<PAGE>
N-30D Table of Contents
SSgA Fund Name N-30D Page
- -------------- ----------
SSgA-SM- Life Solutions-SM- Funds . . . . . . . . . . . . . . . .
Income and Growth Fund . . . . . . . . . . . . . . . . . . . .
Balanced Fund. . . . . . . . . . . . . . . . . . . . . . . . .
Growth Fund. . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Fund . . . . . . . . . . . . . . . . . . . . . . . .
Matrix Equity Fund . . . . . . . . . . . . . . . . . . . . . . .
Prime Money Market Fund . . . . . . . . . . . . . . . . . . . . .
Small Cap Fund . . . . . . . . . . . . . . . . . . . . . . . . .
US Treasury Money Market Fund . . . . . . . . . . . . . . . . . .
Yield Plus Fund . . . . . . . . . . . . . . . . . . . . . . . . .
Bond Market Fund . . . . . . . . . . . . . . . . . . . . . . . .
S&P 500 Index Fund . . . . . . . . . . . . . . . . . . . . . . .
Active International Fund . . . . . . . . . . . . . . . . . . . .
Tax Free Money Market Fund . . . . . . . . . . . . . . . . . . .
US Government Money Market Fund . . . . . . . . . . . . . . . . .
Growth and Income Fund . . . . . . . . . . . . . . . . . . . . .
Intermediate Fund . . . . . . . . . . . . . . . . . . . . . . . .
Emerging Markets Fund . . . . . . . . . . . . . . . . . . . . . .
<PAGE>
SSgA-SM- LIFE SOLUTIONS-SM- FUNDS
INCOME AND GROWTH FUND
BALANCED FUND
GROWTH FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
INCOME AND GROWTH FUND Financial Statements . . . . . . . . . . . . . . . 4
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 8
BALANCED FUND Financial Statements . . . . . . . . . . . . . . . . . . . . 10
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 14
GROWTH FUND Financial Statements . . . . . . . . . . . . . . . . . . . . . 16
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 20
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 21
Fund Management and Service Providers . . . . . . . . . . . . . . . . . . 28
"SSgA-SM- LIFE SOLUTIONS-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND
IS LICENSED FOR USE BY THE SSgA FUNDS.
THIS REPORT IS PREPARED FROM THE BOOKS AND RECORDS OF THE FUNDS AND IT IS
SUBMITTED FOR THE GENERAL INFORMATION OF SHAREHOLDERS. THIS INFORMATION IS FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS ONLY WHEN PRECEDED OR ACCOMPANIED BY A
SSgA FUNDS PROSPECTUS CONTAINING MORE COMPLETE INFORMATION CONCERNING THE
INVESTMENT OBJECTIVES AND OPERATIONS OF THE FUNDS, CHARGES AND EXPENSES. THE
PROSPECTUS SHOULD BE READ CAREFULLY BEFORE AN INVESTMENT IS MADE.
PERFORMANCE 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 LIFE SOLUTIONS
INCOME AND GROWTH FUND
STATEMENT OF NET ASSETS
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------------------------
<S> <C> <C>
INVESTMENTS
DOMESTIC EQUITIES - 26.9%
SSgA Matrix Equity Fund. . . . . . . . . . . . . 227,672 $ 4,023
SSgA S&P 500 Index Fund. . . . . . . . . . . . . 39,794 848
SSgA Small Cap Fund. . . . . . . . . . . . . . . 38,023 863
----------
5,734
----------
INTERNATIONAL EQUITIES - 8.1%
SSgA Active International Fund . . . . . . . . . 124,282 1,288
SSgA Emerging Markets Fund . . . . . . . . . . . 42,831 443
----------
1,731
----------
BONDS - 59.1%
SSgA Bond Market Fund (Note 4) . . . . . . . . . 853,876 8,667
SSgA Intermediate Fund (Note 4). . . . . . . . . 399,080 3,935
----------
12,602
----------
SHORT-TERM ASSETS - 4.1%
SSgA Money Market Fund (a) . . . . . . . . . . . 867,438 867
----------
867
----------
TOTAL INVESTMENTS (identified cost $20,566)(b) - 98.2% . . . . 20,934
----------
OTHER ASSETS AND LIABILITIES
Deferred organization expenses (Note 2). . . . . . . . . . . . 7
Other assets . . . . . . . . . . . . . . . . . . . . . . . . . 424
Liabilities (Note 4) . . . . . . . . . . . . . . . . . . . . . (42)
----------
TOTAL OTHER ASSETS AND LIABILITIES, NET - 1.8% . . . . . . . . 389
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . $ 21,323
----------
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
INCOME AND GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
----------
<S> <C>
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $ 126
Accumulated distributions in excess of net realized gains. . . (7)
Unrealized appreciation (depreciation) on investments. . . . . 368
Shares of beneficial interest. . . . . . . . . . . . . . . . . 2
Additional paid-in capital . . . . . . . . . . . . . . . . . . 20,834
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,323
----------
----------
NET ASSET VALUE, offering and redemption price per share
($21,322,623 divided by 1,637,914 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . $ 13.02
----------
----------
</TABLE>
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA LIFE SOLUTIONS
INCOME AND GROWTH FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Income distributions from Underlying Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 340
EXPENSES (Notes 2 and 4):
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5
Fund accounting. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 1
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
Expense reductions (Note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . (15)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
Capital gain distributions from Underlying Funds . . . . . . . . . . . . . . . . . 600 671
--------------
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . 145
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 816
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 1,119
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
INCOME AND GROWTH FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE PERIOD
MONTHS ENDED JULY 1, 1997++
FEBRUARY 28, 1998 TO
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 303 $ 4
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671 -
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . 145 223
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 1,119 227
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (307) -
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . (176) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (376) -
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (859) -
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 7,084 13,752
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 7,344 13,979
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,979 -
----------------- -----------------
End of period (including undistributed net investment income
of $126 and $4, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,323 $ 13,979
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE PERIOD JULY 1, 1997++
FEBRUARY 28, 1998 (UNAUDITED) TO AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 612 $ 7,834 1,104 $ 14,055
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 69 858 - -
Payments for shares redeemed . . . . . . . . (124) (1,608) (23) (303)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 557 $ 7,084 1,081 $ 13,752
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
++ Commencement of operations.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA LIFE SOLUTIONS
INCOME AND GROWTH FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout the
period and other performance information derived from the financial statements.
1998* 1997**
---------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 12.93 $ 12.68
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .24(d) -
Capital gain distributions from Underlying Funds . . . . . . . . . . . . . . . . . . . . . . . . .47(d) -
Net realized and unrealized gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . .10(d) .25
---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . .81 .25
---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.26) -
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.15) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.31) -
---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.72) -
---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13.02 $ 12.93
---------- ----------
---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.56 1.97
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,323 13,979
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45 .35
Operating expenses, gross (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .63 1.14
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.69 .16
Portfolio turnover rate (%)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141.98 106.68
</TABLE>
* For the six months ended February 28, 1998 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to
August 31, 1997.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1998 and August 31, 1997
are annualized.
(c) See Note 4 for current period amounts.
(d) Calculations are based on average month-end shares outstanding.
8 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
BALANCED FUND
STATEMENT OF NET ASSETS
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------------------------
<S> <C> <C>
INVESTMENTS
DOMESTIC EQUITIES - 43.0%
SSgA Matrix Equity Fund (Note 4) . . . . . . . . 1,546,497 $ 27,327
SSgA S&P 500 Index Fund. . . . . . . . . . . . . 322,075 6,860
SSgA Small Cap Fund. . . . . . . . . . . . . . . 308,422 7,001
----------
41,188
----------
INTERNATIONAL EQUITIES - 13.4%
SSgA Active International Fund (Note 4). . . . . 949,322 9,835
SSgA Emerging Markets Fund . . . . . . . . . . . 291,728 3,019
----------
12,854
----------
BONDS - 39.7%
SSgA Bond Market Fund (Note 4) . . . . . . . . . 2,830,769 28,732
SSgA Intermediate Fund (Note 4). . . . . . . . . 945,943 9,327
----------
38,059
----------
SHORT-TERM ASSETS - 3.8%
SSgA Money Market Fund (a) . . . . . . . . . . . 3,599,722 3,600
----------
3,600
----------
TOTAL INVESTMENTS (identified cost $93,103)(b) - 99.9% . . . . 95,701
----------
OTHER ASSETS AND LIABILITIES
Deferred organization expenses (Note 2). . . . . . . . . . . . 7
Other assets . . . . . . . . . . . . . . . . . . . . . . . . . 236
Liabilities (Note 4) . . . . . . . . . . . . . . . . . . . . . (120)
----------
TOTAL OTHER ASSETS AND LIABILITIES, NET - 0.1% . . . . . . . . 123
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . $ 95,824
----------
----------
</TABLE>
10 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
BALANCED FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
----------
<S> <C>
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $ 286
Accumulated distributions in excess of net realized gains. . . (226)
Unrealized appreciation (depreciation) on investments. . . . . 2,598
Shares of beneficial interest. . . . . . . . . . . . . . . . . 7
Additional paid-in capital . . . . . . . . . . . . . . . . . . 93,159
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 95,824
----------
----------
NET ASSET VALUE, offering and redemption price per share
($95,823,584 divided by 6,900,611 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . $ 13.89
----------
----------
</TABLE>
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 11
<PAGE>
SSgA LIFE SOLUTIONS
BALANCED FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Income distributions from Underlying Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 911
EXPENSES (Notes 2 and 4):
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 19
Fund accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 1
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 770
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
Capital gain distributions from Underlying Funds . . . . . . . . . . . . . . . . . 3,159 3,248
--------------
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . 1,606
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,854
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 5,624
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
BALANCED FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE PERIOD
MONTHS ENDED JULY 1, 1997++
FEBRUARY 28, 1998 TO
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 770 $ 6
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,248 -
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . 1,606 992
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 5,624 998
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (776) -
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . (1,288) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (1,900) -
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (3,964) -
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 47,161 46,005
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 48,821 47,003
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,003 -
----------------- -----------------
End of period (including undistributed net investment income
of $286 and $6, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . $ 95,824 $ 47,003
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE PERIOD JULY 1, 1997++
FEBRUARY 28, 1998 (UNAUDITED) TO AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 3,517 $ 47,123 3,654 $ 50,095
Proceeds from reinvestment
of distributions. . . . . . . . . . . . . 306 3,964 - -
Payments for shares redeemed . . . . . . . . (285) (3,926) (292) (4,090)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 3,538 $ 47,161 3,362 $ 46,005
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
++ Commencement of operations.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSgA LIFE SOLUTIONS
BALANCED FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout the
period and other performance information derived from the financial statements.
1998* 1997**
---------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13.98 $ 13.69
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17(d) -
Capital gain distributions from Underlying Funds . . . . . . . . . . . . . . . . . . . . . . . . .69(d) -
Net realized and unrealized gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . .12(d) .29
---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . .98 .29
---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.21) -
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.35) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.51) -
---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.07) -
---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 13.89 $ 13.98
---------- ----------
---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.61 2.12
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95,824 47,003
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45 .35
Operating expenses, gross (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45 .49
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.45 .07
Portfolio turnover rate (%)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199.12 51.61
</TABLE>
* For the six months ended Februry 28, 1998 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to
August 31, 1997.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1998 and August 31, 1997 are
annualized.
(c) See Note 4 for current period amounts.
(d) Calculations are based on average month-end shares outstanding.
14 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
GROWTH FUND
STATEMENT OF NET ASSETS
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
-------------------------
<S> <C> <C>
INVESTMENTS
DOMESTIC EQUITIES - 57.8%
SSgA Matrix Equity Fund. . . . . . . . . . . . . 1,154,693 $ 20,403
SSgA S&P 500 Index Fund. . . . . . . . . . . . . 267,826 5,705
SSgA Small Cap Fund. . . . . . . . . . . . . . . 281,213 6,384
----------
32,492
----------
INTERNATIONAL EQUITIES - 18.4%
SSgA Active International Fund . . . . . . . . . 713,839 7,395
SSgA Emerging Markets Fund . . . . . . . . . . . 286,473 2,965
----------
10,360
----------
BONDS - 20.1%
SSgA Bond Market Fund (Note 4) . . . . . . . . . 742,976 7,541
SSgA Intermediate Fund (Note 4). . . . . . . . . 378,990 3,737
----------
11,278
----------
SHORT-TERM ASSETS - 3.9%
SSgA Money Market Fund (a) . . . . . . . . . . . 2,202,302 2,202
----------
2,202
----------
TOTAL INVESTMENTS (identified cost $55,442)(b) - 100.2%. . . . 56,332
----------
OTHER ASSETS AND LIABILITIES
Deferred organization expenses (Note 2). . . . . . . . . . . . 7
Other assets . . . . . . . . . . . . . . . . . . . . . . . . . 46
Liabilities (Note 4) . . . . . . . . . . . . . . . . . . . . . (140)
----------
TOTAL OTHER ASSETS AND LIABILITIES, NET - (0.2%) . . . . . . . (87)
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . $ 56,245
----------
----------
</TABLE>
16 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
----------
<S> <C>
NET ASSETS CONSIST OF:
Undistributed net investment income. . . . . . . . . . . . . . $ 154
Accumulated distributions in excess of net realized gains . . (167)
Unrealized appreciation (depreciation) on investments. . . . . 890
Shares of beneficial interest. . . . . . . . . . . . . . . . . 4
Additional paid-in capital . . . . . . . . . . . . . . . . . . 55,364
----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 56,245
----------
----------
NET ASSET VALUE, offering and redemption price per share
($56,244,637 divided by 3,872,794 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . $ 14.52
----------
----------
</TABLE>
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 17
<PAGE>
SSgA LIFE SOLUTIONS
GROWTH FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Income distributions from Underlying Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 605
EXPENSES (Notes 2 and 4):
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14
Fund accounting. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 1
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 499
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
Capital gain distributions from Underlying Funds . . . . . . . . . . . . . . . . . 3,706 3,767
--------------
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . (94)
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,673
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 4,172
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
18 Semiannual Report
<PAGE>
SSgA LIFE SOLUTIONS
GROWTH FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE PERIOD
MONTHS ENDED JULY 1, 1997++
FEBRUARY 28, 1998 TO
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 499 $ 7
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,767 -
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . (94) 984
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 4,172 991
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (506) -
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . (1,668) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (2,112) -
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (4,286) -
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 12,756 42,612
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 12,642 43,603
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,603 -
----------------- -----------------
End of period (including undistributed net investment income of
$154 and $7, respectively). . . . . . . . . . . . . . . . . . . . . . . . . . . $ 56,245 $ 43,603
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE PERIOD JULY 1, 1997++
FEBRUARY 28, 1998 (UNAUDITED) TO AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 734 $ 10,381 3,000 $ 43,384
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 323 4,286 - -
Payments for shares redeemed . . . . . . . . (133) (1,911) (51) (772)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 924 $ 12,756 2,949 $ 42,612
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
++ Commencement of operations.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 19
<PAGE>
SSgA LIFE SOLUTIONS
GROWTH FUND
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout the
period and other performance information derived from the financial statements.
1998* 1997**
---------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14.79 $ 14.44
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .15(d) -
Capital gain distributions from Underlying Funds . . . . . . . . . . . . . . . . . . . . . . . . 1.14(d) -
Net realized and unrealized gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . (.16)(d) .35
---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.13 .35
---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.17) -
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.54) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.69) -
---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.40) -
---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14.52 $ 14.79
---------- ----------
---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.53 2.42
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,245 43,603
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45 .35
Operating expenses, gross (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45 .54
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.13 .09
Portfolio turnover rate (%)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97.91 39.49
</TABLE>
* For the six months ended February 28, 1998 (Unaudited).
** For the period July 1, 1997(commencement of operations) to
August 31, 1997.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended February 28, 1998 and August 31, 1997 are
annualized.
(c) See Note 4 for current period amounts.
(d) Calculations are based on average month-end shares outstanding.
20 Semiannual Report
<PAGE>
SSgA
LIFE SOLUTIONS FUNDS
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. These financial statements report on three
portfolios, the SSgA Life Solutions Income and Growth Fund, Balanced Fund
and Growth Fund (the "Funds"). 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 Funds are designed
primarily for tax-advantaged retirement accounts and other long-term
investment strategies. Each Fund allocates its assets by investing in
shares of a combination of the Investment Company's portfolios (the
"Underlying Funds"). The table below illustrates the equity, bond and
short-term fund asset allocation ranges for each Fund.
<TABLE>
<CAPTION>
ASSET ALLOCATION RANGES
---------------------------------------------------
INCOME AND
ASSET CLASS/UNDERLYING FUND GROWTH FUND BALANCED FUND GROWTH FUND
------------------------------------- --------------- --------------- ---------------
<S> <C> <C> <C>
EQUITIES 20 - 60% 40 - 80% 60 - 100%
US Equities
SSgA S&P 500 Index Fund
SSgA Matrix Equity Fund
SSgA Small Cap Fund
SSgA Growth and Income Fund
International Equities* 15%* 20%* 25%*
SSgA Active International Fund
SSgA Emerging Markets Fund
BONDS 40 - 80% 20 - 60% 0 - 40%
SSgA Bond Market Fund
SSgA Intermediate Fund
SHORT TERM ASSETS 0 - 20% 0 - 20% 0 - 20%
SSgA Yield Plus Fund
SSgA Money Market Fund
SSgA US Government Money Market
</TABLE>
* International equities are included in the total equity exposure
indicated above and will not exceed the listed percentages.
Semiannual Report 21
<PAGE>
SSgA
LIFE SOLUTIONS FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
OBJECTIVES OF THE UNDERLYING FUNDS:
The Life Solutions Funds are comprised of various combinations of the
Underlying Funds. Each of the Life Solutions Funds will invest in at least
six of the Underlying Funds. The Board of Trustees has approved investment
in all of the Underlying Funds (except Tax Free Money Market). The
fundamental investment objectives of the Underlying Funds utilized by the
Life Solutions Funds are listed below.
SSgA S&P 500 INDEX FUND: To seek to replicate the total return of the S&P
500 Index.
SSgA MATRIX EQUITY FUND: To provide total returns that exceed over time the
S&P 500 Index through investment in equity securities.
SSgA SMALL CAP FUND: To maximize total return through investment in equity
securities; under normal market conditions, at least 65% of total assets
will be invested in securities of smaller capitalized issuers.
SSgA GROWTH AND INCOME FUND: To achieve long-term capital growth, current
income and growth of income primarily through investments in equity
securities.
SSgA ACTIVE INTERNATIONAL FUND: To provide long-term capital growth by
investing primarily in securities of foreign issuers.
SSgA EMERGING MARKETS FUND: To provide maximum total return, primarily
through capital appreciation, by investing in securities of foreign
issuers.
SSgA BOND MARKET FUND: To maximize total return by investing in fixed
income securities, including, but not limited to, those represented by the
Lehman Brothers Aggregate Bond Index (the "LBAB" Index").
SSgA INTERMEDIATE FUND: To seek a high level of current income while
preserving principal by investing primarily in a diversified portfolio of
debt securities with a dollar-weighted average maturity between three and
ten years.
SSgA YIELD PLUS FUND: To seek high current income and liquidity by
investing primarily in a diversified portfolio of high-quality debt
securities and by maintaining a portfolio duration of one year or less.
SSgA MONEY MARKET FUND: To maximize current income, to the extent
consistent with the preservation of capital and liquidity and the
maintenance of a stable $1.00 per share net asset value, by investing in
dollar dominated securities with remaining maturities of one year or less.
SSgA US GOVERNMENT MONEY MARKET FUND: To maximize current income to the
extent consistent with the preservation of capital and liquidity and the
maintenance of a stable $1.00 per share net asset value, by investing in
obligations of the US Government or its agencies or instrumentalities with
remaining maturities of one year or less.
22 Semiannual Report
<PAGE>
SSgA
LIFE SOLUTIONS FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' 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 their
financial statements.
SECURITY VALUATION: Investments in Underlying Funds are valued at the net
asset value per share of each Underlying Fund as of the close of regular
trading on the New York Stock Exchange. Short-term investments having a
maturity of sixty days or less are valued at amortized cost.
SECURITIES TRANSACTIONS: Securities transactions of the Underlying Funds
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.
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 each Funds' intention to qualify as a regulated investment company,
as defined by the Internal Revenue Code of 1986, as amended. This requires
the Fund to distribute all of its taxable income. Therefore, the Funds paid
no federal income taxes and no federal income tax provision was required.
The Funds' aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 28, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Income and Growth Fund $ 20,566,276 $ 503,877 $ (136,394) $ 367,483
Balanced Fund 93,103,820 2,834,281 (236,723) 2,597,558
Growth Fund 55,442,132 1,832,331 (942,106) 890,225
</TABLE>
Semiannual Report 23
<PAGE>
SSgA
LIFE SOLUTIONS FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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 Funds 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 certain securities sold at a loss.
Accordingly, the Funds may periodically make reclassifications among
certain of their capital accounts without impacting their net asset value.
The following reclassifications have been made at February 28, 1998:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAIN (LOSS)
-------------- --------------
<S> <C> <C>
Income and Growth Fund $ 301,691 $ (301,691)
Balanced Fund 1,573,701 (1,573,701)
Growth Fund 1,821,556 (1,821,556)
</TABLE>
EXPENSES: The Funds will pay all of their expenses other than those
expressly assumed by the Adviser and the Administrator. Certain expenses
not directly attributable to any one Fund but applicable to all Funds, such
as Trustee fees, insurance, legal and other expenses will be allocated to
each Fund based on each Fund's net assets. Expenses included in the
accompanying financial statements reflect the expenses of each Fund and do
not include any expenses associated with the Underlying Funds.
DEFERRED ORGANIZATION EXPENSES: The Funds have incurred expenses in
connection with their organization initial registration. These costs have
been deferred and are being amortized over sixty months on a straight-line
basis.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases and sales of investment securities aggregated to the following:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- --------------
<S> <C> <C>
Income and Growth Fund $ 18,368,995 $ 11,657,512
Balanced Fund 105,379,792 61,457,783
Growth Fund 35,331,702 22,921,821
</TABLE>
24 Semiannual Report
<PAGE>
SSgA
LIFE SOLUTIONS FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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. The Funds will not be charged a fee
by the Adviser. However, each Fund, as a shareholder in the Underlying
Funds, will bear its proportionate share of any investment advisory fees
and other expenses paid by the Underlying Funds. Each Underlying Fund pays
the Adviser a fee, calculated daily and paid monthly, that on an annual
basis is equal to a certain percentage of each Underlying Fund's average
daily net assets. For the six months ended February 28, 1998, the Adviser
voluntarily agreed to reimburse the Funds for all expenses (except 12b-1
distribution expenses) in excess of .30% of average daily net assets on an
annual basis.
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. For these services, the
Underlying Funds pay the Administrator a combined fee that on an annual
basis is equal to the percentages, stated below, of their average aggregate
daily net assets. The Funds will not be charged a fee by the Administrator.
Instead, the Administrator will assess administration fees on the
Underlying Funds. Each Fund will pay indirectly its proportionate share of
the following: All Underlying Funds (except Active International and
Emerging Markets) to and including $500 million - .06%; over $500 million
to and including $1 billion - .05%; and over $1 billion - .03%. Active
International and Emerging Markets 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%; and over $1.5 billion - .03%.
The percentage of the fee paid by the each Underlying Fund is equal to the
percentage of average aggregate daily net assets that are attributable to
that Underlying Fund. Administrator will also receive reimbursement of
expenses it incurs in connection with establishing new investment
portfolios, including the Funds. Further, the administration fee paid by
the Underlying Funds will be reduced by the sum of certain distribution
related expenses (up to a maximum of 5% of the asset-based administration
fee listed above).
DISTRIBUTOR AND SHAREHOLDER SERVICING: Pursuant to the Distribution
Agreement with Investment Company, Russell Fund Distributors, Inc.
("Distributor"), a wholly owned subsidiary of the Administrator, serves as
distributor for all Investment Company portfolio shares, including the
Funds.
The Funds and Underlying Funds have also adopted a distribution plan
pursuant to Rule 12b-1 (the "Plan") under the 1940 Act. The purpose of the
Plan is to provide for the payment of certain Investment Company
distribution and shareholder servicing expenses. Under the Plan,
Distributor will be reimbursed in an amount up to .25% of the Funds and
Underlying Funds' average annual net assets for distribution-related and
shareholder servicing expenses. Payments under the Plan will be made to
Distributor to finance activity that is intended to result in the sale and
retention of the Funds and Underlying Fund shares including: (1) payments
made to certain broker-dealers, investments advisors and other third party
intermediaries; (2) the
Semiannual Report 25
<PAGE>
SSgA
LIFE SOLUTIONS FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
costs of prospectuses, reports to shareholders and sales literature; (3)
advertising; and (4) expenses incurred in connection with the promotion and
sale of shares, including Distributor's overhead expenses for rent, office
supplies, equipment, travel, communication, compensation and benefits of
sales personnel.
Payments to Distributor, as well as payments to Service Organizations from
a Fund, are not permitted by the Plan to exceed .25% of a Fund's average
net asset value per year. Any payments that are required to be made by the
Distribution Agreement and any Service Agreement but could not be made
because of the .25% limitation may be carried forward and paid in
subsequent years so long as the Plan is in effect. A Fund's liability 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 Plan and all payments thereunder at anytime. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Plan's termination or noncontinuance. There were no carryover expenses
as of February 28, 1998. Service Organizations will be responsible for
prompt transmission of purchase and redemption orders and may charge fees
for their services.
The Funds have entered into service agreements with State Street Solutions
("Solutions"), State Street Brokerage Services, Inc. ("SSBSI"), the State
Street Retirement Investment Division ("RIS"), (collectively the "Agents"),
as well as other non-related party service providers. For these services,
the Fund pays .15%, .13%, and .13%, 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, 1998, the Funds did not incur any
expenses from RIS. The Funds incurred expenses from Solutions and SSBSI as
follows:
<TABLE>
<CAPTION>
STATE STREET
STATE STREET BROKERAGE
SOLUTIONS SERVICES, INC.
-------------- --------------
<S> <C> <C>
Income and Growth Fund $ 5,918 $ 862
Balanced Fund 22,498 536
Growth Fund 20,161 118
</TABLE>
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 for attending the annual audit
committee meeting, and reimbursement for out-of-pocket expenses. These
expenses are allocated among all the Funds based upon their relative net
assets.
26 Semiannual Report
<PAGE>
SSgA
LIFE SOLUTIONS FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
ACCRUED FEES PAYABLE TO AFFILIATES AS OF FEBRUARY 28, 1998 WERE AS FOLLOWS:
<TABLE>
<CAPTION>
INCOME AND BALANCED GROWTH
GROWTH FUND FUND FUND
-------------- -------------- --------------
<S> <C> <C> <C>
Fund accounting fees $ 2,102 $ 12,207 $ 12,289
Distribution fees 6,050 23,106 14,071
Shareholder servicing fees 5,871 23,885 19,298
Transfer agent fees 495 1,066 1,061
-------------- -------------- --------------
$ 14,518 $ 60,264 $ 46,719
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
BENEFICIAL INTEREST: In the Income and Growth Fund, as of February 28,
1998, three shareholders (two who were also affiliates of the Investment
Company) were record owners of approximately 68%, 21% and 11%,
respectively, of the total outstanding shares of the Fund. In the Balanced
Fund, as of February 28, 1998, two shareholders (who were also affiliates
of the Investment Company) were record owners of approximately 58% and 39%,
respectively, of the total outstanding shares of the Fund. In the Growth
Fund, as of February 28, 1998, one shareholder (who was also an affiliate
of the Investment Company) was a record owner of approximately 92% of the
toal outstanding shares of the Fund.
TRANSACTIONS WITH AFFILIATED COMPANIES: An affiliated company is a company
in which a fund has ownership of at least 5% of voting securities.
Transactions during the period with Funds which are or were affiliates are
as follows:
<TABLE>
<CAPTION>
PURCHASE SALES DIVIDEND
AFFILIATE COST COST INCOME
----------------------------------- -------------- -------------- --------------
<S> <C> <C> <C>
INCOME AND GROWTH FUND
SSgA Bond Market Fund $ 8,469,405 $ 27,088 $ 201,721
SSgA Intermediate Fund 3,886,140 591,115 88,387
-------------- -------------- --------------
$ 12,355,545 $ 618,203 $ 290,108
-------------- -------------- --------------
-------------- -------------- --------------
BALANCED FUND
SSgA Matrix Equity Fund $ 26,349,906 $ 2,789,855 $ 2,518,015
SSgA Active International Fund 9,813,611 1,634,327 364,420
SSgA Bond Market Fund 28,225,054 1,090,040 462,260
SSgA Intermediate Fund 9,212,168 1,066,071 165,239
-------------- -------------- --------------
$ 73,600,739 $ 6,580,293 $ 3,509,934
-------------- -------------- --------------
-------------- -------------- --------------
GROWTH FUND
SSgA Bond Market Fund $ 7,404,725 $ 1,054,364 $ 192,325
SSgA Intermediate Fund 3,690,881 80,409 88,289
-------------- -------------- --------------
$ 11,095,606 $ 1,134,773 $ 280,614
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
The market values of the above transactions are shown on the accompanying
Statements of Net Assets.
Semiannual Report 27
<PAGE>
SSgA LIFE SOLUTIONS FUNDS
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
28 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
MONEY MARKET FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 12
Fund Management and Service Providers . . . . . . . . . . . . . . . . . . 16
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR
USE BY 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, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS AND NOTES - 22.5%
AVCO Financial Services (MTN)(a) . . . . . . . . . . . . . . . . . $ 25,000 5.565% 11/17/98 $ 25,000
Bank of New York . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 6.000 03/24/98 14,999
Bank of Scotland (MTN)(a). . . . . . . . . . . . . . . . . . . . . 40,000 5.806 09/22/98 39,991
Bank One Milwaukee NA. . . . . . . . . . . . . . . . . . . . . . . 25,000 5.550 01/29/99 24,982
Bank One Texas NA (a). . . . . . . . . . . . . . . . . . . . . . . 50,000 5.590 07/01/98 49,987
Branch Banking & Trust Company . . . . . . . . . . . . . . . . . . 25,000 5.510 03/23/98 25,000
Caterpillar Financial Services (MTN) . . . . . . . . . . . . . . . 5,000 8.120 03/10/98 5,003
Comerica Bank (a). . . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.495 11/09/98 99,959
Comerica Bank (MTN)(a) . . . . . . . . . . . . . . . . . . . . . . 50,000 5.745 02/09/99 49,977
Fifth Third Bank . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.510 03/16/98 50,000
First National Bank of Chicago . . . . . . . . . . . . . . . . . . 47,000 5.780 08/05/98 46,994
General Motors Acceptance Corp. (MTN)(a) . . . . . . . . . . . . . 25,000 5.786 09/21/98 24,984
Goldman Sachs Group (MTN)(a) . . . . . . . . . . . . . . . . . . . 50,000 5.625 03/26/99 50,000
IBM Credit Corp. (MTN)(a). . . . . . . . . . . . . . . . . . . . . 40,000 5.812 06/05/98 39,993
Key Bank National Association (MTN)(a) . . . . . . . . . . . . . . 75,000 5.550 02/24/99 74,935
Merrill Lynch & Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . 50,000 5.847 03/04/98 50,000
Merrill Lynch & Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . 50,000 5.836 03/09/98 50,000
Merrill Lynch & Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . 60,000 5.545 10/19/98 59,996
Morgan Stanley Dean Witter (a) . . . . . . . . . . . . . . . . . . 50,000 5.585 10/26/98 50,000
Morgan Stanley Dean Witter (a) . . . . . . . . . . . . . . . . . . 40,000 5.585 11/06/98 40,000
National City Bank, Cleveland. . . . . . . . . . . . . . . . . . . 25,000 5.800 03/03/98 25,000
Nationsbank Corp. (MTN). . . . . . . . . . . . . . . . . . . . . . 23,000 5.120 10/05/98 22,940
Nationsbank Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . 20,000 5.828 12/01/98 20,000
Nationsbank Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . 30,000 5.887 12/14/98 30,000
Nationsbank Corp. (a). . . . . . . . . . . . . . . . . . . . . . . 28,000 5.781 12/21/98 27,984
Nationsbank Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . 75,000 5.762 01/05/99 75,000
Northern Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.750 03/04/98 25,000
Old Kent Bank & Trust Co. (a). . . . . . . . . . . . . . . . . . . 20,000 5.680 04/29/98 19,999
Old Kent Bank & Trust Co. (a). . . . . . . . . . . . . . . . . . . 25,000 5.650 11/19/98 24,993
Trust Investment Enhanced Return Securities (a). . . . . . . . . . 50,000 5.625 10/15/03 50,000
Walt Disney Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . . . 25,000 5.615 02/10/99 24,994
Wells Fargo & Company (MTN)(a) . . . . . . . . . . . . . . . . . . 25,000 5.761 10/20/98 24,989
Wells Fargo & Company (MTN)(a) . . . . . . . . . . . . . . . . . . 75,000 5.761 10/26/98 74,965
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . 30,000 5.535 01/22/99 29,988
----------
TOTAL CORPORATE BONDS AND NOTES (cost $1,347,652). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,347,652
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
DOMESTIC CERTIFICATES OF DEPOSIT - 3.3%
Morgan Guaranty Trust Co.. . . . . . . . . . . . . . . . . . . . . . $ 50,000 5.820% 03/27/98 $ 50,001
PNC Bank, Pittsburgh (a) . . . . . . . . . . . . . . . . . . . . . . 50,000 5.640 07/01/98 49,981
PNC Bank, Pittsburgh (a) . . . . . . . . . . . . . . . . . . . . . . 50,000 5.600 09/02/98 49,982
United States National Bank of Oregon (a). . . . . . . . . . . . . . 25,000 5.776 06/26/98 24,994
Wachovia Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.550 04/09/98 25,000
----------
TOTAL DOMESTIC CERTIFICATES OF DEPOSIT (cost $199,958) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199,958
----------
EURODOLLAR BONDS - 0.2%
Bayerische Vereinsbank (MTN) . . . . . . . . . . . . . . . . . . . . 2,953 5.250 02/01/99 2,941
Ontario, Province of . . . . . . . . . . . . . . . . . . . . . . . . 6,457 7.000 01/27/99 6,533
----------
TOTAL EURODOLLAR BONDS (cost $9,474) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,474
----------
EURODOLLAR CERTIFICATES OF DEPOSIT - 3.5%
Bank of Scotland PLC (a) . . . . . . . . . . . . . . . . . . . . . . 50,000 5.730 04/17/98 49,999
Bayerische Vereinsbank . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.600 04/08/98 50,005
National Australia Bank, Ltd.. . . . . . . . . . . . . . . . . . . . 50,000 5.810 03/23/98 50,009
Toronto Dominion Bank. . . . . . . . . . . . . . . . . . . . . . . . 60,000 5.510 03/20/98 60,000
----------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (cost $210,013) . . . . . . . . . . . . . . . . . . . . . . . . . . . 210,013
----------
FOREIGN COMMERCIAL PAPER - 3.6%
Cregem NA, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.560 04/09/98 19,880
Nordbanken NA, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.450 05/06/98 49,500
Unifunding, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.430 04/15/98 99,321
Unifunding, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.470 05/05/98 49,506
----------
TOTAL FOREIGN COMMERCIAL PAPER (cost $218,207) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218,207
----------
DOMESTIC COMMERCIAL PAPER - 15.9%
Daimler Benz North America . . . . . . . . . . . . . . . . . . . . . 32,000 5.570 03/27/98 31,871
Daimler Benz North America . . . . . . . . . . . . . . . . . . . . . 25,000 5.625 04/21/98 24,801
Daimler Benz North America . . . . . . . . . . . . . . . . . . . . . 25,000 5.630 04/21/98 24,801
Delaware Funding Corp. . . . . . . . . . . . . . . . . . . . . . . . 65,000 5.520 03/16/98 64,851
Delaware Funding Corp. . . . . . . . . . . . . . . . . . . . . . . . 11,118 5.530 03/25/98 11,077
du Pont (E.I.) de Nemours & Co.. . . . . . . . . . . . . . . . . . . 25,000 5.480 03/19/98 24,932
du Pont (E.I.) de Nemours & Co.. . . . . . . . . . . . . . . . . . . 31,000 5.490 03/19/98 30,915
du Pont (E.I.) de Nemours & Co.. . . . . . . . . . . . . . . . . . . 25,000 5.480 03/20/98 24,928
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
Falcon Asset Securitization. . . . . . . . . . . . . . . . . . . . . $ 30,410 5.560% 04/09/98 $ 30,227
Falcon Asset Securitization. . . . . . . . . . . . . . . . . . . . . 25,000 5.550 04/20/98 24,807
Ford Motor Credit Corp.. . . . . . . . . . . . . . . . . . . . . . . 50,000 5.530 04/10/98 49,693
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 30,000 5.700 03/11/98 29,953
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 50,000 5.500 03/18/98 49,870
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 35,000 5.470 03/20/98 34,899
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 25,000 5.420 03/23/98 24,917
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . . 50,000 5.470 04/13/98 49,673
Gillette Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,340 5.650 03/02/98 25,336
Goldman Sachs Group. . . . . . . . . . . . . . . . . . . . . . . . . 40,000 5.550 05/13/98 39,550
Goldman Sachs Group. . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.450 05/14/98 49,440
Grand Metropolitan Corp. . . . . . . . . . . . . . . . . . . . . . . 30,000 5.555 04/30/98 29,722
JP Morgan & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.310 07/13/98 49,012
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . . 30,000 5.510 03/18/98 29,922
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . . 66,000 5.460 05/13/98 65,269
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . . 30,000 5.500 05/20/98 29,633
Prudential Funding Corp. . . . . . . . . . . . . . . . . . . . . . . 100,000 5.700 03/02/98 99,983
----------
TOTAL DOMESTIC COMMERCIAL PAPER (cost $950,082). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 950,082
----------
TIME DEPOSITS - 8.9%
Bank of Boston . . . . . . . . . . . . . . . . . . . . . . . . . . . 200,000 5.562 03/02/98 200,000
Branch Banking & Trust Company (a) . . . . . . . . . . . . . . . . . 112,209 5.562 03/02/98 112,209
Chase Manhattan Bank . . . . . . . . . . . . . . . . . . . . . . . . 220,000 5.687 03/02/98 220,000
----------
TOTAL TIME DEPOSITS (cost $532,209). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532,209
----------
UNITED STATES GOVERNMENT AGENCIES - 1.3%
Federal Farm Credit Bank (MTN) . . . . . . . . . . . . . . . . . . . 10,750 5.650 10/01/98 10,740
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.792 10/23/98 19,991
Federal Home Loan Mortgage Corp. (a) . . . . . . . . . . . . . . . . 25,000 5.425 01/26/99 24,984
Student Loan Marketing Association (MTN) . . . . . . . . . . . . . . 20,000 5.740 12/17/98 19,988
----------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $75,703) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,703
----------
YANKEE CERTIFICATES OF DEPOSIT - 22.5%
Abbey National PLC (MTN)(a). . . . . . . . . . . . . . . . . . . . . 32,000 5.505 06/16/98 31,993
Abbey National PLC (MTN)(a). . . . . . . . . . . . . . . . . . . . . 45,000 5.443 07/15/98 44,987
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
Abbey National PLC (MTN) . . . . . . . . . . . . . . . . . . . . . . $ 50,000 5.875% 12/22/98 $ 49,971
Abbey National PLC (MTN) . . . . . . . . . . . . . . . . . . . . . . 35,000 5.540 01/20/99 34,994
Abbey National PLC (MTN) . . . . . . . . . . . . . . . . . . . . . . 30,000 5.550 01/26/99 29,987
ABN AMRO Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 6.140 05/01/98 20,002
Bank of Austria. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.630 04/07/98 50,000
Bank of Montreal (a) . . . . . . . . . . . . . . . . . . . . . . . . 40,000 5.766 06/30/98 39,992
Bank of Nova Scotia. . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.620 03/05/98 25,000
Bank of Nova Scotia. . . . . . . . . . . . . . . . . . . . . . . . . 30,000 5.660 04/06/98 30,001
Bank of Nova Scotia. . . . . . . . . . . . . . . . . . . . . . . . . 35,000 5.730 10/29/98 35,026
Bank of Nova Scotia. . . . . . . . . . . . . . . . . . . . . . . . . 11,000 5.715 10/30/98 10,983
Barclays Bank PLC (a). . . . . . . . . . . . . . . . . . . . . . . . 100,000 5.670 12/16/98 99,959
Barclays Bank PLC. . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.560 02/25/99 24,986
Barclays Bank PLC. . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.645 03/02/99 24,986
Bayerische Hypotheken. . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.940 10/22/98 19,993
Bayerische Landesbank (a). . . . . . . . . . . . . . . . . . . . . . 65,000 5.495 06/26/98 64,984
Branch Banking & Trust Company (a) . . . . . . . . . . . . . . . . . 25,000 5.687 07/01/98 24,995
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.800 03/31/98 50,000
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.530 05/20/98 50,000
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.550 02/10/99 49,977
Commerzbank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000 5.520 03/24/98 50,000
Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.670 01/08/99 24,994
Deutsche Bank AG (a) . . . . . . . . . . . . . . . . . . . . . . . . 70,000 5.642 07/01/98 69,977
Dresdner Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000 5.510 01/15/99 39,987
Landesbank Hessen Thuringen. . . . . . . . . . . . . . . . . . . . . 15,000 5.960 03/20/98 15,000
Morgan Guaranty Trust Co.. . . . . . . . . . . . . . . . . . . . . . 16,000 5.710 01/08/99 16,003
National Australia Bank, Ltd.. . . . . . . . . . . . . . . . . . . . 25,000 5.665 03/05/98 25,000
National Australia Bank, Ltd.. . . . . . . . . . . . . . . . . . . . 40,000 5.735 10/13/98 39,982
National Westminster Bank PLC. . . . . . . . . . . . . . . . . . . . 50,000 5.680 03/02/98 50,000
National Westminster Bank PLC. . . . . . . . . . . . . . . . . . . . 75,000 5.660 03/05/98 75,000
National Westminster Bank PLC. . . . . . . . . . . . . . . . . . . . 25,000 5.860 08/10/98 24,996
Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . 18,000 5.825 08/25/98 17,994
Swiss Bank Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.980 03/19/98 15,000
Swiss Bank Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 30,000 5.670 04/02/98 30,001
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 6.240 04/07/98 24,999
Westpac Banking. . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.790 08/05/98 14,997
----------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $1,346,746) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,346,746
----------
TOTAL INVESTMENTS (amortized cost $4,890,044) - 81.7%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,890,044
----------
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
VALUE
(000)
----------
<S> <C>
REPURCHASE AGREEMENTS - 18.4%
Agreement with Bear Stearns of $200,000
acquired February 27, 1998 at 5.650% to be repurchased at $200,094
on March 2, 1998, collateralized by:
$50,000 United States Treasury Notes
10.750% due 05/15/03 valued at $62,809
$50,000 United States Treasury Notes
11.875% due 11/15/03 valued at $66,487
$49,810 United States Treasury Notes
10.625% due 08/15/15 valued at $74,973 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 200,000
Agreement with Lehman Brothers of $600,000
acquired February 27, 1998 at 5.520% to be repurchased at $600,276
on March 2, 1998, collateralized by:
$618,555 United States Treasury Notes
5.500% due 02/15/08 valued at $611,951 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 600,000
Agreement with Swiss Bank Corp. of $300,000
acquired February 27, 1998 at 5.550% to be repurchased at $300,139
on March 2, 1998, collateralized by:
$200,000 United States Treasury Notes
7.750% due 12/31/99 valued at $209,890
$94,000 United States Treasury Notes
6.250% due 05/31/00 valued at $96,743. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300,000
----------
TOTAL REPURCHASE AGREEMENTS (identified cost $1,100,000) . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,100,000
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $5,990,044)(b) - 100.1%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,990,044
OTHER ASSETS AND LIABILITIES, NET - (0.1)% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,723)
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,984,321
----------
----------
</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, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . $ 4,890,044
Repurchase agreements (identifed cost $1,100,000)(Note 2). . . . . . . . . . . . . . . . . . . . . . . . 1,100,000
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,451
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,033,495
LIABILITIES
Payables:
Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 356
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,886
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,986
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 2,932
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,174
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,984,321
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (2,022)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,986
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,980,357
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,984,321
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($5,984,321,156 divided by 5,986,343,328 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, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 133,034
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,818
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 734
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 442
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,189
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 985
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,471
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123,563
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 693
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . $ 124,256
--------------
--------------
</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
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 123,563 $ 219,867
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 693 697
----------------- -----------------
Net increase in net assets resulting from operations. . . . . . . . . . . . . . 124,256 220,564
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (123,563) (219,867)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 1,705,463 802,059
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 1,706,156 802,756
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,278,165 3,475,409
----------------- -----------------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,984,321 $ 4,278,165
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Proceeds from shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,375,208 59,548,475
Proceeds from reinvestment of distributions. . . . . . . . . . . . . . . . . . . . . 113,310 194,301
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (33,783,055) (58,940,717)
---------------- ----------------
Total net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,705,463 802,059
---------------- ----------------
---------------- ----------------
</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.
YEAR ENDED AUGUST 31,
--------------------------------------------------------------
1998* 1997 1996 1995 1994 1993
---------- ---------- ---------- ---------- ---------- ----------
<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. . . . . . . . . . . . . .0259 .0516 .0524 .0538 .0330 .0320
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . (.0259) (.0516) (.0524) (.0538) (.0330) (.0320)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 2.66 5.28 5.36 5.52 3.35 3.24
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . 5,984,321 4,278,165 3,475,409 2,752,895 3,020,796 2,502,483
Ratios to average net assets (%)(b):
Operating expenses, net . . . . . . . . . . .41 .39 .39 .39 .36 .33
Operating expenses, gross . . . . . . . . . .41 .39 .39 .39 .36 .38
Net investment income . . . . . . . . . . . 5.31 5.17 5.20 5.37 3.33 3.20
</TABLE>
* For the six months ended February 28, 1998 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 1998 are annualized.
Semiannual Report 11
<PAGE>
SSgA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 Class A 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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required. At
August 31, 1997, the Fund had a net tax basis capital loss carryover of
$2,714,108, 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, 1998 (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 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
102% 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 102%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases, sales, and maturities of investment securities, excluding US
Government and Agency obligations and repurchase agreements, for the Fund
aggregated to $88,579,149,054, $365,872,314, and $87,341,941,000,
respectively.
For the six months ended February 28, 1998, purchases, sales, and
maturities of US Government and Agency obligations, excluding repurchase
agreements aggregated to $496,754,090, $225,343,831, and $651,000,000,
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 in 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, 1998 (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
5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as several unaffiliated service providers. For these
services, the Fund pays .025%, .175%, .175%, .175% and .175% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $581,510, $159,476, $43,930, $59,773 and $21,967, from the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, respectively.
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, 1998 (Unaudited)
carryover expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 2,032,198
Administration fees 169,592
Custodian fees 128,812
Distribution fees 356,871
Shareholder servicing fees 217,315
Transfer agent fees (5,151)
Trustees' fees 32,199
-----------
$ 2,931,836
-----------
-----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder was a record
owner of approximately 12% of the total outstanding shares of the Fund.
Semiannual Report 15
<PAGE>
SSgA MONEY MARKET FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSgA-SM- Funds
MATRIX EQUITY FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 9
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 10
Fund Management and Service Providers . . . . . . . . . . . . . . . . 15
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<C> <C>
COMMON STOCKS - 97.9%
BASIC INDUSTRIES - 3.7%
Dow Chemical Co. 39,700 $ 3,633
Goodrich (B.F.) Co. 17,000 843
Great Lakes Chemical Corp. 13,400 652
Kimberly-Clark Corp. 60,500 3,369
Lubrizol Corp. 1,200 46
Mead Corp. 22,400 766
PPG Industries, Inc. 46,700 3,027
Premark International, Inc. 48,100 1,497
USX-U.S. Steel Group 166,500 5,848
----------
19,681
----------
CAPITAL GOODS - 5.0%
Aeroquip-Vickers, Inc. 13,500 784
Case Corp. 25,900 1,685
Caterpillar, Inc. 32,900 1,797
Deere & Co. 71,000 3,985
General Electric Co. 152,400 11,849
Ingersoll-Rand Co. 39,800 1,895
Johnson Controls, Inc. 34,500 1,917
National Service Industries, Inc. 22,500 1,247
Newport News Shipbuilding, Inc. 3,700 101
Parker-Hannifin Corp. 34,500 1,609
----------
26,869
----------
CONSUMER BASICS - 17.1%
Albertson's, Inc. 131,400 6,151
American Home Products Corp. 28,500 2,672
Becton, Dickinson & Co. 40,200 2,558
Bristol-Myers Squibb Co. 12,500 1,252
Cardinal Health, Inc. 30,700 2,514
Coca-Cola Co. (The) 85,500 5,873
Dean Foods Co. 30,900 1,700
Dole Food, Inc. 24,500 1,331
Fort James Corp. 17,600 799
Heinz (H.J.) Co. 112,200 6,318
Interstate Bakeries Corp. 154,600 5,179
Kroger Co. (a) 100,500 4,246
Mallinckrodt, Inc. 34,200 1,327
McKesson Corp. 40,200 2,095
Merck & Co., Inc. 120,000 15,308
Pfizer, Inc. 113,100 10,009
Philip Morris Cos., Inc. 31,300 1,360
Procter & Gamble Co. 27,800 2,361
Schering-Plough Corp. 148,400 11,288
Tenet Healthcare Corp. (a) 65,000 2,425
Wellpoint Health Networks, Inc. Class A (a) 76,213 4,453
----------
91,219
----------
CONSUMER DURABLES - 1.8%
Ford Motor Co. 130,600 7,387
PACCAR, Inc. 36,500 2,304
----------
9,691
----------
CONSUMER NON-DURABLES - 7.6%
CompUSA, Inc. (a) 56,900 1,992
Costco Companies, Inc. (a) 159,100 7,776
Dayton Hudson Corp. 52,300 4,043
Federated Department Stores, Inc. (a) 74,600 3,497
Intimate Brands, Inc. Class A 38,900 1,055
Lowe's Cos., Inc. 54,400 3,179
May Department Stores Co. 81,500 4,951
Rite Aid Corp. 32,800 1,062
Ross Stores, Inc. 39,100 1,540
SuperValu, Inc. 51,600 2,457
TJX Cos., Inc. 154,200 5,956
V.F. Corp. 21,400 1,021
Wal-Mart Stores, Inc. 37,800 1,750
----------
40,279
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
MATRIX EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
CONSUMER SERVICES - 1.8%
Carnival Corp. Class A 42,000 $ 2,473
Disney (Walt) Co. 63,300 7,085
----------
9,558
----------
ENERGY - 7.0%
Amoco Corp. 81,100 6,894
Atlantic Richfield Co. 21,620 1,681
Chevron Corp. 40,900 3,318
Exxon Corp. 169,400 10,820
Lyondell Petrochemical Co. 147,900 4,030
Mobil Corp. 81,200 5,882
Rowan Cos., Inc. (a) 71,600 2,018
Texaco, Inc. 47,600 2,657
----------
37,300
----------
FINANCE - 20.1%
Ahmanson (H.F.) & Co. 83,200 5,195
Allstate Corp. 110,800 10,332
American Express Co. 101,500 9,141
AmSouth Bancorp 37,500 2,107
BankAmerica Corp. 110,500 8,564
BankBoston Corp. 15,900 1,585
Bear Stearns Cos., Inc. 25,700 1,198
Comerica, Inc. 71,000 7,158
Compass Bancshares, Inc. 16,500 759
Donaldson, Lufkin & Jenrette, Inc. 36,700 3,005
Equitable Companies, Inc. 49,400 2,584
Everest Reinsurance Holdings, Inc. 7,100 262
Federal National Mortgage Association 149,700 9,553
Fifth Third Bancorp 19,600 1,544
Fleet Financial Group, Inc. 79,200 6,242
Huntington Bancshares, Inc. 14,200 509
Lehman Brothers Holdings, Inc. 45,000 2,838
Loews Corp. 50,000 5,016
Marsh & McLennan Cos., Inc. 71,500 6,198
Morgan Stanley, Dean Witter, Discover and Co. 114,200 7,958
NationsBank Corp. 3,200 219
Norwest Corp. 170,600 6,984
Providian Financial Corp. 33,500 1,901
Republic New York Corp. 34,100 4,126
Torchmark Corp. 51,900 2,416
----------
107,394
----------
GENERAL BUSINESS - 4.7%
AccuStaff, Inc. (a) 173,800 4,910
American Greetings Corp. Class A 21,500 981
Belo (A.H.) Corp. Class A 39,400 2,157
Dun & Bradstreet Corp. 86,900 2,911
Gannett Co., Inc. 89,600 5,785
SBC Communications, Inc. 53,619 4,055
Valassis Communications, Inc. (a) 118,000 4,499
----------
25,298
----------
SHELTER - 0.3%
USG Corp. (a) 29,900 1,633
----------
1,633
----------
TECHNOLOGY - 18.4%
Andrew Corp. (a) 45,000 1,243
BMC Software, Inc. (a) 29,900 2,287
Cadence Design Systems, Inc. (a) 90,200 3,151
COMPAQ Computer Corp. 118,000 3,783
Computer Associates International, Inc. 117,450 5,535
EMC Corp. (a) 59,200 2,264
Gateway 2000, Inc. (a) 98,000 4,312
General Dynamics Corp. 46,000 3,991
General Instrument Corp. (a) 42,300 706
Guidant Corp. 61,900 4,515
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
MATRIX EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Intel Corp. 88,300 $ 7,914
International Business Machines Corp. 21,500 2,245
Lexmark International Group, Inc. Class A (a) 26,800 1,146
Lucent Technologies, Inc. 94,800 10,274
Microsoft Corp. (a) 202,800 17,187
Rockwell International Corp. 17,700 1,071
SCI Systems, Inc. (a) 16,200 729
Storage Technology Corp. (a) 34,600 2,361
Sun Microsystems, Inc. (a) 133,400 6,353
Tektronix, Inc. 39,450 1,760
Unisys Corp. (a) 75,400 1,348
United Technologies Corp. 77,100 6,887
Xerox Corp. 76,600 6,794
----------
97,856
----------
TRANSPORTATION - 0.9%
Ryder System, Inc. 49,200 1,805
Trinity Industries, Inc. 56,100 2,819
----------
4,624
----------
UTILITIES - 9.5%
Ameritech Corp. 134,600 5,611
AT&T Corp. 153,400 9,338
Bell Atlantic Corp. 111,499 10,007
BellSouth Corp. 61,600 3,758
Consolidated Edison, Inc. 39,600 1,683
DTE Energy Co. 34,800 1,279
Entergy Corp. 40,100 1,160
FirstEnergy Corp. 21,100 611
GPU, Inc. 32,300 1,298
GTE Corp. 31,400 1,700
Long Island Lighting Co. 16,900 524
New York State Electric & Gas Corp. 31,300 1,176
PP&L Resources, Inc. 59,100 1,322
Public Service Enterprise Group, Inc. 177,200 5,715
U.S. West Communications Group 100,300 5,221
----------
50,403
----------
TOTAL COMMON STOCKS
(cost $426,870) 521,805
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(000)
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 3.0%
AIM Short Term Investment
Prime Portfolio Class A (b) $ 8,185 8,185
Federated Investors Prime Cash Obligations Fund (b) 7,574 7,574
Valiant Money Market Fund Class A (b) 30 30
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $15,789) 15,789
----------
TOTAL INVESTMENTS
(identified cost $442,659)(c) - 100.9% 537,594
OTHER ASSETS AND LIABILITIES,
NET - (0.9%) (4,606)
----------
NET ASSETS - 100.0% $ 532,988
----------
----------
</TABLE>
(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.
Semiannual Report 5
<PAGE>
SSgA
MATRIX EQUITY FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $442,659)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . $ 537,594
Receivables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 831
Investments sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,067
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 697
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 548,189
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 14,411
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
Accrued fees to affiliates and trustees (Note 4). . . . . . . . . . . . . . . . . . 606
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,201
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 532,988
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 632
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,860
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 94,935
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404,531
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 532,988
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($532,987,751 divided by 30,163,638 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 17.67
--------------
--------------
</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, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,302
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,754
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,415
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . (776)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,639
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,663
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,028
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . 10,883
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62,911
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 65,574
--------------
--------------
</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
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,663 $ 4,705
Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,028 61,309
Net change in unrealized appreciation or depreciation . . . . . . . . . . . . . . . 10,883 61,311
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . 65,574 127,325
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,188) (4,696)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (74,385) (22,485)
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (77,573) (27,181)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions. . . . . . . . . 115,590 67,365
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . 103,591 167,509
NET ASSETS
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 429,397 261,888
----------------- -----------------
End of period (including undistributed net investment income of
$632 and $1,157, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . $ 532,988 $ 429,397
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 8,091 $ 143,978 31,200 $ 545,016
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 4,427 73,824 1,760 25,673
Payments for shares redeemed . . . . . . . . (5,680) (102,212) (28,170) (503,324)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 6,838 $ 115,590 4,790 $ 67,365
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</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.
YEAR ENDED AUGUST 31,
--------------------------------------------------------------
1998* 1997 1996 1995 1994 1993
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 18.41 $ 14.13 $ 13.93 $ 12.06 $ 11.95 $ 9.78
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . .10 .21 .24 .28 .24 .18
Net realized and unrealized gain (loss)
on investments. . . . . . . . . . . . . . . 2.29 5.43 1.64 1.93 .28 2.17
---------- ---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . 2.39 5.64 1.88 2.21 .52 2.35
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . (.12) (.22) (.24) (.28) (.23) (.18)
Net realized gain on investments. . . . . . . (3.01) (1.14) (1.44) (.06) (.09) -
In excess of net realized gain on investments - - - - (.09) -
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . (3.13) (1.36) (1.68) (.34) (.41) (.18)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 17.67 $ 18.41 $ 14.13 $ 13.93 $ 12.06 $ 11.95
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 14.65 42.75 14.67 18.81 4.41 24.24
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted). . . 532,988 429,397 261,888 198,341 130,764 62,549
Ratios to average net assets (%)(b):
Operating expenses, net(c). . . . . . . . . .70 .58 .66 .68 .58 .60
Operating expenses, gross(c). . . . . . . . 1.03 .96 1.04 1.06 .96 1.25
Net investment income . . . . . . . . . . . 1.14 1.33 1.76 2.25 2.16 2.13
Portfolio turnover rate (%)(b). . . . . . . . 162.10 117.27 150.68 129.98 127.20 57.65
Average commission rate paid per share
of security ($ omitted) . . . . . . . . . . .0451 .0376 .0404 N/A N/A N/A
</TABLE>
* For the six months ended February 28, 1998(Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 1998 are annualized.
(c) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 17 investment portfolios which are in operation as of February
28, 1998. 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 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.
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.
10 Semiannual Report
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to 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, 1998 are as follows:
<TABLE>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 442,663,955 $ 96,771,530 $ (1,841,944) $ 94,929,586
</TABLE>
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 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.
The following reclassifications have been made at February 28, 1998:
<TABLE>
ACCUMULATED ADDITIONAL
NET REALIZED PAID-IN
GAIN (LOSS) CAPITAL
-------------- --------------
<S> <C>
$ (8,319) $ 8,319
</TABLE>
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 11
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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
102% 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 102%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $405,924,270 and $375,482,850, 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 four months ended December 31,
1997, the Adviser voluntarily agreed to waive .375% of its advisory fee to
the Fund. Beginning January 1, 1998, the Advisor voluntarily agreed to waive
.25% 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. These amounts are presented in 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 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 5% 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
12 Semiannual Report
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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") the
Adviser's Metropolitan Division of Commercial Banking ("Commercial Banking")
and State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund pays
.025%, .175%, .175%, .175%, and .175% to the Adviser, SSBSI, RIS, Commercial
Banking, and Solutions, 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, 1998, the Fund incurred expenses of $53,548, $1,251,
$50,761, and $104,556, from the Adviser, SSBSI RIS, and Solutions,
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 August 31, 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 $136,676 for the six months ended
February 28, 1998.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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.
Semiannual Report 13
<PAGE>
SSgA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1998 WERE
AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 401,866
Administration fees 17,466
Custodian fees 50,306
Distribution fees 19,399
Shareholder servicing fees 71,409
Transfer agent fees 43,059
Trustees' fees 2,743
----------
$ 606,248
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, two shareholders (who were
also affiliates of the Investment Company) were record owners of
approximately 24% and 13%, respectively, of the total outstanding shares
of the Fund.
5. DIVIDENDS
On March 2, 1998, the Board of Trustees declared a dividend of $.0209 from
net investment income, payable on March 10, 1998 to shareholders of record
on March 3, 1998.
14 Semiannual Report
<PAGE>
SSgA MATRIX EQUITY FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 15
<PAGE>
SSgA-SM- FUNDS
PRIME MONEY MARKET FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 11
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 15
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR
USE BY 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
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS AND NOTES - 28.0%
AVCO Financial Services Inc. (MTN)(a). . . . . . . . . . . . . . . . $ 25,000 5.565% 11/17/98 $ 25,000
Bank of New York . . . . . . . . . . . . . . . . . . . . . . . . . . 10,000 6.000 03/24/98 9,999
Branch Banking & Trust . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.510 03/23/98 25,000
Caterpillar Financial Services (MTN)(a). . . . . . . . . . . . . . . 25,000 5.706 04/13/98 25,000
Caterpillar Financial Services . . . . . . . . . . . . . . . . . . . 8,000 5.180 10/01/98 7,966
Chemical Bank Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . 5,000 5.875 08/10/98 5,006
Comerica Bank, Michigan (a). . . . . . . . . . . . . . . . . . . . . 20,000 5.797 09/11/98 19,993
Disney Walt Co. New (MTN)(a) . . . . . . . . . . . . . . . . . . . . 15,000 5.615 02/10/99 14,997
First Chicago Corp.. . . . . . . . . . . . . . . . . . . . . . . . . 19,350 8.500 06/01/98 19,472
General Motors Acceptance Corp. (MTN)(a) . . . . . . . . . . . . . . 5,000 5.786 09/21/98 4,997
Goldman Sachs Group L.P. (a) . . . . . . . . . . . . . . . . . . . . 19,000 5.668 02/01/99 19,008
Goldman Sachs Group L.P. (MTN)(a). . . . . . . . . . . . . . . . . . 15,000 5.625 03/26/99 15,000
IBM Credit Corp. (MTN)(a). . . . . . . . . . . . . . . . . . . . . . 38,000 5.812 06/05/98 37,994
IBM Credit Corp. (MTN)(a). . . . . . . . . . . . . . . . . . . . . . 30,000 5.756 10/23/98 29,985
Key Bank NA (MTN). . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.640 02/24/99 24,978
Keycorp (MTN)(a) . . . . . . . . . . . . . . . . . . . . . . . . . . 5,000 6.030 03/23/98 5,000
Merrill Lynch & Co., Inc. (MTN)(a) . . . . . . . . . . . . . . . . . 17,000 6.126 05/19/98 17,009
Merrill Lynch & Co., Inc. (MTN)(a) . . . . . . . . . . . . . . . . . 10,000 5.825 02/08/99 10,024
Morgan Guaranty Trust Co.. . . . . . . . . . . . . . . . . . . . . . 25,000 5.550 02/04/99 24,985
Morgan Stanley Dean Witter (a) . . . . . . . . . . . . . . . . . . . 25,000 5.585 10/26/98 25,000
Nationsbank Corp. (a). . . . . . . . . . . . . . . . . . . . . . . . 5,000 5.762 01/05/99 5,000
Nationsbank Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . . 20,000 5.887 12/14/98 20,000
Nationsbank Corp. (MTN)(a) . . . . . . . . . . . . . . . . . . . . . 25,000 5.828 12/01/98 25,000
Old Kent Bank & Trust Co. (MTN)(a) . . . . . . . . . . . . . . . . . 25,000 5.680 04/29/98 24,998
Old Kent Bank & Trust Co. (MTN)(a) . . . . . . . . . . . . . . . . . 15,000 5.650 11/19/98 14,996
Wells Fargo & Co. (MTN)(a) . . . . . . . . . . . . . . . . . . . . . 30,000 5.771 10/05/98 29,989
----------
TOTAL CORPORATE BONDS & NOTES (cost $486,396). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 486,396
----------
DOMESTIC CERTIFICATES OF DEPOSIT - 4.4%
Branch Banking & Trust . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.687 07/01/98 14,997
Comerica Bank, Michigan (a). . . . . . . . . . . . . . . . . . . . . 22,000 5.495 07/22/98 21,995
First USA Bank (a) . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.875 07/22/98 15,016
PNC Bank NA (a). . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.640 07/01/98 24,991
----------
TOTAL DOMESTIC CERTIFICATES OF DEPOSIT (cost $76,999). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,999
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
------------------------------------------------------
<S> <C> <C> <C> <C>
DOMESTIC COMMERCIAL PAPER - 25.2%
Asset Securitization Cooperative Corp. . . . . . . . . . . . . . . $ 10,000 5.740% 03/17/98 $ 9,974
Delaware Funding Corp. . . . . . . . . . . . . . . . . . . . . . . 25,000 5.520 03/16/98 24,943
Delaware Funding Corp. . . . . . . . . . . . . . . . . . . . . . . 23,809 5.530 03/20/98 23,740
Dupont EI De Nemours & Co. . . . . . . . . . . . . . . . . . . . . 20,000 5.490 03/19/98 19,945
Falcon Asset Securitization. . . . . . . . . . . . . . . . . . . . 19,775 5.500 03/20/98 19,718
Falcon Asset Securitization. . . . . . . . . . . . . . . . . . . . 30,000 5.560 04/09/98 29,819
Ford Motor Credit Co.. . . . . . . . . . . . . . . . . . . . . . . 30,000 5.530 04/10/98 29,816
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . 10,000 5.700 03/11/98 9,984
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . 15,000 5.470 03/20/98 14,957
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . 20,000 5.420 03/23/98 19,934
General Electric Capital Corp. . . . . . . . . . . . . . . . . . . 15,000 5.470 04/13/98 14,902
Goldman Sachs Group L.P. . . . . . . . . . . . . . . . . . . . . . 15,000 5.470 04/27/98 14,870
Goldman Sachs Group L.P. . . . . . . . . . . . . . . . . . . . . . 20,000 5.550 05/13/98 19,775
Grand Metro Capital Corp.. . . . . . . . . . . . . . . . . . . . . 22,500 5.555 04/30/98 22,292
Merrill Lynch & Co. Inc. . . . . . . . . . . . . . . . . . . . . . 8,000 5.700 04/30/98 7,924
Merrill Lynch & Co. Inc. . . . . . . . . . . . . . . . . . . . . . 15,000 5.530 06/30/98 14,721
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . 11,036 5.480 03/02/98 11,034
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . 9,538 5.480 03/06/98 9,531
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . 15,000 5.500 05/20/98 14,817
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . 20,000 5.510 03/18/98 19,948
Monte Rosa Capital Corp. . . . . . . . . . . . . . . . . . . . . . 15,000 5.460 05/13/98 14,833
Prudential Funding Corp. . . . . . . . . . . . . . . . . . . . . . 70,000 5.700 03/02/98 69,988
----------
TOTAL DOMESTIC COMMERCIAL PAPER (cost $437,465). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 437,465
----------
DOMESTIC TIME DEPOSITS - 12.1%
Chase Manhattan Bank . . . . . . . . . . . . . . . . . . . . . . . 75,000 5.625 03/02/98 75,000
Marshal Isley (Grand Cayman) . . . . . . . . . . . . . . . . . . . 75,000 5.562 03/02/98 75,000
National City Bank (Grand Cayman). . . . . . . . . . . . . . . . . 60,396 5.562 03/02/98 60,396
----------
TOTAL DOMESTIC TIME DEPOSITS (cost $210,396) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210,396
----------
EURODOLLAR CERTIFICATES OF DEPOSIT - 3.8%
Bank of Scotland . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.730 04/17/98 19,999
Bayerische Vereinsbank . . . . . . . . . . . . . . . . . . . . . . 25,000 5.600 04/08/98 25,002
Toronto Dominion Bank. . . . . . . . . . . . . . . . . . . . . . . 20,000 5.510 03/20/98 20,000
----------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (cost $65,001). . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,001
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
------------------------------------------------------
<S> <C> <C> <C> <C>
EURODOLLAR COMMERCIAL PAPER - 3.4%
Cregem North American Inc. . . . . . . . . . . . . . . . . . . . . $ 10,000 5.560% 04/09/98 $ 9,940
Daimler Benz North America . . . . . . . . . . . . . . . . . . . . 25,000 5.625 04/21/98 24,801
Unifunding Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 5.470 05/05/98 24,753
----------
TOTAL EURODOLLAR COMMERCIAL PAPER (cost $59,494) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59,494
----------
UNITED STATES GOVERNMENT AGENCIES - 1.4%
Federal Home Loan Mortgage Corp. (a) . . . . . . . . . . . . . . . 25,000 5.425 01/26/99 24,984
----------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $24,984) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,984
----------
YANKEE CERTIFICATES OF DEPOSIT - 18.0%
Abbey National Treasury Services PLC (a) . . . . . . . . . . . . . 15,000 5.505 06/16/98 14,997
Abbey National Treasury Services PLC (MTN) . . . . . . . . . . . . 8,000 5.540 01/20/99 7,999
Bank of Nova Scotia. . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.660 04/06/98 20,000
Barclays Bank PLC. . . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.560 02/25/99 19,989
Barclays Bank PLC. . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.645 03/02/99 14,991
Barclays Bank PLC (a). . . . . . . . . . . . . . . . . . . . . . . 10,000 5.670 12/16/98 9,996
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . 15,000 5.550 04/09/98 15,000
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . 30,000 5.530 05/20/98 30,000
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . 5,000 5.940 10/23/98 4,998
Canadian Imperial Bank . . . . . . . . . . . . . . . . . . . . . . 10,000 5.550 02/10/99 9,995
Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 5.940 10/23/98 14,994
Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . 5,000 5.670 01/08/99 4,999
Deutsche Bank AG (a) . . . . . . . . . . . . . . . . . . . . . . . 30,000 5.642 07/01/98 29,990
Dresdner Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.510 01/15/99 19,993
Landesbank Hessen Thuringen. . . . . . . . . . . . . . . . . . . . 15,000 5.960 03/20/98 15,000
National Westminster Bank PLC. . . . . . . . . . . . . . . . . . . 15,000 5.860 03/10/98 15,000
Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . 10,000 5.825 08/25/98 9,997
Svenska Handelsbanken. . . . . . . . . . . . . . . . . . . . . . . 25,000 5.770 08/05/98 24,996
Swiss Bank Corp. of New York . . . . . . . . . . . . . . . . . . . 10,000 5.980 03/19/98 10,000
Swiss Bank Corp. of New York . . . . . . . . . . . . . . . . . . . 20,000 5.670 04/02/98 20,001
----------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $312,935) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312,935
----------
TOTAL INVESTMENTS (amortized cost $1,673,670) - 96.3%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,673,670
----------
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
VALUE
(000)
----------
<S> <C>
REPURCHASE AGREEMENT - 4.3%
Agreement with Salomon Brothers of $75,000
acquired February 27, 1998 at 5.650% to be repurchased at $75,035
on March 2, 1998, collateralized by:
$50,000 United States Treasury Notes
6.750% due 10/31/01 valued at $50,918
$24,072 United States Treasury Notes
5.875% due 11/30/01 valued at $24,082 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 75,000
----------
TOTAL REPURCHASE AGREEMENT (identified cost $75,000). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,000
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENT
(cost $1,748,670)(b) - 100.6% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,748,670
OTHER ASSETS AND LIABILITIES - (0.6%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11,420)
----------
NET ASSETS - 100.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,737,250
----------
----------
</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.
6 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . $ 1,673,670
Repurchase agreement (identified cost $75,000)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . 75,000
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,471
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,760,147
LIABILITIES
Payables:
Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 332
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,089
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,991
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 383
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,897
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,737,250
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (9)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,737
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,735,522
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,737,250
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($1,737,249,755 divided by 1,737,270,376 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 7
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 42,054
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,105
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 3
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,141
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . (668)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,473
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,581
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . $ 40,617
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 40,581 $ 69,115
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 38
----------------- -----------------
Net increase in net assets resulting from operations. . . . . . . . . . . . . . 40,617 69,153
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (40,581) (69,115)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 330,951 310,594
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 330,987 310,632
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,406,263 1,095,631
----------------- -----------------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,737,250 $ 1,406,263
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Proceeds from shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,741,115 14,602,335
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,648 28,659
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11,443,812) (14,320,400)
----------------- -----------------
Total net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . 330,951 310,594
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<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.
YEAR ENDED AUGUST 31,
-------------------------------------------------
1998* 1997 1996 1995 1994**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .0273 .0528 .0546 .0567 .0207
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.0273) (.0528) (.0546) (.0567) (.0207)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . 2.77 5.52 5.60 5.82 2.09
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . 1,737,250 1,406,263 1,095,631 1,076,630 432,224
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . . . . . . . .20 .20 .20 .14 .16
Operating expenses, gross (c) . . . . . . . . . . . . . .29 .28 .25 .27 .32
Net investment income . . . . . . . . . . . . . . . . . 5.51 5.40 5.44 5.76 4.00
</TABLE>
* For the six months ended February 28, 1998 (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, 1998 and August 31, 1994 are
annualized.
(c) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required. At
August 31, 1997, the Fund had a net tax basis capital loss carryover of
$89,293, which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2005.
Semiannual Report 11
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 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
102% 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 102%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases, sales, and maturities of investment securities, excluding US
Government and Agency obligations and repurchase agreements, for the Fund
aggregated to $29,333,237,299, $119,472,790, and $28,843,352,000,
respectively.
For the six months ended February 28, 1998, purchases, sales and maturities
of US Government and Agency obligations, excluding repurchase agreements
aggregated to $39,972,085, $15,005,205, and $125,000,000, 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, 1998, the receivables due
from the Adviser for expenses in
12 Semiannual Report
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
excess of the expense caps have 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. These amounts are presented in 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 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 5% 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, 1998,
the Fund incurred shareholder servicing expenses of $197,140, 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
Semiannual Report 13
<PAGE>
SSgA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 98,042
Administration fees 60,097
Custodian fees 71,293
Distribution fees 84,991
Shareholder servicing fees 45,557
Transfer agent fees 13,792
Trustees' fees 9,366
----------
$ 383,138
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder was a record
owner of approximately 42% of the total outstanding shares of the Fund.
14 Semiannual Report
<PAGE>
SSgA PRIME MONEY MARKET FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 15
<PAGE>
SSgA-SM- FUNDS
SMALL CAP FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 11
Fund Management and Service Providers . . . . . . . . . . . . . . . . . . 16
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
COMMON STOCKS - 98.3%
BASIC INDUSTRIES - 5.9%
ARMCO, Inc. (a) 179,400 $ 953
Cleveland-Cliffs, Inc. 9,400 483
Devon Energy Corp. 44,900 1,529
Georgia Gulf Corp. 109,800 3,617
Goodrich (B.F.) Co. 45,220 2,241
National Steel Corp. Class B 86,700 1,344
Precision Castparts Corp. 19,400 1,076
Texas Industries, Inc. 101,900 5,757
Waters Corp. (a) 101,400 5,013
----------
22,013
----------
CAPITAL GOODS - 6.6%
Aeroquip-Vickers, Inc. 14,900 865
Applied Power, Inc., Class A 67,600 2,434
Encore Wire Corp. (a) 38,300 1,173
Essex International, Inc. (a) 15,400 599
General Cable Corp. 117,100 4,852
Kaydon Corp. 6,500 242
Kennametal, Inc. 20,000 1,052
Kuhlman Corp. 26,500 1,169
Manitowoc Co., Inc. 36,975 1,458
OmniQuip International, Inc. 32,600 807
Sanmina Corp. (a) 42,700 3,403
Superior TeleCom, Inc. 91,000 3,555
Terex Corp. (a) 133,200 3,180
----------
24,789
----------
CONSUMER BASICS - 15.5%
Agouron Pharmaceuticals, Inc. (a) 58,400 2,154
Alpharma, Inc. Class A 70,500 1,630
American HomePatient, Inc. (a) 23,300 536
AmeriSource Health Corp. Class A (a) 35,200 2,059
Andrx Corp. (a) 5,700 176
Bindley Western Industries, Inc. 27,600 914
BJ's Wholesale Club, Inc. (a) 53,400 1,809
Consolidated Cigar Holdings, Inc. Class A (a) 62,200 1,442
Dean Foods Co. 32,500 1,788
Fleming Cos., Inc. 85,800 1,528
FPA Medical Management, Inc. (a) 179,500 4,151
Integrated Health Services, Inc. 47,500 1,612
Medicis Pharmaceutical Corp. Class A (a) 90,500 3,880
Michael Foods, Inc. 86,200 2,188
Nationwide Health Properties, Inc. 32,200 851
NBTY, Inc. (a) 31,700 1,476
Patterson Dental Co. (a) 28,650 867
Pediatrix Medical Group (a) 62,900 2,595
Pilgrim's Pride Corp. 54,100 582
Rexall Sundown, Inc. (a) 145,200 5,363
Safeskin Corp. (a) 27,100 1,663
Sierra Health Services, Inc. (a) 50,600 1,853
Smithfield Foods, Inc. (a) 18,600 588
Sofamor/Danek Group, Inc. (a) 13,900 1,046
Sun Healthcare Group, Inc. (a) 165,700 3,262
Total Renal Care Holdings, Inc. (a) 138,100 4,445
Trigon Healthcare, Inc. (a) 114,500 3,550
Twinlab Corp. New (a) 53,300 1,719
Universal Health Services, Inc. Class B (a) 34,800 1,818
Wesley Jessen VisionCare, Inc. New (a) 15,400 516
----------
58,061
----------
CONSUMER DURABLES - 4.7%
Arvin Industries, Inc. 59,900 2,374
Best Buy Co. (a) 131,900 7,865
Ethan Allen Interiors, Inc. 86,400 4,817
Linens 'N Things, Inc. (a) 38,400 1,934
Pillowtex Corp. 14,100 553
----------
17,543
----------
CONSUMER NON-DURABLES - 9.8%
Abercrombie & Fitch Co. Class A (a) 6,600 228
Action Performance Companies, Inc. (a) 104,500 3,827
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Brylane, Inc. (a) 24,800 $ 1,330
Burlington Industries, Inc. (a) 98,200 1,626
Canandaigua Wine International, Inc. Class A (a) 69,800 3,891
Cato Corp. Class A 55,400 734
Coors (Adolph) Co. Class B 13,700 428
Department 56, Inc. (a) 34,300 1,130
Dress Barn, Inc. (a) 30,000 876
Family Dollar Stores, Inc. 60,150 2,143
Fingerhut Cos., Inc. 32,500 806
Footstar, Inc. (a) 114,600 3,438
Genesco, Inc. (a) 136,700 1,880
Goody's Family Clothing, Inc. (a) 39,700 1,479
Nautica Enterprises, Inc. (a) 55,600 1,598
Pacific Sunwear of California (a) 4,350 151
Pier 1 Imports, Inc. 204,400 5,468
Ross Stores, Inc. 38,600 1,520
Stein Mart, Inc. (a) 25,300 817
Tanger Factory Outlet Center 10,000 302
Zale Corp. (a) 106,600 2,965
----------
36,637
----------
CONSUMER SERVICES - 5.3%
AAR Corp. 34,350 1,043
Alaska Air Group, Inc. (a) 39,600 2,180
American General Hospitality Corp. 66,600 1,798
Brinker International, Inc. (a) 235,000 4,906
Equity Inns, Inc. 69,200 1,099
FelCor Suite Hotels, Inc. 19,500 700
Marcus Corp. 22,650 386
Midwest Express Holdings, Inc. (a) 59,700 2,903
Rio Hotel & Casino, Inc. (a) 87,300 2,483
Showbiz Pizza Time, Inc. (a) 18,500 534
Sonic Corp. (a) 59,000 1,718
----------
19,750
----------
ENERGY - 2.8%
Cliffs Drilling Co. (a) 113,600 4,402
Comstock Resources, Inc. (a) 79,800 753
Key Energy Group, Inc. (a) 114,600 2,027
Pool Energy Services Co. (a) 105,000 2,480
Smith International, Inc. (a) 16,200 863
----------
10,525
----------
FINANCE - 12.2%
AmeriCredit Corp. (a) 74,700 2,040
Commercial Federal Corp. 56,550 2,000
Cullen Frost Bankers, Inc. 36,300 2,067
Enhance Financial Services Group, Inc. 21,300 1,322
Fidelity National Financial 94,930 2,777
Financial Security Assurance Holdings, Ltd. 22,200 1,167
First American Financial Corp. 29,850 1,780
FirstFed Financial Corp. (a) 14,400 581
FIRSTPLUS Financial Group, Inc. (a) 147,600 4,871
Hartford Life, Inc. Class A 67,500 2,907
Imperial Bancorp (a) 38,900 1,284
Imperial Credit Mortgage Holdings (a) 76,800 1,258
Magna Group, Inc. 21,200 1,233
Money Store, Inc. (The) 27,000 673
Nationwide Financial Services, Inc. Class A 124,200 5,465
North Fork Bancorporation, Inc. 51,600 1,764
Ocwen Financial Corp. (a) 80,600 2,418
ONBANCorp, Inc. 25,100 1,823
Orion Capital Corp. 34,000 1,660
Presidential Life Corp. 26,700 579
Silicon Valley Bancshares (a) 6,200 352
Sirrom Capital Corp. 63,400 1,720
TR Financial Corp. 21,300 700
Vesta Insurance Group, Inc. 14,700 842
Webster Financial Corp. 37,900 2,411
----------
45,694
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
GENERAL BUSINESS - 4.0%
Advo Systems, Inc. (a) 74,900 $ 1,830
Alternative Resources Corp. (a) 61,800 1,445
Applied Graphics Technologies, Inc. (a) 17,500 1,033
Computer Task Group, Inc. 26,300 1,073
Interim Services, Inc. (a) 56,400 1,636
Media General, Inc. Class A 34,300 1,612
Personnel Group of America, Inc. (a) 34,500 1,402
Philadelphia Suburban Corp. 7,733 170
Pulitzer Publishing Co. 10,800 907
SABRE Group Holdings, Inc. (The) Class A (a) 20,700 683
SPS Transaction Services, Inc. (a) 16,700 487
StaffMark, Inc. (a) 37,100 1,243
United Stationers, Inc. (a) 24,000 1,416
----------
14,937
----------
MISCELLANEOUS - 7.9%
Apartment Investment & Management Co. Class A 53,600 1,953
Burnham Pacific Properties, Inc. 24,600 366
Camden Property Trust 49,300 1,427
CBL & Associates Properties, Inc. 35,700 888
Colonial Properties Trust 25,000 759
First Industrial Realty Trust, Inc. 42,200 1,525
GenCorp, Inc. 25,000 681
General Growth Properties, Inc. 43,000 1,570
Geon Co. 60,300 1,206
Glenborough Realty Trust, Inc. REIT 21,800 621
Ha-Lo Industries, Inc. (a) 72,700 2,149
Health Care, Inc. 53,100 1,430
Home Properties of New York, Inc. 38,300 1,020
Hospitality Properties Trust 5,000 175
Irvine Apartment Communities, Inc. 35,900 1,095
JDN Realty Corp. 40,000 1,325
Liberty Property Trust 40,400 1,073
Merry Land and Investment, Inc. 84,800 1,966
Mid-America Apartment Communties, Inc. 14,700 416
Mills Corp. 42,400 1,132
Price, Inc. (The) Class B 28,500 1,270
Prime Retail, Inc. 50,000 728
Rental Service Corp. (a) 46,800 1,100
TriNet Corporate Realty Trust, Inc. 29,700 1,151
Urban Shopping Centers, Inc. 11,000 367
Webb (Del E.) Corp. 74,500 2,384
----------
29,777
----------
SHELTER - 2.3%
Centex Construction Products, Inc. 800 25
Highwoods Properties, Inc. 56,300 1,960
Manufactured Home Communities, Inc. 20,900 538
Ryland Group, Inc. 3,300 92
Southdown, Inc. 80,700 5,165
Standard Pacific Corp. 25,000 433
U.S. Home Corp. (a) 12,900 565
----------
8,778
----------
TECHNOLOGY - 15.5%
ADAC Laboratories (a) 41,700 1,110
Aspen Technology, Inc. (a) 18,500 735
AXENT Technologies, Inc. (a) 64,000 1,336
Borland International, Inc. (a) 148,300 1,372
Brightpoint, Inc. (a) 240,700 4,919
Broderbund Software, Inc. (a) 203,900 5,046
CHS Electronics, Inc. (a) 148,700 3,058
Computer Learning Centers, Inc. (a) 101,800 3,747
Davox Corp. (a) 89,600 2,834
Electro Scientific Industries, Inc. (a) 9,200 350
Etec Systems, Inc. (a) 39,700 2,082
Hyperion Software Corp. (a) 20,000 822
In Focus Systems, Inc. (a) 93,200 3,722
Input/Output, Inc. (a) 196,200 4,231
Integrated Circuit Systems, Inc. (a) 95,800 3,329
Intersolv, Inc. (a) 128,700 2,003
Mastech Corp. (a) 1,100 57
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Midway Games, Inc. (a) 44,300 $ 975
MTS Systems Corp. 10,400 168
NeoMagic Corp. (a) 237,700 4,368
Sawtek, Inc. (a) 21,500 551
Symantec Corp. (a) 74,800 1,879
Systems & Computer Technology Corp. (a) 110,300 4,770
Tech Data Corp. (a) 24,700 1,148
Thiokol Corp. 17,200 1,645
World Access, Inc. (a) 78,600 1,759
----------
58,016
----------
TRANSPORTATION - 2.5%
Airborne Freight Corp. 52,400 1,896
America West Holding Corp.
Class B (a) 93,000 2,308
Consolidated Freightways Corp. (a) 24,200 362
Hvide Marine, Inc. Class A (a) 60,900 1,142
Trico Marine Services, Inc. (a) 52,100 970
USFreightways Corp. 82,700 2,889
----------
9,567
----------
UTILITIES - 3.3%
Aliant Communications, Inc. 46,300 1,215
Atlantic Energy, Inc. 104,800 2,135
MDU Resources Group, Inc. 45,100 1,395
New Jersey Resources Corp. 16,500 602
Orange & Rockland Utilities, Inc. 600 27
Pacific Gateway Exchange, Inc. (a) 34,600 1,499
Piedmont Natural Gas Co., Inc. 28,900 896
Public Service Co. of New Mexico 26,500 618
United Illuminating Co. 43,700 2,013
Washington Gas & Light Co. 75,500 2,034
----------
12,434
----------
TOTAL COMMON STOCKS
(cost $320,972) 368,521
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(000)
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 2.2%
AIM Short Term Investment
Prime Portfolio Class A (b) $ 5,660 5,660
Federated Investors Prime
Cash Obligations Fund (b) 2,652 2,652
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $8,312) 8,312
----------
TOTAL INVESTMENTS
(identified cost $329,284)(c) - 100.5% 376,833
OTHER ASSETS AND LIABILITIES,
NET - (0.5%) (1,978)
----------
NET ASSETS - 100.0% $ 374,855
----------
----------
</TABLE>
(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, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $329,284)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . $ 376,833
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,169
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,871
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385,012
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9,462
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 494
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,157
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 374,855
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . . . . . . . . . . . . . . . . . . . . . . $ (59)
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 475
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . 47,549
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326,873
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 374,855
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($374,854,839 divided by 16,510,761 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 22.70
--------------
--------------
</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, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,471
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
--------------
Total Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,494
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 931
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,242
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,679
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (129) 7,550
--------------
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . 19,740
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,290
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 27,542
--------------
--------------
</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
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 252 $ 166
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,550 8,545
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . 19,740 22,222
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 27,542 30,933
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (389) (44)
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . (59) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (15,524) (4,408)
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (15,972) (4,452)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 213,477 68,119
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 225,047 94,600
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149,808 55,208
----------------- -----------------
End of period (including accumulated distributions in excess of
net investment income of $59 and undistributed
net investment income of $137, respectively) . . . . . . . . . . . . . . . . . $ 374,855 $ 149,808
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 12,487 $ 274,034 5,423 $ 103,546
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 685 14,761 237 4,094
Payments for shares redeemed . . . . . . . . (3,438) (75,318) (2,048) (39,521)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 9,734 $ 213,477 3,612 $ 68,119
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</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.
YEAR ENDED AUGUST 31,
--------------------------------------------------------------
1998* 1997 1996 1995** 1994 1993
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 22.11 $ 17.44 $ 14.42 $ 11.88 $ 12.24 $ 10.09
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . .02 .03 .04 .13 .21 .22
Net realized and unrealized gain on
investments . . . . . . . . . . . . . . . . 2.20 5.87 3.25 3.19 .24 2.14
---------- ---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . 2.22 5.90 3.29 3.32 .45 2.36
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . (.03) (.01) (.07) (.15) (.21) (.21)
In excess of net investment income . . . . . . (.01) - - - - -
Net realized gain on investments . . . . . . . (1.59) (1.22) (.20) (.58) (.60) -
In excess of net realized gain on investments. - - - (.05) - -
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions. . . . . . . . . . . . . (1.63) (1.23) (.27) (.78) (.81) (.21)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 22.70 $ 22.11 $ 17.44 $ 14.42 $ 11.88 $ 12.24
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 10.48 35.85 23.14 30.04 3.90 23.66
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . 374,855 149,808 55,208 23,301 25,716 34,815
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . 1.00 1.00 1.00 .97 .30 .25
Operating expenses, gross (c) . . . . . . . 1.00 1.09 1.18 1.58 .81 1.18
Net investment income . . . . . . . . . . . .20 .18 .26 .81 1.73 1.85
Portfolio turnover rate (%)(b) . . . . . . . . 80.68 143.79 76.85 192.88 44.86 81.14
Average commission rate paid per share
of security ($ omitted) . . . . . . . . . . .0409 .0365 .0368 N/A N/A N/A
</TABLE>
* For the six months ended February 28, 1998 (Unaudited).
** Prior to November 22, 1994, the Fund was passively managed as the S&P Midcap
Index Fund. Effective November 23, 1994, the Fund increased the Advisory fee
from .20% to .75% of its average daily net assets.
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 1998 are annualized.
(c) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. These financial statements report on one portfolio,
the SSgA Small Cap 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 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
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to 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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 329,284,019 $ 55,540,925 $ (7,992,233) $ 47,548,692
</TABLE>
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.
EXPENSES: Most expenses can be directly attributed to the 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
12 Semiannual Report
<PAGE>
SSgA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 102% 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 102%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases and sales of investment securities, excluding short-term
investments and futures contracts aggregated to $292,434,043 and
$99,994,751, respectively.
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
six months ended February 28, 1998, were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
-----------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
------------- -------------
<S> <C> <C>
Outstanding at August 31, 1997 - $ -
Contracts opened 18 3,959,640
Contracts closed (18) (3,959,640)
------------- -------------
Outstanding at February 28, 1998 - $ -
------------- -------------
------------- -------------
</TABLE>
(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. 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 four months ended December 31, 1997, the Adviser
voluntarily agreed to reimburse the Fund for all expenses in excess of
1.00% of average daily net assets on an annual basis. Beginning January 1,
1998, the Advisor has removed the expense cap. 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 in 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
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 combined 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 5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as several unaffiliated service providers. For these
services, the Fund pays .025%, .175%, .175%, .175% and .175% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $29,755, $1,912, $9,250, $85, and $32,694, from the Adviser,
SSBSI, RIS, Commercial Banking, and Solutions, respectively.
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
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
carryover expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of August 31, 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 $15,105 for the six months ended
February 28, 1998.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 407,677
Administration fees 15,831
Custodian fees 13,592
Distribution fees 22,725
Shareholder servicing fees 34,684
Transfer agent fees (2,646)
Trustees' fees 2,314
------------
$ 494,177
------------
------------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder (who was also
an affiliate of the Investment Company) was a record owner of approximately
14% of the total outstanding shares of the Fund.
Semiannual Report 15
<PAGE>
SSgA SMALL CAP FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
US TREASURY MONEY MARKET FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 10
Fund Management and Service Providers . . . . . . . . . . . . . . . . . . 14
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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 TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT TREASURIES - 12.2%
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . $ 35,000 8.250% 07/15/98 $ 35,302
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . 35,000 6.125 08/31/98 35,065
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . 40,000 6.000 09/30/98 40,080
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . 30,000 5.000 02/15/99 29,884
----------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $140,331). . . . . . . . . . . . . . . . . . . . . . . . . . . 140,331
----------
TOTAL INVESTMENTS (amortized cost $140,331) - 12.2%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140,331
----------
REPURCHASE AGREEMENTS - 88.0%
Agreement with Bankers Trust Corp. of $40,000
acquired February 27, 1998 at 5.600% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$39,409 United States Treasury Bonds
6.625% due 07/31/01 valued at $40,817. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Bear Stearns Co. of $225,000
acquired February 27, 1998 at 5.650% to be repurchased at $225,106
on March 2, 1998, collateralized by:
$100,000 United States Treasury Bonds
6.375% due 03/31/01 valued at $104,768
$100,000 United States Treasury Bonds
6.375% due 08/15/02 valued at $103,148
$21,425 United States Treasury Bonds
5.750% due 11/30/02 valued at $21,823. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225,000
Agreement with CIBC Wood Gundy, Inc. of $40,000
acquired February 27, 1998 at 5.620% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$32,512 United States Treasury Bonds
11.125% due 08/15/03 valued at $40,882 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Deustche Bank AG of $40,000
acquired February 27, 1998 at 5.600% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$39,044 United States Treasury Bonds
6.750% due 04/30/00 valued at $40,838. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Donaldson, Lufkin & Jenrette Securities Corp. of $33,548
acquired February 27, 1998 at 5.300% to be repurchased at $33,563
on March 2, 1998, collateralized by:
$33,548 United States Treasury Bonds
5.625% due 12/31/99 valued at $33,882. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,548
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
VALUE
(000)
----------
<S> <C>
Agreement with Dresdner Bank AG of $50,000
acquired February 27, 1998 at 5.250% to be repurchased at $50,022
on March 2, 1998, collateralized by:
$50,000 United States Treasury Bonds
5.625% due 11/30/99 valued at $50,727. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 50,000
Agreement with First Boston Co. of $40,000
acquired February 27, 1998 at 5.600% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$35,050 United States Treasury Bonds
8.750% due 11/15/08 valued at $40,876. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Goldman Sachs of $40,000
acquired February 27, 1998 at 5.620% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$35,715 United States Treasury Bonds
7.125% due 02/15/23 valued at $40,883. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Greenwich Co. of $40,000
acquired February 27, 1998 at 5.610% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$38,462 United States Treasury Bonds
6.625% due 03/31/02 valued at $40,883. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Lehman Brothers Co. of $40,000
acquired February 27, 1998 at 5.610% to be repurchased at $40,019
on March 2, 1998, collateralized by
$42,370 United States Teasury Bills
5.401% due 11/12/98 valued at $40,800. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Merrill Lynch & Co., Inc. of $40,000
acquired February 27, 1998 at 5.500% to be repurchased at $40,018
on March 2, 1998, collateralized by:
$14,940 United States Treasury Bonds
6.000% due 08/15/99 valued at $15,054
$25,000 United States Treasury Bonds
6.375% due 08/15/02 valued at $25,787. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Prudential, Inc. of $40,000
acquired February 27, 1998 at 5.610% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$36,825 United States Treasury Bonds
6.875% due 08/15/25 valued at $42,728. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
VALUE
(000)
----------
<S> <C>
Agreement with Salomon Bros. Inc. of $225,000
acquired February 27, 1998 at 5.650% to be repurchased at $225,106
on March 2, 1998, collateralized by:
$237,275 United States Treasury Bills
5.337% due 10/15/98 valued at $229,515 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 225,000
Agreement with Swiss Bank Corp. of $40,000
acquired February 27, 1998 at 5.630% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$38,765 United States Treasury Bonds
7.750% due 11/30/99 valued at $40,905. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with UBS Securities, Inc. of $40,000
acquired February 27, 1998 at 5.630% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$39,090 United States Treasury Bonds
7.750% due 01/31/00 valued at $40,843. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
Agreement with Westdeutsche Landesbank of $40,000
acquired February 27, 1998 at 5.640% to be repurchased at $40,019
on March 2, 1998, collateralized by:
$26,010 United States Treasury Bonds
11.250% due 02/15/15 valued at $40,770 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,000
----------
TOTAL REPURCHASE AGREEMENTS (identified cost $1,013,548) . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,013,548
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $1,153,879)(a) - 100.2%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,153,879
OTHER ASSETS AND LIABILITIES, NET - (0.2%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,227)
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,151,652
----------
----------
</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.
Semiannual Report 5
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . $ 140,331
Repurchase agreements (identified cost $1,013,548)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . 1,013,548
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,813
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,156,700
LIABILITIES
Payables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,770
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 215
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,048
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,151,652
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (30)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,152
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,150,530
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,151,652
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($1,151,651,901 divided by 1,151,692,738 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
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 28,125
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,252
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 5
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,009
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,007)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,002
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,123
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27,136
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27,123 $ 18,879
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 57
----------------- -----------------
Net increase in net assets resulting from operations. . . . . . . . . . . . . . 27,136 18,936
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (27,123) (18,879)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 234,794 727,784
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 234,807 727,841
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 916,845 189,004
----------------- -----------------
End of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,151,652 $ 916,845
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Proceeds from shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,991,958 4,609,904
Proceeds from reinvestment of distributions. . . . . . . . . . . . . . . . . . . . . 6,832 6,915
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,763,996) (3,889,035)
----------------- -----------------
Total net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . 234,794 727,784
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<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.
YEAR ENDED AUGUST 31,
-------------------------------------------------
1998* 1997 1996 1995 1994**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . .0300 .0515 .0529 .0536 .0249
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . (.0300) (.0515) (.0529) (.0536) (.0249)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 2.72 5.36 5.42 5.48 2.51
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period($000 omitted). . . . 1,151,652 916,845 189,004 160,893 154,858
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . .20 .20 .20 .13 .13
Operating expenses, gross (c) . . . . . . . .40 .46 .38 .39 .38
Net investment income . . . . . . . . . . . 5.42 5.28 5.29 5.38 3.28
</TABLE>
* For the six months ended February 28, 1998 (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, 1998 and August 31, 1994 are
annualized.
(c) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required. At
August 31, 1997, the Fund had a net tax basis capital loss carryover of
$42,115, which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2003.
10 Semiannual Report
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 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
102% 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 102%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases, sales, and maturities of US Government and Agency obligations,
excluding repurchase agreements aggregated to $269,555,141, $35,212,109,
and $225,000,000, 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, 1998, 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. These amounts are presented in the
accompanying Statement of Operations.
Semiannual Report 11
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 5% 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, 1998,
the Fund incurred shareholder servicing expenses of $134,093 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
12 Semiannual Report
<PAGE>
SSgA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
carryover expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Administration fees $ 39,768
Advisory fees 38,295
Custodian fees 52,365
Distribution fees 57,130
Shareholder servicing fees 31,032
Transfer agent fees (10,678)
Trustees' fees 6,614
-----------
$ 214,526
-----------
-----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder, who is also
an affiliate of the Investment Company, was a record owner of approximately
48% of the total outstanding shares of the Fund.
Semiannual Report 13
<PAGE>
SSgA US TREASURY MONEY MARKET FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
14 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
YIELD PLUS FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 10
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 15
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 102.8%
ASSET-BACKED SECURITIES - 38.0%
Advanta Credit Card Master Trust
Series 1993-4 Class A
5.813% due 12/31/00 (a) $ 5,000 $ 5,005
Series 1996-C Class A
6.058% due 11/15/03 (a) 13,000 12,984
Series 1997-1 Class A6
5.825% due 07/25/27 (a) 9,404 9,395
Amresco Residential Securities
Mortgage Loan Trust
Series 1998-1
5.825% due 10/25/27 (a) 15,000 15,000
AT&T Universal Card Master Trust
Series 1997-1 Class A
5.715% due 04/19/04 (a) 14,000 14,004
BankBoston Recreational Vehicle
Asset Backed Trust
Series 1997-1 Class A3
6.432% due 12/15/02 5,000 5,002
Capital One Master Trust
Series 1995-1 Class A
5.815% due 10/15/03 (a) 8,000 8,000
CIT RV Trust
Series 1997-A Class A4
6.200% due 10/16/06 10,000 10,039
First USA Credit Card Master Trust
Series 1997 - 3 Class A
5.735% due 02/17/05 (a) 15,000 14,986
Ford Credit Auto Loan Master Trust
Series 1994-1 Class A
5.928% due 07/15/01 (a) 15,050 15,069
Ford Credit Grantor Trust
Series 1995-B Class A
5.900% due 10/15/00 1,564 1,564
General Electric Capital
Mortgage Services, Inc.
Series 1997-HE3
6.530% due 12/25/10 12,930 12,917
MBNA Master Credit Card Trust
Series 1997-E Class A
5.674% due 09/15/04 (a) 14,000 13,978
NationsBank Auto Owner Trust
Series 1996-A Class A2
6.125% due 07/15/99 2,525 2,526
NationsBank Commercial Loan
Master Trust
Series 1997-2A
6.046% due 09/20/02 (a) 17,500 17,500
NationsBank Credit Card
Master Trust
Series 1996-1 Class A
6.088% due 02/15/06 (a) 30,000 30,038
Premier Auto Trust
Series 1993-6 Class A2
6.052% due 11/02/99 (a) 1,364 1,356
Series 1993-6 Class A3
5.838% due 11/02/99 (a) 3,259 3,252
Textron Financial Corporation
Receivables
Series 1997-A Class A
6.050% due 03/16/09 12,447 12,466
Toyota Auto Receivables
Grantor Trust
Series 1996-A Class A
6.300% due 07/20/01 8,751 8,769
----------
213,850
----------
CORPORATE BONDS AND
NOTES - 32.9%
Chemical Banking Corp. (MTN)
6.075% due 02/28/00 (a) 10,000 10,033
Chrysler Financial Corp. (MTN)
5.707% due 01/29/01 (a) 10,000 9,990
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
Citicorp (MTN)
5.725% due 05/24/01 (a) $ 20,000 $ 19,993
Countrywide Home
Loan Corp. (MTN)
Series E
5.745% due 02/25/00 (a) 6,000 5,992
5.805% due 08/08/00 (a) 7,500 7,492
Dean Witter Discover & Co.
6.254% due 03/01/00 (a) 9,000 9,040
First Chicago Corp. (MTN)
Series G
5.685% due 05/05/00 (a) 7,000 7,007
Series 1
5.873% due 07/03/00 (a) 5,000 5,005
General Motors Acceptance Corp.
5.750% due 04/29/02 (a) 9,000 8,982
General Motors Acceptance Corp. (MTN)
5.605% due 02/03/00 (a) 10,000 9,981
Goldman Sachs Group (MTN)
6.156% due 12/24/01 (a) 20,000 19,995
Key Bank North America
5.879% due 09/01/00 (a) 10,000 9,983
Keycorp (MTN)
5.805% due 08/07/00 (a) 5,000 5,011
Lehman Brothers Holdings (MTN)
Series E
6.000% due 02/26/01 10,000 9,936
Morgan Stanley Dean Witter (MTN)
5.863% due 04/03/00 (a) 25,000 24,987
NationsBank Corp. (MTN)
Series E
6.076% due 06/25/02 (a) 18,500 18,521
Time Warner Inc.
7.950% due 02/01/00 3,000 3,091
----------
185,039
----------
EURODOLLAR BONDS - 7.1%
Allied Irish Banks (MTN)
5.929% due 10/31/06 (a) 13,000 12,917
Foreningssparbanken
7.664% due 10/29/49 (a) 7,000 7,068
Lehman Brothers Holdings PLC (MTN)
7.698% due 09/03/02 (a) 5,000 4,970
National Westminster Finance
5.938% due 04/29/05 (a) 15,000 14,858
----------
39,813
----------
MORTGAGE-BACKED SECURITIES - 23.7%
Federal Home Loan Mortgage Corp.
Partcipation Certificate Groups
7.000% due 2000 1,010 1,016
9.000% due 2006 1,000 1,050
6.933% due 2018 (a) 3,682 3,738
7.674% due 2020 (a) 10,892 11,277
7.750% due 2020 (a) 9,181 9,554
7.454% due 2023 (a) 2,007 2,061
6.300% due 2024 (a) 5,734 5,903
Federal National Mortgage Association Pools (a)
7.698% due 2008 8,000 8,311
6.693% due 2019 6,119 6,185
6.763% due 2019 1,662 1,684
7.473% due 2022 21,416 22,243
7.733% due 2022 11,962 12,597
7.340% due 2023 10,982 11,368
7.543% due 2025 7,740 7,995
7.752% due 2025 3,511 3,645
7.580% due 2030 17,073 17,759
Government National Mortgage Association Pools
8.000% due 2012 1,941 2,009
7.000% due 2022 (a) 4,968 5,098
----------
133,493
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
YANKEE BONDS - 1.1%
Chase Capital II
6.281% due 02/01/27 (a) $ 3,250 $ 3,062
NationsBank Capital Trust III
6.144% due 01/15/27 (a) 3,250 3,144
----------
6,206
----------
TOTAL LONG-TERM INVESTMENTS
(cost $579,402) 578,401
----------
SHORT-TERM INVESTMENTS - 0.3%
AIM Short Term Investment
Prime Portfolio Class A (b) 1,869 1,869
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $1,869) 1,869
----------
TOTAL INVESTMENTS
(identified cost $581,271)(c) - 103.1% $ 580,270
OTHER ASSETS AND LIABILITIES,
NET - (3.1)% (17,962)
----------
NET ASSETS - 100.0% $ 562,308
----------
----------
</TABLE>
(a) Adjustable or floating-rate securities.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
ABBREVIATIONS:
MTN - Medium Term Note
PLC - Public Limited Company
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSgA
YIELD PLUS FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $581,271)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . $ 580,270
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,993
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,988
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 409
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 588,661
LIABILITIES
Payables:
Bank overdraft . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 8,802
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
Investments purchased (regular settlement) . . . . . . . . . . . . . . . . . . . . 7,955
Investments purchased (delayed settlement)(Note 2) . . . . . . . . . . . . . . . . 8,033
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,108
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 348
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,353
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 562,308
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . . . . . . . . . . . . . . . . . . . . . . $ (95)
Accumulated net realized loss. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,249)
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . (1,001)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 564,597
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 562,308
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($562,308,104 divided by 56,289,783 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.99
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,170
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 579
--------------
Total Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,749
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 900
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 1
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,493
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,256
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . (1,436)
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,135)
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 19,121
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSgA
YIELD PLUS FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 20,256 $ 50,065
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301 1,027
Net change in unrealized appreciation or depreciation . . . . . . . . . . . . . . (1,436) (106)
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 19,121 50,986
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (20,120) (50,066)
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . (135) (136)
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (20,255) (50,202)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . (276,613) (94,214)
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS . . . . . . . . . . . . . . . . . . . . (277,747) (93,430)
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 840,055 933,485
----------------- -----------------
End of period (including accumulated distributions in excess of
net investment income of $95 and $136, respectively). . . . . . . . . . . . . . $ 562,308 $ 840,055
----------------- -----------------
----------------- -----------------
</TABLE>
FUND SHARE TRANSACTIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 78,967 $ 789,767 206,514 $ 2,066,206
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 1,974 19,735 4,931 49,336
Payments for shares redeemed . . . . . . . . (108,594) (1,086,115) (220,864) (2,209,756)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease) . . . . . . . (27,653) $ (276,613) (9,419) $ (94,214)
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<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.
YEAR ENDED AUGUST 31,
--------------------------------------------------------------
1998* 1997 1996 1995 1994 1993**
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 10.01 $ 10.00 $ 10.00 $ 9.99 $ 10.01 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . .28 .54 .56 .56 .38 .27
Net realized and unrealized gain (loss)
on investments . . . . . . . . . . . . . . (.02) .01 - .02 (.02) .01
---------- ---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations. . . . . .26 .55 .56 .58 .36 .28
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . (.28) (.54) (.56) (.56) (.38) (.27)
In excess of net realized gain on
investments . . . . . . . . . . . . . . . - - - (.01) - -
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions. . . . . . . . . . . . (.28) (.54) (.56) (.57) (.38) (.27)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 9.99 $ 10.01 $ 10.00 $ 10.00 $ 9.99 $ 10.01
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 2.64 5.67 5.73 6.01 3.65 2.85
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted). . . 562,308 840,055 933,485 1,447,097 1,358,464 589,594
Ratios to average net assets (%)(b):
Operating expenses . . . . . . . . . . . . .41 .38 .36 .38 .35 .38
Net investment income. . . . . . . . . . . 5.63 5.42 5.59 5.64 3.82 3.54
Portfolio turnover (%)(b) . . . . . . . . . . 212.17 92.38 97.05 199.69 142.68 137.86
</TABLE>
* For the six months ended February 28, 1998 (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, 1998 and August 31, 1993
are annualized.
Semiannual Report 9
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 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.
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
10 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required. At
August 31, 1997, the Fund had a net tax basis capital loss carryover of
$1,538,342 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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 581,282,531 $ 172,176 $ (1,184,703) $ (1,012,527)
</TABLE>
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 certain fixed
income securities purchased at a discount in 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.
The following reclassifications have been made at February 28, 1998:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED ADDITIONAL
NET INVESTMENT NET REALIZED PAID-IN
INCOME GAIN (LOSS) CAPITAL
-------------- -------------- --------------
<S> <C> <C>
$ 40,521 $ (37,083) $ (3,438)
</TABLE>
EXPENSES: Most expenses can be directly attributed to the 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.
Semiannual Report 11
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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
102% 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 102%.
FORWARD COMMITMENTS/MORTGAGE DOLLAR ROLLS: 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. For example, the Fund may enter into mortgage dollar
rolls (principally in TBA's) in which the Fund purchases a mortgage
security and sells a similar mortgage security before settlement of the
purchased mortgage security occurs. The Fund may realize a short-term gain
(or loss), based on market movements, 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.
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 in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may
be 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. Hedging is used by the Fund to limit or control risks, such as
adverse movements in exchange rates and interest rates. Return enhancement
can be accomplished through the use of derivatives in the Fund. By
purchasing certain instruments, the Fund may more effectively achieve the
desired portfolio characteristics that assist in meeting the Fund's
investment objectives. Depending on how the derivatives are structured and
utilized, the risks associated with them may vary widely. These risks are
generally categorized as market risk, liquidity risk and counterparty or
credit risk.
FUTURES: The Fund utilizes 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.
12 Semiannual Report
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases and sales of investment securities, excluding US Government and
Agency obligations, short-term investments, and repurchase agreements
aggregated to $532,408,814 and $843,308,188, respectively.
For the six months ended February 28, 1998, purchases and sales of US
Government and Agency obligations, excluding short-term investments and
repurchase agreements aggregated to $186,730,522 and $99,798,614,
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 in 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 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 5% 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.
Semiannual Report 13
<PAGE>
SSgA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as several unaffiliated service providers. For these
services, the Fund pays .025%, .175%, .175%, .175%, and .175% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $89,568, $472, and $10,193, from the Adviser, SSBSI, and
Commercial Banking, respectively. The Fund did not incur any expenses from
RIS or Solutions 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 August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 257,434
Administration fees 7,063
Custodian fees 15,644
Distribution fees 16,027
Shareholder servicing fees 28,727
Transfer agent fees 21,490
Trustees' fees 1,921
----------
$ 348,306
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder (who was also
an affiliate of the Investment Company) was a record owner of approximately
54% of the total outstanding shares of the Fund.
14 Semiannual Report
<PAGE>
SSgA YIELD PLUS FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 15
<PAGE>
SSgA-SM- FUNDS
BOND MARKET FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . 12
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . 18
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 97.2%
ASSET-BACKED SECURITIES - 5.0%
Chase Manhattan Auto Owner Trust
Pass-thru Certificate
Series 1996-A Class A
5.700% due 09/17/01 $ 750 $ 748
CIT RV Trust
Series 1996-B Class A2
6.400% due 02/15/07 300 302
Citibank Credit Card Master Trust I
Series 1997-7 Class A
6.350% due 08/15/02 1,000 1,008
Discover Card Master Trust I
Series 1996-3 Class A
6.050% due 08/18/08 200 196
First USA Credit Card Master Trust
Series 1997-6 Class A
6.420% due 03/17/05 1,000 1,017
Ford Credit Auto Loan Master Trust
Series 1995-1 Class A
6.500% due 08/15/02 200 202
Series 1998-A Class A3
5.650% due 10/15/01 850 847
Premier Auto Trust
Series 1996-2 Class A4
6.575% due 10/06/00 1,000 1,009
Series 1997-1 Class A4
6.350% due 04/06/02 250 252
Series 1997-2 Class A4
6.250% due 06/06/01 125 126
Series 1997-3 Class A4
6.200% due 01/06/01 400 402
Series 1998-1 Class A3
5.630% due 08/06/01 500 498
----------
6,607
----------
CORPORATE BONDS AND
NOTES - 27.4%
A.H. Belo Corp.
6.875% due 06/01/02 1,000 1,020
Aetna Services, Inc.
6.970% due 08/15/36 500 514
Bayerische Landesbank Girozen (MTN)
7.500% due 06/15/04 150 162
Boeing Co.
7.875% due 04/15/43 65 75
Branch Banking & Trust Co.
5.700% due 02/01/01 250 248
Burlington Northern Santa Fe
7.290% due 06/01/36 200 216
Caterpillar Financial Services (MTN)
6.800% due 06/15/99 905 917
Caterpillar, Inc.
7.375% due 03/01/97 250 267
Chemical Bank New York Corp.
7.250% due 09/15/02 40 42
CIT Group Holdings, Inc. (MTN)
6.250% due 03/22/99 350 351
6.250% due 10/04/99 500 502
6.400% due 01/28/00 1,000 1,008
Comcast Cable Communications
8.875% due 05/01/17 750 888
Commercial Credit Group, Inc.
6.000% due 06/15/00 350 349
Consolidated Natural Gas Co.
6.800% due 12/15/27 1,000 1,014
Crestar Capital Trust I
8.160% due 12/15/26 700 756
Crown Cork & Seal, Inc.
7.000% due 06/15/99 800 810
Enron Corp.
9.650% due 05/15/01 250 275
Equitable Life Assurance Society
6.950% due 12/01/05 1,000 1,029
First Union National Bank of Florida Series 1
6.180% due 02/15/36 320 318
Ford Motor Credit Co.
7.250% due 05/15/99 300 304
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
Ford Motor Credit Co. (MTN)
6.110% due 12/28/01 $ 900 $ 898
Ford Motor Credit Co. (Regd)
6.375% due 10/06/00 500 504
GATX Capital Corp.
6.500% due 11/01/00 1,000 1,008
General Electric Capital Corp.
8.300% due 09/20/09 1,000 1,166
General Electric Capital Corp. (MTN)
Series A
8.090% due 04/01/04 (d) 500 549
General Motors Acceptance Corp.
7.125% due 06/01/99 944 956
8.400% due 10/15/99 450 466
6.375% due 12/01/01 500 504
9.625% due 12/15/01 810 901
General Motors Acceptance Corp. (MTN)
6.625% due 04/24/00 440 445
GTE Corp.
9.375% due 12/01/00 800 864
Harris Corp.
6.650% due 08/01/06 520 524
International Business Machines Corp.
6.500% due 01/15/28 300 293
International Lease Finance Corp.
6.125% due 11/01/99 1,000 1,002
6.375% due 01/18/00 1,000 1,005
6.625% due 08/15/00 200 203
Kemper Corp.
6.875% due 09/15/03 345 355
Lockheed Martin Corp.
6.550% due 05/15/99 1,200 1,207
6.850% due 05/15/01 1,000 1,022
Merrill Lynch & Co.
6.000% due 02/12/03 1,000 994
Morgan Stanley Group, Inc. (MTN)
5.625% due 03/01/99 1,500 1,494
Nationsbank Corp.
7.625% due 04/15/05 1,000 1,073
Norfolk Southern Corp.
6.700% due 05/01/00 1,000 1,011
Norwest Corp. (MTN)
6.750% due 12/15/27 700 699
Norwest Financial, Inc. (MTN)
6.050% due 11/19/99 1,000 1,002
Sun Life Canada (US) Capital Trust
8.526% due 05/29/49 500 548
Suntrust Banks, Inc.
6.125% due 02/15/04 1,300 1,294
6.000% due 02/15/26 300 294
TCI Communications, Inc.
6.875% due 02/15/06 250 253
Tennessee Gas Pipeline Co.
7.000% due 03/15/27 700 727
Time Warner, Inc.
9.150% due 02/01/23 110 135
Travelers Group, Inc.
9.500% due 03/01/02 285 317
US Bancorp
7.625% due 05/01/05 500 536
USA Waste Services, Inc.
6.500% due 12/15/02 400 400
Wachovia Corp.
6.605% due 10/01/25 350 360
Zions Institutional Capital Trust
8.536% due 12/15/26 250 273
----------
36,347
----------
EURODOLLAR BONDS - 0.8%
Hyder PLC
6.750% due 12/15/04 500 509
Yorkshire Power Finance Ltd.
6.154% due 02/25/03 500 498
----------
1,007
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES - 30.5%
Federal Home Loan Mortgage Corp.
Participation Certificate Groups
7.000% due 2001 $ 183 $ 185
9.000% due 2004 68 71
9.000% due 2005 459 482
6.000% due 2011 110 109
8.000% due 2011 180 185
8.500% due 2025 69 73
7.500% due 2027 863 885
Federal National Mortgage Association Pools
6.000% due 2009 170 169
5.500% due 2011 177 173
6.000% due 2011 203 201
10.000% due 2017 1,419 1,560
8.000% due 2023 7 7
8.500% due 2024 35 37
7.500% due 2025 118 121
8.000% due 2026 222 230
9.000% due 2026 138 147
6.500% due 2027 279 277
Federal National Mortgage Association (c)
6.000% 15 Year TBA 2,000 1,972
6.500% 15 Year TBA 5,550 5,567
7.000% 15 Year TBA 1,545 1,571
6.500% 30 Year Pass-thru TBA 6,920 6,853
7.000% 30 Year TBA 9,120 9,220
7.500% 30 Year TBA 3,125 3,207
Government National Mortgage Association Pools
8.000% due 1999 149 156
10.000% due 2013 23 26
10.000% due 2014 12 13
6.875% due 2022 (d) 217 222
7.000% due 2022 (d) 211 216
7.500% due 2022 16 16
7.000% due 2023 100 101
7.000% due 2023 (d) 213 219
7.375% due 2023 (d) 208 214
6.500% due 2024 40 39
7.500% due 2024 251 258
8.500% due 2025 245 259
9.500% due 2025 186 202
7.500% due 2027 1,946 1,999
8.000% due 2027 26 27
Government National Mortgage Association (c)
6.500% 30 Year TBA 980 971
7.000% 30 Year TBA 590 597
8.000% 30 Year TBA 1,625 1,684
----------
40,521
----------
UNITED STATES GOVERNMENT
AGENCIES - 7.6%
Federal Home Loan Bank
7.310% due 06/16/04 1,000 1,074
6.995% due 04/02/07 300 320
Federal National Mortgage Association
10.350% due 12/10/15 500 715
8.950% due 02/12/18 500 648
Federal National Mortgage Association (MTN)
6.790% due 06/02/04 1,000 1,044
6.480% due 06/28/04 1,000 1,031
6.210% due 11/07/07 500 507
6.550% due 11/21/07 1,000 1,007
6.170% due 01/15/08 235 232
6.270% due 02/05/08 220 218
6.270% due 02/13/08 1,000 997
8.280% due 01/10/25 1,000 1,264
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
State of Israel United States
Government Guaranteed Notes
Series 2-Z
Zero Coupon due 03/15/05 $ 185 $ 123
Series 3-B
6.625% due 02/15/04 250 261
Series 7-B
5.700% due 02/15/03 500 496
Series 9-Z
Zero Coupon due 05/15/07 210 122
----------
10,059
----------
UNITED STATES GOVERNMENT
TREASURIES - 19.9%
United States Treasury Bonds
11.625% due 11/15/04 570 756
10.375% due 11/15/12 1,545 2,057
12.000% due 08/15/13 90 133
12.500% due 08/15/14 315 487
11.250% due 02/15/15 250 393
8.875% due 08/15/17 1,350 1,796
8.750% due 08/15/20 670 896
8.000% due 11/15/21 1,250 1,562
7.625% due 11/15/22 4,000 4,827
6.125% due 11/15/27 1,040 1,069
United States Treasury Notes
5.875% due 08/31/99 205 206
5.375% due 01/31/00 2,500 2,491
5.375% due 02/15/01 625 622
6.500% due 05/31/01 750 770
6.250% due 10/31/01 730 745
6.125% due 12/31/01 1,465 1,490
6.250% due 02/28/02 4,150 4,242
7.250% due 05/15/04 300 325
7.875% due 11/15/04 515 577
7.500% due 02/15/05 850 938
United States Treasury
Principal Only Strip
Zero Coupon due 05/15/99 95 89
----------
26,471
----------
YANKEE BONDS - 6.0%
Ireland, Republic of
7.875% due 12/01/01 1,500 1,590
Manitoba, Province of,
8.750% due 05/15/01 1,000 1,077
6.875% due 09/15/02 1,000 1,028
9.250% due 04/01/20 700 922
Manitoba, Province of
Series C-J
9.500% due 10/01/00 351 380
Midland Bank PLC
7.650% due 05/01/25 150 163
Ontario, Province of
8.000% due 10/17/01 1,000 1,062
7.375% due 01/27/03 300 317
6.000% due 02/21/06 300 299
Poland Step-Up Bond
4.000% due 10/27/14 (d) 35 31
Quebec, Province of
9.125% due 03/01/00 500 528
Westpac Banking, Ltd.
9.125% due 08/15/01 500 543
----------
7,940
----------
TOTAL LONG-TERM INVESTMENTS
(cost $128,189) 128,952
----------
SHORT-TERM INVESTMENTS - 29.1%
AIM Short Term Investment
Prime Portfolio Class A (a) 2,190 2,190
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
Federal Home Loan Mortgage
Discount Notes (a)(e)
5.400% due 03/12/98 $ 10,000 $ 9,984
5.350% due 04/13/98 15,000 14,904
Federated Investors
Prime Cash Obligations Fund (a) 6,287 6,287
Valiant Money Market Fund
Class A (a) 5,199 5,199
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $38,564) 38,564
----------
TOTAL INVESTMENTS
(identified cost $166,753)(b) - 126.3% $ 167,516
OTHER ASSETS AND LIABILITIES,
NET - (26.3%) (34,827)
----------
NET ASSETS - 100.0% $ 132,689
----------
----------
</TABLE>
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
(c) Forward commitment. See Note 2.
(d) Adjustable or floating rate securities.
(e) 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, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $166,753)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . $ 167,516
Receivables:
Dividends and interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,681
Investments sold (regular settlement) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238
Investments sold (delayed settlement)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,960
Fund shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196,506
LIABILITIES
Payables:
Investments purchased (regular settlement) . . . . . . . . . . . . . . . . . . . . $ 5,041
Investments purchased (delayed settlement)(Note 2). . . . . . . . . . . . . . . . . 58,640
Fund shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Accrued fees to affiliates and trustees (Note 4). . . . . . . . . . . . . . . . . . 107
Other accrued expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63,817
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 132,689
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,182
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,139
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . . 763
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129,592
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 132,689
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($132,688,901 divided by 13,076,241 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.15
--------------
--------------
</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, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,275
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
--------------
Total Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,527
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 169
Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Custodian fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
Distribution fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Shareholder servicing fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Trustees' fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
--------------
Expenses before reductions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . (52)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,261
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,630
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . . 609
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,239
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . . $ 5,500
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSgA
BOND MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,261 $ 2,911
Net realized gain (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,630 230
Net change in unrealized appreciation or depreciation . . . . . . . . . . . . . . . 609 853
----------------- -----------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . 5,500 3,994
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,108) (2,242)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (350) -
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (3,458) (2,242)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions. . . . . . . . . 42,977 56,903
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . 45,019 58,655
NET ASSETS
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87,670 29,015
----------------- -----------------
End of period (including undistributed net investment income of
$1,182 and $1,053, respectively) . . . . . . . . . . . . . . . . . . . . . . . . $ 132,689 $ 87,670
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold . . . . . . . . . 6,608 $ 66,490 8,168 $ 80,169
Proceeds from reinvestment
of distributions. . . . . . . . . . . . . 189 1,888 32 315
Payments for shares redeemed . . . . . . . . (2,516) (25,401) (2,417) (23,581)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 4,281 $ 42,977 5,783 $ 56,903
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
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 fiscal
year or period and other performance information derived from the financial statements.
YEAR ENDED
AUGUST 31,
-----------------------
1998* 1997 1996**
---------- ---------- ----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . $ 9.97 $ 9.63 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .28 .53 .27
Net realized and unrealized gain (loss) on investments. . . . . . . . . . . . . . .24 .35 (.49)
---------- ---------- ----------
Total Income From Investment Operations. . . . . . . . . . . . . . . . . . . . .52 .88 (.22)
---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.31) (.54) (.15)
Net realized gain on investments. . . . . . . . . . . . . . . . . . . . . . . . . (.03) - -
---------- ---------- ----------
Total Distributions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (.34) (.54) (.15)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.15 $ 9.97 $ 9.63
---------- ---------- ----------
---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.32 9.47 (2.19)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period($000 omitted) . . . . . . . . . . . . . . . . . . . . . 132,689 87,670 29,015
Ratios to average net assets (%)(b):
Operating expenses, net (c). . . . . . . . . . . . . . . . . . . . . . . . . . .47 .50 .63
Operating expenses, gross (c). . . . . . . . . . . . . . . . . . . . . . . . . .56 .74 .93
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.79 6.05 5.66
Portfolio turnover (%)(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 518.51 453.14 313.85
</TABLE>
* For the period ended February 28, 1998 (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, 1998 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, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 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, 1998 (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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required. At
August 31, 1997, the Fund had a net tax basis capital loss carryover of
$5,379, which may be applied against any realized net taxable gains in each
succeeding year or until its expiration date of August 31, 2005. As
permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $88,439 incurred from November 1, 1996 to August 31, 1997,
and treat it as arising in fiscal year 1998.
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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 166,800,253 $ 1,005,349 $ (289,112) $ 716,237
</TABLE>
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 investment in certain fixed income
securities purchased at a discount, 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.
Semiannual Report 13
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
The following reclassifications have been made at February 28, 1998:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED ADDITIONAL
NET INVESTMENT NET REALIZED PAID-IN
INCOME GAIN (LOSS) CAPITAL
-------------- -------------- --------------
<S> <C> <C>
$ (23,858) $ 20,167 $ 3,691
</TABLE>
EXPENSES: Most expenses can be directly attributed to the 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
102% 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 102%.
FORWARD COMMITMENTS/MORTGAGE DOLLAR ROLLS: 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. For example, the Fund may enter into mortgage dollar
rolls (principally in TBA's) in which the Fund purchases a mortgage
security and sells a similar mortgage security before settlement of the
purchased mortgage security occurs. The Fund may realize a short-term gain
(or loss), based on market movements, 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, 1998,
purchases and sales of investment securities, excluding US Government and
Agency obligations and short-term investments, aggregated to $37,902,069
and $31,734,858, respectively.
14 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
For the six months ended February 28, 1998, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $279,719,397 and $244,416,467, 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 four months ended December
31, 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. Beginning
January 1, 1998, the Adviser has agreed to reimburse the Fund for all
expenses in excess of .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.
These amounts are presented in 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 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 5% 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.
Semiannual Report 15
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
The Fund has entered into service agreements with the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well as
several unaffiliated service providers. For these services, the Fund pays
.025%, .050%, .050%, and .100% to the Adviser, RIS, Commercial Banking, and
Solutions, 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, 1998, the Fund incurred expenses of $10,288 and $1,523 from
the Adviser and Solutions. 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 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 August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory $ 65,003
Administration fees 4,628
Custodian fees 21,787
Distribution fees 4,750
Shareholder servicing fees 7,610
Transfer agent fees 2,745
Trustees' fees 779
---------
$ 107,302
---------
---------
</TABLE>
16 Semiannual Report
<PAGE>
SSgA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder was a record
owner of approximately 22% of the total outstanding shares of the Fund.
5. DIVIDENDS
On March 2, 1998, the Board of Trustees declared a dividend of $.0916 from
net investment income, payable on March 10, 1998 to shareholders of record
on March 3, 1998.
Semiannual Report 17
<PAGE>
SSgA BOND MARKET FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
18 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
S&P 500 INDEX FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 16
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 22
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
COMMON STOCKS - 95.2%
BASIC INDUSTRIES - 4.7%
Air Products & Chemicals, Inc. 18,800 $ 1,578
Alcan Aluminum, Ltd. 38,600 1,199
Allegheny Teldyne, Inc. 32,377 878
Aluminum Co. of America 29,300 2,150
ARMCO, Inc. (a) 15,100 80
ASARCO, Inc. 5,900 131
Barrick Gold Corp. 63,600 1,228
Battle Mountain Gold Co. 42,200 253
Bemis Co., Inc. 9,000 406
Bethlehem Steel Corp. (a) 20,500 218
Boise Cascade Corp. 8,800 293
Champion International Corp. 16,300 832
Cincinnati Milacron, Inc. 7,200 222
Crown Cork & Seal Co., Inc. 22,100 1,193
Cyprus Amax Minerals Co. 14,000 229
Dow Chemical Co. 39,000 3,569
du Pont (E.I.) de Nemours & Co. 195,000 11,956
Eastman Chemical Co. 13,225 866
Engelhard Corp. 23,025 417
FMC Corp. (a) 5,900 427
Freeport McMoRan Copper & Gold, Inc. Class B 36,600 551
Goodrich (B.F.) Co. 13,600 674
Great Lakes Chemical Corp. 10,200 496
Hercules, Inc. 16,700 807
Homestake Mining Co. 21,700 217
Illinois Tool Works, Inc. 42,600 2,553
Inco, Ltd. 26,900 476
Inland Steel Industries, Inc. 7,400 153
International Paper Co. 52,272 2,437
Kimberly-Clark Corp. 96,436 5,370
Mead Corp. 17,400 595
Minnesota Mining & Manufacturing Co. 70,400 6,006
Monsanto Co. 102,800 5,230
Morton International, Inc. 23,800 787
Nalco Chemical Co. 11,200 451
Newmont Mining Corp. 28,267 818
Nucor Corp. 15,000 773
Owens-Illinois, Inc. (a) 23,800 913
Phelps Dodge Corp. 10,400 660
Placer Dome, Inc. 38,600 497
Potlatch Corp. 5,400 234
PPG Industries, Inc. 30,300 1,964
Praxair, Inc. 28,100 1,344
Reynolds Metals Co. 13,200 823
Rohm & Haas Co. 10,700 1,091
Sigma Aldrich Corp. 16,600 656
Stone Container Corp. (a) 13,700 154
Temple-Inland, Inc. 9,600 572
Union Camp Corp. 11,500 687
Union Carbide Corp. 20,800 966
USX-U.S. Steel Group 14,400 506
Westvaco Corp. 16,800 546
Willamette Industries, Inc. 20,800 768
Worthington Industries, Inc. 14,800 254
----------
69,154
----------
CAPITAL GOODS - 5.4%
Aeroquip-Vickers, Inc. 4,900 285
Ball Corp. 5,100 166
Boston Scientific Corp. (a) 34,100 2,037
Briggs & Stratton Corp. 4,100 182
Browning-Ferris Industries, Inc. 34,300 1,143
Case Corp. 13,400 872
Caterpillar, Inc. 64,000 3,496
Cooper Industries, Inc. 21,200 1,190
Crane Co. 8,700 426
Cummins Engine Co., Inc. 6,500 376
Deere & Co. 44,300 2,486
Dover Corp. 37,500 1,448
DSC Communications Corp. (a) 21,400 420
Emerson Electric Co. 77,000 4,914
Fluor Corp. 13,900 654
Foster Wheeler Corp. 6,000 161
General Electric Co. 564,000 43,851
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
General Signal Corp. 8,400 $ 341
Grainger (W.W.), Inc. 8,500 823
Harnischfeger Industries, Inc. 9,400 333
Ingersoll-Rand Co. 27,700 1,319
ITT Industries, Inc. 21,400 733
Johnson Controls, Inc. 14,300 795
Millipore Corp. 7,000 265
NACCO Industries, Inc. Class A 1,500 195
National Service Industries, Inc. 8,400 466
Pall Corp. 22,900 479
Parker-Hannifin Corp. 18,950 884
Raychem Corp. 14,700 639
Raytheon Co. Class B 58,400 3,434
Timken Co. 10,700 344
Tyco International, Ltd. 91,400 4,638
----------
79,795
----------
CONSUMER BASICS - 20.9%
Abbott Laboratories 131,800 9,860
Albertson's, Inc. 41,900 1,961
Allergan, Inc. 11,100 389
ALZA Corp. (a) 15,500 579
American Home Products Corp. 112,000 10,500
American Stores Co. 47,000 1,184
Amgen, Inc. 45,000 2,391
Archer-Daniels-Midland Co. 95,135 2,135
Bard (C.R.), Inc. 9,700 338
Bausch & Lomb, Inc. 9,400 421
Baxter International, Inc. 48,200 2,729
Becton, Dickinson & Co. 21,500 1,368
Bestfoods (a) 24,800 2,613
Biomet, Inc. 18,900 563
Black & Decker Corp. 16,600 836
Bristol-Myers Squibb Co. 170,900 17,122
Campbell Soup Co. 78,500 4,558
Cardinal Health, Inc. 18,400 1,507
Clorox Co. 18,300 1,606
Coca-Cola Co. (The) 426,200 29,275
Colgate-Palmolive Co. 51,000 4,141
Columbia/HCA Healthcare Corp. 113,232 3,071
ConAgra, Inc. 81,800 2,454
Corning, Inc. 39,100 1,588
CVS Corp. 29,400 2,177
Fort James Corp. 35,100 1,593
General Mills, Inc. 27,700 1,993
Giant Food, Inc. Class A 10,200 370
Gillette Co. 96,500 10,410
Great Atlantic & Pacific Tea Co., Inc. 6,500 198
HEALTHSOUTH Corp. (a) 69,400 1,874
Heinz (H.J.) Co. 63,250 3,562
Hershey Foods Corp. 25,200 1,681
Humana, Inc. (a) 27,100 689
Johnson & Johnson 231,300 17,463
Kellogg Co. 70,600 3,009
Kroger Co. (a) 43,100 1,821
Lilly (Eli) & Co. 191,200 12,583
Mallinckrodt, Inc. 12,900 501
Manor Care, Inc. 10,800 406
Medtronic, Inc. 80,400 4,271
Merck & Co., Inc. 206,500 26,342
PepsiCo, Inc. 261,400 9,557
Pfizer, Inc. 222,900 19,727
Pharmacia & Upjohn, Inc. 87,125 3,447
Philip Morris Cos., Inc. 416,800 18,105
Pioneer Hi-Bred International, Inc. 11,500 1,193
Procter & Gamble Co. 231,600 19,672
Quaker Oats Co. 23,300 1,255
Ralston-Purina Group 18,000 1,826
Rubbermaid, Inc. 26,500 769
Sara Lee Corp. 82,200 4,644
Schering-Plough Corp. 126,200 9,599
Snap-On Tools Corp. 10,400 442
St. Jude Medical, Inc. (a) 17,450 637
Stanley Works 16,000 765
SYSCO Corp. 29,700 1,398
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Tenet Healthcare Corp. (a) 53,400 $ 1,992
Tupperware Corp. 9,300 250
U.S. Surgical Corp. 12,300 377
Unilever NV 110,300 7,094
United Healthcare Corp. 31,800 1,930
UST Corp. 31,300 1,109
W. R. Grace & Co. 12,800 1,074
Warner-Lambert Co. 47,100 6,888
Winn-Dixie Stores, Inc. 26,600 1,435
Wrigley (Wm.), Jr. Co. 19,600 1,496
----------
310,813
----------
CONSUMER DURABLES - 2.3%
AutoZone Inc. (a) 27,100 820
Chrysler Corp. 114,200 4,447
Cooper Tire & Rubber Co. 13,200 304
Dana Corp. 17,500 955
Eaton Corp. 13,700 1,316
Echlin, Inc. 11,600 587
Fleetwood Enterprises, Inc. 6,200 291
Ford Motor Co. 206,800 11,697
General Motors Corp. 121,400 8,369
Genuine Parts Co. 29,950 1,108
Goodyear Tire & Rubber Co. 27,400 1,894
Maytag Corp. 16,100 725
PACCAR, Inc. 12,990 820
Whirlpool Corp. 12,600 841
----------
34,174
----------
CONSUMER NON-DURABLES - 5.7%
Alberto Culver Co. Class B 9,500 289
Anheuser-Busch Cos., Inc. 84,000 3,938
Avon Products, Inc. 22,800 1,606
Brown-Forman Distillers, Inc. Class B 12,500 694
Brunswick Corp. 16,600 527
Charming Shoppes, Inc. (a) 13,100 58
Circuit City Stores, Inc. 16,300 630
Consolidated Stores Corp. (a) 19,342 795
Coors (Adolph) Co. Class B 6,400 200
Costco Companies, Inc. (a) 36,500 1,784
Dayton Hudson Corp. 37,700 2,915
Dillard's, Inc. Class A 18,700 666
Eastman Kodak Co. 55,800 3,662
Federated Department Stores, Inc. (a) 35,400 1,659
Fruit of the Loom, Inc. Class A (a) 12,600 405
Gap, Inc. 69,300 3,097
Hasbro, Inc. 22,500 817
Home Depot, Inc. (The) 125,499 8,008
Ikon Office Solutions, Inc. 22,400 732
International Flavors & Fragrances, Inc. 18,900 869
JC Penney & Co., Inc. 43,000 3,040
Jostens, Inc. 5,214 123
Kmart Corp. (a) 83,200 1,113
Limited, Inc. (The) 46,427 1,346
Liz Claiborne, Inc. 11,200 560
Longs Drug Stores, Inc. 5,700 181
Lowe's Cos., Inc. 30,000 1,753
Mattel, Inc. 50,607 2,141
May Department Stores Co. 40,100 2,436
Mercantile Stores, Inc. 6,300 415
Newell Co. 26,700 1,225
NIKE, Inc. Class B 49,600 2,176
Nordstrom, Inc. 13,200 756
Pep Boys - Manny, Moe & Jack 10,200 261
Polaroid Corp. 7,400 339
Reebok International, Ltd. (a) 10,100 315
Rite Aid Corp. 41,900 1,357
Russell Corp. 5,400 146
Seagram Co., Ltd. 60,400 2,295
Sears Roebuck & Co. 67,300 3,571
Springs Industries, Inc. 2,900 162
SuperValu, Inc. 9,600 457
TJX Cos., Inc. 27,900 1,078
Toys "R" Us, Inc. (a) 48,200 1,265
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
V.F. Corp. 21,100 $ 1,006
Wal-Mart Stores, Inc. 387,400 17,941
Walgreen Co. 84,800 3,111
Woolworth Corp. (a) 22,300 530
----------
84,450
----------
CONSUMER SERVICES - 2.1%
AMR Corp. (a) 15,500 1,962
Darden Restaurants, Inc. 23,900 323
Delta Air Lines, Inc. 12,500 1,413
Disney (Walt) Co. 116,362 13,025
Harrah's Entertainment, Inc. (a) 19,900 419
Hilton Hotels Corp. 42,100 1,255
King World Productions, Inc. 18,300 488
Marriot International, Inc. 21,700 1,644
McDonald's Corp. 119,100 6,521
Mirage Resorts, Inc. (a) 32,200 737
Southwest Airlines Co. 37,150 1,066
Tricon Global Restaurants, Inc. (a) 28,210 800
USAirways Group, Inc. (a) 15,600 988
Wendy's International, Inc. 21,600 468
----------
31,109
----------
ENERGY - 7.4%
Amerada Hess Corp. NPV 15,600 925
Amoco Corp. 84,000 7,140
Anadarko Petroleum Corp. 11,300 729
Apache Corp. 16,500 561
Ashland, Inc. 12,700 707
Atlantic Richfield Co. 54,950 4,272
Baker Hughes, Inc. 29,000 1,187
Burlington Resources, Inc. 30,222 1,352
Chevron Corp. 112,700 9,143
Dresser Industries, Inc. 29,900 1,336
Exxon Corp. 424,900 27,140
Halliburton Co. 44,400 2,065
Helmerich & Payne, Inc. 8,800 255
Kerr-McGee Corp. 7,900 534
McDermott International, Inc. 9,700 382
Mobil Corp. 135,200 9,794
Occidental Petroleum Corp. 59,900 1,531
ONEOK, Inc. 5,300 186
Oryx Energy Co. (a) 18,700 476
Pennzoil Co. 8,400 562
Phillips Petroleum Co. 44,900 2,200
Rowan Cos., Inc. (a) 14,600 412
Royal Dutch Petroleum Co. 369,500 20,068
Schlumberger, Ltd. 85,700 6,460
Sun Co., Inc. 12,655 505
Texaco, Inc. 95,000 5,302
Union Pacific Resources Group, Inc. 44,718 1,001
Unocal Corp. 41,700 1,572
USX-Marathon Group 48,900 1,690
Western Atlas, Inc. (a) 9,300 706
----------
110,193
----------
FINANCE - 16.5%
Aetna, Inc. 26,002 2,272
Ahmanson (H.F.) & Co. 18,700 1,168
Allstate Corp. 73,994 6,900
American Express Co. 80,200 7,223
American General Corp. 42,887 2,493
American International Group, Inc. 120,925 14,534
AON Corp. 28,400 1,699
Banc One Corp. 111,289 6,288
Bank of New York Co., Inc. 64,700 3,789
BankAmerica Corp. 119,500 9,261
BankBoston Corp. 25,000 2,492
Bankers Trust New York Corp. 16,900 1,998
BB&T Corp. 24,000 1,490
Beneficial Corp. 9,100 1,074
Chase Manhattan Corp. 72,664 9,015
Chubb Corp. (The) 29,500 2,354
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
CIGNA Corp. 12,800 $ 2,445
Cincinnati Financial Corp. 9,200 1,241
Citicorp 78,700 10,428
Comerica, Inc. 17,800 1,794
Conseco, Inc. 32,200 1,511
CoreStates Financial Corp. 34,335 2,899
Countrywide Credit Industries, Inc. 19,300 858
Equifax, Inc. 25,800 927
Federal Home Loan Mortgage Corp. 120,500 5,694
Federal National Mortgage Association 182,800 11,665
Fifth Third Bancorp 27,200 2,142
First Chicago NBD Corp. 49,948 4,105
First Union Corp. 108,950 5,740
Fleet Financial Group, Inc. 46,775 3,686
General Re Corp. 13,400 2,854
Golden West Financial Corp. 9,600 857
Green Tree Financial Corp. 24,500 562
Hartford Financial Services Group (The), Inc. 20,700 2,034
Household International Corp. 18,200 2,364
Huntington Bancshares, Inc. 32,600 1,170
Jefferson-Pilot Corp. 12,250 1,027
KeyCorp 37,999 2,662
Lehman Brothers Holdings, Inc. 18,000 1,135
Lincoln National Corp. 17,100 1,432
Loews Corp. 19,600 1,966
Marsh & McLennan Cos., Inc. 28,800 2,497
MBIA, Inc. 17,800 1,303
MBNA Corp. 86,355 3,093
Mellon Bank Corp. 43,900 2,736
Mercantile Bancorp, Inc. 22,600 1,257
Merrill Lynch & Co., Inc. 57,400 4,108
MGIC Investment Corp. 19,500 1,437
Morgan (J.P.) & Co., Inc. 30,700 3,669
Morgan Stanley, Dean Witter, Discover and Co. 102,456 7,140
National City Corp. 36,500 2,382
NationsBank Corp. 162,003 11,097
Northern Trust Corp. 19,700 1,492
Norwest Corp. 131,100 5,367
PNC Bank Corp. 52,500 2,914
Progressive Corp. 12,600 1,460
Providian Financial Corp. 16,100 914
Republic New York Corp. 9,400 1,137
SAFECO Corp. 23,700 1,241
Schwab (Charles) Corp. 46,500 1,755
St. Paul Cos., Inc. 14,300 1,267
State Street Corp. 27,700 1,712
Summit Bancorp 31,100 1,545
SunAmerica, Inc. 34,600 1,568
SunTrust Banks, Inc. 36,300 2,677
Synovus Financial Corp. 29,800 1,047
Torchmark Corp. 24,000 1,118
Transamerica Financial Corp. 10,700 1,246
Travelers, Inc. 197,600 11,016
U.S. Bancorp 42,039 4,837
UNUM Corp. 23,700 1,219
USF&G Corp. 21,000 513
Wachovia Corp. 35,200 2,798
Washington Mutual, Inc. 44,360 2,975
Wells Fargo & Co. 14,866 4,786
----------
244,571
----------
GENERAL BUSINESS - 4.3%
American Greetings Corp. Class A 13,500 616
Automatic Data Processing, Inc. 50,300 3,071
Block (H&R) Co., Inc. 17,700 833
CBS Corp. 121,300 3,753
Cendant Corp. (a) 137,410 5,153
Clear Channel Communications, Inc. (a) 16,800 1,523
Comcast Corp. Special Class A 59,200 2,072
Computer Sciences Corp. (a) 13,300 1,392
Deluxe Corp. 13,300 453
Donnelley (R.R.) & Sons Co. 26,100 1,034
Dow Jones & Co., Inc. 16,600 853
</TABLE>
Semiannual Report 7
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Dun & Bradstreet Corp. 28,300 $ 948
Ecolab, Inc. 23,100 666
First Data Corp. 74,000 2,516
Gannett Co., Inc. 48,800 3,151
Harcourt General, Inc. 11,900 643
Harland (John H.) Co. 3,800 58
Interpublic Group Cos., Inc. 21,600 1,177
Knight-Ridder, Inc. 14,900 838
McGraw-Hill, Inc. 17,600 1,331
Meredith Corp. 10,000 429
Moore Corp., Ltd. 14,900 234
New York Times Co. Class A 17,100 1,119
Omnicom Group, Inc. 28,000 1,281
Safety-Kleen Corp. 10,200 273
SBC Communications, Inc. 157,941 11,944
Service Corp. International 42,600 1,613
Tele-Communications, Inc. Class A (a) 89,026 2,587
Time Warner, Inc. 96,900 6,541
Times Mirror Co. Series A 15,000 923
Tribune Co. 21,800 1,407
Viacom, Inc. Class B (a) 61,111 2,934
----------
63,366
----------
MISCELLANEOUS - 0.5%
Cognizant Corp. 27,600 1,378
Fortune Brands, Inc. 30,700 1,218
Starwood Lodging Trust 17,454 987
Tenneco, Inc. 28,500 1,172
Waste Management, Inc. 80,900 2,023
----------
6,778
----------
SHELTER - 0.5%
Armstrong World Industries, Inc. 7,000 550
Centex Corp. 4,800 351
Georgia Pacific Corp. 15,700 921
Kaufman & Broad Home Corp. 5,300 137
Louisiana Pacific Corp. 19,700 432
Masco Corp. 28,000 1,523
Owens-Corning Fiberglas Corp. 9,900 306
Pulte Corp. 3,100 141
Sherwin-Williams Co. 29,500 986
Weyerhaeuser Co. 35,000 1,747
----------
7,094
----------
TECHNOLOGY - 15.3%
3Com Corp. (a) 58,525 2,092
Adobe Systems, Inc. 12,700 561
Advanced Micro Devices, Inc. (a) 24,800 581
AlliedSignal, Inc. 96,800 4,120
AMP, Inc. 38,632 1,707
Andrew Corp. (a) 15,368 425
Apple Computer, Inc. (a) 20,600 487
Applied Materials, Inc. (a) 61,900 2,279
Autodesk, Inc. 9,100 431
Avery Dennison Corp. 17,100 864
Bay Networks, Inc. (a) 35,300 1,196
Boeing Co. 171,476 9,303
Cabletron Systems, Inc. (a) 25,300 392
Ceridian Corp. (a) 14,300 666
Cisco Systems, Inc. (a) 173,400 11,423
COMPAQ Computer Corp. 260,864 8,364
Computer Associates International, Inc. 93,662 4,414
Data General Corp. (a) 8,500 175
Dell Computer Corp. (a) 56,300 7,871
Digital Equipment Corp. (a) 25,200 1,435
EG&G, Inc. 6,900 186
EMC Corp. (a) 85,500 3,270
General Dynamics Corp. 10,700 928
General Instrument Corp. (a) 25,000 417
Guidant Corp. 25,500 1,860
Harris Corp. 13,500 684
HBO & Co. 35,800 1,938
Hewlett-Packard Co. 179,300 12,013
</TABLE>
8 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Honeywell, Inc. 22,000 $ 1,744
Intel Corp. 281,900 25,265
International Business Machines Corp. 167,200 17,462
KLA Instruments Corp. (a) 14,300 660
Lockheed Martin Corp. 33,323 3,888
LSI Logic Corp. (a) 23,100 547
Lucent Technologies, Inc. 110,568 11,983
Micron Technology, Inc. (a) 35,300 1,172
Microsoft Corp. (a) 415,900 35,248
Motorola, Inc. 103,300 5,759
National Semiconductor Corp. (a) 27,600 659
Northern Telecom, Ltd. 89,900 4,793
Northrop Grumman Corp. 11,400 1,585
Novell, Inc. (a) 60,400 634
Oracle Systems Corp. (a) 168,237 4,143
Parametric Technology Corp. (a) 21,400 1,295
Perkin-Elmer Corp. 8,200 600
Pitney Bowes, Inc. 49,400 2,316
Rockwell International Corp. 35,400 2,142
Scientific-Atlanta, Inc. 11,500 201
Seagate Technology (a) 41,300 1,004
Shared Medical Systems 4,100 313
Silicon Graphics, Inc. (a) 35,000 527
Sun Microsystems, Inc. (a) 64,600 3,077
Tandy Corp. 18,100 805
Tektronix, Inc. 9,200 411
Tellabs, Inc. (a) 30,800 1,860
Texas Instruments, Inc. 66,900 3,872
Textron, Inc. 28,300 2,121
Thermo Electron Corp. (a) 25,700 1,054
Thomas & Betts Corp. 8,800 498
TRW, Inc. 21,200 1,161
Unisys Corp. (a) 29,400 525
United Technologies Corp. 40,000 3,572
Xerox Corp. 55,800 4,948
----------
227,926
----------
TRANSPORTATION - 0.8%
Burlington Northern, Inc. 27,369 2,727
CSX Corp. 38,000 2,126
FDX Corp. (a) 24,820 1,581
Laidlaw, Inc. 57,700 847
Navistar International Corp. (a) 13,550 412
Norfolk Southern Corp. 63,900 2,201
Ryder System, Inc. 13,700 503
Union Pacific Corp. 42,200 2,151
----------
12,548
----------
UTILITIES - 8.8%
Airtouch Communications, Inc. (a) 86,600 3,892
Alltel Corp. 32,300 1,476
Ameren Corp. (a) 23,677 910
American Electric Power Co., Inc. 32,100 1,541
Ameritech Corp. 188,700 7,866
AT&T Corp. 279,200 16,996
Baltimore Gas & Electric Co. 25,400 802
Bell Atlantic Corp. 133,882 12,016
BellSouth Corp. 170,900 10,425
Carolina Power & Light Co. 26,300 1,098
Central & Southwest Corp. 36,100 968
CINergy Corp. 27,326 951
Coastal Corp. 18,400 1,171
Columbia Gas System, Inc. 9,200 702
Consolidated Edison, Inc. 39,700 1,687
Consolidated Natural Gas Co. 16,200 932
Dominion Resources, Inc. 33,100 1,320
DTE Energy Co. 25,000 919
Duke Power Co. 61,874 3,438
Eastern Enterprises, Inc. 4,200 186
Edison International 64,700 1,787
Enron Corp. 54,100 2,543
Entergy Corp. 41,000 1,186
FirstEnergy Corp. 41,000 1,186
FPL Group, Inc. 31,900 1,852
</TABLE>
Semiannual Report 9
<PAGE>
SSgA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Frontier Corp. 27,400 $ 759
GPU, Inc. 21,900 880
GTE Corp. 165,000 8,931
Houston Industries, Inc. 49,310 1,276
MCI Communications Corp. 120,800 5,776
Niagara Mohawk Power Corp. (a) 21,600 277
NICOR, Inc. 9,100 374
Northern States Power Co. 12,400 681
Pacific Enterprises 15,000 545
PacifiCorp. 51,300 1,241
Peco Energy Co. 36,100 713
Peoples Energy Corp. 5,900 213
PG&E Corp. 74,800 2,258
PP&L Resources, Inc. 27,700 620
Public Service Enterprise Group, Inc. 41,200 1,329
Sonat, Inc. 19,400 837
Southern Co. 119,400 2,948
Sprint Corp. 73,600 4,858
Texas Utilities Co. 43,930 1,776
U.S. West Communications Group 83,300 4,337
U.S. West Media Group (a) 104,400 3,360
Unicom Corp. 36,800 1,180
Williams Cos. (The) 55,980 1,829
WorldCom, Inc. (a) 174,897 6,678
----------
131,526
----------
TOTAL COMMON STOCKS
(cost $1,010,738) 1,413,497
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 4.7%
AIM Short Term Investment
Prime Portfolio Class A (b) $ 39,445 $ 39,445
Federated Investors Prime
Cash Obligations Fund (b) 25,521 25,521
United States Treasury Bills (b)(c)(d)
5.276% due 03/05/98 4,500 4,497
Valiant Money Market Fund Class A (b) 995 995
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $70,458) 70,458
----------
TOTAL INVESTMENTS
(identified cost $1,081,196)(e) - 99.9% 1,483,955
OTHER ASSETS AND LIABILITIES,
NET - 0.1% 696
----------
NET ASSETS - 100.0% $1,484,651
----------
----------
</TABLE>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity (unaudited).
(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:
NPV - No Par Value
NV - Nonvoting
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, 1998 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
---------- ------------
<S> <C> <C>
FUTURES CONTRACTS
(Notes 2 and 3)
S&P 500 Financial Futures Contracts
Expiration date 03/98 157 $ 3,311
S&P 500 Financial Futures Contracts
Expiration date 06/98 105 1,429
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (*) $ 4,740
----------
----------
</TABLE>
(*) At February 28, 1998, United States Treasury Bills valued at $4,497 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, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $1,081,196)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . $ 1,483,955
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,460
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,603
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,567
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,492,586
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,950
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,627
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 200
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
Daily variation margin on futures contracts (Notes 2 and 3). . . . . . . . . . . . . 100
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,935
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,484,651
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,450
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161,093
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402,759
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,740
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 910,539
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,484,651
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($1,484,650,852 divided by 69,700,206 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 21.30
--------------
--------------
</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, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes withheld of $55) . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 12,683
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
--------------
Total Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,798
EXPENSES (Notes 2 and 4):
Advisory fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 696
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 1
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,902
Expense reductions (Note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . (696)
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,206
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,592
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159,252
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,423 163,675
--------------
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,988
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,972 46,960
-------------- --------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210,635
--------------
Net increase (decrease) in net assets resulting from operations. . . . . . . . . . . . . . . . . . . . . $ 222,227
--------------
--------------
</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
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 11,592 $ 20,159
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,675 50,186
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . 46,960 252,917
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 222,227 323,262
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (11,798) (18,416)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (51,231) (34,690)
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (63,029) (53,106)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 25,882 324,732
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 185,080 594,888
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,299,571 704,683
----------------- -----------------
End of period (including undistributed net investment income of
$5,450 and $5,653, respectively). . . . . . . . . . . . . . . . . . . . . . . . $ 1,484,651 $ 1,299,571
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 27,295 $ 537,773 44,662 $ 754,517
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 3,195 61,401 3,360 51,321
Payments for shares redeemed . . . . . . . . (29,330) (573,292) (28,392) (481,106)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 1,160 $ 25,882 19,630 $ 324,732
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</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.
YEAR ENDED AUGUST 31,
--------------------------------------------------------------
1998* 1997 1996 1995 1994 1993**
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $ 18.96 $ 14.41 $ 12.81 $ 10.89 $ 10.72 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . .16 .32 .32 .29 .26 .15
Net realized and unrealized gain (loss)
on investments. . . . . . . . . . . . . . . 3.06 5.22 1.98 1.95 .29 .65
---------- ---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . 3.22 5.54 2.30 2.24 .55 .80
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . (.16) (.32) (.31) (.29) (.26) (.08)
Net realized gain on investments . . . . . . . (.72) (.67) (.39) (.03) (.07) -
In excess of net realized gain on
investments . . . . . . . . . . . . . . . . - - - - (.05) -
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . (.88) (.99) (.70) (.32) (.38) (.08)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 21.30 $ 18.96 $ 14.41 $ 12.81 $ 10.89 $ 10.72
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 17.51 40.30 18.46 21.11 5.29 8.06
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . 1,484,651 1,299,571 704,683 545,200 361,712 238,666
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . .17 .16 .18 .19 .15 .15
Operating expenses, gross (c) . . . . . . . .27 .26 .28 .29 .25 .35
Net investment income . . . . . . . . . . . 1.66 2.00 2.32 2.76 2.69 3.02
Portfolio turnover (%)(b). . . . . . . . . . . 27.59 7.54 28.72 38.56 7.97 48.10
Average commission rate paid per share
of security ($ omitted) . . . . . . . . . . .0172 .0188 .0115 N/A N/A N/A
</TABLE>
* For the six months ended February 28, 1998 (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, 1998 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, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 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, 1998 (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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to 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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$1,081,665,944 $ 412,653,616 $ (10,364,922) $ 402,288,694
</TABLE>
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.
The following reclassifications have been made at February 28, 1998:
<TABLE>
<CAPTION>
UNDISTRIBUTED ADDITIONAL
NET INVESTMENT PAID-IN
INCOME CAPITAL
-------------- --------------
<S> <C>
$ 3,301 $ (3,301)
</TABLE>
Semiannual Report 17
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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
102% 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 102%.
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, 1998,
purchases and sales of investment securities, excluding short-term
investments, futures contracts and repurchase agreements, aggregated to
$308,789,976 and $317,864,356, respectively.
18 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
six months ended February 28, 1998, were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
-------------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
-------------- --------------
<S> <C> <C>
Outstanding at August 31, 1997 184 $ 82,893,039
Contracts opened 706 204,747,879
Contracts closed (628) (223,276,871)
-------------- --------------
Outstanding at February 28, 1998 262 $ 64,364,047
-------------- --------------
-------------- --------------
</TABLE>
(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 .10% of its average daily net assets. For the six months ended February
28, 1998, 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. 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 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 5% 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.
Semiannual Report 19
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well as
several unaffiliated service providers. For these services, the Fund pays
.025%, .050%, .050% and .100% to the Adviser, RIS, Commercial Banking, and
Solutions, 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, 1998, the Fund incurred expenses of $172,884, $20,980, $85 and
$20,965 from the Adviser, RIS, Commercial Banking and Solutions,
respectively.
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 August 31, 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 $75,232 for the six months ended
February 28, 1998.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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.
20 Semiannual Report
<PAGE>
SSgA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Administration fees $ 37,870
Custodian fees 35,177
Distribution fees 16,620
Shareholder servicing fees 105,518
Transfer agent fees (1,450)
Trustees' fees 6,341
----------
$ 200,076
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder was a record
owner of approximately 13% of the total outstanding shares of the Fund.
5. DIVIDENDS
On March 2, 1998, the Board of Trustees declared a dividend of $.0780 from
net investment income, payable on March 10, 1998 to shareholders of record
on March 3, 1998.
Semiannual Report 21
<PAGE>
SSgA S&P 500 INDEX FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
22 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
ACTIVE INTERNATIONAL FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 21
Fund Management and Service Providers . . . . . . . . . . . . . . . . . . 27
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
COMMON STOCKS - 79.3%
AUSTRALIA - 0.4%
Aberfoyle, Ltd. 10,100 $ 15
Acacia Resources, Ltd. (a) 14,400 20
Ashton Mining, Ltd. 24,300 26
Australia & New Zealand Bank Group, Ltd. 2,800 19
Boral, Ltd. 13,549 33
Broken Hill Proprietary Co. 4,912 48
Caltex Australia 7,400 24
Coca-Cola Amatil, Ltd. 1,611 14
Foster's Brewing Group, Ltd. 14,200 31
M.I.M. Holdings, Ltd. 31,474 18
National Australia Bank, Ltd. 4,203 58
National Foods, Ltd. 18,310 34
National Mutual Holdings, Ltd. 16,506 33
North Broken Hill Peko 2,448 7
Qantas Airways, Ltd. 11,297 19
Santos, Ltd. 6,800 26
Schroders Property Fund 16,100 29
Telstra Corp., Ltd. 21,700 58
Village Roadshow, Ltd. 7,000 20
Westfield Trust 17,900 39
Westpac Banking Corp. 10,700 73
----------
644
----------
AUSTRIA - 3.3%
Austrian Airlines Osterreichische
Luftverkehrs AG (a) 16,400 414
Bank Austria AG (a) 1,812 125
Bau Holding AG 3,600 213
Brau-Union Goess-Reininghaus-Osterreichische Brau 6,800 401
BWT AG 1,400 253
EA-Generali AG 1,800 592
Oester Elektrizita Class A 8,600 908
OMV AG 7,610 926
Steyr-Daimler-Puch 7,800 209
Strabag Oesterreich AG 2,900 147
VA Technologie AG (BR) 2,200 305
Voest-Alpine Stahl AG 8,900 352
Wienerberger Baustoff 2,500 486
----------
5,331
----------
BELGIUM - 1.5%
CMB NPV 1,600 126
Cobepa (Cie Belge) 1,200 64
Cofinimmo 1,180 124
Dexia Belgium NPV 915 132
Electrabel NPV 2,100 510
Electrafina NPV 2,400 232
Fortis AG 2,000 512
Generale de Banque NPV 700 331
PetroFina SA NPV 200 68
Societe Generale de Belgique NPV 1,300 152
Sofina NPV 20 16
Tractebel Investments International NPV 1,625 168
----------
2,435
----------
CANADA - 0.9%
Air Canada, Inc. (a) 9,800 90
Bank of Montreal 600 32
Bank of Nova Scotia Halifax 5,400 133
Cameco Corp. 800 24
Edperbrascan Corp. Class A 3,700 70
George Weston, Ltd. 1,200 101
IPL Energy, Inc. 2,200 99
IPSCO, Inc. 2,250 64
Mitel Corp. NPV (a) 12,100 156
National Bank of Canada 5,700 95
Northern Telecom, Ltd. 1,200 64
PanCanadian Petroleum, Ltd. 1,300 19
Placer Dome, Inc. 3,300 42
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Power Corporation of Canada 600 $ 22
Rio Algom, Ltd. 500 9
Shell Canada, Ltd. Class A 4,100 69
Slocan Forest Products, Ltd. 3,100 18
Southam, Inc. 3,900 79
Stelco, Inc. Series A 8,800 74
Teck Corp. Class B 2,700 39
TELUS Corp. 4,400 111
The Seagram Co., Ltd. 1,500 57
Transalta Corp. 900 15
TransCanada Pipelines, Ltd. 2,200 48
----------
1,530
----------
CHINA - 0.2%
Eastern Communications Co., Ltd. Class B (a) 36,000 37
Shanghai Dazhong Taxi Class B (a) 51,000 41
Shanghai Hai Xing Shipping Co. Class H (a) 272,000 67
Shanghai Lujiazui Finance and Trade Zone
Development Co., Ltd. Class B (a) 89,000 63
Yizheng Chemical Fibre Class H 328,000 62
----------
270
----------
FINLAND - 2.0%
Enso OY Series A 17,500 157
Kemira OY 17,000 169
Kesko 15,900 260
Kymmene OY 9,900 257
Merita, Ltd. Series A 46,900 274
Nokia AB Series K 17,600 1,758
Pohjola Series B 5,200 246
Rautaruukki OY 21,400 181
----------
3,302
----------
FRANCE - 7.0%
Assurances Generales de France 5,900 321
AXA - UAP 5,400 523
Banque Nationale Paris 6,448 390
Bongrain SA 650 294
Casino Guich-Perr 7,900 482
CGIP 619 267
Chargeurs International SA 2,900 172
Christian Dior 3,250 394
Credit Lyonnais Cert d'Invest. (a) 5,950 435
Credit National 5,390 328
Eiffage 4,500 244
Elf Aquitaine SA 5,169 589
Esso (Francaise) 4,000 362
Eurafrance 581 271
Eurotunnel Warrants 2001/2003 (Units)(a) 182,400 33
Eurotunnel/Euro SA Units (a) 182,400 174
France Telecom SA (a) 14,050 682
Galeries Lafayette 450 292
Gascogne 1,141 100
Groupe Andre SA (a) 1,634 180
GTM - Entrepose 3,063 199
L'Oreal (Societe) 1,700 766
Labinal 1,200 336
Lafarge Corp. SA (BR) 2,970 219
Lyonnais Eaux Dumez 4,675 617
Peugeot SA 3,475 495
Renault (a) 10,350 361
S.A.T. Telecommunications 450 160
Sanofi SA 3,982 452
Schneider SA 4,100 256
Scor SA 6,200 321
Sommer Allibert 1,400 55
Total Co. SA Class B 1,500 165
Usinor Sacilor 26,262 393
----------
11,328
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
GERMANY - 6.2%
AGIV AG fuer Industrie und
Verkehrswesen (a) 9,200 $ 198
Allianz AG (Regd) 2,700 851
AMB Aachener & Muenchener Beteiligungs AG (a) 3,500 391
Bankgesellschaft Berlin AG 14,350 305
BASF AG 18,550 675
Bayer AG 400 17
Bayer Motoren Werk 450 454
Bayerische Vereinsbank AG 9,750 608
Commerzbank AG 2,350 85
Continental AG 10,300 248
Daimler-Benz AG 2,350 193
DBV-Winterthur Holding AG (a) 750 333
Deutsche Bank AG 2,200 151
Deutsche Lufthansa AG (a) 15,750 303
Deutsche Telekom AG 48,200 974
Dyckerhoff AG 500 141
ERGO Versicherungs Gruppe AG (a) 3,000 554
Fried, Krupp AG Hoesch 800 146
Hamburgische Electricitaets Werke AG 900 233
Heidelberg Zement AG 2,050 152
Holsten Brauere AG 1,000 204
IKB Deutsche Industriebank AG 16,200 313
Kolbenschmidt Pierburg AG (a) 6,575 169
Lahmeyer Aktiengesellschaft 3,500 143
Muenchener Rueckversicherungs-Gesellschaft AG 100 32
Papierwerke Waldore 1,150 204
Rheinmetall AG (a) 11,500 225
SAP AG 1,300 495
Schmalbach Lubeca AG 950 187
Siemens AG 5,000 308
Suddeutsche Zucker AG 350 164
Thyssen AG 1,400 308
Veba AG 3,900 261
Viag AG 200 107
----------
10,132
----------
HONG KONG - 2.0%
Asia Satellite Telecommunications
Holdings, Ltd. 46,000 85
Beijing Yanhua Petrochemical Co., Ltd. Class H (a) 260,000 49
Cathay Pacific Airways 149,000 128
Cheung Kong Holdings, Ltd. 50,000 350
China Eastern Airlines Corp., Ltd. (a) 344,000 52
CLP Holdings, Ltd. 22,500 117
Dairy Farm International Holdings, Ltd. (a) 292,000 350
Great Eagle Holdings 70,751 104
Great Eagle Holdings 1998 Warrants (a) 14,150 1
Guangshen Railway Co., Ltd. 346,000 93
Guoco Group, Ltd. 44,000 112
Hang Lung Development Co. 85,000 125
Hang Seng Bank 12,000 114
Hong Kong Electric Holding, Ltd. 46,000 163
Hong Kong Telecommunications, Ltd. 136,887 288
Hutchison Whampoa, Ltd. 43,000 304
Jardine International Motor 44,000 25
Jilin Chemical Industrial Company, Ltd. Class H 186,000 24
Kumagai Gumi Hong Kong 115,000 77
Lai Sun Garment International 114,000 62
Maanshan Iron & Steel Class H 450,000 48
Quingling Motors Class H 235,000 94
Shanghai Petrochemical Class H 368,000 61
Sun Hung Kai Properties, Ltd. 14,000 105
Tai Cheung Holdings 67,000 23
Wing Lung Bank 30,240 133
Yue Yuen Industrial Holdings 64,200 123
----------
3,210
----------
INDIA - 0.2%
Arvind Mills, Ltd. 14,700 21
Ashok Leyland, Ltd. 19,800 17
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Bharat Heavy Electricals, Ltd. 3,900 $ 32
Bharat Petroleum Corp., Ltd. 1,800 17
Colgate-Palmolive Co. 4,800 31
Finolex Cables, Ltd. 10,500 37
Industrial Development Bank 17,700 38
ITC, Ltd. 2,100 35
Madras Refineries, Ltd. 16,100 19
Mahanagar Telephone Nigam, Ltd. 4,300 28
Reliance Industries, Ltd. 10,200 41
Tata Engineering & Locomotive Co., Ltd. 1,100 7
Tata SSL, Ltd. 7,800 26
Videsh Sanchar Nigam, Ltd. 1,000 19
----------
368
----------
IRELAND - 0.7%
Abbey PLC 17,500 86
Bank of Ireland 8,400 161
CRH 20,900 257
Independent Newspapers PLC 14,100 89
Irish Life PLC 22,400 175
Kerry Group PLC Class A 15,300 190
Smurfit (Jefferson) 63,300 162
----------
1,120
----------
ISRAEL - 1.2%
Africa - Israel Investments, Ltd. (a) 165 87
Agis Industries Ltd. 12,245 79
Bank Hapoalim, Ltd. 121,495 284
Bank Leumi Le-Israel 41,500 70
Bezeq Israeli Telecommunication Corp., Ltd. 72,600 173
ECI Telecom, Ltd. 8,540 248
Elco Holdings Ltd. 9,030 52
IDB Holding Corp., Ltd. 2,530 53
Industrial Buildings Corp. 58,970 99
Israel Chemicals, Ltd. 169,275 217
Koor Industries 1,820 189
Osem Investment, Ltd. 15,410 65
Scitex, Ltd. (a) 7,060 81
Teva Pharmaceutical Industries, Ltd. 4,550 189
----------
1,886
----------
ITALY - 5.9%
Assicurazioni Generali Rights (a) 11,800 24
Assicurazioni Generali SPA 11,800 337
Banca Commerciale Italiana 77,000 352
Banca Pop di Bergamo CV 12,000 254
Banca Pop di Milano 42,000 361
Banco Ambrosiano Veneto di Risp 111,300 255
Burgo (Cartiere) SPA 32,000 218
Comau Finanziaria SPA 62,000 224
Compagnia Assicuratrice Unipol 1999 Warrants (a) 15,200 11
Danieli & Co. di Risp 14,000 63
Ente Nazionale Idrocarburi SPA (Regd) 293,400 1,715
Fiat SPA di Risp 410,980 861
I.F.I.L. Risp NC 131,000 339
Istituto Mobiliane Italiano SPA 34,000 475
Pirelli & Co. 78,000 185
R.A.S. di Risp 58,500 529
Recordati di Risp 36,000 176
Sirti SPA 44,000 256
SNIA BPD di Risp NC 109,000 107
Telecom Italia Mobile SPA - di Risp 104,000 305
Telecom Italia SPA (a) 419,825 2,040
Toro Assicurazioni 20,800 376
Unicem (Union Cem) di Risp NC 22,000 113
----------
9,576
----------
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
JAPAN - 18.3%
Acom Co., Ltd. 6,700 $ 375
Aichi Machine Industries 23,000 70
Alinco, Inc. 25,000 92
Amada Co., Ltd. 36,000 169
Amada Metrecs Co. 29,000 161
Amada Sonoike Co. 37,000 104
Aoyama Trading Co. 12,900 280
Asahi Bank, Ltd. 39,000 206
Asahi Denka Kogyo 31,000 162
Asahi Optical Co. 103,000 257
Atsugi Nylon Industry 76,000 145
Bandai Co., Ltd. 13,000 194
Bank Of Tokyo - Mitsubishi, Ltd. 64,000 908
Bridgestone Tire Corp. 7,000 162
Brother Industries 51,000 139
Bunka Shutter Co. 54,000 190
Canon, Inc. 4,000 92
Central Glass Co. 156,000 306
Chubu Electric Power Co., Inc. 4,000 64
Chugoku Electric Power 12,400 180
Chuo Trust & Banking 11,000 44
Citizen Watch Co., Ltd. 30,000 218
Clarion Co., Ltd. (a) 74,000 336
Dai Ichi Katei Denki (a) 35,000 31
Daido Steel Co. 159,000 356
Daihatsu Motor Co., Ltd. 40,000 172
Daishinku Corp. 17,000 66
Daiwa Bank 70,000 200
Daiwa Industries, Ltd. 46,000 230
East Japan Railway 12 57
Eiden Sakakiya Co., Ltd. 16,000 70
Fuji Heavy Industries 67,000 252
Fuji Photo Film Co. 2,000 79
Fujisawa Pharmaceutical 25,000 252
Fujita Corp. 168,000 193
Fujitec Co., Ltd. 36,000 220
Fujitsu, Ltd. 8,000 90
Glory, Ltd. 11,000 205
Gun-Ei Chemical Industry Co. 83,000 155
Gunze, Ltd. 29,000 82
Hisamitsu Pharmaceutical Co. 20,000 146
Hitachi Transportation Systems 19,000 166
Hitachi, Ltd. 21,000 158
Hokkai Can Co. 29,000 84
Hokkaido Electric 6,800 98
Hokkaido Takushoku Bank, Ltd. 130,000 1
Hokuriku Bank 97,000 175
Hokuriku Electric Power 8,600 125
Honda Motor Co., Ltd. 15,000 520
Hosiden Electronics (a) 12,000 113
Inabata & Co. 30,000 119
Industrial Bank of Japan 8,000 66
Intec, Inc. 14,000 98
Ito-Yokado Co., Ltd. 6,000 328
Itochu Fuel Corp. 52,000 186
Japan Aviation Electronics 45,000 210
Japan Energy Corp. 222,000 308
Joshin Denki Co. 12,000 37
Kamigumi Co. 63,000 288
Kawasho Corp. 48,000 78
Kayaba Industry Co., Ltd. 115,000 273
Keiyo Bank, Ltd. 6,000 16
Kenwood Corp. (a) 81,000 238
Kinseki 14,000 83
Kurabo Industries 107,000 186
Life Co., Ltd. 53,000 86
Makita Corp. 21,000 243
Marubeni Corp. 100,000 277
Maruha Corp. 211,000 301
Matsushita Electric Industrial Co., Ltd. 21,000 306
Minolta Camera Co. 41,000 247
Mitsubishi Gas & Chemical 50,000 164
Mitsuboshi Belting 80,000 242
Mitsui Petrochemical Industry 158,000 445
</TABLE>
Semiannual Report 7
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Mitsui Trust & Banking 117,000 $ 391
Miyuki Keori Co., Ltd. 21,000 98
Mizuno Corp. 28,000 107
Morita Corp. 25,000 66
NEC Corp. 3,000 34
Nichia Steel Works 30,800 117
Nichicon Corp. 27,000 285
Nichiei Construction 19,000 61
Nichimo Co. 12,000 20
Nippon Carbon Co. (a) 147,000 314
Nippon Chemi-Con Co., Ltd. 45,000 146
Nippon Conlux Co. 49,000 231
Nippon Credit Bank (a) 100,000 135
Nippon Denso Co. 3,000 61
Nippon Express Co. 55,000 344
Nippon Hodo Co. 39,000 186
Nippon Hume Pipe 33,000 92
Nippon Oil Co. 74,000 268
Nippon Shinpan Co. 46,000 92
Nippon Suisan (a) 114,000 189
Nippon Telegraph & Telephone Corp. 185 1,702
Nippon Valqua Industries 34,000 69
Nissan Motor Co., Ltd. 86,000 374
Nisshin Steel Co. 161,000 245
Nisshinbo Industries, Inc. 39,000 227
Nissho Corp. 15,000 125
Nissho Iwai Corp. 106,000 303
Nittoc Construction Co. 19,000 68
Nomura Securities 14,000 193
Noritz Corp. 3,000 26
Okabe Co. 21,000 91
Ono Pharmaceutical 10,000 231
Onoda Cement Co. 119,000 259
Orient Corp. 45,000 125
Rinnai Corp. 12,700 206
Ryoden Trading Co. 23,000 98
Ryosan Co. 11,000 183
Sakura Bank, Ltd. 72,990 306
Sanshin Electronics 13,000 140
Sanwa Bank 12,000 120
Sanyo Shinpan Finance Co. 4,000 176
Sanyo Special Steel Co. 78,000 134
Seino Transportation 24,000 144
Sekisui House, Ltd. 33,000 260
Senshukai Co. 32,000 175
Shin Meiwa Industries 12,000 44
Shinko Shoji Co. 10,000 70
Showa Denko 226,000 305
Sintokogio 22,000 91
Sony Corp. 3,800 344
Sumisho Computer Systems Corp. 15,000 268
Sumitomo Bank 29,000 345
Suntelephone Co. 2,000 6
Taiyo Yuden Co. 25,000 268
Takara Standard Co. 39,000 251
Takiron Co., Ltd. 32,000 101
Tanabe Seiyaku Co. 34,000 194
Tenma Corp. 13,000 152
Toagosei Co., Ltd. 133,000 270
Toda Kogyo Corp. 28,000 103
Toenec Corp. 46,000 176
Tokai Carbon Co., Ltd. 118,000 289
Tokio Marine & Fire Insurance Co. 4,000 45
Tokyo Electric Power 8,800 166
Tokyo Style Co. 21,000 216
Tokyo Tatemono Co., Ltd. (a) 132,000 388
Tokyu Car Corp. 92,000 151
Toyo Information Systems 11,000 140
Toyo Trust & Banking 6,000 43
Toyota Motor Corp. 55,000 1,522
Uchida Yoko Co. 34,000 82
Uniden Corp. 28,000 294
Victor Co. of Japan 27,000 239
Yamaha Motor Co. 23,000 147
----------
29,902
----------
</TABLE>
8 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
LUXEMBOURG - 0.1%
Arbed SA 1,050 $ 124
----------
124
----------
MALAYSIA - 1.3%
AMMB Holdings Berhad 71,000 87
Bandar Raya Developments 178,000 68
Bolton Properties 363,000 125
Cement Industries 109,000 88
Commerce Asset Holdings 82,000 71
Highlands & Lowlands 26,000 29
IND Oxygen, Inc. 232,000 196
Kedah Cement Holdings Berhad 255,000 94
Land & General Berhad 191,000 78
Malayan Banking Berhad 14,000 54
Malaysian Airline System 42,000 48
Malaysian International
Shipping Corp. (Alien Market) 26,000 48
MBF Capital Berhad 181,000 86
Multi Purpose Holding 300,000 146
Pernas International Hotels & Properties 137,000 47
Perusahaan Otomobl 34,000 64
Petronas Gas Berhad 51,000 141
Public Bank Berhad (Alien Market) 133,000 79
Rothmans Pall Mall 10,000 89
Sime Darby Berhad 34,000 44
Technical Resource Industries Berhad 228,000 236
Telekom Malaysia 37,000 124
Tenaga Nasional Berhad 19,000 49
YTL Corporation Berhad 37,000 63
----------
2,154
----------
NETHERLANDS - 4.6%
ABN Amro Holdings NV 26,988 599
AKZO Nobel NV 1,854 377
Bols Wessanen CVA 41,128 716
Boskalis Westminster CVA 5,752 97
DSM NV (BR) 2,249 226
Fortis Amev NV 2,368 129
Hollandsche Beton Groep NV (a) 11,412 232
ING Groep NV 20,262 1,073
KLM 6,965 252
Koninklijke Hoogovens CVA 5,606 273
Nedlloyd Groep NV 9,413 220
Philips Electronics 3,403 265
Royal Dutch Petroleum Co. 43,089 2,358
Stad Rotterdam CVA 1,550 111
Unilever NV 1,812 117
Van Ommeren (Kon) CVA 6,037 243
Wereldhave NV 3,148 191
----------
7,479
----------
NORWAY - 3.6%
Aker AS Series A 8,300 129
Aker AS Series B 11,280 159
Bergesen DY AS Series B 21,100 434
Christiania Bank OG Kreditkasse 119,700 510
Den Norske Creditbank AS 67,700 373
Dyno Industrier AS 8,200 129
Elkem AS Series A 33,800 433
Helikopter Services Group ASA 15,100 159
Kvaerner Industries AS 5,800 210
Kvaerner Industries AS Series B 3,300 111
Norsk Hydro AS 42,100 1,839
Norske Skogindustrier AS Class A 17,600 537
Orkla AS Series B Free 4,300 371
Petroleum Geo-Services AS (a) 2,100 118
Saga Petroleum AS Series A 5,000 85
SAS Norske ASA Series B 17,956 259
----------
5,856
----------
</TABLE>
Semiannual Report 9
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
PAKISTAN - 0.4%
Cherat Cement Co., Ltd. 21,500 $ 9
Dewan Salmon Fibre 92,575 53
Engro Chemical 12,500 30
Fauji Fertilizer 39,500 74
Hub Power Co., Ltd. - GDR (a) 143,000 179
Ici Pakistan (a) 117,500 48
Karachi Electric (a) 75,500 42
Muslim Commercial (a) 22,500 15
Pakistan State Oil 15,600 105
Pakistan Telecom Corp. Series A 93,000 69
Sui Northern Gas Pipelines (a) 34,385 18
Sui Southern Gas Co., Ltd. (a) 66,125 29
----------
671
----------
PHILIPPINES - 0.6%
Ayala Corp. 141,500 67
EEI Corp. (a) 420,000 16
Empire East Land Holdings, Inc. (a) 1,323,520 19
First Philippine Holdings Class B 86,520 57
Guoco Holdings 322,000 12
JG Summit Holdings, Inc. Series B 608,000 57
Manila Electric Co. Class B 29,400 88
Megaworld Properties & Holdings, Inc. (a) 972,000 16
Metropolitan Bank & Trust Co. 4,200 35
Petron Corp. 368,000 55
Philex Mining Corp. Class B (a) 748,000 18
Philippine Long Distance Telephone Co. 9,400 254
Philippine National Bank (a) 15,200 31
Pilipino Telephone Corp. (a) 82,800 13
Robinson's Land Corp. Class B (a) 274,600 17
San Miguel Corp. Class B 43,800 73
Security Bank Corp. (a) 54,400 33
SM Prime Holdings 158,000 29
Universal Robina 171,000 32
----------
922
----------
POLAND - 1.2%
Agros Holdings Series C (a) 1,660 46
Bank Handlowy W. Warszawie (a) 18,860 298
Bank Inicjatyw Gospodarczych 181,130 252
Bank Rozwoju Eksportu SA 1,650 47
Bank Slaski SA 1,065 80
Banka Przemyslowo 2,785 224
Debica S.A. 4,970 134
Elektrim 10,475 137
Exbud SA (a) 3,120 39
Fabryka Kotlow Rafako SA (a) 8,005 27
Gorazdze SA 610 20
Huta Szkla Gospodarczego Irena (a) 4,935 20
KGHM Polska Miedz SA - GDR (144A)(a) 59,600 224
Mostostal Export SA 24,235 71
Okocimskie Zaklady Piwowarskie SA (a) 10,605 90
Polifarb (a) 11,350 58
Polifarb Wroclaw SA Series D (a) 2,144 11
ROLIMPEX SA Series A (a) 17,661 37
STALEXPORT SA Series A (a) 12,005 91
Zywiec 665 66
----------
1,972
----------
PORTUGAL - 2.0%
Banco Comercial Portuguese (Regd) 14,900 494
Banco Espir Santo (Regd) 11,500 467
Barbosa & Almeida - Fabrica de Vidros SA 1,800 38
Cimpor Cimentos de Portugal 4,700 136
Companhia de Seguros Mundial Confianca SA (Regd)(a) 4,900 136
Corticeira Amorim SGPS 7,700 117
Electricidade de Portugal SA (a) 26,100 553
Empresa Fabril de Maquinas Electricas - Efacec 8,000 70
Investec-Consultoria Internacional SA (a) 1,800 61
</TABLE>
10 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Jeronimo Martins SGPS 3,900 $ 135
Portucel Industrial SA 18,600 141
Portugal Telecom SA 14,200 745
Soares da Costa (a) 13,700 102
Unicer-Uniao Cervj (Regd) 5,100 85
----------
3,280
----------
SINGAPORE - 4.4%
DBS Land 94,000 146
Development Bank of Singapore, Ltd. (Alien Market) 89,000 698
Far East Levingston 16,000 49
Fraser & Neave 59,000 259
Hai Sun Hup Group 153,000 62
Haw Par Brothers International, Ltd. 24,000 28
Hong Kong Land Holdings, Ltd. (a) 14,173 25
Hotel Properties 328,000 213
Jardine Matheson Holdings, Ltd. (a) 4,800 22
Jardine Strategic Holdings, Ltd. (a) 123,000 351
Keppel Bank 316,000 447
Keppel Bank 2000 Warrants (a) 7,250 2
Mandarin Oriental International, Ltd. (a) 267,464 223
Metro Holdings, Ltd. 56,400 77
Neptune Orient Lines, Ltd. 199,000 93
Overseas Chinese Banking (Alien Market) 60,672 361
Overseas Union Bank (Alien Market) 81,000 305
Singapore Airlines, Ltd. (Alien Market) 113,000 837
Singapore Land 94,000 263
Singapore Press Holdings (Alien Market) 37,000 530
Singapore Telecommunications, Ltd. 821,000 1,682
United Engineers 35,000 28
United Industrial Corp., Ltd. 650,000 263
United Overseas Land 324,000 287
----------
7,251
----------
SOUTH KOREA - 0.3%
Cheil Industrial, Inc. (a) 4,150 13
Daelim Industrial Co. (a) 5,418 9
Daewoo Corp. (a) 7,950 31
Haitai Confectionery Co., Ltd. 5,670 12
Haitai Electronics Co. (a) 4,041 3
Korea Electric Power Corp. (a) 4,030 54
Korea First Bank (a) 1,175 4
Korea International Trust - IDR (a) 18 252
Korean Air (a) 2,690 15
Kwang Ju Bank (a) 8,010 17
L.G. Information & Communication (a) 869 28
Orion Electric Co. (a) 4,069 27
Tongyang Investment & Finance Corp. 4,430 11
Tongyang Nylon Co. (a) 2,356 21
----------
497
----------
SRI LANKA - 0.3%
Aitken Spence & Co. 18,100 48
Development Finance Corp. 32,500 112
Hayleys 19,400 69
John Keells Holdings, Ltd. 52,300 237
National Development Bank 14,000 48
----------
514
----------
SWITZERLAND - 3.8%
Baloise Holding, Ltd. (Regd)(a) 60 131
Banque Cant Vaudoise (BR) 220 91
Bobst AG (BR) 50 84
Credit Suisse Group (Regd) 1,494 270
Fischer (Georg) AG (Regd) 180 58
Forbo Holding AG (Regd) 630 286
Gotthard Bank Class B (BR) 445 259
Helvetia Patria Holding Co. (Regd) 285 374
Hero (BR) 445 274
Jelmoli Holding AG (Regd) 710 139
</TABLE>
Semiannual Report 11
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Nestle SA (Regd) 276 $ 484
Novartis AG (Regd) 950 1,734
Pargesa Holdings SA (BR) 135 181
Roche Holdings Genusscheine AG NPV (BR) 85 996
Schweiz Bankgesellsch (BR) 410 639
Schweiz Ruckversicher (Regd) 24 51
Zurich Versicherungsgesellschaft (Regd) 275 149
----------
6,200
----------
THAILAND - 0.1%
Asia Credit Public Co., Ltd. PLC (Alien Market)(a) 8,000 3
Finance One Public Co., Ltd. (Alien Market)(a)(d) 31,600 -
First Bangkok City Bank PLC (Alien Market) 27,800 1
National Finance and Securities PLC Rights (a) 54,200 20
Shinawatra Satellite PLC (Alien Market) 20,200 8
Siam City Bank PLC (Alien Market) 95,200 1
Siam Commercial Bank PLC Rights (a) 2,600 3
Thai Petrochemical Industry PLC (Alien Market) 92,100 25
Thai-German Ceramic Industry PLC (Alien Market)(a) 11,600 3
TPI Polene PLC (Alien Market) 10,400 2
United Communications Industries (Alien Market) 21,000 26
----------
92
----------
UNITED KINGDOM - 6.8%
Abbey National PLC 13,200 271
Allied Irish Banks 33,800 441
Amec PLC 61,500 141
Amersham International PLC 1,400 53
Arcadia Group PLC 9,550 78
Arjo, Wiggins, Appleton Co. PLC 78,200 211
ASDA-MFI Group PLC 30,800 102
Associated British Foods PLC 7,600 79
Bank of Scotland Governor & Co. PLC 27,400 313
Barclays Bank PLC 16,722 498
British Airways PLC 17,000 160
British Energy PLC 26,800 198
British Land Co. PLC 10,800 131
British Petroleum Co. PLC 42,882 592
British Steel PLC 102,400 246
British Telecom PLC 35,800 361
Cable & Wireless PLC 39,890 436
Christian Salvesen PLC 111,300 231
Commercial Union Assurance Co. PLC 16,500 298
Courtaulds Textile Co. PLC 29,800 166
Debenhams PLC (a) 19,100 132
General Accident PLC 10,000 225
Glaxo Wellcome PLC 13,800 387
Greenalls Group PLC 5,400 37
Guardian Royal Exchange PLC 50,600 381
Hammerson Property PLC 12,304 102
Hanson PLC 13,587 69
HSBC Holdings PLC 3,400 105
Inchcape PLC 69,700 215
Kwik Save Group PLC 29,200 165
Land Securities PLC 7,500 141
Lloyds TSB Group PLC 2,800 42
Lonrho PLC 131,500 204
Marley, Ltd. PLC 122,100 220
MEPC PLC 11,100 109
Mirror Group News PLC 13,000 36
Norcros PLC 85,600 92
</TABLE>
12 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Pilkington Brothers PLC 97,500 $ 183
Royal & Sun Alliance Insurance Group PLC 20,435 260
Royal Bank of Scotland Group PLC 25,945 402
Sainsbury (J.) PLC 20,900 161
Severn Trent PLC 11,314 174
Simon Engineering PLC (a) 253,000 204
Slough Estates PLC 30,900 205
Smith & Nephew PLC 62,476 181
SmithKline Beecham PLC 22,680 284
South West Water PLC 4,900 73
Storehouse PLC 48,500 207
T & N PLC 62,700 261
Wimpey (George), Ltd. PLC 111,900 227
Yorkshire Water PLC 16,970 143
Zeneca Group PLC 12,400 540
----------
11,173
----------
TOTAL COMMON STOCKS
(cost $126,050) 129,219
----------
PREFERRED STOCKS - 3.2%
AUSTRALIA - 0.1%
News Corp., Ltd. 19,853 108
Sydney Harbour Casino Holdings, Ltd. (a) 18,700 18
Village Roadshow, Ltd. Class A 269 1
----------
127
----------
AUSTRIA - 1.5%
Allgemeine Baugesellschaft 2,400 72
Bank Austria AG (a) 945 62
Bank Austria AG NV (a) 10,824 714
Bau Holdings AG 1,800 86
EA Generali AG 500 95
Z Landerbank Bank Austria AG 19,600 1,343
----------
2,372
----------
BELGIUM - 0.1%
Cockerill Sambre (a) 25,000 118
----------
118
----------
BRAZIL - 0.0%
Banco Nacional SA NPV (a)(d) 871,000 -
----------
-
----------
GERMANY - 1.4%
Axa Colonia Konzern AG NV 3,850 437
Draegerwerk AG 9,100 188
Dyckerhoff AG 233 64
Henkel KGAA 350 23
ProSieben Media AG NV (a) 1,950 98
Rheinmetall AG (a) 1,150 20
RWE AG 17,650 827
Volkswagen AG 1,300 634
----------
2,291
----------
ITALY - 0.1%
Compagnia Assicuratrice Unipol 95,000 238
Fiat SPA 11,880 23
----------
261
----------
TOTAL PREFERRED STOCKS
(cost $3,665) 5,169
----------
</TABLE>
Semiannual Report 13
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.1%
ITALY - 0.0%
Italy, Republic of (conv.)(a)
5.000% due 06/28/01 $ 35 $ 55
----------
55
----------
JAPAN - 0.1%
Fuji International Finance Trust
(conv.)(Units)(a)
0.250% due 02/02/01 65 95
----------
95
----------
TOTAL LONG-TERM INVESTMENTS
(cost $100) 150
----------
SHORT-TERM INVESTMENTS - 15.0%
UNITED STATES - 15.0%
Federal Home Loan Bank
Consolidated Discount Notes (b)(e)
5.590% due 03/02/98 20,410 20,407
AIM Short Term Investments
Prime Portfolio Class A (b) 3,854 3,854
Valiant Money Market Fund Class A (b) 185 185
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $24,446) 24,446
----------
TOTAL INVESTMENTS
(identified cost $154,261)(c) - 97.6% $ 158,984
OTHER ASSETS AND LIABILITIES,
NET - 2.4% 3,983
----------
NET ASSETS - 100.0% $ 162,967
----------
----------
</TABLE>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
(d) The Board of Trustees has estimated the value of the Fund's holdings at
zero. It is possible that the estimated value may differ significantly from
the amount that might ultimately be realized.
(e) Held as collateral by the custodian in connection with futures contracts
purchased by the Fund.
ABBREVIATIONS:
BR - Bearer
GDR - Global Depositary Receipt
IDR - International Depositary Receipt
NPV - No Par Value
NV - Nonvoting
PLC - Public Limited Company
FOREIGN CURRENCY ABBREVIATIONS:
CHF - Swiss franc
DEM - German mark
GBP - British pound
IEP - Irish pound
JPY - Japanese yen
SGD - Singapore dollar
USD - U.S. dollar
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
<S> <C> <C>
Europe 47.4% $ 77,321
Japan 18.4 29,996
Pacific Basin 9.9 16,049
Short-Term Investments 15.0 24,446
Latin America 6.9 11,172
---------- ----------
Total Investments 97.6 158,984
Other Assets and Liabilities, Net 2.4 3,983
---------- ----------
NET ASSETS 100.0% $ 162,967
---------- ----------
---------- ----------
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
---------- --------------
<S> <C> <C>
FUTURES CONTRACTS
(Notes 2 and 3)
FTSE - 100 Index Futures Contracts
Expiration date 03/98 36 $ 502
CAC40 Index Futures Contracts
Expiration date 03/98 48 574
DAX Index Futures Contracts
Expiration date 03/98 14 197
TOPIX Index Futures Contracts
Expiration date 03/98 88 795
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (*) $ 2,068
----------
----------
</TABLE>
(*) At February 28, 1998, Federal Home Loan Bank Consolidated Discount Notes
valued at $20,407 were held as collateral by the custodian in connection
with open futures contracts held by the Fund.
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
GEOGRAPHIC DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
<S> <C> <C>
Auto and Transportation 7.5% $ 12,224
Consumer Discretionary 8.0 12,954
Consumer Staples 3.4 5,511
Financial Services 21.0 34,308
Health Care 4.0 6,485
Integrated Oils 1.4 2,260
Materials and Processing 14.9 24,240
Miscellaneous 2.0 3,196
Other Energy 5.5 8,972
Producer Durables 4.9 7,995
Technology 3.0 4,947
Utilities 6.9 11,296
Long-Term Investments 0.1 150
Short-Term Investments 15.0 24,446
---------- ----------
Total Investments 97.6 158,984
Other Assets and Liabilities, Net 2.4 3,983
---------- ----------
NET ASSETS 100.0% $ 162,967
---------- ----------
---------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 15
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- ---------------- ---------------- ------------- --------------
<S> <C> <C> <C>
USD 1,665 SGD 2,700 03/02/98 $ 1
--------------
--------------
</TABLE>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- ---------------- ---------------- ------------- --------------
<S> <C> <C> <C>
USD 5,381 CHF 7,802 03/24/98 $ (41)
USD 16,800 GBP 10,258 03/24/98 77
USD 3,622 GBP 2,199 03/24/98 (5)
USD 3,500 JPY 457,975 03/24/98 146
USD 3,438 JPY 450,170 03/24/98 145
USD 7,250 JPY 926,905 03/24/98 130
USD 7,223 JPY 904,715 03/24/98 (20)
USD 3,728 JPY 461,831 03/24/98 (51)
DEM 25,152 USD 14,000 03/24/98 111
GBP 4,356 USD 7,100 03/24/98 (67)
GBP 2,195 USD 3,579 03/24/98 (33)
JPY 1,806 USD 14,000 03/24/98 (377)
JPY 491 USD 3,761 03/24/98 (147)
JPY 443 USD 3,420 03/24/98 (105)
--------------
$ (237)
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $154,261)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . $ 158,984
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 886
Foreign currency holdings (identified cost $799) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 782
Forward foreign currency exchange contracts (cost $96,801)(Note 2) . . . . . . . . . . . . . . . . . . . 97,182
Foreign currency exchange spot contracts (cost $1,665)(Note 2) . . . . . . . . . . . . . . . . . . . . . 1,666
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 814
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,444
Foreign taxes recoverable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
Daily variation margin on futures contracts (Notes 2 and 3). . . . . . . . . . . . . . . . . . . . . . 2,068
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263,994
LIABILITIES
Payables:
Investments purchased. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,672
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 204
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Forward foreign currency exchange contracts (cost $96,801)(Note 2) . . . . . . . . . 97,419
Foreign currency exchange spot contracts (cost $1,665)(Note 2) . . . . . . . . . . . 1,665
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101,027
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 162,967
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . . . . . . . . . . . . . . . . . . . . . . $ (577)
Accumulated distributions in excess of net realized gains . . . . . . . . . . . . . . . . . . . . . . . (933)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,723
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,068
Foreign currency-related transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (266)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157,936
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 162,967
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($162,966,662 divided by 15,733,732 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.36
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 17
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes withheld of $48) . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 475
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
--------------
Total Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 738
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 391
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 4
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 641
Expense reductions (Note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . (119)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 522
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (674)
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (102)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . 105 (671)
--------------
Net change in unrealized appreciation or depreciation of:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,297
Futures contracts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,068
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . (339) 11,026
-------------- --------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,355
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 10,571
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
18 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 216 $ 770
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (671) 3,794
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . 11,026 (4,930)
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 10,571 (366)
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (598) (1,078)
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . (577) -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (2,959) (342)
In excess of net realized gain on investments . . . . . . . . . . . . . . . . . . (933) -
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (5,067) (1,420)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 73,533 31,121
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 79,037 29,335
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,930 54,595
----------------- -----------------
End of period (including accumulated distributions in excess of
net investment income of $577 and undistributed
net investment income of $382, respectively). . . . . . . . . . . . . . . . . . $ 162,967 $ 83,930
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 11,835 $ 111,149 7,392 $ 81,716
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 405 4,151 95 1,032
Payments for shares redeemed . . . . . . . . (4,240) (41,767) (4,736) (51,627)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 8,000 $ 73,533 2,751 $ 31,121
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 19
<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.
YEAR ENDED AUGUST 31,
------------------------------------
1998* 1997 1996 1995**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . . $ 10.85 $ 10.96 $ 10.89 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . .06 .10 .36 .03
Net realized and unrealized gain (loss) on investments . . . . . . . . .09 .03 .28 .86
---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . . . . . . . .15 .13 .64 .89
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . (.08) (.18) (.57) -
In excess of net investment income . . . . . . . . . . . . . . . . . . (.07) - - -
Net realized gain on investments . . . . . . . . . . . . . . . . . . . (.37) (.06) - -
In excess of net realized gain on investments. . . . . . . . . . . . . (.12) - - -
---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . . . . . . . (.64) (.24) (.57) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . $ 10.36 $ 10.85 $ 10.96 $ 10.89
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . 1.47 1.17 6.22 8.90
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . . . . . . . 162,967 83,930 54,595 25,186
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . . . . . . . . . . . . . 1.00 1.00 1.00 1.79
Operating expenses, gross (c) . . . . . . . . . . . . . . . . . . . 1.23 1.40 1.47 2.56
Net investment income . . . . . . . . . . . . . . . . . . . . . . . .21(e) 1.12 1.16 1.11
Portfolio turnover (%)(b). . . . . . . . . . . . . . . . . . . . . . . 15.71 48.29 22.02 7.17
Average commission rate paid per share of
security ($ omitted)(d). . . . . . . . . . . . . . . . . . . . . . . .0084 .0030 .0021 N/A
</TABLE>
* For the six months ended February 28, 1998(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, 1998 and August 31, 1995 are
annualized.
(c) See Note 4 for current period amounts.
(d) 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.
(e) The ratio for the six months ended February 28, 1998 has not been annualized
since the Fund believes it would not be appropriate because the Fund's
dividend income is not earned ratably throughout the fiscal year.
20 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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
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.
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.
Semiannual Report 21
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
It is the Fund's intention to qualify as a regulated investment company, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to 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 $100,182 incurred from November 1, 1996 to August 31, 1997,
and treat it as arising in fiscal year 1998.
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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 154,509,622 $ 19,982,289 $ (15,508,058) $ 4,474,231
</TABLE>
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 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:
22 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
(a) Market value of investment securities, other assets and liabilities at
the closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income at the closing
rate of exchange prevailing on the respective trade dates of such
transactions.
Reported net realized gains or losses from foreign currency-related
transactions arise from sales and maturities of short-term securities;
sales of foreign currencies; currency gains or losses realized between the
trade and settlement dates on securities transactions; and the difference
between the amounts of dividends, interest, and foreign withholding taxes
recorded on the 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.
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.
They include options, futures, swaps, forwards, structured notes and
stripped securities. These instruments offer unique characteristics and
risks that assist the Fund in meeting its investment strategies.
The Fund typically uses derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may
be 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. Hedging is used by the Fund to limit or control risks, such as
adverse movements in exchange rates and interest rates. Return enhancement
can be accomplished through the use of derivatives in the Fund. By
purchasing certain instruments, the Fund may more effectively achieve the
desired portfolio characteristics that assist in meeting the Fund's
investment objectives. Depending on how the derivatives are structured and
utilized, the risks associated with them may vary widely. These risks are
generally categorized as market risk, liquidity risk and counterparty or
credit risk.
FOREIGN CURRENCY EXCHANGE CONTRACTS: In connection with portfolio purchases
and sales of securities denominated in a foreign currency, the Fund may
enter into 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
Semiannual Report 23
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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.
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
102% 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 102%.
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 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, 1998,
purchases and sales of investment securities, excluding short-term
investments and futures contracts, aggregated to $52,991,774 and
$7,667,380, respectively.
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
six months ended February 28, 1998, were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
---------------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
--------------- ---------------
<S> <C> <C>
Outstanding at August 31, 1997 - $ -
Contracts opened 204 26,572,089
Contracts closed (18) (2,054,529)
--------------- ---------------
Outstanding at February 28, 1998 186 $ 24,517,560
--------------- ---------------
--------------- ---------------
</TABLE>
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
24 Semiannual Report
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 six months ended February
28, 1998, 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. These amounts are presented in 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 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 5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as several unaffiliated service providers. For these
Semiannual Report 25
<PAGE>
SSgA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
services, the Fund pays .025%, .175%, .175%, .175% and .175%, to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $11,193, $213, $294, $55, and $4,856, from the Adviser, SSBSI,
RIS, Commercial Banking, and Solutions, respectively.
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 August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 139,773
Administration fees 17,290
Custodian fees 22,188
Distribution fees 8,203
Shareholder servicing fees 9,631
Transfer agent fees 6,166
Trustees' fees 1,132
----------
$ 204,383
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder was a record
owner of approximately 44% of the total outstanding shares of the Fund.
26 Semiannual Report
<PAGE>
SSgA ACTIVE INTERNATIONAL FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 27
<PAGE>
SSgA-SM- FUNDS
TAX FREE MONEY MARKET FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 16
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 20
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
ALABAMA - 1.4%
Gadsen, Alabama Industrial Development Pollution Control
Revenue, daily demand. . . . . . . . . . . . . . . . . . . . . . $ 2,200 3.650%(1) 06/01/15 $ 2,200
Huntsville, Alabama Health Care Authority Revenue Series A (a) . . 705 3.800 06/01/98 705
----------
2,905
----------
ARKANSAS - 0.9%
Arkansas, State of, Development Financial Authority Health Care
Facilities Revenue Series B, weekly demand . . . . . . . . . . . 2,000 3.400(2) 06/01/12 2,000
----------
2,000
----------
CALIFORNIA - 2.8%
Orange County, California Sanitation Districts Certificate
Participation Series C, daily demand (a) . . . . . . . . . . . . 5,000 3.600(1) 08/01/17 5,000
Riverside County, California Tax & Revenue Anticipation Notes
Series A . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 4.500 06/30/98 1,003
----------
6,003
----------
DISTRICT OF COLUMBIA - 2.6%
District of Columbia, General Obligation Series SGA 62,
daily demand (a) . . . . . . . . . . . . . . . . . . . . . . . . 5,550 3.650(1) 06/01/17 5,550
----------
5,550
----------
FLORIDA - 3.0%
Dade County, Florida Industrial Development Authority Revenue
Series A, weekly demand. . . . . . . . . . . . . . . . . . . . . 500 3.400(2) 01/01/16 500
Dade County, Florida Industrial Development Authority Revenue
Series B, weekly demand. . . . . . . . . . . . . . . . . . . . . 900 3.400(2) 01/01/16 900
Dade County, Florida Industrial Development Authority Revenue
Series C, weekly demand. . . . . . . . . . . . . . . . . . . . . 500 3.400(2) 01/01/16 500
Dade County, Florida Industrial Development Authority Revenue
Series D, weekly demand. . . . . . . . . . . . . . . . . . . . . 1,900 3.400(2) 01/01/16 1,900
Jacksonville, Florida Electric Authority Revenue Series SGA17,
weekly demand. . . . . . . . . . . . . . . . . . . . . . . . . . 2,000 3.500(2) 10/01/20 2,000
Martin County, Florida Pollution Control Revenue, daily demand . . 700 3.600(1) 09/01/24 700
----------
6,500
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
GEORGIA - 8.6%
Albany-Dougherty County, Georgia Hospital Authority Revenue,
weekly demand (a). . . . . . . . . . . . . . . . . . . . . . . . $ 4,000 3.450%(2) 09/01/26 $ 4,000
Burke County, Georgia Development Authority Pollution Control
Revenue (a). . . . . . . . . . . . . . . . . . . . . . . . . . . 3,250 3.800 05/28/98 3,250
De Kalb County, Georgia Housing Authority Multifamily Housing
Revenue, weekly demand . . . . . . . . . . . . . . . . . . . . . 5,500 3.400(2) 06/15/25 5,500
Georgia, State of, General Obligation Series C . . . . . . . . . . 1,500 7.700 04/01/98 1,505
Georgia, State of, Municipal Electric Authority Revenue, weekly
demand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,000 3.350(2) 01/01/22 4,000
----------
18,255
----------
IDAHO - 3.3%
Idaho Health Facilities Hospital Authority Revenue,
weekly demand. . . . . . . . . . . . . . . . . . . . . . . . . . 7,000 3.400(2) 12/01/23 7,000
----------
7,000
----------
ILLINOIS - 2.9%
University of Illinois, Health Services Facilities Revenue
Series B, weekly demand. . . . . . . . . . . . . . . . . . . . . 6,200 3.400(2) 10/01/26 6,200
----------
6,200
----------
INDIANA - 1.5%
Indianapolis, Indiana Local Public Improvement Bond Bank Notes
Revenue Series G . . . . . . . . . . . . . . . . . . . . . . . . 3,250 4.250 07/09/98 3,255
----------
3,255
----------
KANSAS - 1.5%
Johnson County, Kansas Water District No. 001 Water Revenue
(pre-refunded 06/01/98)(b) . . . . . . . . . . . . . . . . . . . 1,000 8.000 12/01/12 1,021
Kansas City, Kansas General Obligation Series A (a). . . . . . . . 2,175 5.250 09/01/98 2,194
----------
3,215
----------
LOUISIANA - 0.3%
Ascension Parish, Louisiana Pollution Control Revenue,
weekly demand. . . . . . . . . . . . . . . . . . . . . . . . . . 700 3.450(2) 12/01/09 700
----------
700
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
MASSACHUSETTS - 0.5%
Massachusetts, State of, Health & Educational Facilities Authority
Revenue Series G-1, weekly demand (a). . . . . . . . . . . . . . $ 1,000 3.000%(2) 01/01/19 $ 1,000
----------
1,000
----------
MICHIGAN - 6.7%
Lake City, Michigan Area School General Obligation
(pre-refunded 05/01/98)(a)(b). . . . . . . . . . . . . . . . . . 2,500 6.950 05/01/13 2,538
Michigan Municipal Board Authority Revenue Notes Series B. . . . . 4,000 4.500 07/02/98 4,009
Michigan, State of, Underground Storage Tank Financial Assurance
Authority Revenue Series I (a) . . . . . . . . . . . . . . . . . 4,145 5.000 05/01/98 4,153
Royal Oak, Michigan Hospital Financing Authority Revenue Series J,
daily demand . . . . . . . . . . . . . . . . . . . . . . . . . . 1,600 3.650(1) 01/01/03 1,600
Royal Oak, Michigan Hospital Financing Authority Revenue Series L,
daily demand . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000 3.650(1) 01/01/27 2,000
----------
14,300
----------
MINNESOTA - 0.5%
Anoka County, Minnesota Solid Waste Disposal Facilities Revenue. . 1,000 6.000 12/01/98 1,017
----------
1,017
----------
MISSOURI - 4.4%
Missouri, State of, Health & Educational Facilities Authority
Revenue Series A, weekly demand. . . . . . . . . . . . . . . . . 2,000 3.350(2) 09/01/10 2,000
Missouri, State of, Health & Educational Facilities Authority
Revenue Series A, weekly demand. . . . . . . . . . . . . . . . . 1,000 3.400(2) 06/01/19 1,000
Missouri, State of, Health & Educational Facilities Authority
Revenue Series B, weekly demand. . . . . . . . . . . . . . . . . 910 3.400(2) 06/01/14 910
Missouri, State of, Health & Educational Facilities Authority
Revenue Series C, weekly demand. . . . . . . . . . . . . . . . . 3,200 3.400(2) 06/01/19 3,200
Missouri, State of, Health & Educational Facilities Authority
Revenue Series C, weekly demand. . . . . . . . . . . . . . . . . 300 3.400(2) 12/01/19 300
Missouri, State of, Health & Educational Facilities Authority
Revenue Series D, weekly demand. . . . . . . . . . . . . . . . . 1,000 3.400(2) 06/01/19 1,000
University of Missouri, Capital Project Notes Revenue Series
FY 1997-98 . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 4.250 06/30/98 1,001
----------
9,411
----------
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
NEVADA - 2.0%
Clark County, Nevada School District General Obligation (a). . . . $ 1,000 7.000% 05/01/98 $ 1,005
Clark County, Nevada School District General Obligation Series A
(pre-refunded 03/01/98)(b) . . . . . . . . . . . . . . . . . . . 3,135 8.000 03/01/08 3,198
----------
4,203
----------
NEW JERSEY - 2.0%
Atlantic County, New Jersey General Obligation
(pre-refunded 08/15/98)(a)(b). . . . . . . . . . . . . . . . . . 2,145 7.200 08/15/02 2,221
Brigantine, New Jersey General Obligation (a). . . . . . . . . . . 590 3.850 09/01/98 590
New Jersey, State of, Health Care Facilities Financing Authority
Series C (pre-refunded 07/01/98)(b). . . . . . . . . . . . . . . 1,500 8.125 07/01/13 1,552
----------
4,363
----------
NEW MEXICO - 0.9%
Albuquerque, New Mexico Hospital Revenue Series A (a). . . . . . . 1,000 5.400 08/01/98 1,007
Albuquerque, New Mexico Municipal School District. . . . . . . . . 1,000 4.500 08/01/98 1,003
----------
2,010
----------
NEW YORK - 4.8%
Nassau County, New York Industrial Development Agency Civic
Facilities Revenue, daily demand . . . . . . . . . . . . . . . . 1,600 3.650(1) 07/01/19 1,600
New York City, New York Municipal Water Financing Authority
Water & Sewer Revenue Series B (pre-refunded 6/15/98)(a)(b). . . 1,000 7.625 06/15/17 1,027
New York City, New York Municipal Water Financing Authority
Water & Sewer Revenue Series B (pre-refunded 6/15/98)(a)(b). . . 2,000 7.000 06/15/19 2,050
New York, New York General Obligation Series B-8, weekly demand. . 500 3.100(2) 08/15/24 500
New York Port Authority, New York & New Jersey Special Obligation
Revenue, Series SGA 69, daily demand (a) . . . . . . . . . . . . 1,400 3.650(1) 12/01/22 1,400
New York, State of, Thruway Authority General Revenue
Series SGA 66, weekly demand . . . . . . . . . . . . . . . . . . 3,845 3.400(2) 01/01/27 3,845
----------
10,422
----------
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
NORTH CAROLINA - 0.4%
Charlotte, North Carolina Airport Revenue Series A, weekly
demand (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 800 3.350%(2) 07/01/16 $ 800
----------
800
----------
OHIO - 8.5%
Clermont County, Ohio Hospital Facilities Revenue Series B,
weekly demand. . . . . . . . . . . . . . . . . . . . . . . . . . 980 3.400(2) 09/01/21 980
Franklin County, Ohio Hospital Revenue, weekly demand. . . . . . . 9,100 3.400(2) 06/01/16 9,100
Lorain County, Ohio Hospital Revenue Commercial Paper Series A . . 7,000 3.500 03/12/98 7,000
Ohio, State of, General Obligation . . . . . . . . . . . . . . . . 1,000 5.500 08/01/98 1,007
----------
18,087
----------
OKLAHOMA - 2.3%
Muskogee, Oklahoma Industrial Trust Pollution Control Revenue
Series A, weekly demand. . . . . . . . . . . . . . . . . . . . . 5,000 3.600(2) 01/01/25 5,000
----------
5,000
----------
OREGON - 1.4%
Klamath Falls, Oregon Electric Revenue Series B, semi-annual
demand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 4.500(3) 05/01/23 1,002
Oregon, State of, Department of Transportation Revenue . . . . . . 2,000 4.800 03/01/98 2,000
----------
3,002
----------
PENNSYLVANIA - 4.7%
Pennsylvania, State of, General Obligation Series A
(pre-refunded 05/15/98)(b) . . . . . . . . . . . . . . . . . . . 1,000 7.300 05/15/03 1,022
Pennsylvania, State of, Higher Educational Facilities Authority
Revenue Series A, daily demand . . . . . . . . . . . . . . . . . 1,000 3.650(1) 11/01/25 1,000
Philadelphia, Pennsylvania Authority For Industrial Development
Revenue, daily demand. . . . . . . . . . . . . . . . . . . . . . 5,000 3.650(1) 07/01/25 5,000
Philadelphia, Pennsylvania Hospitals & Higher Education Facilities
Authority Revenue Series A, daily demand . . . . . . . . . . . . 1,100 3.650(1) 03/01/27 1,100
Philadelphia, Pennsylvania Tax & Revenue Anticipation Notes
Series A . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000 4.500 06/30/98 2,003
----------
10,125
----------
</TABLE>
Semiannual Report 7
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
SOUTH CAROLINA - 3.1%
North Charleston, South Carolina General Obligation
(pre-refunded 08/01/98)(b) . . . . . . . . . . . . . . . . . . . $ 500 7.500% 08/01/08 $ 518
Piedmont, South Carolina Municipal Power Agency Revenue
Series A, weekly demand (a). . . . . . . . . . . . . . . . . . . 5,000 3.350(2) 01/01/24 5,000
South Carolina, State of, General Obligation Series W. . . . . . . 1,000 7.250 05/01/98 1,006
----------
6,524
----------
TENNESSEE - 4.9%
Chattanooga-Hamilton County, Tennessee Hospital Authority Revenue,
daily demand . . . . . . . . . . . . . . . . . . . . . . . . . . 1,900 3.650(1) 10/01/17 1,900
Knox County, Tennessee Health Education & Housing Facilities Board
Revenue Series B, weekly demand. . . . . . . . . . . . . . . . . 2,900 3.400(2) 09/01/14 2,900
Memphis, Tennessee General Obligation Series B, weekly demand. . . 5,600 3.500(2) 08/01/02 5,600
----------
10,400
----------
TEXAS - 14.5%
Brazos River Authority, Texas Pollution Control Revenue
Series B, daily demand (a) . . . . . . . . . . . . . . . . . . . 1,400 3.700(1) 02/01/32 1,400
Dallas-Fort Worth, Texas Regional Airport Revenue, weekly demand . 1,900 3.650(2) 11/01/23 1,900
Garland, Texas General Obligation (pre-refunded 08/15/98)(b) . . . 1,000 6.400 08/15/01 1,011
Harris County, Texas Health Facilities Development Corporation
Hospital Revenue, daily demand . . . . . . . . . . . . . . . . . 2,700 3.650(1) 12/01/26 2,700
Lower Neches Valley, Texas Authority Revenue, semiannual demand. . 1,000 3.450(3) 02/15/17 1,000
Matagorda County, Texas Navigation District No. 1 Revenue,
daily demand (a) . . . . . . . . . . . . . . . . . . . . . . . . 3,000 3.700(1) 11/01/28 3,000
Panhandle Plains, Texas Higher Education Authority Revenue
Series A, weekly demand. . . . . . . . . . . . . . . . . . . . . 1,500 3.500(2) 06/01/21 1,500
San Antonio, Texas Electric & Gas Systems Revenue Commercial Paper
Series A . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,000 3.450 03/10/98 5,000
Texas, State of, Tax & Revenue Anticipation Notes Series A . . . . 10,000 4.750 08/31/98 10,059
Texas, State of, Water Development Board Revenue Series A, daily
demand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,300 3.650(1) 03/01/15 1,300
University of Texas, Permanent University Fund Revenue . . . . . . 2,025 6.800 07/01/98 2,047
----------
30,917
----------
</TABLE>
8 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY* (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
UTAH - 2.1%
Intermountain Power Agency, Utah Power Supply Revenue
Series E, semi-annual demand (a) . . . . . . . . . . . . . . . . $ 2,000 3.750%(3) 07/01/14 $ 2,000
Utah, State of, Board of Regents Student Loan Revenue
Series I-2 (a) . . . . . . . . . . . . . . . . . . . . . . . . . 2,500 6.000 05/01/98 2,510
----------
4,510
----------
VIRGINIA - 4.9%
Chesapeake, Virginia Hospital Authority Facilities First Mortgage
Revenue (pre-refunded 07/01/98)(b) . . . . . . . . . . . . . . . 6,240 7.625 07/01/18 6,449
Metropolitan Washington D.C. Airports Authority, Virginia General
Airport Revenue Series C, weekly demand. . . . . . . . . . . . . 700 3.450(2) 10/01/27 700
Virginia, State of, General Obligation . . . . . . . . . . . . . . 2,050 5.100 06/01/98 2,057
Virginia, State of, Transportation Board Revenue
(pre-refunded 03/01/98)(b) . . . . . . . . . . . . . . . . . . . 1,250 7.800 03/01/16 1,275
----------
10,481
----------
WASHINGTON - 1.0%
Washington, State of, General Obligation Motor Vehicle Fuel Tax
Series B . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,105 5.000 06/01/98 2,112
----------
2,112
----------
WEST VIRGINIA - 0.9%
Marshall County, West Virginia Pollution Control Revenue,
daily demand . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000 3.650(1) 12/01/20 2,000
----------
2,000
----------
</TABLE>
Semiannual Report 9
<PAGE>
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TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
VALUE
(000)
----------
<S> <C>
TOTAL INVESTMENTS (amortized cost $212,267)(c) - 99.3% . . . . . . . $ 212,267
OTHER ASSETS AND LIABILITIES, NET - 0.7% . . . . . . . . . . . . . . 1,557
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . $ 213,824
----------
----------
</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.
10 Semiannual Report
<PAGE>
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TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
QUALITY RATINGS AS A % OF MARKET VALUE
<S> <C>
VMIG1, SP-1 or equivalent ++ 100%
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE
Healthcare Revenue 27%
General Obligation 15
Electricity & Power Revenue 11
Pre-refunded 11
Education Revenue 7
Utility Revenue 6
Airport Revenue 4
Commercial Paper 4
Public Agency Revenue 4
Industrial Revenue 3
Housing Revenue 3
Highway Revenue 2
Port Revenue 1
Stadium Revenue 1
Student Loan Revenue 1
--------
100%
--------
--------
</TABLE>
++ 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."
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 ASSETS AND LIABILITIES
February 28, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . $ 212,267
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
Interest receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,910
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214,447
LIABILITIES
Payables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 458
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 157
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 623
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 213,824
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (23)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213,633
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 213,824
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($213,823,781 divided by 213,851,258 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.00
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
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TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,479
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 239
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 5
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 549
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,930
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,943
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,930 $ 3,548
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 (19)
----------------- -----------------
Net increase in net assets resulting from operations. . . . . . . . . . . . . . 2,943 3,529
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,930) (3,548)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 50,309 118,460
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 50,322 118,441
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163,502 45,061
----------------- -----------------
End of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 213,824 $ 163,502
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Proceeds from shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 332,694 607,205
Proceeds from reinvestment of distributions. . . . . . . . . . . . . . . . . . . . . 1,891 1,735
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (284,276) (490,480)
----------------- -----------------
Total net increase (decrease). . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,309 118,460
----------------- -----------------
----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<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.
YEAR ENDED AUGUST 31,
------------------------------------
1998* 1997 1996 1995**
---------- ---------- ---------- ----------
<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. . . . . . . . . . . . . . . . . . . . . . . . . .0152 .0295 .0302 .0251
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . (.0152) (.0295) (.0302) (.0251)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . . . . . . . 1.53 2.99 3.07 2.54
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . . . . . . . 213,824 163,502 45,061 42,607
Ratios to average net assets (%)(b):
Operating expenses, net. . . . . . . . . . . . . . . . . . . . . . . . .57 .58 .57 .59
Operating expenses, gross. . . . . . . . . . . . . . . . . . . . . . . .57 .58 .57 .60
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . 3.06 2.98 3.01 3.40
</TABLE>
* For the six months ended February 28, 1998 (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, 1998 and August 31, 1995 are
annualized.
Semiannual Report 15
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 Class A shares of beneficial interest at a $.001 par value. The
Investment Company has available Class B and Class C shares of the Fund
which 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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income tax and no federal income tax provision was required. At
August 31, 1997, the Fund had a net tax basis capital loss carryovers of
$5,580 and $10,856, which may be applied against any realized net taxable
gains in each succeeding year or until its expiration dates of August 31,
2004 and August 31, 2005, respectively, whichever occurs first. As
permitted by tax regulations,
16 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
the Fund intends to defer a net realized capital loss of $19,504 incurred
from November 1, 1996 to August 31, 1997 and treat it as arising in fiscal
year 1998.
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 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, 1998,
purchases, sales and maturities of tax-exempt obligations were
$465,218,450, $323,207,982, and $92,020,000, 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 in 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 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
Semiannual Report 17
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
Company's Distributor on behalf of the Fund (up to a maximum of 5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as other non-related party service providers. For these
services, the Fund pays .025%, .175%, .175%, .175%, and .050% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $23,921 and $8,526, from the Adviser and Commercial Banking,
respectively. The Fund did not incur any expenses from SSBSI, RIS, or
Solutions 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 August 31, 1997.
18 Semiannual Report
<PAGE>
SSgA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 88,090
Administration fees 7,109
Custodian fees 7,064
Distribution fees 43,175
Shareholder servicing fees 7,897
Transfer agent fees 2,281
Trustees' fees 1,245
---------
$ 156,861
---------
---------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, two shareholders (who were
also affiliates of the Investment Company) were record owners of
approximately 57% and 34%, respectively, of the total outstanding shares of
the Fund.
Semiannual Report 19
<PAGE>
SSgA TAX FREE MONEY MARKET FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
20 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
US GOVERNMENT MONEY MARKET FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . 9
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . 13
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR
USE BY 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, 1998 (Unaudited)
PRINCIPAL DATE
AMOUNT OF VALUE
(000) RATE MATURITY (000)
-------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT AGENCIES - 71.9%
Federal Farm Credit Bank . . . . . . . . . . . . . . . . . . . . . . $ 20,000 5.450% 03/03/98 $ 20,000
Federal Farm Credit Bank (MTN) . . . . . . . . . . . . . . . . . . . 25,000 5.650 10/01/98 24,976
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 10,000 5.705 03/24/98 9,999
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 35,000 5.489 05/28/98 34,984
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 25,000 5.395 07/07/98 24,991
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 30,000 5.825 07/07/98 29,993
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 50,000 5.395 07/23/98 49,978
Federal Home Loan Bank (a) . . . . . . . . . . . . . . . . . . . . . 50,000 5.387 08/04/98 49,980
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 20,000 5.690 09/24/98 20,022
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 1,000 5.735 12/23/98 999
Federal Home Loan Bank . . . . . . . . . . . . . . . . . . . . . . . 3,600 5.755 12/23/98 3,598
Federal Home Loan Mortgage Corp. . . . . . . . . . . . . . . . . . . 25,000 5.715 03/17/98 24,999
Federal Home Loan Mortgage Corp. (a) . . . . . . . . . . . . . . . . 50,000 5.425 01/26/99 49,969
Federal Home Loan Mortgage Corp. Discount Notes. . . . . . . . . . . 20,000 5.640 03/17/98 19,950
Federal National Mortgage Association. . . . . . . . . . . . . . . . 5,000 6.080 05/06/98 4,999
Federal National Mortgage Association. . . . . . . . . . . . . . . . 15,000 5.740 06/09/98 15,003
Federal National Mortgage Association (MTN). . . . . . . . . . . . . 15,000 5.400 02/02/99 14,985
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 50,000 5.520 06/19/98 49,988
Federal National Mortgage Association (MTN)(a) . . . . . . . . . . . 25,000 5.375 07/30/98 24,988
Federal National Mortgage Association Discount Notes . . . . . . . . 34,145 5.620 03/10/98 34,097
Federal National Mortgage Association Discount Notes . . . . . . . . 39,320 5.425 05/26/98 38,810
Student Loan Marketing Association (MTN) . . . . . . . . . . . . . . 5,000 5.790 09/16/98 4,998
Student Loan Marketing Association (MTN) . . . . . . . . . . . . . . 20,000 5.740 12/17/98 19,988
Student Loan Marketing Association (MTN) . . . . . . . . . . . . . . 25,000 5.400 02/10/99 24,975
----------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $597,269). . . . . . . . . . . . . . . . . . . . . . . . . . . . 597,269
----------
UNITED STATES GOVERNMENT TREASURIES - 0.6%
United States Treasury Notes . . . . . . . . . . . . . . . . . . . . 5,000 6.125 03/31/98 5,001
----------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $5,001). . . . . . . . . . . . . . . . . . . . . . . . . . . 5,001
----------
TOTAL INVESTMENTS (amortized cost $602,270) - 72.5%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 602,270
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
VALUE
(000)
----------
<S> <C>
REPURCHASE AGREEMENTS - 27.4%
Agreement with Salomon Brothers of $75,000
acquired February 27, 1998 at 5.65% to be repurchased at $75,035
on March 2, 1998, collateralized by:
$50,000 United States Treausury Notes,
6.375% due 09/30/01 valued at $52,485
$23,711 United States Treausury Notes,
9.250% due 08/15/98 valued at $23,440. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 75,000
Agreement with Swiss Bank Corp. of $152,165
acquired February 27, 1998 at 5.55% to be repurchased at $152,234
on March 2, 1998, collateralized by:
$116,699 United States Treasury Bonds,
11.875% due 11/15/03 valued at $154,250. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152,165
----------
TOTAL REPURCHASE AGREEMENTS (identified cost $227,165) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227,165
----------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS
(cost $829,435)(b) - 99.9% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 829,435
OTHER ASSETS AND LIABILITIES, NET - 0.1% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,095
----------
NET ASSETS - 100.0%. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 830,530
----------
----------
</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, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2) . . . . . . . . . . . . . . . . . . . . $ 602,270
Repurchase agreements (identified cost $227,165)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . 227,165
Interest receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,298
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 834,746
LIABILITIES
Payables:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,629
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 587
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,216
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 830,530
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 30
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 831
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 829,669
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 830,530
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($830,529,583 divided by 830,500,432 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, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,395
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 945
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,663
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,732
--------------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
--------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . $ 19,759
--------------
--------------
</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
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 19,732 $ 42,503
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 41
----------------- -----------------
Net increase in net assets resulting from operations . . . . . . . . . . . . . . 19,759 42,544
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (19,732) (42,503)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . (73,980) 221,232
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS . . . . . . . . . . . . . . . . . . . . (73,953) 221,273
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 904,483 683,210
----------------- -----------------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 830,530 $ 904,483
----------------- -----------------
----------------- -----------------
FUND SHARE TRANSACTIONS
(ON A CONSTANT DOLLAR BASIS):
Proceeds from shares sold. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,446,859 7,924,123
Proceeds from reinvestment of distributions. . . . . . . . . . . . . . . . . . . . . 13,249 26,342
Payments for shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,534,088) (7,729,233)
----------------- -----------------
Total net increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . (73,980) 221,232
----------------- -----------------
----------------- -----------------
</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.
YEAR ENDED AUGUST 31,
--------------------------------------------------------------
1998* 1997 1996 1995 1994 1993
---------- ---------- ---------- ---------- ---------- ----------
<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. . . . . . . . . . . . . .0254 .0500 .0515 .0528 .0324 .0304
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . (.0254) (.0500) (.0515) (.0528) (.0324) (.0304)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . 2.61 5.19 5.27 5.38 3.30 3.08
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . 830,530 904,483 683,210 490,138 251,165 137,136
Ratios to average net assets (%)(b):
Operating expenses, net . . . . . . . . . . .44 .44 .40 .42 .38 .39
Operating expenses, gross . . . . . . . . . .44 .44 .40 .42 .39 .46
Net investment income . . . . . . . . . . . 5.22 5.08 5.12 5.37 3.27 3.04
</TABLE>
* For the six months ended February 28, 1998 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 1998 are annualized.
8 Semiannual Report
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 Class A 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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required.
Semiannual Report 9
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 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
102% 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 102%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases, sales, and maturities of US Government and Agency obligations,
excluding repurchase agreements aggregated to $732,344,146, $187,432,568
and $615,898,000, 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 in 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
10 Semiannual Report
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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 5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as other non-related party service providers. For these
services, the Fund pays .025%, .175%, .175%, .175%, and .175% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $94,549, $8,745, and $129,423, from the Adviser, RIS and
Commercial Banking, respectively. The Fund did not incur any expenses from
SSBSI or Solutions 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
Semiannual Report 11
<PAGE>
SSgA
US GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
carryover expenses subsequent to the Distribution Plan's termination or
noncontinuance. There were no carryover expenses as of August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 382,308
Administration fees 34,023
Custodian fees 25,510
Distribution fees 729
Shareholder servicing fees 122,950
Transfer agent fees 15,829
Trustees' fees 5,570
----------
$ 586,919
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder (who was
also an affiliate of the Investment Company) was record owner of
approximately 17% of the total outstanding shares of the Fund.
12 Semiannual Report
<PAGE>
SSgA US GOVERNMENT MONEY MARKET FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 13
<PAGE>
SSgA-SM- FUNDS
GROWTH AND INCOME FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 9
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 14
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
COMMON STOCKS - 96.8%
AUTO AND TRANSPORTATION - 1.9%
Ford Motor Co. 33,000 $ 1,867
----------
1,867
----------
CONSUMER DISCRETIONARY - 13.1%
Carnival Corp. Class A 26,500 1,560
Cendant Corp. (a) 10,000 375
Dayton Hudson Corp. 4,000 309
Disney (Walt) Co. 25,000 2,798
Home Depot, Inc. (The) 28,000 1,787
Staples, Inc. (a) 82,500 1,743
Time Warner, Inc. 45,000 3,038
Wal-Mart Stores, Inc. 30,000 1,389
----------
12,999
----------
CONSUMER STAPLES - 4.8%
Panamerican Beverages, Inc. Class A 65,000 2,368
Philip Morris Cos., Inc. 30,000 1,303
Procter & Gamble Co. 13,000 1,105
----------
4,776
----------
FINANCIAL SERVICES - 17.0%
American Express Co. 25,000 2,252
American International Group, Inc. 19,500 2,344
Equity Office Properties Trust 77,346 2,282
First Data Corp. 15,500 527
Franklin Resources, Inc. 58,000 2,958
Morgan (J.P.) & Co., Inc. 17,000 2,032
Northern Trust Corp. 43,100 3,264
Price (T. Rowe) & Associates, Inc. 17,500 1,154
----------
16,813
----------
HEALTH CARE - 12.6%
Abbott Laboratories 16,000 1,197
American Home Products Corp. 20,000 1,875
Bristol-Myers Squibb Co. 25,000 2,505
Elan Corp. PLC - ADR (a) 31,500 1,955
Merck & Co., Inc. 22,000 2,806
Warner-Lambert Co. 15,000 2,194
----------
12,532
----------
INTEGRATED OILS - 4.5%
Mobil Corp. 44,000 3,187
Unocal Corp. 35,000 1,319
----------
4,506
----------
MATERIALS AND PROCESSING - 8.8%
Air Products & Chemicals, Inc. 15,000 1,259
AptarGroup, Inc. 11,400 658
Brush Wellman, Inc. 70,000 1,890
Illinois Tool Works, Inc. 15,000 899
Kimberly-Clark Corp. 40,000 2,228
Schulman (A.), Inc. 70,000 1,784
----------
8,718
----------
OTHER ENERGY - 2.0%
Anadarko Petroleum Corp. 7,000 452
Baker Hughes, Inc. 37,800 1,547
----------
1,999
----------
PRODUCER DURABLES - 8.6%
AlliedSignal, Inc. 50,000 2,128
AMP, Inc. 5,100 225
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
GROWTH AND INCOME FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Applied Materials, Inc. (a) 34,500 $ 1,270
Boeing Co. 40,000 2,170
Caterpillar, Inc. 40,000 2,185
Rockwell International Corp. 8,500 515
----------
8,493
----------
TECHNOLOGY - 14.1%
Cisco Systems, Inc. (a) 40,500 2,668
Hewlett-Packard Co. 9,000 603
Intel Corp. 20,000 1,793
Linear Technology Corp. 39,300 2,975
Lucent Technologies, Inc. 28,000 3,034
Microsoft Corp. (a) 34,000 2,881
----------
13,954
----------
UTILITIES - 9.4%
Alltel Corp. 70,000 3,198
AT&T Corp. 29,000 1,765
New Century Energies, Inc. 8,000 373
TECO Energy, Inc. 23,000 605
U.S. West Communications Group 40,000 2,083
Vodafone Group PLC - ADR 15,000 1,328
----------
9,352
----------
TOTAL COMMON STOCKS
(cost $59,074) 96,009
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 4.8%
AIM Short Term Investment
Prime Portfolio Class A (b) $ 2,223 $ 2,223
Federated Investors
Prime Cash Obligations Fund (b) 2,502 2,502
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $4,725) 4,725
----------
TOTAL INVESTMENTS
(identified cost $63,799)(c) -101.6% 100,734
OTHER ASSETS AND LIABILITIES,
NET - (1.6%) (1,553)
----------
NET ASSETS - 100.0% $ 99,181
----------
----------
</TABLE>
(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, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $63,799)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . $ 100,734
Receivables:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 624
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101,476
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,990
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 118
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,295
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 99,181
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 152
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,388
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . 36,935
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,701
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 99,181
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($99,180,838 divided by 4,942,077 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 20.07
--------------
--------------
</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, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 637
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 342
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 4
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463
Expense reductions (Note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . (81)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 382
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,387
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . 12,412
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,799
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 17,054
--------------
--------------
</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
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 255 $ 553
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,387 7,387
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . 12,412 14,677
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 17,054 22,617
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (229) (606)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (7,384) (2,131)
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (7,613) (2,737)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 18,004 (3,967)
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 27,445 15,913
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,736 55,823
----------------- -----------------
End of period (including undistributed net investment income of
$152 and $118, respectively). . . . . . . . . . . . . . . . . . . . . . . . . . $ 99,181 $ 71,736
----------------- -----------------
----------------- -----------------
</TABLE>
FUND SHARE TRANSACTIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 1,136 $ 21,006 2,426 $ 36,961
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 416 7,390 193 2,708
Payments for shares redeemed . . . . . . . . (577) (10,392) (2,832) (43,636)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 975 $ 18,004 (213) $ (3,967)
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</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.
YEAR ENDED AUGUST 31,
-------------------------------------------------
1998* 1997 1996 1995 1994**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 18.08 $ 13.36 $ 11.95 $ 10.51 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .05 .12 .15 .18 .15
Net realized and unrealized gain (loss) on investments . . 3.80 5.18 1.46 1.44 .47
---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . 3.85 5.30 1.61 1.62 .62
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.05) (.14) (.16) (.18) (.11)
Net realized gain on investments . . . . . . . . . . . . . (1.81) (.44) (.04) - -
---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . (1.86) (.58) (.20) (.18) (.11)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 20.07 $ 18.08 $ 13.36 $ 11.95 $ 10.51
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . 22.66 40.95 13.57 15.66 6.23
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period($000 omitted). . . . . . . . . . 99,181 71,736 55,823 43,884 26,747
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . . . . . . . .95 .95 .95 .95 .95
Operating expenses, gross (c) . . . . . . . . . . . . . 1.15 1.21 1.40 1.61 1.44
Net investment income . . . . . . . . . . . . . . . . . .63 .82 1.15 1.72 1.75
Portfolio turnover (%)(b). . . . . . . . . . . . . . . . . 43.86 29.88 38.34 39.32 36.48
Average commission rate paid per share
of security ($ omitted) . . . . . . . . . . . . . . . . .0433 .0421 .0436 N/A N/A
</TABLE>
* For the six months ended February 28, 1998 (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, 1998 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, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 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 9
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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, 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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to 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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 63,798,753 $ 36,981,293 $ (46,168) $ 36,935,125
</TABLE>
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 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.
The following reclassifications have been made at February 28, 1998:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED ADDITIONAL
NET INVESTMENT NET REALIZED PAID-IN
INCOME GAIN (LOSS) CAPITAL
-------------- -------------- --------------
<S> <C> <C>
$ 7,611 $ (172) $ (7,439)
</TABLE>
10 Semiannual Report
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
EXPENSES: Most expenses can be directly attributed to the 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
102% 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 102%.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases and sales of investment securities, excluding short-term
investments aggregated to $26,690,139 and $17,248,204, 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, 1998, 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, 1998, 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. These amounts are presented in 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 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
Semiannual Report 11
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
Company's Distributor on behalf of the Fund (up to a maximum of 5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as several unaffiliated service providers. For these
services, the Fund pays .025%, .175%, .175%, .175%, and .175% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $10,056, $1,268, $137, and $21,991, from the Adviser, SSBSI,
Commercial Banking, and Solutions, respectively. The Fund did not incur any
expenses from 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 August 31, 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 $20,050 for the six months ended
February 28, 1998.
12 Semiannual Report
<PAGE>
SSgA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
were as follows:
<TABLE>
<S> <C>
Advisory fees $ 91,010
Administration fees 3,274
Custodian fees 4,321
Distribution fees 2,757
Shareholder servicing fees 12,117
Transfer agent fees 3,654
Trustees' fees 495
----------
$ 117,628
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, two shareholders (who were
also affiliates of the Investment Company) were each record owners of
approximately 30% and 26%, respectively, of the total outstanding shares of
the Fund.
5. DIVIDENDS
On March 2, 1998, the Board of Trustees declared a dividend of $.0304 from
net investment income, payable on March 10, 1998 to shareholders of record
on March 3, 1998.
Semiannual Report 13
<PAGE>
SSgA GROWTH AND INCOME FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
14 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
INTERMEDIATE FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . . . 11
Fund Management and Service Providers. . . . . . . . . . . . . . . . . . . 16
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 97.1%
ASSET-BACKED SECURITIES - 7.3%
Chase Manhattan Auto Owner Trust
5.700% due 09/17/01 $ 500 $ 499
CIT RV Trust
6.400% due 02/15/07 300 302
Citibank Credit Card Master Trust I
Series 1997-7 Class A
6.350% due 08/15/02 1,000 1,009
Ford Credit Auto Loan Master Trust
Series 1996-1 Class A
5.500% due 02/15/03 370 365
Ford Credit Auto Owner Trust
Series 1996-B Class A4
6.300% due 01/15/01 500 503
Series 1998-A Class A3
5.650% due 10/15/01 370 369
Premier Auto Trust
Series 1996-2 Class A4
6.575% due 10/06/00 1,000 1,009
Series 1997-1 Class A4
6.350% due 04/06/02 250 252
Series 1997-2 Class A4
6.250% due 06/06/01 200 201
Series 1998-1 Class A3
5.630% due 10/15/01 500 498
----------
5,007
----------
CORPORATE BONDS AND
NOTES - 36.5%
A.H. Belo Corp.
6.875% due 06/01/02 750 765
Associates Corp. of North America
6.250% due 03/15/99 400 401
Banc One, Milwaukee, N.A.
6.625% due 04/15/03 500 509
Branch Banking & Trust Co.
6.200% due 09/15/99 1,000 1,003
5.700% due 02/01/01 250 248
Burlington Northern Santa Fe Corp.
6.375% due 12/15/05 200 200
CIT Group Holdings, Inc. (MTN)
6.250% due 03/22/99 1,450 1,456
6.250% due 10/04/99 500 502
6.400% due 01/28/00 500 504
Crown Cork & Seal, Inc.
7.000% due 06/15/99 750 759
Enron Corp.
9.650% due 05/15/01 150 165
6.500% due 08/01/02 750 754
Equitable Life Assurance Society
6.950% due 12/01/05 500 514
Fleet Financial Group
7.250% due 09/01/99 500 508
Ford Motor Credit Co.
7.250% due 05/15/99 300 304
Ford Motor Credit Co. (MTN)
6.110% due 12/28/01 700 698
Gatx Capital Corp.
6.500% due 11/01/00 500 504
General Electric Capital Corp.
Series A (MTN) Step Up Bond
8.090% due 04/01/04 (c) 1,000 1,098
General Motors Acceptance Corp.
7.125% due 06/01/99 500 507
5.625% due 02/15/01 1,000 990
6.375% due 12/01/01 500 504
General Motors Acceptance Corp.
6.625% due 04/24/00 (MTN) 200 202
GTE Corp.
9.375% due 12/01/00 800 864
Harris Corp.
6.650% due 08/01/06 700 705
Integra Bank (MTN)
6.550% due 06/15/00 500 506
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
International Lease Finance Corp.
6.125% due 11/01/99 $ 1,000 $ 1,002
6.375% due 01/18/00 500 502
6.625% due 08/15/00 500 506
Kemper Corp.
6.875% due 09/15/03 500 514
Lehman Brothers Holdings (MTN)
6.000% due 02/26/01 300 298
Lockheed Martin Corp.
6.550% due 05/15/99 1,250 1,257
6.850% due 05/15/01 800 818
Merrill Lynch & Co.
6.000% due 02/12/03 500 497
Nationsbank Corp.
7.625% due 04/15/05 900 965
News America Holdings, Inc.
7.450% due 06/01/00 200 205
Norfolk Southern Corp.
6.700% due 05/01/00 700 708
Norwest Financial, Inc. (MTN)
6.050% due 11/19/99 500 501
Norwest Financial, Inc. (MTN)
Series B
6.375% due 10/01/99 500 504
Pitney Bowes Credit Corp. (MTN)
Series C
6.540% due 07/15/99 700 708
Sears Roebuck Acceptance Corp.
Series II (MTN)
6.540% due 05/06/99 500 505
Time Warner, Inc.
8.110% due 08/15/06 275 300
----------
24,960
----------
EURODOLLAR BONDS - 3.0%
American Express Master Trust
5.375% due 09/15/00 500 493
Finland, Republic of
7.875% due 07/28/04 215 237
Ontario, Province of
7.375% due 01/27/03 500 528
6.000% due 02/21/06 500 498
Yorkshire Power Finance Ltd.
6.154% due 02/25/03 300 299
----------
2,055
----------
MORTGAGE-BACKED SECURITIES - 3.8%
Federal Home Loan Mortgage Corp.
5.950% due 01/19/06 500 500
Federal Home Loan
Mortgage Corp. Groups
Participation Certificate
4.500% due 04/01/01 399 387
Federal National Mortgage
Association Pools
6.000% due 2009 536 531
5.500% due 2011 288 281
Government National Mortgage
Association Pools (c)
7.000% due 2022 211 216
6.875% due 2022 217 222
7.000% due 2023 213 219
7.375% due 2023 208 214
----------
2,570
----------
UNITED STATES GOVERNMENT
AGENCIES - 8.8%
Federal Home Loan Bank
7.310% due 06/16/04 500 537
6.995% due 04/02/07 300 320
Federal National Mortgage Association
6.600% due 06/24/99 550 557
5.450% due 10/10/03 500 491
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
Federal National Mortgage
Association (MTN)
6.790% due 06/02/04 $ 500 $ 522
6.480% due 06/28/04 650 670
6.210% due 11/07/07 250 253
6.550% due 11/21/07 1,000 1,007
6.170% due 01/15/08 320 316
6.270% due 02/05/08 220 218
6.270% due 02/13/08 500 499
State of Israel Guaranteed Notes
Series 2-Z
Zero Coupon due 03/15/05 115 76
Series 7-B
5.700% due 02/15/03 500 497
Series 9-Z
Zero Coupon due 05/15/07 130 76
----------
6,039
----------
UNITED STATES GOVERNMENT
TREASURIES - 29.3%
United States Treasury Bonds
11.625% due 11/15/04 710 942
10.375% due 11/15/12 770 1,025
12.000% due 08/15/13 340 502
12.500% due 08/15/14 155 240
11.750% due 11/15/14 675 1,007
United States Treasury Notes
5.875% due 08/31/99 525 527
5.625% due 11/30/99 3,250 3,253
5.625% due 12/31/99 250 250
6.000% due 08/15/00 560 566
6.500% due 05/31/01 600 616
6.375% due 09/30/01 500 512
6.250% due 10/31/01 2,020 2,062
6.125% due 12/31/01 1,680 1,709
5.750% due 12/31/02 300 300
5.500% due 01/31/03 1,000 996
6.250% due 02/15/03 350 359
7.875% due 11/15/04 750 841
7.500% due 02/15/05 500 552
6.500% due 05/15/05 990 1,037
7.000% due 07/15/06 1,480 1,604
6.125% due 08/15/07 225 232
United States Treasury
Principal Only Strip
Zero Coupon due 05/15/99 60 56
Zero Coupon due 02/15/08 1,545 870
----------
20,058
----------
YANKEE BONDS - 8.4%
Ireland, Republic of
7.875% due 12/01/01 900 954
7.125% due 07/15/02 300 312
Manitoba, Province of
8.000% due 04/15/02 500 533
6.875% due 09/15/02 1,000 1,028
Manitoba, Province of
Series CK
9.000% due 12/15/00 500 538
Ontario, Province of
8.000% due 10/17/01 1,000 1,062
Quebec, Province of
9.125% due 03/01/00 1,275 1,346
----------
5,773
----------
TOTAL LONG-TERM INVESTMENTS
(cost $65,987) 66,462
----------
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 4.1%
AIM Short Term Investment
Prime Portfolio Class A (a) $ 1,546 $ 1,546
Valiant Money Market Fund Class A (a) 1,217 1,217
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $2,763) 2,763
----------
TOTAL INVESTMENTS
(identified cost $68,750)(b) - 101.2% 69,225
OTHER ASSETS AND LIABILITIES,
NET - (1.2%) (802)
----------
NET ASSETS - 100.0% $ 68,423
----------
----------
</TABLE>
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
(c) Adjustable or floating rate securities.
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, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $68,750)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . $ 69,225
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,064
Investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 761
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,325
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,823
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 51
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,902
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 68,423
--------------
--------------
NET ASSETS CONSIST OF:
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 542
Accumulated net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311
Unrealized appreciation (depreciation) on investments. . . . . . . . . . . . . . . . . . . . . . . . . . 475
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Additional paid--in capital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67,088
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 68,423
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($68,422,646 divided by 6,940,698 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 9.86
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannnual Report 7
<PAGE>
SSgA
INTERMEDIATE FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,851
Dividends. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
--------------
Total Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,892
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 243
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 4
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 348
Expense reductions (Note 4). . . . . . . . . . . . . . . . . . . . . . . . . . . . (165)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,709
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493
Net change in unrealized appreciation or depreciation of investments . . . . . . . . . . . . . . . . . . 357
--------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 850
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ 2,559
--------------
--------------
</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
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,709 $ 2,695
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 493 95
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . 357 790
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . 2,559 3,580
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,909) (2,564)
Net realized gain on investments . . . . . . . . . . . . . . . . . . . . . . . . . (10) -
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (1,919) (2,564)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 13,949 11,300
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 14,589 12,316
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,834 41,518
----------------- -----------------
End of period (including undistributed net investment income of
$542 and $733, respectively) . . . . . . . . . . . . . . . . . . . . . . . . . $ 68,423 $ 53,834
----------------- -----------------
----------------- -----------------
</TABLE>
FUND SHARE TRANSACTIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 1,930 $ 18,922 3,454 $ 33,329
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 174 1,687 242 2,313
Payments for shares redeemed . . . . . . . . (677) (6,660) (2,519) (24,342)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 1,427 $ 13,949 1,177 $ 11,300
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</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 outstanding throughout each fiscal
year or period and other performance information derived from the financial statements.
YEAR ENDED AUGUST 31,
-------------------------------------------------
1998* 1997 1996 1995 1994**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 9.76 $ 9.57 $ 9.72 $ 9.37 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .26 .54 .53 .56 .42
Net realized and unrealized gain (loss) on investments . . .16 .20 (.14) .34 (.76)
---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . .42 .74 .39 .90 (.34)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.32) (.55) (.54) (.55) (.29)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 9.86 $ 9.76 $ 9.57 $ 9.72 $ 9.37
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . 4.41 8.00 4.12 10.05 (3.42)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . 68,423 53,834 41,518 33,893 19,963
Ratios to average net assets (%)(b):
Operating expenses, net (c). . . . . . . . . . . . . . . . .60 .60 .60 .60 .60
Operating expenses, gross (c). . . . . . . . . . . . . . . 1.14 1.30 1.38 1.67 1.51
Net investment income. . . . . . . . . . . . . . . . . . . 5.62 5.78 5.57 6.29 5.11
Portfolio turnover (%)(b). . . . . . . . . . . . . . . . . . 285.75 242.76 221.73 26.31 15.70
</TABLE>
* For the six months ended February 28, 1998 (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 February 28, 1998 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, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 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.
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
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to distribute all of its taxable income. Therefore, the Fund paid no
federal income taxes and no federal income tax provision was required. At
August 31, 1997, the Fund had net tax basis capital loss carryovers of
$6,763 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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 68,750,648 $ 569,432 $ (95,462) $ 473,970
</TABLE>
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 certain
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.
The following reclassifications have been made at February 28, 1998:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED ADDITIONAL
NET INVESTMENT NET REALIZED PAID-IN
INCOME GAIN (LOSS) CAPITAL
-------------- -------------- --------------
<S> <C> <C>
$ 8,898 $ (1,458) $ (7,440)
</TABLE>
12 Semiannual Report
<PAGE>
SsgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
EXPENSES: Most expenses can be directly attributed to the 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
102% 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 102%.
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, 1998,
purchases and sales of investment securities, excluding US Government and
Agency obligations and short-term investments, aggregated to $17,531,358
and $20,626,561, respectively.
For the six months ended February 28, 1998, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $79,800,081 and $63,715,921, 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,
Semiannual Report 13
<PAGE>
SSgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
calculated daily and paid monthly, at the annual rate of .80% of its
average daily net assets. For the six months ended February 28, 1998, the
Adviser voluntarily agreed to reimburse the Fund for all expenses in excess
of .60% of average daily net assets on an annual basis. As of February 28,
1998, 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. These amounts are
presented in 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 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 5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as several unaffiliated service providers. For these
services, the Fund pays .025%, .175%, .175%, .175%, and .175% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses
14 Semiannual Report
<PAGE>
SSgA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
of $6,099 $232, $726, $314, and $11,076 from the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively.
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 August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 28,539
Administration fees 2,240
Custodian fees 7,529
Distribution fees 2,134
Shareholder servicing fees 8,232
Transfer agent fees 2,528
Trustees' fees 364
------------
$ 51,566
------------
------------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, two shareholders (one was
also an affiliate of the Investment Company) were record owners of
approximately 16% and 14%, respectively, of the total outstanding shares of
the Fund.
5. DIVIDENDS
On March 2, 1998, the Board of Trustees declared a dividend of $.0777 from
net investment income, payable on March 10, 1998 to shareholders of record
on March 3, 1998.
Semiannual Report 15
<PAGE>
SSgA INTERMEDIATE FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSgA-SM- FUNDS
EMERGING MARKETS FUND
SEMIANNUAL REPORT (UNAUDITED)
FEBRUARY 28, 1998
TABLE OF CONTENTS
Page
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 20
Fund Management and Service Providers . . . . . . . . . . . . . . . . . . 26
"SSgA-SM-" IS A SERVICE MARK OF STATE STREET CORPORATION AND IS LICENSED FOR USE
BY 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, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
COMMON STOCKS - 82.6%
ARGENTINA - 3.1%
Acindar Industria Argentina de Aceros SA Class B (a) 220,257 $ 533
Alpargatas (a) 728,007 280
Astra cia Argentina de Petro 387,620 725
Banco de Galicia 175,357 1,091
Celulosa Argentina (a) 232,719 67
Dalmine Siderca SA 313,796 823
Ledesma 359,967 344
Naviera Perez Companc Class B 182,890 1,204
Siderar SA Series A 11,700 55
Telecom Argentina Class B 114,329 841
Telefonica de Argentina Class B 200,250 721
YPF SA Class D 72,702 2,313
----------
8,997
----------
BRAZIL - 4.7%
Companhia Siderurgica
de Tubarao NPV 13,300,000 176
Eletrobras (centrais) NPV 66,847,000 3,005
Sider Nacional cia NPV 49,038,000 1,271
Telecomunicacoes Brasileiras NPV 92,496,200 9,166
----------
13,618
----------
CHILE - 3.8%
Banco de A. Edwards Series A - ADR 12,200 177
Banco Santander Chile Series A - ADR 34,800 444
Chile Fund, Inc. 130,700 2,173
Chilgener SA - ADR 31,300 751
Cjilquinta SA - ADR 4,550 47
Compania de Telecomunicaciones de Chile SA - ADR 88,300 2,417
Embotelladora Andina SA Series A - ADR 51,000 1,071
Enersis SA - ADR 56,100 1,634
Five Arrows Chile Fund (a) 550,000 1,265
Laboratorio Chile SA - ADR 4,450 81
Madeco SA - ADR 22,700 363
Santa Isabel SA - ADR 8,200 150
Sociedad Quimica Y Minera de Chile SA - ADR 4,800 207
Vina Concha Y Toro SA - ADR 4,800 139
----------
10,919
----------
CHINA - 0.7%
Beiren Printing Class H 60,000 8
China Telecom (Hong Kong), Ltd. - ADR (a) 5,700 204
Dong Fang Electric Machinery, Ltd. Class H 64,000 10
Guangshen Railway Company, Ltd. 6,000 78
Guangzhou Shipyard Class H 122,000 15
Harbin Power Equipment Class H 316,000 48
Huaneng Power International, Inc. Series N - ADR (a) 23,900 588
Jilin Chemical Industrial Co., Ltd. Class H 166,000 21
Luoyang Glasswork Class H (a) 268,000 25
Maanshan Iron & Steel Class H 590,000 63
Quingling Motors Class H 591,000 237
Shandong Huaneng Power Co., Ltd. Series N - ADR 16,500 139
Shanghai Hai Xing Shipping Co. Class H (a) 1,009,000 249
Shanghai Petrochemical Corp. 7,500 122
Tsingtao Brewery Class H (a) 151,000 38
Yizheng Chemical Fibre Class H 946,000 176
Zhenhai Refining & Chemical Co., Ltd. Series H 110,000 40
----------
2,061
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
COLOMBIA - 1.8%
Banco de Bogota NPV 91,525 $ 381
Banco Ganadero SA Class B - ADR 32,200 1,127
Banco Industrial Colombiano 34,900 75
Banco Industrial Colombiano SA - ADR 21,000 247
Bavaria 152,852 944
Cadenalco SA NPV 128,081 123
Cementos Argos 135,664 505
Cementos Diamante SA - GDR 49,300 450
Cia Nacional de Chocolates 77,000 433
Coltabaco SA 105,200 196
Suramericana de Seguros SA 27,025 364
Valores Bavaria SA (a) 143,079 469
----------
5,314
----------
CZECH REPUBLIC - 2.3%
Ceska Sporitelna AS 18,835 112
CEZ (a) 64,358 1,845
Cokoladovny AS 700 114
Komercni Banka AS 7,377 255
Skoda Koncern Plzen AG (a) 18,041 262
SPT Telecom AS (a) 28,773 3,415
Unipetrol AS (a) 212,608 568
----------
6,571
----------
EGYPT - 1.0%
MISR International Bank
SAE - GDR (a) 80,000 990
MISR International Bank
SAE - GDR (144A)(a) 95,600 1,183
Suez Cement Co. - GDR (a) 6,900 136
Suez Cement Co. - GDR (Regd)(a) 32,000 630
----------
2,939
----------
GREECE - 1.4%
Alpha Leasing SA (Regd) 3,800 65
Aluminum Co. of Greece Industrial
and Commercial (Regd) 3,420 150
Commercial Bank of Greece (Regd) 8,000 249
Credit Bank (Regd) 14,580 781
Ergo Bank (Regd) 6,280 313
ETBA Leasing SA (Regd) 8,190 47
Hellenic Bottling 14,520 361
Hellenic Telecommunication Organization SA 29,683 589
Heracles General Cement Co. 19,300 358
Ionian Bank SA (Regd)(a) 3,060 53
Loulis Flour Mills SA (Regd) 29,447 107
Naoussa Spinning Mills 39,800 113
National Bank of Greece (Regd)(a) 4,215 301
National Mortgage Bank 4,407 199
Nikas SA 3,800 38
Petzetakis SA (a) 22,281 116
Shelman SA 18,120 89
Strintzis Shipping 49,640 141
----------
4,070
----------
HUNGARY - 1.6%
Danubius Hotel (Regd)(a) 9,935 281
Egis Gyogyszergyar 4,708 287
Fotex Rt. (Regd)(a) 240,294 242
Gedeon Richter, Ltd. - GDR 6,300 694
Magyar Olaj Es Gas 16,599 436
Magyar Tavkozlesi Rights (Regd)(a) 287,984 1,480
Mol Magyar Olay-Es Gazipari - GDS (a) 10,300 273
OTP Bank 8,740 398
Pick Szeged Rt. (a) 4,268 299
Tisza Vegyi Kombinat Rt. (a) 6,901 122
----------
4,512
----------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
INDIA - 4.0%
Andhra Valley Power
Supply Co., Ltd. 74,200 $ 150
Arvind Mills, Ltd. 34,300 48
Bajaj Auto, Ltd. 27,300 394
Bharat Heavy Electricals, Ltd. 63,600 517
Bharat Petroleum Corp., Ltd. 18,400 178
Bombay Fund NPV (a) 147,223 1,151
CESC, Ltd. 184,900 130
Colgate-Palmolive Co. 42,800 274
Crompton Greaves, Ltd. 51,500 41
Finolex Cables, Ltd. 28,700 100
Gujarat State Fertilisers & Chemicals, Ltd. 72,200 159
Hindustan Lever, Ltd. 25,600 992
Industrial Development Bank 303,500 655
ITC, Ltd. 27,400 461
Madras Refineries, Ltd. 165,800 193
Mahanagar Telephone Nigam, Ltd. 123,400 818
Mahindra & Mahindra, Ltd. 12,500 78
Morgan Stanley India Investment Fund, Inc. (a) 165,300 1,333
Ranbaxy Laboratories, Ltd. 5,900 103
Reliance Industries Ltd. - GDS (a) 50,000 432
Reliance Industries, Ltd. 96,200 391
State Bank Of India 28,100 183
Tata Engineering & Locomotive Co., Ltd. 72,850 460
Tata SSL, Ltd. 107,600 362
The India Fund, Inc. (a) 233,900 1,710
Videsh Sanchar Nigam, Ltd. 16,900 316
----------
11,629
----------
ISRAEL - 5.7%
Africa - Israel Investments, Ltd. (a) 1,251 663
Agis Industries Ltd. 74,118 478
Bank Hapoalim, Ltd. 1,240,855 2,905
Bank Leumi Le-Israel 739,433 1,255
Bezeq Israeli Telecommunication Corp., Ltd. 449,193 1,073
Clal Industries, Ltd. 121,344 593
Clal Israel, Ltd. 400,000 118
Dead Sea Works, Ltd. 121,253 338
Delek Israel Fuel Corp. Ltd. 22,118 812
Discount Investment Corp. (Regd) 12,902 316
ECI Telecom, Ltd. 29,100 844
Elco Holdings Ltd. 134,240 772
Electric Wire & Cable 14,000 51
Electrochemical Industries 1952, Ltd. (a) 39,713 40
IDB Development Corp., Ltd. 5,780 123
Israel Chemicals, Ltd. 271,375 348
Koor Industries 16,443 1,712
Leumi Insurance Holdings (a) 385,830 207
Makteshim Chemical Works (a) 21,500 166
Osem Investment, Ltd. 93,925 397
Supersol, Ltd. 104,723 338
Tadiran, Ltd. 3,360 133
Tadiran, Ltd. - ADR 15,200 608
Teva Pharmaceutical Industries, Ltd. - ADR 49,800 2,085
----------
16,375
----------
MALAYSIA - 6.1%
Affin Holdings Berhad 251,000 175
Amalgamated Steel Mills (a) 546,000 140
AMMB Holdings Berhad 305,000 375
Arab Malaysian Corp. Berhad 95,000 61
Arab-Malaysian Development Berhad 333,000 98
Bandar Raya Developments 989,000 377
Cahya Mata Sarawak Berhad 460,000 433
Cement Industries 146,000 118
Cold Storage 24,000 17
DCB Holdings Berhad 186,000 175
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Diversified Resources Berhad 545,000 $ 400
Faber Group Berhad (a) 445,600 121
Golden Hope Plantation 417,000 553
Highlands & Lowlands 250,000 275
Hong Leong Credit 95,000 103
IGB Corp. Berhad 450,000 191
Kuala Lumpur Kepong 141,000 342
Kumpulan Guthrie 297,000 209
LARUT Consolidated Berhad 251,000 82
Lion Land Berhad 1,308,000 329
Malayan Banking Berhad 286,000 1,107
Malaysia Mining Corp. 544,000 339
Malaysian Airline System 175,000 201
Malaysian Helicopter Services 170,000 49
Malaysian International Shipping Corp.
(Alien Market) 185,000 340
Malaysian Residential Corp. 240,000 162
MBF Capital Berhad 328,000 155
Metroplex Berhad 382,000 133
Oriental Holdings Berhad 125,440 255
Perlis Plantations 164,250 271
Perusahaan Otomobl 160,000 301
Petronas Gas Berhad 225,000 621
Public Bank Berhad 105,600 59
Public Bank Berhad (Alien Market) 92,799 55
Rashid Hussain Berhad 93,000 146
Renong Berhad (a) 806,000 380
Rothmans Pall Mall 163,000 1,445
Sime Darby Berhad 1,265,800 1,644
Tan Chong Motor Holdings 1,071,000 756
Technical Resource Industries Berhad 170,000 176
Telekom Malaysia 471,500 1,595
Tenaga Nasional Berhad 414,000 1,087
UMW Holdings Berhad 378,000 491
UMW Holdings Berhad
2000 Warrants (a) 4,000 1
Westmont Industries Berhad (a) 1,219,000 294
YTL Corporation Berhad 553,000 950
----------
17,587
----------
MEXICO - 9.2%
Alfa SA de CV Class A NPV 176,662 1,005
Altos Hornos de Mexico SA - NPV (a) 499,000 815
Carso Global Telecom
Series A1 NPV 307,000 1,008
Cemex SA de CV Class B NPV (a) 135,737 649
Cifra SA de CV
Series V NPV (a) 838,661 1,621
Controladora Comercial Mexicana SA de CV 462,000 531
Cydsa SA
Series A NPV 356,000 759
Desc SA de CV NPV 88,931 650
Desc Sociedad de Fomento Industrial SA de CV
Series B NPV 30,000 215
Empresa Nacional de Electric - ADR 103,450 1,907
Fomento Economico Mexicano SA de CV Series B NPV 97,000 722
Grupo Carso
Series A NPV 90,000 549
Grupo Casa Autrey SA de CV NPV 360,000 540
Grupo Cementos Chihuahua
Series B NPV 633,000 594
Grupo Continental SA 273,500 879
Grupo Financiero Banamex AC
Series B NPV (a) 368,000 925
Grupo Financiero Bancomer
Series B NPV (a) 1,662,000 963
Grupo Gigante SA
Series B NPV (a) 2,930,000 1,213
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Grupo Mexico SA Series B NPV 239,108 $ 824
Grupo Posadas SA Series A NPV (a) 680,000 456
Grupo Simec SA de CV
Series B NPV (a) 620,000 94
Grupo Tribasa SA de CV - ADR (a) 65,000 337
Herdez Class B NPV 878,000 636
Hylsamex SA de CV Series B NPV 93,000 445
Ingenieros Civiles NPV 362,000 720
Kimberly-Clark, Mexico
Class A NPV 180,000 817
Telefonos de Mexico SA
Series L - ADR 67,800 3,436
Telefonos de Mexico SA
Series L NPV 510,900 1,282
Tubos de Acero de Mexico NPV (a) 35,000 610
TV Azteca SA de CV - ADR (a) 7,500 154
Vitro SA NPV 279,000 1,053
----------
26,409
----------
PAKISTAN - 2.0%
Bank of Punjab (a) 228,838 78
Cherat Cement Co., Ltd. 93,000 37
Crescent Textile Mills (a) 47,355 13
Dandot Cement Co. (a) 35,000 2
Dewan Salmon Fibre 183,011 105
DG Kahn Cement (a) 160,000 24
Dhan Fibres, Ltd. (a) 1,027,000 85
Engro Chemical 92,425 225
Fauji Fertilizer 290,800 542
Hub Power Co., Ltd. - GDR (a) 1,360,800 1,702
Ici Pakistan (a) 1,244,000 510
Karachi Electric (a) 516,520 291
Lucky Cement Corp. (a) 190,000 21
Muslim Commercial (a) 372,860 249
Pakistan International Air (a) 228,000 32
Pakistan State Oil 94,303 632
Pakistan Telecom Corp.
Series A 1,466,400 1,091
Pioneer Cement (a) 61,300 7
Sui Northern Gas Pipelines (a) 162,958 85
Sui Southern Gas Co., Ltd. (a) 424,686 190
----------
5,921
----------
PERU - 0.7%
Banco Wiese (a) 80,610 98
Banco Wiese - ADR (a) 9,100 44
Cementos Lima SA 3,800 68
Cementos Norte Pacasmayo SA
Class T 31,151 42
Cerveceria Backus & Johnston SA 200,000 141
Compania de Minas Buenaventura
Series B - ADR 6,400 86
Credicorp, Ltd. 42,000 677
Minas Buenaventura Series B 16,600 115
Minsur SA 53,345 95
Telefonica Del Peru SA
Class B - ADR 30,500 578
----------
1,944
----------
PHILIPPINES - 3.2%
Aboitiz Equity Ventures (a) 4,918,500 275
Alsons Cement Corp. 656,250 36
Ayala Corp. 1,318,725 622
Belle Corporation (a) 2,233,200 99
C & P Homes, Inc. 1,071,000 88
EEI Corp. (a) 840,800 32
Far East Bank & Trust Co. 90,200 109
Filinvest Development Corp. 463,100 49
Filinvest Land (a) 3,598,000 362
First Philippine Holdings
Class B 327,660 214
</TABLE>
Semiannual Report 7
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Ionics Circuit, Inc. NPV (a) 244,500 $ 135
JG Summit Holdings, Inc.
Series B 2,197,300 205
Kuok Philippine Properties, Inc. (a) 3,353,055 46
Manila Electric Co. Class B 298,980 894
Megaworld Properties
& Holdings, Inc. (a) 1,565,550 26
Metro Pacific Corp. Class A 1,042,720 44
Metropolitan Bank & Trust Co. 71,172 599
Petron Corp. 2,024,640 300
Philex Mining Corp. Class B (a) 499,500 12
Philippine Long Distance
Telephone Co. 27,300 738
Philippine Long Distance
Telephone Co. - ADR 81,300 2,144
Philippine National Bank (a) 127,650 262
Robinson's Land Corp. Class B (a) 2,264,400 141
San Miguel Corp. Class B 552,120 916
Security Bank Corp. (a) 223,900 135
SM Prime Holdings 3,376,600 628
Southeast Asia Cement
Holdings, Inc. (a) 5,354,200 94
Universal Robina 657,100 124
----------
9,329
----------
POLAND - 5.8%
Agros Holdings Series C (a) 14,175 391
Bank Handlowy W. Warszawie (a) 150,410 2,377
Bank Inicjatyw Gospodarczych 1,246,261 1,737
Bank Rozwoju Eksportu SA 22,775 654
Bank Slaski SA 17,835 1,332
Banka Przemyslowo 18,275 1,470
Budimex SA Series B (a) 79,775 378
Debica SA 42,707 1,154
Elektrim 129,140 1,688
Exbud SA (a) 17,362 218
Jelfa (a) 11,865 334
KGHM Polska Miedz SA (a) 317,590 1,195
KGHM Polska Miedz SA - GDR (a) 9,000 69
Mostostal Export SA 119,235 350
Okocimskie Zaklady Piwowarskie SA (a) 91,223 773
Polifarb (a) 108,402 551
Polifarb Wroclaw SA Series D (a) 13,256 69
ROLIMPEX SA Series A (a) 103,682 215
Sokolowskie Zaklady Miesne SA 93,324 126
STALEXPORT SA Series A (a) 100,295 764
Universal SA (a) 178,385 308
WBK 21,500 167
Wolczanka SA 27,970 106
Zywiec 3,310 325
----------
16,751
----------
PORTUGAL - 5.4%
Banco Comercial Portuguese (Regd) 118,867 3,942
Banco Portugues de Investimento (Regd) 49,583 1,780
Banco Totta e Acores (Regd) 13,236 367
Banif Banco International do Funchal 37,757 384
Brisa-Auto Estradas de Portugal SA (Regd)(a) 10,638 484
Cimpor Cimentos de Portugal 21,100 611
Companhia de Celulose do Caima SA 13,900 176
Corticeira Amorim SGPS 34,700 529
Electricidade de Portugal SA (a) 14,000 297
Empresa Fabril de Maquinas Electricas - Efacec 45,866 404
Inparsa Industria e Participacoes SA (a) 7,800 192
Inparsa-Industria e Participacoes - SGPS SA (a) 1,950 48
Jeronimo Martins SGPS 37,500 1,295
</TABLE>
8 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Lusotur Societe Finance de Turismo (a) 11,800 $ 114
Mague Gestao e Partipacoes 15,200 359
Modelo Continente SGPS SA 14,700 834
Portucel Industrial SA 42,900 326
Portugal Telecom SA 29,200 1,532
Portugal Telecom SA - ADR 7,200 379
Salvador Caetano Industrias
Metalurgicas Veiculos de Transporte SA 2,464 54
Sonae Investimentos SA 15,600 702
Soporcel SA (a) 15,600 604
Telecel-Comunicacaoes
Pessoaissa (a) 2,000 266
----------
15,679
----------
RUSSIA - 4.1%
AO Mosenergo - ADR 14,200 551
Gorkovsky Auto Plant (Regd)(a) 2,200 271
Lukoil Oil Co. - ADR 54,200 3,767
Megionneftegaz (Regd)(a) 24,300 87
Mosenergo - ADR (a) 17,500 679
Rostelecom (a) 348,300 1,219
Surgutneftegaz - ADR 256,400 1,827
Tatneft - ADR 4,200 462
Unified Energy Systems - GDR (a) 83,400 2,293
Vimpel-Communications - ADR (a) 13,700 545
----------
11,701
----------
SOUTH AFRICA - 8.0%
AECI, Ltd. 217,202 725
Amalgamated Banks of South Africa 262,867 2,021
Anglo America Corp. SA 58,173 2,437
Anglo American Industrial Corp. 11,744 276
Billiton PLC (a) 123,712 307
De Beers Centenary AG 78,244 1,552
Del Monte Royal Food, Ltd. 554,539 337
Free State Consolidated Gold Mines, Ltd. 85,668 407
Gencor, Ltd. 380,200 662
Impala Platinum Holdings, Ltd. 34,600 343
Iscor 1,872,251 625
Liberty Life Association of Africa 105,413 3,200
Liberty Life Strategic 92,707 385
Malbak, Ltd. NPV 277,950 233
Nedcor, Ltd. 51,600 1,504
Rembrandt Group, Ltd. 272,894 1,867
Sappi, Ltd. (a) 189,132 840
Sasol NPV 151,646 1,295
South African Breweries 53,752 1,508
Standard Bank Investment Corp., Ltd. 19,650 1,090
Sun International (South Africa), Ltd. 450,300 310
Tongaat-Hulett Group, Ltd. 34,819 366
Vaal Reefs Exploration & Mining, Ltd. 10,178 418
Western Deep Levels, Ltd. 19,691 382
----------
23,090
----------
SOUTH KOREA - 0.0%
Korea Long-Term Credit Bank (a) 1,555 9
SK Telecom Co, Ltd. 15 5
Seoul Access Trust - IDR (a) 12* 59
Seoul Horizon Trust (a) 5,000 26
Ssangyoung Cement Co., Ltd. (e) 20 -
----------
99
----------
SRI LANKA - 1.5%
Aitken Spence & Co. 87,900 232
Asian Hotel Corp. (a) 176,200 20
Blue Diamond Jewel NPV 260,136 16
</TABLE>
Semiannual Report 9
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Central Finance Co. 25,600 $ 82
Colombo Drydocks 114,700 30
Development Finance Corp. 296,500 1,019
Hayleys 139,305 497
John Keells Holdings, Ltd. 431,344 1,951
Lanka Ceramic (a) 46,300 19
Lanka Milk Food (a) 21,600 2
Lanka Orix Leasing 14,880 25
Merchant Bank of Sri Lanka (a) 162,800 21
National Development Bank 94,000 328
Richard Pieris & Co. 1,650 3
United Motor 32,160 23
----------
4,268
----------
TAIWAN - 2.8%
Acer, Inc. (a) 131,833 319
Ambassador Hotel (a) 233,100 217
Cathay Life Insurance 132,780 584
Chia Hsin Flour (a) 30,781 12
China Development Corp. (a) 199,500 669
China Petrochemical Development Corp. (a) 335,240 364
China Rebar (a) 24,840 11
China Steel Corp. 561,495 380
Ensure Co., Ltd. (a) 96,800 140
Far Eastern Textile 345,412 405
Hua Nan Bank 194,280 567
Hualon Teijran (a) 28,142 16
Kao Hsing Chang Iron & Steel (a) 17,820 15
Kwong Fong Industries (a) 16,445 22
Lealea Enterprise (a) 23,257 19
Pacific Construction (a) 332,700 222
Pacific Electrical Wire & Cable (a) 416,435 476
Prince Housing Development (a) 14,968 10
Taipei Business Bank 59,405 96
Taiwan Liton Electronic Co., Ltd. 146,000 544
Taiwan Semiconductor
Manufacturing Co. (a) 208,000 1,084
Tatung Co., Ltd. 502,000 533
Teco Electric & Machinery (a) 334,000 448
Tuntex Distinct (a) 882,394 443
Walsin Lihwa Wire (a) 684,851 491
Yue Loong Motor 19,950 38
Yuen Foong Yu Manufacturing (a) 16,736 9
----------
8,134
----------
THAILAND - 2.5%
Advanced Information Services
(Alien Market) 91,500 697
Bangchak Petroleum (Alien Market) 156,200 37
Bangkok Bank (Alien Market) 162,500 555
Bangkok Expressway PLC (Alien Market)(a) 396,000 386
Bangkok Land Co. (Alien Market)(a) 118,700 12
Bangkok Metropolitan Bank PLC (Alien Market)(a) 1,052,200 64
Bangkok Rubber PLC
(Alien Market)(a) 24,400 5
Bank of Ayudhya (Alien Market) 149,150 94
Cogeneration PLC (Alien Market) 58,300 61
Electricity Generating PLC (Alien Market) 224,600 590
Finance One Public Co., Ltd. (Alien Market)(a)(e) 158,300 -
First Bangkok City Bank PLC (Alien Market) 305,900 7
Industrial Finance Corp. of Thailand (Alien Market) 301,700 203
Karat Sanitaryware PLC (Alien Market)(a) 39,150 10
Krung Thai Bank PLC (Alien Market) 695,100 246
</TABLE>
10 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
National Finance & Securities (Alien Market) 271,600 $ 166
National Finance & Securities
PLC Rights (Alien Market)(a) 271,600 103
National Petrochemical PLC (Alien Market)(a) 103,900 93
Nava Finance & Securities PLC (Alien Market) 101,100 30
NEP Realty & Industry Co. PLC (Alien Market)(a) 14,700 1
Padaeng Industry Co., Ltd. PLC (Alien Market)(a) 88,400 18
PTT Exploration & Production PLC (Alien Market) 58,400 760
Saha Pathana Inter-Holding PLC (Alien Market) 44,200 32
Saha Union Corp. PLC (Alien Market) 235,200 208
Sahaviriya Steel Industries PLC (Alien Market)(a) 411,500 32
Shinawatra Computer Co. (Alien Market) 48,000 310
Shinawatra Satellite PLC (Alien Market) 148,200 62
Siam Cement Co. (Alien Market) 23,000 327
Siam City Bank PLC (Alien Market) 467,200 3
Siam Commercial Bank PLC (Alien Market) 176,100 372
Tanayong (Alien Market)(a) 262,400 26
TelecomAsia (Alien Market)(a) 1,039,500 604
Thai Airways International (Alien Market) 130,000 160
Thai Farmers Bank (Alien Market) 59,600 178
Thai Petrochemical Industry PLC (Alien Market) 686,900 183
Thai Telephone & Communication Co.
(Alien Market)(a) 910,900 259
Tipco Asphalt Public Co., Ltd. (Alien Market) 38,000 83
TPI Polene PLC (Alien Market) 154,400 29
Unicord PLC (Alien Market)(a)(e) 348,600 -
United Communications Industries (Alien Market) 151,200 193
Univest Land PLC (Alien Market)(a)(e) 281,600 -
----------
7,199
----------
TURKEY - 1.2%
Akbank 5,258,436 415
Eczacibasi Ilac Sanayii ve Ticaret AS (a) 4,126,000 174
Erciyas Biracilik Ve Malt Sanayii 1,456,000 189
Eregli Demir Ve Celik Fabrikalari 2,951,000 364
Izmir Demir Celik Sanayii AS (a) 11,171,636 80
Kartonsan 2,043,750 113
Petrokimya Holdings 805,000 497
Raks Elektronik Sanayi ve Ticaret AS 510,000 121
T Sise Cam (a) 11,312,970 456
Tofas Turk Otomobil Fabrikasi 6,147,750 234
Turk Hava Yollari A.O. (a) 2,860,000 183
Turk Hava Yollari Anonim Ortakligi Rights (a) 1,430,000 85
Yapi Kredi Bankasi 13,916,985 458
----------
3,369
----------
TOTAL COMMON STOCKS
(cost $244,809) 238,485
----------
PREFERRED STOCKS - 4.3%
BRAZIL - 4.2%
Acos Villares SA NPV (a) 1,000,000 88
Banco Bradesco SA NPV 121,077,064 1,028
</TABLE>
Semiannual Report 11
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF VALUE
SHARES (000)
---------- ----------
<S> <C> <C>
Banco do Estado de Sao Paulo NPV (a) 10,418,400 $ 581
Banco Itau SA (Regd) 1,764,000 1,043
Banco Nacional SA NPV (a)(e) 19,600,000 -
Caemi Mineracao e Metal (BR)(a) 6,992,000 303
CEMIG SA 22,360,856 960
Ceval Alimentos SA NPV 61,288,800 217
Ceval Participacoes (a) 30,450,000 129
Companhia Energetica de Sao Paulo NPV 12,983,800 632
Companhia Siderurgica Belgo-Mineira NPV 10,270,000 473
Companhia Siderurgica de Tubarao (a) 56,938,928 741
Companhia Vale do Rio Doce Series B NPV (a)(e) 88,765 -
Copene Petroquimica do Nordestse Series A (Regd) 1,580,341 429
Electrobras
Series B NPV 6,501,000 305
Gerdau Metalurgica SA 22,248,904 690
Gerdau SA NPV 50,986,752 812
Hering SA (cia) NPV (a) 30,450,000 27
Papel Simao NPV 15,500,000 226
Petroleo Brasileiro SA NPV 5,184,500 1,174
Telecomunicacoes - NPV 596,458 165
UNIPAR SA Class B (a) 580,226 134
Vale Rio Doce (cia) NPV 88,765 1,932
----------
12,089
----------
GREECE - 0.1%
Delta Dairy 23,084 207
----------
207
----------
TOTAL PREFERRED STOCKS
(cost $11,485) 12,296
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
---------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.1%
PHILIPPINES - 0.1%
Ayala Corp. (conv.)
3.000% due 06/08/00 $ 232 $ 259
----------
TOTAL LONG-TERM INVESTMENTS
(cost $304) 259
----------
SHORT-TERM INVESTMENTS - 13.0%
CANADA - 2.8%
Bank of Nova Scotia
5.715% due 10/30/98 (d) 5,000 4,994
Canadian Imperial Bank
5.880% due 09/02/98 (d) 3,000 2,999
----------
7,993
----------
UNITED STATES - 10.2%
Caterpillar Financial Services
6.530% due 12/11/98 (d) 5,000 5,020
Caterpillar Financial Services
7.620% due 10/06/98 (d) 2,000 2,021
Fleet Financial Group, Inc.
6.000% due 10/26/98 (d) 10,000 10,006
General Motors Acceptance Corp.
7.625% due 03/09/98 (b)(d) 2,000 2,001
GTE Corp.
8.850% due 03/01/98 (b)(d) 3,000 3,000
AIM Short Term Investment Treasury Portfolio (b) 3,797 3,797
Valiant Money Market Fund
Class A (b) 3,645 3,645
----------
29,490
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $37,484) 37,483
----------
TOTAL INVESTMENTS
(identified cost $294,082)(c) - 100.0% 288,523
</TABLE>
12 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
----------
<S> <C>
OTHER ASSETS AND LIABILITIES,
NET - (0.0)% $ (9)
----------
NET ASSETS - 100.0% $ 288,514
----------
----------
</TABLE>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
(d) Held as collateral by the custodian in connection with an equity swap
agreement held by the Fund.
(e) The Board of Trustees has estimated the value of the Fund's holdings at
zero. It is possible that the estimated value may differ significantly from
the amount that might ultimately be realized.
ABBREVIATIONS:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
GDS - Global Depositary Share
IDR - International Depositary Receipt
LIBOR - London Interbank Offered Rate
PLC - Public Limited Company
* Reflected in units. 1 IDR = 1,000 shares
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
INDUSTRY DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
<S> <C> <C>
Auto and Transportation 2.0% $ 5,653
Consumer Discretionary 9.3 26,927
Consumer Staples 5.8 16,611
Financial Services 22.2 64,110
Health Care 0.7 2,092
Integrated Oils 2.5 7,257
Materials and Processing 14.6 42,091
Miscellaneous 2.8 8,177
Other energy 4.3 12,438
Producer Durables 5.1 14,668
Technology 2.1 6,079
Utilities 15.5 44,678
Long-Term Investments 0.1 259
Short-Term Investments 13.0 37,483
---------- ----------
Total Investments 100.0 288,523
Other Assets and Liabilities, Net (0.0) (9)
---------- ----------
NET ASSETS 100.0% $ 288,514
---------- ----------
---------- ----------
</TABLE>
<TABLE>
<CAPTION>
% OF MARKET
NET VALUE
GEOGRAPHIC DIVERSIFICATION ASSETS (000)
- ------------------------------------------------ ---------- ----------
<S> <C> <C>
Europe 30.6% $ 88,174
Latin America 27.4 79,031
Pacific Basin 20.9 60,486
Africa 8.0 23,090
Long-Term Investments 0.1 259
Short-Term Investments 13.0 37,483
---------- ----------
Total Investments 100.0 288,523
Other Assets and Liabilities, Net (0.0) (9)
---------- ----------
NET ASSETS 100.0% $ 288,514
---------- ----------
---------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1998 (Unaudited)
<TABLE>
<CAPTION>
EQUITY SWAPS (Note 2)
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT FLOATING TERMINATION (DEPRECIATION)
UNDERLYING SECURITY (000) RATE DATE (000)
- ---------------------------------------- ------------ ----------------------------- ------------ ---------------
<S> <C> <C> <C> <C>
Korean 200 Stock Price Index (KS200) $ 5,000 USD LIBOR-BBA minus 1.00% 03/09/98 $ (2,794)
Korean 200 Stock Price Index (KS200) 5,000 USD LIBOR-BBA minus 3.00% 09/26/98 (2,413)
Kuala Lumpur Composite Index (KLCI) 2,500 3 Month LIBOR minus 5.00% 11/11/98 (6)
Korean 200 Stock Price Index (KS200) 2,500 3 Month LIBOR minus 20.00% 11/11/98 104
Korean 200 Stock Price Index (KS200) 5,000 USD LIBOR-BBA minus 10.00% 11/12/98 (1,302)
MSCI Taiwan Composite Index (MSTW) 5,000 USD LIBOR-BBA minus 11.00% 11/15/98 946
Korean 200 Stock Price Index (KS200) 5,000 3 Month LIBOR minus 13.50% 12/26/98 4,541
---------------
$ (924)
---------------
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 15
<PAGE>
SSgA
EMERGING MARKETS FUND
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
February 28, 1998 (Unaudited)
Amounts in
thousands (except
per share amount)
<S> <C> <C>
ASSETS
Investments at market (identified cost $294,082)(Note 2) . . . . . . . . . . . . . . . . . . . . . . . . $ 288,523
Foreign currency holdings (identified cost $2,909) . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,900
Receivables:
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,006
Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 600
Deferred organization expenses (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293,036
LIABILITIES
Payables:
Investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,628
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 510
Accrued fees to affiliates and trustees (Note 4) . . . . . . . . . . . . . . . . . 457
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Liability for equity swaps (Note 2). . . . . . . . . . . . . . . . . . . . . . . . . 924
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,522
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 288,514
--------------
--------------
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income . . . . . . . . . . . . . . . . . . . . . . $ (765)
Accumulated net realized (loss). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,362)
Unrealized appreciation (depreciation) on:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5,559)
Equity swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (924)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6)
Shares of beneficial interest. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 305,102
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 288,514
--------------
--------------
NET ASSET VALUE, offering and redemption price per share:
($288,514,314 divided by 27,866,183 shares of $.001 par value
shares of beneficial interest outstanding) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 10.35
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1998 (Unaudited)
Amounts
in thousands
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes withheld of $150) . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,192
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 577
--------------
Total Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,769
EXPENSES (Notes 2 and 4):
Advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 950
Administrative fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 454
Distribution fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Professional fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Registration fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
Transfer agent fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Amortization of deferred organization expenses . . . . . . . . . . . . . . . . . . 3
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
--------------
Expenses before reductions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,730
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . (148)
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,582
--------------
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,187
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (8,383)
Equity swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (835)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . (142) (9,360)
--------------
Net change in unrealized appreciation or depreciation of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (24,889)
Equity swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (896)
Foreign currency-related transactions. . . . . . . . . . . . . . . . . . . . . . . 32 (25,753)
-------------- --------------
Net gain (loss) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (35,113)
--------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . $ (33,926)
--------------
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 17
<PAGE>
SSgA
EMERGING MARKETS FUND
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1998 ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,187 $ 1,954
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,360) 5,905
Net change in unrealized appreciation or depreciation. . . . . . . . . . . . . . . (25,753) 11,846
----------------- -----------------
Net increase (decrease) in net assets resulting from operations . . . . . . . . (33,926) 19,705
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,648) (1,264)
In excess of net investment income . . . . . . . . . . . . . . . . . . . . . . . . (573) -
Net realized gain on investment. . . . . . . . . . . . . . . . . . . . . . . . . . (5,478) (702)
In excess of net realized gain on investments . . . . . . . . . . . . . . . . . . (24) -
----------------- -----------------
Total Distributions to Shareholders . . . . . . . . . . . . . . . . . . . . . . (8,723) (1,966)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions . . . . . . . . 78,455 114,753
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . 35,806 132,492
NET ASSETS
Beginning of period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252,708 120,216
----------------- -----------------
End of period (including accumulated distributions in excess
of net investment income of $765 and undistributed
net investment income of $1,284). . . . . . . . . . . . . . . . . . . . . . . . $ 288,514 $ 252,708
----------------- -----------------
----------------- -----------------
</TABLE>
<TABLE>
<CAPTION>
FUND SHARE TRANSACTIONS
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR
FEBRUARY 28, 1998 (UNAUDITED) ENDED AUGUST 31, 1997
------------------------------------- -------------------------------------
SHARES DOLLARS SHARES DOLLARS
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Proceeds from shares sold. . . . . . . . . . 13,348 $ 140,625 13,524 $ 165,252
Proceeds from reinvestment
of distributions . . . . . . . . . . . . . 663 8,156 171 1,875
Payments for shares redeemed . . . . . . . . (6,636) (70,326) (4,262) (52,374)
----------------- ----------------- ----------------- -----------------
Total net increase (decrease). . . . . . . . 7,375 $ 78,455 9,433 $ 114,753
----------------- ----------------- ----------------- -----------------
----------------- ----------------- ----------------- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
18 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.
YEAR ENDED AUGUST 31,
-------------------------------------------------
1998* 1997 1996 1995 1994**
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . $ 12.33 $ 10.87 $ 10.30 $ 11.45 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . .06 .12 .11 .14 .05
Net realized and unrealized gain (loss) on investments . . (1.63) 1.51 .68 (1.19) 1.40
---------- ---------- ---------- ---------- ----------
Total Income From Investment Operations . . . . . . . . (1.57) 1.63 .79 (1.05) 1.45
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income. . . . . . . . . . . . . . . . . . . (.12) (.11) (.12) (.10) -
In excess of net investment income . . . . . . . . . . . . (.03) - - - -
Net realized gain on investments . . . . . . . . . . . . . (.26) (.06) (.10) - -
---------- ---------- ---------- ---------- ----------
Total Distributions . . . . . . . . . . . . . . . . . . (.41) (.17) (.22) (.10) -
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . $ 10.35 $ 12.33 $ 10.87 $ 10.30 $ 11.45
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN (%)(a). . . . . . . . . . . . . . . . . . . . . (13.62) 15.12 7.83 (9.28) 14.50
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) . . . . . . . . . 288,514 252,708 120,216 68,385 27,479
Ratios to average net assets (%)(b):
Operating expenses, net (c) . . . . . . . . . . . . . . 1.25 1.25 1.28 1.50 1.50
Operating expenses, gross (c) . . . . . . . . . . . . . 1.37 1.51 1.67 1.90 2.45
Net investment income . . . . . . . . . . . . . . . . . .94 1.07 1.10 1.74 1.31
Portfolio turnover (%)(b). . . . . . . . . . . . . . . . . 25.44 15.00 4.36 19.77 -
Average commission rate paid per share
of security ($ omitted)(d) . . . . . . . . . . . . . . . .0032 .0017 .0006 N/A N/A
</TABLE>
* For the six months ended February 28, 1998 (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, 1998 and August 31, 1994
are annualized.
(c) See Note 4 for current period amounts.
(d) 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 19
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1998 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 17 investment portfolios which are in operation as
of February 28, 1998. 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 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 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.
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.
20 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
It is the Fund's intention to qualify as a regulated investment company, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Fund to 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 $66,274 incurred from November 1, 1996 to August 31, 1997,
and treat it as arising in fiscal year 1998.
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, 1998 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 295,536,628 $ 62,851,234 $ (69,865,118) $ (7,013,884)
</TABLE>
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.
The following reclassifications have been made at February 28, 1998:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED ADDITIONAL
NET INVESTMENT NET REALIZED PAID-IN
INCOME GAIN (LOSS) CAPITAL
-------------- -------------- --------------
<S> <C> <C>
$ (15,159) $ 21,596 $ (6,437)
</TABLE>
EXPENSES: Most expenses can be directly attributed to the 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.
Semiannual Report 21
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
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.
(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
102% 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 102%.
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. They include
options, futures, swaps, forwards, structured notes and stripped
securities. These instruments offer unique characteristics and risks that
assist the Fund in meeting its investment strategies.
The Fund typically uses derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may
be used by the Fund through the use of options and futures to earn
22 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
"market-like" returns with the Fund's excess and liquidity reserve cash
balances. Hedging is used by the fund to limit or control risks, such as
adverse movements in exchange rates and interest rates. Return enhancement
can be accomplished through the use of derivatives in the Fund. By
purchasing certain instruments, the Fund may more effectively achieve the
desired portfolio characteristics that assist in meeting the Fund's
investment objectives. Depending on how the derivatives are structured and
utilized, the risks associated with them may vary widely. These risks are
generally categorized as market risk, liquidity risk and counterparty or
credit risk.
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"). The Fund may
enter into foreign currency forward overlays on liquidity reserve balances.
Additionally, from time to time the Fund may enter into contracts to hedge
certain foreign currency-denominated assets. Contracts are recorded at
market value. Certain risks may arise upon entering into these contracts
from the potential inability of counterparties to meet the terms of their
contracts and are generally limited to the amount of unrealized gain on the
contracts, if any, that are recognized in the 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. Open contracts at February 28, 1998, are presented on the
Statement of Net Assets.
EQUITY SWAPS: The Fund has entered into several equity swap agreements in
order to efficiently participate in certain foreign markets. Pursuant to
these agreements, the Fund pays the swap counterparties based on the
notional amount and an agreed upon rate (i.e. the 12-month USD LIBOR BBA
rate). During the terms of the agreements, changes in the underlying values
of the swaps are recorded as unrealized gain (loss) and are based on
changes in the value of the underlying index. The underlying index is
valued at the published daily closing price. Accrued interest expense to be
paid to the swap counterparties or accrued interest income to be paid to
the Fund, at the agreed upon dates, are recognized as unrealized gain
(loss). Amounts paid to the swap counterparties representing capital
depreciation on the underlying securities and accrued interest expense and
interest income are recorded as net realized gain (loss). The Fund is
exposed to credit risk in the event of non-performance by the swap
counterparties; however, the Fund does not anticipate non-performance by
the counterparties. The Fund has segregated certain short-term investments
(identified on the Statement of Net Assets) as collateral for the notional
amount and payment of liabilities under the equity swap agreements.
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, repatriation, restrictions on income and capital,
and future adverse political and economic developments. Moreover,
securities issued in these markets may be less liquid, subject to
government ownership controls, delayed settlements, and their prices more
volatile than those of comparable securities in the United States.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the six months ended February 28, 1998,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $91,444,569 and $30,307,385, respectively.
Semiannual Report 23
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (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, 1998, 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. These amounts are presented in 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 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 5% 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"), the
Adviser's Metropolitan Division of Commercial Banking ("Commercial
Banking") and State Street Solutions ("Solutions")(collectively the
"Agents"), as well as several unaffiliated service providers. For
24 Semiannual Report
<PAGE>
SSgA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1998 (Unaudited)
these services, the Fund pays .025%, .175%, .175%, .175% and .175% to the
Adviser, SSBSI, RIS, Commercial Banking, and Solutions, 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, 1998, the Fund incurred
expenses of $31,076, $1,535, $3,364, $61 and $2,647 from the Adviser, RIS,
Commercial Banking, Solutions, and SSBSI, respectively.
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 August 31, 1997.
BOARD OF TRUSTEES: The Investment Company pays each Trustee not affiliated
with the Investment Company a retainer of $48,000 annually, $1,500 for each
board meeting attended, an additional $1,500 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, 1998
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 255,677
Administration fees 18,483
Custodian fees 147,926
Distribution fees 16,670
Shareholder servicing fees 8,933
Transfer agent fees 7,564
Trustees' fees 1,348
----------
$ 456,601
----------
----------
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1998, one shareholder was a record
owner of approximately 45% of the total outstanding shares of the Fund.
Semiannual Report 25
<PAGE>
SSgA EMERGING MARKETS FUND
One International Place, 27th 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.
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
ADMINISTRATOR
Frank Russell Investment Management Company
909 A Street
Tacoma, Washington 98402
LEGAL COUNSEL
Goodwin, Procter & Hoar LLP
Exchange Place
Boston, Massachusetts 02109
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One Post Office Square
Boston, Massachusetts 02109
26 Semiannual Report
