N-CSRS 1 d695613dncsrs.htm SSGA FUNDS SSgA Funds
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05430

 

 

SSGA FUNDS

(Exact name of registrant as specified in charter)

 

 

One Lincoln Street

Boston, Massachusetts 02111

(Address of principal executive offices)(Zip code)

 

 

 

   Copy to:

 

(Name and Address of Agent for Service)

David James, Vice President and

Managing Counsel

State Street Bank and Trust Company

4 Copley Place, 5th Floor

Boston, Massachusetts 02116

   

 

Timothy W. Diggins, Esq.

Ropes & Gray

800 Boylston Street

Boston, Massachusetts 02110-2624

 

 

Registrant’s telephone number, including area code: (617) 662-1742

Date of fiscal year end: August 31

Date of reporting period: February 28, 2014

 

 

 

Table of Contents

Item 1. Shareholder Report.

Table of Contents

LOGO

 

Dynamic Small Cap Fund

Clarion Real Estate Fund

IAM SHARES Fund

Enhanced Small Cap Fund

Emerging Markets Fund

International Stock Selection Fund

High Yield Bond Fund

Semiannual Report

February 28, 2014

Table of Contents

Table of Contents

SSgA Funds

Semiannual Report

February 28, 2014 (Unaudited)

Table of Contents

 

       Page  
Dynamic Small Cap Fund        3   
Clarion Real Estate Fund        12   
IAM SHARES Fund        15   
Enhanced Small Cap Fund        22   
Emerging Markets Fund        31   
International Stock Selection Fund        39   
High Yield Bond Fund        44   
Statements of Assets and Liabilities        52   
Statements of Operations        56   
Statements of Changes in Net Assets        58   
Financial Highlights        62   
Notes to Financial Statements        66   
Shareholder Requests for Additional Information        84   
Fund Management and Service Providers        91   

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or another governmental agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

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SSgA

Dynamic Small Cap Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,171.30       $ 1,018.60   

Expenses Paid During Period*

    $ 6.73       $ 6.26   

 

* Expenses are equal to the Fund’s annualized expense ratio of 1.25% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

Dynamic Small Cap Fund     3   

Table of Contents

SSgA

Dynamic Small Cap Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Common Stocks - 98.2%   

Consumer Discretionary - 11.6%

  

Asbury Automotive Group, Inc. (a)(b)

      1,704           86,631   

Big 5 Sporting Goods Corp.

      733           11,127   

Bridgepoint Education, Inc. (a)(b)

      611           11,786   

Brown Shoe Co., Inc. (b)

      3,247           79,811   

Buffalo Wild Wings, Inc. (a)(b)

      785           113,825   

Callaway Golf Co. (b)

      2,095           17,640   

Carmike Cinemas, Inc. (a)

      710           21,123   

Christopher & Banks Corp. (a)(b)

      1,815           12,088   

Cracker Barrel Old Country Store, Inc. (b)

      864           85,925   

Crown Media Holdings, Inc. (Class A) (a)(b)

      4,480           15,008   

Culp, Inc. (b)

      613           11,819   

Cumulus Media, Inc. (Class A) (a)(b)

      4,315           28,306   

Destination Maternity Corp.

      497           14,035   

DineEquity, Inc.

      1,062           88,942   

Drew Industries, Inc.

      1,609           79,227   

Entravision Communications Corp. (Class A) (b)

      3,086           20,460   

Federal-Mogul Corp. (a)(b)

      1,371           25,830   

Fiesta Restaurant Group, Inc. (a)(b)

      1,649           82,829   

G-III Apparel Group, Ltd. (a)(b)

      1,520           105,625   

Gray Television, Inc. (a)(b)

      1,405           16,509   

Haverty Furniture Cos., Inc.

      607           17,694   

Helen of Troy, Ltd. (a)(b)

      1,769           115,533   

ITT Educational Services, Inc. (a)(b)

      2,157           66,932   

Jack in the Box, Inc. (a)

      2,185           125,528   

Journal Communications, Inc. (Class A) (a)

      1,638           15,020   

Kirkland’s, Inc. (a)(b)

      1,157           20,456   

La-Z-Boy, Inc. (b)

      3,356           85,712   

LifeLock, Inc. (a)(b)

      4,487           89,336   

Live Nation Entertainment, Inc. (a)

      453           10,279   

Marriott Vacations Worldwide Corp. (a)

      1,609           84,376   

MDC Partners, Inc. (Class A)

      930           20,916   

Media General, Inc. (a)(b)

      1,446           27,431   

Monro Muffler Brake, Inc. (b)

      1,843           109,972   

NACCO Industries, Inc. (Class A) (b)

      225           13,192   

Nexstar Broadcasting Group, Inc. (Class A) (b)

      1,777           75,842   

Nutrisystem, Inc. (b)

      872           12,836   

Outerwall, Inc. (a)(b)

      1,344           95,061   

Penske Automotive Group, Inc.

      2,075           89,827   

Red Robin Gourmet Burgers, Inc. (a)

      1,256           97,880   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Remy International, Inc. (b)

      1,712           38,160   

Rentrak Corp. (a)(b)

      314           20,131   

RetailMeNot, Inc. (a)(b)

      425           17,752   

Ruth’s Hospitality Group, Inc.

      3,855           47,648   

Salem Communications Corp. (Class A) (b)

      712           6,472   

Shoe Carnival, Inc. (b)

      541           13,979   

Skullcandy, Inc. (a)

      1,811           15,231   

Speedway Motorsports, Inc. (b)

      384           7,611   

Stein Mart, Inc. (b)

      1,601           21,758   

Tenneco, Inc. (a)

      1,988           119,757   

The Cato Corp. (Class A) (b)

      2,440           68,491   

The McClatchy Co. (Class A) (a)(b)

      3,175           16,859   

The Men’s Wearhouse, Inc. (b)

      2,410           129,634   

Tower International, Inc. (a)

      962           24,704   

Town Sports International Holdings, Inc. (b)

      1,049           9,525   

Unifi, Inc. (a)

      1,520           37,605   

Weyco Group, Inc. (b)

      292           7,703   

William Lyon Homes (Class A) (a)(b)

      632           19,548   

Winmark Corp. (b)

      90           7,114   

World Wrestling Entertainment, Inc. (Class A) (b)

      896           20,536   

Zale Corp. (a)(b)

      1,476           32,073   
       

 

 

  
          2,784,660   
       

 

 

  

Consumer Staples - 4.1%

  

Coca-Cola Hellenic Bottling Co. (b)

      201           15,204   

Diamond Foods, Inc. (a)

      775           22,258   

Fresh Del Monte Produce, Inc. (b)

      3,050           80,703   

Harbinger Group, Inc. (a)

      2,061           23,392   

Inter Parfums, Inc.

      723           24,300   

Inventure Foods, Inc. (a)(b)

      1,250           17,363   

John B Sanfilippo & Son, Inc. (b)

      515           12,489   

National Beverage Corp. (a)(b)

      537           11,298   

Natural Grocers by Vitamin Cottage, Inc. (a)

      429           17,477   

Nature’s Sunshine Products, Inc. (b)

      393           5,938   

Omega Protein Corp. (a)

      1,337           14,533   

Post Holdings, Inc. (a)(b)

      1,784           101,902   

Revlon, Inc. (Class A) (a)(b)

      498           11,758   

Rite Aid Corp. (a)(b)(c)

      23,878           157,356   

Sanderson Farms, Inc. (b)

      1,302           100,046   

Seaboard Corp. (a)

      11           27,885   

Spartan Stores, Inc. (b)

      902           20,376   

Spectrum Brands Holdings, Inc.

      390           30,424   

The Andersons, Inc. (b)

      1,823           99,946   

The Pantry, Inc. (a)

      1,175           17,719   

Vector Group, Ltd. (b)

      5,269           102,904   
 

 

4   Dynamic Small Cap Fund

Table of Contents

SSgA

Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Weis Markets, Inc. (b)

      1,220           61,537   
       

 

 

  
          976,808   
       

 

 

  

Energy - 5.5%

  

Alon USA Energy, Inc. (b)

      1,154           15,452   

Athlon Energy, Inc. (a)

      622           23,114   

Basic Energy Services, Inc. (a)(b)

      1,046           24,947   

Bolt Technology Corp. (b)

      494           9,934   

Bristow Group, Inc. (b)

      513           39,809   

Callon Petroleum Co. (a)

      1,967           13,317   

Clayton Williams Energy, Inc. (a)

      314           30,458   

Cloud Peak Energy, Inc. (a)(b)

      5,193           100,744   

Contango Oil & Gas Co. (a)(b)

      1,715           81,325   

Crosstex Energy, Inc.

      2,810           116,980   

Delek US Holdings, Inc.

      3,219           89,360   

Era Group, Inc. (a)

      553           15,622   

GasLog, Ltd.

      968           20,386   

Gastar Exploration, Inc. (a)(b)

      4,830           30,815   

Green Plains Renewable Energy, Inc. (b)

      780           20,615   

Matrix Service Co. (a)

      1,192           38,585   

Newpark Resources, Inc. (a)(b)

      6,060           67,387   

Nordic American Tankers, Ltd. (b)

      8,842           93,460   

Panhandle Oil and Gas, Inc. (Class A) (b)

      239           8,834   

Penn Virginia Corp. (a)(b)

      2,636           39,935   

PHI, Inc. (a)(b)

      397           15,959   

REX American Resources Corp. (a)

      320           15,258   

RigNet, Inc. (a)(b)

      383           18,315   

SEACOR Holdings, Inc. (a)(b)

      1,147           101,464   

Ship Finance International, Ltd.

      5,120           96,359   

Targa Resources Corp.

      436           42,187   

Tesco Corp. (a)(b)

      930           17,642   

TGC Industries, Inc. (a)(b)

      50           320   

W&T Offshore, Inc. (b)

      1,096           16,517   

Warren Resources, Inc. (a)

      4,175           18,495   

Western Refining, Inc. (b)

      2,873           104,721   
       

 

 

  
          1,328,316   
       

 

 

  

Financials - 27.5%

  

1st Source Corp. (b)

      504           15,725   

Alexander’s, Inc. (b)(d)

      88           32,974   

Allied World Assurance Company Holdings, Ltd.

      288           28,719   

Altisource Residential Corp. (b)(d)

      3,373           96,400   

American Capital Mortgage Investment Corp. (d)

      4,804           96,897   

Apollo Commercial Real Estate Finance, Inc. (d)

      1,215           20,339   

Apollo Investment Corp. (b)

      10,761           92,114   

Apollo Residential Mortgage, Inc. (d)

      1,061           18,504   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Argo Group International Holdings, Ltd. (b)

      422           18,627   

ARMOUR Residential REIT, Inc. (b)(d)

      24,000           102,960   

Bancfirst Corp. (b)

      854           46,996   

Banco Latinoamericano de Comercio Exterior SA (b)

      2,946           75,094   

Banner Corp. (b)

      1,815           72,037   

BGC Partners, Inc. (Class A) (b)

      14,067           95,656   

BlackRock Kelso Capital Corp. (b)

      8,535           81,339   

BofI Holding, Inc. (a)(b)

      1,160           107,996   

Brookline Bancorp, Inc. (b)

      8,457           77,212   

Capital Southwest Corp.

      399           13,837   

Capitol Federal Financial, Inc. (b)

      8,776           106,628   

Capstead Mortgage Corp. (b)(d)

      7,681           99,008   

Cardinal Financial Corp. (b)

      935           16,119   

Central Pacific Financial Corp. (b)

      782           15,429   

Chemical Financial Corp. (b)

      1,288           37,983   

Citizens & Northern Corp. (b)

      481           9,582   

CNO Financial Group, Inc.

      7,112           129,865   

Colony Financial, Inc. (b)(d)

      4,652           105,042   

Community Bank System, Inc. (b)

      2,149           78,288   

Cowen Group, Inc. (Class A) (a)(b)

      3,702           15,845   

Credit Acceptance Corp. (a)(b)

      304           41,995   

CYS Investments, Inc. (b)(d)

      11,998           105,582   

Diamond Hill Investment Group, Inc. (b)

      136           15,960   

DuPont Fabros Technology, Inc. (b)(d)

      4,023           106,851   

East West Bancorp, Inc. (b)

      268           9,565   

Encore Capital Group, Inc. (a)(b)

      1,983           96,413   

Enstar Group, Ltd. (a)(b)

      406           50,823   

Enterprise Financial Services Corp. (b)

      690           12,917   

Evercore Partners, Inc. (Class A) (b)

      1,686           93,809   

FBL Financial Group, Inc. (Class A) (b)

      1,557           65,145   

FBR & Co. (a)

      796           20,696   

Fifth Street Finance Corp.

      10,213           100,292   

Financial Institutions, Inc. (b)

      573           12,629   

First American Financial Corp. (b)

      3,943           106,224   

First Commonwealth Financial Corp. (b)

      1,267           10,795   

First Interstate Bancsystem, Inc.

      610           15,799   

First Merchants Corp. (b)

      3,340           71,543   

First NBC Bank Holding Co. (a)

      400           13,348   

Flagstar Bancorp, Inc. (a)(b)

      762           16,871   

Gain Capital Holdings, Inc. (b)

      1,371           14,149   

GAMCO Investors, Inc. (Class A) (b)

      314           24,511   

Gladstone Investment Corp. (b)

      1,633           13,325   
 

 

Dynamic Small Cap Fund     5   

Table of Contents

SSgA

Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Great Southern Bancorp, Inc.

      299           8,581   

Greenlight Capital Re, Ltd. (Class A) (a)(b)

      2,407           75,700   

Hanmi Financial Corp. (b)

      3,038           71,180   

HCI Group, Inc. (b)

      560           27,115   

HFF, Inc. (Class A)

      3,071           97,965   

Home Loan Servicing Solutions, Ltd. (b)

      4,699           96,424   

Horace Mann Educators Corp.

      2,567           73,442   

Independent Bank Group, Inc.

      259           13,919   

Invesco Mortgage Capital, Inc. (b)(d)

      6,958           117,103   

Investment Technology Group, Inc. (a)

      1,044           18,040   

Kansas City Life Insurance Co. (b)

      250           12,300   

KCG Holdings, Inc. (Class A) (a)

      8,112           96,452   

Kearny Financial Corp. (a)(b)

      1,062           13,360   

Ladenburg Thalmann Financial Services, Inc. (a)(b)

      4,595           12,820   

Lakeland Financial Corp. (b)

      471           17,898   

Maiden Holdings, Ltd. (b)

      4,887           54,881   

Main Street Capital Corp. (b)

      2,586           90,769   

MainSource Financial Group, Inc.

      820           14,161   

Manning & Napier, Inc. (b)

      1,234           18,127   

Medley Capital Corp. (b)

      1,233           17,311   

Meta Financial Group, Inc. (b)

      338           14,436   

Montpelier Re Holdings, Ltd. (b)

      3,557           101,410   

National Western Life Insurance Co. (Class A) (b)

      132           29,839   

NBT Bancorp, Inc. (b)

      796           18,690   

New Mountain Finance Corp. (b)

      6,045           90,796   

New Residential Investment Corp. (d)

      13,039           83,319   

Nicholas Financial, Inc.

      511           8,064   

NorthStar Realty Finance Corp. (b)(d)

      9,874           153,146   

OFG Bancorp

      6,065           97,040   

Oritani Financial Corp.

      3,724           58,318   

PennantPark Investment Corp. (b)

      6,572           75,184   

PennyMac Mortgage Investment Trust (d)

      4,379           106,497   

Peoples Bancorp, Inc. (b)

      508           12,431   

PHH Corp. (a)(b)

      3,977           103,521   

Platinum Underwriters Holdings, Ltd.

      1,497           87,754   

Preferred Bank/Los Angeles CA (a)(b)

      626           15,043   

Primerica, Inc.

      2,337           104,744   

PrivateBancorp, Inc.

      3,319           95,786   

Prospect Capital Corp. (b)

      11,083           122,356   

Pzena Investment Management, Inc. (Class A) (b)

      894           10,335   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

QTS Realty Trust, Inc. (Class A) (b)(d)

      560           14,314   

Redwood Trust, Inc. (b)(d)

      4,745           95,375   

Regional Management Corp. (a)(b)

      601           18,138   

Resource Capital Corp. (b)(d)

      15,173           88,459   

RLJ Lodging Trust (d)

      4,037           104,922   

Ryman Hospitality Properties, Inc. (b)(d)

      2,573           108,555   

Safety Insurance Group, Inc.

      1,279           71,407   

Sandy Spring Bancorp, Inc. (b)

      663           15,733   

Saul Centers, Inc. (d)

      307           14,266   

Select Income REIT (d)

      730           21,280   

Selective Insurance Group, Inc.

      3,260           75,110   

Simmons First National Corp. (Class A) (b)

      489           17,423   

Solar Capital, Ltd.

      3,273           72,726   

State Bank Financial Corp. (b)

      962           16,373   

Sterling Bancorp (b)

      1,804           23,163   

Stewart Information Services Corp. (b)

      2,441           90,268   

Symetra Financial Corp. (b)

      4,679           92,176   

Territorial Bancorp, Inc. (b)

      477           10,589   

The Geo Group, Inc. (d)

      3,018           97,270   

The Hanover Insurance Group, Inc.

      577           33,951   

The Navigators Group, Inc. (a)

      467           28,310   

Third Point Reinsurance, Ltd. (a)(b)

      475           7,125   

TICC Capital Corp. (b)

      1,643           17,087   

Tree.com, Inc. (a)(b)

      274           9,264   

United Community Banks, Inc. (a)(b)

      4,482           74,805   

United Fire Group, Inc. (b)

      1,445           41,876   

Universal Insurance Holdings, Inc. (b)

      4,118           55,016   

Waterstone Financial, Inc. (a)

      619           6,537   

WesBanco, Inc.

      2,493           74,316   

Westwood Holdings Group, Inc. (b)

      263           14,967   

Wilshire Bancorp, Inc.

      1,621           16,453   

Wintrust Financial Corp. (b)

      221           10,228   

World Acceptance Corp. (a)(b)

      966           92,591   

WSFS Financial Corp. (b)

      227           16,183   
       

 

 

  
          6,608,970   
       

 

 

  

Health Care - 9.5%

        

ACADIA Pharmaceuticals, Inc. (a)(b)

      782           22,131   

Accuray, Inc. (a)(b)

      9,051           84,898   

Achillion Pharmaceuticals, Inc. (a)(b)

      526           1,841   

Acorda Therapeutics, Inc. (a)

      359           13,154   

Addus HomeCare Corp. (a)(b)

      851           24,475   

Aegerion Pharmaceuticals, Inc. (a)(b)

      294           16,099   
 

 

6   Dynamic Small Cap Fund

Table of Contents

SSgA

Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Air Methods Corp. (a)(b)

      1,898           102,530   

Akorn, Inc. (a)(b)

      3,936           101,628   

Alliance HealthCare Services, Inc. (a)(b)

      786           23,690   

Almost Family, Inc. (a)(b)

      535           14,670   

Alnylam Pharmaceuticals, Inc. (a)(b)

      744           60,443   

AngioDynamics, Inc. (a)(b)

      955           14,707   

Anika Therapeutics, Inc. (a)(b)

      862           33,937   

Arena Pharmaceuticals, Inc. (a)(b)

      2,324           15,129   

Array BioPharma, Inc. (a)(b)

      1,107           5,336   

Atrion Corp. (b)

      54           15,629   

Cambrex Corp. (a)(b)

      902           18,103   

Cantel Medical Corp. (b)

      2,223           71,914   

Celldex Therapeutics, Inc. (a)(b)

      1,002           29,278   

Clovis Oncology, Inc. (a)

      181           14,411   

Computer Programs & Systems, Inc. (b)

      1,398           95,665   

Corvel Corp. (a)(b)

      356           16,380   

Cross Country Healthcare, Inc. (a)(b)

      1,534           15,954   

Depomed, Inc. (a)

      1,739           20,955   

Dyax Corp. (a)

      1,025           9,912   

Emergent Biosolutions, Inc. (a)(b)

      219           5,418   

Exact Sciences Corp. (a)(b)

      498           6,698   

Exactech, Inc. (a)(b)

      489           11,394   

Exelixis, Inc. (a)(b)

      1,933           13,647   

Fluidigm Corp. (a)(b)

      2,231           104,522   

Furiex Pharmaceuticals, Inc. (a)(b)

      199           18,413   

Genomic Health, Inc. (a)(b)

      94           2,483   

Gentiva Health Services, Inc. (a)

      1,241           13,291   

Geron Corp. (a)(b)

      843           4,008   

Greatbatch, Inc. (a)

      2,031           88,003   

Halozyme Therapeutics, Inc. (a)(b)

      2,800           39,452   

Horizon Pharma, Inc. (a)(b)

      1,827           22,326   

Idenix Pharmaceuticals, Inc. (a)(b)

      710           4,842   

ImmunoGen, Inc. (a)(b)

      781           12,808   

Immunomedics, Inc. (a)(b)

      400           1,896   

Infinity Pharmaceuticals, Inc. (a)(b)

      334           5,237   

Insmed, Inc. (a)

      312           6,243   

Insys Therapeutics, Inc. (a)(b)

      476           32,025   

Intercept Pharmaceuticals, Inc. (a)(b)

      75           30,787   

InterMune, Inc. (a)(b)

      865           25,985   

Invacare Corp.

      858           17,006   

Ironwood Pharmaceuticals, Inc. (a)

      951           13,799   

Isis Pharmaceuticals, Inc. (a)(b)

      1,439           73,389   

Keryx Biopharmaceuticals, Inc. (a)(b)

      924           14,830   

Kindred Healthcare, Inc. (b)

      844           18,281   

KYTHERA Biopharmaceuticals, Inc. (a)(b)

      67           3,348   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Lannett Co., Inc. (a)

      1,194           51,211   

Lexicon Pharmaceuticals, Inc. (a)(b)

      1,262           2,259   

Ligand Pharmaceuticals, Inc. (Class B) (a)(b)

      138           9,625   

Merit Medical Systems, Inc. (a)

      1,171           17,670   

Merrimack Pharmaceuticals, Inc. (a)(b)

      327           1,628   

MiMedx Group, Inc. (a)

      708           5,062   

Momenta Pharmaceuticals, Inc. (a)

      453           6,704   

National Healthcare Corp. (b)

      312           16,068   

Natus Medical, Inc. (a)

      3,710           93,121   

Nektar Therapeutics (a)(b)

      1,335           17,128   

Neurocrine Biosciences, Inc. (a)(b)

      646           11,389   

NewLink Genetics Corp. (a)(b)

      112           4,950   

Novavax, Inc. (a)(b)

      1,774           11,354   

NPS Pharmaceuticals, Inc. (a)(b)

      2,024           70,800   

NuVasive, Inc. (a)

      2,844           104,517   

Omnicell, Inc. (a)

      3,421           98,456   

Opko Health, Inc. (a)(b)

      1,940           18,469   

Orexigen Therapeutics, Inc. (a)(b)

      888           6,163   

PDL BioPharma, Inc. (b)

      1,119           9,590   

PharMerica Corp. (a)

      906           21,835   

POZEN, Inc. (a)(b)

      1,592           12,672   

Puma Biotechnology, Inc. (a)

      455           52,898   

Raptor Pharmaceutical Corp. (a)(b)

      535           8,469   

Rigel Pharmaceuticals, Inc. (a)

      568           1,954   

Sangamo Biosciences, Inc. (a)(b)

      590           10,738   

Sarepta Therapeutics, Inc. (a)(b)

      261           7,577   

Select Medical Holdings Corp. (b)

      1,749           19,606   

Spectrum Pharmaceuticals, Inc. (a)(b)

      353           2,948   

Staar Surgical Co. (a)

      874           12,376   

Sucampo Pharmaceuticals, Inc. (Class A) (a)(b)

      1,627           14,643   

Symmetry Medical, Inc. (a)

      1,526           16,145   

Synageva BioPharma Corp. (a)(b)

      210           24,081   

Synta Pharmaceuticals Corp. (a)(b)

      142           878   

Triple-S Management Corp. (Class B) (a)

      814           13,634   

US Physical Therapy, Inc.

      255           8,461   

Vanda Pharmaceuticals, Inc. (a)(b)

      201           3,041   

XOMA Corp. (a)(b)

      445           3,720   

Zeltiq Aesthetics, Inc. (a)(b)

      1,439           27,327   

ZIOPHARM Oncology, Inc. (a)(b)

      279           1,189   

Zogenix, Inc. (a)(b)

      3,999           17,396   
       

 

 

  
          2,270,752   
       

 

 

  

Industrials - 15.7%

        

A.O. Smith Corp.

      1,212           60,236   

AAON, Inc. (b)

      2,320           69,322   

ABM Industries, Inc.

      2,893           81,669   
 

 

Dynamic Small Cap Fund     7   

Table of Contents

SSgA

Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Aceto Corp.

      4,906           89,731   

Aerovironment, Inc. (a)(b)

      559           17,463   

Aircastle, Ltd. (b)

      4,132           81,400   

Alamo Group, Inc.

      451           23,714   

Alaska Air Group, Inc. (b)

      1,233           106,827   

AMERCO, Inc.

      413           96,204   

American Railcar Industries, Inc. (b)

      351           24,307   

American Science & Engineering, Inc. (b)

      243           15,977   

ARC Document Solutions, Inc. (a)

      1,595           12,585   

Argan, Inc.

      961           27,475   

Arkansas Best Corp. (b)

      3,016           100,312   

Astronics Corp. (a)(b)

      312           20,873   

Barrett Business Services, Inc.

      572           40,040   

CBIZ, Inc. (a)(b)

      1,612           14,718   

CDI Corp. (b)

      736           13,447   

CIRCOR International, Inc. (b)

      1,146           82,008   

Courier Corp. (b)

      1,012           16,668   

Curtiss-Wright Corp.

      1,919           130,799   

Deluxe Corp. (b)

      1,926           97,224   

Dynamic Materials Corp. (b)

      619           12,850   

EnerNOC, Inc. (a)(b)

      646           14,012   

EnerSys (b)

      1,576           111,959   

Engility Holdings, Inc. (a)

      331           13,813   

EnPro Industries, Inc. (a)(b)

      1,391           99,637   

Freightcar America, Inc. (b)

      544           13,905   

Furmanite Corp. (a)(b)

      2,278           26,972   

Generac Holdings, Inc.

      2,313           131,772   

Great Lakes Dredge & Dock Corp. (a)(b)

      1,875           15,487   

Hawaiian Holdings, Inc. (a)(b)

      1,784           21,479   

Heartland Express, Inc. (b)

      4,172           85,025   

Huron Consulting Group, Inc. (a)

      1,445           95,616   

ICF International, Inc. (a)(b)

      2,067           83,548   

JetBlue Airways Corp. (a)(b)

      12,479           110,190   

John Bean Technologies Corp. (b)

      2,919           88,037   

Kadant, Inc.

      381           15,297   

Kforce, Inc. (b)

      851           18,645   

Kimball International, Inc. (Class B) (b)

      1,106           20,760   

Knight Transportation, Inc. (b)

      4,524           97,175   

Korn/Ferry International (a)

      3,691           93,714   

Marten Transport, Ltd.

      726           14,150   

Mistras Group, Inc. (a)(b)

      669           14,745   

Moog, Inc. (Class A) (a)

      1,587           98,283   

MYR Group, Inc. (a)(b)

      673           15,661   

National Presto Industries, Inc.

      190           14,638   

Navigant Consulting, Inc. (a)

      4,501           78,452   

NCI Building Systems, Inc. (a)

      858           14,637   

NN, Inc. (b)

      1,304           25,154   

Nortek, Inc. (a)

      748           54,148   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Park-Ohio Holdings Corp. (a)(b)

      1,835           96,594   

Patrick Industries, Inc. (a)(b)

      684           28,858   

Powell Industries, Inc. (b)

      314           21,393   

Power Solutions International, Inc. (a)(b)

      340           25,194   

Primoris Services Corp. (b)

      2,970           92,872   

R.R. Donnelley & Sons Co. (b)

      2,361           45,166   

RPX Corp. (a)(b)

      1,029           16,485   

SkyWest, Inc.

      5,553           70,523   

Spirit Airlines, Inc. (a)

      2,333           131,768   

Teledyne Technologies, Inc. (a)(b)

      1,086           106,406   

The Brink’s Co. (b)

      2,675           81,347   

Tutor Perini Corp. (a)

      3,351           82,602   

United Stationers, Inc. (b)

      48           2,046   

Universal Forest Products, Inc. (b)

      1,630           90,840   

Universal Truckload Services, Inc. (b)

      414           10,764   

US Ecology, Inc.

      518           18,612   

Viad Corp. (b)

      635           15,272   

VSE Corp.

      373           18,016   

WageWorks, Inc. (a)

      612           36,200   

West Corp. (b)

      1,011           25,396   

Xerium Technologies, Inc. (a)(b)

      847           13,340   

YRC Worldwide, Inc. (a)(b)

      697           18,261   
       

 

 

  
          3,770,715   
       

 

 

  

Information Technology - 15.0%

  

Advanced Energy Industries, Inc. (a)(b)

      3,512           96,369   

Advent Software, Inc. (b)

      2,388           73,312   

American Software, Inc. (Class A) (b)

      1,023           10,701   

Amkor Technology, Inc. (a)(b)

      2,562           15,167   

ARRIS Group, Inc. (a)(b)

      4,293           123,209   

Aspen Technology, Inc. (a)

      2,844           133,526   

ATMI, Inc. (a)

      2,807           95,466   

Bel Fuse, Inc. (Class B)

      565           10,735   

Benchmark Electronics, Inc. (a)

      3,121           74,405   

Black Box Corp.

      550           14,630   

Blackhawk Network Holdings, Inc. (a)(b)

      540           13,381   

Blucora, Inc. (a)(b)

      3,748           72,111   

CalAmp Corp. (a)(b)

      3,232           103,553   

Cardtronics, Inc. (a)(b)

      782           31,687   

ChannelAdvisor Corp. (a)(b)

      347           15,747   

Constant Contact, Inc. (a)

      3,488           96,164   

Cray, Inc. (a)(b)

      3,219           111,667   

CTS Corp. (b)

      980           20,012   

Daktronics, Inc.

      1,115           15,800   

Electro Rent Corp. (b)

      437           7,940   

Electronics for Imaging, Inc. (a)

      2,589           115,469   

Emulex Corp. (a)(b)

      10,443           76,025   
 

 

8   Dynamic Small Cap Fund

Table of Contents

SSgA

Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

ePlus, Inc. (a)

      395           22,464   

Fabrinet (a)(b)

      852           16,546   

Global Cash Access Holdings, Inc. (a)(b)

      8,175           68,670   

Glu Mobile, Inc. (a)(b)

      3,184           16,015   

GSI Group, Inc. (a)

      1,313           16,478   

iGate Corp. (a)(b)

      2,465           83,440   

Intersil Corp. (Class A) (b)

      8,179           104,037   

IntraLinks Holdings, Inc. (a)

      2,257           26,204   

Lattice Semiconductor Corp. (a)(b)

      3,336           25,253   

Lionbridge Technologies, Inc. (a)

      2,441           17,478   

M/A-COM Technology Solutions Holdings, Inc. (a)

      545           9,243   

Manhattan Associates, Inc. (a)(b)

      3,632           137,616   

Marchex, Inc. (Class B) (b)

      1,017           12,041   

Methode Electronics, Inc.

      3,035           102,886   

MicroStrategy, Inc. (Class A) (a)

      770           99,430   

ModusLink Global Solutions, Inc. (a)(b)

      2,314           10,575   

Monster Worldwide, Inc. (a)

      12,148           96,820   

NETGEAR, Inc. (a)(b)

      2,094           71,573   

Netscout Systems, Inc. (a)

      2,800           106,344   

PC Connection, Inc.

      922           18,670   

PDF Solutions, Inc. (a)

      429           8,747   

Perficient, Inc. (a)

      4,338           88,539   

Photronics, Inc. (a)(b)

      1,198           10,423   

PRGX Global, Inc. (a)(b)

      1,751           10,576   

QAD, Inc. (Class A)

      420           7,934   

QLogic Corp. (a)

      7,165           81,824   

Qualys, Inc. (a)(b)

      602           16,320   

Rogers Corp. (a)

      1,327           85,857   

ScanSource, Inc. (a)(c)

      2,133           83,742   

ShoreTel, Inc. (a)(b)

      3,076           27,038   

Shutterstock, Inc. (a)(b)

      233           23,156   

Spansion, Inc. (Class A) (a)(b)

      5,831           95,104   

Stamps.com, Inc. (a)

      1,699           59,771   

SunEdison, Inc. (a)(b)

      4,667           85,686   

Super Micro Computer, Inc. (a)

      995           20,089   

Sykes Enterprises, Inc. (a)(b)

      954           18,775   

SYNNEX Corp. (a)(b)

      1,441           85,711   

TeleTech Holdings, Inc. (a)

      617           14,857   

Tessco Technologies, Inc. (b)

      317           12,071   

The Hackett Group, Inc. (b)

      1,063           6,261   

Ubiquiti Networks, Inc. (a)(b)

      1,616           79,847   

Ultra Clean Holdings (a)

      1,300           17,108   

United Online, Inc. (b)

      4,447           49,851   

Verint Systems, Inc. (a)

      2,419           113,233   

WebMD Health Corp. (a)(b)

      2,111           93,749   

XO Group, Inc. (a)

      1,368           16,334   
       

 

 

  
          3,601,462   
       

 

 

  
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Materials - 5.6%

  

A. Schulman, Inc. (b)

      2,419           84,060   

AK Steel Holding Corp. (a)(b)

      14,113           87,642   

Arabian American Development Co. (a)(b)

      961           11,763   

Chase Corp. (b)

      587           17,698   

Clearwater Paper Corp. (a)

      1,539           98,265   

Ferro Corp. (a)

      7,947           104,265   

FutureFuel Corp. (b)

      1,225           21,254   

Globe Specialty Metals, Inc. (b)

      1,464           29,090   

Graphic Packaging Holding Co. (a)

      6,875           70,400   

Hawkins, Inc. (b)

      400           14,252   

Headwaters, Inc. (a)

      2,658           35,431   

KapStone Paper and Packaging Corp. (a)(b)

      4,326           137,523   

Kraton Performance Polymers, Inc. (a)

      3,569           99,004   

Neenah Paper, Inc.

      1,564           78,528   

Olin Corp. (b)

      3,883           101,696   

P.H. Glatfelter Co.

      2,481           75,298   

Quaker Chemical Corp. (b)

      1,000           77,280   

Resolute Forest Products (a)

      4,366           89,459   

UFP Technologies, Inc. (a)

      457           11,695   

Worthington Industries, Inc.

      2,294           91,439   

Zep, Inc. (b)

      817           14,379   
       

 

 

  
          1,350,421   
       

 

 

  

Telecommunication Services - 0.6%

  

Atlantic Tele-Network, Inc. (b)

      246           16,123   

Cbeyond, Inc. (a)(b)

      1,963           13,446   

Hawaiian Telcom Holdco, Inc. (a)(b)

      471           13,565   

Inteliquent, Inc. (b)

      2,124           29,651   

NTELOS Holdings Corp. (b)

      914           12,778   

Premiere Global Services, Inc. (a)(b)

      1,461           16,524   

USA Mobility, Inc.

      845           12,210   

Vonage Holdings Corp. (a)(b)

      5,049           23,276   
       

 

 

  
          137,573   
       

 

 

  

Utilities - 3.1%

        

Avista Corp. (b)

      3,302           97,739   

Black Hills Corp. (b)

      1,903           107,919   

California Water Service Group

      4,300           101,093   

Connecticut Water Service, Inc. (b)

      426           13,990   

Empire District Electric Co.

      2,969           70,484   

New Jersey Resources Corp. (b)

      2,169           97,627   

Otter Tail Corp. (b)

      2,056           62,132   

PNM Resources, Inc.

      3,982           104,129   

SJW Corp. (b)

      542           16,038   

Southwest Gas Corp. (b)

      940           50,779   
 

 

Dynamic Small Cap Fund     9   

Table of Contents

SSgA

Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Unitil Corp. (b)

      512           16,118   
       

 

 

  
          738,048   
       

 

 

  
Total Common Stocks
(cost $20,006,114)		            23,567,725   
       

 

 

  
Short-Term Investments - 27.1%        

SSgA Prime Money Market Fund 0.18% (e)(f)

      331,287           331,287   

State Street Navigator Securities Lending Prime Portfolio (e)(g)

      6,168,939           6,168,939   
       

 

 

  
Total Short-Term Investments
(cost $6,500,226) 		           6,500,226   
       

 

 

  
Total Investments - 125.3%
(identified cost $26,506,340)		            30,067,951   
Other Assets and Liabilities,
Net - (25.3%)		            (6,067,240 ) 
       

 

 

  
Net Assets - 100.0%           24,000,711   
       

 

 

  

Footnotes:

(a) Non-income producing security.
(b) All or a portion of the shares of this security are on loan.
(c) All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold) by the Fund.
(d) Real Estate Investment Trust (REIT).
(e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 4).
(f) The rate shown is the annualized seven-day yield at period end.
(g) Investments of cash collateral for securities loaned.

 

 
Futures Contracts    Number of
Contracts		      Notional
Amount
      Expiration
Date		      Unrealized
Appreciation
(Depreciation)
$		  

Long Positions

               

Russell 2000 Mini Index Futures

      1       USD      118,190         03/14         398   
              

 

 

  

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

                  398   
              

 

 

  

During the six months ended February 28, 2014, average notional value related to futures contracts was $620,000 or 2.6% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

10   Dynamic Small Cap Fund

Table of Contents

SSgA

Dynamic Small Cap Fund

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

     Market Value*        % of
Net
Assets		  
Categories    Level 1        Level 2        Level 3        Total       

Common Stocks

                       

Consumer Discretionary

    $ 2,784,660         $ —         $ —         $ 2,784,660           11.6   

Consumer Staples

      976,808           —           —           976,808           4.1   

Energy

      1,328,316           —           —           1,328,316           5.5   

Financials

      6,608,970           —           —           6,608,970           27.5   

Health Care

      2,270,752           —           —           2,270,752           9.5   

Industrials

      3,770,715           —           —           3,770,715           15.7   

Information Technology

      3,601,462           —           —           3,601,462           15.0   

Materials

      1,350,421           —           —           1,350,421           5.6   

Telecommunication Services

      137,573           —           —           137,573           0.6   

Utilities

      738,048           —           —           738,048           3.1   

Short-Term Investments

      331,287           6,168,939           —           6,500,226           27.1   
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Investments

      23,899,012           6,168,939           —           30,067,951           125.3   
  

 

 

       

 

 

       

 

 

       

 

 

       

Other Assets and Liabilities, Net

                          (25.3 ) 
                      

 

 

  
                         100.0   
                      

 

 

  

Other Financial Instruments**

                       

Futures Contracts

    $ 398         $ —         $ —         $ 398           0.0 *** 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

*   For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2014.
**   Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.
***   Less than 0.05% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

Dynamic Small Cap Fund     11   

Table of Contents

SSgA

Clarion Real Estate Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

February 28, 2014

    $ 1,123.60       $ 1,019.84   

Expenses Paid During Period*

    $ 5.27       $ 5.01   

 

* Expenses are equal to the Fund’s annualized expense ratio of 1.00% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

12   Clarion Real Estate Fund

Table of Contents

SSgA

Clarion Real Estate Fund

Schedule of Investments —
February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Common Stocks - 99.5%        

Diversified REITs - 7.2%

        

Cousins Properties, Inc.

      36,500           421,575   

Liberty Property Trust

      20,500           784,330   

Vornado Realty Trust

      19,088           1,837,983   
       

 

 

  
          3,043,888   
       

 

 

  

Hotels, Resorts & Cruise Lines - 1.6%

  

Extended Stay America, Inc. (a)

      6,400           163,072   

Hilton Worldwide Holdings, Inc. (a)(b)

      13,200           295,152   

Starwood Hotels & Resorts Worldwide, Inc.

      2,600           214,396   
       

 

 

  
          672,620   
       

 

 

  

Industrial REITs - 6.5%

  

DCT Industrial Trust, Inc.

      71,300           564,696   

ProLogis

      52,624           2,167,582   
       

 

 

  
          2,732,278   
       

 

 

  

Office REITs - 17.0%

  

BioMed Realty Trust, Inc.

      28,500           589,380   

Boston Properties, Inc.

      14,455           1,625,176   

Brandywine Realty Trust (b)

      23,300           341,345   

Digital Realty Trust, Inc. (b)

      5,522           299,072   

Douglas Emmett, Inc. (b)

      23,923           644,246   

Duke Realty Corp.

      53,008           890,534   

Highwoods Properties, Inc. (b)

      14,600           550,566   

Kilroy Realty Corp. (b)

      15,400           885,808   

SL Green Realty Corp. (b)

      13,908           1,381,482   
       

 

 

  
          7,207,609   
       

 

 

  

Residential REITs - 18.7%

  

American Residential Properties, Inc. (a)(b)

      6,900           125,580   

AvalonBay Communities, Inc.

      13,098           1,689,249   

BRE Properties, Inc.

      14,300           883,311   

Equity Residential (b)

      40,739           2,382,010   

Essex Property Trust, Inc. (b)

      4,321           722,687   

Post Properties, Inc.

      12,100           587,213   

Sun Communities, Inc. (b)

      7,400           340,844   

UDR, Inc. (b)

      45,662           1,178,536   
       

 

 

  
          7,909,430   
       

 

 

  

Retail REITs - 25.7%

  

Brixmor Property Group, Inc.

      9,900           218,592   

DDR Corp. (b)

      45,700           759,534   

Federal Realty Investment Trust

      2,973           330,925   

General Growth Properties, Inc.

      65,600           1,444,512   

Kimco Realty Corp. (b)

      42,329           942,244   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Ramco-Gershenson Properties Trust

      15,200           253,840   

Regency Centers Corp. (b)

      10,000           507,700   

Simon Property Group, Inc.

      28,845           4,652,410   

Tanger Factory Outlet Centers, Inc. (b)

      3,710           127,290   

Taubman Centers, Inc.

      9,449           665,682   

The Macerich Co.

      15,880           954,864   
       

 

 

  
          10,857,593   
       

 

 

  

Specialized REITs - 22.8%

  

CubeSmart (b)

      14,500           253,895   

HCP, Inc.

      22,506           872,558   

Health Care REIT, Inc.

      29,095           1,709,040   

Healthcare Realty Trust, Inc.

      23,126           554,330   

Healthcare Trust of America, Inc. (Class A) (b)

      15,400           172,942   

Host Hotels & Resorts, Inc.

      100,752           1,981,792   

Pebblebrook Hotel Trust (b)

      9,100           302,484   

Public Storage (b)

      9,341           1,578,629   

Senior Housing Properties Trust (b)

      19,600           437,080   

Strategic Hotels & Resorts, Inc. (a)(b)

      30,400           303,696   

Sunstone Hotel Investors, Inc.

      31,100           420,472   

Ventas, Inc.

      13,634           851,171   

Weyerhaeuser Co.

      7,000           206,570   
       

 

 

  
          9,644,659   
       

 

 

  
Total Common Stocks
(cost $26,315,216)		            42,068,077   
       

 

 

  
Short-Term Investments - 14.8%   

SSgA Prime Money Market Fund 0.18% (c)(d)

      290,078           290,078   

State Street Navigator Securities Lending Prime Portfolio (c)(e)

      5,974,866           5,974,866   
       

 

 

  
Total Short-Term Investments
(cost $6,264,944)		            6,264,944   
       

 

 

  
Total Investments - 114.3%
(identified cost $32,580,160)		            48,333,021   
Other Assets and Liabilities,
Net - (14.3%)		            (6,062,082 ) 
       

 

 

  
Net Assets - 100.0%           42,270,939   
       

 

 

  
 

 

Clarion Real Estate Fund     13   

Table of Contents

SSgA

Clarion Real Estate Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

Footnotes:

(a) Non-income producing security
(b) All or a portion of the shares of this security are on loan
(c) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 4).
(d) The rate shown is the annualized seven-day yield at period end
(e) Investments of cash collateral for securities loaned
REIT = Real Estate Investment Trust

 

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

     Market Value*        % of
Net
Assets		  
Categories    Level 1        Level 2        Level 3        Total       

Common Stocks

                       

Diversified REITs

    $ 3,043,888         $ —         $ —         $ 3,043,888           7.2   

Hotels, Resorts & Cruise Lines

      672,620           —           —           672,620           1.6   

Industrial REITs

      2,732,278           —           —           2,732,278           6.5   

Office REITs

      7,207,609           —           —           7,207,609           17.0   

Residential REITs

      7,909,430           —           —           7,909,430           18.7   

Retail REITs

      10,857,593           —           —           10,857,593           25.7   

Specialized REITs

      9,644,659           —           —           9,644,659           22.8   

Short-Term Investments

      290,078           5,974,866           —           6,264,944           14.8   
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Investments

    $ 42,358,155         $ 5,974,866         $ —         $ 48,333,021           114.3   
  

 

 

       

 

 

       

 

 

       

 

 

       

Other Assets and Liabilities, Net

                          (14.3 ) 
                      

 

 

  
                         100.0   
                      

 

 

  

 

* For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2014.

 

See accompanying notes which are an integral part of the financial statements.

 

14   Clarion Real Estate Fund

Table of Contents

SSgA

IAM SHARES Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

February 28, 2014

    $ 1,148.00       $ 1,022.92   

Expenses Paid During Period*

    $ 2.02       $ 1.91   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.38% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

IAM SHARES Fund     15   

Table of Contents

SSgA

IAM SHARES Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Common Stocks - 99.1%   

Consumer Discretionary - 13.1%

  

Amazon.com, Inc. (a)

      4,600           1,665,660   

AutoNation, Inc. (a)(b)

      7,300           384,272   

AutoZone, Inc. (a)

      100           53,844   

Bed Bath & Beyond, Inc. (a)(b)

      3,200           217,024   

Best Buy Co., Inc.

      3,925           104,523   

BorgWarner, Inc. (b)

      5,200           319,540   

Brunswick Corp.

      3,500           156,765   

Cablevision Systems Corp. (Class A) (b)

      3,200           56,320   

Carnival Corp. (b)

      4,300           170,538   

CBS Corp. (Class B) (b)

      8,701           583,663   

Chipotle Mexican Grill, Inc. (a)

      100           56,521   

Coach, Inc. (b)

      11,376           555,263   

Comcast Corp. (Class A)

      42,966           2,220,913   

D.R. Horton, Inc. (b)

      3,900           95,784   

Denny’s Corp. (a)(b)

      16,283           110,724   

DIRECTV (a)

      9,211           714,774   

Ethan Allen Interiors, Inc. (b)

      4,666           117,257   

Family Dollar Stores, Inc.

      2,400           157,200   

Ford Motor Co.

      59,143           910,211   

Gannett Co., Inc. (b)

      6,000           178,500   

General Motors Co. (a)

      18,100           655,220   

Genuine Parts Co.

      2,800           246,652   

Graham Holdings Co. (Class B)

      321           230,703   

H&R Block, Inc.

      3,700           117,068   

Hanesbrands, Inc.

      3,100           227,168   

Harley-Davidson, Inc.

      7,200           475,632   

J.C. Penney Co., Inc. (a)(b)

      2,500           18,200   

JAKKS Pacific, Inc. (b)

      9,253           66,251   

Johnson Controls, Inc.

      10,700           528,580   

Kohl’s Corp. (b)

      4,100           230,379   

Leggett & Platt, Inc. (b)

      7,900           253,195   

Liberty Interactive Corp. (Class A) (a)

      9,402           274,538   

Lowe’s Cos., Inc.

      16,600           830,498   

Macy’s, Inc.

      6,768           391,596   

Marriott International, Inc. (Class A) (b)

      9,400           509,762   

Matthews International Corp. (Class A) (b)

      3,793           155,627   

McDonald’s Corp.

      14,730           1,401,559   

Meredith Corp.

      4,900           229,320   

Netflix, Inc. (a)

      500           222,815   

Newell Rubbermaid, Inc. (b)

      10,100           324,311   

News Corp. (Class A) (a)

      6,450           118,228   

NIKE, Inc. (Class B)

      5,000           391,500   

Nordstrom, Inc. (b)

      2,600           159,848   

O’Reilly Automotive, Inc. (a)

      900           135,765   

Omnicom Group, Inc.

      3,200           242,176   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Penske Automotive Group, Inc.

      1,881           81,428   

priceline.com, Inc. (a)

      600           809,304   

Ross Stores, Inc.

      400           29,120   

Sears Holdings Corp. (a)(b)

      4,339           194,170   

Sonic Automotive, Inc. (b)

      5,151           122,388   

Staples, Inc. (b)

      8,400           114,156   

Starbucks Corp.

      8,800           624,448   

Starwood Hotels & Resorts Worldwide, Inc.

      5,100           420,546   

Target Corp.

      10,900           681,686   

The Gap, Inc.

      5,400           236,250   

The Goodyear Tire & Rubber Co.

      4,300           115,541   

The Home Depot, Inc.

      22,400           1,837,472   

The McClatchy Co. (Class A) (a)(b)

      15,070           80,022   

The New York Times Co. (Class A) (b)

      7,200           118,224   

The Walt Disney Co.

      29,400           2,375,814   

Tiffany & Co.

      6,000           559,500   

Time Warner Cable, Inc.

      3,963           556,207   

Time Warner, Inc.

      13,983           938,679   

TJX Cos., Inc.

      3,500           215,110   

TripAdvisor, Inc. (a)(b)

      600           60,144   

Twenty-First Century Fox, Inc.

      25,800           865,332   

Viacom, Inc. (Class B)

      7,901           693,155   

Whirlpool Corp.

      3,000           433,890   

Wyndham Worldwide Corp.

      2,360           171,997   

Yum! Brands, Inc.

      5,200           385,216   
       

 

 

  
          29,985,686   
       

 

 

  

Consumer Staples - 9.5%

  

Altria Group, Inc.

      39,685           1,438,978   

Archer-Daniels-Midland Co.

      13,898           564,259   

Avon Products, Inc. (b)

      1,400           21,658   

Campbell Soup Co. (b)

      8,490           367,702   

Church & Dwight Co., Inc. (b)

      3,200           217,536   

Colgate-Palmolive Co.

      7,400           464,942   

ConAgra Foods, Inc.

      9,900           281,160   

Constellation Brands, Inc. (Class A) (a)

      300           24,309   

Costco Wholesale Corp.

      5,900           689,120   

CVS Caremark Corp.

      16,919           1,237,456   

Energizer Holdings, Inc.

      574           55,873   

General Mills, Inc.

      2,200           110,066   

Katy Industries, Inc. (a)(b)

      5,900           8,732   

Kellogg Co. (b)

      8,635           524,058   

Kimberly-Clark Corp.

      8,188           903,546   

Kraft Foods Group, Inc.

      8,436           466,258   

Lorillard, Inc. (b)

      5,000           245,300   

Mead Johnson Nutrition Co.

      2,522           205,669   

Mondelez International, Inc. (Class A)

      24,709           840,847   
 

 

16   IAM SHARES Fund

Table of Contents

SSgA

IAM SHARES Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Monster Beverage Corp. (a)

      1,100           81,400   

PepsiCo, Inc.

      25,538           2,044,828   

Philip Morris International, Inc.

      24,285           1,964,899   

Rite Aid Corp. (a)

      25,600           168,704   

Safeway, Inc.

      11,100           415,695   

SUPERVALU, Inc. (a)(b)

      7,382           47,761   

Sysco Corp.

      17,500           630,350   

The Coca-Cola Co.

      63,350           2,419,970   

The Estee Lauder Cos., Inc. (Class A)

      200           13,768   

The J.M. Smucker Co.

      4,007           400,740   

The Kroger Co.

      15,300           641,682   

The Procter & Gamble Co.

      41,621           3,273,908   

TreeHouse Foods, Inc. (a)

      1,600           114,016   

Tyson Foods, Inc. (Class A) (b)

      300           11,835   

Walgreen Co.

      12,900           876,555   

Whole Foods Market, Inc.

      1,800           97,290   
       

 

 

  
          21,870,870   
       

 

 

  

Energy - 10.4%

        

Anadarko Petroleum Corp.

      6,400           538,624   

Apache Corp.

      4,900           388,521   

Baker Hughes, Inc.

      7,900           499,912   

BP PLC ADR

      3,236           163,774   

Cabot Oil & Gas Corp.

      4,000           140,000   

Cameron International Corp. (a)

      4,700           301,082   

Chesapeake Energy Corp. (b)

      8,300           215,053   

Chevron Corp.

      29,829           3,440,179   

ConocoPhillips

      23,777           1,581,170   

CONSOL Energy, Inc. (b)

      1,100           44,110   

Devon Energy Corp.

      6,100           392,962   

EOG Resources, Inc.

      3,200           606,144   

Exxon Mobil Corp.

      74,780           7,199,071   

Halliburton Co.

      18,160           1,035,120   

Hess Corp.

      6,700           536,201   

Kinder Morgan, Inc.

      4,957           157,880   

Marathon Oil Corp.

      8,200           274,700   

Marathon Petroleum Corp.

      4,100           344,400   

National Oilwell Varco, Inc.

      4,400           338,976   

Newfield Exploration Co. (a)

      1,800           50,742   

Noble Energy, Inc.

      400           27,504   

Occidental Petroleum Corp.

      10,800           1,042,416   

Peabody Energy Corp. (b)

      700           12,292   

Phillips 66

      9,388           702,786   

Pioneer Natural Resources Co.

      1,100           221,298   

Range Resources Corp.

      1,600           137,680   

Schlumberger, Ltd.

      21,882           2,035,026   

Southwestern Energy Co. (a)

      4,700           194,298   

Spectra Energy Corp.

      8,398           313,077   

The Williams Cos., Inc.

      7,800           322,140   

Transocean, Ltd. (b)

      5,000           212,000   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Valero Energy Corp.

      7,200           345,456   

WPX Energy, Inc. (a)(b)

      2,800           49,336   
       

 

 

  
          23,863,930   
       

 

 

  

Financials - 14.6%

        

Aegon NV

      15,347           137,356   

Aflac, Inc.

      6,500           416,520   

American Express Co.

      15,200           1,387,456   

American Financial Group, Inc.

      16,242           928,393   

American International Group, Inc.

      19,803           985,595   

American Tower Corp. (c)

      4,900           399,203   

Ameriprise Financial, Inc.

      2,840           309,531   

Aon PLC

      4,700           402,320   

AvalonBay Communities, Inc. (c)

      600           77,382   

Bank of America Corp.

      128,532           2,124,634   

BB&T Corp.

      7,500           283,500   

Berkshire Hathaway, Inc. (Class B) (a)

      25,000           2,894,500   

BlackRock, Inc.

      800           243,872   

Capital One Financial Corp.

      6,661           489,117   

Citigroup, Inc.

      41,010           1,994,316   

CME Group, Inc. (d)

      4,800           354,336   

Comerica, Inc. (b)

      200           9,636   

Discover Financial Services

      6,550           375,839   

E*TRADE Financial Corp. (a)

      1,170           26,290   

Equity Residential (c)

      2,100           122,787   

Fifth Third Bancorp

      6,400           138,848   

Franklin Resources, Inc.

      5,400           287,550   

Genworth Financial, Inc. (Class A) (a)

      1,400           21,756   

Hartford Financial Services Group, Inc.

      3,200           112,608   

HCP, Inc. (c)

      1,400           54,278   

Health Care REIT, Inc. (c)

      1,700           99,858   

Host Hotels & Resorts, Inc. (c)

      36,517           718,289   

HSBC Holdings PLC ADR

      10,197           538,300   

Hudson City Bancorp, Inc.

      7,600           72,200   

IntercontinentalExchange Group, Inc.

      1,202           251,026   

Janus Capital Group, Inc. (b)

      33,047           369,796   

JPMorgan Chase & Co.

      48,234           2,740,656   

KeyCorp

      6,500           85,605   

M&T Bank Corp. (b)

      1,600           186,544   

Marsh & McLennan Cos., Inc.

      7,500           361,200   

MetLife, Inc.

      11,099           562,386   

Moody’s Corp.

      3,000           237,000   

Morgan Stanley

      17,500           539,000   

Northern Trust Corp. (b)

      3,400           210,290   

People’s United Financial, Inc. (b)

      5,700           80,769   

Plum Creek Timber Co., Inc. (b)(c)

      2,000           86,580   
 

 

IAM SHARES Fund     17   

Table of Contents

SSgA

IAM SHARES Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

PNC Financial Services Group, Inc.

      5,450           445,701   

Potlatch Corp. (c)

      7,700           305,228   

Principal Financial Group, Inc.

      2,600           117,910   

ProLogis, Inc. (c)

      5,828           240,055   

Prudential Financial, Inc.

      6,400           541,312   

Public Storage (c)

      1,700           287,300   

Regions Financial Corp.

      9,142           97,271   

Simon Property Group, Inc. (c)

      3,271           527,579   

SLM Corp.

      6,300           150,822   

SunTrust Banks, Inc.

      3,500           131,880   

T. Rowe Price Group, Inc.

      1,000           81,170   

The Allstate Corp.

      7,100           385,246   

The Bank of New York Mellon Corp.

      14,798           473,536   

The Charles Schwab Corp.

      13,300           352,583   

The Chubb Corp.

      2,800           244,944   

The Goldman Sachs Group, Inc.

      6,300           1,048,635   

The Progressive Corp.

      8,100           198,369   

The Travelers Cos., Inc.

      14,483           1,214,255   

U.S. Bancorp

      22,812           938,486   

Ventas, Inc. (c)

      3,633           226,808   

Vornado Realty Trust (c)

      2,144           206,446   

Wells Fargo & Co.

      64,235           2,981,789   

Weyerhaeuser Co. (c)

      18,090           533,836   
       

 

 

  
          33,448,283   
       

 

 

  

Health Care - 12.5%

        

Abbott Laboratories

      20,100           799,578   

AbbVie, Inc.

      20,100           1,023,291   

Actavis PLC (a)

      700           154,574   

Aetna, Inc.

      6,515           473,706   

Agilent Technologies, Inc.

      4,142           235,804   

Alexion Pharmaceuticals, Inc. (a)

      2,000           353,600   

Allergan, Inc.

      3,900           495,300   

Allied Healthcare Products (a)

      3,644           7,834   

AmerisourceBergen Corp.

      1,200           81,420   

Amgen, Inc.

      7,961           987,323   

Baxter International, Inc.

      11,936           829,552   

Biogen Idec, Inc. (a)

      3,600           1,226,448   

Boston Scientific Corp. (a)

      17,863           234,005   

Bristol-Myers Squibb Co.

      20,688           1,112,394   

Cardinal Health, Inc.

      4,000           286,120   

CareFusion Corp. (a)

      2,000           81,060   

Celgene Corp. (a)

      6,100           980,575   

Cerner Corp. (a)

      3,900           239,343   

Cigna Corp.

      3,800           302,442   

Edwards Lifesciences Corp. (a)(b)

      4,466           311,548   

Eli Lilly & Co.

      12,700           757,047   

Express Scripts Holding Co. (a)

      12,485           940,245   

Forest Laboratories, Inc. (a)

      3,800           370,766   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Gilead Sciences, Inc. (a)

      21,800           1,804,822   

Hospira, Inc. (a)

      900           38,952   

Humana, Inc.

      2,000           224,920   

Intuitive Surgical, Inc. (a)

      200           88,966   

Johnson & Johnson

      36,000           3,316,320   

McKesson Corp.

      3,600           637,380   

Medtronic, Inc.

      14,300           847,418   

Merck & Co., Inc.

      46,115           2,628,094   

PerkinElmer, Inc. (b)

      4,700           213,004   

Perrigo Co. PLC (b)

      600           98,664   

Pfizer, Inc.

      94,054           3,020,074   

St. Jude Medical, Inc.

      4,300           289,476   

STERIS Corp. (b)

      4,971           229,412   

Stryker Corp.

      4,100           328,984   

Thermo Fisher Scientific, Inc.

      5,800           722,332   

UnitedHealth Group, Inc.

      14,700           1,135,869   

WellPoint, Inc.

      5,800           525,422   

Zimmer Holdings, Inc.

      2,570           241,169   

Zoetis, Inc.

      2,295           71,191   
       

 

 

  
          28,746,444   
       

 

 

  

Industrials - 13.3%

        

3M Co.

      11,300           1,522,449   

Actuant Corp. (Class A) (b)

      5,600           196,336   

Alaska Air Group, Inc.

      1,600           138,624   

American Airlines Group, Inc. (a)(b)

      5,000           184,650   

AMETEK, Inc.

      7,200           383,328   

Arkansas Best Corp. (b)

      1,600           53,216   

Avis Budget Group, Inc. (a)(b)

      1,800           84,582   

AZZ, Inc. (b)

      1,600           70,992   

Caterpillar, Inc. (b)

      10,421           1,010,524   

CSX Corp.

      24,900           689,979   

Cummins, Inc.

      4,200           612,864   

Danaher Corp.

      11,600           887,284   

Deere & Co.

      7,900           678,847   

Dover Corp.

      5,300           499,790   

Eaton Corp. PLC

      8,142           608,289   

Emerson Electric Co.

      12,600           822,276   

FedEx Corp.

      3,100           413,323   

General Dynamics Corp.

      5,710           625,473   

General Electric Co.

      146,821           3,739,531   

Hexcel Corp. (a)

      2,600           117,000   

HNI Corp. (b)

      900           31,995   

Honeywell International, Inc.

      11,462           1,082,471   

Illinois Tool Works, Inc.

      9,308           767,910   

Ingersoll-Rand PLC

      3,900           238,446   

Jacobs Engineering Group, Inc. (a)

      2,800           169,820   

Kansas City Southern (b)

      2,550           239,496   

Koninklijke Philips NV

      1,264           44,050   
 

 

18   IAM SHARES Fund

Table of Contents

SSgA

IAM SHARES Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

L-3 Communications Holdings, Inc. (b)

      2,500           288,500   

Lockheed Martin Corp.

      4,819           782,124   

Manpower, Inc.

      2,100           164,136   

Masco Corp.

      14,300           333,905   

Norfolk Southern Corp.

      7,200           661,752   

Northrop Grumman Corp.

      4,796           580,460   

PACCAR, Inc. (b)

      7,875           518,490   

Parker Hannifin Corp.

      3,000           361,650   

Pentair, Ltd.

      2,900           234,349   

Precision Castparts Corp.

      2,800           722,064   

R.R. Donnelley & Sons Co. (b)

      5,700           109,041   

Raytheon Co.

      5,800           567,878   

Republic Services, Inc.

      4,080           139,169   

Rockwell Automation, Inc. (b)

      4,600           565,064   

Rockwell Collins, Inc.

      1,800           148,572   

Ryder System, Inc.

      4,800           361,536   

Siemens AG ADR

      200           26,626   

Snap-on, Inc.

      1,600           179,472   

Southwest Airlines Co.

      12,825           287,793   

Stanley Black & Decker, Inc.

      3,215           266,974   

Tecumseh Products Co. (Class A) (a)(b)

      1,600           12,640   

Terex Corp.

      1,800           80,154   

Textron, Inc. (b)

      5,600           222,320   

The Boeing Co.

      10,400           1,340,768   

The Manitowoc Co., Inc. (b)

      2,300           71,162   

The Toro Co.

      4,600           304,658   

Tyco International, Ltd.

      6,700           282,606   

Union Pacific Corp.

      8,500           1,533,230   

United Continental Holdings, Inc. (a)

      734           33,001   

United Parcel Service, Inc. (Class B)

      15,714           1,504,930   

United Technologies Corp.

      13,500           1,579,770   

Valmont Industries, Inc. (b)

      300           43,689   

Waste Management, Inc.

      10,218           424,047   

Watts Water Technologies, Inc. (Class A) (b)

      400           24,648   
       

 

 

  
          30,670,723   
       

 

 

  

Information Technology - 17.2%

  

     

Accenture PLC (Class A)

      8,600           716,810   

Adobe Systems, Inc. (a)

      6,800           466,548   

Akamai Technologies, Inc. (a)

      400           24,452   

Amphenol Corp. (Class A)

      5,200           457,704   

Analog Devices, Inc.

      5,000           254,100   

Apple, Inc.

      12,300           6,472,752   

Applied Materials, Inc.

      17,300           328,008   

Autodesk, Inc. (a)

      3,000           157,380   

Automatic Data Processing, Inc.

      6,300           490,014   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Broadcom Corp. (Class A)

      5,850           173,862   

CA, Inc.

      4,400           147,400   

Cisco Systems, Inc.

      70,500           1,536,900   

Cognizant Technology Solutions Corp. (Class A) (a)

      700           72,842   

Computer Sciences Corp.

      6,045           382,044   

Corning, Inc.

      20,200           389,254   

Diebold, Inc. (b)

      5,866           219,330   

eBay, Inc. (a)

      14,700           863,919   

Electronic Arts, Inc. (a)

      4,700           134,373   

EMC Corp.

      27,100           714,627   

Energy Conversion Devices, Inc. (a)(e)

      36,400           —   

F5 Networks, Inc. (a)

      1,100           123,574   

Facebook, Inc. (Class A) (a)

      20,000           1,369,200   

Google, Inc. (Class A) (a)(d)

      3,600           4,376,340   

Hewlett-Packard Co.

      28,532           852,536   

Intel Corp.

      66,700           1,651,492   

International Business Machines Corp. (b)

      16,700           3,092,339   

Juniper Networks, Inc. (a)

      3,800           101,612   

KLA-Tencor Corp.

      2,100           136,815   

Mastercard, Inc. (Class A)

      13,000           1,010,360   

Micron Technology, Inc. (a)

      13,500           326,565   

Microsoft Corp.

      95,800           3,670,098   

Motorola Solutions, Inc.

      4,128           273,274   

NetApp, Inc.

      4,500           181,845   

NVIDIA Corp. (b)

      1,900           34,922   

Oracle Corp.

      51,349           2,008,259   

Paychex, Inc.

      4,300           179,568   

QUALCOMM, Inc.

      20,700           1,558,503   

Quantum Corp. (a)(b)

      44,625           52,211   

Red Hat, Inc. (a)

      400           23,596   

Salesforce.com, Inc. (a)

      4,800           299,376   

SanDisk Corp.

      100           7,430   

Seagate Technology PLC

      7,000           365,330   

Symantec Corp.

      11,945           256,579   

Teradata Corp. (a)(b)

      200           9,184   

Texas Instruments, Inc.

      16,700           750,832   

The Western Union Co. (b)

      7,736           129,423   

Total System Services, Inc.

      2,032           61,895   

VeriSign, Inc. (a)(b)

      300           16,533   

Visa, Inc. (Class A)

      4,600           1,039,324   

Western Digital Corp.

      600           52,194   

Xerox Corp.

      49,500           544,005   

Xilinx, Inc. (b)

      4,800           250,560   

Yahoo!, Inc. (a)

      17,100           661,257   
       

 

 

  
          39,469,350   
       

 

 

  

Materials - 3.6%

        

Air Products & Chemicals, Inc.

      4,800           582,336   

AK Steel Holding Corp. (a)(b)

      13,482           83,723   
 

 

IAM SHARES Fund     19   

Table of Contents

SSgA

IAM SHARES Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Alcoa, Inc. (b)

      29,600           347,504   

Allegheny Technologies, Inc.

      4,800           152,544   

AngloGold Ashanti, Ltd. ADR (a)

      3,199           56,238   

Ashland, Inc.

      1,204           113,622   

Avery Dennison Corp.

      1,900           94,658   

Ball Corp.

      3,400           188,904   

Bemis Co., Inc. (b)

      3,500           137,480   

CF Industries Holdings, Inc.

      400           100,360   

Cliffs Natural Resources, Inc. (b)

      600           12,018   

Crown Holdings, Inc. (a)

      3,400           153,068   

E.I. du Pont de Nemours & Co.

      9,700           646,214   

Ecolab, Inc.

      4,100           441,775   

FMC Corp.

      2,900           223,822   

Freeport-McMoRan Copper & Gold, Inc.

      9,552           311,586   

International Paper Co.

      11,073           541,359   

Martin Marietta Materials, Inc. (b)

      1,500           182,970   

MeadWestvaco Corp. (b)

      3,000           112,290   

Monsanto Co.

      5,800           638,116   

Newmont Mining Corp.

      5,700           132,582   

Owens-Illinois, Inc. (a)

      2,900           98,368   

PPG Industries, Inc.

      2,900           573,678   

Schnitzer Steel Industries, Inc. (Class A) (b)

      1,770           44,905   

Sigma-Aldrich Corp. (b)

      2,300           217,143   

The Dow Chemical Co.

      18,888           920,035   

The Mosaic Co.

      3,600           175,896   

The Sherwin-Williams Co.

      3,500           701,680   

Vulcan Materials Co. (b)

      3,600           244,548   
       

 

 

  
          8,229,422   
       

 

 

  

Telecommunication Services - 2.6%

  

AT&T, Inc.

      94,581           3,019,971   

CenturyLink, Inc. (b)

      7,665           239,608   

Frontier Communications Corp. (b)

      10,506           51,269   

Verizon Communications, Inc.

      57,572           2,739,276   
       

 

 

  
          6,050,124   
       

 

 

  

Utilities - 2.3%

  

     

Ameren Corp.

      3,000           121,230   

American Electric Power Co., Inc.

      5,300           266,060   

Consolidated Edison, Inc.

      3,700           207,385   

Dominion Resources, Inc.

      8,400           582,960   

Duke Energy Corp.

      7,620           540,105   

Edison International

      4,500           235,665   

Entergy Corp. (b)

      2,400           153,168   

Exelon Corp.

      11,590           352,452   

FirstEnergy Corp.

      4,200           129,276   

NextEra Energy, Inc. (b)

      5,600           511,784   

Pepco Holdings, Inc. (b)

      9,300           189,627   

PG&E Corp.

      5,300           233,518   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

PPL Corp.

      6,400           206,656   

Public Service Enterprise Group, Inc.

      7,000           256,620   

Sempra Energy

      3,300           311,751   

Southern Co. (b)

      12,200           516,670   

The AES Corp.

      8,800           120,120   

Wisconsin Energy Corp. (b)

      3,500           153,860   

Xcel Energy, Inc. (b)

      4,000           121,160   
       

 

 

  
          5,210,067   
       

 

 

  
Total Common Stocks
(cost $135,452,538)		            227,544,899   
       

 

 

  
Short-Term Investments - 4.7%        

SSgA Prime Money Market Fund 0.18% (f)(g)

      1,528,783           1,528,783   

State Street Navigator Securities Lending Prime Portfolio (f)(h)

      9,071,201           9,071,201   

United States Treasury Bill 0.035%, due 05/22/14 (i)(j)

      213,000           212,983   
       

 

 

  
Total Short-Term Investments
(cost $10,812,967)		            10,812,967   
       

 

 

  
Total Investments - 103.8%
(identified cost $146,265,505)		            238,357,866   
Other Assets and Liabilities,
Net - (3.8%)		            (8,676,106 ) 
       

 

 

  
Net Assets - 100.0%           229,681,760   
       

 

 

  

Footnotes:

(a) Non-income producing security.
(b) All or a portion of the shares of this security are on loan.
(c) Real Estate Investment Trust (REIT).
(d) All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold) by the Fund.
(e) Security is valued at fair value as determined in good faith by the Trust in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs.
(f) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 4).
(g) The rate shown is the annualized seven-day yield at period end
(h) Investments of cash collateral for securities loaned
(i) Security value is determined based on Level 2 inputs.
(j) The rate shown is the yield-to-maturity from date of acquisition.
 

 

20   IAM SHARES Fund

Table of Contents

SSgA

IAM SHARES Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

Abbreviations:

ADR - American Depositary Receipt

PLC - Public Limited Company

 

Futures Contracts    Number of
Contracts		      Notional
Amount
      Expiration
Date		      Unrealized
Appreciation
(Depreciation)
$		  
              

Long Positions

               

S&P 500 Index Futures

      5       USD      2,322,000         03/14         111,107   
              

 

 

  

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

            111,107   
              

 

 

  

During the six months ended February 28, 2014, average notional value related to futures contracts was $3,000,000 or 1.3% of net assets.

 

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

     Market Value*        % of
Net
Assets		  
Categories    Level 1        Level 2     Level 3        Total       

Common Stocks

                    

Consumer Discretionary

    $ 29,985,686         $ —      $ —         $ 29,985,686           13.1   

Consumer Staples

      21,870,870           —        —           21,870,870           9.5   

Energy

      23,863,930           —        —           23,863,930           10.4   

Financials

      33,448,283           —        —           33,448,283           14.6   

Health Care

      28,746,444           —        —           28,746,444           12.5   

Industrials

      30,670,723           —        —           30,670,723           13.3   

Information Technology

      39,469,350           — **      —           39,469,350           17.2   

Materials

      8,229,422           —        —           8,229,422           3.6   

Telecommunication Services

      6,050,124           —        —           6,050,124           2.6   

Utilities

      5,210,067           —        —           5,210,067           2.3   

Short-Term Investments

      1,528,783           9,284,184        —           10,812,967           4.7   
  

 

 

       

 

 

    

 

 

       

 

 

       

 

 

  

Total Investments

      229,073,682           9,284,184        —           238,357,866           103.8   
  

 

 

       

 

 

    

 

 

       

 

 

       

Other Assets and Liabilities, Net

                       (3.8 ) 
                   

 

 

  
                      100.0   
                   

 

 

  

Other Financial Instruments***

                    

Futures Contracts

    $ 111,107         $ —      $ —         $ 111,107           0.0 **** 
  

 

 

       

 

 

    

 

 

       

 

 

       

 

 

  

 

*   For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2014.
**   Fund held a Level 2 security that was valued at $0 at February 28, 2014.
***   Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.
****   Less than 0.05% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

IAM SHARES Fund     21   

Table of Contents

SSgA

Enhanced Small Cap Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,173.70       $ 1,021.08   

Expenses Paid During Period*

    $ 4.04       $ 3.76   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.75% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

22   Enhanced Small Cap Fund

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Common Stocks - 100.1%   

Consumer Discretionary - 12.5%

  

1-800-FLOWERS.COM, Inc. (Class A) (a)

      10,784           56,724   

AH Belo Corp. (Class A)

      2,881           31,806   

American Public Education, Inc. (a)

      86           3,046   

ANN, Inc. (a)

      4,871           173,651   

Arctic Cat, Inc.

      1,450           67,889   

Ascent Media Corp. (Class A) (a)

      975           71,594   

Big 5 Sporting Goods Corp.

      2,237           33,958   

Bloomin’ Brands, Inc. (a)

      1,144           28,760   

Bob Evans Farms, Inc.

      257           13,297   

Bridgepoint Education, Inc. (a)

      137           2,643   

Brown Shoe Co., Inc.

      3,835           94,264   

Brunswick Corp.

      77           3,449   

Capella Education Co.

      1,497           99,521   

Christopher & Banks Corp. (a)

      3,338           22,231   

Citi Trends, Inc. (a)

      201           3,296   

Cracker Barrel Old Country Store, Inc.

      94           9,348   

Crocs, Inc. (a)

      11,140           169,662   

CSS Industries, Inc.

      916           24,732   

Culp, Inc.

      1,971           38,001   

Cumulus Media, Inc. (Class A) (a)

      12,824           84,125   

Dana Holding Corp. (b)

      9,255           200,648   

Denny’s Corp. (a)

      22,200           150,960   

Destination Maternity Corp.

      2,651           74,864   

DineEquity, Inc.

      126           10,553   

Education Management Corp. (a)

      1,858           11,037   

Einstein Noah Restaurant Group, Inc.

      5,900           88,028   

Entravision Communications Corp. (Class A)

      7,400           49,062   

Ethan Allen Interiors, Inc.

      115           2,890   

Express, Inc. (a)

      9,185           167,994   

FTD Cos., Inc. (a)

      187           5,808   

G-III Apparel Group, Ltd. (a)

      1,683           116,952   

Gerber Scientific, Inc. (a)(c)

      600           —   

Harte-Hanks, Inc.

      12,873           102,855   

hhgregg, Inc. (a)

      702           7,434   

HSN, Inc.

      2,707           155,246   

Iconix Brand Group, Inc. (a)

      632           25,432   

Interval Leisure Group, Inc.

      3,385           92,038   

Jack in the Box, Inc. (a)

      77           4,424   

Journal Communications, Inc. (Class A) (a)

      3,418           31,343   

Kirkland’s, Inc. (a)

      2,101           37,146   

La-Z-Boy, Inc.

      5,869           149,894   

Libbey, Inc. (a)

      1,174           27,343   

Life Time Fitness, Inc. (a)

      61           2,879   

LifeLock, Inc. (a)

      1,361           27,098   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Lifetime Brands, Inc.

      742           12,421   

Lithia Motors, Inc. (Class A)

      426           27,017   

Live Nation Entertainment, Inc. (a)

      3,113           70,634   

Matthews International Corp. (Class A)

      76           3,118   

Modine Manufacturing Co. (a)

      217           3,209   

Multimedia Games Holding Co., Inc. (a)

      4,307           142,239   

NACCO Industries, Inc. (Class A)

      1,976           115,853   

National CineMedia, Inc.

      6,061           93,097   

New York & Co., Inc. (a)

      6,149           27,240   

Nexstar Broadcasting Group, Inc. (Class A)

      658           28,083   

Nutrisystem, Inc.

      225           3,312   

Office Depot, Inc. (a)

      6,137           30,255   

Orbitz Wore, Inc. (a)

      663           6,405   

Outerwall, Inc. (a)

      51           3,607   

Oxford Industries, Inc.

      70           5,478   

Papa John’s International, Inc.

      440           22,396   

Pier 1 Imports, Inc.

      8,283           156,714   

Pool Corp.

      100           5,846   

Red Robin Gourmet Burgers, Inc. (a)

      87           6,780   

Rent-A-Center, Inc.

      3,140           78,940   

Ruth’s Hospitality Group, Inc.

      6,496           80,291   

Scholastic Corp.

      1,175           41,454   

Sinclair Broadcast Group, Inc. (Class A)

      2,550           75,531   

Sotheby’s

      61           2,868   

Speedway Motorsports, Inc.

      172           3,409   

Stein Mart, Inc.

      500           6,795   

Steiner Leisure, Ltd. (a)

      810           35,818   

Stoneridge, Inc. (a)

      10,708           117,895   

Strayer Education, Inc. (a)

      91           4,347   

Tenneco, Inc. (a)

      64           3,855   

Texas Roadhouse, Inc.

      870           23,012   

The Cato Corp. (Class A)

      115           3,228   

The Cheesecake Factory, Inc.

      77           3,659   

The Children’s Place Retail Stores, Inc. (a)

      59           3,196   

The Finish Line, Inc. (Class A)

      159           4,296   

The Jones Group, Inc.

      1,769           26,429   

The Men’s Wearhouse, Inc.

      87           4,680   

Tower International, Inc. (a)

      6,937           178,142   

Town Sports International Holdings, Inc.

      10,974           99,644   

Unifi, Inc. (a)

      700           17,318   

Universal Electronics, Inc. (a)

      87           3,636   

VOXX International Corp. (a)

      224           2,912   

Weyco Group, Inc.

      123           3,245   

Winnebago Industries, Inc. (a)

      234           6,238   
       

 

 

  
          4,168,467   
       

 

 

  
 

 

Enhanced Small Cap Fund     23   

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Consumer Staples - 3.8%

  

Chiquita Brands International, Inc. (a)

      9,791           107,114   

Darling International, Inc. (a)

      8,271           166,909   

Fresh Del Monte Produce, Inc.

      4,903           129,733   

Ingles Markets, Inc. (Class A)

      748           17,563   

Inter Parfums, Inc.

      91           3,058   

Inventure Foods, Inc. (a)

      272           3,778   

J&J Snack Foods Corp.

      101           9,381   

John B Sanfilippo & Son, Inc.

      1,711           41,492   

Lancaster Colony Corp.

      39           3,518   

Medifast, Inc. (a)

      4,024           105,992   

Nutraceutical International Corp. (a)

      3,255           85,248   

Oil-Dri Corp. of America

      100           3,320   

Omega Protein Corp. (a)

      2,016           21,914   

Pilgrim’s Pride Corp. (a)

      10,220           179,157   

Revlon, Inc. (Class A) (a)

      195           4,604   

Rite Aid Corp. (a)(b)

      40,720           268,345   

Roundy’s, Inc.

      334           2,051   

Sanderson Farms, Inc.

      48           3,688   

Seaboard Corp. (a)

      1           2,535   

Spartan Stores, Inc.

      1,857           41,950   

SUPERVALU, Inc. (a)

      4,218           27,290   

Susser Holdings Corp. (a)

      59           3,574   

The Andersons, Inc.

      209           11,434   

The Pantry, Inc. (a)

      1,036           15,623   

USANA Health Sciences, Inc. (a)

      76           5,561   

Weis Markets, Inc.

      64           3,228   
       

 

 

  
          1,268,060   
       

 

 

  

Energy - 6.1%

  

Abraxas Petroleum Corp. (a)

      2,322           7,825   

Adams Resources & Energy, Inc.

      395           29,072   

Bristow Group, Inc.

      42           3,259   

Callon Petroleum Co. (a)

      6,804           46,063   

Carrizo Oil & Gas, Inc. (a)

      869           43,224   

Cloud Peak Energy, Inc. (a)

      2,125           41,225   

Comstock Resources, Inc.

      1,592           31,458   

Crosstex Energy, Inc.

      147           6,120   

Dawson Geophysical Co.

      3,337           95,772   

Delek US Holdings, Inc.

      146           4,053   

Energy XXI Bermuda, Ltd.

      368           8,523   

EPL Oil & Gas, Inc. (a)

      5,880           176,988   

Goodrich Petroleum Corp. (a)

      140           1,907   

Green Plains Renewable Energy, Inc.

      5,077           134,185   

Helix Energy Solutions Group, Inc. (a)

      7,659           181,059   

Hercules Offshore, Inc. (a)

      419           1,994   

Key Energy Services, Inc. (a)

      419           3,788   

Kodiak Oil & Gas Corp. (a)

      15,186           179,347   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Matrix Service Co. (a)

      5,857           189,591   

Natural Gas Services Group, Inc. (a)

      200           6,500   

Newpark Resources, Inc. (a)

      324           3,603   

Parker Drilling Co. (a)

      5,394           43,530   

Petroquest Energy, Inc. (a)

      735           3,476   

Pioneer Energy Services Corp. (a)

      5,028           57,319   

REX American Resources Corp. (a)

      1,869           89,114   

Rex Energy Corp. (a)

      166           3,154   

SEACOR Holdings, Inc. (a)

      32           2,831   

Stone Energy Corp. (a)

      5,748           206,583   

Targa Resources Corp.

      276           26,706   

Tesco Corp. (a)

      7,657           145,253   

TGC Industries, Inc. (a)

      476           3,046   

W&T Offshore, Inc.

      4,481           67,529   

Warren Resources, Inc. (a)

      10,821           47,937   

Western Refining, Inc.

      3,717           135,485   

Westmoreland Coal Co. (a)

      312           7,051   

Willbros Group, Inc. (a)

      306           3,023   
       

 

 

  
          2,037,593   
       

 

 

  

Financials - 22.3%

        

1st Source Corp.

      111           3,463   

Altisource Residential Corp. (d)

      225           6,431   

American Assets Trust, Inc. (d)

      1,462           48,348   

American Capital Mortgage Investment Corp. (d)

      572           11,537   

American Realty Capital Properties, Inc. (d)

      930           13,662   

Ameris Bancorp (a)

      485           10,204   

Anworth Mortgage Asset Corp. (d)

      14,745           76,379   

Apollo Commercial Real Estate Finance, Inc. (d)

      8,310           139,109   

Apollo Investment Corp.

      17,722           151,700   

Apollo Residential Mortgage, Inc. (d)

      206           3,593   

Ares Commercial Real Estate Corp. (d)

      1,063           14,446   

Argo Group International Holdings, Ltd.

      2,069           91,326   

Arlington Asset Investment Corp. (Class A)

      132           3,501   

ARMOUR Residential REIT, Inc. (d)

      3,045           13,063   

Ashford Hospitality Trust, Inc. (d)

      275           3,075   

Banco Latinoamericano de Comercio Exterior SA

      3,219           82,052   

Bancorp, Inc. (a)

      531           10,169   

Banner Corp.

      90           3,572   

BBCN Bancorp, Inc.

      5,045           85,866   

BBX Capital Corp. (Class A) (a)

      298           5,763   
 

 

24   Enhanced Small Cap Fund

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Berkshire Hills Bancorp, Inc.

      419           10,529   

BlackRock Kelso Capital Corp.

      477           4,546   

BNC Bancorp

      140           2,440   

Capital Bank Financial Corp. (a)

      2,322           53,406   

Capitol Federal Financial, Inc.

      9,204           111,829   

Capstead Mortgage Corp. (d)

      13,013           167,738   

Cathay General Bancorp

      2,649           67,311   

Chatham Lodging Trust (d)

      168           3,506   

Chemical Financial Corp.

      291           8,582   

CNO Financial Group, Inc.

      13,023           237,800   

Colony Financial, Inc. (d)

      7,354           166,053   

CommunityOne Bancorp (a)

      1,417           15,601   

Consumer Portfolio Services, Inc. (a)

      784           6,107   

Cousins Properties, Inc. (d)

      6,710           77,501   

Cowen Group, Inc. (Class A) (a)

      4,212           18,027   

Credit Acceptance Corp. (a)

      869           120,044   

CubeSmart (d)

      194           3,397   

CyrusOne, Inc. (d)

      166           3,689   

CYS Investments, Inc. (d)

      20,718           182,318   

DCT Industrial Trust, Inc. (d)

      2,228           17,646   

DiamondRock Hospitality Co. (d)

      246           3,105   

Education Realty Trust, Inc. (d)

      338           3,187   

Ellington Residential Mortgage REIT (d)

      8,645           146,360   

EverBank Financial Corp.

      191           3,423   

F.N.B. Corp.

      5,375           65,521   

FBL Financial Group, Inc. (Class A)

      1,145           47,907   

FBR & Co. (a)

      1,275           33,150   

FelCor Lodging Trust, Inc. (d)

      20,332           177,092   

Fifth Street Finance Corp.

      410           4,026   

Financial Institutions, Inc.

      153           3,372   

First American Financial Corp.

      729           19,639   

First Bancorp

      638           11,675   

First Commonwealth Financial Corp.

      17,377           148,052   

First Community Bancshares, Inc.

      1,061           17,772   

First Financial Holdings, Inc.

      52           3,184   

First Industrial Realty Trust, Inc. (d)

      2,011           38,692   

First Merchants Corp.

      1,000           21,420   

First Midwest Bancorp, Inc.

      9,478           157,998   

First NBC Bank Holding Co. (a)

      718           23,960   

First Potomac Realty Trust (d)

      246           3,119   

First Security Group, Inc. (a)

      4,262           9,163   

Firsthand Technology Value Fund, Inc. (a)

      131           3,130   

Flushing Financial Corp.

      1,375           28,490   

GFI Group, Inc.

      9,963           39,952   

Glimcher Realty Trust (d)

      1,717           16,706   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Gramercy Property Trust, Inc. (a)(d)

      2,638           15,300   

Hanmi Financial Corp.

      152           3,561   

Heritage Financial Corp.

      559           9,911   

Heritage Oaks Bancorp (a)

      485           3,875   

Hersha Hospitality Trust (d)

      510           2,866   

HFF, Inc. (Class A)

      125           3,988   

Home Loan Servicing Solutions, Ltd.

      2,683           55,055   

HomeTrust Bancshares, Inc. (a)

      1,442           22,596   

Horace Mann Educators Corp.

      2,473           70,753   

International Bancshares Corp.

      1,708           39,591   

Invesco Mortgage Capital, Inc. (d)

      8,066           135,751   

Investment Technology Group, Inc. (a)

      7,834           135,372   

Kite Realty Group Trust (d)

      1,100           6,798   

Lexington Realty Trust (d)

      272           3,104   

Maiden Holdings, Ltd.

      5,646           63,405   

MainSource Financial Group, Inc.

      2,420           41,793   

Manning & Napier, Inc.

      155           2,277   

MB Financial, Inc.

      742           22,653   

MCG Capital Corp.

      33,459           147,554   

Meadowbrook Insurance Group, Inc.

      471           2,529   

Mercantile Bank Corp.

      163           3,309   

Metro Bancorp, Inc. (a)

      160           3,139   

MidWestOne Financial Group, Inc.

      810           21,125   

Montpelier Re Holdings, Ltd.

      5,442           155,151   

National Bank Holdings Corp.

      156           3,062   

Nelnet, Inc. (Class A)

      2,556           102,547   

New Residential Investment Corp. (d)

      27,219           173,929   

New York Mortgage Trust, Inc. (d)

      860           6,648   

Northfield Bancorp, Inc.

      253           3,203   

NorthStar Realty Finance Corp. (d)

      12,616           195,674   

Northwest Bancshares, Inc.

      6,664           95,628   

OceanFirst Financial Corp.

      220           4,154   

OFG Bancorp

      9,150           146,400   

Old National Bancorp

      2,048           28,733   

One Liberty Properties, Inc. (d)

      151           3,310   

Oritani Financial Corp.

      182           2,850   

Pacific Continental Corp.

      500           7,215   

Parkway Properties, Inc. (d)

      4,883           89,994   

PennantPark Investment Corp.

      8,718           99,734   

PennyMac Financial Services, Inc. (Class A) (a)

      158           2,732   

PennyMac Mortgage Investment Trust (d)

      134           3,259   

Peoples Bancorp, Inc.

      476           11,648   

Platinum Underwriters Holdings, Ltd.

      2,000           117,240   
 

 

Enhanced Small Cap Fund     25   

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Portfolio Recovery Associates, Inc. (a)

      51           2,766   

Preferred Bank/Los Angeles CA (a)

      1,216           29,220   

Primerica, Inc.

      2,154           96,542   

PrivateBancorp, Inc.

      1,545           44,589   

Prospect Capital Corp.

      636           7,021   

Provident Financial Holdings, Inc.

      1,999           30,725   

Provident Financial Services, Inc.

      2,626           48,739   

Radian Group, Inc.

      211           3,281   

Ramco-Gershenson Properties Trust (d)

      201           3,357   

RE/MAX Holdings, Inc. (Class A) (a)

      718           21,985   

RLJ Lodging Trust (d)

      4,418           114,824   

Rouse Properties, Inc. (d)

      153           2,864   

Safeguard Scientifics, Inc. (a)

      193           3,785   

Saul Centers, Inc. (d)

      1,291           59,993   

Silver Bay Realty Trust Corp. (d)

      195           3,056   

Solar Capital, Ltd.

      2,769           61,527   

Southwest Bancorp, Inc.

      4,188           73,667   

Sterling Financial Corp.

      153           4,846   

Strategic Hotels & Resorts, Inc. (a)(d)

      19,606           195,864   

Summit Hotel Properties, Inc. (d)

      557           5,147   

Sunstone Hotel Investors, Inc. (d)

      13,838           187,090   

Susquehanna Bancshares, Inc.

      15,312           167,513   

Symetra Financial Corp.

      1,179           23,226   

TCP Capital Corp.

      2,730           48,266   

THL Credit, Inc.

      774           12,252   

Tree.com, Inc. (a)

      110           3,719   

Umpqua Holdings Corp.

      9,613           170,823   

Union First Market Bankshares Corp.

      1,867           47,235   

United Financial Bancorp, Inc.

      516           9,087   

Univest Corp. of Pennsylvania

      1,605           30,928   

Virtus Investment Partners, Inc. (a)

      15           2,777   

Washington Real Estate Investment Trust (d)

      121           3,043   

Webster Financial Corp.

      6,340           196,350   

Western Alliance Bancorp (a)

      3,865           89,513   

Wilshire Bancorp, Inc.

      15,008           152,331   

WisdomTree Investments, Inc. (a)

      10,472           163,154   

World Acceptance Corp. (a)

      1,616           154,894   
       

 

 

  
          7,430,839   
       

 

 

  

Health Care - 13.3%

        

ACADIA Pharmaceuticals, Inc. (a)

      4,865           137,679   

Acorda Therapeutics, Inc. (a)

      189           6,925   

Aegerion Pharmaceuticals, Inc. (a)

      506           27,709   

Akorn, Inc. (a)

      1,165           30,080   

Albany Molecular Research, Inc. (a)

      495           7,722   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Align Technology, Inc. (a)

      3,971           207,802   

Alliance HealthCare Services, Inc. (a)

      3,713           111,910   

Alnylam Pharmaceuticals, Inc. (a)

      50           4,062   

AMN Healthcare Services, Inc. (a)

      251           3,496   

Anika Therapeutics, Inc. (a)

      3,307           130,197   

Atrion Corp.

      184           53,255   

AVANIR Pharmaceuticals, Inc. (Class A) (a)

      6,772           28,171   

Cantel Medical Corp.

      94           3,041   

Celldex Therapeutics, Inc. (a)

      535           15,633   

Centene Corp. (a)

      54           3,439   

Chemed Corp.

      43           3,638   

CONMED Corp.

      3,880           180,886   

ContraVir Pharmaceuticals, Inc. (a)

      364           568   

Corcept Therapeutics, Inc. (a)

      2,683           8,800   

Corvel Corp. (a)

      118           5,429   

CryoLife, Inc.

      14,246           141,890   

Curis, Inc. (a)

      1,677           5,115   

Depomed, Inc. (a)

      423           5,097   

DexCom, Inc. (a)

      226           10,193   

Emergent Biosolutions, Inc. (a)

      6,413           158,658   

Endologix, Inc. (a)

      576           7,776   

Enzon Pharmaceuticals, Inc.

      47,809           45,897   

ExamWorks Group, Inc. (a)

      119           4,329   

Five Prime Therapeutics, Inc. (a)

      278           3,881   

Five Star Quality Care, Inc. (a)

      587           3,399   

Gentiva Health Services, Inc. (a)

      1,227           13,141   

Geron Corp. (a)

      22,712           107,996   

Greatbatch, Inc. (a)

      493           21,362   

HealthSouth Corp.

      3,544           115,818   

Hyperion Therapeutics, Inc. (a)

      118           3,658   

Immunomedics, Inc. (a)

      2,338           11,082   

Insulet Corp. (a)

      275           13,038   

Insys Therapeutics, Inc. (a)

      1,052           70,779   

Intercept Pharmaceuticals, Inc. (a)

      153           62,806   

Isis Pharmaceuticals, Inc. (a)

      3,614           184,314   

Keryx Biopharmaceuticals, Inc. (a)

      7,576           121,595   

Lannett Co., Inc. (a)

      271           11,623   

Magellan Health Services, Inc. (a)

      2,891           176,756   

MedAssets, Inc. (a)

      7,426           180,378   

Medical Action Industries, Inc. (a)

      1,141           8,352   

MiMedx Group, Inc. (a)(b)

      623           4,454   

Molina Healthcare, Inc. (a)

      4,506           169,786   

Natus Medical, Inc. (a)

      243           6,099   

NPS Pharmaceuticals, Inc. (a)

      650           22,737   

NuVasive, Inc. (a)

      2,649           97,351   

Omnicell, Inc. (a)

      3,185           91,664   

OncoMed Pharmaceuticals, Inc. (a)

      415           14,326   

Owens & Minor, Inc.

      91           3,159   

PAREXEL International Corp. (a)

      3,287           176,085   

PDL BioPharma, Inc.

      18,479           158,365   
 

 

26   Enhanced Small Cap Fund

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

PhotoMedex, Inc. (a)

      374           5,475   

Puma Biotechnology, Inc. (a)

      191           22,206   

Questcor Pharmaceuticals, Inc.

      2,370           143,977   

Repligen Corp. (a)

      285           4,266   

Rigel Pharmaceuticals, Inc. (a)

      2,512           8,641   

Sagent Pharmaceuticals, Inc. (a)

      456           9,649   

Sangamo Biosciences, Inc. (a)

      3,696           67,267   

Sciclone Pharmaceuticals, Inc. (a)

      6,801           31,625   

Select Medical Holdings Corp.

      7,332           82,192   

Stemline Therapeutics, Inc. (a)

      1,161           30,023   

STERIS Corp.

      990           45,688   

SurModics, Inc. (a)

      4,623           115,113   

Synergy Pharmaceuticals, Inc. (a)

      3,700           22,459   

Team Health Holdings, Inc. (a)

      85           3,827   

The Providence Service Corp. (a)

      4,031           107,184   

Thoratec Corp. (a)

      5,273           195,839   

Threshold Pharmaceuticals, Inc. (a)

      29,428           147,140   

Triple-S Management Corp. (Class B) (a)

      2,207           36,967   

US Physical Therapy, Inc.

      98           3,252   

WellCare Health Plans, Inc. (a)

      2,344           144,906   

West Pharmaceutical Services, Inc.

      67           3,054   

Zogenix, Inc. (a)

      897           3,902   
       

 

 

  
          4,438,053   
       

 

 

  

Industrials - 15.2%

        

AAON, Inc.

      285           8,516   

AAR Corp.

      6,076           175,596   

ABM Industries, Inc.

      1,857           52,423   

Actuant Corp. (Class A)

      3,120           109,387   

Air Transport Services Group, Inc. (a)

      5,021           32,084   

Alamo Group, Inc.

      463           24,345   

Albany International Corp.

      94           3,392   

Allegiant Travel Co.

      30           2,978   

Altra Holdings, Inc.

      699           24,745   

Applied Industrial Technologies, Inc.

      1,532           78,178   

ARC Document Solutions, Inc. (a)

      600           4,734   

Argan, Inc.

      556           15,896   

Arkansas Best Corp.

      843           28,038   

Barnes Group, Inc.

      674           25,915   

Beacon Roofing Supply, Inc. (a)

      100           3,779   

Casella Waste Systems, Inc. (Class A) (a)

      529           2,835   

Cenveo, Inc. (a)

      3,984           13,506   

Columbus McKinnon Corp. (a)

      674           17,160   

Comfort Systems USA, Inc.

      3,258           53,529   

Courier Corp.

      4,213           69,388   

Deluxe Corp.

      3,940           198,891   

Ducommun, Inc. (a)

      124           3,447   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

DXP Enterprises, Inc. (a)

      110           11,194   

Dycom Industries, Inc. (a)

      5,604           161,900   

EMCOR Group, Inc.

      75           3,509   

EnerSys

      3,090           219,514   

Engility Holdings, Inc. (a)

      4,054           169,173   

Esterline Technologies Corp. (a)

      159           17,124   

Federal Signal Corp. (a)

      7,789           100,089   

Franklin Covey Co. (a)

      631           13,219   

FTI Consulting, Inc. (a)

      117           3,415   

G&K Services, Inc. (Class A)

      575           36,012   

Generac Holdings, Inc.

      515           29,340   

General Cable Corp.

      6,161           189,636   

H&E Equipment Services, Inc. (a)

      2,056           67,272   

Hardinge, Inc.

      211           3,112   

Herman Miller, Inc.

      2,016           56,811   

Huron Consulting Group, Inc. (a)

      240           15,881   

Hyster-Yale Materials Handling, Inc.

      1,702           171,800   

ICF International, Inc. (a)

      471           19,038   

II-VI, Inc. (a)

      9,612           157,541   

Insperity, Inc.

      2,928           85,468   

John Bean Technologies Corp.

      3,594           108,395   

Kadant, Inc.

      3,753           150,683   

Kforce, Inc.

      6,456           141,451   

Kimball International, Inc. (Class B)

      370           6,945   

L.B. Foster Co. (Class A)

      680           31,613   

Lydall, Inc. (a)

      3,332           67,506   

Marten Transport, Ltd.

      1,136           22,141   

MasTec, Inc. (a)

      154           6,305   

Matson, Inc.

      6,139           148,073   

Meritor, Inc. (a)

      14,550           180,565   

Moog, Inc. (Class A) (a)

      955           59,143   

Mueller Industries, Inc.

      55           3,436   

Mueller Water Products, Inc. (Class A)

      6,269           60,496   

MYR Group, Inc. (a)

      601           13,985   

Navigant Consulting, Inc. (a)

      211           3,678   

NCI Building Systems, Inc. (a)

      791           13,494   

NN, Inc.

      1,930           37,230   

On Assignment, Inc. (a)

      206           7,086   

Orbital Sciences Corp. (a)

      7,055           200,503   

Pacer International, Inc. (a)

      8,744           78,434   

Park-Ohio Holdings Corp. (a)

      341           17,950   

Patrick Industries, Inc. (a)

      1,122           47,337   

Performant Financial Corp. (a)

      291           2,302   

PGT, Inc. (a)

      9,321           108,030   

Pike Corp. (a)

      944           9,799   

Polypore International, Inc. (a)

      75           2,596   

Primoris Services Corp.

      277           8,662   

Quality Distribution, Inc. (a)

      5,961           76,420   

Resources Connection, Inc.

      11,036           151,193   
 

 

Enhanced Small Cap Fund     27   

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

RPX Corp. (a)

      1,228           19,673   

Saia, Inc. (a)

      124           4,283   

Schawk, Inc.

      393           5,494   

Sparton Corp. (a)

      120           3,888   

Spirit Airlines, Inc. (a)(b)

      4,424           249,868   

Steelcase, Inc. (Class A)

      11,741           174,589   

Swift Transportation Co. (a)

      137           3,337   

TAL International Group, Inc. (a)

      272           12,050   

Taser International, Inc. (a)

      2,699           51,902   

The Brink’s Co.

      107           3,254   

The Gorman-Rupp Co.

      125           3,937   

TriMas Corp. (a)

      2,587           86,949   

TrueBlue, Inc. (a)

      5,834           166,152   

Tutor Perini Corp. (a)

      133           3,278   

Twin Disc, Inc.

      123           3,047   

UniFirst Corp.

      31           3,400   

USG Corp. (a)

      109           3,851   

Viad Corp.

      563           13,540   

Xerium Technologies, Inc. (a)

      436           6,867   
       

 

 

  
          5,064,620   
       

 

 

  

Information Technology - 17.7%

  

Actuate Corp. (a)

      2,611           14,830   

Acxiom Corp. (a)

      5,246           195,309   

Advent Software, Inc.

      1,010           31,007   

Aeroflex Holding Corp. (a)

      394           3,148   

Angie’s List, Inc. (a)

      132           1,836   

Anixter International, Inc.

     301           32,192   

Aspen Technology, Inc. (a)

      5,021           235,736   

AVG Technologies NV (a)

      2,968           55,591   

Belden, Inc.

      50           3,607   

Benchmark Electronics, Inc. (a)

      7,411           176,678   

Black Box Corp.

      2,596           69,054   

Blucora, Inc. (a)

      4,401           84,675   

Brightcove, Inc. (a)

      314           3,046   

Cabot Microelectronics Corp. (a)

      1,776           78,446   

Calix, Inc. (a)

      5,443           43,272   

Carbonite, Inc. (a)

      2,233           22,687   

Checkpoint Systems, Inc. (a)

      8,124           119,017   

Cirrus Logic, Inc. (a)

      1,788           34,419   

comScore, Inc. (a)

      111           3,510   

Comtech Telecommunications Corp.

      2,145           68,661   

Comverse, Inc. (a)

      3,559           123,177   

Convergys Corp.

      2,895           59,261   

Conversant, Inc. (a)

      7,932           197,190   

CSG Systems International, Inc.

      125           3,500   

CTS Corp.

      3,648           74,492   

Demandware, Inc. (a)

      104           7,811   

Dice Holdings, Inc. (a)

      16,944           124,708   

Digital River, Inc. (a)

      3,947           70,138   

Diodes, Inc. (a)

      2,855           67,978   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

EarthLink Holdings Corp.

      15,758           61,771   

Electronics for Imaging, Inc. (a)

      75           3,345   

Entegris, Inc. (a)

      14,111           170,038   

Euronet Worldwide, Inc. (a)

      3,960           151,510   

Extreme Networks, Inc. (a)

      1,352           7,747   

Fabrinet (a)

      4,043           78,515   

Fair Isaac Corp.

      1,664           89,407   

Finisar Corp. (a)

      130           3,081   

Global Cash Access Holdings, Inc. (a)

      14,232           119,549   

Global Eagle Entertainment, Inc. (a)

      202           3,551   

Harmonic, Inc. (a)

      23,040           149,530   

Heartland Payment Systems, Inc.

      69           2,790   

Insight Enterprises, Inc. (a)

      7,781           178,807   

Integrated Silicon Solution, Inc. (a)

      12,749           155,283   

IntraLinks Holdings, Inc. (a)

      2,854           33,135   

IXYS Corp.

      3,037           33,468   

j2 Global, Inc.

      56           2,878   

Lattice Semiconductor Corp. (a)

      675           5,110   

Lionbridge Technologies, Inc. (a)

      3,889           27,845   

Manhattan Associates, Inc. (a)

      5,747           217,754   

Marchex, Inc. (Class B)

      339           4,014   

MAXIMUS, Inc.

      63           3,011   

Microsemi Corp. (a)

      5,832           134,486   

MoneyGram International, Inc. (a)

      300           5,709   

Monotype Imaging Holdings, Inc.

      5,484           155,965   

Monster Worldwide, Inc. (a)

      1,402           11,174   

Move, Inc. (a)

      285           3,679   

Netscout Systems, Inc. (a)

      314           11,926   

Newport Corp. (a)

      3,449           71,394   

OmniVision Technologies, Inc. (a)

      3,672           63,415   

Oplink Communications, Inc. (a)

      363           6,360   

PC Connection, Inc.

      3,570           72,292   

Perficient, Inc. (a)

      1,762           35,962   

Pericom Semiconductor Corp. (a)

      797           6,448   

Plantronics, Inc.

      602           26,717   

Plexus Corp. (a)

      366           15,061   

PMC - Sierra, Inc. (a)

      8,500           62,390   

Progress Software Corp. (a)

      2,735           68,211   

PROS Holdings, Inc. (a)

      95           3,273   

PTC, Inc. (a)

      2,485           97,685   

QAD, Inc. (Class A)

      885           16,718   

RF Micro Devices, Inc. (a)

      16,900           119,652   

Sanmina Corp. (a)

      6,781           115,006   

Sapient Corp. (a)

      295           5,136   

ScanSource, Inc. (a)

      2,031           79,737   

ShoreTel, Inc. (a)

      953           8,377   

Silicon Image, Inc. (a)

      27,307           165,207   

Sonus Networks, Inc. (a)

      2,951           11,007   

Spansion, Inc. (Class A) (a)

      7,675           125,179   
 

 

28   Enhanced Small Cap Fund

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

SS&C Technologies Holdings, Inc. (a)

      83           3,210   

Stamps.com, Inc. (a)

      80           2,814   

support.com, Inc. (a)

      6,051           15,188   

SYNNEX Corp. (a)

      1,019           60,610   

TeleNav, Inc. (a)

      2,661           15,993   

TeleTech Holdings, Inc. (a)

      2,579           62,102   

The Hackett Group, Inc.

      1,017           5,990   

TiVo, Inc. (a)

      12,767           172,354   

Travelzoo, Inc. (a)

      478           11,290   

TTM Technologies, Inc. (a)

      405           3,402   

Ubiquiti Networks, Inc. (a)

      531           26,237   

Unisys Corp. (a)

      5,362           183,488   

United Online, Inc.

      1,369           15,346   

Verint Systems, Inc. (a)

      4,201           196,649   

WebMD Health Corp. (a)

      83           3,686   

XO Group, Inc. (a)

      9,443           112,749   

Yelp, Inc. (a)

      128           12,086   

Zix Corp. (a)

      1,370           6,192   
       

 

 

  
          5,914,667   
       

 

 

  

Materials - 5.3%

        

A. Schulman, Inc.

      2,367           82,253   

Berry Plastics Group, Inc. (a)

      2,838           69,049   

Calgon Carbon Corp. (a)

      3,231           65,040   

Chase Corp.

      321           9,678   

Chemtura Corp. (a)

      3,986           98,654   

Clearwater Paper Corp. (a)

      1,334           85,176   

Commercial Metals Co.

      3,017           58,379   

Ferro Corp. (a)

      3,000           39,360   

FutureFuel Corp.

      218           3,782   

Graphic Packaging Holding Co. (a)

      16,626           170,250   

Handy & Harman, Ltd. (a)

      1,468           26,835   

Headwaters, Inc. (a)

      1,773           23,634   

Innospec, Inc.

      2,347           102,118   

Kaiser Aluminum Corp.

      343           24,212   

KapStone Paper and Packaging Corp. (a)

      136           4,323   

Koppers Holdings, Inc.

      3,575           141,356   

Louisiana-Pacific Corp. (a)

      401           7,535   

Materion Corp.

      1,472           43,557   

Minerals Technologies, Inc.

      3,555           190,193   

Neenah Paper, Inc.

      78           3,916   

Olin Corp.

      276           7,228   

OM Group, Inc.

      1,147           36,245   

Omnova Solutions, Inc. (a)

      11,930           113,693   

Quaker Chemical Corp.

      43           3,323   

Schweitzer-Mauduit International, Inc.

      2,790           134,283   

SunCoke Energy, Inc. (a)

      7,808           173,962   

Worthington Industries, Inc.

      896           35,715   
       

 

 

  
          1,753,749   
       

 

 

  
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Telecommunication Services - 1.3%

  

General Communication, Inc. (Class A) (a)

      319           3,321   

IDT Corp. (Class B)

      2,544           45,665   

Inteliquent, Inc.

      7,301           101,922   

magicJack VocalTec, Ltd. (a)

      7,438           140,801   

Shenandoah Telecommunications Co.

      118           3,119   

USA Mobility, Inc.

      1,963           28,365   

Vonage Holdings Corp. (a)

      23,987           110,580   
       

 

 

  
          433,773   
       

 

 

  

Utilities - 2.6%

        

Avista Corp.

      3,614           106,974   

Chesapeake Utilities Corp.

      600           35,544   

Cleco Corp.

      1,302           64,358   

El Paso Electric Co.

      3,130           110,332   

Genie Energy, Ltd. (Class B) (a)

      1,839           21,075   

IDACORP, Inc.

      2,878           161,715   

NorthWestern Corp.

      1,545           70,977   

PNM Resources, Inc.

      5,697           148,976   

Portland General Electric Co.

      574           18,253   

South Jersey Industries, Inc.

      265           15,153   

Southwest Gas Corp.

      1,690           91,294   

The Laclede Group, Inc.

      69           3,164   

UNS Energy Corp.

      515           31,163   
       

 

 

  
          878,978   
       

 

 

  
Total Common Stocks
(cost $25,141,960)		            33,388,799   
       

 

 

  
Short-Term Investment - 0.7%   

SSgA Prime Money Market Fund
0.18% (e)(f)
(cost $235,356)

      235,356           235,356   
       

 

 

  
Total Investments - 100.8%
(identified cost $25,377,316)		            33,624,155   
Other Assets and Liabilities,
Net - (0.8%)		            (265,888 ) 
       

 

 

  
Net Assets - 100.0%           33,358,267   
       

 

 

  
 

 

Enhanced Small Cap Fund     29   

Table of Contents

SSgA

Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

Footnotes:

(a) Non-income producing security.
(b) All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold) by the Fund.
(c) Security is valued at fair value as determined in good faith by the Trust in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs.
(d) Real Estate Investment Trust (REIT).
(e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 4).
(f) The rate shown is the annualized seven-day yield at period end.

 

Futures Contracts    Number of
Contracts		     

Notional
Amount

      Expiration
Date		      Unrealized
Appreciation
(Depreciation)
$		  
              

Long Positions

               

Russell 2000 Mini Index Futures

      3       USD      354,570         03/14         16,684   
              

 

 

  

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

                  16,684   
              

 

 

  

During the six months ended February 28, 2014, average notional value related to futures contracts was $549,000 or 1.6% of net assets.

 

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

     Market Value*        % of
Net
Assets		  
Categories    Level 1        Level 2     Level 3        Total       

Common Stocks

                    

Consumer Discretionary

    $ 4,168,467         $ — **    $ —         $ 4,168,467           12.5   

Consumer Staples

      1,268,060           —        —           1,268,060           3.8   

Energy

      2,037,593           —        —           2,037,593           6.1   

Financials

      7,430,839           —        —           7,430,839           22.3   

Health Care

      4,438,053           —        —           4,438,053           13.3   

Industrials

      5,064,620           —        —           5,064,620           15.2   

Information Technology

      5,914,667           —        —           5,914,667           17.7   

Materials

      1,753,749           —        —           1,753,749           5.3   

Telecommunication Services

      433,773           —        —           433,773           1.3   

Utilities

      878,978           —        —           878,978           2.6   

Short-Term Investment

      235,356           —        —           235,356           0.7   
  

 

 

       

 

 

    

 

 

       

 

 

       

 

 

  

Total Investments

      33,624,155           —        —           33,624,155           100.8   
  

 

 

       

 

 

    

 

 

       

 

 

       

Other Assets and Liabilities, Net

                       (0.8 ) 
                   

 

 

  
                      100.0   
                   

 

 

  

Other Financial Instruments***

                    

Futures Contracts

    $ 16,684         $ —      $ —         $ 16,684           0.1   
  

 

 

       

 

 

    

 

 

       

 

 

       

 

 

  

 

*   For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2014.
**   Fund held a Level 2 security that was valued at $0 at February 28, 2014.
***   Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.

 

See accompanying notes which are an integral part of the financial statements.

 

30   Enhanced Small Cap Fund

Table of Contents

SSgA

Emerging Markets Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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.

 

Institutional Class

    Actual
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,026.00       $ 1,018.80   

Expenses Paid During Period*

    $ 6.08       $ 6.06   

 

* Expenses are equal to the Fund’s annualized expense ratio of 1.21% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.

 

Select Class

    Actual
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,027.50       $ 1,019.89   

Expenses Paid During Period*

    $ 4.98       $ 4.96   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.99% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

Emerging Markets Fund     31   

Table of Contents

SSgA

Emerging Markets Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Common Stocks - 97.6%   

Austria - 0.9%

        

Erste Group Bank AG

      202,751           7,195,130   
       

 

 

  

Bermuda - 1.0%

        

Credicorp, Ltd.

      67,243           8,734,866   
       

 

 

  

Brazil - 7.5%

        

AMBEV SA

      311,000           2,238,908   

AMBEV SA ADR

      245,910           1,770,552   

Arteris SA

      516,300           3,820,367   

Banco Bradesco SA ADR

      230,193           2,704,768   

Banco do Brasil SA

      593,405           5,238,718   

BB Seguridade Participacoes SA

      1,025,283           10,188,333   

Cielo SA

      104,600           2,832,754   

Direcional Engenharia SA

      603,900           2,652,807   

Even Construtora e Incorporadora SA

      1,055,400           3,213,799   

Ez Tec Empreendimentos e Participacoes SA

      231,000           2,552,601   

Petroleo Brasileiro SA ADR

      288,266           3,228,579   

Petroleo Brasileiro SA ADR (Class A)

      206,235           2,404,700   

Vale SA ADR

      836,377           11,851,462   

Via Varejo SA (a)

      747,110           7,503,760   
       

 

 

  
          62,202,108   
       

 

 

  

Cayman Islands - 4.4%

  

ANTA Sports Products, Ltd. (b)

      3,093,000           4,782,651   

ENN Energy Holdings, Ltd. (b)

      862,000           6,097,996   

Evergrande Real Estate Group, Ltd.

      1           —   

Shimao Property Holdings, Ltd.

      1,998,500           4,017,318   

Tencent Holdings, Ltd.

      218,300           17,510,582   

Tingyi Cayman Islands Holding Corp.

      1,560,000           4,372,113   
       

 

 

  
          36,780,660   
       

 

 

  

China - 13.1%

        

Bank of China, Ltd. (Class H)

      33,418,100           14,038,052   

China Construction Bank Corp. (Class H)

      26,861,169           18,448,439   

China Minsheng Banking Corp., Ltd. (Class H) (b)

      4,852,500           4,827,145   

China National Building Material Co., Ltd. (Class H) (b)

      3,018,000           2,877,786   

China Petroleum & Chemical Corp. (Class H)

      11,230,100           9,970,349   

China Railway Construction Corp. (Class H)

      6,510,000           5,402,246   

Great Wall Motor Co., Ltd. (Class H) (b)

      1,336,500           6,096,488   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Guangzhou R&F Properties Co., Ltd. (Class H) (b)

      4,135,600           5,606,112   

Huaneng Power International, Inc. (Class H)

      4,572,000           4,082,695   

Industrial & Commercial Bank of China, Ltd. (Class H)

      25,667,000           15,379,264   

Inner Mongolia Yitai Coal Co., Ltd. (Class B)

      1,748,326           2,063,025   

PetroChina Co., Ltd. (Class H)

      4,138,000           4,361,655   

PICC Property & Casualty Co., Ltd. (Class H)

      2,042,000           2,789,132   

Ping An Insurance Group Co of China, Ltd. (Class H)

      963,500           7,827,883   

Sihuan Pharmaceutical Holdings Group, Ltd.

      2,735,000           3,309,256   

Zhejiang Expressway Co., Ltd. (Class H)

      2,794,000           2,451,777   
       

 

 

  
          109,531,304   
       

 

 

  

Czech Republic - 1.0%

        

CEZ AS

      206,194           5,562,507   

Komercni Banka AS

      11,018           2,671,759   
       

 

 

  
          8,234,266   
       

 

 

  

Egypt - 0.0%

        

Orascom Hotels & Development (a)(c)

      1           —   
       

 

 

  

Greece - 0.9%

        

Alpha Bank AE (a)

      699,768           707,997   

Motor Oil Hellas Corinth Refineries SA

      223,764           2,931,096   

OPAP SA

      204,494           3,217,800   

Piraeus Bank SA (a)

      256,706           708,663   
       

 

 

  
          7,565,556   
       

 

 

  

Hong Kong - 3.6%

        

China Mobile, Ltd.

      1,599,700           15,202,257   

CNOOC, Ltd.

      1,986,500           3,255,991   

Guangdong Investment, Ltd.

      3,886,000           4,065,990   

Lenovo Group, Ltd. (b)

      4,080,000           4,353,093   

Shanghai Industrial Holdings, Ltd.

      868,000           2,958,373   
       

 

 

  
          29,835,704   
       

 

 

  

Hungary - 0.4%

        

OTP Bank PLC

      172,398           3,062,563   
       

 

 

  

India - 7.5%

        

Cairn India, Ltd.

      503,447           2,633,390   

Dabur India, Ltd.

      730,288           2,043,699   
 

 

32   Emerging Markets Fund

Table of Contents

SSgA

Emerging Markets Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

HCL Technologies, Ltd.

      383,378           9,745,583   

HDFC Bank, Ltd.

      418,871           4,525,266   

Infosys, Ltd.

      64,351           3,971,167   

ITC, Ltd.

      452,725           2,393,278   

JSW Steel, Ltd.

      166,565           2,354,027   

Lupin, Ltd.

      84,905           1,363,644   

Power Finance Corp., Ltd.

      632,081           1,678,615   

Reliance Industries, Ltd.

      628,969           8,117,840   

Rural Electrification Corp., Ltd.

      500,202           1,562,425   

Sun Pharmaceutical Industries, Ltd.

      457,517           4,758,974   

Tata Consultancy Services, Ltd.

      248,257           9,115,374   

Tata Motors, Ltd.

      648,626           4,363,417   

Tata Steel, Ltd.

      337,558           1,872,418   

Tech Mahindra, Ltd.

      57,904           1,744,454   
       

 

 

  
          62,243,571   
       

 

 

  

Indonesia - 1.1%

        

Bank Rakyat Indonesia Persero Tbk PT

      7,599,700           6,071,773   

Telekomunikasi Indonesia Persero Tbk PT

      14,832,700           2,970,629   
       

 

 

  
          9,042,402   
       

 

 

  

Malaysia - 1.3%

        

IJM Corp. Bhd

      1,628,700           2,868,182   

Tenaga Nasional Bhd

      2,140,400           7,839,097   
       

 

 

  
          10,707,279   
       

 

 

  

Mexico - 5.8%

        

America Movil SAB de CV ADR (Series L) (b)

      323,962           6,275,144   

Cemex SAB de CV ADR (a)(b)

      674,908           8,827,796   

Compartamos S.A.B. de C.V. (b)

      2,142,200           3,641,211   

Fibra Uno Administracion S.A. de C.V. (d)

      1,605,000           5,079,792   

Grupo Financiero Santander Mexico SAB de CV ADR (Class B)

      245,900           2,714,736   

Grupo Mexico SAB de CV (Series B) (b)

      1,404,468           4,313,782   

Infraestructura Energetica Nova S.A.B. de C.V. (b)

      895,600           3,907,729   

Kimberly-Clark de Mexico SAB de CV (Class A) (b)

      2,229,300           5,384,648   

OHL Mexico S.A.B. de CV (a)(b)

      2,041,200           5,131,958   

Promotora y Operadora de Infraestructura S.A.B. de C.V. (a)

      212,800           2,744,098   
       

 

 

  
          48,020,894   
       

 

 

  
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Peru - 0.3%

        

Cia de Minas Buenaventura SA ADR

      56,700           714,420   

Southern Copper Corp. (b)

      50,900           1,552,959   
       

 

 

  
          2,267,379   
       

 

 

  

Philippines - 2.0%

        

Aboitiz Power Corp.

      1,793,600           1,561,137   

Alliance Global Group, Inc.

      7,573,500           5,090,288   

BDO Unibank, Inc.

      656,340           1,235,187   

DMCI Holdings, Inc.

      1,817,980           2,826,657   

First Philippine Holdings Corp.

      348,500           559,817   

Metropolitan Bank & Trust

      1,882,631           3,458,625   

Philippine Long Distance Telephone Co. ADR

      13,031           784,466   

SM Investments Corp.

      75,380           1,172,034   
       

 

 

  
          16,688,211   
       

 

 

  

Poland - 3.2%

        

PGE SA

      595,187           3,637,413   

Powszechna Kasa Oszczednosci Bank Polski SA

      990,736           14,512,365   

Powszechny Zaklad Ubezpieczen SA

      48,913           7,155,883   

Tauron Polska Energia SA

      807,648           1,291,572   
       

 

 

  
          26,597,233   
       

 

 

  

Russia - 7.4%

        

Gazprom OAO ADR

      1,563,562           12,039,427   

Lukoil OAO

      254,263           13,862,086   

Magnit OJSC

      50,078           12,183,616   

Magnit OJSC GDR

      17,367           972,552   

MegaFon OAO GDR

      59,291           1,719,439   

Moscow Exchange MICEX-RTS OAO

      2,581,244           4,588,115   

Sberbank

      2,781,296           7,041,685   

Surgutneftegas OAO

      11,709,902           8,894,795   
       

 

 

  
          61,301,715   
       

 

 

  

South Africa - 4.2%

        

Investec, Ltd.

      190,870           1,403,840   

Kumba Iron Ore, Ltd. (b)

      64,860           2,683,966   

Mondi, Ltd.

      41,884           751,856   

MTN Group, Ltd.

      446,427           8,163,024   

Naspers, Ltd.

      91,295           11,011,271   

Sasol, Ltd.

      167,452           8,491,678   

Steinhoff International Holdings, Ltd.

      603,888           2,910,574   
       

 

 

  
          35,416,209   
       

 

 

  
 

 

Emerging Markets Fund     33   

Table of Contents

SSgA

Emerging Markets Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

South Korea - 18.5%

        

Amorepacific Corp.

      3,670           4,036,141   

Daelim Industrial Co., Ltd. (b)

      75,623           6,241,111   

Dongbu Insurance Co., Ltd.

      79,712           3,830,656   

Hana Financial Group, Inc.

      73,965           2,889,312   

Hanwha Corp.

      112,620           3,797,958   

Hyundai Hysco Co., Ltd. (b)

      39,758           1,595,907   

Hyundai Marine & Fire Insurance Co., Ltd.

      134,440           3,664,828   

Hyundai Mobis

      5,984           1,757,362   

Hyundai Motor Co.

      77,482           17,782,754   

Hyundai Wia Corp.

      22,462           3,556,045   

Industrial Bank of Korea (b)

      484,530           6,172,935   

Jahwa Electronics Co., Ltd.

      136,180           2,168,674   

KCC Corp.

      9,679           4,678,561   

Kia Motors Corp.

      192,996           10,015,905   

KT&G Corp.

      86,690           6,350,499   

Meritz Fire & Marine Insurance Co., Ltd.

      156,820           2,210,905   

POSCO

      21,674           5,766,198   

Samsung Electronics Co., Ltd.

      33,501           42,335,222   

Samsung Heavy Industries Co., Ltd.

      83,303           2,489,336   

SK Holdings Co., Ltd.

      23,010           4,149,344   

SK Hynix, Inc. (a)

      71,070           2,579,824   

SK Innovation Co., Ltd.

      24,899           3,113,833   

SK Telecom Co., Ltd.

      26,267           5,327,218   

Woori Finance Holdings Co., Ltd. (a)

      711,320           8,029,420   
       

 

 

  
          154,539,948   
       

 

 

  

Taiwan - 12.1%

        

Advanced Semiconductor Engineering, Inc.

      3,252,000           3,220,015   

Asia Cement Corp.

      2,744,127           3,468,878   

Chipbond Technology Corp.

      855,000           1,461,780   

Chong Hong Construction Co.

      295,000           817,876   

CTBC Financial Holding Co., Ltd.

      10,525,171           6,791,441   

Far Eastern New Century Corp.

      2,026,688           2,130,504   

Farglory Land Development Co., Ltd.

      584,000           956,050   

Formosa Chemicals & Fibre Corp.

      1,308,000           3,328,497   

Fubon Financial Holding Co., Ltd.

      4,586,366           6,410,740   

Highwealth Construction Corp.

      654,800           1,331,298   

Hon Hai Precision Industry Co., Ltd.

      4,186,300           11,606,350   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Inventec Corp.

      3,872,000           4,083,121   

Lite-On Technology Corp.

      1,917,405           2,819,341   

MediaTek, Inc.

      238,000           3,495,610   

Mega Financial Holding Co., Ltd.

      4,448,641           3,553,275   

Pou Chen Corp.

      2,429,630           3,243,730   

Powertech Technology, Inc.

      4,750,000           6,631,626   

Quanta Computer, Inc.

      2,207,000           5,426,810   

Radiant Opto-Electronics Corp.

      742,000           3,012,278   

Ruentex Development Co., Ltd.

      2,177,000           3,865,688   

Taiwan Cement Corp.

      4,467,000           7,121,133   

Taiwan Semiconductor Manufacturing Co., Ltd.

      4,567,782           16,282,278   
       

 

 

  
          101,058,319   
       

 

 

  

Thailand - 0.9%

        

Advanced Info Service PCL

      342,467           2,214,882   

Bangkok Bank PCL ADR

      253,600           1,336,987   

PTT Global Chemical PCL

      1,908,200           4,386,667   
       

 

 

  
          7,938,536   
       

 

 

  

Turkey - 0.5%

        

Emlak Konut Gayrimenkul Yatirim Ortakligi AS (d)

      1           1   

Eregli Demir ve Celik Fabrikalari TAS

      1,925,823           2,108,581   

Turk Hava Yollari Anonim Ortakligi

      684,481           2,037,727   
       

 

 

  
          4,146,309   
       

 

 

  
Total Common Stocks
(cost $599,316,016)		            813,110,162   
       

 

 

  
Preferred Stocks - 2.2%   

Brazil - 0.8%

        

Itau Unibanco Holding SA

      203,472           2,710,067   

Cia Energetica de Minas Gerais

      698,578           4,001,238   
       

 

 

  
          6,711,305   
       

 

 

  

Russia - 0.2%

        

AK Transneft OAO

      593           1,337,157   
       

 

 

  

South Korea - 1.2%

        

Samsung Electronics Co., Ltd.

      10,012           9,969,795   
       

 

 

  
Total Preferred Stocks
(cost $8,247,366)		            18,018,257   
       

 

 

  
 

 

34   Emerging Markets Fund

Table of Contents

SSgA

Emerging Markets Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Short-Term Investments - 3.9%   

United States - 3.9%

        

SSgA Prime Money Market Fund 0.18% (e)(f)

      100           100   

State Street Navigator Securities Lending Prime Portfolio (e)(g)

      32,292,036           32,292,036   
       

 

 

  
Total Short-Term Investments
(cost $32,292,136)		            32,292,136   
       

 

 

  
Total Investments (h) - 103.7%
(identified cost $639,855,518)		            863,420,555   
Other Assets and Liabilities,
Net - (3.7%)		            (30,817,216 ) 
       

 

 

  
Net Assets - 100.0%           832,603,339   
       

 

 

  

Footnotes:

(a) Non-income producing security.
(b) All or a portion of the shares of this security are on loan.
(c) Security is valued at fair value as determined in good faith by the Trust in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs.
(d) Real Estate Investment Trust (REIT).
(e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 4).
(f) The rate shown is the annualized seven-day yield at period end.
(g) Investments of cash collateral for securities loaned.
(h) All or a portion of the shares of these securities are held as collateral in connection with futures contracts and forward foreign currency contracts purchased (sold) by the Fund.

Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PCL - Public Company Limited

PLC - Public Limited Company

 

Sector Exposure    % of
Net
Assets		      Market
Value
$		  

Common Stocks

      

Consumer Discretionary

      10.2         84,660,964   

Consumer Staples

      5.0         41,746,006   

Energy

      10.3         85,368,444   

Financials

      27.7         230,677,072   

Health Care

      1.1         9,431,874   

Industrials

      6.8         56,192,563   

Information Technology

      18.5         154,395,936   

Materials

      8.3         69,374,291   

Telecommunication Services

      5.1         42,657,059   

Utilities

      4.6         38,605,953   

Preferred Stocks

      

Energy

      0.2         1,337,157   

Financials

      0.3         2,710,067   

Industrials

      1.2         9,969,795   

Utilities

      0.5         4,001,238   

Short Term Investments

      3.9         32,292,136   
  

 

 

     

 

 

  

Total Investments

      103.7         863,420,555   

Other Assets & Liabilities

      (3.7 )       (30,817,216 ) 
  

 

 

     

 

 

  
     100.0         832,603,339   
  

 

 

     

 

 

  

 

 
Futures Contracts    Number of
Contracts		      Notional
Amount		      Expiration
Date		      Unrealized
Appreciation
(Depreciation)
$		  
              

Long Positions

               

MSCI Taiwan Index Futures (Taiwan)

      212       USD      6,419,360         03/14         30,058   
              

 

 

  
                 30,058   
              

 

 

  

Short Positions

               

FTSE JSE Top 40 Africa Index Futures (South Africa)

      189       ZAR      80,502,660         03/14         (547,786 ) 

SGX CNX Nifty Index Futures (Singapore)

      324       USD      4,069,764         03/14         (45,387 ) 
              

 

 

  
                 (593,173 ) 
              

 

 

  

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

                  (563,115 ) 
              

 

 

  

During the six months ended February 28, 2014, average notional value related to futures contracts was $23,800,000 or 2.9% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

Emerging Markets Fund     35   

Table of Contents

SSgA

Emerging Markets Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

 

Foreign Currency Exchange Contracts                                

Counterparty

    Amount
Sold		      Amount
Bought		      Settlement
Date		      Unrealized
Appreciation
(Depreciation)
$		  
                 

Barclays Bank PLC

    USD      8,300,000       BRL      20,260,300         03/20/14         308,023   

Barclays Bank PLC

    USD      17,957,597       CLP      9,668,370,000         03/20/14         (693,515 ) 

Barclays Bank PLC

    USD      5,500,000       RUB      183,837,500         03/20/14         (408,850 ) 

Barclays Bank PLC

    USD      352,833       RUB      11,775,000         03/20/14         (26,739 ) 

Barclays Bank PLC

    USD      279,171       TWD      8,350,000         03/20/14         (3,451 ) 

Barclays Bank PLC

    BRL      2,230,000       USD      927,428         03/20/14         (20,036 ) 

Barclays Bank PLC

    BRL      3,865,320       USD      1,620,000         03/20/14         (22,264 ) 

Barclays Bank PLC

    CLP      1,063,500,000       USD      1,992,506         03/20/14         93,494   

Barclays Bank PLC

    CLP      5,768,169,000       USD      10,340,000         03/20/14         40,214   

Barclays Bank PLC

    RUB      290,889,825       USD      8,738,054         03/20/14         682,223   

Barclays Bank PLC

    RUB      330,868,920       USD      9,220,000         03/20/14         56,998   

Barclays Bank PLC

    TWD      75,977,475       USD      2,585,147         03/20/14         76,344   

Barclays Bank PLC

    TWD      111,457,900       USD      3,670,000         03/20/14         (10,379 ) 

BNP Paribas SA

    HKD      31,176,049       USD      4,020,000         03/20/14         2,608   

Citibank N.A.

    USD      6,954,607       MXN      92,580,000         03/20/14         18,350   

Citibank N.A.

    USD      5,500,000       PEN      15,419,250         03/20/14         (3,384 ) 

Citibank N.A.

    USD      4,441,896       PEN      12,608,100         03/20/14         52,608   

Citibank N.A.

    HKD      167,627,700       USD      21,619,896         03/20/14         19,143   

Citibank N.A.

    MXN      54,300,000       USD      4,112,546         03/20/14         22,769   

Citibank N.A.

    MXN      44,250,000       USD      3,392,520         03/20/14         59,691   

Citibank N.A.

    PEN      3,080,000       USD      1,088,724         03/20/14         (9,227 ) 

Citibank N.A.

    PEN      33,249,050       USD      11,780,000         03/20/14         (72,540 ) 

Citibank N.A.

    USD      26,782,350       ZAR      281,445,000         03/20/14         (708,839 ) 

Credit Suisse

    USD      12,020,000       PLN      36,644,262         03/20/14         125,482   

Credit Suisse

    EUR      3,685,652       USD      5,000,000         03/20/14         (87,250 ) 

Credit Suisse

    HUF      1,015,466,650       USD      4,594,560         03/20/14         76,595   

Deutsche Bank AG

    USD      10,850,000       IDR      127,650,250,000         03/20/14         115,331   

Deutsche Bank AG

    USD      5,969,152       IDR      73,360,875,000         03/20/14         332,648   

Deutsche Bank AG

    USD      22,640,827       INR      1,421,617,500         03/20/14         204,571   

Deutsche Bank AG

    USD      3,750,000       MYR      12,410,625         03/20/14         33,656   

Deutsche Bank AG

    USD      5,975,561       MYR      19,316,600         03/20/14         (86,464 ) 

Deutsche Bank AG

    USD      8,000,000       THB      266,088,000         03/20/14         148,864   

Deutsche Bank AG

    USD      15,700,000       THB      510,014,500         03/20/14         (80,962 ) 

Deutsche Bank AG

    IDR      8,069,700,000       USD      667,745         03/20/14         (25,453 ) 

Deutsche Bank AG

    INR      509,645,500       USD      8,050,000         03/20/14         (140,005 ) 

Deutsche Bank AG

    INR      340,578,000       USD      5,400,000         03/20/14         (73,089 ) 

Deutsche Bank AG

    INR      62,850,000       USD      1,008,828         03/20/14         (1,171 ) 

Deutsche Bank AG

    INR      827,632,400       USD      13,240,000         03/20/14         (60,055 ) 

Deutsche Bank AG

    MYR      2,125,000       USD      650,245         03/20/14         2,391   

Deutsche Bank AG

    THB      326,728,500       USD      10,077,992         03/20/14         72,032   

Deutsche Bank AG

    THB      49,430,000       USD      1,485,794         03/20/14         (27,984 ) 

Deutsche Bank AG

    THB      250,675,200       USD      7,680,000         03/20/14         3,149   

Goldman Sachs & Co.

    TRY      45,830,400       USD      22,000,000         03/20/14         1,371,170   

JPMorgan Chase Bank NA

    USD      785,395       KRW      834,090,000         03/20/14         (4,782 ) 

JPMorgan Chase Bank NA

    USD      1,658,345       PHP      73,730,000         03/20/14         (6,776 ) 

JPMorgan Chase Bank NA

    USD      9,400,000       PHP      419,616,000         03/20/14         (506 ) 

JPMorgan Chase Bank NA

    USD      8,000,000       TRY      17,723,360         03/20/14         (22,496 ) 

JPMorgan Chase Bank NA

    CZK      290,072,283       USD      14,559,669         03/20/14         (96,105 ) 

JPMorgan Chase Bank NA

    KRW      7,582,631,250       USD      7,170,337         03/20/14         73,860   

 

See accompanying notes which are an integral part of the financial statements.

 

36   Emerging Markets Fund

Table of Contents

SSgA

Emerging Markets Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

Foreign Currency Exchange Contracts                                

Counterparty

    Amount
Sold		      Amount
Bought		      Settlement
Date		      Unrealized
Appreciation
(Depreciation)
$		  
                 

JPMorgan Chase Bank NA

    KRW      3,313,464,000       USD      3,080,000         03/20/14         (21,024 ) 

JPMorgan Chase Bank NA

    PHP      670,304,250       USD      15,175,555         03/20/14         160,587   

Royal Bank of Scotland PLC

    USD      4,502,937       EUR      3,285,652         03/20/14         32,199   

Royal Bank of Scotland PLC

    USD      11,000,000       HKD      85,264,300         03/20/14         (12,717 ) 

Royal Bank of Scotland PLC

    USD      1,414,311       TRY      3,168,775         03/20/14         11,994   

Royal Bank of Scotland PLC

    PLN      58,640,000       USD      19,175,932         03/20/14         (259,882 ) 

Royal Bank of Scotland PLC

    ZAR      51,944,165       USD      4,700,000         03/20/14         (112,190 ) 

Societe Generale

    USD      1,593,659       CZK      31,900,000         03/20/14         18,075   

Societe Generale

    USD      546,740       EUR      400,000         03/20/14         5,374   

Societe Generale

    USD      1,168,550       HKD      9,060,000         03/20/14         (1,065 ) 

Societe Generale

    USD      510,185       HUF      111,700,000         03/20/14         (13,215 ) 

Societe Generale

    USD      8,620,000       HUF      1,964,153,200         03/20/14         118,815   

Societe Generale

    USD      456,946       MXN      5,970,000         03/20/14         (7,297 ) 

Societe Generale

    USD      2,113,755       PLN      6,450,000         03/20/14         24,052   

Societe Generale

    USD      177,579       TRY      390,000         03/20/14         (2,036 ) 

Societe Generale

    USD      17,714,532       TRY      36,734,625         03/20/14         (1,179,823 ) 

Societe Generale

    ZAR      30,960,000       USD      2,867,849         03/20/14         (334 ) 

Standard Chartered Bank

    USD      7,020,000       CZK      140,203,089         03/20/14         63,699   

Standard Chartered Bank

    USD      2,500,000       TRY      5,537,000         03/20/14         (7,728 ) 
                 

 

 

  

Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts

  

      117,376   
                 

 

 

  

During the six months ended February 28, 2014, average notional value related to foreign currency exchange contracts was $273,000,000 or 32.8% of net assets.

Foreign Currency Abbreviations:

BRL - Brazilian Real

CLP - Chilean Peso

CZK - Czech Koruna

EUR - Euro

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

INR - Indian Rupee

KRW - South Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

PEN - Peruvian Nuevo Sol

PHP - Philippine Peso

PLN - Polish Zloty

RUB - Russian Ruble

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 

See accompanying notes which are an integral part of the financial statements.

 

Emerging Markets Fund     37   

Table of Contents

SSgA

Emerging Markets Fund

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

 

     Market Value*     % of
Net
Assets		  
Categories    Level 1      Level 2     Level 3        Total    

Common Stocks

               

Austria

    $ 7,195,130       $ —      $ —         $ 7,195,130        0.9   

Bermuda

      8,734,866         —        —           8,734,866        1.0   

Brazil

      62,202,108         —        —           62,202,108        7.5   

Cayman Islands

      36,780,660         —        —           36,780,660        4.4   

China

      109,531,304         —        —           109,531,304        13.1   

Czech Republic

      8,234,266         —        —           8,234,266        1.0   

Egypt

      —         — **      —           — **      0.0 *** 

Greece

      7,565,556         —        —           7,565,556        0.9   

Hong Kong

      29,835,704         —        —           29,835,704        3.6   

Hungary

      3,062,563         —        —           3,062,563        0.4   

India

      62,243,571         —        —           62,243,571        7.5   

Indonesia

      9,042,402         —        —           9,042,402        1.1   

Malaysia

      10,707,279         —        —           10,707,279        1.3   

Mexico

      48,020,894         —        —           48,020,894        5.8   

Peru

      2,267,379         —        —           2,267,379        0.3   

Philippines

      16,688,211         —        —           16,688,211        2.0   

Poland

      26,597,233         —        —           26,597,233        3.2   

Russia

      61,301,715         —        —           61,301,715        7.4   

South Africa

      35,416,209         —        —           35,416,209        4.2   

South Korea

      154,539,948         —        —           154,539,948        18.5   

Taiwan

      101,058,319         —        —           101,058,319        12.1   

Thailand

      7,938,536         —        —           7,938,536        0.9   

Turkey

      4,146,309         —        —           4,146,309        0.5   

Preferred Stocks

               

Brazil

      6,711,305         —        —           6,711,305        0.8   

Russia

      1,337,157         —        —           1,337,157        0.2   

South Korea

      9,969,795         —        —           9,969,795        1.2   

Short-Term Investments

      100         32,292,036        —           32,292,136        3.9   
  

 

 

     

 

 

    

 

 

       

 

 

    

 

 

  

Total Investments

    $ 831,128,519       $ 32,292,036      $ —         $ 863,420,555        103.7   
  

 

 

     

 

 

    

 

 

       

 

 

    

Other Assets and Liabilities, Net

                  (3.7 ) 
              

 

 

  
                 100.0   
              

 

 

  

Assets:

               

Other Financial Instruments****

               

Foreign Currency Exchange Contracts

    $ —       $ 4,427,009      $ —         $ 4,427,009        0.5   

Futures Contracts

      30,058         —        —           30,058        0.0 *** 
  

 

 

     

 

 

    

 

 

       

 

 

    

 

 

  

Total Other Financial Instruments

    $ 30,058       $ 4,427,009      $ —         $ 4,457,067        0.5   
  

 

 

     

 

 

    

 

 

       

 

 

    

 

 

  

Liabilities:

               

Other Financial Instruments****

               

Foreign Currency Exchange Contracts

    $ —       $ (4,309,633 )    $ —         $ (4,309,633 )      (0.5 ) 

Futures Contracts

      (593,173 )       —        —           (593,173 )      (0.1 ) 
  

 

 

     

 

 

    

 

 

       

 

 

    

 

 

  

Total Other Financial Instruments

    $ (593,173 )     $ (4,309,633 )    $ —         $ (4,902,806 )      (0.6 ) 
  

 

 

     

 

 

    

 

 

       

 

 

    

 

 

  

 

*   For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2014.
**   Fund held a Level 2 security that was valued at $0 at February 28, 2014.
***   Less than 0.05% of net assets.
****   Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.

 

See accompanying notes which are an integral part of the financial statements.

 

38   Emerging Markets Fund

Table of Contents

SSgA

International Stock Selection Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      
September 1, 2013    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,178.10       $ 1,019.84   

Expenses Paid During Period*

    $ 5.40       $ 5.01   

 

* Expenses are equal to the Fund’s annualized expense ratio of 1.00% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

International Stock Selection Fund     39   

Table of Contents

SSgA

International Stock Selection Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Common Stocks - 98.2%   

Australia - 4.8%

  

Amcor, Ltd.

      284,297           2,564,829   

Arrium, Ltd.

      1,695,131           2,337,044   

Dexus Property Group (a)

      2,669,320           2,548,704   

Flight Centre Travel Group, Ltd. (b)

      58,045           2,685,645   

GPT Group (a)

      496,188           1,647,116   

Sonic Healthcare, Ltd.

      236,676           3,668,505   

Tatts Group, Ltd. (b)

      568,687           1,481,806   

Westpac Banking Corp.

      29,999           895,978   

Woolworths, Ltd.

      48,083           1,547,650   
       

 

 

  
          19,377,277   
       

 

 

  

Austria - 0.7%

        

OMV AG

      65,480           2,979,897   
       

 

 

  

Belgium - 1.5%

        

Anheuser-Busch InBev NV

      56,787           5,953,198   
       

 

 

  

Cayman Islands - 0.4%

        

MGM China Holdings, Ltd.

      337,200           1,438,212   
       

 

 

  

Denmark - 1.5%

        

Carlsberg A/S (Class B)

      42,919           4,528,861   

Novo Nordisk A/S (Class B)

      33,505           1,597,011   
       

 

 

  
          6,125,872   
       

 

 

  

Finland - 1.3%

        

UPM-Kymmene Oyj

      287,529           5,222,893   
       

 

 

  

France - 11.5%

        

AXA SA

      309,734           8,097,342   

BNP Paribas SA

      106,659           8,753,788   

Credit Agricole SA (c)

      292,961           4,658,390   

EDF SA

      46,297           1,841,387   

GDF Suez

      62,154           1,594,858   

Legrand SA

      55,114           3,417,999   

Schneider Electric SA

      16,442           1,469,495   

Societe Generale SA

      136,212           9,095,152   

Total SA

      45,384           2,946,126   

Vinci SA

      60,825           4,544,580   
       

 

 

  
          46,419,117   
       

 

 

  

Germany - 11.5%

        

Allianz SE

      15,150           2,712,228   

BASF SE

      64,636           7,442,490   

Bayer AG

      41,802           5,937,260   

Continental AG

      21,671           5,275,067   

Deutsche Bank AG

      19,706           958,535   

Deutsche Telekom AG

      557,145           9,455,192   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Freenet AG

      71,317           2,411,260   

Fresenius SE

      8,832           1,372,686   

HeidelbergCement AG

      24,914           2,053,699   

Merck KGaA

      15,050           2,638,237   

Siemens AG

      44,073           5,886,296   
       

 

 

  
          46,142,950   
       

 

 

  

Hong Kong - 2.7%

        

Cathay Pacific Airways, Ltd.

      546,000           1,111,622   

Cheung Kong Holdings, Ltd.

      397,000           6,220,590   

Galaxy Entertainment Group, Ltd. (c)

      131,000           1,314,127   

Wharf Holdings, Ltd.

      302,000           2,107,235   
       

 

 

  
          10,753,574   
       

 

 

  

Ireland - 0.3%

        

Shire PLC

      22,285           1,238,937   
       

 

 

  

Italy - 1.6%

        

ENI SpA

      139,495           3,365,687   

Mediobanca SpA (c)

      137,380           1,370,045   

Unipol Gruppo Finanziario SpA

      214,720           1,523,383   
       

 

 

  
          6,259,115   
       

 

 

  

Japan - 21.7%

        

Bridgestone Corp. (b)

      39,000           1,405,257   

Central Japan Railway Co.

      49,200           5,721,549   

Daicel Chemical Industries, Ltd.

      135,000           1,164,685   

Daiwa Securities Group, Inc.

      111,000           999,076   

Dwango Co., Ltd. (b)

      60,900           1,698,881   

Fuji Electric Co., Ltd.

      561,000           2,568,792   

Fuji Heavy Industries, Ltd.

      243,200           6,578,850   

FUJIFILM Holdings Corp.

      211,000           6,062,337   

Hoya Corp.

      39,400           1,167,637   

ITOCHU Corp.

      210,000           2,608,234   

Kirin Holdings Co., Ltd.

      101,000           1,374,521   

Marubeni Corp.

      195,000           1,366,169   

MEIJI Holdings Co., Ltd.

      23,000           1,514,199   

Mitsubishi Heavy Industries, Ltd.

      334,000           2,051,194   

Mitsubishi Materials Corp.

      565,000           1,771,003   

Mitsubishi Motors Corp. (c)

      251,900           2,787,063   

Mitsubishi UFJ Financial Group, Inc.

      1,111,900           6,413,337   

Mizuho Financial Group, Inc.

      2,925,800           6,008,570   

Namco Bandai Holdings, Inc.

      96,100           2,150,139   

Nippon Telegraph & Telephone Corp.

      61,700           3,456,340   

Nissan Chemical Industries, Ltd.

      79,700           1,188,021   

ORIX Corp. (d)

      286,400           4,221,283   

Otsuka Holdings Co., Ltd.

      47,300           1,451,488   

Sekisui Chemical Co., Ltd.

      148,000           1,685,487   
 

 

40   International Stock Selection Fund

Table of Contents

SSgA

International Stock Selection Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Sumitomo Mitsui Financial Group, Inc.

      150,501           6,713,909   

Taiheiyo Cement Corp.

      1,020,000           3,588,091   

Toppan Printing Co., Ltd.

      268,000           1,988,209   

Toyota Motor Corp.

      38,300           2,197,442   

UNY Group Holdings Co., Ltd. (b)

      458,700           2,722,362   

Yahoo Japan Corp.

      431,800           2,736,671   
       

 

 

  
          87,360,796   
       

 

 

  

Netherlands - 1.9%

        

ING Groep NV (c)

      345,041           5,034,071   

Koninklijke Philips NV

      76,134           2,665,026   
       

 

 

  
          7,699,097   
       

 

 

  

Norway - 0.8%

        

StatoilHydro ASA

      125,217           3,304,627   
       

 

 

  

Singapore - 1.1%

        

DBS Group Holdings, Ltd.

      243,000           3,166,773   

Hutchison Port Holdings Trust

      2,025,000           1,265,625   
       

 

 

  
          4,432,398   
       

 

 

  

Spain - 4.6%

        

Amadeus IT Holding SA (Class A)

      38,031           1,672,728   

Enagas SA

      44,975           1,308,936   

Gas Natural SDG SA

      226,103           5,803,314   

Iberdrola SA

      878,651           5,842,069   

Repsol SA

      150,888           3,791,569   
       

 

 

  
          18,418,616   
       

 

 

  

Sweden - 2.7%

        

Skandinaviska Enskilda Banken AB (Class A)

      348,891           4,905,527   

Swedbank AB (Class A)

      54,799           1,546,969   

Trelleborg AB (Class B)

      222,683           4,389,998   
       

 

 

  
          10,842,494   
       

 

 

  

Switzerland - 9.1%

  

Givaudan SA (c)

      567           889,664   

Nestle SA

      27,160           2,056,687   

Novartis AG

      146,083           12,199,882   

OC Oerlikon Corp. AG (c)

      53,652           918,093   

Roche Holding AG

      46,765           14,430,950   

Swiss Life Holding AG (c)

      10,480           2,608,382   

Swiss Re AG (c)

      38,509           3,599,136   
       

 

 

  
          36,702,794   
       

 

 

  
     Principal
Amount ($)
or Shares		        Market
Value
$		  

United Kingdom - 18.5%

  

3i Group PLC

      158,702           1,118,827   

AstraZeneca PLC

      33,808           2,312,084   

Aviva PLC

      321,115           2,546,658   

BP PLC

      578,768           4,888,527   

British American Tobacco PLC

      59,487           3,237,456   

BT Group PLC

      1,409,956           9,675,555   

Capita PLC

      83,351           1,591,161   

HSBC Holdings PLC

      69,448           732,305   

IMI PLC (b)

      52,614           1,343,592   

ITV PLC

      1,771,978           5,990,913   

J Sainsbury PLC

      185,271           1,062,902   

Legal & General Group PLC

      1,409,459           5,673,947   

Lloyds Banking Group PLC (c)

      2,960,582           4,091,545   

Next PLC

      52,450           5,915,364   

Royal Dutch Shell PLC (Class A)

      191,827           6,996,261   

Royal Dutch Shell PLC (Class B)

      152,980           5,961,141   

Tate & Lyle PLC

      322,192           3,463,763   

Tesco PLC

      584,084           3,219,834   

Unilever PLC

      78,736           3,218,396   

Vodafone Group PLC

      309,843           1,291,932   
       

 

 

  
          74,332,163   
       

 

 

  
Total Common Stocks
(cost $304,844,527)		           395,004,027   
       

 

 

  
Preferred Stock - 0.6%   

Germany - 0.6%

        

Henkel AG & Co. KGaA
(cost $1,807,466)

      21,203           2,366,197   
       

 

 

  
Short-Term Investments - 1.6%   

United States - 1.6%

  

SSgA Prime Money Market Fund
0.18% (d)(e)(f)

      482,534           482,534   

State Street Navigator Securities Lending Prime Portfolio (e)(g)

      5,737,592           5,737,592   
       

 

 

  
Total Short-Term Investments
(cost $6,220,126)		            6,220,126   
       

 

 

  
Total Investments - 100.4%
(identified cost $312,872,119)		            403,590,350   
Other Assets and Liabilities,
Net - (0.4)%		            (1,430,428 ) 
       

 

 

  
Net Assets - 100.0%           402,159,922   
       

 

 

  
 

 

International Stock Selection Fund     41   

Table of Contents

SSgA

International Stock Selection Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

Footnotes:

(a) Real Estate Investment Trust (REIT).
(b) All or a portion of the shares of this security are on loan.
(c) Non-income producing security.
(d) All or a portion of the shares of these securities are held as collateral in connection with futures contracts purchased (sold) by the Fund.
(e) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 4).
(f) The rate shown is the annualized seven-day yield at period end.
(g) Investments of cash collateral for securities loaned.

Abbreviations:

PLC - Public Limited Company

Sector Exposure    % of
Net
Assets		     Market
Value
$		  

Common Stocks

      10.2        40,905,372   

Consumer Discretionary

     

Consumer Staples

      8.4        33,899,829   

Energy

      8.5        34,233,835   

Financials

      27.3        109,968,801   

Health Care

      11.7        46,847,040   

Industrials

      11.2        44,907,634   

Information Technology

      3.3        13,338,254   

Materials

      7.0        28,222,419   

Telecommunication Services

      6.6        26,290,279   

Utilities

      4.0        16,390,564   

Preferred Stocks

     

Consumer Staples

      0.6        2,366,197   

Short Term Investments

      1.6        6,220,126   
  

 

 

    

 

 

  

Total Investments

      100.4        403,590,350   

Other Assets & Liabilities

      (0.4 )      (1,430,428 ) 
  

 

 

    

 

 

  
     100.0        402,159,922   
  

 

 

    

 

 

  
 

 

Futures Contracts    Number of
Contracts		      Notional
Amount		      Expiration
Date		      Unrealized
Appreciation
(Depreciation)
$		  
              

Long Positions

               

MSCI EAFE E-Mini Index Futures

      20       USD      1,929,300         03/14         114,213   
              

 

 

  

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

  

      114,213   
              

 

 

  

During the six months ended February 28, 2014, average notional value related to futures contracts was $4,200,000 or 1.1% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

42   International Stock Selection Fund

Table of Contents

SSgA

International Stock Selection Fund

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

 

     Market Value*        % of
Net
Assets		  
Categories    Level 1        Level 2        Level 3        Total       

Common Stocks

                       

Australia

    $ 19,377,277         $ —         $ —         $ 19,377,277           4.8   

Austria

      2,979,897           —           —           2,979,897           0.7   

Belgium

      5,953,198           —           —           5,953,198           1.5   

Cayman Islands

      1,438,212           —           —           1,438,212           0.4   

Denmark

      6,125,872           —           —           6,125,872           1.5   

Finland

      5,222,893           —           —           5,222,893           1.3   

France

      46,419,117           —           —           46,419,117           11.5   

Germany

      46,142,950           —           —           46,142,950           11.5   

Hong Kong

      10,753,574           —           —           10,753,574           2.7   

Ireland

      1,238,937           —           —           1,238,937           0.3   

Italy

      6,259,115           —           —           6,259,115           1.6   

Japan

      87,360,796           —           —           87,360,796           21.7   

Netherlands

      7,699,097           —           —           7,699,097           1.9   

Norway

      3,304,627           —           —           3,304,627           0.8   

Singapore

      4,432,398           —           —           4,432,398           1.1   

Spain

      18,418,616           —           —           18,418,616           4.6   

Sweden

      10,842,494           —           —           10,842,494           2.7   

Switzerland

      36,702,794           —           —           36,702,794           9.1   

United Kingdom

      74,332,163           —           —           74,332,163           18.5   

Preferred Stocks

                       

Germany

      2,366,197           —           —           2,366,197           0.6   

Short-Term Investments

      482,534           5,737,592           —           6,220,126           1.6   
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Investments

    $ 397,852,758         $ 5,737,592         $ —         $ 403,590,350           100.4   
  

 

 

       

 

 

       

 

 

       

 

 

       

Other Assets and Liabilities, Net

                          (0.4 ) 
                      

 

 

  
                         100.0   
                      

 

 

  

Other Financial Instruments**

                       

Futures Contracts

    $ 114,213         $ —         $ —         $ 114,213           — *** 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

*   For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2014.
**   Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.
***   Less than 0.05% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

International Stock Selection Fund     43   

Table of Contents

SSgA

High Yield Bond Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,076.70       $ 1,021.18   

Expenses Paid During Period*

    $ 3.76       $ 3.66   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.73% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

44   High Yield Bond Fund

Table of Contents

SSgA

High Yield Bond Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       
Long-Term Investments - 88.1%   

Corporate Bonds and Notes - 76.4%

  

ACE Cash Express, Inc.
11.000%, due 02/01/19 (a)

      300,000           264,375   

Activision Blizzard, Inc.
5.625%, due 09/15/21 (a)

      188,000           202,100   

Ahern Rentals, Inc.
9.500%, due 06/15/18 (a)

      350,000           385,000   

Alcatel-Lucent USA, Inc.
4.625%, due 07/01/17 (a)

      72,000           74,250   

6.750%, due 11/15/20 (a)

      250,000           266,250   

Alere, Inc.
6.500%, due 06/15/20

      400,000           420,000   

Alliance One International, Inc.
9.875%, due 07/15/21

      275,000           277,750   

Allison Transmission, Inc.
7.125%, due 05/15/19 (a)

      350,000           378,000   

Ally Financial, Inc.
4.750%, due 09/10/18

      300,000           319,500   

Alphabet Holding Co., Inc. PIK
7.750%, due 11/01/17 (a)

      333,000           344,239   

American Axle & Manufacturing, Inc.
5.125%, due 02/15/19

      250,000           260,625   

Antero Resources Finance Corp.
6.000%, due 12/01/20

      615,000           656,512   

APX Group, Inc.
6.375%, due 12/01/19

      600,000           618,750   

ArcelorMittal
10.350%, due 06/01/19

      1,350,000           1,716,187   

Artesyn Escrow, Inc.
9.750%, due 10/15/20 (a)

      325,000           325,000   

Ashtead Capital, Inc.
6.500%, due 07/15/22 (a)

      525,000           569,625   

Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.
6.625%, due 10/01/20

      550,000           588,500   

Audatex North America, Inc.
6.000%, due 06/15/21 (a)

      240,000           256,200   

Beverages & More, Inc.
10.000%, due 11/15/18 (a)

      125,000           127,500   

BI-LO LLC/BI-LO Finance Corp.
9.250%, due 02/15/19 (a)

      550,000           600,875   

BI-LO LLC/BI-LO Finance Corp. PIK
8.625%, due 09/15/18 (a)

      600,000           625,500   

Biomet, Inc.
6.500%, due 08/01/20

      398,000           429,342   

Blackboard, Inc.
7.750%, due 11/15/19 (a)

      450,000           465,750   

BMC Software Finance, Inc.
8.125%, due 07/15/21 (a)

      465,000           488,831   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

BOE Intermediate Holding Corp. PIK
9.000%, due 11/01/17 (a)

      522,750           561,956   

BOE Merger Corp. PIK
9.500%, due 11/01/17 (a)

      550,000           584,375   

Burlington Coat Factory Warehouse Corp.
10.000%, due 02/15/19

      250,000           278,125   

Burlington Holdings LLC/Burlington Holding Finance, Inc. PIK
9.000%, due 02/15/18 (a)

      220,000           225,500   

Calumet Specialty Products Partners LP/Calumet Finance Corp.
9.625%, due 08/01/20

      475,000           541,500   

Capella Healthcare, Inc.
9.250%, due 07/01/17

      200,000           214,000   

Case New Holland, Inc.
7.875%, due 12/01/17

      400,000           468,500   

CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.
5.625%, due 02/15/24 (a)

      400,000           413,000   

CCO Holdings LLC/CCO Holdings Capital Corp.
7.250%, due 10/30/17

      750,000           796,875   

Century Intermediate Holding Co.
2 PIK
9.750%, due 02/15/19 (a)

      290,000           305,225   

Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp.
6.375%, due 09/15/20 (a)

      550,000           581,625   

Chaparral Energy, Inc.
9.875%, due 10/01/20

      250,000           285,000   

8.250%, due 09/01/21

      125,000           136,875   

Chesapeake Energy Corp.
5.375%, due 06/15/21

      1,087,000           1,163,090   

Chinos Intermediate Holdings A, Inc. PIK
7.750%, due 05/01/19 (a)

      420,000           438,900   

Chrysler Group LLC/CG Co-Issuer, Inc.
8.250%, due 06/15/21 (a)

      205,000           232,163   

CHS/Community Health Systems, Inc.
8.000%, due 11/15/19

      500,000           555,500   

Churchill Downs, Inc.
5.375%, due 12/15/21 (a)

      300,000           306,750   

CIT Group, Inc.
5.000%, due 05/15/17

      550,000           589,875   

3.875%, due 02/19/19

      230,000           233,191   
 

 

High Yield Bond Fund     45   

Table of Contents

SSgA

High Yield Bond Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Citigroup, Inc.
Series D
5.350%, due 05/15/23 (b)(c)

      350,000           328,125   

Claire’s Stores, Inc.
6.125%, due 03/15/20 (a)

      432,000           410,400   

Clayton Williams Energy, Inc.
7.750%, due 04/01/19 (a)

      325,000           342,875   

Clear Channel Communications, Inc.
5.500%, due 09/15/14

      250,000           250,625   

Clear Channel Worldwide Holdings, Inc.
Series A
7.625%, due 03/15/20

      125,000           134,375   

CNH Capital LLC
6.250%, due 11/01/16

      350,000           384,125   

Continental Resources, Inc.
4.500%, due 04/15/23

      160,000           165,677   

Continental Rubber of America Corp.
4.500%, due 09/15/19 (a)

      153,000           162,082   

CVR Refining LLC/Coffeyville Finance, Inc.
6.500%, due 11/01/22

      550,000           570,625   

Delphi Corp.
6.125%, due 05/15/21

      300,000           333,750   

Delta Air Lines 2007-1 Class C Pass Through Trust
8.954%, due 08/10/14

      170,474           172,179   

Deluxe Corp.
7.000%, due 03/15/19

      300,000           321,000   

Diamond Foods, Inc.
7.000%, due 03/15/19 (a)

      300,000           309,375   

Diamondback Energy, Inc.
7.625%, due 10/01/21 (a)

      300,000           318,000   

DISH DBS Corp.
5.125%, due 05/01/20

      500,000           517,500   

Dole Food Co., Inc.
7.250%, due 05/01/19 (a)

      500,000           507,500   

Dynacast International LLC/Dynacast Finance, Inc.
9.250%, due 07/15/19

      375,000           417,188   

Energy XXI Gulf Coast, Inc.
7.500%, due 12/15/21 (a)

      583,000           609,235   

EnergySolutions, Inc./EnergySolutions LLC
10.750%, due 08/15/18

      375,000           398,438   

EP Energy LLC/EP Energy Finance, Inc.
9.375%, due 05/01/20

      313,000           362,298   

EP Energy LLC/Everest Acquisition Finance, Inc.
7.750%, due 09/01/22

      275,000           310,063   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Felcor Lodging LP
6.750%, due 06/01/19

      505,000           542,875   

Ferrellgas LP/Ferrellgas Finance Corp.
6.750%, due 01/15/22 (a)

      300,000           313,500   

FGI Operating Co. LLC/FGI Finance, Inc.
7.875%, due 05/01/20

      500,000           535,000   

First Data Corp.

        

6.750%, due 11/01/20 (a)

      575,000           621,000   

11.250%, due 01/15/21 (a)

      525,000           597,187   

FMG Resources August 2006 Pty Ltd.
6.875%, due 04/01/22 (a)

      500,000           542,500   

Forest Laboratories, Inc.
4.375%, due 02/01/19 (a)

      293,000           313,510   

Fresenius Medical Care US Finance, Inc.

        

6.875%, due 07/15/17

      130,000           147,550   

6.500%, due 09/15/18 (a)

      325,000           365,625   

Frontier Communications Corp.

        

9.250%, due 07/01/21

      250,000           295,625   

7.125%, due 01/15/23

      550,000           576,125   

General Motors Co.
3.500%, due 10/02/18 (a)

      194,000           200,305   

General Motors Financial Co., Inc.

        

3.250%, due 05/15/18

      475,000           486,281   

6.750%, due 06/01/18

      275,000           320,375   

4.250%, due 05/15/23

      400,000           404,000   

Gentiva Health Services, Inc.
11.500%, due 09/01/18

      350,000           373,625   

Genworth Financial, Inc.
6.150%, due 11/15/66 (c)

      400,000           368,152   

Halcon Resources Corp.
8.875%, due 05/15/21

      830,000           844,525   

HCA, Inc.
6.500%, due 02/15/20

      325,000           366,844   

HD Supply, Inc.
7.500%, due 07/15/20

      300,000           328,500   

Healthcare Technology Intermediate, Inc. PIK
7.375%, due 09/01/18 (a)

      371,000           383,985   

Hercules Offshore, Inc.
7.500%, due 10/01/21 (a)

      360,000           380,700   

Hexion US Finance Corp.
6.625%, due 04/15/20

      561,000           579,934   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.
6.000%, due 08/01/20 (a)

      500,000           527,500   

Interline Brands, Inc. PIK
10.000%, due 11/15/18

      500,000           548,125   
 

 

46   High Yield Bond Fund

Table of Contents

SSgA

High Yield Bond Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

International Lease Finance Corp.

        

6.250%, due 05/15/19

      275,000           308,825   

8.250%, due 12/15/20

      350,000           428,313   

iPayment, Inc.
10.250%, due 05/15/18

      325,000           253,500   

j2 Global, Inc.
8.000%, due 08/01/20

      500,000           543,750   

Jefferies Finance LLC/JFIN
Co-Issuer Corp.
7.375%, due 04/01/20 (a)

      473,000           500,197   

Kenan Advantage Group, Inc. (The)
8.375%, due 12/15/18 (a)

      700,000           742,000   

Laredo Petroleum, Inc.
5.625%, due 01/15/22 (a)

      550,000           559,625   

Legacy Reserves LP/Legacy Reserves Finance Corp.
6.625%, due 12/01/21 (a)

      400,000           396,000   

Lennar Corp.
4.500%, due 06/15/19

      210,000           214,463   

Level 3 Communications, Inc.
8.875%, due 06/01/19

      250,000           275,625   

Level 3 Financing, Inc.

        

8.625%, due 07/15/20

      250,000           280,938   

6.125%, due 01/15/21 (a)

      300,000           317,250   

Linn Energy LLC/Linn Energy Finance Corp.
7.000%, due 11/01/19 (a)

      250,000           260,625   

Magnachip Semiconductor Corp.
6.625%, due 07/15/21

      450,000           463,500   

MarkWest Energy Partners LP/MarkWest Energy Finance Corp.
6.250%, due 06/15/22

      406,000           438,480   

McClatchy Co. (The)
9.000%, due 12/15/22

      505,000           577,594   

Mcron Finance Sub LLC/Mcron Finance Corp.
8.375%, due 05/15/19 (a)

      500,000           556,875   

Memorial Production Partners LP/Memorial Production Finance Corp.
7.625%, due 05/01/21

      334,000           352,370   

MGM Resorts International

        

6.750%, due 10/01/20

      550,000           607,750   

6.625%, due 12/15/21

      655,000           718,862   

Michaels FinCo Holdings LLC/Michaels FinCo, Inc. PIK
7.500%, due 08/01/18 (a)

      484,000           500,940   

Monitronics International, Inc.
9.125%, due 04/01/20

      500,000           536,250   

Murray Energy Corp.
8.625%, due 06/15/21 (a)

      500,000           530,000   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp.
5.000%, due 08/01/18 (a)

      875,000           912,187   

NCR Corp.
5.875%, due 12/15/21 (a)

      300,000           321,000   

Neiman Marcus Group LTD, Inc.
8.000%, due 10/15/21 (a)

      366,000           392,535   

Neiman Marcus Group LTD, Inc. PIK
8.750%, due 10/15/21 (a)

      329,000           353,675   

NES Rentals Holdings, Inc.
7.875%, due 05/01/18 (a)

      325,000           347,750   

Neuberger Berman Group LLC/Neuberger Berman Finance Corp.
5.875%, due 03/15/22 (a)

      550,000           577,500   

Newfield Exploration Co.
5.750%, due 01/30/22

      650,000           700,375   

Nexstar Broadcasting, Inc.
6.875%, due 11/15/20

      231,000           248,903   

Nuveen Investments, Inc.

        

5.500%, due 09/15/15

      375,000           379,688   

9.125%, due 10/15/17 (a)

      250,000           261,875   

Parsley Energy LLC/Parsley Finance Corp.
7.500%, due 02/15/22 (a)

      250,000           262,500   

Peabody Energy Corp.
6.000%, due 11/15/18

      275,000           297,688   

Penn National Gaming, Inc.
5.875%, due 11/01/21 (a)

      450,000           438,750   

Pittsburgh Glass Works LLC
8.000%, due 11/15/18 (a)

      318,000           346,620   

Plastipak Holdings, Inc.
6.500%, due 10/01/21 (a)

      450,000           465,750   

PQ Corp.
8.750%, due 05/01/18 (a)

      550,000           606,375   

Provident Funding Associates LP/PFG Finance Corp.
6.750%, due 06/15/21 (a)

      233,000           228,340   

Quiksilver, Inc./QS Wholesale, Inc.
7.875%, due 08/01/18 (a)

      300,000           327,000   

Regal Entertainment Group
5.750%, due 03/15/22

      429,000           438,652   

Regency Energy Partners LP/Regency Energy Finance Corp.
5.875%, due 03/01/22

      150,000           156,000   

Revlon Consumer Products Corp.
5.750%, due 02/15/21

      525,000           525,000   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu

        

9.875%, due 08/15/19

      920,000           1,037,300   

6.875%, due 02/15/21

      340,000           369,750   
 

 

High Yield Bond Fund     47   

Table of Contents

SSgA

High Yield Bond Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

RHP Hotel Properties LP/RHP Finance Corp.
5.000%, due 04/15/21

      400,000           401,000   

Rockwood Specialties Group, Inc.
4.625%, due 10/15/20

      550,000           570,625   

Roundy’s Supermarkets, Inc.
10.250%, due 12/15/20 (a)

      500,000           532,500   

RR Donnelley & Sons Co.
7.875%, due 03/15/21

      675,000           769,500   

Ruby Tuesday, Inc.
7.625%, due 05/15/20

      500,000           443,750   

Sabre, Inc.
8.500%, due 05/15/19 (a)

      500,000           556,875   

Samson Investment Co.
10.750%, due 02/15/20 (a)

      300,000           333,375   

Sanchez Energy Corp.
7.750%, due 06/15/21 (a)

      300,000           313,500   

SandRidge Energy, Inc.
8.125%, due 10/15/22

      500,000           537,500   

SBA Communications Corp.
5.625%, due 10/01/19

      275,000           288,063   

ServiceMaster Co.
7.000%, due 08/15/20

      231,000           239,663   

Sinclair Television Group, Inc.
6.375%, due 11/01/21

      525,000           555,187   

SLM Corp. MTN
8.000%, due 03/25/20

      1,305,000           1,507,275   

SPL Logistics Escrow LLC/SPL Logistics Finance Corp.
8.875%, due 08/01/20 (a)

      500,000           543,750   

Sprint Corp.
7.250%, due 09/15/21 (a)

      1,200,000           1,314,000   

Sprint Nextel Corp.
7.000%, due 03/01/20 (a)

      550,000           635,250   

SunGard Data Systems, Inc.
6.625%, due 11/01/19

      550,000           587,812   

SUPERVALU, Inc.
6.750%, due 06/01/21

      500,000           502,500   

T-Mobile USA, Inc.

        

5.250%, due 09/01/18

      185,000           195,406   

6.250%, due 04/01/21

      365,000           389,181   

6.633%, due 04/28/21

      633,000           685,222   

Taminco Global Chemical Corp.
9.750%, due 03/31/20 (a)

      485,000           550,475   

Tenet Healthcare Corp.
8.125%, due 04/01/22

      526,000           589,120   

Tenneco, Inc.
7.750%, due 08/15/18

      250,000           265,313   

Textron Financial Corp.
6.000%, due
02/15/67 (a)(c)

      350,000           312,375   

The Goodyear Tire & Rubber Co.
6.500%, due 03/01/21

      550,000           600,875   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

The Sun Products Corp.
7.750%, due 03/15/21 (a)

      525,000           458,062   

TRAC Intermodal LLC/TRAC Intermodal Corp.
11.000%, due 08/15/19

      275,000           314,875   

TransDigm, Inc.
7.750%, due 12/15/18

      475,000           508,844   

UCI International, Inc.
8.625%, due 02/15/19

      250,000           240,625   

United Rentals North America, Inc.

        

7.375%, due 05/15/20

      200,000           223,500   

8.375%, due 09/15/20

      250,000           280,000   

6.125%, due 06/15/23

      440,000           466,400   

US Coatings Acquisition, Inc./Flash Dutch 2 BV
7.375%, due 05/01/21 (a)

      856,000           924,480   

Vanguard Natural Resources LLC/VNR Finance Corp.
7.875%, due 04/01/20

      275,000           296,313   

Viasystems, Inc.
7.875%, due 05/01/19 (a)

      950,000           1,020,062   

Virgin Media Finance PLC
6.375%, due 04/15/23 (a)

      525,000           555,187   

WCI Communities, Inc.
6.875%, due 08/15/21 (a)

      350,000           359,625   

WellCare Health Plans, Inc.
5.750%, due 11/15/20

      240,000           250,200   

WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.250%, due 07/15/19

      500,000           572,500   

Wyle Services Corp.
10.500%, due 04/01/18 (a)

      200,000           208,000   

Zayo Group LLC/Zayo Capital, Inc.
8.125%, due 01/01/20

      302,000           332,955   
       

 

 

  
          79,452,134   
       

 

 

  

International Debt - 11.7%

  

Altice Financing SA
6.500%, due 01/15/22 (a)

      200,000           208,500   

Altice Finco SA
8.125%, due 01/15/24 (a)

      350,000           374,500   

Ardagh Packaging Finance PLC
9.125%, due 10/15/20 (a)

      250,000           277,500   

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

        

6.250%, due 01/31/19 (a)

      130,000           134,875   

6.750%, due 01/31/21 (a)

      300,000           312,000   

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.
7.000%, due 11/15/20 (a)

      35,294           36,529   
 

 

48   High Yield Bond Fund

Table of Contents

SSgA

High Yield Bond Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Market
Value
$		  
       

Capsugel SA PIK
7.000%, due 05/15/19 (a)

     350,000           363,125   

CEVA Group PLC
8.375%, due 12/01/17 (a)

      1,000,000           1,045,000   

Commerzbank AG
8.125%, due 09/19/23 (a)

      200,000           226,000   

Digicel Group, Ltd.
8.250%, due 09/30/20 (a)

      350,000           370,125   

Exopack Holdings SA
7.875%, due 11/01/19 (a)

      300,000           312,000   

Fly Leasing, Ltd.
6.750%, due 12/15/20

      600,000           619,500   

FMG Resources August 2006 Pty Ltd.
8.250%, due 11/01/19 (a)

      350,000           385,875   

HBOS PLC
6.750%, due 05/21/18 (a)

     500,000           569,557   

INEOS Group Holdings SA

        

6.125%, due 08/15/18 (a)

      550,000           569,250   

5.875%, due 02/15/19 (a)

      360,000           370,800   

Intelsat Luxembourg SA
7.750%, due 06/01/21 (a)

      188,000           202,335   

JLL/Delta Dutch Newco BV
7.500%, due 02/01/22 (a)

      360,000           367,200   

Kodiak Oil & Gas Corp.
5.500%, due 02/01/22

      650,000           667,875   

NCL Corp., Ltd.
5.000%, due 02/15/18

      620,000           643,250   

Royal Bank of Scotland Group PLC Series U
7.640%, due 09/30/17 (b)(c)

      500,000           501,250   

Sable International Finance, Ltd.
8.750%, due 02/01/20 (a)

      635,000           712,787   

Schaeffler Finance BV
4.750%, due 05/15/21 (a)

      438,000           443,475   

Schaeffler Holding Finance BV PIK
6.875%, due 08/15/18 (a)

      200,000           213,000   

Seven Seas Cruises S de RL LLC
9.125%, due 05/15/19

      225,000           248,625   

Silver II Borrower/Silver II US Holdings LLC
7.750%, due 12/15/20 (a)

      375,000           401,250   

SPCM SA
6.000%, due 01/15/22 (a)

      391,000           414,460   
     Principal
Amount ($)
or Shares		        Market
Value
$		  

Stackpole International Intermediate/Stackpole International Powder / Stackpl
7.750%, due 10/15/21 (a)

      325,000           346,125   

UPCB Finance VI Ltd.
6.875%, due 01/15/22 (a)

      500,000           546,875   

VTR Finance BV
6.875%, due 01/15/24 (a)

      250,000           255,991   
       

 

 

  
          12,139,634   
       

 

 

  
Total Long-Term Investments
(cost $86,407,592)		            91,591,768   
       

 

 

  
Short-Term Investment - 10.9%        

SSgA Prime Money Market Fund 0.18% (d)(e)
(cost $11,393,917)

      11,393,917           11,393,917   
       

 

 

  
Total Investments - 99.0%
(identified cost $97,801,509)		            102,985,685   
Other Assets and Liabilities,
Net - 1.0%		            1,024,837   
       

 

 

  
Net Assets - 100.0%           104,010,522   
       

 

 

  

Footnotes:

(a) Restricted security Rule (144A) or Section 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
(b) Perpetual floating rate security. Date shown reflects the next reset date.
(c) Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(d) Affiliated Fund managed by SSgA Funds Management, Inc. (Note 4).
(e) The rate shown is the annualized seven-day yield at period end

Abbreviations:

PIK - Pay In Kind

PLC - Public Limited Company

 

 

See accompanying notes which are an integral part of the financial statements.

 

High Yield Bond Fund     49   

Table of Contents

SSgA

High Yield Bond Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

 

Over-The-Counter Credit Default Swap Contracts  
Credit Indices                                         

Reference Entity

   

Counterparty

    Notional
Amount*
      Fund
(Pays)/
Receives
Fixed
Rate		      Termination
Date		      Market
Value
$		      Upfront
Premiums
Paid/
(Received)
$		      Unrealized
Appreciation/
(Depreciation)
$		  
                      

Protection Sold:

                    

Markit CDX North American High Yield Index

    Goldman Sachs & Co.    USD     3,000,000         5.00%         12/20/2018         241,870         228,000         13,870   
                

 

 

     

 

 

     

 

 

  

 

*   The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

During the six months ended February 28, 2014, average notional value related to swap contracts was $2,772,000 or 2.7% of net assets.

 

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

     Market Value*        % of
Net
Assets		  
Categories    Level 1        Level 2        Level 3        Total       

Corporate Bonds and Notes

    $ —         $ 79,452,134         $ —         $ 79,452,134           76.4   

International Debt

      —           12,139,634           —           12,139,634           11.7   

Short-Term Investment

      11,393,917           —           —           11,393,917           10.9   
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Investments

    $ 11,393,917         $ 91,591,768         $ —         $ 102,985,685           99.0   
  

 

 

       

 

 

       

 

 

       

 

 

       

Other Assets and Liabilities, Net

                          1.0   
                      

 

 

  
                         100.0   
                      

 

 

  

Other Financial Instruments**

                       

Over-The-Counter Credit Default Swap Contracts

    $ —         $ 13,870         $ —         $ 13,870           0.0 *** 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

*   For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2014.
**   Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.
***   Less than 0.05% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

50   High Yield Bond Fund

Table of Contents

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Table of Contents

SSgA Funds

Statements of Assets and Liabilities — February 28, 2014 (Unaudited)

 

          
Dynamic Small
Cap Fund		      Clarion Real
Estate Fund		      IAM
SHARES Fund		  
        

Assets

         

Investments, at identified cost

    $ 26,506,340       $ 32,580,160       $ 146,265,505   

Investments, at market (a)(b)

      30,067,951         48,333,021         238,357,866   

Cash

      4,600         —         —   

Cash (restricted)

      —         —         —   

Foreign currency holdings (c)

      —         —         —   

Unrealized appreciation on foreign currency exchange contracts

      —         —         —   

Unrealized appreciation on open swap contracts

      —         —         —   

Credit default swap contracts premiums paid

      —         —         —   

Receivables:

         

Dividends and interest

      20,980         22,585         530,335   

Investments sold

      —         —         —   

Fund shares sold

      125,536         33,034         564   

Foreign taxes recoverable

      17         —         842   

From adviser

      6,894         34,358         9,859   

Daily variation margin on futures contracts

      —         —         4,625   

Prepaid expenses

      131         401         1,762   
  

 

 

     

 

 

     

 

 

  

Total assets

      30,226,109         48,423,399         238,905,853   
  

 

 

     

 

 

     

 

 

  

Liabilities

         

Payables:

         

Due to custodian

      —         —         —   

Cash due to broker

      —         —         —   

Investments purchased

      —         —         —   

Fund shares redeemed

      12,143         35,716         88   

Accrued fees to affiliates and trustees

      40,929         84,463         104,514   

Other accrued expenses

      2,857         57,415         48,290   

Deferred tax liability

      —         —         —   

Daily variation margin on futures contracts

      530         —         —   

Unrealized depreciation on foreign currency exchange contracts

      —         —         —   

Payable upon return of securities loaned

      6,168,939         5,974,866         9,071,201   
  

 

 

     

 

 

     

 

 

  

Total liabilities

      6,225,398         6,152,460         9,224,093   
  

 

 

     

 

 

     

 

 

  
        

Net Assets

    $ 24,000,711       $ 42,270,939       $ 229,681,760   
  

 

 

     

 

 

     

 

 

  

Net Assets Consist of:

         

Undistributed (overdistributed) net investment income

    $ 4,851       $ 191,783       $ 700,993   

Accumulated net realized gain (loss)

      (17,372,418 )       (9,773,615 )       (22,060,889 ) 

Unrealized appreciation (depreciation) on:

         

Investments (Emerging Markets Fund — net of deferred tax liability for foreign capital gains tax)

      3,561,611         15,752,861         92,092,361   

Futures contracts

      398         —         111,105   

Credit default swap contracts

      —         —         —   

Foreign currency-related transactions

      —         —         —   

Shares of beneficial interest

      648         3,011         15,983   

Additional paid-in-capital

      37,805,621         36,096,899         158,822,207   
  

 

 

     

 

 

     

 

 

  

Net Assets

    $ 24,000,711       $ 42,270,939       $ 229,681,760   
  

 

 

     

 

 

     

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

52   Statements of Assets and Liabilities

Table of Contents
Enhanced Small
Cap Fund		     Emerging
Markets
Fund		     International
Stock Selection
Fund		     High Yield
Bond Fund		  
     
     
$ 25,377,316      $ 639,855,518      $ 312,872,119      $ 97,801,509   
  33,624,155        863,420,555        403,590,350        102,985,685   
  —        —        —        —   
  13,800        388,273        64,234        —   
  —        2,192,725        2,404,521        —   
  —        4,427,009        —        —   
  —        —        —        13,870   
  —        —        —        228,000   
     
  18,060        2,086,894        1,390,007        1,708,964   
  196        2,154,472        703,023        —   
  534        1,905,237        91,272        331,629   
  —        —        275,477        555   
  12,933        339,095        314,264        1,167   
  —        30,058        114,213        —   
  254        11,823        3,343        963   

 

 

    

 

 

    

 

 

    

 

 

  
  33,669,932        876,956,141        408,950,704        105,270,833   

 

 

    

 

 

    

 

 

    

 

 

  
     
     
  —        2,565,866        —        —   
  —        —        —        131,539   
  —        754,441        —        702,669   
  241,916        1,149,163        477,523        256,002   
  47,502        1,656,391        542,250        128,687   
  20,657        75,539        33,417        41,414   
  —        956,560        —        —   
  1,590        593,173        —        —   
  —        4,309,633        —        —   
  —        32,292,036        5,737,592        —   

 

 

    

 

 

    

 

 

    

 

 

  
  311,665        44,352,802        6,790,782        1,260,311   

 

 

    

 

 

    

 

 

    

 

 

  
     
$ 33,358,267      $ 832,603,339      $ 402,159,922      $ 104,010,522   

 

 

    

 

 

    

 

 

    

 

 

  
     
$ 1,526      $ (5,955,809 )    $ (3,913,799 )    $ 472,799   
  1,112,727        69,232,236        (609,927,482 )      106,929   
     
 
 		     
8,246,839		  
  		     222,657,811        90,718,231        5,184,176   
  16,684        (563,115 )      114,213        —   
  —        —        —        13,870   
  —        111,868        32,273        —   
  1,997        48,702        35,517        12,408   
  23,978,494        547,071,646        925,100,969        98,220,340   

 

 

    

 

 

    

 

 

    

 

 

  
$ 33,358,267      $ 832,603,339      $ 402,159,922      $ 104,010,522   

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

Statements of Assets and Liabilities     53   

Table of Contents

SSgA Funds

Statements of Assets and Liabilities — February 28, 2014 (Unaudited)

 

          
Dynamic Small
Cap Fund		      Clarion Real
Estate Fund		      IAM
SHARES Fund		  
        

Net Asset Value, offering and redemption price per share:

         

Net asset value per share: (d)

    $ 37.03       $ 14.04       $ 14.37   

Net assets

    $ 24,000,711       $ 42,270,939       $ 229,681,760   

Shares outstanding ($0.001 par value)

      648,180         3,011,036         15,982,441   

Net asset value per share: Institutional Class (e)

    $ —       $ —       $ —   

Net assets

    $ —       $ —       $ —   

Shares outstanding ($0.001 par value)

      —         —         —   

Net asset value per share: Select Class (e)

    $ —       $ —       $ —   

Net assets

    $ —       $ —       $ —   

Shares outstanding ($0.001 par value)

      —         —         —   

(a)     Securities on loan included in investments

    $ 6,002,820       $ 5,930,818       $ 9,033,956   

(b)    Investments in affiliated issuers, SSgA Prime Money Market Fund and State Street Navigator Securities Lending Prime Portfolio

    $ 6,500,226       $ 6,264,944       $ 10,599,984   

(c)     Foreign currency holdings — cost

    $ —       $ —       $ —   

(d)    Net asset value per share equals net assets divided by shares of beneficial interest outstanding.

       

(e)     Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

        

 

See accompanying notes which are an integral part of the financial statements.

 

54   Statements of Assets and Liabilities

Table of Contents
Enhanced Small
Cap Fund		     Emerging
Markets Fund		     International
Stock Selection
Fund		     High Yield
Bond Fund		  
     
     
$ 16.71      $ —      $ 11.32      $ 8.38   
$ 33,358,267      $ —      $ 402,159,922      $ 104,010,522   
  1,996,685        —        35,515,841        12,407,750   
$ —      $ 17.09      $ —      $ —   
$ —      $ 655,789,679      $ —      $ —   
  —        38,370,437        —        —   
$ —      $ 17.12      $ —      $ —   
$ —      $ 176,813,660      $ —      $ —   
  —        10,330,411        —        —   
$ —      $ 30,367,557      $ 5,458,772      $ —   

$

—

  

   $ 32,292,136      $ —      $ 11,393,917   
$ —      $ 2,182,513      $ 2,390,221      $ —   
     
     

 

See accompanying notes which are an integral part of the financial statements.

 

Statements of Assets and Liabilities     55   

Table of Contents

SSgA Funds

Statements of Operations — For the Period Ended February 28, 2014 (Unaudited)

 

          
Dynamic Small
Cap Fund		      Clarion Real
Estate Fund		      IAM SHARES
Fund		  
        

Investment Income

         

Dividends (net of foreign taxes withheld of $62, $0, $308, $119, $1,423,068, $248,140, $0, respectively)

    $ 137,290       $ 751,913       $ 2,371,447   

Dividends from affiliated money market funds

      57         27         412   

Interest

      —         —         16   

Securities lending income

      6,396         4,611         12,325   
  

 

 

     

 

 

     

 

 

  

Total investment income

      143,743         756,551         2,384,200   
  

 

 

     

 

 

     

 

 

  

Expenses

         

Advisory fees

      74,732         131,685         270,064   

Administration fees

      (18,738 )       2,444         1,942   

Custodian fees

      13,528         18,368         13,760   

Distribution fees

      18,642         44,812         30,121   

Transfer agent fees

      11,588         16,705         9,208   

Professional fees

      18,941         29,920         28,303   

Registration fees

      7,354         9,876         9,111   

Shareholder servicing fees

      1,587         4,266         26,387   

Shareholder servicing fees — Select Class

      —         —         —   

Trustees’ fees

      6,573         7,065         8,747   

Insurance fees

      206         614         2,730   

Printing fees

      2,347         28,154         10,686   

Miscellaneous

      2,078         387         4,924   
  

 

 

     

 

 

     

 

 

  

Expenses before reductions

      138,838         294,296         415,983   

Expense reductions

      (14,285 )       (91,703 )       (2,225 ) 
  

 

 

     

 

 

     

 

 

  

Net expenses

      124,553         202,593         413,758   
  

 

 

     

 

 

     

 

 

  

Net investment income (loss)

      19,190         553,958         1,970,442   
  

 

 

     

 

 

     

 

 

  

Net Realized and Unrealized Gain (Loss)

         

Net realized gain (loss) on:

         

Investments (Emerging Markets Fund — net of deferred tax liability for foreign capital gains taxes)

      2,133,656         1,052,703         114,006   

Futures contracts

      (51,980 )       —         341,240   

Credit default swap contracts

      —         —         —   

Foreign currency-related transactions

      —         —         —   
  

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

      2,081,676         1,052,703         455,246   
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on:

         

Investments (Emerging Markets Fund — net of deferred tax liability for foreign capital gains taxes)

      1,226,696         3,183,138         27,105,717   

Futures contracts

      398         —         80,698   

Foreign currency-related transactions

      —         —         —   

Credit default swap contracts

      —         —         —   
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation)

      1,227,094         3,183,138         27,186,415   
  

 

 

     

 

 

     

 

 

  

Net realized and unrealized gain (loss)

      3,308,770         4,235,841         27,641,661   
  

 

 

     

 

 

     

 

 

  

Net Increase (Decrease) in Net Assets from Operations

    $ 3,327,960       $ 4,789,799       $ 29,612,103   
  

 

 

     

 

 

     

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

56   Statements of Operations

Table of Contents
Enhanced Small
Cap Fund		     Emerging
Markets Fund		     International
Stock Selection
Fund		     High Yield
Bond Fund		  
     
     
    
$		  
254,257		  
  		   $ 9,389,301      $ 4,737,242      $ —   
  79        472        44        856   
  —        12,878        686        3,193,130   
  —        98,653        58,941        —   

 

 

    

 

 

    

 

 

    

 

 

  
  254,336        9,501,304        4,796,913        3,193,986   

 

 

    

 

 

    

 

 

    

 

 

  
     
  71,926        4,058,760        1,460,351        147,237   
  6,791        66,162        11,939        9,642   
  15,819        501,526        99,539        12,410   
  33,872        859,388        408,957        94,879   
  9,108        302,885        108,033        20,540   
  24,970        103,841        40,757        27,793   
  9,447        36,891        10,623        12,211   
  629        174,341        34,492        11,954   
  —        27,897        —        —   
  6,786        27,133        11,352        8,133   
  414        18,174        5,353        1,427   
  3,150        112,099        40,482        14,548   
  343        6,775        2,770        487   

 

 

    

 

 

    

 

 

    

 

 

  
  183,255        6,295,872        2,234,648        361,261   
  (63,379 )      (2,372 )      (287,513 )      (4,794 ) 

 

 

    

 

 

    

 

 

    

 

 

  
  119,876        6,293,500        1,947,135        356,467   

 

 

    

 

 

    

 

 

    

 

 

  
  134,460        3,207,804        2,849,778        2,837,519   

 

 

    

 

 

    

 

 

    

 

 

  
     
     
 
 		     
2,807,114		  
  		     81,095,686        25,854,067        99,452   
  42,078        339,135        436,059        —   
  —        —        —        6,667   
  —        (3,286,463 )      114,475        —   

 

 

    

 

 

    

 

 

    

 

 

  
  2,849,192        78,148,358        26,404,601        106,119   

 

 

    

 

 

    

 

 

    

 

 

  
     
 
 		     
2,095,681		  
  		     (49,005,127 )      34,268,360        4,323,110   
  16,684        (177,521 )      114,213        —   
  —        3,675,386        36,838        —   
  —        —        —        13,870   

 

 

    

 

 

    

 

 

    

 

 

  
  2,112,365        (45,507,262 )      34,419,411        4,336,980   

 

 

    

 

 

    

 

 

    

 

 

  
  4,961,557        32,641,096        60,824,012        4,443,099   

 

 

    

 

 

    

 

 

    

 

 

  
$ 5,096,017      $ 35,848,900      $ 63,673,790      $ 7,280,618   

 

 

    

 

 

    

 

 

    

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

Statements of Operations     57   

Table of Contents

SSgA Funds

Statements of Changes in Net Assets

 

     Dynamic Small Cap Fund      Clarion Real Estate Fund  
      Six Months Ended
February 28, 2014
(Unaudited)		      Year Ended
August 31, 2013		      Six Months Ended
February 28, 2014
(Unaudited)		      Year Ended
August 31, 2013		  

Increase (Decrease) in Net Assets

            

Operations

            

Net investment income (loss)

    $ 19,190       $ 85,516       $ 553,958       $ 795,414   

Net realized gain (loss)

      2,081,676         1,858,716         1,052,703         14,931,043   

Net change in unrealized appreciation (depreciation)

      1,227,094         1,350,457         3,183,138         (16,690,653 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets from operations

      3,327,960         3,294,689         4,789,799         (964,196 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Voluntary contribution from Adviser

      —         89,037         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions

            

From net investment income

      (92,371 )       (108,659 )       (429,695 )       (913,282 ) 

Institutional Class

      —         —         —         —   

Select Class

      —         —         —         —   

From net realized gain

      —         —         —         —   

Institutional Class

      —         —         —         —   

Select Class

      —         —         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Net decrease in net assets from distributions

      (92,371 )       (108,659 )       (429,695 )       (913,282 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Share Transactions

            

Net increase (decrease) in net assets from share transactions

      (2,743,811 )       10,227,164         (2,044,770 )       (20,321,498 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Increase (Decrease) in Net Assets

      491,778         13,502,231         2,315,334         (22,198,976 ) 

Net Assets

            

Beginning of period

      23,508,933         10,006,702         39,955,605         62,154,581   
  

 

 

     

 

 

     

 

 

     

 

 

  

End of period

    $ 24,000,711       $ 23,508,933       $ 42,270,939       $ 39,955,605   
  

 

 

     

 

 

     

 

 

     

 

 

  

Undistributed (overdistributed) net investment income included in net assets

    $ 4,851       $ 78,032       $ 191,783       $ 67,520   

 

See accompanying notes which are an integral part of the financial statements.

 

58   Statements of Changes in Net Assets

Table of Contents
IAM SHARES Fund     Enhanced Small Cap Fund     Emerging Markets Fund  
Six Months Ended
February 28, 2014
(Unaudited)		     Year Ended
August 31, 2013		     Six Months Ended
February 28, 2014
(Unaudited)		     Year Ended
August 31, 2013		     Six Months Ended
February 28, 2014
(Unaudited)		     Year Ended
August 31, 2013		  
         
         
$ 1,970,442      $ 3,417,364      $ 134,460      $ 392,118      $ 3,207,804      $ 28,124,431   
  455,246        1,423,391        2,849,192        4,077,229        78,148,358        145,550,804   
  27,186,415        26,701,911        2,112,365        2,273,553        (45,507,262 )      (129,203,723 ) 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  29,612,103        31,542,666        5,096,017        6,742,900        35,848,900        44,471,512   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  —        —        —        —        —        —   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
         
  (2,084,198 )      (3,333,585 )      (481,676 )      (283,671 )      —        —   
  —        —        —        —        (18,564,729 )      (21,694,247 ) 
  —        —        —        —        (5,905,236 )      (8,728,385 ) 
  —        —        —        —        —        —   
  —        —        —        —        (76,697,086 )      —   
  —        —        —        —        (21,345,545 )      —   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  (2,084,198 )      (3,333,585 )      (481,676 )      (283,671 )      (122,512,596 )      (30,422,632 ) 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
         
 
 		     
2,174,270		  
  		     3,581,348        (577,100 )      (4,272,123 )      (215,968,191 )      (588,996,718 ) 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
 
 		     
29,702,175		  
  		     31,790,429        4,037,241        2,187,106        (302,631,887 )      (574,947,838 ) 
         
  199,979,585        168,189,156        29,321,026        27,133,920        1,135,235,226        1,710,183,064   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
$ 229,681,760      $ 199,979,585      $ 33,358,267      $ 29,321,026      $ 832,603,339      $ 1,135,235,226   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

$

700,993

  

   $ 814,749      $ 1,526      $ 348,742      $ (5,955,809 )    $ 15,306,352   

 

See accompanying notes which are an integral part of the financial statements.

 

Statements of Changes in Net Assets     59   

Table of Contents

SSgA Funds

Statements of Changes in Net Assets

 

     International Stock Selection Fund      High Yield Bond Fund  
      Six Months Ended
February 28, 2014
(Unaudited)		      Year Ended
August 31, 2013		      Six Months Ended
February 28, 2014
(Unaudited)		      Year Ended
August 31, 2013		  
           

Increase (Decrease) in Net Assets

            

Operations

            

Net investment income (loss)

    $ 2,849,778       $ 9,355,838       $ 2,837,519       $ 7,140,297   

Net realized gain (loss)

      26,404,601         17,116,329         106,119         5,532,229   

Net change in unrealized appreciation (depreciation)

      34,419,411         42,692,979         4,336,980         (3,646,252 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets from operations

      63,673,790         69,165,146         7,280,618         9,026,274   
  

 

 

     

 

 

     

 

 

     

 

 

  

Voluntary contribution from Adviser

      —         —         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions

            

From net investment income

      (11,789,005 )       (14,562,360 )       (2,790,905 )       (7,383,793 ) 

Institutional Class

      —         —         —         —   

Select Class

      —         —         —         —   

From net realized gain

      —         —         (4,914,908 )       (298,638 ) 

Institutional Class

      —         —         —         —   

Select Class

      —         —         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Net decrease in net assets from distributions

      (11,789,005 )       (14,562,360 )       (7,705,813 )       (7,682,431 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Share Transactions

            

Net increase (decrease) in net assets from share transactions

      (17,815,798 )       (73,632,327 )       15,179,008         (26,086,439 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Increase (Decrease) in Net Assets

      34,068,987         (19,029,541 )       14,753,813         (24,742,596 ) 

Net Assets

            

Beginning of period

      368,090,935         387,120,476         89,256,709         113,999,305   
  

 

 

     

 

 

     

 

 

     

 

 

  

End of period

    $ 402,159,922       $ 368,090,935       $ 104,010,522       $ 89,256,709   
  

 

 

     

 

 

     

 

 

     

 

 

  

Undistributed (overdistributed) net investment income included in net assets

    $ (3,913,799 )     $ 5,025,428       $ 472,799       $ 426,185   

 

See accompanying notes which are an integral part of the financial statements.

 

60   Statements of Changes in Net Assets

Table of Contents

 

 

 

 

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Table of Contents

SSgA Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.

 

         
$
Net Asset Value,
Beginning of
Period		     $
Net
Investment
Income (Loss)(a)(b)		     $
Net Realized
and Unrealized
Gain (Loss)		     $
Total from
Investment
Operations		     $
Voluntary
Contribution
from Adviser		     $
Distributions
from Net
Investment Income		     $
Distributions
from Net
Realized Gain		  

Dynamic Small Cap Fund

  

February 28, 2014*

     31.76        0.03        5.41        5.44        —        (0.17 )      —   

August 31, 2013

     24.28        0.17        7.56        7.73        0.01        (0.26 )      —   

August 31, 2012

     20.89        0.25        3.14        3.39        —        —        —   

August 31, 2011

     15.80        (0.05 )      5.14        5.09        —        —        —   

August 31, 2010

     15.31        (0.02 )      0.51        0.49        —        —        —   

August 31, 2009

     22.14        (0.06 )      (6.77 )      (6.83 )      —        —        —   

Clarion Real Estate Fund

  

February 28, 2014*

     12.63        0.18        1.37        1.55        —        (0.14 )      —   

August 31, 2013

     13.11        0.21        (0.46 )      (0.25 )      —        (0.23 )      —   

August 31, 2012

     11.07        0.21        2.00        2.21        —        (0.17 )      —   

August 31, 2011

     9.49        0.14        1.60        1.74        —        (0.16 )      —   

August 31, 2010

     7.48        0.21        2.06        2.27        —        (0.26 )      —   

August 31, 2009

     14.00        0.28        (5.80 )      (5.52 )      —        (0.27 )      (0.73 ) 

IAM SHARES Fund

  

February 28, 2014*

     12.64        0.12        1.74        1.86        —        (0.13 )      —   

August 31, 2013

     10.84        0.22        1.79        2.01        —        (0.21 )      —   

August 31, 2012

     9.37        0.18        1.46        1.64        —        (0.17 )      —   

August 31, 2011

     8.07        0.15        1.30        1.45        —        (0.15 )      —   

August 31, 2010

     7.88        0.14        0.18        0.32        —        (0.13 )      —   

August 31, 2009

     9.89        0.17        (1.99 )      (1.82 )      —        (0.19 )      —   

Enhanced Small Cap Fund

  

February 28, 2014*

     14.44        0.07        2.44        2.51        —        (0.24 )      —   

August 31, 2013

     11.54        0.18        2.84        3.02        —        (0.12 )      —   

August 31, 2012

     10.14        0.11        1.37        1.48        —        (0.08 )      —   

August 31, 2011

     7.95        0.07        2.17        2.24        —        (0.05 )      —   

August 31, 2010

     7.42        0.05        0.54        0.59        —        (0.06 )      —   

August 31, 2009

     10.01        0.06        (2.56 )      (2.50 )      —        (0.09 )      —   

 

*   For the six months ended February 28, 2014 (Unaudited)
(a)   Average daily shares outstanding were used for this calculation.
(b)   May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than 0.005%.
(c)   Periods less than one year are not annualized.
(d)   The ratios for periods less than one year are annualized.
(e)   If the Adviser had not made a one-time voluntary contribution during the period ended August 31, 2013, the total return would have been 31.70% for Dynamic Small Cap Fund.

 

See accompanying notes which are an integral part of the financial statements.

 

62   Financial Highlights

Table of Contents
$
Total
Distributions		     $
Net Asset Value,
End of
Period		     %
Total
Return(c)		     $
Net Assets,
End of Period
(000)		     %
Ratio of Expenses
to Average
Net Assets,
Net(b)(d)		     %
Ratio of Expenses
to Average
Net Assets,
Gross(d)		     %
Ratio of Net
Investment Income
to Average
Net Assets(b)(d)		     %
Portfolio
Turnover Rate(c)		  
             
  (0.17 )      37.03        17.13        24,001        1.25        1.39        0.19        102   
  (0.26 )      31.76        32.20 (e)      23,509        1.25        2.28        0.61        147   
  —        24.28        16.23        10,007        1.25        3.51        1.10        160   
  —        20.89        32.22        9,115        1.25        3.38        (0.24 )      179   
  —        15.80        3.20        8,562        1.53        3.36        (0.10 )      240   
  —        15.31        (30.85 )      10,906        1.81        2.70        (0.39 )      235   
             
  (0.14 )      14.04        12.36        42,271        1.00        1.45        2.73        16   
  (0.23 )      12.63        (1.94 )      39,956        1.00        1.43        1.60        58   
  (0.17 )      13.11        20.22        62,155        1.00        1.32        1.76        21   
  (0.16 )      11.07        18.41        58,135        1.00        1.26        1.29        12   
  (0.26 )      9.49        30.77        59,738        1.00        1.31        2.46        36   
  (1.00 )      7.48        (39.82 )      75,511        1.00        1.29        3.88        55   
             
  (0.13 )      14.37        14.80        229,682        0.38        0.39        1.82        —   
  (0.21 )      12.64        18.80        199,980        0.45        0.45        1.84        —   
  (0.17 )      10.84        17.73        168,189        0.50        0.51        1.74        3   
  (0.15 )      9.37        17.99        152,343        0.48        0.48        1.54        —   
  (0.13 )      8.07        4.01        128,928        0.53        0.53        1.62        2   
  (0.19 )      7.88        (18.15 )      123,953        0.54        0.54        2.39        5   
             
  (0.24 )      16.71        17.37        33,358        0.75        1.15        0.84        35   
  (0.12 )      14.44        26.45        29,321        0.75        1.36        1.35        57   
  (0.08 )      11.54        14.76        27,134        0.75        1.58        1.06        64   
  (0.05 )      10.14        28.19        27,311        0.75        1.44        0.69        57   
  (0.06 )      7.95        8.01        26,130        0.75        1.58        0.62        77   
  (0.09 )      7.42        (24.91 )      27,314        0.75        1.48        0.85        101   

 

See accompanying notes which are an integral part of the financial statements.

 

Financial Highlights     63   

Table of Contents

SSgA Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.

 

     

$
Net Asset Value,
Beginning of
Period

      $
Net
Investment
Income (Loss)(a)(b)		      $
Net Realized
and Unrealized
Gain (Loss)		     $
Total from
Investment
Operations		     $
Distributions
from Net
Investment Income		     $
Distributions
from Net
Realized Gain		     $
Total
Distributions		  

Emerging Markets Fund

  

           

Institutional Class

  

           

February 28, 2014*

      18.47         0.05         0.57        0.62        (0.39 )      (1.61 )      (2.00 ) 

August 31, 2013

      18.71         0.37         (0.28 )      0.09        (0.33 )      —        (0.33 ) 

August 31, 2012

      20.81         0.34         (2.14 )      (1.80 )      (0.30 )      —        (0.30 ) 

August 31, 2011

      19.20         0.29         1.70        1.99        (0.38 )      —        (0.38 ) 

August 31, 2010

      16.61         0.17         2.81        2.98        (0.39 )      —        (0.39 ) 

August 31, 2009

      22.72         0.27         (4.71 )      (4.44 )      —        (1.67 )      (1.67 ) 

Select Class

  

           

February 28, 2014*

      18.53         0.07         0.57        0.64        (0.44 )      (1.61 )      (2.05 ) 

August 31, 2013

      18.79         0.38         (0.23 )      0.15        (0.41 )      —        (0.41 ) 

August 31, 2012

      20.90         0.36         (2.13 )      (1.77 )      (0.34 )      —        (0.34 ) 

August 31, 2011

      19.28         0.31         1.73        2.04        (0.42 )      —        (0.42 ) 

August 31, 2010

      16.67         0.21         2.82        3.03        (0.42 )      —        (0.42 ) 

August 31, 2009

      22.75         0.30         (4.71 )      (4.41 )      —        (1.67 )      (1.67 ) 

International Stock Selection Fund

  

           

February 28, 2014*

      9.90         0.08         1.67        1.75        (0.33 )      —        (0.33 ) 

August 31, 2013

      8.61         0.23         1.40        1.63        (0.34 )      —        (0.34 ) 

August 31, 2012

      9.24         0.23         (0.53 )      (0.30 )      (0.33 )      —        (0.33 ) 

August 31, 2011

      8.81         0.23         0.46        0.69        (0.26 )      —        (0.26 ) 

August 31, 2010

      9.24         0.18         (0.33 )      (0.15 )      (0.28 )      —        (0.28 ) 

August 31, 2009

      11.79         0.24         (2.57 )      (2.33 )      (0.22 )      —        (0.22 ) 

High Yield Bond Fund

  

           

February 28, 2014*

      8.40         0.24         0.38        0.62        (0.24 )      (0.40 )      (0.64 ) 

August 31, 2013

      8.36         0.49         0.08        0.57        (0.51 )      (0.02 )      (0.53 ) 

August 31, 2012

      7.90         0.52         0.48        1.00        (0.54 )      —        (0.54 ) 

August 31, 2011

      7.84         0.58         0.06        0.64        (0.58 )      —        (0.58 ) 

August 31, 2010

      7.12         0.73         0.74        1.47        (0.75 )      —        (0.75 ) 

August 31, 2009

      7.60         0.64         (0.48 )      0.16        (0.64 )      —        (0.64 ) 

 

*   For the six months ended February 28, 2014 (Unaudited)
(a)   Average daily shares outstanding were used for this calculation.
(b)   May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than 0.005%.
(c)   Periods less than one year are not annualized.
(d)   The ratios for periods less than one year are annualized.
(e)   If the Adviser had not made a contribution during the period ended August 31, 2013, the total return would have been 0.41% and 0.66% for the Institutional Class and Select Class of Emerging Markets Fund, respectively, and would have remained 19.45% for International Stock Selection Fund.

 

See accompanying notes which are an integral part of the financial statements.

 

64   Financial Highlights

Table of Contents
$
Net Asset Value,
End of
Period		     %
Total
Return(c)		     $
Net Assets,
End of Period
(000)		     %
Ratio of Expenses
to Average
Net Assets,
Net(b)(d)		     %
Ratio of Expenses
to Average
Net Assets,
Gross(d)		     %
Ratio of Net
Investment Income
to Average
Net Assets(b)(d)		     %
Portfolio
Turnover Rate(c)		  
           
           
  17.09        2.60        655,790        1.21        1.21        0.56        31   
  18.47        0.45 (e)      938,195        1.25        1.26        1.86        56   
  18.71        (8.63 )      1,273,588        1.25        1.28        1.80        74   
  20.81        10.25        1,451,810        1.25        1.26        1.29        50   
  19.20        17.98        1,328,720        1.24        1.24        0.87        63   
  16.61        (16.50 )      1,453,575        1.20        1.21        1.99        61   
           
  17.12        2.75        176,814        0.99        0.99        0.73        31   
  18.53        0.69 (e)      197,040        1.03        1.04        1.92        56   
  18.79        (8.42 )      436,595        1.02        1.05        1.90        74   
  20.90        10.48        715,328        1.02        1.04        1.40        50   
  19.28        18.24        954,350        1.01        1.02        1.09        63   
  16.67        (16.33 )      1,082,478        0.98        0.99        2.22        61   
           
  11.32        17.81        402,160        1.00        1.15        1.46        26   
  9.90        19.45 (e)      368,091        1.00        1.19        2.41        54   
  8.61        (3.16 )      387,120        1.00        1.21        2.65        90   
  9.24        7.61        766,126        1.00        1.19        2.27        77   
  8.81        (1.85 )      1,055,967        1.00        1.17        1.95        83   
  9.24        (19.46 )      1,525,020        1.00        1.16        3.04        122   
           
  8.38        7.67        104,011        0.73        0.74        5.78        39   
  8.40        6.85        89,257        0.75        0.79        5.70        112   
  8.36        13.17        113,999        0.75        0.88        6.30        196   
  7.90        8.16        78,626        0.75        0.83        7.02        294   
  7.84        21.46        51,398        0.75        1.01        9.43        294   
  7.12        3.65        51,856        0.75        1.06        10.20        289   

 

See accompanying notes which are an integral part of the financial statements.

 

Financial Highlights     65   

Table of Contents

SSgA Funds

Notes to Financial Statements — February 28, 2014 (Unaudited)

 

 

1.   Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 12 investment portfolios that were in operation as of February 28, 2014. These financial statements report on seven funds: the SSgA Dynamic Small Cap Fund, SSgA Clarion Real Estate Fund, SSgA IAM SHARES Fund, SSgA Enhanced Small Cap Fund, SSgA Emerging Markets Fund, SSgA International Stock Selection Fund and SSgA High Yield Bond Fund (each a “Fund” and collectively referred to as the “Funds”), each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a Second Amended and Restated Master Trust Agreement, dated May 15, 2012 (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

Select Class shares of the Emerging Markets Fund, which were first offered on November 28, 2005, may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company or State Street Global Markets LLC to offer shares (“Select Intermediaries”). Select Intermediaries are advisers, securities brokers, banks and financial institutions or other industry professionals or organizations that have entered into a shareholder servicing agreement with the State Street Global Markets LLC with respect to investments of its accounts in the Select Class.

 

2.   Significant Accounting Policies

The Funds’ 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 and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

U.S. GAAP defines fair market value as the price that 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. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2, and 3). In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

 

  •  

Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

 

  •  

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

  •  

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Common stocks, preferred stocks, exchange traded funds and derivatives that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, bank notes and non-U.S. bonds are normally valued by pricing service

 

66   Notes to Financial Statements

Table of Contents

SSgA Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable, such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.

Short-term instruments purchased by the Funds and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value. These investments are categorized as Level 2 of the fair value hierarchy.

Financial over-the-counter derivative instruments are instruments such as foreign currency contracts, options contracts, or swap agreements that derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Events or circumstances affecting the values of Fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of Fund shares is determined may be reflected in the Investment Company’s calculation of NAVs for each applicable Fund when the Investment Company deems that the particular event or circumstance would materially affect such Fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Funds that invest in low-rated debt securities are also likely to use fair value pricing more often since the markets in which such securities are traded are generally thinner, more limited and less active than those for higher rated securities. Examples of events that could trigger fair value pricing of one or more securities are: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale price”), or (5) the Funds’ custodian or administrator determines that a market quotation is inaccurate.

Equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

The NAV of a Fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem Fund shares, since foreign securities can trade on non-business days.

 

Notes to Financial Statements     67   

Table of Contents

SSgA Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes).

When fair valuation methods are applied that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the footnotes to the Schedule of Investments for each respective Fund.

The levels associated with valuing the Funds’ investments for the period ended February 28, 2014 are disclosed in the Presentation of Portfolio Holdings following the Schedules of Investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost which is the same basis used for federal income taxes.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon thereafter as the Funds are informed of the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Interest income is recorded daily on the accrual basis. All premiums and discounts, including original issue discounts, are amortized/accreted using the interest method. Withholding taxes on foreign dividend interest and capital gains have been provided for in accordance with the applicable country’s tax rules and rates.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (losses) of the other Funds.

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986 (the “Code”), as amended. This requires each Fund to distribute an amount sufficient to avoid any excise tax under Section 4982 of the Code. Therefore, for the period ended February 28, 2014, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2014, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years ended August 31, 2010 through

 

68   Notes to Financial Statements

Table of Contents

SSgA Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

August 31, 2013, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

At February 28, 2014, the following Funds had net tax basis capital loss carryforwards, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:

 

     Expiration Year  
      8/31/2016      8/31/2017      8/31/2018      8/31/2019     

Non-Expiring

Short Term

     

Non-Expiring

Long Term

      Total  
                    

Dynamic Small Cap Fund

    $ —       $ 12,950,987       $ 6,490,926       $ —       $ —       $ —       $ 19,441,913   

Clarion Real Estate Fund

    $ —       $ —       $ 10,726,973       $ —       $ —       $ —       $ 10,726,973   

IAM SHARES Fund

    $ 2,796,414       $ 1,248,239       $ 17,638,415       $ 413,777       $ —       $ —       $ 22,096,845   

Enhanced Small Cap Fund

    $ —       $ —       $ 1,727,264       $ —       $ —       $ —       $ 1,727,264   

Emerging Markets Fund

    $ —       $ —       $ —       $ —       $ —       $ —       $ —   

International Stock Selection Fund

    $ —       $ 153,873,846       $ 428,227,873       $ —       $ 52,700,471       $ —       $ 634,802,190   

High Yield Bond Fund

    $ —       $ —       $ —       $ —       $ —       $ —       $ —   

As of February 28, 2014, the Funds’ aggregate cost of investments and the comparison of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:

 

      Cost of
Investments for
Tax Purposes		      Gross Tax
Unrealized
Appreciation		      Gross Tax
Unrealized
Depreciation		     

Net Unrealized

Appreciation

(Depreciation)

  

Dynamic Small Cap Fund

    $ 26,506,340       $ 3,879,335       $ 317,724       $ 3,561,611   

Clarion Real Estate Fund

    $ 32,580,160       $ 15,794,067       $ 41,206       $ 15,752,861   

IAM SHARES Fund

    $ 146,265,505       $ 102,923,647       $ 10,831,286       $ 92,092,361   

Enhanced Small Cap Fund

    $ 25,377,316       $ 8,725,824       $ 478,985       $ 8,246,839   

Emerging Markets Fund

    $ 639,855,518       $ 261,474,487       $ 37,909,450       $ 223,565,037   

International Stock Selection Fund

    $ 312,872,119       $ 94,820,775       $ 4,102,544       $ 90,718,231   

High Yield Bond Fund

    $ 97,801,509       $ 5,499,655       $ 315,479       $ 5,184,176   

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid on the following frequency:

 

Dynamic Small Cap Fund

      Annually   

Clarion Real Estate Fund

      Monthly   

IAM SHARES Fund

      Quarterly   

Enhanced Small Cap Fund

      Annually   

Emerging Markets Fund

      Annually   

International Stock Selection Fund

      Annually   

High Yield Bond Fund

      Monthly   

Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in swaps, futures, forward contracts, passive foreign investment companies, foreign denominated investments, REITs, wash sales, partnerships, non-taxable dividends and investments in certain securities sold at a loss. Permanent differences between book and tax accounting are reclassified to paid-in capital. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset value.

Expenses

Most expenses can be directly attributed to a Fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all funds of the Investment Company based principally on their relative average net assets.

 

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The Emerging Markets Fund offers Institutional Class and Select Class shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Foreign Currency Translations

The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts and transactions of any fund that holds securities denominated in non-U.S. dollars are translated into U.S. dollars on the following basis:

(a) Market value of investment securities, other assets and liabilities at the closing rate of exchange on the valuation date.

(b) Purchases and sales of investment securities and income at the closing rate of exchange prevailing on the respective trade dates of such transactions.

Reported net realized gains or losses from foreign currency-related transactions arise from sales and maturities of short-term securities; sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized gains (losses) from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities resulting from changes in the exchange rates.

These Funds do not isolate that portion of the results of operations of a Fund that arises as a result of changes in exchange rates from that portion that arises from changes in market prices of investments during the period. Such fluctuations are included with the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (loss) on debt obligations.

Capital Gains Taxes

The Emerging Markets Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. This Fund has recorded a deferred tax liability in respect of unrealized appreciation on foreign securities for potential capital gains and repatriation taxes at February 28, 2014. The accrual for capital gains and repatriation taxes is included in net unrealized appreciation (depreciation) on investments in the Statement of Assets and Liabilities for the Fund. The amounts related to capital gain taxes are included in net realized gain (loss) on investments in the Statement of Operations for the Fund.

 

      Deferred Tax Liability      Capital Gains Taxes  
     

Emerging Markets Fund

    $ 956,560       $ 775,026   

High Yield Securities

The High Yield Bond Fund may invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield instruments reflect, among other things, perceived credit risk. The Funds’ investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

Loan Agreements

The High Yield Bond Fund may invest in direct debt instruments which are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. These investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan anticipation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the loan agreement with

 

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the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan.

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in each Fund’s Prospectus and Statement of Additional Information, the Funds may invest in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures and credit default swaps. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objectives.

The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by the Funds through the use of options and futures to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances. Hedging is used by the Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in the Funds. By purchasing certain instruments, the Funds may more effectively achieve the desired portfolio characteristics that assist in meeting the Funds’ investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk, counterparty risk, interest rate risk and credit risk.

Investments in a derivative instrument could lose more than the principal amount invested. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices and thus a Fund’s losses may be greater if it invests in derivatives than if it invests only in conventional securities. The use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in equity or fixed income securities, currencies or other investments. Derivatives are subject to a number of risks such as liquidity risk, market risk, credit risk, default risk, counterparty risk and management risk. They also involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate exactly with the change in the value of the underlying asset, rate or index.

The fair values of the Funds’ derivative instruments as shown on the Statements of Assets and Liabilities, categorized by risk exposure for the period ended February 28, 2014 were as follows:

 

      Dynamic Small
Cap Fund		      IAM
Shares Fund		      Enhanced Small
Cap Fund		      Emerging
Markets Fund		     

International Stock

Selection Fund

     

High Yield

Bond Fund

  
      Equity
Contracts		      Equity
Contracts		      Equity
Contracts		      Equity
Contracts		      Foreign
Currency
Contracts*		      Equity
Contracts		      Equity
Contracts		  
                    
Asset Derivatives(1)                                            

Futures Contracts

    $ 398       $ 111,107       $ 16,684       $ 30,058       $ —       $ 114,213       $ 13,870   

Foreign currency-related transactions

      —         —         —         —         4,427,009         
Liability Derivatives(1)                                            

Futures Contracts

    $ —       $ —       $ —       $ 593,173       $ —         

Foreign currency-related transactions

      —         —         —         —         4,309,633         

 

  * Includes only forward foreign currency-related transactions.
  (1) Portfolio of Investments: Cumulative unrealized appreciation/depreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

 

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The effects of derivative instruments on the Statements of Operations, for the period ended February 28, 2014 were as follows:

 

      Dynamic Small
Cap Fund		    

IAM

Shares Fund

      Enhanced Small
Cap Fund		      Emerging
Markets Fund		     International Stock
Selection Fund		     

High Yield

Bond Fund

  
      Equity
Contracts		     Equity
Contracts		      Equity
Contracts		      Equity
Contracts		     Foreign
Currency
Contracts*		     Equity
Contracts		      Equity
Contracts		  
                 
Realized Gain (Loss)(2)                                         

Futures Contracts

    $ (51,980 )    $ 341,240       $ 42,078       $ 339,135      $ —      $ 436,059       $ —   

Foreign currency-related transactions

      —        —         —         —        (3,095,694 )      

Credit Default Swap Contracts

                  —         6,667   
Change in Appreciation (Depreciation)(3)                            

Futures Contracts

    $ 398      $ 80,698       $ 16,684       $ (177,521 )    $ —      $ 114,213       $ —   

Foreign currency-related transactions

      —        —         —         —        3,519,176        

Credit Default Swap Contracts

                  —         13,870   

 

  * Includes only forward foreign currency-related transactions.
  (2) Statement of Operations location: Net realized gain (loss) on: Futures contracts
  (3) Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

Derivative balances at February 28, 2014 are representative of derivative use throughout the period.

For the period ended February 28, 2014, the Funds’ quarterly holdings of futures contracts were as follows:

 

     Number of Futures Contracts Outstanding  
Quarter Ended    Dynamic
Small Cap
Fund		      IAM
SHARES
Fund		      Enhanced
Small Cap
Fund		      Emerging
Markets
Fund		      International
Stock Selection
Fund		  

November 30, 2013

      4         9         11         760         85   

February 28, 2014

      1         5         3         725         20   

For the period ended February 28, 2014, the Funds’ quarterly holdings of swap contracts were as follows:

 

     Credit Default Swap Notional Amounts Outstanding  
Quarter Ended    High Yield Bond Fund  

November 30, 2013

      —   

February 28, 2014

      3,000,000   

For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on the Statement of Assets and Liabilities. The following tables set forth the Fund’s net exposure to derivative assets and liabilities available for offset and net of collateral at February 28, 2014.

 

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Offsetting of Financial Assets and Derivative Assets  
SSgA Emerging Markets Fund — Foreign Currency Exchange Contracts  
Counterparty    Gross Amounts
of Recognized
Assets		      Gross Amounts
Offset in
Statements of
Assets and
Liabilities		      Net Amounts of
Assets presented
in Statements of
Assets  and
Liabilities		      Gross Amounts
Not Offset in the
Statements of Assets
and  Liabilities
Collateral Received(a)		      Net
Amount
of Derivative
Assets		  

Barclays Bank PLC

      1,257,296         0         1,257,296         1,185,234         72,062   

BNP Paribas SA

      2,608         0         2,608         0         2,608   

Citibank N.A.

      172,561         0         172,561         172,561         0   

Credit Suisse

      202,077         0         202,077         87,250         114,827   

Deutsche Bank AG

      912,642         0         912,642         495,183         417,459   

Goldman Sachs & Co.

      1,371,170         0         1,371,170         0         1,371,170   

JPMorgan Chase Bank NA

      234,447         0         234,447         151,689         82,758   

Royal Bank of Scotland PLC

      44,193         0         44,193         44,193         0   

Societe Generale

      166,316         0         166,316         166,316         0   

Standard Chartered Bank

      63,699         0         63,699         7,728         55,971   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 4,427,009       $ 0       $ 4,427,009       $ 2,310,154       $ 2,116,855   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

Offsetting of Financial Liabilities and Derivative Liabilities  
SSgA Emerging Markets Fund — Foreign Currency Exchange Contracts  
Counterparty    Gross Amounts
of Recognized
Liabilities		      Gross Amounts
Offset in
Statements of
Assets and
Liabilities		      Net Amounts of
Assets presented
in Statements of
Assets  and
Liabilities		      Gross Amounts
Not Offset in the
Statements of Assets
and  Liabilities
Collateral Pledged(a)		      Net
Amount
of Derivative
Liabilities		  

Barclays Bank PLC

      1,185,234         0         1,185,234         1,185,234         0   

Citibank N.A.

      793,990         0         793,990         172,561         621,429   

Credit Suisse

      87,250         0         87,250         87,250         0   

Deutsche Bank AG

      495,183         0         495,183         495,183         0   

JPMorgan Chase Bank NA

      151,689         0         151,689         151,689         0   

Royal Bank of Scotland PLC

      384,789         0         384,789         44,193         340,596   

Societe Generale

      1,203,770         0         1,203,770         166,316         1,037,454   

Standard Chartered Bank

      7,728         0         7,728         7,728         0   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 4,309,633       $ 0       $ 4,309,633       $ 2,310,154       $ 1,999,479   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  The actual collateral received and/or pledged may be more than the amount shown.

For financial reporting purposes, the Fund does not offset credit default swap assets or liabilities on the Statement of Assets and Liabilities and is not subject to a Master Netting Agreement. The following tables set forth the Fund’s net exposure to credit default swap assets and liabilities available at February 28, 2014.

 

Offsetting of Financial Assets and Derivative Assets  
SSgA High Yield Bond Fund — Credit Default Swap Contracts  
Counterparty    Gross Amounts
of Recognized
Assets		      Gross Amounts
Offset in
Statements of
Assets and
Liabilities		      Net Amounts of
Assets presented
in Statements of
Assets  and
Liabilities		      Gross Amounts
Not Offset in the
Statements of Assets
and  Liabilities
Collateral Received(a)		      Net
Amount
of Derivative
Assets		  

Goldman Sachs & Co.

    $ 241,870       $ 0       $ 241,870       $ 131,539       $ 110,331   

 

Offsetting of Financial Liabilities and Derivative Liabilities  
SSgA High Yield Bond Fund — Credit Default Swap Contracts  
Counterparty    Gross Amounts
of Recognized
Liabilities		      Gross Amounts
Offset in
Statements of
Assets and
Liabilities		      Net Amounts of
Assets presented
in Statements of
Assets  and
Liabilities		      Gross Amounts
Not Offset in the
Statements of Assets
and  Liabilities
Collateral Pledged(a)		      Net
Amount
of Derivative
Liabilities		  

Goldman Sachs & Co.

    $ 131,539       $ 0       $ 131,539       $ 131,539       $ 0   

 

  (a)  The actual collateral received and/or pledged may be more than the amount shown.

 

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Foreign Currency Exchange Contracts

In connection with portfolio purchases and sales of securities denominated in a foreign currency, certain funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts (“contracts”). Additionally, from time to time these Funds may enter into contracts to hedge certain foreign currency-denominated assets. Contracts are recorded at market value. Certain risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contracts, if any, that are recognized in the accompanying Statements of Assets and Liabilities. Realized gains (losses) arising from such transactions are included in net realized gain (loss) from foreign currency-related transactions.

These Funds may engage in forward currency contracts to hedge against uncertainty in the level of future exchange rates or, to the extent permitted by the investment objective, restrictions and policies set forth in a Fund’s Prospectus and Statement of Additional Information, to effect investment transactions to generate returns consistent with the Funds’ investment objective and strategies. A forward contract involves an obligation to purchase or sell a specific currency. Forward currency contracts are subject to the risk that should forward prices increase, a loss will be incurred to the extent that the price of the currency agreed to be purchased exceeds the price of the currency agreed to be sold.

For the period ended February 28, 2014, the following Fund entered into forward foreign currency exchange contracts primarily for the strategy listed below:

 

Fund    Strategy

SSgA Emerging Markets Fund

    Hedging duration

Futures Contracts

A futures contract is an agreement to buy or sell a security, or deliver a cash settlement, in connection with an interest rate, an index, currency or other asset. The risk of loss in trading futures contracts in some strategies is potentially unlimited. The entire amount invested in futures contracts could be lost. There also is no assurance that a liquid secondary market will exist for futures contracts and options in which a Fund may invest. Participation in the futures markets, as well as the use of various forward contracts, involves investment risks and transaction costs to which the Fund would not be subject absent the use of these strategies. If the Fund’s predictions of movements in the direction of the securities, fixed income or currencies markets are inaccurate, the adverse consequences to the Fund may leave the Fund in a worse position than if such strategies were not used.

Certain Funds are currently utilizing exchange-traded futures contracts. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as the variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement value are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized.

For the period ended February 28, 2014, the following Funds entered into future contracts primarily for the strategies listed below:

 

Funds    Strategies

IAM SHARES Fund

    Equitize cash and cash equivalents

Enhanced Small Cap Fund

    Hedging duration

Emerging Markets Fund

    Return enhancement, hedging and exposing cash reserves to markets

International Stock Selection Fund

    Exposing cash reserves to markets

Credit Default Swaps

The High Yield Bond Fund may enter into credit default swaps. A credit default swap can refer to corporate issues, asset-backed securities or an index of assets, each known as the reference entity or underlying asset. The Fund may act as either the buyer or the seller of a credit default swap involving one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Depending upon the terms of the contract,

 

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the credit default swap may be closed via physical settlement. However, due to the possible or potential instability in the market, there is a risk that the Fund may be unable to deliver the underlying debt security to the other party to the agreement. Additionally, the Fund may not receive the expected amount under the swap agreement if the other party to the agreement defaults or becomes bankrupt. In an unhedged credit default swap, the Fund enters into a credit default swap without owning the underlying asset or debt issued by the reference entity. Credit default swaps allow the Fund to acquire or reduce credit exposure to a particular issuer, asset or basket of assets.

Credit default swaps could result in losses if the Fund does not correctly evaluate the creditworthiness of the company or companies on which the credit default swap is based. Credit default swap agreements may involve greater risks than if the Fund had invested in the reference obligation directly since, in addition to risks relating to the reference obligation, credit default swaps are subject to illiquidity and counterparty risk. The Fund will generally incur a greater degree of risk when it sells a credit default swap than when it purchases a credit default swap. As a buyer of a credit default swap, the Fund may lose its upfront or periodic payments previously made and recover nothing should a credit event fail to occur and the swap is held to its termination date. As a seller of a credit default swap, if a credit event were to occur, the value of any deliverable obligation received by the Fund, coupled with the upfront or periodic payments previously received, may be less than what it pays to the buyer, resulting in a loss of value to the Fund. The maximum potential amount the Fund may pay should a negative credit event take place is defined under the terms of the agreement.

If the creditworthiness of a Fund’s swap counterparty declines, the risk that the counterparty may not perform could increase, potentially resulting in a loss to the Fund. To limit the counterparty risk involved in swap agreements, the Fund will only enter into swap agreements with counterparties that meet certain standards of creditworthiness. Although there can be no assurance that the Fund will be able to do so, the Fund may be able to reduce or eliminate its exposure under a swap agreement either by assignment or other disposition, or by entering into an offsetting swap agreement with the same party or another creditworthy party. The Fund may have limited ability to eliminate its exposure under a credit default swap if the credit of the reference entity or underlying asset has declined.

For the period ended February 28, 2014, the following Fund entered into credit default swaps primarily for the strategy listed below:

 

Fund    Strategy

High Yield Bond Fund

    Market exposure

Participation Notes

The Emerging Markets Fund may purchase participation notes, also known as participation certificates or participation interest notes. Participation notes are issued by banks or broker-dealers that are designed to replicate the performance of foreign companies or foreign securities markets and can be used by the Fund as an alternative means to access the securities market of a frontier emerging market country. The performance results of participation notes will not replicate exactly the performance of the foreign companies or foreign securities markets that they seek to replicate due to transaction and other expenses. Investments in participation notes involve certain risks in addition to those associated with a direct investment in the underlying foreign companies or foreign securities markets whose return they seek to replicate. There can be no assurance that there will be a trading market or that the trading price of a participation note will equal the underlying value of the foreign company or foreign securities market that it seeks to replicate. The Fund relies on the creditworthiness of the counterparty issuing the participation note and has no rights against the issuer of the underlying security. The Fund minimizes this risk by entering into agreements only with counterparties that the Funds’ investment adviser deems creditworthy. Due to liquidity and transfer restrictions, the secondary markets on which the participation notes are traded may be less liquid than the markets for other securities, or may be completely illiquid.

Investment in Foreign Securities

The investments by the Funds in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market

 

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and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency contracts with respect to the potential inability of counterparties to meet the terms of their contracts.

Investment in Emerging Markets

Investing in emerging markets may involve special risks and considerations not typically associated with investing in developed markets. These risks include revaluation of currencies, high rates of inflation, repatriation, restrictions on income and capital, and future adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.

Contractual Obligation/Indemnification

Under the Investment Company’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Funds enter into contracts that contain a variety of representations and obligations, including general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

3.   Investment Transactions

Securities

For the period ended February 28, 2014, purchases and sales of investment securities, excluding U.S. government and agency obligations, short-term investments and derivative contracts aggregated to the following:

 

      Purchases      Sales  

Dynamic Small Cap Fund

    $ 20,547,165       $ 23,726,807   

Clarion Real Estate Fund

      6,633,066         8,448,594   

IAM SHARES Fund

      6,681,306         895,853   

Enhanced Small Cap Fund

      11,159,213         11,816,339   

Emerging Markets Fund

      329,951,369         656,655,719   

International Stock Selection Fund

      99,094,157         129,110,389   

High Yield Bond Fund

      37,501,233         35,786,688   

Securities Lending

The Investment Company participates in a securities lending program whereby each Fund can loan securities with a value up to 33 1/3% of its total assets. Each Fund receives cash (U.S. currency), U.S. Government, U.S. Government agency obligations or foreign government securities as collateral against the loaned securities. To the extent that a loan is secured by cash collateral, such collateral must be invested by State Street Bank and Trust Company, as the lending agent, in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. Under the securities lending arrangement, the collateral received is recorded on a lending Fund’s Statement of Assets and Liabilities along with the related obligation to return the collateral. At year end, all such cash collateral was invested in the State Street Navigator Securities Lending Prime Portfolio, a money market fund affiliated with the Funds’ investment adviser.

Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and the lending agent and is recorded as securities lending income for the Funds. To the extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders’ fees, which are divided between the Fund and the lending agent and are recorded as security lending income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of U.S. securities) or 105% (for non-U.S. securities) of the market value of the loaned securities at the inception of each loan. The market value of the loaned securities is determined at the close of business of the Funds, and any additional required collateral is delivered to the Funds the next day. Should the borrower of the securities fail financially, there is a risk of delay in recovery or loss of rights in the securities loaned or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing.

 

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As of February 28, 2014, the non-cash collateral received for the securities on loan was as follows:

 

      Non-Cash
Collateral Value		      Non-Cash Collateral Holding
     

Clarion Real Estate Fund

    $   48,546       Pool of U.S. Government Bonds

IAM SHARES Fund

    $ 129,421       Pool of U.S. Government Bonds

The Funds cannot repledge or sell non-cash collateral balances.

 

4.   Related Party Transactions, Fees and Expenses

Adviser and Affiliates

SSgA Funds Management, Inc. (the “Adviser”) manages the Funds pursuant to an Amended and Restated Investment Advisory Agreement dated April 11, 2012, between the Investment Company and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Tuckerman Group, LLC served as the investment sub-adviser (through December 31, 2012) and CBRE Clarion Securities LLC currently serves as the sub-adviser (effective January 1, 2013) for the Clarion Real Estate Fund. The Adviser provides reporting, operational compliance and general oversight services with respect to the investment advisory services of the sub-adviser. The Adviser and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Adviser directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, each Fund pays a fee to the Adviser, calculated daily and paid monthly, at the following annual rates of their average daily net assets:

 

Funds    %  

Dynamic Small Cap Fund

      0.75   

Clarion Real Estate Fund

      0.65   

IAM SHARES Fund

      0.25   

Enhanced Small Cap Fund

      0.45   

Emerging Markets Fund

      0.75   

International Stock Selection Fund

      0.75   

High Yield Bond Fund

      0.30   

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the Dynamic Small Cap Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 1.25% of average daily net assets on an annual basis. The total amount of waivers for the period ended February 28, 2014 was $14,285. There was no reimbursement for the period ended February 28, 2014. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the Clarion Real Estate Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 1.00% of average daily net assets on an annual basis. The total amount of waivers for the period ended February 28, 2014 was $91,703. There were no reimbursement for the period ended February 28, 2014. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the IAM SHARES Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.65% of average daily net assets on an annual basis. The total amount of waivers for the period ended February 28, 2014 was $2,224. There were no reimbursements for the period ended February 28, 2014. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the Enhanced Small Cap Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.75% of average daily net assets on an annual basis. The total amount

 

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of waivers for the period ended February 28, 2014 was $63,379. There were no reimbursement for the period ended February 28, 2014. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the Emerging Markets Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 1.25% of average daily net assets on an annual basis. The total amount of waivers for the period ended February 28, 2014 was $1,849 for the Institutional Class and $442 for Select Class. There were no reimbursements for the Institutional Class or Select Class for the period ended February 28, 2014. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the International Stock Selection Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 1.00% of average daily net assets on an annual basis. The total amount of waivers for the period ended February 28, 2014 was $287,513. There were no reimbursements for the period ended February 28, 2014. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the High Yield Bond Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.75% of average daily net assets on an annual basis. The total amount of the waivers for the period ended February 28, 2014 was $4,781. There were no reimbursements for the period ended February 28, 2014. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Adviser will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. Effective September 1, 2006, the Adviser has voluntarily agreed to waive a portion of any participating Fund’s advisory fee equal to the advisory fee paid by that participating Fund to the Central Fund. As of February 28, 2014, $14,262,055 of the Central Fund’s net assets represents investments by these Funds.

For the period ended February 28, 2014, the total advisory fees waived pursuant to the voluntary waiver agreement were as follows:

 

      Amount Waived  
  

Dynamic Small Cap Fund

    $ 467   

Clarion Real Estate Fund

      180   

IAM SHARES Fund

      2,224   

Enhanced Small Cap Fund

      402   

Emerging Markets Fund

      2,291   

International Stock Selection Fund

      591   

High Yield Bond Fund

      4,781   

Boston Financial Data Services, Inc. (“BFDS”) serves as the Funds’ transfer and dividend paying agent, pursuant to an agreement dated August 1, 2006, as amended. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund. BFDS is a joint venture of DST Systems, Inc., and State Street Corporation.

State Street Bank and Trust Company (“State Street”) provides custody and fund accounting services to the Funds pursuant to an Amended and Restated Custodian Agreement dated April 11, 2013. For these services, the Funds pay State Street asset based fees that vary according to the number of positions and transactions plus out-of-pocket expenses. State Street is a wholly-owned subsidiary of State Street Corporation.

 

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In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. During the period, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

 

      Amount Paid  
  

Dynamic Small Cap Fund

    $ —   

Clarion Real Estate Fund

      —   

IAM SHARES Fund

      1   

Enhanced Small Cap Fund

      —   

Emerging Markets Fund

      80   

International Stock Selection Fund

      —   

High Yield Bond Fund

      13   

On December 26, 2012 the Adviser agreed to make a voluntary contribution of $43,032 to the Emerging Markets Fund and $1,184 to the International Stock Selection Fund in connection with a portfolio investment matter. As a result of the payment, the performance of each Fund for periods as of and after December 26, 2012, is expected to be impacted by the increase in the Fund’s NAV. If the voluntary payment had not been made, the total return for the period(s) indicated would have been lower.

A one-time voluntary payment was made by the Adviser on August 20, 2013 to the SSgA Dynamic Small Cap Fund. As a result of the payment, the performance of the Fund for periods as of and after August 20, 2013, is expected to be impacted by the increase in the Fund’s NAV. If the voluntary payment had not been made, the total return for the period(s) indicated would have been lower.

Securities Lending

State Street is authorized to act on behalf of the Investment Company as lending agent with respect to the lending of certain securities of the Investment Company held by State Street as custodian, pursuant to an amended and restated securities lending authorization agreement dated September 28, 2010. Proceeds collected by State Street on investment of cash collateral or any fee income is allocated at 85% payment to the fund, and 15% payable to State Street (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement).

For the period September 1, 2013 through February 28, 2014, State Street earned securities lending agent fees as follows:

 

      Agent Fees Earned  
  

Dynamic Small Cap Fund

    $ 1,085   

Clarion Real Estate Fund

      814   

IAM SHARES Fund

      2,178   

Enhanced Small Cap Fund

      —   

Emerging Markets Fund

      17,410   

International Stock Selection Fund

      7,752   

High Yield Bond Fund

      —   

Transactions with Affiliates

Each Fund may invest in the SSgA Prime Money Market Fund, a series of the Investment Company. All income distributions earned by the Funds from affiliated money market funds are recorded as dividends from affiliated money market funds on the Statements of Operations. In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Prime Portfolio, for which SSgA FM serves as the investment adviser.

Amounts related to investments in the SSgA Prime Money Market Fund and/or State Street Navigator Securities Lending Prime Portfolio at February 28, 2014 and for the period then ended are:

 

SSgA Prime Money
Market Fund		   Value at
8/31/2013		     Purchased
Cost		     Purchased
Shares		     Sold
Cost		     Sold
Shares		     Value at
2/28/14		     Income  
             

Dynamic Small Cap Fund

   $ 72,340      $ 6,266,625        6,266,625      $ 6,007,678        6,007,678      $ 331,287      $ 57   

Clarion Real Estate Fund

     201,242        3,806,529        3,806,529        3,717,693        3,717,693        290,078        27   

IAM SHARES Fund

     4,615,850        4,186,136        4,186,136        7,273,203        7,273,203        1,528,783        412   

Enhanced Small Cap Fund

     66,713        3,226,041        3,226,041        3,057,398        3,057,398        235,356        79   

Emerging Markets Fund

     4,394,439        86,055,210        86,055,210        90,449,549        90,449,549        100        472   

International Stock Selection Fund

     1,033,154        16,382,092        16,382,092        16,932,712        16,932,712        482,534        44   

High Yield Bond Fund

     495,506        61,832,087        61,832,087        50,933,676        50,933,676        11,393,917        856   

 

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State Street Navigator
Securities Lending Prime
Portfolio		   Value at
8/31/2013		     Purchased
Cost		     Purchased
Shares		     Sold
Cost		     Sold
Shares		     Value at
2/28/2014		     Income  
             

Dynamic Small Cap Fund

   $ 5,985,490      $ 10,330,353        10,330,353      $ 10,146,904        10,146,904      $ 6,168,939      $ 6,276   

Clarion Real Estate Fund

     2,616,284        47,669,270        47,669,270        44,310,688        44,310,688        5,974,866        4,611   

IAM SHARES Fund

     6,293,286        43,757,346        43,757,346        40,979,431        40,979,431        9,071,201        12,240   

Emerging Markets Fund

     67,817,030        91,125,764        91,125,764        126,650,758        126,650,758        32,292,036        98,654   

International Stock Selection Fund

     9,152,529        64,975,128        64,975,128        68,390,065        68,390,065        5,737,592        58,441   

Administrator

State Street (the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2013 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Investment Company: $0 to $10 billion — 0.0175%; next $10 billion — 0.0125%; next $10 billion — 0.0075% and 0.0050% thereafter.

In addition, the Investment Company pays additional fees to the Administrator for certain services and reimburses the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

State Street Global Markets, LLC (the “Distributor” or “SSGM”) promotes and offers shares of the Investment Company pursuant to an Amended and Restated Distribution Agreement dated April 11, 2012. The Distributor may enter into agreements with other related and non-related parties which act as agents to offer and sell shares of the Funds. The amounts paid to the Distributor are included in the accompanying Statements of Operations. The Distributor is a wholly-owned subsidiary of State Street Corporation.

The Investment Company has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Institutional Class

Each Fund has a shareholder servicing agreement with State Street and the following entities related to State Street: SSGM, Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, each Institutional Class pays 0.025% to State Street and a maximum of 0.175% to each of the affiliated Agents, based upon the average daily value of all Institutional Class shares held by or for customers of these Agents. For the period ended February 28, 2014, each Institutional Class paid the following shareholder servicing expenses to the Agents:

 

      State Street      SSGM  
     

Dynamic Small Cap Fund

    $ 342       $ 186   

Clarion Real Estate Fund

      380         73   

IAM SHARES Fund

      26,617         3   

Enhanced Small Cap Fund

      10         1   

Emerging Markets Fund

      13,229         2,347   

International Stock Selection Fund

      4,299         36   

High Yield Bond Fund

      1,820         110   

The Fund(s) did not incur any expenses from Fiduciary Investors Services during the period.

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Institutional Class on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily

 

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value of net assets of the Institutional Class on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The class’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the class’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Institutional Class will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuation. As of February 28, 2014, the Funds had no carryover expenses.

Select Class

The Investment Company has entered into a distribution plan with respect to the Select Class pursuant to Rule 12b-1 (the “Select Plan”) under the 1940 Act. The Select Plan provides that the Select Class pay a service fee for the performance of certain administrative functions in connection with purchases and redemptions of shares of the Select Class and related services provided to Select Class shareholders by the Distributor. Payments to State Street for shareholder and administrative services are not permitted by the Select Plan to exceed 0.025% of each Fund’s average net asset value per year. Any payments that are required to be made to State Street that cannot be made because of the limitations contained in the Select Plan may be carried forward and paid in the following two fiscal years so long as the Select Plan is in effect. There were no carryover expenses as of February 28, 2014.

Under the Select Plan, the Emerging Markets Fund has entered into a distribution agreement with the Distributor. For these services, Select Class pays the Distributor 0.025% of the daily net asset value. For the period ended February 28, 2014, Emerging Markets Select Class paid $27,897 to Global Markets.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the Funds of the Investment Company based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2014 were as follows:

 

     Dynamic
Small Cap
Fund		     Clarion
Real Estate
Fund		     IAM
SHARES
Fund		    

Enhanced

Small Cap
Fund

     Emerging
Markets
Fund		     International
Stock Selection
Fund		     High Yield
Bond
Fund		  
             

Advisory fees

   $ 26,430      $ 42,872      $ 90,778      $ 24,092      $ 1,162,268      $ 483,106      $ 59,906   

Administration fees

     —        —        1,310        —        9,211        3,220        68   

Custodian fees

     4,755        12,354        6,749        10,734        379,974        26,849        8,205   

Distribution fees

     5,476        15,516        —        8,057        —        —        29,910   

Shareholder servicing fees

     1,289        5,564        1,871        1,484        3,654        23,767        25,527   

Transfer agent fees

     —        4,785        —        —        90,604        —        897   

Trustees’ fees

     2,979        3,372        3,806        3,135        10,680        5,308        4,174   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 40,929      $ 84,463      $ 104,514      $ 47,502      $ 1,656,391      $ 542,250      $ 128,687   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

5.   Fund Share Transactions

 

     Six Months Ended
February 28, 2014
(Unaudited)		     Year Ended
August 31, 2013		  
Dynamic Small Cap Fund    Shares     Dollars     Shares     Dollars  
        

Proceeds from shares sold

      203,279      $ 7,220,647        381,077      $ 11,794,409   

Proceeds from reinvestment of distributions

      2,459        87,197        4,147        101,363   

Payments for shares redeemed

      (297,719 )      (10,051,655 )      (57,127 )      (1,668,608 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      (91,981 )    $ (2,743,811 )      328,097      $ 10,227,164   
  

 

 

    

 

 

    

 

 

    

 

 

  

Clarion Real Estate Fund

         

Proceeds from shares sold

      162,494      $ 2,156,925        475,045      $ 6,333,423   

Proceeds from reinvestment of distributions

      32,941        423,689        68,641        901,156   

Payments for shares redeemed

      (349,003 )      (4,625,384 )      (2,118,918 )      (27,556,077 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      (153,568 )    $ (2,044,770 )      (1,575,232 )    $ (20,321,498 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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     Six Months Ended
February 28, 2014
(Unaudited)		     Year Ended
August 31, 2013		  
IAM SHARES Fund    Shares     Dollars     Shares     Dollars  
        

Proceeds from shares sold

      28,634      $ 394,762        69,306      $ 825,598   

Proceeds from reinvestment of distributions

      154,904        2,083,660        292,149        3,332,502   

Payments for shares redeemed

      (22,462 )      (304,152 )      (49,455 )      (576,752 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      161,076      $ 2,174,270        312,000      $ 3,581,348   
  

 

 

    

 

 

    

 

 

    

 

 

  

Enhanced Small Cap Fund

         

Proceeds from shares sold

      118,755      $ 1,867,164        346,831      $ 4,548,861   

Proceeds from reinvestment of distributions

      30,349        481,569        24,582        283,672   

Payments for shares redeemed

      (182,935 )      (2,925,833 )      (693,058 )      (9,104,656 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      (33,831 )    $ (577,100 )      (321,645 )    $ (4,272,123 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Emerging Markets Fund                         

Institutional Class

         

Proceeds from shares sold

      6,159,736      $ 113,390,447        15,103,762      $ 297,991,912   

Proceeds from reinvestment of distributions

      4,979,765        91,869,553        1,109,563        21,338,902   

Payments for shares redeemed

      (23,553,538 )      (426,608,633 )      (33,504,017 )      (657,702,252 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      (12,414,037 )      (221,348,633 )      (17,290,692 )      (338,371,438 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Select Class

         

Proceeds from shares sold

      3,718,618        75,055,187        821,369        16,663,954   

Proceeds from reinvestment of distributions

      932,620        17,216,969        218,027        4,215,053   

Payments for shares redeemed

      (4,957,016 )      (86,891,714 )      (13,638,000 )      (271,504,287 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      (305,778 )      5,380,442        (12,598,604 )      (250,625,280 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      (12,719,815 )    $ (215,968,191 )      (29,889,296 )    $ (588,996,718 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

International Stock Selection Fund

         

Proceeds from shares sold

      1,252,927      $ 13,619,750        3,864,898      $ 36,947,571   

Proceeds from reinvestment of distributions

      1,074,516        11,634,218        1,636,372        14,373,424   

Payments for shares redeemed

      (3,983,430 )      (43,069,766 )      (13,274,260 )      (124,953,322 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      (1,655,987 )    $ (17,815,798 )      (7,772,990 )    $ (73,632,327 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

High Yield Bond Fund

         

Proceeds from shares sold

      6,818,175      $ 56,988,952        12,331,867      $ 105,388,139   

Proceeds from reinvestment of distributions

      910,808        7,501,163        857,178        7,315,934   

Payments for shares redeemed

      (5,951,010 )      (49,311,107 )      (16,193,785 )      (138,790,512 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      1,777,973      $ 15,179,008        (3,004,740 )    $ (26,086,439 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Beneficial Interest

As of February 28, 2014, one shareholder owned 98% of the issued and outstanding shares of the SSgA IAM SHARES Fund.

 

6.   Interfund Lending Program

The Funds participate in a joint lending and borrowing facility (the “Interfund Lending Program”). Funds of the Investment Company may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the Interfund Lending Program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the Interfund Lending Program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result

 

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in additional borrowing costs. For the period ended February 28, 2014, the Funds did not utilize the Interfund Lending Program.

 

7.   Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.

 

8.   Contingency Note

On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company (“Tribune”). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the “LBO”) and sold their shares for $34 per share in cash, including the SSgA IAM SHARES Fund. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the “Lawsuits”). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. On September 23, 2013, the United States District Court dismissed one of the Lawsuits. On September 30, 2013 the plaintiffs appealed that dismissal. The Lawsuits seek to recover, for the benefit of Tribune’s bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune’s payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code’s and various states’ fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. The Fund cannot predict the outcome of these proceedings or the effect, if any, on the Fund’s net asset value.

 

Notes to Financial Statements     83   

Table of Contents

SSgA Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

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 (800) 647-7327 (toll free) or (ii) on the website of the Securities and Exchange Commission, at www.sec.gov. Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at ww.sec.gov, and on the Funds’ website at www.sssgafunds.com.

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room.

Shareholder Meeting Results

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013 which was adjourned to January 24, 2014, February 19, 2014 and February 27, 2014 (the “Shareholder Meeting”). The final results of the Shareholder Meeting are reported in the following tables.

All Funds

Proposal 1: To elect the following as Trustees of the Trust:

 

Proposed Trustee    Shares For      Shares
Withheld		  

William L. Marshall

      3,351,745,505.531         13,295,966.598   

Patrick J. Riley

      3,351,745,505.531         13,295,966.598   

Richard D. Shirk

      3,351,745,505.531         13,295,966.598   

Bruce D. Taber

      3,351,745,505.531         13,295,966.598   

Scott F. Powers

      3,351,745,505.531         13,295,966.598   

Michael F. Holland

      3,351,745,505.531         13,295,966.598   

William L. Boyan

      3,353,977,764.711         11,063,707.418   

Rina K. Spence

      3,363,342,520.701         1,698,951.428   

Douglas T. Williams

      3,351,745,505.531         13,295,966.598   

James E. Ross

      3,351,745,505.531         13,295,966.598   

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

9,645,533,122.253

    2,813,141,956.770    432,463,627.123    640,754,307.649

SSgA Dynamic Small Cap Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

293,046.328

    10,955.237    3,064.466    92,838.987

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

292,682.219

    11,136.198    3,247.614    92,838.987

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

297,374.515

    7,178.021    2,513.495    92,838.987

 

 

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SSgA Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

297,396.183

    7,171.353    2,498.495    92,838.987

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

296,855.396

    7,080.183    3,130.452    92,838.987

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

297,792.183

    6,775.353    2,498.495    92,838.987

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

297,183.367

    6,988.169    2,894.495    92,838.987

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

296,764.226

    7,260.339    3,041.466    92,838.987

Proposal 4.G-4.J: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

297,151.374

    7,416.162    2,498.495    92,838.987

Proposal 4.H — Purchasing or selling puts, calls or investing in straddles, spreads or any combination thereof:

 

For    Against    Abstentions    Broker Non-Votes

297,151.374

    7,269.191    2,645.466    92,838.987

Proposal 4.I — Making short sales or purchasing securities on margin:

 

For    Against    Abstentions    Broker Non-Votes

297,227.544

    6,797.021    3,041.466    92,838.987

Proposal 4.J — Diversification of investments:

 

For    Against    Abstentions    Broker Non-Votes

298,255.501

    6,312.035    2,498.495    92,838.987

SSgA Clarion Real Estate Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

1,527,835.009

    82,802.893    58,160.960    625,353.175

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

The shareholder meeting, as it relates to Proposal 3, was adjourned until May 16, 2014.

 

Shareholder Requests for Additional Information     85   

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SSgA Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.A-4.F and 4.G-4.I: To approve an amendment to the Fund’s fundamental investment restrictions”

The shareholder meeting, as it relates to Proposal 4.A-4.F and 4.G -4.I, was adjourned until May 16, 2014

SSgA IAM Shares Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

15,635,710.676

    917.565    0    18,315.254

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

15,635,710.676

    917.565    0    18,315.254

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against      Abstentions      Broker Non-Votes  

15,635,710.676

      917.565         0.000         18,315.254   

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

15,635,526.011

    1,102.230    0    18,315.254

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

15,635,526.011

    1,102.230    0    18,315.254

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

15,635,526.011

    1,102.230    0    18,315.254

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

15,635,526.011

    1,102.230    0    18,315.254

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

15,635,526.011

    1,102.230    0    18,315.254

Proposal 4.G-4.J: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

15,635,914.011

    714.230    0    18,315.254

Proposal 4.H — Purchasing or selling puts, calls or investing in straddles, spreads or any combination thereof:

 

For    Against    Abstentions    Broker Non-Votes

15,635,914.011

    714.230    0    18,315.254

 

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SSgA Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.I — Making short sales or purchasing securities on margin:

 

For    Against    Abstentions    Broker Non-Votes

15,634,765.161

    1,863.080    0    18,315.254

Proposal 4.J — Diversification of investments:

 

For    Against    Abstentions    Broker Non-Votes

15,636,098.676

    529.565    0    18,315.254

SSgA Enhanced Small Cap Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

1,787,974.498

    699.532    190.000    81,506.048

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

1,787,744.456

    929.574    190.000    81,506.048

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

1,788,086.194

    587.836    190.000    81,506.048

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

1,788,315.456

    175.836    372.738    81,506.048

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

1,788,315.456

    358.574    190.000    81,506.048

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

1,786,997.534

    1,493.758    372.738    81,506.048

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

1,787,180.272

    1,493.758    190.000    81,506.048

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

1,788,323.194

    350.836    190.000    81,506.048

SSgA Emerging Markets Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

21,390,654.485

    2,536,319.159    308,257.588    14,724,471.029

 

Shareholder Requests for Additional Information     87   

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SSgA Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

The shareholder meeting, as it relates to Proposal 3, was adjourned until May 16, 2014.

Proposal 4.A-4.M: To approve an amendment to the Fund’s fundamental investment restrictions”

The shareholder meeting, as it relates to Proposal 4.A-4.M, was adjourned until May 16, 2014.

Proposal 5 — To make the fundamental investment objective of the Fund non-fundamental:

 

For    Against    Abstentions    Broker Non-Votes

12,578,488.521

    11,261,669.129    394,661.070    14,724,883.541

SSgA International Stock Selection Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

14,186,919.438

    319,137.812    165,487.825    4,401,164.308

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

14,142,702.170

    356,865.967    171,976.938    4,401,164.308

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

14,176,033.859

    332,540.698    162,970.518    4,401,164.308

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

14,130,388.227

    374,812.901    166,343.947    4,401,164.308

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

14,145,589.349

    356,179.625    169,776.101    4,401,164.308

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

14,165,360.314

    346,351.888    159,832.873    4,401,164.308

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

14,188,371.703

    317,169.640    166,003.732    4,401,164.308

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

14,152,468.867

    348,007.129    171,069.079    4,401,164.308

Proposal 4.G-4.M: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

14,095,757.329

    382,498.473    193,289.273    4,401,164.308

 

88   Shareholder Requests for Additional Information

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SSgA Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.H — Purchasing or selling puts, calls or investing in straddles, spreads or any combination thereof:

 

For    Against    Abstentions    Broker Non-Votes

14,107,757.016

    380,524.652    183,263.407    4,401,164.308

Proposal 4.I — Making short sales or purchasing securities on margin:

 

For    Against    Abstentions    Broker Non-Votes

14,101,645.712

    392,735.628    177,163.735    4,401,164.308

Proposal 4.J — Diversification of investments:

 

For    Against    Abstentions    Broker Non-Votes

14,215,804.355

    292,437.197    163,303.523    4,401,164.308

Proposal 4.M — Investments for control:

 

For    Against    Abstentions    Broker Non-Votes

14,146,482.074

    322,781.420    202,281.581    4,401,164.308

SSgA High Yield Bond Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

5,170,342.963

    158,023.068    109,319.231    2,117,438.280

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

5,088,794.094

    237,755.796    111,135.372    2,117,438.280

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

5,157,885.023

    196,869.891    82,930.348    2,117,438.280

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

5,150,378.435

    209,552.338    77,754.489    2,117,438.280

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

5,105,373.623

    260,401.754    71,909.885    2,117,438.280

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

5,117,258.042

    224,864.843    95,562.377    2,117,438.280

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

5,124,027.513

    223,439.372    90,218.377    2,117,438.280

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

5,069,200.924

    263,148.331    105,336.007    2,117,438.280

 

Shareholder Requests for Additional Information     89   

Table of Contents

SSgA Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.G-4.Q: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

5,104,732.967

    240,005.056    92,947.329    2,117,438.280

Proposal 4.J — Diversification of investments:

 

For    Against    Abstentions    Broker Non-Votes

5,198.914.375

    156,822.997    81,947.890    2,117,438.280

Proposal 4.M — Investments for control:

 

For    Against    Abstentions    Broker Non-Votes

5,115,225.381

    232,350.491    90,109.390    2,117,438.280

Proposal 4.Q — Certain interested transactions:

 

For    Against    Abstentions    Broker Non-Votes

5,141,458.944

    172,113.074    124,113.244    2,117,438.280

 

90   Shareholder Requests for Additional Information

Table of Contents

SSgA Funds

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

 

 

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President, Chief Executive Officer and Principal Executive Officer

Laura F. Dell, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President

Brian Harris, Chief Compliance Officer

David James, Secretary and Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Chad C. Hallett, Assistant Treasurer

Caroline Connolly, Assistant Treasurer

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

Two Heritage Drive

North Quincy, Massachusetts 02171

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel (Effective May 1, 2014)

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, Massachusetts 02116

 

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as administrator, custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

 

Fund Management and Service Providers     91   

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IBG-11413      SSGACOMBFDSAR   

Table of Contents

LOGO

 

MONEY MARKET FUNDS

Money Market Fund

U.S. Government Money Market Fund

 

Semiannual Report

February 28, 2014

Table of Contents

Table of Contents

SSgA Funds

Money Market Funds

Semiannual Report

February 28, 2014 (Unaudited)

Table of Contents

 

       Page  
Money Market Fund        3   
U.S. Government Money Market Fund        9   
Statements of Assets and Liabilities        14   
Statements of Operations        15   
Statements of Changes in Net Assets        16   
Financial Highlights        18   
Notes to Financial Statements        20   
Shareholder Requests for Additional Information        27   
Fund Management and Service Providers        32   

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or another governmental agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

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SSgA

Money Market Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

February 28, 2014

    $ 1,000.10       $ 1,023.86   

Expenses Paid During Period*

    $ 0.94       $ 0.95   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.19% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

Money Market Fund     3   

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SSgA

Money Market Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

      Principal
Amount ($)
or Shares		        Rate
% (#)		        Date
of
Maturity		        Value
$		  
Asset Backed Commercial Paper - 5.1%                  

Kells Funding LLC (a)

      50,000,000           0.230           03/03/14           49,999,361   

Kells Funding LLC (a)

      25,000,000           0.230           03/05/14           24,999,361   

Kells Funding LLC (a)

      10,000,000           0.230           03/05/14           9,999,745   

Kells Funding LLC (a)

      50,000,000           0.210           04/01/14           49,990,958   

Kells Funding LLC (a)

      50,000,000           0.230           04/23/14           49,983,070   
                 

 

 

  
Total Asset Backed Commercial Paper
(amortized cost $184,972,495)		                     184,972,495   
                 

 

 

  
Certificates of Deposit - 46.2%                  

Bank of Montreal (next reset date 03/18/14) (b)

      40,000,000           0.255           08/15/14           40,000,000   

Bank of Nova Scotia (next reset date 03/07/14) (b)

      55,000,000           0.248           08/04/14           55,000,000   

Bank of Tokyo - Mitsubishi

      25,000,000           0.210           05/15/14           25,000,000   

Bank of Tokyo - Mitsubishi

      100,000,000           0.210           06/27/14           100,000,000   

Barclays Bank (next reset date 03/10/14) (b)

      100,000,000           0.377           09/09/14           100,000,000   

Barclays Bank (next reset date 03/10/14) (b)

      55,000,000           0.377           10/03/14           55,000,000   

BNP Paribas

      50,000,000           0.280           04/08/14           50,000,000   

Credit Suisse

      25,000,000           0.250           06/13/14           25,000,000   

Credit Suisse

      75,000,000           0.230           06/26/14           75,000,000   

Credit Suisse

      45,000,000           0.250           06/27/14           45,000,000   

Deutsche Bank AG

      50,000,000           0.270           03/31/14           50,000,000   

Deutsche Bank AG

      75,000,000           0.240           04/30/14           75,000,000   

Deutsche Bank AG

      50,000,000           0.250           05/30/14           50,000,000   

DnB Bank ASA

      25,000,000           0.190           05/06/14           25,000,000   

ING Bank NV

      50,000,000           0.240           04/01/14           50,000,000   

Nordea Bank AB

      50,000,000           0.220           03/24/14           50,000,000   

Rabobank Nederland NV

      60,000,000           0.302           03/06/14           60,000,000   

Rabobank Nederland NV (next reset date 03/03/14) (b)

      50,000,000           0.249           06/02/14           50,000,000   

Rabobank Nederland NV (next reset date 04/07/14) (b)

      50,000,000           0.250           07/07/14           50,000,000   

Royal Bank of Canada (next reset date 03/10/14) (b)

      31,000,000           0.277           04/09/14           31,000,000   

Royal Bank of Canada (next reset date 03/17/14) (b)

      18,000,000           0.275           04/16/14           18,000,000   

Skandinaviska Enskilda Banken AB (next reset date 03/03/14) (b)

      61,000,000           0.259           10/03/14           61,000,000   

Standard Chartered Bank

      50,000,000           0.190           05/09/14           50,000,000   

Sumitomo Mitsui Banking Corp.

      50,000,000           0.220           04/25/14           50,000,000   

Sumitomo Mitsui Banking Corp.

      25,000,000           0.220           04/28/14           25,000,000   

Svenska Handelsbanken AB

      6,000,000           0.175           03/05/14           6,000,003   

Svenska Handelsbanken AB

      75,000,000           0.175           03/12/14           75,000,114   

Svenska Handelsbanken AB

      18,000,000           0.190           04/04/14           18,000,082   

Swedbank AB (next reset date 03/06/14) (b)

      48,000,000           0.258           08/06/14           48,000,000   

UBS AG

      50,000,000           0.260           05/05/14           50,000,000   

UBS AG

      58,000,000           0.260           05/16/14           58,000,000   

UBS AG

      55,000,000           0.220           07/31/14           55,000,000   

Wells Fargo Bank NA

      100,000,000           0.160           03/04/14           100,000,000   

Westpac Banking Corp. (next reset date 03/17/14) (b)

      10,000,000           0.225           01/16/15           10,000,000   
                 

 

 

  
Total Certificates of Deposit
(amortized cost $1,685,000,199)		                     1,685,000,199   
                 

 

 

  
Financial Company Commercial Paper - 15.3%                  

BNP Paribas

      50,000,000           0.253           03/10/14           49,996,875   

Caisse des Depots et Consignations (a)

      50,000,000           0.180           05/29/14           49,977,750   

Caisse des Depots et Consignations (a)

      50,000,000           0.180           05/30/14           49,977,500   

 

Money Market Fund     5   

Table of Contents

SSgA

Money Market Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

      Principal
Amount ($)
or Shares		        Rate
% (#)		        Date
of
Maturity		        Value
$		  

Collateralized Commercial Paper Co. LLC

      40,000,000           0.244           06/05/14           39,974,400   

Commonwealth Bank of Australia (next reset date 04/11/14) (a)(b)

      49,000,000           0.272           07/03/14           49,000,000   

DnB Bank ASA (a)

      50,000,000           0.203           03/17/14           49,995,556   

DnB Bank ASA (a)

      50,000,000           0.193           03/18/14           49,995,514   

DnB Bank ASA (a)

      25,000,000           0.193           05/16/14           24,989,972   

General Electric Capital Corp.

      15,000,000           0.203           03/21/14           14,998,333   

General Electric Capital Corp.

      15,000,000           0.223           04/14/14           14,995,967   

Nordea Bank AB (a)

      36,000,000           0.208           03/18/14           35,996,515   

Nordea Bank AB (a)

      50,000,000           0.203           03/20/14           49,994,722   

Nordea Bank AB (a)

      18,000,000           0.233           04/17/14           17,994,595   

Sumitomo Mitsui Banking Corp. (a)

      40,000,000           0.220           05/29/14           39,978,244   

Westpac Banking Corp. (next reset date 03/13/14) (a)(b)

      20,000,000           0.224           01/13/15           20,000,000   
                 

 

 

  
Total Financial Company Commercial Paper
(amortized cost $557,865,943)		                     557,865,943   
                 

 

 

  
Other Notes - 15.0%                  

Bank of America NA

      75,000,000           0.210           05/15/14           75,000,000   

Credit Agricole Corporate & Investment Bank SA

      160,000,000           0.100           03/03/14           160,000,000   

JPMorgan Chase Bank NA (next reset date 03/07/14) (b)

      44,500,000           0.322           03/06/15           44,500,000   

JPMorgan Chase Bank NA (next reset date 04/22/14) (b)

      30,000,000           0.317           03/20/15           30,000,000   

Natixis

      129,000,000           0.090           03/03/14           129,000,000   

Royal Bank of Canada (next reset date 04/07/14) (a)(b)

      25,000,000           0.290           03/06/15           25,000,000   

Svenska Handelsbanken AB (next reset date 03/27/14) (a)(b)

      25,000,000           0.285           08/27/14           25,000,000   

Wells Fargo Bank NA (next reset date 03/10/14) (b)

      25,000,000           0.291           03/10/15           25,000,000   

Wells Fargo Bank NA (next reset date 03/20/14) (b)

      33,000,000           0.324           03/20/15           33,000,000   
                 

 

 

  
Total Other Notes
(amortized cost $546,500,000)		                     546,500,000   
                 

 

 

  
Total Investments - 81.6%
(amortized cost $2,974,338,637)		                     2,974,338,637   
                 

 

 

  
Repurchase Agreements - 18.4%                  
Government Agency Repurchase Agreements - 4.1%                  

Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $74,000,000 dated February 28, 2014 at 0.060% to be repurchased at $74,000,370 on March 3, 2014, collateralized by: $115,003,750 par various United States Government Mortgage Agency Obligations valued at $75,480,000.

                     74,000,000   

Agreement with Morgan Stanley and The Bank of New York Mellon Corp. (Tri-Party) of $76,000,000 dated February 28, 2014 at 0.060% to be repurchased at $76,000,380 on March 3, 2014, collateralized by: $142,572,490 par various United States Government Mortgage Agency Obligations valued at $77,520,000.

                     76,000,000   
                 

 

 

  
Total Government Agency Repurchase Agreements
(identified cost $150,000,000)		                     150,000,000   
                 

 

 

  

 

6   Money Market Fund

Table of Contents

SSgA

Money Market Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

      Principal
Amount ($)
or Shares		      Rate
% (#)		      Date
of
Maturity		      Value
$		  
Treasury Repurchase Agreements - 13.9%                  

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $100,000,000 dated February 28, 2014 at 0.060% to be repurchased at $100,000,500 on March 3, 2014, collateralized by: $101,627,800 par various United States Government Treasury Obligations valued at $102,000,006.

                     100,000,000   

Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $49,000,000 dated February 28, 2014 at 0.050% to be repurchased at $49,000,204 on March 3, 2014, collateralized by: $39,138,100 par various United States Government Treasury Obligations valued at $49,980,016.

                     49,000,000   

Agreement with Federal Reserve Bank and The Bank of New York Mellon Corp. (Tri-Party) of $175,000,000 dated February 28, 2014 at 0.050% to be repurchased at $175,000,729 on March 3, 2014, collateralized by: $156,066,800 par various United States Government Treasury Obligations valued at $175,000,768.

                     175,000,000   

Agreement with RBC Capital Markets and The Bank of New York Mellon Corp. (Tri Party) of $100,000,000 dated February 28, 2014 at 0.060% to be repurchased at $100,000,500 on March 3, 2014, collateralized by: $102,387,200 par various United States Government Treasury Obligations valued at $102,000,052.

                     100,000,000   

Agreement with UBS Securities, LLC. and The Bank of New York Mellon Corp. (Tri-Party) of $81,000,000 dated February 28, 2014 at 0.050% to be repurchased at $81,000,338 on March 3, 2014, collateralized by: $70,559,400 par various United States Government Treasury Obligations valued at $82,620,046.

                     81,000,000   
                 

 

 

  
Total Treasury Repurchase Agreements
(identified cost $505,000,000)		                     505,000,000   
                 

 

 

  
Other Repurchase Agreements - 0.4%                  

Agreement with JPM Chase and JP Morgan Chase & Co. (Tri-Party) of $15,000,000 dated February 28, 2014 at 0.355% to be repurchased at $15,002,071 on March 14, 2014, collateralized by: $15,197,734 par various Corporate Bonds valued at $16,203,978.
(cost $15,000,000)

                     15,000,000   
                 

 

 

  
Total Repurchase Agreements
(identified cost $670,000,000)		                     670,000,000   
                 

 

 

  
Total Investments and Repurchase Agreements - 100.0% (c)
(cost $3,644,338,637) (d)		                     3,644,338,637   
Other Assets and Liabilities, Net - 0.0% (e)                     (638,078 ) 
                 

 

 

  
Net Assets - 100.0%                     3,643,700,559   
                 

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

Money Market Fund     7   

Table of Contents

SSgA

Money Market Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

Footnotes:

# For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.
(a) Restricted security Rule (144A) or Section 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
(b) Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(c) Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs. (Note 2)
(d) The identified cost for Federal income tax purposes.
(e) Less than 0.05% of net assets.

 

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

Categories    % of
Net
Assets		  
  

Asset Backed Commercial Paper

      5.1   

Certificates of Deposit

      46.2   

Financial Company Commercial Paper

      15.3   

Other Notes

      15.0   

Repurchase Agreements

      18.4   
  

 

 

  

Total Investments and Repurchase Agreements

      100.0   

Other Assets and Liabilities, Net

      (— )* 
  

 

 

  
     100.0   
  

 

 

  

 

* Less than 0.05% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

8   Money Market Fund

Table of Contents

SSgA

U.S. Government Money Market Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,000.00       $ 1,024.45   

Expenses Paid During Period*

    $ 0.35       $ 0.35   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.07% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

U.S. Government Money Market Fund     9   

Table of Contents

SSgA

U.S. Government Money Market Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

      Principal
Amount ($)
or Shares		        Rate
% (#)		        Date
of
Maturity		        Value
$		  
Government Agency Debt - 57.3%                  

Federal Farm Credit Bank

      15,000,000           0.100           08/22/14           14,992,750   

Federal Home Loan Bank

      33,000,000           0.080           03/05/14           32,999,707   

Federal Home Loan Bank

      26,000,000           0.085           03/05/14           25,999,755   

Federal Home Loan Bank

      20,000,000           0.100           03/19/14           19,999,000   

Federal Home Loan Bank

      35,000,000           0.070           03/21/14           34,998,639   

Federal Home Loan Bank

      25,000,000           0.100           03/21/14           24,998,611   

Federal Home Loan Bank

      39,000,000           0.070           03/26/14           38,998,104   

Federal Home Loan Bank

      87,000,000           0.072           03/26/14           86,995,650   

Federal Home Loan Bank

      37,000,000           0.100           03/28/14           36,997,225   

Federal Home Loan Bank (next reset date 03/03/14) (a)

      71,000,000           0.109           04/01/14           71,000,000   

Federal Home Loan Bank

      27,000,000           0.090           04/02/14           26,997,840   

Federal Home Loan Bank

      32,000,000           0.090           04/04/14           31,997,280   

Federal Home Loan Bank

      26,000,000           0.090           05/01/14           25,998,871   

Federal Home Loan Bank

      30,000,000           0.110           05/09/14           29,993,675   

Federal Home Loan Bank

      5,000,000           0.115           05/16/14           4,998,786   

Federal Home Loan Bank

      26,000,000           0.070           05/21/14           25,995,905   

Federal Home Loan Bank

      15,000,000           0.070           05/23/14           14,997,579   

Federal Home Loan Bank

      16,000,000           0.071           05/23/14           15,997,381   

Federal Home Loan Bank

      47,000,000           0.128           07/07/14           46,978,693   

Federal Home Loan Bank

      17,000,000           0.130           07/07/14           16,992,142   

Federal Home Loan Bank

      29,000,000           0.100           07/16/14           28,988,964   

Federal Home Loan Bank

      10,000,000           0.115           07/23/14           9,995,400   

Federal Home Loan Bank

      25,000,000           0.115           07/25/14           24,988,340   

Federal Home Loan Bank

      27,000,000           0.100           07/29/14           26,998,812   

Federal Home Loan Bank

      22,000,000           0.100           07/29/14           21,999,033   

Federal Home Loan Bank

      10,000,000           0.115           07/30/14           9,995,177   

Federal Home Loan Bank

      11,000,000           0.120           07/30/14           10,994,463   

Federal Home Loan Bank

      27,000,000           0.120           08/06/14           26,985,780   

Federal Home Loan Bank

      14,000,000           0.131           08/08/14           13,991,849   

Federal Home Loan Bank

      69,000,000           0.115           08/13/14           68,963,631   

Federal Home Loan Bank

      4,000,000           0.125           08/14/14           4,000,263   

Federal Home Loan Bank

      10,000,000           0.100           08/15/14           9,995,361   

Federal Home Loan Bank

      7,000,000           0.170           08/22/14           7,001,997   

Federal Home Loan Bank

      13,000,000           0.100           08/25/14           12,999,047   

Federal Home Loan Bank (next reset date 03/20/14) (a)

      83,000,000           0.099           01/20/15           82,996,353   

Federal Home Loan Mortgage Corp.

      34,000,000           0.080           03/03/14           33,999,849   

Federal Home Loan Mortgage Corp.

      53,984,000           0.080           03/10/14           53,982,920   

Federal Home Loan Mortgage Corp.

      11,000,000           0.070           03/31/14           10,999,358   

Federal Home Loan Mortgage Corp.

      8,000,000           0.100           03/31/14           7,999,333   

Federal Home Loan Mortgage Corp.

      18,000,000           0.110           03/31/14           17,998,350   

Federal Home Loan Mortgage Corp.

      21,000,000           0.100           04/14/14           20,997,433   

Federal Home Loan Mortgage Corp.

      87,900,000           0.100           04/21/14           87,887,548   

Federal Home Loan Mortgage Corp.

      20,000,000           0.095           04/28/14           19,996,939   

Federal Home Loan Mortgage Corp.

      31,000,000           0.098           05/05/14           30,994,515   

Federal Home Loan Mortgage Corp.

      39,000,000           0.105           05/06/14           38,992,493   

Federal Home Loan Mortgage Corp.

      20,000,000           0.108           05/12/14           19,995,680   

Federal Home Loan Mortgage Corp.

      96,167,000           0.110           05/19/14           96,143,786   

Federal Home Loan Mortgage Corp.

      10,000,000           0.115           05/21/14           9,997,413   

Federal Home Loan Mortgage Corp.

      25,000,000           0.124           06/30/14           24,989,581   

Federal Home Loan Mortgage Corp.

      60,000,000           0.115           07/07/14           59,975,467   

 

10   U.S. Government Money Market Fund

Table of Contents

SSgA

U.S. Government Money Market Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

      Principal
Amount ($)
or Shares		        Rate
% (#)		        Date
of
Maturity		        Value
$		  

Federal Home Loan Mortgage Corp.

      10,000,000           0.120           08/11/14           9,994,567   

Federal National Mortgage Assoc.

      33,333,000           0.100           04/30/14           33,327,445   

Federal National Mortgage Assoc.

      17,000,000           0.100           05/01/14           16,997,119   

Federal National Mortgage Assoc.

      52,100,000           0.109           05/21/14           52,087,222   

Federal National Mortgage Assoc.

      90,000,000           0.110           07/02/14           89,966,175   

Federal National Mortgage Assoc.

      56,000,000           0.080           07/14/14           55,983,200   

Federal National Mortgage Assoc. (next reset date 03/11/14) (a)

      17,000,000           0.136           09/11/14           17,003,763   

Federal National Mortgage Assoc. (next reset date 03/27/14) (a)

      10,000,000           0.125           02/27/15           10,002,525   
                 

 

 

  

Total Government Agency Debt

(amortized cost $1,810,134,744)

                     1,810,134,744   
                 

 

 

  
Treasury Debt - 7.0%                  

U.S. Treasury Note

      55,000,000           0.104           03/31/14           55,006,622   

U.S. Treasury Note

      85,000,000           0.106           04/30/14           85,249,150   

U.S. Treasury Note

      52,000,000           0.111           05/15/14           52,095,745   

U.S. Treasury Note

      15,000,000           0.075           06/30/14           15,008,750   

U.S. Treasury Note

      15,000,000           0.080           07/31/14           15,160,200   
                 

 

 

  

Total Treasury Debt

(amortized cost $222,520,467)

                     222,520,467   
                 

 

 

  

Total Investments - 64.3%

(amortized cost $2,032,655,211)

                     2,032,655,211   
                 

 

 

  
Repurchase Agreements - 32.4%                  
Government Agency Repurchase Agreements - 6.8%                  

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $50,000,000 dated February 28, 2014 at 0.050% to be repurchased at $50,000,417 on March 6, 2014, collateralized by: $50,192,887 par various United States Government Mortgage Agency Obligations valued at $51,000,579.

                     50,000,000   

Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $90,000,000 dated February 28, 2014 at 0.050% to be repurchased at $90,000,375 on March 3, 2014, collateralized by: $94,512,500 par various United States Government Mortgage Agency Obligations valued at $91,800,021.

                     90,000,000   

Agreement with Societe Generale and The Bank of New York Mellon Corp. (Tri-Party) of $75,000,000 dated February 28, 2014 at 0.050% to be repurchased at $75,000,313 on March 3, 2014, collateralized by: $75,205,000 par various United States Government Mortgage Agency Obligations valued at $76,500,332.

                     75,000,000   
                 

 

 

  

Total Government Agency Repurchase Agreements

(identified cost $215,000,000)

                     215,000,000   
                 

 

 

  
Treasury Repurchase Agreements - 25.6%                  

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $415,000,000 dated February 28, 2014 at 0.050% to be repurchased at $415,001,729 on March 3, 2014, collateralized by: $379,314,200 par various United States Government Treasury Obligations valued at $423,300,081.

                     415,000,000   

 

U.S. Government Money Market Fund     11   

Table of Contents

SSgA

U.S. Government Money Market Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

                             

Value
$

  

Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $50,000,000 dated February 28, 2014 at 0.040% to be repurchased at $50,000,222 on March 4, 2014, collateralized by: $54,031,163 par various United States Government Treasury Obligations valued at $51,000,001.

                     50,000,000   

Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $90,000,000 dated February 28, 2014 at 0.050% to be repurchased at $90,000,375 on March 3, 2014, collateralized by: $101,547,400 par various United States Government Treasury Obligations valued at $91,800,033.

                     90,000,000   

Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party) of $100,000,000 dated February 28, 2014 at 0.040% to be repurchased at $100,000,667 on March 6, 2014, collateralized by: $126,740,000 par various United States Government Treasury Obligations valued at $102,001,625.

                     100,000,000   

Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party) of $55,000,000 dated February 28, 2014 at 0.050% to be repurchased at $55,000,229 on March 3, 2014, collateralized by: $53,394,709 par various United States Government Treasury Obligations valued at $56,103,298.

                     55,000,000   

Agreement with UBS Warburg and The Bank of New York Mellon Corp. (Tri-Party) of $100,000,000 dated February 28, 2014 at 0.050% to be repurchased at $100,000,417 on March 3, 2014, collateralized by: $95,627,784 par various United States Government Treasury Obligations valued at $102,000,078.

                     100,000,000   
                 

 

 

  

Total Treasury Repurchase Agreements

(identified cost $810,000,000)

                     810,000,000   
                 

 

 

  

Total Repurchase Agreements

(identified cost $1,025,000,000)

                     1,025,000,000   
                 

 

 

  

Total Investments and Repurchase Agreements - 96.7% (b)

(cost $3,057,655,211) (c)

                     3,057,655,211   
Other Assets and Liabilities, Net - 3.3%                     104,864,642   
                 

 

 

  
Net Assets - 100.0%                     3,162,519,853   
                 

 

 

  

Footnotes:

# For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.
(a) Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(b) Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs. (Note 2)
(c) The identified cost for Federal income tax purposes.

 

See accompanying notes which are an integral part of the financial statements.

 

12   U.S. Government Money Market Fund

Table of Contents

SSgA

U.S. Government Money Market Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

Categories    % of
Net
Assets		  
  

Government Agency Debt

      57.3   

Treasury Debt

      7.0   

Repurchase Agreements

      32.4   
  

 

 

  

Total Investments and Repurchase Agreements

      96.7   

Other Assets and Liabilities, Net

      3.3   
  

 

 

  
     100.0   
  

 

 

  
 

 

See accompanying notes which are an integral part of the financial statements.

 

U.S. Government Money Market Fund     13   

Table of Contents

SSgA Funds

Statements of Assets and Liabilities — February 28, 2014 (Unaudited)

 

      Money
Market Fund		      U.S.
Government
Money Market
Fund		  
     

Assets

      

Investments, at identified cost

    $ 2,974,338,637       $ 2,032,655,211   

Investments at amortized cost which approximates value

      2,974,338,637         2,032,655,211   

Repurchase agreements at cost which approximates value

      670,000,000         1,025,000,000   

Cash

      69,386         104,340,872   

Receivables:

      

Dividends and interest

      729,005         803,760   

Fund shares sold

      60,415         22,790   

From adviser

      1,167,700         1,621,087   

Prepaid expenses

      67,470         53,578   
  

 

 

     

 

 

  

Total assets

      3,646,432,613         3,164,497,298   
  

 

 

     

 

 

  

Liabilities

      

Payables:

      

Fund shares redeemed

      283,698         13,476   

Accrued fees to affiliates and trustees

      2,408,888         1,963,309   

Other accrued expenses

      39,161         660   

Income distribution

      307         —   
  

 

 

     

 

 

  

Total liabilities

      2,732,054         1,977,445   
  

 

 

     

 

 

  
     

Net Assets

    $ 3,643,700,559       $ 3,162,519,853   
  

 

 

     

 

 

  

Net Assets Consist of:

      

Undistributed (overdistributed) net investment income

    $ (3,487 )     $ (3,766 ) 

Accumulated net realized gain (loss)

      20,648         (10,336 ) 

Shares of beneficial interest

      3,643,704         3,162,613   

Additional paid-in-capital

      3,640,039,694         3,159,371,342   
  

 

 

     

 

 

  

Net Assets

    $ 3,643,700,559       $ 3,162,519,853   
  

 

 

     

 

 

  

Net Asset Value, offering and redemption price per share:

      

Net asset value per share: (a)

    $ 1.00       $ 1.00   

Net assets

    $ 3,643,700,559       $ 3,162,519,853   

Shares outstanding ($0.001 par value)

      3,643,702,203         3,162,613,611   

 

(a)   Net asset value per share equals net assets divided by shares of beneficial interest outstanding.

 

 

See accompanying notes which are an integral part of the financial statements.

 

14   Statements of Assets and Liabilities

Table of Contents

SSgA

Money Market Funds

Statements of Operations — For the Period Ended February 28, 2014 (Unaudited)

 

      Money Market
Fund		      U.S.
Government
Money Market
Fund		  

Investment Income

      

Interest

    $ 4,635,163       $ 1,630,049   
  

 

 

     

 

 

  

Total investment income

      4,635,163         1,630,049   

Expenses

      

Advisory fees

      6,031,310         5,458,553   

Administration fees

      264,792         258,264   

Custodian fees

      354,799         243,071   

Distribution fees

      601,807         509,766   

Transfer agent fees

      35,858         21,317   

Professional fees

      50,913         43,477   

Registration fees

      17,871         9,230   

Shareholder servicing fees

      1,283,307         1,136,826   

Trustees’ fees

      70,312         54,996   

Insurance fees

      80,121         43,045   

Printing fees

      40,112         11,935   

Miscellaneous

      34,107         24,481   
  

 

 

     

 

 

  

Expenses before reductions

      8,865,309         7,814,961   

Expense reductions

      (4,265,895 )       (6,184,912 ) 
  

 

 

     

 

 

  

Net expenses

      4,599,414         1,630,049   
  

 

 

     

 

 

  

Net investment income (loss)

      35,749         —   
  

 

 

     

 

 

  

Net Realized Gain (Loss)

      

Net realized gain (loss) on investments

      26,116         (4,553 ) 
  

 

 

     

 

 

  

Net Increase (Decrease) in Net Assets from Operations

    $ 61,865       $ (4,553 ) 
  

 

 

     

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

Statements of Operations     15   

Table of Contents

SSgA

Money Market Funds

Statements of Changes in Net Assets

 

     Money Market Fund      U.S. Government
Money Market Fund		  
      Six Months
Ended
February 28,
2014
(Unaudited)		      Year Ended
August 31,
2013		      Six Months
Ended
February 28,
2014
(Unaudited)		      Year Ended
August 31,
2013		  

Increase (Decrease) in Net Assets

            

Operations

            

Net investment income (loss)

    $ 35,749       $ 249,990       $ —       $ —   

Net realized gain (loss)

      26,116         100,997         (4,553 )       —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets from operations

      61,865         350,987         (4,553 )       —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions

            

From net investment income

      (230,129 )       (249,990 )       (4,051 )       —   

From net realized gains

      (106,465 )       —         (3,148 )       —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Net decrease in net assets from distributions

      (336,594 )       (249,990 )       (7,199 )       —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Share Transactions

            

Net increase (decrease) in net assets from share transactions

      (1,856,793,889 )       (55,557,347 )       (1,181,553,435 )       300,667,820   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Increase (Decrease) in Net Assets

      (1,857,068,618 )       (55,456,350 )       (1,181,565,187 )       300,667,820   

Net Assets

            

Beginning of period

      5,500,769,177         5,556,225,527         4,344,085,040         4,043,417,220   
  

 

 

     

 

 

     

 

 

     

 

 

  

End of period

    $ 3,643,700,559       $ 5,500,769,177       $ 3,162,519,853       $ 4,344,085,040   
  

 

 

     

 

 

     

 

 

     

 

 

  

Undistributed (overdistributed) net investment income included in net assets

    $ (3,487 )     $ 190,893       $ (3,766 )     $ 285   

 

See accompanying notes which are an integral part of the financial statements.

 

16   Statements of Changes in Net Assets

Table of Contents

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Table of Contents

SSgA

Money Market Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.

 

          
$
Net Asset Value,
Beginning of
Period		      $
Net
Investment
Income (Loss)(a)(b)		     $
Net Realized
and Unrealized
Gain (Loss)		     $
Total from
Investment
Operations		     $
Distributions
from Net
Investment Income		     $
Distributions
from Net
Realized Gain		  

Money Market Fund

  

        

February 28, 2014*

      1.0000         0.0001        — (e)      0.0001        (0.0001 )      — (e) 

August 31, 2013

      1.0000         0.0001        — (e)      0.0001        (0.0001 )      —   

August 31, 2012

      1.0000         0.0001        — (e)      0.0001        (0.0001 )      —   

August 31, 2011

      1.0000         0.0001        — (e)      0.0001        (0.0001 )      —   

August 31, 2010

      1.0000         0.0002        — (e)      0.0002        (0.0002 )      —   

August 31, 2009

      1.0000         0.0080        0.0006        0.0086        (0.0084 )      (0.0002 ) 

U.S. Government Money Market Fund

  

        

February 28, 2014*

      1.0000         —        — (e)      — (e)      — (e)      — (e) 

August 31, 2013

      1.0000         —        —        —        —        —   

August 31, 2012

      1.0000         — (e)      — (e)      — (e)      — (e)      —   

August 31, 2011

      1.0000         —        —        —        —        —   

August 31, 2010

      1.0000         — (e)      —        — (e)      — (e)      —   

August 31, 2009

      1.0000         0.0028        0.0012        0.0040        (0.0040 )      —   

 

*   For the six months ended February 28, 2014 (Unaudited)
(a)   Average daily shares outstanding were used for this calculation.
(b)   May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than 0.005%.
(c)   Periods less than one year are not annualized.
(d)   The ratios for periods less than one year are annualized.
(e)   Less than $0.0001 per share.
(f)   Less than 0.005% of average net assets.
(g)   Includes expenses related to the U.S. Treasury Guarantee Program.

 

See accompanying notes which are an integral part of the financial statements.

 

18   Financial Highlights

Table of Contents
$
Total
Distributions		     $
Net Asset Value,
End of
Period		     %
Total
Return(c)		     $
Net Assets,
End of Period
(000)		     %
Ratio of Expenses
to Average
Net Assets,
Net(b)(d)		     %
Ratio of Expenses
to Average
Net Assets,
Gross(d)		     %
Ratio of Net
Investment Income
to Average
Net Assets(b)(d)		  
           
  (0.0001 )      1.0000        0.01        3,643,701        0.19        0.37        — (f) 
  (0.0001 )      1.0000        0.01        5,500,769        0.25        0.38        0.01   
  (0.0001 )      1.0000        0.01        5,556,226        0.29        0.39        0.01   
  (0.0001 )      1.0000        0.01        6,635,185        0.31        0.38        0.01   
  (0.0002 )      1.0000        0.02        7,019,663        0.32        0.39        0.02   
  (0.0086 )      1.0000        0.86        8,599,276        0.41 (g)      0.41        0.80   
           
  — (e)      1.0000        — (f)      3,162,520        0.07        0.36        —   
  —        1.0000        —        4,344,085        0.13        0.39        —   
  — (e)      1.0000        — (f)      4,043,417        0.10        0.39        — (f) 
  —        1.0000        —        4,469,541        0.16        0.39        —   
  — (e)      1.0000        —        3,491,968        0.20        0.37        — (f) 
  (0.0040 )      1.0000        0.40        4,308,697        0.35        0.38        0.28   

 

See accompanying notes which are an integral part of the financial statements.

 

Financial Highlights     19   

Table of Contents

SSgA

Money Market Funds

Notes to Financial Statements — February 28, 2014 (Unaudited)

 

 

1.   Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 12 investment portfolios that were in operation as of February 28, 2014. These financial statements report on two funds: the SSgA Money Market Fund and SSgA U.S. Government Money Market Fund (each a “Fund” and collectively referred to as the “Funds”), each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a Second Amended and Restated Master Trust Agreement, dated May 15, 2012 (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

 

2.   Significant Accounting Policies

The Funds’ 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 and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

As permitted in accordance with Rule 2a-7 of the 1940 Act, each Fund values portfolio investments using the amortized cost method which approximates fair market value. Under this method, each portfolio instrument is initially valued at cost, and thereafter assumes a constant accretion/amortization to maturity date or next reset date of any discount or premium.

U.S. GAAP defines fair market value as the price that 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. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2, and 3). In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

 

  •  

Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

 

  •  

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are nonactive, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

  •  

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Short-term instruments purchased by the Funds and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value. These investments are categorized as Level 2 of the fair value hierarchy.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

 

20   Notes to Financial Statements

Table of Contents

SSgA

Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes).

When fair valuation methods are applied that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the footnotes to the Schedule of Investments for each respective Fund.

As of the period ended February 28, 2014, there were no transfers between levels.

Securities Transactions

Securities transactions are recorded on a trade date basis, which in most instances is the same as the settlement date. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost which is the same basis used for federal income taxes.

Investment Income

Interest income is recorded daily on an accrual basis and includes amortization of premium and accretion of discount on investments. Premium is amortized and discount is accreted using the straight line method. Distributions received on securities that represent a return on capital or capital gains are recorded as a reduction on cost of investments and/or as a realized gain.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986 (the “Code”), as amended. This requires each Fund to distribute an amount sufficient to avoid any excise tax under Section 4982 of the Code. Therefore, for the period ended February 28, 2014, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2014, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years ended August 31, 2010 through August 31, 2013, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

Notes to Financial Statements     21   

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SSgA

Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

At February 28, 2014, the following Fund had net tax basis capital loss carryforwards, which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first, as follows:

 

     Expiration Year  
      8/31/2014      8/31/2015      8/31/2016      8/31/2017      8/31/2018     

Non-Expiring

Short-Term

     

Non-Expiring

Long-Term

      Total  

U.S. Government Money Market Fund

    $ 2,635       $ —       $ —       $ —       $ —       $ —       $ —       $ 2,635   

Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Dividends and Distributions to Shareholders

The Funds declare and record dividends on net investment income daily and pay them monthly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. Each Fund may periodically make reclassifications among certain of its capital accounts without impacting net asset value for differences between federal tax regulations and U.S. GAAP.

The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to capital loss carryforwards.

Expenses

Most expenses can be directly attributed to a Fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all funds of the Investment Company based principally on their relative average net assets.

Repurchase Agreements

The Funds may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed-upon price and time. The total amount received by the Funds on repurchase is calculated to exceed the price paid by the Funds, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities or Government Agency securities, but the underlying securities on the SSgA Money Market Fund may consist of other securities such as Corporate Bonds in limited circumstances. The value of the underlying securities, at the time of purchase and each subsequent business day, is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The use of repurchase agreements involves certain risks. Upon an event of default under the Master Repurchase Agreement, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) the Funds will seek to dispose of such securities; this action could involve losses, costs or delays. The Funds may enter into repurchase agreements maturing within a specified date with domestic dealers, banks and other financial institutions deemed to be creditworthy by the Funds’ investment adviser.

Contractual Obligation/ Indemnification

Under the Investment Company’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Funds enter into contracts that contain a variety of representations and obligations, including general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

22   Notes to Financial Statements

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Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

 

3.   Related Party Transactions, Fees and Expenses

Adviser and Affiliates

SSgA Funds Management, Inc. (the “Adviser”), manages the Funds pursuant to an Amended and Restated Investment Advisory Agreement dated April 11, 2012, between the Investment Company and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Adviser and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Adviser directs the investments of each Fund in accordance with its investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Adviser, calculated daily and paid monthly at the annual rate of 0.25% of their daily net assets.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee on the Money Market Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.40% of average daily net assets on an annual basis. For the period ended February 28, 2014, there were no contractual waivers or reimbursements for the Money Market Fund. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser also may voluntarily reduce all or a portion of its fees and/or reimburse expenses to the extent necessary to maintain a minimum net yield for a Fund (the “Voluntary Reduction”) which may vary from time to time and from fund to fund in the Adviser’s sole discretion. Under an agreement with SSgA Funds relating to the Voluntary Reduction, the Money Market Fund and the U.S. Government Money Market Fund, respectively, have agreed to reimburse the Adviser for the full dollar amount of any Voluntary Reduction beginning on August 1, 2012, subject to certain limitations. A Fund will not be obligated to reimburse the Adviser: more than three years after the end of the fiscal year for the Fund in which the Adviser provided a Voluntary Reduction; in respect of any business day for which the net annualized one-day yield is less than 0.00%; to the extent that the amount of the reimbursement to the Adviser on any day exceeds fifty percent of the yield (net of all expenses, exclusive of the reimbursement) of the Fund on that day; to the extent that the amount of such reimbursement would cause the Fund’s net yield to fall below the Fund’s minimum net yield; or in respect of any fee waivers and/or expense reimbursements that are necessary to maintain a Fund’s contractual total expense limit which is effective at the time of such fee waivers and/or expense reimbursements. A reimbursement to the Adviser could negatively impact the Money Market Fund’s and the U.S. Government Money Market Fund’s future yield. There is no guarantee that either the Money Market Fund or the U.S. Government Money Market Fund will be able to avoid a negative yield. The Adviser may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from a Fund, without limitation. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 28, 2014, the Adviser waived $4,265,895 of its fee and reimbursed $0 of expenses on the Money Market Fund and waived $5,458,553 of its fee and reimbursed $726,359 of expenses on the U.S. Government Money Market Fund. Voluntary reductions subject to potential recovery by year of expiration are as follows:

 

Expiration    Money Market Fund     

U.S. Government

Money Market Fund

  

8/31/15

    $ 265,443       $ 695,151   

8/31/16

    $ 6,490,477       $ 9,294,397   

Boston Financial Data Services, Inc. (“BFDS”) serves as the Funds’ transfer and dividend paying agent, pursuant to an agreement dated August 1, 2006, as amended. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund. BFDS is a joint venture of DST Systems, Inc., and State Street Corporation.

State Street Bank and Trust Company (“State Street”) provides custody and fund accounting services to the Funds pursuant to an Amended and Restated Custodian Contract dated April 11, 2012. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses. State Street is a wholly-owned subsidiary of State Street Corporation. In addition, the Funds have entered into arrangements with State Street whereby custody

 

Notes to Financial Statements     23   

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SSgA

Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. The custody credits are included in the expense reductions in the Statements of Operations. For the period ended February 28, 2014, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

 

      Amount Paid  
  

Money Market Fund

    $ 977   

U.S. Government Money Market Fund

      52,029   

Administrator

State Street (the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2013 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Investment Company: $0 to $10 billion — 0.0175%; next $10 billion — 0.0125%; next $10 billion — 0.0075% and 0.0050% thereafter. In addition, the Investment Company pays additional fees to the Administrator for certain services and reimburses the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

State Street Global Markets, LLC (the “Distributor” or “SSGM”) promotes and offers shares of the Investment Company pursuant to an Amended and Restated Distribution Agreement dated April 11, 2012. The Distributor may enter into agreements with other related and non-related parties which act as agents to offer and sell shares of the Funds. The amounts paid to the Distributor are included in the accompanying Statements of Operations. The Distributor is a wholly-owned subsidiary of State Street Corporation.

The Investment Company has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has shareholder service agreements with State Street and the following entities related to State Street: SSGM, Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”), High Net Worth Services Division of State Street (“High Net Worth Services”) and Wealth Management Systems (collectively, the “Agents”), as well as several unaffiliated service providers. For these services, each Institutional Class pays 0.025% to State Street and a maximum of 0.175% to each of the affiliated Agents, based on the average daily value of all Institutional Class shares held by or for customers of these Agents. For the period ended February 28, 2014, each Fund paid the following shareholder servicing expenses to the Agents:

 

      State Street      SSGM      Fiduciary
Investor
Services		      High Net
Worth
Services		      Wealth
Management
Systems		  

Money Market Fund

    $ 456,567       $ 474,086       $ —       $ 21,135       $ 77,809   

U.S. Government Money Market Fund

      478,055         —         —         453,155         47,220   

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of a Fund on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of a Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Funds’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the Funds’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Funds will not be obligated to reimburse the Distributor for carryover expenses

 

24   Notes to Financial Statements

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SSgA

Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

subsequent to the Plan’s termination or discontinuation. As of February 28, 2014, the Money Market Fund and the U.S. Government Money Market Fund had no carryover expenses.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2014 were as follows:

 

      Money Market Fund      U.S. Government
Money Market Fund		  
     

Advisory fees

    $ 1,688,840       $ 1,411,700   

Administration fees

      41,995         43,461   

Custodian fees

      127,005         72,661   

Distribution fees

      209,589         147,891   

Shareholder servicing fees

      303,987         271,666   

Transfer agent fees

      6,155         —   

Trustees’ fees

      31,317         15,930   
  

 

 

     

 

 

  
   $ 2,408,888       $ 1,963,309   
  

 

 

     

 

 

  

 

4.   Fund Share Transactions (On a Constant Dollar Basis)

 

     Six Months Ended
February 28, 2014
(Unaudited)		     Year Ended
August 31, 2013		  
    

Money Market Fund

     

Proceeds from shares sold

    $ 22,376,451,073      $ 49,015,724,173   

Proceeds from reinvestment of distributions

      111,116        100,866   

Payments for shares redeemed

      (24,233,356,078 )      (49,071,382,386 ) 
  

 

 

    

 

 

  

Total net increase (decrease)

    $ (1,856,793,889 )    $ (55,557,347 ) 
  

 

 

    

 

 

  

U.S. Government Money Market Fund

     

Proceeds from shares sold

    $ 28,857,699,979      $ 40,079,629,827   

Proceeds from reinvestment of distributions

      915        —   

Payments for shares redeemed

      (30,039,254,329 )      (39,778,962,007 ) 
  

 

 

    

 

 

  

Total net increase (decrease)

    $ (1,181,553,435 )    $ 300,667,820   
  

 

 

    

 

 

  

 

5.   Interfund Lending Program

The Funds participate in a joint lending and borrowing facility (the “Interfund Lending Program”). Funds of the Investment Company may borrow money from the Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The Money Market Fund will lend through the Interfund Lending Program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the Interfund Lending Program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest

 

Notes to Financial Statements     25   

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SSgA

Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

rate if an interfund loan is called or not renewed. Any delay in repayment to the Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2014, the Funds did not utilize the Interfund Lending Program.

 

6.   Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.

 

26   Notes to Financial Statements

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Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

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 (800) 647-7327 (toll free) or (ii) on the website of the Securities and Exchange Commission, at www.sec.gov. Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at ww.sec.gov, and on the Funds’ website at www.sssgafunds.com.

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room.

Shareholder Meeting Results

Rule 30e-1 under the Investment Company act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013 which was adjourned to January 24, 2014, February 19, 2014 and February 27, 2014 (the “Shareholder Meeting”). The final results of the Shareholder Meeting are reported in the following tables.

All Funds

Proposal 1: To elect the following as Trustees of the Trust:

 

Proposed Trustee    Shares For      Shares
Withheld		  

William L. Marshall

      3,351,745,505.531         13,295,966.598   

Patrick J. Riley

      3,351,745,505.531         13,295,966.598   

Richard D. Shirk

      3,351,745,505.531         13,295,966.598   

Bruce D. Taber

      3,351,745,505.531         13,295,966.598   

Scott F. Powers

      3,351,745,505.531         13,295,966.598   

Michael F. Holland

      3,351,745,505.531         13,295,966.598   

William L. Boyan

      3,353,977,764.711         11,063,707.418   

Rina K. Spence

      3,363,342,520.701         1,698,951.428   

Douglas T. Williams

      3,351,745,505.531         13,295,966.598   

James E. Ross

      3,351,745,505.531         13,295,966.598   

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

9,645,533,122.253

    2,813,141,956.770    432,463,627.123    640,754,307.649

SSgA Money Market Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

1,034,066,502.296

    1,419,877,418.748    5,244,671.647    446,263,014.080

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

2,172,761,746.895

    280,890,262.727    5,536,583.069    446,263,014.080

 

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Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

2,326,780,353.053

    126,712,732.381    5,695,507.257    446,263,014.080

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

2,321,288,782.050

    132,023,670.822    5,876,139.819    446,263,014.080

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

2,252,552,224.397

    201,108,265.834    5,528,102.460    446,263,014.080

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

2,245,701,774.387

    207,760,796.436    5,726,021.868    446,263,014.080

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

2,322,485,696.889

    131,215,150.283    5,487,745.519    446,263,014.080

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

2,327,252,348.432

    126,050,026.406    5,886,217.853    446,263,014.080

Proposal 4.G-4.Q: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

2,245,413,162.842

    207,280,277.509    6,495,152.340    446,263,014.080

Proposal 4.H — Purchasing or selling puts, calls or investing in straddles, spreads or any combination thereof:

 

For    Against    Abstentions    Broker Non-Votes

2,326,563,634.459

    127,073,793.261    5,551,164.971    446,263,014.080

Proposal 4.I — Making short sales or purchasing securities on margin:

 

For    Against    Abstentions    Broker Non-Votes

2,246,094,231.269

    207,215,034.094    5,879,327.328    446,263,014.080

Proposal 4.J — Diversification of investments:

 

For    Against    Abstentions    Broker Non-Votes

2,249,125,760.421

    204,468,431.090    5,594,401.180    446,263,014.080

Proposal 4.K — Investing in illiquid securities:

 

For    Against    Abstentions    Broker Non-Votes

2,249,741,812.288

    203,294,138.516    6,152,641.887    446,263,014.080

 

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Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.L — Purchasing interests in oil, gas or other mineral exploration or development programs:

 

For    Against    Abstentions    Broker Non-Votes

2,247,144,705.091

    205,922,356.525    6,121,531.075    446,263,014.080

Proposal 4.M — Investments for control:

 

For    Against    Abstentions    Broker Non-Votes

2,250,826,443.330

    202,086,447.014    6,275,702.347    446,263,014.080

Proposal 4.N — Investments if the Investment Company’s officers, Directors, Adviser or any of their affiliates beneficially own a certain percent of the securities of such issuer:

 

For    Against    Abstentions    Broker Non-Votes

2,248,966,999.068

    203,599,689.613    6,621,904.010    446,263,014.080

Proposal 4.O — Investing in new issuers:

 

For    Against    Abstentions    Broker Non-Votes

2,253,980,136.386

    199,201,628.069    6,006,828.236    446,263,014.080

Proposal 4.P — Investments in securities issued by other investment companies:

 

For    Against    Abstentions    Broker Non-Votes

2,253,141,681.998

    199,899,563.257    6,147,347.436    446,263,014.080

Proposal 4.Q — Certain interested transactions:

 

For    Against    Abstentions    Broker Non-Votes

2,251,369,637.260

    201,273,898.214    6,545,057.217    446,263,014.080

SSgA U.S. Government Money Market Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

3,311,417,602.461

    64,013,615.160    754,169.528    2,508.290

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

3,362,008,148.901

    13,423,068.720    754,169.528    2,508.290

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

3,375,436,135.159

    749,250.990    0    2508.290

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

3,361,641,235.761

    14,544,151.388    0    2508.290

 

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Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

3,359,635,753.051

    16,544,715.560    4,918.538    2508.290

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

3,361,641,235.761

    14,544,151.388    0    2508.290

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

3,361,646,154.299

    14,539,232.850    0    2508.290

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

3,361,641,235.761

    14,539,232.850    4,918.538    2508.290

Proposal 4.G-4.Q: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

3,361,641,235.761

    14,544,151.388    0    2508.290

Proposal 4.H — Purchasing or selling puts, calls or investing in straddles, spreads or any combination thereof:

 

For    Against    Abstentions    Broker Non-Votes

3,361,640,832.810

    14,544,151.388    402.951    2508.290

Proposal 4.I — Making short sales or purchasing securities on margin:

 

For    Against    Abstentions    Broker Non-Votes

3,361,632,032.537

    14,548,033.123    5,321.489    2508.290

Proposal 4.J — Diversification of investments:

 

For    Against    Abstentions    Broker Non-Votes

3,376,184,984.198

    0    402.951    2508.290

Proposal 4.K — Investing in illiquid securities:

 

For    Against    Abstentions    Broker Non-Votes

3,364,013,288.660

    12,166,837.000    5,321.489    2508.290

Proposal 4.L — Purchasing interests in oil, gas or other mineral exploration or development programs:

 

For    Against    Abstentions    Broker Non-Votes

3,364,018,147.198

    12,166,837.000    402.951    2508.290

Proposal 4.M — Investments for control:

 

For    Against      Abstentions      Broker Non-Votes  

3,361,640,832.810

      14,544,151.388         402.951         2508.290   

 

30   Shareholder Requests for Additional Information

Table of Contents

SSgA

Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

Proposal 4.N — Investments if the Investment Company’s officers, Directors, Adviser or any of their affiliates beneficially own a certain percent of the securities of such issuer:

 

For    Against    Abstentions    Broker Non-Votes

3,359,629,143.186

    16,555,841.012    402.951    2508.290

Proposal 4.O — Investing in new issuers:

 

For    Against    Abstentions    Broker Non-Votes

3,360,389,519.628

    15,795,464.570    402.951    2508.290

Proposal 4.P — Investments in securities issued by other investment companies:

 

For    Against    Abstentions    Broker Non-Votes
3,360,390,083.800    13,789,981.860    5,321.489    2508.290

Proposal 4.Q — Certain interested transactions:

 

For    Against    Abstentions    Broker Non-Votes

3,362,008,148.901

    14,177,238.248    0    2508.290

Proposal 5 — To make the fundamental investment objective of the Fund non-fundamental:

 

For    Against    Abstentions    Broker Non-Votes

1,297,764,078.230

    2,078,415,987.430    5,321.489    2508.290

 

Shareholder Requests for Additional Information     31   

Table of Contents

SSgA

Money Market Funds

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

 

 

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President, Chief Executive Officer and Principal Executive Officer

Laura F. Dell, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President

Brian Harris, Chief Compliance Officer

David James, Secretary and Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Chad C. Hallett, Assistant Treasurer

Caroline Connolly, Assistant Treasurer

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

Two Heritage Drive

North Quincy, Massachusetts 02171

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel (Effective May 1, 2014)

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, Massachusetts 02116

 

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as administrator, custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

 

32   Fund Management and Service Providers

Table of Contents
IBG-11309      SSGAMMFDSAR   

Table of Contents

LOGO

 

INSTITUTIONAL MONEY MARKET FUNDS

U.S. Treasury Money Market Fund

Prime Money Market Fund

 

Semiannual Report

February 28, 2014

Table of Contents

Table of Contents

SSgA Funds

Institutional Money Market Funds

Semiannual Report

February 28, 2014 (Unaudited)

Table of Contents

 

       Page  
U.S. Treasury Money Market Fund        3   
Prime Money Market Fund        7   
Statements of Assets and Liabilities        12   
Statements of Operations        13   
Statements of Changes in Net Assets        14   
Financial Highlights        16   
Notes to Financial Statements        18   
Shareholder Requests for Additional Information        25   
Fund Management and Service Providers        29   

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or another governmental agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

Table of Contents

 

 

 

 

This page has been intentionally left blank.

Table of Contents

SSgA

U.S. Treasury Money Market Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,000.00       $ 1,024.50   

Expenses Paid During Period*

    $ 0.30       $ 0.30   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.06% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

U.S. Treasury Money Market Fund     3   

Table of Contents

SSgA

U.S. Treasury Money Market Fund

Schedule of Investments — February 28, 2014

 

      Principal
Amount ($)
or Shares		        Rate
% (#)		       

Date

of
Maturity

       

Value

$

  
                 
Treasury Debt - 67.5%                  

U.S. Treasury Bill

      175,000,000           0.065           03/06/14           174,998,420   

U.S. Treasury Bill

      100,000,000           0.080           03/06/14           99,998,889   

U.S. Treasury Bill

      300,000,000           0.055           03/13/14           299,994,500   

U.S. Treasury Bill

      200,000,000           0.073           03/13/14           199,995,167   

U.S. Treasury Bill

      150,000,000           0.040           03/20/14           149,996,833   

U.S. Treasury Bill

      350,000,000           0.070           03/20/14           349,987,069   

U.S. Treasury Bill

      90,000,000           0.033           03/27/14           89,997,888   

U.S. Treasury Bill

      110,000,000           0.035           03/27/14           109,997,219   

U.S. Treasury Bill

      300,000,000           0.070           03/27/14           299,984,833   

U.S. Treasury Bill

      200,000,000           0.065           04/03/14           199,988,083   

U.S. Treasury Bill

      125,000,000           0.063           04/10/14           124,991,320   

U.S. Treasury Bill

      125,000,000           0.065           04/10/14           124,990,972   

U.S. Treasury Bill

      500,000,000           0.050           04/17/14           499,967,361   

U.S. Treasury Bill

      100,000,000           0.073           04/24/14           99,989,125   

U.S. Treasury Bill

      67,000,000           0.105           04/24/14           66,989,448   

U.S. Treasury Bill

      184,000,000           0.110           04/24/14           183,969,640   

U.S. Treasury Bill

      100,000,000           0.075           05/01/14           99,987,292   

U.S. Treasury Bill

      100,000,000           0.083           05/08/14           99,984,417   

U.S. Treasury Bill

      130,000,000           0.100           05/15/14           129,972,917   

U.S. Treasury Bill

      320,000,000           0.105           05/15/14           319,930,000   

U.S. Treasury Bill

      322,000,000           0.045           05/22/14           321,966,995   

U.S. Treasury Bill

      78,000,000           0.048           05/22/14           77,991,561   

U.S. Treasury Bill

      100,000,000           0.098           05/22/14           99,977,792   

U.S. Treasury Bill

      100,000,000           0.045           05/29/14           99,988,875   

U.S. Treasury Bill

      100,000,000           0.100           05/29/14           99,975,278   

U.S. Treasury Bill

      100,000,000           0.105           06/05/14           99,972,000   

U.S. Treasury Bill

      75,000,000           0.098           06/12/14           74,979,078   

U.S. Treasury Bill

      100,000,000           0.090           06/19/14           99,972,500   

U.S. Treasury Bill

      111,000,000           0.105           08/14/14           110,946,258   

U.S. Treasury Bill

      39,000,000           0.110           08/14/14           38,980,218   

U.S. Treasury Bill

      275,000,000           0.073           08/21/14           274,904,189   

U.S. Treasury Bill

      125,000,000           0.078           08/21/14           124,953,446   

U.S. Treasury Bill

      400,000,000           0.078           08/28/14           399,844,998   

U.S. Treasury Note

      125,000,000           0.070           06/30/14           125,075,015   

U.S. Treasury Note

      38,000,000           0.075           06/30/14           38,022,166   

U.S. Treasury Note

      38,000,000           0.080           07/31/14           38,405,840   
                 

 

 

  

Total Treasury Debt

(amortized cost $5,851,667,602)

                     5,851,667,602   
                 

 

 

  

Total Investments - 67.5%

(amortized cost $5,851,667,602)

                     5,851,667,602   
                 

 

 

  
Repurchase Agreements - 30.6%                  
Treasury Repurchase Agreements - 30.6%                  

Agreement with Bank of Nova Scotia and The Bank of New York Mellon Corp. (Tri-Party) of $100,000,000 dated February 28, 2014 at 0.050% to be repurchased at $100,000,417 on March 3, 2014, collateralized by: $101,997,000 par various United States Government Treasury Obligations valued at $102,000,435.

                     100,000,000   

 

4   U.S. Treasury Money Market Fund

Table of Contents

SSgA

U.S. Treasury Money Market Fund

Schedule of Investments, continued — February 28, 2014

 

                             

Value

$

  
                 

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $350,000,000 dated February 28, 2014 at 0.040% to be repurchased at $350,002,333 on March 6, 2014, collateralized by: $336,364,600 par various United States Government Treasury Obligations valued at $357,000,034.

                     350,000,000   

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $648,000,000 dated February 28, 2014 at 0.050% to be repurchased at $648,002,700 on March 3, 2014, collateralized by: $610,600,661 par various United States Government Treasury Obligations valued at $660,960,047.

                     648,000,000   

Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $213,000,000 dated February 28, 2014 at 0.050% to be repurchased at $213,000,888 on March 3, 2014, collateralized by: $217,287,400 par various United States Government Treasury Obligations valued at $217,260,022.

                     213,000,000   

Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $50,000,000 dated February 28, 2014 at 0.040% to be repurchased at $50,000,222 on March 4, 2014, collateralized by: $56,094,352 par various United States Government Treasury Obligations valued at $51,000,001.

                     50,000,000   

Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $750,000,000 dated February 28, 2014 at 0.050% to be repurchased at $750,003,125 on March 3, 2014, collateralized by: $750,283,500 par various United States Government Treasury Obligations valued at $765,000,093.

                     750,000,000   

Agreement with HSBC Securities USA, Inc. and JPMorgan Chase & Co. (Tri-Party) of $250,000,000 dated February 28, 2014 at 0.040% to be repurchased at $250,001,667 on March 6, 2014, collateralized by: $282,157,848 par various United States Government Treasury Obligations valued at $255,001,905.

                     250,000,000   

Agreement with JP Morgan Securities, Inc. and JPMorgan Chase & Co. (Tri-Party) of $105,000,000 dated February 28, 2014 at 0.050% to be repurchased at $105,000,438 on March 3, 2014 collateralized by: $96,665,000 par various United States Government Treasury Obligations valued at $107,104,282.

                     105,000,000   

Agreement with UBS Warburg and The Bank of New York Mellon Corp. (Tri-Party) of $184,000,000 dated February 28, 2014 at 0.050% to be repurchased at $184,000,767 on March 3, 2014, collateralized by: $144,717,800 par various United States Government Treasury Obligations valued at $187,680,041.

                     184,000,000   
                 

 

 

  

Total Treasury Repurchase Agreements

(identified cost $2,650,000,000)

                     2,650,000,000   
                 

 

 

  

Total Investments and Repurchase Agreements - 98.1% (a)

(cost $8,501,667,602) (b)

                     8,501,667,602   
Other Assets and Liabilities, Net - 1.9%                     163,350,343   
                 

 

 

  
Net Assets - 100.0%                     8,665,017,945   
                 

 

 

  

Footnotes:

# For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.
(a) Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs. (Note 2)
(b) The identified cost for Federal income tax purposes.

 

See accompanying notes which are an integral part of the financial statements.

 

U.S. Treasury Money Market Fund     5   

Table of Contents

SSgA

U.S. Treasury Money Market Fund

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

Categories    % of
Net
Assets		  

Treasury Debt

      67.5   

Repurchase Agreements

      30.6   
  

 

   

 

 

  

Total Investments and Repurchase Agreements

      98.1   

Other Assets and Liabilities, Net

      1.9   
  

 

   

 

 

  
     100.0   
  

 

   

 

 

  

 

 

 

See accompanying notes which are an integral part of the financial statements.

 

6   U.S. Treasury Money Market Fund

Table of Contents

SSgA

Prime Money Market Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before
expenses)		  

Beginning Account Value
September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value
February 28, 2014

    $ 1,000.20       $ 1,023.90   

Expenses Paid During Period*

    $ 0.89       $ 0.90   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.18% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

Prime Money Market Fund     7   

Table of Contents

SSgA

Prime Money Market Fund

Schedule of Investments — February 28, 2014 (Unaudited)

 

     Principal
Amount ($)
or Shares		        Rate
% (#)		        Date
of
Maturity		        Value
$		  
                 
Asset Backed Commercial Paper - 7.9%                  

Kells Funding LLC (a)

      65,000,000           0.230           03/03/14           64,999,170   

Kells Funding LLC (a)

      25,000,000           0.230           03/05/14           24,999,361   

Kells Funding LLC (a)

      50,000,000           0.230           03/19/14           49,994,250   

Kells Funding LLC (a)

      50,000,000           0.233           04/22/14           49,983,389   

Northern Pines Funding LLC (a)

      150,000,000           0.311           03/05/14           149,994,833   

Northern Pines Funding LLC (a)

      100,000,000           0.220           04/25/14           99,966,389   
                 

 

 

  
Total Asset Backed Commercial Paper
(amortized cost $439,937,392)		                     439,937,392   
                 

 

 

  
Certificates of Deposit - 33.3%                  

Bank of Montreal

      140,000,000           0.170           04/21/14           140,000,000   

Bank of Montreal (next reset date 03/18/14) (b)

      100,000,000           0.255           08/15/14           100,000,000   

Bank of Nova Scotia (next reset date 03/07/14) (b)

      130,000,000           0.248           08/04/14           130,000,000   

Barclays Bank (next reset date 03/10/14) (b)

      100,000,000           0.377           09/09/14           100,000,000   

Barclays Bank (next reset date 03/10/14) (b)

      50,000,000           0.377           10/03/14           50,000,000   

BNP Paribas

      60,000,000           0.280           04/08/14           60,000,000   

Canadian Imperial Bank of Commerce (next reset date 03/05/14) (b)

      75,000,000           0.277           08/01/14           75,000,000   

DnB Bank ASA

      60,000,000           0.190           05/06/14           60,000,000   

ING Bank NV

      110,000,000           0.250           05/05/14           110,000,000   

ING Bank NV

      80,000,000           0.250           05/06/14           80,000,000   

Rabobank Nederland NV (next reset date 03/03/14) (b)

      100,000,000           0.249           06/02/14           100,000,000   

Royal Bank of Canada (next reset date 03/10/14) (b)

      44,000,000           0.277           04/09/14           44,000,000   

Royal Bank of Canada (next reset date 03/17/14) (b)

      24,000,000           0.275           04/16/14           24,000,000   

Skandinaviska Enskilda Banken AB (next reset date 03/03/14) (b)

      100,000,000           0.259           10/03/14           100,000,000   

Standard Chartered Bank

      50,000,000           0.190           05/09/14           50,000,000   

Sumitomo Mitsui Banking Corp.

      150,000,000           0.220           05/09/14           150,000,000   

Sumitomo Mitsui Banking Corp.

      10,000,000           0.220           05/19/14           10,000,000   

Svenska Handelsbanken AB

      24,000,000           0.175           03/05/14           24,000,013   

Svenska Handelsbanken AB

      50,000,000           0.175           04/02/14           50,000,222   

Svenska Handelsbanken AB

      72,000,000           0.190           04/04/14           72,000,326   

Swedbank AB (next reset date 03/06/14) (b)

      101,000,000           0.258           08/06/14           101,000,000   

UBS AG

      91,000,000           0.260           05/16/14           91,000,000   

UBS AG

      90,000,000           0.220           07/31/14           90,000,000   

Westpac Banking Corp. (next reset date 03/17/14) (b)

      45,000,000           0.225           01/16/15           45,000,000   
                 

 

 

  
Total Certificates of Deposit
(amortized cost $1,856,000,561)		                     1,856,000,561   
                 

 

 

  
Financial Company Commercial Paper - 15.4%                  

BNP Paribas

      65,000,000           0.253           03/10/14           64,995,938   

Caisse des Depots et Consignations (a)

      25,000,000           0.172           04/24/14           24,993,625   

Caisse des Depots et Consignations (a)

      30,000,000           0.178           05/13/14           29,989,354   

Collateralized Commercial Paper Co. LLC (a)

      100,000,000           0.244           06/05/14           99,936,000   

Collateralized Commercial Paper Co. LLC

      85,000,000           0.240           06/06/14           84,945,033   

Commonwealth Bank of Australia (next reset date 04/11/14) (a)(b)

      64,000,000           0.272           07/03/14           64,000,000   

DnB Bank ASA (a)

      80,000,000           0.193           03/18/14           79,992,822   

DnB Bank ASA (a)

      100,000,000           0.193           05/16/14           99,959,889   

General Electric Capital Corp.

      20,000,000           0.203           03/21/14           19,997,778   

General Electric Capital Corp.

      20,000,000           0.223           04/14/14           19,994,622   

Nordea Bank AB (a)

      100,000,000           0.203           03/20/14           99,989,444   

 

8   Prime Money Market Fund

Table of Contents

SSgA

Prime Money Market Fund

Schedule of Investments, continued — February 28, 2014 (Unaudited)

 

     

Principal

Amount ($)
or Shares

        Rate
% (#)		       

Date

of
Maturity

       

Value

$

  
                 

Nordea Bank AB (a)

      100,000,000           0.193           05/02/14           99,967,278   

Sumitomo Mitsui Banking Corp. (a)

      30,000,000           0.223           05/19/14           29,985,517   

Westpac Banking Corp. (next reset date 03/13/14) (a)(b)

      40,000,000           0.224           01/13/15           40,000,000   
                 

 

 

  
                 
Total Financial Company Commercial Paper
(amortized cost $858,747,300)		                     858,747,300   
                 

 

 

  
Other Notes - 14.7%                  

Bank of America NA

      75,000,000           0.210           05/02/14           75,000,000   

Bank of America NA

      50,000,000           0.210           05/15/14           50,000,000   

Credit Agricole Corporate & Investment Bank SA

      225,000,000           0.100           03/03/14           225,000,000   

JPMorgan Chase Bank NA (next reset date 03/07/14) (b)

      60,000,000           0.322           03/06/15           60,000,000   

JPMorgan Chase Bank NA (next reset date 04/22/14) (b)

      35,000,000           0.317           03/20/15           35,000,000   

Natixis

      202,000,000           0.090           03/03/14           202,000,000   

Royal Bank of Canada (next reset date 04/07/14) (a)(b)

      35,000,000           0.290           03/06/15           35,000,000   

Svenska Handelsbanken AB (next reset date 03/27/14) (a)(b)

      40,000,000           0.285           08/27/14           40,000,000   

Wells Fargo Bank NA (next reset date 03/10/14) (b)

      35,000,000           0.291           03/10/15           35,000,000   

Wells Fargo Bank NA (next reset date 03/20/14) (b)

      58,000,000           0.324           03/20/15           58,000,000   
                 

 

 

  
Total Other Notes
(amortized cost $815,000,000)		                     815,000,000   
                 

 

 

  
Total Investments - 71.3%
(amortized cost $3,969,685,253)		                     3,969,685,253   
                 

 

 

  
Repurchase Agreements - 28.7%                  
Government Agency Repurchase Agreements - 4.1%                  

Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $100,000,000 dated February 28, 2014 at 0.050% to be repurchased at $100,000,694 on March 5, 2014, collateralized by: $115,402,015 par various United States Government Mortgage Agency Obligations valued at $102,000,001.

                     100,000,000   

Agreement with Morgan Stanley and The Bank of New York Mellon Corp. (Tri-Party) of $129,000,000 dated February 28, 2014 at 0.060% to be repurchased at $129,000,645 on March 3, 2014, collateralized by: $126,456,075 par various United States Government Mortgage Agency Obligations valued at $131,580,001.

                     129,000,000   
Total Government Agency Repurchase Agreements
(identified cost $229,000,000)		                     229,000,000   
                 

 

 

  
Treasury Repurchase Agreements - 24.2%                  

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $100,000,000 dated February 28, 2014 at 0.060% to be repurchased at $100,000,500 on March 3, 2014, collateralized by: $101,627,800 par various United States Government Treasury Obligations valued at $102,000,006.

                     100,000,000   

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $175,000,000 dated February 28, 2014 at 0.050% to be repurchased at $175,000,729 on March 3, 2014, collateralized by: $180,774,600 par various United States Government Treasury Obligations valued at $178,500,047.

                     175,000,000   

 

Prime Money Market Fund     9   

Table of Contents

SSgA

Prime Money Market Fund

Schedule of Investments, continued — February 28, 2013

 

                               

Value

$

  

Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $46,000,000 dated February 28, 2014 at 0.050% to be repurchased at $46,000,192 on March 3, 2014, collateralized by: $46,645,600 par various United States Government Treasury Obligations valued at $46,984,626.

                       46,000,000   

Agreement with Federal Reserve Bank and The Bank of New York Mellon Corp. (Tri-Party) of $775,000,000 dated February 28, 2014 at 0.050% to be repurchased at $775,003,229 on March 3, 2014, collateralized by: $691,152,900 par various United States Government Treasury Obligations valued at $775,003,322.

                       775,000,000   

Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $150,000,000 dated February 28, 2014 at 0.150% to be repurchased at $150,001,875 on March 3, 2014, collateralized by: $106,631,000 par various United States Government Treasury Obligations valued at $153,000,067.

                       150,000,000   

Agreement with RBC Capital Markets and The Bank of New York Mellon Corp. (Tri-Party) of $100,000,000 dated February 28, 2014 at 0.060% to be repurchased at $100,000,500 on March 3, 2014, collateralized by: $98,031,300 par various United States Government Treasury Obligations valued at $102,000,054.

                       100,000,000   
                   

 

 

  
Total Treasury Repurchase Agreements
(identified cost $1,346,000,000)		                       1,346,000,000   
                   

 

 

  
Other Repurchase Agreements - 0.4%                    

Agreement with JPM Chase and JPMorgan Chase & Co. (Tri-Party) of $25,000,000 dated February 28, 2014 at 0.355% to be repurchased at $25,003,451 on March 14, 2014 collateralized by: $25,544,804 par various Corporate Bonds valued at $27,003,510. (identified cost $25,000,000)

                       25,000,000   
                   

 

 

  
Total Repurchase Agreements
(identified cost $1,600,000,000)		                       1,600,000,000   
                   

 

 

  
Total Investments and Repurchase Agreements - 100.0% (c)
(cost $5,569,685,253) (d)		                       5,569,685,253   
Other Assets and Liabilities, Net - 0.0% (e)             (542,370 ) 
                   

 

 

  
Net Assets - 100.0%             5,569,142,883   
                   

 

 

  

Footnotes:

#   For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.
(a)   Restricted security Rule (144A) or Section 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
(b)   Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(c)   Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs. (Note 2)
(d)   The identified cost for Federal income tax purposes.
(e)   Less than 0.05% of net assets.

 

See accompanying notes which are an integral part of the financial statements.

 

10   Prime Money Market Fund

Table of Contents

SSgA

Prime Money Market Fund

Presentation of Portfolio Holdings — February 28, 2014 (Unaudited)

 

Categories    % of
Net
Assets		  

Asset Backed Commercial Paper

      7.9   

Certificates of Deposit

      33.3   

Financial Company Commercial Paper

      15.4   

Other Notes

      14.7   

Repurchase Agreements

      28.7   
  

 

 

  

Total Investments and Repurchase Agreements

      100.0   

Other Assets and Liabilities, Net

      (— )* 
  

 

 

  
     100.0   
  

 

 

  

 

* Less than 0.05% of net assets.

 

 

 

 

See accompanying notes which are an integral part of the financial statements.

 

Prime Money Market Fund     11   

Table of Contents

SSgA Funds

Institutional Money Market Funds

Statements of Assets and Liabilities — February 28, 2014 (Unaudited)

 

 

      U.S. Treasury
Money Market
Fund		      Prime Money
Market Fund		  
     

Assets

      

Investments, at identified cost

    $ 5,851,667,602       $ 3,969,685,253   

Investments at amortized cost which approximates value

      5,851,667,602         3,969,685,253   

Repurchase agreements at cost which approximates value

      2,650,000,000         1,600,000,000   

Cash

      163,429,345         172,438   

Receivables:

      

Dividends and interest

      151,785         720,403   

Fund shares sold

      286         —   

From adviser

      2,409,534         687,020   

Prepaid expenses

      94,038         87,853   
  

 

 

     

 

 

  

Total assets

      8,667,752,590         5,571,352,967   
  

 

 

     

 

 

  

Liabilities

      

Payables:

      

Accrued fees to affiliates and trustees

      2,726,620         2,151,223   

Other accrued expenses

      8,025         57,821   

Income distribution

      —         1,040   
  

 

 

     

 

 

  

Total liabilities

      2,734,645         2,210,084   
  

 

 

     

 

 

  
     

Net Assets

    $ 8,665,017,945       $ 5,569,142,883   
  

 

 

     

 

 

  

Net Assets Consist of:

      

Undistributed (overdistributed) net investment income

    $ (7,085 )     $ (42,715 ) 

Accumulated net realized gain (loss)

      (3 )       133,126   

Shares of beneficial interest

      8,665,084         5,569,091   

Additional paid-in-capital

      8,656,359,949         5,563,483,381   
  

 

 

     

 

 

  

Net Assets

    $ 8,665,017,945       $ 5,569,142,883   
  

 

 

     

 

 

  

Net Asset Value, offering and redemption price per share:

      

Net asset value per share: (a)

    $ 1.00       $ 1.00   

Net assets

    $ 8,665,017,945       $ 5,569,142,883   

Shares outstanding ($0.001 par value)

      8,665,084,885         5,569,119,144   

(a)     Net asset value per share equals net assets divided by shares of beneficial interest outstanding.

   

 

See accompanying notes which are an integral part of the financial statements.

 

12   Statements of Assets and Liabilities

Table of Contents

SSgA Funds

Institutional Money Market Funds

Statements of Operations — For the Period Ended February 28, 2014 (Unaudited)

 

      U.S. Treasury
Money Market
Fund		      Prime Money
Market Fund		  
     

Investment Income

      

Interest

    $ 2,068,381       $ 6,863,347   
  

 

 

     

 

 

  

Total investment income

      2,068,381         6,863,347   
  

 

 

     

 

 

  

Expenses

      

Advisory fees

      5,606,103         5,338,634   

Administration fees

      483,802         387,929   

Custodian fees

      379,902         454,529   

Distribution fees

      690,429         842,666   

Transfer agent fees

      17,218         21,523   

Professional fees

      51,856         85,857   

Registration fees

      11,175         12,325   

Shareholder servicing fees

      1,055,131         900,157   

Trustees’ fees

      74,397         125,790   

Insurance fees

      86,288         108,571   

Printing fees

      11,448         24,947   

Miscellaneous

      37,458         39,878   
  

 

 

     

 

 

  

Expenses before reductions

      8,505,207         8,342,806   

Expense reductions

      (6,436,826 )       (1,898,100 ) 
  

 

 

     

 

 

  

Net expenses

      2,068,381         6,444,706   
  

 

 

     

 

 

  

Net investment income (loss)

      —         418,641   
  

 

 

     

 

 

  

Net Realized Gain (Loss)

      

Net realized gain (loss) on investments

      —         138,198   
  

 

 

     

 

 

  

Net Increase (Decrease) in Net Assets from Operations

    $ —       $ 556,839   
  

 

 

     

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

Statements of Operations     13   

Table of Contents

SSgA Funds

Institutional Money Market Funds

Statements of Changes in Net Assets

 

 

     U.S. Treasury Money Market Fund      Prime Money Market Fund  
      Six Months
Ended
February 28, 2014
(Unaudited)		      Year Ended
August 31, 2013		      Six Months
Ended
February 28, 2014
(Unaudited)		      Year Ended
August 31, 2013		  
           

Increase (Decrease) in Net Assets

            

Operations

            

Net investment income (loss)

    $ —       $ —       $ 418,641       $ 6,402,170   

Net realized gain (loss)

      —         12,945         138,198         197,989   
  

 

 

     

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets from operations

      —         12,945         556,839         6,600,159   
  

 

 

     

 

 

     

 

 

     

 

 

  

Distributions

            

From net investment income

      (8,496 )       —         (666,083 )       (6,402,170 ) 

From net realized gains

      (12,948 )       —         (203,061 )       —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Net decrease in net assets from distributions

      (21,444 )       —         (869,144 )       (6,402,170 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Share Transactions

            

Net increase (decrease) in net assets from share transactions

      2,224,227,437         2,052,836,894         (2,202,010,221 )       (4,301,364,826 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Increase (Decrease) in
Net Assets

      2,224,205,993         2,052,849,839         (2,202,322,526 )       (4,301,166,837 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Net Assets

            

Beginning of period

      6,440,811,952         4,387,962,113         7,771,465,409         12,072,632,246   
  

 

 

     

 

 

     

 

 

     

 

 

  

End of period

    $ 8,665,017,945       $ 6,440,811,952       $ 5,569,142,883       $ 7,771,465,409   
  

 

 

     

 

 

     

 

 

     

 

 

  

Undistributed (overdistributed) net investment income included in net assets

    $ (7,085 )     $ 1,411       $ (42,715 )     $ 204,727   

 

See accompanying notes which are an integral part of the financial statements.

 

14   Statements of Changes in Net Assets

Table of Contents

 

 

 

 

This page has been intentionally left blank.

Table of Contents

SSgA

Institutional Money Market Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.

 

     

$

Net Asset Value,

Beginning of

Period

     

$ Net

Investment
Income  (Loss)(a)(b)

     $
Net Realized
and Unrealized
Gain (Loss)		     $
Total from
Investment
Operations		     $
Distributions
from Net
Investment Income		     $
Distributions
from Net
Realized Gain		  

U.S. Treasury Money Market Fund

  

February 28, 2014*

      1.0000         —        —        —        — (e)      — (e) 

August 31, 2013

      1.0000         —        — (e)      — (e)      —        —   

August 31, 2012

      1.0000         —        — (e)      — (e)      —        — (e) 

August 31, 2011

      1.0000         — (e)      — (e)      — (e)      — (e)      — (e) 

August 31, 2010

      1.0000         — (e)      — (e)      — (e)      — (e)      —   

August 31, 2009

      1.0000         0.0011        0.0001        0.0012        (0.0007 )      (0.0005 ) 

Prime Money Market Fund

  

February 28, 2014*

      1.0000         0.0001        — (e)      0.0001        (0.0001 )      — (e) 

August 31, 2013

      1.0000         0.0007        — (e)      0.0007        (0.0007 )      —   

August 31, 2012

      1.0000         0.0010        — (e)      0.0010        (0.0010 )      —   

August 31, 2011

      1.0000         0.0012        — (e)      0.0012        (0.0012 )      —   

August 31, 2010

      1.0000         0.0013        — (e)      0.0013        (0.0013 )      — (e) 

August 31, 2009

      1.0000         0.0094        0.0010        0.0104        (0.0104 )      — (e) 

 

*   For the six months ended February 28, 2014 (Unaudited)
(a)   Average daily shares outstanding were used for this calculation.
(b)   May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than 0.005%.
(c)   Periods less than one year are not annualized.
(d)   The ratios for periods less than one year are annualized.
(e)   Less than $0.0001 per share.
(f)   Less than 0.005% of average net assets.
(g)   Includes expenses related to the U.S. Treasury Guarantee Program.

 

See accompanying notes which are an integral part of the financial statements.

 

16   Financial Highlights

Table of Contents
$
Total
Distributions		     $
Net Asset Value,
End of
Period		     %
Total
Return(c)		    

$
Net Assets,

End of Period

(000)

     %
Ratio of Expenses
to Average
Net Assets,
Net(b)(d)		    

%
Ratio of Expenses
to Average

Net Assets,
Gross(d)

    

%
Ratio of Net
Investment Income
to Average

Net Assets(b)(d)

  
           
  — (e)      1.0000        — (f)      8,665,018        0.06        0.23        —   
  —        1.0000        —        6,440,812        0.09        0.24        —   
  — (e)      1.0000        — (f)      4,387,962        0.08        0.25        —   
  — (e)      1.0000        — (f)      4,410,166        0.11        0.25        — (f) 
  — (e)      1.0000        — (f)      4,215,084        0.13        0.25        — (f) 
  (0.0012 )      1.0000        0.12        4,120,408        0.16        0.25        0.11   
           
  (0.0001 )      1.0000        0.01        5,569,143        0.18        0.23        0.01   
  (0.0007 )      1.0000        0.07        7,771,465        0.20        0.25        0.07   
  (0.0010 )      1.0000        0.10        12,072,632        0.20        0.25        0.10   
  (0.0012 )      1.0000        0.12        9,934,761        0.20        0.25        0.12   
  (0.0013 )      1.0000        0.13        12,043,331        0.20        0.26        0.13   
  (0.0104 )      1.0000        1.04        18,404,141        0.23 (g)      0.28        0.94   

 

See accompanying notes which are an integral part of the financial statements.

 

Financial Highlights     17   

Table of Contents

SSgA Funds

Institutional Money Market Funds

Notes to Financial Statements — February 28, 2014 (Unaudited)

 

 

1.   Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 12 investment portfolios that were in operation as of February 28, 2014. These financial statements report on two funds: the SSgA U.S. Treasury Money Market Fund and SSgA Prime Money Market Fund (each a “Fund” and collectively referred to as the “Funds”), each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a Second Amended and Restated Master Trust Agreement, dated May 15, 2012 (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

 

2.   Significant Accounting Policies

The Funds’ 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 and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

As permitted in accordance with Rule 2a-7 of the 1940 Act, each Fund values portfolio investments using the amortized cost method which approximates fair market value. Under this method, each portfolio instrument is initially valued at cost, and thereafter assumes a constant accretion/amortization to maturity date or next reset date of any discount or premium.

U.S. GAAP defines fair market value as the price that 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. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2, and 3). In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

 

  •  

Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

 

  •  

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are nonactive, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

  •  

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Short-term instruments purchased by the Funds and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value. These investments are categorized as Level 2 of the fair value hierarchy.

 

18   Notes to Financial Statements

Table of Contents

SSgA Funds

Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes).

When fair valuation methods are applied that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the footnotes to the Schedule of Investments for each respective Fund.

As of the period ended February 28, 2014, there were no transfers between levels.

Securities Transactions

Securities transactions are recorded on a trade date basis, which in most instances is the same as the settlement date. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost which is the same basis used for federal income taxes.

Investment Income

Interest income is recorded daily on an accrual basis and includes amortization of premium and accretion of discount on investments. Premium is amortized and discount is accreted using the straight line method. Distributions received on securities that represent a return on capital or capital gains are recorded as a reduction on cost of investments and/or as a realized gain.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986 (the “Code”), as amended. This requires each Fund to distribute an amount sufficient to avoid any excise tax under Section 4982 of the Code. Therefore, for the period ended February 28, 2014, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2014, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years ended August 31, 2010 through

 

Notes to Financial Statements     19   

Table of Contents

SSgA Funds

Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

August 31, 2013, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Funds may have net tax basis capital loss carryforwards which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. At February 28, 2014, the Funds had no net tax basis capital loss carryforwards.

Dividends and Distributions to Shareholders

The Funds declare and record dividends on net investment income daily and pay them monthly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. Each Fund may periodically make reclassifications among certain of its capital accounts without impacting net asset value for differences between federal tax regulations and U.S. GAAP.

The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to capital loss carryforwards.

Expenses

Most expenses can be directly attributed to a Fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all funds of the Investment Company based principally on their relative average net assets.

Repurchase Agreements

The Funds may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed-upon price and time. The total amount received by the Funds on repurchase is calculated to exceed the price paid by the Funds, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities or (for SSgA Prime Money Market Fund only) Government Agency securities, but the underlying securities on the SSgA Prime Money Market Fund may consist of other securities such as Corporate Bonds in limited circumstances. The value of the underlying securities, at the time of purchase and each subsequent business day, is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The use of repurchase agreements involves certain risks. Upon an event of default under the Master Repurchase Agreement, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) the Funds will seek to dispose of such securities; this action could involve losses, costs or delays. The Funds may enter into repurchase agreements maturing within a specified date with domestic dealers, banks and other financial institutions deemed to be creditworthy by the Funds’ investment adviser.

Contractual Obligation/ Indemnification

Under the Investment Company’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Funds enter into contracts that contain a variety of representations and obligations, including general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

3.   Related Party Transactions, Fees and Expenses

Adviser and Affiliates

SSgA Funds Management, Inc. (the “Adviser”) manages the Funds pursuant to an Amended and Restated Investment Advisory Agreement dated April 11, 2012, between the Investment Company and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Adviser and other advisory affiliates of State Street

 

20   Notes to Financial Statements

Table of Contents

SSgA Funds

Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Adviser directs the investments of each Fund in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Adviser, calculated daily and paid monthly at the annual rate of 0.15% of its daily average net assets.

The Adviser is contractually obligated until December 31, 2014 to waive 0.05% of its 0.15% management fee on the U.S. Treasury Money Market Fund. Additionally, the Adviser is further contractually obligated until December 31, 2014 to waive its management fee and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.20% of average daily net assets on an annual basis. The total amounts of the waiver and reimbursement for the period ended February 28, 2014 were $5,606,103 and $830,723, respectively. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2014 to waive 0.05% of its 0.15% management fee on the Prime Money Market Fund. Additionally, the Adviser is further contractually obligated until December 31, 2014 to waive its management fee and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.20% of average daily net assets on an annual basis. The total amounts of the waiver and reimbursement for the period ended February 28, 2014 were $1,898,100 and $0, respectively. The Adviser does not have the ability to recover these amounts waived or reimbursed from prior periods.

The Adviser also may voluntarily reduce all or a portion of its fees and/or reimburse expenses to the extent necessary to maintain a minimum net yield for a Fund (the “Voluntary Reduction”) which may vary from time to time and from fund to fund in the Adviser’s sole discretion. Under an agreement with SSgA Funds relating to the Voluntary Reduction, the U.S. Treasury Money Market Fund and the Prime Money Market Fund, respectively, have agreed to reimburse the Adviser for the full dollar amount of any Voluntary Reduction beginning on August 1, 2012, subject to certain limitations. A Fund will not be obligated to reimburse the Adviser: more than three years after the end of the fiscal year for the Fund in which the Adviser provided a Voluntary Reduction; in respect of any business day for which the net annualized one-day yield is less than 0.00%; to the extent that the amount of the reimbursement to the Adviser on any day exceeds fifty percent of the yield (net of all expenses, exclusive of the reimbursement) of the Fund on that day; to the extent that the amount of such reimbursement would cause the Fund’s net yield to fall below the Fund’s minimum net yield; or in respect of any fee waivers and/or expense reimbursements that are necessary to maintain a Fund’s contractual total expense limit which is effective at the time of such fee waivers and/or expense reimbursements. A reimbursement to the Adviser could negatively impact the U.S. Treasury Money Market Fund’s and the Prime Money Market Fund’s future yield. There is no guarantee that either the U.S. Treasury Money Market Fund or the Prime Money Market Fund will be able to avoid a negative yield. The Adviser may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from a Fund, without limitation. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 28, 2014, the Adviser voluntarily waived $4,568,125 of its fee and reimbursed $0 of expenses on the U.S. Treasury Money Market Fund and voluntarily waived $118,556 of its fee and reimbursed $0 of expenses on the Prime Money Market Fund. Voluntary reductions subject to potential recovery by year of expiration are as follows:

 

     Expiration  
      8/31/2015      8/31/2016  

U.S. Treasury Money Market Fund

    $ 226,572       $ 4,941,980   

Prime Money Market Fund

      —         —   

The SSgA Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the Prime Money Market Fund. As of February 28, 2014, $14,262,055 represents the investments of other Investment Company funds not presented herein.

Boston Financial Data Services, Inc. (“BFDS”) serves as the Funds’ transfer and dividend paying agent, pursuant to an agreement dated August 1, 2006, as amended. For these services, the Funds pay annual account services fees, activity based

 

Notes to Financial Statements     21   

Table of Contents

SSgA Funds

Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund. BFDS is a joint venture of DST Systems, Inc., and State Street Corporation.

State Street Bank and Trust Company (“State Street”) provides custody and fund accounting services to the Funds pursuant to an Amended and Restated Custodian Contract dated April 11, 2012. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses. State Street is a wholly-owned subsidiary of State Street Corporation. In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. The custody credits are included in the expense reductions in the Statements of Operations. For the period ended February 28, 2014, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

 

      Amount Paid  
  

U.S. Treasury Money Market Fund

    $ 57,967   

Prime Money Market Fund

      85   

Administrator

State Street (the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2013 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Investment Company: $0 to $10 billion – 0.0175%; next $10 billion – 0.0125%; next $10 billion – 0.0075% and 0.0050% thereafter. In addition, the Investment Company pays additional fees to the Administrator for certain services and reimburses the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

State Street Global Markets, LLC (the “Distributor” or “SSGM”) promotes and offers shares of the Investment Company pursuant to an Amended and Restated Distribution Agreement dated April 11, 2012. The Distributor may enter into agreements with other related and non-related parties which act as agents to offer and sell shares of the Funds. The amounts paid to the Distributor are included in the accompanying Statements of Operations. The Distributor is a wholly-owned subsidiary of State Street Corporation.

The Investment Company has entered into a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has a shareholder servicing agreement with State Street and Wealth Management Systems, an entity related to State Street. For these services, each Fund pays a maximum of 0.025% to State Street, and 0.05% to Wealth Management Systems, based on the average daily value of all Institutional Class shares held by their clients. For the period ended February 28, 2014, the Funds paid the following shareholder servicing expenses to the Agents:

 

      State Street      Wealth
Management
Systems		  
     

U.S. Treasury Money Market Fund

    $ 773,443       $ 77,795   

Prime Money Market Fund

      710,510         106,084   

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of a Fund on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of a Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Funds’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the

 

22   Notes to Financial Statements

Table of Contents

SSgA Funds

Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

expenditure was incurred. The Board or a majority of the Funds’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Funds will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuance. As of February 28, 2014, the U.S. Treasury Money Market Fund and the Prime Money Market Fund had no carryover expenses.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2014 were as follows:

 

      U.S. Treasury
Money
Market Fund		      Prime Money
Market Fund		  
     

Advisory fees

    $ 2,162,920       $ 1,723,049   

Administration fees

      138,196         84,651   

Custodian fees

      112,934         139,414   

Distribution fees

      154,968         70,844   

Shareholder servicing fees

      119,180         58,238   

Transfer agent fees

      —         —   

Trustees’ fees

      38,422         75,027   
  

 

 

     

 

 

  
   $ 2,726,620       $ 2,151,223   
  

 

 

     

 

 

  

 

4.   Fund Share Transactions (On a Constant Dollar Basis)

 

     Period Ended
February 28, 2014
(Unaudited)		     Fiscal
Year Ended
August 31, 2013		  
U.S. Treasury Money Market Fund  

Proceeds from shares sold

    $ 10,974,552,449      $ 30,459,523,197   

Proceeds from reinvestment of distributions

      20,561        —   

Payments for shares redeemed

      (8,750,345,573 )      (28,406,686,303 ) 
  

 

 

    

 

 

  

Total net increase (decrease)

    $ 2,224,227,437      $ 2,052,836,894   
  

 

 

    

 

 

  

 

     Period Ended
February 28, 2014
(Unaudited)		     Fiscal
Year Ended
August 31, 2013		  
Prime Money Market Fund  

Proceeds from shares sold

    $ 13,074,597,271      $ 67,356,334,716   

Proceeds from reinvestment of distributions

      808,725        7,235,088   

Payments for shares redeemed

      (15,277,416,217 )      (71,664,934,630 ) 
  

 

 

    

 

 

  

Total net increase (decrease)

    $ (2,202,010,221 )    $ (4,301,364,826 ) 
  

 

 

    

 

 

  

 

5.   Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may

 

Notes to Financial Statements     23   

Table of Contents

SSgA Funds

Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.

 

24   Notes to Financial Statements

Table of Contents

SSgA

Institutional Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014

 

 

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 (800) 647-7327 (toll free) or (ii) on the website of the Securities and Exchange Commission, at www.sec.gov. Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at ww.sec.gov, and on the Funds’ website at www.sssgafunds.com.

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room.

Shareholder Meeting Results

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013 which was adjourned to January 24, 2014, February 19, 2014 and February 27, 2014 (the “Shareholder Meeting”). The final results of the Shareholder Meeting are reported in the following tables.

All Funds

Proposal 1: To elect the following as Trustees of the Trust:

 

Proposed Trustee    Shares For      Shares
Withheld		  

William L. Marshall

      3,351,745,505.531         13,295,966.598   

Patrick J. Riley

      3,351,745,505.531         13,295,966.598   

Richard D. Shirk

      3,351,745,505.531         13,295,966.598   

Bruce D. Taber

      3,351,745,505.531         13,295,966.598   

Scott F. Powers

      3,351,745,505.531         13,295,966.598   

Michael F. Holland

      3,351,745,505.531         13,295,966.598   

William L. Boyan

      3,353,977,764.711         11,063,707.418   

Rina K. Spence

      3,363,342,520.701         1,698,951.428   

Douglas T. Williams

      3,351,745,505.531         13,295,966.598   

James E. Ross

      3,351,745,505.531         13,295,966.598   

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

9,645,533,122.253

    2,813,141,956.770    432,463,627.123    640,754,307.649

SSgA U.S. Treasury Money Market Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

3,767,605,453.220

    694,431,916.680    219,647,670.030    0

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

3,994,982,254.790

    657,263,633.350    29,439,151.790    0

 

Shareholder Requests for Additional Information     25   

Table of Contents

SSgA

Institutional Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014

 

 

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

4,430,283,980.680

    236,178,189.460    15,222,869.790    0

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

4,424,194,570.760

    242,267,599.380    15,222,869.790    0

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

4,424,194,570.750

    242,267,599.390    15,222,869.790    0

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

4,424,194,570.750

    242,267,599.380    15,222,869.790    0

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

4,424,194,570.760

    242,267,599.380    15,222,869.790    0

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

4,222,077,360.240

    219,421,433.930    240,186,245.760    0

Proposal 4.G-4.Q: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

4,220,232,044.180

    446,230,125.960    15,222,869.790    0

Proposal 4.H — Purchasing or selling puts, calls or investing in straddles, spreads or any combination thereof:

 

For    Against    Abstentions    Broker Non-Votes

4,220,232,044.190

    244,108,441.430    217,344,554.310    0

Proposal 4.I — Making short sales or purchasing securities on margin:

 

For    Against    Abstentions    Broker Non-Votes

4,220,232,044.180

    244,108,441.440    217,344,554.310    0

Proposal 4.K — Investing in illiquid securities:

 

For    Against    Abstentions    Broker Non-Votes

4,422,421,337.700

    244,111,237.440    15,152,464.790    0

Proposal 4.L — Purchasing interests in oil, gas or other mineral exploration or development programs:

 

For    Against    Abstentions    Broker Non-Votes

4,422,421,337.700

    244,111,237.440    15,152,464.790    0

 

26   Shareholder Requests for Additional Information

Table of Contents

SSgA

Institutional Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014

 

 

Proposal 4.M — Investments for control:

 

For    Against    Abstentions    Broker Non-Votes

4,422,353,727.700

    221,266,749.990    38,064,562.240    0

Proposal 4.Q — Certain interested transactions:

 

For    Against    Abstentions    Broker Non-Votes

4,220,232,044.180

    244,108,441.440    217,344,554.310    0

Proposal 5 — To make the fundamental investment objective of the Fund non-fundamental:

 

For    Against    Abstentions    Broker Non-Votes

1,541,035,105.450

    3,123,123,946.970    17,525,987.510    0

SSgA Prime Money Market Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against    Abstentions    Broker Non-Votes

1,454,874,754.690

    630,597,562.120    206,031,737.070    165,132,946.630

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against    Abstentions    Broker Non-Votes

1,709,453,201.950

    389,705,070.750    192,345,781.180    165,132,946.630

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against    Abstentions    Broker Non-Votes

1,959,529,337.990

    125,942,978.820    206,031,737.070    165,132,946.630

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against    Abstentions    Broker Non-Votes

1,951,616,239.980

    133,454,261.240    206,433,552.660    165,132,946.630

Proposal 4.C — Making loans:

 

For    Against    Abstentions    Broker Non-Votes

1,952,623,507.260

    132,848,809.550    206,031,737.070    165,132,946.630

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against    Abstentions    Broker Non-Votes

1,952,018,055.570

    133,454,261.240    206,031,737.070    165,132,946.630

Proposal 4.E — Investment in real estate:

 

For    Against    Abstentions    Broker Non-Votes

1,954,063,127.720

    131,409,189.090    206,031,737.070    165,132,946.630

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against    Abstentions    Broker Non-Votes

1.974,363,710.040

    111,108,606.770    206,031,737.070    165,132,946.630

 

Shareholder Requests for Additional Information     27   

Table of Contents

SSgA

Institutional Money Market Funds

Shareholder Requests for Additional Information — February 28, 2014

 

 

Proposal 4.G-4.Q: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.G — Pledging, mortgaging or hypothecating fund assets:

 

For    Against    Abstentions    Broker Non-Votes

1,967,890,232.490

    147,644,834.940    175,968,986.450    165,132,946.630

Proposal 4.H — Purchasing or selling puts, calls or investing in straddles, spreads or any combination thereof:

 

For    Against    Abstentions    Broker Non-Votes

1,935,055,860.440

    132,014,640.780    206,433,552.660    165,132,946.630

Proposal 4.I — Making short sales or purchasing securities on margin:

 

For    Against    Abstentions    Broker Non-Votes

1,953,055,860.440

    132,014,640.780    206,433,552.660    165,132,946.630

Proposal 4.J — Diversification of investments:

 

For    Against    Abstentions    Broker Non-Votes

1,958,724,792.010

    126,747,524.800    206,031,737.070    165,132,946.630

Proposal 4.K — Investing in illiquid securities:

 

For    Against    Abstentions    Broker Non-Votes

1,952,221,691.670

    132,848.809.550    206,433,552.660    165,132,946.630

Proposal 4.L — Purchasing interests in oil, gas or other mineral exploration or development programs:

 

For    Against    Abstentions    Broker Non-Votes

1,968,292,048.080

    117,180,268.730    206,031,737.070    165,132,946.630

Proposal 4.M — Investments for control:

 

For    Against    Abstentions    Broker Non-Votes

1,967,890,232.490

    117,180,268.730    206,433,552.660    165,132,946.630

Proposal 4.N — Investments if the Investment Company’s officers, Directors, Adviser or any of their affiliates beneficially own a certain percent of the securities of such issuer:

 

For    Against    Abstentions    Broker Non-Votes

1,997,456,721.240

    88,015,595.570    206,031,737.070    165,132,946.630

Proposal 4.O — Investing in new issuers:

 

For    Against    Abstentions    Broker Non-Votes

1,980,464,994.790

    105,007,322.020    206,031,737.070    165,132,946.630

Proposal 4.Q — Certain interested transactions:

 

For    Against    Abstentions    Broker Non-Votes

1,952,221,691.670

    133,250,625.140    206,031,737.070    165,132,946.630

Proposal 5 — To make the fundamental investment objective of the Fund non-fundamental:

 

For    Against    Abstentions    Broker Non-Votes

981,019,247.960

    1,104,444,848.960    206,039,956.960    165,132,946.630

 

28   Shareholder Requests for Additional Information

Table of Contents

SSgA

Institutional Money Market Funds

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

 

 

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President, Chief Executive Officer and Principal Executive Officer

Laura F. Dell, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President

Brian Harris, Chief Compliance Officer

David James, Secretary and Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Chad C. Hallett, Assistant Treasurer

Caroline Connolly, Assistant Treasurer

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

Two Heritage Drive

North Quincy, Massachusetts 02171

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel (Effective May 1, 2014)

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, Massachusetts 02116

 

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as administrator, custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

 

Fund Management and Service Providers     29   

Table of Contents
IBG-11338      SSGAIMMFDSAR   

Table of Contents

LOGO

 

S&P 500 Index Fund

 

Semiannual Report

February 28, 2014

Table of Contents

Table of Contents

SSgA Funds

S&P 500 Index Fund

Semiannual Report

February 28, 2014 (Unaudited)

Table of Contents

 

       Page  
S&P 500 Index Fund        3   
Statement of Assets and Liabilities        5   
Statement of Operations        6   
Statements of Changes in Net Assets        7   
Financial Highlights        8   
Notes to Financial Statements        10   
Shareholder Requests for Additional Information        16   
Financial Statements of the State Street Equity 500 Index Portfolio        19   

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

Table of Contents

This page has been intentionally left blank.

Table of Contents

SSgA

S&P 500 Index Fund

Shareholder Expense Example — February 28, 2014 (Unaudited)

 

 

Fund Expenses

The following disclosure provides important information regarding the Fund’s Expense Example. Please refer to this information when reviewing the Expense Example of the Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administration fees; distribution (12b-1) and/or service fees; and other Fund expenses. The 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2013 to February 28, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the 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. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” 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
Performance		      Hypothetical
Performance
(5% return
before expenses)		  

Beginning Account Value

      

September 1, 2013

    $ 1,000.00       $ 1,000.00   

Ending Account Value

      

February 28, 2014

    $ 1,149.40       $ 1,024.06   

Expenses Paid During Period*

    $ 0.80       $ 0.75   

 

* Expenses are equal to the Fund’s annualized expense ratio of 0.15% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.
 

 

S&P 500 Index Fund     3   

Table of Contents

SSgA

S&P 500 Index Fund

Presentation of Master Portfolio Holdings — February 28, 2014 (Unaudited)

 

Categories    % of
Master
Portfolio
Net
Assets		  
  

Common Stock

   

Consumer Discretionary

      13.0   

Consumer Staples

      9.2   

Energy

      9.8   

Financials

      16.6   

Health Care

      13.1   

Industrials

      10.9   

Information Technology

      16.8   

Materials

      3.6   

Telecommunication Services

      2.5   

Utilities

      3.0   

U.S. Government Securities

      0.1   

Money Market Fund

      1.1   
  

 

 

  

Total Investments

      99.7   

Other Assets and Liabilities, Net

      0.3   
  

 

 

  
     100.0   
  

 

 

  

Futures Contracts

      0.0 * 

 

* Less than 0.05% of net assets.
 

 

4   S&P 500 Index Fund

Table of Contents

SSgA

S&P 500 Index Fund

Statement of Assets and Liabilities — February 28, 2014 (Unaudited)

 

          
  

Assets

   

Investments in Master Portfolio, at value

    $ 1,377,296,355   

Receivables:

   

Fund shares sold

      1,338,577   

Prepaid expenses

      10,878   
  

 

 

  

Total assets

      1,378,645,810   
  

 

 

  

Liabilities

   

Payables:

   

Fund shares redeemed

      1,359,716   

Accrued fees to affiliates and trustees

      114,461   

Other accrued expenses

      39,407   
  

 

 

  

Total liabilities

      1,513,584   
  

 

 

  
  

Net Assets

    $ 1,377,132,226   
  

 

 

  

Net Assets Consist of:

   

Undistributed (overdistributed) net investment income

    $ 4,422,807   

Accumulated net realized gain (loss) allocated from Master Portfolio

      (108,246,854 ) 

Unrealized appreciation (depreciation) allocated from Master Portfolio on:

   

Investments

      925,258,989   

Futures contracts

      1,338,007   

Shares of beneficial interest

      46,110   

Additional paid-in-capital

      554,313,167   
  

 

 

  

Net Assets

    $ 1,377,132,226   
  

 

 

  

Net Asset Value, offering and redemption price per share:

   

Net asset value per share: (a)

    $ 29.87   

Net assets

    $ 1,377,132,226   

Shares of beneficial interest outstanding ($0.001 par value)

      46,109,854   

 

(a)   Net asset value per share equals net assets divided by shares of beneficial interest outstanding.

 

See accompanying notes which are an integral part of the financial statements.

 

Statement of Assets and Liabilities     5   

Table of Contents

SSgA

S&P 500 Index Fund

Statement of Operations — For the Period Ended February 28, 2014 (Unaudited)

 

          
  

Investment Income Allocated From Master Portfolio

   

Dividends (net of foreign taxes withheld of $33,358)

    $ 13,626,832   

Interest

      10,574   

Expenses

      (295,594 ) 
  

 

 

  

Total investment income allocated from Master Portfolio

      13,341,812   
  

 

 

  

Fund Level Expenses

   

Administration fees

      73,670   

Custodian fees

      13,410   

Distribution fees

      241,874   

Transfer agent fees

      101,849   

Professional fees

      23,518   

Registration fees

      27,823   

Shareholder servicing fees

      106,748   

Trustees’ fees

      21,467   

Insurance fees

      16,909   

Printing fees

      33,626   

Miscellaneous

      4,278   
  

 

 

  

Net Fund Level expenses

      665,172   
  

 

 

  

Net investment income (loss)

      12,676,640   
  

 

 

  

Net Realized and Unrealized Gain (Loss) Allocated From Master Portfolio

   

Net realized gain (loss) on:

   

Investments

      2,779,676   

Futures contracts

      3,453,047   
  

 

 

  

Net realized gain (loss)

      6,232,723   
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments

      162,169,297   

Futures contracts

      880,446   
  

 

 

  

Net change in unrealized appreciation (depreciation)

      163,049,743   
  

 

 

  

Net realized and unrealized gain (loss)

      169,282,466   
  

 

 

  

Net Increase (Decrease) in Net Assets from Operations

    $ 181,959,106   
  

 

 

  

 

See accompanying notes which are an integral part of the financial statements.

 

6   Statement of Operations

Table of Contents

SSgA

S&P 500 Index Fund

Statements of Changes in Net Assets

 

      Six Months Ended
February 28, 2014
(Unaudited)		      Year Ended
August 31, 2013		  
     

Increase (Decrease) in Net Assets

      

Operations

      

Net investment income (loss)

    $ 12,676,640       $ 24,355,033   

Net realized gain (loss)

      6,232,723         15,802,859   

Net change in unrealized appreciation (depreciation)

      163,049,743         157,692,229   
  

 

 

     

 

 

  

Net increase (decrease) in net assets from operations

      181,959,106         197,850,121   
  

 

 

     

 

 

  

Distributions

      

From net investment income

      (14,209,830 )       (23,702,540 ) 

From net realized gain

      (14,759,296 )       (14,123,147 ) 
  

 

 

     

 

 

  

Net decrease in net assets from distributions

      (28,969,126 )       (37,825,687 ) 
  

 

 

     

 

 

  

Share Transactions

      

Net increase (decrease) in net assets from share transactions

      2,214,435         (69,358,165 ) 
  

 

 

     

 

 

  

Total Net Increase (Decrease) in Net Assets

      155,204,415         90,666,269   

Net Assets

      

Beginning of period

      1,221,927,811         1,131,261,542   
  

 

 

     

 

 

  

End of period

    $ 1,377,132,226       $ 1,221,927,811   
  

 

 

     

 

 

  

Undistributed (overdistributed) net investment income included in net assets

    $ 4,422,807       $ 5,955,997   

 

See accompanying notes which are an integral part of the financial statements.

 

Statements of Changes in Net Assets     7   

Table of Contents

SSgA

S&P 500 Index Fund

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.

 

         
$
Net Asset Value,
Beginning of
Period		     $
Net
Investment
Income  (Loss)(a)(b)		     $
Net Realized
and Unrealized
Gain (Loss)		     $
Total from
Investment
Operations		     $
Distributions
from Net
Investment Income		     $
Distributions
from Net
Realized Gain		  

S&P 500 Index Fund

  

        

February 28, 2014*

     26.57        0.27        3.66        3.93        (0.31 )      (0.32 ) 

August 31, 2013

     23.18        0.52        3.67        4.19        (0.50 )      (0.30 ) 

August 31, 2012

     20.09        0.47        3.09        3.56        (0.47 )      —   

August 31, 2011

     17.31        0.38        2.78        3.16        (0.38 )      —   

August 31, 2010

     16.83        0.33        0.48        0.81        (0.33 )      —   

August 31, 2009

     21.17        0.37        (4.30 )      (3.93 )      (0.41 )      —   

 

*   For the six months ended February 28, 2014 (Unaudited)
(a)   Average daily shares outstanding were used for this calculation.
(b)   May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than 0.005%.
(c)   Periods less than one year are not annualized.
(d)   The ratios for periods less than one year are annualized.
(e)   Expense ratios include the Fund’s share of the Master Portfolio’s allocated expenses.

 

See accompanying notes which are an integral part of the financial statements.

 

8   Financial Highlights

Table of Contents
$
Total
Distributions		   $
Net Asset Value,
End of
Period		     %
Total
Return(c)		     $
Net Assets,
End of Period
(000)		     %
Ratio of Expenses
to Average
Net Assets,
Net(b)(d)(e)		     %
Ratio of Expenses
to Average
Net Assets,
Gross(d)(e)		     %
Ratio of Net
Investment Income
to Average
Net Assets(b)(d)		     %
Portfolio
Turnover Rate
of the Master
Portfolio(c)		  
             
(0.63)     29.87        14.94        1,377,132        0.15        0.15        1.94        1   
(0.80)     26.57        18.54        1,221,928        0.17        0.17        2.08        2   
(0.47)     23.18        18.00        1,131,262        0.18        0.19        2.21        19   
(0.38)     20.09        18.26        1,126,485        0.18        0.19        1.82        2   
(0.33)     17.31        4.77        1,246,140        0.18        0.19        1.84        13   
(0.41)     16.83        (18.29 )      1,375,449        0.18        0.20        2.45        8   

 

See accompanying notes which are an integral part of the financial statements.

 

Financial Highlights     9   

Table of Contents

SSgA

S&P 500 Index Fund

Notes to Financial Statements — February 28, 2014 (Unaudited)

 

 

1.   Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 12 investment portfolios that were in operation as of February 28, 2014. These financial statements report on the SSgA S&P 500 Index Fund (the “Fund”). The Investment Company is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a Second Amended and Restated Master Trust Agreement, dated May 15, 2012 (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at $.001 par value.

The Fund invests substantially all of its investable assets in interests of the State Street Equity 500 Index Portfolio (the “Master Portfolio”). The Fund has the same investment objective as the Master Portfolio and investment policies that are substantially similar to those of the Master Portfolio in which it invests. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio (approximately 50.35% at February 28, 2014). The performance of the Fund is directly affected by the performance of the Master Portfolio. The financial statements of the Master Portfolio, including the Portfolio of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

 

2.   Significant Accounting Policies

The Fund’s 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 and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Security Valuation

The Fund values its investment in the Master Portfolio for the period ended February 28, 2014 using Level 1 inputs. Valuation of securities held by the Master Portfolio is discussed in Note 2 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

U.S. GAAP defines fair market value as the price that 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. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2, and 3). In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

 

  •  

Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

 

  •  

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

  •  

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Common stocks, preferred stocks, exchange traded funds and derivatives that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

 

10   Notes to Financial Statements

Table of Contents

SSgA

S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, bank notes and non-U.S. bonds are normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable, such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.

Short-term instruments purchased by the Fund and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value. These investments are categorized as Level 2 of the fair value hierarchy.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes).

When fair valuation methods are applied that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the footnotes to the Schedule of Investments for the Fund.

The level associated with valuing the Fund’s investments for the period ended February 28, 2014 was Level 1 for the Fund.

Investment Income

The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, the Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to the Fund’s shareholders without regard to the income and capital gains (or losses) of the other funds of the Investment Company.

 

Notes to Financial Statements     11   

Table of Contents

SSgA

S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

It is the Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986 (the “Code”), as amended. This requires the Fund to distribute an amount sufficient to avoid any excise tax under Section 4982 of the Code. Therefore, for the period ended February 28, 2014 the Fund paid no federal income taxes and no federal income tax provision was required.

The Fund files a U.S. tax return. At February 28, 2014, the Fund had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions it had taken or expects to take in future tax returns. While the statue of limitations remains open to examine the Fund’s U.S. tax returns filed for the fiscal years ended August 31, 2010 through August 31, 2013, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Capital Loss Carryovers

At February 28, 2014, the Fund had no tax basis capital loss carryforwards.

Under the Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. The Fund declares and pays dividends quarterly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Fund to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in futures, options, losses deferred due to wash sales and straddles, and capital loss carry forwards. Permanent differences between book and tax accounting are reclassified to paid-in capital.

Expenses

Expenses allocated from the Master Portfolio are recorded and identified separately in the Statement of Operations. The Fund also pays certain other expenses which can be directly attributed to the Fund. Expenses of the Investment Company which cannot be directly attributed will be allocated among all funds of the Investment Company based principally on their relative net assets.

Contractual Obligation/Indemnification

Under the Investment Company’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Fund enters into contracts that contain a variety of representations and obligations including 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 Fund expects the risk of loss to be remote.

 

12   Notes to Financial Statements

Table of Contents

SSgA

S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

 

3.   Investment Transactions

Securities

Net daily increases and decreases in the Fund’s investment in the Master Portfolio aggregated to the following, for the period ended February 28, 2014:

 

      Increases      Decreases  
     

S&P 500 Index Fund

    $ 52,140,783       $ 80,211,022   

 

4.   Related Party Transactions, Fees and Expenses

Adviser and Affiliates

The Fund is allocated a charge for a management fee from the Master Portfolio, calculated daily at an annual rate of 0.045% of average daily net assets. This fee relates to the advisory, custody and administration services fees provided by the Master Portfolio on behalf of its investors. SSgA Funds Management, Inc. (the “Adviser”) manages the Fund pursuant to an Amended and Restated Investment Advisory Agreement dated April 11, 2012, between the Investment Company and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Adviser and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arms of State Street Corporation and its affiliated companies. The Adviser directs the investments of the Fund in accordance with its investment objectives, policies, and limitations.

The Adviser is contractually obligated until December 31, 2014 to waive its management fee and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.18% of average daily net assets on an annual basis. The total amount of the reimbursement for the period ended February 28, 2014 was $0. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

Boston Financial Data Services, Inc. (“BFDS”) serves as the Fund’s transfer and dividend paying agent, pursuant to an agreement dated August 1, 2006, as amended. For these services, the Fund pays annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for the Fund. BFDS is a joint venture of DST Systems, Inc., and State Street Corporation.

State Street Bank and Trust Company (“State Street”) provides custody and fund accounting services to the Fund pursuant to an Amended and Restated Custodian Contract dated April 11, 2012. For these services, the Fund pays State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses. State Street is a wholly-owned subsidiary of State Street Corporation.

Administrator

State Street (the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2013 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Investment Company: $0 to $10 billion — 0.0175%; next $10 billion — 0.0125%; next $10 billion — 0.0075% and 0.0050% thereafter. In addition, the Investment Company pays additional fees to the Administrator for certain services and reimburses the Administrator for out-of-pocket expenses. Prior to January 1, 2013, Russell Fund Services Company (“RFSC”) served as administrator at an annual fee based on the following percentages of the average daily net assets of the Funds: $0 to $1 billion — 0.0315%; over $1 billion — 0.01%. In addition, RFSC charged a flat fee of $30,000 per year to the Fund if it had less than $500 million in assets under management.

 

Notes to Financial Statements     13   

Table of Contents

SSgA

S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

Distributor and Shareholder Servicing

State Street Global Markets, LLC (the “Distributor” or “SSGM”) promotes and offers shares of the Investment Company pursuant to an Amended and Restated Distribution Agreement dated April 11, 2012. The Distributor may enter into agreements with other related and non-related parties which act as agents to offer and sell shares of the Fund. The amounts paid to the Distributor are included in the accompanying Statements of Operations. The Distributor is a wholly-owned subsidiary of State Street Corporation. The Investment Company has entered into a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

The Investment Company has adopted a shareholder service agreement with State Street, and the following entities related to State Street: SSGM, Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, the Fund pays 0.025% to State Street, and a fee to each of the Agents, based upon the average daily value of all Fund shares held by or for customers of these Agents subject to the maximum of 0.05%.

For the period ended February 28, 2014, the Fund paid the following shareholder servicing expenses to the Agents:

 

      State Street  
  

S&P 500 Index Fund

    $ 15,717   

The Fund did not make any payments to SSGM, Fiduciary Investors Services or High Net Worth Services during the period.

Total shareholder servicing payments shall not exceed 0.20% of the average daily net assets of the Fund on an annual basis. The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Fund’s responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the Fund’s shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Fund will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuation. As of February 28, 2014, the S&P 500 Index Fund had no carryover expenses.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2014 were as follows:

 

      S&P 500
Index Fund		  
  

Administration fees

    $ 13,136   

Custodian fees

      3,829   

Distribution fees

      54,415   

Shareholder servicing fees

      21,964   

Transfer agent fees

      12,027   

Trustees’ fees

      9,090   
  

 

 

  
   $ 114,461   
  

 

 

  

 

14   Notes to Financial Statements

Table of Contents

SSgA

S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2014 (Unaudited)

 

 

 

5.   Fund Share Transactions

 

     Six Months Ended
February 28, 2014
(Unaudited)		     Year Ended
August 31, 2013		  
     Shares     Dollars     Shares     Dollars  
        

S&P 500 Index Fund

         

Proceeds from shares sold

      5,297,320      $ 151,328,582        11,696,984      $ 292,081,370   

Proceeds from reinvestment of distributions

      970,170        27,312,248        1,512,714        35,797,392   

Payments for shares redeemed

      (6,154,319 )      (176,426,395 )      (16,012,092 )      (397,236,927 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total net increase (decrease)

      113,171      $ 2,214,435        (2,802,394 )    $ (69,358,165 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

6.   Interfund Lending Program

The Fund participates in a joint lending and borrowing facility (the “Interfund Lending Program”). Portfolios of the Fund may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the Interfund Lending Program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Fund will borrow through the Interfund Lending Program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2014, the Fund did not utilize the Interfund Lending Program.

 

7.   Contingency Note

On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company (“Tribune”). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the “LBO”) and sold their shares for $34 per share in cash, including the SSgA S&P 500 Index Fund. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the “Lawsuits”). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. On September 23, 2013, the United States District Court dismissed one of the Lawsuits. On September 30, 2013 the plaintiffs appealed that dismissal. The Lawsuits seek to recover, for the benefit of Tribune’s bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune’s payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code’s and various states’ fraudulent transfer laws. However, the Lawsuits proceed on different legal theories; the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. The Fund cannot predict the outcome of these proceedings or the effect, if any, on the Fund’s net asset value.

 

Notes to Financial Statements     15   

Table of Contents

SSgA

S&P 500 Index Fund

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited)

 

 

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 (800) 647-7327 (toll free) or (ii) on the website of the Securities and Exchange Commission, at www.sec.gov. Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov.

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room.

Shareholder Meeting Results

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013 which was adjourned to January 24, 2014, February 19, 2014 and February 27, 2014 (the “Shareholder Meeting”). The final results of the Shareholder Meeting are reported in the following tables.

All Funds

Proposal 1: To elect the following as Trustees of the Trust:

 

Proposed Trustee    Shares For      Shares Withheld  

William L. Marshall

      3,351,745,505.531         13,295,966.598   

Patrick J. Riley

      3,351,745,505.531         13,295,966.598   

Richard D. Shirk

      3,351,745,505.531         13,295,966.598   

Bruce D. Taber

      3,351,745,505.531         13,295,966.598   

Scott F. Powers

      3,351,745,505.531         13,295,966.598   

Michael F. Holland

      3,351,745,505.531         13,295,966.598   

William L. Boyan

      3,353,977,764.711         11,063,707.418   

Rina K. Spence

      3,363,342,520.701         1,698,951.428   

Douglas T. Williams

      3,351,745,505.531         13,295,966.598   

James E. Ross

      3,351,745,505.531         13,295,966.598   

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against      Abstentions      Broker Non-Votes  

9,645,533,122.253

      2,813,141,956.770         432,463,627.123         640,754,307.649   

SSgA S&P 500 Index Fund:

Proposal 2: To approve an Amended and Restated Master Trust:

 

For    Against      Abstentions      Broker Non-Votes  

17,576,326.188

      1,112,588.797         140,898.776         7,294,751.567   

Proposal 3 — To approve an Amended and Restated Rule 12b-1 Plan:

 

For    Against      Abstentions      Broker Non-Votes  

17,533,012.396

      807,154.390         489,646.975         7,294,751.567   

 

16   Shareholder Requests for Additional Information

Table of Contents

SSgA

S&P 500 Index Fund

Shareholder Requests for Additional Information — February 28, 2014 (Unaudited), continued

 

 

Proposal 4.A-4.F: To approve an amendment to the Fund’s fundamental investment restrictions with respect to:

Proposal 4.A — Concentrating investments in an industry:

 

For    Against      Abstentions      Broker Non-Votes  

18,348,245.659

      349,875.159         131,693.193         7,294,751.317   

Proposal 4.B — Borrowing money and issuing senior securities:

 

For    Against      Abstentions      Broker Non-Votes  

17,969,011.697

      728,936.022         131,866.292         7,294,751.317   

Proposal 4.C — Making loans:

 

For    Against      Abstentions      Broker Non-Votes  

17,946,000.298

      746,450.288         137,363.425         7,294,751.317   

Proposal 4.D — Investment in commodities and commodity contracts:

 

For    Against      Abstentions      Broker Non-Votes  

17,973,279.358

      725,703.395         130,831.258         7,294,751.317   

Proposal 4.E — Investment in real estate:

 

For    Against      Abstentions      Broker Non-Votes  

17,980,492.283

      717,880.804         131,440.924         7,294,751.317   

Proposal 4.F — Participation in the underwriting of securities:

 

For    Against      Abstentions      Broker Non-Votes  

17,978,439.165

      721,175.746         130,199.100         7,294,751.317   

Proposal 4.J-4.Q: To approve the elimination of the Fund’s fundamental investment restrictions with respect to:

Proposal 4.J — Diversification of investments:

 

For    Against      Abstentions      Broker Non-Votes  

17,999,850.887

      693,053.349         136,909.775         7,294,751.317   

Proposal 4.Q — Certain interested transactions:

 

For    Against      Abstentions      Broker Non-Votes  

17,978,045.623

      714,478.119         137,290.269         7,294,751.317   

 

Shareholder Requests for Additional Information     17   

Table of Contents

SSgA

S&P 500 Index Fund

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

 

 

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President, Chief Executive Officer and Principal Executive Officer

Laura F. Dell, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President

Brian Harris, Chief Compliance Officer

David James, Secretary and Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Chad C. Hallett, Assistant Treasurer

Caroline Connolly, Assistant Treasurer

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

Two Heritage Drive

North Quincy, Massachusetts 02171

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel (Effective May 1, 2014)

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, Massachusetts 02116

 

Distributor:    State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as administrator, custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

 

18   Fund Management and Service Providers

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments — February 28, 2014 (Unaudited)

 

     Shares        Market
Value		  
       
Common Stocks - 98.5%   

Consumer Discretionary - 13.0%

  

Amazon.com, Inc. (a)

      59,492         $ 21,542,053   

AutoNation, Inc. (a)

      10,363           545,508   

AutoZone, Inc. (a)

      5,764           3,103,568   

Bed Bath & Beyond,
Inc. (a)

      36,545           2,478,482   

Best Buy Co., Inc.

      42,119           1,121,629   

BorgWarner, Inc.

      37,000           2,273,650   

Cablevision Systems Corp.

      35,600           626,560   

CarMax, Inc. (a)

      37,200           1,801,596   

Carnival Corp.

      70,650           2,801,979   

CBS Corp. Class B

      91,203           6,117,897   

Chipotle Mexican Grill,
Inc. (a)

      5,100           2,882,571   

Coach, Inc.

      44,828           2,188,055   

Comcast Corp. Class A

      421,348           21,779,478   

D.R. Horton, Inc.

      46,076           1,131,627   

Darden Restaurants, Inc.

      20,588           1,051,223   

Delphi Automotive PLC

      45,500           3,028,935   

DIRECTV (a)

      79,577           6,175,175   

Discovery Communications, Inc. Class A (a)

      37,200           3,099,504   

Dollar General Corp. (a)

      48,200           2,887,180   

Dollar Tree, Inc. (a)

      31,200           1,708,824   

eBay, Inc. (a)

      188,903           11,101,829   

Expedia, Inc.

      17,357           1,363,045   

Family Dollar Stores, Inc.

      15,558           1,019,049   

Ford Motor Co.

      644,398           9,917,285   

Fossil Group, Inc. (a)

      8,800           1,011,208   

GameStop Corp. Class A

      19,500           727,545   

Gannett Co., Inc.

      39,574           1,177,327   

Gap, Inc.

      44,098           1,929,288   

Garmin Ltd.

      22,600           1,212,716   

General Motors Co. (a)

      211,500           7,656,300   

Genuine Parts Co.

      25,209           2,220,661   

Goodyear Tire & Rubber Co.

      39,357           1,057,523   

Graham Holdings Co. Class B

      660           474,342   

H&R Block, Inc.

      43,615           1,379,979   

Harley-Davidson, Inc.

      35,801           2,365,014   

Harman International
Industries, Inc.

      12,021           1,258,959   

Hasbro, Inc.

      17,825           983,227   

Home Depot, Inc.

      227,812           18,687,418   

Host Hotels & Resorts, Inc.

      118,721           2,335,242   

International Game Technology

      39,819           600,869   

Interpublic Group of Cos., Inc.

      71,894           1,273,962   

Johnson Controls, Inc.

      107,886           5,329,568   

Kohl’s Corp.

      34,533           1,940,409   

L Brands, Inc.

      39,567           2,228,809   

Lennar Corp. Class A

      25,931           1,137,852   

Lowe’s Cos., Inc.

      171,762           8,593,253   

Macy’s, Inc.

      61,423           3,553,935   

Marriott International, Inc. Class A

      39,050           2,117,681   

Mattel, Inc.

      55,276           2,062,348   

McDonald’s Corp.

      161,125           15,331,044   
     Shares        Market
Value		  

McGraw Hill Financial, Inc.

      44,366         $ 3,534,196   

Michael Kors Holdings, Ltd. (a)

      29,100           2,852,673   

Mohawk Industries,
Inc. (a)

      9,900           1,401,147   

NetFlix, Inc. (a)

      9,500           4,233,485   

Newell Rubbermaid, Inc.

      47,893           1,537,844   

News Corp. Class A (a)

      80,202           1,470,103   

NIKE, Inc. Class B

      121,604           9,521,593   

Nordstrom, Inc.

      23,633           1,452,957   

O’Reilly Automotive, Inc. (a)

      17,700           2,670,045   

Omnicom Group, Inc.

      41,741           3,158,959   

PetSmart, Inc.

      17,300           1,160,138   

Priceline.com, Inc. (a)

      8,390           11,316,768   

PulteGroup, Inc.

      54,705           1,148,258   

PVH Corp.

      13,000           1,643,590   

Ralph Lauren Corp.

      9,515           1,532,676   

Ross Stores, Inc.

      35,900           2,613,520   

Scripps Networks Interactive, Inc.
Class A

      17,635           1,432,667   

Snap-on, Inc.

      9,212           1,033,310   

Stanley Black & Decker, Inc.

      25,707           2,134,709   

Staples, Inc.

      110,033           1,495,348   

Starbucks Corp.

      123,161           8,739,505   

Starwood Hotels & Resorts Worldwide, Inc.

      31,247           2,576,628   

Target Corp.

      102,816           6,430,113   

Tiffany & Co.

      16,380           1,527,435   

Time Warner Cable, Inc.

      46,071           6,466,065   

Time Warner, Inc.

      144,091           9,672,829   

TJX Cos., Inc.

      112,612           6,921,134   

Tractor Supply Co.

      22,500           1,587,600   

TripAdvisor, Inc. (a)

      18,157           1,820,058   

Twenty-First Century Fox, Inc.

      315,909           10,595,588   

Urban Outfitters, Inc. (a)

      18,300           685,152   

V.F. Corp.

      57,572           3,373,143   

Viacom, Inc. Class B

      64,522           5,660,515   

Walt Disney Co.

      264,445           21,369,800   

Whirlpool Corp.

      12,661           1,831,160   

Wyndham Worldwide Corp.

      22,699           1,654,303   

Wynn Resorts, Ltd.

      12,700           3,079,623   

Yum! Brands, Inc.

      72,292           5,355,391   
       

 

 

  
          357,083,209   
       

 

 

  

Consumer Staples - 9.2%

  

Altria Group, Inc.

      319,199           11,574,156   

Archer-Daniels-Midland Co.

      107,024           4,345,174   

Avon Products, Inc.

      67,660           1,046,700   

Beam, Inc.

      26,245           2,177,285   

Brown-Forman Corp. Class B

      26,182           2,194,052   

Campbell Soup Co.

      28,865           1,250,143   

Clorox Co.

      20,543           1,792,993   

Coca-Cola Co.

      609,422           23,279,920   

Coca-Cola Enterprises, Inc.

      40,801           1,920,911   

Colgate-Palmolive Co.

      139,802           8,783,760   

ConAgra Foods, Inc.

      68,575           1,947,530   
 

 

State Street Equity 500 Index Portfolio     19   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2014 (Unaudited)

 

     Shares        Market
Value		  
       

Constellation Brands, Inc. Class A (a)

      26,926         $ 2,181,814   

Costco Wholesale Corp.

      69,389           8,104,635   

CVS Caremark Corp.

      192,032           14,045,221   

Dr Pepper Snapple Group, Inc.

      32,700           1,703,997   

Estee Lauder Cos., Inc. Class A

      41,204           2,836,483   

General Mills, Inc.

      103,664           5,186,310   

Hormel Foods Corp.

      21,200           1,005,940   

Kellogg Co.

      41,835           2,538,966   

Kimberly-Clark Corp.

      61,800           6,819,630   

Kraft Foods Group, Inc.

      96,669           5,342,896   

Kroger Co.

      84,176           3,530,342   

Lorillard, Inc.

      61,383           3,011,450   

McCormick & Co., Inc.

      20,753           1,377,999   

Molson Coors Brewing Co. Class B

      25,162           1,429,957   

Mondelez International, Inc. Class A

      281,909           9,593,363   

Monster Beverage Corp. (a)

      22,700           1,679,800   

PepsiCo, Inc.

      245,854           19,685,530   

Philip Morris International, Inc.

      259,499           20,996,064   

Procter & Gamble Co.

      436,919           34,368,049   

Reynolds American, Inc.

      52,074           2,646,921   

Safeway, Inc.

      37,164           1,391,792   

Sysco Corp.

      95,709           3,447,438   

The Hershey Co.

      24,282           2,569,521   

The J.M. Smucker Co.

      17,160           1,716,172   

Tyson Foods, Inc. Class A

      44,235           1,745,071   

Wal-Mart Stores, Inc.

      259,302           19,369,859   

Walgreen Co.

      141,018           9,582,173   

Whole Foods Market, Inc.

      60,066           3,246,567   
       

 

 

  
          251,466,584   
       

 

 

  

Energy - 9.8%

        

Anadarko Petroleum Corp.

      81,626           6,869,644   

Apache Corp.

      65,125           5,163,761   

Baker Hughes, Inc.

      71,973           4,554,452   

Cabot Oil & Gas Corp.

      67,500           2,362,500   

Cameron International Corp. (a)

      39,700           2,543,182   

Chesapeake Energy Corp.

      83,182           2,155,246   

Chevron Corp. (b)

      309,146           35,653,808   

ConocoPhillips

      198,530           13,202,245   

Consol Energy, Inc.

      37,173           1,490,637   

Denbury Resources, Inc.

      61,500           1,006,140   

Devon Energy Corp.

      63,951           4,119,723   

Diamond Offshore Drilling, Inc.

      11,500           543,950   

Ensco PLC Class A

      38,000           2,001,080   

EOG Resources, Inc.

      44,917           8,508,178   

EQT Corp.

      24,100           2,465,189   

ExxonMobil Corp. (b)

      703,447           67,720,843   

FMC Technologies, Inc. (a)

      38,600           1,939,264   

Halliburton Co.

      138,434           7,890,738   

Helmerich & Payne, Inc.

      17,300           1,708,375   

Hess Corp.

      44,301           3,545,409   

Kinder Morgan, Inc.

      108,526           3,456,553   
     Shares        Market
Value		  

Marathon Oil Corp.

      108,577         $ 3,637,330   

Marathon Petroleum Corp.

      47,488           3,988,992   

Murphy Oil Corp.

      28,841           1,712,290   

Nabors Industries, Ltd.

      48,204           1,109,656   

National Oilwell Varco, Inc.

      70,757           5,451,119   

Newfield Exploration Co. (a)

      20,600           580,714   

Noble Corp. PLC

      39,400           1,223,370   

Noble Energy, Inc.

      57,920           3,982,579   

Occidental Petroleum Corp.

      128,644           12,416,719   

Peabody Energy Corp.

      44,124           774,817   

Phillips 66

      94,965           7,109,080   

Pioneer Natural Resources Co.

      22,300           4,486,314   

QEP Resources, Inc.

      27,068           783,077   

Range Resources Corp.

      26,600           2,288,930   

Rowan Cos. PLC Class A (a)

      19,620           654,523   

Schlumberger, Ltd.

      213,058           19,814,394   

Southwestern Energy Co. (a)

      56,300           2,327,442   

Spectra Energy Corp.

      107,798           4,018,710   

Tesoro Corp.

      23,165           1,181,647   

Transocean, Ltd.

      55,100           2,336,240   

Valero Energy Corp.

      87,909           4,217,874   

Williams Cos., Inc.

      110,968           4,582,978   

WPX Energy, Inc. (a)

      30,856           543,683   
       

 

 

  
          268,123,395   
       

 

 

  

Financials - 16.6%

        

ACE, Ltd.

      53,600           5,245,832   

AFLAC, Inc.

      75,490           4,837,399   

Allstate Corp.

      70,906           3,847,360   

American Express Co.

      147,164           13,433,130   

American International Group, Inc.

      234,933           11,692,615   

American Tower Corp. REIT

      64,100           5,222,227   

Ameriprise Financial, Inc.

      32,307           3,521,140   

Aon PLC

      49,547           4,241,223   

Apartment Investment & Management Co. Class A

      22,952           686,035   

Assurant, Inc.

      12,531           822,409   

AvalonBay Communities, Inc.

      19,298           2,488,863   

Bank of America Corp.

      1,729,471           28,588,156   

BB&T Corp.

      114,470           4,326,966   

Berkshire Hathaway, Inc. Class B (a)

      289,303           33,495,501   

BlackRock, Inc.

      20,434           6,229,101   

Boston Properties, Inc.

      24,767           2,784,554   

Capital One Financial Corp.

      91,263           6,701,442   

CBRE Group, Inc. (a)

      49,575           1,385,621   

Charles Schwab Corp.

      186,393           4,941,278   

Chubb Corp.

      41,475           3,628,233   

Cincinnati Financial Corp.

      23,114           1,083,584   

Citigroup, Inc.

      491,620           23,907,481   

CME Group, Inc.

      50,655           3,739,352   

Comerica, Inc.

      29,944           1,442,702   

DDR Corp. REIT

      1,532           25,462   

Discover Financial Services

      79,005           4,533,307   
 

 

20   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2014 (Unaudited)

 

     Shares        Market
Value		  
       

E*Trade Financial Corp. (a)

      44,931         $ 1,009,600   

Equity Residential

      54,057           3,160,713   

Fifth Third Bancorp

      141,716           3,074,529   

Franklin Resources, Inc.

      62,840           3,346,230   

General Growth Properties, Inc. REIT

      90,400           1,990,608   

Genworth Financial, Inc. Class A (a)

      82,251           1,278,181   

Goldman Sachs Group, Inc.

      67,934           11,307,614   

Hartford Financial Services Group, Inc.

      74,097           2,607,473   

HCP, Inc.

      73,400           2,845,718   

Health Care REIT, Inc.

      46,100           2,707,914   

Hudson City Bancorp, Inc.

      76,692           728,574   

Huntington Bancshares, Inc.

      141,956           1,352,841   

IntercontinentalExchange Group, Inc.

      18,862           3,939,140   

Invesco Ltd.

      72,200           2,476,460   

J.P. Morgan Chase & Co.

      604,215           34,331,496   

KeyCorp

      148,675           1,958,050   

Kimco Realty Corp.

      66,569           1,481,826   

Legg Mason, Inc.

      18,042           829,210   

Leucadia National Corp.

      55,236           1,543,294   

Lincoln National Corp.

      42,992           2,155,189   

Loews Corp.

      49,231           2,140,564   

M&T Bank Corp.

      20,937           2,441,045   

Marsh & McLennan Cos., Inc.

      88,553           4,264,712   

Mastercard, Inc. Class A

      167,700           13,033,644   

MetLife, Inc.

      183,696           9,307,876   

Moody’s Corp.

      31,466           2,485,814   

Morgan Stanley

      224,130           6,903,204   

NASDAQ OMX Group, Inc.

      18,400           706,376   

Northern Trust Corp.

      36,406           2,251,711   

Paychex, Inc.

      52,838           2,206,515   

People’s United Financial, Inc.

      57,000           807,690   

PNC Financial Services Group, Inc.

      85,717           7,009,936   

Principal Financial Group, Inc.

      43,391           1,967,782   

Progressive Corp.

      88,101           2,157,593   

ProLogis, Inc.

      81,099           3,340,468   

Prudential Financial, Inc.

      75,539           6,389,089   

Public Storage, Inc.

      23,087           3,901,703   

Regions Financial Corp.

      226,389           2,408,779   

Simon Property Group, Inc.

      50,815           8,195,951   

SLM Corp.

      69,254           1,657,941   

State Street Corp. (c)

      72,725           4,775,851   

SunTrust Banks, Inc.

      86,518           3,259,998   

T. Rowe Price Group, Inc.

      42,275           3,431,462   

The Bank of New York Mellon Corp.

      187,085           5,986,720   

The Macerich Co. REIT

      21,800           1,310,834   

Torchmark Corp.

      14,931           1,157,302   

Total System Services, Inc.

      26,575           809,474   

Travelers Cos., Inc.

      57,304           4,804,367   

U.S. Bancorp

      295,952           12,175,465   
     Shares        Market
Value		  

Unum Group

      40,929         $ 1,423,511   

Ventas, Inc.

      46,600           2,909,238   

Visa, Inc. Class A

      82,400           18,617,456   

Vornado Realty Trust

      28,014           2,697,468   

Wells Fargo & Co.

      774,549           35,954,565   

Western Union Co.

      86,585           1,448,567   

XL Group PLC

      44,968           1,367,027   

Zions Bancorp.

      30,453           950,134   
       

 

 

  
          453,633,465   
       

 

 

  

Health Care - 13.1%

        

Abbott Laboratories

      252,406           10,040,711   

AbbVie, Inc.

      257,506           13,109,631   

Actavis PLC (a)

      27,946           6,171,036   

Aetna, Inc.

      60,559           4,403,245   

Alexion Pharmaceuticals, Inc. (a)

      32,400           5,728,320   

Allergan, Inc.

      49,192           6,247,384   

AmerisourceBergen Corp.

      36,686           2,489,145   

Amgen, Inc.

      122,345           15,173,227   

Baxter International, Inc.

      88,461           6,148,040   

Becton Dickinson and Co.

      31,397           3,617,562   

Biogen Idec, Inc. (a)

      38,231           13,024,537   

Boston Scientific Corp. (a)

      219,034           2,869,345   

Bristol-Myers Squibb Co.

      267,316           14,373,581   

C.R. Bard, Inc.

      12,897           1,859,232   

Cardinal Health, Inc.

      53,957           3,859,544   

CareFusion Corp. (a)

      33,878           1,373,075   

Celgene Corp. (a)

      66,818           10,740,994   

Cerner Corp. (a)

      50,100           3,074,637   

CIGNA Corp.

      45,996           3,660,822   

Covidien PLC

      75,000           5,396,250   

DaVita HealthCare Partners, Inc. (a)

      30,700           2,110,011   

Dentsply International, Inc.

      23,300           1,057,354   

Edwards Lifesciences Corp. (a)

      19,000           1,325,440   

Eli Lilly & Co.

      160,675           9,577,837   

Express Scripts Holding Co. (a)

      130,714           9,844,071   

Forest Laboratories, Inc. (a)

      37,402           3,649,313   

Gilead Sciences, Inc. (a)

      247,998           20,531,754   

Hospira, Inc. (a)

      25,303           1,095,114   

Humana, Inc.

      25,207           2,834,779   

Intuitive Surgical, Inc. (a)

      6,300           2,802,429   

Johnson & Johnson

      453,749           41,799,358   

Laboratory Corp. of America Holdings (a)

      15,422           1,442,574   

McKesson Corp.

      37,255           6,595,998   

Mead Johnson Nutrition Co.

      32,618           2,659,998   

Medtronic, Inc.

      161,978           9,598,816   

Merck & Co., Inc.

      472,370           26,920,366   

Mylan, Inc. (a)

      63,209           3,512,524   

Patterson Cos., Inc.

      12,894           530,717   

Perrigo Co. PLC

      20,800           3,420,352   

Pfizer, Inc.

      1,047,281           33,628,193   

Quest Diagnostics, Inc.

      25,600           1,356,800   
 

 

State Street Equity 500 Index Portfolio     21   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2014 (Unaudited)

 

     Shares        Market
Value		  
       

Regeneron Pharmaceuticals, Inc. (a)

      12,600         $ 4,189,500   

St Jude Medical, Inc.

      46,626           3,138,862   

Stryker Corp.

      48,289           3,874,709   

Tenet Healthcare Corp. (a)

      15,542           685,713   

UnitedHealth Group, Inc.

      160,696           12,416,980   

Varian Medical Systems, Inc. (a)

      18,060           1,513,970   

Vertex Pharmaceuticals, Inc. (a)

      37,500           3,032,250   

WellPoint, Inc.

      46,238           4,188,700   

Zimmer Holdings, Inc.

      26,952           2,529,176   

Zoetis, Inc.

      79,448           2,464,477   
       

 

 

  
          357,688,453   
       

 

 

  

Industrials - 10.9%

        

3M Co.

      102,272           13,779,107   

ADT Corp.

      28,950           889,055   

Allegion PLC (a)

      14,833           806,174   

AMETEK, Inc.

      39,400           2,097,656   

Amphenol Corp. Class A

      26,100           2,297,322   

Avery Dennison Corp.

      15,388           766,630   

Boeing Co.

      110,588           14,257,005   

Caterpillar, Inc.

      103,179           10,005,268   

CH Robinson Worldwide, Inc.

      25,861           1,341,151   

Cintas Corp.

      17,588           1,066,888   

CSX Corp.

      158,914           4,403,507   

Cummins, Inc.

      28,358           4,137,999   

Danaher Corp.

      97,472           7,455,633   

Deere & Co.

      62,337           5,356,618   

Delta Air Lines, Inc.

      139,300           4,626,153   

Dover Corp.

      27,895           2,630,499   

Eaton Corp. PLC

      74,824           5,590,101   

Emerson Electric Co.

      112,748           7,357,934   

Equifax, Inc.

      19,983           1,400,009   

Expeditors International of Washington, Inc.

      34,020           1,344,130   

Fastenal Co.

      44,300           2,090,517   

FedEx Corp.

      47,900           6,386,507   

First Solar, Inc. (a)

      10,570           603,230   

Flir Systems, Inc.

      23,500           802,290   

Flowserve Corp.

      21,900           1,778,499   

Fluor Corp.

      26,060           2,024,601   

Fortune Brands Home & Security, Inc.

      1,145           53,517   

General Dynamics Corp.

      54,061           5,921,842   

General Electric Co.

      1,627,433           41,450,719   

Honeywell International, Inc.

      127,181           12,010,974   

Illinois Tool Works, Inc.

      66,271           5,467,357   

Ingersoll-Rand PLC

      44,500           2,720,730   

Iron Mountain, Inc.

      26,910           731,952   

Jacobs Engineering Group, Inc. (a)

      20,400           1,237,260   

Joy Global, Inc.

      17,200           946,000   

Kansas City Southern

      17,500           1,643,600   

L-3 Communications Holdings, Inc.

      14,403           1,662,106   
     Shares        Market
Value		  

Leggett & Platt, Inc.

      24,198         $ 775,546   

Lockheed Martin Corp.

      43,552           7,068,490   

Masco Corp.

      57,123           1,333,822   

Nielsen Holdings NV

      41,200           1,950,408   

Norfolk Southern Corp.

      50,055           4,600,555   

Northrop Grumman Corp.

      35,011           4,237,381   

PACCAR, Inc.

      56,774           3,738,000   

Pall Corp.

      18,609           1,600,374   

Parker Hannifin Corp.

      23,903           2,881,507   

Pentair, Ltd.

      33,495           2,706,731   

Pitney Bowes, Inc.

      29,727           756,552   

Precision Castparts Corp.

      24,007           6,190,925   

Quanta Services, Inc. (a)

      35,000           1,232,350   

Raytheon Co.

      52,382           5,128,722   

Republic Services, Inc.

      47,503           1,620,327   

Robert Half International, Inc.

      23,540           963,728   

Rockwell Automation, Inc.

      22,505           2,764,514   

Rockwell Collins, Inc.

      22,531           1,859,709   

Roper Industries, Inc.

      16,100           2,183,482   

Ryder System, Inc.

      7,921           596,610   

Southwest Airlines Co.

      114,186           2,562,334   

Stericycle, Inc. (a)

      14,100           1,607,400   

Textron, Inc.

      44,839           1,780,108   

Thermo Fisher Scientific, Inc.

      64,024           7,973,549   

Tyco International, Ltd.

      74,300           3,133,974   

Union Pacific Corp.

      74,568           13,450,576   

United Parcel Service, Inc. Class B

      114,046           10,922,185   

United Technologies Corp.

      136,678           15,994,060   

W.W. Grainger, Inc.

      10,069           2,567,796   

Waste Management, Inc.

      73,139           3,035,269   

Xylem, Inc.

      28,692           1,129,030   
       

 

 

  
          297,486,554   
       

 

 

  

Information Technology - 16.8%

  

     

Accenture PLC Class A

      101,900           8,493,365   

Adobe Systems, Inc. (a)

      75,257           5,163,383   

Agilent Technologies, Inc.

      54,968           3,129,328   

Akamai Technologies, Inc. (a)

      28,924           1,768,124   

Alliance Data Systems Corp. (a)

      7,900           2,252,369   

Altera Corp.

      50,554           1,835,616   

Analog Devices, Inc.

      50,069           2,544,507   

AOL, Inc. (a)

      1           44   

Apple, Inc.

      145,284           76,454,252   

Applied Materials, Inc.

      194,207           3,682,165   

Autodesk, Inc. (a)

      36,476           1,913,531   

Automatic Data Processing, Inc.

      78,417           6,099,274   

Broadcom Corp. Class A

      88,659           2,634,945   

CA, Inc.

      53,099           1,778,817   

Cisco Systems, Inc.

      864,919           18,855,234   

Citrix Systems, Inc. (a)

      29,667           1,781,503   

Cognizant Technology Solutions Corp. Class A (a)

      48,984           5,097,275   

Computer Sciences Corp.

      23,144           1,462,701   

Corning, Inc.

      234,476           4,518,353   
 

 

22   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2014 (Unaudited)

 

     Shares        Market
Value		  
       

Dun & Bradstreet Corp.

      7,100         $ 704,391   

Electronic Arts, Inc. (a)

      50,400           1,440,936   

EMC Corp.

      334,084           8,809,795   

F5 Networks, Inc. (a)

      12,200           1,370,548   

Facebook, Inc. Class A (a)

      267,300           18,299,358   

Fidelity National Information Services, Inc.

      46,777           2,601,269   

Fiserv, Inc. (a)

      42,104           2,444,137   

Google, Inc. Class A (a)

      45,190           54,935,224   

Harris Corp.

      18,600           1,373,052   

Hewlett-Packard Co.

      313,416           9,364,870   

Intel Corp.

      796,856           19,730,155   

International Business Machines Corp.

      164,942           30,542,310   

Intuit, Inc.

      47,863           3,740,493   

Jabil Circuit, Inc.

      27,551           509,969   

Juniper Networks, Inc. (a)

      84,393           2,256,669   

KLA-Tencor Corp.

      27,005           1,759,376   

Lam Research Corp. (a)

      25,858           1,337,634   

Linear Technology Corp.

      37,363           1,750,083   

LSI Corp.

      89,162           988,807   

Microchip Technology, Inc.

      32,589           1,484,429   

Micron Technology, Inc. (a)

      174,862           4,229,912   

Microsoft Corp. (b)

      1,226,935           47,003,880   

Motorola Solutions, Inc.

      38,152           2,525,662   

NetApp, Inc.

      57,357           2,317,796   

NVIDIA Corp.

      99,956           1,837,191   

Oracle Corp.

      568,162           22,220,816   

PerkinElmer, Inc.

      19,218           870,960   

QUALCOMM, Inc.

      273,411           20,585,114   

Red Hat, Inc. (a)

      29,800           1,757,902   

Salesforce.com, Inc. (a)

      89,700           5,594,589   

SanDisk Corp.

      38,367           2,850,668   

Seagate Technology PLC

      51,800           2,703,442   

Symantec Corp.

      113,463           2,437,185   

TE Connectivity, Ltd.

      67,300           3,942,434   

Teradata Corp. (a)

      25,320           1,162,694   

Texas Instruments, Inc.

      173,599           7,805,011   

VeriSign, Inc. (a)

      18,721           1,031,714   

Waters Corp. (a)

      13,765           1,533,421   

Western Digital Corp.

      34,600           3,009,854   

Xerox Corp.

      186,701           2,051,844   

Xilinx, Inc.

      42,502           2,218,604   

Yahoo!, Inc. (a)

      154,519           5,975,250   
       

 

 

  
          460,574,234   
       

 

 

  

Materials - 3.6%

        

Air Products & Chemicals, Inc.

      34,009           4,125,972   

Airgas, Inc.

      11,600           1,250,480   

Alcoa, Inc.

      169,749           1,992,853   

Allegheny Technologies, Inc.

      17,228           547,506   

Ball Corp.

      25,024           1,390,333   

Bemis Co., Inc.

      17,462           685,907   

CF Industries Holdings, Inc.

      9,250           2,320,825   

Cliffs Natural Resources, Inc.

      22,200           444,666   
     Shares        Market
Value		  

Dow Chemical Co.

      197,728         $ 9,631,331   

E.I. du Pont de Nemours & Co.

      147,312           9,813,925   

Eastman Chemical Co.

      24,808           2,168,963   

Ecolab, Inc.

      43,766           4,715,787   

FMC Corp.

      21,400           1,651,652   

Freeport-McMoRan Copper & Gold, Inc. Class B

      164,004           5,349,810   

International Flavors & Fragrances, Inc.

      13,031           1,222,178   

International Paper Co.

      71,411           3,491,284   

LyondellBasell Industries NV

      72,200           6,359,376   

MeadWestvaco Corp.

      28,820           1,078,733   

Monsanto Co.

      84,555           9,302,741   

Mosaic Co.

      54,900           2,682,414   

Newmont Mining Corp.

      78,406           1,823,724   

Nucor Corp.

      51,654           2,595,097   

Owens-Illinois, Inc. (a)

      26,300           892,096   

Plum Creek Timber Co., Inc.

      31,411           1,359,782   

PPG Industries, Inc.

      23,271           4,603,469   

Praxair, Inc.

      48,411           6,311,342   

Sealed Air Corp.

      31,392           1,068,584   

Sherwin-Williams Co.

      14,196           2,846,014   

Sigma-Aldrich Corp.

      19,134           1,806,441   

United States Steel Corp.

      21,478           520,197   

Vulcan Materials Co.

      21,361           1,451,053   

Weyerhaeuser Co.

      94,874           2,799,732   
       

 

 

  
          98,304,267   
       

 

 

  

Telecommunication Services - 2.5%

  

AT&T, Inc.

      851,450           27,186,799   

CenturyLink, Inc.

      99,565           3,112,402   

Crown Castle International Corp. (a)

      53,500           4,060,650   

Frontier Communications Corp.

      165,844           809,319   

Verizon Communications, Inc.

      666,666           31,719,968   

Windstream Holdings, Inc.

      99,213           795,688   
       

 

 

  
          67,684,826   
       

 

 

  

Utilities - 3.0%

        

AES Corp.

      103,195           1,408,612   

AGL Resources, Inc.

      18,100           851,424   

Ameren Corp.

      37,560           1,517,800   

American Electric Power Co., Inc.

      81,852           4,108,970   

CenterPoint Energy, Inc.

      69,711           1,648,665   

CMS Energy Corp.

      42,056           1,195,652   

Consolidated Edison, Inc.

      47,252           2,648,475   

Dominion Resources, Inc.

      94,562           6,562,603   

DTE Energy Co.

      27,484           1,972,252   

Duke Energy Corp.

      115,383           8,178,347   

Edison International

      52,219           2,734,709   

Entergy Corp.

      28,998           1,850,652   

Exelon Corp.

      140,043           4,258,708   

FirstEnergy Corp.

      67,022           2,062,937   

Integrys Energy Group, Inc.

      12,916           739,699   
 

 

State Street Equity 500 Index Portfolio     23   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2014 (Unaudited)

 

     Shares        Market
Value		  
       

NextEra Energy, Inc.

      68,921         $ 6,298,690   

NiSource, Inc.

      50,582           1,761,265   

Northeast Utilities

      50,060           2,225,167   

NRG Energy, Inc.

      51,700           1,502,919   

Oneok, Inc.

      32,200           1,904,308   

Pepco Holdings, Inc.

      41,200           840,068   

PG&E Corp.

      70,826           3,120,593   

Pinnacle West Capital Corp.

      17,860           993,909   

PPL Corp.

      100,475           3,244,338   

Public Service Enterprise Group, Inc.

      80,924           2,966,674   

SCANA Corp.

      22,300           1,103,850   

Sempra Energy

      36,886           3,484,620   

Southern Co.

      144,343           6,112,926   

TECO Energy, Inc.

      34,951           586,478   

Wisconsin Energy Corp.

      38,100           1,674,876   

Xcel Energy, Inc.

      79,051           2,394,455   
       

 

 

  
          81,954,641   
       

 

 

  
Total Common Stocks
(cost: $1,249,923,596)		            2,693,999,628   
       

 

 

  
     Par
Amount		           
       
U.S. Government Securities - 0.1%   

U.S. Treasury Bill (b)(d)(e)
0.03% due 04/17/2014

    $ 400,000           399,984   

U.S. Treasury Bill (b)(d)(e)
0.04% due 05/22/2014

      3,760,000           3,759,700   
       

 

 

  
Total U.S. Government Securities
(cost: $4,159,684)		            4,159,684   
       

 

 

  
     Shares           
       
Money Market Fund - 1.1%        

State Street Institutional Liqud Reserves Fund
0.07% (c)(f)

      29,556,338           29,556,338   
       

 

 

  
Total Money Market Fund
(cost: $ 29,556,338)		            29,556,338   
       

 

 

  
Total Investments (g) - 99.7%
(cost $1,283,639,618 (h)†)		            2,727,715,650   
Other Assets in Excess of
Liabilities - 0.3%		            7,643,198   
       

 

 

  
Net Assets - 100.0%         $ 2,735,358,848   
       

 

 

  

 

(a) Non-income producing security.
(b) All or part of this security has been designated as collateral for futures contracts.
(c) Affiliated issuer. See table that follows for more information.
(d) Rate represents annualized yield at date of purchase.
(e) Value determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures.
(f) The rate shown is the annualized seven-day yield at period end.
(g) Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.
(h) Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2014 was $1,455,289,869 and $11,213,837, respectively, resulting in net unrealized appreciation of investments of $1,444,076,032.
† Security valuation: The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.
PLC Public Limited Company
REIT Real Estate Investment Trust
 

 

24   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2014 (Unaudited)

 

 

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. These provisions apply to fair value measurements that are already required or permitted by other accounting standards and are intended to increase the consistency of those measurements and apply broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

 

•  

Level 1 — quoted prices in active markets for identical securities

 

•  

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

•  

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

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2014, in valuing the Portfolio’s assets carried at fair value:

 

Description   

Quoted Prices in

Active Markets for

Identical Assets

(Level 1)

     

Significant Other

Observable Inputs

(Level 2)

     

Significant

Unobservable Inputs

(Level 3)

      Total  
           

Assets:

            

Investments:

            

Common Stocks

    $ 2,693,999,628       $ —       $ —       $ 2,693,999,628   

U.S. Government Securities

      —         4,159,684         —         4,159,684   

Money Market Fund

      29,556,338         —         —         29,556,338   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      2,723,555,966         4,159,684         —         2,727,715,650   

Other Assets:

            

Futures contracts

      1,096,206         —         —         1,096,206   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 2,724,652,172       $ 4,159,684       $ —       $ 2,728,811,856   
  

 

 

     

 

 

     

 

 

     

 

 

  

The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

For the two months ended February 28, 2014, there were no transfers between levels.

Derivatives

Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Asset and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

 

Schedule of Futures Contracts    Number of
Contracts		     

Notional
Value

      Unrealized
Appreciation
$		  
        

S&P 500 Financial Futures Contracts (long) Expiration Date 03/2014

      429       $ 39,845,520         1,096,206   
        

 

 

  

Total Unrealized Appreciation on Open Futures Contracts Purchased

            1,096,206   
        

 

 

  

 

See notes to financial statements.

 

State Street Equity 500 Index Portfolio     25   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2014 (Unaudited)

 

 

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at February 28, 2014:

Asset Derivatives(1)

 

      Equity
Contracts Risk		      Total  
     

Futures Contracts

    $ 1,096,206       $ 1,096,206   

 

(1)   Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within the Statement of Assets and Liabilities.

The average notional value of futures outstanding during the period ended February 28, 2014, was $ 47,024,099.

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending February 28, 2014 were as follows:

 

Security

Description

   Number
of Shares
Held at
12/31/13		     Shares
Purchased for
the Two Months
Ended 02/28/14		     Shares
Sold for
the Two Months
Ended 02/28/14		     Number
of Shares
Held at
02/28/14		     Value at
02/28/14		     Income
Earned for
the Two Months
Ended 02/28/14		     Realized
Gain/Loss on
Shares Sold		  
             

State Street Corp.

     72,725        —        —        72,725      $ 4,775,851      $ 18,908      $ —   

State Street Institutional Liquid Reserves Fund

     41,178,491        70,836,338        82,458,491        29,556,338        29,556,338        4,559        —   

 

See notes to financial statements.

 

26   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities — February 28, 2014 (Unaudited)

 

          
  

Assets

   

Investments in unaffiliated issuers at market value (identified cost $1,251,693,507)

    $ 2,693,383,461   

Investments in non-controlled affiliates at market value (identified cost $31,946,111) (Note 4)

      34,332,189   
  

 

 

  

Total investments at market value (identified cost $1,283,639,618)

      2,727,715,650   

Cash

      48,233   

Receivable for fund shares sold

      1,732,172   

Daily variation margin on futures contracts

      67   

Dividends and interest receivable

      5,909,590   
  

 

 

  

Total assets

      2,735,405,712   
  

 

 

  

Liabilities

   

Management fees payable

      46,864   
  

 

 

  

Total liabilities

      46,864   
  

 

 

  
  

Net Assets

    $ 2,735,358,848   
  

 

 

  

 

See notes to financial statements.

 

State Street Equity 500 Index Portfolio     27   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments — December 31, 2013

 

     Shares        Market
Value		  
       
Common Stocks - 98.2%   

Consumer Discretionary - 13.0%

  

Amazon.com, Inc. (a)

      60,492         $ 24,123,605   

AutoNation, Inc. (a)

      10,363           514,937   

AutoZone, Inc. (a)

      5,764           2,754,846   

Bed Bath & Beyond, Inc. (a)

      36,545           2,934,564   

Best Buy Co., Inc.

      42,119           1,679,706   

BorgWarner, Inc.

      37,000           2,068,670   

Cablevision Systems Corp.

      35,600           638,308   

CarMax, Inc. (a)

      37,200           1,749,144   

Carnival Corp.

      70,650           2,838,011   

CBS Corp. Class B

      91,203           5,813,279   

Chipotle Mexican Grill, Inc. (a)

      5,100           2,717,178   

Coach, Inc.

      44,828           2,516,196   

Comcast Corp. Class A

      427,348           22,207,139   

D.R. Horton, Inc. (a)

      46,076           1,028,416   

Darden Restaurants, Inc.

      20,588           1,119,370   

Delphi Automotive PLC

      45,500           2,735,915   

DIRECTV (a)

      82,277           5,684,518   

Discovery Communications, Inc. Class A (a)

      37,200           3,363,624   

Dollar General Corp. (a)

      48,200           2,907,424   

Dollar Tree, Inc. (a)

      36,600           2,064,972   

eBay, Inc. (a)

      191,503           10,511,600   

Expedia, Inc.

      17,357           1,209,089   

Family Dollar Stores, Inc.

      15,558           1,010,803   

Ford Motor Co.

      644,398           9,943,061   

Fossil Group, Inc. (a)

      8,800           1,055,472   

GameStop Corp. Class A

      19,500           960,570   

Gannett Co., Inc.

      39,574           1,170,599   

Gap, Inc.

      48,098           1,879,670   

Garmin Ltd.

      22,600           1,044,572   

General Motors Co. (a)

      182,300           7,450,601   

Genuine Parts Co.

      25,209           2,097,137   

Goodyear Tire & Rubber Co.

      39,357           938,664   

Graham Holdings Co. Class B (a)

      660           437,791   

H&R Block, Inc.

      43,615           1,266,580   

Harley-Davidson, Inc.

      35,801           2,478,861   

Harman International Industries, Inc.

      12,021           983,919   

Hasbro, Inc.

      17,825           980,553   

Home Depot, Inc.

      227,812           18,758,040   

Host Hotels & Resorts, Inc.

      118,721           2,307,936   

International Game Technology

      39,819           723,113   

Interpublic Group of Cos., Inc.

      71,894           1,272,524   

Johnson Controls, Inc.

      114,586           5,878,262   

Kohl’s Corp.

      34,533           1,959,748   

L Brands, Inc.

      39,567           2,447,219   

Lennar Corp. Class A

      25,931           1,025,830   

Lowe’s Cos., Inc.

      171,762           8,510,807   

Macy’s, Inc.

      61,423           3,279,988   

Marriott International, Inc. Class A

      39,050           1,927,508   

Mattel, Inc.

      55,276           2,630,032   

McDonald’s Corp.

      163,625           15,876,534   
     Shares        Market
Value		  

McGraw-Hill Cos., Inc.

      45,766         $ 3,578,901   

Michael Kors Holdings, Ltd. (a)

      29,100           2,362,629   

Mohawk Industries, Inc. (a)

      9,900           1,474,110   

NetFlix, Inc. (a)

      9,500           3,497,615   

Newell Rubbermaid, Inc.

      47,893           1,552,212   

News Corp. Class A (a)

      80,202           1,445,240   

NIKE, Inc. Class B

      121,604           9,562,939   

Nordstrom, Inc.

      23,633           1,460,519   

O’Reilly Automotive, Inc. (a)

      17,700           2,278,167   

Omnicom Group, Inc.

      41,741           3,104,278   

PetSmart, Inc.

      17,300           1,258,575   

Priceline.com, Inc. (a)

      8,390           9,752,536   

PulteGroup, Inc.

      54,705           1,114,341   

PVH Corp.

      13,000           1,768,260   

Ralph Lauren Corp.

      9,515           1,680,064   

Ross Stores, Inc.

      35,900           2,689,987   

Scripps Networks Interactive, Inc. Class A

      17,635           1,523,840   

Snap-on, Inc.

      9,212           1,008,898   

Stanley Black & Decker, Inc.

      25,707           2,074,298   

Staples, Inc.

      110,033           1,748,424   

Starbucks Corp.

      123,161           9,654,591   

Starwood Hotels & Resorts Worldwide, Inc.

      31,247           2,482,574   

Target Corp.

      102,816           6,505,168   

Tiffany & Co.

      19,880           1,844,466   

Time Warner Cable, Inc.

      46,071           6,242,621   

Time Warner, Inc.

      150,191           10,471,317   

TJX Cos., Inc.

      118,912           7,578,262   

TripAdvisor, Inc. (a)

      18,157           1,503,944   

Twenty-First Century Fox, Inc.

      315,909           11,113,679   

Urban Outfitters, Inc. (a)

      18,300           678,930   

V.F. Corp.

      57,572           3,589,038   

Viacom, Inc. Class B

      64,522           5,635,351   

Walt Disney Co.

      264,445           20,203,598   

Whirlpool Corp.

      12,661           1,986,004   

Wyndham Worldwide Corp.

      22,699           1,672,689   

Wynn Resorts, Ltd.

      12,700           2,466,467   

Yum! Brands, Inc.

      72,292           5,465,998   
       

 

 

  
          357,507,435   
       

 

 

  

Consumer Staples - 9.5%

  

Altria Group, Inc.

      328,999           12,630,272   

Archer-Daniels-Midland Co.

      107,024           4,644,842   

Avon Products, Inc.

      67,660           1,165,105   

Beam, Inc.

      26,245           1,786,235   

Brown-Forman Corp. Class B

      26,182           1,978,574   

Campbell Soup Co.

      28,865           1,249,277   

Clorox Co.

      20,543           1,905,569   

Coca-Cola Co.

      622,322           25,708,122   

Coca-Cola Enterprises, Inc.

      40,801           1,800,548   

Colgate-Palmolive Co.

      144,602           9,429,496   

ConAgra Foods, Inc.

      68,575           2,310,978   

Constellation Brands, Inc. Class A (a)

      26,926           1,895,052   
 

 

28   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2013

 

     Shares        Market
Value		  
       

Costco Wholesale Corp.

      71,989         $ 8,567,411   

CVS Caremark Corp.

      192,032           13,743,730   

Dr Pepper Snapple Group, Inc.

      32,700           1,593,144   

Estee Lauder Cos., Inc. Class A

      41,204           3,103,485   

General Mills, Inc.

      103,664           5,173,870   

Hormel Foods Corp.

      21,200           957,604   

Kellogg Co.

      41,835           2,554,863   

Kimberly-Clark Corp.

      61,800           6,455,628   

Kraft Foods Group, Inc.

      96,669           5,212,393   

Kroger Co.

      84,176           3,327,477   

Lorillard, Inc.

      61,383           3,110,890   

McCormick & Co., Inc.

      20,753           1,430,297   

Molson Coors Brewing Co. Class B

      25,162           1,412,846   

Mondelez International, Inc. Class A

      281,909           9,951,388   

Monster Beverage Corp. (a)

      24,300           1,646,811   

PepsiCo, Inc.

      251,954           20,897,065   

Philip Morris International, Inc.

      259,499           22,610,148   

Procter & Gamble Co.

      441,319           35,927,780   

Reynolds American, Inc.

      52,074           2,603,179   

Safeway, Inc.

      37,164           1,210,431   

Sysco Corp.

      95,709           3,455,095   

The Hershey Co.

      24,282           2,360,939   

The J.M. Smucker Co.

      17,160           1,778,119   

Tyson Foods, Inc. Class A

      44,235           1,480,103   

Wal-Mart Stores, Inc.

      264,702           20,829,400   

Walgreen Co.

      141,018           8,100,074   

Whole Foods Market, Inc.

      60,066           3,473,617   
       

 

 

  
             259,471,857   
       

 

 

  

Energy - 10.1%

  

Anadarko Petroleum Corp.

      81,626           6,474,574   

Apache Corp.

      65,125           5,596,843   

Baker Hughes, Inc.

      71,973           3,977,228   

Cabot Oil & Gas Corp.

      67,500           2,616,300   

Cameron International Corp. (a)

      39,700           2,363,341   

Chesapeake Energy Corp.

      83,182           2,257,560   

Chevron Corp. (b)

      314,746           39,314,923   

ConocoPhillips

      198,530           14,026,145   

Consol Energy, Inc.

      37,173           1,414,061   

Denbury Resources, Inc. (a)

      61,500           1,010,445   

Devon Energy Corp.

      63,951           3,956,648   

Diamond Offshore Drilling, Inc.

      11,500           654,580   

Ensco PLC Class A

      38,000           2,172,840   

EOG Resources, Inc.

      44,917           7,538,869   

EQT Corp.

      24,100           2,163,698   

ExxonMobil Corp. (b)

      710,447           71,897,236   

FMC Technologies, Inc. (a)

      38,600           2,015,306   

Halliburton Co.

      138,434           7,025,526   

Helmerich & Payne, Inc.

      17,300           1,454,584   

Hess Corp.

      47,801           3,967,483   

Kinder Morgan, Inc.

      108,526           3,906,936   

Marathon Oil Corp.

      118,777           4,192,828   

Marathon Petroleum Corp.

      47,488           4,356,074   
     Shares        Market
Value		  

Murphy Oil Corp.

      28,841         $ 1,871,204   

Nabors Industries, Ltd.

      48,204           818,986   

National Oilwell Varco, Inc.

      70,757           5,627,304   

Newfield Exploration Co. (a)

      20,600           507,378   

Noble Corp. PLC

      39,400           1,476,318   

Noble Energy, Inc.

      57,920           3,944,931   

Occidental Petroleum Corp.

      132,944           12,642,974   

Peabody Energy Corp.

      44,124           861,742   

Phillips 66

      99,165           7,648,596   

Pioneer Natural Resources Co.

      22,300           4,104,761   

QEP Resources, Inc.

      27,068           829,634   

Range Resources Corp.

      26,600           2,242,646   

Rowan Cos. PLC Class A (a)

      19,620           693,763   

Schlumberger, Ltd.

      213,058           19,198,656   

Southwestern Energy Co. (a)

      56,300           2,214,279   

Spectra Energy Corp.

      107,798           3,839,765   

Tesoro Corp.

      23,165           1,355,153   

Transocean, Ltd.

      55,100           2,723,042   

Valero Energy Corp.

      87,909           4,430,614   

Williams Cos., Inc.

      110,968           4,280,036   

WPX Energy, Inc. (a)

      30,856           628,845   
       

 

 

  
          276,294,655   
       

 

 

  

Financials - 16.9%

  

ACE, Ltd.

      56,500           5,849,445   

AFLAC, Inc.

      75,490           5,042,732   

Allstate Corp.

      76,406           4,167,183   

American Express Co.

      150,664           13,669,745   

American International Group, Inc.

      243,533           12,432,360   

American Tower Corp. REIT

      64,100           5,116,462   

Ameriprise Financial, Inc.

      32,307           3,716,920   

Aon PLC

      49,547           4,156,498   

Apartment Investment & Management Co. Class A

      22,952           594,686   

Assurant, Inc.

      14,131           937,874   

AvalonBay Communities, Inc.

      19,298           2,281,603   

Bank of America Corp.

      1,729,471           26,927,863   

BB&T Corp.

      114,470           4,272,020   

Berkshire Hathaway, Inc. Class B (a)

      292,203           34,643,588   

BlackRock, Inc.

      20,434           6,466,748   

Boston Properties, Inc.

      24,767           2,485,864   

Capital One Financial Corp.

      96,463           7,390,030   

CBRE Group, Inc. (a)

      49,575           1,303,823   

Charles Schwab Corp.

      186,393           4,846,218   

Chubb Corp.

      41,475           4,007,729   

Cincinnati Financial Corp.

      23,114           1,210,480   

Citigroup, Inc.

      491,620           25,618,318   

CME Group, Inc.

      50,655           3,974,391   

Comerica, Inc.

      29,944           1,423,538   

DDR Corp. REIT

      1,532           23,547   

Discover Financial Services

      79,005           4,420,330   

E*Trade Financial Corp. (a)

      44,931           882,445   

Equity Residential

      54,057           2,803,937   
 

 

State Street Equity 500 Index Portfolio     29   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2013

 

     Shares        Market
Value		  
       

Fifth Third Bancorp

      141,716         $ 2,980,288   

Franklin Resources, Inc.

      68,940           3,979,906   

General Growth Properties, Inc. REIT

      90,400           1,814,328   

Genworth Financial, Inc. Class A (a)

      82,251           1,277,358   

Goldman Sachs Group, Inc.

      67,934           12,041,981   

Hartford Financial Services Group, Inc.

      74,097           2,684,534   

HCP, Inc.

      73,400           2,665,888   

Health Care REIT, Inc.

      46,100           2,469,577   

Hudson City Bancorp, Inc.

      76,692           723,206   

Huntington Bancshares, Inc.

      141,956           1,369,875   

IntercontinentalExchange
Group, Inc.

      18,862           4,242,441   

Invesco Ltd.

      72,200           2,628,080   

J.P. Morgan Chase & Co.

      610,215                35,685,373   

KeyCorp

      148,675           1,995,219   

Kimco Realty Corp.

      66,569           1,314,738   

Legg Mason, Inc.

      18,042           784,466   

Leucadia National Corp.

      55,236           1,565,388   

Lincoln National Corp.

      42,992           2,219,247   

Loews Corp.

      49,231           2,374,903   

M&T Bank Corp.

      20,937           2,437,486   

Marsh & McLennan Cos., Inc.

      88,553           4,282,423   

Mastercard, Inc. Class A

      16,900           14,119,274   

MetLife, Inc.

      183,696           9,904,888   

Moody’s Corp.

      31,466           2,469,137   

Morgan Stanley

      224,130           7,028,717   

NASDAQ OMX Group, Inc.

      18,400           732,320   

Northern Trust Corp.

      36,406           2,253,167   

Paychex, Inc.

      52,838           2,405,714   

People’s United Financial, Inc.

      57,000           861,840   

PNC Financial Services Group, Inc.

      85,717           6,649,925   

Principal Financial Group, Inc.

      43,391           2,139,610   

Progressive Corp.

      88,101           2,402,514   

ProLogis, Inc.

      81,099           2,996,608   

Prudential Financial, Inc.

      75,539           6,966,207   

Public Storage, Inc.

      23,087           3,475,055   

Regions Financial Corp.

      226,389           2,238,987   

Simon Property Group, Inc.

      50,815           7,732,010   

SLM Corp.

      69,254           1,819,995   

State Street Corp. (c)

      72,725           5,337,288   

SunTrust Banks, Inc.

      86,518           3,184,728   

T. Rowe Price Group, Inc.

      42,275           3,541,377   

The Bank of New York Mellon Corp.

      187,085           6,536,750   

The Macerich Co. REIT

      21,800           1,283,802   

Torchmark Corp.

      14,931           1,166,858   

Total System Services, Inc.

      26,575           884,416   

Travelers Cos., Inc.

      60,504           5,478,032   

U.S. Bancorp

      299,052           12,081,701   

Unum Group

      40,929           1,435,789   

Ventas, Inc.

      46,600           2,669,248   
     Shares        Market
Value		  

Visa, Inc. Class A

      82,400         $ 18,348,832   

Vornado Realty Trust

      28,014           2,487,363   

Wells Fargo & Co.

      778,149           35,327,965   

Western Union Co.

      86,585           1,493,591   

XL Group PLC

      44,968           1,431,781   

Zions Bancorp.

      30,453           912,372   
       

 

 

  
             462,000,943   
       

 

 

  

Health Care - 12.4%

  

Abbott Laboratories

      252,406           9,674,722   

AbbVie, Inc.

      257,506           13,598,892   

Actavis PLC (a)

      27,946           4,694,928   

Aetna, Inc.

      60,559           4,153,742   

Alexion Pharmaceuticals, Inc. (a)

      32,400           4,311,144   

Allergan, Inc.

      49,192           5,464,247   

AmerisourceBergen Corp.

      36,686           2,579,393   

Amgen, Inc.

      122,345           13,966,905   

Baxter International, Inc.

      88,461           6,152,463   

Becton Dickinson and Co.

      31,397           3,469,054   

Biogen Idec, Inc. (a)

      39,131           10,946,897   

Boston Scientific Corp. (a)

      219,034           2,632,789   

Bristol-Myers Squibb Co.

      267,316           14,207,845   

C.R. Bard, Inc.

      12,897           1,727,424   

Cardinal Health, Inc.

      53,957           3,604,867   

CareFusion Corp. (a)

      33,878           1,349,022   

Celgene Corp. (a)

      66,818           11,289,569   

Cerner Corp. (a)

      50,100           2,792,574   

CIGNA Corp.

      45,996           4,023,730   

Covidien PLC

      77,100           5,250,510   

DaVita, Inc. (a)

      30,700           1,945,459   

Dentsply International, Inc.

      23,300           1,129,584   

Edwards Lifesciences Corp. (a)

      19,000           1,249,440   

Eli Lilly & Co.

      160,675           8,194,425   

Express Scripts Holding Co. (a)

      133,214           9,356,951   

Forest Laboratories, Inc. (a)

      37,402           2,245,242   

Gilead Sciences, Inc. (a)

      250,498           18,824,925   

Hospira, Inc. (a)

      25,303           1,044,508   

Humana, Inc.

      25,207           2,601,867   

Intuitive Surgical, Inc. (a)

      6,300           2,419,704   

Johnson & Johnson

      461,549           42,273,273   

Laboratory Corp. of America Holdings (a)

      15,422           1,409,108   

Life Technologies Corp. (a)

      27,887           2,113,835   

McKesson Corp.

      37,255           6,012,957   

Mead Johnson Nutrition Co.

      32,618           2,732,084   

Medtronic, Inc.

      163,778           9,399,219   

Merck & Co., Inc.

      477,870           23,917,393   

Mylan, Inc. (a)

      63,209           2,743,271   

Patterson Cos., Inc.

      12,894           531,233   

Perrigo Co. PLC

      20,800           3,191,968   

Pfizer, Inc.

      1,051,681           32,212,989   

Quest Diagnostics, Inc.

      25,600           1,370,624   

Regeneron Pharmaceuticals, Inc. (a)

      12,600           3,468,024   
 

 

30   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2013

 

     Shares        Market
Value		  
       

St. Jude Medical, Inc.

      46,626         $ 2,888,481   

Stryker Corp.

      49,689           3,733,631   

Tenet Healthcare Corp. (a)

      15,542           654,629   

UnitedHealth Group, Inc.

      165,096           12,431,729   

Varian Medical Systems, Inc. (a)

      18,060           1,403,081   

Vertex Pharmaceuticals, Inc. (a)

      37,500           2,786,250   

WellPoint, Inc.

      50,338           4,650,728   

Zimmer Holdings, Inc.

      26,952           2,511,657   

Zoetis, Inc.

      79,448           2,597,155   
       

 

 

  
             339,936,141   
       

 

 

  

Industrials - 11.0%

  

3M Co.

      105,472           14,792,448   

ADT Corp.

      36,250           1,467,037   

Allegion PLC (a)

      14,833           655,470   

AMETEK, Inc.

      39,400           2,075,198   

Amphenol Corp. Class A

      26,100           2,327,598   

Avery Dennison Corp.

      15,388           772,324   

Boeing Co.

      112,688           15,380,785   

Caterpillar, Inc.

      105,379           9,569,467   

CH Robinson Worldwide, Inc.

      25,861           1,508,731   

Cintas Corp.

      17,588           1,048,069   

CSX Corp.

      171,214           4,925,827   

Cummins, Inc.

      28,358           3,997,627   

Danaher Corp.

      99,472           7,679,238   

Deere & Co.

      62,337           5,693,238   

Delta Air Lines, Inc.

      139,300           3,826,571   

Dover Corp.

      27,895           2,692,983   

Eaton Corp. PLC

      78,824           6,000,083   

Emerson Electric Co.

      112,748           7,912,655   

Equifax, Inc.

      19,983           1,380,625   

Expeditors International of Washington, Inc.

      34,020           1,505,385   

Fastenal Co.

      44,300           2,104,693   

FedEx Corp.

      47,900           6,886,583   

First Solar, Inc. (a)

      10,570           577,545   

Flir Systems, Inc.

      23,500           707,350   

Flowserve Corp.

      21,900           1,726,377   

Fluor Corp.

      26,060           2,092,357   

Fortune Brands Home & Security, Inc.

      1,145           52,326   

General Dynamics Corp.

      54,061           5,165,529   

General Electric Co.

      1,643,633           46,071,033   

Honeywell International, Inc.

      128,881           11,775,857   

Illinois Tool Works, Inc.

      66,271           5,572,066   

Ingersoll-Rand PLC

      44,500           2,741,200   

Iron Mountain, Inc.

      26,910           816,718   

Jacobs Engineering Group, Inc. (a)

      20,400           1,284,996   

Joy Global, Inc.

      17,200           1,006,028   

Kansas City Southern

      17,500           2,167,025   

L-3 Communications Holdings, Inc.

      14,403           1,539,105   

Leggett & Platt, Inc.

      24,198           748,686   
     Shares        Market
Value		  

Lockheed Martin Corp.

      43,552         $ 6,474,440   

Masco Corp.

      57,123           1,300,691   

Nielsen Holdings NV

      41,200           1,890,668   

Norfolk Southern Corp.

      50,055           4,646,606   

Northrop Grumman Corp.

      35,011           4,012,611   

PACCAR, Inc.

      56,774           3,359,318   

Pall Corp.

      18,609           1,588,278   

Parker Hannifin Corp.

      23,903           3,074,882   

Pentair, Ltd.

      33,495           2,601,557   

Pitney Bowes, Inc.

      29,727           692,639   

Precision Castparts Corp.

      24,007           6,465,085   

Quanta Services, Inc. (a)

      35,000           1,104,600   

Raytheon Co.

      52,382           4,751,047   

Republic Services, Inc.

      47,503           1,577,100   

Robert Half International, Inc.

      23,540           988,445   

Rockwell Automation, Inc.

      22,505           2,659,191   

Rockwell Collins, Inc.

      22,531           1,665,492   

Roper Industries, Inc.

      16,100           2,232,748   

Ryder System, Inc.

      7,921           584,411   

Southwest Airlines Co.

      114,186           2,151,264   

Stericycle, Inc. (a)

      14,100           1,637,997   

Textron, Inc.

      44,839           1,648,282   

Thermo Fisher Scientific, Inc.

      59,624           6,639,132   

Tyco International Ltd.

      74,300           3,049,272   

Union Pacific Corp.

      75,368           12,661,824   

United Parcel Service, Inc. Class B

      118,146           12,414,782   

United Technologies Corp.

      137,678           15,667,756   

W.W. Grainger, Inc.

      10,069           2,571,824   

Waste Management, Inc.

      73,139           3,281,747   

Xylem, Inc.

      28,692           992,743   
       

 

 

  
             302,633,265   
       

 

 

  

Information Technology - 16.6%

  

Accenture PLC Class A

      101,900           8,378,218   

Adobe Systems, Inc. (a)

      75,257           4,506,389   

Agilent Technologies, Inc.

      54,968           3,143,620   

Akamai Technologies, Inc. (a)

      28,924           1,364,634   

Alliance Data Systems Corp. (a)

      7,900           2,077,147   

Altera Corp.

      50,554           1,644,522   

Analog Devices, Inc.

      50,069           2,550,014   

AOL, Inc. (a)

      1           47   

Apple, Inc.

      146,384           82,137,526   

Applied Materials, Inc.

      194,207           3,435,522   

Autodesk, Inc. (a)

      36,476           1,835,837   

Automatic Data Processing, Inc.

      78,417           6,336,878   

Broadcom Corp. Class A

      88,659           2,628,739   

CA, Inc.

      53,099           1,786,781   

Cisco Systems, Inc.

      875,919           19,664,382   

Citrix Systems, Inc. (a)

      29,667           1,876,438   

Cognizant Technology Solutions Corp. Class A (a)

      48,984           4,946,404   

Computer Sciences Corp.

      23,144           1,293,287   

Corning, Inc.

      234,476           4,178,362   

Dun & Bradstreet Corp.

      7,100           871,525   
 

 

State Street Equity 500 Index Portfolio     31   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2013

 

     Shares        Market
Value		  
       

Electronic Arts, Inc. (a)

      50,400         $ 1,156,176   

EMC Corp.

      342,684           8,618,503   

F5 Networks, Inc. (a)

      12,200           1,108,492   

Facebook, Inc. Class A (a)

      267,300           14,610,618   

Fidelity National Information Services, Inc.

      46,777           2,510,989   

Fiserv, Inc. (a)

      42,104           2,486,241   

Google, Inc. Class A (a)

      45,790           51,317,311   

Harris Corp.

      18,600           1,298,466   

Hewlett-Packard Co.

      313,416           8,769,380   

Intel Corp.

      811,156           21,057,610   

International Business
Machines Corp.

      165,542           31,050,713   

Intuit, Inc.

      47,863           3,652,904   

Jabil Circuit, Inc.

      27,551           480,490   

Juniper Networks, Inc. (a)

      84,393           1,904,750   

KLA-Tencor Corp.

      27,005           1,740,742   

Lam Research Corp. (a)

      25,858           1,407,968   

Linear Technology Corp.

      37,363           1,701,885   

LSI Corp.

      89,162           982,565   

Microchip Technology, Inc.

      32,589           1,458,358   

Micron Technology, Inc. (a)

      174,862           3,804,997   

Microsoft Corp. (b)

      1,241,335           46,463,169   

Motorola Solutions, Inc.

      38,152           2,575,260   

NetApp, Inc.

      57,357           2,359,667   

NVIDIA Corp.

      99,956           1,601,295   

Oracle Corp.

      568,162           21,737,878   

PerkinElmer, Inc.

      19,218           792,358   

QUALCOMM, Inc.

      273,411           20,300,767   

Red Hat, Inc. (a)

      29,800           1,669,992   

Salesforce.com, Inc. (a)

      89,700           4,950,543   

SanDisk Corp.

      38,367           2,706,408   

Seagate Technology PLC

      51,800           2,909,088   

Symantec Corp.

      113,463           2,675,458   

TE Connectivity, Ltd.

      67,300           3,708,903   

Teradata Corp. (a)

      25,320           1,151,807   

Texas Instruments, Inc.

      181,499           7,969,621   

VeriSign, Inc. (a)

      18,721           1,119,141   

Waters Corp. (a)

      13,765           1,376,500   

Western Digital Corp.

      36,200           3,037,180   

Xerox Corp.

      186,701           2,272,151   

Xilinx, Inc.

      42,502           1,951,692   

Yahoo!, Inc. (a)

      154,519           6,248,748   
       

 

 

  
             455,353,056   
       

 

 

  

Materials - 3.6%

  

Air Products & Chemicals, Inc.

      34,009           3,801,526   

Airgas, Inc.

      11,600           1,297,460   

Alcoa, Inc.

      169,749           1,804,432   

Allegheny Technologies, Inc.

      17,228           613,834   

Ball Corp.

      25,024           1,292,740   

Bemis Co., Inc.

      17,462           715,243   

CF Industries Holdings, Inc.

      9,250           2,155,620   

Cliffs Natural Resources, Inc.

      22,200           581,862   

Dow Chemical Co.

      197,728           8,779,123   
     Shares        Market
Value		  

E.I. du Pont de Nemours & Co.

      152,112         $ 9,882,717   

Eastman Chemical Co.

      24,808           2,002,006   

Ecolab, Inc.

      43,766           4,563,481   

FMC Corp.

      21,400           1,614,844   

Freeport-McMoRan Copper & Gold, Inc. Class B

      172,104           6,495,205   

International Flavors & Fragrances, Inc.

      13,031           1,120,405   

International Paper Co.

      71,411           3,501,281   

LyondellBasell Industries NV

      72,200           5,796,216   

MeadWestvaco Corp.

      28,820           1,064,323   

Monsanto Co.

      84,555           9,854,885   

Mosaic Co.

      54,900           2,595,123   

Newmont Mining Corp.

      78,406           1,805,690   

Nucor Corp.

      51,654           2,757,290   

Owens-Illinois, Inc. (a)

      26,300           941,014   

Plum Creek Timber Co., Inc.

      31,411           1,460,926   

PPG Industries, Inc.

      23,271           4,413,578   

Praxair, Inc.

      48,411           6,294,882   

Sealed Air Corp.

      31,392           1,068,898   

Sherwin-Williams Co.

      14,196           2,604,966   

Sigma-Aldrich Corp.

      19,134           1,798,787   

United States Steel Corp.

      21,478           633,601   

Vulcan Materials Co.

      21,361           1,269,271   

Weyerhaeuser Co.

      94,874           2,995,172   
       

 

 

  
          97,576,401   
       

 

 

  

Telecommunication Services - 2.3%

  

AT&T, Inc.

      854,550           30,045,978   

CenturyLink, Inc.

      99,565           3,171,145   

Crown Castle International Corp. (a)

      53,500           3,928,505   

Frontier Communications Corp.

      165,844           771,175   

Verizon Communications, Inc.

      469,766           23,084,301   

Windstream Holdings, Inc.

      99,213           791,720   
       

 

 

  
               61,792,824   
       

 

 

  

Utilities - 2.8%

  

AES Corp.

      103,195           1,497,359   

AGL Resources, Inc.

      18,100           854,863   

Ameren Corp.

      37,560           1,358,170   

American Electric Power Co., Inc.

      81,852           3,825,762   

CenterPoint Energy, Inc.

      69,711           1,615,901   

CMS Energy Corp.

      42,056           1,125,839   

Consolidated Edison, Inc.

      47,252           2,612,091   

Dominion Resources, Inc.

      94,562           6,117,216   

DTE Energy Co.

      27,484           1,824,663   

Duke Energy Corp.

      115,383           7,962,581   

Edison International

      52,219           2,417,740   

Entergy Corp.

      28,998           1,834,703   

Exelon Corp.

      144,343           3,953,555   

FirstEnergy Corp.

      67,022           2,210,386   

Integrys Energy Group, Inc.

      12,916           702,760   

NextEra Energy, Inc.

      68,921           5,901,016   
 

 

32   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2013

 

     Shares        Market
Value		  
       

NiSource, Inc.

      50,582         $ 1,663,136   

Northeast Utilities

      50,060           2,122,043   

NRG Energy, Inc.

      51,700           1,484,824   

Oneok, Inc.

      32,200           2,002,196   

Pepco Holdings, Inc.

      41,200           788,156   

PG&E Corp.

      70,826           2,852,871   

Pinnacle West Capital Corp.

      17,860           945,151   

PPL Corp.

      100,475           3,023,293   

Public Service Enterprise Group, Inc.

      80,924           2,592,805   

SCANA Corp.

      22,300           1,046,539   

Sempra Energy

      36,886           3,310,887   

Southern Co.

      144,343           5,933,941   

TECO Energy, Inc.

      34,951           602,555   

Wisconsin Energy Corp.

      38,100           1,575,054   

Xcel Energy, Inc.

      79,051           2,208,685   
       

 

 

  
          77,966,741   
       

 

 

  
Total Common Stocks
(cost: $1,261,323,597)		            2,690,533,318   
       

 

 

  
     Par
Amount		           
       
U.S. Government Securities - 0.2%   

U.S. Treasury Bill (b)(d)(e)
0.01% due 01/16/2014

    $ 400,000           400,000   

U.S. Treasury Bill (b)(d)(e)
0.01% due 02/20/2014

      2,150,000           2,149,970   

U.S. Treasury Bill (b)(d)(e)
0.05% due 02/20/2014

      1,610,000           1,609,889   
       

 

 

  
Total U.S. Government Securities
(cost: $4,159,859)		            4,159,859   
       

 

 

  
     Shares           
       
Money Market Fund - 1.5%        

State Street Institutional Liquid Reserves Fund
0.05% (c)(f)

      41,178,491           41,178,491   
       

 

 

  
Total Money Market Fund
(cost: $41,178,491)		            41,178,491   
       

 

 

  
Total Investments (g) - 99.9%
(cost $1,306,661,947)		            2,735,871,668   
Other Assets in Excess of
Liabilities - 0.1%		            3,722,410   
       

 

 

  
Net Assets - 100.0%         $ 2,739,594,078   
       

 

 

  

 

(a) Non-income producing security.
(b) All or part of this security has been designated as collateral for futures contracts.
(c) Affiliated issuer. See table that follows for more information.
(d) Rate represents annualized yield at date of purchase.
(e) Value determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures.
(f) The rate shown is the annualized seven-day yield at period end.
(g) Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.
PLC = Public Limited Company
REIT = Real Estate Investment Trust

 

Schedule of Futures
Contracts		    Number of
Contracts		     Notional
Value		     Unrealized
Appreciation		  
      

S&P 500 Financial
Futures Contracts (long) Expiration Date 03/2014

      535      $ 49,249,425      $ 1,717,967   
      

 

 

  

Total unrealized appreciation on open futures contracts purchased

        $ 1,717,967   
      

 

 

  
 

 

 

State Street Equity 500 Index Portfolio     33   

Table of Contents

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2013

 

 

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending December 31, 2013 were as follows:

 

Security

Description

  

Number
of Shares

Held at
12/31/12

     Shares
Purchased for
the Year
Ended 12/31/13		    

Shares
Sold for

the Year
Ended 12/31/13

    

Number
of Shares

Held at
12/31/13

    

Value at

12/31/13

    

Income
Earned for
the Year

Ended 12/31/13

    

Realized Gain
on Shares sold
for the Year
Ended
12/31/2013

  
             
             

State Street Corp.

     72,725        —        —        72,725      $ 5,337,288      $ 75,634      $ —   

State Street Institutional Liquid Reserves Fund

     25,053,183        301,321,856        285,196,548        41,178,491        41,178,491        49,890        —   

 

See notes to financial statements.

 

34   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities — December 31, 2013

 

          
  

Assets

   

Investments in unaffiliated issuers at market value (identified cost $1,263,093,682)

    $ 2,689,355,889   

Investments in non-controlled affiliates at market value (identified cost $43,568,265) (Note 4)

      46,515,779   
  

 

 

  

Total investments at market value (identified cost $1,306,661,947)

      2,735,871,668   

Cash

      151,331   

Daily variation margin on futures contracts

      140   

Dividends and interest receivable

      3,608,531   

Dividend receivable from non-controlled affiliates (Note 4)

      18,909   
  

 

 

  

Total assets

      2,739,650,579   
  

 

 

  

Liabilities

   

Management fees payable (Note 4)

      56,501   
  

 

 

  

Total liabilities

      56,501   
  

 

 

  
  

Net Assets

    $ 2,739,594,078   
  

 

 

  

 

See notes to financial statements.

 

State Street Equity 500 Index Portfolio     35   

Table of Contents

State Street Equity 500 Index Portfolio

Statement of Operations — Year Ended December 31, 2013

 

          
  

Investment Income

   

Dividend income — unaffiliated issuers (net of foreign taxes withheld of $105,783)

    $ 49,999,179   

Dividend income — non-controlled affiliated issuer

      125,524   

Interest

      51,366   
  

 

 

  

Total investment income

      50,176,069   
  

 

 

  

Expenses

   

Management fees (Note 3)

      1,079,996   
  

 

 

  

Total expenses

      1,079,996   
  

 

 

  

Net investment income

      49,096,073   
  

 

 

  

Realized and Unrealized Gain (Loss)

   

Net realized gain (loss) on:

   

Investments — unaffiliated issuers

      14,279,841   

Futures contracts

      12,331,162   
  

 

 

  
     26,611,003   
  

 

 

  

Net change in net unrealized appreciation (depreciation) on:

   

Investments

      588,884,187   

Futures contracts

      1,648,798   
  

 

 

  
     590,532,985   
  

 

 

  

Net realized and unrealized gain

      617,143,988   
  

 

 

  

Net Increase in Net Assets Resulting from Operations

    $ 666,240,061   
  

 

 

  

 

See notes to financial statements.

 

36   State Street Equity 500 Index Portfolio

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State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

 

      Year Ended
December 31, 2013		      Year Ended
December 31, 2012		  
     

Increase (Decrease) in Net Assets From Operations:

      

Net investment income

    $ 49,096,073       $ 44,258,364   

Net realized gain on investments and futures contracts

      26,611,003         59,782,429   

Net change in net unrealized appreciation on investments and futures contracts

      590,532,985         177,710,661   
  

 

 

     

 

 

  

Net increase in net assets from operations

      666,240,061         281,751,454   
  

 

 

     

 

 

  

Capital Transactions:

      

Contributions

      235,748,437         262,981,954   

Withdrawals

      (217,635,806 )       (315,020,063 ) 
  

 

 

     

 

 

  

Net increase (decrease) in net assets from capital transactions

      18,112,631         (52,038,109 ) 
  

 

 

     

 

 

  

Net Increase in Net Assets

      684,352,692         229,713,345   

Net Assets

      

Beginning of year

      2,055,241,386         1,825,528,041   
  

 

 

     

 

 

  

End of year

    $ 2,739,594,078       $ 2,055,241,386   
  

 

 

     

 

 

  

 

See notes to financial statements.

 

State Street Equity 500 Index Portfolio     37   

Table of Contents

State Street Equity 500 Index Portfolio

Financial Highlights

 

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

 

      Year Ended
12/31/13		     Year Ended
12/31/12		     Year Ended
12/31/11		     Year Ended
12/31/10		     Year Ended
12/31/09 		 

Supplemental Data and Ratios:

           

Net assets, end of year (in thousands)

    $ 2,739,594      $ 2,055,241      $ 1,825,528      $ 2,098,137      $ 1,893,386   

Ratios to average net assets:

           

Operating expenses

      0.045 %      0.045 %      0.045 %      0.045 %      0.045 % 

Net investment income

      2.05 %      2.26 %      2.04 %      1.99 %      2.28 % 

Portfolio turnover rate (a)

      4 %      9 %      15 %      12 %      19 % 

Total return (b)

      32.30 %      15.97 %      2.03 %      15.08 %      26.50 % 

 

(a)   The portfolio turnover rate excludes in-kind security transactions.
(b)   Results represent past performance and are not indicative of future results.

 

See notes to financial statements.

 

38   State Street Equity 500 Index Portfolio

Table of Contents

State Street Equity 500 Index Portfolio

Notes to Financial Statements — December 31, 2013

 

 

1.   Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises ten investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Limited Duration Bond Portfolio, State Street Treasury Money Market Portfolio, State Street Treasury Plus Money Market Portfolio and State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).

At December 31, 2013, the following Portfolios were operational: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500® Index. The S&P 500® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.

 

2.   Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security valuation — The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and apply broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

 

  •  

Level 1 — quoted prices in active markets for identical securities

 

  •  

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

  •  

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

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

Notes to Financial Statements     39   

Table of Contents

State Street Equity 500 Index Portfolio

Notes to Financial Statements, continued — December 31, 2013

 

 

The following is a summary of the inputs used, as of December 31, 2013, in valuing the Portfolio’s assets carried at fair value:

 

Description   

Quoted Prices in

Active Markets for

Identical Assets

(Level 1)

     

Significant Other

Observable Inputs

(Level 2)

     

Significant

Unobservable Inputs

(Level 3)

      Total  
           

Assets:

            

Investments:

            

Common Stocks

    $ 2,690,533,318       $ —       $ —       $ 2,690,533,318   

U.S. Government Securities

      —         4,159,859         —         4,159,859   

Money Market Fund

      41,178,491         —         —         41,178,491   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      2,731,711,809         4,159,859         —         2,735,871,668   

Other Assets:

            

Futures contracts*

      1,717,967         —         —         1,717,967   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 2,733,429,776       $ 4,159,859       $ —       $ 2,737,589,635   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  * Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

For the year ended December 31, 2013, there were no transfers between levels.

Securities transactions, investment income and expenses — Securities transactions are recorded on a trade date basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations.

All of the net investment income and realized and unrealized 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.

Federal income taxes — The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2013, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2013, tax years 2010 through 2013 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2013, the tax cost of investments was $1,306,661,947 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $1,442,890,581 and $13,680,860, respectively, resulting in net appreciation of $1,429,209,721 for all securities as computed on a federal income tax basis.

Futures — The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

 

 

40   Notes to Financial Statements

Table of Contents

State Street Equity 500 Index Portfolio

Notes to Financial Statements, continued — December 31, 2013

 

 

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2013:

Asset Derivatives(1)

 

     

Equity

Contracts Risk

      Total  
     

Futures Contracts

    $ 1,717,967       $ 1,717,967   

Transactions in derivative instruments during the year ended December 31, 2013, were as follows:

Realized Gain (Loss)(2)

 

     

Equity

Contracts Risk

      Total  
     

Futures Contracts

    $ 12,331,162       $ 12,331,162   

Change in Appreciation (Depreciation)(3)

 

     

Equity

Contracts Risk

      Total  
     

Futures Contracts

    $ 1,648,798       $ 1,648,798   

 

  (1) Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.
  (2) Statement of Operations location: Net realized gain (loss) on: Futures contracts
  (3) Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional value of futures contracts outstanding during the year ended December 31, 2013 was $53,978,780.

Use of estimates — The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.

 

3.   Securities Transactions

For the year ended December 31, 2013, purchases and sales of investment securities, excluding short-term investments and futures contracts, aggregated to $151,884,186 and $88,744,722, respectively.

 

Notes to Financial Statements     41   

Table of Contents

State Street Equity 500 Index Portfolio

Notes to Financial Statements, continued — December 31, 2013

 

 

 

4.   Related Party Fees and Transactions

The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at December 31, 2013 is listed in the Portfolio of Investments.

 

5.   Trustees’ Fees

Each Independent Trustee receives for his or her services a $100,000 retainer in addition to $5,000 for each in-person meeting and $1,250 for each telephonic meeting from the Trust. The Chairman receives an additional $30,000 annual retainer and the Audit Committee Chair receives an additional $10,000 annual retainer.

 

6.   Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

 

42   Notes to Financial Statements

Table of Contents

State Street Equity 500 Index Portfolio

Report of Independent Registered Public Accounting Firm

 

 

To the Board of Trustees of State Street Master Funds and Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:

We have audited the accompanying statement of assets and liabilities , including the portfolio of investments, of State Street Equity 500 Index Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds) as of December 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, one of the portfolios constituting State Street Master Funds, at December 31, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

 

LOGO

Boston, Massachusetts

February 26, 2014

 

Report of Independent Registered Public Accounting Firm     43   

Table of Contents

State Street Equity 500 Index Portfolio

General Information — December 31, 2013 (Unaudited)

 

 

Proxy Voting Policies and Procedures and Record

Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).

Interestholder Meeting Results

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of interestholders and provide final results. Accordingly, the Board of Trustees of the Trust solicited a vote by the interestholders for the following items:

Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013. The meeting was subsequently adjourned and the final results will be reported in the next semi-annual report to shareholders.

Advisory Agreement Renewal

The Board of Trustees of the Trust met on November 12, 2013 (the “November Meeting” or “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering renewal of the Advisory Agreement at the November Meeting, the Independent Trustees convened a special telephonic meeting on October 10, 2013 (the “Preliminary Meeting”), at which they reviewed renewal materials provided by the Adviser, which they had requested through independent counsel, and discussed the materials with counsel and representatives of the Adviser. In the course of the Preliminary Meeting they requested additional materials from the Adviser and State Street, which were subsequently provided in advance of the November Meeting along with updates of certain of the original materials. At the November Meeting, in deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement, (ii) the investment performance of the Portfolio and the Adviser, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided in advance of the November Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and investment policies and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $2.17 trillion in assets under management at August 31, 2013, including over $304 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees noted the significant experience, resources and strength of the Adviser in the management of a variety of index products. As discussed more fully below, they also determined that the advisory fee paid by the Portfolio was fair and reasonable and that the Portfolio’s performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.

 

44   General Information

Table of Contents

State Street Equity 500 Index Portfolio

General Information — December 31, 2013 (Unaudited), continued

 

 

The Trustees determined, in view of the investment objective of the Portfolio and after review and discussion of the available data and of a memorandum discussing the recent performance of the Portfolio supplied by the Adviser at the Independent Trustees’ request, that the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that performance of the Portfolio was satisfactory.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to SSGM, also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis with the other feeder funds and master portfolios overseen by the Trustees (together, the “Funds and Portfolios”), for the year ended December 31, 2012, and for the four prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies appeared reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive, especially in light of the competitive levels of the fees paid to the Adviser and State Street by the Trust.

In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.

In addition, the Trustees considered other advisory fees paid to the Adviser and its affiliate, State Street Global Advisors (“SSgA”). They noted that, as a general matter, fees paid to the Adviser by other, similar mutual funds sponsored by State Street tended to be higher than the fees paid by the Portfolio, with some exceptions, whereas fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by SSgA tended to be lower than those paid by the Portfolio, again with some exceptions; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to sub-advised funds and other types of institutional clients. The Trustees determined that, in light of these significant differences, the fees paid by sub-advised funds and other types of clients were of limited utility for purposes of comparison with those of the Portfolio, but that to the extent that meaningful comparison was practicable, the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fee was fair and reasonable.

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.

The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent that economies of scale were in fact being realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.

 

General Information     45   

Table of Contents

Trustees and Officers Information

 

 

Name, Address,

and Age

  

Position(s) Held

with Trust

   Term of Office
and Length of
Time Served		   Principal Occupation
During Past Five Years		  

Number of
Funds
in Fund
Complex

Overseen
by Trustee

     Other
Directorships
Held by
Trustee During
Past Five Years

INDEPENDENT TRUSTEES

Michael F. Holland

Holland & Company, LLC

375 Park Avenue

New York, NY 10152

 

YOB: 1944

   Trustee and Co-Chairman of the Board   Term: Indefinite Elected: 7/99   Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
             

Patrick J. Riley

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1948

   Trustee and Co-Chairman of the Board   Term: Indefinite Elected: 1/14   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); January 2009 to Present, Independent Director, SSgA Fixed Income plc; and January 2009 to Present, Independent Director, SSgA Qualified Funds PLC.     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
             

William L. Boyan

State Street Institutional Investment Trust

P.O. Box 5049

Boston, MA 02206

 

YOB: 1937

   Trustee  

Term: Indefinite

Elected: 7/99

   President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.

 

46   Trustees and Officers Information

Table of Contents

Trustees and Officers Information — continued

 

 

Name, Address,

and Age

  

Position(s) Held

with Trust

   Term of Office
and Length of
Time Served		   Principal Occupation
During Past Five Years		  

Number of
Funds
in Fund
Complex

Overseen
by Trustee

     Other
Directorships
Held by
Trustee During
Past Five Years

INDEPENDENT TRUSTEES (continued)

William L. Marshall

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1942

   Trustee   Term: Indefinite Elected: 1/14   April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, SPCA of Bucks County, PA; and the Ann Silverman Community Clinic of Doylestown, PA.     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Marshall Financial Group, Inc.
             

Richard D. Shirk

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1945

   Trustee   Term: Indefinite Elected: 1/14   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
             

Rina K. Spence

State Street Institutional Investment Trust

P.O. Box 5049

Boston, MA 02206

 

YOB: 1948

   Trustee  

Term: Indefinite

Elected: 7/99

   President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).

 

Trustees and Officers Information     47   

Table of Contents

Trustees and Officers Information — continued

 

 

Name, Address,
and Age		  

Position(s) Held

with Trust

   Term of Office
and Length of
Time Served		   Principal Occupation
During Past Five Years		  

Number of
Funds
in Fund
Complex

Overseen
by Trustee

     Other
Directorships
Held by
Trustee During
Past Five Years

INDEPENDENT TRUSTEES (continued)

          

Bruce D. Taber

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1943

   Trustee   Term: Indefinite Elected: 1/14   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSgA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
             

Douglas T. Williams

State Street Institutional Investment Trust

P.O. Box 5049

Boston, MA 02206

 

YOB: 1940

   Trustee; Audit Committee Chair   Term: Indefinite Elected: 7/99   President, Oakmonst Homeowners Association; President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; and Treasurer, Nantucket Educational Trust, (2002 – 2007).

Interested Trustees(1)

          

Scott F. Powers

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1959

   Trustee  

Term: Indefinite

Elected Trustee: 1/14

   May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School     34      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
             

James E. Ross

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1965

   Trustee  

Term: Indefinite

Elected Trustee: 2/07

   Chairman and Director, SSgA Funds Management, Inc. (2012 – present); President, SSgA Funds Management, Inc. (2005 – 2012); Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).     217      Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Trustee, SPDR Series Trust; Trustee, SPDR Index Shares Funds; Trustee, Select Sector SPDR Trust; Trustee, SSgA Active ETF Trust; and Trustee, SSgA Master Trust.

 

(1)   Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSgA Funds Management, Inc., an affiliate of the Trust.

 

48   Trustees and Officers Information

Table of Contents

Trustees and Officers Information — continued

 

 

Name, Address,

and Age

  

Position(s) Held

with Trust

   Term of Office
and Length of
Time Served		   Principal Occupation
During Past Five Years		  

Number of
Funds
in Fund
Complex

Overseen
by Trustee

     Other
Directorships
Held by
Trustee During
Past Five Years

OFFICERS:

          

Ellen M. Needham

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1967

   President   Term: Indefinite Elected: 10/12   President and Director, SSgA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*     —      —

Ann M. Carpenter

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

 

YOB: 1966

   Vice President  

Term: Indefinite

Elected: 10/12

   Vice President, SSgA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 – 2008 – present).*     —      —
             

Laura F. Dell

State Street Bank and Trust Company

4 Copley Place, 5th floor

Boston, MA 02116

 

YOB: 1964

  

Treasurer

  

Term: Indefinite

Elected: 11/10

   Vice President, State Street Bank and Trust Company (2002 – present).*     —      —
             

Chad C. Hallett

State Street Bank and Trust Company

4 Copley Place, 5th floor

Boston, MA 02116

 

YOB: 1969

   Assistant Treasurer  

Term: Indefinite

Elected: 09/11

   Vice President, State Street Bank and Trust Company (2001 – present).*     —      —
             

Caroline Connolly

State Street Bank and Trust Company

4 Copley Place, 5th floor

Boston, MA 02116

 

YOB: 1975

   Assistant Treasurer  

Term: Indefinite

Elected: 09/11

   Assistant Vice President, State Street Bank and Trust Company (2007 – present).     —      —
             

Brian Harris

State Street Financial Center

One Lincoln Street

Boston, MA 02111

 

YOB: 1973

   Chief Compliance Officer  

Term: Indefinite

Elected: 11/13

   Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).     —      —

 

Trustees and Officers Information     49   

Table of Contents

Trustees and Officers Information — continued

 

 

Name, Address,

and Age

  

Position(s) Held

with Trust

   Term of Office
and Length of
Time Served		   Principal Occupation
During Past Five Years		  

Number of
Funds
in Fund
Complex

Overseen
by Trustee

     Other
Directorships
Held by
Trustee During
Past Five Years

OFFICERS: (continued)

          

David K. James

State Street Bank and Trust Company

4 Copley Place, 5th Floor

Boston, MA 02116

 

YOB: 1970

   Secretary   Term: Indefinite Elected: 4/13   Vice President and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).     —      —
             

Kristin Schantz

State Street Bank and Trust Company

4 Copley Place, 5th Floor

Boston, MA 02116

 

YOB: 1979

   Assistant Secretary   Term: Indefinite Elected: 2/14   Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).     —      —

 

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

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

 

50   Trustees and Officers Information

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Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Administrator, Custodian and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02119

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Equity 500 Index Portfolio

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206

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IBG-11359

SSGASPFDSAR

 

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Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committees of Listed Registrants.

Not applicable to the Registrant.

Item 6. Schedule of Investments.

 

(a) Schedules of Investments are included as 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 Board of Trustees approved an Amended and Restated Nominating Committee Charter (the “Charter”) at their February 13, 2014 Board Meeting. The Charter contains new procedures related to how shareholders are to submit recommendations for Trustee candidates to the Trust. Those new procedures are as follows:

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SSgA Funds

Nominating sub-Committee Charter

February 13, 2014

Mission Statement

The Board of Trustees (each, a “Board”) of each of State Street Institutional Investment Trust, State Street Master Funds and SSgA Funds (each, a “Trust”) has adopted this charter to govern the activities of the Nominating Committee of each Board (each, a “Nominating Committee”). This Charter applies separately to each Trust, and the Board and Nominating Committee thereof, and shall be interpreted accordingly. Unless otherwise stated herein or required by the context, each singular reference herein to the Board, Trust and Nominating Committee shall be construed as a reference to each Trust or Board or Nominating Committee thereof, as applicable.

The Nominating Committee is a committee of the Board created to assist the Board in fulfilling its duty to fill vacancies in the Board. The Nominating Committee of the Board is responsible for evaluating and recommending the nomination of candidates for election as independent trustees of the Trust.

The scope of the Nominating Committee’s responsibilities and its structure, process and membership requirements are set forth in this charter (the “Charter”).

Organization

The membership of the Nominating Committee shall consist entirely of those trustees who are not “interested persons,” within the meaning of the Investment Company Act of 1940, as amended (“Independent Trustees”), of the Trust; however, the Nominating Committee need not be comprised of all of the Independent Trustees.

The Nominating Committee may designate one or more members to serve as Chair or Co-Chair of the Nominating Committee, as the case may be, but need not make such a designation.

The Nominating Committee shall report to the Board of Trustees as to the results of its meetings and activities.

Authority and Responsibilities

The Nominating Committee, in discharging its responsibilities under this Charter, may, in addition to other actions it deems appropriate, consider taking one or more of the actions described below:

 

1.

To make nominations for Independent Trustee membership on the Board. A potential nominee must have a college degree or equivalent business experience. The Nominating Committee may take into account a wide variety of factors in considering potential nominees, including (but not limited to): (i) availability and commitment of a candidate to attend

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  meetings and perform his or her responsibilities on the Board, (ii) relevant industry and related experience, (iii) educational background, (iv) financial expertise, (v) ability, judgment and expertise and (vi) overall diversity of the Board’s composition.

 

2 When identifying potential nominees for a Board, the Nominating Committee may consider candidates recommended by the following sources: (i) the Trust’s current Trustees; (ii) the Trust’s officers; (iii) the Trust’s investment adviser, sub-advisers or administrator; (iv) shareholders of the Trust (see below); or (v) any other source the Nominating Committee deems to be appropriate. The Nominating Committee may consider qualified incumbent trustees of other trusts and/or funds managed and/or advised by SSgA Funds Management, Inc. for the purpose of achieving fund board consolidations and related efficiencies or any other objective that it determines to be in the best interests of the Trust and its shareholders. The Nominating Committee may, but is not required to, retain a third party search firm at the applicable Trust’s expense to identify potential candidates.

 

3. To consider nominee candidates properly submitted in accordance with Appendix A by shareholders of the Trust on the same basis as it considers and evaluates candidates recommended by other sources.

 

4. To review Nominating Committee Chair or Co-Chair assignments and Nominating Committee assignments periodically.

 

5. To consider the structure, operations and effectiveness of the Nominating Committee and review this Charter periodically.

 

6. To meet as frequently and at such times as circumstances dictate.

 

7. To hire (and compensate) from time to time independent counsel and any other expert deemed necessary by the Nominating Committee to perform its duties.

The Nominating Committee shall have the resources to discharge all of its responsibilities, including but not limited to the authority to select, retain, terminate and approve the fees and other retention terms of special or independent counsel or any other advisers determined to be necessary or appropriate without seeking approval of management of the Trust. Costs incurred by the Nominating Committee in performing its functions under this Charter shall be borne by the Trust.

The matters to be considered by the Nominating Committee, at any meeting or in general, shall be in the sole discretion of the Nominating Committee. Membership of the Nominating Committee shall not be deemed to impose on any Trustee an obligation or duty, or to imply any experience, expertise, or knowledge, different from or greater than that of any other Trustee.

It is the responsibility of each investment adviser, sub-adviser, and the funds’ other service providers to ensure that their activities in respect of the funds comply with applicable law and regulation and with the policies and procedures of the funds. Nothing in this Charter shall be

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construed to limit or reduce the responsibilities or liabilities of any adviser, sub-adviser, the funds’ distributor, or any other service provider of the funds.

Adopted by SSgA Funds

Board of Trustees on February 13, 2014

Appendix A

Procedures for Shareholders to Submit Nominee Candidates

(As of February 13, 2014)

A shareholder of the Trust, or of any series thereof, if applicable, must follow the following procedures in order to submit properly a nominee recommendation for the Nominating Committee’s consideration.

 

  1. The shareholder must submit any such recommendation (a “Shareholder Recommendation”) in writing to the Trust, to the attention of the Trust’s Secretary, at the address of the principal executive offices of the Trust.

 

  2. The Shareholder Recommendation must be delivered to, or mailed and received at, the principal executive offices of the Trust not less than sixty (60) calendar days nor more than ninety (90) calendar days prior to the date of the Board or shareholder meeting at which the nominee candidate would be considered for election. Shareholder Recommendations will be kept on file for two years after receipt of the Shareholder Recommendation. A Shareholder Recommendation considered by the Nominating Committee in connection with the Nominating Committee’s nomination of any candidate(s) for appointment or election as an independent Trustee need not be considered again by the Nominating Committee in connection with any subsequent nomination(s).

 

  3.

The Shareholder Recommendation must include: (i) a statement in writing setting forth (A) the name, age, date of birth, business address, residence address and nationality of the person recommended by the shareholder (the “candidate”), and the names and addresses of at least three professional references; (B) the number of all shares of the Trust (including the series and class, if applicable) owned of record or beneficially by the candidate, the date such shares were acquired and the investment intent of such acquisition(s), as reported to such shareholder by the candidate; (C) any other information regarding the candidate called for with respect to director nominees by paragraphs (a), (d), (e) and (f) of Item 401 of Regulation S-K or paragraph (b) of Item 22 of Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), adopted by the Securities and Exchange Commission (or the corresponding provisions of any applicable regulation or rule subsequently adopted by the Securities and Exchange Commission or any successor agency with jurisdiction related to the Trust); (D) any other information regarding the candidate that would be required to be disclosed if the candidate were a nominee in a proxy statement or other

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  filing required to be made in connection with solicitation of proxies for election of directors pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder or any other applicable law or regulation; and (E) whether the recommending shareholder believes that the candidate is or will be an “interested person” of the Trust (as defined in the Investment Company Act of 1940, as amended) and, if not an “interested person,” information regarding the candidate that will be sufficient, in the discretion of the Board or the Nominating Committee, for the Trust to make such determination; (ii) the written and signed consent of the candidate to be named as a nominee and to serve as a Trustee if elected; (iii) the recommending shareholder’s name as it appears on the Trust’s books; (iv) the number of all shares of the Trust (including the series and class, if applicable) owned beneficially and of record by the recommending shareholder; (v) a complete description of all arrangements or understandings between the recommending shareholder and the candidate and any other person or persons (including their names) pursuant to which the recommendation is being made by the recommending shareholder including, without limitation, all direct and indirect compensation and other material monetary agreements, arrangements and understandings between the candidate and recommending shareholder during the past three years, and (vi) a brief description of the candidate’s relevant background and experience for membership on the Board, such as qualification as an audit committee financial expert.

 

  4. The Nominating Committee may require the recommending shareholder to furnish such other information as it may reasonably require or deem necessary to verify any information furnished pursuant to paragraph 3 above or to determine the eligibility of the candidate to serve as a Trustee of the Trust or to satisfy applicable law. If the recommending shareholder fails to provide such other information in writing within seven days of receipt of a written request from the Nominating Committee, the recommendation of such candidate as a nominee will be deemed not properly submitted for consideration, and the Nominating Committee will not be required to consider such candidate.

Item 11. Controls and Procedures.

(a) Registrant’s principal executive officer and principal financial officer have concluded that Registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the date this report is filed with the Securities and Exchange Commission.

(b) There were no significant changes in Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected or is likely to materially affect Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable; this Form N-CSR is a Semi-Annual Report.

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(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by

Rule 30a-2(a) under the 1940 Act are attached hereto.

(a)(3) Not applicable

(b) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by

Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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SIGNATURES

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

 

Registrant: SSgA Funds
By:  

/s/ Ellen M. Needham

  Ellen M. Needham
  President
Date:   May 9, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Ellen M. Needham

  Ellen M. Needham
  President (Principal Executive Officer)
Date:   May 9, 2014
By:  

/s/ Laura Dell

  Laura Dell
 

Treasurer (Principal Financial and

Accounting Officer)

Date:   May 9, 2014