<PAGE>
N-30D Table of Contents
SSgA Fund Name N-30D page
- -------------- ----------
Money Market Fund . . . . . . . . . . . . . . . . . . . . . . . . 2
US Government Money Market Fund . . . . . . . . . . . . . . . . . 18
Matrix Equity Fund . . . . . . . . . . . . . . . . . . . . . . . 31
S&P 500 Index Fund . . . . . . . . . . . . . . . . . . . . . . . 46
Small Cap Fund . . . . . . . . . . . . . . . . . . . . . . . . . 67
Active International Fund . . . . . . . . . . . . . . . . . . . . 83
Yield Plus Fund . . . . . . . . . . . . . . . . . . . . . . . . . 105
US Treasury Money Market Fund . . . . . . . . . . . . . . . . . . 122
Prime Money Market Fund . . . . . . . . . . . . . . . . . . . . . 135
Growth and Income Fund . . . . . . . . . . . . . . . . . . . . . 149
Intermediate Fund . . . . . . . . . . . . . . . . . . . . . . . . 163
Emerging Markets Fund . . . . . . . . . . . . . . . . . . . . . . 179
Tax Free Money Market Fund . . . . . . . . . . . . . . . . . . . 202
Bond Market Fund . . . . . . . . . . . . . . . . . . . . . . . . 221
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
MONEY MARKET FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
MONEY MARKET FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 12
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 16
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. AN INVESTMENT IN A MONEY
MARKET FUND IS NEITHER INSURED NOR GUARANTEED BY THE US GOVERNMENT. THERE CAN BE
NO ASSURANCE THAT A MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE NET
ASSET VALUE OF $1.00 PER SHARE. RUSSELL FUND DISTRIBUTORS, INC. IS THE
DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
BANK NOTES - 10.5%
Bank One (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 50,000 5.270% 09/04/97 $ 49,975
BankAmerica. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63,500 5.740 05/15/97 63,521
Colorado National Bank, (a). . . . . . . . . . . . . . . . . . . . . 25,000 5.337 02/18/98 24,983
Colorado National Bank, (a). . . . . . . . . . . . . . . . . . . . . 25,000 5.282 01/22/98 24,985
First Bank, Milwaukee (a). . . . . . . . . . . . . . . . . . . . . . 50,000 5.352 05/21/97 50,000
Key Bank National Association (a). . . . . . . . . . . . . . . . . . 30,000 5.337 12/10/97 29,985
Key Bank National Association . . . . . . . . . . . . . . . . . . . 10,000 5.605 12/19/97 9,988
Morgan Guaranty Trust Co.. . . . . . . . . . . . . . . . . . . . . . 30,000 5.950 06/06/97 29,996
Morgan Guaranty Trust Co. (MTN)(a) . . . . . . . . . . . . . . . . . 50,000 5.382 11/14/97 49,974
Morgan Guaranty Trust Co., New York. . . . . . . . . . . . . . . . . 15,000 5.850 05/09/97 15,000
National City Bank, Cleveland. . . . . . . . . . . . . . . . . . . . 25,000 5.800 03/03/98 24,990
Northern Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.750 03/04/98 24,976
PNC Bank, Pittsburgh (a) . . . . . . . . . . . . . . . . . . . . . . 20,000 5.370 02/13/98 19,987
PNC Bank, Pittsburgh (a) . . . . . . . . . . . . . . . . . . . . . . 25,000 5.310 05/13/97 24,995
PNC Bank, Pittsburgh (a) . . . . . . . . . . . . . . . . . . . . . . 26,000 5.347 01/09/98 25,985
Society Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,750 6.500 04/25/97 22,775
Wachovia Bank (a). . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.312 03/03/97 25,000
Wachovia Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,000 6.650 09/05/97 14,069
----------
TOTAL BANK NOTES (cost $531,184) . . . . . . . . . . . . . . . . . . 531,184
----------
DOMESTIC CERTIFICATES OF DEPOSIT - 1.9%
First Tennessee Bank . . . . . . . . . . . . . . . . . . . . . . . . 65,000 5.310 04/14/97 65,000
Morgan Guaranty Trust Co.. . . . . . . . . . . . . . . . . . . . . . 34,000 5.730 08/12/97 33,960
----------
TOTAL DOMESTIC CERTIFICATES OF DEPOSIT (cost $98,960). . . . . . . . 98,960
----------
EURODOLLAR CERTIFICATES OF DEPOSIT - 7.1%
Abbey National PLC, London . . . . . . . . . . . . . . . . . . . . . 40,000 5.360 05/19/97 40,001
Abbey National PLC, London . . . . . . . . . . . . . . . . . . . . . 80,000 5.540 07/24/97 79,996
Bank of New York . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.500 03/12/97 25,000
Bank of Scotland . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.490 06/13/97 25,000
Barclays Bank PLC. . . . . . . . . . . . . . . . . . . . . . . . . . 45,000 5.750 02/10/98 45,018
Den Danske Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . 35,000 5.440 03/17/97 35,000
Deutsche Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,000 5.345 04/30/97 75,003
Sudwest Deutsche Landesbank. . . . . . . . . . . . . . . . . . . . . 15,000 5.440 04/07/97 15,000
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.480 08/29/97 20,001
----------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (cost $360,019) . . . . . . 360,019
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
YANKEE CERTIFICATES OF DEPOSIT - 15.2%
ABN AMRO Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10,000 6.120% 07/14/97 $ 10,019
Bayerische Hypotheken Bank . . . . . . . . . . . . . . . . . . . . . 50,000 5.420 03/12/97 50,000
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.320 03/10/97 100,000
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.375 03/24/97 50,002
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . . 40,000 5.360 05/19/97 40,001
Deutsche Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.210 03/11/97 25,000
Deutsche Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,500 5.700 01/06/98 22,481
Deutsche Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.730 02/27/98 24,988
Landesbank Hessen Thuringen. . . . . . . . . . . . . . . . . . . . . 20,000 6.010 07/18/97 20,018
Landesbank Hessen Thuringen. . . . . . . . . . . . . . . . . . . . . 20,000 5.790 02/04/98 19,994
National Westminster Bank, PLC . . . . . . . . . . . . . . . . . . . 25,000 5.670 02/11/98 24,972
National Westminster Bank, PLC . . . . . . . . . . . . . . . . . . . 35,000 5.685 02/27/98 34,992
National Westminster Bank, PLC . . . . . . . . . . . . . . . . . . . 75,000 5.660 03/05/98 74,971
National Westminster Bank, PLC . . . . . . . . . . . . . . . . . . . 50,000 5.680 03/02/98 49,986
Svenska Handelsbanken. . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.330 03/06/97 20,000
Westdeutsche Landesbank. . . . . . . . . . . . . . . . . . . . . . . 100,000 5.330 03/06/97 100,000
Westdeutsche Landesbank. . . . . . . . . . . . . . . . . . . . . . . 35,000 5.540 07/24/97 35,000
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.920 08/28/97 19,998
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 35,000 5.860 01/15/98 34,991
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.830 01/27/98 14,997
----------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $772,410) . . . . . . . . 772,410
----------
CORPORATE BONDS AND NOTES - 9.5%
Abbey National PLC (MTN)(a). . . . . . . . . . . . . . . . . . . . . 100,000 5.300 05/16/97 99,985
Caterpillar Financial Services (MTN)(a). . . . . . . . . . . . . . . 10,000 5.762 05/09/97 10,004
Caterpillar Financial Services (MTN) . . . . . . . . . . . . . . . . 5,000 8.120 03/10/98 5,121
Dean Witter Discover & Co. (MTN)(a). . . . . . . . . . . . . . . . . 30,000 5.592 05/23/97 30,005
Discover Credit Corp. (MTN). . . . . . . . . . . . . . . . . . . . . 8,500 7.970 05/07/97 8,532
First Chicago Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . 30,000 5.652 03/31/97 30,004
First Union Corp. (MTN). . . . . . . . . . . . . . . . . . . . . . . 17,500 6.750 01/15/98 17,634
Ford Motor Credit Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . 28,475 5.742 10/21/97 28,514
Government of Canada . . . . . . . . . . . . . . . . . . . . . . . . 10,000 6.500 07/07/97 10,025
Household Finance Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . 40,000 5.456 06/04/97 40,000
Household Finance Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . 25,000 5.543 09/30/97 24,997
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
IBM Corp. (MTN). . . . . . . . . . . . . . . . . . . . . . . . . . . $ 17,780 5.670% 01/28/98 $ 17,753
Merrill Lynch & Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . . 50,000 5.430 03/04/98 49,990
Old Kent Bank & Trust Co.. . . . . . . . . . . . . . . . . . . . . . 16,000 7.100 03/07/97 16,005
Tiers Trust (MTN)(a) . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.455 10/15/97 50,000
Transamerica Financial Corp. . . . . . . . . . . . . . . . . . . . . 25,000 6.750 08/15/97 25,088
Westpac Banking (MTN)(a) . . . . . . . . . . . . . . . . . . . . . . 20,000 5.462 07/25/97 19,996
----------
TOTAL CORPORATE BONDS AND NOTES (cost $483,653). . . . . . . . . . . 483,653
----------
DOMESTIC COMMERCIAL PAPER - 5.9%
ANZ Inc. (Delaware). . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.360 05/12/97 24,732
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 100,000 5.440 03/03/97 99,970
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 75,000 5.310 04/15/97 74,502
Morgan Stanley Group Inc.. . . . . . . . . . . . . . . . . . . . . . 100,000 5.430 03/03/97 99,970
----------
TOTAL DOMESTIC COMMERCIAL PAPER (cost $299,174). . . . . . . . . . . 299,174
----------
FOREIGN COMMERCIAL PAPER - 5.2%
Cheltenham & Gloucester PLC. . . . . . . . . . . . . . . . . . . . . 100,000 5.340 04/07/97 99,451
Cheltenham & Gloucester PLC. . . . . . . . . . . . . . . . . . . . . 20,000 5.350 06/23/97 19,661
Daimler Benz . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,470 5.345 03/21/97 38,356
Daimler Benz . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.370 03/27/97 24,903
National Australia Funding . . . . . . . . . . . . . . . . . . . . . 30,000 5.300 04/28/97 29,744
State Bank New South Wales . . . . . . . . . . . . . . . . . . . . . 25,000 5.350 04/30/97 24,777
Queensland Treasury Corp.. . . . . . . . . . . . . . . . . . . . . . 25,000 5.390 05/15/97 24,719
----------
TOTAL FOREIGN COMMERCIAL PAPER (cost $261,611) . . . . . . . . . . . 261,611
----------
TIME DEPOSITS - 28.2%
Bank of America. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.343 03/03/97 50,000
Bank of America. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.410 03/11/97 50,000
Bank of Boston . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.343 03/03/97 100,000
Bank of Boston . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.437 03/03/97 100,000
Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.312 03/04/97 100,000
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
Bank of Nova Scotia. . . . . . . . . . . . . . . . . . . . . . . . . $ 100,000 5.343% 05/20/97 $ 100,000
Den Danske Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.400 04/10/97 50,000
Den Danske Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.375 04/18/97 50,000
First Union National Bank, Charlotte . . . . . . . . . . . . . . . . 150,000 5.375 03/03/97 150,000
Key Bank National Association. . . . . . . . . . . . . . . . . . . . 100,000 5.437 03/03/97 100,000
NationsBank Corp. (Charlotte). . . . . . . . . . . . . . . . . . . . 150,000 5.437 03/03/97 150,000
Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . 55,436 5.500 03/03/97 55,436
Societe Generale . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.437 03/03/97 100,000
Svenska Handelsbanken. . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.500 03/03/97 100,000
Svenska Handelsbanken, Grand Cayman. . . . . . . . . . . . . . . . . 75,000 5.500 03/03/97 75,000
Toronto Dominion Bank, Ltd., Grand Cayman. . . . . . . . . . . . . . 100,000 5.437 03/03/97 100,000
----------
TOTAL TIME DEPOSITS (cost $1,430,436). . . . . . . . . . . . . . . . 1,430,436
----------
UNITED STATES GOVERNMENT AGENCIES - 10.1%
Federal Farm Credit Bank . . . . . . . . . . . . . . . . . . . . . . 25,000 5.600 06/03/97 24,991
Federal Farm Credit Bank (a) . . . . . . . . . . . . . . . . . . . . 50,000 5.250 12/11/97 49,962
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 50,000 5.222 12/19/97 49,971
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.997 09/30/97 25,037
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.710 01/21/98 24,991
Federal National Mortgage Association (a). . . . . . . . . . . . . . 100,000 5.351 09/12/97 99,956
Federal National Mortgage Association (a). . . . . . . . . . . . . . 25,000 5.292 11/19/97 24,986
Federal National Mortgage Association MTN (a). . . . . . . . . . . . 50,000 5.312 03/06/97 49,999
Federal National Mortgage Association MTN (a). . . . . . . . . . . . 70,000 5.255 04/15/97 69,991
Federal National Mortgage Association MTN (a). . . . . . . . . . . . 30,000 5.231 04/17/97 29,997
Federal National Mortgage Association MTN (a). . . . . . . . . . . . 55,000 5.292 11/25/97 54,968
Student Loan Marketing Association (a) . . . . . . . . . . . . . . . 8,000 5.320 08/21/97 8,000
----------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $512,849). . . . . . . 512,849
----------
TOTAL INVESTMENTS (amortized cost $4,750,296) - 93.6%. . . . . . . . 4,750,296
----------
REPURCHASE AGREEMENTS - 9.1%
Agreement with HSBC of $30,000
acquired February 28, 1997 at 5.400% to be repurchased at $30,014
on March 3, 1997, collateralized by:
$30,000 FNMA Discount Notes,
5.362% due 05/29/97 valued at $30,645 . . . . . . . . . . . 30,000
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
VALUE
(000)
----------
<S> <C>
Agreement with Swiss Bank Corp of $430,000
acquired February 28, 1997 at 5.360% to be repurchased at
$430,192 on March 3, 1997, collateralized by:
$423,814 United States Treasury Notes,
various coupons and maturities, valued at $438,925. . . . . $ 430,000
----------
TOTAL REPURCHASE AGREEMENTS (cost $460,000). . . . . . . . . . . . . 460,000
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $5,210,296)(b) - 102.7%. . . . . . . . . . . . . . . . . . . . 5,210,296
OTHER ASSETS AND LIABILITIES, NET - (2.7%) . . . . . . . . . . . . . (137,510)
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . $5,072,786
----------
----------
</TABLE>
(a) Adjustable or floating rate security.
(b) The identified cost for federal income tax purposes is the same as
shown above.
ABBREVIATIONS:
MTN - Medium Term Note
PLC - Public Limited Company
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . . $4,750,295,832
Repurchase agreements (cost $460,000,000)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 460,000,000
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,650,895
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,393
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,236,986,120
LIABILITIES
Payables (Note 4):
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,052,341
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143,664,547
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 2,323,066
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160,176
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164,200,130
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,072,785,990
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (2,791,992)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,075,578
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,070,502,404
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,072,785,990
--------------
--------------
Net asset value, offering and redemption price per share
($5,072,785,990 divided by 5,075,577,982 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 104,045,275
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,776,449
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 551,191
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 396,857
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 449,213
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,010
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,285
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 714,435
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157,570
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70,726
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,462
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,260,198
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,785,077
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . 619,816
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 97,404,893
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 96,785,077 $ 178,203,728
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 619,816 753,358
----------------- -----------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . 97,404,893 178,957,086
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (96,785,077) (178,405,621)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 1,596,757,541 721,962,326
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 1,597,377,357 722,513,791
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 3,475,408,633 2,752,894,842
----------------- -----------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,072,785,990 $ 3,475,408,633
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,227,588,119 45,284,105,177
Fund shares issued to shareholders in reinvestments of distributions . . . . . . . . 84,683,231 161,571,084
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (26,715,513,809) (44,723,713,935)
----------------- -----------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,596,757,541 721,962,326
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994 1993 1992
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
BEGINNING OF PERIOD . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income . . . . . . . . . . . . .0251 .0524 .0538 .0330 .0320 .0458
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . (.0251) (.0524) (.0538) (.0330) (.0320) (.0458)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE
END OF PERIOD . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 2.54 5.36 5.52 3.35 3.24 4.68
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b) . . . . . . . . . . . . . . .38 .39 .39 .36 .33 .35
Operating expenses, gross, to average
net assets (b) . . . . . . . . . . . . . . .38 .39 .39 .36 .38 .35
Net investment income to average
net assets (b) . . . . . . . . . . . . . . 5.07 5.20 5.37 3.33 3.20 4.40
Net assets, end of period
($000 omitted) . . . . . . . . . . . . . . 5,072,786 3,475,409 2,752,895 3,020,796 2,502,483 4,263,057
Per share amount of fees waived
($ omitted). . . . . . . . . . . . . . . . -- -- -- -- .0005 --
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 1997 are annualized.
Semiannual Report 11
<PAGE>
SSgA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Money Market Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value. The Investment Company has
available Class B and Class C shares of the Fund as of August 15, 1994;
however, shares have not been offered on these classes as of the date of
these financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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's portfolio investments are valued on the
basis of amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed. The Fund utilizes the
amortized cost valuation method in accordance with Rule 2a-7 of the 1940
Act.
SECURITIES TRANSACTIONS: Securities transactions are recorded on the trade
date, which in most instances is the same as the settlement date. Realized
gains and losses from the securities transactions, if any, are recorded on
the basis of identified cost.
INVESTMENT INCOME: Interest income is recorded daily on the accrual basis.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required. At February
28, 1997, the Fund had a net tax basis capital loss carryover of
$3,411,808, which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2003.
12 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and records
dividends on net investment income daily and pays them monthly. 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 Fund may periodically make reclassifications among
certain of its capital accounts without impacting net asset value for
differences between federal tax regulations and generally accepted
accounting principles.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases, sales, and maturities of investment securities, excluding US
Government and Agency obligations and repurchase agreements, for the Fund
aggregated to $67,870,787,598, $247,088,421, and $65,965,257,000,
respectively.
For the six months ended February 28, 1997, purchases, sales, and
maturities of US Government and Agency obligations, excluding repurchase
agreements aggregated to $863,888,547, $509,220,971, and $589,525,000,
respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .25% of its average daily net assets. The Investment Company also has
contracts with the Adviser to provide custody, shareholder servicing and
transfer agent services to the Fund. These amounts are presented on the
accompanying statement of operations.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar
Semiannual Report 13
<PAGE>
SSgA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
items. The Investment Company pays the Administrator the following fees for
services supplied by the Administrator pursuant to the Administration
Agreement: (i) an annual fee, payable monthly on a pro rata basis, based on
the following percentages of the average daily net assets of all domestic
funds: $0 up to and including $500 million - .06%; over $500 million to and
including $1 billion - .05%; over $1 billion - .03%; (ii) less an amount
equal to the sum of certain distribution-related expenses incurred by the
Investment Company's Distributor on behalf of the Fund (up to a maximum of
10% of the asset-based fee determined in (i)); (iii) out-of-pocket
expenses; and (iv) start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS"), and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%,
and .175% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $488,645, $114,140, $42,521, and $35,839, or a
total of $681,145, from the Adviser, SSBSI, RIS, and Commercial Banking,
respectively. The remaining amount of $33,290 was paid to other third-party
providers.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for
14 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
carryover expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 1,773,286
Administration fees 108,582
Custodian fees 151,729
Distribution fees 35,903
Shareholder servicing fees 160,493
Transfer agent fees 92,652
Trustees' fees 421
-----------
$ 2,323,066
-----------
-----------
Semiannual Report 15
<PAGE>
SSgA MONEY MARKET FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
US GOVERNMENT MONEY MARKET FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
US GOVERNMENT MONEY MARKET FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 9
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 13
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. AN INVESTMENT IN A MONEY
MARKET FUND IS NEITHER INSURED NOR GUARANTEED BY THE US GOVERNMENT. THERE CAN BE
NO ASSURANCE THAT A MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE NET
ASSET VALUE OF $1.00 PER SHARE. RUSSELL FUND DISTRIBUTORS, INC., IS THE
DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT AGENCIES - 70.3%
Federal Farm Credit Bank . . . . . . . . . . . . . . . . . . . . . . $ 6,000 5.550% 05/02/97 $ 5,999
Federal Farm Credit Bank . . . . . . . . . . . . . . . . . . . . . . 10,000 5.600 06/03/97 9,996
Federal Farm Credit Bank (MTN)(a) . . . . . . . . . . . . . . . . . 20,000 5.237 10/02/97 19,987
Federal Farm Credit Bank (MTN)(a) . . . . . . . . . . . . . . . . . 25,000 5.250 11/14/97 24,981
Federal Farm Credit Bank (MTN)(a) . . . . . . . . . . . . . . . . . 25,000 5.250 12/11/97 24,981
Federal Farm Credit Bank (MTN)(a) . . . . . . . . . . . . . . . . . 35,000 5.231 12/17/97 34,974
Federal Farm Credit Bank (MTN)(a) . . . . . . . . . . . . . . . . . 25,000 5.300 02/03/98 24,985
Federal Farm Credit Bank . . . . . . . . . . . . . . . . . . . . . . 20,000 5.450 03/03/98 19,953
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 5,000 5.610 06/05/97 4,997
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 5,000 6.440 07/25/97 5,011
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 20,000 5.195 09/24/97 19,990
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 25,000 5.222 12/19/97 24,986
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 10,000 5.710 01/21/98 9,997
Federal Home Loan Bank Discount Notes. . . . . . . . . . . . . . . . 14,485 5.220 03/13/97 14,460
Federal Home Loan Mortgage Corp. . . . . . . . . . . . . . . . . . . 15,000 5.640 08/28/97 14,982
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 20,000 5.185 03/04/97 19,991
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 28,129 5.190 03/05/97 28,113
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 16,470 5.190 03/07/97 16,456
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 6,000 5.190 03/10/97 5,992
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 5,000 5.200 03/14/97 4,991
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 13,800 5.200 03/19/97 13,764
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 5,000 5.190 03/25/97 4,983
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 20,000 5.380 03/26/97 19,925
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 10,000 5.250 04/16/97 9,933
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 22,000 5.220 04/25/97 21,825
Federal National Mortgage Association. . . . . . . . . . . . . . . . 8,000 9.200 06/10/97 8,080
Federal National Mortgage Association (a). . . . . . . . . . . . . . 10,000 5.130 06/20/97 9,999
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 20,000 5.382 08/07/97 19,993
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 40,000 5.351 09/12/97 39,982
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 25,000 5.327 11/14/97 24,986
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 10,000 5.312 03/06/97 10,000
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 15,000 5.393 03/28/97 14,999
Student Loan Marketing Association (MTN) . . . . . . . . . . . . . . 15,000 5.990 09/18/97 15,000
Student Loan Marketing Association (MTN) . . . . . . . . . . . . . . 5,000 5.615 10/29/97 4,996
----------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $554,287). . . . . . . 554,287
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT TREASURIES - 5.0%
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . $ 25,000 5.250% 12/31/97 $ 24,923
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . 15,000 5.000 01/31/98 14,898
----------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $39,821) . . . . . . 39,821
----------
TOTAL INVESTMENTS (amortized cost $594,108) - 75.3%. . . . . . . . . 594,108
----------
REPURCHASE AGREEMENTS - 27.3%
Agreement with CIBC Wood Gundy, Inc. of $175,000
acquired February 28, 1997 at 5.400% to be repurchased at $175,079
on March 3, 1997, collateralized by:
$60,725 Federal Farm Credit Bank Discount Notes,
5.430% due 03/03/97 valued at $62,316, and by
$106,000 Federal Farm Credit Bank Discount Notes,
5.240% due 05/01/97 valued at $106,364, and by
$9,705 Federal Farm Credit Bank Discount Notes,
5.290% due 06/02/97 valued at $9,826. . . . . . . . . . . . 175,000
Agreement with Merrill Lynch & Co, Inc. of $40,259
acquired February 28, 1997 at 5.360% to be repurchased at $40,277
on March 3, 1997, collateralized by:
$30,645 United States Treasury Bonds,
9.875% due 11/15/15 valued at $41,095 . . . . . . . . . . . 40,259
----------
TOTAL REPURCHASE AGREEMENTS (cost $215,259). . . . . . . . . . . . . 215,259
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $809,367)(b) - 102.6%. . . . . . . . . . . . . . . . . . . . . 809,367
OTHER ASSETS AND LIABILITIES, NET - (2.6%) . . . . . . . . . . . . . (20,692)
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . $ 788,675
----------
----------
</TABLE>
(a) Adjustable or floating rate security.
(b) The identified cost for federal income tax purposes is the same as
shown above.
ABBREVIATIONS:
MTN - Medium Term Note
The accompanying notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . . $ 594,107,809
Repurchase agreements (cost $215,259,000)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215,259,000
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,971,569
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,863
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 812,341,241
LIABILITIES
Payables (Note 4):
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,195,593
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,952,520
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 493,858
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,596
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,666,567
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 788,674,674
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (18,979)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 788,694
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 787,904,959
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 788,674,674
--------------
--------------
Net asset value, offering and redemption price per share
($788,674,674 divided by 788,693,653 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVSTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 19,514,401
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 899,720
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102,167
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,184
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109,860
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,155
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,053
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246,679
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,679
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,999
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,860
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,488,356
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,026,045
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . 18,984
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,045,029
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,026,045 $ 31,690,135
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 18,984 119,491
----------------- -----------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . 18,045,029 31,809,626
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (18,026,045) (31,688,771)
Increase in net assets from Fund share transactions. . . . . . . . . . . . . . . . . 105,445,573 192,951,714
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 105,464,557 193,072,569
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 683,210,117 490,137,548
----------------- -----------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 788,674,674 $ 683,210,117
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,371,697,921 7,802,329,508
Fund shares issued to shareholders in reinvestments of distributions . . . . . . . . 13,002,483 25,091,214
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,279,254,831) (7,634,469,008)
----------------- -----------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,445,573 192,951,714
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994 1993 1992
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
BEGINNING OF PERIOD . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income . . . . . . . . . . . . .0248 .0515 .0528 .0324 .0304 .0441
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . (.0248) (.0515) (.0528) (.0324) (.0304) (.0441)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 2.51 5.27 5.38 3.30 3.08 4.49
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b) . . . . . . . . . . . . . . .41 .40 .42 .38 .39 .41
Operating expenses, gross, to average
net assets (b) . . . . . . . . . . . . . . .41 .40 .42 .39 .46 .42
Net investment income to average
net assets (b) . . . . . . . . . . . . . . 5.01 5.12 5.37 3.27 3.04 4.26
Net assets, end of period
($000 omitted) . . . . . . . . . . . . . . 788,675 683,210 490,138 251,165 137,136 156,707
Per share amount of fees waived
($ omitted). . . . . . . . . . . . . . . . -- -- -- -- -- .0001
Per share amount of fees
reimbursed ($ omitted) . . . . . . . . . . -- -- -- .0001 .0007 --
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 1997 are annualized.
8 Semiannual Report
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA US Government Money Market
Fund (the "Fund"). The Investment Company is a registered and diversified
open-end investment company, as defined in the Investment Company Act of
1940, as amended (the "1940 Act"), that was organized as a Massachusetts
business trust on October 3, 1987 and operates under a First Amended and
Restated Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value. The Investment Company has
available Class B and Class C shares of the Fund as of August 15, 1994;
however, shares have not been offered on these classes as of the date of
these financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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's portfolio investments are valued on the
basis of amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed. The Fund utilizes the
amortized cost valuation method in accordance with Rule 2a-7 of the 1940
Act.
SECURITIES TRANSACTIONS: Securities transactions are recorded on the trade
date, which in most instances is the same as the settlement date. Realized
gains and losses from the securities transactions, if any, are recorded on
the basis of identified cost.
INVESTMENT INCOME: Interest income is recorded daily on the accrual basis.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required. At February
28, 1997, the Fund had a net tax basis capital loss carryover of $37,963,
which may be applied against any realized net taxable gains in each
succeeding year or until its expiration date of August 31, 2003.
Semiannual Report 9
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and records
dividends on net investment income daily and pays them monthly. 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 Fund may periodically make reclassifications among
certain of its capital accounts without impacting net asset value for
differences between federal tax regulations and generally accepted
accounting principles.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases, sales, and maturities of US Government and Agency obligations,
excluding repurchase agreements aggregated to $991,778,398, $25,036,777,
and $844,816,000, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .25% of its average daily net assets. The Investment Company also has
contracts with the Adviser to provide custody, shareholder servicing and
transfer agent services to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
10 Semiannual Report
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Division ("RIS"), and the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%,
and .175% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $93,972 and $130,096, or a total of $224,068,
from the Adviser and Commercial Banking, respectively. The Fund did not
incur any expenses from SSBSI or RIS during this period. The remaining
amount of $22,611 was paid to other third-party providers.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
Semiannual Report 11
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 329,491
Administration fees 16,959
Custodian fees 25,845
Distribution fees 8,192
Shareholder servicing fees 108,609
Transfer agent fees 3,897
Trustees' fees 865
-----------
$ 493,858
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, three shareholders (two of
which are also affiliates of the Investment Company) were record owners of
approximately 21%, 17% and 14%, respectively, of the total outstanding
shares of the Fund.
12 Semiannual Report
<PAGE>
SSgA US GOVERNMENT MONEY MARKET FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
13 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
MATRIX EQUITY FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
MATRIX EQUITY FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 10
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 15
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. RUSSELL FUND DISTRIBUTORS,
INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
MATRIX EQUITY FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
COMMON STOCKS - 98.0%
BASIC INDUSTRIES - 4.5%
Caraustar Industries, Inc. 31,100 $ 917
Diamond Offshore Drilling, Inc. (a) 6,900 407
Dow Chemical Co. 50,600 4,099
du Pont (E.I.) de Nemours & Co. 7,000 751
Fort Howard Corp. (a) 53,700 1,598
Mead Corp. 3,800 221
Owens-Illinois, Inc. (a) 30,900 745
P.H. Glatfelter Co. 28,100 481
PPG Industries, Inc. 8,500 476
Terra Industries, Inc. 92,900 1,266
UCAR International, Inc. (a) 20,400 877
USX-U.S. Steel Group 103,800 3,257
----------
15,095
----------
CAPITAL GOODS - 5.0%
Case Corp. 48,900 2,537
Caterpillar, Inc. 51,800 4,060
General Electric Co. 51,400 5,288
Harnischfeger Industries, Inc. 27,300 1,198
Johnson Controls, Inc. 29,700 2,502
Tecumseh Products Co. Class A 9,000 515
Timken Co. 14,900 780
----------
16,880
----------
CONSUMER BASICS - 20.2%
Allegiance Corp. 49,500 1,306
American Home Products Corp. 35,400 2,266
Amgen, Inc. (a) 28,600 1,745
Archer-Daniels-Midland Co. 170,300 3,151
Becton, Dickinson & Co. 50,300 2,477
Bristol-Myers Squibb Co. 56,600 7,386
Coca-Cola Co. (The) 55,400 3,379
ConAgra, Inc. 73,800 3,911
General Mills, Inc. 56,600 3,693
Hershey Foods Corp. 22,400 1,022
Hormel (George A.) & Co. 40,600 1,066
Interstate Bakeries Corp. 51,200 2,394
Johnson & Johnson 6,200 357
Lincare Holdings, Inc. (a) 5,400 231
Mallinckrodt, Inc. 9,300 395
Manor Care, Inc. 17,800 474
Merck & Co., Inc. 104,700 9,632
Philip Morris Cos., Inc. 37,800 5,108
RJR Nabisco Holdings Corp. 46,600 1,707
Schering-Plough Corp. 56,300 4,314
Tenet Healthcare Corp. (a) 153,105 4,153
Tupperware Corp. 10,600 474
Warner-Lambert Co. 31,500 2,646
Watson Pharmaceuticals, Inc. (a) 64,000 2,784
Wellpoint Health Networks, Inc.
Class A 46,013 1,972
----------
68,043
----------
CONSUMER DURABLES - 1.3%
Arvin Industries, Inc. 24,600 578
Chrysler Corp. 79,400 2,690
Maytag Corp. 50,000 1,100
----------
4,368
----------
CONSUMER NON-DURABLES - 9.7%
Avon Products, Inc. 25,700 1,497
Borders Group, Inc. (a) 68,900 2,902
Costco Companies, Inc. (a) 126,800 3,249
Dayton Hudson Corp. 105,000 4,410
Fruit of the Loom, Inc. Class A (a) 82,600 3,376
Lowe's Cos., Inc. 90,300 3,296
Ross Stores, Inc. 1,800 86
Sears Roebuck & Co. 87,200 4,731
SuperValu, Inc. 112,000 3,472
Tiffany & Co. 22,700 789
TJX Cos., Inc. 84,300 3,520
V.F. Corp. 17,600 1,223
----------
32,551
----------
Semiannual Report 3
<PAGE>
SSgA
MATRIX EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
CONSUMER SERVICES - 1.7%
Disney (Walt) Co. 15,500 $ 1,151
King World Productions, Inc. (a) 78,600 2,918
MGM Grand, Inc. (a) 50,300 1,767
----------
5,836
----------
ENERGY - 7.9%
Amerada Hess Corp. NPV 700 37
Amoco Corp. 21,700 1,834
Apache Corp. 26,500 858
Atlantic Richfield Co. 27,810 3,476
Burlington Resources, Inc. 20,600 904
Cooper Cameron Corp. (a) 8,800 576
Exxon Corp. 86,200 8,609
Global Marine, Inc. (a) 56,400 1,050
Mobil Corp. 40,600 4,984
Noble Drilling Corp. (a) 19,100 339
Rowan Cos., Inc. (a) 65,300 1,298
Texaco, Inc. 23,700 2,343
Valero Energy Corp. 1,400 45
----------
26,353
----------
FINANCE - 17.6%
Advanta Corp. Class A 32,200 1,332
Allstate Corp. 26,300 1,667
American Express Co. 84,000 5,492
BankAmerica Corp. 64,300 7,314
Charter One Financial, Inc. 69,685 3,319
Chase Manhattan Corp. 57,000 5,707
CIGNA Corp. 22,200 3,394
Comerica, Inc. 71,500 4,299
Dean Witter, Discover & Co. 38,400 1,474
Donaldson, Lufkin & Jenrette, Inc. 27,500 1,183
Everest Re Holdings, Inc. 94,400 2,974
ITT Hartford Group, Inc. 52,500 3,938
KeyCorp 75,200 4,023
Mercury General Corp. 20,100 1,234
Merrill Lynch & Co., Inc. 3,900 374
Money Store, Inc. 32,700 846
Old Republic International Corp. 13,200 358
Progressive Corp. 9,300 615
Salomon, Inc. 35,200 1,958
SouthTrust Corp. 17,300 683
Student Loan Marketing Association 37,800 4,002
Travelers/Aetna Property Casualty Corp. Class A (a) 83,400 3,074
----------
59,260
----------
GENERAL BUSINESS - 2.5%
Ascend Communications, Inc. (a) 18,800 985
Gannett Co., Inc. 500 40
Interpublic Group Cos., Inc. 28,400 1,424
Media General, Inc. Class A 28,500 855
SBC Communications, Inc. 48,700 2,800
Wallace Computer Services, Inc. 19,100 647
Washington Post Co. Class B 4,700 1,628
----------
8,379
----------
SHELTER - 0.6%
USG Corp. (a) 54,900 1,935
----------
1,935
----------
TECHNOLOGY - 17.3%
COMPAQ Computer Corp. (a) 57,500 4,557
Computer Associates International, Inc. 58,500 2,545
Compuware Corp. (a) 51,200 3,174
Dell Computer Corp. (a) 78,900 5,612
Gateway 2000, Inc. (a) 56,400 3,306
General Dynamics Corp. 38,200 2,569
Hewlett-Packard Co. 43,600 2,442
Honeywell, Inc. 51,700 3,677
Intel Corp. 73,400 10,414
Learning Co., Inc. (The)(a) 167,200 1,609
4 Semiannual Report
<PAGE>
SSgA
Matrix Equity Fund
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Lexmark International Group, Inc. Class A (a) 22,300 $ 622
Lucent Technologies, Inc. 35,682 1,922
McDonnell Douglas Corp. 9,900 629
Microsoft Corp. (a) 23,600 2,298
SCI Systems, Inc. (a) 50,100 2,680
Seagate Technology (a) 59,600 2,816
Storage Technology Corp. (a) 67,300 2,810
Sun Microsystems, Inc. (a) 23,000 710
Tandy Corp. 10,400 524
Western Digital Corp. (a) 55,000 3,245
----------
58,161
----------
TRANSPORTATION - 0.6%
CSX Corp. 27,500 1,268
Trinity Industries, Inc. 26,400 852
----------
2,120
----------
UTILITIES - 9.1%
360 Communications Co. (a) 27,000 584
Ameritech Corp. 50,600 3,226
AT&T Corp. 37,900 1,511
BellSouth Corp. 72,000 3,375
Century Telephone Enterprises, Inc. 44,500 1,363
Consolidated Edison Co. 90,000 2,779
DQE, Inc. 50,300 1,490
Entergy Corp. 19,700 520
GTE Corp. 44,600 2,085
Long Island Lighting Co. 131,100 3,015
National Fuel & Gas Co. 22,200 955
NYNEX Corp. 44,400 2,287
Ohio Edison Co. 47,700 1,073
Pacific Telesis Group 46,100 1,879
Public Service Enterprise Group, Inc. 5,400 152
Southern New England Telecommunications Corp. 47,100 1,707
Texas Utilities Co. 14,300 577
Unicom Corp. 500 11
Williams Cos. (The) 47,950 2,097
----------
30,686
----------
TOTAL COMMON STOCKS
(cost $268,107) 329,667
----------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
SHORT-TERM INVESTMENTS - 2.1%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) $ 3,715 3,715
Valiant Money Market Fund Class A (b) 3,217 3,217
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $6,932) 6,932
----------
TOTAL INVESTMENTS
(identified cost $275,039)(c) - 100.1% 336,599
OTHER ASSETS AND LIABILITIES, NET - (0.1%) (393)
----------
NET ASSETS - 100.0% $ 336,206
----------
----------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
ABBREVIATIONS:
NPV - No Par Value
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA
MATRIX EQUITY FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $275,039,119)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . $ 336,598,785
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 642,781
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 849,304
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 450,075
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,197
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,353
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338,545,495
LIABILITIES
Payables (Note 4):
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,881,631
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67,569
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 354,581
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,333
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,339,114
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 336,206,381
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 568,285
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,381,597
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 61,559,666
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,540
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265,675,293
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 336,206,381
--------------
--------------
Net asset value, offering and redemption price per share
($336,206,381 divided by 21,539,691 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $15.61
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
MATRIX EQUITY FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,120,657
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,142,878
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,399
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,398
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,863
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,576
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,111
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,392
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,586
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,576
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 1,330
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,269
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,519,378
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (571,439)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 947,939
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,172,718
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,465,660
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . . 38,818,855
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,284,515
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 55,457,233
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
MATRIX EQUITY FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,172,718 $ 4,111,984
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 14,465,660 24,526,130
Net change in unrealized appreciation
or depreciation of investments . . . . . . . . . . . . . . . . . . . . . . . . 38,818,855 2,855,735
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 55,457,233 31,493,849
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,752,230) (3,841,381)
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . (22,485,729) (21,256,519)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 44,099,042 57,151,504
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 74,318,316 63,547,453
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 261,888,065 198,340,612
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of
$568,285 and $1,147,797, respectively). . . . . . . . . . . . . . . . . . . . . . $ 336,206,381 $ 261,888,065
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . 3,451,731 $ 51,729,198 7,991,136 $ 108,492,783
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 1,661,207 24,062,826 1,766,096 23,537,447
Fund shares redeemed . . . . . . . . . . . . . (2,108,727) (31,692,982) (5,455,654) (74,878,726)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . . 3,004,211 $ 44,099,042 4,301,578 $ 57,151,504
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
MATRIX EQUITY FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994 1993 1992**
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . . . . . . . . . . . . . $ 14.13 $ 13.93 $ 12.06 $ 11.95 $ 9.78 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . .10 .24 .28 .24 .18 .05
Net realized and unrealized
gain (loss) on investments . . . . . . . . 3.20 1.64 1.93 .28 2.17 (.27)
---------- ---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . . 3.30 1.88 2.21 .52 2.35 (.22)
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . (.14) (.24) (.28) (.23) (.18) --
Net realized gain on investments. . . . . . . (1.68) (1.44) (.06) (.09) -- --
In excess of net realized gain
on investments . . . . . . . . . . . . . . -- -- -- (.09) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . (1.82) (1.68) (.34) (.41) (.18) --
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 15.61 $ 14.13 $ 13.93 $ 12.06 $ 11.95 $ 9.78
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 20.43 14.67 18.81 4.41 24.24 (2.20)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b)(c). . . . . . . . . . . . . .62 .66 .68 .58 .60 .18
Operating expenses, gross, to average
net assets (b)(c). . . . . . . . . . . . . 1.00 1.04 1.06 .96 1.25 1.90
Net investment income to average
net assets (b) . . . . . . . . . . . . . . 1.43 1.76 2.25 2.16 2.13 2.69
Portfolio turnover (b). . . . . . . . . . . . 86.95 150.68 129.98 127.20 57.65 None
Net assets, end of period ($000 omitted). . . 336,206 261,888 198,341 130,764 62,549 12,408
Per share amount of fees waived
($ omitted)(c) . . . . . . . . . . . . . . .0271 .0510 .0466 .0410 .0314 .0112
Per share amount of fees reimbursed
($ omitted). . . . . . . . . . . . . . . . -- -- -- -- .0225 .0202
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . .0449 .0404 N/A N/A N/A N/A
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period May 4, 1992 (commencement of operations) to August 31, 1992.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1992 are
annualized.
(c) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Matrix Equity Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: United States equity securities listed and traded
principally on any national securities exchange are valued on the basis of
the last sale price or, lacking any sale, at the closing bid price, on the
primary exchange on which the security is traded. United States
over-the-counter equities are valued on the basis of the closing bid price.
International securities traded on a national securities exchange are
valued on the basis of the last sale price. International securities traded
over the counter are valued on the basis of the mean of bid prices. In the
absence of a last sale or mean bid price, respectively, such securities may
be valued on the basis of prices provided by a pricing service if those
prices are believed to reflect the fair market value of such securities.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed, unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Fund 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
10 Semiannual Report
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded daily on the accrual basis.
AMORTIZATION AND ACCRETION: All zero-coupon bond discounts and original
issue discounts are accreted for both tax and financial reporting purposes.
All short- and long-term market premiums/discounts are amortized/accreted
for both tax and financial reporting purposes.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required.
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 268,100,651 $ 67,815,661 $ (6,249,691) $ 61,565,970
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 quarterly. Capital gain distributions 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) on
investment and foreign currency-related transactions for a reporting period
may differ significantly from distributions during such period. The
differences between tax regulations and GAAP relate primarily to
investments in foreign-denominated investments, and certain securities sold
at a loss. Accordingly, the Fund may periodically make reclassifications
among certain of its capital accounts without impacting its net asset
value.
Semiannual Report 11
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $145,031,502 and $129,109,243, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .75% of its average daily net assets. For the six months ended February
28, 1997, the Adviser voluntarily agreed to waive one-half of its advisory
fee to the Fund. The Investment Company also has contracts with the Adviser
to provide custody, shareholder servicing and transfer agent services to
the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%;
12 Semiannual Report
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
(ii) less an amount equal to the sum of certain distribution-related
expenses incurred by the Investment Company's Distributor on behalf of the
Fund (up to a maximum of 10% of the asset-based fee determined in (i));
(iii) out-of-pocket expenses; and (iv) start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying statement of operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS") and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%,
and .175% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $38,096, $897, and $46,399, or a total of
$85,392, from the Adviser, SSBSI and RIS, respectively. The Fund did not
incur any expenses from Commercial Banking during this period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
Semiannual Report 13
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
AFFILIATED BROKERAGE: The Fund placed a portion of its portfolio
transactions with SSBSI, an affiliated broker dealer of the Fund's Adviser.
The commissions paid to SSBSI were $58,650 for the six months ended
February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 201,398
Administration fees 11,117
Custodian fees 29,752
Distribution fees 4,808
Shareholder servicing fees 5,443
Transfer agent fees 101,969
Trustees' fees 94
----------
$ 354,581
----------
----------
BENEFICIAL INTEREST: As of February 28, 1997, three shareholders (two of
which are also affiliates of the Investment Company) were record owners of
approximately 14%, 12% and 11%, respectively, of the total outstanding
shares of the Fund.
5. DIVIDENDS
On March 3, 1997, the Board of Trustees declared a dividend of $.0263 from
net investment income, payable on March 11, 1997 to shareholders of record
on March 4, 1997.
14 Semiannual Report
<PAGE>
SSgA MATRIX EQUITY FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
15 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
S&P 500 INDEX FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
S&P 500 INDEX FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 16
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 21
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. RUSSELL FUND DISTRIBUTORS,
INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
COMMON STOCKS - 91.2%
BASIC INDUSTRIES - 5.8%
Air Products & Chemicals, Inc. 16,500 $ 1,223
Alcan Aluminum, Ltd. 34,800 1,248
Allegheny Teldyne, Inc. 24,578 627
Aluminum Co. of America 25,300 1,802
ARMCO, Inc. (a) 15,900 66
ASARCO, Inc. 6,100 191
Barrick Gold Corp. 54,700 1,545
Battle Mountain Gold Co. 31,600 233
Bemis Co., Inc. 7,200 298
Bethlehem Steel Corp. (a) 15,500 128
Boise Cascade Corp. 7,300 240
Champion International Corp. 13,800 609
Cincinnati Milacron, Inc. 7,500 161
Crown Cork & Seal Co., Inc. 18,300 1,016
Cyprus Amax Minerals Co. 13,200 309
Dow Chemical Co. 36,600 2,965
du Pont (E.I.) de Nemours & Co. 83,900 8,997
Eastman Chemical Co. 10,925 602
Echo Bay Mines, Ltd. 19,800 153
Engelhard Corp. 20,425 452
FMC Corp. (a) 5,100 351
Freeport McMoRan Copper & Gold, Inc. Class B 30,000 1,020
Goodrich (B.F.) Co. 7,300 297
Great Lakes Chemical Corp. 9,100 422
Hercules, Inc. 14,500 674
Homestake Mining Co. 21,000 347
Illinois Tool Works, Inc. 18,900 1,595
Inco, Ltd. 23,800 836
Inland Steel Industries, Inc. 7,800 154
International Paper Co. 43,973 1,836
James River Corp. of Virginia 11,900 390
Kimberly-Clark Corp. 41,918 4,443
Mead Corp. 7,400 431
Minnesota Mining & Manufacturing Co. 62,500 5,750
Monsanto Co. 88,400 3,216
Morton International, Inc. 20,100 829
Nalco Chemical Co. 9,400 345
Newmont Mining Corp. 13,912 661
Nucor Corp. 12,300 592
Phelps Dodge Corp. 9,200 658
Placer Dome, Inc. 34,000 731
Potlatch Corp. 4,200 182
PPG Industries, Inc. 28,000 1,567
Praxair, Inc. 22,400 1,089
Reynolds Metals Co. 9,000 565
Rohm & Haas Co. 9,000 828
Santa Fe Pacific Gold Corp. 18,560 348
Sigma Aldrich Corp. 14,000 429
Stone Container Corp. 14,400 187
Temple-Inland, Inc. 7,800 430
Union Camp Corp. 10,000 483
Union Carbide Corp. 18,100 855
USX-U.S. Steel Group 11,800 370
Westvaco Corp. 14,200 419
Willamette Industries, Inc. 7,800 499
Worthington Industries, Inc. 12,500 259
----------
56,953
----------
CAPITAL GOODS - 5.1%
Ball Corp. 4,200 106
Boston Scientific Corp. (a) 26,000 1,722
Briggs & Stratton Corp. 4,200 183
Browning-Ferris Industries, Inc. 30,300 951
Case Corp. 10,600 550
Caterpillar, Inc. 28,000 2,194
Cooper Industries, Inc. 15,500 686
Crane Co. 7,200 235
Cummins Engine Co., Inc. 5,600 284
Deere & Co. 39,400 1,679
Dover Corp. 16,000 794
DSC Communications Corp. (a) 16,600 349
Emerson Electric Co. 33,700 3,335
Fluor Corp. 11,900 721
Foster Wheeler Corp. 6,200 242
General Electric Co. 244,700 25,173
Semiannual Report 3
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
General Signal Corp. 7,600 $ 332
Giddings & Lewis, Inc. 4,700 64
Grainger (W.W.), Inc. 8,200 650
Harnischfeger Industries, Inc. 6,900 303
Ingersoll-Rand Co. 15,800 751
ITT Industries, Inc. 16,600 432
Johnson Controls, Inc. 5,800 489
Millipore Corp. 6,500 280
NACCO Industries, Inc. Class A 1,400 76
National Service Industries, Inc. 6,700 255
Pall Corp. 18,600 405
Parker-Hannifin Corp. 10,500 459
Raychem Corp. 6,400 545
Timken Co. 4,600 241
TRINOVA Corp. 4,300 160
Tyco International, Ltd. 24,000 1,416
Westinghouse Electric Corp. 95,700 1,651
WMX Technologies, Inc. 70,700 2,235
----------
49,948
----------
CONSUMER BASICS - 20.7%
Abbott Laboratories 116,000 6,525
Albertson's, Inc. 38,700 1,364
Allergan, Inc. 9,000 306
ALZA Corp. (a) 11,700 332
American Brands, Inc. 26,100 1,374
American Home Products Corp. 95,400 6,106
American Stores Co. 22,600 1,011
Amgen, Inc. (a) 38,700 2,361
Archer-Daniels-Midland Co. 79,953 1,479
Bard (C.R.), Inc. 8,000 219
Bausch & Lomb, Inc. 8,200 306
Baxter International, Inc. 40,000 1,840
Becton, Dickinson & Co. 17,800 877
Beverly Enterprises, Inc. (a) 13,800 198
Biomet, Inc. 16,300 249
Black & Decker Corp. 12,300 389
Bristol-Myers Squibb Co. 74,600 9,735
Campbell Soup Co. 34,700 3,127
Clorox Co. 7,400 884
Coca-Cola Co. (The) 369,800 22,558
Colgate-Palmolive Co. 21,500 2,225
Columbia/HCA Healthcare Corp. 100,633 4,227
ConAgra, Inc. 35,200 1,866
Corning, Inc. 35,300 1,328
CPC International, Inc. 21,300 1,792
CVS Corp. 15,000 694
Fleming Cos., Inc. 6,300 110
General Mills, Inc. 23,900 1,559
Giant Food, Inc. Class A 8,600 281
Gillette Co. 82,800 6,552
Great Atlantic & Pacific Tea Co., Inc. 5,100 152
HEALTHSOUTH Rehabilitation Corp. (a) 24,400 982
Heinz (H.J.) Co. 53,750 2,237
Hershey Foods Corp. 22,000 1,004
Humana, Inc. (a) 23,600 463
Johnson & Johnson 198,300 11,427
Kellogg Co. 30,800 2,110
Kroger Co. (a) 18,100 959
Lilly (Eli) & Co. 82,300 7,191
Mallinckrodt, Inc. 10,300 438
Manor Care, Inc. 8,900 237
Medtronic, Inc. 36,200 2,344
Merck & Co., Inc. 179,300 16,496
PepsiCo, Inc. 231,800 7,620
Pfizer, Inc. 96,100 8,805
Pharmacia & Upjohn, Inc. 76,625 2,826
Philip Morris Cos., Inc. 121,200 16,377
Pioneer Hi-Bred International, Inc. 11,900 811
Procter & Gamble Co. 101,500 12,193
Quaker Oats Co. 19,100 685
Ralston-Purina Group 15,700 1,289
Rubbermaid, Inc. 21,100 504
Sara Lee Corp. 72,900 2,825
4 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Schering-Plough Corp. 55,400 $ 4,245
Snap-On Tools Corp. 8,600 334
St. Jude Medical, Inc. (a) 11,650 460
Stanley Works 12,800 490
SYSCO Corp. 25,700 893
Tenet Healthcare Corp. (a) 43,500 1,180
Tupperware Corp. 8,900 398
U.S. Surgical Corp. 9,000 384
Unilever NV 23,700 4,515
United Healthcare Corp. 28,200 1,406
UST Corp. 29,000 895
W. R. Grace & Co. 11,700 620
Warner-Lambert Co. 40,800 3,427
Whitman Corp. 14,900 350
Winn-Dixie Stores, Inc. 21,600 689
Wrigley (Wm.), Jr. Co. 16,600 994
----------
203,129
----------
CONSUMER DURABLES - 2.2%
AutoZone Inc. (a) 21,200 525
Chrysler Corp. 109,400 3,706
Cooper Tire & Rubber Co. 11,800 235
Dana Corp. 14,900 462
Eaton Corp. 10,900 782
Echlin, Inc. 9,000 312
Fleetwood Enterprises, Inc. 5,000 130
Ford Motor Co. 177,200 5,825
General Motors Corp. 112,900 6,534
Genuine Parts Co. 17,000 795
Goodyear Tire & Rubber Co. 23,900 1,261
Maytag Corp. 14,200 312
PACCAR, Inc. 5,495 361
Whirlpool Corp. 10,600 535
----------
21,775
----------
CONSUMER NON-DURABLES - 5.6%
Alberto Culver Co. Class B 8,600 245
Anheuser-Busch Cos., Inc. 75,100 3,342
Avon Products, Inc. 19,000 1,107
Brown-Forman Distillers, Inc. Class B 9,800 439
Brunswick Corp. 13,900 398
Charming Shoppes, Inc. (a) 13,900 62
Circuit City Stores, Inc. 13,800 431
Coors (Adolph) Co. Class B 6,600 141
Costco Companies, Inc. (a) 30,100 771
Dayton Hudson Corp. 33,300 1,399
Dillard Department Stores, Inc. Class A 16,200 488
Eastman Kodak Co. 49,900 4,471
Federated Department Stores, Inc. (a) 32,100 1,115
Fruit of the Loom, Inc. Class A (a) 10,800 441
Gap, Inc. 42,000 1,386
Hasbro, Inc. 12,400 530
Home Depot, Inc. (The) 71,266 3,884
Ikon Office Solutions, Inc. 20,300 837
International Flavors & Fragrances, Inc. 15,800 733
Jostens, Inc. 5,514 119
Kmart Corp. (a) 68,800 860
Limited, Inc. (The) 37,827 719
Liz Claiborne, Inc. 10,100 409
Longs Drug Stores, Inc. 6,000 152
Lowe's Cos., Inc. 24,600 898
Mattel, Inc. 42,007 1,045
May Department Stores Co. 37,000 1,725
Mercantile Stores, Inc. 5,200 250
Newell Co. 22,700 843
NIKE, Inc. Class B 43,300 3,112
Nordstrom, Inc. 11,500 423
Penney (J.C.) Co., Inc. 35,200 1,734
Pep Boys - Manny, Moe & Jack 8,900 290
Polaroid Corp. 6,900 292
Reebok International, Ltd. 8,000 374
Rite Aid Corp. 17,700 746
Russell Corp. 5,500 207
Seagram Co., Ltd. 54,300 2,118
Sears Roebuck & Co. 58,900 3,195
Semiannual Report 5
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Springs Industries, Inc. 2,600 $ 115
Stride Rite Corp. 6,500 78
SuperValu, Inc. 9,900 307
TJX Cos., Inc. 11,600 484
Toys "R" Us, Inc. (a) 42,500 1,105
V.F. Corp. 9,000 626
Wal-Mart Stores, Inc. 342,100 9,022
Walgreen Co. 37,600 1,607
Woolworth Corp. (a) 18,500 386
----------
55,461
----------
CONSUMER SERVICES - 2.0%
AMR Corp. (a) 14,000 1,101
Darden Restaurants, Inc. 21,800 158
Delta Air Lines, Inc. 10,600 853
Disney (Walt) Co. 100,562 7,467
Harrah's Entertainment, Inc. (a) 14,400 266
HFS, Inc. (a) 18,600 1,274
Hilton Hotels Corp. 35,300 887
ITT Corp. (a) 16,600 938
King World Productions, Inc. (a) 5,100 189
Marriot International, Inc. 19,100 1,012
McDonald's Corp. 104,500 4,520
Southwest Airlines Co. 20,200 475
USAir Group, Inc. (a) 8,900 176
Wendy's International, Inc. 19,400 402
----------
19,718
----------
ENERGY - 7.9%
Amerada Hess Corp. NPV 13,100 699
Amoco Corp. 74,300 6,278
Ashland, Inc. 10,200 427
Atlantic Richfield Co. 24,175 3,022
Baker Hughes, Inc. 20,500 728
Burlington Resources, Inc. 17,600 772
Chevron Corp. 96,800 6,244
Dresser Industries, Inc. 25,000 759
Exxon Corp. 184,600 18,437
Halliburton Co. 19,300 1,247
Helmerich & Payne, Inc. 3,500 148
Kerr-McGee Corp. 6,800 426
Louisiana Land & Exploration Co. 4,700 224
McDermott International, Inc. 7,700 171
Mobil Corp. 58,800 7,218
NorAm Energy Corp. 19,800 297
Occidental Petroleum Corp. 47,600 1,214
Oryx Energy Co. (a) 14,900 298
PanEnergy Corp. 21,600 921
Pennzoil Co. 6,700 384
Phillips Petroleum Co. 38,500 1,593
Rowan Cos., Inc. (a) 13,000 258
Royal Dutch Petroleum Co. - ADR 79,800 13,805
Santa Fe Energy Resources, Inc. (a) 12,400 160
Schlumberger, Ltd. 37,000 3,723
Sun Co., Inc. 10,755 290
Texaco, Inc. 39,700 3,925
Union Pacific Resources Group, Inc. 38,918 949
Unocal Corp. 36,800 1,421
USX-Marathon Group 42,300 1,127
Western Atlas, Inc. (a) 7,600 464
----------
77,629
----------
FINANCE - 14.3%
Aetna, Inc. 22,102 1,832
Ahmanson (H.F.) & Co. 14,900 613
Allstate Corp. 66,694 4,227
American Express Co. 71,000 4,642
American General Corp. 29,900 1,297
American International Group, Inc. 69,650 8,428
AON Corp. 15,500 982
Banc One Corp. 64,372 2,840
Bank of Boston Corp. 22,400 1,688
Bank of New York Co., Inc. 57,300 2,220
BankAmerica Corp. 53,600 6,097
6 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Bankers Trust New York Corp. 12,600 $ 1,143
Barnett Banks, Inc. 29,900 1,383
Beneficial Corp. 7,600 525
Chase Manhattan Corp. 65,564 6,565
Chubb Corp. (The) 26,600 1,559
CIGNA Corp. 11,000 1,682
Citicorp 70,200 8,196
Comerica, Inc. 15,300 920
Conseco, Inc. 25,900 1,017
CoreStates Financial Corp. 32,735 1,723
Dean Witter, Discover & Co. 47,086 1,807
Federal Home Loan Mortgage Corp. 107,500 3,198
Federal National Mortgage Association 163,100 6,524
Fifth Third Bancorp 15,700 1,309
First Bank System, Inc. 20,562 1,614
First Chicago NBD Corp. 48,048 2,811
First Union Corp. 42,575 3,736
Fleet Financial Group, Inc. 38,375 2,341
General Re Corp. 12,500 2,120
Golden West Financial Corp. 8,100 549
Great Western Financial Corp. 19,600 860
Green Tree Financial Corp. 19,400 728
Household International Corp. 14,300 1,385
ITT Hartford Group, Inc. 17,200 1,290
Jefferson-Pilot Corp. 10,150 599
KeyCorp 32,999 1,765
Lincoln National Corp. 14,800 860
Loews Corp. 16,900 1,726
Marsh & McLennan Cos., Inc. 10,300 1,205
MBIA, Inc. 6,100 596
MBNA Corp. 49,037 1,569
Mellon Bank Corp. 19,000 1,527
Merrill Lynch & Co., Inc. 24,100 2,314
MGIC Investment Corp. 8,400 660
Morgan (J.P.) & Co., Inc. 28,100 2,954
Morgan Stanley Group, Inc. 22,300 1,408
National City Corp. 33,800 1,707
NationsBank Corp. 115,241 6,900
Norwest Corp. 55,800 2,776
PNC Bank Corp. 49,900 2,115
Republic New York Corp. 7,800 724
SAFECO Corp. 17,900 747
Salomon, Inc. 15,900 884
St. Paul Cos., Inc. 11,700 790
SunTrust Banks, Inc. 32,600 1,675
Torchmark Corp. 10,200 601
Transamerica Financial Corp. 10,300 903
Travelers, Inc. 95,784 5,136
U.S. Bancorp of Oregon 23,300 1,150
UNUM Corp. 10,500 807
USF&G Corp. 16,500 371
USLIFE Corp. 4,800 229
Wachovia Corp. 25,200 1,534
Wells Fargo & Co. 13,866 4,218
----------
140,301
----------
GENERAL BUSINESS - 3.0%
American Greetings Corp. Class A 10,500 324
Automatic Data Processing, Inc. 42,600 1,816
Block (H&R) Co., Inc. 14,900 438
Comcast Corp. Special Class A 46,400 829
Computer Sciences Corp. (a) 10,700 722
CUC International, Inc. (a) 60,300 1,440
Deluxe Corp. 11,600 367
Donnelley (R.R.) & Sons Co. 21,200 655
Dow Jones & Co., Inc. 13,900 558
Dun & Bradstreet Corp. 24,100 590
Ecolab, Inc. 9,100 345
First Data Corp. 67,600 2,476
Gannett Co., Inc. 20,600 1,643
Harcourt General, Inc. 10,000 471
Harland (John H.) Co. 4,100 124
Interpublic Group Cos., Inc. 11,600 581
Knight-Ridder, Inc. 13,700 545
McGraw-Hill, Inc. 14,100 731
Semiannual Report 7
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Meredith Corp. 3,900 $ 191
Moore Corp., Ltd. 13,900 308
New York Times Co. Class A 13,900 619
Safety-Kleen Corp. 8,600 155
SBC Communications, Inc. 90,300 5,191
Service Corp. International 33,500 972
Tele-Communications, Inc. Class A (a) 96,000 1,140
Time Warner, Inc. 85,400 3,501
Times Mirror Co. Series A 14,000 721
Tribune Co. 17,400 683
Viacom, Inc. Class B (a) 51,811 1,826
----------
29,962
----------
MISCELLANEOUS - 0.3%
Cognizant Corp. 24,100 840
Providian Corp. 13,500 754
Tenneco, Inc. 24,500 965
----------
2,559
----------
SHELTER - 0.5%
Armstrong World Industries, Inc. 6,200 427
Centex Corp. 4,300 174
Georgia Pacific Corp. 13,000 1,014
Kaufman & Broad Home Corp. 5,600 79
Louisiana Pacific Corp. 15,500 329
Masco Corp. 22,600 794
Owens-Corning Fiberglas Corp. 7,300 309
Pulte Corp. 3,300 113
Sherwin-Williams Co. 12,200 685
Weyerhaeuser Co. 29,200 1,350
----------
5,274
----------
TECHNOLOGY - 13.9%
3Com Corp. (a) 24,800 818
Advanced Micro Devices, Inc. (a) 20,900 750
AlliedSignal, Inc. 42,600 3,078
Amdahl Corp. (a) 16,500 163
AMP, Inc. 33,732 1,311
Andrew Corp. (a) 8,712 477
Apple Computer, Inc. (a) 17,400 283
Applied Materials, Inc. (a) 26,400 1,333
Autodesk, Inc. 6,300 213
Avery Dennison Corp. 15,200 614
Bay Networks, Inc. (a) 27,700 526
Boeing Co. 53,623 5,455
Cabletron Systems, Inc. (a) 22,300 669
Ceridian Corp. (a) 9,500 372
Cisco Systems, Inc. (a) 97,100 5,377
COMPAQ Computer Corp. (a) 40,700 3,225
Computer Associates International, Inc. 55,075 2,396
Data General Corp. (a) 5,500 107
Dell Computer Corp. (a) 26,400 1,878
Digital Equipment Corp. (a) 22,100 724
EG&G, Inc. 7,200 157
EMC Corp. (a) 35,700 1,285
General Dynamics Corp. 9,000 605
General Instrument Corp. (a) 19,800 470
Guidant Corp. 10,500 704
Harris Corp. 5,700 420
Hewlett-Packard Co. 151,600 8,489
Honeywell, Inc. 19,400 1,380
Intel Corp. 122,000 17,308
Intergraph Corp. (a) 8,100 66
International Business Machines Corp. 77,100 11,082
Lockheed Martin Corp. 28,123 2,489
LSI Logic Corp. (a) 18,400 635
Lucent Technologies, Inc. 95,268 5,132
McDonnell Douglas Corp. 31,000 1,969
Micron Technology, Inc. 31,000 1,163
Microsoft Corp. (a) 177,800 17,312
Motorola, Inc. 88,700 4,956
National Semiconductor Corp. (a) 19,200 502
Northern Telecom, Ltd. 38,900 2,796
Northrop Grumman Corp. 8,100 588
8 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Novell, Inc. (a) 48,500 $ 491
Oracle Systems Corp. (a) 98,625 3,871
Perkin-Elmer Corp. 6,200 440
Pitney Bowes, Inc. 22,000 1,367
Raytheon Co. 36,000 1,697
Rockwell International Corp. 31,900 2,066
Scientific-Atlanta, Inc. 10,800 181
Seagate Technology (a) 36,800 1,739
Shared Medical Systems 3,400 186
Silicon Graphics, Inc. (a) 24,900 601
Sun Microsystems, Inc. (a) 53,900 1,664
Tandem Computers, Inc. (a) 17,400 218
Tandy Corp. 8,200 413
Tektronix, Inc. 4,600 224
Tellabs, Inc. (a) 26,000 1,034
Texas Instruments, Inc. 27,700 2,136
Textron, Inc. 12,200 1,203
Thermo Electron Corp. (a) 21,100 720
Thomas & Betts Corp. 7,500 335
TRW, Inc. 19,700 1,032
Unisys Corp. (a) 23,800 161
United Technologies Corp. 36,300 2,732
Xerox Corp. 48,900 3,056
----------
136,844
----------
TRANSPORTATION - 1.1%
Burlington Northern, Inc. 22,369 1,862
Caliber Systems, Inc. 6,000 137
Conrail, Inc. 11,586 1,211
CSX Corp. 33,100 1,527
Federal Express Corp. (a) 16,400 845
Laidlaw, Inc. Class B 45,200 627
Navistar International Corp. (a) 11,050 106
Norfolk Southern Corp. 18,300 1,668
Ryder System, Inc. 12,000 378
Union Pacific Corp. 35,700 2,150
----------
10,511
----------
UTILITIES - 8.8%
Airtouch Communications, Inc. (a) 73,100 1,992
Alltel Corp. 27,000 955
American Electric Power Co., Inc. 28,900 1,207
Ameritech Corp. 82,200 5,239
AT&T Corp. 241,500 9,629
Baltimore Gas & Electric Co. 21,100 580
Bell Atlantic Corp. 65,600 4,535
BellSouth Corp. 148,300 6,951
Carolina Power & Light Co. 21,800 809
Central & Southwest Corp. 31,800 775
CINergy Corp. 22,426 774
Coastal Corp. 15,100 687
Columbia Gas System, Inc. 8,000 470
Consolidated Edison Co. 34,600 1,068
Consolidated Natural Gas Co. 13,500 689
Dominion Resources, Inc. 26,200 1,055
DTE Energy Co. 20,800 629
Duke Power Co. 30,900 1,367
Eastern Enterprises, Inc. 2,700 91
Edison International 66,300 1,425
Enron Corp. 37,500 1,495
ENSERCH Corp. 10,000 210
Entergy Corp. 36,000 950
FPL Group, Inc. 28,100 1,279
Frontier Corp. 23,100 511
GPU, Inc. 16,900 592
GTE Corp. 143,600 6,712
Houston Industries, Inc. 33,100 770
MCI Communications Corp. 102,900 3,679
Niagara Mohawk Power Corp. (a) 20,100 206
NICOR, Inc. 7,300 245
Northern States Power Co. 9,700 462
NYNEX Corp. 66,100 3,404
Ohio Edison Co. 21,700 488
ONEOK, Inc. 3,400 97
Pacific Enterprises 11,800 360
Pacific Telesis Group 64,700 2,637
Semiannual Report 9
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
PacifiCorp. 45,900 $ 947
Peco Energy Co. 31,700 713
Peoples Energy Corp. 4,900 166
PG&E Corp. 63,200 1,454
PP&L Resources, Inc. 23,200 531
Public Service Enterprise Group, Inc. 37,000 1,041
Sonat, Inc. 12,400 570
Southern Co. 102,000 2,219
Sprint Corp. 64,900 2,953
Texas Utilities Co. 34,400 1,389
U.S. West Communications Group 72,100 2,596
U.S. West Media Group (a) 91,700 1,685
Unicom Corp. 30,500 679
Union Electric Co. 14,500 556
Williams Cos. (The) 22,890 1,001
WorldCom, Inc. (a) 129,197 3,440
----------
86,964
----------
TOTAL COMMON STOCKS
(cost $653,732) 897,028
----------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
SHORT-TERM INVESTMENTS - 9.7%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) $ 29,791 $ 29,791
Federal Home Loan Mortgage
Discount Notes (b)(c)
5.175% due 03/19/97 20,000 19,948
United States Treasury Bills (c)(d)
4.900% due 03/06/97 (b) 2,000 1,998
4.975% due 03/06/97 (b) 700 700
5.090% due 03/06/97 (b) 300 300
5.099% due 03/06/97 (b) 500 500
5.010% due 05/22/97 500 495
Valiant Money Market Fund Class A (b) 41,637 41,637
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $95,369) 95,369
----------
TOTAL INVESTMENTS
(identified cost $749,101)(e) - 100.9% 992,397
OTHER ASSETS AND LIABILITIES,
NET - (0.9%) (9,160)
----------
Net Assets - 100.0% $ 983,237
----------
----------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral by the custodian in connection
with futures contracts purchased by the Fund.
(e) See Note 2 for federal income tax information.
ABBREVIATIONS:
ADR - American Depositary Receipt
NPV - No Par Value
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
---------- --------------
FUTURES CONTRACTS
(Notes 2 and 3)
S&P 500 Financial Futures Contracts
Expiration date 3/97 61 $ 1,256
S&P 500 Financial Futures Contracts
Expiration date 6/97 152 1,635
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (*) $ 2,891
----------
----------
(*) At February 28, 1997, United States Treasury Bills valued at $3,993 were
held as collateral by the custodian in connection with open futures
contracts held by the Fund.
The accompanying notes are an integral part of the financial
statements.
Semiannual Report 11
<PAGE>
SSgA
S&P 500 INDEX FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $749,100,898)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . $ 992,396,515
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,068,586
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 792,705
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,596,268
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,581
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,803
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 998,868,458
LIABILITIES
Payables (Note 4):
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15,142,566
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 167,617
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,400
Daily variation margin on futures contracts (Notes 2 and 3) . . . . . . . . . . . . . 273,633
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,631,216
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 983,237,242
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,949,096
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,704,160
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243,295,617
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,890,745
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59,036
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 717,338,588
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 983,237,242
--------------
--------------
Net asset value, offering and redemption price per share
($983,237,242 divided by 59,035,987 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $16.65
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends (net of foreign taxes withheld of $42,197). . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,459,615
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152,151
--------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,611,766
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 422,197
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126,989
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96,157
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124,630
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,840
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,332
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135,125
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116,205
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,695
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 3,455
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,442
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,152,067
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (422,197)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 729,870
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,881,896
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,446,843
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,794,460 18,241,303
--------------
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135,373,707
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,190,587 138,564,294
-------------- --------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156,805,597
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 165,687,493
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSgA
S&P 500 INDEX FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,881,896 $ 14,122,007
Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,241,303 41,151,423
Net change in unrealized appreciation or depreciation . . . . . . . . . . . . . . 138,564,294 39,900,914
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 165,687,493 95,174,344
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,843,214) (13,346,365)
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . (34,689,773) (15,876,026)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 157,400,113 93,531,144
----------------- -----------------
Increase (Decrease) in Net Assets. . . . . . . . . . . . . . . . . . . . . . . . . . 278,554,619 159,483,097
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 704,682,623 545,199,526
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of
$2,949,096 and $3,910,414, respectively). . . . . . . . . . . . . . . . . . . . . $ 983,237,242 $ 704,682,623
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . 20,239,515 $ 317,290,753 28,848,452 $ 405,663,643
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 2,906,585 43,471,735 2,045,239 27,581,669
Fund shares redeemed . . . . . . . . . . . . . (13,020,894) (203,362,375) (24,529,017) (339,714,168)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . . 10,125,206 $ 157,400,113 6,364,674 $ 93,531,144
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994 1993**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 14.41 $ 12.81 $ 10.89 $ 10.72 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . .16 .32 .29 .26 .15
Net realized and unrealized gain (loss)
on investments . . . . . . . . . . . . . . . . . . . 2.94 1.98 1.95 .29 .65
---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . 3.10 2.30 2.24 .55 .80
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . (.19) (.31) (.29) (.26) (.08)
Net realized gain on investments. . . . . . . . . . . . (.67) (.39) (.03) (.07) --
In excess of net realized gain on investments . . . . . -- -- -- (.05) --
---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . (.86) (.70) (.32) (.38) (.08)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 16.65 $ 14.41 $ 12.81 $ 10.89 $ 10.72
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . 22.25 18.46 21.11 5.29 8.06
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b)(c). . . . . . . . . . . . . . . . . . .17 .18 .19 .15 .15
Operating expenses, gross, to average
net assets (b)(c). . . . . . . . . . . . . . . . . . .27 .28 .29 .25 .35
Net investment income to average
net assets (b) . . . . . . . . . . . . . . . . . . . 2.10 2.32 2.76 2.69 3.02
Portfolio turnover (b). . . . . . . . . . . . . . . . . 8.04 28.72 38.56 7.97 48.10
Net assets, end of period ($000 omitted). . . . . . . . 983,237 704,683 545,200 361,712 238,666
Per share amount of fees waived ($ omitted)(c). . . . . .0075 .0135 .0107 .0030 .0027
Per share amount of fees reimbursed ($ omitted) . . . . -- -- -- .0067 .0071
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . . . . . . .0162 .0115 N/A N/A N/A
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period December 30, 1992 (commencement of operations) to
August 31, 1993.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1993 are
annualized.
(c) See Note 4 for current period amounts.
Semiannual Report 15
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA S&P 500 Index Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: United States equity securities listed and traded
principally on any national securities exchange are valued on the basis of
the last sale price or, lacking any sale, at the closing bid price, on the
primary exchange on which the security is traded. United States
over-the-counter equities, 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.
International securities traded on a national securities exchange are
valued on the basis of the last sale price. International securities traded
over the counter are valued on the basis of the mean of bid prices. In the
absence of a last sale or mean bid price, respectively, such securities may
be valued on the basis of prices provided by a pricing service if those
prices are believed to reflect the fair market value of such securities.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed, unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Fund 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded daily on the accrual basis.
16 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
taxes and no federal income tax provision was required.
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 655,094,000 $ 250,092,095 $ (8,158,106) $ 241,933,989
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 quarterly. Capital gain distributions 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) from
investment transactions for a reporting period may differ significantly
from distributions during such period. The differences between tax
regulations and GAAP relate primarily to investments in options, futures
and certain securities sold at a loss. Accordingly, the Fund may
periodically make reclassifications among certain of its capital accounts
without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's
Semiannual Report 17
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
Adviser will monitor repurchase agreements daily to determine that the
market value (including accrued interest) of the underlying securities
remains equal to at least 100% of the repurchase price at Fedwire closing
time. The Adviser or third-party custodian will notify the seller to
immediately increase the collateral on the repurchase agreement to 102% of
the repurchase price if collateral falls below 100%.
DERIVATIVES: To the extent permitted by the investment objectives,
restrictions and policies set forth in the Fund's Prospectus and Statement
of Additional Information, the Fund may participate in various
derivative-based transactions. Derivative securities are instruments or
agreements whose value is derived from an underlying security or index.
These instruments offer unique characteristics and risks that assist the
Fund to meet its investment objective.
The Fund typically uses derivatives for cash equitization. Cash
equitization is a technique that is used by the Fund through the use of
options and futures to earn "market-like" returns with the Fund's excess
and liquidity reserve cash balances. By purchasing certain instruments, a
fund may more effectively achieve the desired portfolio characteristics
that allow the fund to meet its investment objective. The Fund uses futures
and options contracts solely for the purpose of cash management. The
primary risks associated with the use of derivatives are generally
categorized as market risk.
FUTURES: The Fund is 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 Fund and the prices of futures contracts and the possibility of
an illiquid market. 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.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases and sales of investment securities, excluding short-term
investments, futures contracts and repurchase agreements, aggregated to
$109,560,087 and $31,658,881, respectively.
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
six months ended February 28, 1997, were as follows:
FUTURES CONTRACTS
----------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
------------- -------------
Outstanding at August 31, 1996 92 $ 30,531,042
Contracts opened 482 175,686,555
Contracts closed (361) (124,360,742)
------------- -------------
Outstanding at February 28, 1997 213 81,856,855
------------- -------------
------------- -------------
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
18 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .10% of its average daily net assets. For the six months ended February
28, 1997, the Adviser voluntarily agreed to waive up to the full amount of
its advisory fee to the extent that total expenses exceed .15% of its
average daily net assets on an annual basis. The Investment Company also
has contracts with the Adviser to provide custody, shareholder servicing
and transfer agent services to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), and the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .050%, and
.050% to the Adviser, RIS, and Commercial Banking, respectively based
Semiannual Report 19
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
upon the average daily value of all Fund shares held by or for customers of
these Agents. For the six months ended February 28, 1997, the Fund incurred
expenses of $105,549 and $24,888, or a total of $130,437, from the Adviser
and RIS, respectively. The Fund did not incur any expenses from Commercial
Banking during this period. The remaining amount of $4,688 was paid to
other third-party providers.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
AFFILIATED BROKERAGE: The Fund placed a portion of its portfolio
transactions with SSBSI, an affiliated broker dealer of the Fund's Adviser.
The commissions paid to SSBSI were $6,960 for the six months ended February
28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Administration fees $ 21,103
Custodian fees 32,720
Distribution fees 17,847
Shareholder servicing fees 16,313
Transfer agent fees 79,191
Trustees' fees 443
-----------
$ 167,617
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, two shareholders were each
record owners of approximately 15% of the total outstanding shares of the
Fund.
5. DIVIDENDS
On March 3, 1997, the Board of Trustees declared a dividend of $.0496 from
net investment income, payable on March 11, 1997, to shareholders of record
on March 4, 1997.
20 Semiannual Report
<PAGE>
SSgA S&P 500 INDEX FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
21 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
SMALL CAP FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-sm-
SMALL CAP FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 11
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 16
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. RUSSELL FUND DISTRIBUTORS,
INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
SMALL CAP FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
COMMON STOCKS - 96.9%
BASIC INDUSTRIES - 5.9%
Amcast Industrial Corp. 4,100 $ 95
Birmingham Steel Corp. 31,600 573
Buckeye Cellulose Corp. (a) 10,000 301
Cleveland-Cliffs, Inc. 17,100 735
Dexter Corp. 1,100 32
Intermet Corp. 43,100 641
Mississippi Chemical Corp. 37,300 914
Precision Castparts Corp. 19,400 951
Quanex Corp. 7,200 193
Spartech Corp. 12,000 140
Zeigler Coal Holding Co. 24,000 608
----------
5,183
----------
CAPITAL GOODS - 7.9%
ABT Building Products Corp. (a) 10,100 227
Barnes Group, Inc. 2,400 160
Belden, Inc. 23,600 841
D.R. Horton, Inc. 37,400 468
Epic Design Technology, Inc. (a) 16,700 434
Kaydon Corp. 5,900 255
Lindsay Manufacturing Co. 4,200 195
MagneTek, Inc. (a) 61,400 1,021
Manitowoc Co., Inc. 4,650 156
Novellus Systems, Inc. (a) 7,900 644
Park Electrochemical Corp. 11,100 271
Sanmina Corp. (a) 19,800 906
U.S. Filter Corp. (a) 11,000 385
United Waste Systems, Inc. (a) 29,000 1,043
----------
7,006
----------
CONSUMER BASICS - 14.6%
AmeriSource Health Corp. Class A (a) 19,900 1,002
Bindley Western Industries, Inc. 800 15
Church and Dwight Co., Inc. 9,100 242
Dean Foods Co. 32,500 1,060
Dura Pharmaceuticals, Inc. (a) 17,700 591
Fedders Corp. 30,000 191
Genesis Health Ventures, Inc. (a) 7,200 249
Herbalife International, Inc. 6,200 130
Hudson Foods, Inc. Class A 44,800 784
Inphynet Medical Management, Inc. (a) 22,000 613
International Multifoods Corp. 6,000 127
Invacare Corp. 11,400 271
Jones Medical Industries, Inc. 25,700 777
NovaCare, Inc. (a) 82,000 1,025
Patterson Dental Co. (a) 21,000 709
Quality Food Centers, Inc. (a) 10,100 370
Rexall Sundown, Inc. (a) 22,000 569
RoTech Medical Corp. (a) 38,000 684
RP Scherer Corp. (a) 17,700 1,022
Smith's Food & Drug Centers, Inc. Class B (a) 11,700 385
Sofamor/Danek Group, Inc. (a) 23,900 947
Universal Health Services, Inc. Class B (a) 34,800 1,189
----------
12,952
----------
CONSUMER DURABLES - 2.0%
Carlisle Cos., Inc. 5,000 164
Coachmen Industries, Inc. 23,200 470
Ethan Allen Interiors, Inc. 11,500 528
Furniture Brands International, Inc. (a) 39,400 580
----------
1,742
----------
CONSUMER NON-DURABLES - 9.4%
Arbor Drugs, Inc. 36,700 697
Burlington Industries, Inc. (a) 61,200 788
Carson Pirie Scott & Co. (a) 1,200 33
Dress Barn, Inc. (a) 20,100 344
Semiannual Report 3
<PAGE>
SSgA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Genesco, Inc. (a) 60,800 $ 578
Guilford Mills, Inc. 3,600 103
Land's End, Inc. (a) 27,200 755
Mohawk Industries, Inc. (a) 13,600 355
Nautica Enterprises, Inc. (a) 14,200 355
Pier 1 Imports, Inc. 14,100 245
Ross Stores, Inc. 25,400 1,213
St. John Knits, Inc. 26,900 1,103
Stein Mart, Inc. (a) 25,300 595
Tiffany & Co. 26,000 904
Zale Corp. (a) 11,700 215
----------
8,283
----------
CONSUMER SERVICES - 1.3%
CKE Restaurants, Inc. 17,650 342
GC Companies, Inc. (a) 3,100 117
Ruby Tuesday, Inc. (a) 21,600 373
Ryan's Family Steak Houses, Inc. (a) 44,600 326
----------
1,158
----------
ENERGY - 4.5%
BJ Services Co. (a) 7,900 314
Camco International, Inc. 12,400 479
Marine Drilling Co, Inc. (a) 30,500 454
Mitchell Energy & Development Corp. Class B 9,600 206
Parker & Parsley Petroleum Co. 30,700 906
Smith International, Inc. (a) 16,200 658
Vintage Petroleum, Inc. 33,000 994
----------
4,011
----------
FINANCE - 16.1%
Aames Financial Corp. 32,400 976
Acceptance Insurance Companies, Inc. (a) 700 15
Allied Group, Inc. 5,250 176
American Bankers Insurance Group, Inc. 11,700 644
Astoria Financial Corp. 11,400 490
CDI Corp. (a) 7,400 240
CitiFed Bancorp, Inc. 6,900 237
City National Corp. 50,200 1,217
CMAC Investment Corp. 30,800 1,078
Community First Bankshares, Inc. 20,200 614
Cullen Frost Bankers, Inc. 4,600 164
Enhance Financial Services Group, Inc. 1,300 45
First American Financial Corp. 7,800 320
First Financial Corp. 13,800 366
Fremont General Corp. 32,300 933
Horace Mann Educators Corp. 9,000 386
Imperial Bancorp (a) 10,890 285
Legg Mason, Inc. 1,300 58
MAF Bancorp, Inc. 660 27
Magna Group, Inc. 14,200 453
Money Store, Inc. 27,000 699
National Commerce Bancorp 9,000 396
ONBANCorp, Inc. 18,100 803
Orion Capital Corp. 11,900 762
Peoples Heritage Financial Group 20,900 653
Provident Bancorp, Inc. 2,475 90
RAC Financial Group, Inc. (a) 600 20
Security Capital Corp. 3,400 289
Security Connecticut Corp. 9,300 432
T R Financial Corp. 11,300 397
Union Acceptance Corp., Class A (a) 14,800 265
USBANCORP, Inc. 4,000 190
Vesta Insurance Group, Inc. 14,700 574
----------
14,294
----------
GENERAL BUSINESS - 4.5%
Interim Services, Inc. (a) 11,000 415
4 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Logicon, Inc. 11,400 $ 430
National Data Corp. 31,300 1,099
Norrell Corp. 22,100 591
Personnel Group of America, Inc. (a) 5,200 133
PHH Group, Inc. 16,200 776
Pulitzer Publishing Co. 11,100 535
----------
3,979
----------
MISCELLANEOUS - 4.9%
Apartment Investment &
Management Co. Class A 15,400 447
Bay Apartment Communities, Inc. 11,800 423
Cali Realty Corp. 11,700 374
Duke Realty Investments, Inc. 11,900 477
Federal Realty Investment Trust 4,400 118
General Growth Properties, Inc. 15,100 462
Health Care, Inc. 12,700 316
Health Care Property Investors, Inc. 12,600 430
Irvine Apartment Communities, Inc. 16,000 432
JDN Realty Corp. 2,800 81
TriNet Corporate Realty Trust, Inc. 9,700 330
Urban Shopping Centers, Inc. 14,800 465
----------
4,355
----------
SHELTER - 4.1%
Centex Corp. 30,700 1,240
Champion Enterprises, Inc. (a) 42,800 829
Continental Homes Holding Corp. 30,600 650
U.S. Home Corp. (a) 35,100 952
----------
3,671
----------
TECHNOLOGY - 16.9%
Applied Magnetics Corp. (a) 27,400 1,065
Banctec, Inc. (a) 38,200 974
Coltec Industries, Inc. (a) 26,200 478
Data General Corp. (a) 43,600 845
ESS Technology, Inc. (a) 28,900 759
Esterline Corp. (a) 15,100 381
HPR, Inc. (a) 27,200 367
Hutchinson Technology, Inc. (a) 30,000 964
Hyperion Software Corp. (a) 32,400 636
In Focus Systems, Inc. (a) 32,600 660
Kulicke & Soffa Industries, Inc. (a) 32,500 861
Medic Computer Systems, Inc. (a) 6,200 219
P-COM, Inc. (a) 24,400 775
Project Software & Development, Inc. (a) 11,900 415
SMART Modular Technologies, Inc. (a) 29,700 861
SPSS, Inc. (a) 6,700 168
Stratus Computer, Inc. (a) 29,800 1,009
Symantec Corp. (a) 59,800 934
Tech Data Corp. (a) 44,200 1,055
Thiokol Corp. 17,200 959
Trident Microsystems, Inc. (a) 24,200 542
----------
14,927
----------
TRANSPORTATION - 1.1%
Air Express International Corp. 1,300 40
Seacor Holdings, Inc. (a) 20,000 927
----------
967
----------
UTILITIES - 3.7%
Aliant Communications, Inc. 4,200 70
Central Hudson Gas & Electric Corp. 13,200 436
Commonwealth Energy System 15,600 349
New Jersey Resources Corp. 3,000 86
Northwestern Public Service Co. 1,000 38
Piedmont Natural Gas Co., Inc. 15,100 357
Public Service Co. of New Mexico 26,500 487
Rochester Gas & Electric Corp. 16,200 322
Semiannual Report 5
<PAGE>
SSgA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Sierra Pacific Resources 14,500 $ 424
Washington Gas & Light Co. 13,800 305
Western Gas Resources, Inc. 15,400 287
WICOR, Inc. 4,600 161
----------
3,322
----------
TOTAL COMMON STOCKS
(cost $75,940) 85,850
----------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
SHORT-TERM INVESTMENTS - 3.3%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) $ 2,891 2,891
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $2,891) 2,891
----------
TOTAL INVESTMENTS
(identified cost $78,831)(c) - 100.2% 88,741
OTHER ASSETS AND LIABILITIES,
NET - (0.2%) (181)
----------
NET ASSETS - 100.0% $ 88,560
----------
----------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $78,831,098)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . $ 88,741,414
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,702
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,536,185
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 435,195
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,560
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91,776,056
LIABILITIES
Payables (Note 4):
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,872,173
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221,340
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 122,355
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,215,868
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 88,560,188
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 42,520
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,749,543
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 9,910,316
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,916
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,852,893
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 88,560,188
--------------
--------------
Net asset value, offering and redemption price per share
($88,560,188 divided by 4,916,008 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $18.01
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
SMALL CAP FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 417,476
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,572
--------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 427,048
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 267,079
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,264
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,146
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,612
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,221
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,578
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,753
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,397
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,400
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 1,536
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,443
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 355,429
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,619
--------------
REALIZED AND UNREALIZED,
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,845,842
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . . 4,323,438
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,169,280
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 6,240,899
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 71,619 $ 95,947
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 1,845,842 4,781,702
Net change in unrealized appreciation
or depreciation of investments . . . . . . . . . . . . . . . . . . . . . . . . 4,323,438 2,395,398
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 6,240,899 7,273,047
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (44,192) (143,509)
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . (4,408,203) (357,587)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 31,563,662 25,134,629
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 33,352,166 31,906,580
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 55,208,022 23,301,442
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of
$42,520 and $15,093, respectively). . . . . . . . . . . . . . . . . . . . . . . . $ 88,560,188 $ 55,208,022
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . 2,232,795 $ 40,464,603 2,112,827 $ 33,923,420
Fund shares issued to shareholders
in reinvestments of distributions . . . . 236,994 4,094,480 30,787 462,930
Fund shares redeemed . . . . . . . . . . . . (719,034) (12,995,421) (594,383) (9,251,721)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . 1,750,755 $ 31,563,662 1,549,231 $ 25,134,629
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSgA
SMALL CAP FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995+ 1994 1993 1992**
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 17.44 $ 14.42 $ 11.88 $ 12.24 $ 10.09 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . .01 .04 .13 .21 .22 .04
Net realized and unrealized gain
on investments . . . . . . . . . . . . . . 1.79 3.25 3.19 .24 2.14 .05
---------- ---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . . 1.80 3.29 3.32 .45 2.36 .09
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . (.01) (.07) (.15) (.21) (.21) --
Net realized gain on investments. . . . . . . (1.22) (.20) (.58) (.60) -- --
In excess of net realized gain on investments -- -- (.05) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . (1.23) (.27) (.78) (.81) (.21) --
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $18.01 17.44 $14.42 11.88 12.24 10.09
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 10.66 23.14 30.04 3.90 23.66 .90
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b) . . . . . . . . . . . . . . 1.00 1.00 .97 .30 .25 .25
Operating expenses, gross, to average
net assets (b) . . . . . . . . . . . . . . 1.00 1.18 1.58 .81 1.18 1.71
Net investment income to average
net assets (b) . . . . . . . . . . . . . . .20 .26 .81 1.73 1.85 2.55
Portfolio turnover (b). . . . . . . . . . . . 93.87 76.85 192.88 44.86 81.14 4.59
Net assets, end of period ($000 omitted). . . 88,560 55,208 23,301 25,716 34,815 9,392
Per share amount of fees waived
($ omitted). . . . . . . . . . . . . . . . -- -- .0261 .0046 .0083 .0021
Per share amount of fees reimbursed
($ omitted). . . . . . . . . . . . . . . . -- .0277 .0730 .0582 .1040 .0226
Average commission rate paid per share
of security ($ omitted). . . . . . . . . . .0330 .0368 N/A N/A N/A N/A
</TABLE>
+ Prior to November 22, 1994, the Fund was passively managed as the
S&P Midcap Index Fund.
* For the six months ended February 28, 1997 (Unaudited).
** For the period July 1, 1992 (commencement of operations) to
August 31, 1992.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1992 are
annualized.
10 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Small Cap Fund (the "Fund").
Prior to November 22, 1994, the Fund was passively managed under the name
of The Seven Seas Series S&P Midcap Index Fund. Effective November 23,
1994, the name and investment objective of the Fund was changed pursuant to
a shareholder vote. The Investment Company is a registered and diversified
open-end investment company, as defined in the Investment Company Act of
1940, as amended (the "1940 Act"), that was organized as a Massachusetts
business trust on October 3, 1987 and operates under a First Amended and
Restated Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: United States equity securities listed and traded
principally on any national securities exchange are valued on the basis of
the last sale price or, lacking any sale, at the closing bid price, on the
primary exchange on which the security is traded. United States
over-the-counter equities are valued on the basis of the closing bid price.
Futures contracts are valued on the basis of last sale price.
International securities traded on a national securities exchange are
valued on the basis of the last sale price. International securities traded
over the counter are valued on the basis of the mean of bid prices. In the
absence of a last sale or mean bid price, respectively, such securities may
be valued on the basis of prices provided by a pricing service if those
prices are believed to reflect the fair market value of such securities.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed, unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Fund 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
Semiannual Report 11
<PAGE>
SSgA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded daily on the accrual basis.
AMORTIZATION AND ACCRETION: All zero-coupon bond discounts and original
issue discounts are accreted for both tax and financial reporting purposes.
All short- and long-term market premiums/discounts are amortized/accreted
for both tax and financial reporting purposes.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required.
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 75,939,662 $ 11,746,650 $ (1,836,334) $ 9,910,316
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 quarterly. Capital gain distributions 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) on
investment and foreign currency-related transactions for a reporting period
may differ significantly from distributions during such period. The
differences between tax regulations and GAAP relate primarily to
investments in foreign denominated investments, redemptions in kind, and
certain securities sold at a loss. Accordingly, the Fund may periodically
make reclassifications among certain of its capital accounts without
impacting its net asset value.
12 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
DERIVATIVES: To the extent permitted by the investment objective,
restrictions and policies set forth in the Fund's Prospectus and Statement
of Additional Information, the Fund may participate in various
derivative-based transactions. Derivative securities are instruments or
agreements whose value is derived from an underlying security or index. The
Fund's use of derivatives includes exchange-traded futures and options on
futures. These instruments offer unique characteristics and risks that
assist the Fund in meeting its investment objective.
FUTURES: The Fund may utilize futures contracts to a limited extent. 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 Fund and the prices of futures contracts, and the possibility of an
illiquid market. 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.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the period ended February 28, 1997, purchases
and sales of investment securities, excluding short-term investments
aggregated to $58,353,636 and $32,415,439, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. From the inception date of the Fund
to November 22, 1994, the Fund paid a fee to the Adviser at the annual rate
of .20% of its average daily net assets. Effective November 23, 1994,
pursuant to a shareholder vote, the Fund pays a fee to the Adviser
calculated daily and paid monthly, at an annual rate of .75% of its average
daily net assets. For the six months ended February 28, 1997, the Adviser
voluntarily agreed to reimburse the Fund for all expenses in excess of
Semiannual Report 13
<PAGE>
SSgA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
1.00% of average daily net assets on an annual basis. As of February 28,
1997, the receivable due from the Adviser for expenses in excess of the
expense cap has been netted against the Adviser fee payable. The Investment
Company also has contracts with the Adviser to provide custody, shareholder
servicing and transfer agent services to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS"), and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%
and .175% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $8,903 and $3,850, or a total of $12,753, from
the Adviser and SSBSI, respectively. The Fund did not incur any expenses
from RIS or Commercial Banking during this period.
14 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
AFFILIATED BROKERAGE: The Fund placed a portion of its portfolio
transactions with SSBSI, an affiliated broker dealer of the Fund's Adviser.
The commissions paid to SSBSI were $21,725 for the six months ended
February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees 104,014
Administration fees 1,982
Custodian fees 5,908
Distribution fees 1,546
Shareholder servicing fees 3,557
Transfer agent fees 5,281
Trustees' fees 67
-----------
122,355
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, two shareholders (who are
also affiliates of the Investment Company) were record owners of
approximately 18% and 13%, respectively, of the total outstanding shares of
the Fund.
Semiannual Report 15
<PAGE>
SSgA SMALL CAP FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Fund Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
ACTIVE INTERNATIONAL FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
ACTIVE INTERNATIONAL FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 16
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 22
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INTERNATIONAL MARKETS
ENTAIL DIFFERENT RISKS THAN THOSE TYPICALLY ASSOCIATED WITH DOMESTIC MARKETS,
INCLUDING CURRENCY FLUCTUATIONS, POLITICAL AND ECONOMIC INSTABILITY, ACCOUNTING
CHANGES AND FOREIGN TAXATION. SECURITIES MAY BE LESS LIQUID AND MORE VOLATILE.
PLEASE SEE THE PROSPECTUS FOR FURTHER DETAILS. RUSSELL FUND DISTRIBUTORS, INC.,
IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
COMMON STOCKS - 89.5%
AUSTRIA - 1.3%
Austrian Airlines 1,100 $ 164
BWT AG 400 42
EA-Generali AG 200 55
Fotex (Regd) 22,000 17
Oester Elektrizita Class A 1,800 131
OMV AG 1,600 189
Perlmooser Zementwerke AG 970 50
Steyr-Daimler-Puch 7,800 138
----------
786
----------
BRAZIL - 1.0%
Banco Bradesco SA NPV 1,871,000 15
Banco Itau SA NPV 275,200 123
Sider Nacional cia NPV 3,015,400 111
Telecomunicacoes Brasileiras NPV 3,798,600 360
----------
609
----------
COLOMBIA - 1.0%
Banco Ganadero SA Class B - ADR 10,900 334
Banco Industrial Colombiano SA - ADR 5,600 102
Cementos Diamante SA - GDR 14,300 199
----------
635
----------
CZECH REPUBLIC - 1.2%
CEZ 6,600 273
Chemopetrol Group AS 1,500 73
Cokoladovny AS (a) 300 44
Inzenyrske a Prumyslove Stavby AS (a) 1,100 12
SPT Telecom AS 2,800 363
----------
765
----------
FRANCE - 10.8%
Assurances Generales de France 12,400 437
Banque Nationale Paris 5,872 267
Casino Guich-Perr 7,900 361
CGIP 1,369 391
Christian Dior 2,700 393
Compagnie Bancaire SA 3,750 455
Credit Lyonnais Cert d'Invest. 14,650 583
Eurafrance 771 364
Eurotunnel/Euro SA Units 310,300 384
Finextel (Soc. Fin.) 2,142 36
Galeries Lafayette 450 166
Guyenne et Gascogne 1,111 97
Groupe Andre SA (a) 1,634 138
GTM - Entrepose 6,413 345
L'Oreal (Societe) 350 119
La Rochette 15,100 82
Lyonnais Eaux Dumez 875 89
Peugeot SA 4,625 512
Sanofi SA 1,882 186
Scor SA 1,450 61
Societe Nationale Elf d'Aquitaine 7,669 734
Sommer Allibert 4,850 147
UFB Locabail 3,500 337
Usinor Sacilor 3,362 51
----------
6,735
----------
GERMANY - 10.0%
Allianz AG Holdings (Regd) 300 584
AMB - Aachener & Muenchener Beteiligung (Regd) 400 275
Bankgesellschaft Berlin AG 3,500 67
BASF AG 15,350 567
Bayer AG 3,600 152
Semiannual Report 3
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Bayerische Hypotheken-und Wechsel Bank AG 3,500 $ 104
Bayerische Vereinsbank AG 9,150 336
Continental AG 20,700 404
Daimler-Benz AG 3,950 287
DBV Holding AG (Regd) 350 129
Deutsche Telekom AG 26,650 514
Dyckerhoff AG 500 196
Gerresheimer Glas AG 8,350 180
Holsten Brauere AG 1,000 195
IKB Deutsche Industriebank AG 8,250 145
Kolbenschmidt AG 13,150 210
Rheinmetall Berlin 1,150 190
Schmalbach Lubeca AG 750 154
Siemens AG 5,700 289
Strabag Bau AG (a) 600 52
Suddeutsche Zucker AG 350 159
Thyssen AG 900 191
Veba AG 2,150 123
Viag AG 1,078 474
Victoria Holding AG (Regd) 300 239
----------
6,216
----------
HONG KONG - 4.7%
Asia Satellite Telecommunications
Holdings, Ltd. (a) 27,000 71
Cathay Pacific Airways 149,000 232
Cheung Kong Holdings, Ltd. 34,000 325
Furama Hotel Entertainment 19,000 32
Great Eagle Holdings 51,751 194
Guoco Group, Ltd. 38,000 213
Hang Lung Development Co. 125,000 252
Hang Seng Bank 6,700 77
Harbour Centre Development 43,000 64
Hong Kong Electric 51,000 177
Hong Kong Telecommunications 116,400 201
Hutchison Whampoa, Ltd. 33,000 251
Kumagai Gumi Hong Kong 201,000 230
Lai Sun Garment International 114,000 166
Sun Hung Kai Properties, Ltd. 14,000 162
Wing Lung Bank 8,700 62
Yue Yuen Industrial 456,000 186
----------
2,895
----------
HUNGARY - 0.7%
Danubius Hotel (Regd) 3,323 106
Egis Gyogyszergyar 3,392 201
Fotex (Regd) 27,803 22
Pick Szeged Rt 1,144 77
Skala Coop 1,945 22
----------
428
----------
ITALY - 7.2%
Assicurazioni Generali SPA 8,800 160
Banca Commerciale Italiana 77,000 156
Banca Pop di Bergamo CV 4,000 59
Banco Ambrosiano Veneto di Risp 55,300 102
Burgo (Cartiere) SPA 32,000 147
Danieli & Co. di Risp 14,000 53
Ente Nazionale Idrocarburi SPA (Regd) 196,400 969
Fiat SPA di Risp 226,800 383
I.F.I.L. Risp NC 131,000 252
Istituto Mobiliane Italiano 34,000 297
Montefibre di Risp 44,300 24
Pirelli & Co. 78,000 109
R.A.S. di Risp 58,500 316
Recordati di Risp 36,000 147
4 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Seat SpA (a) 50,000 $ 12
Sirti SPA 44,000 272
Stet di Risp 50,000 175
Telecom Italia di Risp 362,000 728
Telecom Italia Mobile SPA - di Risp 20,000 31
Toro Assicurazioni 9,000 111
----------
4,503
----------
JAPAN - 28.5%
Aichi Machine Industries 23,000 139
Amada Co., Ltd. 36,000 263
Amada Metrecs Co. 29,000 272
Amada Sonoike Co. 37,000 173
Aoyama Trading Co. 12,900 325
Aplus Co., Ltd. 35,000 74
Asahi Bank 39,000 286
Asahi Denka Kogyo 31,000 203
Atsugi Nylon Industry 76,000 254
Bank Of Tokyo - Mitsubishi 27,000 444
Brother Industries 51,000 216
Bunka Shutter Co. 54,000 324
Chubu Electric Power Co., Inc. 4,000 71
Chugoku Electric Power 5,700 99
Chuo Trust & Banking 11,000 69
Citizen Watch Co., Ltd. 30,000 214
Dai Ichi Katei Denki 35,000 90
Daishinku Corp. 17,000 130
Daiwa Bank 70,000 282
Eiden Sakakiya Co., Ltd. 16,000 142
Fujisawa Pharmaceutical 25,000 218
Fujita Corp. 168,000 300
Godo Steel 54,000 191
Gun-Ei Chemical Industry Co. 83,000 263
Gunze, Ltd. 29,000 133
Hisamitsu Pharmaceutical Co. 20,000 144
Hitachi Transportation Systems 19,000 151
Hitachi, Ltd. 19,000 164
Hokkai Can Co. 29,000 134
Hokkaido Takushoku Bank, Ltd. 130,000 163
Hokuriku Bank 97,000 334
Hokuriku Electric Power 8,600 149
Inabata & Co. 30,000 189
Intec, Inc. 14,000 166
Itochu Fuel Corp. 46,000 287
Joshin Denki Co. 12,000 109
Kawasho Corp. 48,000 139
Keiyo Bank, Ltd. 6,000 24
Kinseki 14,000 169
Kiyo Bank 81,000 272
Kurabo Industries 107,000 268
Life Co., Ltd. 53,000 129
Makita Corp. 21,000 290
Matsushita Electric Industrial Co., Ltd. 21,000 324
Mitsubishi Gas & Chemical 50,000 184
Miyuki Keori Co., Ltd. 21,000 140
Mizuno Corp. 28,000 175
New Japan Securities Co. (a) 58,000 179
Nichia Steel Works 28,000 163
Nichiei Construction 19,000 120
Nichimo Co. 12,000 30
Nippon Conlux Co. 42,000 246
Nippon Credit Bank 100,000 199
Nippon Hume Pipe 33,000 172
Nippon Oil Co. (a) 74,000 313
Nippon Shinpan Co. 32,000 136
Nippon Valqua Industries 34,000 120
Nissan Motor Co., Ltd. 68,000 402
Nisshinbo Industries, Inc. 39,000 282
Nissho Corp. 15,000 126
Nittoc Construction Co. 19,000 110
Noritz Corp. 3,000 35
Semiannual Report 5
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Okabe Co. 21,000 $ 159
Optec Dai-Ichi Denko 45,000 140
Orient Corp. 45,000 201
Ryoden Trading Co. 23,000 138
Ryosan Co. 11,000 221
Sakura Bank 29,000 186
Sanwa Bank 12,000 139
Sanyo Special Steel Co. 78,000 214
Seino Transportation 24,000 239
Sekisui House, Ltd. 11,000 102
Senshukai Co. 26,000 227
Settsu Corp. 109,000 186
Shin Meiwa Industries 24,000 150
Shinko Shoji Co. 10,000 103
Sumisho Computer Systems Corp. 15,000 174
Suntelephone Co. 2,000 10
SXL Corp. 12,000 76
Takiron Co., Ltd. 32,000 138
Tanabe Seiyaku Co. 34,000 247
Tenma Corp. 13,000 182
Toda Kogyo Corp. 28,000 163
Toenec Corp. 7,000 36
Tokimec, Inc. 70,000 235
Tokyo Style Co. 21,000 241
Tokyo Tatemono Co., Ltd. 67,000 292
Toshiba Engineering & Construction 23,000 128
Toyo Information Systems 11,000 101
Toyo Trust & Banking 6,000 43
Toyota Motor Corp. 27,000 693
Uchida Yoko Co. 34,000 153
Victor Co. of Japan 27,000 258
Yamaichi Securities Co. 31,000 107
Yamato Kogyo Co. 12,000 108
----------
17,702
----------
NETHERLANDS - 0.4%
ABN AMRO Holdings NV 1,123 81
Pirelli Tyre Holding NV 6,618 68
Stad Rotterdam CVA 1,537 67
Van Ommeren (Kon) CVA 1,394 59
----------
275
----------
NORWAY - 3.1%
Aker AS Series B 9,400 228
Bergesen DY AS Series B 6,400 134
Christiania Bank OG Kreditkasse 46,200 173
Den Norske Creditbank AS 36,800 164
Det Norske Luftfartselskap AS Series B 10,756 107
Kvaerner Industries AS Series B 3,300 147
Norsk Hydro AS 12,000 602
Norske Skogindustrier AS Class A 5,400 166
Nycomed ASA Series B 3,889 58
Saga Petroleum AS Series A 8,300 140
----------
1,919
----------
PAKISTAN - 1.2%
Cherat Cement Co., Ltd. 21,500 15
Dewan Salmon Fibre 80,500 88
Engro Chemical (a) 10,000 46
Fauji Fertilizer (a) 39,500 78
Hub Power Co., Ltd. - GDR (a) 143,000 142
Ici Pakistan (a) 117,500 80
Karachi Electric 75,500 33
Muslim Commercial 22,500 22
Pakistan State Oil (a) 13,000 101
Pakistan Telecom New (a) 93,000 69
Sui Northern Gas 29,900 24
Sui Southern Gas Pipeline 57,500 47
----------
745
----------
6 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
PORTUGAL - 1.1%
Banco Comercial Portuguese (Regd) 5,305 $ 76
Banif Banco International do Funchal 8,296 64
Cimpor Cimentos de Portugal 1,700 37
Corticeira Amorim SGPS 4,600 57
Estabelecimentos Jeronimo Martins & Filho New (a) 699 38
Investimentos Participacoes e Gestao SA 2,400 75
Jeronimo Martins SGPS 700 38
Mague Gestao e Partipacoes 1,700 51
Modelo Continente SGPS SA 3,200 112
Portucel Industrial SA 2,300 14
Portugal Telecom SA 2,100 74
Soja de Portugal 4,000 36
Soporcel SA 900 26
----------
698
----------
SINGAPORE - 6.3%
Development Bank of Singapore, Ltd. (Alien Market) 32,000 424
Far East Levingston 37,000 152
Hai Sun Hup Group 153,000 114
Hong Kong Land Holdings, Ltd. 68,053 194
Jardine Strategic Holdings, Ltd. 52,000 171
Keppel Bank 77,000 232
Keppel Bank 2000 Warrants (a) 7,250 9
Keppel Corp. 2,000 14
Mandarin Oriental International, Ltd. 257,000 350
Metro Holdings, Ltd. 56,400 184
Neptune Orient Lines, Ltd. 199,000 172
Overseas Chinese Banking (Alien Market) 15,400 204
Singapore Airlines, Ltd. (Alien Market) 35,000 309
Singapore Land 21,000 119
Singapore Telecommunications, Ltd. 305,000 715
United Engineers 35,000 61
United Industrial Corp., Ltd. 305,000 263
United Overseas Land (a) 127,000 202
----------
3,889
----------
SOUTH KOREA - 2.1%
Cheil Industrial, Inc. 4,150 50
Daelim Industrial Co. 5,418 51
Daewoo Corp. 7,950 55
Haitai Confectionery Co., Ltd. 5,670 86
Haitai Electronics Co. (a) 4,041 47
Korea Electric Power Corp. 4,030 116
Korea First Bank 9,640 39
Korea International Trust - IDR 18* 567
Korean Air (a) 2,690 43
Kwang Ju Bank 8,010 48
L.G. Information & Communication 810 68
Orion Electric Co. 4,069 48
Tongyang Investment & Finance Corp. 4,260 48
Tongyang Nylon Co. 2,356 56
----------
1,322
----------
SPAIN - 0.2%
Banco Central Hispano Americano SA (Regd) 950 25
Dragados y Construcciones SA 1,300 20
Repsol SA 400 15
Telefonica de Espana 1,100 25
Union Electrica Fenosa 6,750 54
----------
139
----------
Semiannual Report 7
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
SWITZERLAND - 2.1%
Baloise Holdings (Regd) 30 $ 59
Banca del Gottardo Class B 55 26
Banque Cant Vaudoise 220 54
Bobst AG (BR) 50 68
Ciba Specialty Chemicals AG Rights (a) 284 18
CS Holdings (Regd) 470 50
Ems-Chemie Holding AG 10 39
Hero (BR) 55 25
Intershop Holding AG (BR) 75 39
Nestle SA (Regd) 146 159
Novartis AG (a) 80 92
Novartis AG (Regd.) 205 234
Pargesa Holdings SA (BR) 25 25
Rieter Holdings AG, Ltd. (a) 3 1
Rieter Holdings, Ltd. (Regd) 95 28
Roche Holdings Genusscheine AG NPV 30 253
Schweiz Bankverein (Regd) 380 72
Winterthur (Regd) 95 59
----------
1,301
----------
THAILAND - 1.7%
Advanced Information Services 9,500 92
Advanced Information Services (Alien Market) 3,500 31
Asia Credit Public Co., Ltd. PLC (Alien Market) 8,000 34
Bangchak Petroleum 52,200 30
Bangkok Bank (Alien Market) 6,500 57
Bank of Ayudhya (Alien Market) 17,200 39
Finance One Public Co., Ltd. (Alien Market) 31,600 33
First Bangkok City Bank PLC (Alien Market) 27,800 25
Industrial Finance Corp. of Thailand (Alien Market) 10,700 28
MDX Public Co., Ltd. (Alien Market) 25,000 9
National Finance & Securities PLC 54,200 74
PTT Exploration & Production
Public Co., Ltd. (Alien Market) 9,600 131
Shinawatra Satellite PLC (Alien Market) 20,200 22
Siam Cement Co. (Alien Market) 900 24
Siam City Bank PLC (Alien Market) 95,200 78
Siam Commercial Bank PLC (Alien Market) 7,800 44
Tanayong (Alien Market) 24,100 17
Telecomasia (a) 32,600 59
TelecomAsia (Alien Market) 41,300 76
Thai Farmers Bank (Alien Market) 11,000 65
Thai-German Ceramic Industry PLC (Alien Market) 17,200 18
TPI Polene PLC, Ltd. (Alien Market) 12,900 21
United Communications Industries (Alien Market) 6,200 40
----------
1,047
----------
UNITED KINGDOM - 4.9%
Abbey National PLC 13,200 162
Amec PLC 40,100 77
ASDA-MFI Group PLC 30,800 56
Associated British Foods PLC 7,600 60
Bank of Scotland Governor & Co. PLC 27,400 152
Barclays Bank PLC 12,322 222
British Land Co. PLC 10,800 94
British Petroleum Co. PLC 3,000 33
British Telecom PLC 2,400 17
Burton Group PLC 29,300 75
Cable & Wireless PLC 12,280 100
Energy Group PLC (a) 10,870 92
8 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
General Accident PLC 9,200 $ 125
Glaxo Wellcome PLC 2,600 44
Greenalls Group PLC 5,400 49
Guardian Royal Exchange PLC 27,800 126
Hammerson Property PLC 12,200 87
Hanson PLC 13,588 61
HSBC Holdings PLC 1,000 26
Hyder PLC 6,700 91
Land Securities PLC 7,500 97
Lonrho PLC 15,100 35
MEPC PLC 11,100 85
Mirror Group News PLC 13,000 44
North West Water PLC 99 1
Schroders, Ltd. PLC 6,000 166
Sevren Trent Water PLC 7,737 90
Slough Estates PLC 19,400 90
Smith & Nephew PLC 27,876 88
South West Water PLC 4,900 55
Storehouse PLC 22,400 100
Sun Alliance Group PLC 20,167 162
Yorkshire Water PLC 8,983 105
Zeneca Group PLC 6,900 203
----------
3,070
----------
TOTAL COMMON STOCKS
(cost $57,591) 55,679
----------
PREFERRED STOCKS - 5.3%
AUSTRIA - 1.1%
Allgemeine Baugesellschaft 2,400 88
Bau Holdings AG 1,800 86
Creditanstalt-Bankverein 4,020 154
EA Generali AG 500 52
Z Landerbank Bank Austria AG 7,700 271
----------
651
----------
BRAZIL - 1.3%
Acos Villares SA NPV 60,000 14
Banco Nacional SA NPV (a) 871,000 15
Companhia Siderurgica Belgo-Mineira NPV 890,000 80
Electrobras Series B NPV 561,300 255
Paranapanemasa (Regd)(a) 2,749,700 27
Petroleo Brasileiro SA NPV 700,300 143
Sider Riograndense NPV 3,317,950 63
Siderurgica Tubarao NPV 3,091,600 52
Telepar Tel Parana NPV 85,500 56
UNIPAR SA Class B 102,800 47
Vale Rio Doce (cia) NPV 1,944 53
----------
805
----------
GERMANY - 2.3%
Draegerwerk AG 7,350 105
Dyckerhoff AG 233 74
M.A.N. AG 1,050 224
RWE AG 15,000 546
Volkswagen AG 1,300 495
----------
1,444
----------
ITALY - 0.2%
Compagnia Assicuratrice Unipol 53,200 108
Fiat SPA 10,800 18
----------
126
----------
JAPAN - 0.4%
Sakura Bank 16,000 243
----------
243
----------
TOTAL PREFERRED STOCKS (cost $2,899) 3,269
----------
Semiannual Report 9
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
LONG-TERM INVESTMENTS - 0.4%
GERMANY - 0.1%
Bayerische Hypotheken - und
Wechsel - Bank AG (conv.)
9.250% due 12/31/01 DM 80 $ 75
----------
75
----------
ITALY - 0.3%
Italy, Republic of (conv.)
5.000% due 06/28/01 $ 150 149
----------
149
----------
TOTAL LONG-TERM INVESTMENTS
(cost $221) 224
----------
SHORT-TERM INVESTMENTS - 3.9%
UNITED STATES - 3.9%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) 627 627
Valiant Money Market Fund Class A (b) 1,824 1,824
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $2,451) 2,451
----------
TOTAL INVESTMENTS
(identified cost $63,162)(c) - 99.1% 61,623
OTHER ASSETS AND LIABILITIES,
NET - 0.9% 587
----------
NET ASSETS - 100.0% $ 62,210
----------
----------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
ABBREVIATIONS:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
IDR - International Depositary Receipt
NPV - No Par Value
PLC - Public Limited Company
* Reflected in units. 1 IDR unit = 1,000 shares
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
Basic Industries 7.2% $ 4,464
Capital Goods 8.5 5,297
Consumer Basics 5.0 3,108
Consumer Durable Goods 8.0 4,956
Consumer Non-Durables 6.6 4,072
Consumer Services 2.4 1,508
Energy 7.1 4,414
Finance 23.7 14,721
General Business 3.9 2,408
Miscellaneous 8.3 5,236
Shelter 3.7 2,330
Technology 2.0 1,218
Transportation 1.4 869
Utilities 7.0 4,347
Long-Term Investments 0.4 224
Short-Term Investments 3.9 2,451
---------- ----------
Total Investments 99.1 61,623
Other Assets and Liabilities, Net 0.9 587
---------- ----------
NET ASSETS 100.0% $ 62,210
---------- ----------
---------- ----------
% OF MARKET
NET VALUE
GEOGRAPHIC DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
Europe 48.3% $ 30,024
Japan 28.9 17,946
Pacific Basin 14.7 9,153
Short-Term Investments - U.S. 3.9 2,451
Latin America 3.3 2,049
---------- ----------
Total Investments 99.1 61,623
Other Assets and Liabilities, Net 0.9 587
---------- ----------
NET ASSETS 100.0% $ 62,210
---------- ----------
---------- ----------
The accompanying notes are an integral part of the financial statements.
Semiannual Report 11
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $63,162,332)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . $ 61,623,081
Foreign currency holdings (identified cost $315,980) . . . . . . . . . . . . . . . . . . . . . . . . . . . 293,108
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,167
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,141
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280,113
Foreign taxes recoverable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,418
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,564
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,333,592
LIABILITIES
Payables (Note 4):
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,802
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,079
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 81,438
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,573
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123,892
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 62,209,700
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . $ (452,477)
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,592,907
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,539,251)
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (28,730)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,808
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,631,443
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 62,209,700
--------------
--------------
Net asset value, offering and redemption price per share
($62,209,700 divided by 5,808,124 shares of $.001 par value
shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $10.71
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends (net of foreign taxes withheld of $32,069). . . . . . . . . . . . . . . . . . . . . . . . . . $ 334,981
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87,014
--------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421,995
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 240,514
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,302
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,222
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,696
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,827
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,586
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,199
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,381
Trustee fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,115
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 4,364
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,109
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 428,315
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (107,630)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320,685
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101,310
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,610,032
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,997)
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . . (2,843) 1,597,192
--------------
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,961,253)
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . . (35,482) (1,996,735)
-------------- --------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (399,543)
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ (298,233)
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 101,310 $ 455,346
Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,597,192 1,801,775
Net change in unrealized appreciation or depreciation . . . . . . . . . . . . . . (1,996,735) (650,996)
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . (298,233) 1,606,125
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (624,990) (1,441,642)
In excess of net investment income. . . . . . . . . . . . . . . . . . . . . . . . (452,477) --
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . (342,447) --
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 9,333,046 29,244,816
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 7,614,899 29,409,299
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 54,594,801 25,185,502
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including accumulated distributions in excess of
net investment income of $452,477 and undistributed
net investment income of $523,680, respectively). . . . . . . . . . . . . . . . . $ 62,209,700 $ 54,594,801
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . 3,571,553 $ 38,875,289 3,712,988 $ 40,966,566
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 95,036 1,032,170 129,404 1,336,577
Fund shares redeemed . . . . . . . . . . . . . (2,841,302) (30,574,413) (1,173,125) (13,058,327)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . . 825,287 $ 9,333,046 2,669,267 $ 29,244,816
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995**
---------- ---------- ----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.96 $ 10.89 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .02(d) .36 .03
Net realized and unrealized gain (loss) on investments. . . . . . . . . . . . . . . .01 .28 .86
---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . . . . . . . . .03 .64 .89
---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.10) (.57) --
In excess of net investment income. . . . . . . . . . . . . . . . . . . . . . . . . (.08) -- --
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . . (.10) -- --
---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.28) (.57) --
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.71 $ 10.96 $ 10.89
---------- ---------- ----------
---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.14) 6.22 8.90
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c) . . . . . . . . . . . . . . . 1.00 1.00 1.79
Operating expenses, gross, to average net assets (b)(c) . . . . . . . . . . . . . . 1.34 1.47 2.56
Net investment income to average net assets (b) . . . . . . . . . . . . . . . . . . .32 1.16 1.11
Portfolio turnover (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.80 22.02 7.17
Net assets, end of period ($000 omitted). . . . . . . . . . . . . . . . . . . . . . 62,210 54,595 25,186
Per share amount of fees waived ($ omitted)(c). . . . . . . . . . . . . . . . . . . .0168(d) .1459 .0207
Average commission rate paid per share of
security ($ omitted)(e). . . . . . . . . . . . . . . . . . . . . . . . . . . . . .0040 .0021 N/A
</TABLE>
* For six months ended February 28, 1997 (Unaudited).
** For the period March 7, 1995 (commencement of operations) to
August 31, 1995.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1995 are
annualized.
(c) See Note 4 for current period amounts.
(d) Average month-end shares outstanding for the period were used for this
calcualtion.
(e) In certain foreign markets the relationship between the translated U.S.
dollar price per share of security and commission paid per share of
security may vary from that of domestic markets.
Semiannual Report 15
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Active International Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: International equity and fixed-income securities traded
on a national securities exchange are valued on the basis of the last sale
price. International securities traded over the counter are valued on the
basis of the mean of bid prices. In the absence of a last sale or mean bid
price, respectively, such securities may be valued on the basis of prices
provided by a pricing service if those prices are believed to reflect the
fair market value of such securities.
The Fund may value certain 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on the trade
date basis. Realized gains and losses from the securities transactions are
recorded on the basis of identified cost.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded daily on the accrual basis.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required.
16 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 63,359,372 $ 5,458,243 $ (7,194,536) $ (1,736,293)
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 annually. 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) on
investment and foreign currency-related transactions for a reporting period
may differ significantly from distributions during such period. The
differences between tax regulations and GAAP relate primarily to
investments in options, futures, forward contracts, passive foreign
investment companies, foreign-denominated investments, and certain
securities sold at a loss. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting
its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has incurred expenses in
connection with its organization and initial registration. These costs have
been deferred and are being amortized over 60 months on a straight-line
basis.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Fund are
maintained in US dollars. Foreign currency amounts and transactions of the
Fund are translated into US 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.
Semiannual Report 17
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
(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 Fund's books and the US dollar equivalent of the amounts
actually received or paid. Net unrealized gains or losses from foreign
currency-related transactions arise from changes in the value of assets and
liabilities, other than investments in securities, at fiscal year-end,
resulting from changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the 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
year. Such fluctuations are included with the net realized and unrealized
gain or loss from investments. However, for federal income tax purposes the
Fund does isolate the effects of changes in foreign exchange rates from the
fluctuations arising from changes in market prices for realized gain (or
loss) on debt obligations.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: In connection with portfolio
purchases and sales of securities denominated in a foreign currency, the
Fund may enter into forward foreign currency exchange spot contracts and
forward foreign currency exchange contracts ("contracts"). 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 Statement of
Assets and Liabilities. Realized gains or losses arising from such
transactions are included in net realized gain (or loss) from foreign
currency-related transactions. There were no open contracts as of
February 28, 1997.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
INVESTMENT IN INTERNATIONAL MARKETS: Investing in international markets may
involve special risks and considerations not typically associated with
investing in the United States markets. These risks include revaluation of
currencies, high rates of inflation, repatriation, restrictions on income
and capital, and future
18 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
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 more volatile than those of
comparable securities in the United States.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $25,603,160 and $18,562,308, respectively.
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
six months ended February 28, 1997, were as follows:
FUTURES CONTRACTS
---------------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
--------------- ---------------
Outstanding at August 31, 1996 -- $ --
Contracts opened 50 250,205,840
Contracts closed (50) (250,205,840)
--------------- ---------------
Outstanding at February 28, 1997 -- $ --
--------------- ---------------
--------------- ---------------
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .75% of its average daily net assets. For the six months ended February
28, 1997, the Adviser voluntarily agreed to waive up to the full amount of
its advisory fee to the extent that total expenses exceeded 1.00% on an
annual basis. The Investment Company also has contracts with the adviser to
provide custody, shareholder servicing and transfer agent services to the
Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata
Semiannual Report 19
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
basis, based on the following percentages of the average daily net assets
of all international funds: $0 up to and including $500 million - .07%,
over $500 million to and including $1 billion - .06%, over $1 billion to
and including $1.5 billion - .04%, over $1.5 billion - .03%; (ii) less an
amount equal to the sum of certain distribution-related expenses incurred
by the Investment Company's Distributor on behalf of the Fund (up to a
maximum of 10% of the asset-based fee determined in (i)); (iii)
out-of-pocket expenses; and (iv) start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS"), and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%
and .175%, to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $8,018, $5,108, and $73, or a total of $13,199,
from the Adviser, SSBSI, and RIS, respectively. The Fund did not incur any
expenses from Commercial Banking during this period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for
20 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
carryover expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 39,848
Administration fees 2,767
Custodian fees 27,399
Distribution fees 756
Shareholder servicing fees 3,432
Transfer agent fees 6,325
Trustees' fees 911
-----------
$ 81,438
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, one shareholders (who is also
an affiliate of the Investment Company) was record owner of approximately
10% of the total outstanding shares of the Fund.
Semiannual Report 21
<PAGE>
SSgA ACTIVE INTERNATIONAL FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
22 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
YIELD PLUS FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
YIELD PLUS FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 11
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 17
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. RUSSELL FUND DISTRIBUTORS,
INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
YIELD PLUS FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
LONG-TERM INVESTMENTS - 95.1%
ASSET-BACKED SECURITIES - 48.9%
Advanta Credit Card Master Trust
Series 1993-4 Class A
5.688% due 12/31/00 (b) $ 5,000 $ 5,016
Series 1995-F Class A2
5.616% due 08/01/03 (b) 15,000 15,051
Advanta Credit Card Master Trust II
Series 1995-D Class A1
5.616% due 02/01/04 (b) 25,000 25,086
Series 1996-E Class A
5.526% due 05/15/04 (b) 15,000 14,995
Carco Auto Loan Master Trust
Series 1995-1 Class A
5.566% due 06/15/00 (b) 35,000 35,055
Case Equipment Loan Trust
Series 1994-A Class A2
4.650% due 08/15/99 2,045 2,037
Chase Manhattan Credit Card Master Trust
Series 1995-1 Class A
5.556% due 05/15/01 (b) 10,000 10,006
Chase Manhattan Grantor Trust
Pass-thru Certificate
Series 1996-A Class A
5.200% due 02/15/02 6,882 6,806
First Chicago Master Trust II
Series 1994-J Class A
5.657% due 01/16/01 (b) 11,500 11,532
Series 1995-N Class A
5.586% due 12/15/00 (b) 5,000 5,009
Series 1996-R Class A
5.496% due 07/15/01 (b) 10,000 10,003
First USA Credit Corp.
5.537% due 02/10/02 (b) 26,000 26,000
Ford Credit Auto Loan Master Trust
Series 1992-2 Class A
7.375% due 04/15/99 13,300 13,325
Series 1994-1 Class A
5.764% due 07/15/01 (b) 15,050 15,088
Ford Credit Grantor Trust
Series 1995-B Class A
5.900% due 10/15/00 2,890 2,884
Household Affinity Credit Card Master Trust I
Series 1994-1 Class A
5.576% due 05/15/01 (b) 17,400 17,433
Main Place Funding Corp.
Series 1995-1
5.585% due 07/17/98 (b) 25,000 25,001
MBNA Master Credit Card Trust
Series 1993-3 Class A
5.400% due 09/15/00 3,685 3,638
MBNA Master Credit Card Trust II
Series 1994-D Class A
5.620% due 03/15/00 (b) 12,000 12,011
Series 1995-I Class A
5.596% due 03/15/03 (b) 35,000 35,120
NationsBank Auto Owner Trust
Series 1996-A Class A2
6.125% due 07/15/99 (b) 25,000 25,023
Premier Auto Trust
Series 1993-6 Class A2
4.650% due 11/02/99 3,959 3,921
Series 1993-6 Class A3
5.648% due 11/02/99 (b) 9,461 9,472
Standard Credit Card Master Trust I
Series 1995-11 Class A
5.594% due 11/15/00 (b) 34,000 34,021
Student Loan Marketing Association
Series 1995-1 Class A1
5.715% due 04/26/04 (b) 3,396 3,399
Series 1996-4 Class A1
5.620% due 07/25/04 (b) 27,497 27,506
Superior Wholesale Inventory Financing Trust
Series 1995-A Class A
5.556% due 08/15/00 (b) 67,400 67,400
----------
461,838
----------
Semiannual Report 3
<PAGE>
SSgA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
CORPORATE BONDS AND NOTES - 41.1%
Associates Corp. North America
6.625% due 07/15/99 $ 45,000 $ 45,225
BankAmerica Corp.
5.996% due 05/17/99 (b) 25,000 25,125
5.634% due 10/15/99 (b) 12,150 12,139
CIT Group Holdings, Inc.
8.750% due 04/15/98 10,425 10,713
6.200% due 04/15/98 15,000 15,036
6.250% due 10/04/99 10,000 9,949
Citicorp Series C (MTN)
5.544% due 02/15/00 (b) 25,000 24,970
Commercial Credit Group, Inc.
5.500% due 05/15/98 5,000 4,961
CoreStates Capital Corp. (MTN)
5.362% due 09/17/97 (b) 15,000 15,005
Dean Witter Discover & Co.
5.875% due 03/01/00 (b) 9,000 9,014
5.423% due 08/10/98 (b) 5,000 4,999
Series E
5.594% due 08/21/99 (b) 20,000 19,996
Series I
5.523% due 05/14/99 (b) 8,000 8,010
First Bank Systems, Inc. (MTN)
Series F
5.523% due 10/21/98 (b) 15,000 15,019
First Chicago Corp. (MTN)
5.761% due 12/13/99 (b) 5,000 5,016
General Motors Acceptance Corp. (MTN)
5.563% due 04/17/98 (b) 10,745 10,743
5.540% due 06/04/99 (b) 12,000 11,983
Household Finance Corp. (MTN)
5.588% due 07/06/98 (b) 10,000 10,020
John Deere Capital Corp.
Series C (MTN)
5.525% due 09/14/98 (b) 18,000 17,984
Merrill Lynch & Co. Inc. (MTN)
Series B
5.762% due 01/22/99 (b) 16,700 16,718
5.762% due 02/05/99 (b) 15,000 15,013
5.908% due 02/15/00 (b) 16,000 16,085
NationsBank Corp. (MTN)
5.577% due 08/25/98 (b) 22,500 22,522
Series D
5.660% due 08/25/99 (b) 5,000 5,013
Series E
5.713% due 06/25/02 (b) 18,500 18,398
NTC Capital I Series A
6.114% due 01/15/27 (b) 3,500 3,457
Wells Fargo & Co. (MTN)
5.583% due 07/01/98 (b) 15,000 15,021
----------
388,134
----------
MORTGAGE-BACKED SECURITIES - 2.8%
Federal Home Loan Mortgage Corp.
Participation Certificate Groups
# M9-0176 6.000% due 05/01/98 3,745 3,681
# M9-0181 6.500% due 05/01/98 1,065 1,061
# M1-9130 6.000% due 06/01/98 4,305 4,231
# G5-0236 5.500% due 10/01/98 4,741 4,599
# G5-0048 6.000% due 11/01/98 10,598 10,416
# G5-0305 7.000% due 11/01/00 2,506 2,527
----------
26,515
----------
UNITED STATES GOVERNMENT TREASURIES - 1.1%
United States Treasury Notes
5.625% due 06/30/97 500 500
5.500% due 11/15/98 2,000 1,983
5.750% due 12/31/98 3,000 2,985
6.250% due 08/31/00 5,000 4,992
----------
10,460
----------
4 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
YANKEE BONDS - 1.2%
Chase Capital II
6.063% due 02/01/27 (b) $ 3,250 $ 3,183
NationsBank Capital Trust III
6.113% due 01/15/27 (b) 3,250 3,179
PepsiCo, Inc. (MTN)
8.000% due 12/28/97 5,000 5,078
----------
11,440
----------
TOTAL LONG-TERM INVESTMENTS
(cost $898,131) 898,387
----------
Short-Term Investments - 2.2%
Federal National Mortgage Association
Discount Notes
5.485% due 03/20/97 (a)(c)(d) 1,000 997
Morgan Stanley Group, Inc.
5.432% due 03/03/97 (a)(d) 20,000 19,994
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $20,991) 20,991
----------
TOTAL INVESTMENTS
(identified cost $919,122) - 97.3% 919,378
----------
REPURCHASE AGREEMENTS - 2.2%
Agreement with HSBC of $20,491
aquired 02/28/97 at 5.400%
to be repurchased at $20,500
on 03/03/97, collateralized by:
$21,220 Federal National
Mortgage Association
Discount Note, 5.362% due
05/29/97, valued at $20,943 20,491
----------
TOTAL REPURCHASE AGREEMENTS
(cost $20,491) 20,491
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(identified cost $939,613)(e) - 99.5% 939,869
OTHER ASSETS AND LIABILITIES, NET - 0.5% 4,600
----------
NET ASSETS - 100.0% $ 944,469
----------
----------
(a) Rate noted is yield-to-maturity.
(b) Adjustable or floating-rate securities.
(c) Held as collateral by the custodian in connection with futures contracts
sold short by the Fund.
(d) At cost, which appoximates market.
(e) See Note 2 for federal income tax information.
ABBREVIATIONS:
MTN - Medium Term Note
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
---------- --------------
FUTURES CONTRACTS
SOLD SHORT (NOTES 2 AND 3)
Eurodollar Futures Contract
Expiration date 03/97 100 $ (1)
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Sold Short (*) $ (1)
----------
----------
(*) At February 28, 1997, Federal National Mortgage Association Discount Notes
valued at $239 were held as collateral by the custodian in connection with
open futures contracts sold short by the Fund.
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $919,121,810)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . $ 919,377,582
Repurchase agreements (cost $20,491,000)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,491,000
Receivables:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,112,654
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97,028
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,017
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,921
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 945,101,202
LIABILITIES
Payables (Note 4):
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30,329
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,576
Accrued fees to affiliates and trustees. . . . . . . . . . . . . . . . . . . . . . . . . 506,692
Other accrued expenses and payables. . . . . . . . . . . . . . . . . . . . . . . . . . . 79,714
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 632,311
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 944,468,891
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . $ (136,236)
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,088,286)
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255,772
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,000)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94,466
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 946,344,175
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 944,468,891
--------------
--------------
Net asset value, offering and redemption price per share
($944,468,891 divided by 94,465,784 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $10.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
YIELD PLUS FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29,554,224
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,282,813
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159,823
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105,258
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140,482
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,792
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,465
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142,501
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,668
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,244
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 4,235
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,594
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,949,875
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,604,349
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332,054
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120,033 452,087
--------------
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264,161
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (550,200) (286,039)
-------------- --------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166,048
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 27,770,397
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27,604,349 $ 77,374,189
Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 452,087 856,905
Net change in unrealized appreciation or depreciation . . . . . . . . . . . . . . (286,039) (866,731)
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 27,770,397 77,364,363
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (27,605,529) (77,330,064)
In excess of net investment income. . . . . . . . . . . . . . . . . . . . . . . . (136,236) --
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 10,955,641 (513,646,970)
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 10,984,273 (513,612,671)
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 933,484,618 1,447,097,289
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including accumulated distributions in excess of
net investment income of $136,236 and undistributed
net investment income of $1,180, respectively). . . . . . . . . . . . . . . . . . $ 944,468,891 $ 933,484,618
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . 91,539,151 $ 915,743,876 147,331,895 $ 1,473,440,740
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 2,719,375 27,202,995 7,635,703 76,373,328
Fund shares redeemed . . . . . . . . . . . . . (93,154,517) (931,991,230) (206,334,762) (2,063,461,038)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . . 1,104,009 $ 10,955,641 (51,367,164) $ (513,646,970)
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSgA
YIELD PLUS FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994 1993**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . $ 10.00 $ 10.00 $ 9.99 $ 10.01 $ 10.00
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . .27 .56 .56 .38 .27
Net realized and unrealized
gain (loss) on investments . . . . . . . . . . . . . -- -- .02 (.02) .01
---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . .27 .56 .58 .36 .28
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . (.27) (.56) (.56) (.38) (.27)
In excess of net realized gain on investments . . . . . -- -- (.01) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . (.27) (.56) (.57) (.38) (.27)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 10.00 $ 10.00 $ 10.00 $ 9.99 $ 10.01
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Total Return (%)(a). . . . . . . . . . . . . . . . . . . . 2.69 5.73 6.01 3.65 2.85
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses to average net assets (b). . . . . . .38 .36 .38 .35 .38
Net investment income to average net assets (b) . . . . 5.38 5.59 5.64 3.82 3.54
Portfolio turnover (b). . . . . . . . . . . . . . . . . 65.60 97.05 199.69 142.68 137.86
Net assets, end of period ($000 omitted). . . . . . . . 944,469 933,485 1,447,097 1,358,464 589,594
Per share amount of fees waived ($ omitted) . . . . . . -- -- -- -- .00042
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period November 9, 1992 (commencement of operations) to
August 31, 1993.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1993
are annualized.
10 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Yield Plus Fund (the "Fund").
The Investment Company is a registered and diversified open-end investment
company, as defined in the Investment Company Act of 1940, as amended (the
"1940 Act"), that was organized as a Massachusetts business trust on
October 3, 1987 and operates under a First Amended and Restated Master
Trust Agreement, dated October 13, 1993, as amended (the "Agreement"). The
Investment Company's Agreement permits the Board of Trustees to issue an
unlimited number of full and fractional shares of beneficial interest at a
$.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: United States fixed-income securities listed and traded
principally on any national securities exchange are valued on the basis of
the last sale price or, lacking any sale, at the closing bid price, on the
primary exchange on which the security is traded. United States
over-the-counter, 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.
Many fixed-income securities do not trade each day, and thus last sale or
bid prices are frequently not available. Fixed-income securities may be
valued using prices provided by a pricing service when such prices are
believed to reflect the fair market value of such securities.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed, unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Fund 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
INVESTMENT INCOME: Interest income is recorded daily on the accrual basis.
AMORTIZATION AND ACCRETION: All zero-coupon bond discounts and original
issue discounts are accreted for both tax and financial reporting purposes.
All short- and long-term market premiums/discounts are amortized/accreted
for both tax and financial reporting purposes.
Semiannual Report 11
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required. At February
28, 1997, the Fund had a net tax basis capital loss carryover of $1,797,175
which may be applied against any realized net taxable gains in each
succeeding year or until its expiration date of August 31, 2004.
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 919,121,810 $ 1,170,799 $ (915,027) $ 255,772
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and records
dividends on net investment income daily and pays them monthly. 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) from
investment transactions for a reporting period may differ significantly
from distributions during such period. The differences between tax
regulations and GAAP relate primarily to investments in options, futures,
mortgage-backed securities, and certain securities sold at a loss.
Accordingly, the Fund may periodically make reclassifications among certain
of its capital accounts without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on
12 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
acquisition date is required to be an amount equal to at least 102% of the
repurchase price. The Fund's Adviser will monitor repurchase agreements
daily to determine that the market value (including accrued interest) of
the underlying securities remains equal to at least 100% of the repurchase
price at Fedwire closing time. The Adviser or third-party custodian will
notify the seller to immediately increase the collateral on the repurchase
agreement to 102% of the repurchase price if collateral falls below 100%.
DERIVATIVES: To the extent permitted by the investment objective,
restrictions and policies set forth in the Fund's Prospectus and Statement
of Additional Information, the Fund may participate in various
derivative-based transactions. Derivative securities are instruments or
agreements whose value is derived from an underlying security or index. The
Fund's use of derivatives includes exchange-traded futures and options on
futures. These instruments offer unique characteristics and risks that
assist the Fund in meeting its investment objective.
The Fund typically uses derivatives for hedging purposes. Hedging
techniques are utilized by the Fund to limit or control risks, such as
adverse movements in interest rates. The primary risk associated with
options and futures is generally categorized as market risk.
OPTIONS: The Fund may purchase and sell (write) call and put options on
securities, securities indexes, and futures, provided such options are
traded on a national securities exchange or in an over-the-counter market.
The Fund may also purchase and sell put and call options on foreign
currencies.
When the Fund writes a covered call or put option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets
and Liabilities as an asset and as an equivalent liability. The amount of
the liability is subsequently marked-to-market to reflect the current
market value of the option written. The Fund receives a premium on the sale
of an option but gives up the opportunity to profit from any increase in
stock value above the exercise price of the option, and when the Fund
writes a put option it is exposed to a decline in the price of the
underlying security. If an option which the Fund has written either expires
on its stipulated expiration date or the Fund enters into a closing
purchase transaction, the Fund realizes a gain (or loss, if the cost of a
closing purchase transaction exceeds the premium received when the option
was sold) without regard to any unrealized gain or loss on the underlying
security, and the liability related to such option is extinguished. If a
call option which the Fund has written is exercised, the Fund realizes a
capital gain or loss from the sale of the underlying security, and the
proceeds from such sale are increased by the premium originally received.
When a put option which a Fund has written is exercised, the amount of the
premium originally received will reduce the cost of the security which a
Fund purchases upon exercise of the option.
The Fund's use of written options involves, to varying degrees, elements of
market risk in excess of the amount recognized in the Statement of Assets
and Liabilities. The face or contract amounts of those instruments reflect
the extent of the Fund exposure to off-balance-sheet risk. The risks may be
caused by an
Semiannual Report 13
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
imperfect correlation between movements in the price of the instrument and
the price of the underlying securities and interest rates.
FUTURES: The Fund is 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. 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.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases, sales and maturities of investment securities, excluding US
Government and Agency obligations, short-term investments, futures and
options contracts, and repurchase agreements aggregated to $385,585,692,
$296,672,480, and $7,248,992, respectively.
For the six months ended February 28, 1997, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
futures and option contracts, and repurchase agreements aggregated to
$60,941,822 and $9,732,710, respectively.
FUTURES TRANSACTIONS: Fund transactions in futures contracts during the six
months ended February 28, 1997 were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS FUTURES CONTRACTS
SOLD SHORT PURCHASED
---------------------------- ----------------------------
AGGREGATE AGGREGATE
NUMBER OF FACE VALUE OF NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1) CONTRACTS CONTRACTS (1)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Outstanding at August 31, 1996 386 $ 363,888,200 -- $ --
Contracts opened 180 169,497,000 25 23,450,000
Contracts closed (466) (438,959,200) (25) (23,450,000)
------------- ------------- ------------- -------------
Outstanding at February 28, 1997 100 $ 94,426,000 -- $ --
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
(1) The aggregate face value of contracts is computed on the date each
contract was opened. Three month Eurodollar financial futures
contracts have a notional face amount of $1,000,000 and an equivalent
duration of 13 weeks or .25 years.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser,
14 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
calculated daily and paid monthly, at the annual rate of .25% of its
average daily net assets. The Investment Company also has contracts with
the Adviser to provide custody, shareholder servicing, and transfer agent
services to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS"), and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%,
and .175% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $139,131 and $3,370, or a total of $142,501, from
the Adviser and SSBSI, respectively. The Fund did not incur any expenses
from RIS or Commercial Banking during this period.
Semiannual Report 15
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 420,312
Administration fees 14,801
Custodian fees 28,787
Distribution fees 16,357
Shareholder servicing fees 11,565
Transfer agent fees 14,057
Trustees' fees 813
-----------
$ 506,692
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, two shareholders (who are
also affiliates of the Investment Company) were record owners of
approximately 56% and 17%, respectively, of the total outstanding shares of
the Fund.
16 Semiannual Report
<PAGE>
SSgA YIELD PLUS FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
17 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
U. S. TREASURY MONEY MARKET FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
US TREASURY MONEY MARKET FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 9
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 13
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. AN INVESTMENT IN A MONEY
MARKET FUND IS NEITHER INSURED NOR GUARANTEED BY THE US GOVERNMENT. THERE CAN BE
NO ASSURANCE THAT A MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE NET
ASSET VALUE OF $1.00 PER SHARE. RUSSELL FUND DISTRIBUTORS, INC., IS THE
DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT TREASURIES - 18.1%
United States Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . $ 5,000 4.979% 03/06/97 $ 4,997
United States Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . 400 5.610 05/01/97 396
United States Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . 400 5.611 05/01/97 396
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . . . . 38,000 7.250 02/15/98 38,578
----------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $44,367) . . . . . . . . . 44,367
----------
TOTAL INVESTMENTS (amortized cost $44,367) - 18.1% . . . . . . . . . . . . 44,367
----------
REPURCHASE AGREEMENTS - 82.3%
Agreement with Aubrey Lanston & Co., Inc. of $11,999
acquired February 28, 1997 at 5.350% to be repurchased at $12,004
on March 3, 1997, collateralized by:
$11,671 United States Treasury Notes,
9.250% due 08/15/98 valued at $12,239 . . . . . . . . . . . . . . 11,999
Agreement with CIBC Wood Gundy, Inc. of $11,500
acquired February 28, 1997 at 5.270% to be repurchased at $11,505
on March 3, 1997, collateralized by:
$8,430 United States Treasury Bonds,
10.625% due 08/15/15 valued at $11,746. . . . . . . . . . . . . . 11,500
Agreement with Donaldson, Lufkin & Jenrette Securities Corp. of $11,500
acquired February 28, 1997 at 5.250% to be repurchased at $11,505
on March 3, 1997, collateralized by:
$8,430 United States Treasury Bonds,
10.625% due 08/15/15 valued at $11,746. . . . . . . . . . . . . . 11,500
Agreement with Dresdner Bank AG of $60,000
acquired February 28, 1997 at 5.360% to be repurchased at $60,027
on March 3, 1997, collateralized by:
$37,000 United States Treasury Notes,
7.875% due 04/15/98 valued at $38,892, and by
$16,000 United States Treasury Notes,
6.375% due 06/30/97 valued at $16,214, and by
$5,966 United States Treasury Notes,
8.625% due 08/15/97 valued at $6,068. . . . . . . . . . . . . . . 60,000
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
VALUE
(000)
----------
<S> <C>
Agreement with Goldman Sachs of $11,500
acquired February 28, 1997 at 5.300% to be repurchased at $11,505
on March 3, 1997, collateralized by:
$10,400 United States Treasury Bonds,
8.125% due 08/15/19 valued at $11,805 . . . . . . . . . . . . . . $ 11,500
Agreement with HSBC Securities, Inc. of $11,500
acquired February 28, 1997 at 5.280% to be repurchased at $11,505
on March 3, 1997, collateralized by:
$12,000 United States Treasury Notes,
6.250% due 02/15/03 valued at $11,920 . . . . . . . . . . . . . . 11,500
Agreement with Merrill Lynch & Co., Inc. of $11,500
acquired February 28, 1997 at 5.360% to be repurchased at $11,505
on March 3, 1997, collateralized by:
$10,890 United States Treasury Notes,
8.750% due 08/15/00 valued at $11,741 . . . . . . . . . . . . . . 11,500
Agreement with Swiss Bank Corp. of $60,000
acquired February 28, 1997 at 5.360% to be repurchased at $60,027
on March 3, 1997, collateralized by:
$48,189 United States Treasury Bonds,
10.750% due 08/15/05 valued at $61,311. . . . . . . . . . . . . . 60,000
Agreement with Union Bank of Switzerland of $11,698
acquired February 28, 1997 at 5.300% to be repurchased at $11,703
on March 3, 1997, collateralized by:
$10,764 United States Treasury Bonds,
7.875% due 02/15/21 valued at $11,938 . . . . . . . . . . . . . . 11,698
----------
TOTAL REPURCHASE AGREEMENTS (cost $201,197). . . . . . . . . . . . . . . . 201,197
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS - 100.4%
(cost $245,564)(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 245,564
OTHER ASSETS AND LIABILITIES, NET - (0.4)% . . . . . . . . . . . . . . . . (1,005)
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 244,559
----------
----------
</TABLE>
(a) The identified cost for federal income tax purposes is the same as
shown above.
The accompanying notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . . $ 44,366,623
Repurchase agreements (cost $201,197,000)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 201,197,000
Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137,410
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,807
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 245,719,840
LIABILITIES
Payables (Note 4):
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,111,516
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 47,716
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,329
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,160,561
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 244,559,279
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (43,005)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 244,614
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 244,357,670
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 244,559,279
--------------
--------------
Net asset value, offering and redemption price per share
($244,559,279 divided by 244,613,543 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,237,969
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 292,418
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,455
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,398
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,159
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,783
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,188
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,242
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,493
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 5,318
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,939
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463,393
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (229,459)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233,934
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,004,035
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . 56,939
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,060,974
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,004,035 $ 9,881,217
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 56,939 73,973
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 6,060,974 9,955,190
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (6,004,035) (9,880,916)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 55,498,397 28,036,991
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 55,555,336 28,111,265
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 189,003,943 160,892,678
----------------- -----------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 244,559,279 $ 189,003,943
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,406,114,447 349,834,136
Fund shares issued to shareholders in reinvestments of distributions . . . . . . . . 2,022,035 1,235,206
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,352,638,085) (323,032,351)
----------------- -----------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,498,397 28,036,991
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . .0255 .0529 .0536 .0249
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . (.0255) (.0529) (.0536) (.0249)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.57 5.42 5.48 2.51
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average
net assets (b)(c). . . . . . . . . . . . . . . . . . . . . . . . . . .20 .20 .13 .13
Operating expenses, gross, to average
net assets (b)(c). . . . . . . . . . . . . . . . . . . . . . . . . . .40 .38 .39 .38
Net investment income to average
net assets (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.13 5.29 5.38 3.28
Net assets, end of period ($000 omitted). . . . . . . . . . . . . . . . 244,559 189,004 160,893 154,858
Per share amount of fees reimbursed
($ omitted)(c) . . . . . . . . . . . . . . . . . . . . . . . . . . . .0010 .0018 -- --
Per share amount of fees waived ($ omitted) . . . . . . . . . . . . . . -- -- .0018 .0019
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period December 1, 1993 (commencement of operations) to
August 31, 1994.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1994
are annualized.
(c) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA US Treasury Money Market Fund
(the "Fund"). The Investment Company is a registered and diversified
open-end investment company, as defined in the Investment Company Act of
1940, as amended (the "1940 Act"), that was organized as a Massachusetts
business trust on October 3, 1987 and operates under a First Amended and
Restated Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
estimates. The following is a summary of the significant accounting
policies consistently followed by the Funds in the preparation of its
financial statements.
SECURITY VALUATION: The Fund's portfolio investments are valued on the
basis of amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed. The Fund utilizes the
amortized cost valuation method in accordance with Rule 2a-7 of the 1940
Act.
SECURITIES TRANSACTIONS: Securities transactions are recorded on the trade
date, which in most instances is the same as the settlement date. Realized
gains and losses from the securities transactions, if any, are recorded on
the basis of identified cost.
INVESTMENT INCOME: Interest income is recorded daily on the accrual basis.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust is a separate corporate taxpayer and
determines its net investment income and capital gains (or losses) and the
amounts to be distributed to each funds' shareholders without regard to the
income and capital gains (or losses) of the other funds.
It is the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required. At February
28, 1997, the Fund had a net tax basis capital loss carryover of $99,944,
which may be applied against any realized net taxable gains in each
succeeding year or until its expiration date of August 31, 2003.
Semiannual Report 9
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and records
dividends on net investment income daily and pays them monthly. 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 Fund may periodically make reclassifications among
certain of its capital accounts without impacting net asset value for
differences between federal tax regulations and generally accepted
accounting principles.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has incurred expenses in
connection with its organization and initial registration. These costs have
been deferred and are being amortized over 60 months on a straight-line
basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases, sales, and maturities of US Government and Agency obligations,
excluding repurchase agreements aggregated to $212,795,547, $163,572,968
and $66,900,000, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has investment advisory agreements with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rates
of .25% of its average daily net assets. The Adviser voluntarily agreed to
reimburse the Fund for all expenses in excess of .20% of its average daily
net assets on an annual basis. As of February 28, 1997, the receivables due
from the Adviser for expenses in excess of the expense caps have been
netted against the Adviser fee payables. The Investment Company also has
contracts with the Adviser to provide custody, shareholder servicing, and
transfer agent services to the Fund.
10 Semiannual Report
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser. For these
services, the Fund pays .025% to the Adviser, based upon the average daily
value of all Fund shares held. For the six months ended February 28, 1997,
the Fund incurred shareholder servicing expenses of $29,242 from the
Adviser.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for
Semiannual Report 11
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
carryover expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon its relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 24,480
Administration fees 6,190
Custodian fees 10,116
Distribution fees 1,025
Shareholder servicing fees 5,434
Transfer agent fees 156
Trustees' fees 315
-----------
$ 47,716
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, three shareholders (who are
also affiliates of the Investment Company) were record owners of
approximately 52%, 32% and 14%, respectively, of the total outstanding
shares of the Fund.
12 Semiannual Report
<PAGE>
SSgA US TREASURY MONEY MARKET FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
13 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
PRIME MONEY MARKET FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
PRIME MONEY MARKET FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 10
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 14
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. AN INVESTMENT IN A MONEY
MARKET FUND IS NEITHER INSURED NOR GUARANTEED BY THE US GOVERNMENT. THERE CAN
BE NO ASSURANCE THAT A MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE NET
ASSET VALUE OF $1.00 PER SHARE. RUSSELL FUND DISTRIBUTORS, INC., IS THE
DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
BANK NOTES - 12.2%
Bank of America - Illinois . . . . . . . . . . . . . . . . . . . . . $ 12,900 5.700% 05/28/97 $ 12,893
First Bank NA (a) . . . . . . . . . . . . . . . . . . . . . . . . . 40,000 5.352 03/19/97 40,000
First Tennessee Bank NA. . . . . . . . . . . . . . . . . . . . . . . 15,000 5.370 03/18/97 15,000
Key Bank NA (MTN). . . . . . . . . . . . . . . . . . . . . . . . . . 10,000 5.605 12/19/97 9,988
Morgan Guaranty Trust Co.. . . . . . . . . . . . . . . . . . . . . . 15,000 5.950 06/06/97 14,998
PNC Bank NA (a). . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.370 02/13/98 24,984
US National Bank of Oregon (a) . . . . . . . . . . . . . . . . . . . 25,000 5.250 11/20/97 24,984
----------
TOTAL BANK NOTES (cost $142,847) . . . . . . . . . . . . . . . . . . 142,847
----------
CERTIFICATES OF DEPOSIT - 5.1%
First Tennessee Bank . . . . . . . . . . . . . . . . . . . . . . . . 35,000 5.310 04/14/97 35,000
US National Bank of Oregon . . . . . . . . . . . . . . . . . . . . . 25,000 5.330 04/11/97 25,000
----------
TOTAL CERTIFICATES OF DEPOSIT (cost $60,000) . . . . . . . . . . . . 60,000
----------
EURODOLLAR CERTIFICATES OF DEPOSIT - 9.0%
Abbey National . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.450 04/16/97 24,999
Abbey National Treasury Securities . . . . . . . . . . . . . . . . . 20,000 5.540 07/24/97 19,999
Bayerische Vereinsbank AG. . . . . . . . . . . . . . . . . . . . . . 10,000 5.540 07/09/97 10,000
Deutsche Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.345 04/30/97 50,002
----------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (cost $105,000) . . . . . . 105,000
----------
CORPORATE NOTES - 17.0%
AVCO Financial Services, Inc. Series G (MTN)(a). . . . . . . . . . . 25,000 5.456 11/17/97 24,999
Dean Witter Discover & Co. Series I (MTN)(a) . . . . . . . . . . . . 10,000 5.562 03/03/97 10,000
First Union Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . . 25,000 5.660 02/24/98 25,051
Ford Motor Credit Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . 15,000 5.742 10/21/97 15,021
Ford Motor Credit Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . 15,000 5.742 11/01/97 15,023
Household Finance Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . 30,000 5.670 08/11/97 30,025
Household International, Inc. (a). . . . . . . . . . . . . . . . . . 5,000 5.664 05/27/97 5,002
IBM Credit Corp. (MTN) . . . . . . . . . . . . . . . . . . . . . . . 10,000 5.450 04/01/97 9,999
Transamerica Financial Corp. . . . . . . . . . . . . . . . . . . . . 12,500 6.750 08/15/97 12,544
Wells Fargo & Co. Series B (MTN)(a). . . . . . . . . . . . . . . . . 12,500 5.592 09/05/97 12,505
Wells Fargo & Co. Series B (MTN)(a). . . . . . . . . . . . . . . . . 40,000 5.573 12/29/97 40,018
----------
TOTAL CORPORATE NOTES (cost $200,187). . . . . . . . . . . . . . . . 200,187
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
DOMESTIC COMMERCIAL PAPER - 7.4%
ANZ Delaware . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 15,000 5.360% 05/12/97 $ 14,839
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 25,000 5.310 04/15/97 24,834
Merrill Lynch & Co., Inc.. . . . . . . . . . . . . . . . . . . . . . 22,700 5.350 05/27/97 22,407
Morgan Stanley Group, Inc. . . . . . . . . . . . . . . . . . . . . . 25,000 5.430 03/03/97 24,992
----------
TOTAL DOMESTIC COMMERCIAL PAPER (cost $87,072) . . . . . . . . . . . 87,072
----------
FOREIGN COMMERCIAL PAPER - 5.5%
Daimler Benz . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.370 03/27/97 14,942
National Australia Funding . . . . . . . . . . . . . . . . . . . . . 20,000 5.300 04/28/97 19,829
State Bank New South Wales . . . . . . . . . . . . . . . . . . . . . 25,000 5.350 04/30/97 24,777
Svenska Handelsbanken, Inc.. . . . . . . . . . . . . . . . . . . . . 5,000 5.370 08/07/97 4,881
----------
TOTAL FOREIGN COMMERCIAL PAPER (COST $64,429). . . . . . . . . . . . 64,429
----------
TIME DEPOSITS - 17.3%
Bank of Boston . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.343 03/03/97 50,000
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.400 03/03/97 50,000
Royal Bank of Scotland . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.437 03/06/97 15,000
Societe Generale . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.437 03/03/97 25,000
Svenska Handelsbanken. . . . . . . . . . . . . . . . . . . . . . . . 12,593 5.650 03/03/97 12,593
Toronto Dominion . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.437 03/03/97 50,000
----------
TOTAL TIME DEPOSITS (cost $202,593). . . . . . . . . . . . . . . . . 202,593
----------
UNITED STATES GOVERNMENT AGENCY - 13.5%
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 25,000 5.267 10/02/97 24,988
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 24,000 5.312 03/06/97 24,000
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 50,000 5.351 09/12/97 49,978
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 25,000 5.302 11/19/97 24,986
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 25,000 5.292 11/25/97 24,986
Student Loan Marketing Association (MTN) . . . . . . . . . . . . . . 10,000 5.990 09/18/97 10,000
----------
TOTAL UNITED STATES GOVERNMENT AGENCY (cost $158,938). . . . . . . . 158,938
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
YANKEE CERTIFICATES OF DEPOSIT - 6.4%
ABN AMRO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,000 6.120% 07/14/97 $ 5,006
Deutsche Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,000 5.800 01/28/98 9,997
Westdeutsche Landesbank. . . . . . . . . . . . . . . . . . . . . . . 15,000 5.540 07/24/97 15,000
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.610 04/02/97 20,000
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.830 01/15/98 14,998
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 10,000 5.830 01/27/98 9,998
----------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $74,999). . . . . . . . . 74,999
----------
TOTAL INVESTMENTS (amortized cost $1,096,065) - 93.4%. . . . . . . . 1,096,065
----------
REPURCHASE AGREEMENTS - 6.4%
Agreement with CIBC Wood Gundy, Inc. of $75,000
acquired February 28, 1997 at 5.400% to be repurchased at $75,003
on March 3, 1997, collateralized by:
$68,456 Federal Farm Credit Bank Notes,
5.355% due 07/01/97 valued at $68,984, and by
$7,334 Federal Farm Credit Bank Notes,
5.362% due 05/01/97 valued at $7,463. . . . . . . . . . . . 75,000
----------
TOTAL REPURCHASE AGREEMENTS (cost $75,000) . . . . . . . . . . . . . 75,000
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $1,171,065)(b) - 99.8% . . . . . . . . . . . . . . . . . . . . 1,171,065
OTHER ASSETS AND LIABILITIES - 0.2%. . . . . . . . . . . . . . . . . 1,840
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . $1,172,905
----------
----------
</TABLE>
(a) Adjustable or floating rate security.
(b) The identified cost for federal income tax purposes is the same as
shown above.
ABBREVIATIONS:
MTN - Medium Term Note
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . . $1,096,064,530
Repurchase agreements (cost $75,000,000)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,000,000
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,012,094
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,067
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,766
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,178,098,457
LIABILITIES
Payables (Note 4):
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,932,249
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 253,340
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,881
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,193,470
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,172,904,987
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (55,070)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,172,972
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,171,787,085
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,172,904,987
--------------
--------------
Net asset value, offering and redemption price per share
($1,172,904,987 divided by 1,172,971,599 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30,414,918
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 832,647
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159,631
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123,477
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122,524
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,775
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,406
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138,775
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,825
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,737
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 2,945
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,308
---------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,460,050
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (349,854)
---------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,110,196
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,304,722
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . 27,584
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29,332,306
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29,304,722 $ 80,534,572
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . 27,584 (124,029)
----------------- -----------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . 29,332,306 80,410,543
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (29,304,722) (80,546,114)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 77,246,130 19,136,746
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 77,273,714 19,001,175
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 1,095,631,273 1,076,630,098
----------------- -----------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,172,904,987 $ 1,095,631,273
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,531,327,851 9,851,518,552
Fund shares issued to shareholders in reinvestments of distributions . . . . . . . . 9,189,250 15,477,655
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,463,270,971) (9,847,859,461)
----------------- -----------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77,246,130 19,136,746
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . .0262 .0546 .0567 .0207
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . (.0262) (.0546) (.0567) (.0207)
---------- ---------- ---------- ----------
NET ASSET VALUE,
END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . 2.65 5.60 5.82 2.09
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net
assets (b)(c). . . . . . . . . . . . . . . . . . . . . . . . . . . .20 .20 .14 .16
Operating expenses, gross, to average
net assets (b)(c). . . . . . . . . . . . . . . . . . . . . . . . . .26 .25 .27 .32
Net investment income to average
net assets (b) . . . . . . . . . . . . . . . . . . . . . . . . . . 5.28 5.44 5.76 4.00
Net assets, end of period ($000 omitted) . . . . . . . . . . . . . . 1,172,905 1,095,631 1,076,630 432,224
Per share amount of fees waived ($ omitted) . . . . . . . . . . . . . -- -- .0013 .0007
Per share amount of fees reimbursed
($ omitted)(c) . . . . . . . . . . . . . . . . . . . . . . . . . . .0003 .0006 -- .0001
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period February 22, 1994 (commencement of operations) to
August 31, 1994.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1994
are annualized.
(c) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Prime Money Market Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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's portfolio investments are valued on the
basis of amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed. The Fund utilizes the
amortized cost valuation method in accordance with Rule 2a-7 of the 1940
Act.
SECURITIES TRANSACTIONS: Securities transactions are recorded on the trade
date, which in most instances is the same as the settlement date. Realized
gains and losses from the securities transactions, if any, are recorded on
the basis of identified cost.
INVESTMENT INCOME: Interest income is recorded daily on the accrual basis.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust is a separate corporate taxpayer and
determines its net investment income and capital gains (or losses) and the
amounts to be distributed to each funds' shareholders without regard to the
income and capital gains (or losses) of the other funds.
It is the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required.
As permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $126,971 incurred from November 1, 1995 to August 31, 1996,
and treat it as arising in fiscal year 1997.
10 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and records
dividends on net investment income daily and pays them monthly. 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 Fund may periodically make reclassifications among
certain of its capital accounts without impacting net asset value for
differences between federal tax regulations and generally accepted
accounting principles.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has incurred expenses in
connection with its organization and initial registration. These costs have
been deferred and are being amortized over 60 months on a straight-line
basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases, sales, and maturities of investment securities, excluding US
Government and Agency obligations and repurchase agreements, for the Fund
aggregated to $19,676,685,575, $165,401,026, and $19,462,179,000,
respectively.
For the six months ended February 28, 1997, purchases, sales, and
maturities of US Government and Agency obligations, excluding repurchase
agreements aggregated to $164,248,451, $100,916,181 and $73,800,000,
respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has investment advisory agreements with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rates
of .15%, of its average daily net assets. The Adviser voluntarily agreed to
reimburse the Fund for all expenses in excess of .20% of its average daily
net assets on an annual basis. As of February 28, 1997, the receivables due
from the Adviser for expenses in
Semiannual Report 11
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
excess of the expense caps have been netted against the Adviser fee
payables. The Investment Company also has contracts with the Adviser to
provide custody, shareholder servicing, and transfer agent services to the
Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser. For these
services, the Fund pays .025% to the Adviser, based upon the average daily
value of all Fund shares held. For the six months ended February 28, 1997,
the Fund incurred shareholder servicing expenses of $138,775, from the
Adviser.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
12 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 154,388
Administration fees 27,754
Custodian fees 40,060
Distribution fees 5,767
Shareholder servicing fees 23,472
Transfer agent fees 1,118
Trustees' fees 781
-----------
$ 253,340
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, two shareholders (one who is
also an affiliate of the Investment Company) were record owners of
approximately 40% and 23%, respectively, of the total outstanding shares of
the Fund.
Semiannual Report 13
<PAGE>
SSgA PRIME MONEY MARKET FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
14 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
GROWTH AND INCOME FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
GROWTH AND INCOME FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 9
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 14
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. RUSSELL FUND DISTRIBUTORS,
INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
GROWTH AND INCOME FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
COMMON STOCKS - 96.4%
Basic Industries - 9.3%
Brush Wellman, Inc. 70,000 $ 1,234
Ethyl Corp. 110,000 1,004
Kimberly-Clark Corp. 20,000 2,120
Schulman (A.), Inc. 70,000 1,338
----------
5,696
----------
CAPITAL GOODS - 2.8%
Caterpillar, Inc. 22,000 1,724
----------
1,724
----------
CONSUMER BASICS - 19.2%
American Home Products Corp. 28,000 1,792
Bristol-Myers Squibb Co. 15,000 1,958
Merck & Co., Inc. 22,000 2,024
Panamerican Beverages, Inc. Class A 35,600 2,007
Procter & Gamble Co. 17,000 2,042
Warner-Lambert Co. 24,000 2,016
----------
11,839
----------
CONSUMER NON-DURABLES - 5.3%
Eastman Kodak Co. 18,000 1,613
Home Depot, Inc. (The) 30,000 1,635
----------
3,248
----------
CONSUMER SERVICES - 2.2%
Disney (Walt) Co. 18,000 1,337
----------
1,337
----------
ENERGY - 6.9%
Halliburton Co. 24,000 1,551
Mobil Corp. 11,000 1,350
Unocal Corp. 35,000 1,352
----------
4,253
----------
FINANCE - 14.1%
American Express Co. 29,000 1,896
American General Corp. 37,000 1,605
American International Group, Inc. 13,000 1,573
Franklin Resources, Inc. 31,000 1,813
Morgan (J.P.) & Co., Inc. 17,000 1,787
----------
8,674
----------
GENERAL BUSINESS - 5.4%
Reuters Holdings PLC
Class B - ADR 23,000 1,475
Time Warner, Inc. 45,000 1,845
----------
3,320
----------
MISCELLANEOUS - 2.6%
Beacon Properties 45,000 1,603
----------
1,603
----------
TECHNOLOGY - 20.1%
AlliedSignal, Inc. 25,000 1,806
Boeing Co. 16,000 1,628
Cisco Systems, Inc. (a) 20,000 1,108
Digital Equipment Corp. (a) 43,000 1,408
Semiannual Report 3
<PAGE>
SSgA
GROWTH AND INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Intel Corp. 17,000 $ 2,412
Lucent Technologies, Inc. 35,000 1,886
Microsoft Corp. (a) 22,000 2,142
----------
12,390
----------
UTILITIES - 8.5%
Alltel Corp. 53,000 1,875
AT&T Corp. 41,000 1,635
Vodafone Group PLC - ADR 36,000 1,710
----------
5,220
----------
TOTAL COMMON STOCKS
(cost $41,258) 59,304
----------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
SHORT-TERM INVESTMENTS - 3.4%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) $ 2,116 $ 2,116
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $2,116) 2,116
----------
TOTAL INVESTMENTS
(identified cost $43,374)(c) - 99.8% 61,420
OTHER ASSETS AND LIABILITIES,
NET - 0.2% 129
----------
NET ASSETS - 100.0% $ 61,549
----------
----------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
ABBREVIATIONS:
ADR - American Depositary Receipt
PLC - Public Limited Company
The accompanying notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSgA
GROWTH AND INCOME FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $43,373,781)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . $ 61,419,589
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,353
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248,003
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,986
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,776,931
LIABILITIES
Payables (Note 4):
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 107,963
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 107,325
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,484
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227,772
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 61,549,159
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 45,506
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,918,074
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 18,045,808
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,966
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,535,805
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 61,549,159
--------------
--------------
Net asset value, offering and redemption price per share
($61,549,159 divided by 3,965,771 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $15.52
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA
GROWTH AND INCOME FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 643,263
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 283,068
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,561
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,945
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,821
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,762
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,234
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,733
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,801
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,143
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 4,610
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,147
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 405,825
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (89,477)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316,348
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326,915
--------------
REALIZED AND UNREALIZED,
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,920,156
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . . 8,200,052
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,120,208
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 12,447,123
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
GROWTH AND INCOME FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 326,915 $ 589,713
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 3,920,156 2,142,238
Net change in unrealized appreciation
or depreciation of investments . . . . . . . . . . . . . . . . . . . . . . . . 8,200,052 3,615,661
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 12,447,123 6,347,612
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (452,419) (607,292)
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . (2,131,293) (162,843)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . (4,136,921) 6,361,040
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 5,726,490 11,938,517
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 55,822,669 43,884,152
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of
$45,506 and $171,010, respectively) . . . . . . . . . . . . . . . . . . . . . . . $ 61,549,159 $ 55,822,669
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . 1,354,325 $ 19,114,947 2,139,756 $ 27,678,947
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 184,268 2,560,158 62,567 784,258
Fund shares redeemed . . . . . . . . . . . . . (1,752,580) (25,812,026) (1,693,695) (22,102,165)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . . (213,987) $ (4,136,921) 508,628 $ 6,361,040
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
GROWTH AND INCOME FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . $ 13.36 $ 11.95 $ 10.51 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . .07 .15 .18 .15
Net realized and unrealized gain (loss)
on investments . . . . . . . . . . . . . . . . . . . . . . . . . . 2.63 1.46 1.44 .47
---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . 2.70 1.61 1.62 .62
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . (.10) (.16) (.18) (.11)
Net realized gain on investments. . . . . . . . . . . . . . . . . . . (.44) (.04) -- --
---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . (.54) (.20) (.18) (.11)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . $ 15.52 $ 13.36 $ 11.95 $ 10.51
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . 20.71 13.57 15.66 6.23
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c) . . . . . . . . .95 .95 .95 .95
Operating expenses, gross, to average net assets (b)(c) . . . . . . . 1.22 1.40 1.61 1.44
Net investment income to average net assets (b) . . . . . . . . . . . 0.98 1.15 1.72 1.75
Portfolio turnover (b). . . . . . . . . . . . . . . . . . . . . . . . 37.10 38.34 39.32 36.48
Net assets, end of period ($000 omitted). . . . . . . . . . . . . . . 61,549 55,823 43,884 26,747
Per share amount of fees waived ($ omitted) . . . . . . . . . . . . . -- -- -- .0002
Per share amount of fees reimbursed ($ omitted)(c). . . . . . . . . . .0187 .0574 .0685 .0418
Average commission rate paid per share of security ($ omitted). . . . .0435 .0436 N/A N/A
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period September 1, 1993 (commencement of operations) to
August 31, 1994.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1994
are annualized.
(c) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Growth and Income Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: United States equity securities listed and traded
principally on any national securities exchange are valued on the basis of
the last sale price or, lacking any sale, at the closing bid price, on the
primary exchange on which the security is traded. United States
over-the-counter equities are valued on the basis of the closing bid price.
International securities traded on a national securities exchange are
valued on the basis of the last sale price. International securities traded
over the counter are valued on the basis of the mean of bid prices. In the
absence of a last sale or mean bid price, respectively, such securities may
be valued on the basis of prices provided by a pricing service if those
prices are believed to reflect the fair market value of such securities.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed, unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Fund 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
Semiannual Report 9
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded daily on the accrual basis.
AMORTIZATION AND ACCRETION: All zero-coupon bond discounts and original
issue discounts are accreted for both tax and financial reporting purposes.
All short- and long-term market premiums/discounts are amortized/accreted
for both tax and financial reporting purposes.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, the sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required.
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 41,256,930 $ 18,974,873 $ (927,977) $ 18,046,896
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 quarterly. Capital gain distributions 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) from
investment transactions for a reporting period may differ significantly
from distributions during such period. The differences between tax
regulations and GAAP relate primarily to investments in foreign-denominated
investments and certain securities sold at a loss. Accordingly, the Fund
may periodically make reclassifications among certain of its capital
accounts without impacting its net asset value.
10 Semiannual Report
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases and sales of investment securities, excluding short-term
investments aggregated to $11,653,907 and $17,650,224, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .85% of its average daily net assets. For the six months ended February
28, 1997, the Adviser voluntarily agreed to reimburse the Fund for all
expenses in excess of .95% of average daily net assets on an annual basis.
As of February 28, 1997, the receivable due from the Adviser for expenses
in excess of the expense cap has been netted against the Adviser fee
payable. The Investment Company also has contracts with the Adviser to
provide custody, shareholder servicing and transfer agent services to the
Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Semiannual Report 11
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS"), and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%,
and .175% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $8,325 and $9,408, or a total of $17,733, from
the Adviser and SSBSI, respectively. The Fund did not incur any expenses
from RIS or Commercial Banking during this period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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
12 Semiannual Report
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
Trustees or a majority of the Fund's shareholders have the right, however,
to terminate the Distribution Plan and all payments thereunder at any time.
The Fund will not be obligated to reimburse the Distributor for carryover
expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of February 28, 1997.
AFFILIATED BROKERAGE: The Fund placed a portion of its portfolio
transactions with SSBSI, an affiliated broker dealer of the Fund's Adviser.
The commissions paid to SSBSI were $17,022 for the six months ended
February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 66,716
Administration fees 1,371
Custodian fees 4,067
Distribution fees 609
Shareholder servicing fees 5,340
Transfer agent fees 28,329
Trustees' fees 893
-----------
$ 107,325
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, two shareholders (who are
also affiliates of the Investment Company) were each record owners of
approximately 23% of the total outstanding shares of the Fund.
5. DIVIDENDS
On March 3, 1997 the Board of Trustees declared a dividend of $.0112 from
net investment income, payable on March 11, 1997 to shareholders of record
on March 4, 1997.
Semiannual Report 13
<PAGE>
SSgA GROWTH AND INCOME FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
14 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
INTERMEDIATE FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
INTERMEDIATE FUND
Semiannual Report (Unaudited)
February 28, 1997
Table Of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 11
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 16
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES.
THE PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND
CAPITAL GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT
AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN
PURCHASED. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. RUSSELL FUND
DISTRIBUTORS, INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
LONG-TERM INVESTMENTS - 97.0%
ASSET-BACKED SECURITIES - 6.9%
CIT RV Trust
6.400% due 02/15/07 $ 300 $ 300
Ford Credit Auto Loan Master Trust
Series 1996-1 Class A
5.500% due 02/15/03 370 355
Ford Credit Auto Owner Trust
Series 1996 - B Class A4
6.300% due 01/15/01 500 499
MBNA Master Credit Card Trust
Series 1993-3 Class A
5.400% due 09/15/00 1,000 987
Premier Auto Trust
Series 1996-2 Class A3
6.350% due 01/06/00 400 401
Standard Credit Card Master Trust I
Series 1993-3 Class A
5.500% due 02/07/00 500 493
----------
3,035
----------
CORPORATE BONDS AND
NOTES - 52.4%
Airtouch Communications, Inc.
7.000% due 10/01/03 375 375
Associates Corp. of North America
6.375% due 08/15/98 800 801
6.250% due 03/15/99 400 399
7.500% due 05/15/99 500 511
Banc One, Milwaukee, N.A.
6.625% due 04/15/03 500 492
Berkley (W.R.) Corp.
9.875% due 05/15/08 400 470
Branch Banking & Trust Co.
5.700% due 02/01/01 250 241
Burlington Northern Santa Fe Corp.
6.375% due 12/15/05 200 190
Caterpillar Financial Services Corp.
6.410% due 06/11/98 500 502
Chase Manhattan Corp. New
5.500% due 02/15/01 500 478
CIT Group Holdings, Inc.
5.625% due 04/01/98 400 398
6.500% due 07/13/98 500 503
6.350% due 07/31/98 500 502
CIT Group Holdings, Inc. (MTN)
6.250% due 10/04/99 500 497
Citicorp
5.625% due 02/15/01 500 481
Commercial Credit Group, Inc.
8.700% due 06/15/09 500 563
Discover Credit Corp.
Series 2 (MTN)
9.000% due 04/01/98 325 335
Enron Corp.
9.650% due 05/15/01 150 164
Exxon Capital Corp.
6.500% due 07/15/99 500 501
First Data Corp. Series B (MTN)
6.820% due 09/18/01 500 500
First National Bank of Boston
8.375% due 12/15/02 200 213
7.375% due 09/15/06 500 505
Fleet Financial Group
7.250% due 09/01/99 500 509
Ford Motor Company
7.500% due 11/15/99 555 568
Ford Motor Credit (MTN)
6.110% due 12/28/01 400 389
Ford Motor Credit Co.
8.375% due 01/15/00 350 367
General Motors Acceptance Corp.
7.125% due 06/01/99 500 507
Semiannual Report 3
<PAGE>
SSgA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
General Motors
Acceptance Corp. (MTN)
5.950% due 12/28/98 $ 500 $ 497
6.625% due 04/24/00 200 200
GTE Corp.
9.375% due 12/01/00 500 544
Harris Corp.
6.650% due 08/01/06 700 697
Integra Bank (MTN)
6.550% due 06/15/00 500 497
International Lease Finance Corp.
5.750% due 03/15/98 500 498
6.625% due 08/15/00 500 500
International Lease
Finance Corp. (MTN)
6.050% due 04/30/99 210 208
John Deere Capital Corp.
6.000% due 02/01/99 180 179
Kemper Corp.
6.875% due 09/15/03 500 497
Key Bank, N. A.
6.050% due 04/06/98 600 599
KFW International Finance, Inc.
7.625% due 02/15/04 100 105
KFW International Finance, Inc. (MTN)
8.200% due 06/01/06 500 542
Lockheed Martin Corp.
6.550% due 05/15/99 475 475
McDonnell Douglas Corp.
6.875% due 11/01/06 115 114
Merrill Lynch & Co., Inc. (MTN)
6.510% due 03/19/01 300 298
Morgan Stanley Group, Inc. (MTN)
5.625% due 03/01/99 755 745
News America Holdings, Inc.
7.450% due 06/01/00 200 203
Norwest Financial, Inc.
Series B (MTN)
6.375% due 10/01/99 500 498
Old Kent Bank (MTN)
6.875% due 04/15/98 500 505
Pitney Bowes Credit Corp.
Series C (MTN)
6.540% due 07/15/99 700 702
Praxair, Inc.
6.900% due 11/01/06 100 99
Republic (New York) Corp.
7.750% due 05/15/02 500 520
Seagate Technology, Inc.
7.125% due 03/01/04 60 60
Sears Roebuck Acceptance Corp.
Series 2 (MTN)
6.540% due 05/06/99 500 501
Societe Generale - New York
7.400% due 06/01/06 200 203
Transamerica Finance Corp.
Series E (MTN)
5.820% due 06/09/98 125 124
Transamerica Financial Corp.
6.800% due 03/15/99 500 504
----------
23,075
----------
MORTGAGE-BACKED
SECURITIES - 2.9%
Federal Home Loan Mortgage Corp.
Participation Certificate Group
#L7-3986 4.500% due 04/01/01 410 383
Federal National Mortgage
Association Pools
#328962 6.000% due 01/01/09 615 595
#367205 5.500% due 07/01/11 321 303
----------
1,281
----------
4 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
UNITED STATES GOVERNMENT
AGENCIES - 4.5%
Federal National Mortgage
Association
6.600% due 06/24/99 $ 250 $ 252
9.050% due 04/10/00 200 215
5.450% due 10/10/03 500 467
Federal National Mortgage
Association (MTN)
5.200% due 04/30/98 600 595
State of Israel Guaranteed Notes
Series 3-A
6.000% due 02/15/99 450 448
----------
1,977
----------
UNITED STATES GOVERNMENT
TREASURIES - 13.8%
United States Treasury Notes
5.875% due 01/31/99 865 862
8.000% due 08/15/99 100 104
5.875% due 02/15/00 1,175 1,164
6.250% due 04/30/01 445 443
6.250% due 01/31/02 1,010 1,003
5.875% due 02/15/04 540 521
7.250% due 05/15/04 500 521
6.875% due 05/15/06 550 560
6.500% due 10/15/06 600 595
6.250% due 02/15/07 320 313
----------
6,086
----------
YANKEE BONDS - 16.5%
ABN AMRO North America, Inc.
(Chicago)
7.550% due 06/28/06 500 515
Australia & New Zealand Banking
Group LTD.
6.250% due 02/01/04 300 287
Enersis SA
6.900% due 12/01/06 160 155
Finland, Republic of
7.875% due 07/28/04 215 230
General Motors Acceptance Corp.
6.750% due 02/07/02 500 499
Korea Development Bank
7.250% due 05/15/06 85 86
Manitoba, Province of
6.875% due 09/15/02 500 503
Manitoba, Province of Series CK
9.000% due 12/15/00 500 538
New Zealand, Government of
8.750% due 12/15/06 500 567
Ontario, Province of
8.000% due 10/17/01 250 263
7.375% due 01/27/03 500 515
Quebec, Province of
9.125% due 03/01/00 1,275 1,362
Santander Financial Issuances
7.250% due 05/30/06 500 501
Usinor Sacilor
7.250% due 08/01/06 200 198
Victorian Public Authority Financial
Agency
8.450% due 10/01/01 500 535
Westpac Banking, Ltd.
7.875% due 10/15/02 500 523
----------
7,277
----------
TOTAL LONG-TERM INVESTMENTS
(cost $42,815) 42,731
----------
<PAGE>
SSgA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
SHORT-TERM INVESTMENTS - 4.8%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (a) $ 4 $ 4
Franklin US Treasuries
Money Market Fund (a) 698 698
Valiant Money Market Fund
Class A (a) 1,436 1,436
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $2,138) 2,138
----------
TOTAL INVESTMENTS
(identified cost $44,952)(b) - 101.8% $ 44,869
OTHER ASSETS AND LIABILITIES,
NET - (1.8%) (814)
----------
NET ASSETS - 100.0% $ 44,055
----------
----------
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
ABBREVIATIONS:
MTN - Medium Term Note
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $44,952,434)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . $ 44,868,387
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 749,238
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 559,034
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179,953
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,978
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,370,590
LIABILITIES
Payables (Note 4):
Investments purchased (regular settlement). . . . . . . . . . . . . . . . . . . . . . $ 1,603,241
Investments purchased (delayed settlement)(Note 2). . . . . . . . . . . . . . . . . . 601,252
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,279
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 41,707
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,457
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,315,936
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 44,054,654
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 387,565
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (276,907)
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . . (84,047)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,566
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,023,477
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 44,054,654
--------------
--------------
Net asset value, offering and redemption price per share
($44,054,654 divided by 4,565,524 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $9.65
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
INTERMEDIATE FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,413,122
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,516
--------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,442,638
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 180,979
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,506
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,334
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,795
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,678
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,350
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,299
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,528
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,784
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 4,609
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,056
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287,918
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (152,196)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135,722
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,306,916
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10,594)
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . . 587,907
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 577,313
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 1,884,229
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,306,916 $ 2,315,906
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . (10,594) 156,084
Net change in unrealized appreciation or depreciation of investments . . . . . . 587,907 (882,679)
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 1,884,229 1,589,311
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (1,521,723) (2,233,116)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 2,174,393 8,268,562
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 2,536,899 7,624,757
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 41,517,755 33,892,998
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of
$387,565 and $602,372, respectively). . . . . . . . . . . . . . . . . . . . . . . $ 44,054,654 $ 41,517,755
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . 1,091,328 $ 10,495,424 3,900,705 $ 37,719,166
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 144,024 1,381,067 196,508 1,896,146
Fund shares redeemed . . . . . . . . . . . . . (1,005,956) (9,702,098) (3,247,621) (31,346,750)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . . 229,396 $ 2,174,393 849,592 $ 8,268,562
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSgA
INTERMEDIATE FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share oustanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . $ 9.57 $ 9.72 $ 9.37 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . .28 .53 .56 .42
Net realized and unrealized gain (loss) on investments. . . . . . . . .13 (.14) .34 (.76)
---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . .41 .39 .90 (.34)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . (.33) (.54) (.55) (.29)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . $ 9.65 $ 9.57 $ 9.72 $ 9.37
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . 4.33 4.12 10.05 (3.42)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c) . . . . . . . . .60 .60 .60 .60
Operating expenses, gross, to average net assets (b)(c) . . . . . . . 1.27 1.38 1.67 1.51
Net investment income to average net assets (b) . . . . . . . . . . . 5.78 5.57 6.29 5.11
Portfolio turnover (b). . . . . . . . . . . . . . . . . . . . . . . . 222.10 221.73 26.31 15.70
Net assets, end of period ($000 omitted). . . . . . . . . . . . . . . 44,055 41,518 33,893 19,963
Per share amount of fees waived ($ omitted) . . . . . . . . . . . . . -- -- -- .0002
Per share amount of fees reimbursed ($ omitted)(c). . . . . . . . . . .0320 .0743 .0946 .0753
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period September 1, 1993 (commencement of operations) to
August 31, 1994.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1994
are annualized.
(c) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Intermediate Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: United States fixed-income securities listed and traded
principally on any national securities exchange are valued on the basis of
the last sale price or, lacking any sale, at the closing bid price, on the
primary exchange on which the security is traded. United States
over-the-counter, fixed-income securities and options are valued on the
basis of the closing bid price.
Many fixed-income securities do not trade each day, and thus last sale or
bid prices are frequently not available. Fixed-income securities may be
valued using prices provided by a pricing service when such prices are
believed to reflect the fair market value of such securities.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed, unless the Board of
Trustees determines that amortized cost does not represent fair value.
The Fund 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded daily on the accrual basis.
Semiannual Report 11
<PAGE>
SSgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
AMORTIZATION AND ACCRETION: All zero-coupon bond discounts and original
issue discounts are accreted for both tax and financial reporting purposes.
All short- and long-term market premiums/discounts are amortized/accreted
for both tax and financial reporting purposes.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was required. At February
28, 1997, the Fund had net tax basis capital loss carryovers of $103,195
and $155,968 which may be applied against any realized net taxable gains in
each succeeding year or until their expiration dates of August 31, 2003 and
August 31, 2004, respectively, whichever occurs first.
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 44,952,434 $ 144,917 $ (228,964) $ (84,047)
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 quarterly. Capital gain distributions 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) on
investment transactions for a reporting period may differ significantly
from distributions during such period. The differences between tax
regulations and GAAP relate primarily to investments in mortgage-backed
securities and certain securities sold at a loss. Accordingly, the Fund may
periodically make reclassifications among certain of its capital accounts
without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
12 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
FORWARD COMMITMENTS: The Fund may contract to purchase securities for a
fixed price at a future date beyond customary settlement time (not to
exceed 120 days)(i.e., a "forward commitment" or "delayed settlement"
transaction, e.g., to be announced ("TBA")) consistent with a Fund's
ability to manage its investment portfolio and meet redemption requests.
The price of the underlying securities and the date upon which the
securities will be delivered and paid for are fixed at the time the
transaction is negotiated. The Fund may dispose of a forward commitment
transaction prior to settlement, if it is appropriate to do so, and realize
short-term gains (or losses) upon such sale. When effecting such
transactions, cash or liquid high-grade debt obligations of the Fund will
be segregated on the Fund's records in a dollar amount sufficient to make
payment for the portfolio securities to be purchased at the trade date and
maintained until the transaction is settled. A forward commitment
transaction involves a risk of loss if the value of the security to be
purchased declines prior to the settlement date or the other party to the
transaction fails to complete the transaction.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases and sales of investment securities, excluding US Government and
Agency obligations and short-term investments, aggregated to $19,922,718,
and $15,447,713, respectively.
For the six months ended February 28, 1997, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $30,626,645 and $32,848,954, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .80% of its average daily net assets. For the six months ended February
28, 1997, the Adviser voluntarily agreed to reimburse the Fund for all
expenses in
Semiannual Report 13
<PAGE>
SSgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
excess of .60% of average daily net assets on an annual basis. As of
February 28, 1997, the receivable due from the Adviser for expenses in
excess of the expense cap has been netted against the Adviser fee payable.
The Investment Company also has contracts with the Adviser to provide
custody, shareholder servicing and transfer agent services to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS"), and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%,
and .175% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $5,654, $1,311 and $2,334, or a total of $9,299,
from the Adviser, RIS and SSBSI, respectively. The Fund did not incur any
expenses from Commercial Banking during this period.
14 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 11,129
Administration fees 981
Custodian fees 6,082
Distribution fees 924
Shareholder servicing fees 1,831
Transfer agent fees 19,800
Trustees' fees 960
-----------
$ 41,707
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, one shareholder (who is also
an affiliate of the Investment Company) was record owner of approximately
27% of the total outstanding shares of the Fund.
5. DIVIDENDS
On March 3, 1997, the Board of Trustees declared a dividend of $.0851 from
net investment income, payable on March 11, 1997 to shareholders of record
on March 4, 1997.
Semiannual Report 15
<PAGE>
SSgA INTERMEDIATE FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
EMERGING MARKETS FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
EMERGING MARKETS FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 18
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 23
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INTERNATIONAL MARKETS
ENTAIL DIFFERENT RISKS THAN THOSE TYPICALLY ASSOCIATED WITH DOMESTIC MARKETS,
INCLUDING CURRENCY FLUCTUATIONS, POLITICAL AND ECONOMIC INSTABILITY, ACCOUNTING
CHANGES AND FOREIGN TAXATION. SECURITIES MAY BE LESS LIQUID AND MORE VOLATILE.
INVESTMENTS IN EMERGING OR DEVELOPING MARKETS INVOLVE EXPOSURE TO ECONOMIC
STRUCTURES THAT ARE GENERALLY LESS DIVERSE AND MATURE, AND TO POLITICAL SYSTEMS
WHICH CAN BE EXPECTED TO HAVE LESS STABILITY THAN THOSE OF MORE DEVELOPED
COUNTRIES. PLEASE SEE THE PROSPECTUS FOR FURTHER DETAILS. RUSSELL FUND
DISTRIBUTORS, INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS .
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
COMMON STOCKS - 83.9%
ARGENTINA - 4.7%
Acindar Industria Argentina de Aceros SA Class B 718,702 $ 1,348
Alpargatas 728,007 706
Astra cia Argentina de Petro 329,720 597
Banco de Galicia 149,240 900
Celulosa Argentina 930,877 210
Dalmine Siderca SA 292,521 594
Ledesma 359,967 436
Naviera Perez Companc Class B 163,992 1,257
Polledo SA Class A (a) 32,863 38
Siderar SA Class A 11,700 37
Telecom Argentina Class B 114,329 546
Telefonica de Argentina Class B 200,250 633
YPF SA Class D 59,969 1,604
----------
8,906
----------
BRAZIL - 9.1%
Companhia Siderurgica de Tubarao NPV 13,300,000 215
Eletrobras (centrais) NPV 8,458,900 3,718
Sider Nacional cia NPV 82,954,000 3,054
Telecomunicacoes Brasileiras NPV 102,480,496 9,700
Telecomunicacoes de Sao Paulo SA - NPV 1,581,871 434
----------
17,121
----------
CHILE - 0.6%
Chile Fund, Inc. 10,200 246
Compania de Telecomunicaciones de Chile SA - ADR 10,200 298
Empresa Nacional de Electric - ADR 18,600 358
Enersis SA - ADR 6,200 205
Madeco SA - ADR 1,400 43
----------
1,150
----------
CHINA - 1.2%
Beiren Printing Class H 60,000 15
Dong Fang Electric Machinery, Ltd. Class H 64,000 21
Guangshen Railway Co., Ltd. - ADR (a) 6,000 145
Guangzhou Shipyard Class H 122,000 29
Harbin Power Equipment Class H 316,000 58
Huaneng Power International, Inc. - ADR Series N 23,900 526
Jilin Chemical Industrial Company, Ltd. Class H 166,000 24
Luoyang Glasswork Class H 268,000 62
Maanshan Iron & Steel Class H 590,000 139
Quingling Motors Class H 591,000 359
Shandong Huaneng Power Co., Ltd. Series N - ADR 16,500 171
Shanghai Hai Xing Shipping Co. Class H 1,484,000 157
Shanghai Petrochemical Corp. 7,500 213
Tsingtao Brewery Class H 151,000 61
Yizheng Chemical Fibre Class H 946,000 222
Zhenhai Refining & Chemical Co., Ltd. Series H 110,000 42
----------
2,244
----------
COLOMBIA - 1.2%
Banco Ganadero SA Class B - ADR 39,900 1,222
Banco Industrial Colombiano SA - ADR 21,000 381
Semiannual Report 3
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Cementos Diamante SA - GDR 49,300 $ 687
----------
2,290
----------
CZECH REPUBLIC - 3.3%
Ceska Sporitelna AS (a) 18,835 211
Ceske Radiokomunikace (a) 470 61
CEZ (a) 36,460 1,508
Chemopetrol Group AS 15,153 736
Cokoladovny AS 700 103
Inzenyrske a Prumyslove Stavby AS (a) 3,300 36
Komercni Banka AS (a) 7,377 696
Skoda Koncern Plzen AS 16,591 655
SPT Telecom AS 17,030 2,210
----------
6,216
----------
EGYPT - 0.1%
Suez Cement Co. - GDR (a) 6,900 128
----------
128
----------
GREECE - 3.4%
Alcatel Cables Hellenic (a) 6,500 60
Alpha Finance SA 6,000 136
Alpha Leasing SA (Regd) 3,800 90
Aluminum Co. of Greece Industrial and
Commercial (Regd) 3,420 194
Commercial Bank of Greece (Regd) 18,260 738
Credit Bank (Regd) 9,720 845
Ergo Bank (Regd) 4,540 267
Ergo Bank SA (a) 151 9
Ergo Bank SA Rights (a) 4,540 60
ETBA Leasing SA (Regd) 6,300 74
Hellenic Bottling 11,500 380
Hellenic Telecommunication Organization SA 14,400 315
Heracles General Cement Co. 38,520 545
Ionian Bank SA (Regd) 10,200 225
Klonatex 6,880 128
Loulis Flour Mills SA (Regd) 46,420 223
Naoussa Spinning Mills 39,800 155
National Bank of Greece (Regd) 11,450 1,176
National Mortgage Bank 6,810 432
Nikas SA 3,800 40
Petzetakis SA 22,281 104
Shelman SA 18,120 105
Strintzis Shipping 49,640 187
----------
6,488
----------
HUNGARY - 2.5%
Agrimpex Series A 300 36
Danubius Hotels & Spa (Regd) 14,831 474
Domus Kereskedilmi 6,294 17
Egis Gyogyszergyar 21,126 1,253
Fotex Rt. (Regd) 207,812 163
Fotex Rt. Austrian Certificate (Regd) 176,296 134
Magyar Olaj Es Gas 35,000 619
Martfu Brewery (Regd) 387 7
Mol Magyar Olay-Es Gazipari - GDR 16,700 294
Mol Magyar Olay-Es Gazipari - GDS 31,000 546
Pick Szeged Rights (a) 3,448 231
Richter Gedeon, Ltd. - GDR 10,500 722
Skala Coop 9,554 108
----------
4,604
----------
INDIA - 2.9%
Bombay Fund 147,223 1,251
Morgan Stanley India Investment Fund, Inc. 165,300 1,818
Reliance Industries Ltd. - GDS 25,000 426
The India Fund, Inc. 233,900 1,989
----------
5,484
----------
4 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
ISRAEL - 1.5%
Bank Hapoalim, Ltd. (a) 125,400 $ 241
Bank Leumi Le-Israel (a) 117,500 194
Bezeq Israeli Telecommunication Corp., Ltd. 66,000 166
Clal Industries, Ltd. 400,000 114
Clal Israel, Ltd. 19,500 101
Dead Sea Works, Ltd. (a) 33,614 105
Delek Israel Fuel Corp., Ltd. (a) 1,920 59
Discount Investment Corp. (Regd)(a) 1,080 79
ECI Telecom, Ltd. 13,000 306
Electric Wire & Cable 14,000 58
Electrochemical Industries 1952, Ltd. (a) 39,713 45
IDB Development Corp., Ltd. (a) 5,780 125
Israel Chemicals, Ltd. (a) 128,000 143
Koor Industries, Ltd. (a) 1,620 156
Supersol, Ltd. 32,200 101
Tadiran, Ltd. - ADR 7,300 202
Teva Pharmaceutical Industries, Ltd. - ADR 10,100 624
----------
2,819
----------
MALAYSIA - 7.0%
Amalgamated Steel Mills 546,000 484
Arab-Malaysian Development Berhad 333,000 290
Berjaya Leisure Berhad 182,000 509
Cement Industries 146,000 444
Cold Storage 24,000 41
DCB Holdings Berhad 61,000 244
Faber Group Berhad 273,600 350
Federal Flour Mills Berhad 30,000 76
Golden Hope Plantation 268,000 484
Highlands & Lowlands 250,000 447
IGB Corp. Berhad 219,000 268
IND Oxygen, Inc. 165,000 298
Jasa Megah Industries 31,000 48
Kuala Lumpur Kepong 216,000 652
Kumpulan Guthrie 297,000 517
Kwong Yik Bank 86,000 346
Lion Land Berhad 314,000 397
Malayan Banking Berhad 34,000 404
Malaysia Mining Corp. 290,000 402
Malaysian Airline System 175,000 465
Malaysian Helicopter Services 170,000 241
Malaysian International
Shipping Corp. (Alien Market) 185,000 488
MBF Capital Berhad 184,000 378
Oriental Holdings Berhad 78,400 707
Perlis Plantations 81,250 252
Public Bank Berhad 88,000 141
Public Bank Berhad (Alien Market) 77,333 181
Rashid Hussain Berhad 93,000 753
Renong Berhad 253,000 461
Sime Darby Berhad (Resident Shares) 109,800 416
Tan Chong Motor Holdings 171,000 348
Telekom Malaysia 30,000 243
Tenaga Nasional 171,000 820
Tractors Malaysia Holdings Berhad 37,000 77
UMW Holdings Berhad 34,000 179
UMW Holdings Berhad 2000 Warrants (a) 4,000 12
United Engineers Berhad 7,308 67
Wembley Industries Holdings 129,000 231
----------
13,161
----------
MEXICO - 6.3%
Alfa SA de CV Class A NPV 148,662 845
Carso Global Telecom Series A1 NPV 51,000 157
Semiannual Report 5
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997(Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Celanese Mexicana Series B NPV 124,000 $ 267
Cemex SA de CV Class B NPV 135,737 589
Cifra SA de CV Class B NPV 167,000 260
Controladora Comercial Mexicana SA de CV (Units)(a) 462,000 381
Cydsa SA Series A NPV 96,000 239
Desc SA de CV NPV 625 4
Desc Sociedad de Fomento
Industrial SA de CV Series B NPV 30,000 191
Fomento Economico Mexicano SA de CV Series B NPV 167,000 714
Grupo Carso Series A NPV 51,000 289
Grupo Cementos Chihuahua Series B NPV 200,000 221
Grupo Continental NPV 19,000 105
Grupo Financiero Bancomer SA de CV Series L NPV (a) 10,355 3
Grupo Financiero Bancomer Series B NPV 1,574,000 614
Grupo Financiero Serfin Series B NPV 20,000 8
Grupo Gigante SA Series B NPV 810,000 239
Grupo Mexico SA Series B NPV 43,108 142
Grupo Posadas SA Series A NPV (a) 100,000 45
Grupo Sidek Series B NPV 400,000 42
Grupo Simec SA de CV Series B NPV 620,000 146
Grupo Tribasa SA de CV - ADR 65,000 447
Ingenieros Civiles NPV 34,000 562
Kimberly-Clark, Mexico Class A NPV 36,000 775
Sears Roebuck de Mexico Series B NPV 110,000 192
Telefonos de Mexico SA Series L - ADR 67,800 2,636
Telefonos de Mexico SA Series L NPV 192,900 374
Transportacion Maritima Mexicana
SA de CV - ADR Series A 8,000 39
Tubos de Acero de Mexico NPV 47,000 772
Vitro SA NPV 231,000 642
----------
11,940
----------
PAKISTAN - 2.9%
Bank of Punjab 68,120 55
Cherat Cement Co., Ltd. 93,000 65
Crescent Textile Mills 43,050 20
Dandot Cement Co. 35,000 9
Dewan Salmon Fibre 159,140 175
DG Kahn Cement 160,000 66
Dhan Fibres, Ltd. (a) 1,027,000 197
Engro Chemical 73,940 338
Fauji Fertilizer Co., Ltd. 290,800 573
Hub Power Co., Ltd. - GDR 1,146,300 1,137
Ici Pakistan (a) 874,000 596
Karachi Electric Supply Co. 516,520 226
Lucky Cement Corp. (a) 190,000 62
Muslim Commercial 372,860 370
Pakistan International Air 228,000 77
Pakistan State Oil Company, Ltd. 78,586 611
Pakistan Telecom 768,900 570
Pioneer Cement 61,300 17
Sui Southern Gas Co., Ltd. 369,293 296
Sui Northern Gas Pipelines 141,703 114
----------
5,574
----------
PHILIPPINES - 2.3%
Aboitiz Equity Ventures 751,900 76
6 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Alsons Cement Corp. 656,250 $ 169
Belle Corporation 283,200 90
Filinvest Development Corp. 302,100 89
First Philippine Holdings Class B 52,250 123
JG Summit Holdings, Inc. Series B 863,300 243
Kuok Philippine Properties, Inc. (a) 2,915,700 188
Manila Electric Co. Class B 51,500 409
Megaworld Properties & Holdings, Inc. (a) 308,000 109
Metropolitan Bank & Trust Co. 9,600 266
Metropolitan Bank & Trust Co. Rights (a) 311 1
Petron Corp. 479,700 191
Philex Mining Corp. Class B (a) 133,000 16
Philippine Long Distance Telephone Co. - ADR 15,000 870
Philippine National Bank 18,700 218
Robinson's Land Corp. Class B (a) 955,500 185
San Miguel Corp. Class B 98,200 365
SM Prime Holdings 881,600 264
Southeast Asia Cement Holdings, Inc. (a) 1,806,600 175
Union Bank of the Philippines (a) 171,100 189
Universal Robina 372,600 188
----------
4,424
----------
POLAND - 2.2%
Bank Inicjatyw Gospodarczych 382,080 575
Bank Rozwoju Eksportu SA 18,310 641
Bank Slaski SA 7,625 877
Elektrim 55,995 567
Exbud SA 17,362 219
Jelfa 11,865 268
Mostostal Export SA 9,430 25
Okocimskie Zaklady Piwowarskie SA 31,688 210
Polifarb 39,555 246
Sokolowskie Zaklady Miesne SA 84,840 150
Universal SA 48,640 162
WBK 21,500 178
Wolczanka SA 2,850 19
Zywiec 1,875 115
----------
4,252
----------
PORTUGAL - 5.0%
Banco Comercial Portuguese (Regd) 118,867 1,707
Banco Portugues de Investimento (Regd) 35,930 535
Banco Totta e Acores (Regd) 13,236 197
Banif Banco International do Funchal 37,757 291
BPI-SGPS SA (a) 13,653 195
Cimpor Cimentos de Portugal 21,100 460
Companhia de Celulose do Caima SA 13,900 310
Corticeira Amorim SGPS 34,700 427
Empresa Fabril de Maquinas Electricas - Efacec 45,866 365
Estabelecimentos Jeronimo Martins & Filho (a) 7,500 405
Jeronimo Martins SGPS 7,500 405
Lusotur Societe Finance de Turismo 11,800 199
Mague Gestao e Partipacoes 15,200 452
Modelo Continente SGPS SA 14,700 515
Portucel Industrial SA 42,900 257
Portugal Telecom SA 29,200 1,025
Semiannual Report 7
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Portugal Telecom SA - ADR 7,200 $ 251
Salvador Caetano Industrias Metalurgicas
Veiculos de Transporte SA 2,464 57
Soja de Portugal 21,900 200
Sonae Investimentos Rights (a) 15,600 60
Sonae Investimentos SA 15,600 496
Soporcel SA 15,600 460
Telecel-Comunicacaoes Pessoaissa 2,000 164
----------
9,433
----------
RUSSIA - 0.8%
AO Mosenergo - ADR 11,000 451
Chernogorneft - ADR 5,000 66
Lukoil Oil Co. - ADR 12,000 708
Vimpel-Communications - ADR (a) 8,500 292
----------
1,517
----------
SOUTH AFRICA - 6.6%
AECI, Ltd. 77,202 386
Amalgamated Banks of South Africa 124,997 795
Anglo America Corp. SA 20,673 1,304
Anglo American Industrial Corp. 11,744 469
Barlow, Ltd. 38,539 407
De Beers Centenary AG 36,444 1,265
Del Monte Royal Food, Ltd. 291,139 201
Free State Consolidated Gold Mines, Ltd. 40,668 354
Gencor, Ltd. 164,950 714
Impala Platinum Holdings, Ltd. 34,600 483
Iscor 478,429 363
Liberty Life Association of Africa 27,100 785
Liberty Life Strategic 92,707 316
Malbak, Ltd. NPV 77,400 373
Polifin, Ltd. 4,500 9
Rembrandt Group, Ltd. 79,294 814
Sappi, Ltd. 48,488 395
Sasol NPV 72,646 787
South African Breweries 14,800 443
Standard Bank Investment Corp., Ltd. 19,650 801
Tongaat-Hulett Group, Ltd. 21,166 332
Vaal Reefs Exploration & Mining, Ltd. 5,978 455
Western Deep Levels, Ltd. 9,091 316
----------
12,567
----------
SOUTH KOREA - 7.4%
Bank of Seoul 126,570 541
Cheil Industrial, Inc. 38,700 466
Daelim Industrial Co. 51,584 488
Daewoo Corp. 102,260 704
Daewoo Electronics Co. 97,620 582
Daewoo Telecom Co. 34,918 307
Dong Shin Housing & Construction Co. (a) 59,710 110
Dongkuk Steel Mill 16,638 381
Haitai Confectionery Co., Ltd. 37,010 561
Haitai Electronics Co. (a) 13,012 150
Hana Bank 10,496 134
Hanil Bank 21,680 115
Hanshin Construction Co. 81,040 394
Hanshin Securities 501 4
Housing & Commercial Bank, Korea 2,460 34
Kia Steel Co., Ltd. 11,800 46
Korea Electric Power Corp. (a) 72,830 2,090
Korea First Bank 94,560 383
Korea First Bank Securities 25,080 224
Korea First Securities Co. 2,472 14
Korea Fund, Inc. 10,603 162
Korea Mobile Telecommunications Corp. 298 171
8 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Kumho Construction & Engineering Co. 54,170 $ 323
Kun Young Construction Corp. (a) 111,390 322
Kwang Ju Bank 55,952 337
Kyong Nam Bank 20,920 182
Kyungki Bank (a) 67,812 392
L.G. Information & Communication 6,491 545
LG Merchant Banking Corp. 4,346 60
LG Merchant Banking Corp. New (a) 3,679 47
Orion Electric Co. 32,130 379
Pohang Iron & Steel (a) 4,230 211
Samsung Co. 51,600 586
Samsung Electronics, Ltd. 3,688 248
Seoul Access Trust - IDR 12 117
Seoul Horizon Trust 5,000 59
Ssangyong Cement Co., Ltd. 29,220 392
Sung Bo Chemical 3,672 98
Sunkyong Industries (a) 30,590 556
Tongyang Cement 6,000 115
Tongyang Investment & Finance Corp. 34,904 392
Tongyang Nylon Co. 18,094 431
Yukong, Ltd. 11,058 206
----------
14,059
----------
SRI LANKA - 1.4%
Aitken Spence & Co. 47,900 83
Asian Hotel Corp. 176,200 36
Blue Diamond Jewel NPV 241,987 43
Central Finance Co. 12,800 53
Ceylon Grain Elevator 22,100 6
Colombo Drydocks 114,700 30
Commercial Bank of Ceylon 13,200 33
Development Finance Corp. 202,200 949
Hayleys 99,005 337
John Keells Holdings, Ltd. 232,195 767
Lanka Ceramic 88,200 46
Lanka Milk Food 21,600 3
Lanka Orix Leasing (a) 12,400 33
Merchant Bank of Sri Lanka 162,800 57
National Development Bank 24,000 84
Richard Pieris & Co. 9,900 14
United Motor 32,160 16
Vanik, Inc. (a) 99,000 28
----------
2,618
----------
TAIWAN - 3.3%
Acer, Inc. 105,468 230
Ambassador Hotel 185,000 330
Cathay Life Insurance 115,460 751
Chang Hwa Bank 13,000 84
Cheng Loong 14,388 11
Chia Hsin Flour 25,889 18
China Development Corp. 195,000 762
China Petrochemical Development Corp. 289,000 456
China Rebar 23,658 18
China Steel Corp. 510,450 484
Ensure Co., Ltd. 88,000 98
Far Eastern Textile 306,290 477
Hua Nan Bank 161,900 859
Hualon Teijran 26,059 24
Kao Hsing Chang Iron & Steel 16,200 17
Kwong Fong Industries 14,950 20
Lealea Enterprise 20,224 19
Pacific Construction 316,857 311
Pacific Electrical Wire & Cable 370,700 389
Prince Housing Development 13,860 14
Taipei Business Bank 54,500 145
Tuntex Distinct 410,550 310
Walsin Lihwa Wire 301,233 254
Semiannual Report 9
<PAGE>
SSgA
Emerging Markets Fund
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Wan Yu Paper 20,160 $ 10
Yieh Loong Co. 22,143 16
Yue Loong Motor 19,000 27
Yuen Foong Yu Manufacturing 15,939 17
----------
6,151
----------
THAILAND - 5.2%
Advanced Information Services 47,700 461
Advanced Information Services (Alien Market) 43,800 392
Bangchak Petroleum 156,200 90
Bangkok Bank (Alien Market) 83,300 733
Bangkok Land Co. (Alien Market) 118,700 121
Bangkok Metropolitan Bank PLC (Alien Market) 1,052,200 333
Bangkok Rubber PLC (Alien Market) 24,400 7
Bank of Ayudhya (Alien Market) 149,150 340
Electricity Generating PLC (Alien Market)(a) 224,600 568
Finance One Public Co., Ltd. (Alien Market) 158,300 165
First Bangkok City Bank PLC (Alien Market) 305,900 275
Industrial Finance Corp. of Thailand (Alien Market) 140,100 371
International Cosmetics PLC (Alien Market) 9,800 39
Karat Sanitaryware PLC (Alien Market) 39,150 34
Krisda Mahanakorn PLC (Alien Market) 97,700 75
Krung Thai Bank PLC (Alien Market) 164,600 246
MDX PLC (Alien Market) 116,600 44
National Finance & Securities PLC 271,600 370
National Petrochemical PLC (Alien Market) 103,900 106
Nava Finance & Securities PLC (Alien Market) 101,100 117
NEP Realty & Industry Co. PLC (Alien Market) 14,700 3
NTS Steel Groups Co., Ltd. PLC (Alien Market)(a) 130,800 36
Padaeng Industry Co., Ltd. PLC (Alien Market) 88,400 27
PTT Exploration & Production PLC (Alien Market) 58,400 798
Robinson Department Store PLC (Alien Market) 33,000 30
Saha Pathana Inter-Holding PLC (Alien Market) 44,200 109
Saha Union Corp. PLC (Alien Market) 235,200 177
Sahaviriya Steel Industries PLC (Alien Market) 411,500 163
Shinawatra Satellite PLC (Alien Market) 148,200 159
Siam Cement Co. (Alien Market) 12,000 321
Siam City Bank PLC (Alien Market) 467,200 383
Siam Commercial Bank PLC (Alien Market) 62,300 354
Tanayong (Alien Market) 262,400 182
TelecomAsia (a) 163,000 296
TelecomAsia (Alien Market) 471,200 869
Thai Farmers Bank (Alien Market) 55,000 325
Tipco Asphalt PLC 38,000 176
TPI Polene, Ltd. PLC (Alien Market) 108,500 180
10 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Unicord PLC (Alien Market) 348,600 $ 5
United Communications Industries (Alien Market) 55,600 346
Univest Land PLC (Alien Market)(a) 281,600 33
----------
9,859
----------
TURKEY - 2.1%
Akbank 2,958,000 517
Eczacibasi Ilac Sanayii ve Ticaret AS 4,126,000 279
Erciyas Biracilik Ve Malt Sanayii 1,456,000 157
Eregli Demir Ve Celik Fabrikalari 2,951,000 510
Izmir Demir Celik Sanayii AS 11,171,636 191
Kartonsan 1,635,000 196
Petrokimya Holdings 805,000 393
Raks Elektronik Sanayii ve Ticaret AS (a) 510,000 156
T Sise Cam 3,428,173 551
Tofas Turk Otomobil Fabrikasi 4,098,500 283
Turk Hava Yollari A.O. 1,430,000 349
Yapi Kredi Bankasi 8,044,500 379
----------
3,961
----------
VENEZUELA - 0.1%
Corimon CA SA Class B - ADR 8,000 10
Mavesa SA - ADR 7,180 47
Siderurgica Venezolana Sivensa - ADR 13,800 46
----------
103
----------
ZIMBABWE - 0.8%
Art Corp. 393,428 4
Delta Corp. (a) 748,935 1,173
Kadoma 337,224 27
Mashoaland Holdings 266,434 60
National Food Holdings 33,965 18
TA Holdings 442,603 75
Whitehead 754,815 71
Zimbabwe Finance Holdings 85,044 56
Zimbabwe Spinners & Weavers 465,991 24
Zimbabwe Sun, Ltd. 57,104 19
----------
1,527
----------
TOTAL COMMON STOCKS
(cost $134,467) 158,596
----------
PREFERRED STOCKS - 9.2%
BRAZIL - 9.0%
Acos Villares SA NPV 1,100,000 262
Banco Bradesco SA NPV 121,077,064 1,014
Banco do Estado de Sao Paulo NPV 66,086,600 264
Banco Itau SA (Regd) 1,764,000 903
Banco Nacional SA NPV (a) 19,600,000 347
Caemi Mineracao e Metal (BR) 6,992,000 392
CEMIG SA 33,323,856 1,343
Ceval Alimentos SA NPV 61,288,800 717
Companhia Energetica de Sao Paulo NPV 12,983,800 710
Companhia Siderurgica Belgo-Mineira NPV 10,270,000 928
Copene Petroquimica do Nordestse Series A (Regd) 1,580,341 581
Electrobras Series B NPV 3,752,000 1,703
Hering SA (cia) NPV 30,450,000 200
Hering Textile SA - NPV (a) 2,490,000 5
Papel Simao NPV 15,500,000 379
Semiannual Report 11
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
Petroleo Brasileiro SA NPV 12,808,900 $ 2,620
Ripasa SA Celulose Papel NPV 47,200 19
Sider Riograndense NPV 47,506,668 908
Siderurgica Tubarao NPV 56,938,928 959
TELESP - NPV 487,020 134
UNIPAR SA Class B 580,226 265
Usiminas Uni Sd Mg NPV 1,000,000 1
Vale Rio Doce (cia) NPV 88,765 2,357
----------
17,011
----------
GREECE - 0.2%
Aluminum of Greece SA 2,000 102
Delta Dairy 32,304 310
----------
412
----------
SOUTH KOREA - 0.0%
Tong Yang Securities Co. 18,540 71
----------
71
----------
TOTAL PREFERRED STOCKS
(cost $14,362) 17,494
----------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
LONG-TERM INVESTMENTS - 0.2%
PHILIPPINES - 0.2%
Ayala Corp. (conv.)
Zero Coupon due 12/08/00 $ 232 346
----------
TOTAL LONG-TERM INVESTMENTS
(cost $335) 346
----------
SHORT-TERM INVESTMENTS - 7.2%
UNITED STATES - 7.2%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) $ 5,049 $ 5,049
Federal Home Loan Bank
Discount Notes
5.300% due 03/03/97 (b)(c) 1,525 1,525
Valiant Money Market Fund
Class A (b) 6,967 6,967
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $13,541) 13,541
----------
TOTAL INVESTMENTS
(identified cost $162,706)(d) - 100.5% 189,977
OTHER ASSETS AND LIABILITIES,
NET - (0.5)% (974)
----------
NET ASSETS - 100.0% $ 189,003
----------
----------
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) See Note 2 for federal income tax information.
ABBREVIATIONS:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
GDS - Global Depositary Share
IDR - International Depositary Receipt
PLC - Public Limited Company
* Reflected in units. 1 IDR unit = 1,000 shares
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
Basic Industries 12.1% $ 22,957
Capital Goods 8.0 15,088
Consumer Basics 5.7 10,812
Consumer Durable Goods 2.7 5,111
Consumer Non-Durables 3.9 7,388
Consumer Services 1.3 2,528
Energy 7.3 13,876
Finance 21.3 40,176
General Business 8.1 15,211
Miscellaneous 5.4 10,274
Shelter 1.8 3,331
Technology 3.8 7,153
Transportation 0.3 651
Utilities 11.6 21,880
Short-Term Investments 7.2 13,541
---------- ----------
Total Investments 100.5 189,977
Other Assets and Liabilities, Net (0.5) (974)
---------- ----------
NET ASSETS 100.0% $ 189,003
---------- ----------
---------- ----------
% OF MARKET
NET VALUE
GEOGRAPHIC DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
Latin America 31.0% $ 58,519
Pacific Basin 28.0 52,921
Europe 23.1 43,722
Africa 11.2 21,274
Short-Term Investments - U.S. 7.2 13,541
---------- ----------
Total Investments 100.5 189,977
Other Assets and Liabilities, Net (0.5) (974)
---------- ----------
NET ASSETS 100.0% $ 189,003
---------- ----------
---------- ----------
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSgA
EMERGING MARKETS FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at market (identified cost $162,705,716)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . $ 189,977,074
Foreign currency holdings (identified cost $3,347,925) . . . . . . . . . . . . . . . . . . . . . . . . . . 3,338,788
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257,833
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55,183
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,203,131
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,239
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,984
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194,847,232
LIABILITIES
Payables (Note 4):
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,788,142
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 814,925
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . . 228,538
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,064
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,844,669
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 189,002,563
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . $ (662,925)
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,451,677
Unrealized appreciation (depreciation) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,271,358
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,290)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,261
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159,929,482
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 189,002,563
--------------
--------------
Net asset value, offering and redemption price per share
($189,002,563 divided by 15,261,464 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $12.38
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Dividends (net of foreign taxes withheld of $89,186). . . . . . . . . . . . . . . . . . . . . . . . . . $ 839,197
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,378
--------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 904,575
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 538,415
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,287
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304,633
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160,389
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,502
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,662
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,094
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,111
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,766
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 3,468
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,842
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,111,169
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (213,756)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 897,413
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,162
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,935,934
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . . (57,661) 2,878,273
--------------
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,841,828
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . . 9,425 19,851,253
-------------- --------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,729,526
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 22,736,688
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 15
<PAGE>
SSgA
EMERGING MARKETS FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 7,162 $ 1,038,169
Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,878,273 136,794
Net change in unrealized appreciation or depreciation . . . . . . . . . . . . . . 19,851,253 6,167,561
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 22,736,688 7,342,524
Distributions to shareholders:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (601,116) (831,930)
In excess of net investment income. . . . . . . . . . . . . . . . . . . . . . . . (662,925) --
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . (701,540) (700,132)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 48,015,386 46,020,504
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 68,786,493 51,830,966
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 120,216,070 68,385,104
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including accumulated distributions in excess of
net investment income of $662,925 and undistributed
net investment income of $593,954, respectively). . . . . . . . . . . . . . . . . $ 189,002,563 $ 120,216,070
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1997 (UNAUDITED) ENDED AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . . 5,607,315 $ 64,260,473 5,782,417 $ 60,428,666
Fund shares issued to shareholders
in reinvestments of distributions . . . . . 170,710 1,875,138 144,489 1,456,365
Fund shares redeemed . . . . . . . . . . . . . (1,574,694) (18,120,225) (1,506,029) (15,864,527)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . . 4,203,331 $ 48,015,386 4,420,877 $ 46,020,504
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995 1994**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . $ 10.87 $ 10.30 $ 11.45 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . -- .11 .14 .05
Net realized and unrealized gain (loss) on investments. . . . . . . . 1.68 .68 (1.19) 1.40
---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . 1.68 .79 (1.05) 1.45
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . (.05) (.12) (.10) --
In excess of net investment income. . . . . . . . . . . . . . . . . . (.06) -- -- --
Net realized gain on investments. . . . . . . . . . . . . . . . . . . (.06) (.10) -- --
---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . (.17) (.22) (.10) --
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . $ 12.38 $ 10.87 $ 10.30 $ 11.45
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . 15.59 7.83 (9.28) 14.50
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c). . . . . . . . . . 1.25 1.28 1.50 1.50
Operating expenses, gross, to average net assets (b)(c). . . . . . . . . 1.55 1.67 1.90 2.45
Net investment income to average net assets (b). . . . . . . . . . . . . .01 1.10 1.74 1.31
Portfolio turnover (b) . . . . . . . . . . . . . . . . . . . . . . . . . 20.90 4.36 19.77 --
Net assets, end of period ($000 omitted) . . . . . . . . . . . . . . . . 189,003 120,216 68,385 27,479
Per share amount of fees waived ($ omitted). . . . . . . . . . . . . . . -- -- -- .0130
Per share amount of fees reimbursed ($ omitted)(c) . . . . . . . . . . . .0161(d) .0376 .0320 .0204
Average commission rate paid per share
of security ($ omitted)(e). . . . . . . . . . . . . . . . . . . . . . .0009 .0006 N/A N/A
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period March 1, 1994 (commencement of operations) to
August 31, 1994.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1994
are annualized.
(c) See Note 4 for current period amounts.
(d) Average month-end shares outstanding for the period were used for this
calculation.
(e) In certain foreign markets the relationship between the translated U.S.
dollar price per share of security and commission paid per share of
security may vary from that of domestic markets.
Semiannual Report 17
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Emerging Markets Fund (the
"Fund"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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: International equity and fixed-income securities traded
on a national securities exchange are valued on the basis of the last sale
price. International securities traded over the counter are valued on the
basis of the mean of bid prices. In the absence of a last sale or mean bid
price, respectively, such securities may be valued on the basis of prices
provided by a pricing service if those prices are believed to reflect the
fair market value of such securities.
The Fund may value certain 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on the trade
date basis. Realized gains and losses from the securities transactions are
recorded on the basis of identified cost.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded daily on the accrual basis.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income taxes and no federal income tax provision was
18 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
required. As permitted by tax regulations, the Fund intends to defer a net
realized capital loss of $113,558 incurred from November 1, 1995 to August
31, 1996, and treat it as arising in fiscal year 1997.
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
$ 163,242,557 $ 41,563,327 $ (14,828,812) $ 26,734,515
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 annually. 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) on
investment and foreign currency-related transactions for a reporting period
may differ significantly from distributions during such period. The
differences between tax regulations and GAAP relate primarily to
investments in options, futures, forward contracts, passive foreign
investment companies, foreign denominated investments, and certain
securities sold at a loss. Accordingly, the Fund may periodically make
reclassifications among certain of its capital accounts without impacting
its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has estimated expenses in
connection with its organization and initial registration. These costs have
been deferred and are being amortized over 60 months on a straight-line
basis.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Fund are
maintained in US dollars. Foreign currency amounts and transactions of the
Fund are translated into US 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.
Semiannual Report 19
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
(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 Fund's books and the US dollar equivalent of the amounts
actually received or paid. Net unrealized gains or losses from foreign
currency-related transactions arise from changes in the value of assets and
liabilities, other than investments in securities, at fiscal year-end,
resulting from changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the 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
year. Such fluctuations are included with the net realized and unrealized
gain or loss from investments. However, for federal income tax purposes the
Fund does isolate the effects of changes in foreign exchange rates from the
fluctuations arising from changes in market prices for realized gain (or
loss) on debt obligations.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including
accrued interest) on acquisition date is required to be an amount equal to
at least 102% of the repurchase price. The Fund's Adviser will monitor
repurchase agreements daily to determine that the market value (including
accrued interest) of the underlying securities remains equal to at least
100% of the repurchase price at Fedwire closing time. The Adviser or
third-party custodian will notify the seller to immediately increase the
collateral on the repurchase agreement to 102% of the repurchase price if
collateral falls below 100%.
INVESTMENT IN EMERGING MARKETS: Investing in emerging markets may involve
special risks and considerations not typically associated with investing in
the United States markets. These risks include revaluation of currencies,
high rates of inflation, repartiation, 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 more
volatile than those of comparable securities in the United States.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $51,117,666 and $14,456,502, respectively.
20 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .75% of its average daily net assets. For the period September 1, 1995
to October 31, 1995, the Adviser voluntarily agreed to reimburse the Fund
for all expenses in excess of 1.50% of average daily net assets on an
annual basis. Effective November 1, 1995, the Adviser voluntarily agreed to
reimburse the Fund for all expenses in excess of 1.25% of average daily net
assets on an annual basis. As of February 28, 1997, the receivable due from
the Adviser for expenses in excess of the expense cap has been netted
against the Adviser fee payable. The Investment Company also has contracts
with the Adviser to provide custody, shareholder services and transfer
agent servicing to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all international funds; $0 up to and
including $500 million - .07%, over $500 million to and including $1
billion - .06%, over $1 billion to and including $1.5 billion - .04%, over
$1.5 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division
Semiannual Report 21
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
("RIS"), and the Adviser's Metropolitan Division of Commercial Banking
("Commercial Banking")(collectively the "Agents"), as well as other
non-related party service providers. For these services, the Fund pays
.025%, .175%, .175%, and .175% to the Adviser, SSBSI, RIS, and Commercial
Banking, respectively based upon the average daily value of all Fund shares
held by or for customers of these Agents. For the six months ended February
28, 1997, the Fund incurred expenses of $17,948, $504 and $642, or a total
of $19,094, from the Adviser, RIS, and SSBSI, respectively. The Fund did
not incur any expenses from Commercial Banking during this period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. The amount of
carryover expenses outstanding as of February 28, 1997, for which the
Distributor intends to seek repayment, is approximately $81,049.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 132,334
Administration fees 8,192
Custodian fees 81,575
Distribution fees 387
Shareholder servicing fees 1,996
Transfer agent fees 3,892
Trustees' fees 162
-----------
$ 228,538
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, one shareholder was record
owner of approximately 59% of the total outstanding shares of the Fund.
22 Semiannual Report
<PAGE>
SSgA EMERGING MARKETS FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
23 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
TAX FREE MONEY MARKET FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
TAX FREE MONEY MARKET FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 15
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 19
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. AN INVESTMENT IN A MONEY
MARKET FUND IS NEITHER INSURED NOR GUARANTEED BY THE US GOVERNMENT. THERE CAN BE
NO ASSURANCE THAT A MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE NET
ASSET VALUE OF $1.00 PER SHARE. INCOME FROM TAX-FREE FUNDS MAY BE SUBJECT TO AN
ALTERNATIVE MINIMUM TAX, OR STATE AND LOCAL TAXES. RUSSELL FUND DISTRIBUTORS,
INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
ARKANSAS - 1.6%
Arkansas, State of, Development Financial Authority Health Care
Facilities Revenue Series B, weekly demand. . . . . . . . . . . . $ 2,000 4.200%(2) 06/01/12 $ 2,000
Pulaski County, Arkansas Residential Housing Facilities
Board Revenue . . . . . . . . . . . . . . . . . . . . . . . . . . 1,100 6.900 06/01/97 1,110
----------
3,110
----------
CALIFORNIA - 10.1%
California, State of, Pollution Control Financing Authority
Solid Waste Disposal Revenue Series A, daily demand . . . . . . . 6,900 3.300(1) 10/01/31 6,900
California, State of, Revenue Anticipation Notes
Series C-3, weekly demand . . . . . . . . . . . . . . . . . . . . 2,000 3.150(2) 06/30/97 2,000
Los Angeles, California Regional Airport Lease Revenue,
daily demand. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,300 3.500(1) 12/01/25 5,300
San Diego, California Area Local Government Tax &
Revenue Anticipation Notes. . . . . . . . . . . . . . . . . . . . 6,000 4.750 10/01/97 6,040
----------
20,240
----------
COLORADO - 3.6%
Colorado, State of, State General Fund Tax & Revenue
Anticipation Notes Series A . . . . . . . . . . . . . . . . . . . 7,200 4.500 06/27/97 7,222
----------
7,222
----------
CONNECTICUT - 0.9%
Mashantucket (Western) Pequot Tribe Tax Exempt
Commercial Paper Series 1996. . . . . . . . . . . . . . . . . . . 1,800 3.550 03/10/97 1,800
----------
1,800
----------
FLORIDA - 4.8%
Dade County, Florida Industrial Development Authority
Revenue Series A, weekly demand. . . . . . . . . . . . . . . . . . 500 3.300(2) 01/01/16 500
Dade County, Florida Industrial Development Authority
Revenue Series B, weekly demand. . . . . . . . . . . . . . . . . . 1,000 3.300(2) 01/01/16 1,000
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
Dade County, Florida Industrial Development Authority
Revenue Series C, weekly demand . . . . . . . . . . . . . . . . . $ 500 3.300%(2) 01/01/16 $ 500
Manatee County, Florida Pollution Control Revenue, daily demand. . . 300 3.400(1) 09/01/24 300
Martin County, Florida Pollution Control Revenue, daily demand . . . 1,300 3.400(1) 09/01/24 1,300
Putnam County, Florida Development Authority
Pollution Control Revenue, daily demand . . . . . . . . . . . . . 900 3.400(1) 03/01/24 900
Putnam County, Florida Development Authority
Pollution Control Revenue, daily demand . . . . . . . . . . . . . 500 3.400(1) 09/01/24 500
St. Lucie County, Florida Pollution Control Revenue,
daily demand. . . . . . . . . . . . . . . . . . . . . . . . . . . 4,690 3.400(1) 01/01/26 4,690
----------
9,690
----------
GEORGIA - 2.7%
Burke County, Georgia Development Authority Pollution
Control Revenue 2nd Series, daily demand. . . . . . . . . . . . . 1,000 3.450(1) 04/01/25 1,000
Burke County, Georgia Development Authority Pollution
Control Revenue 2nd Series, daily demand. . . . . . . . . . . . . 500 3.450(1) 07/01/24 500
Georgia Municipal Gas Authority Revenue Series D . . . . . . . . . . 4,000 3.450 05/07/97 4,000
----------
5,500
----------
IDAHO - 3.5%
Idaho Health Facilities Hospital Authority Revenue,
weekly demand . . . . . . . . . . . . . . . . . . . . . . . . . . 7,000 3.400(2) 12/01/23 7,000
----------
7,000
----------
ILLINOIS - 2.1%
Common Cook & Lake Counties, Illinois Northwest
Water Revenue (pre-refunded 05/01/97)(b). . . . . . . . . . . . . 1,000 6.500 05/01/12 1,025
Illinois Health Facilities Authority Revenue
(05/01/97 pre-refunded)(b). . . . . . . . . . . . . . . . . . . . 3,000 9.625 05/01/11 3,090
----------
4,115
----------
INDIANA - 1.6%
Indiana, State of, Office Building Community Capital Complex
Revenue (pre-refunded 07/01/97)(b). . . . . . . . . . . . . . . . 400 8.300 07/01/02 414
LaPorte County, Indiana Hospital Authority Revenue
(pre-refunded 03/01/97)(b). . . . . . . . . . . . . . . . . . . . 2,750 8.750 03/01/12 2,805
----------
3,219
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
KANSAS - 0.5%
Wyandotte County, Kansas Capital Improvement Corporate
Certificate Participation (pre-refunded 09/01/97)(b). . . . . . . $ 1,000 7.875% 09/01/07 $ 1,041
----------
1,041
----------
LOUISIANA - 5.1%
Ascension Parish, Louisiana Pollution Control
Revenue, weekly demand. . . . . . . . . . . . . . . . . . . . . . 700 3.300(2) 12/01/09 700
East Baton Rouge, Louisiana Mortgage Financing Authority Revenue . . 1,380 3.950 04/03/97 1,380
New Orleans, Louisiana Aviation Board Revenue, weekly demand . . . . 800 3.600(2) 12/01/19 800
St. Charles Parish, Louisiana Pollution Control Revenue, daily
demand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,400 3.400(1) 10/01/25 7,400
----------
10,280
----------
MASSACHUSETTS - 0.8%
Massachusetts, State of, Health & Educational Facilities Authority
Revenue Series B (pre-refunded 07/01/97)(b) . . . . . . . . . . . 1,070 8.125 07/01/17 1,107
Massachusetts, State of, Health & Educational Facilities Authority
Revenue Series N. . . . . . . . . . . . . . . . . . . . . . . . . 500 5.400 04/01/97 501
----------
1,608
----------
MICHIGAN - 4.0%
Michigan, State of, General Obligation . . . . . . . . . . . . . . . 8,000 4.500 09/30/97 8,048
----------
8,048
----------
MINNESOTA - 4.0%
Minnesota, State of, Revenue Series A (a). . . . . . . . . . . . . . 8,000 5.000 06/30/97 8,039
----------
8,039
----------
MISSISSIPPI - 3.1%
Jackson County, Mississippi Pollution Control Revenue,
daily demand. . . . . . . . . . . . . . . . . . . . . . . . . . . 3,055 3.500(1) 12/01/16 3,055
Mississippi, State of, Correctional Facilities Project
General Obligation (pre-refunded 08/01/97)(b) . . . . . . . . . . 3,085 7.400 08/01/07 3,196
----------
6,251
----------
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
MISSOURI - 1.1%
Missouri, State of, Health & Educational Facilities Authority
Revenue, daily demand . . . . . . . . . . . . . . . . . . . . . . $ 200 3.550%(1) 12/01/05 $ 200
Missouri, State of, Health & Educational Facilities Authority
Revenue Series C, weekly demand . . . . . . . . . . . . . . . . . 1,600 3.250(2) 06/01/19 1,600
Missouri, State of, Health & Educational Facilities Authority
Revenue Series C, weekly demand . . . . . . . . . . . . . . . . . 300 3.250(2) 12/01/19 300
----------
2,100
----------
NEW MEXICO - 3.3%
Farmington, New Mexico Pollution Control Revenue
Series B, daily demand . . . . . . . . . . . . . . . . . . . . . . . 6,700 3.500(1) 09/01/24 6,700
----------
6,700
----------
NEW YORK - 14.8%
Nassau County, New York General Obligation Series C. . . . . . . . . 1,520 4.250 03/14/97 1,520
New York City, New York Municipal Finance Authority
Water & Sewer System Revenue Series A (pre-refunded 06/15/97)(b). 2,000 7.625 06/15/16 2,054
New York City, New York Municipal Finance Authority
Water & Sewer System Revenue Series A (pre-refunded 06/15/97)(b). 1,500 7.000 06/15/18 1,538
New York City, New York Municipal Finance Authority
Water & Sewer System Revenue Series B (pre-refunded 06/15/97)(b). 1,000 7.800 06/15/18 1,032
New York City, New York Municipal Finance Authority
Water & Sewer System Revenue Series G, daily demand . . . . . . . 3,600 3.500(1) 06/15/24 3,600
New York, New York General Obligation Series A
(pre-refunded 11/01/97)(b). . . . . . . . . . . . . . . . . . . . 1,000 8.500 11/01/08 1,046
New York, New York General Obligation Series A, daily demand . . . . 1,550 3.450(1) 08/01/22 1,550
New York, New York General Obligation Series A, daily demand . . . . 3,700 3.450(1) 08/01/23 3,700
New York, New York General Obligation Series B . . . . . . . . . . . 3,300 4.500 06/30/97 3,311
New York, New York General Obligation Series B, weekly demand. . . . 500 3.200(2) 08/15/24 500
New York, New York General Obligation Series C, daily demand . . . . 1,800 3.450(1) 08/01/97 1,800
New York, State of, Environmental Quality 1986
General Obligation Series A . . . . . . . . . . . . . . . . . . . 8,000 3.450 06/24/97 8,000
----------
29,651
----------
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
NORTH CAROLINA - 0.6%
Charlotte, North Carolina Airport Revenue
Series A, weekly demand (a) . . . . . . . . . . . . . . . . . . . $ 800 3.250%(2) 07/01/16 $ 800
North Carolina Medical Care Community Hospital Revenue
Series A, daily demand. . . . . . . . . . . . . . . . . . . . . . 400 3.550(1) 10/01/20 400
----------
1,200
----------
OHIO - 5.5%
Clermont County, Ohio Hospital Facilities Revenue
Series A, weekly demand . . . . . . . . . . . . . . . . . . . . . 6,000 3.250(2) 12/01/21 6,000
Clermont County, Ohio Hospital Facilities Revenue
Series B, weekly demand . . . . . . . . . . . . . . . . . . . . . 1,000 3.250(2) 09/01/21 1,000
Franklin County, Ohio Hospital Revenue, weekly demand. . . . . . . . 3,000 3.400(2) 06/01/16 3,000
Ohio, State of, General Obligation Series Q. . . . . . . . . . . . . 1,050 6.000 05/15/97 1,055
----------
11,055
----------
PENNSYLVANIA - 7.5%
Pennsylvania, State of, Tax Anticipation Notes . . . . . . . . . . . 8,000 4.500 06/30/97 8,025
Philadelphia, Pennsylvania Hospitals & Higher Education
Facilities Authority Revenue Series A, daily demand . . . . . . . 5,100 3.450(1) 03/01/27 5,100
Philadelphia, Pennsylvania General Obligation
Series B (pre-refunded 08/01/97)(b) . . . . . . . . . . . . . . . 1,850 8.125 08/01/17 1,922
----------
15,047
----------
SOUTH CAROLINA - 1.0%
Orangeburg County, South Carolina Solid Waste Disposal Facilities
Revenue, daily demand . . . . . . . . . . . . . . . . . . . . . . 400 3.600(1) 11/01/24 400
Piedmont, South Carolina Municipal Power Agency Revenue
Series D, weekly demand (a) . . . . . . . . . . . . . . . . . . . 1,600 3.250(2) 01/01/25 1,600
----------
2,000
----------
</TABLE>
Semiannual Report 7
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
TEXAS - 12.4%
Harris County, Texas Industrial Development Corp.
Pollution Control Revenue, daily demand . . . . . . . . . . . . . $ 600 3.400%(1) 03/01/24 $ 600
Houston, Texas Water Conveyance System Contract
Certificate Participation Series I (a). . . . . . . . . . . . . . 1,000 7.250 12/15/97 1,030
Lower Neches Valley, Texas Authority Revenue, semiannual demand. . . 1,000 3.500(3) 02/15/17 1,000
Matagorda County, Texas Navigation District No. 1 Revenue,
daily demand (a). . . . . . . . . . . . . . . . . . . . . . . . . 7,300 3.500(1) 11/01/28 7,300
Panhandle Plains, Texas Higher Education Authority Revenue
Series A, weekly demand . . . . . . . . . . . . . . . . . . . . . 1,500 3.350(2) 06/01/21 1,500
San Antonio, Texas Electric & Gas Systems
Commercial Paper Series A . . . . . . . . . . . . . . . . . . . . 3,000 3.000 03/07/97 3,000
Texas, State of, Tax & Revenue Anticipation Notes. . . . . . . . . . 7,100 4.750 08/29/97 7,142
Texas A&M University System Revenue Financing
Commercial Paper Series B . . . . . . . . . . . . . . . . . . . . 3,300 3.000 02/12/97 3,300
----------
24,872
----------
UTAH - 7.8%
Intermountain Power Agency, Utah Power Supply Revenue
Series E 1985 . . . . . . . . . . . . . . . . . . . . . . . . . . 3,250 3.000 03/05/97 3,250
Intermountain Power Agency, Utah Power Supply Revenue
Series C (pre-refunded 07/01/97)(b) . . . . . . . . . . . . . . . 3,420 8.625 07/01/21 3,549
Salt Lake City, Utah Revenue Class A, weekly demand. . . . . . . . . 8,000 3.300(2) 01/01/20 8,000
Salt Lake County, Utah Pollution Control Revenue, daily demand . . . 800 3.450(1) 08/01/07 800
----------
15,599
----------
WEST VIRGINIA - 0.2%
Marshall County, West Virginia Pollution Control
Revenue, daily demand . . . . . . . . . . . . . . . . . . . . . . 500 3.450(1) 12/01/20 500
----------
500
----------
</TABLE>
8 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
WYOMING - 0.5%
Uinta County, Wyoming Pollution Control Revenue, daily demand. . . . $ 1,000 3.500%(1) 08/15/20 $ 1,000
----------
1,000
----------
TOTAL INVESTMENTS (amortized cost $206,887)(c) - 103.1% . . . . . . 206,887
OTHER ASSETS AND LIABILITIES, NET - (3.1%) . . . . . . . . . . . . . (6,268)
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . $ 200,619
----------
----------
</TABLE>
(a) Bond is insured by AMBAC, FGIC, or MBIA.
(b) Pre-refunded: These bonds are collateralized by U.S. Treasury securities,
which are held in escrow by a trustee and used to pay principal and
interest in the tax-exempt issue and to retire the bonds in full at the
earliest refunding date. The rate noted is for descriptive purposes;
effective yield may vary.
(c) The identified cost for federal income tax purposes is the same as shown
above.
* All securities with a maturity greater than 13 months have a demand
feature, or an optional or mandatory put, resulting in an effective
maturity of 13 months or less. Additionally, all daily and weekly demand
securities are backed by direct payment letters of credit.
Variable Rate:
(1) Daily
(2) Weekly
(3) Semiannual
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
QUALITY RATINGS AS A % OF MARKET VALUE
VMIG1, SP-1 or equivalent ++ 58%
P1 or A-1 20
AAA or Aaa 22
----------
100%
----------
----------
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE
General Obligation 18%
Tax Revenue 18
Pollution Control Revenue 18
Pre-refunded 12
Healthcare Revenue 9
Utility Revenue 7
Commercial Paper 6
Industrial Revenue 6
Education Revenue 4
Housing Revenue 2
----------
100%
----------
----------
++ VMIG1: The highest short-term municipal note credit rating given by Moody's
Investors Services to notes with a demand feature which are of the
"best quality."
SP-1: The highest short-term municipal note credit rating given by Standard
& Poor's Corporation to notes with a "very strong or strong capacity
to pay principal & interest."
P1: The highest tax-exempt commercial paper rating given by Moody's
Investors Services to commercial paper with a "superior capacity for
repayment."
A-1: The highest tax-exempt commercial paper rating given by Standard &
Poor's Corporation to commercial paper with a "strong degree of safety
regarding timely payment."
AAA: The highest long-term debt rating given by Standard & Poor's
Corporation to bonds with "extremely strong capacity to pay interest
and repay principal."
Aaa: The highest long-term debt rating given by Moody's Investors Services
to bonds with the "smallest degree of investment risk."
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . . $ 206,886,730
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321,698
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,748,213
Deferred organizational expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,296
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 208,984,937
LIABILITIES
Payables (Note 4):
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,109,040
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185,463
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . 47,933
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,257
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,365,693
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 200,619,244
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (14,268)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200,638
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200,432,874
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 200,619,244
--------------
--------------
Net asset value, offering and redemption price per share
($200,619,244 divided by 200,638,404 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 11
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 953,933
Expenses (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 69,380
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,151
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,896
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,595
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,909
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,196
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,784
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,622
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,103
Amortization of deferred organization expenses. . . . . . . . . . . . . . . . . . . . 5,097
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,514
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159,247
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 794,686
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . . . . 2,232
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 796,918
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1997 ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 794,686 $ 1,483,263
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 2,232 (12,977)
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 796,918 1,470,286
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (794,686) (1,488,155)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 155,555,524 2,472,138
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 155,557,756 2,454,269
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 45,061,488 42,607,219
----------------- -----------------
NET ASSETS AT END OF PERIOD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 200,619,244 $ 45,061,488
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269,728,790 231,934,323
Fund shares issued to shareholders in reinvestments of distributions . . . . . . . . 161,368 574,273
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (114,334,634) (230,036,458)
----------------- -----------------
Net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155,555,524 2,472,138
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
1997* 1996 1995**
---------- ---------- ----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .0143 .0302 .0251
---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.0143) (.0302) (.0251)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ----------
---------- ---------- ----------
Total Return (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.44 3.07 2.54
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b). . . . . . . . . . . . . . . . . .57 .57 .59
Operating expenses, gross, to average net assets (b). . . . . . . . . . . . . . . . .57 .57 .60
Net investment income to average net assets (b) . . . . . . . . . . . . . . . . . . 2.86 3.01 3.40
Net assets, end of period ($000 omitted). . . . . . . . . . . . . . . . . . . . . . 200,619 45,061 42,607
Per share amount of fees waived ($ omitted) . . . . . . . . . . . . . . . . . . . . -- -- .0001
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period December 1, 1994 (commencement of operations) to
August 31, 1995.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1995
are annualized.
14 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as of
February 28, 1997. In December 1996, the Investment Company changed its
name from "The Seven Seas Series Fund" to the "SSgA Funds." These financial
statements report on one portfolio, the SSgA Tax Free Money Market Fund
(the "Fund"). The Investment Company is a registered and diversified
open-end investment company, as defined in the Investment Company Act of
1940, as amended (the "1940 Act"), that was organized as a Massachusetts
business trust on October 3, 1987 and operates under a First Amended and
Restated Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value. The Investment Company has
available Class B and Class C shares of the Fund as of September 22, 1994;
however, shares have not been offered on these classes as of the date of
these financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
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's portfolio investments are valued on the
basis of amortized cost, a method by which each portfolio instrument is
initially valued at cost, and thereafter a constant accretion/amortization
to maturity of any discount or premium is assumed. The Fund utilizes the
amortized cost valuation method in accordance with Rule 2a-7 of the 1940
Act.
SECURITIES TRANSACTIONS: Securities transactions are recorded daily on the
trade date, which in most instances is the same as the settlement date.
Realized gains and losses from the securities transactions, if any, are
recorded on the basis of identified cost.
INVESTMENT INCOME: Interest income is recorded daily on the accrual basis.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, the Fund paid no federal
income tax and no federal income tax provision was required. At February
28, 1997, the Fund had a net tax basis capital loss carryover of $5,580,
which may be applied against any realized net taxable gains in each
succeeding year or until its expiration date of August 31, 2004.
Semiannual Report 15
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
As permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $10,919, incurred from November 1, 1995 to August 31, 1996
and treat it as arising in fiscal year 1997.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and records
dividends on net investment income daily and pays them monthly. 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 Fund may periodically make reclassifications among
certain of its capital accounts without impacting net asset value for
differences between federal tax regulations and generally accepted
accounting principles.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has incurred expenses in
connection with its organization and initial registration. These costs have
been deferred and are being amortized over 60 months on a straight-line
basis.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases, sales and maturities of short-term tax-exempt obligations were
$352,384,986, $149,863,908, and $29,890,000, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. For these services, the Fund pays a
fee to the Adviser, calculated daily and paid monthly, at the annual rate
of .25% of its average daily net assets. The Investment Company also has
contracts with the Adviser to provide custody, shareholder servicing and
transfer agent services to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator") under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment
16 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
Company's Distributor on behalf of the Fund (up to a maximum of 10% of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has entered
into a Distribution Agreement with Russell Fund Distributors (the
"Distributor") which is a wholly-owned subsidiary of the Administrator to
promote and offer shares of the Investment Company. The Distributor may
have entered into sub-distribution agreements with other non-related
parties. The amounts paid to the Distributor are included in the
accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in connection with the distribution
and marketing of shares of the Investment Company and the servicing of
investor accounts.
The Fund has entered into service agreements with the Adviser, State Street
Brokerage Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the
Adviser, the Adviser's Retirement Investment Services Division ("RIS"), and
the Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related party
service providers. For these services, the Fund pays .025%, .175%, .175%,
and .050% to the Adviser, SSBSI, RIS, and Commercial Banking, respectively
based upon the average daily value of all Fund shares held by or for
customers of these Agents. For the six months ended February 28, 1997, the
Fund incurred expenses of $6,938 and $5,846, or a total of $12,784, from
the Adviser and Commercial Banking, respectively. The Fund did not incur
any expenses from SSBSI or RIS during this period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments 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 Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 28, 1997.
Semiannual Report 17
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $44,000 annually, $1,000 for each
board meeting attended, an additional $1,000 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all of the Funds based upon their relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Advisory fees $ 30,882
Administration fees 2,058
Custodian fees 8,343
Distribution fees 1,126
Shareholder servicing fees 4,388
Transfer agent fees 1,051
Trustees' fees 85
-----------
$ 47,933
-----------
-----------
BENEFICIAL INTEREST: As of February 28, 1997, two shareholders (one is also
an affiliate of the Investment Company) were record owners of approximately
60% and 32%, respectively, of the total outstanding shares of the Fund.
18 Semiannual Report
<PAGE>
SSgA TAX FREE MONEY MARKET FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
19 Semiannual Report
<PAGE>
SSgA FUNDS-SM-
SEMIANNUAL REPORT
BOND MARKET FUND
FEBRUARY 28, 1997
<PAGE>
SSgA FUNDS-SM-
BOND MARKET FUND
Semiannual Report (Unaudited)
February 28, 1997
Table of Contents
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 12
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 17
"SSgA FUNDS-SM-" IS A SERVICE MARK OF THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUND 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 OBJECTIVE AND OPERATIONS OF THE FUND, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN WHEN PURCHASED.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. RUSSELL FUND DISTRIBUTORS,
INC., IS THE DISTRIBUTOR OF THE SSgA FUNDS.
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
LONG-TERM INVESTMENTS - 97.6%
ASSET-BACKED SECURITIES - 1.8%
Chase Manhattan Grantor Trust
Pass-thru Certificate
Series 1996-A Class A
5.200% due 02/15/02 $ 127 $ 126
Discover Card Master Trust I
Series 1996-3 Class A
6.050% due 08/18/08 200 188
Ford Credit Auto Loan Master Trust
Series 1995-1 Class A
6.500% due 08/15/02 200 199
Premier Auto Trust
Series 1996-2 Class A3
6.350% due 01/06/00 300 301
----------
814
----------
CORPORATE BONDS AND
NOTES - 34.4%
Aetna Services, Inc.
6.970% due 08/15/36 200 202
Apache Corp.
7.625% due 11/01/96 50 49
Applied Materials, Inc. (MTN)
7.000% due 09/06/05 200 198
Associates Corp. of North America
6.375% due 08/15/98 375 376
7.500% due 05/15/99 200 204
BankAmerica Corp.
9.375% due 03/01/01 279 303
Bayerische Landesbank (MTN)
7.500% due 06/15/04 150 156
Berkley (W.R.) Corp.
9.875% due 05/15/08 300 352
8.700% due 01/01/22 30 33
Boeing Co.
7.875% due 04/15/43 65 69
Branch Banking & Trust Co.
5.700% due 02/01/01 250 241
Burlington Northern Santa Fe
7.290% due 06/01/36 300 305
Caterpillar Financial Services (MTN)
6.800% due 06/15/99 300 302
6.410% due 06/11/98 200 201
Caterpillar, Inc.
7.375% due 03/01/97 125 124
Chase Manhattan Corp. New
5.500% due 02/15/01 500 478
Chemical Bank New York Corp.
7.250% due 09/15/02 40 41
CIT Group Holdings, Inc.
5.625% due 04/01/98 400 398
6.350% due 07/31/98 200 201
CIT Group Holdings, Inc. (MTN)
6.250% due 10/04/99 500 497
Citizens Utilities Co.
7.050% due 10/01/46 30 28
Commercial Credit Group, Inc.
6.000% due 06/15/00 350 343
8.700% due 06/15/09 250 281
First Data Corp. Series B (MTN)
6.820% due 09/18/01 500 500
First National Bank of Boston
8.375% due 12/15/02 300 320
First Union Capital Markets Corp.
Series A
7.935% due 01/15/27 45 45
Ford Motor Credit Co.
5.625% due 01/15/99 800 790
Ford Motor Credit Co. (MTN)
6.110% due 12/28/01 500 486
General Motors Acceptance Corp.
7.125% due 06/01/99 500 507
Semiannual Report 3
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
General Motors Acceptance Corp.
(MTN)
5.950% due 12/28/98 $ 200 $ 199
6.625% due 04/24/00 440 440
GTE Corp.
9.375% due 12/01/00 500 544
Harris Corp.
6.650% due 08/01/06 420 419
International Lease Finance Corp.
6.625% due 08/15/00 200 200
International Lease Finance Corp.
(MTN)
6.050% due 04/30/99 100 99
John Deere Capital Corp.
6.000% due 02/01/99 190 189
Kemper Corp.
6.875% due 09/15/03 300 298
KFW International Finance, Inc.
9.375% due 07/15/98 325 338
7.625% due 02/15/04 100 105
7.000% due 03/01/13 250 245
Lockheed Martin Corp.
6.550% due 05/15/99 350 350
Merrill Lynch & Co., Inc.
9.000% due 05/01/98 380 392
Morgan Stanley Group, Inc. (MTN)
5.625% due 03/01/99 500 493
Norwest Corporation
Series G (MTN)
6.000% due 10/13/98 500 499
6.250% due 04/15/99 200 199
Norwest Financial, Inc.
8.500% due 08/15/98 300 309
Penney (J. C.) Inc.
7.625% due 03/01/97 100 98
Praxair, Inc.
6.900% due 11/01/06 50 49
Republic New York Corp.
7.750% due 05/15/02 400 416
Seagate Technology, Inc.
7.125% due 03/01/04 60 60
Sears Roebuck & Co. (MTN)
7.820% due 02/23/98 250 254
Suntrust Banks, Inc.
6.000% due 02/15/26 300 280
Time Warner Entertainment Co., L.P.
8.375% due 07/15/33 15 15
Transamerica Finance Corp.
Series E (MTN)
5.830% due 06/09/98 350 348
Travelers Group, Inc.
9.500% due 03/01/02 60 67
Wachovia Corp.
6.605% due 10/01/25 350 344
Wendy's International, Inc.
7.000% due 12/15/25 50 45
----------
15,324
----------
MORTGAGE-BACKED SECURITIES - 26.8%
Federal Home Loan Mortgage Corp.
7.500% 30 Year TBA (c) 920 929
Federal Home Loan Mortgage Corp.
Participation Certificate Groups
# 38-0061 9.000% due 12/01/04 88 91
# 38-0095 9.000% due 08/01/05 607 628
# 55-5317 9.500% due 10/01/19 349 378
# C0-0404 8.500% due 06/01/25 431 447
# C0-0429 8.500% due 09/01/25 432 448
# D6-3715 8.500% due 09/01/25 136 141
4 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
# E6-5409 8.000% due 09/01/11 $ 298 $ 306
# E6-5911 6.000% due 12/01/11 120 115
# M9-0463 7.000% due 08/01/01 222 223
Federal National Mortgage
Association Pools
# 050766 7.500% due 07/01/23 1 1
# 201543 8.000% due 02/01/23 10 10
# 250819 6.000% due 10/01/11 30 29
# 296351 8.500% due 12/01/24 40 42
# 303031 7.500% due 10/01/24 1 1
# 304928 8.500% due 03/01/25 92 95
# 313002 9.000% due 06/01/26 184 194
# 316260 7.500% due 07/01/25 162 162
# 319059 6.500% due 08/01/25 301 287
# 328962 6.000% due 01/01/09 (c) 195 189
# 345548 6.500% due 05/01/26 290 276
# 367205 5.500% due 07/01/11 198 186
Federal National Mortgage Association
7.500% 15 Year TBA (c) 300 304
7.000% 30 Year TBA (c) 220 214
7.500% 30 Year TBA (c) 1,440 1,437
8.000% 30 Year TBA (c) 1,000 1,018
Government National Mortgage Association Pools
# 104190 10.000% due 11/15/13 24 27
# 112115 10.000% due 04/15/14 16 17
# 214485 10.500% due 08/15/18 25 27
# 217473 10.500% due 09/15/18 47 53
# 219767 10.500% due 10/15/18 8 9
# 226679 10.500% due 08/15/18 7 8
# 231266 10.500% due 06/15/18 108 122
# 233264 10.500% due 02/15/18 15 17
# 234425 10.500% due 02/15/18 35 39
# 234612 10.500% due 02/15/18 201 225
# 235397 10.500% due 03/15/18 23 25
# 247604 10.500% due 08/15/18 11 13
# 328956 7.500% due 12/15/22 18 18
# 334751 8.500% due 06/15/25 365 379
# 348101 7.000% due 06/15/23 284 278
# 352018 6.500% due 11/15/23 111 107
# 352079 7.000% due 09/15/23 258 253
# 358703 6.500% due 11/15/23 491 470
# 371259 7.000% due 01/15/24 122 119
# 372896 6.500% due 12/15/23 499 477
# 380248 7.500% due 02/15/24 264 265
# 415444 9.500% due 06/15/25 296 320
# 780424 8.000% due 01/15/99 182 189
Government National Mortgage
Association
7.500% 30 Year TBA (c) 330 329
----------
11,937
----------
UNITED STATES GOVERNMENT
AGENCIES - 0.6%
State of Israel Guaranteed Notes
Series 3-B
6.625% due 02/15/04 250 248
----------
248
----------
UNITED STATES GOVERNMENT
TREASURIES - 21.9%
United States Treasury Bonds
8.875% due 08/15/17 300 363
8.750% due 08/15/20 670 808
7.875% due 02/15/21 1,550 1,715
6.500% due 11/15/26 945 901
United States Treasury Notes
5.875% due 01/31/99 619 617
5.875% due 11/15/99 500 496
5.875% due 02/15/00 1,145 1,134
6.250% due 04/30/01 300 299
6.250% due 01/31/02 950 944
Semiannual Report 5
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
5.875% due 02/15/04 $ 450 $ 434
6.250% due 02/15/07 2,055 2,009
----------
9,720
----------
YANKEE BONDS - 12.1%
ABN AMRO North America, Inc.
(Chicago)
7.250% due 05/31/05 500 507
Australia & New Zealand
Banking Group LTD.
6.250% due 02/01/04 300 287
British Columbia, Province of
6.500% due 01/15/26 200 181
Enersis SA
7.400% due 12/01/16 45 43
Finland, Republic of
6.950% due 02/15/26 200 192
General Motors Acceptance Corp.
6.750% due 02/07/02 500 500
Hydro, Quebec
8.050% due 07/07/24 300 326
International Bank for Reconstruction
& Development
9.250% due 07/15/17 120 148
Korea Development Bank
6.625% due 11/21/03 40 39
7.250% due 05/15/06 35 35
Manitoba, Province of, Series C-J
9.500% due 10/01/00 351 383
Midland Bank PLC
7.650% due 05/01/25 110 113
National Australia Bank, Ltd.
9.700% due 10/15/98 250 263
New Zealand, Government of
8.750% due 12/15/06 300 340
Ontario, Province of
7.375% due 01/27/03 300 309
Quebec, Province of
9.125% due 03/01/00 500 534
Santander Financial Issuances
7.250% due 05/30/06 200 201
Southern Investments PLC
6.800% due 12/01/06 200 194
Usinor Sacilor
7.250% due 08/01/06 100 99
Victorian Public Authority
Financial Agency
8.450% due 10/01/01 150 161
Westpac Banking, Ltd.
7.875% due 10/15/02 500 523
----------
5,378
----------
TOTAL LONG-TERM INVESTMENTS
(cost $43,660) 43,421
----------
SHORT-TERM INVESTMENTS - 8.3%
Federal Home Loan Bank Consolidated
Discount Note
5.210% due 03/13/97 (a)(d) 700 699
Federal Home Loan Mortgage
Discount Notes
5.220% due 03/07/97 (a)(d) 2,300 2,298
5.220% due 03/17/97 (a)(d) 500 499
Valiant Money Market Fund
Class A (a) 186 186
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $3,682) 3,682
----------
6 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1997 (Unaudited)
Market
Value
(000)
----------
TOTAL INVESTMENTS
(identified cost $47,342)(b) - 105.9% $ 47,103
OTHER ASSETS AND LIABILITIES,
NET - (5.9%) (2,630)
----------
NET ASSETS - 100.0% $ 44,473
----------
----------
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
(c) Forward commitment. See Note 2.
(d) Rate noted is yield-to-maturity.
ABBREVIATIONS:
MTN - Medium Term Note
PLC - Public Limited Company
TBA - To be announced security
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
BOND MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1997 (Unaudited)
<S> <C> <C>
ASSETS
STATEMENT OF NET ASSETS, CONTINUED
Investments at market (identified cost $47,342,023)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . $ 47,103,247
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561,891
Investment sold (regular settlement). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,763,400
Investment sold (delayed settlement)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,814,440
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171,876
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,350
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,416,204
LIABILITIES
Payables (Note 4):
Investments purchased (regular settlement). . . . . . . . . . . . . . . . . . . . . $ 2,164,458
Investments purchased
(delayed settlement)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . 10,746,885
Accrued fees to affiliates and trustees . . . . . . . . . . . . . . . . . . . . . . 19,721
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,670
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,942,734
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 44,473,470
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 448,264
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (368,467)
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . . (238,776)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,530
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,627,919
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 44,473,470
--------------
--------------
Net asset value, offering and redemption price per share
($44,473,470 divided by 4,529,780 shares of $.001
par value shares of beneficial interest outstanding). . . . . . . . . . . . . . . . . . . . . . . . . . $9.82
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the six months ended February 28, 1997 (Unaudited)
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,206,620
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,491
--------------
Total Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,250,111
Expenses (Notes 2 and 4):
Advisory fees $ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,028
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,856
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,556
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,593
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,850
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,264
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,752
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,264
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,806
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157,969
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . (57,028)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,941
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,149,170
--------------
REALIZED AND UNREALIZED,
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,717
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . . 460,541
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 483,258
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 1,632,428
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSgA
BOND MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE PERIOD
MONTHS ENDED FEBRUARY 7, 1996*
FEBRUARY 28, 1997 TO
(UNAUDITED) AUGUST 31, 1996
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,149,170 $ 731,568
Net realized gain (loss) from investments . . . . . . . . . . . . . . . . . . . . 22,717 (391,184)
Net change in unrealized appreciation
or depreciation of investments . . . . . . . . . . . . . . . . . . . . . . . . 460,541 (699,317)
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . 1,632,428 (358,933)
Distributions to shareholders from net investment income . . . . . . . . . . . . . . (1,085,323) (352,842)
Increase (decrease) in net assets from Fund share transactions . . . . . . . . . . . 14,911,302 29,726,838
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . 15,458,407 29,015,063
Net assets at beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . 29,015,063 --
----------------- -----------------
NET ASSETS AT END OF PERIOD
(including undistributed net investment income of
$448,264 and $384,417, respectively). . . . . . . . . . . . . . . . . . . . . . . $ 44,473,470 $ 29,015,063
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE PERIOD FEBRUARY 7, 1996* TO
FEBRUARY 28, 1997 (UNAUDITED) AUGUST 31, 1996
------------------------------------- -------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Fund shares sold . . . . . . . . . . . . . . 3,063,044 $ 29,865,532 3,218,269 $ 31,720,510
Fund shares issued to shareholders
in reinvestments of distributions . . . . 18,574 182,172 292 2,778
Fund shares redeemed . . . . . . . . . . . . (1,563,620) (15,136,402) (206,780) (1,996,450)
----------------- ----------------- ----------------- -----------------
Net increase (decrease). . . . . . . . . . . 1,517,998 $ 14,911,302 3,011,781 $ 29,726,838
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
* Commencement of operations.
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout each
period and other performance information derived from the financial statements.
1997* 1996**
----------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.63 $ 10.00
----------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .27 .27
Net realized and unrealized gain (loss) on investments. . . . . . . . . . . . . . . . . . . . . .22 (.49)
----------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . .49 (.22)
----------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.30) (.15)
----------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.82 $ 9.63
----------- ----------
----------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.12 (2.19)
RATIOS (%)/SUPPLEMENTAL DATA:
Operating expenses, net, to average net assets (b)(c) . . . . . . . . . . . . . . . . . . . . . 0.53 .63
Operating expenses, gross, to average net assets (b)(c) . . . . . . . . . . . . . . . . . . . . 0.83 .93
Net investment income to average net assets (b) . . . . . . . . . . . . . . . . . . . . . . . . 6.05 5.66
Portfolio turnover (b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 450.11 313.85
Net assets, end of period ($000 omitted). . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,473 29,015
Per share amount of fees waived ($ omitted)(c). . . . . . . . . . . . . . . . . . . . . . . . . .0133 .0148
</TABLE>
* For the six months ended February 28, 1997 (Unaudited).
** For the period February 7, 1996 (commencement of operations) to
August 31, 1996.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1997 and August 31, 1996
are annualized.
(c) See Note 4 for current period amounts.
Semiannual Report 11
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1997 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprising 14 investment portfolios which are in operation as
of February 28, 1997. In December 1996, the Investment Company changed
its name from "The Seven Seas Series Fund" to the "SSgA Funds." These
financial statements report on one portfolio, the SSgA Bond Market Fund
(the "Fund"). The Investment Company is a registered and diversified
open-end investment company, as defined in the Investment Company Act
of 1940, as amended (the "1940 Act"), that was organized as a
Massachusetts business trust on October 3, 1987 and operates under a
First Amended and Restated Master Trust Agreement, dated October 13,
1993, as amended (the "Agreement"). The Investment Company's Agreement
permits the Board of Trustees to issue an unlimited number of full and
fractional shares of beneficial interest at a $.001 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Fund's financial statements are prepared in accordance with
generally accepted accounting principles which require the use of
management 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: United States fixed-income securities listed and
traded principally on any national securities exchange are valued on
the basis of the last sale price or, lacking any sale, at the closing
bid price, on the primary exchange on which the security is traded.
United States over-the-counter, fixed-income securities and options are
valued on the basis of the closing bid price.
Many fixed-income securities do not trade each day, and thus last sale
or bid prices are frequently not available. Fixed-income securities may
be valued using prices provided by a pricing service when such prices
are believed to reflect the fair market value of such securities.
Money market instruments maturing within 60 days of the valuation date
are valued at amortized cost, a method by which each portfolio
instrument is initially valued at cost, and thereafter a constant
accretion/amortization to maturity of any discount or premium is
assumed, unless the Board of Trustees determines that amortized cost
does not represent fair value.
The Fund 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.
SECURITIES TRANSACTIONS: Securities transactions are recorded on a
trade date basis. Realized gains and losses from securities
transactions are recorded on the basis of identified cost.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date
and interest income is recorded daily on the accrual basis.
12 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
AMORTIZATION AND ACCRETION: All zero-coupon bond discounts and
original issue discounts are accreted for both tax and financial
reporting purposes. All short- and long-term market premiums/discounts
are amortized/accreted for both tax and financial reporting purposes.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each sub-trust 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 the Fund's intention to qualify as a regulated investment company
and distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required.
As permitted by tax regulations, the Fund intends to defer a net
realized capital loss of $359,506 incurred from November 1, 1995 to
August 31, 1996 and treat it as arising in fiscal year 1997.
The Fund's aggregate cost of investments and the composition of
unrealized appreciation and depreciation of investment securities for
federal income tax purposes as of February 28, 1997 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
47,342,023 101,601 (340,377) (238,776)
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 quarterly. Capital gain
distributions 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 timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles
("GAAP"). As a result, net investment income and net realized gain (or
loss) on investment transactions for a reporting period may differ
significantly from distributions during such period. The differences
between tax regulations and GAAP relate primarily to investments in
mortgage-backed securities and certain securities sold at a loss.
Accordingly, the Fund may periodically make reclassifications among
certain of its capital accounts without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual
Fund. Expenses which cannot be directly attributed are allocated among
all funds based principally on their relative net assets.
Semiannual Report 13
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
DEFERRED ORGANIZATION EXPENSES: The Fund incurred expenses in
connection with its organization and initial registration. These costs
have been deferred and are being amortized over 60 months on a
straight-line basis.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the
Fund, through its custodian or third-party custodian, receives delivery
of the underlying securities. The market value of these securities
(including accrued interest) on acquisition date is required to be an
amount equal to at least 102% of the repurchase price. The Fund's
Adviser will monitor repurchase agreements daily to determine that the
market value (including accrued interest) of the underlying securities
remains equal to at least 100% of the repurchase price at Fedwire
closing time. The Adviser or third-party custodian will notify the
seller to immediately increase the collateral on the repurchase
agreement to 102% of the repurchase price if collateral falls below
100%.
FORWARD COMMITMENTS: The Fund may contract to purchase securities for
a fixed price at a future date beyond customary settlement time (not to
exceed 120 days)(i.e., a "forward commitment" or "delayed settlement"
transaction, e.g., to be announced ("TBA")) consistent with a Fund's
ability to manage its investment portfolio and meet redemption
requests. The price of the underlying securities and the date upon
which the securities will be delivered and paid for are fixed at the
time the transaction is negotiated. The Funds may dispose of a forward
commitment transaction prior to settlement, if it is appropriate to do
so, and realize short-term gains (or losses) upon such sale. When
effecting such transactions, cash or liquid high-grade debt obligations
of the Fund will be segregated on the Fund's records in a dollar amount
sufficient to make payment for the portfolio securities to be purchased
at the trade date and maintained until the transaction is settled. A
forward commitment transaction involves a risk of loss if the value of
the security to be purchased declines prior to the settlement date or
the other party to the transaction fails to complete the transaction.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1997,
purchases and sales of investment securities, excluding US Government
and Agency obligations and short-term investments, aggregated to
$19,474,325 and $11,679,158, respectively.
For the six months ended February 28, 1997, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $92,143,120 and $85,238,919, respectively.
4. RELATED PARTIES
ADVISER: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the
Adviser directs the investments of the Fund in accordance with its
investment objectives, policies, and limitations. For these services, the
Fund pays a fee to the Adviser, calculated daily and paid monthly, at the
annual rate of .30% of its average daily net assets. For the six
14 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
months ended February 28, 1997, the Adviser voluntarily agreed to waive
one-half of its advisory fee to the Fund. Additionally, the Adviser has
agreed to waive up to the full amount of its remaining advisory fee to
the extent that total expenses exceed .50% of average daily net assets
on an annual basis. The Investment Company also has contracts with the
Adviser to provide custody, shareholder servicing and transfer agent
services to the Fund.
ADMINISTRATOR: The Investment Company has an administration agreement
with Frank Russell Investment Management Company (the "Administrator")
under which the Administrator supervises all non-portfolio investment
aspects of the Investment Company's operations and provides adequate
office space and all necessary office equipment and services, including
telephone service, utilities, stationery supplies, and similar items.
The Investment Company pays the Administrator the following fees for
services supplied by the Administrator pursuant to the Administration
Agreement: (i) an annual fee, payable monthly on a pro rata basis,
based on the following percentages of the average daily net assets of
all domestic funds: $0 up to and including $500 million - .06%; over
$500 million to and including $1 billion - .05%; over $1 billion -
.03%; (ii) less an amount equal to the sum of certain distribution-
related expenses incurred by the Investment Company's Distributor on
behalf of the Fund (up to a maximum of 10% of the asset-based fee
determined in (i)); (iii) out-of-pocket expenses; and (iv) start-up
costs for new funds.
DISTRIBUTOR AND SHAREHOLDER SERVICING: The Investment Company has
entered into a Distribution Agreement with Russell Fund Distributors
(the "Distributor") which is a wholly-owned subsidiary of the
Administrator to promote and offer shares of the Investment Company.
The Distributor may have entered into sub-distribution agreements with
other non-related parties. The amounts paid to the Distributor are
included in the accompanying Statement of Operations.
The Investment Company has also 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 incurred by the Distributor in
connection with the distribution and marketing of shares of the
Investment Company and the servicing of investor accounts.
The Fund has entered into service agreements with the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), and the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking")(collectively the "Agents"), as well as other non-related
party service providers. For these services, the Fund pays .025%,
.050%, and .050% to the Adviser, RIS, and Commercial Banking,
respectively based upon the average daily value of all Fund shares held
by or for customers of these Agents. For the six months ended February
28, 1997, the Fund incurred expenses of $4,752 from the Adviser. The
Fund did not incur any expenses from RIS or Commercial Banking during
this period.
Semiannual Report 15
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1997 (Unaudited)
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual
basis. The shareholder servicing payments shall not exceed .20% of the
average daily value of net assets on an annual basis. Any payments 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
Trustees or a majority of the Fund's shareholders have the right,
however, to terminate the Distribution Plan and all payments thereunder
at any time. The Fund will not be obligated to reimburse the
Distributor for carryover expenses subsequent to the Distribution
Plan's termination or noncontinuance. There were no carryover expenses
as of February 28, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not
affiliated with the Investment Company a retainer of $44,000 annually,
$1,000 for each board meeting attended, an additional $1,000 for
attending the annual audit committee meeting, and reimbursement for
out-of-pocket expenses. These expenses are allocated among all of the
Funds based upon their relative net assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1997
WERE AS FOLLOWS:
Administration fees $ 698
Custodian fees 14,947
Distribution fees 1,184
Shareholder servicing fees 851
Transfer agent fees 2,031
Trustees' fees 10
----------
$ 19,721
----------
----------
BENEFICIAL INTEREST: As of February 28, 1997, one shareholder (who is
also an affiliate of the Investment Company) was record owner of
approximately 10% of the total outstanding shares of the Fund.
5. DIVIDENDS
On March 3, 1997, the Board of Trustees declared a dividend of $.0987
from net investment income, payable on March 11, 1997 to shareholders
of record on March 4, 1997.
16 Semiannual Report
<PAGE>
SSgA BOND MARKET FUND
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
TRUSTEES
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
OFFICERS
Lynn L. Anderson, President
George W. Weber, Senior Vice President
and Treasurer
J. David Griswold, Vice President
and Secretary
INVESTMENT ADVISER
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
CUSTODIAN, TRANSFER AGENT AND
OFFICE OF SHAREHOLDER INQUIRIES
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
(800) 647-7327
DISTRIBUTOR
Russell Fund Distributors, Inc.
Two International Place, 35th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
17 Semiannual Report
