State Street Bank and Trust Company State Street S&P MidCap ...

State Street Bank and Trust Company

State Street S&P MidCap® Index Securities Lending Series Fund

State Street S&P MidCap® Index Non-Lending Series Fund

Combined Financial Statements

December 31, 2015

PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA 02210 T: (617) 530 5000, F: (617) 530 5001, www.pwc.com/us

Independent Auditor's Report To the Trustee of State Street Bank and Trust Company State Street S&P MidCap® Index Securities Lending Series Fund and State Street Bank and Trust Company State Street S&P MidCap® Index Non-Lending Series Fund We have audited the accompanying combined financial statements of State Street Bank and Trust Company State Street S&P MidCap® Index Securities Lending Series Fund and State Street Bank and Trust Company State Street S&P MidCap® Index Non-Lending Series Fund (formerly State Street Bank and Trust Company SSgA S&P MidCap® Index Securities Lending Series Fund and State Street Bank and Trust Company SSgA S&P MidCap® Index Non-Lending Series Fund) ("the Fund"), which comprise the combined statement of assets and liabilities, including the combined schedule of investments as of December 31, 2015, and the related combined statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "combined financial statements". Management's Responsibility for the Combined Financial Statements Management is responsible for the preparation and fair presentation of the combined financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of combined financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on the combined financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the combined financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the combined financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the combined financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund’s preparation and fair presentation of the combined financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the combined financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the combined financial statements referred to above present fairly, in all material respects, the financial position of State Street Bank and Trust Company State Street S&P MidCap® Index Securities Lending Series Fund and State Street Bank and Trust Company State Street S&P MidCap® Index Non-Lending Series Fund at December 31, 2015, and the results of their operations and changes in their net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

March 24, 2016




Combined Statement of Assets and Liabilities December 31, 2015

The accompanying notes are an integral part of these combined financial statements.

2

Assets Investments in securities, at value (including securities on loan of $316,152,405)

(cost $8,486,632,053) $ 10,298,755,987

Investment in State Street Cash Collateral Fund (cost $280,708,025) 280,708,025Due from Trustee 238Receivable for Fund units issued 11,019,409Receivable for investments sold 6,229,133Dividends receivable 9,706,530Interest receivable 52,540

Total assets 10,606,471,862

Liabilities Due to custodian 47,000Payable for collateral on securities loaned 280,708,025Payable for Fund units redeemed 18,889,071Payable for investments purchased 2,296,959Variation margin payable 2,069,600Accrued expenses 531,778

Total liabilities 304,542,433

Net Assets, at value $ 10,301,929,429




Combined Statement of Assets and Liabilities (continued) December 31, 2015


3

Lending Fund State Street S&P MidCap® Index Securities Lending Series Fund - Class I (20,520,477 units outstanding, at $56.31 per unit net asset value) $ 1,155,584,867State Street S&P MidCap® Index Securities Lending Series Fund - Class II (421,026 units outstanding, at $75.09 per unit net asset value) 31,615,176State Street S&P MidCap® Index Securities Lending Series Fund - Class III (1,445,838 units outstanding, at $26.30 per unit net asset value) 38,021,465State Street S&P MidCap® Index Securities Lending Series Fund - Class V (91,771 units outstanding, at $26.36 per unit net asset value) 2,418,853State Street S&P MidCap® Index Securities Lending Series Fund - Class XII (654,398 units outstanding, at $75.31 per unit net asset value) 49,280,373State Street S&P MidCap® Index Securities Lending Series Fund - Class XIV (104,501,553 units outstanding, at $9.88 per unit net asset value) 1,032,853,298

$ 2,309,774,032

Non-Lending Fund State Street S&P MidCap® Index Non-Lending Series Fund - Class A (82,421,566 units outstanding, at $56.12 per unit net asset value) $ 4,625,490,592State Street S&P MidCap® Index Non-Lending Series Fund - Class C (110,290,623 units outstanding, at $25.74 per unit net asset value) 2,838,956,962State Street S&P MidCap® Index Non-Lending Series Fund - Class D (2,679,417 units outstanding, at $16.59 per unit net asset value) 44,445,726State Street S&P MidCap® Index Non-Lending Series Fund - Class F (983,819 units outstanding, at $15.58 per unit net asset value) 15,323,134State Street S&P MidCap® Index Non-Lending Series Fund - Class G (2,647,337 units outstanding, at $16.15 per unit net asset value) 42,757,145State Street S&P MidCap® Index Non-Lending Series Fund - Class J (26,654,802 units outstanding, at $15.95 per unit net asset value) 425,181,838

$ 7,992,155,397

$ 10,301,929,429




Combined Statement of Operations Year Ended December 31, 2015


4

Investment income Dividends $ 167,652,117Securities lending fee income (net of related expenses), allocated to the Lending Fund 693,558Interest 488,044

Total investment income 168,833,719

Expenses Management 1,831,753Administration 1,032,946Administrative service fee 3,283,929Audit 56,600Other 20,165

Total expenses 6,225,393

Waivers and reimbursements (238)

Net expenses 6,225,155

Net investment income (loss) 162,608,564

Net realized and unrealized gain (loss): Net realized gain (loss): Investments 980,697,710Futures contracts (3,006,376)

977,691,334

Net change in unrealized appreciation (depreciation): Investments (1,328,624,109)Futures contracts (2,970,548)

(1,331,594,657)

Net realized and unrealized gain (loss) (353,903,323)

Net increase (decrease) in net assets resulting from operations $ (191,294,759)




Combined Statement of Changes in Net Assets Year Ended December 31, 2015


5

From operations Net investment income (loss) $ 162,608,564Net realized gain (loss) 977,691,334

Net change in unrealized appreciation (depreciation) (1,331,594,657)

Net increase (decrease) in net assets resulting from operations (191,294,759)

Net increase (decrease) in net assets resulting from participant transactions 316,158,672

Net increase (decrease) in net assets 124,863,913Net Assets

Beginning of year 10,177,065,516

End of year $ 10,301,929,429




Combined Statement of Changes in Net Assets (continued) Year Ended December 31, 2015 Units Amount


6

Units of Participation Participant transactions for the Fund were as follows: Lending Fund Class I Units issued 2,234,241 $ 131,439,802Units redeemed (2,143,518) (125,643,507)

90,723 5,796,295

Class II Units issued 124,495 $ 9,681,888Units redeemed (109,525) (8,581,208)

14,970 1,100,680

Class III Units issued 488,988 $ 13,612,181Units redeemed (500,372) (13,626,585)

(11,384) (14,404)

Class V Units issued 19,819 $ 549,065Units redeemed (52,622) (1,414,392)

(32,803) (865,327)

Class XII Units issued 245,628 $ 19,252,313Units redeemed (158,551) (12,481,330)

87,077 6,770,983

Class XIV1 Units issued 105,958,501 $ 1,059,624,922Units redeemed (1,456,948) (14,681,296)

104,501,553 1,044,943,626

1,057,731,853

Non-Lending Fund Class A Units issued 18,762,544 $ 1,102,832,074Units redeemed (34,460,509) (2,037,576,271)

(15,697,965) (934,744,197)

Class C Units issued 31,745,922 $ 846,720,225Units redeemed (20,705,775) (557,562,446)

11,040,147 289,157,779




Combined Statement of Changes in Net Assets (continued) Year Ended December 31, 2015 Units Amount


7

Class D Units issued 658,433 $ 11,359,394Units redeemed (5,175,430) (87,664,057)

(4,516,997) (76,304,663)

Class F Units issued 381,494 $ 6,169,798Units redeemed (435,486) (6,920,133)

(53,992) (750,335)

Class G Units issued 898,088 $ 14,973,759Units redeemed (598,799) (10,022,686)

299,289 4,951,073

Class J Units issued 3,104,191 $ 51,781,218Units redeemed (4,481,211) (74,037,696)

(1,377,020) (22,256,478)

Class P2 Units issued 20,925 $ 320,974Units redeemed (131,055) (1,947,334)

(110,130) (1,626,360)

(741,573,181)

Net increase (decrease) $ 316,158,672

1 The Class commenced operations on November 17, 2015. 2 Due to participant redemptions, the Class had no units outstanding subsequent to August 28, 2015.


State Street S&P MidCap® Index Securities Lending Series Fund - Class I

Financial Highlights Year Ended December 31, 2015 (For a Unit of Participation Outstanding Throughout the Year)


8

Selected Per Unit Data

Net asset value, beginning of year $ 57.55

Net investment income (loss)1 0.98

Net realized and unrealized gain (loss) (2.22)

Total from investment operations (1.24)

Net asset value, end of year $ 56.31

Total return (%)2 (2.15)Ratios to Average Net Assets3 Ratio of expenses (%)4 0.01Ratio of net investment income (loss) (%) 1.67

1 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the

percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts.

3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses) (Note 2).

4 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.


State Street S&P MidCap® Index Securities Lending Series Fund - Class II



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State Street S&P MidCap® Index Securities Lending Series Fund - Class III



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State Street S&P MidCap® Index Securities Lending Series Fund - Class V



11







Total return (%)2 (2.69)Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.56Ratio of net investment income (loss) (%) 1.10


percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. Total return would have been lower had certain expenses not been waived or reimbursed by the Trustee (Note 2).

3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses). Calculations may include the effects of reimbursements or waivers of both direct and indirect expenses (Note 2).

4 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 5 The ratio of expenses to average daily net assets would have been approximately 0.01% higher had the Trustee not

waived or reimbursed certain expenses for the year ended December 31, 2015 (Note 2).


State Street S&P MidCap® Index Securities Lending Series Fund - Class XII



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13


State Street S&P MidCap® Index Securities Lending Series Fund - Class XIV

Financial Highlights Period Ended December 31, 20151 (For a Unit of Participation Outstanding Throughout the Period) Selected Per Unit Data

Net asset value, beginning of period $ 10.00




Net asset value, end of period $ 9.88

Total return (%)3 (1.16)Ratios to Average Net Assets4, 5 Ratio of expenses (%)6, 7 0.00Ratio of net investment income (loss) (%) 0.30

1 The Class commenced operations on November 17, 2015. 2 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 3 Calculation (not annualized) is based on the value of a single unit of participation outstanding throughout the period. It

represents the percentage change in the net asset value per unit between the beginning and end of the period. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts.


5 Not annualized. 6 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 7 Zero amounts represent those which are less than $0.005 or 0.005% or ($0.005) or (0.005%) if negative.


State Street S&P MidCap® Index Non-Lending Series Fund - Class A



14













State Street S&P MidCap® Index Non-Lending Series Fund - Class C



15













State Street S&P MidCap® Index Non-Lending Series Fund - Class D



16













State Street S&P MidCap® Index Non-Lending Series Fund - Class F



17













State Street S&P MidCap® Index Non-Lending Series Fund - Class G



18













State Street S&P MidCap® Index Non-Lending Series Fund - Class J



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Combined Schedule of Investments (showing percentage of total value of investments)

December 31, 2015

The accompanying notes are an integral part

of these combined financial statements. 20

Common Stock - 97.9% (unless otherwise noted) Shares

Value ($)

Aerospace/Defense - 1.3% BE Aerospace Inc. 719,245 30,474,411 Esterline Technologies Corp. 209,911 17,002,791 KLX Inc. 354,982 10,929,896 Orbital ATK Inc. 403,613 36,058,785 Teledyne Technologies Inc. 238,608 21,164,530

Triumph Group Inc. 332,924 13,233,729

128,864,142

Airlines - 1.2% Alaska Air Group Inc. 863,257 69,500,821 JetBlue Airways Corp. 2,166,548 49,072,312

Latam Airlines Group SA 396,613 10,038,275

128,611,408

Apparel - 0.7% Carter's Inc. 356,907 31,775,430 Deckers Outdoor Corp. 224,772 10,609,238

Skechers U.S.A. Inc. 897,594 27,116,315

69,500,983

Auto Parts & Equipment - 0.1%

Dana Holding Corp. 1,098,286 15,156,347

Banks - 5.2% Associated Banc-Corp. 1,011,594 18,967,388 BancorpSouth Inc. 590,569 14,167,750 Bank of Hawaii Corp. 296,488 18,649,095 Bank of the Ozarks Inc. 553,554 27,378,781 Cathay General Bancorp 520,658 16,312,215 Commerce Bancshares Inc. 567,565 24,144,211 Cullen/Frost Bankers Inc. 373,754 22,425,240 East West Bancorp Inc. 990,604 41,169,502 First Horizon National Corp. 1,654,857 24,028,524 FirstMerit Corp. 1,125,495 20,990,482 Fulton Financial Corp. 1,181,457 15,370,756





December 31, 2015




Value ($)

Hancock Holding Co. 521,985 13,138,362 International Bancshares Corp. 390,656 10,039,859 PacWest Bancorp 778,865 33,569,082 Prosperity Bancshares Inc. 443,997 21,249,696 Signature Bank 344,594 52,850,382 SVB Financial Group 354,425 42,141,133 Synovus Financial Corp. 888,520 28,770,278 TCF Financial Corp. 1,150,645 16,247,107 Trustmark Corp. 458,795 10,570,637 Umpqua Holdings Corp. 1,486,505 23,635,430 Valley National Bancorp 1,567,736 15,442,200

Webster Financial Corp. 622,826 23,162,899

534,421,009

Beverages - 0.1%

Boston Beer Co. Inc. 65,262 13,177,050

Biotechnology - 0.9% Bio-Rad Laboratories Inc. 144,099 19,980,767 Charles River Laboratories International Inc. 319,628 25,694,895

United Therapeutics Corp. 313,811 49,145,941

94,821,603

Building Materials - 1.3% Eagle Materials Inc. 340,166 20,556,231 Fortune Brands Home & Security Inc. 1,097,127 60,890,549 Lennox International Inc. 276,327 34,513,242

Louisiana-Pacific Corp. 965,929 17,396,381

133,356,403

Chemicals - 2.8% Albemarle Corp. 761,650 42,660,017 Ashland Inc. 432,103 44,376,978 Cabot Corp. 423,764 17,323,472 Chemours Co. 1,208,426 6,477,163 Minerals Technologies Inc. 235,507 10,800,351





December 31, 2015




Value ($)

NewMarket Corp. 70,400 26,803,392 Olin Corp. 1,111,909 19,191,549 PolyOne Corp. 606,257 19,254,722 RPM International Inc. 904,842 39,867,339 Sensient Technologies Corp. 309,242 19,426,582

Valspar Corp. 504,763 41,870,091

288,051,656

Commercial Services - 4.8% Aaron's Inc. 438,104 9,809,149 CEB Inc. 227,643 13,975,004 Deluxe Corp. 338,698 18,472,589 FTI Consulting Inc. 280,023 9,705,597 Gartner Inc. 564,240 51,176,568 Global Payments Inc. 884,396 57,052,386 Graham Holdings Co. 30,196 14,644,154 Live Nation Entertainment Inc. 989,275 24,306,487 Manpowergroup Inc. 501,073 42,235,443 Parexel International Corp. 362,347 24,683,078 Rent-A-Center Inc. 359,372 5,379,799 Rollins Inc. 633,744 16,413,970 RR Donnelley & Sons Co. 1,419,088 20,888,975 SEI Investments Co. 946,170 49,579,308 Service Corp. International 1,355,482 35,269,642 Sotheby's 423,585 10,911,550 Towers Watson & Co. 477,001 61,275,548

WEX Inc. 267,215 23,621,806

489,401,053

Computers - 4.3% 3D Systems Corp. 716,703 6,228,149 Cadence Design Systems Inc. 2,024,751 42,135,068 Computer Sciences Corp. 957,300 31,284,564 Convergys Corp. 666,963 16,600,709 Diebold Inc. 434,408 13,071,337 DST Systems Inc. 227,544 25,953,669 Fortinet Inc. 1,009,893 31,478,365





December 31, 2015




Value ($)

Jack Henry & Associates Inc. 549,096 42,862,434 Leidos Holdings Inc. 434,495 24,444,689 Lexmark International Inc. 413,690 13,424,241 Manhattan Associates Inc. 501,544 33,187,166 MAXIMUS Inc. 445,730 25,072,313 Mentor Graphics Corp. 672,631 12,389,863 NCR Corp. 849,773 20,785,448 Netscout Systems Inc. 679,245 20,852,822 Science Applications International Corp. 284,028 13,002,802 Synopsys Inc. 1,060,751 48,380,853

VeriFone Systems Inc. 795,322 22,284,922

443,439,414

Cosmetics/Personal Care - 0.4% Avon Products Inc. 2,980,555 12,071,248

Edgewell Personal Care Co. 408,630 32,024,333

44,095,581

Distribution/Wholesale - 1.1% Ingram Micro Inc. 1,059,071 32,174,577 LKQ Corp. 2,098,778 62,186,792

Watsco Inc. 173,178 20,284,339

114,645,708

Diversified Financial Services - 2.5% CBOE Holdings Inc. 568,083 36,868,587 CoreLogic Inc. 605,422 20,499,589 Eaton Vance Corp. 800,538 25,961,447 Federated Investors Inc. 647,243 18,543,512 Janus Capital Group Inc. 998,985 14,075,699 MarketAxess Holdings Inc. 251,866 28,105,727 Raymond James Financial Inc. 870,170 50,443,755 SLM Corp. 2,894,017 18,868,991 Stifel Financial Corp. 468,316 19,837,866 Waddell & Reed Financial Inc. 567,678 16,269,651





December 31, 2015




Value ($)

WisdomTree Investments Inc. 769,688 12,068,708

261,543,532

Electric - 3.0% Alliant Energy Corp. 770,217 48,100,052 Black Hills Corp. 348,315 16,172,265 Cleco Corp. 409,300 21,369,553 Great Plains Energy Inc. 1,063,906 29,055,273 Hawaiian Electric Industries Inc. 728,077 21,077,829 IDACORP Inc. 340,692 23,167,056 MDU Resources Group Inc. 1,323,716 24,250,477 National Fuel Gas Co. 576,530 24,646,658 OGE Energy Corp. 1,359,212 35,733,683 PNM Resources Inc. 538,607 16,465,216 Talen Energy Corp. 433,392 2,700,032

Westar Energy Inc. 973,031 41,266,245

304,004,339

Electrical Components & Equipment - 1.3% Acuity Brands Inc. 300,572 70,273,734 Belden Inc. 290,474 13,849,800 Energizer Holdings Inc. 421,530 14,357,312

Hubbell Inc. 374,774 37,867,165

136,348,011

Electronics - 3.6% Arrow Electronics Inc. 636,202 34,469,424 Avnet Inc. 913,474 39,133,226 FEI Co. 281,571 22,466,550 Gentex Corp. 1,992,286 31,896,499 Jabil Circuit Inc. 1,306,206 30,421,538 Keysight Technologies Inc. 1,171,980 33,202,193 Knowles Corp. 603,486 8,044,468 Mettler-Toledo International Inc. 187,480 63,580,092 National Instruments Corp. 682,524 19,581,614 Tech Data Corp. 237,852 15,788,616 Trimble Navigation Ltd. 1,704,817 36,568,325





December 31, 2015




Value ($)

Vishay Intertechnology Inc. 935,974 11,278,487

Woodward Inc. 389,720 19,353,495

365,784,527

Energy - Alternate Sources - 0.1%

SunEdison Inc. 2,126,968 10,826,267

Engineering & Construction - 0.6% AECOM 1,044,310 31,360,629 Granite Construction Inc. 266,705 11,444,312

KBR Inc. 982,248 16,619,636

59,424,577

Entertainment - 0.4% Cinemark Holdings Inc. 714,217 23,876,274 DreamWorks Animation SKG Inc. 498,717 12,851,937

International Speedway Corp. 184,815 6,231,962

42,960,173

Environmental Control - 0.7% Clean Harbors Inc. 362,824 15,111,620 MSA Safety Inc. 216,396 9,406,734

Waste Connections Inc. 837,837 47,186,980

71,705,334

Food - 2.5% Dean Foods Co. 635,196 10,893,611 Flowers Foods Inc. 1,289,041 27,701,491 Hain Celestial Group Inc. 710,653 28,703,275 Ingredion Inc. 492,107 47,163,535 Lancaster Colony Corp. 131,940 15,233,792 Post Holdings Inc. 428,769 26,455,047 SUPERVALU Inc. 1,817,422 12,322,121 Tootsie Roll Industries Inc. 120,406 3,803,626 TreeHouse Foods Inc. 290,490 22,791,845 United Natural Foods Inc. 340,519 13,402,828





December 31, 2015




Value ($)

WhiteWave Foods Co. 1,211,902 47,155,107

255,626,278

Forest Products & Paper - 0.2%

Domtar Corp. 430,246 15,897,590

Gas - 1.7% Atmos Energy Corp. 698,520 44,034,701 ONE Gas Inc. 358,147 17,968,235 Questar Corp. 1,187,177 23,126,208 UGI Corp. 1,172,774 39,592,850 Vectren Corp. 571,849 24,257,835

WGL Holdings Inc. 338,025 21,292,195

170,272,024

Hand/Machine Tools - 0.5% Kennametal Inc. 539,144 10,351,565 Lincoln Electric Holdings Inc. 459,475 23,842,158

Regal Beloit Corp. 303,816 17,779,312

51,973,035

Healthcare - Products - 4.5% Align Technology Inc. 492,652 32,441,134 Bio-Techne Corp. 252,231 22,700,790 Cooper Cos Inc. 334,517 44,892,181 Halyard Health Inc. 319,998 10,691,133 Hill-Rom Holdings Inc. 383,592 18,435,432 Hologic Inc. 1,690,550 65,407,380 IDEXX Laboratories Inc. 624,165 45,514,112 LivaNova PLC 285,083 16,925,378 ResMed Inc. 952,389 51,133,765 Sirona Dental Systems Inc. 384,757 42,157,824 STERIS PLC 590,623 44,497,537 Teleflex Inc. 286,551 37,667,129





December 31, 2015




Value ($)

West Pharmaceutical Services Inc. 490,039 29,510,149

461,973,944

Healthcare - Services - 2.4% Amsurg Corp. 365,574 27,783,624 Centene Corp. 819,435 53,927,017 Community Health Systems Inc. 803,233 21,309,771 Health Net Inc. 524,111 35,880,639 LifePoint Health Inc. 300,052 22,023,817 Mednax Inc. 646,896 46,356,567 Molina Healthcare Inc. 277,270 16,672,245

WellCare Health Plans Inc. 304,960 23,850,922

247,804,602

Home Builders - 1.4% CalAtlantic Group Inc. 520,277 19,728,904 KB Home 617,826 7,617,795 MDC Holdings Inc. 265,744 6,784,444 NVR Inc. 25,048 41,153,864 Thor Industries Inc. 316,962 17,797,416 Toll Brothers Inc. 1,099,738 36,621,275

TRI Pointe Group Inc. 995,459 12,612,466

142,316,164

Home Furnishings - 0.3%

Tempur Sealy International Inc. 429,371 30,253,481

Housewares - 0.6% Scotts Miracle-Gro Co. 305,849 19,730,319 Toro Co. 378,390 27,648,957

Tupperware Brands Corp. 340,188 18,931,462

66,310,738

Insurance - 5.5% Alleghany Corp. 105,963 50,642,897 American Financial Group Inc. 490,379 35,346,518





December 31, 2015




Value ($)

Arthur J Gallagher & Co. 1,215,134 49,747,586 Aspen Insurance Holdings Ltd. 415,407 20,064,158 Brown & Brown Inc. 792,712 25,446,055 CNO Financial Group Inc. 1,296,029 24,741,194 Endurance Specialty Holdings Ltd. 423,334 27,089,143 Everest Re Group Ltd. 293,246 53,690,410 First American Financial Corp. 751,047 26,962,587 Genworth Holdings Inc. 3,371,000 12,573,830 Hanover Insurance Group Inc. 298,510 24,280,803 Kemper Corp. 333,349 12,417,250 Mercury General Corp. 248,744 11,584,008 Old Republic International Corp. 1,677,166 31,245,603 Primerica Inc. 342,291 16,166,404 Reinsurance Group of America Inc. 450,583 38,547,376 RenaissanceRe Holdings Ltd. 298,446 33,781,103 StanCorp. Financial Group Inc. 291,959 33,248,291

WR Berkley Corp. 672,820 36,836,895

564,412,111

Internet - 0.3%

j2 Global Inc. 318,500 26,218,920

Iron/Steel - 0.8% Allegheny Technologies Inc. 738,810 8,311,613 Carpenter Technology Corp. 337,521 10,216,761 Reliance Steel & Aluminum Co. 495,757 28,709,288 Steel Dynamics Inc. 1,645,190 29,399,545

United States Steel Corp. 985,051 7,860,707

84,497,914

Leisure - 1.4% Brunswick Corp. 625,657 31,601,935 Jarden Corp. 1,421,747 81,210,189

Polaris Industries Inc. 416,923 35,834,532

148,646,656





December 31, 2015




Value ($)

Machinery - Construction & Mining - 0.4% Joy Global Inc. 659,168 8,312,108 Oshkosh Corp. 509,163 19,877,724

Terex Corp. 739,640 13,668,547

41,858,379

Machinery - Diversified - 2.0% AGCO Corp. 505,259 22,933,706 Cognex Corp. 588,443 19,871,720 Graco Inc. 389,013 28,036,167 IDEX Corp. 521,998 39,990,267 Nordson Corp. 387,858 24,881,091 Wabtec Corp. 656,263 46,673,425

Zebra Technologies Corp. 360,081 25,079,642

207,466,018

Media - 1.4% AMC Networks Inc. 413,123 30,852,026 Cable One Inc. 29,791 12,919,165 Factset Research Systems Inc. 285,142 46,355,535 John Wiley & Sons Inc. 333,034 14,996,521 Meredith Corp. 252,205 10,907,866 New York Times Co. 853,582 11,455,070

Time Inc. 746,426 11,696,495

139,182,678

Metal Fabrication/Hardware - 0.5% Commercial Metals Co. 794,801 10,880,826 Timken Co. 499,322 14,275,616 Valmont Industries Inc. 159,870 16,949,417

Worthington Industries Inc. 318,490 9,599,289

51,705,148

Mining - 0.3% Compass Minerals International Inc. 227,889 17,153,205 Freeport-McMoRan Inc. 112 758





December 31, 2015




Value ($)

Royal Gold Inc. 437,031 15,938,521

33,092,484

Miscellaneous Manufacturing - 2.1% AO Smith Corp. 513,620 39,348,428 Aptargroup Inc. 422,923 30,725,356 Carlisle Cos Inc. 442,006 39,201,512 CLARCOR Inc. 338,706 16,826,914 Crane Co. 330,915 15,830,974 Donaldson Co. Inc. 857,420 24,573,657 ITT Corp. 608,810 22,111,979

Trinity Industries Inc. 1,045,270 25,107,385

213,726,205

Office Furnishings - 0.2% Herman Miller Inc. 404,365 11,605,276

HNI Corp. 303,277 10,936,169

22,541,445

Oil & Gas - 2.3% Atwood Oceanics Inc. 414,139 4,236,642 California Resources Corp. 2,126,202 4,954,051 Denbury Resources Inc. 2,392,677 4,833,208 Energen Corp. 532,719 21,836,152 Gulfport Energy Corp. 730,424 17,946,518 HollyFrontier Corp. 1,244,848 49,656,987 Murphy USA Inc. 271,294 16,478,398 Nabors Industries Ltd. 1,968,396 16,751,050 Noble Corp. PLC 1,628,872 17,184,600 Patterson-UTI Energy Inc. 1,002,020 15,110,462 QEP Resources Inc. 1,094,871 14,671,271 Rowan Companies Inc. 842,720 14,284,104 SM Energy Co. 454,819 8,941,742 Western Refining Inc. 476,403 16,969,475

WPX Energy Inc. 1,599,737 9,182,490

233,037,150





December 31, 2015




Value ($)

Oil & Gas Services - 0.7% Dril-Quip Inc. 263,190 15,588,744 NOW Inc. 734,410 11,618,366 Oceaneering International Inc. 664,775 24,942,358 Oil States International Inc. 345,102 9,404,030

Superior Energy Services Inc. 1,013,367 13,650,053

75,203,551

Packaging & Containers - 1.2% Bemis Co. Inc. 661,789 29,575,350 Greif Inc. 173,138 5,334,382 Packaging Corp. of America 663,581 41,838,782 Silgan Holdings Inc. 276,407 14,848,584

Sonoco Products Co. 685,324 28,009,192

119,606,290

Pharmaceuticals - 0.8% Akorn Inc. 538,901 20,106,396 Catalent Inc. 661,293 16,552,164 Owens & Minor Inc. 429,130 15,440,097

VCA Inc. 547,005 30,085,275

82,183,932

Real Estate - 0.6% Alexander & Baldwin Inc. 308,114 10,879,505

Jones Lang LaSalle Inc. 309,838 49,530,703

60,410,208

Real Estate Investment Trusts (REITs) - 10.7% Alexandria Real Estate Equities Inc. 498,870 45,077,893 American Campus Communities Inc. 760,032 31,419,723 BioMed Realty Trust Inc. 1,368,990 32,431,373 Camden Property Trust 590,252 45,307,744 Care Capital Properties Inc. 581,772 17,784,770 Communications Sales & Leasing Inc. 815,330 15,238,518 Corporate Office Properties Trust 635,911 13,881,937 Corrections Corp. of America 795,406 21,070,305





December 31, 2015




Value ($)

Douglas Emmett Inc. 942,935 29,400,713 Duke Realty Corp. 2,344,520 49,281,810 Equity One Inc. 498,260 13,527,759 Extra Space Storage Inc. 847,577 74,764,767 Federal Realty Investment Trust 476,700 69,645,870 Highwoods Properties Inc. 658,017 28,689,541 Hospitality Properties Trust 1,026,716 26,848,623 Kilroy Realty Corp. 634,597 40,157,298 Lamar Advertising Co. 555,553 33,322,069 LaSalle Hotel Properties 769,214 19,353,424 Liberty Property Trust 1,018,146 31,613,433 Mack-Cali Realty Corp. 604,439 14,113,651 Mid-America Apartment Communities Inc. 518,517 47,086,529 National Retail Properties Inc. 938,104 37,571,065 Omega Healthcare Investors Inc. 1,133,599 39,653,293 Post Properties Inc. 369,016 21,830,987 Potlatch Corp. 274,230 8,292,715 Rayonier Inc. 853,290 18,943,038 Regency Centers Corp. 647,978 44,140,261 Senior Housing Properties Trust 1,642,211 24,370,411 Sovran Self Storage Inc. 249,872 26,813,764 Tanger Factory Outlet Centers Inc. 649,355 21,233,909 Taubman Centers Inc. 410,794 31,516,116 UDR Inc. 1,799,637 67,612,362 Urban Edge Properties 625,862 14,676,464 Weingarten Realty Investors 776,638 26,856,142

WP GLIMCHER Inc. 1,253,502 13,299,656

1,096,827,933

Retail - 6.0% Abercrombie & Fitch Co. 466,976 12,608,352 American Eagle Outfitters Inc. 1,220,454 18,917,037 Ascena Retail Group Inc. 1,167,832 11,503,145 Big Lots Inc. 352,151 13,571,900 Brinker International Inc. 409,604 19,640,512 Buffalo Wild Wings Inc. 128,048 20,442,863 Cabela's Inc. 338,463 15,816,376





December 31, 2015




Value ($)

Casey's General Stores Inc. 269,024 32,403,941 Cheesecake Factory Inc. 304,104 14,022,235 Chico's FAS Inc. 939,918 10,028,925 Copart Inc. 747,333 28,406,127 Cracker Barrel Old Country Store Inc. 162,043 20,551,914 CST Brands Inc. 509,967 19,960,108 Dick's Sporting Goods Inc. 630,614 22,292,205 Domino's Pizza Inc. 373,133 41,511,046 Dunkin' Brands Group Inc. 641,347 27,314,969 Foot Locker Inc. 944,451 61,474,316 Guess? Inc. 441,101 8,327,987 HSN Inc. 220,153 11,155,153 Jack in the Box Inc. 250,747 19,234,802 JC Penney Co. Inc. 2,074,336 13,815,078 Kate Spade & Co. 862,973 15,335,030 MSC Industrial Direct Co. 326,632 18,379,583 Office Depot Inc. 3,364,017 18,973,056 Panera Bread Co. 164,619 32,064,489 Vista Outdoor Inc. 432,552 19,252,890 Wendy's Co. 1,477,623 15,914,000 Williams-Sonoma Inc. 571,300 33,369,633

World Fuel Services Corp. 489,598 18,829,939

615,117,611

Savings & Loans - 0.9% First Niagara Financial Group Inc. 2,396,325 26,000,126 New York Community Bancorp Inc. 3,312,920 54,066,854

Washington Federal Inc. 643,254 15,328,743

95,395,723

Semiconductors - 2.1% Advanced Micro Devices Inc. 4,352,375 12,491,316 Atmel Corp. 2,905,343 25,015,003 Cree Inc. 704,942 18,800,803 Cypress Semiconductor Corp. 2,255,531 22,126,759 Fairchild Semiconductor International Inc. 795,031 16,465,092 Integrated Device Technology Inc. 1,000,093 26,352,451





December 31, 2015




Value ($)

Intersil Corp. 901,054 11,497,449 IPG Photonics Corp. 246,108 21,942,989 Silicon Laboratories Inc. 266,760 12,948,530 Synaptics Inc. 247,539 19,887,283

Teradyne Inc. 1,432,914 29,618,332

217,146,007

Shipbuilding - 0.4%

Huntington Ingalls Industries Inc. 325,455 41,283,967

Software - 4.5% ACI Worldwide Inc. 799,122 17,101,211 Acxiom Corp. 525,756 10,998,816 Allscripts Healthcare Solutions Inc. 1,273,927 19,592,997 ANSYS Inc. 612,926 56,695,655 Broadridge Financial Solutions Inc. 815,995 43,843,411 CDK Global Inc. 1,085,177 51,513,352 CommVault Systems Inc. 286,387 11,269,328 Fair Isaac Corp. 211,170 19,887,991 MSCI Inc. 631,274 45,533,794 PTC Inc. 780,253 27,020,161 Rackspace Hosting Inc. 775,470 19,634,900 SolarWinds Inc. 425,646 25,070,549 Solera Holdings Inc. 455,941 24,999,245 SYNNEX Corp. 196,200 17,644,266 Tyler Technologies Inc. 223,541 38,967,667

Ultimate Software Group Inc. 197,369 38,587,613

468,360,956

Telecommunications - 1.0% ARRIS Group Inc. 995,942 30,445,947 Ciena Corp. 859,663 17,786,427 InterDigital Inc. 239,428 11,741,549 NeuStar Inc. 375,961 9,011,785 Plantronics Inc. 234,915 11,139,669 Polycom Inc. 911,395 11,474,463





December 31, 2015




Value ($)

Telephone & Data Systems Inc. 635,170 16,444,551

108,044,391

Transportation - 0.9% Genesee & Wyoming Inc. 387,269 20,792,473 Kirby Corp. 369,302 19,432,671 Landstar System Inc. 297,508 17,448,844 Old Dominion Freight Line Inc. 472,405 27,904,963

Werner Enterprises Inc. 304,046 7,111,636

92,690,587

Trucking & Leasing - 0.1%

GATX Corp. 298,560 12,703,728

Water - 0.3%

Aqua America Inc. 1,197,076 35,672,860

Total Common Stock (Cost $8,267,475,891)

10,079,599,825

Government Issues - 0.1% Interest

Rate Maturity

Date Principal Value

($) Treasury Bill - 0.1% United States Treasury Bill1, 2 0.00% 06/16/2016 USD 11,000,000 10,979,589

Total Government Issues (Cost $10,979,589)

10,979,589





December 31, 2015



State Street Bank and Trust Company Collective Investment Funds - 2.0% Units Value

($)

State Street Short Term Investment Fund3 208,176,573 208,176,573

Total State Street Bank and Trust Company Collective Investment Funds (Cost $208,176,573)

208,176,573

TOTAL INVESTMENTS - 100.0% (Cost $8,486,632,053)

10,298,755,987

1 Denotes a zero coupon bond. 2 All or a portion of this security was pledged to cover margin requirements for open futures contracts. 3 Collective investment fund advised by State Street Global Advisors.

At December 31, 2015, one or more Treasury Bills totaling $10,979,589 were pledged to cover margin requirements for open futures contracts. The following futures contracts were open at December 31, 2015:

Futures Contracts

Number of Contracts

Long/(Short) Notional Cost Maturity Date Unrealized

Gain/(Loss) ( $ )

S&P Midcap 400 E-mini Index Futures

1,592

USD

222,155,270

March 2016

(310,070)

USD : United States Dollar




Notes to Combined Financial Statements December 31, 2015

37

1. Fund Organization and Investment Objective Effective January 1, 2016, State Street Bank and Trust Company ("State Street Bank") SSgA S&P MidCap® Index Securities Lending Series Fund and State Street Bank and Trust Company SSgA S&P MidCap® Index Non-Lending Series Fund changed their names to State Street Bank and Trust Company State Street S&P MidCap® Index Securities Lending Series Fund and State Street Bank and Trust Company State Street S&P MidCap® Index Non-Lending Series Fund (individually, the "Lending Fund" and "Non-Lending Fund," respectively, and collectively the "Fund"), pursuant to an amended Fund Declaration. The Fund was formed by State Street Bank under the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans Declaration of Trust (the "Trust"). These financial statements refer to the Fund by its amended name. State Street Bank is Trustee, Custodian, and Recordkeeper of the Fund and, as Trustee, has exclusive management and control of the Trust. State Street Global Advisors ("SSGA"), a division of State Street Bank, is the Fund's Investment Manager. The Fund is operated pursuant to the provisions of the Trust and other governing documents, which are available from the Trustee. The investment objective of the Fund is to approximate as closely as practicable, before expenses, the performance of the S&P MidCap 400® Index over the long term, while providing participants the ability to purchase and redeem units on an "as of" basis. The participants in the Lending Fund have authorized the Lending Fund to participate in the State Street Global Securities Lending Program maintained by State Street Bank. The investment objective, techniques and results of operations of the Lending Fund are identical to those of the Non-Lending Fund, except that the Lending Fund engages in securities lending activity. Accordingly, the financial statements of the Lending Fund and the Non-Lending Fund have been prepared on a combined basis, with separate disclosure of the participant transactions and financial highlights of the Lending Fund and the Non-Lending Fund. The Lending Fund and the Non-Lending Fund each maintain a divided pro-rata interest in the combined assets and liabilities (including each investment security position but excluding assets and liabilities related to securities lending activity) proportionate to the outstanding combined net assets of the Fund. All interfund transactions have been eliminated in the combined financial statements. Except as stated otherwise, use of the term "financial statements" herein shall refer to the combined financial statements of the Fund. The Trustee has the authority to establish unlimited classes of units of the Lending and the Non-Lending Fund (each a "Class") and issue an unlimited number of units of any such Class of the Fund. The following Class(es) of units of the Lending Fund have been established and are currently funded: Class I, Class II, Class III, Class V, Class XII and Class XIV. The following Class(es) of units of the Non-Lending Fund have been established and are currently funded: Class A, Class C, Class D, Class F, Class G, and Class J.

2. Summary of Significant Accounting Policies The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") which require the use of management estimates. Actual results could differ from those estimates. The Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The policies described below are followed consistently in the preparation of the financial statements.





38

A. Valuation Governance and Oversight The Trustee and the Investment Manager assign valuation oversight responsibility to SSGA's regional valuation committees for the assigned products managed within each specific region. These regional valuation committees are generally comprised of senior officers from the compliance, credit, information technology, investment operations, legal, portfolio management, risk management, and trading areas. These committees, or employees tasked with assisting the committees, perform a variety of functions including, but not limited to:

Responding to circumstances that require fair valuation and determining the fair value of portfolio instruments for which market quotations are not readily available, including where available market quotations are deemed unreliable;

Determining appropriate pricing services and sources for various securities or instruments, including secondary and tertiary source options;

Recommending changes to approved pricing sources, and monitoring pricing services' overall performance, including evaluating the pricing methodologies these pricing services employ;

Escalating valuation challenges; Reviewing results of fair value determinations; and Maintaining valuation records.

The regional valuation committees inquire of members of the investment team for input on an as-needed basis. SSGA’s North America Valuation Committee is responsible for valuation oversight of the Fund. SSGA regularly performs various controls and procedures to assess the appropriateness of the valuation of portfolio investments and other financial instruments. These controls and procedures include, but are not limited to, reviewing for occurrences where market quotations are not readily available, validating stale priced holdings, comparing executed trades to vendor prices, analyzing vendor-to-vendor valuation comparisons and reviewing market data and news to identify potential fair valuation considerations. These procedures and the results of these controls are reviewed periodically by SSGA’s North America Valuation Committee. B. Security Valuation The investment valuation policy of the Fund is to value investments at fair value, which is generally defined as the price that could reasonably be expected to be realized from an orderly transaction to sell an asset or paid to transfer a liability between market participants. 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. Investments and other portfolio instruments are generally valued using a market approach. In accordance with valuation policies and procedures approved by the Trustee, equity investments for which market quotations are readily available (including registered investment companies that are exchange traded) are valued at the last reported sale price on their principal exchange, market or system on valuation date, or official close price for certain markets. If no sales are reported for that day, investments are valued at the last published sale price or at fair value as determined in good faith by the Trustee. To the extent equity investments are actively traded and valuation adjustments are not applied, these investments are classified within Level 1 of the fair value hierarchy. Equity investments traded on inactive markets or valued by reference to similar instruments are generally classified within Level 2 of the fair value hierarchy. Short-term investments (with a remaining maturity of 60 days or less at the time of purchase and not credit impaired), if any, are stated at amortized cost, which approximates fair value, and are classified within Level 2 of the fair value hierarchy. Investments in registered investment companies (other than those that are exchange traded) or collective investment funds, if any, are valued at their respective net asset value and are classified within Level 2 of the fair value hierarchy. Please refer to the Derivative Instruments note for further details on the valuation policy for derivatives.





39

In the event current market prices or quotations are not readily available or are deemed unreliable by the Trustee, such as the occurrence of a significant event, the fair value will be determined in good faith by the Trustee using alternative fair valuation methods. A "significant event" is an event that the Trustee believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund's portfolio securities to no longer reflect their value at the time of the Fund's net asset value calculation. The use of alternative valuation methods would generally result in the investments being classified within Level 2 or Level 3 of the fair value hierarchy. Fair Value Hierarchy The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes 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 three levels of the hierarchy are described below: Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities. Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in valuing a portfolio instrument. These may include quoted prices for similar investments, interest rates, foreign exchange rates, prepayment speeds, credit risk and others.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Trustee's own assumptions about the factors market participants would use in valuing a portfolio instrument, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. The following is a summary of the inputs used, as of December 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodologies used for valuing investments and other financial instruments may not be an indication of the risk associated with investing in those securities.

Level 1 Level 2 Level 3 Total

Investments in securities, long - Assets Common Stock $ 10,079,599,825 $ - $ - $ 10,079,599,825Government Issues - 10,979,589 - 10,979,589

Collective Investment Funds - 488,884,598 - 488,884,598

$ 10,079,599,825 $ 499,864,187 $ - $ 10,579,464,012

Other financial instruments - Liabilities

Futures Contracts $ (310,070) $ - $ - $ (310,070)

Please refer to the Combined Schedule of Investments and Combined Statement of Assets and Liabilities for additional information regarding composition of amounts listed above. C. Security Transactions and Investment Income Security transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are determined using the average cost method. Distributions received from underlying funds, if any, are recorded on the ex-





40

dividend date and retain the character of income as earned by the underlying funds. Dividend income, if any, is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income earned on securities, if any, is recorded on the accrual basis. Interest income includes accretion of discounts and amortization of premiums, if any. Investment income (other than securities lending income) and unrealized and realized gains or losses are allocated daily to each Class of the Fund based upon the relative proportion of net assets of each Class. Securities lending income is allocated daily to each Lending Fund Class based upon the relative proportion of the Lending Fund's net assets. D. Taxes It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal and state taxes and no federal or state tax provision is required. The Trustee has reviewed the Fund's tax positions for all open tax periods (current and prior tax periods) and has determined that no provision for income taxes is required in the Fund's financial statements. E. Issuances and Redemptions of Units of Participation The per unit net asset value of each Class is determined each business day. Issuances and redemptions of Class units may be made on such days, based upon the net asset value per unit as of the Class' valuation date last preceding the date on which such order to contribute or redeem assets is received. The Trustee, in its sole discretion, reserves the right to value any contribution or redemption as of the next succeeding valuation date or another date as the Trustee deems appropriate. Additional terms of participation are detailed in the Trust and the Fund’s other governing documents. Such terms may be implemented pursuant to the Trustee's prudent determination. The Fund recognized gains/(losses) of $237,486,240 from securities delivered through in-kind redemptions during the period. These amounts are included as net realized gain/(loss) on investments in the Combined Statement of Operations. F. Expenses Under the Trust, the Fund may pay certain expenses for services received. Each Class is charged its allocable share of the fees and expenses borne by the Fund that are not specifically allocated to one or more of the Classes. The Fund indirectly bears the expenses incurred by the underlying funds, if any.





41

The Investment Manager charges a management fee to the Classes at the following rate of average daily net asset value:

Class Rate (%) Management Fees Class II 0.10 $ 33,174Class III 0.60 233,271Class V 0.04 1,328Class XII 0.04 18,741Class XIV 0.02 25,475Class C 0.04 1,127,013Class D 0.04 21,839Class F 0.07 12,486Class G 0.07 30,811Class J 0.07 326,907Class P 0.06 708

Total Management Fees $ 1,831,753

Class I is not charged a direct management fee. SSGA receives investment fees from the Class participants and therefore, the Class makes no payments for these services. Class A is not charged a direct management fee. SSGA receives investment fees from the Class participants and therefore, the Class makes no payments for these services. The Fund may be charged by the Trustee an annual administration fee equal to 0.01% of the average daily net asset value of the Fund and $5 per Fund transaction of securities and portfolio instruments. Alternatively, should the Fund, in the discretion of the Trustee, invest more than 50% of its assets directly in collective investment funds, the Trustee will instead charge an administration fee equal to $25,000 to each Class. This administration fee relates to the provision of custody, bookkeeping and accounting services, shareholder servicing, transfer agency and other services that the Trustee may from time to time consider necessary or appropriate. The following Classes are charged an administrative service fee, as a percentage of average daily net assets, which compensates third parties or intermediaries for services including, but not limited to, record keeping, asset servicing, sub-accounting and communication services:

Class Rate (%) Administrative Service

Fees Class V 0.50 $ 16,601Class D 0.25 136,495Class F 0.12 21,404Class G 0.38 167,261Class J 0.63 2,942,168

Total Administrative Service Fees $ 3,283,929





42

During the period ended December 31, 2015, certain direct and/or indirect expenses incurred by the Fund were contractually or voluntarily waived and/or reimbursed by the Trustee:

Class

Total Annual Operating Expense

Ratio (%) Waivers and/or

Reimbursements Class V 0.56 $ 238

Total Waivers and Reimbursements $ 238 Please refer to the Additional Expense Information footnote for further disclosures regarding expenses. G. Treatment of Net Investment Income and Net Realized Gains Net investment income (excluding securities lending fee income, if any) and net realized gains are retained by the Fund. Securities lending income is retained by the Lending Fund. H. Derivative Instruments The Fund's use of derivative instruments involves risks different from, and possibly greater than, the risks associated with investing directly in securities and other more traditional investments. Derivatives are instruments whose values are derived from underlying assets, indices, reference rates or a combination of these factors. Derivatives are subject to a number of risks, such as potential changes in value in response to interest rate changes, index return or other market developments or as a result of changes unrelated to any reference asset, including changes in credit quality of the Fund's counterparty to the derivative transaction. Over-the-counter ("OTC") derivatives usually do not have publicly available price sources and therefore there may be differences between bespoke price offers by dealers. Furthermore, there is a risk that changes in the value of a derivative may not correlate as anticipated with respect to the change in the value of the asset, rate, or index underlying the derivative. Derivative transactions can create investment leverage and may be highly volatile. Use of derivatives other than for hedging purposes may be considered speculative. When the Fund executes in a derivative instrument, the future exposure is potentially unlimited. The value of a derivative instrument will depend, in part, on the ability and the willingness of the Fund’s derivative counterparty to perform its obligations under the transaction. A liquid secondary market may not always exist for the Fund’s derivative positions at any time and may impact the Fund’s ability to establish fair market value of a derivative transaction and close out derivative positions. Although the use of derivatives is intended to complement the Fund’s performance, it may instead reduce returns and increase volatility. The measurement of the risks associated with derivative instruments is meaningful only when all related and offsetting transactions are considered. The Fund must set aside liquid assets or engage in other appropriate measures to cover its obligations under these derivative instruments. Regulations recently adopted or proposed by regulators in the U.S. and other countries may substantially affect the markets in which derivatives are traded, including requiring central clearing and reporting of transactions (including prices) that may not have been previously required to be reported or cleared. These regulations may require, among other things, that the Fund post greater amounts of collateral or margin than the amounts currently posted by the Fund on a bilateral basis with its derivatives counterparties or with derivatives clearing organizations. In addition, the regulations may make certain types of derivatives uneconomical or unavailable to the Fund, and they may substantially reduce the liquidity for some derivatives. The full extent of the new regulations and their effects on the derivatives markets are not known at this time. Certain derivatives, including forward foreign currency contracts and some swap contracts, as applicable, are entered into OTC under the terms and conditions of International Swaps and Derivatives Association Master Agreements or similar agreements (“Master Agreements”), which are separately negotiated with each counterparty. Master Agreements may contain provisions allowing a counterparty to exercise rights to terminate derivative contracts, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over a period of time by a predetermined percentage or





43

decrease below a predetermined floor amount. Master Agreements also contain certain provisions for the Fund to exercise rights to terminate derivative contracts, to the extent not otherwise waived, against counterparties upon the occurrence of certain events, such as a decline in a counterparty’s credit rating below a specified level. Such rights for both the counterparty and the Fund to terminate open contracts may be transacted at prices that favor the counterparty, which could have an adverse effect to the Fund. Certain derivatives, including futures contracts and cleared swaps, as applicable, are transacted on an exchange or through a clearinghouse, as applicable. These exchange traded derivatives generally present less counterparty risk to the Fund because the exchange's clearinghouse, as counterparty to the exchange traded derivatives, guarantees the derivative against default. Clearinghouses have been established to act as central counterparties on eligible OTC transactions, including cleared swaps. While the risk of counterparty default is substantially less likely for exchange traded derivatives, a default by an exchange member under a derivative transaction(s) unrelated to the Fund’s derivatives transactions could cause a default by the exchange impacting the Fund. Margin, collateral and settlement requirements are set by each clearinghouse and may vary from one exchange or clearinghouse to another. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of default by the clearing broker or clearinghouse. The Fund values derivatives at fair value as described below and recognizes changes in fair value currently in its results of operations. Accordingly, the Fund does not follow hedge accounting, even for derivatives employed as economic hedges. Derivative instruments outstanding at period end, if any, are disclosed in the Combined Schedule of Investments. Futures Contracts The Fund may use futures contracts to manage exposure to the market. Buying futures tends to increase a fund's exposure to the underlying instrument. Selling futures tends to decrease a fund's exposure to the underlying instrument or hedge the fair value of other fund investments. When entering into a futures contract, the Fund agrees to buy or sell a specified quantity of a security, currency, basket of securities or an index for an agreed-upon price on an agreed-upon date. Futures contracts are valued at the quoted daily settlement price at the end of each day on the board of trade or exchange upon which they are traded. Futures contracts are classified within Level 1 of the fair value hierarchy. Upon entering into a futures contract, the Fund is required to deposit either in cash, currency or securities, an amount ("initial margin") equal to a certain percentage of the nominal value of the contract. Subsequent payments are made or received by the Fund periodically, depending on the fluctuation in the value of the underlying instrument, and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when a contract is closed or expires. Futures contracts involve, to varying degrees, credit and market risks. The Fund enters into futures contracts only on exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus, credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from changes in the value of the underlying instruments or if there is an illiquid secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between movements in the price of a futures contract and movements in the price of the underlying instrument.





44

During the period, the Fund entered into certain derivative contract types. These instruments were used to meet the Fund's investment objectives and to obtain and/or manage exposure related to the risks below. The following table sets forth the fair value of the Fund's derivative contracts for trading activities by certain primary underlying risk types as of the end of the period. The values in the table below exclude the effects of collateral received or posted pursuant to derivative contracts, and therefore are not necessarily representative of the Fund's net exposure. Fair Values of Asset and Liability Derivative Contracts at December 31, 2015: Derivatives not accounted for as hedging instruments Credit Equity

Foreign Exchange Interest Rate Total

Liability Derivative

Variation margin payable* $ - $ (310,070) $ - $ - $ (310,070)

*Includes cumulative appreciation/(depreciation) of futures contracts as reported in the Combined Schedule of Investments. Only current day's variation margin is reported within the Combined Statement of Assets and Liabilities. The following tables set forth by certain primary underlying risk types the Fund's gains and (losses) related to derivative activities for the period ended December 31, 2015. Effect of Derivative Instruments on the Combined Statement of Operations - Net Realized Gain/(Loss): Derivatives not accounted for as hedging instruments Credit Equity


Futures $ - $ (3,006,376) $ - $ - $ (3,006,376)

Effect of Derivative Instruments on the Combined Statement of Operations - Net Change in Unrealized Appreciation/(Depreciation): Derivatives not accounted for as hedging instruments Credit Equity


Futures $ - $ (2,970,548) $ - $ - $ (2,970,548)

During the period ended December 31, 2015, the Fund had an average of 1,530 futures contracts outstanding. For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Master Agreement, on the Combined Statement of Assets and Liabilities. Futures that settle variation margin daily are presented at the variation margin receivable or payable. The following table sets forth the Fund's net exposure to derivative assets and liabilities available for offset and net of collateral at December 31, 2015:

Derivative Type Gross Assets Gross Liabilities Collateral Received

Collateral Pledged Net Exposure

Futures $ - $ (2,069,600) $ - $ 2,069,600 $ - The actual value of collateral, if any, may be more than the amount presented.





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3. Concentration of Ownership The following information illustrates concentration of ownership of participants owning units in excess of 10% of total units outstanding as well as units owned by other State Street Bank Collective Investment Funds. 10% or Greater Participants % of Units Outstanding held by other

# of Participants % of Units held State Street Bank Collective

Investment Funds

Lending Fund Class I 3 85% - % Class II 3 87% - % Class III 3 100% - % Class V 1 100% - % Class XII 3 99% - % Class XIV 1 100% - % Non-Lending Fund Class A 3 42% - % Class C 1 56% - % Class D 1 99% - % Class F 2 100% - % Class G 2 100% - % Class J 1 99% - %

4. Risks and Uncertainties A. 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 market (market risk) or failure of the counterparty to the transaction to perform (credit risk). The Fund may be exposed to additional credit risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Additionally, if a counterparty is in bankruptcy, reorganization proceedings, becomes insolvent or otherwise fails to perform its obligations, the Fund may experience significant delays in obtaining any recovery.

5. State Street Global Securities Lending Program The Lending Fund is authorized to participate in the State Street Global Securities Lending Program under the terms and conditions of a Securities Lending Authorization Agreement (“SLAA”). Under the State Street Global Securities Lending Program, securities held by Lending Funds are loaned by State Street Bank, as agent, to certain brokers and other financial institutions (the "Borrowers"). The Borrowers provide cash, securities, or letters of credit as collateral against loans in an amount equal to at least 100% of the fair value of the loaned securities. The Borrowers are required to maintain the collateral at not less than 100% of the fair value of the loaned securities. Cash collateral provided by the Borrowers is invested in State Street Bank and Trust Company Series Quality Trust for SSgA Funds Trust Fund (the "Cash Collateral Fund"). SSGA acts as manager for the Cash Collateral Fund and is compensated for these services. State Street Bank generally manages the Global Securities Lending Program as a global program, instead of a series of individual programs for each securities lending participant. Securities are loaned to Borrowers with an objective of maximizing return, while maintaining latent liquidity. Latent liquidity represents the ability to increase the amount of securities on loan, which would increase cash collateral from Borrowers to be invested in securities lending collateral





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vehicles. Borrower loans of securities may be reassigned or transferred to other participants upon redemption of underlying lendable securities. Accordingly, Lending Fund contributions or redemptions may not necessarily result in a change in the amount of the Lending Fund's securities on loan or the Lending Fund's investment in securities lending collateral collective investment funds or other collateral. Loans of securities may be terminated at any time, and the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous. Risks and Indemnification State Street Bank, as lending agent, indemnifies the Lending Funds for replacement of any loaned securities (or, in certain circumstances, return of equivalent cash value) due to Borrower default on a security loan. Lending Fund participants, however, bear the risk of loss with respect to the investment of collateral.

Financial Statement Presentation At December 31, 2015, the fair value of securities loaned by the Lending Fund is disclosed on the Combined Statement of Assets and Liabilities. The Lending Fund's investment in the Cash Collateral Fund is recorded on the Combined Statement of Assets and Liabilities at fair value. The Lending Fund also received U.S. Treasury and Agency securities valued at $46,206,666 as additional collateral.

For financial reporting purposes, the Fund does not offset financial assets and liabilities related to securities lending, including those that may be subject to an enforceable SLAA, on the Combined Statement of Assets and Liabilities. The following table sets forth the Fund’s net exposure to financial assets and liabilities related to securities lending at December 31, 2015.

Gross Assets Gross Liabilities Financial

Instruments Net Exposure

Securities Lending $ - $ (280,708,025) $ 271,372,469 $ (9,335,556)

Cash Collateral Fund Objectives The objectives of the Cash Collateral Fund are (i) to generate investment returns that exceed the rebate payable to the Borrowers on the cash collateral posted by the Borrowers, (ii) to avoid any undue risk of loss of principal, and (iii) to have sufficient liquidity to return any cash collateral to the Borrowers when the related securities loan terminates. The Cash Collateral Fund is managed in a manner designed to achieve these objectives, with a principal focus on asset-liability matching. During 2015, the Cash Collateral Fund issued and redeemed its units at a price of $1.00 per unit in accordance with its governing documents.

Cash Collateral Funds Income Distribution Proceeds collected by State Street Bank on investment of cash collateral or any fee income is allocated at 70% payment to the Lending Fund, and 30% payable to State Street Bank (after deduction of such other amounts payable to State Street Bank or the Borrowers under the terms of the SLAA). Negotiated lenders' fees are received for those loans collateralized by securities or letters of credit, if any. Securities lending fee income, if any, is recorded on an accrual basis by the Lending Fund.

Investment in Cash Collateral Funds Valuation Management of the Lending Funds regularly reviews the performance of the Cash Collateral Funds and the variation between their per unit fair values and the expected transaction price of $1.00. The Cash Collateral Funds primarily utilize quotations from independent pricing services, quotations from bond dealers and information with respect to bond and note transactions ("pricing service information") to determine fair value of their investments. Such pricing service information





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may also consist of quotations derived from valuation models or matrix pricing. At December 31, 2015, the per unit fair value was $1.00 for the State Street Bank and Trust Company Series Quality Trust for SSgA Funds Trust Fund. Investments in Cash Collateral Funds are classified within Level 2 of the fair value hierarchy.

6. Real Estate Investment Trusts (REITs)

Because the Fund may invest substantially all or a portion of its assets in REITs, the Fund may be subject to certain risks associated with direct investment in REITs. REITs may be affected by changes in the value of their underlying properties and by defaults by borrowers or tenants as well as other risks similar to those associated with direct ownership in real estate, including losses from casualty or condemnation and changes in local and general economic conditions, supply and demand, interest rates, zoning laws, regulatory limitations on rents, property taxes and operating expenses. Furthermore, REITs are dependent upon specialized management skills, have limited diversification and are, therefore, subject to risks inherent in financing a limited number of projects. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.

7. Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trustee expects the risk of loss to be remote.

8. Recent Accounting Pronouncements

In May 2015, the Financial Accounting Standards Board (“FASB”) issued an amendment to U.S. GAAP that removes the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the net asset value per share practical expedient. The amendment is effective for the Fund on January 1, 2016. The Trustee does not anticipate that the adoption of the amendment will have a material effect on the Fund’s financial statements.

In August 2014, the FASB issued an amendment to U.S. GAAP which clarifies that management would be responsible for evaluating and disclosing conditions or events that raise substantial doubt about an entity’s ability to continue as a going concern. The amendment is effective for the Fund on January 1, 2017. The Trustee does not anticipate that the adoption of the amendment will have a material impact on the Fund’s financial statements.

9. Other

SSGA is involved in various industry-related and other regulatory, governmental and law enforcement inquiries and subpoenas. The Trustee has reviewed these matters in connection with these financial statements. Based upon that review, the Trustee has determined that no accrual or loss contingency is required on the Fund's financial statements.

10. Subsequent Events

The Trustee has evaluated subsequent events after December 31, 2015 through March 24, 2016, the date the financial statements were available to be issued, and has concluded that there is no impact requiring adjustment or disclosure in the financial statements. Effective January 1, 2016, Class I will have a Total Annual Operating Expense Ratio equal to 0.012% of the Class' average daily net asset value. Effective January 1, 2016, Class II will have a Total Annual Operating Expense Ratio equal to 0.112% of the Class' average daily net asset value.





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Effective January 1, 2016, Class III will have a Total Annual Operating Expense Ratio equal to 0.612% of the Class' average daily net asset value. Effective January 1, 2016, Class V will have a Total Annual Operating Expense Ratio equal to 0.552% of the Class' average daily net asset value. Effective January 1, 2016, Class XII will have a Total Annual Operating Expense Ratio equal to 0.052% of the Class' average daily net asset value. Effective January 1, 2016, Class XIV will have a Total Annual Operating Expense Ratio equal to 0.040% of the Class' average daily net asset value. Effective January 1, 2016, Class A will have a Total Annual Operating Expense Ratio equal to 0.012% of the Class' average daily net asset value. Effective January 1, 2016, Class C will have a Total Annual Operating Expense Ratio equal to 0.052% of the Class' average daily net asset value. Effective January 1, 2016, Class D will have a Total Annual Operating Expense Ratio equal to 0.302% of the Class' average daily net asset value. Effective January 1, 2016, Class F will have a Total Annual Operating Expense Ratio equal to 0.202% of the Class' average daily net asset value. Effective January 1, 2016, Class G will have a Total Annual Operating Expense Ratio equal to 0.462% of the Class' average daily net asset value. Effective January 1, 2016, Class J will have a Total Annual Operating Expense Ratio equal to 0.712% of the Class' average daily net asset value.





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11. Additional Expense Information During the period ended December 31, 2015, the Fund incurred expenses directly for certain services received and indirectly through its investments in underlying funds, if any. As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Classes to the extent the total annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Class may exceed the Class' total direct expenses incurred. Ratios of expense classifications as a % of average daily net assets

TAOER DE IE TAGOE W/R TANOE

Class I 0.02 0.01 - 0.01 - 0.01 Class II 0.12 0.11 - 0.11 - 0.11 Class III 0.62 0.61 - 0.61 - 0.61 Class V 0.56 0.57 - 0.57 (0.01) 0.56 Class XII 0.06 0.05 - 0.05 - 0.05 Class XIV * 0.04 0.04 - 0.04 - 0.04 Class A 0.02 0.01 - 0.01 - 0.01 Class C 0.06 0.05 - 0.05 - 0.05 Class D 0.31 0.30 - 0.30 - 0.30 Class F 0.21 0.20 - 0.20 - 0.20 Class G 0.47 0.46 - 0.46 - 0.46 Class J 0.72 0.71 - 0.71 - 0.71 * The ratios for Class XIV are annualized, as the Class commenced operations on November 17, 2015. Total Annual Operating Expense Ratio ("TAOER")

Limitation on the total direct and indirect expenses the Fund may incur, as set forth in the Fund’s governing documents.

Direct Expenses ("DE")

Fees and expenses directly incurred by the Fund which may include administration, audit, legal and management fees, if any.

Indirect Expenses ("IE")

Proportionate amount of fees and expenses indirectly incurred by the Fund as a result of its investment in underlying funds which may include administration, audit and legal fees, if any.

Total Annual Gross Operating Expense ("TAGOE")

Total direct and indirect expenses incurred, prior to the application of any waivers and/or reimbursements, if any.

Waivers and/or Reimbursements ("W/R")

Amounts waived and/or reimbursed by the Trustee to the extent the total direct and indirect expenses of the Fund exceeded the total annual operating expense ratio, as described in the Fund’s governing documents.





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Total Annual Net Operating Expense ("TANOE")

Total direct and indirect expenses incurred, net of waivers and/or reimbursements, if any.

The total annual net operating expense ratio presented above may not correlate to the Class' ratio of expenses to average daily net assets as presented in the Financial Highlights, as the ratio of expenses presented in the Financial Highlights does not reflect indirect expenses, if any, and is not annualized.




Brokerage Commissions (unaudited)

December 31, 2015

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Brokerage Commissions Subject to its duty to seek best execution, SSGA employs a standard negotiated commission schedule for specific types of trades (generally equities) entered into on behalf of the Fund. SSGA retains the right to use “soft” or commission dollars consistent with the parameters of Section 28(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). In addition, certain client accounts and as applicable, the Fund or underlying funds, participate in arrangements or programs pursuant to which transactions generate “credits” which are used by SSGA to obtain third-party research or brokerage services (“Commission Sharing Agreements” or “CSAs”). Participants who invest in the Fund may not limit the ability of the Fund or the underlying funds to directly or indirectly participate in CSAs. Research and brokerage services furnished to SSGA may be used in furnishing investment or other advice to all or some subset of SSGA’s (and/or its affiliates) clients. Services received from a broker-dealer that executed transactions for a particular fund or client may not necessarily be used by SSGA specifically in servicing that particular fund or account. SSGA may share some or all of the brokerage and research services received by it with affiliates. Transactions effected for SSGA's funds or clients that generate credits may be aggregated with transactions effected for clients of SSGA whose commission dollars do not generate credits used to obtain third-party research and brokerage services (“Restricted Accounts”). Restricted Accounts may benefit from any third-party research or brokerage services obtained using credits arising from transactions effected for other funds or clients of SSGA. The Fund paid an aggregate dollar amount of brokerage commissions of $356,406 for 2015. None of the brokerage commissions paid were paid to affiliated brokers. Brokerage commissions paid by the Fund may be substantially different from year to year for multiple reasons, including market volatility and the demand for a particular security. The Fund generated $27,459 in CSA credits for 2015.

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