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)
Security Description | Shares | Value | |||
COMMON STOCKS — 97.0% | |||||
BRAZIL — 4.6% | |||||
Cia Siderurgica Nacional SA ADR (a) | 50,200 | $428,206 | |||
EDP - Energias do Brasil SA | 30,900 | 110,575 | |||
Sao Martinho SA | 12,900 | 85,196 | |||
SLC Agricola SA | 36,600 | 372,201 | |||
Transmissora Alianca de Energia Eletrica SA | 60,800 | 451,360 | |||
Vale SA ADR | 34,400 | 740,288 | |||
2,187,826 | |||||
CHILE — 0.2% | |||||
AES Gener SA | 506,998 | 73,198 | |||
CHINA — 26.2% | |||||
Alibaba Group Holding, Ltd. ADR (b) | 700 | 149,772 | |||
Baidu, Inc. ADR (b) | 3,500 | 686,945 | |||
Bank of Communications Co., Ltd. Class H | 117,000 | 78,845 | |||
China Construction Bank Corp. Class H | 1,167,000 | 959,355 | |||
China Hongqiao Group, Ltd. | 147,500 | 237,949 | |||
China Longyuan Power Group Corp., Ltd. Class H | 104,000 | 147,138 | |||
China Medical System Holdings, Ltd. | 91,000 | 233,336 | |||
China Meidong Auto Holdings, Ltd. (a) | 14,000 | 73,780 | |||
China Minsheng Banking Corp., Ltd. Class H (a) | 245,500 | 131,593 | |||
China Petroleum & Chemical Corp. Class H | 996,000 | 530,026 | |||
China Resources Cement Holdings, Ltd. | 14,000 | 14,846 | |||
China Resources Power Holdings Co., Ltd. | 424,000 | 546,328 | |||
China Shenhua Energy Co., Ltd. Class A | 132,200 | 414,936 | |||
China Shenhua Energy Co., Ltd. Class H | 347,000 | 786,025 | |||
China Yangtze Power Co., Ltd. Class A | 110,300 | 344,119 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 1,600 | 49,063 | |||
COFCO Meat Holdings, Ltd. (a) | 472,000 | 207,997 | |||
Daqin Railway Co., Ltd. Class A | 395,500 | 425,590 | |||
Hengan International Group Co., Ltd. | 49,000 | 328,628 | |||
Intco Medical Technology Co., Ltd. Class A | 2,100 | 46,861 | |||
JD.com, Inc. ADR (b) | 1,300 | 96,122 | |||
Jiangsu Expressway Co., Ltd. Class H | 350,000 | 423,469 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 25,900 | 91,790 | |||
Lenovo Group, Ltd. | 606,000 | 726,179 |
Security Description | Shares | Value | |||
Meituan Class B (b)(c) | 4,400 | $166,682 | |||
Nanjing Iron & Steel Co., Ltd. Class A | 455,400 | 261,120 | |||
NetEase, Inc. ADR | 900 | 106,137 | |||
Nexteer Automotive Group, Ltd. | 48,000 | 59,065 | |||
Pharmaron Beijing Co., Ltd. Class H (c) | 8,900 | 213,185 | |||
SDIC Power Holdings Co., Ltd. Class A | 371,300 | 562,867 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 39,685 | 89,211 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 1,000 | 75,875 | |||
Sinotruk Hong Kong, Ltd. | 69,500 | 162,984 | |||
TangShan Port Group Co., Ltd. Class A | 191,700 | 73,480 | |||
Tencent Holdings, Ltd. | 11,600 | 925,202 | |||
Tianneng Power International, Ltd. (a)(b) | 64,000 | 117,595 | |||
Vipshop Holdings, Ltd. ADR (b) | 11,400 | 263,682 | |||
Yadea Group Holdings, Ltd. (a)(c) | 158,000 | 352,201 | |||
Yuexiu Transport Infrastructure, Ltd. | 284,000 | 172,722 | |||
Zhongsheng Group Holdings, Ltd. | 133,500 | 1,148,208 | |||
12,480,908 | |||||
CZECH REPUBLIC — 2.6% | |||||
O2 Czech Republic A/S (b) | 84,040 | 1,153,163 | |||
Philip Morris CR A/S | 118 | 82,511 | |||
1,235,674 | |||||
HONG KONG — 1.0% | |||||
Nine Dragons Paper Holdings, Ltd. | 51,000 | 77,017 | |||
Yuexiu Real Estate Investment Trust | 760,000 | 402,479 | |||
479,496 | |||||
HUNGARY — 0.7% | |||||
Magyar Telekom Telecommunications PLC | 242,849 | 342,725 | |||
INDIA — 6.1% | |||||
Apollo Tyres, Ltd. (b) | 53,572 | 164,726 | |||
HCL Technologies, Ltd. | 85,361 | 1,114,698 | |||
Hindustan Petroleum Corp., Ltd. | 53,994 | 207,948 | |||
Power Grid Corp. of India, Ltd. | 104,828 | 326,672 | |||
Tech Mahindra, Ltd. | 53,885 | 762,427 | |||
Wipro, Ltd. | 43,638 | 325,045 | |||
2,901,516 | |||||
MALAYSIA — 1.0% | |||||
AMMB Holdings Bhd | 124,200 | 85,634 | |||
IGB Real Estate Investment Trust | 228,800 | 91,332 | |||
RHB Bank Bhd | 87,400 | 112,065 | |||
Supermax Corp. Bhd | 127,600 | 127,492 |
See accompanying notes to schedule of investments.
1
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
Security Description | Shares | Value | |||
Top Glove Corp. Bhd | 40,000 | $50,127 | |||
466,650 | |||||
MEXICO — 0.8% | |||||
Altos Hornos de Mexico SA de CV (b)(d) | 499,000 | — | |||
Arca Continental SAB de CV | 42,100 | 236,984 | |||
Gruma SAB de CV Class B | 14,885 | 162,167 | |||
399,151 | |||||
PAKISTAN — 0.4% | |||||
Indus Motor Co., Ltd. | 17,140 | 134,965 | |||
MCB Bank, Ltd. | 56,300 | 60,569 | |||
195,534 | |||||
PHILIPPINES — 2.4% | |||||
Globe Telecom, Inc. | 13,205 | 498,943 | |||
Manila Electric Co. | 103,790 | 615,824 | |||
1,114,767 | |||||
POLAND — 0.4% | |||||
Neuca SA | 814 | 174,690 | |||
QATAR — 2.0% | |||||
Masraf Al Rayan QSC | 62,132 | 75,924 | |||
Ooredoo QSC | 142,724 | 270,543 | |||
Qatar Gas Transport Co., Ltd. | 253,190 | 215,531 | |||
Qatar Islamic Bank SAQ | 85,075 | 404,157 | |||
966,155 | |||||
RUSSIA — 4.0% | |||||
Alrosa PJSC (b) | 849,749 | 1,326,075 | |||
PhosAgro PJSC GDR | 20,419 | 417,773 | |||
X5 Retail Group NV GDR | 4,487 | 134,161 | |||
1,878,009 | |||||
SAUDI ARABIA — 5.6% | |||||
Advanced Petrochemical Co. | 11,872 | 259,267 | |||
Al Rajhi Bank | 10,813 | 297,554 | |||
Bank Al-Jazira (b) | 95,544 | 470,300 | |||
Jarir Marketing Co. | 10,060 | 563,323 | |||
Qassim Cement Co. | 14,089 | 319,329 | |||
Riyad Bank | 12,745 | 89,379 | |||
Saudi Telecom Co. | 10,710 | 355,834 | |||
United Electronics Co. | 8,099 | 262,174 | |||
Yanbu Cement Co. | 5,447 | 64,052 | |||
2,681,212 | |||||
SINGAPORE — 0.5% | |||||
BOC Aviation, Ltd. (c) | 27,500 | 244,495 | |||
SOUTH KOREA — 12.5% | |||||
E-MART, Inc. | 1,197 | 170,647 | |||
Hyosung TNC Corp. | 167 | 105,563 | |||
Hyundai Glovis Co., Ltd. | 1,261 | 213,690 | |||
Kia Corp. | 6,189 | 475,010 | |||
Kolon Industries, Inc. | 4,185 | 233,772 | |||
KT&G Corp. | 15,638 | 1,181,999 | |||
Kumho Petrochemical Co., Ltd. | 1,661 | 344,769 | |||
LG Electronics, Inc. | 2,742 | 373,697 |
Security Description | Shares | Value | |||
NongShim Co., Ltd. | 419 | $113,269 | |||
POSCO | 1,716 | 546,203 | |||
Samsung Card Co., Ltd. | 2,133 | 65,025 | |||
Samsung Electro-Mechanics Co., Ltd. | 383 | 58,551 | |||
Samsung Electronics Co., Ltd. GDR | 91 | 164,528 | |||
Samsung Electronics Co., Ltd. | 11,984 | 864,980 | |||
Shinhan Financial Group Co., Ltd. | 7,426 | 282,645 | |||
SK Hynix, Inc. | 2,151 | 244,936 | |||
SK Telecom Co., Ltd. | 1,805 | 513,032 | |||
5,952,316 | |||||
TAIWAN — 23.1% | |||||
Asustek Computer, Inc. | 45,000 | 640,760 | |||
Cathay Financial Holding Co., Ltd. | 415,746 | 837,772 | |||
Chunghwa Telecom Co., Ltd. | 31,000 | 126,836 | |||
CTBC Financial Holding Co., Ltd. | 1,294,000 | 1,075,204 | |||
First Financial Holding Co., Ltd. | 1,026,087 | 813,753 | |||
Fubon Financial Holding Co., Ltd. | 469,000 | 1,222,354 | |||
Greatek Electronics, Inc. | 215,000 | 558,804 | |||
Hon Hai Precision Industry Co., Ltd. | 35,000 | 143,202 | |||
Lite-On Technology Corp. | 201,000 | 479,667 | |||
Pou Chen Corp. | 49,000 | 66,504 | |||
Powertech Technology, Inc. | 156,000 | 601,719 | |||
Sampo Corp. | 330,200 | 351,739 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2,500 | 293,400 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 64,782 | 1,394,166 | |||
Taiwan Shin Kong Security Co., Ltd. | 290,880 | 400,031 | |||
Tripod Technology Corp. | 17,000 | 78,748 | |||
Ttet Union Corp. | 41,000 | 237,216 | |||
Uni-President Enterprises Corp. | 267,960 | 710,941 | |||
United Microelectronics Corp. | 272,000 | 519,673 | |||
Yuanta Financial Holding Co., Ltd. | 487,760 | 450,124 | |||
11,002,613 | |||||
THAILAND — 0.3% | |||||
Sri Trang Gloves Thailand PCL NVDR | 30,800 | 43,120 | |||
Thai Union Group PCL NVDR | 161,500 | 91,990 | |||
135,110 | |||||
TURKEY — 0.2% | |||||
Ford Otomotiv Sanayi A/S | 5,172 | 105,001 | |||
UNITED ARAB EMIRATES — 2.4% | |||||
Aldar Properties PJSC | 1,004,515 | 998,184 |
See accompanying notes to schedule of investments.
2
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
Security Description | Shares | Value | |||
Emirates Telecommunications Group Co. PJSC | 19,776 | $116,616 | |||
1,114,800 | |||||
TOTAL COMMON STOCKS (Cost $35,814,746) | 46,131,846 |
SHORT-TERM INVESTMENTS — 2.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (e) (f) | 415,727 | 415,727 | |
State Street Navigator Securities Lending Portfolio II (g) (h) | 894,753 | 894,753 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $1,310,480) | 1,310,480 | ||
TOTAL INVESTMENTS — 99.7% (Cost $37,125,226) | 47,442,326 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 130,057 | ||
NET ASSETS — 100.0% | $47,572,383 |
(a) | All or a portion of the shares of the security are on loan at May 31, 2021. |
(b) | Non-income producing security. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.1% of net assets as of May 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of May 31, 2021, total aggregate fair value of this security is $0, representing less than 0.05% of the Fund's net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended May 31, 2021 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at May 31, 2021. |
(g) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended May 31, 2021 are shown in the Affiliate Table below. |
(h) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non Voting 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 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)
Security Description | Shares | Value | |||
COMMON STOCKS — 97.8% | |||||
AUSTRALIA — 8.5% | |||||
Aurizon Holdings, Ltd. | 14,813 | $41,338 | |||
Australia & New Zealand Banking Group, Ltd. | 15,500 | 343,054 | |||
BHP Group PLC (a) | 79,384 | 2,391,726 | |||
BHP Group, Ltd. | 31,709 | 1,169,668 | |||
Coles Group, Ltd. | 63,466 | 810,703 | |||
Computershare, Ltd. | 85,170 | 1,031,480 | |||
Fortescue Metals Group, Ltd. | 68,592 | 1,186,044 | |||
JB Hi-Fi, Ltd. (a) | 13,408 | 501,824 | |||
Metcash, Ltd. (a) | 81,127 | 221,394 | |||
Rio Tinto PLC | 33,131 | 2,851,164 | |||
Rio Tinto, Ltd. | 7,189 | 685,712 | |||
Scentre Group REIT | 362,198 | 759,474 | |||
Sonic Healthcare, Ltd. | 75,156 | 2,015,655 | |||
Stockland REIT | 370,910 | 1,335,314 | |||
Telstra Corp., Ltd. | 287,655 | 780,572 | |||
Wesfarmers, Ltd. | 31,909 | 1,362,519 | |||
17,487,641 | |||||
AUSTRIA — 0.4% | |||||
ANDRITZ AG | 1,895 | 108,980 | |||
OMV AG | 5,296 | 302,373 | |||
Semperit AG Holding | 9,127 | 404,573 | |||
815,926 | |||||
BELGIUM — 0.2% | |||||
Ageas SA/NV (a) | 6,193 | 404,035 | |||
CHINA — 0.2% | |||||
Yangzijiang Shipbuilding Holdings, Ltd. | 314,900 | 357,164 | |||
DENMARK — 2.4% | |||||
AP Moller - Maersk A/S Class A | 534 | 1,409,826 | |||
AP Moller - Maersk A/S Class B | 603 | 1,664,178 | |||
Carlsberg AS Class B | 1,012 | 185,201 | |||
D/S Norden A/S | 13,504 | 376,009 | |||
Per Aarsleff Holding A/S | 3,607 | 174,488 | |||
Scandinavian Tobacco Group A/S Class A (b) | 42,224 | 888,351 | |||
Spar Nord Bank A/S | 12,705 | 142,921 | |||
4,840,974 | |||||
FINLAND — 3.4% | |||||
Kesko Oyj Class B (a) | 65,103 | 2,244,351 | |||
Nordea Bank Abp | 226,392 | 2,423,637 | |||
Tokmanni Group Corp. | 35,706 | 991,879 | |||
Uponor Oyj | 31,598 | 946,350 | |||
Valmet Oyj | 7,579 | 325,511 | |||
6,931,728 | |||||
FRANCE — 9.0% | |||||
AKWEL | 16,852 | 584,652 | |||
ALD SA (b) | 51,296 | 785,664 | |||
Arkema SA | 3,752 | 492,997 | |||
BNP Paribas SA | 39,297 | 2,676,372 | |||
Cie de Saint-Gobain (c) | 35,242 | 2,355,936 |
Security Description | Shares | Value | |||
Cie Generale des Etablissements Michelin SCA | 4,253 | $652,439 | |||
CNP Assurances | 97,826 | 1,769,129 | |||
Coface SA (c) | 79,713 | 969,144 | |||
Derichebourg SA (c) | 27,898 | 286,790 | |||
Electricite de France SA | 35,814 | 498,968 | |||
L'Oreal SA | 218 | 97,909 | |||
LVMH Moet Hennessy Louis Vuitton SE | 874 | 694,901 | |||
Maisons du Monde SA (b)(c) | 20,570 | 554,358 | |||
Manitou BF SA | 10,227 | 339,843 | |||
Metropole Television SA | 22,251 | 472,674 | |||
Publicis Groupe SA | 33,080 | 2,238,837 | |||
Sanofi | 14,301 | 1,516,700 | |||
Television Francaise 1 | 100,296 | 1,045,716 | |||
Vilmorin & Cie SA | 6,222 | 445,381 | |||
18,478,410 | |||||
GERMANY — 9.3% | |||||
ADVA Optical Networking SE (c) | 6,724 | 91,179 | |||
Allianz SE | 5,757 | 1,512,539 | |||
Aurubis AG | 10,439 | 995,473 | |||
Bayerische Motoren Werke AG | 23,584 | 2,493,449 | |||
Cewe Stiftung & Co. KGaA | 629 | 101,862 | |||
Daimler AG | 31,770 | 2,950,972 | |||
Deutsche Post AG | 42,715 | 2,906,555 | |||
Deutsche Telekom AG | 89,412 | 1,852,914 | |||
Jungheinrich AG Preference Shares | 15,933 | 814,484 | |||
Merck KGaA | 13,044 | 2,347,005 | |||
STO SE & Co. KGaA Preference Shares | 460 | 99,176 | |||
Volkswagen AG | 3,934 | 1,398,897 | |||
Volkswagen AG Preference Shares | 4,961 | 1,381,749 | |||
18,946,254 | |||||
HONG KONG — 2.1% | |||||
Chow Sang Sang Holdings International, Ltd. | 331,000 | 580,889 | |||
Cowell e Holdings, Inc. | 308,000 | 180,175 | |||
Hang Lung Group, Ltd. | 23,000 | 57,197 | |||
K Wah International Holdings, Ltd. | 1,601,000 | 802,470 | |||
Luk Fook Holdings International, Ltd. | 23,000 | 65,050 | |||
Pacific Textiles Holdings, Ltd. | 587,000 | 384,229 | |||
Sun Hung Kai & Co., Ltd. | 893,000 | 502,830 | |||
Texhong Textile Group, Ltd. | 276,500 | 421,827 | |||
VTech Holdings, Ltd. | 97,100 | 1,002,792 | |||
WH Group, Ltd. (b) | 151,500 | 129,424 | |||
Yue Yuen Industrial Holdings, Ltd. | 91,500 | 233,439 | |||
4,360,322 | |||||
INDONESIA — 0.3% | |||||
Golden Agri-Resources, Ltd. | 3,594,600 | 625,148 |
See accompanying notes to schedule of investments.
5
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
Security Description | Shares | Value | |||
ISRAEL — 0.1% | |||||
Plus500, Ltd. | 6,990 | $149,889 | |||
ITALY — 2.4% | |||||
A2A SpA | 220,662 | 460,003 | |||
Enel SpA | 65,151 | 640,036 | |||
Intesa Sanpaolo SpA | 561,924 | 1,655,878 | |||
Iren SpA | 63,949 | 199,323 | |||
La Doria SpA | 22,935 | 494,475 | |||
Mediobanca Banca di Credito Finanziario SpA (c) | 79,681 | 948,350 | |||
Snam SpA | 11,753 | 68,895 | |||
Unipol Gruppo SpA | 83,590 | 466,857 | |||
4,933,817 | |||||
JAPAN — 24.6% | |||||
AGC, Inc. (a) | 5,900 | 256,767 | |||
Arcs Co., Ltd. | 5,800 | 126,102 | |||
BML, Inc. | 25,500 | 867,142 | |||
Brother Industries, Ltd. | 84,100 | 1,751,142 | |||
Cosmo Energy Holdings Co., Ltd. | 15,200 | 315,666 | |||
Daihen Corp. | 10,700 | 484,659 | |||
Dai-ichi Life Holdings, Inc. | 68,000 | 1,382,474 | |||
Daikokutenbussan Co., Ltd. (a) | 3,100 | 214,221 | |||
Daiwa House Industry Co., Ltd. | 3,400 | 99,243 | |||
Dexerials Corp. | 11,200 | 227,600 | |||
ENEOS Holdings, Inc. | 53,000 | 218,350 | |||
FUJIFILM Holdings Corp. | 35,100 | 2,437,043 | |||
Fujitsu, Ltd. | 14,500 | 2,347,908 | |||
H.U. Group Holdings, Inc. | 30,600 | 820,476 | |||
Hitachi, Ltd. | 50,500 | 2,637,301 | |||
Iida Group Holdings Co., Ltd. | 67,100 | 1,781,432 | |||
ITOCHU Corp. | 60,800 | 1,798,509 | |||
Itochu Enex Co., Ltd. | 64,300 | 588,351 | |||
Japan Post Insurance Co., Ltd. | 87,700 | 1,676,788 | |||
KDDI Corp. | 34,300 | 1,160,769 | |||
K's Holdings Corp. | 5,000 | 59,180 | |||
Marubeni Corp. | 118,700 | 1,045,373 | |||
Mitsubishi Gas Chemical Co., Inc. | 75,900 | 1,764,216 | |||
Mitsubishi UFJ Financial Group, Inc. | 89,900 | 507,470 | |||
Mitsui & Co., Ltd. | 107,500 | 2,362,680 | |||
NGK Insulators, Ltd. | 7,200 | 125,730 | |||
NH Foods, Ltd. | 24,600 | 979,879 | |||
Nippon Express Co., Ltd. | 5,500 | 439,159 | |||
Nippon Telegraph & Telephone Corp. | 44,900 | 1,198,383 | |||
Nippon Yusen KK | 50,300 | 2,067,688 | |||
Nitto Denko Corp. | 20,000 | 1,545,955 | |||
Nomura Real Estate Holdings, Inc. | 77,200 | 1,972,963 | |||
NTT Data Corp. | 55,400 | 897,819 | |||
ORIX Corp. | 32,700 | 575,045 | |||
Prima Meat Packers, Ltd. | 31,300 | 856,344 | |||
Sanwa Holdings Corp. | 29,000 | 350,107 | |||
Seiko Epson Corp. | 50,400 | 887,914 |
Security Description | Shares | Value | |||
Sekisui House, Ltd. | 25,100 | $520,579 | |||
Sinko Industries, Ltd. | 8,600 | 149,082 | |||
SKY Perfect JSAT Holdings, Inc. | 66,600 | 262,556 | |||
SoftBank Group Corp. | 8,000 | 601,338 | |||
Sony Group Corp. | 7,100 | 697,168 | |||
Sumitomo Chemical Co., Ltd. | 87,500 | 477,990 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 106,500 | 2,022,661 | |||
T&D Holdings, Inc. | 150,900 | 2,047,080 | |||
TDK Corp. | 8,800 | 1,116,875 | |||
Toa Corp. (a) | 16,300 | 364,481 | |||
Tokyo Electron, Ltd. | 4,600 | 2,037,930 | |||
Toyota Tsusho Corp. | 10,200 | 455,511 | |||
Tsubakimoto Chain Co. | 2,100 | 58,793 | |||
Yamaha Motor Co., Ltd. (a) | 21,700 | 631,233 | |||
50,271,125 | |||||
JORDAN — 0.3% | |||||
Hikma Pharmaceuticals PLC | 15,633 | 542,215 | |||
LUXEMBOURG — 0.7% | |||||
ArcelorMittal SA (c) | 17,567 | 576,147 | |||
SES SA | 96,941 | 834,595 | |||
1,410,742 | |||||
MALTA — 0.2% | |||||
Kindred Group PLC SDR | 25,000 | 435,927 | |||
NETHERLANDS — 5.9% | |||||
Accell Group NV (c) | 19,671 | 1,105,837 | |||
ASM International NV | 1,531 | 480,187 | |||
ASML Holding NV | 1,786 | 1,191,767 | |||
Koninklijke Ahold Delhaize NV | 67,557 | 1,946,284 | |||
Koninklijke KPN NV | 34,926 | 115,761 | |||
Koninklijke Philips NV | 41,425 | 2,324,985 | |||
NN Group NV | 15,083 | 763,860 | |||
PostNL NV | 19,189 | 112,554 | |||
Randstad NV | 19,792 | 1,538,387 | |||
Royal Dutch Shell PLC Class A | 37,837 | 722,539 | |||
Royal Dutch Shell PLC Class B | 36,135 | 658,243 | |||
Signify NV (b) | 17,183 | 1,063,615 | |||
12,024,019 | |||||
NEW ZEALAND — 1.0% | |||||
Argosy Property, Ltd. | 248,858 | 275,817 | |||
Spark New Zealand, Ltd. | 514,723 | 1,689,080 | |||
1,964,897 | |||||
NORWAY — 1.5% | |||||
Europris ASA (b) | 118,948 | 802,895 | |||
SpareBank 1 Nord Norge | 59,531 | 598,656 | |||
SpareBank 1 Oestlandet | 20,927 | 289,770 | |||
SpareBank 1 SMN | 61,450 | 868,515 | |||
Veidekke ASA | 31,349 | 464,818 | |||
3,024,654 | |||||
RUSSIA — 0.3% | |||||
Coca-Cola HBC AG (c) | 20,139 | 734,227 |
See accompanying notes to schedule of investments.
6
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2021 (Unaudited)
Security Description | Shares | Value | |||
SINGAPORE — 2.3% | |||||
BW LPG, Ltd. (b) | 60,671 | $415,694 | |||
DBS Group Holdings, Ltd. | 91,600 | 2,079,961 | |||
IGG, Inc. | 60,000 | 89,062 | |||
Japfa, Ltd. | 1,479,800 | 973,479 | |||
United Overseas Bank, Ltd. | 54,200 | 1,068,426 | |||
4,626,622 | |||||
SOUTH AFRICA — 0.8% | |||||
Anglo American PLC | 35,718 | 1,589,107 | |||
SPAIN — 1.0% | |||||
Aedas Homes SA (b)(c) | 3,777 | 96,493 | |||
CIE Automotive SA | 17,492 | 529,426 | |||
Iberdrola SA | 88,163 | 1,182,076 | |||
Unicaja Banco SA (b) | 268,575 | 298,365 | |||
2,106,360 | |||||
SWEDEN — 3.4% | |||||
Bilia AB Class A | 25,311 | 488,898 | |||
Boliden AB | 3,727 | 149,230 | |||
Bonava AB Class B | 28,450 | 361,100 | |||
Electrolux AB Class B | 5,053 | 143,056 | |||
Getinge AB Class B | 18,282 | 645,054 | |||
Husqvarna AB Class B | 125,837 | 1,841,909 | |||
Inwido AB | 54,399 | 973,452 | |||
Kinnevik AB Class B (a)(c) | 37,535 | 1,431,493 | |||
Lundin Energy AB | 4,474 | 153,603 | |||
Mekonomen AB (c) | 33,819 | 626,764 | |||
Telefonaktiebolaget LM Ericsson Class B | 14,366 | 190,229 | |||
7,004,788 | |||||
SWITZERLAND — 8.0% | |||||
ABB, Ltd. | 9,146 | 311,848 | |||
Bell Food Group AG | 1,073 | 339,376 | |||
Holcim, Ltd. (c) | 37,497 | 2,228,560 | |||
Julius Baer Group, Ltd. | 10,837 | 742,145 | |||
Nestle SA | 16,584 | 2,040,966 | |||
Novartis AG | 42,123 | 3,695,772 | |||
Roche Holding AG | 7,553 | 2,625,707 | |||
Sonova Holding AG (c) | 2,242 | 797,100 | |||
STMicroelectronics NV | 998 | 37,313 | |||
Swiss Life Holding AG | 1,726 | 894,949 | |||
UBS Group AG | 169,069 | 2,741,380 | |||
16,455,116 | |||||
UNITED KINGDOM — 8.3% | |||||
3i Group PLC | 88,198 | 1,555,816 | |||
Ashtead Group PLC | 21,804 | 1,592,954 | |||
AstraZeneca PLC | 1,779 | 203,135 | |||
Barratt Developments PLC | 27,458 | 294,747 | |||
BP PLC | 31,912 | 138,649 | |||
British American Tobacco PLC | 22,578 | 869,288 | |||
BT Group PLC (c) | 298,124 | 739,760 | |||
CK Hutchison Holdings, Ltd. | 135,500 | 1,060,653 | |||
CVS Group PLC (c) | 12,712 | 394,179 |
Security Description | Shares | Value | |||
Direct Line Insurance Group PLC | 8,436 | $35,593 | |||
EMIS Group PLC | 15,874 | 267,177 | |||
GlaxoSmithKline PLC | 70,811 | 1,350,806 | |||
ITV PLC (c) | 169,316 | 308,526 | |||
J Sainsbury PLC | 385,139 | 1,451,690 | |||
Kingfisher PLC (c) | 265,094 | 1,355,478 | |||
Legal & General Group PLC | 398,540 | 1,607,967 | |||
M&G PLC | 118,335 | 410,601 | |||
Royal Mail PLC (c) | 134,050 | 1,100,712 | |||
SSE PLC | 59,399 | 1,299,846 | |||
Synthomer PLC | 41,846 | 314,151 | |||
Tate & Lyle PLC | 57,455 | 624,576 | |||
16,976,304 | |||||
UNITED STATES — 1.2% | |||||
Rhi Magnesita NV | 4,790 | 302,499 | |||
Schneider Electric SE | 230 | 36,293 | |||
Stellantis NV | 109,130 | 2,163,591 | |||
2,502,383 | |||||
TOTAL COMMON STOCKS (Cost $171,832,566) | 199,999,794 |
SHORT-TERM INVESTMENTS — 2.8% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d) (e) | 759,872 | 759,872 | |
State Street Navigator Securities Lending Portfolio II (f) (g) | 4,970,833 | 4,970,833 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $5,730,705) | 5,730,705 | ||
TOTAL INVESTMENTS — 100.6% (Cost $177,563,271) | 205,730,499 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)% | (1,216,509) | ||
NET ASSETS — 100.0% | $204,513,990 |
(a) | All or a portion of the shares of the security are on loan at May 31, 2021. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.5% of net assets as of May 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Non-income producing security. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended May 31, 2021 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at May 31, 2021. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended May 31, 2021 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
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