursed by Adviser		—			—			(102,164	)

NET INVESTMENT INCOME	$	2,541,102		$	3,930,594		$	1,975,944

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) allocated from Portfolio		(2,207,376	)		(1,346,776	)		1,718,544
Net change in unrealized appreciation (depreciation) from corresponding Portfolio		16,133,379			11,409,099			6,937,749

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		13,926,003			10,062,323			8,656,293

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	16,467,105		$	13,992,917		$	10,632,237

*	For the period October 9, 2013 (commencement of operations) to June 30, 2014.

**	For the period January 8, 2014 (commencement of operations) to June 30, 2014.

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


SPDR Blackstone / GSO Senior Loan ETF			SPDR SSgA Ultra Short Term Bond ETF*			SPDR MFS Systematic Core Equity ETF**			SPDR MFS Systematic Growth Equity ETF**			SPDR MFS Systematic Value Equity ETF**

$	22,057,579		$	51,616		$	45,331		$	43,055		$	48,907
	(1,692,806	)		(19,265	)		(7,334	)		(7,332	)		(7,211	)

	20,364,773			32,351			37,997			35,723			41,696


	3,056,063			—			7,309			7,310			7,189
	9,412			78			20			19			20

	3,065,475			78			7,329			7,329			7,209

	—			—			—			—			—

$	17,299,298		$	32,273		$	30,668		$	28,394		$	34,487


	(2,767,908	)		888			68,567			10,974			4,237
	4,689,705			10,479			290,337			343,934			262,168

	1,921,797			11,367			358,904			354,908			266,405

$	19,221,095		$	43,640		$	389,572		$	383,302		$	300,892

SSgA ACTIVE ETF TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SPDR SSgA Multi-Asset Real Return ETF						SPDR SSgA Income Allocation ETF
	Year Ended 6/30/14			Year Ended 6/30/13			Year Ended 6/30/14			Year Ended 6/30/13
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	2,541,102		$	1,713,977		$	3,930,594		$	3,492,721
Net realized gain (loss) on investments		(2,207,376	)		(924,336	)		(1,346,776	)		(1,103,415	)
Net change in unrealized appreciation (depreciation) on investments		16,133,379			(10,378,139	)		11,409,099			(6,205,343	)

Net increase (decrease) in net assets resulting from operations		16,467,105			(9,588,498	)		13,992,917			(3,816,037	)

Net equalization credits and charges		44,917			57,257			(85,229	)		300,070

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(2,582,680	)		(1,773,687	)		(3,845,121	)		(3,792,817	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares		91,367,609			130,398,415			7,804,637			170,596,375
Cost of shares redeemed		(62,105,980	)		(4,387,694	)		(86,894,211	)		—
Net income equalization (Note 2)		(44,917	)		(57,257	)		85,229			(300,070	)
Other capital (Note 4)		—			—			—			—

Net increase (decrease) in net assets from beneficial interest transactions		29,216,712			125,953,464			(79,004,345	)		170,296,305

Net increase (decrease) in net assets during the period		43,146,054			114,648,536			(68,941,778	)		162,987,521
Net assets at beginning of period		120,434,299			5,785,763			171,976,611			8,989,090

NET ASSETS END OF PERIOD (1)	$	163,580,353		$	120,434,299		$	103,034,833		$	171,976,611

SHARES OF BENEFICIAL INTEREST
Shares sold		3,100,000			4,300,000			250,000			5,450,000
Shares redeemed		(2,150,000	)		(150,000	)		(2,850,000	)		—

Net increase (decrease) in shares		950,000			4,150,000			(2,600,000	)		5,450,000

(1) Undistributed (distributions in excess of) net investment income	$	(217,343	)	$	(66,390	)	$	(264,228	)	$	(349,701	)

*	Commencement of operations

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


SPDR SSgA Global Allocation ETF						SPDR Blackstone / GSO Senior Loan ETF						SPDR SSgA Ultra Short Term Bond ETF			SPDR MFS Systematic Core Equity ETF
Year Ended 6/30/14			Year Ended 6/30/13			Year Ended 6/30/14			For the Period 4/3/13* - 6/30/13			For the Period 10/9/13* - 6/30/14			For the Period 1/8/14* - 6/30/14

$	1,975,944		$	707,900		$	17,299,298		$	945,293		$	32,273		$	30,668
	1,718,544			31,543			(2,767,908	)		(18,346	)		888			68,567
	6,937,749			(434,651	)		4,689,705			(3,072,731	)		10,479			290,337

	10,632,237			304,792			19,221,095			(2,145,784	)		43,640			389,572

	45,650			59,672			381,936			232,911			134			—


	(2,021,720	)		(768,378	)		(16,478,270	)		(519,534	)		(28,118	)		(29,958	)


	47,337,163			50,769,956			286,897,792			334,914,199			16,009,331			5,000,000
	(9,842,556	)		(3,233,657	)		(12,480,635	)		—			(2,005,142	)		—
	(45,650	)		(59,672	)		(381,936	)		(232,911	)		(134	)		—
	—			—			461,547			404,869			15,206			—

	37,448,957			47,476,627			274,496,768			335,086,157			14,019,261			5,000,000

	46,105,124			47,072,713			277,621,529			332,653,750			14,034,917			5,359,614
	51,483,744			4,411,031			332,653,750			—			—			—

$	97,588,868		$	51,483,744		$	610,275,279		$	332,653,750		$	14,034,917		$	5,359,614


	1,400,000			1,600,000			5,750,000			6,700,000			400,000			100,000
	(300,000	)		(100,000	)		(250,000	)		—			(50,000	)		—

	1,100,000			1,500,000			5,500,000			6,700,000			350,000			100,000


$	(113,125	)	$	(65,033	)	$	1,246,787		$	425,759		$	4,155		$	710

SSgA ACTIVE ETF TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)


	SPDR MFS Systematic Growth Equity ETF			SPDR MFS Systematic Value Equity ETF
	For the Period 1/8/14* - 6/30/14			For the Period 1/8/14* - 6/30/14
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	28,394		$	34,487
Net realized gain (loss) on investments		10,974			4,237
Net change in unrealized appreciation (depreciation) on investments		343,934			262,168

Net increase (decrease) in net assets resulting from operations		383,302			300,892

Net equalization credits and charges		—			—

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(27,427	)		(33,808	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares		5,000,000			5,000,000
Cost of shares redeemed		—			—
Net income equalization (Note 2)		—			—
Other capital (Note 4)		—			—

Net increase (decrease) in net assets from beneficial interest transactions		5,000,000			5,000,000

Net increase (decrease) in net assets during the period		5,355,875			5,267,084
Net assets at beginning of period		—			—

NET ASSETS END OF PERIOD (1)	$	5,355,875		$	5,267,084

SHARES OF BENEFICIAL INTEREST
Shares sold		100,000			100,000
Shares redeemed		—			—

Net increase (decrease) in shares		100,000			100,000

(1) Undistributed (distributions in excess of) net investment income	$	967		$	679

*	Commencement of operations

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

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SSgA ACTIVE ETF TRUST

FINANCIAL HIGHLIGHTS

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


	SPDR SSgA Multi-Asset Real Return ETF									SPDR SSgA Income Allocation ETF
	Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			Year Ended 6/30/14			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

Income (loss) from investment operations:
Net investment income (loss) (2)		0.57			0.86			0.20			1.16			1.41			0.44
Net realized and unrealized gain (loss) on investments (3)		3.22			(1.33	)		(1.22	)		2.86			(0.25	)		(0.29	)

Total from investment operations		3.79			(0.47	)		(1.02	)		4.02			1.16			0.15

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

Other capital		—			—			—			—			—			—

Distributions to shareholders from:
Net investment income		(0.62	)		(0.65	)		(0.20	)		(1.19	)		(1.23	)		(0.41	)

Net asset value, end of period	$	30.86		$	27.68		$	28.77		$	32.70		$	29.90		$	29.85

Total Return (5)		13.85	%		(1.67	)%		(3.44	)%		13.57	%		4.22	%		0.87	%
Ratios and Supplemental Data:
Net Assets, End of Period (000s)	$	163,580		$	120,434		$	5,786		$	103,035		$	171,977		$	8,989
Ratios to average net assets:
Total expenses		0.24	%		0.25	%		0.27	%(6)		0.36	%		0.35	%		0.36	%(6)
Net operating expenses		0.24	%		0.25	%		0.27	%(6)		0.36	%		0.35	%		0.36	%(6)
Net investment income		1.97	%		2.86	%		3.77	%(6)		3.73	%		4.50	%		8.24	%(6)
Portfolio turnover rate (7)		40	%		31	%		10	%		63	%		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 that $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.


SPDR SSgA Global Allocation ETF									SPDR Blackstone / GSO Senior Loan ETF						SPDR SSgA Ultra Short Term Bond ETF			SPDR MFS Systematic Core Equity ETF			SPDR MFS Systematic Growth Equity ETF			SPDR MFS Systematic Value Equity ETF
Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12* - 6/30/12			Year Ended 6/30/14			For the Period 4/3/13* - 6/30/13			For the Period 10/9/13* - 6/30/14			For the Period 1/8/14* - 6/30/14			For the Period 1/8/14* - 6/30/14			For the Period 1/8/14* - 6/30/14
$	31.18		$	29.19		$	30.00		$	49.65		$	50.00		$	40.00		$	50.00		$	50.00		$	50.00


	0.98			1.03			0.24			1.54			0.24			0.10			0.31			0.28			0.34
	4.20			1.77			(0.77	)		0.24			(0.65	)		0.03			3.59			3.55			2.67

	5.18			2.80			(0.53	)		1.78			(0.41	)		0.13			3.90			3.83			3.01

	0.02			0.09			(0.02	)		0.03			0.06			0.00	(4)		—			—			—

	—			—			—			0.04			0.10			0.05			—			—			—


	(0.91	)		(0.90	)		(0.26	)		(1.48	)		(0.10	)		(0.08	)		(0.30	)		(0.27	)		(0.34	)

$	35.47		$	31.18		$	29.19		$	50.02		$	49.65		$	40.10		$	53.60		$	53.56		$	52.67

	16.81	%		9.91	%		(1.82	)%		3.77	%		(0.48	)%		0.46	%		7.81	%		7.68	%		6.04	%

$	97,589		$	51,484		$	4,411		$	610,275		$	332,654		$	14,035		$	5,360		$	5,356		$	5,267

	0.20	%		0.20	%		0.20	%(6)		0.85	%		0.90	%(6)		0.20	%(6)		0.60	%(6)		0.60	%(6)		0.60	%(6)
	0.05	%		0.04	%		0.05	%(6)		0.85	%		0.90	%(6)		0.20	%(6)		0.60	%(6)		0.60	%(6)		0.60	%(6)
	2.91	%		3.23	%		4.48	%(6)		3.09	%		1.97	%(6)		0.34	%(6)		1.25	%(6)		1.16	%(6)		1.43	%(6)
	89	%		123	%		25	%		77	%		4	%		39	%		27	%		20	%		23	%

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS

June 30, 2014

1.	Organization

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

As of June 30, 2014, the Trust offered eight (8) portfolios, each of which represents a separate series of beneficial interest in the Trust (each, a “Fund” and collectively, the “Funds”). The financial statements herein relate to the following eight (8) Funds: 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, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity 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, SSgA Ultra Short Term Bond Portfolio, SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Growth Equity Portfolio and SSgA MFS Systematic Value Equity Portfolio (each, a “Portfolio” and collectively, the “Portfolios”), each Portfolio 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, 99.99% for SPDR SSgA Ultra Short Term Bond ETF, 99.98% for SPDR MFS Systematic Core Equity ETF, 99.98% for SPDR MFS Systematic Growth Equity ETF and 99.98% for SPDR MFS Systematic Value Equity ETF at June 30, 2014). 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 fair value each business day. The valuation policies of the Portfolios are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.

The Portfolios adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The summary of the inputs used for each Portfolio, as of June 30, 2014, 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.

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

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.

Expenses

Advisory fees and other expenses, which are directly identifiable to a specific Fund, are applied to that Fund. Trustees’ fees and other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds. The Fund’s are allocated a pro-rata share of the 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, 2014 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.

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

For the year ended June 30, 2014, 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	$	1,261,307
SPDR SSgA Income Allocation ETF		1,386,705
SPDR SSgA Global Allocation ETF		758,876
SPDR Blackstone/GSO Senior Loan ETF		—
SPDR SSgA Ultra Short Term Bond ETF		—
SPDR MFS Systematic Core Equity ETF		—
SPDR MFS Systematic Growth Equity ETF		—
SPDR MFS Systematic Value Equity ETF		—

At June 30, 2014, the Funds had capital loss carryforwards which may be utilized to offset any net short-term 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	$	2,983,519	$	2,241,562
SPDR SSgA Income Allocation ETF		3,138,967		554,763
SPDR SSgA Global Allocation ETF		—		—
SPDR Blackstone/GSO Senior Loan ETF		2,647,283		136,659
SPDR SSgA Ultra Short Term Bond ETF		—		—
SPDR MFS Systematic Core Equity ETF		—		—
SPDR MFS Systematic Growth Equity ETF		—		—
SPDR MFS Systematic Value Equity ETF		—		—

For the year ended June 30, 2014, there were no significant differences between the book basis and the tax basis character of distributions to shareholders other than partnership adjustments.

The tax character of distributions paid during the years ended June 30, 2014 and June 30, 2013 was as follows:


	Distributions Paid in 2014				Distributions Paid in 2013
	Ordinary Income		Long-term Capital Gains		Ordinary Income		Long-term Capital Gains
SPDR SSgA Multi-Asset Real Return ETF	$	2,582,680	$	—	$	1,773,687	$	—
SPDR SSgA Income Allocation ETF		3,845,121		—		3,792,817		—
SPDR SSgA Global Allocation ETF		2,021,720		—		768,378		—
SPDR Blackstone/GSO Senior Loan ETF		16,478,270		—		519,534		—
SPDR SSgA Ultra Short Term Bond ETF		28,118		—		—		—
SPDR MFS Systematic Core Equity ETF		29,958		—		—		—
SPDR MFS Systematic Growth Equity ETF		27,427		—		—		—
SPDR MFS Systematic Value Equity ETF		33,808		—		—		—

For the year ended June 30, 2014, there were no significant differences between the book basis and the tax basis of components of net assets other than differences in the net unrealized appreciation (depreciation) in the value of investments attributable to the tax deferral of losses on wash sales, redemptions in-kind, dividend payables and partnership adjustments.

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

As of June 30, 2014, the components of distributable earnings on a tax basis were as follows:


	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Net Unrealized Appreciation (Depreciation)
SPDR SSgA Multi-Asset Real Return ETF	$	837,164	$	—	$	6,363,847
SPDR SSgA Income Allocation ETF		717,173		—		5,114,694
SPDR SSgA Global Allocation ETF		943,193		439,569		6,389,387
SPDR Blackstone/GSO Senior Loan ETF		1,246,787		—		1,614,662
SPDR SSgA Ultra Short Term Bond ETF		4,870		—		10,479
SPDR MFS Systematic Core Equity ETF		85,234		—		290,337
SPDR MFS Systematic Growth Equity ETF		26,235		—		343,934
SPDR MFS Systematic Value Equity ETF		21,786		—		262,168

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		0.70	**
SPDR SSgA Ultra Short Term Bond ETF		0.20
SPDR MFS Systematic Core Equity ETF		0.60
SPDR MFS Systematic Growth Equity ETF		0.60
SPDR MFS Systematic Value Equity ETF		0.60

The Advisory fee is reduced by the proportional amount of the advisory fee, as well as for SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF and SPDR SSgA Global Allocation ETF acquired fund fees and expenses of each Fund’s respective Portfolio. For the period ended June 30, 2014, the net annualized advisory fee was 0.03%, 0.16%,(0.15)%, 0.55%, 0.00%, 0.30%, 0.30% and 0.30% 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, SPDR SSgA Ultra Short Term Bond ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF, respectively. For the SPDR SSgA Global Allocation ETF the reduction resulted in a fee reimbursement which is identified on the Statements of Operations.

**	Effective April 1, 2014, the SPDR Blackstone / GSO Senior Loan ETF changed its advisory fee from 0.90% to 0.70%.

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.

SSgA ACTIVE ETF TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

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.

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. Independent Trustee fees are allocated among the Trusts and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.

4.	Shareholder Transactions

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

SSgA ACTIVE ETF TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

SSgA Active ETF Trust

We have audited the accompanying statements of assets and liabilities of SSgA Active ETF Trust (comprising, respectively, SPDR SSgA Multi-Asset Real Return ETF, SPDR SSgA Income Allocation ETF, SPDR SSgA Global Allocation ETF, SPDR Blackstone/GSO Senior Loan ETF, SPDR SSgA Ultra Short Term Bond ETF, SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Value Equity ETF and SPDR MFS Systematic Growth Equity ETF) (collectively, the “Funds”) as of June 30, 2014, and the related statements of operations, changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above mentioned Funds of SSgA Active ETF Trust at June 30, 2014, and the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

LOGO

Boston, Massachusetts

August 28, 2014

SSgA ACTIVE ETF TRUST

OTHER INFORMATION

June 30, 2014 (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. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. It is based on an investment of $1,000 invested on January 1, 2014 and held for the six months ended June 30, 2014.

Actual Expenses

The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first table under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


Actual	Annualized Expense Ratio			Beginning Account Value 1/1/14		Ending Account Value 6/30/14		Expenses Paid During Period* 1/1/14 to 6/30/14
SPDR SSgA Multi-Asset Real Return ETF		0.23	%	$	1,000	$	1,073.30	$	1.18
SPDR SSgA Income Allocation ETF		0.36			1,000		1,084.30		1.86
SPDR SSgA Global Allocation ETF		0.05			1,000		1,056.70		0.25
SPDR Blackstone / GSO Senior Loan ETF		0.80			1,000		1,014.60		4.00
SPDR SSgA Ultra Short Term Bond ETF		0.20			1,000		1,002.80		0.99
SPDR MFS Systematic Core Equity ETF**		0.60			1,000		1,078.10		2.97
SPDR MFS Systematic Growth Equity ETF**		0.60			1,000		1,076.80		2.97
SPDR MFS Systematic Value Equity ETF**		0.60			1,000		1,060.40		2.95

Hypothetical (assuming a 5% return before expenses)
SPDR SSgA Multi-Asset Real Return ETF		0.23			1,000		1,023.66		1.15
SPDR SSgA Income Allocation ETF		0.36			1,000		1,023.01		1.81
SPDR SSgA Global Allocation ETF		0.05			1,000		1,024.55		0.25
SPDR Blackstone / GSO Senior Loan ETF		0.80			1,000		1,020.83		4.01
SPDR SSgA Ultra Short Term Bond ETF		0.20			1,000		1,023.81		1.00
SPDR MFS Systematic Core Equity ETF**		0.60			1,000		1,021.82		3.01

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2014 (Unaudited)


Hypothetical (assuming a 5% return before expenses)	Annualized Expense Ratio			Beginning Account Value 1/1/14		Ending Account Value 6/30/14		Expenses Paid During Period* 1/1/14 to 6/30/14
SPDR MFS Systematic Growth Equity ETF**		0.60	%	$	1,000	$	1,021.82	$	3.01
SPDR MFS Systematic Value Equity ETF**		0.60			1,000		1,021.82		3.01

*	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 1/8/14. Hypothetical period is from 1/1/14.

Premium/Discount Information

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

Tax Information

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2014.

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended June 30, 2014, are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. These amounts are noted below:


	Amount
SPDR SSgA Multi-Asset Real Return ETF	$	1,367,540
SPDR SSgA Income Allocation ETF		1,094,761
SPDR SSgA Global Allocation ETF		774,179
SPDR Blackstone/GSO Senior Loan ETF		—
SPDR SSgA Ultra Short Term Bond ETF		—
SPDR MFS Systematic Core Equity ETF		38,443
SPDR MFS Systematic Growth Equity ETF		38,241
SPDR MFS Systematic Value Equity ETF		44,852

Qualified Interest Income

The Funds designated a portion of dividends distributed during the fiscal year ended June 30, 2014, as qualified interest income. These amounts are noted below:


	Amount
SPDR SSgA Multi-Asset Real Return ETF	$	174,179
SPDR SSgA Income Allocation ETF		1,290,018
SPDR SSgA Global Allocation ETF		372,574
SPDR Blackstone/GSO Senior Loan ETF		1,393,337
SPDR SSgA Ultra Short Term Bond ETF		39,688
SPDR MFS Systematic Core Equity ETF		—
SPDR MFS Systematic Growth Equity ETF		—
SPDR MFS Systematic Value Equity ETF		—

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2014 (Unaudited)

Long term capital gains dividends were paid from the following Funds during the year ended June 30, 2014:


	Amount
SPDR SSgA Global Allocation ETF	$	115,180

At June 30, 2014 the Funds had foreign source income. These amounts are noted below:


	Amount
SPDR SSgA Multi-Asset Real Return ETF	$	1,759,593
SPDR SSgA Income Allocation ETF		1,320,963
SPDR SSgA Global Allocation ETF		1,035,075
SPDR Blackstone/GSO Senior Loan ETF		—
SPDR SSgA Ultra Short Term Bond ETF		—
SPDR MFS Systematic Core Equity ETF		—
SPDR MFS Systematic Growth Equity ETF		—
SPDR MFS Systematic Value Equity ETF		—

Foreign Tax Credit

The Trust has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by a Fund to its shareholders. For the year ended June 30, 2014, the total amount of foreign taxes that will be passed through are:


	Amount
SPDR SSgA Multi-Asset Real Return ETF	$	115,291
SPDR SSgA Income Allocation ETF		104,492
SPDR SSgA Global Allocation ETF		26,796
SPDR Blackstone/GSO Senior Loan ETF		—
SPDR SSgA Ultra Short Term Bond ETF		—
SPDR MFS Systematic Core Equity ETF		—
SPDR MFS Systematic Growth Equity ETF		—
SPDR MFS Systematic Value Equity ETF		—

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


	Percentage
SPDR SSgA Multi-Asset Real Return ETF		14.03	%
SPDR SSgA Income Allocation ETF		13.69
SPDR SSgA Global Allocation ETF		17.81
SPDR Blackstone/GSO Senior Loan ETF		—
SPDR SSgA Ultra Short Term Bond ETF		—
SPDR MFS Systematic Core Equity ETF		40.89
SPDR MFS Systematic Growth Equity ETF		87.50
SPDR MFS Systematic Value Equity ETF		100.00

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2014 (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 U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the 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 Agreements

At in-person meetings held prior to June 30, 2014, 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 (the “Agreements”) between SSgA Funds Management, Inc. (the “Adviser”) and (1) the SSgA Active ETF Trust with respect to the SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF (the “New ETFs”) and (2) SSgA Master Trust with respect to the New ETFs’ corresponding master funds, the SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Growth Equity Portfolio and SSgA MFS Systematic Value Equity Portfolio (together with the New ETFs, the “New Funds”), each of which commenced operations during the most recent fiscal half-year period covered by this Annual Report. The Trustees who are not “interested persons” of the Trusts 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 Trusts’ Administrator, Transfer Agent and Custodian (“State Street”). In deciding whether to approve the Agreements, the Board considered various factors, including the (i) 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) extent to which economies of scale would be realized if and as the New Funds grow and whether the fees in the Agreements reflects these economies of scale.

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

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2014 (Unaudited)

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

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 the each New Fund’s advisory fee rates as assets of a New Fund increase. However, the Board further noted the Adviser’s assertion that future economies of scale (among several factors) 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 Fund 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 ETFs’ 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 ETFs 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 Agreements 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 Trusts.

At in-person meetings held prior to June 30, 2014, the Board also considered the approval of separate Sub-Advisory Agreements (the “MFS Sub-Advisory Agreements”) between the Adviser and MFS Investment Management (“MFS”) with respect to the New Funds.

In evaluating the MFS Sub-Advisory Agreements, the Board drew on materials provided to them by MFS and the Adviser. In deciding whether to approve the MFS Sub-Advisory Agreements, the Board considered various factors, including: (i) the nature, extent and quality of services expected to be provided by MFS with respect to the New Funds under the MFS Sub-Advisory Agreements; and (ii) investment performance of other actively managed mandates managed by MFS. The Board was apprised of the portion of the current advisory fee that the Adviser would pay to MFS under the MFS Sub-Advisory Agreements and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the New Funds.

The Board considered the background and experience of MFS’s senior management and in particular MFS’s experience in investing in equity securities. The Board noted that MFS would bring significant actively managed equity experience to bear in managing the New Funds. The Board noted that MFS has extensive experience in managing equity securities and reviewed MFS’s assets under management in similar portfolios of securities.

The Board, including the Independent Trustees voting separately, approved the MFS Sub-Advisory Agreements for the New Funds 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 Agreements were as follows: (a) the nature and extent of the services expected to be provided by MFS to the New Funds were adequate and appropriate; and (b) MFS’s experience in managing equity securities is extensive; (c) MFS’s fees for the New Funds and the unitary fee, considered in relation to the services provided or expected to be provided, were fair and reasonable; (d) any additional benefits to MFS was not of a magnitude to materially affect the Board’s conclusions; and (e) fees expected to be paid to MFS were expected to share economies of scale with the New Funds.

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2014 (Unaudited)

TRUSTEES AND OFFICERS OF THE TRUST

Name, Address

and Year of Birth

Position(s)

with Funds

Term of
Office and
Length of
Time Served

Principal
Occupation(s)
During Past
5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by Trustee

Independent Trustees

FRANK NESVET
c/o SPDR Series Trust
State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900
1943

Independent Trustee, Chairman, Trustee Committee Chair

Term: Unlimited

Served: since

September 2000

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

179

SPDR Index Shares Funds

(Trustee); SPDR Series Trust (Trustee); SSgA Master Trust (Trustee).

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

Independent

Trustee, Audit Committee Chair

Term: Unlimited

Served: since

September 2000

Retired.

179

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

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

Independent Trustee

Term: Unlimited

Served: since

April 2010

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

179

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

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

Independent Trustee

Term: Unlimited

Served: since

April 2010

Chief Executive Officer and President, CFA Institute (2014-present); Self-employed consultant since 2010; Head of Fixed Income and other Senior Management roles, Fidelity Investments (1993-2009).

179

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

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

Independent Trustee

Term: Unlimited

Served: since

April 2010

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

179

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

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2014 (Unaudited)

Name, Address

and Year of Birth

Position(s)

with Funds

Term of
Office and
Length of
Time Served

Principal
Occupation(s)
During Past
5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by Trustee

Interested Trustee

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

Interested

Trustee

Term:

Unlimited

Served: since April 2010

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

209

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

Investment Trust

(Trustee).

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

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

OFFICERS


Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
ELLEN M. NEEDHAM SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967	President	Term: Unlimited Served: since October 2012	President and Director, SSgA Funds Management, Inc. (June 2012-present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010-June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992-2012); Senior Managing Director, State Street Global Advisors (1992-present).
ANN M. CARPENTER SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966	Vice President	Term: Unlimited Served: since August 2012	Chief Operating Officer, SSgA Funds Management, Inc. (April 2014-present); Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2005-present).*
MICHAEL P. RILEY SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Vice President	Term: Unlimited Served: since February 2005	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-present); Principal, State Street Global Advisors and SSgA Funds Management, Inc. (2005-2008).

SSgA ACTIVE ETF TRUST

OTHER INFORMATION (continued)

June 30, 2014 (Unaudited)


Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
CHRISTOPHER A. MADDEN State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1967	Secretary	Term: Unlimited Served: since August 2013	Vice President and Senior Counsel, State Street Bank and Trust Company (2013-present); Counsel, Atlantic Fund Services (2009-2013); Vice President, Citigroup Fund Services, LLC (2005-2009).*
DANIO MASTROPIERI State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1972	Assistant Secretary	Term: Unlimited Served: since August 2013	Vice President and Counsel, State Street Bank and Trust Company (2013-present); Vice President, Citi Fund Services Ohio, Inc. (2007-2013)., *
CHAD C. HALLETT State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1969	Treasurer	Term: Unlimited Served: since November 2010	Vice President, State Street Bank and Trust Company (2001-present).*
MATTHEW FLAHERTY State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1971	Assistant Treasurer	Term: Unlimited Served: since May 2005	Vice President, State Street Bank and Trust Company (1994-present).*
LAURA F. DELL State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1964	Assistant Treasurer	Term: Unlimited Served: since November 2007	Vice President, State Street Bank and Trust Company (2002-present).*
BRIAN HARRIS SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973	Chief Compliance Officer	Term: Unlimited Served: since November 2013	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010).

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

**	Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 1-866-787-2257.

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 Value Tilt ETF (VLU)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR Russell 1000 Low Volatility ETF (LGLV)

SPDR Russell 2000 Low Volatility ETF (SMLV)

SPDR Wells Fargo Preferred Stock ETF (PSK)

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

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays 0-5 Year TIPS ETF (SIPE)

SPDR Barclays 1-10 Year TIPS ETF (TIPX)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SPDR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (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 International High Yield Bond ETF (IJNK)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

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

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (XOVR)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR EURO STOXX Small Cap ETF (SMEZ)

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 MSCI EAFE Quality Mix ETF (QEFA)

SPDR MSCI Emerging Markets Quality Mix ETF (QEMM)

SPDR MSCI World Quality Mix ETF (QWLD)

SPDR MSCI Australia Quality Mix ETF (QAUS)

SPDR MSCI Canada Quality Mix ETF (QCAN)

SPDR MSCI Germany Quality Mix ETF (QDEU)

SPDR MSCI Japan Quality Mix ETF (QJPN)

SPDR MSCI Spain Quality Mix ETF (QESP)

SPDR MSCI United Kingdom Quality Mix ETF (QGBR)

SPDR Russell/Nomura PRIMETM Japan ETF (JPP)

SPDR Russell/Nomura Small CapTM Japan ETF (JSC)

SPDR S&P Global Dividend ETF (WDIV)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

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

SPDR Dow Jones Global Real Estate ETF (RWO)

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

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

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

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

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The 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 Growth Equity ETF (SYG)

SPDR MFS Systematic Value Equity ETF (SYV)

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.

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.

SSgA Master Trust

Annual Report June 30, 2014

TABLE OF CONTENTS


Portfolio Summary
SSgA Multi-Asset Real Return Portfolio			1
SSgA Income Allocation Portfolio			2
SSgA Global Allocation Portfolio			3
Blackstone/GSO Senior Loan Portfolio			4
SSgA Ultra Short Term Bond Portfolio			5
SSgA MFS Systematic Core Equity Portfolio			6
SSgA MFS Systematic Growth Equity Portfolio			7
SSgA MFS Systematic Value Equity Portfolio			8
Schedules of Investments
SSgA Multi-Asset Real Return Portfolio			9
SSgA Income Allocation Portfolio			10
SSgA Global Allocation Portfolio			11
Blackstone/GSO Senior Loan Portfolio			12
SSgA Ultra Short Term Bond Portfolio			17
SSgA MFS Systematic Core Equity Portfolio			19
SSgA MFS Systematic Growth Equity Portfolio			20
SSgA MFS Systematic Value Equity Portfolio			21
Financial Statements			22
Financial Highlights			30
Notes to Financial Statements			32
Report of Independent Registered Public Accounting Firm			40
Other Information			41

LOGO

SSgA MULTI-ASSET REAL RETURN PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	SPDR S&P GLOBAL NATURAL RESOURCES ETF	POWERSHARES DB COMMODITY INDEX TRACKING FUND	SPDR DOW JONES REIT ETF	SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF	SPDR BARCLAYS TIPS ETF
MARKET VALUE	$51,368,509	36,188,431	20,131,235	18,510,945	13,941,705
% OF NET ASSETS	31.2	22.0	12.2	11.2	8.5

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

ASSET ALLOCATION AS OF JUNE 30, 2014*


	PERCENT OF NET ASSET
Natural Resources		43.9	%
Real Estate		23.5
Commodities		22.0
Inflation Linked		9.9
Short Term Investments		0.2
Other Assets & Liabilities		0.5
TOTAL		100.0	%

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

LOGO

SSgA INCOME ALLOCATION PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	SPDR S&P DIVIDEND ETF	SPDR BARCLAYS LONG TERM CORPORATE BOND ETF	SPDR BARCLAYS HIGH YIELD BOND ETF	SPDR BARCLAYS LONG TERM TREASURY ETF	SPDR DOW JONES REIT ETF
MARKET VALUE	$15,996,281	14,133,063	7,674,773	7,354,924	7,169,374
% OF NET ASSETS	15.4	13.6	7.4	7.1	6.9

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

ASSET ALLOCATION AS OF JUNE 30, 2014*


	PERCENT OF NET ASSET
Domestic Fixed Income		30.6	%
Domestic Equity		26.3
International Equity		21.0
Real Estate		12.7
International Fixed Income		5.0
Inflation Linked		3.5
Short Term Investments		0.5
Other Assets & Liabilities		0.4
TOTAL		100.0	%

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

LOGO

SSgA GLOBAL ALLOCATION PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	SPDR S&P 500 ETF TRUST	SPDR S&P WORLD ex-US ETF	SPDR DOW JONES REIT ETF	SPDR BARCLAYS LONG TERM CORPORATE BOND ETF	SPDR DOW JONES INTERNATIONAL REAL ESTATE ETF
MARKET VALUE	$19,599,009	19,315,257	6,332,817	5,951,067	5,339,370
% OF NET ASSETS	19.9	19.6	6.4	6.0	5.4

(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 JUNE 30, 2014*


	PERCENT OF NET ASSET
International Equity		37.5	%
Domestic Equity		29.8
Real Estate		11.9
Domestic Fixed Income		11.0
Inflation Linked		5.0
International Fixed Income		2.0
Short Term Investments		2.1
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.

LOGO

BLACKSTONE / GSO SENIOR LOAN PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	DELL, INC., SENIOR SECURED TERM LOAN B, 4.50%, 4/29/20	CLEAR CHANNEL COMMUNICATIONS, INC., 9.00%, 12/15/19	CAESARS ENTERTAINMENT RESORT PROPERTIES LLC, SENIOR SECURED TERM LOAN B, 7.00%, 10/12/20	LAS VEGAS SANDS LLC, SENIOR SECURED TERM LOAN B, 3.25%, 12/19/20	MPH ACQUISITION HOLDINGS LLC, SENIOR SECURED TERM LOAN, 4.00%, 3/31/21
MARKET VALUE	$12,109,074	11,728,750	8,698,498	8,322,506	7,887,148
% OF NET ASSETS	2.0	1.9	1.4	1.4	1.3

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*


	PERCENT OF NET ASSET
Media		9.1	%
Hotels, Restaurants & Leisure		8.6
Specialty Retail		5.0
Health Care Providers & Services		4.5
Chemicals		4.2
Commercial Services & Supplies		4.0
Software		3.9
Health Care Equipment & Supplies		3.7
Diversified Consumer Services		3.4
Diversified Telecommunication Services		3.0
Wireless Telecommunication Services		3.0
Food & Staples Retailing		2.6
Internet Software & Services		2.5
Auto Components		2.2
Food Products		2.0
Oil, Gas & Consumable Fuels		2.0
Semiconductors & Semiconductor Equipment		2.0
Technology Hardware, Storage & Peripherals		2.0
Pharmaceuticals		1.9
Electric Utilities		1.8
Machinery		1.8
Independent Power & Renewable Electricity Producers		1.7
Building Products		1.6
Insurance		1.6


	PERCENT OF NET ASSET
Life Sciences Tools & Services		1.6	%
Containers & Packaging		1.5
Airlines		1.4
Communications Equipment		1.4
Diversified Financial Services		1.4
Metals & Mining		1.4
Multiline Retail		1.2
Personal Products		1.0
Electronic Equipment, Instruments & Components		0.9
It Services		0.8
Automobiles		0.7
Biotechnology		0.7
Health Care Technology		0.7
Household Durables		0.7
Industrial Conglomerates		0.7
Energy Equipment & Services		0.6
Professional Services		0.6
Aerospace & Defense		0.3
Leisure Products		0.3
Real Estate Management & Development		0.3
Trading Companies & Distributors		0.3
Multi-utilities		0.2
Distributors		0.1
Short Term Investments		6.5
Other Assets & Liabilities		(3.4	)
TOTAL		100.0	%

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

LOGO

SSgA ULTRA SHORT TERM BOND PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	TOYOTA MOTOR CREDIT CORP., 0.43%, 5/16/17	SLM STUDENT LOAN TRUST, 0.40%, 7/25/19	BOEING CAPITAL CORP., 3.25%, 10/27/14	CISCO SYSTEMS, INC., 0.51%, 3/3/17	GE DEALER FLOORPLAN MASTER NOTE TRUST, 0.64%, 6/20/17
MARKET VALUE	$400,107	373,841	353,343	351,390	350,888
% OF NET ASSETS	2.9	2.7	2.5	2.5	2.5

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*


	PERCENT OF NET ASSET
Automobiles		24.4	%
Banks		21.5
Diversified Financial Services		20.8
Credit Card Receivables		3.9
Metals & Mining		3.6
Media		3.2
Diversified Telecommunication Services		3.1
Beverages		2.8
Student Loan ABS		2.7
Chemicals		2.5
Communications Equipment		2.5
Health Care Providers & Services		2.5
Consumer Finance		1.6
Pharmaceuticals		1.1
Aerospace & Defense		0.8
Road & Rail		0.8
Short Term Investments		3.7
Other Assets & Liabilities		(1.5	)
TOTAL		100.0	%

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

LOGO

SSgA MFS SYSTEMATIC CORE EQUITY PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	EXXON MOBIL CORP.	JPMORGAN CHASE & CO.	VERIZON COMMUNICATIONS, INC.	APPLE, INC.	FACEBOOK, INC. (CLASS A)
MARKET VALUE	$242,639	223,854	217,641	215,969	205,907
% OF NET ASSETS	4.5	4.2	4.0	4.0	3.8

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*


	PERCENT OF NET ASSET
Health Care Providers & Services		11.0	%
Oil, Gas & Consumable Fuels		9.1
Banks		8.3
Technology Hardware, Storage & Peripherals		7.7
Internet Software & Services		7.6
Insurance		7.3
Software		6.6
Diversified Telecommunication Services		4.0
Tobacco		3.8
Food & Staples Retailing		3.7
Pharmaceuticals		3.6
Aerospace & Defense		3.4
Hotels, Restaurants & Leisure		3.0
Independent Power & Renewable Electricity Producers		2.8
Textiles, Apparel & Luxury Goods		2.6
Media		2.3
Consumer Finance		2.0
Diversified Consumer Services		2.0
Electric Utilities		1.8
Biotechnology		1.5
Containers & Packaging		1.5
Household Products		1.4
Specialty Retail		1.0
Food Products		0.8
Short Term Investments		1.1
Other Assets & Liabilities		0.1
TOTAL		100.0	%

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

LOGO

SSgA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	ORACLE CORP.	FACEBOOK, INC. (CLASS A)	COMCAST CORP. (CLASS A)	McKESSON CORP.	THE KROGER CO.
MARKET VALUE	$246,341	232,150	213,861	185,838	181,606
% OF NET ASSETS	4.6	4.3	4.0	3.5	3.4

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*


	PERCENT OF NET ASSET
Software		10.5	%
Internet Software & Services		10.4
Health Care Providers & Services		9.9
Media		6.5
Aerospace & Defense		6.1
It Services		5.9
Tobacco		5.6
Food & Staples Retailing		5.3
Textiles, Apparel & Luxury Goods		4.3
Auto Components		3.4
Beverages		3.2
Chemicals		3.2
Diversified Telecommunication Services		2.9
Insurance		2.9
Machinery		2.8
Oil, Gas & Consumable Fuels		2.6
Pharmaceuticals		1.7
Biotechnology		1.5
Technology Hardware, Storage & Peripherals		1.5
Containers & Packaging		1.4
Real Estate Investment Trusts		1.4
Consumer Finance		1.2
Multiline Retail		1.2
Airlines		1.0
Specialty Retail		0.9
Communications Equipment		0.6
Road & Rail		0.6
Short Term Investments		1.4
Other Assets & Liabilities		0.1
TOTAL		100.0	%

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

LOGO

SSgA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO

TOP FIVE HOLDINGS AS OF JUNE 30, 2014



DESCRIPTION	EXXON MOBIL CORP.	WELLS FARGO & CO.	JPMORGAN CHASE & CO.	HEWLETT- PACKARD CO.	WELLPOINT, INC.
MARKET VALUE	$304,456	254,811	242,926	198,981	188,963
% OF NET ASSETS	5.8	4.8	4.6	3.8	3.6

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

INDUSTRY BREAKDOWN AS OF JUNE 30, 2014*


	PERCENT OF NET ASSET
Banks		13.3	%
Oil, Gas & Consumable Fuels		13.1
Health Care Providers & Services		10.5
Insurance		8.6
Pharmaceuticals		5.5
Independent Power & Renewable Electricity Producers		5.1
Technology Hardware, Storage & Peripherals		4.8
Aerospace & Defense		4.5
Internet Software & Services		3.3
Hotels, Restaurants & Leisure		2.6
Multiline Retail		2.6
Media		2.4
Electric Utilities		2.0
Auto Components		1.9
Food Products		1.9
Capital Markets		1.7
Food & Staples Retailing		1.7
Software		1.7
Consumer Finance		1.6
Automobiles		1.3
Chemicals		1.3
Diversified Consumer Services		1.3
Machinery		1.3
Beverages		1.2
Real Estate Investment Trusts		1.2
Diversified Telecommunication Services		1.0
Tobacco		1.0
Short Term Investments		1.5
Other Assets & Liabilities		0.1
TOTAL		100.0	%

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

SSgA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Shares		Value


EXCHANGE TRADED PRODUCTS — 99.3%
COMMODITIES — 22.0%
PowerShares DB Commodity Index Tracking Fund (a)		1,361,491	$	36,188,431
PowerShares DB Oil Fund (a)		765		23,531

				36,211,962

INFLATION LINKED — 9.9%
SPDR Barclays TIPS ETF (b)		243,141		13,941,705
SPDR DB International Government Inflation-Protected Bond ETF (b)		39,783		2,466,944

				16,408,649

NATURAL RESOURCES — 43.9%
Market Vectors Gold Miners ETF		36,502		965,478
PowerShares Global Agriculture Portfolio		157,310		4,854,587
SPDR S&P Global Natural Resources ETF (b)		971,968		51,368,509
SPDR S&P International Energy Sector ETF (b)		114,255		3,376,235
SPDR S&P Metals & Mining ETF (b)		118,602		5,010,934
The Energy Select Sector SPDR Fund (b)		67,060		6,712,706

				72,288,449

REAL ESTATE — 23.5%
SPDR Dow Jones International Real Estate ETF (b)		418,421		18,510,945
SPDR Dow Jones REIT ETF (b)		242,545		20,131,235

				38,642,180

TOTAL EXCHANGE TRADED PRODUCTS (Cost $158,026,611)				163,551,240

SHORT TERM INVESTMENTS — 0.2%
MONEY MARKET FUND — 0.2%
State Street Institutional Liquid Reserves Fund 0.06% (b) (c) (Cost $334,186)		334,186		334,186

TOTAL INVESTMENTS — 99.5% (d) (Cost $158,360,797)				163,885,426
OTHER ASSETS & LIABILITIES — 0.5%				749,561

NET ASSETS — 100.0%			$	164,634,987

(a)	Qualified Publicly Traded Partnerships

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

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

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

See accompanying notes to financial statements.

SSgA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Shares		Value


EXCHANGE TRADED PRODUCTS — 99.1%
DOMESTIC EQUITY — 26.3%
SPDR S&P Dividend ETF (a)		208,856	$	15,996,281
SPDR Wells Fargo Preferred Stock ETF (a)		118,540		5,174,271
The Health Care Select Sector SPDR Fund (a)		34,459		2,096,141
The Industrial Select Sector SPDR Fund (a)		37,178		2,009,843
The Technology Select Sector SPDR Fund (a)		53,943		2,068,714

				27,345,250

DOMESTIC FIXED INCOME — 30.6%
SPDR Barclays Convertible Securities ETF (a)		51,996		2,625,798
SPDR Barclays High Yield Bond ETF (a)		183,915		7,674,773
SPDR Barclays Long Term Corporate Bond ETF (a)		348,105		14,133,063
SPDR Barclays Long Term Treasury ETF (a)		110,934		7,354,924

				31,788,558

INFLATION LINKED — 3.5%
SPDR Barclays TIPS ETF (a)		64,001		3,669,817

INTERNATIONAL EQUITY— 21.0%
SPDR EURO STOXX 50 ETF (a)		34,566		1,495,671
SPDR S&P Emerging Markets Dividend ETF (a)		101,157		4,055,384
SPDR S&P Global Infrastructure ETF (a)		81,481		4,145,753
SPDR S&P International Dividend ETF (a)		118,992		6,104,290
SPDR STOXX Europe 50 ETF (a)		154,452		6,080,775

				21,881,873

INTERNATIONAL FIXED INCOME — 5.0%
SPDR Barclays Emerging Markets Local Bond ETF (a)		99,028		3,091,654
SPDR Barclays International Corporate Bond ETF (a)		55,214		2,087,090

				5,178,744

REAL ESTATE — 12.7%
SPDR Dow Jones International Real Estate ETF (a)		136,457		6,036,858
SPDR Dow Jones REIT ETF (a)		86,378		7,169,374

				13,206,232

TOTAL EXCHANGE TRADED PRODUCTS (Cost $97,818,963)				103,070,474

SHORT TERM INVESTMENTS — 0.5%
MONEY MARKET FUND — 0.5%
State Street Institutional Liquid Reserves Fund 0.06% (a) (b) (Cost $519,279)		519,279		519,279

TOTAL INVESTMENTS — 99.6% (c) (Cost $98,338,242)				103,589,753
OTHER ASSETS & LIABILITIES — 0.4%				440,625

NET ASSETS — 100.0%			$	104,030,378

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

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

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

See accompanying notes to financial statements.

SSgA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Shares		Value


EXCHANGE TRADED PRODUCTS — 97.2%
DOMESTIC EQUITY— 29.8%
SPDR S&P 500 ETF Trust (a)		100,138	$	19,599,009
SPDR S&P 500 Growth ETF (a)		21,483		1,954,309
SPDR S&P MidCap 400 ETF Trust (a)		7,604		1,981,298
The Health Care Select Sector SPDR Fund (a)		32,724		1,990,601
The Industrial Select Sector SPDR Fund (a)		35,237		1,904,912
The Technology Select Sector SPDR Fund (a)		51,139		1,961,181

				29,391,310

DOMESTIC FIXED INCOME — 11.0%
SPDR Barclays Aggregate Bond ETF (a)		50,949		2,953,004
SPDR Barclays High Yield Bond ETF (a)		47,109		1,965,858
SPDR Barclays Long Term Corporate Bond ETF (a)		146,578		5,951,067

				10,869,929

INFLATION LINKED — 5.0%
SPDR Barclays TIPS ETF (a)		60,632		3,476,639
SPDR DB International Government Inflation-Protected Bond ETF (a)		23,868		1,480,055

				4,956,694

INTERNATIONAL EQUITY— 37.5%
SPDR EURO STOXX 50 ETF (a)		65,373		2,828,690
SPDR Russell/Nomura PRIME Japan ETF (a)		86,174		4,002,782
SPDR S&P Emerging Markets ETF (a)		72,046		4,871,390
SPDR S&P International Small Cap ETF (a)		84,669		2,990,509
SPDR S&P World ex-US ETF (a)		638,099		19,315,257
SPDR STOXX Europe 50 ETF (a)		73,112		2,878,419

				36,887,047

INTERNATIONAL FIXED INCOME — 2.0%
SPDR Barclays International Corporate Bond ETF (a)		26,163		988,961
SPDR Barclays International Treasury Bond ETF (a)		16,302		990,999

				1,979,960

REAL ESTATE — 11.9%
SPDR Dow Jones International Real Estate ETF (a)		120,691		5,339,370
SPDR Dow Jones REIT ETF (a)		76,299		6,332,817

				11,672,187

TOTAL EXCHANGE TRADED PRODUCTS (Cost $89,341,431)				95,757,127


Security Description	Shares		Value


SHORT TERM INVESTMENTS — 2.1%
MONEY MARKET FUND — 2.1%
State Street Institutional Liquid Reserves Fund 0.06% (a) (b) (Cost $2,055,704)		2,055,704	$	2,055,704

TOTAL INVESTMENTS — 99.3% (c) (Cost $91,397,135)				97,812,831
OTHER ASSETS & LIABILITIES — 0.7%				678,776

NET ASSETS — 100.0%			$	98,491,607

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

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

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

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Principal Amount		Value

*SENIOR FLOATING RATE LOANS — 89.2%**
AEROSPACE & DEFENSE — 0.3%
DigitalGlobe, Inc., Senior Secured Term Loan B, 3.75%, 1/31/20	$	1,975,000	$	1,980,560

AIRLINES — 1.4%
Delta Air Lines, Inc.
Senior Secured Term Loan B, 3.50%, 4/20/17		1,974,555		1,977,734
Senior Secured Term Loan B1, 3.50%, 10/18/18		2,967,368		2,970,009
US Airways Group, Inc., Senior Secured Term Loan B1, 3.50%, 5/23/19		3,254,528		3,257,587

				8,205,330

AUTO COMPONENTS — 2.2%
Affinia Group Intermediate Holdings, Inc., Senior Secured Term Loan B2, 4.75%, 4/27/20		1,756,064		1,775,820
Allison Transmission, Inc., Senior Secured Term Loan B3, 3.75%, 8/23/19		3,956,369		3,970,711
Federal-Mogul Holdings Corp., Senior Secured Term Loan C, 4.75%, 4/15/21		5,000,000		5,013,025
Harbor Freight Tools USA, Inc., Senior Secured First Lien Term Loan, 4.75%, 7/26/19		2,661,470		2,686,141

				13,445,697

AUTOMOBILES — 0.7%
Chrysler Group LLC, Senior Secured Term Loan B, 3.25%, 12/31/18		4,156,250		4,148,893

BIOTECHNOLOGY — 0.7%
Grifols Worldwide Operations USA, Inc., Senior Secured Term Loan B, 3.15%, 2/27/21		4,137,172		4,137,544

BUILDING PRODUCTS — 1.6%
ABC Supply Co., Inc., Senior Secured Term Loan, 3.50%, 4/16/20		3,059,048		3,054,980
Ply Gem Industries, Inc., Senior Secured Term Loan, 4.00%, 2/1/21		804,435		800,614
Quikrete Holdings, Inc., Senior Secured First Lien Term Loan, 4.00%, 9/28/20		5,957,487		5,973,781

				9,829,375

CHEMICALS — 4.2%
Axalta Coating Systems US Holdings, Inc., Senior Secured Term Loan, 4.00%, 2/1/20		5,697,475		5,707,445
Huntsman International LLC, Senior Secured Incremental Term Loan, 3.75%, 10/15/20		2,398,524		2,403,621
Ineos US Finance LLC, Senior Secured 6 Year Term Loan, 3.75%, 5/4/18		6,928,030		6,921,137
Minerals Technologies, Inc., Senior Secured Term Loan B, 4.00%, 5/9/21		7,386,364		7,434,855
Univar, Inc., Senior Secured Term Loan B, 5.00%, 6/30/17		2,976,905		2,993,412

				25,460,470


Security Description	Principal Amount		Value

COMMERCIAL SERVICES & SUPPLIES — 3.8%
ADS Waste Holdings, Inc., Senior Secured Term Loan, 3.75%, 10/9/19	$	3,954,837	$	3,942,043
Aramark Corp.
Senior Secured Term Loan E, 3.25%, 9/7/19		1,995,000		1,984,027
Senior Secured Term Loan F, 3.25%, 2/24/21		1,995,000		1,984,277
Asurion LLC
Senior Secured Term Loan B1, 5.00%, 5/24/19		3,110,197		3,133,850
Senior Secured Term Loan B2, 4.25%, 7/8/20		2,589,231		2,591,393
Senior Secured Second Lien Term Loan, 8.50%, 3/3/21		1,276,596		1,326,862
KAR Auction Services, Inc., Senior Secured Term Loan B2, 3.50%, 3/11/21		990,259		990,105
Lineage Logistics Holdings, LLC, Senior Secured Term Loan, 4.50%, 4/7/21		3,069,231		3,057,076
Monitronics International, Inc., Senior Secured Term Loan B, 4.25%, 3/23/18		2,123,289		2,130,583
West Corp., Senior Secured Term Loan B10, 3.25%, 6/30/18		1,973,711		1,964,829

				23,105,045

COMMUNICATIONS EQUIPMENT — 1.1%
Blue Coat Systems, Inc., Senior Secured First Lien Term Loan, 4.00%, 5/31/19		5,025,422		5,036,930
Penton Media, Inc., Senior Secured First Lien Term Loan, 5.50%, 10/1/19		1,588,000		1,604,277

				6,641,207

CONTAINERS & PACKAGING — 1.4%
Berry Plastics Holding Corp.
Senior Secured Term Loan D, 3.50%, 2/8/20		2,964,975		2,944,443
Senior Secured Term Loan E, 3.75%, 1/6/21		1,217,002		1,214,514
Multi Packaging Solutions, Inc., Senior Secured Term Loan B, 4.25%, 9/30/20		1,995,000		2,001,234
Reynolds Group Issuer, Inc., Senior Secured New Dollar Term Loan, 4.00%, 12/1/18		2,475,000		2,481,843

				8,642,034

DISTRIBUTORS — 0.1%
Exopack Holdings SA, Senior Secured Term Loan B, 5.25%, 5/8/19		746,250		759,078

DIVERSIFIED CONSUMER SERVICES — 3.0%
Bright Horizons Family Solutions, Inc., Senior Secured Term Loan B, 3.75%, 1/30/20		3,952,356		3,958,126
ServiceMaster Co. Senior Secured Extended Term Loan, 6.50%, 1/31/17		3,957,102		3,962,187

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014


Security Description	Principal Amount		Value

Senior Secured Term Loan, 5.50%, 1/31/17	$	3,957,318	$	3,959,613
Senior Secured Term Loan B, 4.25%, 6/25/21		6,146,789		6,147,773

				18,027,699

DIVERSIFIED FINANCIAL SERVICES — 1.4%
AlixPartners LLP, Senior Secured Term Loan B2, 4.00%, 7/10/20		2,463,800		2,465,648
Opal Acquisition, Inc., Senior Secured First Lien Term Loan, 5.00%, 11/27/20		1,659,102		1,665,581
TransUnion LLC, Senior Secured Term Loan, 4.00%, 4/9/21		4,566,867		4,575,841

				8,707,070

DIVERSIFIED TELECOMMUNICATION SERVICES — 2.6%
Crown Castle Operating Co., Senior Secured Term Loan B2, 3.00%, 1/31/21		2,970,050		2,973,362
Intelsat Jackson Holdings, Ltd., Senior Secured Term Loan B2, 3.75%, 6/30/19		2,891,243		2,899,974
LTS Buyer LLC, Senior Secured First Lien Term Loan, 4.00%, 4/13/20		3,243,305		3,241,862
Telesat LLC, Senior Secured Term Loan B2, 3.50%, 3/28/19		1,975,000		1,975,316
Virgin Media Investment Holdings, Ltd., Senior Secured Term Loan B, 3.50%, 6/5/20		2,000,000		1,996,200
Zayo Group LLC, Senior Secured Term Loan B, 4.00%, 7/2/19		2,528,971		2,535,824

				15,622,538

ELECTRIC UTILITIES — 1.8%
Calpine Construction Finance Company LP, Senior Secured Term Loan B2, 3.25%, 1/31/22		4,377,954		4,345,120
EFS Cogen Holdings I, Inc., Senior Secured Term Loan B, 3.75%, 12/17/20		2,687,821		2,699,029
La Frontera Generation LLC, Senior Secured Term Loan, 4.50%, 9/30/20		3,847,556		3,866,312

				10,910,461

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.9%
CDW LLC, Senior Secured Term Loan, 3.25%, 4/29/20		5,112,699		5,066,684
Pelican Products, Inc., Senior Secured Term Loan, 5.25%, 4/10/20		375,853		379,611

				5,446,295

ENERGY EQUIPMENT & SERVICES — 0.6%
Sandy Creek Energy Associates LP, Senior Secured Term Loan B, 5.00%, 11/6/20		3,779,642		3,818,743

FOOD & STAPLES RETAILING — 2.6%
Albertson’s LLC, Senior Secured Term Loan B2, 4.75%, 3/21/19		4,647,015		4,677,987


Security Description	Principal Amount		Value

Sprouts Farmers Markets Holdings LLC, Senior Secured Term Loan, 4.00%, 4/23/20	$	1,565,000	$	1,570,869
Supervalu, Inc., Senior Secured Term Loan B, 4.50%, 3/21/19		2,943,978		2,945,273
US Foods, Inc., Senior Secured Term Loan, 4.50%, 3/29/19 (a)		6,646,388		6,665,364

				15,859,493

FOOD PRODUCTS — 2.0%
Dole Food Co., Inc., Senior Secured Term Loan B, 4.50%, 11/1/18		2,318,185		2,324,942
H.J. Heinz Co., Senior Secured Term Loan B2, 3.50%, 6/5/20		3,960,000		3,994,195
New HB Acquisition LLC, Senior Secured Term Loan, 6.75%, 4/9/20 (a)		3,990,000		4,144,612
Pinnacle Foods Finance LLC, Senior Secured Term Loan G, 3.25%, 4/29/20		1,979,950		1,972,367

				12,436,116

HEALTH CARE EQUIPMENT & SUPPLIES — 3.7%
Accellent, Inc., Senior Secured First Lien Term Loan, 4.50%, 3/12/21		2,432,927		2,428,377
Immucor, Inc., Senior Secured Term Loan B2, 5.00%, 8/17/18		3,457,381		3,479,543
Kinetic Concepts, Inc., Senior Secured Term Loan E1, 4.00%, 5/4/18		5,524,125		5,537,245
Onex Carestream Finance LP, Senior Secured First Lien Term Loan, 5.00%, 6/7/19		4,369,381		4,383,035
Ortho-Clinical Diagnostics, Inc., Senior Secured Term Loan B, LIBOR + 3.75%, 0.00%, 5/21/21		6,870,229		6,932,233

				22,760,433

HEALTH CARE PROVIDERS & SERVICES — 3.9%
Air Medical Group Holdings, Inc., Senior Unsecured Term Loan, 5.00%, 6/30/18 (a)		3,059,588		3,074,886
CHG Buyer Corp., Senior Secured Term Loan, 4.25%, 11/19/19		3,840,918		3,863,310
Community Health Systems, Inc., Senior Secured Term Loan D, 4.25%, 1/27/21		4,020,202		4,047,841
MPH Acquisition Holdings LLC, Senior Secured Term Loan, 4.00%, 3/31/21		7,898,838		7,887,148
National Mentor Holdings, Inc., Senior Secured Term Loan B, 4.75%, 1/31/21		723,575		728,778
Sheridan Holdings, Inc., Senior Secured First Lien Term Loan, 4.50%, 6/29/18		1,553,888		1,556,218
Truven Health Analytics, Inc., Senior Secured Term Loan B, 4.50%, 6/6/19 (a)		2,853,137		2,833,521

				23,991,702

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014


Security Description	Principal Amount		Value

HEALTH CARE TECHNOLOGY — 0.7%
IMS Health, Inc., Senior Secured Term Loan, 3.50%, 3/17/21	$	4,485,124	$	4,467,049

HOTELS, RESTAURANTS & LEISURE — 8.6%
Caesars Entertainment Operating Co., Inc.
Senior Secured Extended Term Loan B5, 4.53%, 1/26/18		8,312,091		7,692,175
Senior Secured Extended Term Loan B6, 4.40%, 1/26/18		6,885,246		6,439,874
Caesars Entertainment Resort Properties LLC, Senior Secured Term Loan B, 7.00%, 10/12/20		8,631,047		8,698,498
CEC Entertainment, Inc., Senior Secured Term Loan, 4.25%, 2/14/21		3,415,353		3,398,276
Delta 2 (LUX) S.A.R.L., Senior Secured Term Loan B, 4.50%, 4/30/19		6,518,093		6,541,624
Hilton Worldwide Finance LLC, Senior Secured Term Loan B2, 3.50%, 10/26/20		4,625,000		4,622,687
Las Vegas Sands LLC, Senior Secured Term Loan B, 3.25%, 12/19/20		8,315,770		8,322,506
PGA Holdings, Inc., Senior Secured First Lien Term Loan, 4.25%, 4/20/18 (a)		4,213,073		4,225,585
Pinnacle Entertainment, Inc., Senior Secured Term Loan B2, 3.75%, 8/13/20		2,582,723		2,592,137

				52,533,362

HOUSEHOLD DURABLES — 0.7%
Spin Holdco, Inc., Senior Secured Term Loan B, 4.25%, 11/14/19		3,910,350		3,922,218

INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 0.9%
Atlantic Power LP, Senior Secured Term Loan B, 4.75%, 2/24/21		812,833		823,506
Calpine Corp.
Senior Secured Term Loan B1, 4.00%, 4/1/18		2,469,375		2,481,462
Senior Secured Term Loan B3, 4.00%, 10/9/19		2,375,819		2,385,880

				5,690,848

INDUSTRIAL CONGLOMERATES — 0.7%
Sequa Corp., Senior Secured Term Loan B, 5.25%, 6/19/17		4,448,571		4,415,674

INSURANCE — 1.6%
Alliant Holdings I, Inc., Senior Secured Term Loan B, 4.25%, 12/20/19		2,928,632		2,937,417
National Financial Partners Corp., Senior Secured Term Loan, 5.25%, 7/1/20		3,377,047		3,401,531
Sedgwick CMS Holdings, Inc., Senior Secured First Lien Term Loan, 3.75%, 3/1/21		3,649,390		3,600,634

				9,939,582

INTERNET SOFTWARE & SERVICES — 2.5%
Go Daddy Operating Co. LLC, Senior Secured Term Loan B, 4.75%, 5/13/21		1,383,333		1,379,011


Security Description	Principal Amount		Value

Inmar, Inc., Senior Secured First Lien Term Loan, 4.25%, 1/27/21	$	3,181,818	$	3,153,977
Leonardo Acquisition Corp., Senior Secured Term Loan, 4.25%, 1/31/21 (a)		3,145,962		3,152,851
Sabre, Inc., Senior Secured Term Loan B, 4.25%, 2/19/19		5,443,502		5,465,031
SurveyMonkey.com LLC, Senior Secured Term Loan B, 5.50%, 2/5/19		1,937,191		1,955,352

				15,106,222

IT SERVICES — 0.8%
Information Resources, Inc., Senior Secured Term Loan B, 4.75%, 9/30/20		3,051,664		3,078,366
SunGard Data Systems, Inc., Senior Secured Term Loan E, 4.00%, 3/8/20		1,745,566		1,752,094

				4,830,460

LIFE SCIENCES TOOLS & SERVICES — 1.6%
Pharmaceutical Product Development, Inc., Senior Secured Term Loan B, 4.00%, 12/5/18		2,963,647		2,975,457
Quintiles Transnational Corp., Senior Secured Term Loan B3, 3.75%, 6/8/18		7,000,000		7,010,500

				9,985,957

MACHINERY — 1.8%
Doosan Infracore International, Inc., Senior Secured Term Loan B, 4.50%, 5/28/21		2,808,989		2,831,812
Gardner Denver, Inc., Senior Secured Term Loan, 4.25%, 7/30/20		2,984,962		2,986,962
Rexnord LLC, Senior Secured First Lien Term Loan B, 4.00%, 8/21/20		5,387,857		5,391,575

				11,210,349

MEDIA — 6.7%
Acosta, Inc., Senior Secured Term Loan B, 4.25%, 3/2/18		4,088,171		4,112,189
AMC Entertainment, Inc., Senior Secured Term Loan, 3.50%, 4/30/20		3,038,906		3,043,328
Clear Channel Communications, Inc.
Senior Secured Term Loan B, 3.80%, 1/29/16		6,082,558		6,051,324
Senior Secured Term Loan D, 6.90%, 1/30/19		5,000,000		4,983,025
Cumulus Media Holdings, Inc., Senior Secured Term Loan, 4.25%, 12/23/20		6,195,057		6,226,032
Interactive Data Corp., Senior Secured Term Loan, 4.75%, 5/2/21		7,539,856		7,615,293
Univision Communications, Inc.
Senior Secured Term Loan C4, 4.00%, 3/1/20		2,972,537		2,973,563
Senior Secured Term Loan C3, 4.00%, 3/2/20		2,001,689		2,004,061

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014


Security Description	Principal Amount		Value

WideOpenWest Finance LLC, Senior Secured Term Loan B, 4.75%, 4/1/19	$	3,954,950	$	3,972,253

				40,981,068

METALS & MINING — 0.5%
Fairmount Minerals, Ltd., Senior Secured Term Loan B2, 4.50%, 9/5/19		2,977,500		3,012,396

MULTI-UTILITIES — 0.2%
Power Team Services LLC
Senior Secured Delayed Draw Term Loan, 4.25%, 5/6/20		71,789		70,353
Senior Secured First Lien Term Loan, 4.25%, 5/6/20		1,351,293		1,324,268

				1,394,621

MULTILINE RETAIL — 1.2%
Hudsons Bay Co., Senior Secured First Lien Term Loan, 4.75%, 11/4/20		3,700,000		3,750,875
The Neiman Marcus Group, Inc., Senior Secured Term Loan, 4.25%, 10/25/20		3,530,667		3,527,949

				7,278,824

OIL, GAS & CONSUMABLE FUELS — 2.0%
EMG Utica LLC, Senior Secured Term Loan, 4.75%, 3/27/20 (a)		3,000,000		3,011,250
EP Energy LLC
Senior Secured Term Loan B3, 3.50%, 5/24/18		2,000,000		1,998,250
Senior Secured Term Loan B2, 4.50%, 4/30/19		750,000		755,719
Fieldwood Energy LLC, Senior Secured Second Lien Term Loan, 8.375%, 9/30/20		6,389,590		6,601,245

				12,366,464

PERSONAL PRODUCTS — 1.0%
Revlon Consumer Products Corp., Senior Secured Acquisition Term Loan, 4.00%, 10/8/19		5,978,728		5,998,159

PHARMACEUTICALS — 1.9%
CCC Information Services, Inc., Senior Secured Term Loan, 4.00%, 12/20/19		2,964,887		2,962,411
Par Pharmaceutical Cos., Inc., Senior Secured Term Loan B2, 4.00%, 9/30/19		1,402,326		1,402,326
PRA Holdings, Inc., Senior Secured First Lien Term Loan, 4.50%, 9/23/20		3,389,712		3,379,119
Valeant Pharmaceuticals International, Inc., Senior Secured Term Loan B, 3.75%, 8/5/20		3,980,000		3,981,990

				11,725,846


PROFESSIONAL SERVICES — 0.6%
Advantage Sales & Marketing, Inc., Senior Secured First Lien Term Loan, 4.25%, 12/17/17		3,390,966		3,398,121


Security Description	Principal Amount		Value

REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.3%
Realogy Corp., Senior Secured Term Loan B, 3.75%, 3/5/20	$	1,975,075	$	1,977,544

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.0%
Avago Technologies, Ltd., Senior Secured Term Loan B, 3.75%, 5/6/21		6,445,313		6,472,770
Freescale Acquisition Corp.
Senior Secured Term Loan B4, 4.25%, 2/28/20		2,972,525		2,976,865
Senior Secured Term Loan B5, 5.00%, 1/15/21		2,481,250		2,496,559

				11,946,194

SOFTWARE — 3.9%
Applied Systems, Inc., Senior Secured First Lien Term Loan, 4.25%, 1/25/21		1,658,333		1,666,235
BMC Software Finance, Inc., Senior Secured Term Loan, 5.00%, 9/10/20		6,887,071		6,887,794
Eagle Parent, Inc., Senior Secured Term Loan, 4.00%, 5/16/18		1,948,708		1,954,067
Infor (US), Inc.
Senior Secured Term Loan B5, 3.75%, 6/3/20		2,758,959		2,744,598
Senior Secured Term Loan B5, 3.75%, 6/3/20		2,738,362		2,722,615
Magic Newco LLC, Senior Secured First Lien Term Loan, 5.00%, 12/12/18		726,079		733,158
Mitchell International, Inc., Senior Secured First Lien Term Loan, 4.50%, 10/12/20		2,853,386		2,870,022
Vertafore, Inc., Senior Secured First Lien Term Loan, 4.25%, 10/3/19		4,369,096		4,384,934

				23,963,423

SPECIALTY RETAIL — 4.9%
Burlington Coat Factory Warehouse Corp., Senior Secured Term Loan B2, 4.25%, 2/23/17		3,816,460		3,845,084
General Nutrition Centers, Inc., Senior Secured Term Loan, 3.25%, 3/4/19		1,996,630		1,981,974
J Crew Group, Inc., Senior Secured Term Loan B, 4.00%, 3/5/21		4,881,647		4,824,434
Michaels Stores, Inc., Senior Secured Term Loan, 3.75%, 1/28/20		1,980,000		1,977,070
Party City Holdings, Inc., Senior Secured Term Loan, 4.00%, 7/27/19		5,942,519		5,915,599
Pilot Travel Centers LLC, Senior Secured Term Loan B, 3.75%, 3/30/18		4,266,662		4,279,953
Serta Simmons Holdings LLC, Senior Secured Term Loan, 4.25%, 10/1/19		3,404,545		3,416,886
The Men’s Wearhouse, Inc., Senior Secured Term Loan B, 4.50%, 6/18/21		3,902,439		3,929,678

				30,170,678

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014


Security Description	Principal Amount		Value

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.0%
Dell, Inc., Senior Secured Term Loan B, 4.50%, 4/29/20	$	12,030,455	$	12,109,074

TRADING COMPANIES & DISTRIBUTORS — 0.3%
WESCO Distribution, Inc., Senior Secured Term Loan B, 3.75%, 12/12/19 (a)		1,504,126		1,506,947

WIRELESS TELECOMMUNICATION SERVICES — 1.8%
Avaya, Inc., Senior Secured Term Loan B6, 6.50%, 3/30/18		5,964,984		5,979,896
Syniverse Holdings, Inc.
Senior Secured Term Loan, 4.00%, 4/23/19		1,967,079		1,968,309
Senior Secured Term Loan B, 4.00%, 4/23/19 (a)		2,908,564		2,913,291

				10,861,496

TOTAL SENIOR FLOATING RATE LOANS (Cost $543,537,029)				544,728,359


CORPORATE BONDS & NOTES — 7.7%
COMMERCIAL SERVICES & SUPPLIES — 0.2%
Aramark Corp., 5.75%, 3/15/20		1,000,000		1,057,500

COMMUNICATIONS EQUIPMENT — 0.3%
Alcatel-Lucent USA, Inc., 4.63%, 7/1/17 (b)		2,000,000		2,065,000

CONTAINERS & PACKAGING — 0.1%
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Is, 6.00%, 6/15/17 (b)		700,000		717,500

DIVERSIFIED CONSUMER SERVICES — 0.4%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.13%, 4/15/19		2,000,000		2,090,000

DIVERSIFIED TELECOMMUNICATION SERVICES — 0.4%
Numericable Group SA, 6.00%, 5/15/22 (b)		2,250,000		2,340,000

HEALTH CARE PROVIDERS & SERVICES — 0.6%
HCA, Inc., 3.75%, 3/15/19		3,500,000		3,530,625

INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 0.8%
AES Corp., 3.23%, 6/1/19		5,000,000		5,037,500

LEISURE PRODUCTS — 0.3%
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 5.25%, 3/15/21		2,000,000		2,060,000

MEDIA — 2.5%
Allbritton Communications Co., 8.00%, 5/15/18		2,000,000		2,090,000
Clear Channel Communications, Inc., 9.00%, 12/15/19		11,000,000		11,728,750
Univision Communications, Inc., 6.88%, 5/15/19 (b)		1,000,000		1,067,500

				14,886,250


Security Description	Principal Amount		Value

METALS & MINING — 0.9%
Schaeffler Finance BV, 4.25%, 5/15/21	$	5,700,000	$	5,700,000

WIRELESS TELECOMMUNICATION SERVICES — 1.2%
Avaya, Inc.
7.00%, 4/1/19 (b)		3,000,000		3,000,000
9.00%, 4/1/19 (b)		4,000,000		4,155,000

				7,155,000

TOTAL CORPORATE BONDS & NOTES (Cost $46,213,731)				46,639,375

SHORT TERM INVESTMENTS — 6.5%
MONEY MARKET FUNDS — 6.5%
	Shares		Value
State Street Institutional Liquid Reserves Fund 0.06% (c) (d) (e) (Cost $39,685,659)		39,685,659		39,685,659

TOTAL INVESTMENTS —103.4% (f) (Cost $629,436,419)				631,053,393
OTHER ASSETS & LIABILITIES — (3.4)%				(20,576,431	)

NET ASSETS — 100.0%			$	610,476,962

*	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 Oversight Committee in accordance with procedures approved by the Board of Trustees (Note 2).

(b)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 3.1% of net assets as of June 30, 2014, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

(d)	The rate shown is the annualized seven-day yield at 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.

SSgA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Principal Amount		Value

ASSET BACKED SECURITIES — 25.2%
AUTOMOBILES — 18.6%
Ally Master Owner Trust, 1.54%, 9/15/16	$	350,000	$	350,810
BMW Vehicle Lease Trust, 0.54%, 9/21/15		300,000		300,262
Chrysler Capital Auto Receivables Trust, 0.61%, 11/15/16 (a)		251,141		251,241
Ford Credit Auto Lease Trust, 0.46%, 5/15/15		89,149		89,153
Ford Credit Auto Owner Trust, 0.48%, 11/15/16		295,841		295,918
Ford Credit Floorplan Master Owner Trust, 0.55%, 2/15/19 (b)		200,000		200,081
GE Dealer Floorplan Master Note Trust, 0.64%, 6/20/17 (b)		350,000		350,888
Honda Auto Receivables Owner Trust, 0.70%, 2/16/16		234,849		235,206
Santander Drive Auto Receivables Trust 0.55%, 9/15/16		112,784		112,819
0.80%, 10/17/16 (a)		73,371		73,441
Toyota Auto Receivables Owner Trust, 0.75%, 2/16/16		178,249		178,536
Volkswagen Auto Lease Trust, 0.87%, 7/20/15		179,411		179,595

				2,617,950

CREDIT CARD RECEIVABLES — 3.9%
Barclays Dryrock Issuance Trust 0.49%, 3/16/20 (b)		100,000		100,000
0.51%, 12/16/19 (b)		200,000		200,212
Citibank Credit Card Issuance Trust, 0.58%, 9/10/20 (b)		250,000		251,033

				551,245

STUDENT LOAN ABS — 2.7%
SLM Student Loan Trust, 0.40%, 7/25/19 (b)		373,839		373,841

TOTAL ASSET BACKED SECURITIES (Cost $3,543,381)				3,543,036

CORPORATE BONDS & NOTES — 72.6%
AEROSPACE & DEFENSE — 0.8%
The Boeing Co., 3.50%, 2/15/15		110,000		112,129

AUTOMOBILES — 5.8%
Daimler Finance North America LLC 1.88%, 9/15/14 (a)		325,000		326,007
0.91%, 8/1/16 (a) (b)		160,000		161,459
Volkswagen International Finance NV, 1.63%, 3/22/15 (a)		325,000		328,133

				815,599

BANKS — 21.5%
American Express Centurion Bank, 0.67%, 11/13/15 (b)		160,000		160,708
Bank of America NA, 0.70%, 2/14/17 (b)		250,000		250,261
Bank of Montreal, 0.75%, 7/15/16 (b)		175,000		176,135


Security Description	Principal Amount		Value
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 0.71%, 3/18/16 (b)	$	325,000	$	326,838
National Australia Bank Ltd., 0.52%, 6/30/17 (a) (b)		250,000		249,933
Nederlandse Waterschapsbank NV, 0.43%, 10/18/16 (a) (b)		200,000		200,366
Royal Bank of Canada, 0.60%, 3/8/16 (b)		250,000		250,798
Standard Chartered PLC, 5.50%, 11/18/14 (a)		300,000		305,670
Svenska Handelsbanken AB, 0.68%, 3/21/16 (b)		250,000		251,265
US Bancorp, 0.71%, 11/15/18 (b)		150,000		150,711
US Bank NA, 4.80%, 4/15/15		100,000		103,599
Wells Fargo & Co. 0.53%, 6/2/17 (b)		150,000		150,042
1.50%, 7/1/15		120,000		121,353
Westpac Banking Corp., 0.66%, 11/25/16 (b)		320,000		321,063

				3,018,742

BEVERAGES — 2.8%
Anheuser-Busch InBev Worldwide, Inc., 5.38%, 11/15/14		150,000		152,697
PepsiCo, Inc., 0.70%, 8/13/15		240,000		240,673

				393,370

CHEMICALS — 2.5%
EI du Pont de Nemours & Co., 4.75%, 3/15/15		340,000		350,185

COMMUNICATIONS EQUIPMENT — 2.5%
Cisco Systems, Inc., 0.51%, 3/3/17 (b)		350,000		351,390

CONSUMER FINANCE — 1.6%
Caterpillar Financial Services Corp., 0.47%, 2/26/16 (b)		225,000		225,425

DIVERSIFIED FINANCIAL SERVICES — 20.8%
American Express Credit Corp., 5.13%, 8/25/14		200,000		201,426
American Honda Finance Corp., 0.60%, 5/26/16 (a) (b)		320,000		321,379
Boeing Capital Corp., 3.25%, 10/27/14		350,000		353,343
BP Capital Markets PLC 0.55%, 11/6/15 (b)		150,000		150,442
1.70%, 12/5/14		200,000		201,164
General Electric Capital Corp. 1.09%, 5/9/16 (b)		150,000		151,911
0.61%, 7/10/15 (b)		70,000		70,236
0.42%, 5/11/16 (b)		300,000		299,976
JPMorgan Chase & Co. 3.70%, 1/20/15		140,000		142,480
0.68%, 4/23/15 (b)		325,000		325,714
PACCAR Financial Corp., 0.49%, 2/8/16 (b)		300,000		300,876
Toyota Motor Credit Corp., 0.43%, 5/16/17 (b)		400,000		400,107

				2,919,054

See accompanying notes to financial statements.

SSgA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014


Security Description	Principal Amount		Value

DIVERSIFIED TELECOMMUNICATION SERVICES — 3.1%
AT&T, Inc. 0.88%, 2/13/15	$	100,000	$	100,317
5.10%, 9/15/14		325,000		327,830

				428,147

HEALTH CARE PROVIDERS & SERVICES — 2.5%
UnitedHealth Group, Inc. 4.88%, 3/15/15		140,000		144,527
5.00%, 8/15/14		200,000		201,093

				345,620

MEDIA — 3.2%
NBCUniversal Enterprise, Inc. 0.91%, 4/15/18 (a) (b)		150,000		151,670
0.76%, 4/15/16 (a) (b)		300,000		301,615

				453,285

METALS & MINING — 3.6%
Rio Tinto Finance USA PLC 1.07%, 6/17/16 (b)		300,000		302,586
1.13%, 3/20/15		200,000		201,041

				503,627

PHARMACEUTICALS — 1.1%
Merck & Co., Inc., 0.59%, 5/18/18 (b)		150,000		150,525

ROAD & RAIL — 0.8%
Canadian National Railway Co., 0.42%, 11/6/15 (b)		119,000		119,032

TOTAL CORPORATE BONDS & NOTES (Cost $10,175,306)				10,186,130

SHORT TERM INVESTMENTS — 3.7%
MONEY MARKET FUNDS — 3.7%
	Shares		Value
State Street Institutional Liquid Reserves Fund 0.06% (c) (d) (e) (Cost $518,551)		518,551		518,551

TOTAL INVESTMENTS — 101.5% (f) (Cost $14,237,238)				14,247,717
OTHER ASSETS & LIABILITIES — (1.5)%				(211,786	)

NET ASSETS — 100.0%			$	14,035,931

(a)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 19.0% of net assets as of June 30, 2014, 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 June 30, 2014. 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.

SSgA MFS Systematic Core Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Shares		Value

COMMON STOCKS — 98.8%
AEROSPACE & DEFENSE — 3.4%
Lockheed Martin Corp.		604	$	97,081
Raytheon Co.		950		87,638

				184,719

BANKS — 8.3%
Citigroup, Inc.		2,452		115,489
JPMorgan Chase & Co.		3,885		223,854
Wells Fargo & Co.		2,012		105,751

				445,094

BIOTECHNOLOGY — 1.5%
Amgen, Inc.		678		80,255

CONSUMER FINANCE — 2.0%
Discover Financial Services		1,270		78,715
SLM Corp.		3,176		26,392

				105,107

CONTAINERS & PACKAGING — 1.5%
Packaging Corp. of America		1,140		81,499

DIVERSIFIED CONSUMER SERVICES — 2.0%
Apollo Education Group, Inc. (a)		3,446		107,688

DIVERSIFIED TELECOMMUNICATION SERVICES — 4.0%
Verizon Communications, Inc.		4,448		217,641

ELECTRIC UTILITIES — 1.8%
Edison International		1,046		60,783
OGE Energy Corp.		929		36,305

				97,088

FOOD & STAPLES RETAILING — 3.7%
The Kroger Co.		3,476		171,819
Wal-Mart Stores, Inc.		376		28,226

				200,045

FOOD PRODUCTS — 0.8%
The JM Smucker Co.		391		41,669

HEALTH CARE PROVIDERS & SERVICES — 11.0%
Aetna, Inc.		1,002		81,242
Cardinal Health, Inc.		2,300		157,688
McKesson Corp.		948		176,527
WellPoint, Inc.		1,632		175,620

				591,077

HOTELS, RESTAURANTS & LEISURE — 3.0%
Royal Caribbean Cruises, Ltd.		2,875		159,850

HOUSEHOLD PRODUCTS — 1.4%
The Procter & Gamble Co.		958		75,289

INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 2.8%
The AES Corp.		9,728		151,270

INSURANCE — 7.3%
Everest Re Group, Ltd.		625		100,306
Prudential Financial, Inc.		1,612		143,097
Validus Holdings, Ltd.		3,866		147,836

				391,239

INTERNET SOFTWARE & SERVICES — 7.6%
Facebook, Inc. (Class A) (a)		3,060		205,907
Google, Inc. (Class A) (a)		177		103,487


Security Description	Shares		Value

Google, Inc. (Class C) (a)		177	$	101,824

				411,218

MEDIA — 2.3%
Comcast Corp. (Class A)		990		53,143
Time Warner Cable, Inc.		488		71,883

				125,026

OIL, GAS & CONSUMABLE FUELS — 9.1%
Chevron Corp.		580		75,719
Exxon Mobil Corp.		2,410		242,639
Valero Energy Corp.		3,362		168,436

				486,794

PHARMACEUTICALS — 3.6%
Johnson & Johnson		1,842		192,710

SOFTWARE — 6.6%
Electronic Arts, Inc. (a)		4,489		161,020
Oracle Corp.		4,726		191,545

				352,565

SPECIALTY RETAIL — 1.0%
Advance Auto Parts, Inc.		386		52,079

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 7.7%
Apple, Inc.		2,324		215,969
Hewlett-Packard Co.		5,944		200,194

				416,163

TEXTILES, APPAREL & LUXURY GOODS — 2.6%
Michael Kors Holdings, Ltd. (a)		1,600		141,840

TOBACCO — 3.8%
Altria Group, Inc.		1,263		52,970
Philip Morris International, Inc.		1,822		153,613

				206,583

TOTAL COMMON STOCKS (Cost $5,024,113)				5,314,508

SHORT TERM INVESTMENTS — 1.1%
MONEY MARKET FUND — 1.1%
State Street Institutional Liquid Reserves Fund 0.6% (b) (c) (Cost $58,605)		58,605		58,605

TOTAL INVESTMENTS — 99.9% (d) (Cost $5,082,718)				5,373,113
OTHER ASSETS & LIABILITIES — 0.1%				4,870

NET ASSETS — 100.0%			$	5,377,983

(a)	Non-income producing security

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

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

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

See accompanying notes to financial statements.

SSgA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Shares		Value

COMMON STOCKS — 98.5%
AEROSPACE & DEFENSE — 6.1%
Huntington Ingalls Industries, Inc.		749	$	70,848
Lockheed Martin Corp.		1,082		173,910
Raytheon Co.		260		23,985
The Boeing Co.		464		59,034

				327,777

AIRLINES — 1.0%
Copa Holdings SA		384		54,747

AUTO COMPONENTS — 3.4%
The Goodyear Tire & Rubber Co.		6,492		180,348

BEVERAGES — 3.2%
Dr Pepper Snapple Group, Inc.		730		42,764
The Coca-cola Co.		3,092		130,977

				173,741

BIOTECHNOLOGY — 1.5%
Amgen, Inc.		687		81,320

CHEMICALS — 3.2%
LyondellBasell Industries NV		1,775		173,329

COMMUNICATIONS EQUIPMENT — 0.6%
QUALCOMM, Inc.		428		33,898

CONSUMER FINANCE — 1.2%
Discover Financial Services		1,022		63,344

CONTAINERS & PACKAGING — 1.4%
Packaging Corp. of America		1,024		73,206

DIVERSIFIED TELECOMMUNICATION SERVICES — 2.9%
Verizon Communications, Inc.		3,198		156,478

FOOD & STAPLES RETAILING — 5.3%
CVS Caremark Corp.		916		69,039
The Kroger Co.		3,674		181,606
Wal-Mart Stores, Inc.		482		36,183

				286,828

HEALTH CARE PROVIDERS & SERVICES — 9.9%
Cardinal Health, Inc.		2,176		149,186
HCA Holdings, Inc. (a)		2,798		157,751
McKesson Corp.		998		185,838
WellPoint, Inc.		344		37,018

				529,793

INSURANCE — 2.9%
Validus Holdings, Ltd.		4,104		156,937

INTERNET SOFTWARE & SERVICES — 10.4%
Akamai Technologies, Inc. (a)		510		31,141
Facebook, Inc. (Class A) (a)		3,450		232,150
Google, Inc. (Class A) (a)		127		74,253
Google, Inc. (Class C) (a)		127		73,061
VeriSign, Inc. (a)		3,036		148,187

				558,792

IT SERVICES — 5.9%
Cognizant Technology Solutions Corp. (a)		2,080		101,733
FleetCor Technologies, Inc. (a)		1,290		170,022
International Business Machines Corp.		257		46,586

				318,341

MACHINERY — 2.8%
Caterpillar, Inc.		1,400		152,138


Security Description	Shares		Value

MEDIA — 6.5%
Comcast Corp. (Class A)		3,984	$	213,861
Time Warner Cable, Inc.		926		136,400

				350,261

MULTILINE RETAIL — 1.2%
Macy’s, Inc.		1,134		65,795

OIL, GAS & CONSUMABLE FUELS — 2.6%
Marathon Petroleum Corp.		1,768		138,028

PHARMACEUTICALS — 1.7%
Johnson & Johnson		849		88,822

REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.4%
Simon Property Group, Inc.		442		73,496

ROAD & RAIL — 0.6%
Union Pacific Corp.		312		31,122

SOFTWARE — 10.5%
Adobe Systems, Inc. (a)		670		48,481
Intuit, Inc.		656		52,828
Microsoft Corp.		2,958		123,349
Oracle Corp.		6,078		246,341
PTC, Inc. (a)		2,410		93,508

				564,507

SPECIALTY RETAIL — 0.9%
The Home Depot, Inc.		566		45,823

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.5%
Apple, Inc.		840		78,061

TEXTILES, APPAREL & LUXURY GOODS — 4.3%
Hanesbrands, Inc.		846		83,280
Michael Kors Holdings, Ltd. (a)		1,666		147,691

				230,971

TOBACCO — 5.6%
Altria Group, Inc.		1,808		75,828
Lorillard, Inc.		1,524		92,918
Philip Morris International, Inc.		1,598		134,727

				303,473

TOTAL COMMON STOCKS (Cost $4,947,373)				5,291,376

SHORT TERM INVESTMENTS — 1.4%
MONEY MARKET FUND — 1.4%
State Street Institutional Liquid Reserves Fund 0.06% (b) (c) (Cost $75,976)		75,976		75,976

TOTAL INVESTMENTS — 99.9% (d) (Cost $5,023,349)				5,367,352
OTHER ASSETS & LIABILITIES — 0.1%				5,228

NET ASSETS — 100.0%			$	5,372,580

(a)	Non-income producing security

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

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

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

See accompanying notes to financial statements.

SSgA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS

June 30, 2014


Security Description	Shares		Value

COMMON STOCKS — 98.4%
AEROSPACE & DEFENSE — 4.5%
Northrop Grumman Corp.		1,316	$	157,433
Raytheon Co.		852		78,597

				236,030

AUTO COMPONENTS — 1.9%
Gentex Corp.		1,320		38,399
The Goodyear Tire & Rubber Co.		2,310		64,172

				102,571

AUTOMOBILES — 1.3%
General Motors Co.		1,880		68,244

BANKS — 13.3%
Citigroup, Inc.		2,580		121,518
JPMorgan Chase & Co.		4,216		242,926
The Pnc Financial Services Group, Inc.		940		83,707
Wells Fargo & Co.		4,848		254,811

				702,962

BEVERAGES — 1.2%
Molson Coors Brewing Co. (Class B)		890		66,002

CAPITAL MARKETS — 1.7%
The Goldman Sachs Group, Inc.		528		88,408

CHEMICALS — 1.3%
CF Industries Holdings, Inc.		276		66,386

CONSUMER FINANCE — 1.6%
Discover Financial Services		1,370		84,913

DIVERSIFIED CONSUMER SERVICES — 1.3%
Apollo Education Group, Inc. (a)		2,232		69,750

DIVERSIFIED TELECOMMUNICATION SERVICES — 1.0%
Verizon Communications, Inc.		1,070		52,355

ELECTRIC UTILITIES — 2.0%
Edison International		1,860		108,085

FOOD & STAPLES RETAILING — 1.7%
The Kroger Co.		1,812		89,567

FOOD PRODUCTS — 1.9%
Mondelez International, Inc. (Class A)		2,610		98,162

HEALTH CARE PROVIDERS & SERVICES — 10.5%
Cardinal Health, Inc.		2,340		160,430
HCA Holdings, Inc. (a)		1,938		109,265
McKesson Corp.		510		94,967
WellPoint, Inc.		1,756		188,963

				553,625

HOTELS, RESTAURANTS & LEISURE — 2.6%
MGM Resorts International (a)		2,240		59,136
Royal Caribbean Cruises, Ltd.		1,380		76,728

				135,864

INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 5.1%
NRG Energy, Inc.		2,680		99,696
The AES Corp.		11,094		172,512

				272,208

INSURANCE — 8.6%
Everest Re Group, Ltd.		1,036		166,268
Prudential Financial, Inc.		1,870		166,000
The Travelers Cos, Inc.		480		45,153


Security Description	Shares		Value

Validus Holdings, Ltd.		2,024	$	77,398

				454,819

INTERNET SOFTWARE & SERVICES — 3.3%
VeriSign, Inc. (a)		1,356		66,186
Yahoo!, Inc. (a)		3,144		110,449

				176,635

MACHINERY — 1.3%
Caterpillar, Inc.		630		68,462

MEDIA — 2.4%
Comcast Corp. (Class A)		1,108		59,477
Time Warner Cable, Inc.		450		66,285

				125,762

MULTILINE RETAIL — 2.6%
Macy’s, Inc.		2,336		135,535

OIL, GAS & CONSUMABLE FUELS — 13.1%
Chesapeake Energy Corp.		1,992		61,911
Chevron Corp.		936		122,195
Exxon Mobil Corp.		3,024		304,456
Marathon Petroleum Corp.		1,060		82,754
Valero Energy Corp.		2,454		122,946

				694,262

PHARMACEUTICALS — 5.5%
Johnson & Johnson		1,204		125,963
Merck & Co, Inc.		1,298		75,089
Pfizer, Inc.		3,080		91,414

				292,466

REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.2%
Vornado Realty Trust		598		63,825

SOFTWARE — 1.7%
PTC, Inc. (a)		2,250		87,300

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 4.8%
Hewlett-Packard Co.		5,908		198,981
SanDisk Corp.		542		56,601

				255,582

TOBACCO — 1.0%
Lorillard, Inc.		846		51,581

TOTAL COMMON STOCKS (Cost $4,939,141)				5,201,361

SHORT TERM INVESTMENTS — 1.5%
MONEY MARKET FUND — 1.5%
State Street Institutional Liquid Reserves Fund 0.06% (b) (c) (Cost $81,360)		81,360		81,360

TOTAL INVESTMENTS — 99.9% (d) (Cost $5,020,501)				5,282,721
OTHER ASSETS & LIABILITIES — 0.1%				3,603

NET ASSETS — 100.0%			$	5,286,324

(a)	Non-income producing security

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

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

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

See accompanying notes to financial statements.

SSgA MASTER TRUST

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2014


	SSgA Multi-Asset Real Return Portfolio		SSgA Income Allocation Portfolio		SSgA Global Allocation Portfolio
ASSETS
Investments in securities of unaffiliated issuers, at value	$	42,032,027	$	—	$	—
Investments in securities of affiliated issuers, at value		121,853,399		103,589,753		97,812,831

Total investments		163,885,426		103,589,753		97,812,831
Receivable from Feeder		24,685,995		—		—
Receivable for investment securities sold		—		—		—
Dividends receivable from affiliated issuers (Note 3)		772,145		457,443		694,729
Dividends receivable from unaffiliated issuers		—		—		—
Interest receivable from unaffiliated issuers		—		—		—

TOTAL ASSETS		189,343,566		104,047,196		98,507,560

LIABILITIES
Payable for investments purchased		24,686,279		—		—
Accrued advisory fees (Note 3)		22,222		16,755		15,918
Accrued trustees’ fees and expenses (Note 3)		78		63		35

TOTAL LIABILITIES		24,708,579		16,818		15,953

NET ASSETS	$	164,634,987	$	104,030,378	$	98,491,607

COST OF INVESTMENTS
Unaffiliated issuers	$	41,821,980	$	—	$	—
Affiliated issuers		116,538,817		98,338,242		91,397,135

Total cost of investments	$	158,360,797	$	98,338,242	$	91,397,135

See accompanying notes to financial statements.


Blackstone / GSO Senior Loan Portfolio		SSgA Ultra Short Term Bond Portfolio		SSgA MFS Systematic Core Equity Portfolio		SSgA MFS Systematic Growth Equity Portfolio		SSgA MFS Systematic Value Equity Portfolio

$	591,367,734	$	13,729,166	$	5,314,508	$	5,291,376	$	5,201,361
	39,685,659		518,551		58,605		75,976		81,360

	631,053,393		14,247,717		5,373,113		5,367,352		5,282,721
	133,695		—		—		—		—
	17,985,016		—		—		—		—
	—		—		3		4		4
	—		—		6,201		6,557		4,908
	2,772,121		40,530		—		—		—

	651,944,295		14,288,247		5,379,317		5,373,913		5,287,633


	41,316,516		250,000		—		—		—
	150,445		2,307		1,324		1,323		1,298
	302		9		10		10		11

	41,467,263		252,316		1,334		1,333		1,309

$	610,476,962	$	14,035,931	$	5,377,983	$	5,372,580	$	5,286,324


$	589,750,760	$	13,718,687	$	5,024,113	$	4,947,373	$	4,939,141
	39,685,659		518,551		58,605		75,976		81,360

$	629,436,419	$	14,237,238	$	5,082,718	$	5,023,349	$	5,020,501

SSgA MASTER TRUST

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2014


	SSgA Multi-Asset Real Return Portfolio			SSgA Income Allocation Portfolio			SSgA Global Allocation Portfolio
INVESTMENT INCOME
Dividend and interest income on securities of unaffiliated issuers (Note 2)	$	116,885		$	—		$	—
Dividend income on securities of affiliated issuers (Note 3)		2,730,747			4,309,839			2,012,089

TOTAL INVESTMENT INCOME		2,847,632			4,309,839			2,012,089

EXPENSES
Advisory fees (Note 3)		258,050			210,670			136,101
Trustees’ fees (Note 3)		2,552			2,296			1,084
Other expenses		9			8			7

TOTAL EXPENSES		260,611			212,974			137,192

NET INVESTMENT INCOME	$	2,587,021		$	4,096,865		$	1,874,897

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments in securities of unaffiliated issuers		(1,735,130	)		—			—
Net realized gain (loss) on investments in securities of affiliated issuers		(472,264	)		(1,346,791	)		1,718,573
Net change in unrealized appreciation (depreciation) on investments		16,133,508			11,409,215			6,937,869

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS		13,926,114			10,062,424			8,656,442

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	16,513,135		$	14,159,289		$	10,531,339

*	For the period October 9, 2013 (commencement of operations) to June 30, 2014.

**	For the period January 8, 2014 (commencement of operations) to June 30, 2014.

See accompanying notes to financial statements.


Blackstone / GSO Senior Loan Portfolio			SSgA Ultra Short Term Bond Portfolio*		SSgA MFS Systematic Core Equity Portfolio**		SSgA MFS Systematic Growth Equity Portfolio**		SSgA MFS Systematic Value Equity Portfolio**


$	22,005,518		$	51,466	$	45,322	$	43,045	$	48,900
	52,102			154		18		18		17

	22,057,620			51,620		45,340		43,063		48,917


	1,683,374			19,193		7,315		7,314		7,194
	9,436			75		19		19		19
	49			1		—		—		—

	1,692,859			19,269		7,334		7,333		7,213

$	20,364,761		$	32,351	$	38,006	$	35,730	$	41,704


	(2,767,913	)		888		68,581		10,976		4,238
	—			—		—		—		—
	4,689,730			10,479		290,395		344,003		262,220

	1,921,817			11,367		358,976		354,979		266,458


$	22,286,578		$	43,718	$	396,982	$	390,709	$	308,162

SSgA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SSgA Multi-Asset Real Return Portfolio						SSgA Income Allocation Portfolio
	Year Ended 6/30/14			Year Ended 6/30/13			Year Ended 6/30/14			Year Ended 6/30/13
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	2,587,021		$	1,740,438		$	4,096,865		$	3,607,371
Net realized gain (loss) on investments		(2,207,394	)		(924,340	)		(1,346,791	)		(1,103,424	)
Net change in unrealized appreciation (depreciation) on investments		16,133,508			(10,378,172	)		11,409,215			(6,205,334	)

Net increase (decrease) in net assets resulting from operations		16,513,135			(9,562,074	)		14,159,289			(3,701,387	)

CAPITAL TRANSACTIONS
Contributions		91,367,610			130,398,415			7,804,636			170,596,375
Withdrawals		(64,829,742	)		(5,079,121	)		(92,188,375	)		(1,753,769	)
Other capital		—			—			—			—

Net increase (decrease) in net assets from capital transactions		26,537,868			125,319,294			(84,383,739	)		168,842,606

Net increase (decrease) in net assets during the period		43,051,003			115,757,220			(70,224,450	)		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	$	164,634,987		$	121,583,984		$	104,030,378		$	174,254,828

*	Commencement of operations

See accompanying notes to financial statements.


SSgA Global Allocation Portfolio						Blackstone / GSO Senior Loan Portfolio						SSgA Ultra Short Term Bond Portfolio
Year Ended 6/30/14			Year Ended 6/30/13			Year Ended 6/30/14			For the Period 4/3/13* - 6/30/13			For the Period 10/9/13* - 6/30/14


$	1,874,897		$	672,602		$	20,364,761		$	1,233,838		$	32,351
	1,718,573			31,550			(2,767,913	)		(18,345	)		888

	6,937,869			(434,591	)		4,689,730			(3,072,756	)		10,479


	10,531,339			269,561			22,286,578			(1,857,263	)		43,718


	47,337,163			50,799,932			286,897,792			334,915,199			16,010,331
	(11,312,504	)		(3,584,635	)		(31,961,441	)		(670,323	)		(2,033,325	)
	—			—			461,549			404,871			15,207


	36,024,659			47,215,297			255,397,900			334,649,747			13,992,213


	46,555,998			47,484,858			277,684,478			332,792,484			14,035,931

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

$	98,491,607		$	51,935,609		$	610,476,962		$	332,792,484		$	14,035,931

SSgA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)


	SSgA MFS Systematic Core Equity Portfolio			SSgA MFS Systematic Growth Equity Portfolio			SSgA MFS Systematic Value Equity Portfolio
	For the Period 1/8/14* - 6/30/14			For the Period 1/8/14* - 6/30/14			For the Period 1/8/14* - 6/30/14
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	38,006		$	35,730		$	41,704
Net realized gain (loss) on investments		68,581			10,976			4,238
Net change in unrealized appreciation (depreciation) on investments		290,395			344,003			262,220

Net increase (decrease) in net assets resulting from operations		396,982			390,709			308,162

CAPITAL TRANSACTIONS
Contributions		5,001,000			5,001,000			5,001,000
Withdrawals		(19,999	)		(19,129	)		(22,838	)
Other capital		—			—			—

Net increase (decrease) in net assets from capital transactions		4,981,001			4,981,871			4,978,162

Net increase (decrease) in net assets during the period		5,377,983			5,372,580			5,286,324
NET ASSETS
Net assets at beginning of period		—			—			—

NET ASSETS END OF PERIOD	$	5,377,983		$	5,372,580		$	5,286,324

*	Commencement of operations

See accompanying notes to financial statements.

[This Page Intentionally Left Blank]

SSgA MASTER TRUST

FINANCIAL HIGHLIGHTS

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


	SSgA Multi-Asset Real Return Portfolio*									SSgA Income Allocation Portfolio*
	Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12			Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	164,635		$	121,584		$	5,827		$	104,030		$	174,255		$	9,114

Ratios to average net assets:
Operating expenses		0.20	%		0.20	%		0.20	%(1)		0.20	%		0.20	%		0.20	%(1)
Net investment income		2.01	%		2.91	%		3.84	%(1)		3.89	%		4.65	%		8.39	%(1)
Portfolio turnover rate		40	%		31	%		10	%		63	%		80	%		15	%
Total return		13.93	%		(1.63	)%		(3.42	)%(2)		13.84	%		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.


SSgA Global Allocation Portfolio*									Blackstone / GSO Senior Loan Portfolio						SSgA Ultra Short Term Bond Portfolio			SSgA MFS Systematic Core Equity Portfolio			SSgA MFS Systematic Growth Equity Portfolio			SSgA MFS Systematic Value Equity Portfolio
Year Ended 6/30/14			Year Ended 6/30/13			For the Period 4/25/12** - 6/30/12			Year Ended 6/30/14			For the Period 4/3/13** - 6/30/13			For the Period 10/9/13** - 6/30/14			For the Period 1/8/14** - 6/30/14			For the Period 1/8/14 - 6/30/14**			For the Period 1/8/14** - 6/30/14

$	98,492		$	51,936		$	4,451		$	610,477		$	332,792		$	14,036		$	5,378		$	5,373		$	5,286


	0.20	%		0.20	%		0.20	%(1)		0.30	%		0.30	%(1)		0.20	%(1)		0.30	%(1)		0.30	%(1)		0.30	%(1)
	2.76	%		3.07	%		4.34	%(1)		3.63	%		2.57	%(1)		0.34	%(1)		1.55	%(1)		1.46	%(1)		1.73	%(1)
	89	%		123	%		25	%		77	%		4	%		39	%		27	%		20	%		23	%
	16.80	%		9.92	%		(1.82	)%(2)		4.00	%		(0.31	)%(2)		0.47	%(2)		7.92	%(2)		7.85	%(2)		6.20	%(2)

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS

June 30, 2014

1.	Organization

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

As of June 30, 2014, the Trust offered eight (8) portfolios, each of which represents a separate series of beneficial interest in the Trust (each a “Portfolio” and collectively; the “Portfolios”). The financial statements herein relate to the following eight (8) Portfolios: SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSgA Ultra Short Term Bond Portfolio, SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Growth Equity Portfolio and SSgA MFS Systematic Value Equity Portfolio. Each Portfolio serves as a master fund in a master feeder structure.

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

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 in investment grade debt securities with varying maturities. Investments in debt securities may increase or decrease as a result of the following: market fluctuations, increases in interest rates, inability of issuers to repay principal and interest or illiquidity in the debt securities markets; the risk of low rates of return due to reinvestment of securities during periods of falling interest rates or repayment by issuers with higher coupon or interest rates; and/or the risk of low income due to falling interest rates.

SSgA MFS Systematic Core Equity ETF, SSgA MFS Systematic Growth Equity ETF and SSgA MFS Systematic Value Equity ETF invest in various investments which are exposed to risks, such as market risk. Due to the level of risk

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could be material.

An investment in a Fund involves risks similar to those of investing in any fund, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in security prices. The values of securities could decline generally or could underperform other investments. Different types of securities tend to go through cycles of out-performance and underperformance in comparison to the general securities markets. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.

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:

Security Valuation

The fair 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 adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, 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)

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

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

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. 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.

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 such Portfolio’s benchmark index, which, in turn, could result in a difference between a Portfolio’s performance and the performance of such 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 a Portfolio’s investments by category.

The following table summarizes the inputs used in valuing the Portfolios’ investments as of June 30, 2014:


	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
SSgA Multi-Asset Real Return Portfolio	$	163,885,426	$	—	$	—	$	163,885,426
SSgA Income Allocation Portfolio		103,589,753		—		—		103,589,753
SSgA Global Allocation Portfolio		97,812,831		—		—		97,812,831
Blackstone / GSO Senior Loan Portfolio		39,685,659		591,501,615		—		631,187,274
SSgA Ultra Short Term Bond Portfolio		518,551		13,729,166		—		14,247,717
SSgA MFS Systematic Core Equity Portfolio		5,373,113		—		—		5,373,113
SSgA MFS Systematic Growth Equity Portfolio		5,367,352		—		—		5,367,352
SSgA MFS Systematic Value Equity Portfolio		5,282,721		—		—		5,282,721

There were no transfers between levels for the period ended June 30, 2014.

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

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

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, 2014 and have determined that no provision for income tax is required in the Portfolios’ Financial Statements. The Portfolios’ federal tax returns are subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Portfolios’ recognized interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.

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

Advisory Fee

Each Portfolio has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. (the “Adviser” or “SSgA FM”). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, 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
SSgA MFS Systematic Core Equity Portfolio		0.30
SSgA MFS Systematic Growth Equity Portfolio		0.30
SSgA MFS Systematic Value Equity Portfolio		0.30

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 SPDR Blackstone/GSO Senior Loan Portfolio from the Adviser.

Massachusetts Financial Services Company receives fees for its services as sub-adviser to the SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Growth Equity Portfolio and SSgA Systematic Value Equity 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

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014

Transactions with Affiliates

Each Portfolio may invest in certain money market funds and underlying Funds affiliated with the Adviser. Amounts related to investments in affiliated underlying Funds at June 30, 2014, and for the period then ended are:


SPDR SSgA Multi-Asset Real Return Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR SSgA Multi-Asset Real Return Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR Barclays TIPS ETF		288,046	$	16,006,716	$	13,669,491		244,777	$	15,974,692		289,682		243,141	$	13,941,705	$	198,201	$	(826,517	)
SPDR DB International Government Inflation-Protected Bond ETF		179,144		10,313,320		6,303,694		107,016		14,636,881		246,377		39,783		2,466,944		178,227		(422,588	)
SPDR S&P Global Natural Resources ETF		866,592		38,987,974		41,269,211		834,171		35,863,782		728,795		971,968		51,368,509		1,059,052		163,885
SPDR S&P International Energy Sector ETF		103,539		2,396,928		1,807,399		67,766		1,470,178		57,050		114,255		3,376,235		89,368		76,836
SPDR S&P Metals & Mining ETF		103,088		3,415,306		5,196,777		132,402		4,786,123		116,888		118,602		5,010,934		59,972		115,339
The Energy Select Sector SPDR Fund		31,198		2,444,675		5,449,175		61,135		2,200,408		25,273		67,060		6,712,706		80,371		323,908
SPDR Dow Jones International Real Estate ETF		369,519		14,743,808		12,344,419		292,013		9,896,196		243,111		418,421		18,510,945		634,997		(83,269	)
SPDR Dow Jones REIT ETF		171,628		13,035,147		14,295,658		183,172		8,202,012		112,255		242,545		20,131,235		430,433		(143,766	)
State Street Institutional Liquid Reserves Fund		154,629		154,629		11,579,921		11,579,921		11,400,364		11,400,364		334,186		334,186		126		—


SPDR SSgA Income Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR SSgA Income Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR S&P Dividend ETF		399,579	$	26,492,087	$	5,158,820		72,148	$	18,422,346		262,871		208,856	$	15,996,281	$	627,299	$	2,234,996
SPDR Wells Fargo Preferred Stock ETF		458,923		19,949,383		738,742		17,542		15,162,894		357,925		118,540		5,174,271		439,269		(1,027,219	)
The Consumer Discretionary Select Sector SPDR Fund		—		—		2,149,296		32,964		2,201,300		32,964		—		—		5,879		52,005
The Financial Select Sector SPDR Fund		91,613		1,785,537		1,560,490		74,863		3,507,549		166,476		—		—		7,059		264,457
The Health Care Select Sector SPDR Fund		—		—		4,040,594		69,788		2,004,054		35,329		34,459		2,096,141		11,757		27,552
The Industrial Select Sector SPDR Fund		—		—		3,114,294		62,108		1,295,353		24,930		37,178		2,009,843		22,348		58,889
The Technology Select Sector SPDR Fund		59,725		1,826,988		3,154,499		90,493		3,155,188		96,275		53,943		2,068,714		17,592		91,231
The Utilities Select Sector SPDR Fund		—		—		2,139,504		57,707		2,181,083		57,707		—		—		31,309		41,579
SPDR Barclays Aggregate Bond ETF		—		—		980,471		17,399		984,602		17,399		—		—		4,199		4,131
SPDR Barclays Convertible Securities ETF		20,742		885,269		2,258,256		48,791		801,228		17,537		51,996		2,625,798		58,139		77,133
SPDR Barclays High Yield Bond ETF		174,086		6,874,656		9,306,918		232,556		9,023,779		222,727		183,915		7,674,773		477,996		157,852
SPDR Barclays Long Term Corporate Bond ETF		713,243		26,924,923		5,027,685		129,134		18,528,848		494,272		348,105		14,133,063		669,528		(1,282,391	)
SPDR Barclays Long Term Treasury Bond ETF		212,247		13,616,919		4,437,721		71,487		10,814,467		172,800		110,934		7,354,924		250,289		(598,847	)
SPDR Barclays Short Term High Yield Bond		58,976		1,779,896		15,492		514		1,792,876		59,490		—		—		7,885		(31,259	)

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014


SPDR SSgA Income Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR SSgA Income Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR Nuveen Barclays Build America Bond ETF		46,701	$	2,591,438	$	167,201		3,075	$	2,799,940		49,776		—	$	—	$	65,106	$	(113,231	)
SPDR Barclays TIPS ETF		149,424		8,303,492		4,159,492		75,051		8,940,224		160,474		64,001		3,669,817		58,383		(628,895	)
SPDR EURO STOXX 50 ETF		—		—		3,620,474		102,028		2,544,373		67,462		34,566		1,495,671		45,586		92,958
SPDR Russell/Nomura PRIME Japan ETF		—		—		2,078,506		45,334		1,955,849		45,334		—		—		—		(122,657	)
SPDR S&P Emerging Markets Dividend ETF		224,002		8,693,517		3,465,521		86,091		8,054,024		208,936		101,157		4,055,384		189,965		(1,171,169	)
SPDR S&P Global Infrastructure 100 ETF		249,730		10,158,767		431,227		9,645		7,590,899		177,894		81,481		4,145,753		148,344		267,366
SPDR S&P International Dividend ETF		236,886		10,340,074		1,199,492		25,592		6,557,642		143,486		118,992		6,104,290		337,915		(64,080	)
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		3,360,878		89,799		3,114,929		88,041		154,452		6,080,775		286,944		304,684
SPDR Barclays Emerging Markets Local Bond ETF		175,002		5,188,809		1,409,025		47,708		3,685,982		123,682		99,028		3,091,654		60,196		(235,765	)
SPDR Barclays International Corporate Bond ETF		122,066		4,192,967		3,569,547		97,359		5,759,898		164,211		55,214		2,087,090		19,913		(65,775	)
SPDR Dow Jones International Real Estate ETF		214,867		8,573,193		3,601,990		85,882		6,756,493		164,292		136,457		6,036,858		272,279		(109,865	)
SPDR Dow Jones REIT ETF		81,004		6,152,254		4,003,611		52,666		3,659,114		47,292		86,378		7,169,374		190,950		162,566
State Street Institutional Liquid Reserves Fund		620,536		620,536		15,286,330		15,286,330		15,387,587		15,387,587		519,279		519,279		330		—



SPDR SSgA Global Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR SSgA Global Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR S&P 500 ETF Trust		44,700	$	7,152,447	$	14,161,228		75,925	$	3,472,866		20,487		100,138	$	19,599,009	$	205,639	$	236,276
SPDR S&P 500 Growth ETF		—		—		3,815,353		44,035		2,041,293		22,552		21,483		1,954,309		12,304		59,164
SPDR S&P 500 Value ETF		18,869		1,550,088		3,364,887		36,342		5,248,480		55,211		—		—		26,413		367,410
SPDR S&P 600 Small Cap ETF		18,111		1,572,578		2,811,832		28,070		4,710,915		46,181		—		—		46,400		493,404
SPDR S&P Dividend ETF		8,746		579,860		363,955		5,087		1,005,193		13,833		—		—		17,046		127,012
SPDR S&P MidCap 400 ETF Trust		4,927		1,036,542		1,024,890		4,248		369,174		1,571		7,604		1,981,298		17,026		45,330
SPDR Wells Fargo Preferred Stock ETF		59,176		2,572,381		95,350		2,210		2,593,705		61,386		—		—		—		(203,575	)
The Consumer Discretionary Select Sector SPDR Fund		18,730		1,056,372		1,066,581		16,698		2,336,130		35,428		—		—		13,071		269,749
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		—		—		4,372,948		78,829		2,470,404		46,105		32,724		1,990,601		16,692		57,142
The Industrial Select Sector SPDR Fund				—		4,489,014		91,911		2,852,988		56,674		35,237		1,904,912		26,952		154,736
The Technology Select Sector SPDR Fund		—		—		3,040,736		87,166		1,260,630		36,027		51,139		1,961,181		16,148		36,205
SPDR Barclays Aggregate Bond ETF		109,790		6,243,757		6,964,534		122,557		10,287,967		181,398		50,949		2,953,004		120,251		(165,245	)
SPDR Barclays High Yield Bond ETF		25,999		1,026,701		6,165,114		153,399		5,407,791		132,289		47,109		1,965,858		219,591		79,120

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014



SPDR SSgA Global Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SPDR SSgA Global Allocation Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
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		5,058,524		127,452		338,070		8,953		146,578		5,951,067		69,760		(9,080	)
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		3,348,438		60,286		1,803,752		32,102		60,632		3,476,639		48,124		(112,771	)
SPDR DB International Government Inflation-Protected Bond ETF		13,281		764,587		1,277,301		21,602		664,285		11,015		23,868		1,480,055		33,384		(20,157	)
SPDR EURO STOXX 50 ETF		—		—		3,483,693		83,537		746,012		18,164		65,373		2,828,690		65,712		(10,695	)
SPDR Russell/Nomura PRIME Japan ETF		63,112		2,698,669		5,355,687		119,876		4,204,073		96,814		86,174		4,002,782		49,351		(112,844	)
SPDR S&P Emerging Markets ETF		26,308		1,568,220		6,530,782		101,444		3,438,301		55,706		72,046		4,871,390		57,763		(64,069	)
SPDR S&P International Small Cap ETF		53,091		1,531,144		1,498,797		45,040		428,341		13,462		84,669		2,990,509		56,814		41,962
SPDR S&P World ex-US ETF		378,827		9,519,923		10,599,872		369,289		3,047,006		110,017		638,099		19,315,257		472,824		213,465
SPDR STOXX Europe 50 ETF		30,060		992,581		2,610,256		69,154		987,109		26,102		73,112		2,878,419		128,138		33,137
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		2,417,323		66,411		3,074,615		84,397		26,163		988,961		24,104		31,302
SPDR Barclays International Treasury Bond ETF		8,626		485,472		2,627,133		45,234		2,196,474		37,558		16,302		990,999		19,529		9,362
SPDR Dow Jones International Real Estate ETF		25,764		1,027,983		4,250,716		101,032		256,949		6,105		120,691		5,339,370		127,187		19,179
SPDR Dow Jones REIT ETF		13,662		1,037,629		5,247,487		67,222		350,032		4,585		76,299		6,332,817		107,618		8,261
State Street Institutional Liquid Reserves Fund		1,648,718		1,648,718		17,012,952		17,012,952		16,605,966		16,605,966		2,055,704		2,055,704		923		—


Blackstone/GSO Senior Loan Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
Blackstone/GSO Senior Loan Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		96,122,680	$	96,122,680	$	345,553,142		345,553,142	$	401,990,163		401,990,163		39,685,659	$	39,685,659	$	52,102	$	—


SSgA Ultra Short Term Bond Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold					Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SSgA Ultra Short Term Bond Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		��	Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		—	$	—	$	8,138,786		8,138,786	$	7,620,235		7,620,235			518,551	$	518,551	$	154	$	—


SSgA MFS Systematic Core Equity Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SSgA MFS Systematic Core Equity Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		—	$	—	$	89,468		89,468	$	30,863		30,863		58,605	$	58,605	$	18	$	—


SSgA MFS Systematic Growth Equity Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SSgA MFS Systematic Growth Equity Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		—	$	—	$	99,457		99,457	$	23,481		23,481		75,976	$	75,976	$	18	$	—

SSgA MASTER TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2014


SSgA MFS Systematic Value Equity Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Purchased				Sold				Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
SSgA MFS Systematic Value Equity Portfolio	Number of Shares Held at 6/30/13		Value at 6/30/13		Cost		Shares		Proceeds		Shares		Number of Shares Held at 6/30/14		Value at 6/30/14		Dividend Income		Realized Gain (Loss)
State Street Institutional Liquid Reserves Fund		—	$	—	$	109,589		109,589	$	28,229		28,229		81,360	$	81,360	$	17	$	—

4.	Aggregate Unrealized Appreciation and Depreciation

The identified cost of investments in securities owned by each Portfolio for federal income tax purposes and the gross unrealized appreciation and depreciation at June 30, 2014, was as follows:


	Identified Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SSgA Multi-Asset Real Return Portfolio	$	158,270,064	$	6,363,843	$	—	$	6,363,843
SSgA Income Allocation Portfolio		98,914,488		5,114,694		—		5,114,694
SSgA Global Allocation Portfolio		92,100,965		6,389,387		—		6,389,387
Blackstone / GSO Senior Loan Portfolio		608,861,258		1,614,848		—		1,614,848
SSgA Ultra Short Term Bond Portfolio		14,024,449		10,479		—		10,479
SSgA MFS Systematic Core Equity Portfolio		5,086,567		290,337		—		290,337
SSgA MFS Systematic Growth Equity Portfolio		5,027,567		343,934		—		343,934
SSgA MFS Systematic Value Equity Portfolio		5,023,094		262,168		—		262,168

5.	Investment Transactions

For the year ended June 30, 2014, 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	$	11,579,921	$	141,552,018	$	11,400,363	$	112,334,428
SSgA Income Allocation Portfolio		15,286,330		75,202,155		15,387,587		154,034,826
SSgA Global Allocation Portfolio		17,012,952		107,425,808		16,605,966		70,239,802
Blackstone / GSO Senior Loan Portfolio		345,553,142		914,589,368		401,990,163		602,355,311
SSgA Ultra Short Term Bond Portfolio		8,138,786		19,080,114		7,620,235		4,214,817
SSgA MFS Systematic Core Equity Portfolio		89,468		6,326,832		30,863		1,371,300
SSgA MFS Systematic Growth Equity Portfolio		99,457		5,975,143		23,481		1,038,747
SSgA MFS Systematic Value Equity Portfolio		109,589		6,183,027		28,230		1,248,124

For the year ended June 30, 2014, 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	$	—	$	1,751,154	$	—

For the year ended June 30, 2014, 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.

SSgA MASTER TRUST

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Owners of Beneficial Interest and Board of Trustees of

SSgA Master Trust

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SSgA Master Trust (comprising, respectively, SSgA Multi-Asset Real Return Portfolio, SSgA Income Allocation Portfolio, SSgA Global Allocation Portfolio, Blackstone/GSO Senior Loan Portfolio, SSgA Ultra Short Term Bond Portfolio, SSgA MFS Systematic Core Equity Portfolio, SSgA MFS Systematic Value Equity Portfolio and SSgA MFS Systematic Growth Equity Portfolio) (collectively, the “Portfolios”) as of June 30, 2014, and the related statements of operations, changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2014 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above mentioned Portfolios of SSgA Master Trust at June 30, 2014, and the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

LOGO

Boston, Massachusetts

August 28, 2014

SSgA MASTER TRUST

OTHER INFORMATION

June 30, 2014 (Unaudited)

Proxy Voting Policies and Procedures and Records

Quarterly Portfolio Schedule

Approval of Advisory Agreements

SSgA MASTER TRUST

OTHER INFORMATION (continued)

June 30, 2014 (Unaudited)

SSgA MASTER TRUST

OTHER INFORMATION (continued)

June 30, 2014

TRUSTEES AND OFFICERS OF THE TRUST

Name, Address
and Year of Birth

Position(s)
with Funds

Term of
Office and
Length of
Time Served

Principal
Occupation(s)
During Past
5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by Trustee

Independent Trustees

FRANK NESVET
c/o SPDR Series Trust
State Street Financial Center One Lincoln Street
Boston, MA 02111-2900
1943

Independent Trustee, Chairman, Trustee Committee Chair

Term: Unlimited

Served: since

September 2000

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

179

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

(Trustee).

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

Independent

Trustee, Audit Committee Chair

Term: Unlimited

Served: since

September 2000

Retired.

179

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

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

Independent Trustee

Term: Unlimited

Served: since

April 2010

Retired (2005-present);

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

179

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

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

Independent Trustee

Term: Unlimited

Served: since

April 2010

Chief Executive Officer and President, CFA Institute (2014-present); Self-employed consultant since 2010; Head of Fixed Income and other Senior Management roles, Fidelity Investments (1993-2009).

179

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

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

Independent Trustee

Term: Unlimited

Served: since

April 2010

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

179

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

SSgA MASTER TRUST

OTHER INFORMATION (continued)

June 30, 2014

Name, Address
and Year of Birth

Position(s)
with Funds

Term of
Office and
Length of
Time Served

Principal
Occupation(s)
During Past
5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by Trustee

Interested Trustee

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

Interested

Trustee

Term:

Unlimited

Served: since

April 2010

209

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

Investment Trust

(Trustee).

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

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

OFFICERS


Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
ELLEN M. NEEDHAM SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967	President	Term: Unlimited Served: since October 2012	President and Director, SSgA Funds Management, Inc. (June 2012-present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010-June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992-2012); Senior Managing Director, State Street Global Advisors (1992-present).
ANN M. CARPENTER SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966	Vice President	Term: Unlimited Served: since August 2012	Chief Operating Officer, SSgA Funds Management, Inc. (April 2014-present); Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2005-present).*
MICHAEL P. RILEY SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969	Vice President	Term: Unlimited Served: since February 2005	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008-present); Principal, State Street Global Advisors and SSgA Funds Management, Inc. (2005-2008).

SSgA MASTER TRUST

OTHER INFORMATION (continued)

June 30, 2014


Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
CHRISTOPHER A. MADDEN State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1967	Secretary	Term: Unlimited Served: since August 2013	Vice President and Senior Counsel, State Street Bank and Trust Company (2013-present); Counsel, Atlantic Fund Services (2009-2013); Vice President, Citigroup Fund Services, LLC (2005-2009).*
DANIO MASTROPIERI State Street Bank and Trust Company Four Copley Place, CPH0326 Boston, MA 02116 1972	Assistant Secretary	Term: Unlimited Served: since August 2013	Vice President and Counsel, State Street Bank and Trust Company (2013-present); Vice President, Citi Fund Services Ohio, Inc. (2007-2013)., *
CHAD C. HALLETT State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1969	Treasurer	Term: Unlimited Served: since November 2010	Vice President, State Street Bank and Trust Company (2001-present).*
MATTHEW FLAHERTY State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1971	Assistant Treasurer	Term: Unlimited Served: since May 2005	Vice President, State Street Bank and Trust Company (1994-present).*
LAURA F. DELL State Street Bank and Trust Company Four Copley Place, CPH0328 Boston, MA 02116 1964	Assistant Treasurer	Term: Unlimited Served: since November 2007	Vice President, State Street Bank and Trust Company (2002-present).*
BRIAN HARRIS SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973	Chief Compliance Officer	Term: Unlimited Served: since November 2013	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2013-Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010).

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

**	Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 1-866-787-2257.

The SPDR^® Family of Exchange Traded Funds

SPDR Series Trust

SPDR Russell 3000^® ETF (THRK)

SPDR Russell 1000^® ETF (ONEK)

SPDR Russell 2000^® ETF (TWOK)

SPDR S&P 500 Growth ETF (SPYG)

SPDR S&P 500 Value ETF (SPYV)

SPDR Russell Small Cap Completeness ETF (RSCO)

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

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

SPDR S&P 600 Small Cap ETF (SLY)

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

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

SPDR Global Dow ETF (DGT)

SPDR Dow Jones REIT ETF (RWR)

SPDR S&P Bank ETF (KBE)

SPDR S&P Capital Markets ETF (KCE)

SPDR S&P Insurance ETF (KIE)

SPDR S&P Mortgage Finance ETF (KME)

SPDR S&P Regional Banking ETF (KRE)

SPDR Morgan Stanley Technology ETF (MTK)

SPDR S&P Dividend ETF (SDY)

SPDR S&P Aerospace & Defense ETF (XAR)

SPDR S&P Biotech ETF (XBI)

SPDR S&P Health Care Equipment ETF (XHE)

SPDR S&P Health Care Services ETF (XHS)

SPDR S&P Homebuilders ETF (XHB)

SPDR S&P Metals & Mining ETF (XME)

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

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

SPDR S&P Pharmaceuticals ETF (XPH)

SPDR S&P Retail ETF (XRT)

SPDR S&P Semiconductor ETF (XSD)

SPDR S&P Software & Services ETF (XSW)

SPDR S&P Telecom ETF (XTL)

SPDR S&P Transportation ETF (XTN)

SPDR S&P 1500 Value Tilt ETF (VLU)

SPDR S&P 1500 Momentum Tilt ETF (MMTM)

SPDR Russell 1000 Low Volatility ETF (LGLV)

SPDR Russell 2000 Low Volatility ETF (SMLV)

SPDR Wells Fargo Preferred Stock ETF (PSK)

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

SPDR Barclays TIPS ETF (IPE)

SPDR Barclays 0-5 Year TIPS ETF (SIPE)

SPDR Barclays 1-10 Year TIPS ETF (TIPX)

SPDR Barclays Short Term Treasury ETF (SST)

SPDR Barclays Intermediate Term Treasury ETF (ITE)

SPDR Barclays Long Term Treasury ETF (TLO)

SPDR Barclays Short Term Corporate Bond ETF (SCPB)

SPDR Barclays Intermediate Term Corporate Bond ETF (ITR)

SPDR Barclays Long Term Corporate Bond ETF (LWC)

SPDR Barclays Issuer Scored Corporate Bond ETF (CBND)

SPDR Barclays Convertible Securities ETF (CWB)

SPDR Barclays Mortgage Backed Bond ETF (MBG)

SPDR Barclays Aggregate Bond ETF (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 International High Yield Bond ETF (IJNK)

SPDR Barclays High Yield Bond ETF (JNK)

SPDR Barclays Short Term High Yield Bond ETF (SJNK)

SPDR Barclays Investment Grade Floating Rate ETF (FLRN)

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

SPDR BofA Merrill Lynch Crossover Corporate Bond ETF (XOVR)

SPDR Index Shares Funds

SPDR STOXX Europe 50 ETF (FEU)

SPDR EURO STOXX 50 ETF (FEZ)

SPDR EURO STOXX Small Cap ETF (SMEZ)

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 MSCI EAFE Quality Mix ETF (QEFA)

SPDR MSCI Emerging Markets Quality Mix ETF (QEMM)

SPDR MSCI World Quality Mix ETF (QWLD)

SPDR MSCI Australia Quality Mix ETF (QAUS)

SPDR MSCI Canada Quality Mix ETF (QCAN)

SPDR MSCI Germany Quality Mix ETF (QDEU)

SPDR MSCI Japan Quality Mix ETF (QJPN)

SPDR MSCI Spain Quality Mix ETF (QESP)

SPDR MSCI United Kingdom Quality Mix ETF (QGBR)

SPDR Russell/Nomura PRIMETM Japan ETF (JPP)

SPDR Russell/Nomura Small CapTM Japan ETF (JSC)

SPDR S&P Global Dividend ETF (WDIV)

SPDR S&P International Dividend ETF (DWX)

SPDR S&P International Mid Cap ETF (MDD)

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

SPDR Dow Jones Global Real Estate ETF (RWO)

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

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

SPDR S&P International Energy Sector ETF (IPW)

SPDR S&P International Financial Sector ETF (IPF)

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

SPDR S&P International Industrial Sector ETF (IPN)

SPDR S&P International Materials Sector ETF (IRV)

SPDR S&P International Technology Sector ETF (IPK)

SPDR S&P International Telecommunications Sector ETF (IST)

SPDR S&P International Utilities Sector ETF (IPU)

The Select Sector SPDR Trust

The Consumer Discretionary Select Sector SPDR Fund (XLY)

The Consumer Staples Select Sector SPDR Fund (XLP)

The Energy Select Sector SPDR Fund (XLE)

The Financial Select Sector SPDR Fund (XLF)

The 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 Growth Equity ETF (SYG)

SPDR MFS Systematic Value Equity ETF (SYV)

SPDR Dow Jones Industrial Average ETF Trust (DIA)

SPDR S&P 500 ETF Trust (SPY)

SSgA Master Trust

TRUSTEES

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

OFFICERS

Ellen M. Needham, President

Ann Carpenter, Vice President

Michael P. Riley, Vice President

Chad C. Hallett, Treasurer

Matthew W. Flaherty, Assistant Treasurer

Laura F. Dell, Assistant Treasurer

Christopher A. Madden, Secretary

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

LOGO

Item 2. Code of Ethics.

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

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

Item 3. Audit Committee Financial Expert.

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

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

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees.

For the fiscal years ending June 30, 2014 and June 30, 2013, the aggregate audit fees billed for professional services rendered by the principal accountant were $76,320 and $38,160, respectively. Audit fees include the performance of the annual audits and routine regulatory filings (one for each SEC registrant).

(b) Audit-Related Fees.

For the fiscal years ending June 30, 2014 and June 30, 2013, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.

For the fiscal years ending June 30, 2014 and June 30, 2013, the aggregate tax fees billed for professional services rendered by the principal accountant were $65,920 and $32,960, respectively. Tax fees represent services related to the review of year-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant.

(d) All Other Fees.

There were no other fees billed by the principal accountant for the fiscal years ending June 30, 2014 and June 30, 2013.

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

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

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

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

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

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

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

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

(e)(2) Percentage of Services.

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

(f) Not applicable.

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


	FY 2014 (in millions)		FY 2013 (in millions)
Non audit services billed to:
Registrant:		See Item 4(c)		See Item 4(c)
Investment Adviser:		—		—

Other entities in the Investment Company Complex (1)(2):
Audit Related Fees	$	16.3	$	15.9
Tax Fees		4.7		3.9
All Other Fees		1.4		3.6

(1) Information is for the calendar year 2013 and 2012, respectively.

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

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

Item 5. Disclosure of Audit Committees for Listed Companies.

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

Item 6. Schedule of Investments.

(a) A Schedule of Investments for each series of the Registrant, is included as a part of the reports to shareholders filed under Item 1 of this Form N-CSR.

(b) Not applicable to the registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

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

Item 11. Controls and Procedures.

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

(b) In the registrant’s second fiscal quarter covered by this form N-CSR filing, there were no significant changes in the registrant’s internal controls or in other factors that have materially affected, or are reasonably likely to materially affect, its controls over financial reporting subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12. Exhibits.

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

(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 to the registrant.

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

SIGNATURES

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

SSgA Active ETF Trust


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

Date: September 8, 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: September 8, 2014


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

Date: September 8, 2014

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