Quarterly Report
May 31, 2021
SSGA Funds
| State Street Defensive Emerging Markets Equity Fund |
| State Street International Stock Selection Fund |
The information contained in this
report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which
contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssga.com. Please read the prospectus carefully before you
invest.
TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important
information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS
May 31, 2021 (Unaudited)
See accompanying notes to schedule of
investments.
1
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
See accompanying notes to schedule of
investments.
2
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
At May 31, 2021, open
futures contracts purchased were as follows:
| Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
| Mini MSCI Emerging Markets (long) | 13 | 06/18/2021 | $856,755 | $884,585 | $27,830 |
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of May 31, 2021.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Common Stocks | $46,131,846 | $— | $0(a) | $46,131,846 | ||||
Short-Term Investments | 1,310,480 | — | — | 1,310,480 | ||||
TOTAL INVESTMENTS | $47,442,326 | $— | $0 | $47,442,326 | ||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 27,830 | — | — | 27,830 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $27,830 | $— | $— | $27,830 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $47,470,156 | $— | $— | $47,470,156 |
| (a) | The Fund held a Level 3 security that was valued at $0 at May 31, 2021. |
| (b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to schedule of
investments.
3
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
Industry Breakdown as of May 31,
2021
| % of Net Assets | ||
| Banks | 10.4% | |
| Semiconductors & Semiconductor Equipment | 7.6 | |
| Metals & Mining | 7.4 | |
| Technology Hardware, Storage & Peripherals | 6.1 | |
| Diversified Telecommunication Services | 5.0 | |
| IT Services | 4.6 | |
| Oil, Gas & Consumable Fuels | 4.5 | |
| Specialty Retail | 4.5 | |
| Insurance | 4.3 | |
| Food Products | 4.2 | |
| Independent Power and Renewable Electricity Producers | 3.5 | |
| Interactive Media & Services | 3.4 | |
| Electric Utilities | 3.2 | |
| Real Estate Investment Trusts (REITs) | 3.1 | |
| Chemicals | 2.8 | |
| Tobacco | 2.7 | |
| Automobiles | 2.3 | |
| Wireless Telecommunication Services | 2.1 | |
| Household Durables | 1.5 | |
| Internet & Direct Marketing Retail | 1.4 | |
| Transportation Infrastructure | 1.4 | |
| Diversified Financial Services | 1.0 | |
| Road & Rail | 0.9 | |
| Commercial Services & Supplies | 0.8 | |
| Construction Materials | 0.8 | |
| Health Care Equipment & Supplies | 0.7 | |
| Auto Components | 0.7 | |
| Personal Products | 0.7 | |
| Food & Staples Retailing | 0.6 | |
| Electronic Equipment, Instruments & Components | 0.6 | |
| Trading Companies & Distributors | 0.5 | |
| Beverages | 0.5 | |
| Pharmaceuticals | 0.5 | |
| Air Freight & Logistics | 0.5 | |
| Life Sciences Tools & Services | 0.5 | |
| Health Care Providers & Services | 0.4 | |
| Textiles, Apparel & Luxury Goods | 0.4 | |
| Machinery | 0.3 | |
| Entertainment | 0.2 | |
| Paper & Forest Products | 0.2 | |
| Consumer Finance | 0.1 | |
| Biotechnology | 0.1 | |
| Short-Term Investments | 2.7 | |
| Other Assets in Excess of Liabilities | 0.3 | |
| TOTAL | 100.0% |
(The Fund’s industry breakdown
is expressed as a percentage of net assets and may change over time.)
Affiliate Table
| Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 5/31/21 | Value at 5/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 752,339 | $752,339 | $7,648,817 | $7,985,429 | $— | $— | 415,727 | $415,727 | $228 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 4,503,549 | 3,608,796 | — | — | 894,753 | 894,753 | 243 | ||||||||
Total | $752,339 | $12,152,366 | $11,594,225 | $— | $— | $1,310,480 | $471 |
See accompanying notes to schedule of
investments.
4
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS
May 31, 2021 (Unaudited)
See accompanying notes to schedule of
investments.
5
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
See accompanying notes to schedule of
investments.
6
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
See accompanying notes
to schedule of investments.
7
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
| REIT | Real Estate Investment Trust |
| SDR | Swedish Depositary Receipt |
At May 31, 2021, open futures
contracts purchased were as follows:
| Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
| Mini MSCI EAFE (long) | 26 | 06/18/2021 | $2,851,564 | $3,038,100 | $186,536 |
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of May 31, 2021.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Common Stocks | $199,999,794 | $— | $— | $199,999,794 | ||||
Short-Term Investments | 5,730,705 | — | — | 5,730,705 | ||||
TOTAL INVESTMENTS | $205,730,499 | $— | $— | $205,730,499 | ||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 186,536 | — | — | 186,536 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $186,536 | $— | $— | $186,536 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $205,917,035 | $— | $— | $205,917,035 |
| (a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Industry Breakdown as of May 31,
2021
| % of Net Assets | ||
| Pharmaceuticals | 7.0% | |
| Banks | 6.8 | |
| Insurance | 6.6 | |
| Metals & Mining | 5.7 | |
| Automobiles | 5.4 | |
| Food Products | 3.7 | |
| Trading Companies & Distributors | 3.6 | |
| Food & Staples Retailing | 3.4 | |
| Diversified Telecommunication Services | 3.1 | |
| Household Durables | 2.8 | |
| Marine | 2.7 | |
| Media | 2.5 | |
| Technology Hardware, Storage & Peripherals | 2.5 | |
| Capital Markets | 2.5 | |
| Building Products | 2.5 | |
| Chemicals | 2.2 | |
| IT Services | 2.1 | |
| Air Freight & Logistics | 2.0 | |
| Health Care Providers & Services | 2.0 | |
| Health Care Equipment & Supplies | 1.8 | |
| Semiconductors & Semiconductor Equipment | 1.8 | |
| Industrial Conglomerates | 1.8 | |
| Specialty Retail | 1.8 | |
| Electric Utilities | 1.8 | |
| Oil, Gas & Consumable Fuels | 1.7 | |
| Equity Real Estate Investment Trusts (REITs) | 1.6 | |
| Multiline Retail | 1.5 | |
| Construction Materials | 1.3 | |
| Diversified Financial Services | 1.3 | |
| Machinery | 1.2 | |
| Textiles, Apparel & Luxury Goods | 1.1 |
See accompanying notes to schedule of
investments.
8
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
| % of Net Assets | ||
| Real Estate Management & Development | 1.1% | |
| Electrical Equipment | 0.9 | |
| Auto Components | 0.9 | |
| Wireless Telecommunication Services | 0.9 | |
| Tobacco | 0.9 | |
| Professional Services | 0.8 | |
| Electronic Equipment, Instruments & Components | 0.7 | |
| Communications Equipment | 0.6 | |
| Road & Rail | 0.6 | |
| Leisure Equipment & Products | 0.5 | |
| Construction & Engineering | 0.5 | |
| Beverages | 0.5 | |
| Multi-Utilities | 0.3 | |
| Consumer Finance | 0.2 | |
| Hotels, Restaurants & Leisure | 0.2 | |
| Commercial Services & Supplies | 0.2 | |
| Health Care Technology | 0.1 | |
| Personal Products | 0.1 | |
| Entertainment | 0.0* | |
| Gas Utilities | 0.0* | |
| Short-Term Investments | 2.8 | |
| Liabilities in Excess of Other Assets | (0.6) | |
| TOTAL | 100.0% | |
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund’s industry breakdown
is expressed as a percentage of net assets and may change over time.)
Affiliate Table
| Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 5/31/21 | Value at 5/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $22,707,426 | $21,947,554 | $— | $— | 759,872 | $759,872 | $721 | ||||||||
State Street Navigator Securities Lending Portfolio II | 28,939 | 28,939 | 27,973,789 | 23,031,895 | — | — | 4,970,833 | 4,970,833 | 20,027 | ||||||||
Total | $28,939 | $50,681,215 | $44,979,449 | $— | $— | $5,730,705 | $20,748 |
See accompanying notes to schedule of
investments.
9
SSGA FUNDS
NOTES TO SCHEDULES OF INVESTMENTS
May 31, 2021 (Unaudited)
Security Valuation
Each Fund's investments are valued
at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open.
Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair
value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the
Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board
has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value
each Fund’s investments by major category are as follows:
• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as
applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair
value.
• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that
day’s published net asset value (“NAV”) per share or unit.
• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts
traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
In the event prices or quotations
are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be
determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event”
is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the
Fund’s net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account
multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close
of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.
Various inputs are used in
determining the value of the Funds' investments.
The Funds value their assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in
active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The
categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
• Level 1 –
Unadjusted quoted prices in active markets for an identical asset or liability;
• Level 2 –
Inputs other than quoted prices included within Level 1 that are observable for the asset or liability
10
SSGA FUNDS
NOTES TO SCHEDULES OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
either directly or indirectly,
including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted
prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other
market-corroborated inputs; and
• Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s
investments according to the fair value hierarchy as of May 31, 2021 is disclosed in each Fund’s respective Schedule of Investments.
Futures Contracts
Funds may enter into futures
contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures
contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Funds
equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a
corresponding offset to unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of
futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended May 31, 2021,
the following Funds entered into futures contracts for the strategies listed below:
| Fund | Strategies |
| State Street Defensive Emerging Markets Equity Fund | Exposing cash reserves to markets |
| State Street International Stock Selection Fund | Exposing cash reserves to markets |
Other Transactions with Affiliates
The Funds may invest in affiliated
entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities
or outstanding shares. Amounts relating to these transactions during the period ended May 31, 2021, are disclosed in the Funds' respective Schedules of Investments.
Subsequent Events
Management has evaluated the impact
of all subsequent events on the Funds through the date on which the Form N-PORT filings were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the Form N-PORT filings
other than below.
11