SSGA Active Trust NCSRS Certified semi-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 TRUST

(Exact name of registrant as specified in charter)

One Lincoln Street, Boston, Massachusetts 02111

(Address of principal executive offices) (zip code)

Joshua A. Weinberg, Esq.

Managing Director and Managing Counsel

SSGA Funds Management, Inc.

One Lincoln Street

Boston, Massachusetts 02111

(Name and address of agent for service)

Copy to:

W. John McGuire, Esq.

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Registrant’s telephone number, including area code: (617) 664-7037

Date of fiscal year end: June 30

Date of reporting period: December 31, 2017

Item 1.

Reports to Shareholders.

Semi-Annual Report

December 31, 2017

SSGA Active Trust

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com Please read the prospectus carefully before you invest.

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TABLE OF CONTENTS (Unaudited)


Financial Statements (Unaudited)			2
Financial Highlights (Unaudited)			10
Notes to Financial Statements (Unaudited)			19
Other Information (Unaudited)			24

SSGA ACTIVE TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2017 (Unaudited)


	SPDR SSGA Multi-Asset Real Return ETF			SPDR SSGA Income Allocation ETF			SPDR SSGA Global Allocation ETF
ASSETS
Investment in corresponding affiliated Portfolio, at value	$	114,388,655		$	102,162,640		$	235,158,871
Receivable for fund shares sold		—			—			—
Receivable from Adviser		—			—			33,402
Other assets and prepaid expenses		—			—			—

TOTAL ASSETS		114,388,655			102,162,640			235,192,273

LIABILITIES
Advisory fee payable		2,766			14,790			—
Distribution payable		982,954			1,358,073			2,057,811
Accrued expenses and other liabilities		—			120			65

TOTAL LIABILITIES		985,720			1,372,983			2,057,876

NET ASSETS	$	113,402,935		$	100,789,657		$	233,134,397

NET ASSETS CONSIST OF:
Paid-in Capital	$	144,003,812		$	100,802,733		$	213,688,193
Undistributed (distribution in excess of) net investment income (loss)		(425,639	)		(129,029	)		164,485
Accumulated net realized gain (loss) on investments		(32,052,686	)		(6,794,907	)		(8,569,525	)
Net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		1,877,448			6,910,860			27,851,244

NET ASSETS	$	113,402,935		$	100,789,657		$	233,134,397

NET ASSET VALUE PER SHARE
Net asset value per share	$	26.37		$	33.60		$	38.22

Shares outstanding (unlimited amount authorized, no par value)		4,300,000			3,000,000			6,100,000

See accompanying 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 DoubleLine Total Return Tactical ETF			SPDR MFS Systematic Core Equity ETF			SPDR MFS Systematic Growth Equity ETF			SPDR MFS Systematic Value Equity ETF

$	2,363,912,831		$	24,133,715		$	3,570,779,021		$	11,297,954		$	67,666,719		$	6,724,237
	—			—			—			—			—			—
	—			—			316,469			—			—			—
	—			3			—			—			—			—

	2,363,912,831			24,133,718			3,571,095,490			11,297,954			67,666,719			6,724,237


	802,696			—			1,072,766			2,860			15,895			1,696
	—			—			—			165,483			223,507			137,181
	449			—			18,747			—			23			—

	803,145			—			1,091,513			168,343			239,425			138,877

$	2,363,109,686		$	24,133,718		$	3,570,003,977		$	11,129,611		$	67,427,294		$	6,585,360


$	2,408,817,884		$	24,387,272		$	3,625,761,100		$	9,442,829		$	62,351,277		$	5,415,994
	(3,610,282	)		2,760			(5,829,152	)		(25,315	)		(62,682	)		(19,107	)
	(51,248,171	)		(276,300	)		(14,350,416	)		1,010,640			(105,258	)		103,016

	9,150,255			19,986			(35,577,555	)		701,457			5,243,957			1,085,457

$	2,363,109,686		$	24,133,718		$	3,570,003,977		$	11,129,611		$	67,427,294		$	6,585,360


$	47.21		$	40.22		$	48.67		$	74.20		$	79.33		$	65.85

	50,050,000			600,000			73,350,000			150,000			850,000			100,000

SSGA ACTIVE TRUST

STATEMENTS OF OPERATIONS

For the Period Ended December 31, 2017 (Unaudited)


	SPDR SSGA Multi-Asset Real Return ETF			SPDR SSGA Income Allocation ETF			SPDR SSGA Global Allocation ETF
INCOME AND EXPENSES ALLOCATED FROM PORTFOLIO
Interest income allocated from affiliated Portfolio	$	—		$	—		$	—
Dividend income allocated from affiliated Portfolio		1,343,888			1,859,562			2,698,286
Expenses allocated from affiliated Portfolio		(113,361	)		(99,794	)		(223,387	)

TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM PORTFOLIO		1,230,527			1,759,768			2,474,899

EXPENSES
Advisory fees		7,192			88,638			6,737
Trustees’ fees and expenses		914			906			1,783
Miscellaneous expenses		—			—			—

TOTAL EXPENSES		8,106			89,544			8,520

Expenses waived/reimbursed by the Adviser		—			—			(156,084	)

NET EXPENSES		8,106			89,544			(147,564	)

NET INVESTMENT INCOME (LOSS)		1,222,421			1,670,224			2,622,463

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment transactions allocated from affiliated Portfolio		(1,331,437	)		707,484			450,417
In-kind redemptions allocated from affiliated Portfolio		1,543,539			196,069			1,823,612
Capital gain distributions allocated from affiliated Portfolio		46,310			378,394			194,676

Net Realized gain (loss)		258,412			1,281,947			2,468,705

Net change in unrealized appreciation/depreciation on:
Net change in unrealized appreciation (depreciation) allocated from affiliated Portfolio		10,449,561			2,730,162			13,751,293

NET REALIZED AND UNREALIZED GAIN (LOSS)		10,707,973			4,012,109			16,219,998

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	11,930,394		$	5,682,333		$	18,842,461

See accompanying 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 DoubleLine Total Return Tactical ETF			SPDR MFS Systematic Core Equity ETF			SPDR MFS Systematic Growth Equity ETF			SPDR MFS Systematic Value Equity ETF

$	48,270,707		$	166,231		$	55,434,959		$	—		$	—		$	—
	872,468			1,833			1,068,154			76,709			306,961			68,264
	(3,130,401	)		(20,969	)		(5,400,477	)		(12,695	)		(69,373	)		(9,519	)

	46,012,774			147,095			51,102,636			64,014			237,588			58,745


	4,149,088			—			6,264,077			12,539			69,662			9,465
	14,261			155			25,551			59			338			48
	—			—			—			—			—			—

	4,163,349			155			6,289,628			12,598			70,000			9,513

	—			—			(1,845,896	)		—			—			—

	4,163,349			155			4,443,732			12,598			70,000			9,513

	41,849,425			146,940			46,658,904			51,416			167,588			49,232



	(3,074,791	)		(177	)		4,892,408			(203	)		23,133			173,846
	—			—			—			1,006,580			—			—
	—			—			—			—			—			—

	(3,074,791	)		(177	)		4,892,408			1,006,377			23,133			173,846


	357,096			(19,779	)		(20,607,228	)		(202,058	)		5,058,292			543,802

	(2,717,695	)		(19,956	)		(15,714,820	)		804,319			5,081,425			717,648

$	39,131,730		$	126,984		$	30,944,084		$	855,735		$	5,249,013		$	766,880

SSGA ACTIVE TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SPDR SSGA Multi-Asset Real Return ETF						SPDR SSGA Income Allocation ETF
	Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017			Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	1,222,421		$	2,204,386		$	1,670,224		$	3,530,853
Net realized gain (loss)		258,412			(5,020,099	)		1,281,947			1,636,027
Net change in unrealized appreciation/depreciation		10,449,561			2,590,190			2,730,162			1,395,074

Net increase (decrease) in net assets resulting from operations		11,930,394			(225,523	)		5,682,333			6,561,954

Net equalization credits and charges		(6,963	)		26,885			5,547			(24,329	)

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(1,214,500	)		(2,180,468	)		(1,948,524	)		(3,075,849	)
Net realized gains		—			—			—			—

Total distributions to shareholders		(1,214,500	)		(2,180,468	)		(1,948,524	)		(3,075,849	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares sold		6,339,850			47,857,927			3,348,869			1,595,744
Cost of shares redeemed		(18,728,024	)		(10,818,117	)		(1,669,309	)		(14,310,948	)
Net income equalization		6,963			(26,885	)		(5,547	)		24,329
Other capital		—			—			—			—

Net increase (decrease) in net assets from beneficial interest transactions		(12,381,211	)		37,012,925			1,674,013			(12,690,875	)

Net increase (decrease) in net assets during the period		(1,672,280	)		34,633,819			5,413,369			(9,229,099	)

Net assets at beginning of period		115,075,215			80,441,396			95,376,288			104,605,387

NET ASSETS AT END OF PERIOD	$	113,402,935		$	115,075,215		$	100,789,657		$	95,376,288

Undistributed (distribution in excess of) net investment income (loss)	$	(425,639	)	$	(433,560	)	$	(129,029	)	$	149,271

SHARES OF BENEFICIAL INTEREST:
Shares sold		250,000			1,950,000			100,000			50,000
Shares redeemed		(750,000	)		(450,000	)		(50,000	)		(450,000	)

Net increase (decrease)		(500,000	)		1,500,000			50,000			(400,000	)

See accompanying 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
Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017			Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017			Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017

$	2,622,463		$	5,663,196		$	41,849,425		$	46,491,283		$	146,940		$	167,483
	2,468,705			280,703			(3,074,791	)		2,066,423			(177	)		(4,025	)
	13,751,293			11,097,304			357,096			10,003,246			(19,779	)		44,001

	18,842,461			17,041,203			39,131,730			58,560,952			126,984			207,459

	11,941			(5,755	)		662,530			1,344,767			2,045			(82	)


	(2,768,123	)		(4,865,796	)		(48,560,000	)		(45,308,923	)		(149,504	)		(162,266	)
	—			—			—			—			—			—

	(2,768,123	)		(4,865,796	)		(48,560,000	)		(45,308,923	)		(149,504	)		(162,266	)


	12,916,823			27,444,065			551,756,908			1,009,200,238			6,032,774			6,030,951
	(3,637,160	)		(16,951,553	)		—			(4,708,856	)		—			(12,015,514	)
	(11,941	)		5,755			(662,530	)		(1,344,767	)		(2,045	)		82
	—			—			275,879			533,984			6,032			18,045

	9,267,722			10,498,267			551,370,257			1,003,680,599			6,036,761			(5,966,436	)

	25,354,001			22,667,919			542,604,517			1,018,277,395			6,016,286			(5,921,325	)

	207,780,396			185,112,477			1,820,505,169			802,227,774			18,117,432			24,038,757

$	233,134,397		$	207,780,396		$	2,363,109,686		$	1,820,505,169		$	24,133,718		$	18,117,432

$	164,485		$	310,145		$	(3,610,282	)	$	3,100,293		$	2,760		$	5,324


	350,000			800,000			11,650,000			21,300,000			150,000			150,000
	(100,000	)		(500,000	)		—			(100,000	)		—			(300,000	)

	250,000			300,000			11,650,000			21,200,000			150,000			(150,000	)

SSGA ACTIVE TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)


	SPDR DoubleLine Total Return Tactical ETF						SPDR MFS Systematic Core Equity ETF
	Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017			Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	46,658,904		$	82,714,166		$	51,416		$	96,734
Net realized gain (loss)		4,892,408			2,330,164			1,006,377			141,523
Net change in unrealized appreciation/depreciation		(20,607,228	)		(41,419,853	)		(202,058	)		911,630

Net increase (decrease) in net assets resulting from operations		30,944,084			43,624,477			855,735			1,149,887

Net equalization credits and charges		436,819			890,764			2,991			—

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(59,935,014	)		(91,135,299	)		(54,827	)		(96,747	)
Net realized gains		—			(5,206,246	)		(132,165	)		—

Total distributions to shareholders		(59,935,014	)		(96,341,545	)		(186,992	)		(96,747	)

FROM BENEFICIAL INTEREST TRANSACTIONS:
Proceeds from sale of shares sold		299,844,384			765,835,234			10,596,042			—
Cost of shares redeemed		(55,792,407	)		(19,509,802	)		(6,996,864	)		—
Net income equalization		(436,819	)		(890,764	)		(2,991	)		—
Other capital		1,141,724			2,241,745			—			—

Net increase (decrease) in net assets from beneficial interest transactions		244,756,882			747,676,413			3,596,187			—

Net increase (decrease) in net assets during the period		216,202,771			695,850,109			4,267,921			1,053,140

Net assets at beginning of period		3,353,801,206			2,657,951,097			6,861,690			5,808,550

NET ASSETS AT END OF PERIOD	$	3,570,003,977		$	3,353,801,206		$	11,129,611		$	6,861,690

Undistributed (distribution in excess of) net investment income (loss)	$	(5,829,152	)	$	7,446,958		$	(25,315	)	$	(21,904	)

SHARES OF BENEFICIAL INTEREST:
Shares sold		6,100,000			15,500,000			150,000			—
Shares redeemed		(1,150,000	)		(400,000	)		(100,000	)		—

Net increase (decrease)		4,950,000			15,100,000			50,000			—

See accompanying notes to financial statements and financial statements of the Master Portfolios.


SPDR MFS Systematic Growth Equity ETF						SPDR MFS Systematic Value Equity ETF
Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017			Six Months Ended 12/31/2017 (Unaudited)			Year Ended 6/30/2017

$	167,588		$	203,810		$	49,232		$	71,072
	23,133			3,301,828			173,846			55,555
	5,058,292			(247,234	)		543,802			483,114

	5,249,013			3,258,404			766,880			609,741

	29,515			3,639			—			2,637


	(207,798	)		(196,549	)		(51,038	)		(74,269	)
	(110,197	)		—			(111,415	)		(61,570	)

	(317,995	)		(196,549	)		(162,453	)		(135,839	)


	23,417,506			45,181,472			—			2,907,751
	—			(21,298,530	)		—			—
	(29,515	)		(3,639	)		—			(2,637	)
	—			—			—			—

	23,387,991			23,879,303			—			2,905,114

	28,348,524			26,944,797			604,427			3,381,653

	39,078,770			12,133,973			5,980,933			2,599,280

$	67,427,294		$	39,078,770		$	6,585,360		$	5,980,933

$	(62,682	)	$	(22,472	)	$	(19,107	)	$	(17,301	)


	300,000			650,000			—			50,000
	—			(300,000	)		—			—

	300,000			350,000			—			50,000

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period


	SPDR SSGA Multi-Asset Real Return ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13
Net asset value, beginning of period	$	23.97		$	24.38		$	25.85		$	30.86		$	27.68		$	28.77

Income (loss) from investment operations:
Net investment income (loss) (b)		0.28			0.56			0.30			0.43			0.57			0.86
Net realized and unrealized gain (loss) (c)		2.40			(0.44	)		(1.43	)		(5.02	)		3.22			(1.33	)

Total from investment operations		2.68			0.12			(1.13	)		(4.59	)		3.79			(0.47	)

Net equalization credits and charges (b)		(0.00	)(d)		0.01			0.01			0.01			0.01			0.03

Distributions to Shareholders from:
Net investment income		(0.28	)		(0.54	)		(0.35	)		(0.43	)		(0.62	)		(0.65	)

Net asset value, end of period	$	26.37		$	23.97		$	24.38		$	25.85		$	30.86		$	27.68

Total return (e)		11.18	%		0.56	%		(4.22	)%		(14.84	)%		13.85	%		(1.67	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	113,403		$	115,075		$	80,441		$	140,895		$	163,580		$	120,434
Ratios to average net assets:
Total expenses		0.22	%(f)		0.22	%		0.28	%		0.23	%		0.24	%		0.25	%
Net investment income (loss)		2.18	%(f)		2.28	%		1.29	%		1.53	%		1.97	%		2.86	%
Portfolio turnover rate (g)		8	%(h)		46	%		25	%		33	%		40	%		31	%

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

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

(c)	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.

(d)	Amount is less than $0.005 per share.

(e)

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 distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(f)	Annualized.

(g)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(h)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR SSGA Income Allocation ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13
Net asset value, beginning of period	$	32.33		$	31.23		$	31.16		$	32.70		$	29.90		$	29.85

Income (loss) from investment operations:
Net investment income (loss) (b)		0.56			1.10			0.93			0.97			1.16			1.41
Net realized and unrealized gain (loss) (c)		1.36			0.98			0.22			(1.51	)		2.86			(0.25	)

Total from investment operations		1.92			2.08			1.15			(0.54	)		4.02			1.16

Net equalization credits and charges (b)		0.00	(d)		(0.01	)		(0.02	)		0.02			(0.03	)		0.12

Distributions to Shareholders from:
Net investment income		(0.65	)		(0.97	)		(1.06	)		(1.02	)		(1.19	)		(1.23	)

Net asset value, end of period	$	33.60		$	32.33		$	31.23		$	31.16		$	32.70		$	29.90

Total return (e)		5.94	%		6.78	%		3.77	%		(1.59	)%		13.57	%		4.22	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	100,790		$	95,376		$	104,605		$	120,020		$	103,035		$	171,977
Ratios to average net assets:
Total expenses		0.38	%(f)		0.37	%		0.37	%		0.35	%		0.36	%		0.35	%
Net investment income (loss)		3.39	%(f)		3.49	%		3.07	%		3.00	%		3.73	%		4.50	%
Portfolio turnover rate (g)		9	%(h)		47	%		54	%		64	%		63	%		80	%

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

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

(c)	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.

(d)	Amount is less than $0.005 per share.

(e)

(f)	Annualized.

(g)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(h)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR SSGA Global Allocation ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13
Net asset value, beginning of period	$	35.52		$	33.35		$	34.61		$	35.47		$	31.18		$	29.19

Income (loss) from investment operations:
Net investment income (loss) (b)		0.44			0.99			0.81			0.92			0.98			1.03
Net realized and unrealized gain (loss) (c)		2.72			2.03			(1.09	)		(0.73	)		4.20			1.77

Total from investment operations		3.16			3.02			(0.28	)		0.19			5.18			2.80

Net equalization credits and charges (b)		0.00	(d)		(0.00	)(d)		0.02			0.05			0.02			0.09

Distributions to Shareholders from:
Net investment income		(0.46	)		(0.85	)		(0.94	)		(0.91	)		(0.91	)		(0.90	)
Net realized gains		—			—			(0.06	)		(0.19	)		—			—

Total distributions		(0.46	)		(0.85	)		(1.00	)		(1.10	)		(0.91	)		(0.90	)

Net asset value, end of period	$	38.22		$	35.52		$	33.35		$	34.61		$	35.47		$	31.18

Total return (e)		8.88	%		9.14	%		(0.63	)%		0.66	%		16.81	%		9.91	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	233,134		$	207,780		$	185,112		$	143,655		$	97,589		$	51,484
Ratios to average net assets:
Total expenses.		0.20	%(f)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net expenses.		0.06	%(f)		0.01	%		0.06	%		0.05	%		0.05	%		0.04	%
Net investment income (loss)		2.37	%(f)		2.91	%		2.45	%		2.60	%		2.91	%		3.23	%
Portfolio turnover rate (g)		14	%(h)		90	%		86	%		98	%		89	%		123	%

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

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

(c)	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.

(d)	Amount is less than $0.005 per share.

(e)

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 distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation.

(f)	Annualized.

(g)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(h)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR Blackstone / GSO Senior Loan ET (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16				Year Ended 6/30/15			Year Ended 6/30/14			For the Period 4/3/13* - 6/30/13
Net asset value, beginning of period	$	47.41		$	46.64		$	49.22			$	50.02		$	49.65		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (b)		0.96			1.85			1.95				2.01			1.54			0.24
Net realized and unrealized gain (loss) (c)		(0.07	)		0.73			(2.58	)			(0.88	)		0.24			(0.65	)
										��
Total from investment operations		0.89			2.58			(0.63	)			1.13			1.78			0.41

Net equalization credits and charges (b)		0.02			0.05			0.02				0.01			0.03			0.06

Other capital		0.01			0.02			0.02				0.02			0.04			0.10

Distributions to Shareholders from:
Net investment income		(1.12	)		(1.88	)		(1.99	)			(1.96	)		(1.48	)		(0.10	)

Net asset value, end of period	$	47.21		$	47.41		$	46.64			$	49.22		$	50.02		$	49.65

Total return (d)		1.96	%		5.77	%		(1.15	)%			2.38	%		3.77	%		(0.48	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,363,110		$	1,820,505		$	802,228			$	671,810		$	610,275		$	332,654
Ratios to average net assets:
Total expenses		0.70	%(e)		0.70	%		0.71	%			0.71	%		0.85	%		0.90	%(d)
Net investment income (loss)		4.03	%(e)		3.91	%		4.15	%			4.09	%		3.09	%		1.97	%(d)
Portfolio turnover rate (f)		49	%(g)		68	%		88	%			65	%		77	%		4	%

*	Commencement of operations.

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

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

(c)	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.

(d)

(e)	Annualized.

(f)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(g)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR SSGA Ultra Short Term Bond ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period 10/9/13* - 6/30/14
Net asset value, beginning of period	$	40.26		$	40.06		$	40.05		$	40.10		$	40.00

Income (loss) from investment operations:
Net investment income (loss) (b)		0.29			0.44			0.27			0.13			0.10
Net realized and unrealized gain (loss) (c)		(0.04	)		0.13			(0.21	)		(0.05	)		0.03

Total from investment operations		0.25			0.57			0.06			0.08			0.13

Net equalization credits and charges (b)		0.00	(d)		(0.00	)(d)		0.07			0.00	(d)		0.00	(d)

Other capital		0.01			0.05			0.12			0.01			0.05

Distributions to Shareholders from:
Net investment income		(0.30	)		(0.42	)		(0.18	)		(0.14	)		0.08
Net realized gains		—			—			(0.06	)		—			—

Total distributions		(0.30	)		(0.42	)		(0.24	)		(0.14	)		0.08

Net asset value, end of period	$	40.22		$	40.26		$	40.06		$	40.05		$	40.10

Total return (e)		0.64	%		1.53	%		0.65	%		0.20	%		0.46	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	24,134		$	18,117		$	24,039		$	16,018		$	14,035
Ratios to average net assets:
Total expenses		0.20	%(f)		0.20	%		0.20	%		0.20	%		0.20	%(f)
Net investment income (loss)		1.41	%(f)		1.09	%		0.69	%		0.33	%		0.34	%(f)
Portfolio turnover rate (g)		10	%(h)		83	%		407	%		79	%		39	%

*	Commencement of operations.

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

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

(c)	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.

(d)	Amount is less than $0.005 per share.

(e)

(f)	Annualized.

(g)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(h)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR DoubleLine Total Return Tactical ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			For the Period 2/23/15* - 6/30/15
Net asset value, beginning of period	$	49.03		$	49.87		$	49.43		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (b)		0.64			1.33			1.54			0.55
Net realized and unrealized gain (loss) (c)		(0.20	)		(0.66	)		0.34			(0.88	)

Total from investment operations		0.44			0.67			1.88			(0.33	)

Net equalization credits and charges (b)		0.01			0.01			0.07			0.10

Other capital		0.02			0.04			0.03			0.05

Distributions to Shareholders from:
Net investment income		(0.83	)		(1.48	)		(1.54	)		(0.39	)
Net realized gains		—			(0.08	)		—			—

Total distributions		(0.83	)		(1.56	)		(1.54	)		(0.39	)

Net asset value, end of period	$	48.67		$	49.03		$	49.87		$	49.43

Total return (d)		0.95	%		1.55	%		4.03	%		(0.34	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	3,507,004		$	3,353,801		$	2,657,951		$	746,443
Ratios to average net assets:
Total expenses		0.65	%(e)		0.66	%		0.65	%		0.65	%(e)
Net expenses		0.55	%(e)		0.55	%		0.55	%		0.56	%(e)
Net investment income (loss)		2.61	%(e)		2.70	%		3.14	%		3.18	%(e)
Portfolio turnover rate (f)		16	%(g)		72	%		38	%		14	%

*	Commencement of operations.

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

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

(c)	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.

(d)

(e)	Annualized.

(f)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(g)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR MFS Systematic Core Equity ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period 1/8/14* - 6/30/14
Net asset value, beginning of period	$	68.62		$	58.09		$	58.53		$	53.60		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (b)		0.44			0.97			1.02			0.81			0.31
Net realized and unrealized gain (loss) (c)		6.43			10.53			(0.00	)(d)		6.48			3.59

Total from investment operations		6.87			11.50			1.02			7.29			3.90

Net equalization credits and charges (b)		0.03			—			0.20			(0.04	)		—

Distributions to Shareholders from:
Net investment income		(0.44	)		(0.97	)		(1.03	)		(0.88	)		(0.30	)
Net realized gains		(0.88	)		—			(0.63	)		(1.44	)		—

Total distributions		(1.32	)		(0.97	)		(1.66	)		(2.32	)		(0.30	)

Net asset value, end of period	$	74.20		$	68.62		$	58.09		$	58.53		$	53.60

Total return (e)		10.02	%		19.92	%		2.21	%		13.70	%		7.81	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	11,130		$	6,862		$	5,809		$	2,926		$	5,360
Ratios to average net assets:
Total expenses		0.61	%(f)		0.60	%		0.61	%		0.60	%		0.60	%(f)
Net investment income (loss)		1.23	%(f)		1.52	%		1.78	%		1.42	%		1.25	%(f)
Portfolio turnover rate (g)		32	%(h)		67	%		39	%		54	%		27	%(h)

*	Commencement of operations.

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

(b)	Per Unit numbers have been calculated using the average shares method, which more appropriately presents per Unit data for the period.

(c)	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.

(d)	Amount is less than $0.005 per share.

(e)

(f)	Annualized.

(g)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(h)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR MFS Systematic Growth Equity ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period 1/8/14* - 6/30/14
Net asset value, beginning of period	$	71.05		$	60.67		$	60.24		$	53.56		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (b)		0.28			0.70			0.63			0.66			0.28
Net realized and unrealized gain (loss) (c)		8.37			10.27			1.62			8.60			3.55

Total from investment operations		8.65			10.97			2.25			9.26			3.83

Net equalization credits and charges (b)		0.05			0.01			0.01			0.00	(d)		—

Distributions to Shareholders from:
Net investment income		(0.29	)		(0.60	)		(0.61	)		(0.68	)		(0.27	)
Net realized gains.		(0.13	)		—			(1.22	)		(1.90	)		—

Total distributions		(0.42	)		(0.60	)		(1.83	)		(2.58	)		(0.27	)

Net asset value, end of period	$	79.33		$	71.05		$	60.67		$	60.24		$	53.56

Total return (e)		12.23	%		18.18	%		3.96	%		17.53	%		7.68	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	67,427		$	39,079		$	12,134		$	6,024		$	5,356
Ratios to average net assets:
Total expenses		0.60	%(f)		0.60	%		0.61	%		0.60	%		0.60	%(f)
Net investment income (loss)		0.72	%(f)		1.05	%		1.06	%		1.14	%		1.16	%(f)
Portfolio turnover rate (g)		41	%(h)		55	%		56	%		67	%		20	%

*	Commencement of operations.

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

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

(c)	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.

(d)	Amount is less than $0.005 per share.

(e)

(f)	Annualized.

(g)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(h)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SPDR MFS Systematic Value Equity ETF (a)
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period 1/8/14* - 6/30/14
Net asset value, beginning of period	$	59.81		$	51.99		$	57.90		$	52.67		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (b)		0.49			1.03			0.99			0.75			0.34
Net realized and unrealized gain (loss) (c)		7.17			8.99			(2.66	)		6.28			2.67

Total from investment operations		7.66			10.02			(1.67	)		7.03			3.01

Net equalization credits and charges (b)		—			0.04			—			(0.03	)		—

Distributions to Shareholders from:
Net investment income		(0.51	)		(1.01	)		(1.01	)		(0.85	)		(0.34	)
Net realized gains		(1.11	)		(1.23	)		(3.23	)		(0.92	)		—

Total distributions		(1.62	)		(2.24	)		(4.24	)		(1.77	)		(0.34	)

Net asset value, end of period	$	65.85		$	59.81		$	51.99		$	57.90		$	52.67

Total return (d)		12.80	%		19.61	%		(2.47	)%		13.47	%		6.04	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	6,585		$	5,981		$	2,599		$	2,895		$	5,267
Ratios to average net assets:
Total expenses		0.60	%(e)		0.60	%		0.62	%		0.60	%		0.60	%(e)
Net investment income (loss)		1.56	%(e)		1.80	%		1.85	%		1.36	%		1.43	%(e)
Portfolio turnover rate (f)		23	%(g)		64	%		64	%		61	%		23	%

*	Commencement of operations.

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

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

(c)	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.

(d)

(e)	Annualized.

(f)	Portfolio turnover rate is from the Fund’s respective Portfolio.

(g)	Not annualized.

See accompanying notes to financial statements and financial statements of the Master Portfolios.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS

December 31, 2017 (Unaudited)

1.	Organization

SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following Funds (each, a “Fund” and collectively, the “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 DoubleLine Total Return Tactical ETF

SPDR MFS Systematic Core Equity ETF

SPDR MFS Systematic Growth Equity ETF

SPDR MFS Systematic Value Equity ETF

Each Fund is classified as a diversified investment company under the 1940 Act, with the exception of SPDR SSGA Ultra Short Term Bond ETF and SPDR DoubleLine Total Return Tactical ETF, which are each a non-diversified investment company.

Each Fund is part of a master-feeder structure and each Fund invests substantially all of its assets in its respective master portfolio as shown below (each a “Portfolio” and collectively, the “Portfolios”). Each Portfolio is a separate series of SSGA Master Trust (“Master Trust”). The performance of each Fund is directly affected by the performance of its respective Portfolios. The financial statements of the Portfolios, including their Schedules of Investments, are attached to this report and should be read in conjunction with the Funds’ financial statements.


Fund Name	Portfolio Name	Fund Ownership Interest in Portfolio at December 31, 2017
SPDR SSGA Multi-Asset Real Return ETF	SSGA Multi-Asset Real Return Portfolio		100.00	%
SPDR SSGA Income Allocation ETF	SSGA Income Allocation Portfolio		100.00	%
SPDR SSGA Global Allocation ETF	SSGA Global Allocation Portfolio		100.00	%
SPDR Blackstone / GSO Senior Loan ETF	Blackstone / GSO Senior Loan Portfolio		100.00	%
SPDR SSGA Ultra Short Term Bond ETF	SSGA Ultra Short Term Bond Portfolio		100.00	%
SPDR DoubleLine Total Return Tactical ETF	State Street DoubleLine Total Return Tactical Portfolio		100.00	%
SPDR MFS Systematic Core Equity ETF	SSGA MFS Systematic Core Equity Portfolio		99.99	%
SPDR MFS Systematic Growth Equity ETF	SSGA MFS Systematic Growth Equity Portfolio		100.00	%
SPDR MFS Systematic Value Equity ETF	SSGA MFS Systematic Value Equity Portfolio		99.98	%

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

2.	Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Security Valuation

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

Each Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that each Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolios are valued pursuant to policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments. The summary of the inputs used for each Portfolio, as of December 31, 2017, in valuing each Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of the Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of the respective Portfolio less expenses of the Fund.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. 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 within the Trust.

Each Fund is allocated a pro-rata share of the expense of its respective Portfolio.

Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc. (the “Adviser or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

Equalization

The Funds in the Trust 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.

The following Funds utilized equalization during the period ended December 31, 2017:

SPDR SSGA Multi-Asset Real Return ETF

SPDR SSGA Income Allocation ETF

SPDR SSGA Global Allocation ETF

SPDR Blackstone / GSO Senior Loan ETF

SPDR Ultra Short Term Bond ETF

SPDR DoubleLine Total Return Tactical ETF

SPDR MFS Systematic Core Equity ETF

SPDR MFS Systematic Growth Equity ETF

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Distributions

The following Funds declare and distribute from net investment income, if any, to its shareholders:


Name		Frequency
SPDR SSGA Multi-Asset Real Return ETF		Quarterly
SPDR SSGA Income Allocation ETF		Quarterly
SPDR SSGA Global Allocation ETF		Quarterly
SPDR Blackstone / GSO Senior Loan ETF		Monthly
SPDR SSGA Ultra Short Term Bond ETF		Monthly
SPDR DoubleLine Total Return Tactical ETF		Monthly
SPDR MFS Systematic Core Equity ETF		Quarterly
SPDR MFS Systematic Growth Equity ETF		Quarterly
SPDR MFS Systematic Value Equity ETF		Quarterly

Net realized capital gains, if any, at are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3.	Fees and Transactions with Affiliates

Advisory Fee

Each Fund has entered into an Investment Advisory Agreement with SSGA FM. As compensation for 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 DoubleLine Total Return Tactical ETF		0.65	**
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, of each Fund’s respective Portfolio, 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. For the period ended December 31, 2017, the net annualized advisory fee was 0.02%, 0.17%, (0.14)%, 0.40%, 0.20%, 0.25%, 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 DoubleLine Total Return Tactical 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 and SPDR DoubleLine Total Return Tactical ETF the reduction resulted in a fee reimbursement which is identified on the Statements of Operations.

The Adviser has contractually agreed to waive its advisory fee and/or reimburse certain expenses, until October 31, 2018, so that the net annual fund operating expenses of the Fund will be limited to 0.55% of the Fund’s average daily net assets before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2018, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

The Adviser pays all operating expenses of each Fund other than management fee, brokerage expenses, taxes, interest, the fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, acquired fund fees and expenses and other expenses that are non-recurring in the ordinary course of business.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.

Distributor

State Street Global Advisor Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Trust.

Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017 are disclosed in the Schedules of Investments.

4.	Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

5.	Shareholder Transactions

Each Fund issues and redeems its shares, at net asset value by each fund, only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets.

The consideration for the purchase of Creation Units of a fund may consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash, except for certain funds that invest in TBAs or mortgage-backed securities. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or Custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.

6.	Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2017, SSGA FM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

SSGA ACTIVE TRUST

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SPDR SSGA Multi-Asset Real Return ETF	$	112,987,118	$	1,401,537	$	—	$	1,401,537
SPDR SSGA Income Allocation ETF		95,420,260		6,742,380		—		6,742,380
SPDR SSGA Global Allocation ETF		207,376,863		27,782,008		—		27,782,008
SPDR Blackstone / GSO Senior Loan ETF		2,355,202,073		8,710,758		—		8,710,758
SPDR SSGA Ultra Short Term Bond ETF		24,113,729		19,986		—		19,986
SPDR DoubleLine Total Return Tactical ETF		3,606,592,889		—		35,813,868		(35,813,868	)
SPDR MFS Systematic Core Equity ETF		10,592,235		705,719		—		705,719
SPDR MFS Systematic Growth Equity ETF		62,422,762		5,243,957		—		5,243,957
SPDR MFS Systematic Value Equity ETF		5,640,383		1,083,854		—		1,083,854

7.	Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

SSGA ACTIVE TRUST

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost in two ways:

Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return — This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
SPDR SSGA Multi-Asset Real Return ETF (b)		0.22	%	$	1,111.80	$	1.17	$	1,024.10	$	1.12
SPDR SSGA Income Allocation ETF (b)		0.38			1,059.40		1.97		1,023.29		1.94
SPDR SSGA Global Allocation ETF (b)		0.06			1,088.80		0.32		1,024.90		0.31
SPDR Blackstone / GSO Senior Loan ETF (b)		0.70			1,019.60		3.56		1,021.68		3.57
SPDR SSGA Ultra Short Term Bond ETF (b)		0.20			1,006.40		1.01	��	1,024.20		1.02
SPDR DoubleLine Total Return Tactical ETF (b)		0.55			1,009.50		2.79		1,022.43		2.80
SPDR MFS Systematic Core Equity ETF (b)		0.61			1,100.20		3.23		1,022.13		3.11
SPDR MFS Systematic Growth Equity ETF (b)		0.60			1,122.30		3.21		1,022.18		3.06
SPDR MFS Systematic Value Equity ETF (b)		0.60			1,128.00		3.22		1,022.18		3.06

(a)

Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. Includes amounts waived, reimbursed and/or other credits. Without the waiver reimbursement and/or other credits, expenses would have been higher.

(b)	Because the Fund invests all of their assets in their respective Master Portfolios, the expense example reflects the net expense of both the Funds and the Master Portfolios in which they invest.

SSGA ACTIVE TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the 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 SEC’s website, at www.sec.gov.

Information regarding how the investment adviser 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 investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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.

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President; Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Arthur A. Jensen, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Daniel G. Plourde, Assistant Treasurer

Jesse D. Hallee, Secretary

Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Advisors Funds Distributors, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Fund Shares are distributed by State Street Global Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.

SSGA Master Trust

Semi-Annual Report December 31, 2017

TABLE OF CONTENTS (Unaudited)


Portfolio Statistics (Unaudited)
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
State Street DoubleLine Total Return Tactical Portfolio			6
SSGA MFS Systematic Core Equity Portfolio			7
SSGA MFS Systematic Growth Equity Portfolio			8
SSGA MFS Systematic Value Equity Portfolio			9
Schedules of Investments (Unaudited)
SSGA Multi-Asset Real Return Portfolio			11
SSGA Income Allocation Portfolio			14
SSGA Global Allocation Portfolio			17
Blackstone / GSO Senior Loan Portfolio			21
SSGA Ultra Short Term Bond Portfolio			33
State Street DoubleLine Total Return Tactical Portfolio			38
SSGA MFS Systematic Core Equity Portfolio			55
SSGA MFS Systematic Growth Equity Portfolio			58
SSGA MFS Systematic Value Equity Portfolio			61
Financial Statements (Unaudited)			64
Financial Highlights (Unaudited)			72
Notes to Financial Statements (Unaudited)			81
Other Information (Unaudited)			87

SSGA MULTI-ASSET REAL RETURN PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
SPDR S&P Global Natural Resources ETF	$	31,103,560		27.2	%
PowerShares DB Commodity Index Tracking Fund		23,932,103		20.9
SPDR Bloomberg Barclays TIPS ETF		16,551,675		14.5
SPDR S&P Global Infrastructure ETF		10,799,264		9.5
SPDR Dow Jones International Real Estate ETF		6,790,780		5.9

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

Asset Allocation as of December 31, 2017*


	Percentage of Net Assets
Natural Resources		39.5	%
Commodities		20.9
Inflation Linked		19.4
Real Estate		9.8
International Equity		9.5
Short-Term Investments		1.1
Liabilities in Excess of Other Assets		(0.2	)
		100.0	%

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

SSGA INCOME ALLOCATION PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
SPDR S&P Dividend ETF	$	15,352,811		15.0	%
SPDR S&P International Dividend ETF		11,182,334		10.9
SPDR Portfolio Long Term Corporate Bond ETF		10,117,240		9.9
SPDR Bloomberg Barclays High Yield Bond ETF		8,957,771		8.8
SPDR MSCI Emerging Markets StrategicFactors ETF		7,139,236		7.0

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

Asset Allocation as of December 31, 2017*


	Percentage of Net Assets
Domestic Fixed Income		30.3	%
International Equity		26.7
Domestic Equity		25.9
Real Estate		6.5
Inflation Linked		4.9
International Fixed Income		4.0
Short-Term Investments		8.4
Liabilities in Excess of Other Assets		(6.7	)
		100.0	%

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

SSGA GLOBAL ALLOCATION PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
SPDR Portfolio Developed World ex-US ETF	$	63,327,122		26.9	%
SPDR S&P 500 ETF Trust		58,094,888		24.7
SPDR Portfolio Emerging Markets ETF		21,557,192		9.2
SPDR Bloomberg Barclays TIPS ETF		11,558,981		4.9
Vanguard FTSE Pacific ETF		9,260,341		3.9

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

Asset Allocation as of December 31, 2017*


	Percentage of Net Assets
International Equity		44.0	%
Domestic Equity		35.5
Domestic Fixed Income		9.9
Inflation Linked		4.9
Real Estate		1.9
International Fixed Income		1.0
Short-Term Investments		3.4
Liabilities in Excess of Other Assets		(0.6	)
		100.0	%

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

BLACKSTONE / GSO SENIOR LOAN PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
McAfee LLC Senior Secured 2017 USD Term Loan B 6.07%, 9/30/2024	$	36,845,156		1.6	%
CenturyLink , Inc. Senior Secured 2017 Term Loan B 4.32%, 1/31/2025		35,189,793		1.5
Univision Communications, Inc. Senior Secured Term Loan C5 4.32%, 3/15/2024		32,729,283		1.4
Valeant Pharmaceuticals International, Inc. Senior Secured Term Loan B Series F4 4.94%, 4/1/2022		31,668,955		1.4
Red Ventures, LLC Senior Secured 1st Lien Term Loan 5.57%, 11/8/2024		31,640,513		1.3

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

Industry Breakdown as of December 31, 2017*


	Percentage of Net Assets
Software		12.4	%
Media		10.7
Commercial Services & Supplies		7.1
Health Care Providers & Services		6.4
Hotels, Restaurants & Leisure		5.5
Pharmaceuticals		3.8
Specialty Retail		3.6
Insurance		3.3
Diversified Telecommunication Services		2.9
Internet Software & Services		2.7
Aerospace & Defense		2.4
Professional Services		1.8
Diversified Financial Services		1.7
Distributors		1.7
Food & Staples Retailing		1.7
Containers & Packaging		1.6
Health Care Services		1.6
IT Services		1.6
Life Sciences Tools & Services		1.4
Health Care Equipment & Supplies		1.3
Food Products		1.2
Real Estate Investment Trusts (REITs)		1.2
Diversified Consumer Services		1.1
Electric Utilities		1.1
Independent Power Producers & Energy Traders		1.1
Semiconductor Equipment		1.0
Chemicals		0.9
Communications Equipment		0.9
Construction & Engineering		0.9
Trading Companies & Distributors		0.8
Auto Components		0.7
Capital Markets		0.7
Health Care Technology		0.7
Retail		0.7


	Percentage of Net Assets
Semiconductors & Semiconductor Equipment		0.6	%
Electrical Equipment		0.5
Automobiles		0.5
Construction Materials		0.4
Distribution & Wholesale		0.4
Entertainment		0.4
Machinery		0.4
Building Products		0.3
Computers & Peripherals		0.3
Electronic Equipment, Instruments & Components		0.3
Household Durables		0.3
Packaging & Containers		0.3
Airlines		0.2
Commercial Banks		0.2
Electronics		0.2
Food		0.2
Industrial Conglomerates		0.2
Internet & Catalog Retail		0.2
Multiline Retail		0.2
Real Estate Management & Development		0.2
Road & Rail		0.2
Beverages		0.1
Environmental Control		0.1
Metals & Mining		0.1
Pollution Control		0.1
Thrifts & Mortgage Finance		0.1
Health Care Products		0.0	**
Short-Term Investment		8.9
Liabilities in Excess of Other Assets		(4.1	)
TOTAL		100.0	%

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

Amount shown represents less than 0.05% of net assets.

SSGA ULTRA SHORT TERM BOND PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
Treasury Notes 1.00%, 11/30/2018	$	1,191,549		4.9	%
Treasury Notes 0.88%, 3/31/2018		649,162		2.7
BMW US Capital LLC 3 month USD LIBOR + 0.38% 2.08%, 4/6/2020		602,682		2.5
Treasury Notes 0.63%, 6/30/2018		597,388		2.5
Treasury Notes 1.25%, 6/30/2019		545,125		2.3

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

Industry Breakdown as of December 31, 2017*


	Percentage of Net Assets
Banks		21.5	%
Soverign		15.4
Credit Card		11.2
Auto Manufacturers		10.6
Oil & Gas		6.9
Automobile		4.9
Retail		3.5
IT Services		2.9
Miscellaneous Manufacturer		2.9
Media		2.7
Machinery, Construction & Mining		2.3
Biotechnology		2.1
Beverages		1.9
Telecommunications		1.9
Diversified Financial Services		1.5
Semiconductors		1.3
Aerospace & Defense		1.0
Electronics		1.0
Pharmaceuticals		1.0
Software		1.0
Machinery-Diversified		0.8
Transportation		0.8
Short-Term Investment		1.9
Liabilities in Excess of Other Assets		(1.0	)
TOTAL		100.0	%

The Portfolio’s industry breakdown is expressed as a percentage of total common stock and may change over time.

STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
Treasury Notes 1.50%, 5/31/2020	$	93,275,895		2.6	%
Federal National Mortgage Series 2017-18, Class A, CMO, REMIC 3.00%, 8/25/2042		93,135,587		2.6
Treasury Notes 2.13%, 1/31/2021		90,617,860		2.5
Federal National Mortgage Association Series 2017-9, Class EA, CMO, REMIC 3.00%, 10/25/2042		78,348,671		2.2
Federal National Mortgage Association Series 2017-15, Class MA, CMO, REMIC 3.00%, 2/25/2042		75,151,354		2.1

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

Industry Breakdown as of December 31, 2017*


	Percentage of Net Assets
U.S. Government Agency Obligations		47.3	%
U.S. Treasury Obligations		14.8
Commercial Mortgage Backed Securities		6.7
Mortgage-Backed Securities		2.7
Asset-Backed Securities		3
Foreign Government Obligations		2.4
Banks		3.2
Oil&Gas		1.9
Software		1.4
Media		1.1
Hotels, Restaurants & Leisure		1
Telecommunications		0.9
Food		0.6
Electric		0.5
Insurance		0.5
Pharmaceuticals		0.4
Health Care Providers & Services		0.4
Diversified Financial Services		0.4
Pipelines		0.4
Healthcare-Services		0.4
REITS		0.4
Diversified Telecommunication Services		0.3
Beverages		0.3
Internet		0.3
Commercial Services & Supplies		0.3
IT Services		0.3
Retail		0.3
Lodging		0.2
Containers & Packaging		0.2
Investment Company Security		0.2
Forest Products&Paper		0.2
Food & Staples Retailing		0.2
Communications Equipment		0.2
Holding Companies-Divers		0.2
Life Sciences Tools & Services		0.2
Chemicals		0.2
Airlines		0.2
Environmental Control		0.2
Commercial Services		0.1
Packaging & Containers		0.1
Transportation		0.1
Construction & Engineering		0.1
Gas		0.1
Auto Manufacturers		0.1
Health Care Technology		0.1
Electric Utilities		0.1
Biotechnology		0.1
Leisure Time		0.1
Healthcare-Products		0.1
Agriculture		0.1
Entertainment		0.1
Auto Components		0.1
Real Estate Investment Trusts (REITs)		0.1
Specialty Retail		0.1
Machinery, Construction & Mining		0.1
Semiconductor Equipment		0.1
Auto Parts&Equipment		0.1
Capital Markets		0.1
Energy Equipment & Services		0.1
Construction Materials		0.1
Coal		0.1
Trading Companies & Distributors		0.1
Electrical Equipment		0.1
Aerospace & Defense		0.1
Energy-Alternate Sources		0.1
Financial Services		0.0	**
Mining		0.0	**
Household Products/Wares		0.0	**
Trucking&Leasing		0.0	**
Household Products		0.0	**
Home Furnishings		0.0	**
Oil&Gas Services		0.0	**
Machinery-Diversified		0.0	**
Food Products		0.0	**
Advertising		0.0	**
Commercial Banks		0.0	**
Distributors		0.0	**
Machinery		0.0	**
Internet Software & Services		0.0	**
Short-Term Investment		2.7
Other Assets in Excess of Liabilities		0.2
		100.0	%

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

Amount shown represents less than 0.05% of net assets.

SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
Boeing Co.	$	470,087		4.2	%
Citigroup, Inc.		460,970		4.1
JPMorgan Chase & Co.		434,925		3.9
Union Pacific Corp.		422,951		3.7
Johnson & Johnson		407,424		3.6

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

Industry Breakdown as of December 31, 2017*


	Percentage of Net Assets
Pharmaceuticals		8.3	%
Banks		7.9
Insurance		7.9
Software		7.4
Health Care Providers & Services		6.8
Internet Software & Services		6.1
Oil, Gas & Consumable Fuels		5.4
IT Services		5.3
Food Products		4.7
Aerospace & Defense		4.2
Road & Rail		3.7
Hotels, Restaurants & Leisure		3.6
Speciality Retail		3.5
Technology Hardware, Storage & Peripherals		3.4
Electric Utilities		3.1
Internet & Catalog Retail		3.1
Media		3.0
Independent Power Producers & Energy Traders		2.8
Tobacco		2.2
Biotechnology		1.2
Consumer Finance		1.2
Machinery		1.0
Semiconductors & Semiconductor Equipment		1.0
Household Products		1.0
Real Estate Investment Trusts (REITs)		0.7
Chemicals		0.7
Short-Term Investment		0.8
Liabilities in Excess of Other Assets		(0.0	)**
TOTAL		100.0	%

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

Amount shown represents less than 0.05% of net assets.

SSGA MFS SYSTEMATIC GROWTH EQUITY ETF — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
Facebook, Inc.	$	4,215,100		6.2	%
Boeing Co.		3,035,214		4.5
Apple, Inc.		2,708,526		4.0
Caterpillar, Inc.		2,587,936		3.8
UnitedHealth Group, Inc.		2,313,507		3.4

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

Industry Breakdown as of December 31, 2017*


Description	Percentage of Net Assets
Internet Software & Services		12.3	%
Software		11.1
Health Care Providers & Services		9.9
Technology Hardware, Storage & Peripherals		6.9
IT Services		6.3
Media		5.2
Aerospace & Defense		4.5
Pharmaceuticals		4.0
Machinery		3.8
Tobacco		3.6
Specialty Retail		3.4
Internet & Catalog Retail		3.0
Real Estate Investment Trusts (REITs)		3.0
Biotechnology		2.9
Auto Components		2.8
Insurance		2.6
Food Products		2.3
Trading Companies & Distributors		2.2
Hotels, Restaurants & Leisure		2.2
Semiconductors & Semiconductor Equipment		2.0
Chemicals		1.7
Independent Power Producers & Energy Traders		1.1
Household Durables		0.9
Road & Rail		0.7
Food & Staples		0.3
Beverages		0.2
Short-Term Investment		1.0
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

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

SSGA MFS SYSTEMATIC VALUE EQUITY ETF — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
Bank of America Corp.	$	322,211		4.8	%
JPMorgan Chase & Co.		318,467		4.7
Citigroup, Inc.		309,546		4.6
Valero Energy Corp.		245,400		3.6
Best Buy Co., Inc.		236,701		3.5

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

Industry Breakdown as of December 31, 2017*


	Percentage of Net Assets
Banks		14.1	%
Oil, Gas & Consumable Fuels		9.0
Health Care Providers & Services		8.1
Insurance		6.7
Electric Utilities		5.6
Food Products		5.5
Consumer Finance		5.0
Pharmaceuticals		4.8
Specialty Retail		4.5
Electrical Equipment		3.7
Machinery		3.6
Hotels, Restaurants & Leisure		3.1
IT Services		3.1
Independent Power Producers & Energy Traders		2.9
Semiconductors & Semiconductor Equipment		2.5
Road & Rail		2.4
Software		2.2
Real Estate Investments Trusts (REITs)		2.0
Communications Equipment		1.9
Technology Hardware, Storage & Peripherals		1.8
Chemicals		1.5
Real Estate Management & Development		1.2
Beverages		0.9
Tobacco		0.9
Internet & Catalog Retail		0.7
Energy Equipment & Services		0.6
Health Care Equipment & Supplies		0.5
Short-Term Investment		1.1
Other Assets in Excess of Liabilities		0.1
TOTAL		100.0	%

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

SSGA MULTI-ASSET REAL RETURN PORTFOLIO

SPDR SSGA Multi-Asset Real Return ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Multi-Asset Real Return Portfolio. The schedule of investments for the SSGA Multi-Asset Real Return Portfolio follows.

SSGA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.1%
COMMODITIES — 20.9%
PowerShares DB Commodity Index Tracking Fund (a) (b)		1,440,825	$	23,932,103

INFLATION LINKED — 19.4%
SPDR Bloomberg Barclays TIPS ETF (c)		294,252		16,551,675
SPDR Citi International Government Inflation-Protected Bond ETF (c)		98,267		5,652,318

				22,203,993

INTERNATIONAL EQUITY — 9.5%
SPDR S&P Global Infrastructure ETF (c)		208,480		10,799,264

NATURAL RESOURCES — 39.5%
PowerShares Global Agriculture Portfolio (b)		83,374		2,291,951
SPDR S&P Global Natural Resources ETF (c)		633,861		31,103,560
SPDR S&P Metals & Mining ETF (c)		133,407		4,852,013
SPDR S&P Oil & Gas Equipment & Services ETF (c) (d)		138,255		2,368,308
The Energy Select Sector SPDR Fund		63,716		4,604,118

				45,219,950

REAL ESTATE — 9.8%
SPDR Dow Jones International Real Estate ETF (c)		167,715		6,790,780
SPDR Dow Jones REIT ETF (c)		47,224		4,424,417

				11,215,197

TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $111,492,940)				113,370,507

SHORT-TERM INVESTMENTS — 1.1%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (e) (f)		1,037,868		1,037,868
State Street Navigator Securities Lending Government Money Market Portfolio (e) (g)		161,000		161,000

TOTAL SHORT-TERM INVESTMENTS (Cost $1,198,868)				1,198,868

TOTAL INVESTMENTS — 100.2% (Cost $112,691,808)				114,569,375
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%				(179,731	)

NET ASSETS — 100.0%			$	114,389,644

(a)	Non-income producing security.

(b)	Qualified Publicly Traded Partnership

(c)	Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d)	All or a portion of the shares of the security are on loan at December 31, 2017.

(e)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(f)	The rate shown is the annualized seven-day yield at December 31, 2017.

(g)	Investment of cash collateral for securities loaned.


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Commodities	$	23,932,103	$	—	$	—	$	23,932,103
Inflation Linked		22,203,993		—		—		22,203,993
International Equity		10,799,264		—		—		10,799,264
Natural Resources		45,219,950		—		—		45,219,950
Real Estate		11,215,197		—		—		11,215,197
Short-Term Investments		1,198,868		—		—		1,198,868

TOTAL INVESTMENTS	$	114,569,375	$	—	$	—	$	114,569,375

See accompanying notes to financial statements.

SSGA Multi-Asset Real Return Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays TIPS ETF		346,902	$	19,485,485	$	1,313,409	$	4,286,144	$	3,449		$	35,476			294,252	$	16,551,675	$	350,453	$	—
SPDR Citi International Government Inflation-Protected Bond ETF		102,895		5,716,846		661,072		925,899		71,852			128,447			98,267		5,652,318		61,039		46,310
SPDR Dow Jones International Real Estate ETF		233,843		8,909,418		392,016		2,969,309		(57,046	)		515,701			167,715		6,790,780		100,704		—
SPDR Dow Jones REIT ETF		62,686		5,828,544		296,383		1,749,677		163,113			(113,946	)		47,224		4,424,417		75,842		—
SPDR S&P Global Infrastructure ETF		267,952		13,515,499		1,293,530		4,408,019		280,910			117,344			208,480		10,799,264		186,473		—
SPDR S&P Global Natural Resources ETF		609,759		25,323,291		5,776,096		4,569,027		633,086			3,940,115			633,861		31,103,560		404,543		—
SPDR S&P International Energy Sector ETF		126,242		2,209,235		—		2,271,297		(654,917	)		716,979			—		—		—		—
SPDR S&P Metals & Mining ETF		119,139		3,570,596		1,434,777		990,304		126,169			710,775			133,407		4,852,013		41,603		—
SPDR S&P Oil & Gas Equipment & Services ETF		149,481		2,312,471		463,865		652,616		(107,256	)		351,844			138,255		2,368,308		36,439		—
State Street Institutional U.S. Government Money Market Fund, Class G Shares .		913,190		913,190		2,426,864		2,302,186		—			—			1,037,868		1,037,868		1,401		—
State Street Navigator Securities Lending Government Money Market Portfolio .		—		—		16,045,191		15,884,191		—			—			161,000		161,000		2,623		—
The Energy Select Sector SPDR Fund		35,655		2,314,723		2,473,625		568,771		12,430			372,110			63,716		4,604,118		72,213		—

TOTAL			$	90,099,298	$	32,576,828	$	41,577,440	$	471,790		$	6,774,845				$	88,345,321	$	1,333,333	$	46,310

See accompanying notes to financial statements.

SSGA INCOME ALLOCATION PORTFOLIO

SPDR SSGA Income Allocation ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Income Allocation Portfolio. The schedule of investments for the SSGA Income Allocation Portfolio follows.

SSGA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.3%
DOMESTIC EQUITY — 25.9%
SPDR S&P Dividend ETF (a)		162,498	$	15,352,811
SPDR Wells Fargo Preferred Stock ETF (a) (b)		112,037		4,934,109
The Financial Select Sector SPDR Fund (a)		76,138		2,125,012
The Health Care Select Sector SPDR Fund (a)		24,517		2,027,066
The Technology Select Sector SPDR Fund (a)		31,312		2,002,402

				26,441,400


DOMESTIC FIXED INCOME — 30.3%
SPDR Bloomberg Barclays Convertible Securities ETF (a)		96,424		4,879,054
SPDR Bloomberg Barclays High Yield Bond ETF (a) (b)		243,948		8,957,771
SPDR Portfolio Long Term Corporate Bond ETF (a)		353,626		10,117,240
SPDR Portfolio Long Term Treasury ETF (a)		191,467		7,005,777

				30,959,842

INFLATION LINKED — 4.9%
SPDR Bloomberg Barclays TIPS ETF (a)		88,002		4,950,112


INTERNATIONAL EQUITY — 26.7%
SPDR MSCI Emerging Markets StrategicFactors ETF (a)		110,703		7,139,236
SPDR S&P Global Infrastructure ETF (a)		94,881		4,914,836
SPDR S&P International Dividend ETF (a) (b)		271,350		11,182,334
SPDR STOXX Europe 50 ETF (a)		113,103		4,062,659

				27,299,065

INTERNATIONAL FIXED INCOME — 4.0%
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) (b)		137,688		4,086,580

REAL ESTATE — 6.5%
SPDR Dow Jones International Real Estate ETF (a)		96,731	$	3,916,638
SPDR Dow Jones REIT ETF (a)		29,186		2,734,437

				6,651,075

TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $93,477,046)				100,388,074


SHORT-TERM INVESTMENTS — 8.4%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (c) (d)		1,792,571		1,792,571
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e)		6,838,050		6,838,050

TOTAL SHORT-TERM INVESTMENTS (Cost $8,630,621)				8,630,621

TOTAL INVESTMENTS — 106.7% (Cost $102,107,667)				109,018,695
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.7)%				(6,854,667	)

NET ASSETS — 100.0%			$	102,164,028

(a)	Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b)	All or a portion of the shares of the security are on loan at December 31, 2017.

(c)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d)	The rate shown is the annualized seven-day yield at December 31, 2017.

(e)	Investment of cash collateral for securities loaned.


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	26,441,400	$	—	$	—	$	26,441,400
Domestic Fixed Income		30,959,842		—		—		30,959,842
Inflation Linked		4,950,112		—		—		4,950,112
International Equity		27,299,065		—		—		27,299,065
International Fixed Income		4,086,580		—		—		4,086,580
Real Estate		6,651,074		—		—		6,651,074
Short-Term Investments		8,630,621		—		—		8,630,621

TOTAL INVESTMENTS	$	109,018,695	$	—	$	—	$	109,018,695

See accompanying notes to financial statements.

SSGA Income Allocation Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays Convertible Securities ETF		97,367	$	4,831,351	$	159,139	$	207,794	$	10,152		$	86,206			96,424	$	4,879,054	$	148,458	$	—
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF		133,579		3,879,134		308,094		190,955		14,354			75,953			137,688		4,086,580		79,827		—
SPDR Bloomberg Barclays High Yield Bond		254,955		9,484,326		683,745		1,082,286		(69,077	)		(58,937	)		243,948		8,957,771		292,408		—
SPDR Bloomberg Barclays Long Term Corporate Bond ETF		258,724		10,773,267		336,913		1,303,065		34,426			275,699			353,626		10,117,240		253,610		—
SPDR Bloomberg Barclays Long Term Treausury ETF		94,945		6,846,484		405,071		350,807		11,224			93,805			191,467		74,005,777		105,484		—
SPDR Bloomberg Barclays TIPS ETF		84,440		4,742,995		313,969		112,259		1,491			3,916			88,002		4,950,112		99,149		—
SPDR Dow Jones International Real Estate ETF		118,801		4,526,318		246,396		1,119,509		(62,150	)		325,583			96,731		3,916,638		51,759		—
SPDR Dow Jones REIT ETF		47,469		4,413,668		163,165		1,889,525		286,181			(239,052	)		29,186		2,734,437		49,731		—
SPDR MSCI Emerging Markets StrategicFactors ETF		99,731		5,804,344		983,650		305,265		27,850			628,657			110,703		7,139,236		103,880		—
SPDR S&P Dividend ETF		129,110		11,476,588		3,313,478		225,201		67,471			720,475			162,498		15,352,811		170,197		378,394
SPDR S&P Global Infrastructure ETF		63,319		3,193,810		1,731,393		64,740		14,662			39,711			94,881		4,914,836		84,865		—
SPDR S&P International Dividend ETF.		261,756		10,239,895		662,669		273,009		11,222			541,557			271,350		11,182,334		205,588		—
SPDR STOXX Europe 50 ETF		136,758		4,642,934		276,474		1,123,480		49,238			217,493			113,103		4,062,659		20,768		—
SPDR Wells Fargo Preferred Stock ETF.		105,452		4,742,176		394,460		98,384		(236	)		(103,907	)		112,037		4,934,109		141,736		—
State Street Institutional U.S. Government Money Market Fund, Class G Shares		810,640		810,640		2,937,294		1,955,363		—			—			1,792,571		1,792,571		1,910		—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		55,735,305		48,897,255		—			—			6,838,050		6,838,050		1,672		—
The Financial Select Sector SPDR Fund.		—		—		1,991,156		—		—			133,856			76,138		2,125,012		9,767		—
The Health Care Select Sector SPDR Fund		25,080		1,987,339		109,161		156,420		10,178			76,808			24,517		2,027,066		15,290		—
The Industrial Select Sector SPDR Fund		28,744		1,957,754		32,052		2,084,981		435,707			(340,532	)		—		—		9,035		—
The Technology Select Sector SPDR Fund		35,468		1,940,809		63,855		316,055		60,881			252,908			31,312		2,002,402		14,454		—

TOTAL			$	96,293,832	$	70,847,443	$	61,756,353	$	903,574		$	2,730,199				$	109,018,695	$	1,859,588	$	378,394

See accompanying notes to financial statements.

SSGA GLOBAL ALLOCATION PORTFOLIO

SPDR SSGA Global Allocation ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Global Allocation Portfolio. The schedule of investments for the SSGA Global Allocation Portfolio follows.

SSGA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Shares		Value
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.2%
DOMESTIC EQUITY — 35.5%
SPDR Portfolio Small Cap ETF (a) (b)		229,737	$	6,926,571
SPDR S&P 500 ETF Trust (a)		217,698		58,094,888
SPDR S&P MidCap 400 ETF Trust (a)		13,496		4,661,653
The Financial Select Sector SPDR Fund (a)		166,259		4,640,289
The Health Care Select Sector SPDR Fund (a)		54,800		4,530,864
The Technology Select Sector SPDR Fund (a)		72,254		4,620,643

				83,474,908

DOMESTIC FIXED INCOME — 9.9%
SPDR Bloomberg Barclays High Yield Bond ETF (a)		126,158		4,632,522
SPDR Bloomberg Barclays Short Term High Yield Bond ETF (a)		167,998		4,630,025
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) (b)		135,033		4,620,829
SPDR Portfolio Long Term Corporate Bond ETF (a)		1,204		34,446
SPDR Portfolio Long Term Treasury ETF (a)		252,552		9,240,878

				23,158,700

INFLATION LINKED — 4.9%
SPDR Bloomberg Barclays TIPS ETF (a) (b)		205,493		11,558,981


INTERNATIONAL EQUITY — 44.0%
SPDR Portfolio Developed World ex-US ETF (a)		1,997,701		63,327,122
SPDR Portfolio Emerging Markets ETF (a)		565,064		21,557,192
SPDR S&P Emerging Markets SmallCap ETF (a)		46,483		2,417,116
SPDR S&P International Small Cap ETF (a)		192,767		6,839,373
Vanguard FTSE Pacific ETF		127,028		9,260,341

				103,401,144

INTERNATIONAL FIXED INCOME — 1.0%
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) (b)		78,608		2,333,086

REAL ESTATE — 1.9%
SPDR Dow Jones International Real Estate ETF (a)		58,458		2,366,964
SPDR Dow Jones REIT ETF (a)		23,629		2,213,801

				4,580,765

TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $200,656,021)				228,507,584

SHORT-TERM INVESTMENTS — 3.4%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (c) (d)		6,375,740		6,375,740
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e)		1,618,675		1,618,675

TOTAL SHORT-TERM INVESTMENTS (Cost $7,994,415)				7,994,415

TOTAL INVESTMENTS — 100.6% (Cost $208,650,436)				236,501,999
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)%				(1,341,641	)

NET ASSETS — 100.0%			$	235,160,358

(a)	Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(b)	All or a portion of the shares of the security are on loan at December 31, 2017.

(c)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d)	The rate shown is the annualized seven-day yield at December 31, 2017.

(e)	Investment of cash collateral for securities loaned.


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Mutual Funds and Exchange Traded Products
Domestic Equity	$	83,474,908	$	—	$	—	$	83,474,908
Domestic Fixed Income		23,158,700		—		—		23,158,700
Inflation Linked		11,558,981		—		—		11,558,981
International Equity		103,401,144		—		—		103,401,144
International Fixed Income		2,333,086		—		—		2,333,086
Real Estate		4,580,765		—		—		4,580,765
Short-Term Investments		7,994,415		—		—		7,994,415

TOTAL INVESTMENTS	$	236,501,999	$	—	$	—	$	236,501,999

See accompanying notes to financial statements.

SSGA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)			Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
SPDR Bloomberg Barclays Emering Markets Local Bond ETF		72,061	$	2,092,651	$	224,952	$	33,307	$	2,533		$	46,256			78,608	$	2,333,086	$	44,261	$	—
SPDR Bloomberg Barclays Long Term Corporate Bond ETF		100,783		4,196,604		131,913		4,339,795		187,994			(142,270	)		1,204		34,446		58,858		—
SPDR Bloomberg Barclays Long Term Treausury ETF		121,473		4,179,886		531,940		65,519		1,403			(26,881	)		135,033		4,620,829		72,413		—
SPDR Bloomberg Barclays Long Term Treausury ETF		116,138		8,374,711		862,069		130,590		7,546			127,142			252,552		9,240,878		135,124		—
SPDR Bloomberg Barclays Short Term High Yield Bond ETF		149,753		4,188,592		570,595		65,286		1,712			(65,587	)		167,998		4,630,025		138,009		—
SPDR Bloomberg Barclays TIPS ETF		184,720		10,375,722		1,335,029		162,568		2,104			8,694			205,493		11,558,981		226,427		—
SPDR Bloomberg High Yield Bond		225,592		8,392,023		877,724		4,503,289		(43,278	)		(90,657	)		126,158		4,632,522		230,272		—
SPDR Dow Jones International Real Estate ETF		157,955		6,018,086		593,264		4,478,572		63,785			170,401			58,458		2,366,964		48,876		—
SPDR Dow Jones REIT ETF		67,658		6,290,841		329,362		4,496,095		496,390			(406,697	)		23,629		2,213,801		51,001		—
SPDR Russell 2000 ETF		76,418		6,364,855		559,982		559,008		33,086			527,656			229,737		6,926,571		65,308		—
SPDR S&P 500 ETF Trust		163,300		39,485,940		15,574,228		1,713,148		178,713			4,569,155			217,698		58,094,888		496,777		—
SPDR S&P Emerging Markets SmallCap ETF		44,738		2,087,922		121,437		33,972		5,033			236,696			46,483		2,417,116		48,232		—
SPDR S&P Emering Markets ETF		218,911		14,581,662		5,666,797		945,457		83,384			2,170,806			565,064		21,557,192		155,371		—
SPDR S&P International Small Cap ETF		188,209		6,278,652		358,348		200,760		16,154			386,979			192,767		6,839,373		159,730		194,677
SPDR S&P MidCap 400 ETF Trust		13,243		4,206,242		236,990		155,792		9,957			364,256			13,496		4,661,653		36,664		—
SPDR World ex-US ETF		2,052,465		59,788,305		4,249,810		5,950,452		328,563			4,910,896			1,997,701		63,327,122		459,377		—
State Street Institutional U.S. Government Money Market Fund, Class G Shares		5,706,546		5,706,546		6,309,031		5,639,837		—			—			6,375,740		6,375,740		22,848		—
State Street Navigator Securities Lending Government Money Market Portfolio		—		—		45,045,294		43,426,619		—			—			1,618,675		1,618,675		11,240		—
The Financial Select Sector SPDR Fund		—		—		4,453,253		120,619		5,695			301,960			166,259		4,640,289		21,328		—

See accompanying notes to financial statements.

SSGA Global Allocation Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation			Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
The Health Care Select Sector SPDR Fund		54,224	$	4,296,710	$	237,632	$	190,986	$	3,419	$	184,089			54,800	$	4,530,864	$	34,639	$	—
The Industrial Select Sector SPDR Fund		62,056		4,226,634		169,102		4,574,348		862,196		(683,584	)		—		—		19,602		—
The Technology Select Sector SPDR Fund		73,150		4,002,768		240,053		305,889		25,455		658,255			72,254		4,620,643		32,519		—

TOTAL			$	205,135,352	$	88,678,805	$	82,091,908	$	2,271,844	$	13,247,565				$	227,241,658	$	2,568,876	$	194,677

See accompanying notes to financial statements.

BLACKSTONE / GSO SENIOR LOAN PORTFOLIO

SPDR Blackstone / GSO Senior Loan ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the Blackstone / GSO Senior Loan Portfolio. The schedule of investments for the Blackstone / GSO Senior Loan Portfolio follows.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
SENIOR FLOATING RATE LOANS — 88.2%
AEROSPACE & DEFENSE — 2.2%
DAE Aviation Holdings, Inc. Senior Secured 1st Lien Term Loan 5.32%, 7/7/2022	$	8,604,753	$	8,683,659
Engility Corp. Senior Secured Term Loan B2 4.82%, 8/12/2023		4,231,562		4,278,512
MacDonald Dettwiler & Associates, Ltd. Senior Secured Term Loan B 4.10%, 10/4/2024		16,263,941		16,365,590
TransDigm, Inc.:
Senior Secured 2017 Term Loan E 4.32%, 5/14/2022		5,322,957		5,344,435
Senior Secured Extended Term Loan F 4.36%, 6/9/2023		14,834,840		14,873,930
Senior Secured Term Loan G 4.67%, 8/22/2024		2,933,804		2,951,128

				52,497,254

AIRLINES — 0.2%
American Airlines, Inc. Senior Secured 2017 Incremental Term Loan 3.48%, 12/14/2023		4,379,513		4,379,251
United Airlines, Inc. Senior Secured 2017 Repriced Term Loan 3.38%, 4/1/2024		795,868		798,784

				5,178,035

AUTO COMPONENTS — 0.7%
BBB Industries U.S. Holdings, Inc. Senior Secured Term B Loan (First Lien) 6.07%, 11/3/2021		1,898,930		1,923,863
USI, Inc. Senior Secured 2017 Repriced Term Loan 4.69%, 5/16/2024		15,184,450		15,184,450

				17,108,313

AUTOMOBILES — 0.5%
American Axle & Manufacturing, Inc. Senior Secured Term Loan B 3.71%, 4/6/2024		4,355,442		4,377,916
CWGS Group LLC Senior Secured 2016 Term Loan 4.39%, 11/8/2023		5,652,210		5,697,146
TI Group Automotive Systems LLC Senior Secured 2015 USD Term Loan 4.32%, 6/30/2022		891,755		897,885

				10,972,947

BEVERAGES — 0.1%
Refresco Group B.V. Senior Secured USD Term Loan B Zero Coupon, 9/26/2024		2,929,687		2,935,181

BUILDING PRODUCTS — 0.3%
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B 4.69%, 2/29/2024		4,949,749		4,975,660
Jeld-Wen, Inc. Senior Secured 2017 1st Lien Term Loan 3.69%, 12/14/2024		1,865,979		1,874,927

				6,850,587

CAPITAL MARKETS — 0.7%
Duff & Phelps Corp. Senior Secured Term Loan B Zero Coupon, 11/29/2024		12,500,000		12,542,187
LPL Holdings, Inc. Senior Secured 2017 1st Lien Term Loan B 3.81%, 9/23/2024		4,655,000		4,678,275

				17,220,462

CHEMICALS — 0.9%
Alpha 3 B.V. Senior Secured 2017 Term Loan B1 4.69%, 1/31/2024		1,771,724		1,785,756
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan 5.51%, 11/21/2024		19,671,052		19,787,899
INEOS Styrolution Group GmbH Senior Secured USD 2017 Term Loan 3.69%, 3/30/2024		371,802		373,313

				21,946,968

COMMERCIAL BANKS — 0.2%
Jack’s Family Restaurants, Inc. Senior Secured 2017 Term Loan B 5.57%, 4/5/2024		5,237,399		5,257,039

COMMERCIAL SERVICES & SUPPLIES — 6.9%
Advanced Disposal Services, Inc. Senior Secured Term Loan B3 3.74%, 11/10/2023		4,507,858		4,524,762
Allied Universal Holdco LLC Senior Secured 2015 Term Loan 5.44%, 7/28/2022		27,430,203		27,254,513
Ancestry.com Operations Inc. Senior Secured 2017 1st Lien Term Loan 4.66%, 10/19/2023		8,710,297		8,763,386
Aramark Services, Inc. Senior Secured 2017 Term Loan B1 3.57%, 3/11/2025		2,169,700		2,183,608
Asurion LLC:
Senior Secured 2017 2nd Lien Term Loan 7.57%, 8/4/2025		21,181,818		21,810,600
Senior Secured 2017 Term Loan B4 4.32%, 8/4/2022		12,684,250		12,763,527
Senior Secured Term Loan B5 4.57%, 11/3/2023		9,978,864		10,038,936
Belron S.A. Senior Secured Term Loan B 3.89%, 11/7/2024		4,447,268		4,499,390
GFL Environmental, Inc. Senior Secured USD Term Loan B 4.44%, 9/29/2023		1,102,326		1,109,215
IBC Capital Limited Senior Secured 1st Lien Term Loan 5.29%, 9/9/2021		4,527,531		4,533,756

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
KAR Auction Services, Inc.:
Senior Secured Term Loan B4 4.00%, 3/11/2021	$	1,822,407	$	1,834,553
Senior Secured Term Loan B5 4.25%, 3/9/2023		1,493,510		1,504,249
Lineage Logistics Holdings LLC Senior Secured 2014 Term Loan 5.07%, 4/7/2021		12,544,308		12,609,037
Packers Holdings, LLC Senior Secured 2017 Term Loan B 4.74%, 11/3/2024		7,911,392		7,949,288
Prime Security Services Borrower LLC Senior Secured 1st Lien Term Loan 4.32%, 5/2/2022		27,860,974		28,099,046
Southern Graphics, Inc.:
Senior Secured 1st Lien Term Loan Zero Coupon, 12/31/2022		11,956,522		12,032,745
Senior Secured Delayed Draw Term Loan Zero Coupon, 12/31/2022		1,932,367		1,944,686
TruGreen, Ltd. Partnership Senior Secured 2017 Term Loan 5.54%, 4/13/2023		734,356		745,834

				164,201,131

COMMUNICATIONS EQUIPMENT — 0.9%
Arris Group, Inc. Senior Secured 2017 Repriced Term Loan 3.82%, 4/26/2024		1,965,346		1,975,664
Avaya, Inc. Senior Secured Exit Term Loan B 6.23%, 12/15/2024		3,597,646		3,547,063
Digicel International Finance, Ltd. Senior Secured Term Loan B 5.31%, 5/28/2024		2,389,222		2,402,661
Riverbed Technology, Inc. Senior Secured Term Loan 4.82%, 4/24/2022		14,000,000		13,811,420

				21,736,808

COMPUTERS & PERIPHERALS — 0.3%
TierPoint LLC Senior Secured 2017 1st Lien Term Loan 5.32%, 5/6/2024		5,244,658		5,218,461
Western Digital Corp. Senior Secured 2017 Term Loan B3 3.57%, 4/29/2023		2,816,212		2,829,589

				8,048,050

CONSTRUCTION & ENGINEERING — 0.9%
CNT Holdings III Corp. Senior Secured 2017 Term Loan 4.88%, 1/22/2023		4,987,405		4,850,252
Pike Corp. Senior Secured Replacement Term Loan 5.07%, 9/20/2024		8,617,133		8,753,542
Summit Materials Companies I LLC Senior Secured 2017 Term Loan B 3.82%, 11/11/2024		7,619,048		7,665,486

				21,269,280

CONSTRUCTION MATERIALS — 0.4%
Forterra, Inc. Senior Secured 2017 Term Loan B 4.57%, 10/25/2023		5,390,716		5,058,433
Traverse Midstream Partners LLC Senior Secured Term Loan 5.85%, 9/27/2024		3,431,373		3,481,556

				8,539,989

CONTAINERS & PACKAGING — 1.6%
Berlin Packaging LLC Senior Secured 2017 Term Loan B 4.77%, 10/1/2021		8,664,259		8,734,049
Plastipak Holdings, Inc. Senior Secured Term Loan B 4.45%, 10/14/2024		2,801,966		2,820,880
Reynolds Group Holdings, Inc. Senior Secured Term Loan 4.32%, 2/5/2023		21,412,200		21,537,462
Signode Industrial Group US, Inc. Senior Secured USD Term Loan B 4.38%, 5/4/2021		1,375,661		1,380,827
Tekni-Plex, Inc. Senior Secured 2017 USD Term Loan B1 4.67%, 10/17/2024		3,133,641		3,155,184

				37,628,402

DISTRIBUTORS — 1.7%
American Builders & Contractors Supply Co., Inc. Senior Secured 2017 Term Loan B 4.07%, 10/31/2023		8,380,564		8,426,113
American Tire Distributors Holdings, Inc. Senior Secured Term Loan 5.82%, 9/1/2021		7,037,313		7,097,799
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B 5.13%, 5/2/2023		24,936,709		25,170,490

				40,694,402

DIVERSIFIED CONSUMER SERVICES — 1.1%
Weight Watchers International, Inc. Senior Secured 2017 Term Loan B 6.23%, 11/29/2024		25,000,000		25,198,000

DIVERSIFIED FINANCIAL SERVICES — 1.6%
AlixPartners LLP Senior Secured Term Loan B 4.44%, 4/4/2024		9,149,367		9,209,799
Clipper Acquisitions Corp. Senior Secured 2017 Term Loan B Zero Coupon, 12/11/2024		2,772,723		2,780,805
Faenza Acquisition GmbH:
Senior Secured USD Term Loan B1 4.23%, 8/30/2020		1,509,249		1,510,977

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Senior Secured USD Term Loan B3 4.23%, 8/30/2020	$	462,166	$	462,695
Focus Financial Partners LLC Senior Secured 1st Lien Term Loan 4.94%, 7/3/2024		10,241,773		10,344,191
Infinity Acquisition LLC Senior Secured New Term Loan B 4.69%, 8/6/2021		5,752,503		5,766,884
UFC Holdings LLC Senior Secured 1st Lien Term Loan 4.81%, 8/18/2023		2,498,705		2,515,496
William Morris Endeavor Entertainment LLC Senior Secured 1st Lien Term Loan 4.64%, 5/6/2021		4,837,925		4,868,162

				37,459,009

DIVERSIFIED TELECOMMUNICATION SERVICES — 2.9%
CenturyLink Escrow LLC Senior Secured Term Loan B 4.32%, 1/31/2025		36,418,932		35,189,793
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B 4.57%, 10/4/2023		14,172,855		13,962,034
Hargray Communications Group, Inc. Senior Secured 2017 Term Loan B 4.57%, 5/16/2024		6,965,000		6,992,860
Telesat Canada Senior Secured Term Loan B4 4.70%, 11/17/2023		11,288,045		11,353,290

				67,497,977

ELECTRIC UTILITIES — 1.1%
PowerTeam Services LLC Senior Secured 1st Lien Term Loan 4.94%, 5/6/2020		2,823,850		2,836,219
TEX Operations Co. LLC:
Senior Secured Exit Term Loan B 4.02%, 8/4/2023		17,473,936		17,588,653
Senior Secured Exit Term Loan C 3.83%, 8/4/2023		3,096,569		3,116,898
Vistra Operations Co. LLC Senior Secured 2016 Term Loan B2 4.20%, 12/14/2023		1,892,202		1,907,916

				25,449,686

ELECTRICAL EQUIPMENT — 0.5%
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan 5.16%, 12/2/2024		1,917,808		1,936,085
Gates Global LLC Senior Secured Repriced Term Loan B 4.69%, 4/1/2024		9,358,805		9,423,802
Generac Power Systems, Inc. Senior Secured 2017 1st Lien Term Loan B 3.34%, 5/31/2023		1,704,996		1,712,455

				13,072,342

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.3%
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan 5.07%, 7/26/2024		4,705,189		4,742,430
TTM Technologies, Inc. Senior Secured 2017 Term Loan 4.07%, 9/28/2024		3,341,625		3,347,891

				8,090,321

FOOD & STAPLES RETAILING — 1.7%
Albertsons LLC:
Senior Secured Term Loan B4 4.32%, 8/25/2021		10,334,616		10,144,924
Senior Secured USD 2017 Term Loan B5 4.67%, 12/21/2022		2,448,909		2,403,825
Senior Secured USD 2017 Term Loan B6 4.46%, 6/22/2023		12,918,339		12,674,312
Chobani LLC Senior Secured 2017 Term Loan B 5.07%, 10/9/2023		8,097,892		8,175,469
Genoa, a QoL Healthcare Co. LLC Senior Secured 2017 1st Lien Term Loan 4.82%, 10/28/2023		2,960,685		2,982,890
US Foods, Inc. Senior Secured 2016 Term Loan B 4.07%, 6/27/2023		4,872,588		4,906,526

				41,287,946

FOOD PRODUCTS — 1.2%
CSM Bakery Solutions LLC Senior Secured 1st Lien Term Loan 5.34%, 7/3/2020		3,041,978		3,013,079
Dole Food Co., Inc. Senior Secured 2017 Term Loan B 4.24%, 4/6/2024		4,777,479		4,796,063
Hostess Brands LLC Senior Secured 2017 Repriced Term Loan 3.82%, 8/3/2022		2,766,331		2,772,168
4.10%, 10/30/2022		7,972,495		7,845,932
Keurig Green Mountain, Inc. Senior Secured USD Term Loan A 3.00%, 3/3/2021		1,561,703		1,560,726
Post Holdings, Inc. Senior Secured 2017 Series A Incremental Term Loan 3.82%, 5/24/2024		8,546,012		8,587,247

				28,575,215

HEALTH CARE EQUIPMENT & SUPPLIES — 1.3%
DJO Finance LLC Senior Secured 2015 Term Loan 4.70%, 6/8/2020		8,708,740		8,607,675
Onex Carestream Finance L.P.:
Senior Secured 1st Lien Term Loan 5.69%, 6/7/2019		4,323,128		4,336,638
Senior Secured 2nd Lien Term Loan 10.19%, 12/7/2019		16,900,077		16,688,825

				29,633,138

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
HEALTH CARE PROVIDERS & SERVICES — 6.4%
Air Medical Group Holdings, Inc.:
Senior Secured 2017 Term Loan B2 Zero Coupon, 9/7/2024	$	24,041,096	$	24,136,299
Senior Secured Term Loan B 4.94%, 4/28/2022		2,598,153		2,592,359
ATI Holdings Acquisition, Inc. Senior Secured 2016 Term Loan 4.85%, 5/10/2023		2,974,932		3,004,681
BioClinica, Inc. Senior Secured 1st Lien Term Loan 5.63%, 10/20/2023		2,361,605		2,314,373
CeramTec Acquisition Corp. Senior Secured USD Term Loan B2 4.23%, 8/30/2020		193,768		193,990
Certara L.P. Senior Secured 2017 Term Loan B 5.69%, 8/3/2024		897,750		904,483
CHG Healthcare Services, Inc. Senior Secured 1st Lien Term Loan B 4.48%, 6/7/2023		6,311,000		6,369,187
Community Health Systems, Inc.:
Senior Secured Term Loan G 4.23%, 12/31/2019		2,191,118		2,127,379
Senior Secured Term Loan H 4.48%, 1/27/2021		5,148,539		4,922,544
Envision Healthcare Corp. Senior Secured Term Loan B 4.57%, 12/1/2023		24,007,552		24,102,502
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan 4.69%, 6/28/2024		4,364,035		4,386,772
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B 4.69%, 6/7/2023		15,687,384		15,736,407
National Mentor Holdings, Inc. Senior Secured Term Loan B 4.69%, 1/31/2021		2,657,474		2,684,886
NVA Holdings, Inc. Senior Secured USD 1st Lien Term Loan B2 5.19%, 8/14/2021		5,410,480		5,462,340
Ortho-Clinical Diagnostics, Inc. Senior Secured Term Loan B 5.44%, 6/30/2021		13,356,401		13,407,423
PharMerica Corp. Senior Secured 1st Lien Term Loan 4.90%, 12/6/2024		12,000,000		12,078,000
Sterigenics-Nordion Holdings LLC Senior Secured 2017 Term Loan B 4.57%, 5/15/2022		11,397,685		11,409,595
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B 4.82%, 9/2/2024		6,857,813		6,797,807
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan 4.32%, 2/6/2024		3,989,950		3,895,208
U.S. Renal Care, Inc. Senior Secured Term Loan B 5.94%, 12/31/2022		4,973,407		4,911,239

				151,437,474

HEALTH CARE TECHNOLOGY — 0.7%
Change Healthcare Holdings, Inc. Senior Secured Term Loan B 4.32%, 3/1/2024		12,902,500		12,940,433
Press Ganey Holdings, Inc. Senior Secured 2017 1st Lien Term Loan 4.57%, 10/23/2023		2,542,406		2,560,686

				15,501,119

HOTELS, RESTAURANTS & LEISURE — 5.5%
1011778 BC ULC Senior Secured Term Loan B3 3.87%, 2/16/2024		12,426,840		12,436,781
Boyd Gaming Corp. Senior Secured Term Loan B3 3.98%, 9/15/2023		903,249		909,333
CEC Entertainment, Inc. Senior Secured Term Loan B 4.82%, 2/14/2021		8,657,544		8,181,379
Churchill Downs Incorporated Senior Secured 2017 Term Loan B Zero Coupon, 12/12/2024		1,595,745		1,599,734
Cyan Blue Holding co. 3, Ltd. Senior Secured 2017 USD Term Loan B 5.19%, 7/26/2024		5,572,000		5,615,545
Delta 2 (LUX) S.a.r.l. Senior Secured Term Loan B3 4.57%, 2/1/2024		27,196,665		27,383,642
Golden Nugget, Inc. Senior Secured Incremental Term Loan 4.77%, 10/4/2023		16,464,354		16,611,545
Intrawest Resorts Holdings, Inc. Senior Secured Term Loan B1 4.82%, 7/31/2024		6,150,906		6,206,665
La Quinta Intermediate Holdings LLC Senior Secured Term Loan B 4.11%, 4/14/2021		7,353,020		7,394,380
NPC International, Inc. Senior Secured 1st Lien Term Loan 5.05%, 4/19/2024		6,524,590		6,592,544
Penn National Gaming, Inc. Senior Secured 2017 Term Loan B 4.07%, 1/19/2024		1,885,000		1,895,132
Red Lobster Management LLC Senior Secured Term Loan B 6.82%, 7/28/2021		1,760,850		1,769,663
Scientific Games International, Inc. Senior Secured Term Loan B4 4.70%, 8/14/2024		13,546,296		13,672,345
Travel Leaders Group LLC Senior Secured 1st Lien Term Loan 5.92%, 1/25/2024		4,407,729		4,476,621

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Travelport Finance (Luxembourg) S.A.R.L. Senior Secured New 2017 Term Loan 4.17%, 9/2/2021	$	14,996,734	$	15,010,381

				129,755,690

HOUSEHOLD DURABLES — 0.3%
Serta Simmons Bedding LLC Senior Secured 1st Lien Term Loan 4.85%, 11/8/2023		8,378,473		7,711,714

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.1%
Calpine Corp.:
Senior Secured Term Loan B5 Zero Coupon, 1/15/2024		12,468,031		12,465,101
Senior Secured Term Loan B6 4.20%, 1/15/2023		6,234,097		6,237,120
Senior Secured Term Loan B7 Zero Coupon, 5/31/2023		6,234,177		6,238,073

				24,940,294

INDUSTRIAL CONGLOMERATES — 0.2%
Robertshaw US Holding Corp. Senior Secured 1st Lien Term Loan 6.13%, 8/10/2024		4,010,050		4,050,151

INSURANCE — 3.2%
Acrisure LLC Senior Secured Term Loan B 5.65%, 11/22/2023		7,444,924		7,529,610
Alliant Holdings I, Inc. Senior Secured 2015 Term Loan B 4.80%, 8/12/2022		4,294,012		4,319,518
AmWINS Group, Inc. Senior Secured 2017 Term Loan B 4.28%, 1/25/2024		5,076,923		5,099,845
AssuredPartners, Inc. Senior Secured 1st Lien Add-On Term Loan 5.07%, 10/22/2024		16,571,496		16,699,262
Hub International, Ltd. Senior Secured Term Loan B 4.41%, 10/2/2020		16,349,427		16,440,575
NFP Corp. Senior Secured Term Loan B 5.07%, 1/8/2024		10,622,230		10,691,275
Sedgwick Claims Management Services, Inc.:
Senior Secured 2016 1st Lien Term Loan 4.94%, 3/1/2021		985,000		989,103
Senior Secured 2017 1st Lien Term Loan Zero Coupon, 2/26/2021		12,777,778		12,769,856
Senior Secured 2nd Lien Term Loan 7.32%, 2/28/2022		2,000,000		2,017,500

				76,556,544

INTERNET & CATALOG RETAIL — 0.2%
Harbor Freight Tools USA, Inc. Senior Secured 2016 Term Loan B 4.82%, 8/18/2023		4,498,776		4,534,811

INTERNET SOFTWARE & SERVICES — 2.7%
Go Daddy Operating Company LLC Senior Secured 2017 Repriced Term Loan 3.82%, 2/15/2024		20,383,640		20,461,302
LANDesk Group, Inc. Senior Secured 2017 Term Loan B 5.82%, 1/20/2024		19,973,411		19,049,641
Rackspace Hosting, Inc. Senior Secured 2017 Incremental 1st Lien Term Loan 4.38%, 11/3/2023		14,188,134		14,200,974
TCH-2 Holding LLC Senior Secured 2017 Term Loan 5.57%, 5/6/2021		10,614,613		10,688,915

				64,400,832

IT SERVICES — 1.4%
First Data Corp.:
Senior Secured 2022 USD Term Loan 3.80%, 7/8/2022		7,640,675		7,654,543
Senior Secured 2024 USD Term Loan 3.80%, 4/26/2024		11,018,044		11,034,792
Presidio, Inc. Senior Secured 2017 Refinanced Term Loan B Zero Coupon, 2/2/2024		7,487,795		7,525,234
TKC Holdings, Inc. Senior Secured 1st Lien Term Loan 5.67%, 2/1/2023		7,116,507		7,180,982

				33,395,551

LIFE SCIENCES TOOLS & SERVICES — 1.4%
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan 4.82%, 8/30/2024		4,290,323		4,244,738
INC Research LLC Senior Secured 2017 Term Loan B 3.82%, 8/1/2024		6,758,046		6,776,530
Jaguar Holding Co. II Senior Secured Term Loan 4.38%, 8/18/2022		8,920,457		8,944,275
Parexel International Corp. Senior Secured Term Loan B 4.57%, 9/27/2024		12,442,828		12,512,818

				32,478,361

MACHINERY — 0.4%
Apex Tool Group LLC Senior Secured Term Loan B 4.82%, 1/31/2020		662,408		661,719
Clark Equipment Co. Senior Secured 2017 Term Loan B 4.19%, 5/18/2024		2,334,281		2,347,703

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Engineered Machinery Holdings, Inc.:
Senior Secured 1st Lien Delayed Draw Term Loan 4.94%, 7/19/2024	$	575,221	$	576,300
Senior Secured USD 1st Lien Term Loan 4.94%, 7/19/2024		4,424,779		4,433,075
Hayward Industries, Inc. Senior Secured 1st Lien Term Loan 5.07%, 8/5/2024		2,450,754		2,459,945

				10,478,742

MEDIA — 9.4%
Acosta Holdco, Inc. Senior Secured 2015 Term Loan 4.82%, 9/26/2021		13,000,000		11,483,355
Altice Financing SA Senior Secured USD 2017 1st Lien Term Loan 4.11%, 1/5/2026		5,514,706		5,414,062
Atlantic Broadband Finance LLC Senior Secured 1st Lien Term Loan Zero Coupon, 8/11/2024		2,972,973		2,969,495
CBS Radio, Inc. Senior Secured Term Loan B 4.17%, 11/17/2024		1,714,286		1,725,891
Coral-US Co. Borrower LLC Senior Secured Term Loan B3 5.07%, 1/31/2025		17,581,301		17,622,529
CSC Holdings LLC Senior Secured 1st Lien Term Loan 3.74%, 7/17/2025		8,873,307		8,851,789
Entravision Communications Corp. Senior Secured 2017 Term Loan B 4.32%, 11/29/2024		8,312,500		8,348,867
Gray Television, Inc. Senior Secured 2017 Term Loan B 3.61%, 2/7/2024		8,373,431		8,431,752
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan 5.34%, 9/13/2024		7,830,000		7,865,235
Mission Broadcasting, Inc. Senior Secured Term Loan B2 3.86%, 1/17/2024		512,895		514,955
Nexstar Broadcasting, Inc. Senior Secured Term Loan B2 3.86%, 1/17/2024		4,062,832		4,079,144
Numericable Group SA Senior Secured USD Term Loan B12 4.35%, 1/31/2026		18,156,425		17,537,926
Red Ventures, LLC Senior Secured 1st Lien Term Loan 5.57%, 11/8/2024		31,620,750		31,640,513
Sinclair Television Group, Inc. Senior Secured Term Loan B Zero Coupon, 5/10/2024		24,390,244		24,378,902
Unitymedia Finance LLC Senior Secured USD Term Loan D Zero Coupon, 1/15/2026		11,111,111		11,100,278
Univision Communications, Inc. Senior Secured Term Loan C5 4.32%, 3/15/2024		32,788,466		32,729,283
Virgin Media Bristol LLC Senior Secured 2017 USD Term Loan 3.98%, 1/15/2026		21,590,909		21,615,307
WMG Acquisition Corp. Senior Secured Term Loan E 3.64%, 11/1/2023		4,779,354		4,789,439
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E 3.98%, 4/15/2025		2,089,036		2,075,113

				223,173,835

METALS & MINING — 0.1%
PLZ Aeroscience Corp. Senior Secured USD Term Loan 5.15%, 7/31/2022		1,296,098		1,309,260

MULTILINE RETAIL — 0.2%
Neiman Marcus Group, Ltd. LLC Senior Secured 2020 Term Loan 4.64%, 10/25/2020		5,467,617		4,480,056

PHARMACEUTICALS — 3.3%
Akorn, Inc. Senior Secured Term Loan B 5.88%, 4/16/2021		1,666,667		1,675,000
Amneal Pharmaceuticals LLC Senior Secured New Term Loan 5.19%, 11/1/2019		2,200,404		2,212,441
Arbor Pharmaceuticals, Inc.
Senior Secured Term Loan B 6.69%, 7/5/2023		1,644,427		1,661,900
5.88%, 4/29/2024		25,423,966		25,622,654
Horizon Pharma, Inc. Senior Secured 2017 1st Lien Term Loan 4.75%, 3/29/2024		14,754,154		14,834,859
Valeant Pharmaceuticals International, Inc. Senior Secured Term Loan B Series F4 4.94%, 4/1/2022		31,668,955		32,156,498

				78,163,352

POLLUTION CONTROL — 0.1%
Core & Main L.P. Senior Secured 2017 Term Loan B 4.46%, 8/1/2024		2,356,021		2,377,378

PROFESSIONAL SERVICES — 1.8%
Advantage Sales & Marketing, Inc.:
Senior Secured 2014 1st Lien Term Loan 4.63%, 7/23/2021		11,470,361		11,212,278
Senior Secured 2014 2nd Lien Term Loan 7.88%, 7/25/2022		13,253,373		12,458,171
Information Resources, Inc. Senior Secured 1st Lien Term Loan 5.62%, 1/18/2024		18,470,844		18,590,165

				42,260,614

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.2%
Capital Automotive L.P. Senior Secured 1st Lien Term Loan 4.07%, 3/24/2024	$	1,281,940	$	1,287,068
Communications Sales & Leasing, Inc. Senior Secured 2017 Term Loan B 4.57%, 10/24/2022		12,530,475		12,135,013
VICI Properties 1 LLC Senior Secured Replacement Term Loan B Zero Coupon, 10/14/2022		13,911,290		13,935,426

				27,357,507

REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.2%
Americold Realty Operating Partnership L.P. Senior Secured 2016 Term Loan B 5.32%, 12/1/2022		1,313,545		1,329,970
Realogy Corp. Senior Secured 2017 Term Loan B 3.82%, 7/20/2022		2,286,191		2,295,131

				3,625,101

ROAD & RAIL — 0.2%
Direct ChassisLink Inc. Senior Secured 2017 2nd Lien Term Loan Zero Coupon, 6/15/2023		5,000,000		5,100,000

SEMICONDUCTOR EQUIPMENT — 1.0%
Lumileds Holding B.V. Senior Secured Term Loan B 6.17%, 6/30/2024		1,509,005		1,520,949
MA FinanceCo. LLC Senior Secured USD Term Loan B3 4.32%, 6/21/2024		2,817,485		2,823,360
Seattle Spinco, Inc. Senior Secured USD Term Loan B3 4.32%, 6/21/2024		19,027,175		19,066,846

				23,411,155

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.6%
Cypress Semiconductor Corp. Senior Secured 2016 Term Loan B 4.26%, 7/5/2021		8,402,422		8,490,647
Microsemi Corp. Senior Secured 2017 1st Lien Term Loan B 3.38%, 1/15/2023		3,097,697		3,113,201
ON Semiconductor Corp. Senior Secured 2017 1st Lien Term Loan 3.57%, 3/31/2023		1,703,985		1,713,834

				13,317,682

SOFTWARE — 11.9%
Applied Systems, Inc.:
Senior Secured 1st Lien Term Loan 4.94%, 9/19/2024		1,834,483		1,856,267
Senior Secured 2017 2nd Lien Term Loan 8.69%, 9/19/2025		454,545		471,450
Aspect Software, Inc. Senior Secured Exit Term Loan 12.07%, 5/25/2020		7,038,541		6,950,559
Avast Software B.V. Senior Secured USD 2017 Term Loan B 4.44%, 9/30/2023		2,687,385		2,709,596
BMC Software Finance, Inc. Senior Secured USD 2017 1st Lien Term Loan 4.82%, 9/10/2022		31,429,619		31,506,307
CCC Information Services, Inc. Senior Secured 2017 1st Lien Term Loan 4.57%, 4/27/2024		4,545,266		4,558,333
Compuware Corp. Senior Secured Term Loan B3 5.63%, 12/15/2021		23,537,986		23,721,935
Dell Inc. Senior Secured 1st Lien Term Loan 3.57%, 9/7/2023		11,797,036		11,805,117
Epicor Software Corp. Senior Secured 1st Lien Term Loan 5.32%, 6/1/2022		2,793,279		2,803,754
Hyland Software, Inc. Senior Secured 2017 1st Lien Term Loan 4.82%, 7/1/2022		10,722,603		10,809,778
Informatica Corp. Senior Secured USD Term Loan 5.19%, 8/5/2022		2,308,931		2,320,268
Kronos, Inc. Senior Secured Term Loan B 4.90%, 11/1/2023		18,822,763		18,969,862
McAfee LLC Senior Secured 2017 USD Term Loan B 6.07%, 9/30/2024		36,845,156		36,779,388
Mitchell International, Inc.:
Senior Secured 2017 1st Lien Term Loan 4.94%, 11/20/2024		14,002,357		14,026,162
Senior Secured 2017 2nd Lien Term Loan 8.94%, 11/20/2025		17,272,727		17,469,118
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B 5.04%, 4/26/2024		7,960,000		7,804,103
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B Zero Coupon, 2/9/2024		5,984,914		6,034,799
Quest Software US Holdings, Inc. Senior Secured Term Loan B 6.92%, 10/31/2022		17,695,261		18,009,617
SolarWinds Holdings, Inc. Senior Secured Term Loan 5.07%, 2/5/2023		10,110,539		10,162,356
Solera Holdings, Inc. Senior Secured Term Loan B 4.82%, 3/3/2023		1,900,163		1,914,813
Sophia L.P. Senior Secured Term Loan B 4.94%, 9/30/2022		3,353,304		3,361,000
TIBCO Software, Inc. Senior Secured Repriced Term Loan B 5.07%, 12/4/2020		18,518,360		18,595,582

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Verint Systems, Inc. Senior Secured 2017 Term Loan B 3.63%, 6/29/2024	$	4,617,169	$	4,639,286
Veritas Bermuda, Ltd. Senior Secured USD Repriced Term Loan B 6.19%, 1/27/2023		14,595,588		14,648,862
VF Holding Corp. Senior Secured Reprice Term Loan 4.82%, 6/30/2023		11,258,339		11,358,819

				283,287,131

SPECIALTY RETAIL — 3.6%
Bass Pro Group, LLC Senior Secured Term Loan B 6.57%, 9/25/2024		19,242,113		19,218,061
Burlington Coat Factory Warehouse Corp. Senior Secured 2017 Term Loan B5 4.00%, 11/7/2024		9,838,673		9,867,402
Michaels Stores, Inc. Senior Secured 2016 Term Loan B1 4.29%, 1/30/2023		16,847,080		16,869,656
National Vision, Inc. Senior Secured 2017 Repriced Term Loan 4.32%, 11/20/2024		7,355,692		7,374,081
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B 4.38%, 1/26/2023		8,937,808		6,787,148
PetSmart, Inc. Senior Secured Term Loan B2 4.57%, 3/11/2022		15,242,533		12,244,098
Staples, Inc. Senior Secured Term Loan B 5.49%, 9/12/2024		12,217,606		12,002,270

				84,362,716

THRIFTS & MORTGAGE FINANCE — 0.1%
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan 4.63%, 11/1/2024		3,303,910		3,307,528

TRADING COMPANIES & DISTRIBUTORS — 0.8%
Avolon TLB Borrower 1 (Luxembourg) S.A.R.L. Senior Secured Term Loan B2 3.75%, 4/3/2022		6,790,206		6,750,415
SiteOne Landscape Supply, Inc. Senior Secured 2017 1st Lien Term Loan Zero Coupon, 4/29/2022		1,033,679		1,039,493
Univar, Inc. Senior Secured Term Loan B 4.07%, 7/1/2024		10,696,601		10,746,234

				18,536,142

TOTAL SENIOR FLOATING RATE LOANS (Cost $2,062,168,841)				2,087,659,222

CORPORATE BONDS & NOTES — 7.0%
AEROSPACE & DEFENSE — 0.2%
TransDigm, Inc. 6.50%, 7/15/2024		5,000,000		5,112,500

COMMERCIAL SERVICES — 0.2%
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (a)		2,000,000		2,215,000
Team Health Holdings, Inc. 6.38%, 2/1/2025 (a)		3,000,000		2,677,500

				4,892,500

DISTRIBUTION & WHOLESALE — 0.4%
Avantor, Inc. 6.00%, 10/1/2024 (a)		10,000,000		9,975,000

DIVERSIFIED FINANCIAL SERVICES — 0.1%
Fly Leasing, Ltd. 5.25%, 10/15/2024		3,145,000		3,145,000

ELECTRONICS — 0.2%
TTM Technologies, Inc. 5.63%, 10/1/2025 (a)		3,500,000		3,570,000

ENTERTAINMENT — 0.4%
Scientific Games International, Inc. 7.00%, 1/1/2022 (a)		8,900,000		9,378,375

ENVIRONMENTAL CONTROL — 0.1%
GFL Environmental, Inc. 9.88%, 2/1/2021 (a)		2,154,000		2,269,778

FOOD — 0.2%
Post Holdings, Inc. 5.00%, 8/15/2026 (a)		4,000,000		3,935,200

HEALTH CARE PRODUCTS — 0.0% (b)
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021 (a)		830,000		865,275

HEALTH CARE SERVICES — 1.6%
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (a)		15,000,000		16,050,000
Tenet Healthcare Corp.:
4.63%, 7/15/2024 (a)		5,517,000		5,379,075
5.13%, 5/1/2025 (a)		6,167,000		6,059,077
6.75%, 2/1/2020		2,000,000		2,027,500
8.13%, 4/1/2022		8,000,000		8,170,000

				37,685,652

INSURANCE — 0.1%
AssuredPartners, Inc. 7.00%, 8/15/2025 (a)		3,410,000		3,392,950

IT SERVICES — 0.2%
Riverbed Technology, Inc. 8.88%, 3/1/2023 (a)		5,500,000		5,190,625

MEDIA — 1.3%
Altice Luxembourg SA 7.75%, 5/15/2022 (a)		2,000,000		1,965,600
Cequel Communications Holdings I LLC/Cequel Capital Corp. 6.38%, 9/15/2020 (a)		700,000		710,500
Gray Television, Inc.:
5.13%, 10/15/2024 (a)		3,000,000		2,992,500
5.88%, 7/15/2026 (a)		3,000,000		3,075,000
Nexstar Broadcasting, Inc. 5.63%, 8/1/2024 (a)		1,000,000		1,030,000

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
SFR Group SA:
6.00%, 5/15/2022 (a)	$	2,000,000	$	2,031,250
7.38%, 5/1/2026 (a)		5,000,000		5,150,000
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (a)		5,000,000		5,150,000
Univision Communications, Inc. 5.13%, 2/15/2025 (a)		8,740,000		8,521,500

				30,626,350

PACKAGING & CONTAINERS — 0.3%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024 (a)		2,320,000		2,525,900
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (a)		1,478,000		1,530,654
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 3 Month USD LIBOR + 3.50% 4.86%, 7/15/2021 (a) (c)		2,000,000		2,040,000

				6,096,554

PHARMACEUTICALS — 0.5%
Endo Dac/Endo Finance LLC/Endo Finco, Inc. 5.88%, 10/15/2024 (a)		1,017,000		1,034,797
Endo Finance LLC/Endo Finco, Inc. 5.38%, 1/15/2023 (a)		6,000,000		4,680,000	��
Valeant Pharmaceuticals International, Inc.:
5.50%, 11/1/2025 (a)		3,000,000		3,060,000
6.50%, 3/15/2022 (a)		1,734,000		1,825,035

				10,599,832

RETAIL — 0.7%
1011778 BC ULC/New Red Finance, Inc. 4.25%, 5/15/2024 (a)		13,534,000		13,500,165
CEC Entertainment, Inc. 8.00%, 2/15/2022		3,175,000		2,984,500

				16,484,665

SOFTWARE — 0.5%
First Data Corp. 5.00%, 1/15/2024 (a)		4,896,000		5,042,880
Infor US, Inc. 6.50%, 5/15/2022		7,000,000		7,245,000

				12,287,880

TOTAL CORPORATE BONDS & NOTES (Cost $164,663,355)				165,508,136

SHORT-TERM INVESTMENT — 8.9%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (d) (e) (Cost $209,993,789)		209,993,789		209,993,789

TOTAL INVESTMENTS — 104.1% (Cost $2,438,825,985)				2,463,161,147

LIABILITIES IN EXCESS OF OTHER ASSETS — (4.1)%				(99,247,257	)

NET ASSETS — 100.0%			$	2,363,913,890

(a)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.9% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

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

(c)	Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(d)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(e)	The rate shown is the annualized seven-day yield at December 31, 2017.

LIBOR = London Interbank Offered Rate

At December 31, 2017, the Fund had unfunded loan commitments of $1,129,222, which could be extended at the option of the borrowers, pursuant to the following loan agreements:

Borrower

Unfunded Loan

Commitment ($)

Value ($)

Unrealized

Appreciation ($)

Mitchell International, Inc.

1,129,222

1,131,142

1,920

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Senior Floating Rate Loans
Aerospace & Defense	$	—	$	52,497,254	$	—	$	52,497,254
Airlines		—		5,178,035		—		5,178,035
Auto Components		—		17,108,312		—		17,108,312
Automobiles		—		10,972,946		—		10,972,946
Beverages		—		2,935,181		—		2,935,181
Building Products		—		6,850,588		—		6,850,588
Capital Markets		—		17,220,462		—		17,220,462
Chemicals		—		21,946,968		—		21,946,968
Commercial Banks		—		5,257,039		—		5,257,039
Commercial Services & Supplies		—		164,201,131		—		164,201,131
Communications Equipment		—		21,736,809		—		21,736,809
Computers & Peripherals		—		8,048,050		—		8,048,050
Construction & Engineering		—		21,269,280		—		21,269,280
Construction Materials		—		8,539,988		—		8,539,988
Containers & Packaging		—		37,628,402		—		37,628,402
Distributors		—		40,694,403		—		40,694,403
Diversified Consumer Services		—		25,198,000		—		25,198,000
Diversified Financial Services		—		37,459,010		—		37,459,010
Diversified Telecommunication Services		—		67,497,977		—		67,497,977
Electric Utilities		—		25,449,687		—		25,449,687
Electrical Equipment		—		13,072,342		—		13,072,342
Electronic Equipment, Instruments & Components		—		8,090,321		—		8,090,321
Food & Staples Retailing.		—		41,287,945		—		41,287,945
Food Products		—		28,575,215		—		28,575,215
Health Care Equipment & Supplies		—		29,633,138		—		29,633,138
Health Care Providers & Services		—		151,437,474		—		151,437,474
Health Care Technology		—		15,501,119		—		15,501,119
Hotels, Restaurants & Leisure		—		129,755,690		—		129,755,690
Household Durables		—		7,711,714		—		7,711,714
Independent Power Producers & Energy Traders		—		24,940,295		—		24,940,295
Industrial Conglomerates		—		4,050,151		—		4,050,151
Insurance		—		76,556,544		—		76,556,544
Internet & Catalog Retail		—		4,534,811		—		4,534,811
Internet Software & Services		—		64,400,832		—		64,400,832
IT Services		—		33,395,551		—		33,395,551
Life Sciences Tools & Services		—		32,478,361		—		32,478,361
Machinery		—		10,478,742		—		10,478,742
Media		—		223,173,835		—		223,173,835
Metals & Mining.		—		1,309,260		—		1,309,260
Multiline Retail		—		4,480,056		—		4,480,056
Pharmaceuticals		—		78,163,350		—		78,163,350
Pollution Control		—		2,377,378		—		2,377,378
Professional Services		—		42,260,614		—		42,260,614
Real Estate Investment Trusts (REITs)		—		27,357,506		—		27,357,506
Real Estate Management & Development		—		3,625,101		—		3,625,101
Road & Rail		—		5,100,000		—		5,100,000
Semiconductor Equipment		—		23,411,155		—		23,411,155
Semiconductors & Semiconductor Equipment		—		13,317,682		—		13,317,682
Software		—		283,287,131		—		283,287,131
Specialty Retail		—		84,362,717		—		84,362,717
Thrifts & Mortgage Finance		—		3,307,528		—		3,307,528
Trading Companies & Distributors		—		18,536,142		—		18,536,142

See accompanying notes to financial statements.

Blackstone / GSO Senior Loan Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Corporate Bonds & Notes
Aerospace & Defense	$	—	$	5,112,500	$	—	$	5,112,500
Commercial Services		—		4,892,500		—		4,892,500
Distribution & Wholesale		—		9,975,000		—		9,975,000
Diversified Financial Services		—		3,145,000		—		3,145,000
Electronics		—		3,570,000		—		3,570,000
Entertainment		—		9,378,375		—		9,378,375
Environmental Control		—		2,269,777		—		2,269,777
Food		—		3,935,200		—		3,935,200
Health Care Products		—		865,275		—		865,275
Health Care Services		—		37,685,652		—		37,685,652
Insurance		—		3,392,950		—		3,392,950
IT Services		—		5,190,625		—		5,190,625
Media		—		30,626,350		—		30,626,350
Packaging & Containers		—		6,096,554		—		6,096,554
Pharmaceuticals		—		10,599,833		—		10,599,833
Retail		—		16,484,665		—		16,484,665
Software		—		12,287,880		—		12,287,880
Short-Term Investments		209,993,789		—		—		209,993,789

TOTAL INVESTMENTS	$	209,993,789	$	2,253,167,358	$	—	$	2,463,161,147

OTHER FINANCIAL INSTRUMENTS:
Unfunded Loan Commitments (a)		—		1,920		—		1,920

TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS	$	209,993,789	$	2,253,169,277	$	—	$	2,463,163,066

(a)	Includes appreciation on unfunded loan commitments.

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		119,281,817	$	119,281,817	$	702,228,773	$	611,516,801	$	—	$	—		209,993,789	$	209,993,789	$	872,468

See accompanying notes to financial statements.

SSGA ULTRA SHORT TERM BOND PORTFOLIO

SPDR SSGA Ultra Short Term Bond ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA Ultra Short Term Bond Portfolio. The schedule of investments for the SSGA Ultra Short Term Bond Portfolio follows.

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
ASSET-BACKED SECURITIES — 16.1%
AUTOMOBILE — 4.9%
Ford Credit Auto Owner Trust Series 2016-C, Class A2B, 1 Month USD LIBOR + 0.14%, 1.39%, 9/15/2019 (a)	$	144,556	$	144,574
Harley-Davidson Motorcycle Trust Series 2014-1, Class A3, , 1.10%, 9/15/2019		4,300		4,299
Honda Auto Receivables 2014-4 Owner Trust Series 2014-4, Class A4, , 1.46%, 10/15/2020		350,000		349,552
Honda Auto Receivables 2016-1 Owner Trust Series 2016-1, Class A3, , 1.22%, 12/18/2019		192,490		191,772
Nissan Auto Receivables Owner Trust Series 2017-A, Class A2A, , 1.47%, 1/15/2020		109,949		109,737
Toyota Auto Receivables Owner Trust:
Series 2016-D, Class A2A, 1.06%, 5/15/2019		89,132		88,974
Series 2015-A, Class A3, 1.12%, 2/15/2019		29,687		29,659
Series 2015-A, Class A4, 1.52%, 6/15/2020		250,000		249,341

				1,167,908

CREDIT CARD — 11.2%
American Express Credit Account Master Trust Series 2017-4, Class A, , 1.64%, 12/15/2021		500,000		497,295
BA Credit Card Trust Series 2016-A1, Class A, 1 Month USD LIBOR + 0.39%, 1.87%, 10/15/2021 (a)		400,000		401,356
Chase Issuance Trust:
Series 2015-A7, Class A7, 1.62%, 7/15/2020		490,000		489,519
Series 2013-A3, Class A3, 1 Month USD LIBOR + 0.28%, 1.76%, 4/15/2020 (a)		150,000		150,084
Citibank Credit Card Issuance Trust:
Series 2014-A8, Class A8, 1.73%, 4/9/2020		450,000		449,992
Series 2013-A2, Class A2, 1 Month USD LIBOR + 0.28%, 1.83%, 5/26/2020 (a)		220,000		220,172
Discover Card Execution Note Trust Series 2013-A6, Class A6, 1 Month USD LIBOR + 0.45%, 1.93%, 4/15/2021 (a)		300,000		300,873
Evergreen Credit Card Trust Series 2016-1, Class A, 1 Month USD LIBOR + 0.72%, 2.20%, 4/15/2020 (a) (b)		200,000		200,372

				2,709,663

TOTAL ASSET-BACKED SECURITIES (Cost $3,880,215)				3,877,571

CORPORATE BONDS & NOTES — 67.6%
AEROSPACE & DEFENSE — 1.0%
United Technologies Corp. 3 Month USD LIBOR + 0.35% 1.73%, 11/1/2019 (a)	$	250,000	$	250,858

AUTO MANUFACTURERS — 10.6%
American Honda Finance Corp.:
Series MTN, 3 Month USD LIBOR + 0.15%, 1.51%, 1/22/2019 (a)		300,000		300,108
Series MTN, 3 Month USD LIBOR + 0.28%, 1.72%, 11/19/2018 (a)		300,000		300,432
BMW US Capital LLC 3 month USD LIBOR + 0.38% 2.08%, 4/6/2020 (a) (b)		600,000		602,682
Daimler Finance North America LLC:
1.65%, 5/18/2018 (b)		300,000		299,724
3 Month USD LIBOR + 0.25%, 1.64%, 11/5/2018 (a) (b)		300,000		300,132
Nissan Motor Acceptance Corp. 3 Month USD LIBOR + 0.39% 2.08%, 9/28/2020 (a) (b)		250,000		250,407
Toyota Motor Credit Corp.:
Series 2547, 3 Month USD LIBOR + 0.32%, 1.68%, 1/12/2018 (a)		250,000		250,008
Series MTN, 3 Month USD LIBOR + 0.44%, 1.79%, 10/18/2019 (a)		250,000		251,312

				2,554,805

BANKS — 21.5%
Australia & New Zealand Banking Group, Ltd. 3 Month USD LIBOR + 0.32% 1.72%, 11/9/2020 (a) (b)		300,000		299,808
Bank of Montreal Series MTN, 3 Month USD LIBOR + 0.60% 2.15%, 12/12/2019 (a)		200,000		201,322
Bank of Nova Scotia 3 Month USD LIBOR + 0.66% 2.23%, 6/14/2019 (a)		400,000		402,396
Branch Banking & Trust Co. 3 Month USD LIBOR + 0.45% 1.81%, 1/15/2020 (a)		250,000		250,715
Citibank NA 3 Month USD LIBOR + 0.23% 1.63%, 11/9/2018 (a)		250,000		250,145
Goldman Sachs Group, Inc.:
3 Month USD LIBOR + 1.02%, 2.38%, 10/23/2019 (a)		409,000		413,380
Series 1, 3 Month USD LIBOR + 1.20%, 2.58%, 4/30/2018 (a)		100,000		100,303
JPMorgan Chase & Co. 3 Month USD LIBOR + 1.10% 2.62%, 6/7/2021 (a)		250,000		255,132
JPMorgan Chase Bank NA Series BKNT, 3 Month USD LIBOR + 0.59% 2.26%, 9/23/2019 (a)		250,000		251,547
Morgan Stanley 3 Month USD LIBOR + 0.85% 2.21%, 1/24/2019 (a)		430,000		432,369

See accompanying notes to financial statements.

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
PNC Bank NA 3 Month USD LIBOR + 0.40% 1.92%, 12/7/2018 (a)	$	250,000	$	250,365
Royal Bank of Canada:
Series GMTN, 3 Month USD LIBOR + 0.48%, 1.86%, 7/29/2019 (a)		250,000		251,028
Series GMTN, 3 Month USD LIBOR + 0.53%, 2.12%, 3/15/2019 (a)		250,000		250,975
Santander UK PLC 3 Month USD LIBOR + 0.30% 1.68%, 11/3/2020 (a)		250,000		249,888
Toronto-Dominion Bank:
Series BKNT, 3 Month USD LIBOR + 0.44%, 2.13%, 7/2/2019 (a)		250,000		251,080
Series MTN, 3 Month USD LIBOR + 0.84%, 2.20%, 1/22/2019 (a)		100,000		100,704
UBS AG 3 Month USD LIBOR + 0.32% 1.80%, 5/28/2019 (a) (b)		250,000		250,053
US Bank NA Series BKNT, 3 Month USD LIBOR + 0.48% 1.86%, 10/28/2019 (a)		100,000		100,493
Wells Fargo & Co. 3 Month USD LIBOR + 0.63% 1.99%, 4/23/2018 (a)		100,000		100,144
Wells Fargo Bank NA Series BKNT, 3 Month USD LIBOR + 0.74% 2.10%, 1/22/2018 (a)		250,000		250,063
Westpac Banking Corp. 3 Month USD LIBOR + 0.56% 2.00%, 8/19/2019 (a)		275,000		276,237

				5,188,147

BEVERAGES — 1.9%
Anheuser-Busch InBev Finance, Inc. 3 Month USD LIBOR + 0.40% 1.78%, 2/1/2019 (a)		200,000		200,660
PepsiCo, Inc. 3 Month USD LIBOR + 0.37% 1.75%, 5/2/2022 (a)		250,000		251,438

				452,098

BIOTECHNOLOGY — 2.1%
Gilead Sciences, Inc. 3 Month USD LIBOR + 0.17% 1.80%, 9/20/2018 (a)		500,000		500,060

DIVERSIFIED FINANCIAL SERVICES — 1.5%
American Express Credit Corp. 3 Month USD LIBOR + 0.55% 2.15%, 3/18/2019 (a)		350,000		351,586

ELECTRONICS — 1.0%
Honeywell International, Inc. 3 Month USD LIBOR + 0.28% 1.66%, 10/30/2019 (a)		235,000		235,705

IT SERVICES — 2.9%
Apple, Inc. 3 Month USD LIBOR + 0.25% 1.63%, 5/3/2018 (a)		250,000		250,150
International Business Machines Corp.:
3 Month USD LIBOR + 0.19%, 1.58%, 2/6/2018 (a)		205,000		204,998
3 Month USD LIBOR + 0.23%, 1.60%, 1/27/2020 (a)		250,000		250,700

				705,848

MACHINERY, CONSTRUCTION & MINING — 2.3%
Caterpillar Financial Services Corp.:
3 month USD LIBOR + 0.28%, 1.94%, 3/22/2019 (a)		300,000		300,600
Series MTN, 3 Month USD LIBOR + 0.18%, 1.69%, 12/6/2018 (a)		250,000		250,105

				550,705

MACHINERY-DIVERSIFIED — 0.8%
John Deere Capital Corp. 3 Month USD LIBOR + 0.57% 2.27%, 1/8/2019 (a)		200,000		201,002

MEDIA — 2.7%
NBCUniversal Enterprise, Inc.:
1.66%, 4/15/2018 (b)		250,000		249,850
3 Month USD LIBOR + 0.40%, 2.09%, 4/1/2021 (a) (b)		400,000		401,056

				650,906

MISCELLANEOUS MANUFACTURER — 2.9%
General Electric Co. Series MTN, 3 Month USD LIBOR + 0.71% 2.40%, 4/2/2018 (a)		200,000		200,280
Siemens Financieringsmaatschappij NV 3 Month USD LIBOR + 0.32% 1.88%, 9/13/2019 (a) (b)		500,000		501,735

				702,015

OIL & GAS — 6.9%
BP Capital Markets PLC:
3 Month USD LIBOR + 0.43%, 1.84%, 2/13/2018 (a)		250,000		250,048
3 Month USD LIBOR + 0.65%, 2.26%, 9/19/2022 (a)		250,000		251,590
ConocoPhillips Co.:
3 Month USD LIBOR + 0.33%, 1.75%, 5/15/2018 (a)		100,000		100,026
3 Month USD LIBOR + 0.90%, 2.32%, 5/15/2022 (a)		250,000		254,737
Shell International Finance B.V.:
3 Month USD LIBOR + 0.35%, 1.90%, 9/12/2019 (a)		300,000		301,356
3 Month USD LIBOR + 0.58%, 1.99%, 11/10/2018 (a)		250,000		251,075
Statoil ASA 3 Month USD LIBOR + 0.46% 1.86%, 11/8/2018 (a)		250,000		250,707

				1,659,539

PHARMACEUTICALS — 1.0%
Pfizer, Inc. 3 Month USD LIBOR + 0.30% 1.89%, 6/15/2018 (a)		250,000		250,225

See accompanying notes to financial statements.

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
RETAIL — 3.5%
Home Depot, Inc. 3 Month USD LIBOR + 0.15% 1.64%, 6/5/2020 (a)	$	350,000	$	350,602
Lowe’s Cos., Inc.:
3 Month USD LIBOR + 0.42%, 1.96%, 9/10/2019 (a)		250,000		251,327
3 Month USD LIBOR + 0.60%, 2.17%, 9/14/2018 (a)		250,000		250,915

				852,844

SEMICONDUCTORS — 1.3%
QUALCOMM, Inc.:
3 Month USD LIBOR + 0.27%, 1.71%, 5/18/2018 (a)		150,000		150,021
3 Month USD LIBOR + 0.36%, 1.80%, 5/20/2019 (a)		150,000		150,273

				300,294

SOFTWARE — 1.0%
Oracle Corp. 3 Month USD LIBOR + 0.51% 1.86%, 10/8/2019 (a)		250,000		251,795

TELECOMMUNICATIONS — 1.9%
Cisco Systems, Inc.:
3 Month USD LIBOR + 0.31%, 1.90%, 6/15/2018 (a)		150,000		150,150
3 Month USD LIBOR + 0.34%, 1.97%, 9/20/2019 (a)		310,000		311,404

				461,554

TRANSPORTATION — 0.8%
United Parcel Service, Inc. 3 Month USD LIBOR + 0.45% 2.14%, 4/1/2023 (a)		200,000		200,546

TOTAL CORPORATE BONDS & NOTES (Cost $16,285,978)				16,320,532

FOREIGN GOVERNMENT OBLIGATIONS — 1.0%
CANADA — 1.0%
Province of Quebec Canada Series MTN, 3 Month USD LIBOR + 0.13%, 1.77%, 9/21/2020 (a) (Cost $250,000)		250,000		250,060

U.S. TREASURY OBLIGATIONS — 14.4%
Treasury Notes:
0.63%, 6/30/2018		600,000		597,388
0.88%, 3/31/2018		650,000		649,162
1.00%, 11/30/2018		1,200,000		1,191,549
1.25%, 6/30/2019		550,000		545,125
1.38%, 9/30/2019		500,000		495,693

TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,490,889)				3,478,917


	Shares
SHORT-TERM INVESTMENTS — 1.9%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (c) (d) (Cost $453,598)		453,598		453,598

TOTAL INVESTMENTS — 101.0% (Cost $24,360,680)				24,380,678
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.0)%				(245,932	)

NET ASSETS — 100.0%			$	24,134,746

(a)	Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(b)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 13.9% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d)	The rate shown is the annualized seven-day yield at December 31, 2017.

BKNT = Bank Notes

GMTN = Global Medium Term Note

LIBOR = London Interbank Offered Rate

MTN = Medium Term Note


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Corporate Bonds & Notes
Auto Manufacturers	$	—	$	2,554,805	$	—	$	2,554,805
Diversified Financial Services		—		351,586		—		351,586
Beverages		—		452,098		—		452,098
IT Services		—		705,848		—		705,848
Banks		—		5,188,147		—		5,188,147

See accompanying notes to financial statements.

SSGA Ultra Short Term Bond Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Oil & Gas	$	—	$	1,659,539	$	—	$	1,659,539
Machinery, Construction & Mining		—		550,705		—		550,705
Telecommunications		—		461,554		—		461,554
Machinery-Diversified		—		201,002		—		201,002
Miscellaneous Manufacturer		—		702,015		—		702,015
Retail		—		852,844		—		852,844
Electronics		—		235,705		—		235,705
Media		—		650,906		—		650,906
Software		—		251,795		—		251,795
Pharmaceuticals		—		250,225		—		250,225
Semiconductors		—		300,294		—		300,294
Transportation		—		200,546		—		200,546
Aerospace & Defense		—		250,858		—		250,858
Biotechnology		—		500,060		—		500,060
Asset-Backed Securities
Automobile		—		1,167,908		—		1,167,908
Credit Card		—		2,709,663		—		2,709,663
U.S. Treasury Obligations		—		3,478,917		—		3,478,917
Foreign Government Obligations		—		250,060		—		250,060
Short-Term Investments		453,598		—		—		453,598

TOTAL INVESTMENTS	$	453,598	$	23,927,080	$	—	$	24,380,678

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		133,860	$	133,860	$	6,046,228	$	5,726,490	$	—	$	—		453,598	$	453,598	$	1,833

See accompanying notes to financial statements.

STATE STREET DOUBLELINE TOTAL RETURN TACTICAL PORTFOLIO

SPDR DoubleLine Total Return Tactical ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the State Street DoubleLine Total Return Tactical Portfolio. The schedule of investments for the State Street DoubleLine Total Return Tactical Portfolio follows.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
ASSET-BACKED SECURITIES — 3.0%
Aegis Asset Backed Securities Trust 2006-1 Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 1.50% 1/25/2037 (a)	$	32,425,334	$	25,985,264
Ajax Mortgage Loan Trust:
Series 2016-B, Class A, 4.00%, 9/25/2065 (b) (c)		8,283,050		8,271,894
Series 2017-C, Class A, 3.75%, 7/25/2060 (b) (c)		7,940,486		7,911,449
Colony Starwood Homes Trust Series 2016-2A, Class D, 1 Month LIBOR + 2.35%, 3.83% 12/17/2033 (a) (b)		4,000,000		4,049,073
Flagship Credit Auto Trust Series 2016-3, Class B, 2.43% 6/15/2021 (b)		3,500,000		3,500,587
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50% 11/25/2037		3,028,726		2,174,390
Navient Student Loan Trust Series 2017-1A, Class A2, 1 Month USD LIBOR + 0.75%, 2.30% 7/26/2066 (a) (b)		13,500,000		13,645,651
OneMain Financial Issuance Trust Series 2015-1A, Class A, 3.19% 3/18/2026 (b)		24,000,000		24,122,697
Progress Residential Trust Series 2016-SFR2, Class D, 1 Month LIBOR + 2.50%, 3.96% 1/17/2034 (a) (b)		1,000,000		1,015,077
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.17%, 1.72% 12/25/2036 (a)		2,851,282		2,756,107
Towd Point Mortgage Trust Series 2015-1, Class AE, 3.00% 10/25/2053 (b)		2,214,348		2,225,575
US Residential Opportunity Fund IV Trust Series 2017-1III, Class A, 3.35% 11/27/2037 (b) (c)		9,000,000		8,975,119
Westlake Automobile Receivables Trust Series 2016-2A, Class B, 2.30% 11/15/2019 (b)		2,500,000		2,501,784

TOTAL ASSET-BACKED SECURITIES (Cost $106,659,701)				107,134,667

CORPORATE BONDS & NOTES — 13.7%
AUSTRALIA — 0.2%
Commonwealth Bank of Australia 2.75%, 3/10/2022 (b)		2,895,000		2,903,317
FMG Resources August 2006 Pty, Ltd. 4.75%, 5/15/2022 (b)		1,275,000		1,289,344
Macquarie Group, Ltd. 3 Month USD LIBOR + 1.02%, 3.19%, 11/28/2023 (a) (b)		3,600,000		3,574,944

				7,767,605

BELGIUM — 0.1%
Anheuser-Busch InBev Finance, Inc. 2.65%, 2/1/2021		3,305,000		3,324,367

BRAZIL — 0.1%
JBS USA LUX SA/JBS USA Finance, Inc.:
7.25%, 6/1/2021 (b)		1,769,000		1,797,746
7.25%, 6/1/2021 (b)		100,000		101,625
MARB BondCo PLC 7.00%, 3/15/2024 (b)		600,000		602,250
Marfrig Holdings Europe B.V. 8.00%, 6/8/2023 (b)		1,000,000		1,042,500

				3,544,121

CANADA — 0.3%
1011778 BC ULC/New Red Finance, Inc. 4.25%, 5/15/2024 (b)		1,885,000		1,880,288
Canadian Natural Resources, Ltd. 2.95%, 1/15/2023		3,855,000		3,834,915
Fortis, Inc. Series WI, 2.10%, 10/4/2021		1,605,000		1,565,139
Royal Bank of Canada Series MTN, 2.35%, 10/30/2020		3,605,000		3,599,448

				10,879,790

CAYMAN ISLANDS — 0.1%
Cosan Overseas, Ltd. 8.25%, 11/29/2049		4,314,000		4,416,026
Industrial Senior Trust Series REGS, 5.50%, 11/1/2022		500,000		510,000

				4,926,026

CHILE — 0.8%
Banco de Credito e Inversiones Series REGS, 4.00%, 2/11/2023		2,000,000		2,082,771
Banco del Estado de Chile:
Series REGS, 3.88%, 2/8/2022		1,500,000		1,562,777
Series REGS, 4.13%, 10/7/2020		1,900,000		1,981,292
Banco Santander Chile Series REGS, 3.88%, 9/20/2022		434,000		451,053
Celulosa Arauco y Constitucion SA 4.75%, 1/11/2022		1,400,000		1,481,190
Embotelladora Andina SA Series REGS, 5.00%, 10/1/2023		4,900,000		5,391,916
Guanay Finance, Ltd. Series REGS, 6.00%, 12/15/2020		1,270,630		1,305,001
Inversiones CMPC SA Series REGS, 4.50%, 4/25/2022		2,130,000		2,229,753
Itau CorpBanca Series REGS, 3.88%, 9/22/2019		7,214,000		7,355,462
SACI Falabella 3.75%, 4/30/2023		3,600,000		3,686,702
Transelec SA Series REGS, 3.88%, 1/12/2029		1,000,000		990,000

				28,517,917

CHINA — 0.7%
Alibaba Group Holding, Ltd.:
2.80%, 6/6/2023		200,000		199,566
3.13%, 11/28/2021		560,000		568,876
CNOOC Finance 2011, Ltd. Series REGS, 4.25%, 1/26/2021		700,000		727,550

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
CNOOC Finance 2012, Ltd. Series REGS, 3.88%, 5/2/2022	$	1,100,000	$	1,133,838
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025		5,700,000		5,758,881
CNPC General Capital, Ltd.:
Series REGS, 3.40%, 4/16/2023		3,000,000		3,029,807
Series REGS, 3.95%, 4/19/2022		500,000		518,325
CNPC HK Overseas Capital, Ltd. Series REGS, 4.50%, 4/28/2021		3,700,000		3,886,691
Sinopec Group Overseas Development 2016, Ltd.:
Series REGS, 2.75%, 5/3/2021		2,000,000		1,993,234
Series REGS, 2.75%, 9/29/2026		4,300,000		4,080,520
Sinopec Group Overseas Development 2017, Ltd.:
2.25%, 9/13/2020 (b)		800,000		789,434
3.63%, 4/12/2027 (b)		700,000		704,193

				23,390,915

COLOMBIA — 0.0% (d)
Bancolombia SA 6.13%, 7/26/2020		400,000		427,000

COSTA RICA — 0.1%
Banco Nacional de Costa Rica:
Series REGS, 5.88%, 4/25/2021 (b)		1,700,000		1,770,125
Series REGS, 5.88%, 4/25/2021		1,290,000		1,343,213

				3,113,338

DOMINICAN REPUBLIC — 0.2%
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It 7.95%, 5/11/2026 (b)		2,200,000		2,381,500
Banco de Reservas de la Republica Dominicana:
Series REGS, 7.00%, 2/1/2023 (b)		1,200,000		1,265,058
Series REGS, 7.00%, 2/1/2023		2,750,000		2,899,091

				6,545,649

HONG KONG — 0.2%
CK Hutchison International 17, Ltd.:
2.25%, 9/29/2020 (b)		400,000		396,108
2.75%, 3/29/2023 (b)		1,000,000		980,930
3.50%, 4/5/2027 (b)		2,600,000		2,598,140
Series REGS, 2.88%, 4/5/2022		900,000		896,682
Hutchison Whampoa International 12 II, Ltd. 3.25%, 11/8/2022		2,600,000		2,628,154

				7,500,014

INDIA — 1.0%
Adani Ports & Special Economic Zone, Ltd.:
3.50%, 7/29/2020		700,000		707,221
Series REGS, 3.95%, 1/19/2022		2,500,000		2,549,472
Bharat Petroleum Corp., Ltd. 4.63%, 10/25/2022		1,100,000		1,160,940
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%, 3/11/2023		3,400,000		3,603,282
Bharti Airtel, Ltd. Series REGS, 4.38%, 6/10/2025		4,000,000		4,070,063
BPRL International Singapore Pte, Ltd. Series EMTN, 4.38%, 1/18/2027		3,900,000		4,021,692
Export-Import Bank of India Series EMTN, 3.13%, 7/20/2021		2,150,000		2,159,327
Indian Oil Corp., Ltd.:
5.63%, 8/2/2021		2,000,000		2,170,394
5.75%, 8/1/2023		4,900,000		5,458,316
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026		6,500,000		6,467,565
Reliance Holding USA, Inc. Series REGS, 4.50%, 10/19/2020		1,650,000		1,725,105

				34,093,377

ISRAEL — 0.0% (d)
Delek & Avner Tamar Bond, Ltd.:
4.44%, 12/30/2020 (b)		1,600,000		1,602,528
5.41%, 12/30/2025 (b)		140,000		140,921

				1,743,449

JAMAICA — 0.1%
Digicel Group, Ltd.:
Series REGS, 7.13%, 4/1/2022		3,300,000		3,056,625
Series REGS, 8.25%, 9/30/2020		1,000,000		983,790

				4,040,415

JAPAN — 0.1%
Sumitomo Mitsui Financial Group, Inc. 2.85%, 1/11/2022		2,785,000		2,787,590

MALAYSIA — 0.7%
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020		6,200,000		6,276,458
Gohl Capital, Ltd. 4.25%, 1/24/2027		5,000,000		5,127,635
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (a)		7,700,000		7,862,193
Petronas Capital, Ltd. Series REGS, 3.50%, 3/18/2025		5,300,000		5,435,240
Petronas Global Sukuk, Ltd. Series REGS, 2.71%, 3/18/2020		1,900,000		1,901,486

				26,603,012

MEXICO — 0.3%
America Movil SAB de CV:
3.13%, 7/16/2022		1,000,000		1,012,930
5.00%, 3/30/2020		885,000		933,206
Banco Santander Mexico SA Series REGS, 5 Year CMT + 4.58%, 5.95%, 1/30/2024 (a)		3,500,000		3,640,000
Coca-Cola Femsa SAB de CV 3.88%, 11/26/2023		650,000		679,003
Fomento Economico Mexicano SAB de CV 2.88%, 5/10/2023		2,314,000		2,292,225
Grupo Idesa SA de CV 7.88%, 12/18/2020		2,000,000		1,880,000
Sixsigma Networks Mexico SA de CV Series REGS, 8.25%, 11/7/2021		200,000		211,500

				10,648,864

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
NETHERLANDS — 0.0% (d)
Ajecorp B.V. Series REGS, 6.50%, 5/14/2022	$	150,000	$	133,500

NEW ZEALAND — 0.1%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.13%, 7/15/2023 (b)		1,900,000		1,966,500

PANAMA — 0.2%
Global Bank Corp. Series REGS, 5.13%, 10/30/2019		7,521,000		7,774,458

PERU — 0.2%
Banco de Credito del Peru Series REGS, 5.38%, 9/16/2020		2,300,000		2,449,500
Banco Internacional del Peru SAA Series REGS, 3 Month USD LIBOR + 6.74%, 8.50%, 4/23/2070 (a)		500,000		549,000
BBVA Banco Continental SA Series REGS, 5.00%, 8/26/2022		1,000,000		1,078,750
Corp. Financiera de Desarrollo SA Series REGS, 3.25%, 7/15/2019		1,000,000		1,007,500
Transportadora de Gas del Peru SA 4.25%, 4/30/2028		2,500,000		2,585,000

				7,669,750

PHILIPPINES — 0.2%
BDO Unibank, Inc.:
2.95%, 3/6/2023		6,200,000		6,078,858
Series MTN, 2.63%, 10/24/2021		1,450,000		1,435,596

				7,514,454

QATAR — 0.0% (d)
Ooredoo International Finance, Ltd. Series REGS, 3.88%, 1/31/2028		1,800,000		1,788,084

SINGAPORE — 0.9%
DBS Group Holdings, Ltd.:
3 Month USD LIBOR + 0.62%, 1.99%, 7/25/2022 (a) (b)		5,100,000		5,127,314
Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (a)		1,300,000		1,294,193
Series REGS, 3 Month USD LIBOR + 0.62%, 1.99%, 7/25/2022 (a)		1,200,000		1,206,427
ONGC Videsh Vankorneft Pte, Ltd. 2.88%, 1/27/2022		700,000		691,847
Oversea-Chinese Banking Corp., Ltd. Series REGS, USD 5 Year Swap Rate + 2.20%, 4.00%, 10/15/2024 (a)		5,000,000		5,087,463
SingTel Group Treasury Pte, Ltd. Series EMTN, 4.50%, 9/8/2021		1,300,000		1,380,857
SP PowerAssets, Ltd. 2.70%, 9/14/2022		500,000		497,941
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023		7,650,000		7,552,856
United Overseas Bank, Ltd.:
USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026 (a)		4,500,000		4,529,385
Series EMTN, USD 5 Year Swap Rate + 2.00%, 3.75%, 9/19/2024 (a)		3,100,000		3,136,595

				30,504,878

UNITED ARAB EMIRATES — 0.0% (d)
DAE Funding LLC 4.50%, 8/1/2022 (b)		1,150,000		1,129,875

UNITED KINGDOM — 0.3%
AstraZeneca PLC 2.38%, 6/12/2022		2,150,000		2,122,587
Reynolds American, Inc. 4.00%, 6/12/2022		3,440,000		3,594,490
Royal Bank of Scotland Group PLC 3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (a)		3,555,000		3,562,359

				9,279,436

UNITED STATES — 6.8%
AbbVie, Inc. 3.20%, 11/6/2022		1,650,000		1,675,394
Aircastle, Ltd. 5.00%, 4/1/2023		625,000		659,375
Allergan Funding SCS:
3.80%, 3/15/2025		1,115,000		1,134,791
3.85%, 6/15/2024		2,375,000		2,439,695
Altice US Finance I Corp. 5.38%, 7/15/2023 (b)		1,850,000		1,898,562
Amazon.com, Inc.:
2.60%, 12/5/2019		1,825,000		1,843,578
2.80%, 8/22/2024 (b)		1,985,000		1,979,402
3.80%, 12/5/2024		1,255,000		1,327,589
American Axle & Manufacturing, Inc. 6.63%, 10/15/2022		1,260,000		1,306,463
American Electric Power Co., Inc. 3.20%, 11/13/2027		300,000		298,194
American Express Co. 2.50%, 8/1/2022		3,670,000		3,625,556
Anthem, Inc. 3.30%, 1/15/2023		2,982,000		3,026,044
AT&T, Inc. 3.80%, 3/1/2024		1,550,000		1,586,503
B&G Foods, Inc. 5.25%, 4/1/2025		1,840,000		1,866,450
Bank of America Corp. Series GMTN, 3 Month USD LIBOR + 0.66%, 2.37%, 7/21/2021 (a)		3,675,000		3,666,915
Becton Dickinson and Co. 2.89%, 6/6/2022		3,635,000		3,613,528
Boston Properties L.P. 3.65%, 2/1/2026		3,725,000		3,787,729
BWAY Holding Co. 5.50%, 4/15/2024 (b)		1,845,000		1,923,412
Calpine Corp. 5.75%, 1/15/2025		950,000		897,750
Cardinal Health, Inc. 3.41%, 6/15/2027		3,605,000		3,535,099
Caterpillar, Inc. 3.40%, 5/15/2024		2,791,000		2,894,685
CBS Corp. 3.70%, 6/1/2028 (b)		190,000		186,783
CCO Holdings LLC/CCO Holdings Capital Corp.:
4.00%, 3/1/2023 (b)		455,000		449,904
5.13%, 5/1/2023 (b)		325,000		331,500
Celgene Corp. 4.35%, 11/15/2047		3,700,000		3,853,883
Centene Corp. 4.75%, 1/15/2025		1,855,000		1,887,462
Charter Communications Operating LLC/Charter Communications Operating Capital 4.46%, 7/23/2022		1,575,000		1,645,623
Cheniere Energy Partners L.P. 5.25%, 10/1/2025 (b)		935,000		952,531

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Cincinnati Bell, Inc. 7.00%, 7/15/2024 (b)	$	1,179,000	$	1,170,158
Cisco Systems, Inc. 2.50%, 9/20/2026		1,730,000		1,673,983
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (a)		3,565,000		3,611,702
Comcast Corp. 4.40%, 8/15/2035		3,563,000		3,899,525
CommScope, Inc. 5.00%, 6/15/2021 (b)		1,350,000		1,373,625
CRC Escrow Issuer LLC/CRC Finco, Inc. 5.25%, 10/15/2025 (b)		1,920,000		1,936,800
CSC Holdings LLC 6.75%, 11/15/2021		276,000		296,010
Delta Air Lines, Inc. 3.63%, 3/15/2022		2,230,000		2,268,066
Discover Financial Services 4.10%, 2/9/2027		1,930,000		1,977,536
Dollar Tree, Inc. 5.75%, 3/1/2023		1,034,000		1,081,823
Duke Energy Corp. 2.65%, 9/1/2026		3,810,000		3,651,009
eBay, Inc. 2.75%, 1/30/2023		1,985,000		1,966,559
Energy Transfer Equity L.P. 4.25%, 3/15/2023		1,800,000		1,782,000
Energy Transfer L.P.:
4.20%, 4/15/2027		280,000		279,250
4.75%, 1/15/2026		2,330,000		2,420,777
Enterprise Products Operating LLC 3.75%, 2/15/2025		2,355,000		2,426,333
Envision Healthcare Corp. 6.25%, 12/1/2024 (b)		320,000		330,800
EQT Corp. 3.90%, 10/1/2027		3,685,000		3,672,471
Equinix, Inc. 5.38%, 4/1/2023		1,840,000		1,902,560
ESH Hospitality, Inc. 5.25%, 5/1/2025 (b)		2,010,000		2,030,100
Expedia, Inc. 3.80%, 2/15/2028		3,640,000		3,517,355
FedEx Corp. 4.75%, 11/15/2045		3,400,000		3,816,534
First Data Corp. 5.75%, 1/15/2024 (b)		1,325,000		1,373,031
General Motors Co. 3 Month USD LIBOR + 0.80%, 2.19%, 8/7/2020 (a)		820,000		824,910
General Motors Financial Co., Inc. 3.95%, 4/13/2024		3,265,000		3,361,383
Georgia-Pacific LLC 3.60%, 3/1/2025 (b)		3,288,000		3,379,154
Goldman Sachs Group, Inc. 3 Month USD LIBOR + 0.78%, 2.16%, 10/31/2022 (a)		3,710,000		3,714,820
Goodyear Tire & Rubber Co. 5.13%, 11/15/2023		1,345,000		1,398,800
Gray Television, Inc. 5.13%, 10/15/2024 (b)		1,915,000		1,910,212
HCA, Inc. 4.25%, 10/15/2019		2,165,000		2,197,475
Hilton Domestic Operating Co., Inc. 4.25%, 9/1/2024		1,800,000		1,820,250
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 6.25%, 2/1/2022		1,950,000		2,003,625
John Deere Capital Corp. Series MTN, 2.65%, 1/6/2022		795,000		800,708
JPMorgan Chase & Co. 2.25%, 1/23/2020		3,650,000		3,647,336
Kinder Morgan, Inc. 3.05%, 12/1/2019		1,995,000		2,012,476
Kraft Heinz Foods Co. 2.80%, 7/2/2020		3,590,000		3,609,961
Laboratory Corp. of America Holdings 3.60%, 2/1/2025		3,271,000		3,333,051
Level 3 Financing, Inc. 5.38%, 8/15/2022		1,915,000		1,939,512
Level 3 Parent LLC 5.75%, 12/1/2022		1,301,000		1,304,643
Live Nation Entertainment, Inc. 4.88%, 11/1/2024 (b)		600,000		616,500
LTF Merger Sub, Inc. 8.50%, 6/15/2023 (b)		1,700,000		1,799,875
Microsoft Corp. 2.40%, 2/6/2022		1,805,000		1,805,036
Morgan Stanley 2.75%, 5/19/2022		3,855,000		3,839,580
Mosaic Co. 4.05%, 11/15/2027		1,810,000		1,813,946
National Rural Utilities Cooperative Finance Corp. 2.30%, 11/1/2020		1,947,000		1,943,418
Nationstar Mortgage LLC/Nationstar Capital Corp. 6.50%, 7/1/2021		1,460,000		1,478,250
Navient Corp. 6.50%, 6/15/2022		1,310,000		1,372,225
NCL Corp., Ltd. 4.75%, 12/15/2021 (b)		1,810,000		1,871,087
New York Life Global Funding 2.30%, 6/10/2022 (b)		1,705,000		1,681,121
Nexstar Broadcasting, Inc. 5.63%, 8/1/2024 (b)		900,000		927,000
NextEra Energy Operating Partners L.P. 4.25%, 9/15/2024 (b)		1,785,000		1,814,095
NGL Energy Partners L.P./NGL Energy Finance Corp. 6.13%, 3/1/2025		1,665,000		1,621,294
NRG Energy, Inc. 6.25%, 7/15/2022		825,000		858,000
NUVEEN FINANCE LLC 4.13%, 11/1/2024 (b)		3,220,000		3,398,253
Outfront Media Capital LLC/Outfront Media Capital Corp. 5.25%, 2/15/2022		760,000		779,000
Packaging Corp. of America 3.40%, 12/15/2027		905,000		909,344
Peabody Energy Corp. 6.00%, 3/31/2022 (b)		2,253,000		2,343,120
Penske Automotive Group, Inc. 3.75%, 8/15/2020		1,790,000		1,823,562
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027 (b)		675,000		701,634
Pilgrim’s Pride Corp. 5.75%, 3/15/2025 (b)		925,000		956,265
Post Holdings, Inc. 5.50%, 3/1/2025 (b)		1,800,000		1,860,750
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (b)		1,245,000		1,378,838
Prudential Financial, Inc. Series MTN, 3.50%, 5/15/2024		3,480,000		3,616,312

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Quintiles IMS, Inc. 4.88%, 5/15/2023 (b)	$	2,200,000	$	2,279,750
Reliance Holding USA, Inc. Series REGS, 5.40%, 2/14/2022		5,350,000		5,810,732
Republic Services, Inc. 3.38%, 11/15/2027		1,815,000		1,831,063
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027		2,500,000		2,672,700
Santander Holdings USA, Inc. 3.40%, 1/18/2023 (b)		1,850,000		1,845,375
SBA Communications Corp. 4.00%, 10/1/2022 (b)		1,895,000		1,899,737
Scientific Games International, Inc. 7.00%, 1/1/2022 (b)		1,160,000		1,222,350
Select Medical Corp. 6.38%, 6/1/2021		1,350,000		1,383,750
Simon Property Group L.P. 2.75%, 6/1/2023		1,760,000		1,757,096
Sirius XM Radio, Inc.:
3.88%, 8/1/2022 (b)		785,000		790,809
5.38%, 7/15/2026 (b)		625,000		646,484
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (b)		2,265,000		2,296,144
Smithfield Foods, Inc. 4.25%, 2/1/2027 (b)		1,620,000		1,662,435
Southern Co.:
1.85%, 7/1/2019		1,320,000		1,311,328
2.45%, 9/1/2018		2,405,000		2,411,992
Spectrum Brands, Inc. 6.63%, 11/15/2022		1,197,000		1,241,139
Starwood Property Trust, Inc. 4.75%, 3/15/2025 (b)		1,915,000		1,900,637
Sysco Corp. 3.25%, 7/15/2027		1,820,000		1,820,673
Tempur Sealy International, Inc. 5.63%, 10/15/2023		925,000		962,000
TerraForm Power Operating LLC 4.25%, 1/31/2023 (b)		1,890,000		1,871,100
Transocean Proteus, Ltd. 6.25%, 12/1/2024 (b)		846,000		887,243
TreeHouse Foods, Inc. 6.00%, 2/15/2024 (b)		375,000		390,000
Tribune Media Co. 5.88%, 7/15/2022		1,045,000		1,073,738
United Continental Holdings, Inc. 4.25%, 10/1/2022		1,905,000		1,914,525
Valeant Pharmaceuticals International, Inc. 6.50%, 3/15/2022 (b)		1,260,000		1,326,150
Valero Energy Corp. 6.63%, 6/15/2037		1,025,000		1,358,125
Verizon Communications, Inc. 3.50%, 11/1/2024		1,510,000		1,536,410
VMware, Inc. 2.95%, 8/21/2022		3,870,000		3,860,944
Waste Management, Inc. 3.13%, 3/1/2025		3,547,000		3,575,412
WellCare Health Plans, Inc. 5.25%, 4/1/2025		1,375,000		1,454,063
Wells Fargo & Co.:
3.07%, 1/24/2023		1,810,000		1,826,091
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (a)		1,785,000		1,818,504
Whiting Petroleum Corp. 5.00%, 3/15/2019		945,000		969,098
Williams Partners L.P. 3.75%, 6/15/2027		1,710,000		1,713,181

				242,540,006

TOTAL CORPORATE BONDS & NOTES (Cost $487,218,764)				490,154,390

FOREIGN GOVERNMENT OBLIGATIONS — 2.4%
CHILE — 0.3%
Chile Government International Bond:
2.25%, 10/30/2022		700,000		690,361
3.13%, 3/27/2025		2,200,000		2,243,142
3.13%, 1/21/2026		8,300,000		8,434,875

				11,368,378

COSTA RICA — 0.1%
Costa Rica Government International Bond 10.00%, 8/1/2020		2,905,000		3,340,750

INDIA — 0.1%
Export-Import Bank of India:
3 Month USD LIBOR + 1.00%, 2.44%, 8/21/2022 (a)		1,300,000		1,305,434
Series EMTN, 2.75%, 4/1/2020		200,000		199,684
Series EMTN, 4.00%, 1/14/2023		2,050,000		2,122,816

				3,627,934

INDONESIA — 0.3%
Indonesia Government International Bond Series REGS, 4.88%, 5/5/2021		2,300,000		2,452,959
Perusahaan Penerbit SBSN Indonesia III:
Series 144A, 4.15%, 3/29/2027 (b)		4,500,000		4,646,700
Series REGS, 4.15%, 3/29/2027		2,000,000		2,065,200

				9,164,859

ISRAEL — 0.3%
Israel Government International Bond:
2.88%, 3/16/2026		3,900,000		3,894,072
3.15%, 6/30/2023		1,500,000		1,533,480
4.00%, 6/30/2022		3,400,000		3,604,748

				9,032,300

MALAYSIA — 0.2%
Malaysia Sovereign Sukuk Bhd:
3.04%, 4/22/2025		2,900,000		2,908,700
Series REGS, 3.18%, 4/27/2026		2,250,000		2,266,650
Wakala Global Sukuk Bhd 4.65%, 7/6/2021		1,000,000		1,066,300

				6,241,650

MEXICO — 0.3%
Mexico Government International Bond:
4.00%, 10/2/2023		2,500,000		2,619,700
4.13%, 1/21/2026		5,200,000		5,432,440
4.15%, 3/28/2027		3,500,000		3,636,150

				11,688,290

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
PANAMA — 0.3%
Panama Government International Bond:
3.88%, 3/17/2028	$	2,800,000	$	2,928,492
4.00%, 9/22/2024		5,600,000		5,954,648

				8,883,140

PERU — 0.2%
Banco de Credito del Peru Series REGS, 2.25%, 10/25/2019		5,200,000		5,200,000
Fondo MIVIVIENDA SA:
Series 144A, 3.50%, 1/31/2023 (b)		800,000		803,120
Series REGS, 3.50%, 1/31/2023		1,800,000		1,807,020

				7,810,140

PHILIPPINES — 0.3%
Philippine Government International Bond:
3.70%, 2/2/2042		3,000,000		2,985,960
4.20%, 1/21/2024		7,900,000		8,583,430

				11,569,390

POLAND — 0.0% (d)
Poland Government International Bond 5.13%, 4/21/2021		1,100,000		1,191,388

TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $83,401,777)				83,918,219


SENIOR FLOATING RATE LOANS — 6.5% (e)
AEROSPACE & DEFENSE — 0.0% (d)
TransDigm, Inc.:
Senior Secured Extended Term Loan F 4.36%, 6/9/2023		573,563		575,074
Senior Secured Term Loan G 4.67%, 8/22/2024		1,308,425		1,316,151

				1,891,225

AUTO COMPONENTS — 0.1%
CH Hold Corp. Senior Secured 1st Lien Term Loan 4.57%, 2/1/2024		108,160		108,972
Federal-Mogul Holdings Corp. Senior Secured Term Loan C 5.25%, 4/15/2021		3,230,084		3,258,557

				3,367,529

CAPITAL MARKETS — 0.1%
Duff & Phelps Corp. Senior Secured Term Loan B Zero Coupon, 11/29/2024		2,545,000		2,553,589

CHEMICALS — 0.1%
Kraton Polymers LLC Senior Secured Term Loan 4.57%, 1/6/2022		2,128,544		2,153,703

COMMERCIAL SERVICES & SUPPLIES — 0.3%
Asurion LLC Senior Secured Term Loan B5 4.57%, 11/3/2023		4,655,166		4,683,191
Prime Security Services Borrower LLC Senior Secured 1st Lien Term Loan 4.32%, 5/2/2022		4,532,237		4,570,965
West Corp. Senior Secured Term Loan 5.35%, 10/10/2024		1,450,000		1,455,735

				10,709,891

COMMUNICATIONS EQUIPMENT — 0.2%
Avaya, Inc. Senior Secured Exit Term Loan B 6.23%, 12/15/2024		4,200,000		4,140,948
Digicel International Finance, Ltd. Senior Secured Term Loan B 5.31%, 5/28/2024		2,319,188		2,332,233
Riverbed Technology, Inc. Senior Secured Term Loan 4.82%, 4/24/2022		230,000		226,902

				6,700,083

CONSTRUCTION & ENGINEERING — 0.1%
Brand Energy & Infrastructure Services, Inc. Senior Secured Term Loan 5.62%, 6/21/2024		4,263,575		4,285,703

CONSTRUCTION MATERIALS — 0.1%
Traverse Midstream Partners LLC Senior Secured Term Loan 5.85%, 9/27/2024		2,310,000		2,343,784

CONTAINERS & PACKAGING — 0.2%
Berry Plastics Group, Inc. Senior Secured Term Loan M 3.77%, 10/1/2022		3,498,627		3,516,785
BWAY Holding Company Senior Secured Term Loan B 4.60%, 4/3/2024		547,250		550,230
Reynolds Group Holdings, Inc. Senior Secured Term Loan 4.32%, 2/5/2023		4,053,648		4,077,361

				8,144,376

DISTRIBUTORS — 0.0% (d)
American Tire Distributors Holdings, Inc. Senior Secured Term Loan 5.82%, 9/1/2021		465,104		469,101

DIVERSIFIED FINANCIAL SERVICES — 0.0% (d)
AlixPartners LLP Senior Secured Term Loan B 4.44%, 4/4/2024		1,994,925		2,008,101

DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3%
CenturyLink Escrow LLC Senior Secured Term Loan B 4.32%, 1/31/2025		3,440,000		3,323,900
Intelsat Jackson Holdings S.A. Senior Secured Term Loan B3 5.21%, 11/27/2023		4,700,000		4,611,875
Telesat Canada Senior Secured Term Loan B4 4.70%, 11/17/2023		3,961,336		3,984,233

				11,920,008

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
ELECTRIC UTILITIES — 0.1%
EFS Cogen Holdings I LLC Senior Secured Term Loan B 4.95%, 6/28/2023	$	3,823,357	$	3,865,337

ELECTRICAL EQUIPMENT — 0.1%
Gates Global LLC Senior Secured Repriced Term Loan B 4.69%, 4/1/2024		2,133,902		2,148,722

ENERGY EQUIPMENT & SERVICES — 0.1%
BCP Renaissance Parent LLC Senior Secured Term Loan B 5.38%, 10/31/2024		2,330,000		2,360,873

FINANCIAL SERVICES — 0.0% (d)
GTCR Valor Companies, Inc. Senior Secured Term Loan B1 5.94%, 6/16/2023		1,586,025		1,607,175

FOOD & STAPLES RETAILING — 0.2%
Albertsons LLC Senior Secured Term Loan B4 4.32%, 8/25/2021		3,618,365		3,551,950
BJ’s Wholesale Club, Inc. Senior Secured 1st Lien Term Loan 4.95%, 2/3/2024		3,213,850		3,166,654

				6,718,604

FOOD PRODUCTS — 0.0% (d)
CSM Bakery Solutions LLC Senior Secured 1st Lien Term Loan 5.34%, 7/3/2020		808,032		800,356

HEALTH CARE PROVIDERS & SERVICES — 0.4%
Air Methods Corp. Senior Secured Term Loan B 5.19%, 4/21/2024		2,630,701		2,630,294
CHG Healthcare Services, Inc. Senior Secured 1st Lien Term Loan B 4.48%, 6/7/2023		2,626,419		2,650,635
Envision Healthcare Corp. Senior Secured Term Loan B 4.57%, 12/1/2023		3,088,472		3,100,687
HCA Inc. Senior Secured Term Loan B8 3.82%, 2/15/2024		495,009		498,682
Select Medical Corp. Senior Secured Term Loan B 4.85%, 3/1/2021		3,364,575		3,402,427
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan 4.32%, 2/6/2024		3,955,113		3,861,198
U.S. Renal Care, Inc. Senior Secured Term Loan B 5.94%, 12/31/2022		8,881		8,770

				16,152,693

HEALTH CARE TECHNOLOGY — 0.1%
Change Healthcare Holdings, Inc. Senior Secured Term Loan B 4.32%, 3/1/2024		4,064,288		4,076,237

HOTELS, RESTAURANTS & LEISURE — 1.0%
Caesars Resort Collection LLC Senior Secured 1st Lien Term Loan B 4.34%, 12/22/2024		3,770,000		3,791,546
CityCenter Holdings LLC Senior Secured Term Loan B 4.07%, 4/18/2024		4,648,482		4,674,932
ClubCorp Club Operations, Inc. Senior Secured Term Loan B 4.94%, 9/18/2024		3,339,304		3,357,303
Delta 2 (LUX) S.a.r.l. Senior Secured Term Loan B3 4.57%, 2/1/2024		4,335,000		4,364,803
Eldorado Resorts LLC Senior Secured Term Loan B 3.77%, 4/17/2024		1,412,031		1,414,897
Golden Nugget, Inc. Senior Secured Incremental Term Loan 4.77%, 10/4/2023		587,026		592,274
Intrawest Resorts Holdings, Inc. Senior Secured Term Loan B1 4.82%, 7/31/2024		2,495,000		2,517,617
LTF Merger Sub, Inc. Senior Secured Term Loan B 4.23%, 6/10/2022		4,066,169		4,085,666
MGM Growth Properties Operating Partnership LP Senior Secured Term Loan B 3.82%, 4/25/2023		3,909,401		3,929,632
Mohegan Tribal Gaming Authority Senior Secured Term Loan B 5.62%, 10/13/2023		143,799		145,305
Scientific Games International, Inc. Senior Secured Term Loan B4 4.70%, 8/14/2024		4,374,038		4,414,738
Travel Leaders Group LLC Senior Secured 1st Lien Term Loan 5.92%, 1/25/2024		948,757		963,586

				34,252,299

HOUSEHOLD PRODUCTS — 0.0% (d)
KIK Custom Products, Inc. Senior Secured Term Loan B 6.17%, 8/26/2022		1,040,682		1,049,007

INSURANCE — 0.2%
Acrisure LLC Senior Secured Term Loan B 5.65%, 11/22/2023		2,035,474		2,058,627
AssuredPartners, Inc. Senior Secured 1st Lien Add-On Term Loan 5.07%, 10/22/2024		4,673,288		4,709,319
York Risk Services Holding Corp. Senior Secured Term Loan B 5.32%, 10/1/2021		1,007,148		988,515

				7,756,461

INTERNET SOFTWARE & SERVICES — 0.0% (d)
SkillSoft Corp. Senior Secured 1st Lien Term Loan 6.32%, 4/28/2021		306,701		296,131

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
IT SERVICES — 0.3%
Optiv Security, Inc. Senior Secured 1st Lien Term Loan 4.63%, 2/1/2024	$	1,625,679	$	1,522,042
Peak 10, Inc. Senior Secured 1st Lien Term Loan 5.19%, 8/1/2024		4,339,125		4,343,876
TKC Holdings, Inc. Senior Secured 1st Lien Term Loan 5.67%, 2/1/2023		4,099,025		4,136,162

				10,002,080

LIFE SCIENCES TOOLS & SERVICES — 0.2%
Jaguar Holding Co. II Senior Secured Term Loan 4.38%, 8/18/2022		3,909,347		3,919,784
Parexel International Corp. Senior Secured Term Loan B 4.57%, 9/27/2024		1,975,050		1,986,160

				5,905,944

MACHINERY — 0.0% (d)
Milacron LLC Senior Secured Amended Term Loan B 4.32%, 9/28/2023		346,500		347,295

MEDIA — 0.7%
CBS Radio, Inc. Senior Secured Term Loan B 4.17%, 11/17/2024		2,285,000		2,300,469
CSC Holdings LLC Senior Secured 1st Lien Term Loan 3.74%, 7/17/2025		3,932,013		3,922,478
Mission Broadcasting, Inc. Senior Secured Term Loan B2 3.86%, 1/17/2024		135,110		135,653
Nexstar Broadcasting, Inc. Senior Secured Term Loan B2 3.86%, 1/17/2024		1,070,258		1,074,555
Radiate Holdco LLC Senior Secured 1st Lien Term Loan Zero Coupon, 2/1/2024		3,935,000		3,911,469
Rentpath, Inc. Senior Secured Term Loan 6.32%, 12/17/2021		860,052		864,219
Sinclair Television Group, Inc. Senior Secured Term Loan B Zero Coupon, 5/10/2024		3,820,000		3,818,224
Tribune Media Co.:
Senior Secured Term Loan 4.57%, 12/27/2020		83,967		84,194
Senior Secured Term Loan C 4.57%, 1/27/2024		3,836,509		3,847,903
WMG Acquisition Corp. Senior Secured Term Loan E 3.64%, 11/1/2023		3,950,000		3,958,335

				23,917,499

PHARMACEUTICALS — 0.1%
Grifols Worldwide Operations USA, Inc. Senior Secured Acquisition Term Loan 3.74%, 1/31/2025		3,920,375		3,931,940

REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1%
Capital Automotive L.P.:
Senior Secured 1st Lien Term Loan 4.07%, 3/24/2024		2,517,052		2,527,120
Senior Secured 2nd Lien Term Loan 7.57%, 3/24/2025		414,462		426,896

				2,954,016

SEMICONDUCTOR EQUIPMENT — 0.1%
Lumileds Holding B.V. Senior Secured Term Loan B 6.17%, 6/30/2024		2,736,250		2,757,907

SOFTWARE — 1.1%
Almonde, Inc. Senior Secured 1st Lien Term Loan 4.98%, 6/13/2024		3,930,150		3,945,556
Applied Systems, Inc. Senior Secured 1st Lien Term Loan 4.94%, 9/19/2024		4,548,600		4,602,615
Cengage Learning Acquisitions, Inc. Senior Secured Term Loan B 5.71%, 6/7/2023		4,675,000		4,475,658
Dell Inc. Senior Secured 1st Lien Term Loan 3.57%, 9/7/2023		3,729,882		3,732,437
Greeneden U.S. Holdings II LLC Senior Secured Term Loan B2 5.44%, 12/1/2023		2,189,499		2,204,552
Kronos, Inc. Senior Secured Term Loan B 4.90%, 11/1/2023		3,969,975		4,001,001
Quest Software US Holdings, Inc. Senior Secured Term Loan B 6.92%, 10/31/2022		4,350,127		4,427,407
RP Crown Parent LLC Senior Secured Term Loan B 4.57%, 10/12/2023		821,700		826,708
SolarWinds Holdings, Inc. Senior Secured Term Loan 5.07%, 2/5/2023		4,064,212		4,085,041
Solera Holdings, Inc. Senior Secured Term Loan B 4.82%, 3/3/2023		4,021,978		4,052,988
Sophia L.P. Senior Secured Term Loan B 4.94%, 9/30/2022		4,026,582		4,035,823

				40,389,786

SPECIALTY RETAIL — 0.1%
Jo-Ann Stores, Inc. Senior Secured Term Loan 6.55%, 10/20/2023		945,450		914,723
Staples, Inc. Senior Secured Term Loan B 5.49%, 9/12/2024		2,055,000		2,018,781

				2,933,504

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
TRADING COMPANIES & DISTRIBUTORS — 0.1%
Univar, Inc. Senior Secured Term Loan B 4.07%, 7/1/2024	$	2,254,374	$	2,264,835

TOTAL SENIOR FLOATING RATE LOANS (Cost $232,736,994)				233,035,794


COMMERCIAL MORTGAGE BACKED SECURITIES — 6.7%
A10 Securitization LLC:
Series 2016-1, Class A1, 2.42%, 3/15/2035 (b)		390,611		391,144
Atrium Hotel Portfolio Trust:
Series 2017-ATRM, Class E, 1 Month LIBOR + 3.05% 4.53%, 11/15/2019 (a) (b)		3,697,000		3,655,852
BAMLL Commercial Mortgage Securities Trust:
Series 2015-200P, Class XA, IO 0.38%, 4/14/2033 (a) (b)		30,000,000		775,758
Banc of America Commercial Mortgage Trust:
Series 2015-UBS7, Class C, 4.37%, 9/15/2048 (a)		945,000		967,530
BANK 2017-BNK4:
Series 2017-BNK4, Class XA, IO 1.46%, 5/15/2050 (a)		30,659,749		2,926,605
BANK 2017-BNK6:
Series 2017-BNK6, Class XA, IO 0.88%, 7/15/2060 (a)		55,525,028		3,401,380
BBCMS Mortgage Trust:
Series 2017-DELC, Class C, 1 Month LIBOR + 1.20% 2.68%, 8/15/2036 (a) (b)		863,000		861,160
Series 2017-DELC, Class D, 1 Month LIBOR + 1.70% 3.18%, 8/15/2036 (a) (b)		983,000		980,903
Series 2017-DELC, Class E, 1 Month LIBOR + 2.50% 3.98%, 8/15/2036 (a) (b)		2,060,000		2,055,601
Series 2017-DELC, Class F, 1 Month LIBOR + 3.50% 4.98%, 8/15/2036 (a) (b)		1,974,000		1,970,087
BBCMS Trust:
Series 2015-STP, Class D, 4.28%, 9/10/2028 (a) (b)		1,750,000		1,762,331
BX Trust 2017-APPL:
Series 2017-APPL, Class D, 1 Month LIBOR + 2.05% 3.53%, 7/15/2034 (a) (b)		1,344,000		1,346,944
Series 2017-APPL, Class E, 1 Month LIBOR + 3.15% 4.63%, 7/15/2034 (a) (b)		2,080,000		2,085,856
BX Trust 2017-SLCT:
Series 2017-IMC, Class D, 1 Month USD LIBOR + 2.25% 3.50%, 10/15/2032 (a) (b)		1,412,000		1,413,768
Series 2017-IMC, Class E, 1 Month USD LIBOR + 3.25% 4.50%, 10/15/2032 (a) (b)		2,277,000		2,279,850
Series 2017-SLCT, Class D, 1 Month LIBOR + 2.05% 3.53%, 7/15/2034 (a) (b)		1,291,000		1,292,216

Series 2017-SLCT, Class E, 1 Month LIBOR + 3.15% 4.63%, 7/15/2034 (a) (b)		2,124,000		2,133,297
CD Mortgage Trust:
Series 2017-CD4, Class XA, IO 1.33%, 5/10/2050 (a)		16,983,096		1,529,430
CFCRE Commercial Mortgage Trust:
Series 2016-C3, Class XA, IO 1.07%, 1/10/2048 (a)		24,764,874		1,650,824
Series 2016-C4, Class XA, IO 1.75%, 5/10/2058 (a)		19,644,325		2,088,809
Series 2017-C8, Class XA, IO 1.67%, 6/15/2050 (a)		28,291,444		3,141,270
CHT COSMO Mortgage Trust:
Series 2017-CSMO, Class E, 1 Month LIBOR + 3.00% 4.38%, 11/15/2036 (a) (b)		2,407,000		2,413,747
Series 2017-CSMO, Class F, 1 Month LIBOR + 3.74% 5.12%, 11/15/2036 (a) (b)		1,284,000		1,286,001
Citigroup Commercial Mortgage Trust:
Series 2008-C7, Class AM, 6.19%, 12/10/2049 (a)		2,442,409		2,432,251
Series 2010-RR2, Class JA4B, 6.07%, 2/19/2051 (a) (b)		685,555		684,344
Series 2015-GC27, Class D, 4.43%, 2/10/2048 (a) (b)		943,700		799,412
Series 2015-GC31, Class C, 4.06%, 6/10/2048 (a)		1,500,000		1,453,608
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (a)		1,500,000		1,515,752
Series 2015-GC35, Class C, 4.50%, 11/10/2048 (a)		1,435,000		1,433,402
Series 2016-GC36, Class XA, IO 1.34%, 2/10/2049 (a)		21,961,509		1,755,300
Series 2016-P4, Class A4, 2.90%, 7/10/2049		2,023,000		1,994,100
Series 2016-P6, Class A5, 3.72%, 12/10/2049 (a)		2,558,000		2,674,176
CLNS Trust:
Series 2017-IKPR, Class D, 1 Month LIBOR + 2.05% 3.48%, 6/11/2032 (a) (b)		3,338,000		3,341,128
Cold Storage Trust:
Series 2017-ICE3, Class A, 1 Month LIBOR + 1.00% 2.48%, 4/15/2036 (a) (b)		1,965,000		1,969,867
Series 2017-ICE3, Class C, 1 Month LIBOR + 1.35% 2.83%, 4/15/2036 (a) (b)		2,397,000		2,402,264
COMM 2017-PANW Mortgage Trust:
Series 2017-PANW, Class D, 3.93%, 10/10/2029 (a) (b)		1,388,000		1,394,500
Series 2017-PANW, Class E, 3.81%, 10/10/2029 (a) (b)		2,316,000		2,231,479

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
COMM Mortgage Trust:
Series 2013-CR12, Class XA, IO 1.29%, 10/10/2046 (a)	$	32,886,759	$	1,677,251
Series 2015-CR22, Class D, 4.12%, 3/10/2048 (a) (b)		1,500,000		1,256,959
Series 2015-CR22, Class XA, IO 0.99%, 3/10/2048 (a)		10,709,519		503,220
Series 2015-CR23, Class D, 4.25%, 5/10/2048 (a)		900,000		773,635
Series 2015-CR26, Class B, 4.49%, 10/10/2048 (a)		1,600,000		1,695,725
Series 2015-CR26, Class XA, IO 1.04%, 10/10/2048 (a)		22,554,056		1,303,182
Series 2015-DC1, Class D, 4.35%, 2/10/2048 (a) (b)		750,000		587,378
Series 2015-DC1, Class XA, IO 1.16%, 2/10/2048 (a)		9,077,856		494,717
Series 2015-LC19, Class D, 2.87%, 2/10/2048 (b)		1,200,000		991,497
Series 2015-LC21, Class C, 4.31%, 7/10/2048 (a)		968,000		955,394
Series 2016-CR28, Class C, 4.65%, 2/10/2049 (a)		2,235,000		2,307,180
Series 2016-DC2, Class C, 4.64%, 2/10/2049 (a)		1,329,000		1,299,679
Series 2016-DC2, Class XA, IO 1.06%, 2/10/2049 (a)		19,740,440		1,238,766
Countrywide Commercial Mortgage Trust:
Series 2007-MF1, Class A, 6.29%, 11/12/2043 (a) (b)		33,602		33,537
Credit Suisse Commercial Mortgage Trust:
Series 2008-C1, Class AM, 6.33%, 2/15/2041 (a) (b)		1,498,084		1,497,042
CSAIL Commercial Mortgage Trust:
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (a)		900,000		923,066
Series 2015-C4, Class XA, IO 0.93%, 11/15/2048 (a)		36,062,011		1,913,746
Series 2017-CX10, Class XA, IO 0.73%, 11/15/2050 (a)		65,181,452		3,633,820
GE Commercial Mortgage Corp. Trust:
Series 2007-C1, Class AM, 5.61%, 12/10/2049 (a)		2,109,000		2,134,678
Great Wolf Trust 2017-WOLF:
Series 2017-WOLF, Class D, 1 Month USD LIBOR + 2.10% 3.73%, 9/15/2034 (a) (b)		1,798,000		1,798,565
Series 2017-WOLF, Class E, 1 Month USD LIBOR + 3.10% 4.73%, 9/15/2034 (a) (b)		2,787,000		2,787,882
Series 2017-WOLF, Class F, 1 Month USD LIBOR + 4.07% 5.70%, 9/15/2034 (a) (b)		1,484,000		1,484,469
GS Mortgage Securities Corp. II:
Series 2013-GC10, Class XA, IO 1.56%, 2/10/2046 (a)		14,560,692		886,643
Series 2017-GS8, Class C, 4.34%, 11/10/2050 (a)		469,000		482,264
GS Mortgage Securities Trust:
Series 2013-GC14, Class A2, 3.00%, 8/10/2046		2,642,416		2,650,063
Series 2014-GC20, Class XA, IO 1.00%, 4/10/2047 (a)		47,908,831		2,363,127
Series 2014-GC24, Class XA, IO 0.83%, 9/10/2047 (a)		31,906,972		1,266,602
Series 2015-GC32, Class XA, IO 0.86%, 7/10/2048 (a)		26,185,054		1,207,259
Series 2015-GC34, Class XA, IO 1.36%, 10/10/2048 (a)		17,250,268		1,345,797
Series 2015-GS1, Class XA, IO 0.82%, 11/10/2048 (a)		26,879,894		1,390,887
Series 2016-GS3, Class XA, IO 1.28%, 10/10/2049 (a)		32,753,019		2,652,641
Series 2017-GS7, Class XA, IO 1.14%, 8/10/2050 (a)		40,870,906		3,425,652
JP Morgan Chase Commercial Mortgage Securities Corp.:
Series 2017-FL10, Class B, 1 Month LIBOR + 1.00% 2.48%, 6/15/2032 (a) (b)		815,000		818,079
Series 2017-FL10, Class C, 1 Month LIBOR + 1.25% 2.73%, 6/15/2032 (a) (b)		616,000		618,327
Series 2017-FL10, Class D, 1 Month LIBOR + 1.90% 3.38%, 6/15/2032 (a) (b)		1,994,000		1,992,349
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-LDP9, Class AM, 5.37%, 5/15/2047		723,380		723,950
Series 2007-C1, Class AM, 5.95%, 2/15/2051 (a)		1,403,227		1,400,852
Series 2007-LD11, Class AM, 6.01%, 6/15/2049 (a)		697,919		708,863
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (a)		962,183		964,793
Series 2008-C2, Class A4, 6.07%, 2/12/2051		432,936		432,361
Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (b)		1,775,000		1,820,292
Series 2015-JP1, Class XA, IO 1.14%, 1/15/2049 (a)		22,999,277		1,230,427
Series 2016-ASH, Class B, 1 Month LIBOR + 2.15% 3.63%, 10/15/2034 (a) (b)		2,044,000		2,048,475
Series 2016-ASH, Class C, 1 Month LIBOR + 2.75% 4.23%, 10/15/2034 (a) (b)		1,154,000		1,157,966
Series 2016-JP2, Class XA, IO 1.86%, 8/15/2049 (a)		19,966,020		2,422,028
Series 2016-WIKI, Class E, 4.01%, 10/5/2031 (a) (b)		3,160,000		3,115,535
Series 2016-WPT, Class E, 1 Month LIBOR + 5.00% 6.48%, 10/15/2033 (a) (b)		1,288,000		1,300,861

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Series 2017-MAUI, Class C, 1 Month LIBOR + 1.25% 2.73%, 7/15/2034 (a) (b)	$	865,000	$	865,005
Series 2017-MAUI, Class D, 1 Month LIBOR + 1.95% 3.43%, 7/15/2034 (a) (b)		812,000		812,259
Series 2017-MAUI, Class E, 1 Month LIBOR + 2.95% 4.43%, 7/15/2034 (a) (b)		719,000		719,230
Series 2017-MAUI, Class F, 1 Month LIBOR + 3.75% 5.23%, 7/15/2034 (a) (b)		1,012,000		1,012,640
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25, Class XA, IO 0.97%, 11/15/2047 (a)		6,332,054		293,883
Series 2014-C26, Class C, 4.42%, 1/15/2048 (a)		1,500,000		1,515,057
Series 2015-C27, Class XA, IO 1.35%, 2/15/2048 (a)		7,770,865		468,782
Series 2015-C28, Class XA, IO 1.18%, 10/15/2048 (a)		11,792,159		613,515
Series 2015-C30, Class XA, IO 0.69%, 7/15/2048 (a)		30,504,282		966,205
Series 2015-C32, Class C, 4.67%, 11/15/2048 (a)		1,300,000		1,295,611
Series 2015-C33, Class C, 4.62%, 12/15/2048 (a)		1,739,000		1,820,687
Series 2016-C1, Class C, 4.75%, 3/15/2049 (a)		2,180,000		2,299,103
JPMDB Commercial Mortgage Securities Trust:
Series 2016-C2, Class XA, IO 1.70%, 6/15/2049 (a)		21,941,757		2,013,951
LSTAR Commercial Mortgage Trust:
Series 2017-5, Class X, IO 1.23%, 3/10/2050 (a) (b)		53,888,523		2,682,156
Merrill Lynch Mortgage Trust:
Series 2006-C1, Class AJ, 5.59%, 5/12/2039 (a)		151,163		152,326
Series 2007-C1, Class AM, 5.81%, 6/12/2050 (a)		2,180,000		2,190,372
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C12, Class XA, IO 0.87%, 10/15/2046 (a)		18,662,787		497,675
Series 2013-C7, Class XA, IO 1.39%, 2/15/2046 (a)		15,113,343		867,643
Series 2015-C20, Class A4, 3.25%, 2/15/2048		355,000		360,513
Series 2015-C20, Class C, 4.46%, 2/15/2048 (a)		500,000		494,481
Series 2015-C25, Class C, 4.53%, 10/15/2048 (a)		1,700,000		1,750,959
Series 2015-C27, Class C, 4.53%, 12/15/2047 (a)		1,219,000		1,176,019
Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (b)		1,750,000		1,306,745
Series 2016-C28, Class XA, IO 1.28%, 1/15/2049 (a)		24,092,012		1,805,277
Series 2016-C30, Class XA, IO 1.46%, 9/15/2049 (a)		28,582,941		2,671,608
Series 2016-C31, Class C, 4.32%, 11/15/2049 (a)		3,358,000		3,358,024
Series 2016-C32, Class A4, 3.72%, 12/15/2049		2,665,000		2,782,862
Morgan Stanley Capital I Trust:
Series 2015-UBS8, Class XA, IO 0.96%, 12/15/2048 (a)		25,934,325		1,500,931
Series 2015-XLF1, Class D, 1 Month LIBOR + 3.00% 4.48%, 8/14/2031 (a) (b)		750,000		750,158
Series 2016-UB12, Class XA, IO 0.82%, 12/15/2049 (a)		57,600,060		2,867,751
PFP, Ltd.:
Series 2017-3, Class A, 1 Month LIBOR + 1.05% 2.48%, 1/14/2035 (a) (b)		1,413,367		1,415,134
Series 2017-3, Class AS, 1 Month LIBOR + 1.30% 2.73%, 1/14/2035 (a) (b)		1,253,000		1,258,675
Series 2017-3, Class B, 1 Month LIBOR + 1.75% 3.18%, 1/14/2035 (a) (b)		720,000		722,500
Series 2017-3, Class C, 1 Month LIBOR + 2.50% 3.93%, 1/14/2035 (a) (b)		752,000		755,357
RAIT Trust:
Series 2016-FL6, Class A, 1 Month LIBOR + 1.45% 2.91%, 11/13/2031 (a) (b)		201,294		202,134
Rosslyn Portfolio Trust:
Series 2017-ROSS, Class A, 1 Month LIBOR + 0.95% 2.43%, 6/15/2033 (a) (b)		1,686,000		1,661,513
Series 2017-ROSS, Class B, 1 Month LIBOR + 1.25% 2.73%, 6/15/2033 (a) (b)		1,686,000		1,663,656
UBS Commercial Mortgage Trust:
Series 2017-C1, Class XA, IO 1.61%, 6/15/2050 (a)		28,434,122		3,172,045
Series 2017-C4, Class XA, IO 1.11%, 10/15/2050 (a)		44,536,719		3,596,750
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C26, Class AM, 6.00%, 6/15/2045 (a)		263,783		265,132
Series 2006-C28, Class AJ, 5.63%, 10/15/2048 (a)		699,854		703,826
Series 2007-C30, Class AJ, 5.41%, 12/15/2043 (a)		1,734,608		1,769,369
Series 2007-C33, Class AJ, 6.01%, 2/15/2051 (a)		4,866,000		4,947,262
Series 2007-C33, Class AM, 6.01%, 2/15/2051 (a)		808,996		807,842
Waldorf Astoria Boca Raton Trust:
Series 2016-BOCA, Class B, 1 Month LIBOR + 2.05% 3.53%, 6/15/2029 (a) (b)		1,536,000		1,538,371

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Series 2016-BOCA, Class C, 1 Month LIBOR + 2.50% 3.98%, 6/15/2029 (a) (b)	$	1,300,000	$	1,302,007
Waterfall Commercial Mortgage Trust:
Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b)		8,985,205		8,891,632
Wells Fargo Commercial Mortgage Trust:
Series 2014-LC16, Class D, 3.94%, 8/15/2050 (b)		920,000		758,322
Series 2015-C26, Class D, 3.59%, 2/15/2048 (b)		900,000		707,020
Series 2015-C26, Class XA, IO 1.29%, 2/15/2048 (a)		8,925,840		601,054
Series 2015-C27, Class C, 3.89%, 2/15/2048		750,000		708,045
Series 2015-C28, Class C, 4.13%, 5/15/2048 (a)		1,500,000		1,459,983
Series 2015-LC20, Class XA, IO 1.38%, 4/15/2050 (a)		7,822,722		518,833
Series 2015-NXS1, Class XA, 1.18%, 5/15/2048 (a)		9,767,868		555,844
Series 2015-NXS2, Class XA, IO 0.77%, 7/15/2058 (a)		29,444,805		1,130,056
Series 2015-NXS3, Class C, 4.64%, 9/15/2057 (a)		1,600,000		1,581,998
Series 2015-P2, Class A4, 3.81%, 12/15/2048		1,568,000		1,648,559
Series 2015-P2, Class XA, IO 1.02%, 12/15/2048 (a)		21,982,722		1,241,982
Series 2016-C32, Class C, 4.72%, 1/15/2059 (a)		1,581,000		1,511,756
Series 2016-C33, Class XA, IO 1.80%, 3/15/2059 (a)		15,414,311		1,554,990
Series 2016-LC24, Class XA, IO 1.73%, 10/15/2049 (a)		16,519,685		1,760,785
Series 2017-C38, Class XA, IO 1.09%, 7/15/2050 (a)		39,120,316		3,001,725
Series 2017-RC1, Class XA, IO 1.57%, 1/15/2060 (a)		25,611,189		2,589,511
WFRBS Commercial Mortgage Trust:
Series 2014-C19, Class XA, IO 1.14%, 3/15/2047 (a)		10,075,806		479,884
Series 2014-C21, Class XA, IO 1.13%, 8/15/2047 (a)		19,230,960		979,123

TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $251,640,465)				237,583,530

MORTGAGE-BACKED SECURITIES — 2.7%
A10 Securitization LLC:
Series 2016-1, Class 2A3, CMO 3.00%, 12/20/2030 (a) (b)		3,117,648		3,097,554
Alternative Loan Trust:
Series 2005-79CB, Class A4, CMO 5.50%, 1/25/2036		8,802,904		7,466,762
Series 2006-24CB, Class A9, CMO 6.00%, 6/25/2036		4,735,683		4,041,403
Series 2006-43CB, Class 1A12, CMO 5.75%, 2/25/2037		4,275,017		3,651,572
Banc of America Alternative Loan Trust:
Series 2005-9, Class 1CB2, CMO 5.50%, 10/25/2035		5,373,940		5,331,190
Banc of America Funding Trust:
Series 2006-8T2, Class A4, CMO 5.83%, 10/25/2036 (c)		4,947,712		4,492,964
Series 2007-5, Class CA1, CMO 6.00%, 7/25/2037		6,625,427		5,863,022
CHL Mortgage PassThrough Trust:
Series 2005-J2, Class 3A14, CMO 5.50%, 8/25/2035		1,439,661		1,332,478
Series 2007-12, Class A9, CMO 5.75%, 8/25/2037		4,782,969		4,361,601
Citigroup Mortgage Loan Trust:
Series 2007-AR5, Class 1A2A, CMO 3.50%, 4/25/2037 (a)		2,998,617		2,713,789
CitiMortgage Alternative Loan Trust:
Series 2006-A7, Class 1A8, CMO 5.75%, 12/25/2036		5,199,872		4,840,412
Series 2007-A1, Class 1A7, CMO 6.00%, 1/25/2037		8,907,722		8,322,909
CSMC MortgageBacked Trust:
Series 2006-7, Class 7A7, CMO 6.00%, 8/25/2036		2,947,979		2,855,398
RALI Trust:
Series 2004-QS7, Class A4, CMO 5.50%, 5/25/2034		1,495,359		1,527,609
Shellpoint Co-Originator Trust:
Series 2017-1, Class A4, CMO 3.50%, 4/25/2047 (a) (b)		19,397,818		19,596,006
Structured Adjustable Rate Mortgage Loan Trust:
Series 2006-8, Class 4A3, CMO 3.63%, 9/25/2036 (a)		1,383,673		1,260,120
VSD LLC:
3.60%, 12/25/2043		3,078,717		3,077,478
Washington Mutual Mortgage PassThrough Certificates WMALT Trust:
Series 2005-8, Class 2CB1, CMO 5.50%, 10/25/2035		2,450,454		2,392,029
Series 2006-5, Class 3A2, CMO 6.00%, 7/25/2036 (c)		3,350,367		1,524,125
Wells Fargo Mortgage Backed Securities Trust:
Series 2007-AR4, Class A1, CMO 3.65%, 8/25/2037 (a)		6,928,462		6,758,559

TOTAL MORTGAGE-BACKED SECURITIES (Cost $92,569,251)				94,506,980

U.S. GOVERNMENT AGENCY OBLIGATIONS — 47.3%
Federal Home Loan Mortgage Corp.:
3.00%, 11/1/2042		18,350,584		18,468,394
3.00%, 1/1/2045		2,944,430		2,954,756
3.00%, 2/1/2045		2,083,020		2,086,582
3.00%, 3/1/2045		2,198,104		2,201,862

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
3.00%, 4/1/2045	$	44,746,859	$	44,876,438
3.00%, 5/1/2045		7,730,834		7,744,053
3.00%, 7/1/2045		3,977,691		3,984,492
3.00%, 8/1/2045		20,923,145		20,958,921
3.00%, 10/1/2045		13,953,153		13,977,011
3.00%, 12/1/2045		26,824,519		26,870,387
3.00%, 1/1/2046		18,145,281		18,176,308
3.00%, 7/15/2046		25,000,000		25,076,173
3.00%, 9/1/2046		27,335,234		27,348,065
3.50%, 2/1/2045		4,041,964		4,161,532
3.50%, 4/1/2045		33,182,637		34,100,234
3.50%, 6/1/2045		14,816,980		15,226,713
3.50%, 10/1/2045		17,181,795		17,656,921
3.50%, 2/1/2046		17,948,145		18,440,627
3.50%, 5/1/2046		56,885,473		58,446,363
4.00%, 4/1/2047		45,824,960		48,011,343
4.00%, 7/1/2047		14,264,611		14,945,199
4.00%, 10/1/2047		28,632,077		29,998,160
4.50%, 6/1/2044		2,741,371		2,919,080
Series 326, Class 300, CMO 3.00%, 3/15/2044		39,323,318		38,777,409
Series 358, Class 300, CMO 3.00%, 10/15/2047		39,081,280		39,194,565
Series 3822, Class ZG, CMO, REMIC 4.00%, 2/15/2041		3,600,785		3,808,874
Series 3852, Class NS, CMO, IO, REMIC 1 Month LIBOR + 6.00% 4.52%, 5/15/2041 (a)		14,284,384		2,007,157
Series 3889, Class VZ, CMO, REMIC 4.00%, 7/15/2041		14,663,576		15,105,180
Series 3935, Class SJ, CMO, IO, REMIC 1 Month LIBOR + 6.65% 5.17%, 5/15/2041 (a)		3,325,845		335,063
Series 4120, Class KA, CMO, REMIC 1.75%, 10/15/2032		21,841,402		21,317,187
Series 4165, Class ZT, CMO, REMIC 3.00%, 2/15/2043		15,480,861		14,275,938
Series 4215, Class KC, CMO, REMIC 2.25%, 3/15/2038		16,027,110		16,010,735
Series 4364, Class ZX, CMO, REMIC 4.00%, 7/15/2044		39,018,063		41,189,941
Series 4434, Class LZ, CMO, REMIC 3.00%, 2/15/2045		3,265,805		3,033,936
Series 4444, Class CZ, CMO, REMIC 3.00%, 2/15/2045		11,974,617		11,339,671
Series 4447, Class A, CMO, REMIC 3.00%, 6/15/2041		2,189,001		2,208,289
Series 4447, Class Z, CMO, REMIC 3.00%, 3/15/2045		3,952,383		3,714,718
Series 4471, Class BA, CMO, REMIC 3.00%, 12/15/2041		7,283,270		7,254,952
Series 4471, Class GA, CMO, REMIC 3.00%, 2/15/2044		10,994,893		10,994,932
Series 4474, Class ZX, CMO, REMIC 4.00%, 4/15/2045		11,474,057		12,218,909
Series 4481, Class B, CMO, REMIC 3.00%, 12/15/2042		7,419,241		7,447,467
Series 4483, Class CA, CMO, REMIC 3.00%, 6/15/2044		13,814,151		13,845,924
Series 4484, Class CD, CMO, REMIC 1.75%, 7/15/2030		19,702,839		19,329,762
Series 4491, Class B, CMO, REMIC 3.00%, 8/15/2040		14,102,549		14,229,933
Series 4492, Class GZ, CMO, REMIC 3.50%, 7/15/2045		8,268,241		8,107,138
Series 4499, Class AB, CMO, REMIC 3.00%, 6/15/2042		14,834,018		14,923,469
Series 4504, Class CA, CMO, REMIC 3.00%, 4/15/2044		15,670,773		15,775,370
Series 4511, Class QA, CMO, REMIC 3.00%, 1/15/2041		13,398,573		13,444,014
Series 4511, Class QC, CMO, REMIC 3.00%, 12/15/2040		9,791,633		9,867,262
Series 4533, Class AB, CMO, REMIC 3.00%, 6/15/2044		10,706,803		10,650,320
Series 4543, Class HG, CMO, REMIC 2.70%, 4/15/2044		19,429,553		19,194,172
Series 4582, Class HA, CMO, REMIC 3.00%, 9/15/2045		15,333,985		15,430,296
Series 4629, Class KA, CMO, REMIC 3.00%, 3/15/2045		46,199,717		46,130,935
Series K053, Class A2, 3.00%, 12/25/2025		2,232,000		2,267,762
Federal National Mortgage Association:
2.50%, 9/1/2046		5,569,592		5,360,480
3.00%, 4/1/2040		17,086,349		17,113,673
3.00%, 10/1/2041		35,550,665		35,564,249
3.00%, 3/1/2043		6,229,512		6,245,760
3.00%, 7/1/2043		9,689,495		9,645,876
3.00%, 1/1/2045		2,140,710		2,131,109
3.00%, 3/1/2045		3,026,514		3,031,354
3.00%, 4/1/2045		12,481,773		12,425,602
3.00%, 7/1/2045		39,097,225		39,199,299
3.50%, 9/1/2034		2,998,969		3,114,350
3.50%, 12/1/2034		2,715,023		2,819,480
3.50%, 2/1/2035		1,740,835		1,807,811
3.50%, 1/1/2045		14,759,464		15,193,516
3.50%, 2/1/2045		5,633,171		5,798,833
3.50%, 6/1/2045		14,666,402		15,070,046
4.50%, 3/1/2044		3,230,928		3,443,768
4.50%, 6/1/2044		1,683,343		1,794,235
4.50%, 7/1/2044		1,794,230		1,912,427
4.50%, 2/1/2045		2,220,663		2,366,951
Series 2010-109, Class N, CMO, REMIC 3.00%, 10/25/2040		3,556,156		3,582,160
Series 2011-51, Class CI, CMO, IO, REMIC 1 Month LIBOR + 6.00% 4.45%, 6/25/2041 (a)		9,607,770		1,242,499
Series 2012-101, Class AP, CMO, REMIC 2.00%, 8/25/2040		8,912,252		8,749,210
Series 2012-127, Class PA, CMO, REMIC 2.75%, 11/25/2042		4,495,954		4,463,205
Series 2012-151, Class SB, CMO, REMIC 1 Month LIBOR + 6.00% 3.96%, 1/25/2043 (a)		1,248,324		1,088,821

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Series 2013-114, Class HZ, CMO, REMIC 3.00%, 11/25/2038	$	16,169,772	$	15,452,489
Series 2013-18, Class CD, CMO, REMIC 1.50%, 10/25/2027		6,834,712		6,633,160
Series 2013-30, Class PS, CMO, REMIC 1 Month LIBOR + 6.00% 3.96%, 4/25/2043 (a)		1,718,187		1,481,462
Series 2014-21, Class GZ, CMO, REMIC 3.00%, 4/25/2044		6,180,016		5,817,655
Series 2014-39, Class ZA, CMO, REMIC 3.00%, 7/25/2044		8,884,521		8,540,853
Series 2015-42, Class CA, CMO, REMIC 3.00%, 3/25/2044		8,611,737		8,692,108
Series 2015-9, Class HA, CMO, REMIC 3.00%, 1/25/2045		13,985,270		14,079,724
Series 2015-95, Class AP, CMO, REMIC 3.00%, 8/25/2042		17,221,758		17,422,417
Series 2016-21, Class BZ, CMO, REMIC 3.00%, 4/25/2046		4,564,402		4,192,834
Series 2016-32, Class LA, CMO, REMIC 3.00%, 10/25/2044		15,165,630		15,290,258
Series 2016-72, Class PA, CMO, REMIC 3.00%, 7/25/2046		22,961,993		22,919,405
Series 2016-81, Class PA, CMO, REMIC 3.00%, 2/25/2044		32,186,973		32,312,200
Series 2016-9, Class A, CMO, REMIC 3.00%, 9/25/2043		11,349,284		11,368,149
Series 2016-92, Class A, CMO, REMIC 3.00%, 4/25/2042		37,076,555		37,048,292
Series 2016-M3, Class A2, 2.70%, 2/25/2026		2,150,000		2,131,984
Series 2017-13, Class CA, CMO, REMIC 2.50%, 10/25/2043		33,654,993		33,259,405
Series 2017-15, Class MA, CMO, REMIC 3.00%, 2/25/2042		74,734,552		75,151,354
Series 2017-18, Class A, CMO, REMIC 3.00%, 8/25/2042		93,373,372		93,135,587
Series 2017-32, Class CA, CMO, REMIC 3.00%, 10/25/2042		45,308,874		45,496,892
Series 2017-87, Class BA, CMO, REMIC 3.00%, 12/25/2042		31,107,744		31,134,951
Series 2017-9, Class EA, CMO, REMIC 3.00%, 10/25/2042		77,846,584		78,348,671
Government National Mortgage Association:
Series 2013-169, Class SE, CMO, IO, REMIC 1 Month LIBOR + 6.05% 4.56%, 11/16/2043 (a)		3,222,724		426,876
Series 2013-34, Class PL, CMO, REMIC 3.00%, 3/20/2042		13,543,586		13,504,587
Series 2014-43, Class PS, CMO, IO, REMIC 1 Month LIBOR + 6.18% 4.68%, 7/20/2042 (a)		9,518,783		1,184,804

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,715,501,406)				1,690,251,725

U.S. TREASURY OBLIGATIONS — 14.8%,
Treasury Bonds:
3.00%, 11/15/2045		18,100,000		19,012,421
3.13%, 2/15/2043		30,290,000		32,548,728
Treasury Inflation Protected Indexed Notes:
0.13%, 4/15/2022		27,588,416		27,401,918
Treasury Notes:
1.00%, 3/15/2018		72,030,000		71,988,944
1.50%, 5/31/2020		94,200,000		93,275,895
1.63%, 5/15/2026		79,620,000		75,006,023
1.75%, 3/31/2022		62,460,000		61,443,152
2.13%, 1/31/2021		90,300,000		90,617,860
2.13%, 2/29/2024		59,400,000		58,819,070

TOTAL U.S. TREASURY OBLIGATIONS (Cost $532,548,534)				530,114,011


	Shares
SHORT-TERM INVESTMENT — 2.7%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (f) (g) (Cost $95,761,169)		95,761,169		95,761,169

TOTAL INVESTMENTS — 99.8% (Cost $3,598,038,061)				3,562,460,485
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%				8,319,605

NET ASSETS — 100.0%			$	3,570,780,090

(a)	Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(b)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 8.2% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(c)	Step-up bond — Coupon rate increases in increments to maturity. Rate shown as of December 31, 2017. Maturity date shown is the final maturity.

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

(e)	Rate shown is the discount rate at time of purchase.

(f)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(g)	The rate shown is the annualized seven-day yield at December 31, 2017.

CMO	= Collateralized Mortgage Obligation

CMT	= Constant Maturity Treasury

EMTN	= Euro Medium Term Note

GMTN	= Global Medium Term Note

IO	= Interest Only

LIBOR

= London Interbank Offered Rate

MTN	= Medium Term Note

REMIC

= Real Estate Mortgage Investment Conduit

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Asset-Backed Securities		$—	$	107,134,667		$—	$	107,134,667
Corporate Bonds & Notes
Australia		—		7,767,605		—		7,767,605
Belgium		—		3,324,368		—		3,324,368
Brazil		—		3,544,121		—		3,544,121
Canada		—		10,879,788		—		10,879,788
Cayman Islands		—		4,926,026		—		4,926,026
Chile		—		28,517,917		—		28,517,917
China		—		23,390,914		—		23,390,914
Colombia		—		427,000		—		427,000
Costa Rica		—		3,113,338		—		3,113,338
Dominican Republic		—		6,545,649		—		6,545,649
Hong Kong		—		7,500,013		—		7,500,013
India		—		34,093,378		—		34,093,378
Israel		—		1,743,449		—		1,743,449
Jamaica		—		4,040,415		—		4,040,415
Japan		—		2,787,590		—		2,787,590
Malaysia		—		26,603,012		—		26,603,012
Mexico		—		10,648,864		—		10,648,864
Netherlands		—		133,500		—		133,500
New Zealand		—		1,966,500		—		1,966,500
Panama.		—		7,774,458		—		7,774,458
Peru		—		7,669,750		—		7,669,750
Philippines		—		7,514,454		—		7,514,454
Qatar		—		1,788,084		—		1,788,084
Singapore		—		30,504,878		—		30,504,878
United Arab Emirates		—		1,129,875		—		1,129,875
United Kingdom		—		9,279,436		—		9,279,436
United States		—		242,540,008		—		242,540,008

Foreign Government Obligations
Chile		—		11,368,378		—		11,368,378
Costa Rica		—		3,340,750		—		3,340,750
India		—		3,627,934		—		3,627,934
Indonesia		—		9,164,859		—		9,164,859
Israel		—		9,032,300		—		9,032,300
Malaysia		—		6,241,650		—		6,241,650
Mexico		—		11,688,290		—		11,688,290
Panama.		—		8,883,140		—		8,883,140
Peru		—		7,810,140		—		7,810,140
Philippines		—		11,569,390		—		11,569,390
Poland		—		1,191,388		—		1,191,388

Senior Floating Rate Loans
Aerospace & Defense		—		1,891,225		—		1,891,225
Auto Components		—		3,367,529		—		3,367,529
Capital Markets		—		2,553,589		—		2,553,589
Chemicals		—		2,153,703		—		2,153,703
Commercial Services & Supplies		—		10,709,891		—		10,709,891
Communications Equipment		—		6,700,083		—		6,700,083
Construction & Engineering		—		4,285,703		—		4,285,703
Construction Materials		—		2,343,784		—		2,343,784
Containers & Packaging		—		8,144,376		—		8,144,376
Distributors		—		469,101		—		469,101

See accompanying notes to financial statements.

State Street Doubleline Total Return Tactical Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Diversified Financial Services	$	—	$	2,008,101		$ —	$	2,008,101
Diversified Telecommunication Services		—		11,920,008		—		11,920,008
Electric Utilities		—		3,865,337		—		3,865,337
Electrical Equipment		—		2,148,722		—		2,148,722
Energy Equipment & Services		—		2,360,873		—		2,360,873
Financial Services		—		1,607,175		—		1,607,175
Food & Staples Retailing.		—		6,718,604		—		6,718,604
Food Products		—		800,356		—		800,356
Health Care Providers & Services		—		16,152,693		—		16,152,693
Health Care Technology		—		4,076,237		—		4,076,237
Hotels, Restaurants & Leisure		—		34,252,299		—		34,252,299
Household Products		—		1,049,007		—		1,049,007
Insurance		—		7,756,461		—		7,756,461
Internet Software & Services		—		296,131		—		296,131
IT Services		—		10,002,080		—		10,002,080
Life Sciences Tools & Services		—		5,905,944		—		5,905,944
Machinery		—		347,295		—		347,295
Media		—		23,917,499		—		23,917,499
Pharmaceuticals		—		3,931,940		—		3,931,940
Real Estate Investment Trusts (REITs)		—		2,954,016		—		2,954,016
Semiconductor Equipment		—		2,757,907		—		2,757,907
Software		—		40,389,786		—		40,389,786
Specialty Retail		—		2,933,504		—		2,933,504
Trading Companies & Distributors		—		2,264,835		—		2,264,835
Commercial Mortgage Backed Securities		—		233,927,678		—		237,583,530
Mortgage-Backed Securities		—		94,506,980		—		94,506,980
U.S. Government Agency Obligations		—		1,690,251,725		—		1,690,251,725
U.S. Treasury Obligations		—		530,114,011		—		530,114,011
Short-Term Investment		95,761,169		—		—		95,761,169

TOTAL INVESTMENTS	$	95,761,169	$	3,463,043,464		$—	$	3,562,460,485

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		119,660,357	$	119,660,357	$	550,261,663	$	574,160,851	$	—	$	—		95,761,169	$	95,761,169	$	1,068,155

See accompanying notes to financial statements.

SSGA MFS SYSTEMATIC CORE EQUITY PORTFOLIO

SPDR MFS Systematic Core Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Core Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Core Equity Portfolio follows.

SSGA MFS Systematic Core Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS — 99.2%
AEROSPACE & DEFENSE — 4.2%
Boeing Co.		1,594	$	470,087

BANKS — 7.9%
Citigroup, Inc.		6,195		460,970
JPMorgan Chase & Co.		4,067		434,925

				895,895

BIOTECHNOLOGY — 1.2%
Celgene Corp. (a)		1,261		131,598

CHEMICALS — 0.7%
LyondellBasell Industries NV Class A,		661		72,921

CONSUMER FINANCE — 1.2%
Discover Financial Services		1,821		140,071

ELECTRIC UTILITIES — 3.1%
Exelon Corp.		8,763		345,350

FOOD PRODUCTS — 4.7%
Archer-Daniels-Midland Co.		4,447		178,236
Tyson Foods, Inc. Class A,		4,286		347,466

				525,702

HEALTH CARE PROVIDERS & SERVICES — 6.8%
Express Scripts Holding Co. (a)		5,372		400,966
McKesson Corp.		1,012		157,821
Molina Healthcare, Inc. (a)		933		71,542
UnitedHealth Group, Inc.		636		140,213

				770,542

HOTELS, RESTAURANTS & LEISURE — 3.6%
Carnival Corp.		1,690		112,165
Royal Caribbean Cruises, Ltd.		2,503		298,558

				410,723

HOUSEHOLD PRODUCTS — 1.0%
Procter & Gamble Co.		1,254		115,217

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.8%
AES Corp.		14,879		161,140
NRG Energy, Inc.		5,515		157,067

				318,207

INSURANCE — 7.9%
Hartford Financial Services Group, Inc.		5,054		284,439
MetLife, Inc.		4,728		239,048
Prudential Financial, Inc.		3,191		366,901

				890,388

INTERNET & CATALOG RETAIL — 3.1%
Amazon.com, Inc. (a)		142		166,065
Priceline Group, Inc. (a)		107		185,938

				352,003

INTERNET SOFTWARE & SERVICES — 6.1%
Alphabet, Inc. Class C, (a)		304		318,106
Facebook, Inc. Class A, (a)		2,076		366,331

				684,437

IT SERVICES — 5.3%
DXC Technology Co.		3,692		350,371
International Business Machines Corp.		1,590		243,938

				594,309

MACHINERY — 1.0%
Allison Transmission Holdings, Inc.		2,635		113,489

MEDIA — 3.0%
Comcast Corp. Class A,		8,411		336,861

OIL, GAS & CONSUMABLE FUELS — 5.4%
Exxon Mobil Corp.		2,632		220,141
Valero Energy Corp.		4,265		391,996

				612,137

PHARMACEUTICALS — 8.3%
Eli Lilly & Co.		3,338		281,927
Johnson & Johnson		2,916		407,424
Merck & Co., Inc.		4,433		249,445

				938,796

REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.7%
SBA Communications Corp. REIT (a)		492		80,373

ROAD & RAIL — 3.7%
Union Pacific Corp.		3,154		422,951

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.0%
Intel Corp.		2,532		116,877

SOFTWARE — 7.4%
Adobe Systems, Inc. (a)		1,180		206,783
Electronic Arts, Inc. (a)		1,098		115,356
Oracle Corp.		3,704		175,125
Take-Two Interactive Software, Inc. (a)		3,130		343,612

				840,876

SPECIALTY RETAIL — 3.5%
Best Buy Co., Inc.		5,692		389,731

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 3.4%
Apple, Inc.		2,277		385,337

TOBACCO — 2.2%
Philip Morris International, Inc.		2,353		248,594

TOTAL COMMON STOCKS (Cost $10,501,982)				11,203,472

SHORT-TERM INVESTMENTS — 0.8%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $90,664)		90,664		90,664

TOTAL INVESTMENTS — 100.8% (Cost $10,592,646)				11,294,136
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)% (d)				5,491

NET ASSETS — 100.0%			$	11,299,627

(a)	Non-Income producing security.

(b)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c)	The rate shown is the annualized seven-day yield at December 31, 2017.

(d)	Amount is less than 0.05% of net assets.

REIT – Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA MFS Systematic Core Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	470,087	$	—	$	—	$	470,087
Banks		895,895		—		—		895,895
Biotechnology		131,598		—		—		131,598
Chemicals		72,921		—		—		72,921
Consumer Finance		140,071		—		—		140,071
Electric Utilities		345,350		—		—		345,350
Food Products		525,702		—		—		525,702
Health Care Providers & Services		770,542		—		—		770,542
Hotels, Restaurants & Leisure		410,723		—		—		410,723
Household Products		115,217		—		—		115,217
Independent Power Producers & Energy Traders		318,207		—		—		318,207
Insurance		890,388		—		—		890,388
Internet & Catalog Retail		352,003		—		—		352,003
Internet Software & Services		684,437		—		—		684,437
IT Services		594,309		—		—		594,309
Machinery		113,489		—		—		113,489
Media		336,861		—		—		336,861
Oil, Gas & Consumable Fuels		612,137		—		—		612,137
Pharmaceuticals		938,796		—		—		938,796
Real Estate Investment Trusts (REITs)		80,373		—		—		80,373
Road & Rail		422,951		—		—		422,951
Semiconductors & Semiconductor Equipment		116,877		—		—		116,877
Software		840,876		—		—		840,876
Specialty Retail		389,731		—		—		389,731
Technology Hardware, Storage & Peripherals		385,337		—		—		385,337
Tobacco		248,594		—		—		248,594
Short-Term Investments		90,664		—		—		90,664

TOTAL INVESTMENTS	$	11,294,136	$	—	$	—	$	11,294,136

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		45,055	$	45,055	$	186,830	$	141,221	$	—	$	—		90,664	$	90,664	$	254

See accompanying notes to financial statements.

SSGA MFS SYSTEMATIC GROWTH EQUITY PORTFOLIO

SPDR MFS Systematic Growth Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Growth Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Growth Equity Portfolio follows.

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS — 98.9%
AEROSPACE & DEFENSE — 4.5%
Boeing Co.		10,292	$	3,035,214

AUTO COMPONENTS — 2.8%
Lear Corp.		10,750		1,899,095

BEVERAGES — 0.2%
PepsiCo, Inc.		1,274		152,778

BIOTECHNOLOGY — 2.9%
Amgen, Inc.		6,405		1,113,830
Celgene Corp. (a)		4,165		434,659
Gilead Sciences, Inc.		5,950		426,258

				1,974,747

CHEMICALS — 1.7%
FMC Corp.		2,959		280,099
LyondellBasell Industries NV Class A,		7,747		854,649

				1,134,748

FOOD & STAPLES RETAILING — 0.3%
Costco Wholesale Corp.		946		176,070

FOOD PRODUCTS — 2.3%
Tyson Foods, Inc. Class A,		18,798		1,523,954

HEALTH CARE PROVIDERS & SERVICES — 9.9%
Centene Corp. (a)		4,152		418,853
Express Scripts Holding Co. (a)		3,856		287,812
Humana, Inc.		4,270		1,059,259
McKesson Corp.		9,679		1,509,440
Molina Healthcare, Inc. (a)		9,585		734,978
UnitedHealth Group, Inc.		10,494		2,313,507
WellCare Health Plans, Inc. (a)		1,981		398,399

				6,722,248

HOTELS, RESTAURANTS & LEISURE — 2.2%
Carnival Corp.		17,401		1,154,904
Marriott International, Inc. Class A,		2,230		302,678

				1,457,582

HOUSEHOLD DURABLES — 0.9%
PulteGroup, Inc.		17,408		578,816

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.1%
NRG Energy, Inc.		26,959		767,792

INSURANCE — 2.6%
Allstate Corp.		6,216		650,878
Prudential Financial, Inc.		9,836		1,130,943

				1,781,821

INTERNET & CATALOG RETAIL — 3.0%
Priceline Group, Inc. (a)		1,180		2,050,533

INTERNET SOFTWARE & SERVICES — 12.3%
Alphabet, Inc. Class C, (a)		1,750		1,831,200
Alphabet, Inc. Class A, (a)		2,177		2,293,252
Facebook, Inc. Class A, (a)		23,887		4,215,100

				8,339,552

IT SERVICES — 6.3%
DXC Technology Co.		23,668		2,246,093
International Business Machines Corp.		10,800		1,656,936
Mastercard, Inc. Class A,		1,240		187,687
Visa, Inc. Class A,		1,766		201,359

				4,292,075

MACHINERY — 3.8%
Caterpillar, Inc.		16,423	$	2,587,936

MEDIA — 5.2%
Charter Communications, Inc. Class A, (a)		5,528		1,857,187
Comcast Corp. Class A,		41,401		1,658,110

				3,515,297

PHARMACEUTICALS — 4.0%
Eli Lilly & Co.		18,492		1,561,835
Johnson & Johnson		8,024		1,121,113

				2,682,948

REAL ESTATE INVESTMENT TRUSTS (REITS) — 3.0%
SBA Communications Corp. REIT (a)		12,210		1,994,626

ROAD & RAIL — 0.7%
Union Pacific Corp.		3,772		505,825

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.0%
BroadCom, Ltd.		5,329		1,369,020

SOFTWARE — 11.1%
Adobe Systems, Inc. (a)		10,714		1,877,521
Electronic Arts, Inc. (a)		14,468		1,520,008
Oracle Corp.		42,946		2,030,487
Take-Two Interactive Software, Inc. (a)		19,045		2,090,760

				7,518,776

SPECIALTY RETAIL — 3.4%
Best Buy Co., Inc.		33,301		2,280,119

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 6.9%
Apple, Inc.		16,005		2,708,526
Western Digital Corp.		24,913		1,981,331

				4,689,857

TOBACCO — 3.6%
Altria Group, Inc.		21,067		1,504,395
Philip Morris International, Inc.		8,788		928,452

				2,432,847

TRADING COMPANIES & DISTRIBUTORS — 2.2%
United Rentals, Inc. (a)		8,645		1,486,162

TOTAL COMMON STOCKS (Cost $61,706,160)				66,950,438

SHORT-TERM INVESTMENTS — 1.0%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $685,065)				685,065
TOTAL INVESTMENTS — 98.9% (Cost $62,391,225)				67,635,503
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1%				32,983

NET ASSETS — 100.0%			$	67,668,486

(a)	Non-income producing security.

(b)	The rate shown is the annualized seven-day yield at December 31, 2017.

(c)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

REIT = Real Estate Investment Trust

See accompanying notes to financial statements.

SSGA MFS Systematic Growth Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Aerospace & Defense	$	3,035,214	$	—	$	—	$	3,035,214
Auto Components		1,899,095		—		—		1,899,095
Beverages		152,778		—		—		152,778
Biotechnology		1,974,747		—		—		1,974,747
Chemicals		1,134,748		—		—		1,134,748
Food & Staples Retailing		176,070		—		—		176,070
Food Products		1,523,954		—		—		1,523,954
Health Care Providers & Services		6,722,248		—		—		6,722,248
Hotels, Restaurants & Leisure		1,457,582		—		—		1,457,582
Household Durables		578,816		—		—		578,816
Independent Power Producers & Energy Traders		767,792		—		—		767,792
Insurance		1,781,821		—		—		1,781,821
Internet & Catalog Retail		2,050,533		—		—		2,050,533
Internet Software & Services		8,339,552		—		—		8,339,552
IT Services		4,292,075		—		—		4,292,075
Machinery		2,587,936		—		—		2,587,936
Media		3,515,297		—		—		3,515,297
Pharmaceuticals		2,682,948		—		—		2,682,948
Real Estate Investment Trusts (REITs)		1,994,626		—		—		1,994,626
Road & Rail		505,825		—		—		505,825
Semiconductors & Semiconductor Equipment		1,369,020		—		—		1,369,020
Software		7,518,776		—		—		7,518,776
Specialty Retail		2,280,119		—		—		2,280,119
Technology Hardware, Storage & Peripherals		4,689,857		—		—		4,689,857
Tobacco		2,432,847		—		—		2,432,847
Trading Companies & Distributors		1,486,162		—		—		1,486,162
Short-Term Investments		685,065						685,065

TOTAL INVESTMENTS	$	67,635,503	$	—	$	—	$	67,635,503

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		343,832	$	343,832	$	664,040	$	322,807	$	—	$	—		685,065	$	685,065	$	1,863

See accompanying notes to financial statements.

SSGA MFS SYSTEMATIC VALUE EQUITY PORTFOLIO

SPDR MFS Systematic Value Equity ETF is a feeder fund that invests substantially all of its investable assets in a master fund, the SSGA MFS Systematic Value Equity Portfolio. The schedule of investments for the SSGA MFS Systematic Value Equity Portfolio follows.

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS — 98.8%
BANKS — 14.1%
Bank of America Corp.		10,915	$	322,211
Citigroup, Inc.		4,160		309,546
JPMorgan Chase & Co.		2,978		318,467

				950,224

BEVERAGES — 0.9%
PepsiCo, Inc.		510		61,159

CHEMICALS — 1.5%
LyondellBasell Industries NV Class A,		924		101,936

COMMUNICATIONS EQUIPMENT — 1.9%
Cisco Systems, Inc.		3,289		125,969

CONSUMER FINANCE — 5.0%
Discover Financial Services		2,727		209,761
Synchrony Financial		3,310		127,799

				337,560

ELECTRIC UTILITIES — 5.6%
Exelon Corp.		5,203		205,050
PG&E Corp.		1,675		75,090
PPL Corp.		3,091		95,667

				375,807

ELECTRICAL EQUIPMENT — 3.7%
Eaton Corp. PLC		1,550		122,465
Regal Beloit Corp.		1,650		126,390

				248,855

ENERGY EQUIPMENT & SERVICES — 0.6%
Schlumberger, Ltd.		569		38,345

FOOD PRODUCTS — 5.5%
Archer-Daniels-Midland Co.		2,172		87,054
J.M. Smucker Co.		363		45,099
Tyson Foods, Inc. Class A,		2,918		236,562

				368,715

HEALTH CARE EQUIPMENT & SUPPLIES — 0.5%
Danaher Corp.		391		36,292

HEALTH CARE PROVIDERS & SERVICES — 8.1%
Express Scripts Holding Co. (a)		1,730		129,127
Humana, Inc.		760		188,533
McKesson Corp.		1,450		226,128

				543,788

HOTELS, RESTAURANTS & LEISURE — 3.1%
Royal Caribbean Cruises, Ltd.		1,730		206,354

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 2.9%
NRG Energy, Inc.		6,810		193,949

INSURANCE — 6.7%
Athene Holding, Ltd. Class A, (a)		690		35,680
MetLife, Inc.		2,072		104,760
Prudential Financial, Inc.		2,013		231,455
Unum Group		705		38,697
XL Group, Ltd.		1,080		37,973

				448,565

INTERNET & CATALOG RETAIL — 0.7%
Priceline Group, Inc. (a)		28		48,657

IT SERVICES — 3.1%
DXC Technology Co.		2,219		210,583

MACHINERY — 3.6%
Caterpillar, Inc.		400		63,032
Cummins, Inc.		1,030		181,939

				244,971

OIL, GAS & CONSUMABLE FUELS — 9.0%
Anadarko Petroleum Corp.		1,577		84,590
EOG Resources, Inc.		490		52,876
Exxon Mobil Corp.		849		71,010
Phillips 66.		1,510		152,737
Valero Energy Corp.		2,670		245,400

				606,613

PHARMACEUTICALS — 4.8%
Johnson & Johnson		1,132		158,163
Merck & Co., Inc.		2,879		162,001

				320,164

REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.0%
Annaly Capital Management, Inc. REIT		5,280		62,779
Sun Communities, Inc. REIT		765		70,977

				133,756

REAL ESTATE MANAGEMENT & DEVELOPMENT — 1.2%
Realogy Holdings Corp.		3,110		82,415

ROAD & RAIL — 2.4%
Union Pacific Corp.		1,190		159,579

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.5%
Intel Corp.		3,676		169,684

SOFTWARE — 2.2%
Oracle Corp.		1,402		66,287
VMware, Inc. Class A, (a)		632		79,202

				145,489

SPECIALTY RETAIL — 4.5%
Best Buy Co., Inc.		3,457		236,701
Burlington Stores, Inc. (a)		541		66,559

				303,260

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 1.8%
NetApp, Inc.		2,256		124,802

TOBACCO — 0.9%
Philip Morris International, Inc.		549		58,002

TOTAL COMMON STOCKS (Cost $5,558,239)				6,645,493

SHORT-TERM INVESTMENTS — 1.1%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (b) (c) (Cost $73,073)		73,073		73,073

TOTAL INVESTMENTS — 99.9% (Cost $5,631,312)				6,718,566
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				7,299

NET ASSETS — 100.0%			$	6,725,865

See accompanying notes to financial statements.

SSGA MFS Systematic Value Equity Portfolio

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

(a)	Non-income producing security.

(b)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(c)	The rate shown is the annualized seven-day yield at December 31, 2017.

REIT = Real Estate Investment Trust


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Banks	$	950,224	$	—	$	—	$	950,224
Beverages		61,159		—		—		61,159
Chemicals		101,936		—		—		101,936
Communications Equipment		125,969		—		—		125,969
Consumer Finance		337,560		—		—		337,560
Electric Utilities		375,807		—		—		375,807
Electrical Equipment		248,855		—		—		248,855
Energy Equipment & Services		38,345		—		—		38,345
Food Products		368,715		—		—		368,715
Health Care Equipment & Supplies		36,292		—		—		36,292
Health Care Providers & Services		543,788		—		—		543,788
Hotels, Restaurants & Leisure		206,354		—		—		206,354
Independent Power Producers & Energy Traders		193,949		—		—		193,949
Insurance		448,565		—		—		448,565
Internet & Catalog Retail		48,657		—		—		48,657
IT Services		210,583		—		—		210,583
Machinery		244,971		—		—		244,971
Oil, Gas & Consumable Fuels		606,613		—		—		606,613
Pharmaceuticals		320,164		—		—		320,164
Real Estate Investment Trusts (REITs)		133,756		—		—		133,756
Real Estate Management & Development		82,415		—		—		82,415
Road & Rail		159,579		—		—		159,579
Semiconductors & Semiconductor Equipment		169,684		—		—		169,684
Software		145,489		—		—		145,489
Specialty Retail		303,260		—		—		303,260
Technology Hardware, Storage & Peripherals		124,802		—		—		124,802
Tobacco		58,002		—		—		58,002
Short-Term Investments		73,073		—		—		73,073

TOTAL INVESTMENTS	$	6,718,566	$	—	$	—	$	6,718,566

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		84,511	$	84,511	$	86,406	$	97,844	$	—	$	—		73,073	$	73,073	$	389

See accompanying notes to financial statements.

[This Page Intentionally Left Blank]

SSGA MASTER TRUST

STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2017 (Unaudited)


	SSGA Multi-Asset Real Return Portfolio		SSGA Income Allocation Portfolio		SSGA Global Allocation Portfolio
ASSETS
Investments in unaffiliated issuers, at value	$	26,224,054	$	—	$	9,260,341
Investments in affiliated issuers, at value		88,345,321		109,018,695		227,241,658

Total Investments		114,569,375		109,018,695		236,501,999
Cash		1		11		12
Receivable for investments sold		—		—		—
Dividends receivable — affiliated issuers		258		743		316,695
Dividends receivable — unaffiliated issuers		—		—		—
Interest receivable — unaffiliated issuers		—		—		—
Receivable for foreign taxes recoverable		—		—		—
Unrealized appreciation on unfunded loan commitments		—		—		—

TOTAL ASSETS		114,569,634		109,019,449		236,818,706

LIABILITIES
Due to custodian		—		—		—
Payable upon return of securities loaned		161,000		6,838,050		1,618,675
Payable for investments purchased		—		—		—
Advisory fee payable		18,982		17,179		39,456
Trustees’ fees and expenses payable		8		123		89
Accrued expenses and other liabilities		—		69		128

TOTAL LIABILITIES		179,990		6,855,421		1,658,348

NET ASSETS	$	114,389,644	$	102,164,028	$	235,160,358

COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	29,104,806	$	—	$	8,786,853
Investments in affiliated issuers		83,587,002		102,107,667		199,863,583

Total cost of investments	$	112,691,808	$	102,107,667	$	208,650,436

* Includes investments in securities on loan, at value	$	157,596	$	10,369,092	$	3,687,162

See accompanying notes to financial statements.


Blackstone / GSO Senior Loan Portfolio		SSGA Ultra Short Term Bond Portfolio		State Street DoubleLine Total Return Tactical Portfolio		SSGA MFS Systematic Core Equity Portfolio		SSGA MFS Systematic Growth Equity Portfolio		SSGA MFS Systematic Value Equity Portfolio

$	2,253,167,358	$	23,927,080	$	3,466,699,316	$	11,203,472	$	66,950,438	$	6,645,493
	209,993,789		453,598		95,761,169		90,664		685,065		73,073

	2,463,161,147		24,380,678		3,562,460,485		11,294,136		67,635,503		6,718,566
	—		101,431		931,488		—		—		—
	104,672,110		—		6,509,432		—		—		—
	157,261		617		155,269		82		539		65
	—		—		—		8,286		47,772		8,938
	10,988,160		59,347		16,410,161		—		—		—
	—		140		—		—		—		—
	1,920		—		—		—		—		—

	2,578,980,598		24,536,212		3,586,466,835		11,302,504		67,683,814		6,727,569


	132,296		—		—		—		—		—
	—		—		—		—		—		—
	214,330,079		397,582		14,761,974		—		—		—
	603,355		3,869		922,790		2,867		15,322		1,702
	—		5		—		6		—		—
	978		10		1,981		4		6		2

	215,066,708		401,466		15,686,745		2,877		15,328		1,704

$	2,363,913,890	$	24,134,746	$	3,570,780,090	$	11,299,627	$	67,668,486	$	6,725,865


$	2,244,019,109	$	23,907,082	$	3,502,276,892	$	10,501,982	$	61,706,160	$	5,558,239
	209,993,789		453,598		95,761,169		94,664		685,065		73,073

$	2,454,012,898	$	24,360,680	$	3,598,038,061	$	10,592,646	$	62,391,225	$	5,631,312

$	—	$	—	$	—	$	—	$	—	$	—

SSGA MASTER TRUST

STATEMENTS OF OPERATIONS

For the Six Months Ended December 31, 2017 (Unaudited)


	SSGA Multi-Asset Real Return Portfolio			SSGA Income Allocation Portfolio		SSGA Global Allocation Portfolio
INVESTMENT INCOME
Interest income — unaffiliated income	$	—		$	—	$	—
Dividend income — unaffiliated issuers		10,567			—		129,426
Dividend income — affiliated issuers		1,330,710			1,857,916		2,557,636
Affiliated securities lending income		2,623			1,672		11,240

TOTAL INVESTMENT INCOME (LOSS)		1,343,900			1,859,588		2,698,302

EXPENSES
Advisory fee		112,477			98,917		221,655
Trustees’ fees and expenses		868			879		1,733
Miscellaneous expenses		17			—		—

TOTAL EXPENSES		113,362			99,796		223,388

NET INVESTMENT INCOME (LOSS)		1,230,538			1,759,792		2,474,914

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		(447,190	)		—		—
Investments — affiliated issuers		(884,258	)		707,503		1,823,624
In-kind redemptions — unaffiliated issuers		187,504			—		2,200
In-kind redemptions — affiliated issuers		1,356,048			196,071		448,220
Capital gain distributions — affiliated issuers		46,310			378,394		194,677

Net realized gain (loss)		258,414			1,281,968		2,468,721

Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		3,674,803			—		503,816
Investment transactions — affiliated issuers		6,774,845			2,730,199		13,247,565
Unfunded loan commitments		—			—		—

Net change in unrealized appreciation/depreciation		10,449,648			2,730,199		13,751,381

NET REALIZED AND UNREALIZED GAIN (LOSS)		10,708,062			4,012,167		16,220,102

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	11,938,600		$	5,771,959	$	18,695,016

See accompanying notes to financial statements.


Blackstone / GSO Senior Loan Portfolio			SSGA Ultra Short Term Bond Portfolio			State Street DoubleLine Total Return Tactical Portfolio			SSGA MFS Systematic Core Equity Portfolio			SSGA MFS Systematic Growth Equity Portfolio		SSGA MFS Systematic Value Equity Portfolio

$	48,270,735		$	166,240		$	55,434,974		$	—		$	—	$	—
	—			—			—			76,470			305,109		67,892
	872,468			1,833			1,068,155			254			1,863		389
	—			—			—			—			—		—

	49,143,203			168,073			56,503,129			76,724			306,972		68,281


	3,116,125			20,831			5,372,645			12,640			69,062		9,480
	14,278			140			27,833			57			313		41
	—			—			—			—			—		—

	3,130,403			20,971			5,400,478			12,697			69,375		9,521

	46,012,800			147,102			51,102,651			64,027			237,597		58,760



	(3,074,794	)		(177	)		4,892,409			(203	)		23,133		173,887
	—			—			—			—			—		—
	—			—			—			1,006,803			—		—
	—			—			—			—			—		—
	—			—			—			—			—		—

	(3,074,794	)		(177	)		4,892,409			1,006,600			23,133		173,887


	355,006			(19,780	)		(20,606,614	)		(203,081	)		5,058,478		543,933
	—			—			—			—			—		—
	1,920			—			(620	)		—			—		—

	356,926			(19,780	)		(20,607,234	)		(203,081	)		5,058,478		543,933

	(2,717,868	)		(19,957	)		(15,714,825	)		803,519			5,081,611		717,820

$	43,294,932		$	127,145		$	35,387,826		$	867,546		$	5,319,208	$	776,580

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS


	SSGA Multi-Asset Real Return Portfolio						SSGA Income Allocation Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	1,230,538		$	2,224,477		$	1,759,792		$	3,696,730
Net realized gain (loss)		258,414			(5,020,141	)		1,281,968			1,636,049
Net change in unrealized appreciation/depreciation		10,449,648			2,590,219			2,730,199			1,395,093

Net increase (decrease) in net assets resulting from operations		11,938,600			(205,445	)		5,771,959			6,727,872

CAPITAL TRANSACTIONS:
Contributions		6,339,851			47,857,927			3,348,869			1,595,744
Withdrawals		(19,870,390	)		(12,495,923	)		(3,234,518	)		(17,542,768	)
Other capital		—			—			—			—

Net increase (decrease) from capital share transactions		(13,530,539	)		35,362,004			114,351			(15,947,024	)

Net increase (decrease) in net assets during the period		(1,591,939	)		35,156,559			5,886,310			(9,219,152	)

Net assets at beginning of period		115,981,583			80,825,024			96,277,718			105,496,870

NET ASSETS AT END OF PERIOD	$	114,389,644		$	115,981,583		$	102,164,028		$	96,277,718

See accompanying notes to financial statements.


SSGA Global Allocation Portfolio						Blackstone / GSO Senior Loan Portfolio						SSGA Ultra Short Term Bond Portfolio
Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17

$	2,474,914		$	5,282,029		$	46,012,800		$	51,271,905		$	147,102		$	167,936
	2,468,721			280,705			(3,074,794	)		2,066,427			(177	)		(4,025	)
	13,751,381			11,097,379			356,926			10,003,339			(19,780	)		44,005

	18,695,016			16,660,113			43,294,932			63,341,671			127,145			207,916


	12,916,824			27,444,065			551,756,909			1,009,734,223			6,032,774			6,048,995
	(5,915,752	)		(14,353,121	)		(52,501,447	)		(54,477,525	)		(149,662	)		(12,178,222	)
	—			—			275,879			—			6,033			—

	7,001,072			13,090,944			499,531,341			955,256,698			5,889,145			(6,129,227	)

	25,696,088			29,751,057			542,826,273			1,018,598,369			6,016,290			(5,921,311	)

	209,464,270			179,713,213			1,821,087,617			802,489,248			18,118,456			24,039,767

$	235,160,358		$	209,464,270		$	2,363,913,890		$	1,821,087,617		$	24,134,746		$	18,118,456

SSGA MASTER TRUST

STATEMENTS OF CHANGES IN NET ASSETS (continued)


	State Street DoubleLine Total Return Tactical Portfolio						SSGA MFS Systematic Core Equity Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	51,102,651		$	90,319,411		$	64,027		$	115,936
Net realized gain (loss)		4,892,409			2,330,165			1,006,600			141,554
Net change in unrealized appreciation/depreciation		(20,607,234	)		(41,419,867	)		(203,081	)		911,829

Net increase (decrease) in net assets resulting from operations		35,387,826			51,229,709			867,546			1,169,319

CAPITAL TRANSACTIONS:
Contributions		299,844,384			768,076,980			10,596,042			—
Withdrawals		(117,619,385	)		(103,354,126	)		(7,051,707	)		(119,679	)
Other capital		1,141,725			—			—			—

Net increase (decrease) from capital share transactions		183,366,724			664,722,854			3,544,335			(119,679	)

Net increase (decrease) in net assets during the period		218,754,550			715,952,563			4,412,824			1,049,640

Net assets at beginning of period		3,352,025,540			2,636,072,977			6,886,803			5,837,163

NET ASSETS AT END OF PERIOD	$	3,570,780,090		$	3,352,025,540		$	11,299,627		$	6,886,803

See accompanying notes to financial statements.


SSGA MFS Systematic Growth Equity Portfolio						SSGA MFS Systematic Value Equity Portfolio
Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17

$	237,597		$	262,109		$	58,760		$	83,021
	23,133			3,301,975			173,887			55,579
	5,058,478			(247,154	)		543,933			483,302

	5,319,208			3,316,930			776,580			621,902


	23,417,506			45,181,471			—			2,907,751
	(250,080	)		(21,484,558	)		(58,427	)		(135,740	)
	—			—			—			—

	23,167,426			23,696,913			(58,427	)		2,772,011

	28,486,634			27,013,843			718,153			3,393,913

	39,181,852			12,168,009			6,007,712			2,613,799

$	67,668,486		$	39,181,852		$	6,725,865		$	6,007,712

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period


	SSGA Multi-Asset Real Return Portfolio†
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13
Total return		10.10	%(a)		0.56	%		(3.94	)%		(14.80	)%		13.93	%		(1.63	)%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	114,390		$	115,982		$	80,825		$	141,996		$	164,635		$	121,584
Ratios to average net assets:
Total expenses		0.20	%(b)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net investment income (loss)		2.19	%(b)		2.30	%		1.36	%		1.56	%		2.01	%		2.91	%
Portfolio turnover rate		8	%(a)		46	%		25	%		33	%		40	%		31	%

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

(a)	Not annualized.

(b)	Annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SSGA Income Allocation Portfolio†
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13
Total return		4.35	%(a)		7.00	%		3.95	%		(1.42	)%		13.84	%		4.39	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	102,164		$	96,278		$	105,497		$	121,149		$	104,030		$	174,255
Ratios to average net assets:
Total expenses		0.20	%(b)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net investment income (loss)		3.56	%(b)		3.64	%		3.23	%		3.15	%		3.89	%		4.65	%
Portfolio turnover rate		9	%(a)		47	%		54	%		64	%		63	%		80	%

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

(a)	Not annualized.

(b)	Annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SSGA Global Allocation Portfolio†
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			Year Ended 6/30/13
Total return		7.67	%(b)		8.92	%		(0.80	)%		0.49	%		16.80	%		9.92	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	235,160		$	209,464		$	179,713		$	144,775		$	98,492		$	51,936
Ratios to average net assets:
Total expenses.		0.20	%(a)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net investment income (loss)		2.23	%(a)		2.72	%		2.30	%		2.45	%		2.76	%		3.07	%
Portfolio turnover rate		14	%(b)		90	%		86	%		98	%		89	%		123	%

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

(a)	Annualized.

(b)	Not annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	Blackstone / GSO Senior Loan Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			Year Ended 6/30/14			For the Period 4/3/13* - 6/30/13
Total return		(0.41	%)(a)		6.19	%		(0.20	)%		2.98	%		4.00	%		(0.31	)%(a)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,363,914		$	1,821,088		$	802,489		$	672,264		$	610,477		$	332,792
Ratios to average net assets:
Total expenses		0.30	%(b)		0.30	%		0.30	%		0.31	%		0.30	%		0.30	%(b)
Net investment income (loss)		4.43	%(b)		4.31	%		4.54	%		4.49	%		3.63	%		2.57	%(b)
Portfolio turnover rate.		49	%(a)		68	%		88	%		65	%		77	%		4	%(a)

*	Commencement of operations.

(a)	Not annualized.

(b)	Annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SSGA Ultra Short Term Bond Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period *10/9/13 - 6/30/14**
Total return		(0.10	%)(a)		1.54	%		0.65	%		0.21	%		0.47	%(a)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	24,135		$	18,118		$	24,040		$	16,019		$	14,036
Ratios to average net assets:
Total expenses		0.20	%(b)		0.20	%		0.20	%		0.20	%		0.20	%(b)
Net investment income (loss)		1.41	%(b)		1.09	%		0.69	%		0.33	%		0.34	%(b)
Portfolio turnover rate		10	%(a)		83	%		407	%		79	%		39	%(a)

*	Commencement of Operations.

(a)	Not annualized.

(b)	Annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	State Street DoubleLine Total Return Tactical Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			For the Period *2/23/15 - 6/30/15**
Total return		(0.73	%)(a)		1.75	%		4.32	%		(0.36	)%(a)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	3,570,780		$	3,352,026		$	2,636,073		$	746,694
Ratios to average net assets:
Total expenses		0.30	%(b)		0.30	%		0.30	%		0.30	%(b)
Net investment income (loss)		2.85	%(b)		2.95	%		3.38	%		3.46	%
Portfolio turnover rate		16	%(a)		72	%		38	%		14	%(a)

*	Commencement of operations.

(a)	Not annualized.

(b)	Annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SSGA MFS Systematic Core Equity Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period *1/8/14 - 6/30/14**
Total return		10.23	%(a)		20.26	%		2.53	%		14.00	%		7.92	%(a)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	11,300		$	6,887		$	5,837		$	2,940		$	5,378
Ratios to average net assets:
Total expenses		0.30	%(b)		0.30	%		0.30	%		0.30	%		0.30	%(b)
Net investment income (loss)		1.52	%(b)		1.83	%		2.08	%		1.72	%		1.55	%(b)
Portfolio turnover rate		32	%(a)		67	%		39	%		54	%		27	%(a)

*	Commencement of operations.

(a)	Not annualized.

(b)	Annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SSGA MFS Systematic Growth Equity Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period *1/8/14 - 6/30/14**
Total return		11.75	%(b)		18.52	%		4.240	%		17.85	%		7.85	%(b)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	67,668		$	39,182		$	12,168		$	6,045		$	5,373
Ratios to average net assets:
Total expenses		0.30	%(a)		0.30	%		0.30	%		0.30	%		0.30	%(a)
Net investment income (loss)		1.03	%(a)		1.360	%		1.37	%		1.44	%		1.46	%(a)
Portfolio turnover rate		41	%(b)		55	%		56	%		67	%		20	%(b)

��*	Commencement of operations.

(a)	Annualized.

(b)	Not annualized.

See accompanying notes to financial statements.

SSGA MASTER TRUST

FINANCIAL HIGHLIGHTS (continued)

Selected data for a share outstanding throughout each period


	SSGA MFS Systematic Value Equity Portfolio
	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			Year Ended 6/30/16			Year Ended 6/30/15			For the Period *1/8/14 - 6/30/14**
Total return		11.95	(a)		19.94	%		(2.13	)%		13.79	%		6.20	%(a)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	6,726		$	6,008		$	2,614		$	2,910		$	5,286
Ratios to average net assets:
Total expenses		0.30	%(b)		0.30	%		0.31	%		0.30	%		0.30	%(b)
Net investment income (loss)		1.86	%(b)		2.11	%		2.15	%		1.67	%		1.73	%(b)
Portfolio turnover rate		23	%(a)		64	%		64	%		61	%		23	%(a)

*	Commencement of operations.

(a)	Not annualized.

(b)	Annualized.

See accompanying notes to financial statements.

SSGA Master Trust

NOTES TO FINANCIAL STATEMENTS

December 31, 2017 (Unaudited)

1.	Organization

SSGA Master Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company.

As of December 31, 2017, the Trust consists of nine (9) series, each of which represents a separate series of beneficial interest in the Trust. The financial statements herein relate to the following Portfolios (each, a “Portfolio” and collectively, the “Portfolios”):

SSGA Multi-Asset Real Return Portfolio

SSGA Income Allocation Portfolio

SSGA Global Allocation Portfolio

Blackstone / GSO Senior Loan Portfolio

SSGA Ultra Short Term Bond Portfolio

State Street DoubleLine Total Return Tactical Portfolio

SSGA MFS Systematic Core Equity Portfolio

SSGA MFS Systematic Growth Equity Portfolio

SSGA MFS Systematic Value Equity Portfolio

Each Portfolio is classified as a diversified investment company under the 1940 Act, with the exception of SSGA Ultra Short Term Bond Portfolio and State Street DoubleLine Total Return Tactical Portfolio, which are each a non-diversified investment company.

Each Portfolio serves as a master fund in a master feeder structure.

2.	Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value each Portfolio’s investments by major category are as follows:

•

Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

•

Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

SSGA Master Trust

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

•

Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.

•

Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s NAV and the prices used by the Portfolios’ underlying benchmarks.

Various inputs are used in determining the value of the Portfolios’ investments.

The Portfolios value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

•

Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

•

Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of each Portfolio’s investments according to the fair value hierarchy as of December 31, 2017 is disclosed in each Portfolio’s respective Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolios had no material transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.

Distributions received by the Portfolios may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Certain Portfolios invest in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolios’ policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar

SSGA Master Trust

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

year’s to return of capital or capital gains distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.

All of the net investment income and realized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolios within the Trust.

Foreign Currency Translation

The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

3.	Securities and Other Investments

Loan Agreements

The Blackstone / GSO Senior Loan Portfolio and State Street DoubleLine Total Return Tactical Portfolio invest in Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus are highly leveraged. The Portfolios do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Portfolios as the issuers of such loans.

4.	Fees and Transactions with Affiliates

Advisory Fee

Each Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Portfolios, facilities furnished, and expenses borne by the Adviser, each Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Portfolio’s average daily net assets as shown in the following table:


	Annual Rate
SSGA Multi-Asset Real Return Portfolio		0.20	%
SSGA Income Allocation Portfolio		0.20
SSGA Global Allocation Portfolio		0.20
Blackstone / GSO Senior Loan Portfolio		0.30
SSGA Ultra Short Term Bond Portfolio		0.20
State Street DoubleLine Total Return Tactical Portfolio		0.30
SSGA MFS Systematic Core Equity Portfolio		0.30
SSGA MFS Systematic Growth Equity Portfolio		0.30
SSGA MFS Systematic Value Equity Portfolio		0.30

SSGA Master Trust

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

The Adviser pays all expenses of each Portfolio other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including and Trustees’ counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.

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

Massachusetts Financial Services Company (“MFS”) receives fees for its services as the sub-adviser to the SSGA MFS Systematic Core Equity Portfolio, SSGA MFS Systematic Growth Equity Portfolio and SSGA MFS Systematic Value Equity Portfolio from the Adviser.

DoubleLine Capital LP receives fees for its services as the sub-adviser to the State Street DoubleLine Total Return Tactical Portfolio from the Adviser.

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent to the Portfolios. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.

Due to Custodian

In certain circumstances, the Portfolios may have cash overdraft with the custodian. The Due to custodian amount, if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Portfolios. The Blackstone / GSO Senior Loan Portfolio has a cash overdraft related to trading activity.

5.	Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolios. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

6.	Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2017, were as follows:


	U.S. Government Obligations				Other Securities
	Purchases		Sales		Purchases		Sales
SSGA Multi-Asset Real Return Portfolio	$	—	$	—	$	9,511,021	$	9,502,586
SSGA Income Allocation Portfolio		—		—		8,962,341		9,301,269
SSGA Global Allocation Portfolio		—		—		30,429,814		29,837,307
Blackstone / GSO Senior Loan Portfolio		—		—		1,356,211,757		982,143,438
SSGA Ultra Short Term Bond Portfolio		1,046,988		—		6,123,270		1,984,083
State Street DoubleLine Total Return Tactical Portfolio		563,805,466		289,089,232		367,473,978		229,421,171
SSGA MFS Systematic Core Equity Portfolio		—		—		2,903,672		2,914,786
SSGA MFS Systematic Growth Equity Portfolio		—		—		19,259,263		19,418,171
SSGA MFS Systematic Value Equity Portfolio		—		—		1,421,823		1,409,360

SSGA Master Trust

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

For the period ended December 31, 2017, the following Portfolios had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:


	Contributions		Redemptions		Net Realized Gains/(Losses)
SSGA Multi-Asset Real Return Portfolio	$	6,339,844	$	18,726,502	$	1,543,552
SSGA Income Allocation Portfolio		3,212,505		1,602,467		196,071
SSGA Global Allocation Portfolio		11,556,116		3,255,212		450,420

7.	Income Tax Information

The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolios file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2017, SSGA FM has analyzed the fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SSGA Multi-Asset Real Return Portfolio	$	112,691,808	$	5,235,270	$	3,357,703	$	1,877,567
SSGA Income Allocation Portfolio		102,107,667		7,630,617		719,589		6,911,028
SSGA Global Allocation Portfolio		208,650,436		27,877,641		26,078		27,851,563
Blackstone / GSO Senior Loan Portfolio		2,454,012,898		16,926,690		7,778,441		9,148,249
SSGA Ultra Short Term Bond Portfolio		24,360,680		38,396		18,398		19,998
State Street DoubleLine Total Return Tactical Portfolio		3,598,126,664		16,750,566		52,416,745		(35,666,179	)
SSGA MFS Systematic Core Equity Portfolio		10,613,589		822,128		120,638		680,547
SSGA MFS Systematic Growth Equity Portfolio		62,391,225		5,623,966		379,688		5,244,278
SSGA MFS Systematic Value Equity Portfolio		5,632,821		1,199,889		114,144		1,085,745

8.	Line of Credit

Certain Portfolios and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. Blackstone / GSO Senior Loan Portfolio has exclusive access to $200 million of the total credit facility. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Blackstone / GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are ordinary fund operation expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Portfolios and other affiliated funds participated in a $360 million revolving credit facility and Blackstone / GSO Senior Loan Portfolio had exclusive access to $100 million of the total credit facility. The Portfolios had no outstanding loans as of December 31, 2017.

SSGA Master Trust

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Risks

Concentration Risk

As a result of the Portfolios’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolios’ investments more than if the Portfolios were more broadly diversified.

Foreign and Emerging Markets Risks

Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolios’ invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

10.

New Accounting Pronouncements

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

11.

Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolios through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

SSGA MASTER TRUST

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of a Portfolio, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return — This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
SSGA Multi-Asset Real Return Portfolio		0.20	%	$	1,101.00	$	1.06	$	1,024.20	$	1.02
SSGA Income Allocation Portfolio		0.20			1,043.50		1.03		1,024.20		1.02
SSGA Global Allocation Portfolio		0.20			1,076.70		1.05		1,024.20		1.02
Blackstone/GSO Senior Loan Portfolio		0.30			995.90		1.51		1,023.70		1.53
SSGA Ultra Short Term Bond Portfolio		0.20			999.00		1.01		1,024.20		1.02
DoubleLine Total Return Tactical Portfolio		0.30			992.70		1.51		1,023.70		1.53
MFS Systematic Core Equity Portfolio		0.30			1,102.30		1.59		1,023.70		1.53
MFS Systematic Growth Equity Portfolio		0.30			1,117.50		1.60		1,023.70		1.53
MFS Systematic Value Equity Portfolio		0.30			1,119.50		1.60		1,023.70		1.53

(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, and then divided by 365.

SSGA MASTER TRUST

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Portfolios’ investment adviser to vote proxies relating to the Portfolios’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC’s website, at www.sec.gov.

Information regarding how the investment adviser voted for the most recent 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolios’ website at www.spdrs.com.

Quarterly Portfolio Schedule

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

SSGA Master Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President; Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Arthur A. Jensen, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Daniel G. Plourde, Assistant Treasurer

Jesse D. Hallee, Secretary

Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

For more complete information, please call 866.787.2257 or

visit www.spdrs.com today.

State Street Global Advisors, State Street Financial Center One Lincoln Street Boston, MA 02111

ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETFs net asset value. Brokerage commissions and ETF expenses will reduce returns.

Because the SPDR SSGA Active Asset Allocation ETFs are actively managed, they are therefore subject to the risk that the investments selected by SSGA may cause the ETFs to underperform relative to their benchmarks or other funds with similar investment objectives. Actively managed ETFs do not seek to replicate the performance of a specified index.

Foreign investments involve greater risks than U.S. investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.

Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.

Investing in commodities entail significant risk and is not appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends, commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.

Past performance is no guarantee of future results. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.

Standard & Poor’s, S&P and SPDR are registered trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.

Distributor: State Street Global Advisors Funds Distributor, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the SPDR ETFs.

State Street Global Advisors Funds Distributor, LLC is the distributor for all registered products on behalf of the adviser. SSGA Funds Management has retained GSO Capital Partners, Massachusetts Financial Services Company & DoubleLine Capital LP as the sub-adviser.

DoubleLine^® is a registered trademark of DoubleLine Capital LP.

GSO Capital Partners, Massachusetts Financial Services Company and DoubleLine Capital LP are not affiliated with State Street Global Advisors Funds Distributor, LLC.

Before investing, consider the fund’s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 866.787.2257 or visit www.spdrs.com. Read it carefully.

Not FDIC Insured. No Bank Guarantee. May Lose Value

State Street Global Advisors

SPDRACTIVESAR

Semi-Annual Report

December 31, 2017

SSGA Active Trust

SPDR^® DoubleLine^® Emerging Markets Fixed Income ETF (EMTL)

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.

LOGO

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

Semi-Annual Report (Unaudited)

December 31, 2017

TABLE OF CONTENTS


Portfolio Statistics			1
Schedule of Investments			2
Statement of Assets and Liabilities			6
Statement of Operations			7
Statements of Changes in Net Assets			8
Financial Highlights			9
Notes to Financial Statements			10
Other Information			15

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.

SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings

as of December 31, 2017


	% of Net Assets
Philippine Government International Bond 4.20%, 01/21/2024		2.8	%
Temasek Financial I, LTD. Series REGS, 2.38%, 01/23/2023		2.7
Saci Falabella 3.75%, 04/30/2023		2.4
Malayan Banking BHD, Series REGS, USD 5 Year Swap Rate + 2.542%, 3.91%, 10/29/2026		2.4
Axiata SPV2 BHD Series 2, 3.47%, 11/19/2020		2.4

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

Portfolio Composition

as of December 31, 2017


	% of Net Assets
Corporate Bonds & Notes		71.2	%
Foreign Government Obligations		27.3
Other Assets in Excess of Liabilities		1.5
TOTAL		100.0	%

(The Fund’s portfolio composition is expressed as a percentage of net assets and may change over time.)

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value

CORPORATE BONDS & NOTES — 72.1%
BRAZIL — 0.5%
MARB BondCo PLC 7.00%, 3/15/2024 (a)	$	200,000	$	200,750

CHILE — 10.8%
Banco de Credito e Inversiones Series REGS, 4.00%, 2/11/2023		200,000		208,277
Banco del Estado de Chile:
Series REGS, 3.88%, 2/8/2022		150,000		156,278
Series REGS, 4.13%, 10/7/2020		300,000		312,836
Banco Santander Chile Series REGS, 3.88%, 9/20/2022		263,000		273,334
Celulosa Arauco y Constitucion SA 4.75%, 1/11/2022		100,000		105,799
Embotelladora Andina SA Series REGS, 5.00%, 10/1/2023		800,000		880,313
Inversiones CMPC SA Series REGS, 4.50%, 04/25/2022		700,000		732,783
Inversiones CMPC SA/Cayman Islands Branch 6.13%, 11/5/2019		200,000		213,789
Itau CorpBanca Series REGS, 3.88%, 9/22/2019		700,000		713,726
SACI Falabella 3.75%, 4/30/2023		1,000,000		1,024,084

				4,621,219

CHINA — 9.2%
Alibaba Group Holding, Ltd.:
2.80%, 6/6/2023		200,000		199,566
3.13%, 11/28/2021		800,000		812,680
CNOOC Finance 2011, Ltd. Series REGS, 4.25%, 1/26/2021		200,000		207,871
CNOOC Finance 2012, Ltd. Series REGS, 3.88%, 5/2/2022		200,000		206,152
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025		500,000		505,165
CNPC General Capital, Ltd.:
Series REGS, 3.40%, 4/16/2023		400,000		403,974
Series REGS, 3.95%, 4/19/2022		300,000		310,995
CNPC HK Overseas Capital, Ltd. Series REGS, 4.50%, 4/28/2021		200,000		210,092
Sinopec Group Overseas Development 2016, Ltd.:
Series REGS, 2.75%, 5/3/2021		400,000		398,647
Series REGS, 2.75%, 9/29/2026		700,000		664,271

				3,919,413

COLOMBIA — 2.0%
Bancolombia SA 6.13%, 7/26/2020		800,000		854,000

COSTA RICA — 0.5%
Banco Nacional de Costa Rica 4.88%, 11/1/2018		200,000		200,992

HONG KONG — 2.3%
CK Hutchison International 17 II, Ltd. 2.25%, 9/29/2020		200,000		198,054
CK Hutchison International 17, Ltd.:
Series REGS, 2.88%, 4/05/2022		400,000		398,525
3.50%, 4/5/2027 (a)		200,000		199,857
Hutchison Whampoa International 12 II, Ltd. 3.25%, 11/8/2022		200,000		202,166

				998,602

INDIA — 11.6%
Adani Ports & Special Economic Zone, Ltd.:
3.50%, 7/29/2020		500,000		505,158
Series REGS, 3.95%, 1/19/2022		400,000		407,916
Bharat Petroleum Corp., Ltd.:
4.00%, 5/08/2025		500,000		508,098
4.63%, 10/25/2022		400,000		422,160
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%, 3/11/2023		700,000		741,852
Bharti Airtel, Ltd. Series REGS, 4.38%, 6/10/2025		200,000		203,503
Indian Oil Corp., Ltd. 5.75%, 8/1/2023		800,000		891,153
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026		600,000		597,006
Reliance Holding USA, Inc. Series REGS, 4.50%, 10/19/2020		650,000		679,587

				4,956,433

ISRAEL — 1.3%
Delek & Avner Tamar Bond, Ltd. 4.44%, 12/30/2020 (a)		560,000		560,885

JAMAICA — 0.9%
Digicel Group, Ltd. Series REGS, 7.13%, 4/1/2022		400,000		370,500

MALAYSIA — 8.6%
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020		1,000,000		1,012,332
Gohl Capital, Ltd. 4.25%, 1/24/2027		600,000		615,316
Malayan Banking Bhd, Series REGS, USD 5 year swap rate + 2.54%, 3.91%, 10/29/2026 (b)		1,000,000		1,021,064
Petronas Capital, Ltd. Series REGS, 3.50%, 3/18/2025		600,000		615,310
Petronas Global Sukuk, Ltd. Series REGS, 2.71%, 3/18/2020		400,000		400,313

				3,664,335

MEXICO — 5.4%
America Movil SAB de CV 3.13%, 7/16/2022		600,000		607,758
Banco Santander Mexico SA Series REGS, USD 5 Year H15 + 4.58%, 5.95%, 1/30/2024 (b)		600,000		624,000
Coca-Cola Femsa SAB de CV 3.88%, 11/26/2023		300,000		313,386
Fomento Economico Mexicano SAB de CV 2.88%, 5/10/2023		600,000		594,354
Grupo Idesa SA de CV 7.88%, 12/18/2020		200,000		188,000

				2,327,498

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
PANAMA — 1.9%
Global Bank Corp.:
4.50%, 10/20/2021	$	300,000	$	305,610
Series REGS, 5.13%, 10/30/2019		500,000		516,850

				822,460

PERU — 2.4%
Banco de Credito del Peru
Series REGS, 2.25%, 10/25/2019		400,000		400,000
Series REGS, 5.38%, 9/16/2020		300,000		319,500
BBVA Banco Continental SA Series REGS, 5.00%, 8/26/2022		100,000		107,875
Transportadora de Gas del Peru SA 4.25%, 4/30/2028		200,000		206,800

				1,034,175

PHILIPPINES — 2.2%
Banco De Oro Unibank, Inc. Series MTN, 2.63%, 10/24/2021		450,000		445,530
BDO Unibank, Inc. 2.95%, 03/06/2023		500,000		490,230

				935,760

SINGAPORE — 11.7%
DBS Group Holdings, Ltd.:
Series REGS, 3 Month USD LIBOR + 0.62%, 1.99%, 7/25/2022 (b)		200,000		201,071
3 Month USD LIBOR + 0.62%, 1.99%, 7/25/2022 (a) (b)		600,000		603,214
ONGC Videsh Vankorneft Pte, Ltd. 2.88%, 1/27/2022		400,000		395,341
Oversea-Chinese Banking Corp., Ltd. Series REGS, USD 5 year Swap Rate + 2.203%, 4.00%, 10/15/2024 (b)		400,000		406,997
SingTel Group Treasury Pte, Ltd. Series EMTN, 4.50%, 9/8/2021		880,000		934,734
SP PowerAssets, Ltd. 2.70%, 9/14/2022		400,000		398,352
Temasek Financial I, Ltd. Series REGS, 2.38%, 01/23/2023		1,150,000		1,135,397
United Overseas Bank, Ltd.:
Series REGS, USD 5 year Swap Rate + 2.24%, 3.50%, 9/16/2026 (b)		200,000		201,306
Series EMTN, USD 5 year Swap Rate + 2.00%, 3.75%, 9/19/2024 (b)		700,000		708,264

				4,984,676

UNITED STATES — 0.8%
Reliance Holding USA, Inc. Series REGS, 5.40%, 2/14/2022		300,000		325,835

TOTAL CORPORATE BONDS & NOTES (Cost $30,812,690)				30,777,533


FOREIGN GOVERNMENT OBLIGATIONS — 27.3%
CHILE — 2.8%
Chile Government International Bond:
2.25%, 10/30/2022		150,000		147,935
3.13%, 3/27/2025		200,000		203,922
3.13%, 1/21/2026		800,000		813,000

				1,164,857

COSTA RICA — 0.8%
Costa Rica Government International Bond 10.00%, 8/1/2020		300,000		345,000

INDIA — 1.7%
Export-Import Bank of India Series EMTN, 4.00%, 1/14/2023		700,000		724,864

INDONESIA — 3.4%
Indonesia Government International Bond Series REGS, 4.88%, 5/5/2021		500,000		533,252
Perusahaan Penerbit SBSN Indonesia III Series 144A, 4.15%, 3/29/2027 (a)		900,000		929,340

				1,462,592

ISRAEL — 3.4%
Israel Government International Bond:
2.88%, 3/16/2026		400,000		399,392
3.15%, 6/30/2023		400,000		408,928
4.00%, 6/30/2022		600,000		636,132

				1,444,452

MALAYSIA — 3.1%
Malaysia Sovereign Sukuk Bhd:
3.04%, 4/22/2025		800,000		802,400
Series REGS, 3.18%, 4/27/2026		250,000		251,850
Wakala Global Sukuk Bhd 4.65%, 7/06/2021		250,000		266,575

				1,320,825

MEXICO — 3.2%
Mexico Government International Bond:
4.00%, 10/02/2023		300,000		314,364
4.13%, 1/21/2026		500,000		522,350
4.15%, 3/28/2027		500,000		519,450

				1,356,164

PANAMA — 3.0%
Panama Government International Bond:
3.88%, 3/17/2028		400,000		418,356
4.00%, 9/22/2024		800,000		850,664

				1,269,020

PERU — 0.5%
Fondo MIVIVIENDA SA Series REGS, 3.50%, 1/31/2023		200,000		200,780

				200,780

PHILIPPINES — 3.5%
Philippine Government International Bond:
3.70%, 2/2/2042		300,000		298,596
4.20%, 1/21/2024		1,100,000		1,195,161

				1,493,757

POLAND — 1.0%
Poland Government International Bond 5.13%, 4/21/2021		400,000		433,233

TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $11,157,583)				11,215,544

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


TOTAL INVESTMENTS — 98.5% (Cost $41,970,274)	$	41,993,077
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.5%		651,104

NET ASSETS — 100.0%	$	42,644,181

(a)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.9% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b)	Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

EMTN = Euro Medium Term Note

LIBOR = London Interbank Offered Rate

MTN = Medium Term Note

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Corporate Bonds & Notes
Brazil	$	—	$	200,750	$	—	$	200,750
Chile		—		4,621,219		—		4,621,219
China		—		3,919,413		—		3,919,413
Colombia		—		854,000		—		854,000
Costa Rica		—		200,992		—		200,992
Hong Kong		—		998,602		—		998,602
India		—		4,956,433		—		4,956,433
Israel		—		560,885		—		560,885
Jamaica		—		370,500		—		370,500
Malaysia		—		3,664,335		—		3,664,335
Mexico		—		2,327,498		—		2,327,498
Panama		—		822,460		—		822,460
Peru		—		1,034,175		—		1,034,175
Philippines		—		935,760		—		935,760
Singapore		—		4,984,676		—		4,984,676
United States		—		325,835		—		325,835
Foreign Government Obligations
Chile		—		1,164,857		—		1,164,857
Costa Rica		—		345,000		—		345,000
India		—		724,864		—		724,864
Indonesia		—		1,462,592		—		1,462,592
Israel		—		1,444,452		—		1,444,452
Malaysia		—		1,320,825		—		1,320,825
Mexico		—		1,356,164		—		1,356,164
Panama		—		1,269,020		—		1,269,020
Peru		—		200,780		—		200,780
Philippines		—		1,493,757		—		1,493,757
Poland		—		433,233		—		433,233

TOTAL INVESTMENTS	$	—	$	41,993,077	$	—	$	41,993,077

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		1,072,343	$	1,072,343	$	20,719,340	$	21,791,683	$	—	$	—		—	$	—	$	7,845	$	—

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017 (Unaudited)


ASSETS
Investments in unaffiliated issuers, at value	$	41,993,077
Receivable for investments sold		211,302
Interest receivable — unaffiliated issuers		473,735
Dividends receivable — affiliated issuers		1,800
Receivable from Adviser		3,616

TOTAL ASSETS		42,683,530

LIABILITIES
Due to custodian		12,238
Advisory fee payable		26,842
Trustees’ fees and expenses payable		29
Accrued expenses and other liabilities		240

TOTAL LIABILITIES		39,349

NET ASSETS	$	42,644,181

NET ASSETS CONSIST OF:
Paid-in Capital	$	42,568,668
Undistributed (distribution in excess of) net investment income (loss)		4,450
Accumulated net realized gain (loss) on investments		48,260
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		22,803

NET ASSETS	$	42,644,181

NET ASSET VALUE PER SHARE
Net asset value per share	$	50.17

Shares outstanding (unlimited amount authorized, no par value)		850,000

COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	41,970,274

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

STATEMENT OF OPERATIONS

For the Six Months Ended December 31, 2017 (Unaudited)


INVESTMENT INCOME
Interest income — unaffiliated income	$	547,528
Dividend income — affiliated issuers		7,845

TOTAL INVESTMENT INCOME (LOSS)		555,373

EXPENSES
Advisory fee		124,016
Trustees’ fees and expenses		252

TOTAL EXPENSES		124,268

Expenses waived/reimbursed by the Adviser		(16,787	)

NET EXPENSES		107,481

NET INVESTMENT INCOME (LOSS)		447,892

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		373,801

Net realized gain (loss)		373,801

Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		(251,312	)

Net change in unrealized appreciation/depreciation		(251,312	)

NET REALIZED AND UNREALIZED GAIN (LOSS)		122,489

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	570,381

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

STATEMENT OF CHANGES IN NET ASSETS


	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	447,892		$	1,068,230
Net realized gain (loss)		373,801			1,818,115
Net change in unrealized appreciation/depreciation		(251,312	)		(543,528	)

Net increase (decrease) in net assets resulting from operations		570,381			2,342,817

Net equalization credits and charges		19,163			4,915

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(521,646	)		(1,136,725	)
Net realized gains		(465,069	)		(1,500,330	)

Total distributions to shareholders		(986,715	)		(2,637,055	)

FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		15,258,907			2,484,201
Cost of shares redeemed		—			(13,109,131	)
Net income equalization		(19,163	)		(4,915	)
Other capital		53,406			28,358

Net increase (decrease) in net assets from beneficial interest transactions		15,293,150			(10,601,487	)

Net increase (decrease) in net assets during the period		14,895,979			(10,890,810	)

Net assets at beginning of period		27,748,202			38,639,012

NET ASSETS AT END OF PERIOD	$	42,644,181		$	27,748,202

Undistributed (distribution in excess of) net investment income (loss)	$	4,450		$	78,204

SHARES OF BENEFICIAL INTEREST:
Shares sold		300,000			50,000
Shares redeemed		—			(250,000	)

Net increase (decrease)		300,000			(200,000	)

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period


	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			For the Period 4/14/16* - 6/30/16
Net asset value, beginning of period	$	50.45		$	51.52		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (a)		0.69			1.77			0.45
Net realized and unrealized gain (loss)		0.29			1.91			1.17

Total from investment operations		0.98			3.68			1.62

Net equalization credits and charges (a)		0.03			0.01			—

Other capital (a)		0.08			0.05			0.15

Distributions to shareholders from:
Net investment income		(0.82	)		(1.81	)		(0.25	)
Net realized gains		(0.55	)		(3.00	)		—

Total distributions		(1.37	)		(4.81	)		(0.25	)

Net asset value, end of period	$	50.17		$	50.45		$	51.52

Total return (b)		2.17	%		7.67	%		3.55	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	42,644		$	27,748		$	38,639
Ratios to average net assets:
Total expenses		0.75	%(c)		0.75	%		0.75	%(c)
Net expenses		0.65	%(c)		0.65	%		0.65	%(c)
Net investment income (loss)		2.71	%(c)		3.46	%		4.15	%(c)
Portfolio turnover rate (d)		31	%(e)		141	%		12	%(e)

*	Commencement of operations.

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

(b)

(c)	Annualized.

(d)	Portfolio turnover rate excludes transactions involving securities received or delivered from in-kind processing of creations or redemptions.

(e)	Not annualized.

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

NOTES TO FINANCIAL STATEMENTS

December 31, 2017 (Unaudited)

1.	Organization

SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest at no par value. The financial statements herein relate only to the SPDR DoubleLine Emerging Markets Fixed Income ETF (the “Fund”).

The Fund is classified as a diversified investment company under the 1940 Act.

The Fund was formed on April 13, 2016 and commenced operations on April 14, 2016.

2.	Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Fund’s investments by major category are as follows:

•

Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.

•

Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Fair value pricing could result in a difference between the prices used to calculate the Fund’s NAV and the prices used by the Fund’s underlying benchmarks. Various inputs are used in determining the value of the Fund’s investments.

The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

•

Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017 is disclosed in the Fund’s Schedule of Investments.

The Fund had no material transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

Expenses

Distributions

Distributions from net investment income, if any, are declared and paid monthly. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

Equalization

The Fund follows 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

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

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.

3.	Fees and Transactions with Affiliates

Advisory Fee

The Fund has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee accrued daily and paid monthly, at the rate of 0.75% of the Fund’s average daily net assets.

SSGA FM has contractually agreed to waive its advisory fee and/or reimburse certain expenses, until October 31, 2018, so that the net annual fund operating expenses of the Fund will be limited to 0.65% of the Fund’s average daily net assets before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2018, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board. For period ended December 31, 2017, fees waived and expenses reimbursed by the Advisor, pursuant to the Agreement, were $16,787.

The Adviser pays all expenses of the Fund other than the management fee, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.

DoubleLine Capital LP receives fees for its services as the sub-advisor to the Fund from the Adviser.

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees

Distributor Fees

State Street Global Advisor Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Trust.

Other Transactions with Affiliates

The Fund may invest in affiliated entities, including securities issued by State Street Corporation, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017 are disclosed in the Schedule of Investments.

Due to Custodian

In certain circumstances, the Fund may have a cash overdraft with the custodian. The Due to Custodian amount, if any, reflects cash overdrawn with State Street, as custodian, who is an affiliate of the Funds. As of December 31, 2017, the Fund had a cash overdraft related to monthly distributions.

4.	Trustees’ Fees

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

5.	Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2017, were as follows:


	Purchases		Sales
SPDR DoubleLine Emerging Markets Fixed Income ETF	$	25,556,562	$	9,825,820

6.	Shareholder Transactions

The Fund issues and redeems its shares, at NAV, only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in capital shares for the Fund are disclosed in detail in the Statement of Changes in Net Assets.

The consideration for the purchase of Creation Units of the Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statement of Changes in Net Assets.

7.	Income Tax Information

The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The 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. Therefore, no provision for federal income tax is required.

The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2017, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability. Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SPDR DoubleLine Emerging Markets Fixed Income ETF	$	41,970,274	$	216,001	$	193,198	$	22,803

8.	Line of Credit

The Fund and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 12, 2017, the Fund and other affiliated Funds participated in a $360 million revolving credit facility. The Fund had no outstanding loans as of ended December 31, 2017.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Risks

Concentration of Risk

As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

10.

New Accounting Pronouncements

11.

Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost in two ways:

Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
SPDR DoubleLine Emerging Markets Fixed Income ETF		0.65	%	$	1,021.70	$	3.31	$	1,021.90	$	3.31

(a)	Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

Premium/Discount Information

Information regarding how often the Shares of the Fund traded on the Exchange at a price above (i.e. at a premium) or below (i.e. at a discount) the NAV of the Fund during the past calendar year can be found at http://www.spdrs.com.

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s 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 SEC, at www.sec.gov.

SSGA Active Trust

SPDR DoubleLine Emerging Markets Fixed Income ETF

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form 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 1-800-997-7327 (toll free) and on the Fund’s website at www.spdrs.com.

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President; Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Arthur A. Jensen, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel D. Plourde, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Jesse D. Hallee, Secretary

Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Advisors Funds Distributors, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

SPDREMTLSAR

Semi-Annual Report

December 31, 2017

SSGA Active Trust

SPDR^® DoubleLine^® Short Duration Total Return Tactical ETF (STOT)

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.

LOGO

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

Semi-Annual Report (Unaudited)

December 31, 2017

TABLE OF CONTENTS


Portfolio Statistics			1
Schedule of Investments			2
Statement of Assets and Liabilities			9
Statement of Operations			10
Statements of Changes in Net Assets			11
Financial Highlights			12
Notes to Financial Statements			13
Other Information			18

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.

SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF — PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings

as of December 31, 2017


	% of Net Assets
Federal National Mortgage Association Series 2012-32, Class DA, CMO, REMIC 2.00%, 11/25/2026		6.3	%
Federal Home Loan Mortgage Corp., Series 4030, Class AN, CMO, REMIC 1.75%, 4/15/2027		5.6
Treasury Notes 1.38%, 9/15/2020		4.4
Treasury Notes 0.88%, 3/31/2018		3.5
Treasury Notes 0.88%, 5/31/2018		3.2

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

Portfolio Composition

as of December 31, 2017


	% of Net Assets
U.S. Government Agency Obligations		27.8	%
Corporate Bonds & Notes		26.1
U.S. Treasury Obligations		20.8
Short-Term Investments		11.9
Mortgage-Backed Securities		6.2
Asset-Backed Securities		3.2
Foreign Government Obligations		2.7
Senior Floating Rate Loans		0.9
Other Assets in Excess of Liabilities		0.4
TOTAL		100.0	%

(The Fund’s portfolio composition is expressed as a percentage of net assets and may change over time.)

SPDR DoubleLine Short Duration Total Return Tactical ETF

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
CORPORATE BONDS & NOTES — 26.1%
AEROSPACE & DEFENSE — 1.0%
Northrop Grumman Corp. 2.08%, 10/15/2020	$	260,000	$	257,865
United Technologies Corp.:
1.50%, 11/1/2019		120,000		118,600
1.90%, 5/4/2020		55,000		54,465

				430,930

AGRICULTURE — 0.5%
BAT Capital Corp. 2.30%, 8/14/2020 (a)		150,000		149,133
Reynolds American, Inc. 3.25%, 6/12/2020		65,000		66,065

				215,198

AUTO MANUFACTURERS — 0.9%
American Honda Finance Corp. Series MTN, 1.95%, 7/20/2020		60,000		59,512
Daimler Finance North America LLC 2.30%, 2/12/2021 (a)		150,000		148,728
General Motors Financial Co., Inc. 2.65%, 4/13/2020		130,000		130,062
Toyota Motor Credit Corp. 1.95%, 4/17/2020		50,000		49,689

				387,991

BANKS — 8.1%
Banco de Credito del Peru Series REGS, 5.38%, 9/16/2020		100,000		106,500
Banco De Oro Unibank, Inc. Series MTN, 2.63%, 10/24/2021		200,000		198,013
Banco del Estado de Chile Series REGS, 3.88%, 2/8/2022		200,000		208,370
Banco Santander Mexico SA Series REGS, USD 5 Year CMT + 4.58%, 5.95%, 1/30/2024 (b)		200,000		208,000
Bank of Nova Scotia Series BKNT, 2.15%, 7/14/2020		185,000		183,984
Capital One Financial Corp. 2.40%, 10/30/2020		260,000		258,380
Citigroup, Inc.:
2.05%, 12/7/2018		130,000		129,867
3 Month USD LIBOR + 0.96%, 2.33%, 4/25/2022 (b)		130,000		131,348
Commonwealth Bank of Australia 2.25%, 3/10/2020 (a)		105,000		104,677
DBS Group Holdings, Ltd. Series GMTN, USD 5 year swap rate + 2.39%, 3.60%, 9/7/2021 (b)		200,000		199,107
Goldman Sachs Group, Inc.:
2.30%, 12/13/2019		225,000		224,528
2.90%, 7/19/2018		30,000		30,136
Itau CorpBanca Series REGS, 3.88%, 9/22/2019		200,000		203,922
JPMorgan Chase & Co. 2.25%, 1/23/2020		260,000		259,810
Morgan Stanley 3 Month USD LIBOR + 0.93%, 2.29%, 7/22/2022 (b)		260,000		262,088
MUFG Americas Holdings Corp. 2.25%, 2/10/2020		60,000		59,752
PNC Financial Services Group, Inc. 4.38%, 8/11/2020		95,000		99,779
Royal Bank of Canada 1.50%, 7/29/2019		135,000		133,466
Sumitomo Mitsui Financial Group, Inc. 2.06%, 7/14/2021		190,000		185,811
Wells Fargo & Co.:
Series GMTN, 1.50%, 1/16/2018		70,000		69,993
Series N, 2.15%, 1/30/2020		185,000		184,560
Westpac Banking Corp. 1.60%, 8/19/2019		140,000		138,527

				3,580,618

BEVERAGES — 0.2%
Molson Coors Brewing Co. 1.45%, 7/15/2019		90,000		88,745

BIOTECHNOLOGY — 1.0%
Amgen, Inc. 2.20%, 5/11/2020		175,000		174,366
Celgene Corp. 2.88%, 8/15/2020		255,000		257,382

				431,748

CHEMICALS — 0.6%
Sherwin-Williams Co. 2.25%, 5/15/2020		255,000		254,253

DIVERSIFIED FINANCIAL SERVICES — 0.3%
National Rural Utilities Cooperative Finance Corp. 2.30%, 11/15/2019		115,000		115,138

ELECTRIC — 0.7%
American Electric Power Co., Inc. 2.15%, 11/13/2020		50,000		49,743
Consolidated Edison, Inc. Series A, 2.00%, 3/15/2020		150,000		149,111
Southern Co.:
1.85%, 7/1/2019		65,000		64,573
2.45%, 9/1/2018		50,000		50,145

				313,572

FOOD — 0.6%
General Mills, Inc. 2.20%, 10/21/2019		165,000		164,782
Kroger Co. 6.15%, 1/15/2020		95,000		101,892

				266,674

HEALTH CARE PRODUCTS — 0.3%
Thermo Fisher Scientific, Inc.: 2.15%, 12/14/2018		80,000		80,049
3.60%, 8/15/2021		55,000		56,703

				136,752

HEALTH CARE SERVICES — 0.3%
Anthem, Inc.:
2.30%, 7/15/2018		45,000		45,098
2.50%, 11/21/2020		95,000		94,861

				139,959

HOUSEWARES — 0.6%
Newell Brands, Inc.:
2.60%, 3/29/2019		14,000		14,048
3.15%, 4/1/2021		235,000		237,531

				251,579

See accompanying notes to financial statements.

SPDR DoubleLine Short Duration Total Return Tactical ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
INSURANCE — 1.1%
Berkshire Hathaway Finance Corp.:
1.30%, 8/15/2019	$	155,000	$	153,151
1.70%, 3/15/2019		20,000		19,924
Nuveen Finance LLC 2.95%, 11/1/2019 (a)		110,000		111,052
Prudential Financial, Inc. Series MTND, 7.38%, 6/15/2019		200,000		214,718

				498,845

INTERNET — 0.5%
Amazon.com, Inc.:
1.90%, 8/21/2020 (a)		45,000		44,661
2.60%, 12/5/2019		160,000		161,629

				206,290

INVESTMENT COMPANY SECURITY — 0.5%
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023		250,000		246,825

MACHINERY, CONSTRUCTION & MINING — 0.6%
Caterpillar Financial Services Corp.:
Series GMTN, 1.70%, 6/16/2018		40,000		39,977
Series MTN, 2.10%, 1/10/2020		215,000		214,510

				254,487

MEDIA — 0.2%
Comcast Corp. 5.15%, 3/1/2020		90,000		95,503

OIL & GAS — 2.0%
BP Capital Markets PLC:
1.68%, 5/3/2019		145,000		144,279
1.77%, 9/19/2019		65,000		64,578
CNPC General Capital, Ltd. Series REGS, 3.95%, 4/19/2022		200,000		207,330
Indian Oil Corp., Ltd. 5.63%, 8/2/2021		200,000		217,039
ONGC VIDESH, Ltd. Co. 3.25%, 7/15/2019		200,000		201,080
Shell International Finance B.V. 1.38%, 5/10/2019		75,000		74,318

				908,624

PACKAGING & CONTAINERS — 0.6%
Packaging Corp. of America 2.45%, 12/15/2020		275,000		275,366

PHARMACEUTICALS — 1.6%
AbbVie, Inc. 1.80%, 5/14/2018		70,000		69,966
AstraZeneca PLC 2.38%, 11/16/2020		255,000		254,459
Cardinal Health, Inc. 1.95%, 6/14/2019		275,000		273,342
McKesson Corp. 2.28%, 3/15/2019		100,000		100,003

				697,770

PIPELINES — 0.2%
Kinder Morgan, Inc. 3.05%, 12/1/2019		100,000		100,876

REAL ESTATE INVESTMENT TRUSTS — 0.1%
Simon Property Group L.P. 2.20%, 2/1/2019		55,000		55,035

RETAIL — 1.0%
CK Hutchison International 17, Ltd. 2.25%, 9/29/2020 (a)		200,000		198,054
CVS Health Corp. 2.80%, 7/20/2020		255,000		255,938

				453,992

SEMICONDUCTORS — 0.3%
QUALCOMM, Inc. 2.10%, 5/20/2020		140,000		139,367

SOFTWARE — 0.4%
VMware, Inc. 2.30%, 8/21/2020		170,000		168,960

TELECOMMUNICATIONS — 1.1%
AT&T, Inc. 2.80%, 2/17/2021		90,000		90,383
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020		200,000		202,466
British Telecommunications PLC 5.95%, 1/15/2018		100,000		100,134
Orange SA 2.75%, 2/6/2019		105,000		105,607

				498,590

TEXTILES — 0.3%
Cintas Corp. No. 2 2.90%, 4/1/2022		135,000		136,121

TRANSPORTATION — 0.5%
PSA International Pte, Ltd. Series GMTN, 4.63%, 9/11/2019		200,000		207,182

TOTAL CORPORATE BONDS & NOTES (Cost $11,606,780)				11,556,990


FOREIGN GOVERNMENT OBLIGATIONS — 2.7%
ISRAEL — 0.5%
Israel Government International Bond 4.00%, 6/30/2022		200,000		212,044

PHILIPPINES — 0.2%
Philippine Government International Bond 4.00%, 1/15/2021		100,000		105,032

POLAND — 0.5%
Poland Government International Bond 5.13%, 4/21/2021		200,000		216,616

CHILE — 0.4%
Chile Government International Bond 2.25%, 10/30/2022		200,000		197,246

INDONESIA — 0.5%
Indonesia Government International Bond Series REGS, 4.88%, 5/5/2021		200,000		213,301

MALAYSIA — 0.6%
Wakala Global Sukuk Bhd 4.65%, 7/6/2021		250,000		266,575

TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $1,217,266)				1,210,814

See accompanying notes to financial statements.

SPDR DoubleLine Short Duration Total Return Tactical ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS — 27.8%
Federal Home Loan Mortgage Corp.:
3.50%, 9/1/2032	$	967,615	$	1,002,956
Series 4030, Class AN, CMO, REMIC 1.75%, 4/15/2027		2,533,630		2,479,068
Series 4060, Class QA, CMO, REMIC 1.50%, 9/15/2026		919,391		899,542
Series 4125, Class FA, CMO, REMIC 1 month LIBOR + 0.350% 1.83%, 11/15/2042 (b)		542,492		541,810
Series 4484, Class CD, CMO, REMIC 1.75%, 7/15/2030		451,164		442,621
Series 4582, Class HA, CMO, REMIC 3.00%, 9/15/2045		766,699		771,515
Series K722, Class X1, IO, VRN 1.31%, 3/25/2023		502,689		27,656
Federal National Mortgage Association:
3.00%, 11/1/2036		612,589		621,910
Series 2012-32, Class DA, CMO, REMIC 2.00%, 11/25/2026		2,817,393		2,782,530
Series 2017-13, Class ML, CMO, REMIC 3.00%, 8/25/2041		942,407		947,559
Series 2017-2, Class HA, CMO, REMIC 3.00%, 9/25/2041		914,094		919,562
Government National Mortgage Association Series 2017-116, Class FB, 1.75%, 5/20/2044		880,310		881,082

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $12,468,183)				12,317,811

U.S. TREASURY OBLIGATIONS — 20.8%
Treasury Inflation Protected Indexed Notes 0.13%, 4/15/2018		1,205,812		1,204,690
Treasury Notes:
0.75%, 10/31/2018		520,000		515,731
0.88%, 3/31/2018		1,570,000		1,567,975
0.88%, 5/31/2018		1,400,000		1,396,808
1.00%, 3/15/2018		170,000		169,903
1.38%, 9/15/2020		2,000,000		1,971,560
2.00%, 8/31/2021		1,210,000		1,206,092
2.13%, 9/30/2021		1,210,000		1,210,847

TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,292,524)				9,243,606


ASSET-BACKED SECURITIES — 3.2%
Bear Stearns Asset Backed Securities Trust Series 2006-2, Class M1, 1 Month USD LIBOR + 0.42% 1.97%, 7/25/2036 (b)		328,293		328,343
Citi Held For Asset Issuance Series 2016-PM1, Class A, 4.65%, 4/15/2025 (a)		49,937		50,096
Invitation Homes Trust Series 2015-SFR3, Class A, 1 month LIBOR + 1.30% 2.76%, 8/17/2032 (a) (b)		94,979		95,573
OneMain Financial Issuance Trust Series 2017-1A, Class A1, 2.37%, 9/14/2032 (a)		250,000		247,774
Sofi Consumer Loan Program LLC Series 2017-1, Class A, 3.28%, 1/26/2026 (a)		318,512		321,683
Westlake Automobile Receivables Trust Series 2017-2A, Class C, 2.59%, 12/15/2022 (a)		400,000		397,154

TOTAL ASSET-BACKED SECURITIES (Cost $1,438,710)				1,440,623

MORTGAGE-BACKED SECURITIES — 6.2%
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 4.53%, 11/15/2019 (a) (b)		36,000		35,599
Bank Series 2017-BNK6, Class XA, 0.88%, 7/15/2060		1,140,023		69,836
BBCMS Mortgage Trust:
Series 2017-DELC, Class C, 1 month LIBOR + 1.200% 2.68%, 8/15/2036 (a) (b)		17,000		16,964
Series 2017-DELC, Class D, 1 month LIBOR + 1.70% 3.18%, 8/15/2036 (a) (b)		19,000		18,960
Series 2017-DELC, Class E, 1 month LIBOR + 2.50% 3.98%, 8/15/2036 (a) (b)		40,000		39,915
Series 2017-DELC, Class F, 1 month LIBOR + 3.500% 4.98%, 8/15/2036 (a) (b)		38,000		37,925
Bear Stearns Commercial Mortgage Securities Trust Series 2014-BXO, Class E, 5.23%, 8/15/2027 (a) (b)		26,000		26,074
BXMT, Ltd. Series 2017-FL1, Class C, 3.31%, 6/14/2035 (a) (b)		150,000		150,000
CHT COSMO Mortgage Trust:
Series 2017-CSMO, Class E, 1 month LIBOR + 3.000% 4.38%, 11/15/2036 (a) (b)		59,000		59,165
Series 2017-CSMO, Class F, 1 month LIBOR + 3.741% 5.12%, 11/15/2036 (a) (b)		31,000		31,048
Citigroup Commercial Mortgage Trust:
Series 2008-C7, Class AM, 6.19%, 12/10/2049		59,424		59,177
Series 2016-GC37, Class XA, IO, VRN 1.80%, 4/10/2049		989,953		111,861
CLNS Trust:
Series 2017-IKPR, Class D, 1 month LIBOR + 2.050% 3.48%, 6/11/2032 (a) (b)		18,000		18,017

See accompanying notes to financial statements.

SPDR DoubleLine Short Duration Total Return Tactical ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Series 2017-IKPR, Class E, 1 month LIBOR + 3.50% 4.93%, 6/11/2032 (a) (b)	$	18,000	$	18,039
COMM Mortgage Trust Series 2015-CR25, Class XA, 0.95%, 8/10/2048		1,356,176		73,689
Credit Suisse Commercial Mortgage Trust Series 2008-C1, Class AM, 6.33%, 2/15/2041 (a) (b)		66,092		66,046
Credit Suisse Mortgage Capital Certificates Series 2017-CHOP, Class D, 3.38%, 7/15/2032 (a) (b)		29,000		29,018
CSAIL Commercial Mortgage Trust:
Series 2017-C8, Class XA, IO, VRN 1.26%, 6/15/2050		343,546		27,369
Series 2017-CX10, Class XA, IO, VRN 0.73%, 11/15/2050		999,715		55,733
Series 2017-CX9, Class XA, IO, VRN 0.90%, 9/15/2050		1,857,851		95,561
GS Mortgage Securities Trust:
Series 2013-GC14, Class A2, 3.00%, 8/10/2046		49,805		49,949
Series 2017-500K, Class E, 1 Month LIBOR + 1.50% 2.98%, 7/15/2032 (a) (b)		50,000		50,043
Series 2017-500K, Class F, 1 Month LIBOR + 1.80% 3.28%, 7/15/2032 (a) (b)		34,000		34,049
Series 2017-500K, Class G, 1 Month LIBOR + 2.50% 3.98%, 7/15/2032 (a) (b)		22,000		22,006
Series 2017-GS7, Class XA, IO, VRN 1.14%, 8/10/2050		393,652		32,995
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-LDP9, Class AMS, 5.34%, 5/15/2047		67,000		67,041
Series 2014-FL6, Class A, 1 Month LIBOR + 1.40% 2.88%, 11/15/2031 (a) (b)		81,527		81,579
Series 2017-MAUI, Class C, 1 Month LIBOR + 1.25% 2.73%, 7/15/2034 (a) (b)		27,000		27,000
Series 2017-MAUI, Class D, 1 Month LIBOR + 1.95% 3.43%, 7/15/2034 (a) (b)		25,000		25,008
Series 2017-MAUI, Class E, 1 Month LIBOR + 2.95% 4.43%, 7/15/2034 (a) (b)		22,000		22,007
Series 2017-MAUI, Class F, 1 Month LIBOR + 3.75% 5.23%, 7/15/2034 (a) (b)		31,000		31,020
Series 2016-JP4, Class XA, IO, VRN 0.81%, 12/15/2049		1,724,082		76,499
Series 2007-LDPX, Class AM, VRN 5.46%, 1/15/2049		32,101		32,188
JPMBB Commercial Mortgage Securities Trust Series 2014-C22, Class XA, 0.92%, 9/15/2047		1,047,303		48,451
JPMDB Commercial Mortgage Securities Trust Series 2016-C4, Class XA, 0.84%, 12/15/2049		791,038		46,346
Mill City Mortgage Trust Series 2015-2, Class A1, 3.00%, 9/25/2057 (a) (b)		121,588		121,800
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C19, Class LNCX, IO 0.60%, 12/15/2046 (a)		1,247,837		44,957
Series 2014-C15, Class XA, IO, VRN 1.09%, 4/15/2047		994,886		44,619
Morgan Stanley Capital I Trust:
Series 2017-PRME, Class A, 1 Month LIBOR + 0.900% 2.38%, 2/15/2034 (a) (b)		23,989		23,989
Series 2016-UB12, Class XA, IO, VRN 0.82%, 12/15/2049		1,627,785		81,043
RAIT Trust:
Series 2017-FL7, Class A, 1 Month LIBOR + 0.95% 2.19%, 6/15/2037 (a) (b)		22,997		23,012
Series 2017-FL7, Class AS, 1 Month LIBOR + 1.30% 2.54%, 6/15/2037 (a) (b)		6,000		6,000
Rosslyn Portfolio Trust:
Series 2017-ROSS, Class A, 1 Month LIBOR + 0.95% 2.43%, 6/15/2033 (a) (b)		15,000		14,782
Series 2017-ROSS, Class B, 1 Month LIBOR + 1.25% 2.73%, 6/15/2033 (a) (b)		15,000		14,801
Sutherland Commercial Mortgage Loans LLC Series 2015-SBC4, Class A, 4.00%, 6/25/2039 (a)		6,731		6,699
TRU Trust Series 2016-TOYS, Class A, 3.73%, 11/15/2030 (a) (b)		74,989		74,618
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, 1.61%, 6/15/2050		995,349		111,039
Velocity Commercial Capital Loan Trust Series 2016-1, Class AFX, 3.53%, 4/25/2046 (a) (b)		281,380		283,897
VSD LLC 3.60%, 12/25/2043		27,671		27,659
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C25, Class F, VRN 5.19%, 5/15/2043		13,732		13,720
Series 2007-C30, Class AJ, VRN 5.41%, 12/15/2043		47,731		48,688
Waldorf Astoria Boca Raton Trust:
Series 2016-BOCA, Class B, 1 month LIBOR + 2.05% 3.53%, 6/15/2029 (a) (b)		37,000		37,057

See accompanying notes to financial statements.

SPDR DoubleLine Short Duration Total Return Tactical ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Principal Amount		Value
Series 2016-BOCA, Class C, 1 Month LIBOR + 2.50% 3.98%, 6/15/2029 (a) (b)	$	31,000	$	31,048
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, 0.84%, 12/15/2046		1,332,668		42,325

TOTAL MORTGAGE-BACKED SECURITIES (Cost $2,850,802)				2,737,930


SENIOR FLOATING RATE LOANS — 0.9%
CHEMICALS — 0.0% (c)
Kraton Polymers LLC Senior Secured Term Loan 4.57% 1/6/2022		15,180		15,359

DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1%
Telesat Canada Senior Secured Term Loan B4 4.70% 11/17/2023		44,439		44,695

FOOD & STAPLES RETAILING — 0.1%
BJ’s Wholesale Club, Inc. Senior Secured 1st Lien Term Loan 4.95% 2/3/2024		29,850		29,412

HEALTH CARE PROVIDERS & SERVICES — 0.3%
Change Healthcare Holdings, Inc. Senior Secured Term Loan B 4.32% 3/1/2024		34,737		34,839
Select Medical Corp. Senior Secured Term Loan B 4.85% 3/1/2021		34,738		35,128
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan 4.32% 2/6/2024		64,512		62,981

				98,109

IT SERVICES — 0.1%
TKC Holdings, Inc. Senior Secured 1st Lien Term Loan 5.67% 2/1/2023 (a)		29,775		30,045

MEDIA — 0.3%
CSC Holdings LLC Senior Secured 1st Lien Term Loan 3.74% 7/17/2025		74,439		74,258
Tribune Media Co. Senior Secured Term Loan 4.57% 12/27/2020		4,246		4,258
Tribune Media Co.Senior Secured Term Loan C 4.57% 1/27/2024		52,924		53,081

				131,597

TOTAL SENIOR FLOATING RATE LOANS (Cost $384,958)			$	384,056

SHORT-TERM INVESTMENTS — 8.8%
U.S. GOVERNMENT SECURITY — 3.1%
U.S. Treasury Bill 1.29%, 3/8/2018 (Cost $1,396,750)	$	1,400,000		1,396,692


	Shares
MONEY MARKET FUND — 8.8%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (d) (e) (Cost $3,889,956)		3,889,956		3,889,956

TOTAL SHORT-TERM INVESTMENTS (Cost $5,286,706)				5,286,648

TOTAL INVESTMENTS — 99.6% (Cost $44,545,929)				44,178,478
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4%				163,234

NET ASSETS — 100.0%			$	44,341,712

(a)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 7.2% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b)	Variable Rate Security — Interest rate shown is rate in effect at December 31, 2017.

(c)	Amount is less than 0.05% of net assets.

(d)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(e)	The rate shown is the annualized seven-day yield at December 31, 2017.

CMT = Constant Maturity Treasury

IO = Interest Only

LIBOR = London Interbank Offered Rate

See accompanying notes to financial statements.

SPDR DoubleLine Short Duration Total Return Tactical ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017.


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Corporate Bonds & Notes
Aerospace & Defense	$	—	$	430,930	$	—	$	430,930
Agriculture		—		215,198		—		215,198
Auto Manufacturers		—		387,991		—		387,991
Banks		—		3,580,618		—		3,580,618
Beverages		—		88,745		—		88,745
Biotechnology		—		431,748		—		431,748
Chemicals		—		254,253		—		254,253
Diversified Financial Services		—		115,138		—		115,138
Electric		—		313,572		—		313,572
Food		—		266,674		—		266,674
Health Care Products		—		136,752		—		136,752
Health Care Services		—		139,959		—		139,959
Housewares		—		251,579		—		251,579
Insurance		—		498,845		—		498,845
Internet		—		206,290		—		206,290
Investment Company Security		—		246,825		—		246,825
Machinery, Construction & Mining		—		254,487		—		254,487
Media		—		95,503		—		95,503
Oil & Gas		—		908,624		—		908,624
Packaging & Containers		—		275,366		—		275,366
Pharmaceuticals		—		697,770		—		697,770
Pipelines		—		100,876		—		100,876
Real Estate Investment Trusts		—		55,035		—		55,035
Retail		—		453,992		—		453,992
Semiconductors		—		139,367		—		139,367
Software		—		168,960		—		168,960
Telecommunications		—		498,590		—		498,590
Textiles		—		136,121		—		136,121
Transportation		—		207,182		—		207,182
Foreign Government Obligations		—		1,210,814		—		1,210,814
U.S. Government Agency Obligations		—		12,317,811		—		12,317,811
U.S. Treasury Obligations		—		9,243,606		—		9,243,606
Asset-Backed Securities		—		1,440,623		—		1,440,623
Mortgage-Backed Securities		—		2,737,930		—		2,737,930
Senior Floating Rate Loans		—		384,056		—		384,056
Short-Term Investments		3,889,956		1,396,692		—		5,286,648

TOTAL INVESTMENTS	$	3,889,956	$	40,288,522	$	—	$	44,178,478

See accompanying notes to financial statements.

SPDR DoubleLine Short Duration Total Return Tactical ETF

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		270,252	$	270,252	$	14,928,440	$	11,308,736	$	—	$	—		3,889,956	$	3,889,956	$	9,356

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017 (Unaudited)


ASSETS
Investments in unaffiliated issuers, at value	$	40,288,522
Investments in affiliated issuers, at value		3,889,956

Total Investments		44,178,478
Cash		2
Receivable for investments sold		994
Interest receivable — unaffiliated issuers		177,496
Dividends receivable — affiliated issuers		792
Receivable from Adviser		1,826

TOTAL ASSETS		44,359,588

LIABILITIES
Advisory fee payable		17,682
Accrued expenses and other liabilities		194

TOTAL LIABILITIES		17,876

NET ASSETS	$	44,341,712

NET ASSETS CONSIST OF:
Paid-in Capital	$	44,842,852
Undistributed (distribution in excess of) net investment income (loss)		(30,461	)
Accumulated net realized gain (loss) on investments		(103,228	)
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		(367,451	)

NET ASSETS	$	44,341,712

NET ASSET VALUE PER SHARE
Net asset value per share	$	49.27

Shares outstanding (unlimited amount authorized, $0.01 par value)		900,000

COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	40,655,973
Investments in unaffiliated issuers		3,889,956

Total cost of investments	$	44,545,929

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

STATEMENT OF OPERATIONS

For the Six Months Ended December 31, 2017 (Unaudited)


INVESTMENT INCOME
Interest income — unaffiliated issuers	$	452,889
Dividend income — affiliated issuers		9,356

TOTAL INVESTMENT INCOME (LOSS)		462,245

EXPENSES
Advisory fee		98,873
Trustees’ fees and expenses		279

TOTAL EXPENSES		99,152

Expenses waived/reimbursed by the Adviser		(10,166	)

NET EXPENSES		88,986

NET INVESTMENT INCOME (LOSS)		373,439

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		34,154
Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		(300,462	)

NET REALIZED AND UNREALIZED GAIN (LOSS)		(266,308	)

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	107,131

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

STATEMENTS OF CHANGES IN NET ASSETS


	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	374,439		$	735,309
Net realized gain (loss)		34,154			590
Net change in unrealized appreciation/depreciation		(300,462	)		(281,924	)

Net increase (decrease) in net assets resulting from operations		107,131			453,975

Net equalization credits and charges		6,331			1,711

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(403,900	)		(835,059	)
Net realized gain on investments		—			(127,004	)

Total distributions to shareholders		(403,900	)		(962,063	)

FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		9,889,065			12,388,012
Cost of shares redeemed		—			(27,603,720	)
Net income equalization		(6,331	)		(1,711	)
Other capital (Note 7)		24,723			44,772

Net increase (decrease) in net assets from beneficial interest transactions		9,907,457			(15,172,647	)

Net increase (decrease) in net assets during the period		9,617,019			(15,679,024	)

Net assets at beginning of period		34,724,693			50,403,717

NET ASSETS AT END OF PERIOD	$	44,341,712		$	34,724,693

Undistributed (distribution in excess of) net investment income (loss)	$	(30,461	)	$	—

SHARES OF BENEFICIAL INTEREST:
Shares sold		200,000			250,000
Shares redeemed		—			(550,000	)

Net increase (decrease)		200,00			(300,000	)

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period


	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			For the Period 4/14/16* - 6/30/16
Net asset value, beginning of period	$	49.61		$	50.40		$	50.00

Income (loss) from investment operations:
Net investment income (loss) (a)		0.47			1.04			0.22
Net realized and unrealized gain (loss)		(0.33	)		(0.53	)		0.20

Total from investment operations		0.14			0.51			0.42

Net equalization credits and charges		0.01			0.00	(b)		—

Other capital (a)		0.03			0.06			0.10

Distributions to shareholders from:
Net investment income		(0.52	)		(1.13	)		(0.12	)
Net realized gains		—			(0.23	)		—

Total distributions		(0.52	)		(1.36	)		(0.12	)

Net asset value, end of period	$	49.27		$	49.61		$	50.40

Total return (c)		0.36	%		1.14	%		1.04	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	44,342		$	34,725		$	50,404
Ratios to average net assets:
Total expenses		0.50	%(d)		0.50	%		0.50	%(d)
Net expenses		0.45	%(d)		0.45	%		0.45	%(d)
Net investment income (loss)		1.89	%(d)		2.10	%		2.06	%(d)
Portfolio turnover rate (e)		20	%(f)		123	%		25	%(f)

*	Commencement of operations.

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

(b)	Amount is less than $0.005.

(c)

(d)	Annualized.

(e)	Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.

(f)	Not annualized.

See accompanying notes to financial statements.

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

NOTES TO FINANCIAL STATEMENTS

December 31, 2017 (Unaudited)

1.	Organization

SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest at no par value. The financial statements herein relate only to the SPDR DoubleLine Short Duration Total Return Tactical ETF (the “Fund”).

The Fund is classified as a diversified investment company under the 1940 Act.

The Fund was formed on April 13, 2016 and commenced operations on April 14, 2016.

2.	Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Valuation techniques used to value the Fund’s investments by major category are as follows:

•

Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices.

•

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.

The three levels of the fair value hierarchy are as follows:

•

Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2017 is disclosed in the Fund’s Schedule of Investments.

The Fund had no material transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.

Paydown gains and losses are recorded as an adjustment to interest income.

Expenses

Equalization

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

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.

Distributions

3.	Securities and Other Investments

Loan Agreements

The Fund invests in Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus are highly leveraged. The Fund does not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Fund as the issuers of such loans.

4.	Fees and Transactions with Affiliates

Advisory Fee

SSGA FM has contractually agreed to waive its advisory fee and/or reimburse certain expenses, until October 31, 2018, so that the net annual fund operating expenses of the Fund will be limited to 0.45% of the Fund’s average daily net assets before application of any extraordinary expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and after October 31, 2018, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board.

For the period ended December 31, 2017, fees waived and expenses reimbursed by the Advisor, pursuant to the Agreement, were $10,166.

The Adviser pays all expenses of the Fund other than the management fee, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.

DoubleLine Capital LP receives fees for its services as the sub-advisor to the Fund from the Adviser.

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees

Distributor

State Street Global Advisor Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Trust.

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Other Transactions with Affiliates

The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017 are disclosed in the Schedule of Investments.

5.	Trustees’ Fees

6.	Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2017, were as follows:


	U.S. Government Obligations				Other Securities
	Purchases		Sales		Purchases		Sales
SPDR DoubleLine Short Duration Total Return Tactical ETF	$	7,313,691	$	497,615	$	9,110,719	$	5,761,471

7.	Shareholder Transactions

The consideration for the purchase of Creation Units of the Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash except for when the Fund may invest in TBAs or mortgage backed securities. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statement of Changes in Net Assets.

8.	Income Tax Information

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
SPDR DoubleLine Short Duration Total Return Tactical ETF	$	44,546,518	$	32,306	$	400,346	$	(368,040	)

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

9.	Line of Credit

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 12, 2017, the Fund and other affiliated Funds participated in a $360 million revolving credit facility. The Fund had no outstanding loans as of December 31, 2017.

10.

Risks

Concentration of Risk

Foreign and Emerging Markets Risk

Market and Credit Risk

11.

New Accounting Pronouncements

12.

Subsequent Events

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2017 to December 31, 2017.

The table below illustrates your Fund’s cost in two ways:


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
SPDR DoubleLine Short Duration Total Return Tactical ETF		0.45	%	$	1,003.60	$	2.27	$	1,022.90	$	2.29

(a)	Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

SSGA Active Trust

SPDR DoubleLine Short Duration Total Return Tactical ETF

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Premium/Discount Information

Information regarding how often the Shares of the Fund traded on the Exchange at a price above (i.e. at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at http://www.spdrs.com.

Proxy Voting Policies and Procedures and Records

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form 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 Fund’s website at www.spdrs.com.

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President; Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Arthur A. Jensen, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel G. Plourde, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Jesse D. Hallee, Secretary

Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Advisors Funds Distributors, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

SPDRSTOTSAR

Semi-Annual Report

December 31, 2017

SSGA Active Trust

State Street Disciplined Global Equity Portfolio

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

LOGO

TABLE OF CONTENTS (UNAUDITED)


Portfolio Statistics			1
Schedule of Investments			2
Statement of Assets and Liabilities			5
Statement of Operations			6
Statements of Changes in Net Assets			7
Financial Highlights			8
Notes to Financial Statements			9
Other Information			14

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

PORTFOLIO STATISTICS (UNAUDITED)

Top Five Holdings as of December 31, 2017


Description	Market Value		% of Net Assets
Baxter International, Inc.		73,366		1.5	%
Texas Instruments, Inc.		70,810		1.4
Hitachi, Ltd.		70,138		1.4
Mitsui & Co., Ltd.		69,930		1.4
Cummins, Inc.		69,420		1.4
TOTAL		353,664		7.1	%

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

Industry Breakdown as of December 31, 2017


	% of Net Assets
Insurance		7.0	%
Banks		6.4
Health Care Providers & Services		5.1
Electric Utilities		4.7
Diversified Telecommunication Services		4.7
Pharmaceuticals		4.3
Health Care Equipment & Supplies		4.2
Multi-Utilities		3.8
Electronic Equipment, Instruments & Components		3.8
Construction & Engineering		2.8
Semiconductors & Semiconductor Equipment		2.6
Food & Staples Retailing		2.6
Real Estate Investment Trusts (REITs)		2.6
Hotels, Restaurants & Leisure		2.4
Automobiles		2.4
Technology Hardware, Storage & Peripherals		2.3
Beverages		2.3
Aerospace & Defense		2.3
Trading Companies & Distributors		2.3
Communications Equipment		1.8
Food Products		1.8
Tobacco		1.8
Household Durables		1.8
Unknown I3		1.6
Commercial Services & Supplies		1.5
Life Sciences Tools & Services		1.4
Machinery		1.4
Consumer Finance		1.3
Textiles, Apparel & Luxury Goods		1.3
Containers & Packaging		1.2
IT Services		1.2
Air Freight & Logistics		1.1
Mortgage Real Estate Investment Trust (REITs)		1.1
Road & Rail		1.1
Airlines		1.1
Metals & Mining		1.1
Electrical Equipment		1.0
Wireless Telecommunication Services		1.0
Media		0.9
Household Products		0.8
Specialty Retail		0.8
Chemicals		0.8
Software		0.7
Capital Markets		0.6
Industrial Conglomerates		0.5
Short-Term Investment		0.5
Other Assets in Excess of Liabilities		0.2
TOTAL		100.0	%

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

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS — 99.3%
AUSTRALIA — 1.2%
Qantas Airways, Ltd.		6,574	$	25,915
South32, Ltd.		11,841		32,322

				58,237

CANADA — 1.8%
BCE, Inc.		859		41,396
TELUS Corp.		1,279		48,610

				90,006

DENMARK — 1.8%
Danske Bank A/S		1,682		65,540
Tryg A/S		982		24,580

				90,120

FRANCE — 1.8%
Peugeot SA		1,992		40,556
Sanofi		544		46,935

				87,491

GERMANY — 0.8%
CECONOMY AG		1,496		22,644
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		79		17,146

				39,790

HONG KONG — 6.2%
BOC Hong Kong Holdings, Ltd.		12,000		60,788
CLP Holdings, Ltd.		5,000		51,137
Hang Seng Bank, Ltd.		2,100		52,115
Jardine Matheson Holdings, Ltd.		400		24,300
Link REIT		6,500		60,241
Sun Hung Kai Properties, Ltd.		2,000		33,362
WH Group, Ltd. (a)		23,000		25,950

				307,893

ITALY — 1.4%
Enel SpA		11,140		68,624

JAPAN — 17.5%
Central Japan Railway Co.		300		53,742
Daiwa House Industry Co., Ltd.		800		30,729
FUJIFILM Holdings Corp.		900		36,791
Fujitsu, Ltd.		5,000		35,628
Hitachi, Ltd.		9,000		70,138
Japan Airlines Co., Ltd.		800		31,304
Kajima Corp.		5,000		48,113
Kirin Holdings Co., Ltd.		2,400		60,517
Marubeni Corp.		5,900		42,743
Mitsubishi Materials Corp.		600		21,358
Mitsui & Co., Ltd.		4,300		69,930
Mitsui Chemicals, Inc.		1,200		38,615
Nippon Telegraph & Telephone Corp.		1,200		56,469
NTT DOCOMO, Inc.		2,000		47,244
Sekisui Chemical Co., Ltd.		2,300		46,184
Sekisui House, Ltd.		2,600		46,980
Suzuki Motor Corp.		500		29,001
Taisei Corp.		1,200		59,760
Toyota Motor Corp.		800		51,224

				876,470

NETHERLANDS — 0.7%
NN Group NV		854		37,041

NEW ZEALAND — 0.9%
Spark New Zealand, Ltd.		16,707		43,132

SINGAPORE — 0.6%
Ascendas REIT		6,500		13,230
UOL Group, Ltd.		2,485		16,493

				29,723

SPAIN — 0.6%
ACS Actividades de Construccion y Servicios SA		807		31,610

SWEDEN — 1.1%
Swedish Match AB		1,444		57,002

SWITZERLAND — 3.6%
Sonova Holding AG		246		38,421
Swisscom AG		89		47,354
TE Connectivity, Ltd.		663		63,012
Zurich Insurance Group AG		100		30,436

				179,223

UNITED KINGDOM — 0.9%
Direct Line Insurance Group PLC		8,421		43,481

UNITED STATES — 58.4%
Abbott Laboratories		1,202		68,598
Agilent Technologies, Inc.		1,021		68,376
AGNC Investment Corp. REIT		2,720		54,917
Allstate Corp.		556		58,219
Altria Group, Inc.		478		34,134
Ameren Corp.		768		45,304
American Express Co.		676		67,134
Annaly Capital Management, Inc. REIT		4,735		56,299
Anthem, Inc.		235		52,877
Apple, Inc.		173		29,277
Avery Dennison Corp.		522		59,957
Bank of New York Mellon Corp.		555		29,892
Baxter International, Inc.		1,135		73,366
Carnival Corp.		849		56,348
CenterPoint Energy, Inc.		1,662		47,134
Cisco Systems, Inc.		834		31,942
Comcast Corp. Class A		1,101		44,095
Corning, Inc.		1,700		54,383
Cummins, Inc.		393		69,420
DTE Energy Co.		492		53,854
Eaton Corp. PLC		659		52,068
Edison International		296		18,719
Eli Lilly & Co.		481		40,625
Entergy Corp.		335		27,266
Everest Re Group, Ltd.		84		18,586
Exelon Corp.		1,239		48,829
Express Scripts Holding Co. (b)		534		39,858
General Dynamics Corp.		121		24,617
Harris Corp.		439		62,184
HCA Healthcare, Inc. (b)		522		45,852
Home Depot, Inc.		221		41,886

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Security Description	Shares		Value
HP, Inc.		2,260	$	47,483
IDEXX Laboratories, Inc. (b)		175		27,367
International Business Machines Corp.		150		23,013
Johnson & Johnson		458		63,992
JPMorgan Chase & Co.		642		68,655
KLA-Tencor Corp.		207		21,750
Lincoln National Corp.		408		31,363
Maxim Integrated Products, Inc.		751		39,262
McDonald’s Corp.		373		64,201
Merck & Co., Inc.		809		45,522
Motorola Solutions, Inc.		684		61,793
PepsiCo, Inc.		473		56,722
Pfizer, Inc.		404		14,633
PNC Financial Services Group, Inc.		476		68,682
PPL Corp.		624		19,313
Principal Financial Group, Inc.		667		47,064
Procter & Gamble Co.		421		38,681
Prudential Financial, Inc.		103		11,843
Public Service Enterprise Group, Inc.		846		43,569
PVH Corp.		466		63,940
Quest Diagnostics, Inc.		580		57,124
Raytheon Co.		155		29,117
Republic Services, Inc.		211		14,266
Synopsys, Inc. (b)		404		34,437
Sysco Corp.		659		40,021
Texas Instruments, Inc.		678		70,810
Torchmark Corp.		401		36,375
Tyson Foods, Inc. Class A		785		63,640
United Parcel Service, Inc. Class B		447		53,260
UnitedHealth Group, Inc.		266		58,642
Wal-Mart Stores, Inc.		654		64,583
Waste Management, Inc.		713		61,531

				2,918,670

TOTAL COMMON STOCKS (Cost $4,242,971)				4,958,513

SHORT-TERM INVESTMENT — 0.5%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (c) (d) (Cost $26,452)		26,452		26,452

TOTAL INVESTMENTS — 99.8% (Cost $4,269,423)				4,984,965

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%				12,041

NET ASSETS — 100.0%			$	4,997,006

(a)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.5% of net assets as of December 31, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b)	Non-income producing security.

(c)	The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below.

(d)	The rate shown is the annualized seven-day yield at December 31, 2017.

REIT = Real Estate Investment Trust

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017.


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
ASSETS:
INVESTMENTS:
Common Stocks
Australia	$	58,237	$	—	$	—	$	58,237
Canada		90,006		—		—		90,006
Denmark		90,120		—		—		90,120
France		87,491		—		—		87,491
Germany		39,790		—		—		39,790
Hong Kong		307,893		—		—		307,893
Italy		68,624		—		—		68,624
Japan		876,470		—		—		876,470
Netherlands		37,041		—		—		37,041
New Zealand		43,132		—		—		43,132
Singapore		29,723		—		—		29,723

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS (continued)

December 31, 2017 (Unaudited)


Description	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Spain	$	31,610	$	—	$	—	$	31,610
Sweden		57,002		—		—		57,002
Switzerland		179,223		—		—		179,223
United Kingdom		43,481		—		—		43,481
United States		2,918,670		—		—		2,918,670
Short-Term Investment		26,452		—		—		26,452

TOTAL INVESTMENTS	$	4,984,965	$	—	$	—	$	4,984,965

Affiliate Table


	Number of Shares Held at 6/30/17		Value at 6/30/17		Cost of Purchases		Proceeds from Shares Sold		Realized Gain (Loss)		Change in Unrealized Appreciation/ Depreciation		Number of Shares Held at 12/31/17		Value at 12/31/17		Dividend Income		Capital Gains Distributions
State Street Institutional U.S. Government Money Market Fund, Class G Shares		23,785	$	23,785	$	360,340	$	357,673	$	—	$	—		26,452	$	26,452	$	257	$	—

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2017 (Unaudited)


ASSETS
Investments in unaffiliated issuers, at value	$	4,958,513
Investments in affiliated issuers, at value		26,452

Total Investments		4,984,965
Foreign currency, at value		3,499
Dividends receivable — unaffiliated issuers		6,739
Dividends receivable — affiliated issuers		21
Receivable from Adviser		1,099
Receivable for foreign taxes recoverable		3,334

TOTAL ASSETS		4,999,657

LIABILITIES
Payable for fund shares repurchased		1,569
Advisory fee payable		1,082

TOTAL LIABILITIES		2,651

NET ASSETS	$	4,997,006

NET ASSETS CONSIST OF:
Paid-in Capital	$	4,168,280
Undistributed (distribution in excess of) net investment income (loss)		(1,324	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		114,328
Net unrealized appreciation (depreciation) on:
Investments — unaffiliated issuers		715,542
Foreign currency translations		180

NET ASSETS	$	4,997,006

NET ASSET VALUE PER SHARE
Net asset value per share	$	12.47

Shares outstanding (unlimited amount authorized, no par value)		400,848

COST OF INVESTMENTS:
Investments in unaffiliated issuers	$	4,242,971
Investments in affiliated issuers		26,452

Total cost of investments	$	4,269,423

Foreign currency, at cost	$	3,449

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

STATEMENT OF OPERATIONS

For the Six Months Ended December 31, 2017 (Unaudited)


INVESTMENT INCOME
Dividend income — unaffiliated issuers	$	91,000
Dividend income — affiliated issuers		257
Foreign taxes withheld		(1,592	)

TOTAL INVESTMENT INCOME (LOSS)		89,665

EXPENSES
Advisory fee		6,174
Trustees’ fees and expenses		34
Miscellaneous expenses		9

TOTAL EXPENSES		6,217

Expenses waived/reimbursed by the Adviser		(6,217	)

NET EXPENSES		—

NET INVESTMENT INCOME (LOSS)		89,665

REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments — unaffiliated issuers		115,206
Foreign currency transactions		443

Net realized gain (loss)		115,649

Net change in unrealized appreciation/depreciation on:
Investments — unaffiliated issuers		175,501
Foreign currency translations		(43	)

Net change in unrealized appreciation/depreciation		175,458

NET REALIZED AND UNREALIZED GAIN (LOSS)		291,107

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	380,772

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

STATEMENTS OF CHANGES IN NET ASSETS


	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	89,665		$	99,295
Net realized gain (loss)		115,649			73,293
Net change in unrealized appreciation/depreciation		175,458			333,980

Net increase (decrease) in net assets resulting from operations		380,772			506,568

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		(151,316	)		(84,310	)
Net realized gains		(60,448	)		(30,762	)

Total distributions to shareholders		(211,764	)		(115,072	)

FROM BENEFICIAL INTEREST TRANSACTIONS
Proceeds from sale of shares sold		198,522			1,071,399
Reinvestment of distributions		211,764			115,072
Cost of shares redeemed		(213,194	)		(217,386	)

Net increase (decrease) in net assets from beneficial interest transactions		197,092			969,085

Net increase (decrease) in net assets during the period		366,100			1,360,581

Net assets at beginning of period		4,630,906			3,270,325

NET ASSETS AT END OF PERIOD	$	4,997,006		$	4,630,906

Undistributed (distribution in excess of) net investment income (loss)	$	(1,324	)	$	60,327

SHARES OF BENEFICIAL INTEREST:
Shares sold		15,848			93,862
Reinvestment of distributions		17,050			10,805
Shares redeemed		(17,017	)		(19,900	)

Net increase (decrease)		15,881			84,767

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each period


	Six Months Ended 12/31/17 (Unaudited)			Year Ended 6/30/17			For the Period 2/19/16* - 6/30/16
Net asset value, beginning of period	$	12.03		$	10.89		$	10.00

Net investment income (loss) (a)		0.23			0.31			0.15
Net realized and unrealized gain (loss)		0.74			1.21			0.74

Total from investment operations		0.97			1.52			0.89

Net investment income		(0.38	)		(0.28	)		—
Net realized gains		(0.15	)		(0.10	)		—

Total distributions		(0.53	)		(0.38	)		—

Net asset value, end of period	$	12.47		$	12.03		$	10.89

Total return (b)		8.13	%(c)		14.43	%		8.90	%(c)
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	4,997		$	4,631		$	3,270
Ratios to average net assets:
Total expenses		0.25	%(d)		0.33	%		0.27	%(d)
Net expenses		0.00	%(d)(e)		0.00	%(e)		0.00	%(d)
Net investment income (loss)		3.63	%(d)		2.75	%		4.00	%(d)
Portfolio turnover rate		24	%(c)		30	%		21	%(c)

*	Commencement of operations.

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

(b)

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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results.

(c)	Not annualized.

(d)	Annualized.

(e)	Amount is less than 0.005%.

See accompanying notes to financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS

December 31, 2017 (Unaudited)

1.	Organization

SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of December 31, 2017, the Trust consists of twelve (12) series each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the following Portfolio (the “Portfolio”):


Portfolio	Commencement of Operations	Diversification Classification
State Street Disciplined Global Equity Portfolio	February 19, 2016	Diversified

The Portfolio serves as a master fund in a master-feeder structure.

2.	Summary of Significant Accounting Policies

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

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

•

Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

•

Various inputs are used in determining the value of the Portfolio’s investments.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

•

Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2017, is disclosed in the Portfolio’s Schedule of Investments.

The Portfolio had no transfers between levels for the period ended December 31, 2017.

Investment Transactions and Income Recognition

Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any.

The Portfolio invests in Real Estate Investment Trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar years to return of capital or capital gains distributions at year end based on information provided by the REIT.

Expenses

Foreign Currency Translation

The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Foreign Taxes

The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.

Distributions

Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3.	Fees and Transactions with Affiliates

Advisory

Fee

The Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Portfolio pays the Adviser a fee accrued daily and paid monthly, at a rate of 0.25% of the Portfolio’s average daily net assets.

The Adviser has contractually agreed to waive the entire amount of this fee until the later of April 30, 2019 or such time as the shares of the Portfolio cease to be the only investment security held by the State Street Disciplined Global Equity Fund (the “Feeder Fund”). The waiver may be terminated only by the Portfolio’s Board. The Adviser pays all expenses of the Portfolio other than the management fee, distribution fees pursuant to the Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses. For the period ended December 31, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $6,217.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

Other Transactions with Affiliates

The Portfolio may invest in affiliated entities, including securities issued by State Street Corporation., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2017, are disclosed in the Schedule of Investments.

4.	Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

5.	Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2017, were as follows:


	Purchases		Sales
State Street Disciplined Global Equity Portfolio	$	1,210,891	$	1,155,134

6.	Income Tax Information

The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio 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. Therefore, no provision for federal income tax is required.

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2017, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

As of December 31, 2017, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Disciplined Global Equity Portfolio	$	4,270,246	$	762,152	$	47,433	$	714,719

7.	Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

Prior to October 12, 2017, the Portfolio and other affiliated Funds participated in a $360 million revolving credit facility.

The Portfolio had no outstanding loans as of December 31, 2017.

Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio was more broadly diversified.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (continued)

December 31, 2017 (Unaudited)

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

In the normal course of business, the Portfolio trades financial instruments and enters into transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

9.	Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION

December 31, 2017 (Unaudited)

Expense Example

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2017 to December 31, 2017.

The table below illustrates your Portfolio’s cost in two ways:

Based on actual fund return — This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period(a)		Ending Account Value		Expenses Paid During Period(a)
State Street Disciplined Global Equity Portfolio		0.00	%	$	1,081.30	$	0.00	$	1,025.20	$	0.00

(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365.

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio’s investment adviser to vote proxies relating to the Portfolio’s portfolio of securities are available (i) without charge, upon request by calling 1-1-800-997-7327 (toll free) or (ii) on the SEC website, at www.sec.gov.

Information regarding how the investment adviser voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolio’s website at www.ssgafunds.com.

Quarterly Portfolio Schedule

The Fund files a complete schedule of investments 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 1-800-997-7327 (toll free) and on the Fund’s website at www.ssgafunds.com.

Approval of Advisory Agreement

At in-person meetings held prior to December 31, 2017, the Board of Trustees of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the State Street Disciplined Global Equity Portfolio, an operational series of SSGA Active Trust (the “Fund”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.

To evaluate the Agreement, the Board requested, and SSGA FM, the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Fund under the Agreement, (ii) investment performance of the Fund, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trust, (iv) fees charged to comparable funds, (v) other benefits to the Adviser, and (vi) extent to which economies of scale would be shared as the Fund grows.

Nature, Extent and Quality of Services

The Board considered the nature, extent and quality of services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the Adviser’s responsibilities for managing investment operations of the Fund in accordance with the Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for portfolio management and regulatory compliance of the Fund. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing the Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment management business and that of its affiliates which make up State Street Global Advisors, through which the Adviser shares all of its seniorpersonnel. The Board specifically considered the Adviser’s experience in active management and managing master-feeder structures.

Investment Performance

The Board then reviewed the Fund’s performance. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses) and a group of comparable funds (net of expenses). The Board considered that the Fund underperformed the median of its Performance Group for the 1-year period. In addition, the Board

SSGA ACTIVE TRUST

STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO

OTHER INFORMATION (continued)

December 31, 2017 (Unaudited)

considered that although the Fund underperformed its benchmark index since inception, its performance was not significantly below the benchmark index and also noted the Fund’s performance information was limited due to the short time period since the Fund’s inception. The Trustees also considered management’s explanation of those factors that contributed to the Fund’s underperformance and steps being taken in response to such factors.

Profits Realized by Adviser

The Board considered the profitability of the advisory arrangement with the Fund to the Adviser, including data on the Fund’s historical profitability to the Adviser. The Board noted that the Adviser had contractually agreed to waive all of its fees related to its management of the Fund and, therefore, did not realize any profits from its advisory arrangement with the Fund. The Board further noted that an affiliated fund that is a series of a separate trust and also advised by the Adviser invests substantially all of its assets in the Fund and that the Adviser receives management fees from that fund.

Fees Charged to Comparable Funds

The Board evaluated the Fund’s unitary fee through review of comparative information with respect to fees paid by similar funds — i.e., global large-cap mutual funds. The Board reviewed the universe of similar mutual funds for the Fund based upon data independently obtained from Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar mutual funds. The Board also reviewed the fee structure of the Fund in connection with the master-feeder structure.

Other Benefits

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

Economies of Scale

The Board reviewed information regarding economies of scale or other efficiencies that may result as the Fund’s assets grow in size. The Board noted that the Agreement did not provide for breakpoints in the Fund’s advisory fee rate as assets of the 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 Fund by fixing a relatively low advisory fee, effectively sharing the benefits of lower fees with the Fund from inception. The Adviser also asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to monitor fees as the Fund grows in size and assess whether fee breakpoints may be warranted.

Conclusion

After weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for the Fund. The Board’s conclusions with respect to the Agreement were as follows: (a) the nature and extent of the services provided by the Adviser with respect to the Fund were appropriate; (b) the performance of the Fund had been satisfactory; (c) the Adviser’s unitary fee for the Fund, considered in relation to services provided and in relation to fees charged to comparable funds, was fair and reasonable; (d) profitability of the Trust’s relationship with the Adviser was not excessive; (e) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions; and (f) fees paid to the Adviser shared the economies of scale with respect to the Fund by way of the relatively low fee structure of the Trust.

SSGA Active Trust

Trustees

Bonny E. Boatman

Dwight D. Churchill

David M. Kelly

Frank Nesvet, Chairman

James E. Ross

Carl G. Verboncoeur

Officers

Ellen M. Needham, President

Bruce Rosenberg, Treasurer

Ann Carpenter, Vice President and Deputy Treasurer

Michael P. Riley, Vice President

Chad C. Hallett, Deputy Treasurer

Darlene Anderson-Vasquez, Deputy Treasurer

Arthur A. Jensen, Deputy Treasurer

Sujata Upreti, Assistant Treasurer

Daniel Foley, Assistant Treasurer

Daniel G. Plourde, Assistant Treasurer

Jesse D. Hallee, Secretary

Brian Harris, Chief Compliance Officer; Anti-Money

Laundering Officer; Code of Ethics Compliance Officer

Joshua A. Weinberg, Chief Legal Officer

Investment Manager and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Distributor

State Street Global Advisors Funds Distributors, LLC

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Legal Counsel

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, DC 20004

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Item 2.

Code of Ethics.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 3.

Audit Committee Financial Expert.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 4.

Principal Accountant Fees and Services.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 5.

Audit Committees of Listed Registrants.

Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

Item 6.

Investments.

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

(b) Not applicable to the registrant.

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

Not applicable to the registrant.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

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

Not applicable to the registrant.

Item 10.

Submission of Matters to a Vote of Security Holders.

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

Item 11.

Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) Not applicable.

(b) Not applicable.

Item 13.

Exhibits.



(a)(1)		Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.

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

(a)(3)		Not applicable to the registrant.

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

SIGNATURES

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


SSGA Active Trust

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

Date: March 8, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


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

Date: March 8, 2018

By:		/s/ Bruce S. Rosenberg
		Bruce S. Rosenberg
		Treasurer and Principal Financial Officer

Date: March 8, 2018

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