<PAGE>
SSGA(R) FUNDS
ACTIVE INTERNATIONAL FUND
Semiannual Report
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
Table of Contents
Page
<S> <C>
Financial Statements............................... 3
Financial Highlights............................... 18
Notes to Financial Statements...................... 19
Fund Management and Service Providers.............. 26
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is
licensed for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
<S> <C> <C>
COMMON STOCKS - 94.2%
AUSTRALIA - 1.0%
Amcor, Ltd. 7,800 39
AMP, Ltd. (a) 2,700 31
Boral, Ltd. 18,060 26
Brambles Industries, Ltd. 1,400 36
Broken Hill Proprietary Co. 6,000 45
Burswood, Ltd. 30,700 21
Coca-Cola Amatil, Ltd. 5,413 21
Coles Myer, Ltd. 7,000 37
Commonwealth Bank of Australia 2,800 42
CRA, Ltd. 4,900 61
Delta Gold NL NPV 23,300 34
FAI Insurances (a) 5,000 2
Foster's Brewing Group, Ltd. 12,100 35
Futuris Corp., Ltd. 9,000 11
GIO Australia Holdings 11,000 30
Lend Lease Corp. 4,400 55
National Australia Bank, Ltd. 7,500 125
National Foods, Ltd. 314 1
News Corp. 5,600 39
Pioneer International, Ltd. 18,000 36
PMP Communications, Ltd. 18,200 36
Qantas Airways, Ltd. 298 1
Telstra Corp., Ltd. NPV (a) 24,900 127
Village Roadshow, Ltd. 15,100 26
Westfield Trust 9,901 20
Westpac Banking Corp. 5,400 36
--------
973
--------
AUSTRIA - 0.6%
Austria Tabak AG 3,360 249
Austrian Airlines Osterreichische
Luftverkehrs AG 2,800 92
Bank Austria AG 1,835 99
Brau-Union
Goess-Reininghaus-Osterreichische
Brau AG 3,000 156
EA-Generali AG 91 20
--------
616
--------
BELGIUM - 1.1%
Cobepa (Cie Belge) 750 53
Cofinimmo 440 56
Credit Communal Holding
Dexia NPV 345 52
Electrabel NPV 200 84
Fortis B NPV (a) 11,700 426
KBC Bancassurance Holding NPV 1,610 124
PetroFina SA NPV 180 83
Solvay SA NPV 430 30
Tractebel Investments
International NPV 1,100 194
--------
1,102
--------
BRAZIL - 0.2%
Centrais Eletricas
Brasileiras SA NPV 4,548,000 59
Sider Nacional cia NPV 2,000,000 18
Souza Cruz NPV 6,400 40
Telecomunicacoes de Sao
Paulo SA NPV 660,000 36
--------
153
--------
DENMARK - 0.2%
Den Danske Bank 517 57
Unidanmark Class A (Regd) 2,110 151
--------
208
--------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
<S> <C> <C>
FINLAND - 2.4%
Kemira Ojy 14,000 85
Kesko Oyj 11,300 161
Nokia Oyj Series A 12,719 1,742
Rautaruukki Oyj 9,400 59
Sonera Group Oyj (a) 7,840 135
UPM-Kymmene Oyj 6,400 166
--------
2,348
--------
FRANCE - 9.6%
Alcatel Alsthom 1,760 190
Alstom (a) 2,600 71
AXA - UAP 4,950 646
Banque Nationale Paris 5,822 465
Casino Guich-Perr 1,800 166
Chargeurs International SA 2,900 134
Christian Dior SA 1,150 132
Cie de St. Gobain 450 70
Credit Lyonnais (a) 5,907 260
Eiffage 2,120 149
Elf Aquitaine SA 5,129 536
Elf Gabon SA 300 26
Eridania Beghin-Say SA 250 36
Esso S.A.F. 2,400 195
Eurafrance 111 55
France Telecom SA 11,969 1,121
Galeries Lafayette 450 467
Gascogne 1,141 102
Groupe Air France (a) 2,900 55
Groupe Andre SA 553 63
GTM - Entrepose 179 16
L'Oreal (Societe) 700 431
Labinal 500 98
Lafarge SA (BR) 2,190 208
Paribas (a) 2,687 232
Pechiney International Class A 8,458 280
Peugeot SA 1,800 240
Renault 10,055 470
Sagem SA 270 156
Sanofi SA 3,017 532
Schneider SA 2,800 165
Scor SA 4,400 227
Societe Generale 2,230 328
Societe Industrielle de Transports
Automobiles SA 31 6
Sommer Allibert 1,400 35
Suez Lyonnaise des Eaux 3,025 606
Usinor Sacilor 8,862 109
Vivendi 940 245
--------
9,323
--------
GERMANY - 9.3%
AGIV AG fuer Industrie und
Verkehrswesen 9,200 194
Allianz AG (Regd) 2,419 734
AMB Aachener & Muenchener
Beteiligungs AG 2,200 293
Bankgesellschaft Berlin AG 5,600 85
BASF AG 14,000 486
Bayer AG 400 14
Bayerische Motoren Werke AG (a) 20 14
Bayerische Vereinsbank AG 6,150 349
Continental AG 6,786 169
DaimlerChrysler AG (a) 15,993 1,497
DBV-Winterthur Holding AG 1,050 392
Deutsche Bank AG 4,750 248
Deutsche Lufthansa AG 20,518 452
Deutsche Telekom AG 25,450 1,170
Dyckerhoff AG 500 132
ERGO Versicherungs Gruppe AG 350 47
Fried, Krupp AG Hoesch-Krupp 800 118
Holsten Brauere AG 780 172
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
<S> <C> <C>
IKB Deutsche Industriebank AG 6,850 142
Mannesmann AG (a) 3,575 481
Merck KGAA 7,697 271
Metro AG 1,500 106
Muenchener Rueckversicherungs -
Gesellschaft AG 50 13
Rheinmetall AG 11,500 297
SAP AG 205 70
Schmalbach Lubeca AG 950 116
Siemens AG 5,000 316
Suedzucker AG 350 142
Thyssen AG 1,400 284
Veba AG 2,350 126
Viag AG 200 107
--------
9,037
--------
GREECE - 0.9%
Aegek SA 4,900 42
Aluminum Co. of Greece Industrial
and Commercial (Regd) 320 24
Commercial Bank
of Greece (Regd) 380 47
Credit Bank (Regd) 780 90
Elais SA 1,100 25
Ergo Bank SA (Regd) 728 59
Ergo Bank SA Rights (a) 560 6
Hellas Can Packaging SA 1,180 26
Hellenic Bottling Co. SA 1,020 34
Hellenic Telecommunication
Organization SA 3,300 87
Intracom SA (a) 440 32
Michaniki SA 4,280 37
National Bank of Greece (Regd) 2,880 211
Nikas SA 2,660 43
Piraeus Bank SA 540 26
Sarantopoulos SA 5,420 43
Titan Cement Co. SA 400 31
--------
863
--------
HONG KONG - 0.1%
Hong Kong Land
Holdings, Ltd. - ADR (a) 14,173 15
Hong Kong
Telecommunications, Ltd. 2,356 4
Jardine Matheson
Holdings, Ltd. - ADR (a) 4,917 13
Jardine Strategic
Holdings, Ltd. - ADR (a) 23,000 33
--------
65
--------
IRELAND - 2.0%
Abbey PLC 43,700 183
Avonmore Waterford Group PLC 15,900 38
Bank Of Ireland 41,566 861
CRH PLC 10,755 200
Fyffes PLC 30,800 79
Independent Newspapers PLC 14,268 54
Irish Life PLC 15,434 155
Jurys Hotel Group PLC 26,974 215
Kerry Group PLC Class A 10,364 133
Unidare PLC 3,100 9
--------
1,927
--------
ISRAEL - 0.9%
Africa - Israel Investments, Ltd. 125 55
Agis Industries Ltd. (a) 8,745 43
Bank Hapoalim, Ltd. 61,495 119
Bank Leumi Le-Israel 41,500 62
Bezeq Israeli Telecommunication
Corp., Ltd. (a) 30,950 108
Dor Energy 1988, Ltd. - ADR 3,710 11
ECI Telecom, Ltd. 4,340 160
Elco Holdings, Ltd. 9,030 47
IDB Holding Corp., Ltd. 2,530 55
Israel Chemicals, Ltd. 46,275 47
Koor Industries 620 60
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
<S> <C> <C>
Scitex, Ltd. (a) 3,560 32
Teva Pharmaceutical
Industries, Ltd. 2,250 97
--------
896
--------
ITALY - 5.4%
Assicurazioni Generali SPA 6,688 259
Banca Commerciale Italiana 33,000 206
Banca Pop di Bergamo CV 7,900 207
Banca Pop di Milano 29,001 249
Burgo (Cartiere) SPA 15,000 86
Compagnia Assicuratrice Unipol 1999
Warrants (a) 15,200 7
Danieli & Co. di Risp 14,000 39
Ente Nazionale Idrocarburi
SPA (Regd) 110,400 637
Fiat SPA di Risp 112,980 183
I.F.I.L. di Risp NCV 39,600 88
IFIL Finanziaria di Partecipazioni
SPA 2000 Warrants (a) 900 1
Istituto Mobiliare Italiano SPA (a) 38,720 677
Istituto Nazionale Delle
Assicurazioni 114,000 277
Pirelli & Co. di Risp 53,000 85
R.A.S. 16,300 173
R.A.S. di Risp 18,500 133
Recordati di Risp 15,000 76
Telecom Italia Mobile SPA 30,000 202
Telecom Italia Mobile SPA di Risp 120,000 485
Telecom Italia SPA 113,825 770
Toro Assicurazioni 5,800 73
Toro Assicurazioni
2000 Warrants (a) 1,600 12
Unicredito Italiano 48,065 253
Unione Immobiliare SPA (a) 83,000 46
--------
5,224
--------
JAPAN - 21.1%
Acom Co., Ltd. 6,300 372
Alinco, Inc. 2,000 3
Amada Co., Ltd. 36,000 177
Amada Metrecs Co. 29,000 114
Aoki International 44,000 204
Asahi Bank, Ltd. 49,000 215
Asahi Optical Co. 49,000 158
Autobacs Seven Co. 8,100 247
Azel Corp. 19,000 35
Bank of Tokyo - Mitsubishi, Ltd. 63,000 760
Benesse Corp. 5,000 354
Bridgestone Tire Corp. 16,000 358
Brother Industries 51,000 150
Canon, Inc. 24,000 514
Casio Computer Co., Ltd. 21,000 140
Chichibu Onoda Cement Corp. 123,000 327
Chiyoda Co., Ltd. 12,000 92
Chugai Pharmaceutical Co., Ltd. 12,000 115
Chugoku Electric Power 9,400 148
Chuo Trust & Banking 11,000 52
Clarion Co., Ltd. 31,000 97
CSK Corp., Ltd. 7,000 198
Dainippon Ink and Chemical, Inc. 28,000 83
Daito Trust Construction 14,900 129
Daiwa Bank 55,000 85
Daiwa Industries, Ltd. 16,000 46
East Japan Railway Co. 21 126
Eiden Sakakiya Co., Ltd. 16,000 112
Eisai Co. 6,000 112
Fanuc Co. 4,200 157
Fuji Heavy Industries, Ltd. 49,000 287
Fuji Photo Film Co. 4,000 147
Fujitsu, Ltd. 5,000 62
Futaba Industrial 9,000 122
</TABLE>
6 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Hisamitsu Pharmaceutical Co. 15,000 186
Hitachi, Ltd. 25,000 158
Hokkai Can Co. 23,000 48
Hokkaido Electric Power Co., Inc. 6,800 103
Honda Motor Co., Ltd. 23,000 886
Inabata & Co. 12,000 29
Industrial Bank of Japan, Ltd. 25,000 125
Ito-Yokado Co., Ltd. 2,000 117
Itochu Fuel Corp. 52,000 162
Japan Energy Corp. 222,000 198
Kamigumi Co., Ltd. 63,000 277
Kansai Electric Power Co., Inc. 10,700 204
Kao Corp. 3,000 60
Kawasho Corp. 48,000 51
Kinseki 14,000 57
Kirin Brewery Co. 16,000 190
Konami Co., Ltd. 3,600 122
Mabuchi Motor Co., Ltd. 2,000 135
Makino Milling Co., Ltd. 21,000 115
Marubeni Corp. 123,000 204
Maruha Corp. 211,000 187
Matsushita Electric
Industrial Co., Ltd. 25,000 418
Mazda Motor Corp. (a) 68,000 264
Minolta Camera Co. 21,000 101
Mitsubishi Corp. 23,000 124
Mitsui Petrochemical Industry 81,000 318
Morita Corp. 17,000 36
Mycal Corp. 17,000 95
Nichia Steel Works 800 4
Nichicon Corp. 14,000 169
Nintendo Co., Ltd. 1,000 84
Nippon Carbon Co. 48,000 68
Nippon Chemi-Con Co., Ltd. 16,000 54
Nippon Denso Co. 6,000 104
Nippon Express Co., Ltd. 8,000 40
Nippon Hodo Co., Ltd. 39,000 182
Nippon Shinpan Co. 102,000 211
Nippon Steel Corp. 48,000 84
Nippon Telegraph
& Telephone Corp. 158 1,303
Nissho Corp. 15,000 109
Nittoc Construction Co. 19,000 49
Nomura Securities Co., Ltd. 6,000 49
NTT Mobile Communication Network,
Inc. (a) 6 244
Okabe Co. 21,000 63
Ono Pharmaceutical 10,000 367
Orient Corp. 80,000 180
Ryosan Co. 11,000 185
Sankyo Co., Ltd. 6,000 129
Sanshin Electronics 11,000 78
Santen Pharmaceutical Co., Ltd. 13,000 244
Sanwa Bank 10,000 102
Sanyo Shinpan Finance Co. 2,800 93
Seino Transportation 24,000 127
Sekisui House, Ltd. 9,000 92
Senshukai Co. 25,000 215
Sintokogio 22,000 59
Sony Corp. 4,700 356
Sumitomo Bank 25,000 302
Sumitomo Realty & Development 96,000 309
Taiyo Yuden Co., Ltd. 20,000 211
Takara Standard Co., Ltd. 29,000 206
Takeda Chemical Industries 9,000 310
Takefuji Corp. 3,600 261
Takuma Co. 16,000 109
Toenec Corp. 37,000 131
Tokyo Electric Co., Ltd. 57,000 216
Tokyo Electric Power 18,800 380
</TABLE>
Semiannual Report 7
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Toyo Suisan Kaisha 25,000 198
Toyota Motor Corp. 39,000 1,020
Uniden Corp. 28,000 226
Yakult Honsha Co., Ltd. 51,000 286
Yamaha Motor Co. 23,000 152
--------
20,629
--------
NETHERLANDS - 4.9%
ABN Amro Holdings NV 21,283 434
Aegon NV 900 94
DSM NV (BR) 3,432 298
Fortis NV (a) 60 2
Heineken NV 1,286 67
Hollandsche Beton Groep NV 9,880 95
ING Groep NV 16,642 933
KLM NV 832 23
Koninklijke Ahold NV 4,688 180
Koninklijke Boskalis
Westminster NV 16,440 211
Koninklijke Hoogovens NV 4,906 148
Koninklijke KPN NV 8,315 437
Koninklijke Nedlloyd NV 5,157 60
Philips Electronics NV 4,960 346
Royal Dutch Petroleum Co. 9,270 408
Stad Rotterdam CVA 1,764 136
TNT Post Group NV 29 1
Unilever NV 9,563 692
Van Ommeren (Kon) CVA 4,964 148
--------
4,713
--------
NORWAY - 1.1%
Aker AS Series B 3,213 32
Bergesen DY AS Series B 14,600 193
Christiania Bank OG Kreditkasse 48,012 172
Elkem ASA Series A 13,500 183
Helikopter Services Group ASA 7,600 34
Kvaerner Industries AS Series B 3,300 52
Norske Skogindustrier AS Class A 6,000 179
Petroleum Geo-Services ASA (a) 4,200 48
SAS Norske ASA Series B 8,356 69
Storebrand ASA Series A (a) 7,600 59
--------
1,021
--------
PAKISTAN - 0.2%
Dewan Salmon Fibre (a) 13,886 4
Engro Chemical 14,375 24
Fauji Fertilizer 39,500 34
Hub Power Co. - GDR 143,000 36
ICI Pakistan (a) 117,500 19
Pakistan State Oil 18,720 24
Pakistan Telecom Corp. Series A 93,000 33
Sui Northern Gas Pipelines (a) 34,385 6
Sui Southern Gas Co., Ltd. (a) 72,737 13
--------
193
--------
PORTUGAL - 0.5%
Banco Espirito Santo e Comercial de
Lisboa SA (Regd) 6,738 192
Electricidade de Portugal SA 13,069 283
--------
475
--------
SINGAPORE - 1.0%
City Developments 10,000 42
Creative Technology, Ltd. 3,000 39
Development Bank of
Singapore, Ltd. (Alien Market) 8,900 65
Elec & Eltek International
Co., Ltd. (a) 5,000 27
Hai Sun Hup Group 39,000 10
Haw Par Brothers
International, Ltd. 24,000 27
</TABLE>
8 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Keppel Bank 14,000 22
Keppel Bank 2000 Warrants (a) 7,250 2
Mandarin Oriental
International, Ltd. (a) 37,464 18
Metro Holdings, Ltd. 10,400 9
Natsteel Electronics, Ltd. 13,000 36
Overseas Chinese Banking
(Alien Market) 24,672 164
Overseas Union Bank
(Alien Market) 12,000 44
Singapore Airlines, Ltd.
(Alien Market) 15,000 111
Singapore Land 12,000 24
Singapore Press Holdings, Ltd. 7,090 81
Singapore Technologies Engineering,
Ltd. 35,000 30
Singapore
Telecommunications, Ltd. 101,000 143
United Industrial Corp., Ltd. 64,000 26
United Overseas Land 71,000 45
--------
965
--------
SPAIN - 2.9%
Autopistas del Mare Nostrum SA 2,100 54
Banco Bilbao Vizcaya SA 15,650 232
Banco Central Hispanoamericano SA 6,750 81
Bankinter SA 4,700 169
Compania Espanola de
Petroleos SA 600 22
Corporacion Bancaria de
Espana SA (Regd) 3,200 77
Endesa SA 21,174 561
Fuerzas Electricat Series A 35,650 406
Hidroelectrica del Cantabrico SA 1,050 54
Iberdrola SA 7,405 116
Repsol SA 5,324 280
Telefonica SA 14,140 646
Union Electrica Fenosa SA 5,200 89
--------
2,787
--------
SWEDEN - 0.6%
Gambro AB Series A (a) 15,400 123
Gambro AB Series B (a) 15,972 128
Telefonaktiebolaget Ericsson (LM)
Series B 13,293 352
--------
603
--------
SWITZERLAND - 7.5%
Baloise Holding, Ltd. 210 182
Banca del Gottardo Class B 82 78
Banque Cantonale Vaudoise 211 64
Bobst AG (BR) 50 56
Credit Suisse Group (Regd) 1,799 279
Fischer (Georg) AG (Regd) 180 59
Forbo Holding AG (Regd) 290 118
Helvetia Patria Holding Co. (Regd) 320 253
Jelmoli Holding AG (Regd) 710 124
Nestle SA (Regd) 336 634
Novartis AG (Regd) 914 1,604
Pargesa Holdings SA (BR) 135 188
Roche Holdings Genusscheine
AG NPV 144 1,824
Schweiz Ruckversicher (Regd) 194 435
Swisscom AG (Regd)(a) 938 371
UBS AG (a) 2,136 665
Zurich Allied AG (a) 480 319
--------
7,253
--------
</TABLE>
Semiannual Report 9
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
THAILAND - 0.0%
Finance One Public Co., Ltd. (Alien
Market)(a)(d) 31,600 --
First Bangkok City Bank PLC (Alien
Market)(a) 27,800 1
Siam City Bank Public Co., Ltd.
(Alien Market)(a) 9,520 1
--------
2
--------
UNITED KINGDOM - 20.7%
Abbey National PLC 13,200 264
Anglian Water PLC 14,368 168
Arjo, Wiggins, Appleton PLC 78,200 152
Associated British Foods PLC 7,600 59
Bank of Scotland
Governor & Co. PLC 10,415 150
Barclays Bank PLC 16,722 443
Berisford PLC 57,600 192
BG PLC 45,900 269
Britannic PLC (a) 6,200 119
British Airways PLC 18,402 136
British Energy PLC 26,800 287
British Land Co. PLC 2,841 24
British Petroleum Co. PLC 76,678 1,086
British Steel PLC 29,734 59
British Telecom PLC 91,123 1,579
Cable & Wireless PLC 39,890 544
Commercial Union
Assurance Co. PLC 12,330 182
Courtaulds Textile Co. PLC 29,800 73
Diageo PLC 7,242 79
Dixon Group PLC 9,898 187
General Electric Co. PLC 29,697 233
Glaxo Wellcome PLC 43,185 1,379
Granada Group PLC 14,259 287
Greenalls Group PLC 19,800 122
Hanson PLC 13,587 111
HSBC Holdings PLC 13,916 398
HSBC Holdings PLC 3,400 99
Hyder PLC 18,397 235
Imperial Tobacco Group PLC 15,584 186
Inchcape PLC 34,941 84
Kingfisher PLC 15,036 191
Land Securities PLC 7,500 97
Lex Service PLC 21,700 147
Lloyds TSB Group PLC 31,661 454
Lonrho PLC 72,586 472
Mirror Group News PLC 13,000 40
Norwich Union PLC 31,100 228
Nycomed Amersham PLC 28,987 192
Pearson PLC 28,792 632
Railtrack Group PLC 2,545 63
Rank Group PLC 33,300 127
Reuters Group PLC 42,666 597
Rexam PLC (a) 40,542 129
Royal Bank of Scotland Group PLC 43,018 838
Sainsbury (J.) PLC 20,900 121
Sears PLC 22,400 127
Selfridges PLC 22,400 85
Severn Trent PLC 11,314 162
Shell Transportation &
Trading PLC (Regd) 113,378 631
Signet Group PLC (a) 534,068 347
Slough Estates PLC 30,900 164
Smith & Nephew PLC 62,476 180
SmithKline Beecham PLC 58,791 832
Somerfield PLC 65,100 390
South West Water PLC 4,900 83
Storehouse PLC 49,608 120
Sun Life and Provincial
Holdings PLC 8,806 69
Tarmac, Ltd. PLC 65,183 112
Tesco Store Holdings PLC 39,922 113
</TABLE>
10 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999(unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
------ ------
<S> <C> <C>
Thames Water PLC 19,921 329
Tomkins PLC 21,198 77
Unilever PLC 37,500 362
United Assurance Group PLC 12,700 108
United Utilities PLC 10,909 138
Vodafone Group PLC 66,297 1,218
Wimpey (George), Ltd. PLC 50,026 106
Woolwich PLC 24,504 155
Yorkshire Water PLC 35,058 257
Zeneca Group PLC 11,200 466
--------
20,145
--------
TOTAL COMMON STOCKS
(cost $85,325) 91,521
--------
PREFERRED STOCKS - 2.2%
AUSTRALIA - 0.1%
News Corp., Ltd. 8,894 58
--------
AUSTRIA - 0.1%
Allgemeine Baugesellschaft 100 6
Bau Holdings AG 1,800 47
--------
53
--------
BELGIUM - 0.0%
Cockerill Sambre 7,000 31
--------
BRAZIL - 0.6%
Banco Bradesco SA NPV 8,422,000 33
Banco do Estado de Sao Paulo NPV 862,800 23
Banco Itau SA NPV 120,000 41
Banco Nacional SA NPV (a)(d) 871,000 --
CIA Energetica De Minas Gerais 2,221,000 29
Companhia Vale Do Rio Doce Series A
NPV 5,000 63
Companmia Cervejaria
Brahma NPV 127,000 47
Embratel Participacoes SA NPV (a) 5,160,000 70
Itausa Investimentos Itau SA 71,000 29
Petroleo Brasileiro SA NPV 876,000 68
Tele Centro Sul Participacoes
SA NPV (a) 6,227,000 49
Tele Norte Leste Participacoes
SA NPV (a) 5,941,000 58
Telesp Celular Participacoes
SA NPV 6,113,000 51
Telesp Participacoes SA NPV 5,462,000 89
--------
650
--------
GERMANY - 1.3%
Axa Colonia Konzern AG NV 628 44
Draegerwerk AG 9,100 120
Dyckerhoff AG 233 60
M.A.N. AG 665 129
ProSieben Media AG NV 2,650 134
Rheinmetall AG 1,150 23
RWE AG 13,400 391
Volkswagen AG 9,000 354
--------
1,255
--------
ITALY - 0.1%
Toro Assicurazioni 8,950 69
--------
TOTAL PREFERRED STOCKS
(cost $2,416) 2,116
--------
</TABLE>
Semiannual Report 11
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999(unaudited)
<TABLE>
<CAPTION>
Principal Market
Amount Value
(000) (000)
$ $
--------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.2%
GERMANY - 0.0%
Deutsche Finance BV (conv.)
1.000% due 05/02/01 DEM 60 49
--------
ITALY - 0.1%
Italy, Republic of (conv.)
5.000% due 06/28/01 35 60
--------
JAPAN - 0.1%
MTI Capital (Cayman),
Ltd. (conv.)
0.500% due 10/01/07 JPY 39,000 113
--------
TOTAL LONG-TERM INVESTMENTS
(cost $240) 222
--------
SHORT-TERM INVESTMENTS - 1.7%
UNITED STATES - 1.7%
AIM Short-Term Investment Treasury
Portfolio Class A (b) 697 697
Federated Investors Prime
Obligations Fund (b) 928 928
--------
1,625
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $1,625) 1,625
--------
TOTAL INVESTMENTS - 98.3%
(identified cost $89,606)(c) 95,484
OTHER ASSETS AND LIABILITIES,
NET - 1.7% 1,640
--------
NET ASSETS - 100.0% 97,124
========
</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.
Abbreviations:
ADR - American Depository Receipt
BR - Bearer
GDR - Global Depository Receipt
NPV - No Par Value
NV - Nonvoting
Foreign Currency Abbreviations:
AUD - Australian dollar
DEM - German mark
EUR - Eurodollar
GBP - British pound
JPY - Japanese yen
SGD - Singapore dollar
USD - United States dollar
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET MARKET
% OF VALUE % OF VALUE
NET (000) GEOGRAPHIC NET (000)
INDUSTRY DIVERSIFICATION ASSETS $ DIVERSIFICATION ASSETS $
- ----------------------------- -------- --------- ---------------------- ------ -------
<S> <C> <C> <C> <C> <C>
Basic Industries 4.7 4,565 Europe 50.4 48,908
Capital Goods 5.9 5,743 Japan 21.3 20,629
Consumer Basics 15.8 15,363 Latin America 0.8 803
Consumer Durables 7.9 7,663 Middle East 1.1 1,089
Consumer Non-Durables 5.0 4,871 Pacific Basin 2.1 2,063
Consumer Services 1.6 1,574 United Kingdom 20.7 20,145
Energy 5.1 4,958 Long-Term Investments 0.2 222
Finance 23.7 22,973 Short-Term Investments 1.7 1,625
General Business 5.4 5,238 ------ -------
Miscellaneous 1.6 1,577
Shelter 2.4 2,314 Total Investments 98.3 95,484
Technology 2.0 1,957 Other Assets and Liabilities, Net 1.7 1,640
Transportation 0.9 868 ------ -------
Utilities 14.4 13,973
Long-Term Investments 0.2 222 NET ASSETS 100.0 97,124
Short-Term Investments 1.7 1,625 ====== =======
-------- ---------
Total Investments 98.3 95,484
Other Assets and Liabilities, Net 1.7 1,640
-------- ---------
NET ASSETS 100.0 97,124
======== =========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
(Note 2)
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- -------------------- --------------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
USD 1,310 AUD 2,217 03/23/99 $ 11
AUD 397 USD 258 03/23/99 12
USD 918 DEM 1,527 03/23/99 (59)
USD 1,092 DEM 1,789 03/23/99 (85)
USD 2,494 EUR 2,148 03/23/99 (130)
EUR 4,283 USD 4,862 03/23/99 147
EUR 4,738 USD 5,370 03/23/99 154
USD 2,866 GBP 1,738 03/23/99 (82)
USD 1,688 GBP 1,040 03/23/99 (22)
GBP 872 USD 1,472 03/23/99 75
GBP 1,478 USD 2,421 03/23/99 53
USD 4,984 JPY 566,045 03/23/99 (194)
JPY 92,487 USD 783 03/23/99 1
JPY 121,239 USD 1,067 03/23/99 41
JPY 413,855 USD 3,673 03/23/99 172
USD 448 SGD 754 03/23/99 (10)
SGD 1,318 USD 799 03/23/99 33
----------------
$ 117
================
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C> <C>
Investments at market (identified cost $89,606)(Note 2)............................... $ 95,484
Foreign currency holdings (identified cost $1,407). . ................................ 1,406
Forward foreign currency exchange contracts (cost $36,508)(Note 2).................... 37,195
Receivables:
Dividends and interest........................................................... 129
Investments sold................................................................. 128
Fund shares sold................................................................. 135
Foreign taxes recoverable........................................................ 107
Short-term investments held as collateral for securities loaned, at market (Note 3)... 7,828
Deferred organization expenses (Note 2)............................................... 9
------------
Total Assets...................................................................... 142,421
LIABILITIES
Payables:
Investments purchased.............................................. $ 220
Fund shares redeemed............................................... 31
Accrued fees to affiliates and trustees (Note 4)................... 107
Other accrued expenses............................................. 33
Forward foreign currency exchange contracts (cost $36,508)(Note 2)...... 37,078
Payable upon receipt of securities loaned, at market (Note 3)............ 7,828
---------
Total Liabilities.................................................................. 45,297
------------
NET ASSETS............................................................................ $ 97,124
============
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income.......................... $ (1,006)
Accumulated distributions in excess of net realized gain.............................. (6,000)
Unrealized appreciation (depreciation) on:
Investments...................................................................... 5,878
Foreign currency-related transactions............................................ 111
Shares of beneficial interest......................................................... 11
Additional paid-in capital............................................................ 98,130
------------
NET ASSETS............................................................................ $ 97,124
============
NET ASSET VALUE, offering and redemption price per share:
($97,124,046 divided by 10,741,528 shares of $.001 par value
shares of beneficial interest outstanding).................................... $ 9.04
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 15
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999
(Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C> <C>
Dividends (net of foreign taxes withheld of $52)...... $ 461
Interest.............................................. 37
---------
Total Investment Income............................. 498
EXPENSES (Notes 2 and 4):
Advisory fees.......................... $ 329
Administrative fees.................... 32
Custodian fees......................... 123
Distribution fees...................... 20
Transfer agent fees.................... 18
Professional fees...................... 12
Registration fees...................... 19
Shareholder servicing fees............. 24
Trustees' fees......................... 1
Amortization of deferred
organization expenses.................. 4
Miscellaneous.......................... 1
--------
Expenses before reductions............. 583
Expense reductions (Note 4)............ (145)
--------
Expenses, net..................................... 438
---------
Net investment income.................................. 60
---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments........................... (3,482)
Futures contracts..................... 185
Equity swap........................... 1,179
Foreign currency-related transactions. (12) (2,130)
--------
Net change in unrealized appreciation
or depreciation of:
Investments........................... 11,254
Equity swap........................... (65)
Foreign currency-related transactions. (113) 11,076
-------- ---------
Net gain (loss) on investments........................ 8,946
---------
Net increase (decrease) in
net assets resulting from operations................... $ 9,006
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
16 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income...................................... $ 60 $ 1,291
Net realized gain (loss)................................... (2,130) 4,220
Net change in unrealized appreciation or depreciation...... 11,076 (586)
-------- ---------
Net increase (decrease) in net assets resulting 9,006 4,925
from operations......................................... -------- ---------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income..................................... (2,391) (1,176)
In excess of net investment income........................ (1,006) --
Net realized gain on investments.......................... -- (3,891)
In excess of net realized gain on investments............. (6,000) --
-------- ----------
Total Distributions to Shareholders..................... (9,397) (5,067)
-------- ---------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share 20,950 (7,223)
transactions (Note 5)..................................... -------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS................ 20,559 (7,365)
NET ASSETS
Beginning of period....................................... 76,565 83,930
-------- ---------
End of period (including accumulated distributions in
excess of net investment income of $1,006 and
undistributed net investment income of $2,331,
respectively).............................................. $ 97,124 $ 76,565
========= =========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 17
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
----------------------------------------
1999* 1998 1997 1996 1995**
------- -------- -------- ------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $ 9.24 $ 10.85 $ 10.96 $ 10.89 $ 10.00
------- -------- ------- ------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)........................... .01 .16 .10 .36 .03
Net realized and unrealized gain (loss)
on investments...................................... .87 (1.13) .03 .28 .86
------- -------- ------- ------- --------
Total Income From Investment Operations.......... .88 (.97) .13 .64 .89
------- -------- ------- ------- --------
DISTRIBUTIONS:
Net investment income............................... (.39) (.15) (.18) (.57) --
Net realized gain on investments.................... (.69) (.49) (.06) -- --
------- -------- ------- ------- --------
Total Distributions............................... (1.08) (.64) (.24) (.57) --
------- -------- ------- ------- --------
NET ASSET VALUE, END OF PERIOD...................... $ 9.04 $ 9.24 $ 10.85 $ 10.96 $ 10.89
======= ======== ======= ======= ========
TOTAL RETURN (%)(b)................................. 10.60 (9.50) 1.17 6.22 8.90
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
($000 omitted).................................... 97,124 76,565 83,930 54,595 25,186
Ratios to average net assets (%)(c):
Operating expenses, net (d)....................... 1.00 1.00 1.00 1.00 1.79
Operating expenses, gross (d).................... 1.33 1.29 1.40 1.47 2.56
Net investment income............................. .14 1.23 1.12 1.16 1.11
Portfolio turnover rate (%)(c)....................... 57.88 74.79 48.29 22.02 7.17
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period March 7, 1995 (commencement of operations) to August 31,
1995.
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1995 are
annualized.
(d) See Note 4 for current period amounts.
18 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. 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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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 $3,869,334 incurred from November 1, 1997 to August 31, 1998,
and treat it as arising in fiscal year 1999.
Semiannual Report 19
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income tax
purposes as of February 28, 1999 are as follows: :
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------------- ----------------- ---------------- ----------------
<S> <C> <C> <C>
$ 89,971,259 $ 15,462,062 $ (9,949,321) $ 5,512,741
</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, forward contracts, passive foreign investment
companies and certain securities sold at a loss. Accordingly, the Fund may
periodically make reclassifications among certain of its capital accounts
without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has incurred expenses in connection
with its organization and initial registration. These costs have been deferred
and are being amortized over 60 months on a straight-line basis.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Fund are
maintained in US dollars. Foreign currency amounts and transactions of the
Fund are translated into US dollars on the following basis:
(a) Market value of investment securities, other assets and liabilities at the
closing rate of exchange on the valuation date.
(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.
20 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 contracts and are generally limited
to the amount of unrealized gain on the contracts, if any, that are recognized
in the accompanying 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 foreign contracts at
August 31, 1998 are presented on the accompanying Statement of 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%.
Semiannual Report 21
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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.
EQUITY SWAP: The Fund has entered into an equity swap agreement in order to
efficiently participate in certain foreign markets. Pursuant to this
agreement, the Fund pays the swap counterparty based on the notional amount
and an agreed upon rate (i.e. 12-month USD LIBOR BBA rate). During the term
of the agreement, changes in the underlying value of the swap is recorded as
unrealized gain (loss) and is 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 counterparty or accrued
interest income to be paid to the Fund, at the agreed upon date, is
recognized as unrealized gain (loss). The amount paid to the swap
counterparty representing capital depreciation on the underlying securities
and accrued interest expense and interest income is recorded as net realized
gain (loss). The Fund is exposed to credit risk in the event of non-
performance by the swap counterparty; however, the Fund does not anticipate
non-performance by the counterparty. The Fund has segregated certain short-
term investments (identified on the accompanying Statement of Net Assets) as
collateral for the notional amount and payment of liabilities under the
equity swap agreement.
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments and
futures contracts, aggregated to $37,856,934 and $24,501,852, respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to loan
securities with a value up to 33 1/3% of its total assets to certain brokers.
The Fund receives cash (U.S. currency), U.S. Government or U.S. Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is secured by cash collateral, such collateral shall be invested
by State Street Bank and Trust Company in short-term instruments, money
market mutual funds, and such other short-term investments, provided the
investments meet certain quality and diversification requirements. Under the
securities lending arrangement, the collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral. In those situations where the Company has
relinquished control of securities transferred, it derecognizes the
securities and records a receivable from the counterparty.
22 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be in
an amount at least equal to 102% (for loans of U.S. securities) or 105% (for
non-U.S. securities) of the market value of the loaned securities at the
inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $7,380,245 and $7,827,797, 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. The Adviser voluntarily agreed to waive
up to the full amount of its advisory fee to the extent that total expenses
exceeded 1.00% 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 in the accompanying Statement of Operations.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all international funds: $0 up to and
including $500 million - .07%, over $500 million to and including $1
billion - .06%, over $1 billion to and including $1.5 billion - .04%, over
$1.5 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% for the period
September 1, 1997 to December 31, 1997 up to a maximum of 5% for the period
January 1, 1998 to December 31, 1998 and 0% thereafter, 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 23
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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, 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 period
ended February 28, 1999, the Fund was charged shareholder servicing expenses
of $8,134, $571, $142, $306 and $3,638, by 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, 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, 1999 WERE
AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 62,915
Administration fees 7,200
Custodian fees 15,051
Distribution fees 686
Shareholder servicing fees 11,455
Transfer agent fees 9,612
Trustees' fees 358
------------
$ 107,277
============
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, two shareholders were record
owners of approximately 12% and 10%, respectively, of the total outstanding
shares of the Fund.
24 Semiannual Report
<PAGE>
SSGA
ACTIVE INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
------------------------------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
-------------------------------- --------------------------------
SHARES DOLLARS SHARES DOLLARS
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Proceeds from shares sold................. 5,290 $ 47,083 15,836 $ 153,450
Proceeds from reinvestment of
distributions........................... 879 7,304 405 4,150
Payments for shares redeemed.............. (3,717) (33,437) (15,685) (164,823)
--------------- --------------- --------------- ---------------
Total net increase (decrease)............. 2,452 $ 20,950 556 $ (7,223)
=============== =============== =============== ===============
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .065% on the average daily unused amount of the aggregate
commitment, which is allocated among each of the Participants. Interest, at
the Federal Fund Rate plus .50% annually, is calculated based on the market
rates at the time of the borrowing. The Fund may borrow up to a maximum of 33
1/3 percent of the value of its total assets under the agreement.
Semiannual Report 25
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant
Treasurer and Principal Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
26 Semiannual Report
<PAGE>
SSGA(R) FUNDS
BOND MARKET FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements....................................... 3
Financial Highlights....................................... 11
Notes to Financial Statements.............................. 12
Fund Management and Service Providers...................... 18
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- ---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 95.4%
ASSET-BACKED SECURITIES - 3.2%
Chase Manhattan Auto Owner Trust
Series 1998-A Class A3
5.700% due 09/17/01 750 750
Series 1998-B Class A3
5.750% due 09/15/00 500 500
CIT RV Trust
6.400% due 02/15/07 171 172
Citibank Credit Card Master Trust I
Series 1998-6 Class A
5.850% due 04/10/03 830 832
Series 1999-1 Class A
5.500% due 02/15/06 650 640
Discover Card Master Trust I
Series 1996-3 Class A
6.050% due 08/18/08 200 198
First USA Credit Card Master Trust
Series 1997-6 Class A
6.420% due 03/17/05 1,000 1,019
Ford Credit Auto Loan Master Trust
Series 1995-1 Class A
6.500% due 08/15/02 200 202
Ford Credit Auto Owner Trust
Series 1998-A Class A3
5.650% due 10/15/01 850 851
Premier Auto Trust
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 08/06/01 500 501
----------
6,445
==========
CORPORATE BONDS AND NOTES - 24.3%
Alltel Corp.
6.650% due 01/15/08 850 873
Associates Corp. of North America
6.625% due 05/15/01 500 509
5.500% due 02/15/02 1,000 992
Associates First Capital
7.375% due 08/15/01 1,000 1,034
BankAmerica Corp.
9.500% due 04/01/01 1,000 1,073
Branch Banking & Trust Co.
5.700% due 02/01/01 250 249
Burlington Northern Santa Fe
7.290% due 06/01/36 1,000 1,077
CIT Group Holdings, Inc. (MTN)
6.700% due 05/28/01 1,000 1,017
CIT Group, Inc. (MTN)
5.910% due 11/10/03 1,000 995
Citigroup, Inc.
9.500% due 03/01/02 285 312
Coastal Corp.
6.375% due 02/01/09 500 489
Coca-Cola Enterprises, Inc.
5.750% due 11/01/08 250 242
Comcast Cable Communications
6.200% due 11/15/08 500 495
Commercial Credit Group, Inc.
6.000% due 06/15/00 350 352
Commonwealth Edison Co.
7.625% due 01/15/07 500 539
Dana Corp.
6.250% due 03/01/04 500 500
Dayton Hudson Corp.
5.875% due 11/01/08 750 735
Delta Air Lines, Inc.
Series C (MTN)
6.650% due 03/15/04 500 500
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- ---------
<S> <C> <C>
Donaldson, Lufkin & Jenrette, Inc.
6.110% due 05/15/01 (MTN) 500 498
Enron Corp.
9.650% due 05/15/01 250 268
9.125% due 04/01/03 1,000 1,089
Series NOV
6.950% due 07/15/28 500 484
EOP Operating, L.P.
6.500% due 01/15/04 250 247
Equitable Life Assurance Society
6.950% due 12/01/05 1,000 1,022
7.700% due 12/01/15 500 526
Finova Capital Corp.
6.375% due 05/15/05 500 494
Fleet National Bank
5.750% due 01/15/09 1,000 959
Ford Motor Co.
6.375% due 02/01/2029 500 476
7.700% due 05/15/2097 450 485
Ford Motor Credit Co.
6.375% due 10/06/00 (Regd) 500 505
7.000% due 09/25/01 500 513
6.110% due 12/28/01 (MTN) 900 905
7.500% due 01/15/03 1,000 1,050
Gatx Capital Corp.
6.500% due 11/01/00 1,000 995
General Electric Capital Corp.
8.875% due 05/15/09 (MTN) 750 914
General Motors Acceptance Corp.
6.625% due 04/24/00 (MTN) 440 445
9.625% due 12/15/01 810 886
5.500% due 01/14/02 500 494
5.750% due 11/10/03 1,000 986
Georgia Power Co.
Series C
5.500% due 12/01/05 500 487
GTE Corp.
9.375% due 12/01/00 800 843
6.840% due 04/15/18 250 257
GTE North, Inc.
5.650% due 11/15/08 500 485
International Business Machines Corp.
6.375% due 06/15/00 450 455
7.125% due 12/01/2096 250 258
International Lease Finance Corp.
6.625% due 08/15/00 200 202
Kemper Corp.
6.875% due 09/15/03 345 351
Kroger Co.
6.800% due 12/15/18 300 300
Masco Corp.
7.125% due 08/15/13 250 252
6.625% due 04/15/18 250 237
MCI WorldCom, Inc.
6.400% due 08/15/05 1,000 1,011
6.950% due 08/15/28 250 256
Mellon Financial Co.
5.750% due 11/15/03 500 494
Merck & Co., Inc.
5.950% due 12/01/28 150 141
Merrill Lynch & Co., Inc.
6.000% due 02/17/09 1,000 963
Morgan Stanley Dean Witter & Co.
5.625% due 01/20/04 (MTN) 500 488
National City Bank of Cleveland, Ohio
6.350% due 03/15/01 1,000 1,010
Nationsbank Corp.
6.600% due 05/15/10 1,000 1,012
News America Holdings, Inc.
9.250% due 02/01/13 750 910
8.250% due 08/10/18 600 668
Northrop-Grumman Corp.
9.375% due 10/15/24 400 440
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- ----------
<S> <C> <C>
Progressive Corp.
6.625% due 03/01/29 300 292
Raytheon Co.
6.300% due 03/15/05 1,000 1,001
6.750% due 03/15/18 800 792
Saks, Inc.
8.250% due 11/15/08 500 548
Simon Property Group, Inc.
7.125% due 02/09/09 300 293
Sola International, Inc.
6.875% due 03/15/08 150 137
Sprint Capital Corp.
6.875% due 11/15/28 1,000 1,003
Sun Life Canada (US) Capital Trust
8.526% due 05/29/49 500 518
Suntrust Banks, Inc.
6.125% due 02/15/04 1,300 1,285
Tele-Communications, Inc.
7.875% due 02/15/26 750 853
Time Warner, Inc.
7.250% due 10/15/17 500 516
6.625% due 05/15/29 750 712
US Bancorp
7.625% due 05/01/05 500 529
USA Waste Services, Inc.
6.500% due 12/15/02 1,000 1,001
Xerox Capital Trust I
8.000% due 02/01/27 1,250 1,278
Zions Institutional Capital Trust A
8.536% due 12/15/26 400 408
----------
48,910
----------
EURODOLLAR BONDS - 4.0%
Alberta, Province of
4.875% due 10/29/03 500 481
American Express Master Trust
5.375% due 09/15/00 1,000 996
British Sky Broadcasting PLC
6.875% due 02/23/09 500 492
Canadian National Railway Co.
6.900% due 07/15/28 750 757
Hyder PLC
6.750% due 12/15/04 1,000 1,002
Korea, Republic of
8.875% due 04/15/08 200 212
Ontario, Province of
7.375% due 01/27/03 1,070 1,128
7.625% due 06/22/04 585 630
5.500% due 10/01/08 500 482
Quebec, Province of
5.750% due 02/15/09 1,000 968
Telekomunikacja Polska SA
7.125% due 12/10/03 750 732
7.750% due 12/10/08 200 190
-----------
8,070
-----------
MORTGAGE-BACKED SECURITIES - 33.1%
Federal Home Loan Mortgage Corp.
Participation Certificate
7.000% due 2001 89 90
9.000% due 2004 44 45
9.000% due 2005 337 350
9.000% due 2010 301 317
6.000% due 2011 98 97
8.000% due 2011 103 106
8.500% due 2025 38 40
7.000% due 2028 3,222 3,264
7.500% due 2028 1,927 1,979
8.500% due 2028 2,270 2,389
7.500% due 2029 500 514
Federal Home Loan Mortgage Corp.
7.000% 30 Year TBA (c) 2,300 2,330
Federal National Mortgage Association
6.000% due 2009 140 139
6.000% due 2011 166 165
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- ----------
<S> <C> <C>
5.500% due 2014 166 161
8.000% due 2023 4 4
8.500% due 2024 19 20
7.500% due 2025 96 99
9.000% due 2026 78 82
6.500% due 2027 197 195
8.000% due 2027 4,135 4,301
7.000% due 2028 5,238 5,302
7.500% due 2028 2,475 2,541
Federal National Mortgage
Association (c)
6.000% 30 Year TBA 11,150 10,805
6.500% 30 Year TBA 14,350 14,227
8.000% 30 Year TBA 100 104
Government National Mortgage
Association
8.000% due 2012 1,371 1,416
10.000% due 2013 21 22
10.000% due 2014 8 9
7.500% due 2022 11 12
7.000% due 2023 2,141 2,173
7.500% due 2023 38 39
6.500% due 2024 35 35
7.500% due 2024 915 942
8.000% due 2024 332 346
8.500% due 2025 152 161
9.500% due 2025 126 135
7.500% due 2026 832 855
7.500% due 2027 721 741
8.000% due 2027 21 22
7.000% due 2028 7,705 7,813
7.500% due 2028 2,114 2,176
8.000% due 2099 114 121
----------
66,684
----------
UNITED STATES GOVERNMENT AGENCIES -
5.6%
Federal Farm Credit Bank (MTN)
6.060% due 05/28/13 670 665
Federal Home Loan Bank
7.310% due 06/16/04 1,000 1,070
6.995% due 04/02/07 300 320
Federal National Mortgage Association
6.790% due 06/02/04 (MTN) 1,000 1,045
6.480% due 06/28/04 (MTN) 1,000 1,032
8.500% due 02/01/05 1,500 1,542
6.590% due 09/17/07 (MTN) 500 520
6.550% due 11/21/07 (MTN) 1,000 1,007
6.560% due 11/26/07 400 403
6.170% due 01/15/08 (MTN) 235 232
6.270% due 02/05/08 (MTN) 220 219
6.270% due 02/13/08 (MTN) 1,000 994
6.150% due 07/02/08 (MTN) 500 494
5.250% due 01/15/09 350 335
5.625% due 04/17/28 (MTN) 1,000 905
State of Israel United States
Government Guaranteed Notes
5.700% due 02/15/03 500 498
------------
11,281
------------
UNITED STATES GOVERNMENT TREASURIES
- - 20.7%
United States Treasury Bonds
10.000% due 05/15/10 320 394
9.875% due 11/15/15 380 543
7.500% due 11/15/16 2,000 2,362
8.875% due 08/15/17 1,350 1,807
8.125% due 08/15/19 1,645 2,085
8.750% due 08/15/20 2,270 3,065
8.000% due 11/15/21 1,585 2,007
7.625% due 11/15/22 1,635 2,001
5.250% due 11/15/28 360 339
United States Treasury
Interest Only Strips
4.753% due 05/15/01 245 219
4.790% due 05/15/05 1,350 968
5.890% due 02/15/10 2,500 1,347
5.200% due 05/15/10 1,460 774
</TABLE>
6 Semiannual Report
<PAGE>
SSGA
BOND MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- ----------
<S> <C> <C>
United States Treasury Notes
5.000% due 02/28/01 3,300 3,291
6.125% due 12/31/01 450 460
5.875% due 09/30/02 5,800 5,908
5.750% due 12/31/02 2,500 2,527
5.250% due 08/15/03 1,260 1,257
5.750% due 08/15/03 1,000 1,017
4.750% due 02/15/04 1,870 1,831
7.250% due 08/15/04 1,975 2,148
7.500% due 02/15/05 2,000 2,212
6.500% due 05/15/05 500 529
4.750% due 11/15/08 2,675 2,565
----------
41,656
----------
YANKEE BONDS - 4.5%
Manitoba, Province of
8.750% due 05/15/01 1,000 1,064
Series C-J
9.500% due 10/01/00 351 372
Series CP
7.750% due 02/01/02 1,000 1,054
New Brunswick, Province of
7.125% due 10/01/02 500 522
Ontario, Province of
7.750% due 06/04/02 500 529
Quebec, Province of
11.000% due 06/15/15 1,000 1,100
7.125% due 02/09/24 150 157
Royal Caribbean Cruises, Ltd.
6.750% due 03/15/08 200 195
Saskatchewan, Province of
6.625% due 07/15/03 1,000 1,027
Tyco International Group SA
6.125% due 06/15/01 2,000 2,007
6.875% due 01/15/29 500 487
Westpac Banking, Ltd.
9.125% due 08/15/01 500 532
----------
9,046
----------
TOTAL LONG-TERM INVESTMENTS
(cost $193,897) 192,092
----------
SHORT-TERM INVESTMENTS - 19.6%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (a) 7,297 7,297
Federal Home Loan Bank
Discount Notes
4.730% due 03/12/99 (a)(d) 32,000 31,954
Federated Investors Prime Cash
Obligations Fund (a) 329 329
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $39,580) 39,580
----------
TOTAL INVESTMENTS - 115.0%
(identified cost $233,477)(b) 231,672
OTHER ASSETS AND LIABILITIES,
NET - (15.0%) (30,218)
----------
NET ASSETS - 100.0% 201,454
==========
</TABLE>
(a) At cost, which approximates market.
(b) See Note 2 for federal income tax information.
(c) Forward commitment. See Note 2.
(d) Rate noted is yield-to-maturity.
Abbreviations:
MTN - Medium Term Note
TBA - To Be Announced Security
Semiannual Report 7
<PAGE>
SSGA
BOND MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28,1999 (Unaudited)
ASSETS
Investments at market (identified cost $233,477)(Note 2).......... $ 231,672
Receivables:
Dividends and interest......................................... 1,963
Investments sold (regular settlement).......................... 5,346
Investments sold (delayed settlement)(Note 2).................. 35,742
Fund shares sold .............................................. 1,863
---------
Total Assets................................................. 276,586
LIABILITIES
Payables:
Investments purchased (regular settlement).......... $ 10,677
Investments purchased (delayed settlement)(Note 2).. 64,135
Fund shares redeemed................................ 202
Accrued fees to affiliates and trustees (Note 4).... 112
Other accrued expenses.............................. 6
--------
Total Liabilities............................................ 75,132
---------
NET ASSETS ....................................................... $ 201,454
=========
NET ASSETS CONSIST OF:
Undistributed net investment income .............................. $ 1,667
Accumulated net realized gain (loss).............................. 54
Unrealized appreciation (depreciation) on investments............. (1,805)
Shares of beneficial interest .................................... 20
Additional paid-in capital........................................ 201,518
---------
NET ASSETS ....................................................... $ 201,454
=========
NET ASSET VALUE, offering and redemption price per share:
($201,454,042 divided by 20,217,887 shares of $.001 par value
shares of beneficial interest outstanding)..................... $ 9.96
=========
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSGA
BOND MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28,1999 (Unaudited)
INVESTMENT INCOME:
Interest...................................................... $ 5,198
Dividends..................................................... 197
-------
Total Investment Income.................................... 5,395
EXPENSES (Notes 2 and 4):
Advisory fees....................................... $ 274
Administrative fees................................. 25
Custodian fees...................................... 44
Distribution fees................................... 37
Transfer agent fees................................. 14
Professional fees................................... 6
Registration fees................................... 15
Shareholder servicing fees.......................... 36
Trustees' fees...................................... 2
Miscellaneous....................................... 2
-----
Total Expenses............................................... 455
-------
Net investment income........................................... 4,940
-------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments....................... 1,825
Net change in unrealized appreciation or depreciation of (4,293)
investments..................................................... -------
Net gain (loss) on investments.................................. (2,468)
-------
Net increase (decrease) in net assets resulting from operations $ 2,472
=======
The accompanying notes are an integral part of the fiancial statements
Semiannual Report 9
<PAGE>
SSGA
BOND MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Fiscal Year
February 28,1999 Ended
(Unaudited) August 31, 1998
---------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income....................... $ 4,940 $ 7,585
Net realized gain (loss).................... 1,825 2,055
Net change in unrealized appreciation
or depreciation ........................... (4,293) 2,334
------------- --------------
Net increase (decrease) in net assets
resulting from operations.............. 2,472 11,974
------------- --------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income....................... (5,595) (6,281)
Net realized gain on investments............ (3,346) (350)
------------- --------------
Total Distributions to Shareholders..... (8,941) (6,631)
------------- --------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets
from Fund share transactions (Note 5 )..... 17,772 97,138
------------- --------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS.. 11,303 102,481
NET ASSETS
Beginning of period......................... 190,151 87,670
------------- --------------
End of period (including undistributed
net investment income of
$1,667 and $2,322, respectively).......... $201,454 $ 190,151
============= ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSGA
BOND MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statememts.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
------------------------------------
1999* 1998 1997 1996**
------- -------- ------- -------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $10.35 $9.97 $9.63 $10.00
------- -------- ------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)..................... .27 .55 .53 .27
Net realized and unrealized gain (loss)
on investments............................... (.13) .40 .35 (.49)
------- -------- ------- -------------
Total Income From Investment
Operations .14 .95 .88 (.22)
-------- -------- ------- -------------
DISTRIBUTIONS:
Net investment income......................... (.33) (.54) (.54) (.15)
Net realized gain on investments.............. (.20) (.03) -- --
------- -------- ------- --------------
Total Distributions......................... (.53) (.57) (.54) (.15)
NET ASSET VALUE, END OF PERIOD................. $9.96 $10.35 $9.97 $9.63
======= ======= ====== ==============
TOTAL RETURN (%)(b)............................ 1.34 9.86 9.47 (2.19)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period ($000 omitted)......................... 201,454 190,151 87,670 29,015
Ratios to average net assets (%)(c):
Operating expenses, net (d)................ .50 .48 .50 .63
Operating expenses, gross (d).............. .50 .52 .74 .93
Net investment income...................... 5.41 5.74 6.05 5.66
Portfolio turnover rate (%)(c)............... 354.12 300.77 375.72 253.30
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period February 7, 1996 (commencement of operations) to August 31,
1996.
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1996 are
annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 11
<PAGE>
SSGA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. 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.
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.
12 Semiannual Report
<PAGE>
SSGA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
--------------- ---------------- ------------------ ---------------------
<S> <C> <C> <C>
$ 233,527,690 $ 296,912 $ (2,152,602) $ (1,855,690)
</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.
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%.
Semiannual Report 13
<PAGE>
SSGA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding US Government and Agency
obligations and short-term investments, aggregated to $65,310,310 and
$51,377,113, respectively.
For the period ended February 28, 1999, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $271,671,432 and $270,800,052, respectively
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements. Under the securities lending arrangement, the
collateral received is recorded on the Fund's statement of assets and
liabilities along with the related obligation to return the collateral. In
those situations where the Company has relinquished control of securities
transferred, it derecognizes the securities and records a receivable from
the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be
in an amount at least equal to 102% (for loans of U.S. securities) or 105%
(for non-U.S. securities) of the market value of the loaned securities at
the inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
there were no outstanding securities on loan.
14 Semiannual Report
<PAGE>
SSGA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 .30% of its average daily net assets. 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10%, for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5% for the
period January 1, 1998 to December 31, 1998 and 0% thereafter, 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 charged 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, 1999 (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 period ended
February 28, 1999, the Fund was charged shareholder servicing expenses of
$16,327, $33, $25 and $11,824, by the Adviser, RIS, Commercial Banking and
Solutions.
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, 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, 1999
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 93,718
Administration fees 2,187
Custodian fees 1,230
Distribution fees 1,135
Shareholder servicing fees 12,826
Transfer agent fees 708
Trustees' fees 387
-----------
$ 112,191
===========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder was a record
owner of approximately 17% of the total outstanding shares of the Fund.
16 Semiannual Report
<PAGE>
SSGA
BOND MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
---------------------------------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
--------------------------------- ---------------------------------
SHARES DOLLARS SHARES DOLLARS
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
Proceeds from shares sold............................ 8,462 $ 86,280 13,299 $ 134,745
Proceeds from reinvestment of
distributions...................................... 663 6,772 366 3,664
Payments for shares redeemed......................... (7,281) (75,280) (4,086) (41,271)
-------------- --------------- -------------- ---------------
Total net increase (decrease)........................ 1,844 $ 17,772 9,579 $ 97,138
============== =============== ============== ===============
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .065% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually, is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 33 1/3 percent of the value of its total assets under the
agreement.
7. DIVIDENDS
On March 1, 1999, the Board of Trustees declared a dividend of $.0799 from
net investment income, payable on March 5, 1999 to shareholders of record
on March 2, 1999.
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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
18 Semiannual Report
<PAGE>
SSGA(R) FUNDS
HIGH YIELD BOND FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements...................................... 3
Financial Highlights...................................... 8
Notes to Financial Statements............................. 9
Fund Management and Service Providers..................... 15
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is
licensed for use by the SSgA Funds.
This report is prepared from the books and records of the 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
HIGH YIELD BOND FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 90.7%
CORPORATE BONDS AND NOTES - 87.1%
Adelphia Communications Corp.
9.875% due 03/01/07 500 557
AK Steel Corp.
10.750% due 04/01/04 354 369
7.875% due 02/15/09 500 490
Allied Waste North America
7.625% due 01/01/06 500 509
Arco Chemical Co.
9.900% due 11/01/00 300 308
Bresnan Communications Group, L.L.C.
8.000% due 02/01/09 250 253
Bresnan Communications Group,
L.L.C. Step Up Bond
Zero Coupon due 02/01/09 (a) 250 165
Canandaigua Brands, Inc.
8.500% due 03/01/09 750 750
Carmike Cinemas, Inc.
9.375% due 02/01/09 250 253
Chancellor Media Corp.
9.000% due 10/01/08 250 269
8.000% due 11/01/08 250 261
CMS Energy Corp.
6.750% due 01/15/04 250 243
CSC Holdings, Inc.
9.250% due 11/01/05 600 645
D.R. Horton, Inc.
8.000% due 02/01/09 250 248
Echostar DBS Corp.
9.250% due 02/01/06 500 503
Emmis Communications Corp.
8.125% due 03/15/09 500 500
Global Crossings Holdings, Ltd.
9.625% due 05/15/08 500 525
Gulf Canada Resources, Ltd.
9.250% due 01/15/04 100 100
9.625% due 07/01/05 275 281
Hayes Lemmerz International, Inc.
9.125% due 07/15/07 350 369
HS Resources, Inc.
Series B
9.250% due 11/15/06 500 473
Insight Health Services
Series B
9.625% due 06/15/08 500 486
Interep National Radio Sales, Inc.
10.000% due 07/01/08 250 261
Intermedia Communications, Inc.
9.500% due 03/01/09 500 495
Iron Mountain, Inc.
8.750% due 09/30/09 450 468
ITC Deltacom, Inc.
9.750% due 11/15/08 500 524
L-3 Communications Corp.
8.500% due 05/15/08 525 547
Lenfest Communications, Inc.
10.500% due 06/15/06 250 295
Mcleodusa, Inc.
8.125% due 02/15/09 750 736
Metromedia Fiber Network
10.000% due 11/15/08 500 523
Niagara Mohawk Power Corp.
7.375% due 07/01/03 500 524
Nortek, Inc.
8.875% due 08/01/08 500 512
Optel, Inc.
Series B
11.500% due 07/01/08 300 296
Phoenix Color Corp.
10.375% due 02/01/09 500 505
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
HIGH YIELD BOND FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
Psinet, Inc.
11.500% due 11/01/08 500 563
Tenet Healthcare Corp.
8.125% due 12/01/08 250 244
Tokeim Corp.
11.375% due 08/01/08 250 258
Tricon Global Restaurants, Inc.
7.450% due 05/15/05 250 252
Verio, Inc.
11.250% due 12/01/08 500 538
Willis Corroon Corp.
9.000% due 02/01/09 500 499
--------
16,597
--------
YANKEE BONDS - 3.6%
Metronet Communications Corp.
Step Up Bond
Zero Coupon due 06/15/08 (a) 1,000 685
--------
TOTAL LONG-TERM INVESTMENTS
(cost $16,908) 17,282
--------
SHORT-TERM INVESTMENTS - 11.6%
AIM Short-Term Investment
Prime Portfolio Class A (b) 949 949
Federated Investors Prime Cash
Obligations Fund (b) 940 940
Money Market Obligations 321 321
Trust (b) --------
TOTAL SHORT-TERM INVESTMENTS
(cost $2,210) 2,210
--------
TOTAL INVESTMENTS - 102.3%
(identified cost $19,118)(c) 19,492
OTHER ASSETS AND LIABILITIES,
NET - (2.3%) (443)
--------
NET ASSETS - 100.0% 19,049
========
</TABLE>
(a) Adjustable or floating rate 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.
4 Semiannual Report
<PAGE>
SSGA
HIGH YIELD BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $19,118)(Note 2)......... $ 19,492
Receivables:
Dividends and interest......................................... 296
Investments sold............................................... 262
Fund shares sold............................................... 2
From Advisor................................................... 5
Deferred organization expenses (Note 2)......................... 4
Prepaid expenses................................................ 15
-----------
Total Assets................................................. 20,076
LIABILITIES
Payables:
Investments purchased.......................................... $ 998
Fund shares redeemed........................................... 1
Accrued fees to affiliates and trustees (Note 4)............... 3
Other accrued expenses......................................... 25
-----------
Total Liabilities............................................ 1,027
-----------
NET ASSETS...................................................... $ 19,049
===========
NET ASSETS CONSIST OF:
Undistributed net investment income............................. $ 230
Accumulated net realized gain (loss)............................ 65
Unrealized appreciation (depreciation) on investments........... 374
Shares of beneficial interest................................... 2
Additional paid-in capital...................................... 18,378
-----------
NET ASSETS...................................................... $ 19,049
===========
NET ASSET VALUE, offering and redemption price per share:
($19,049,317 divided by 1,817,698 shares of $.001 par value
shares of beneficial interest outstanding)................... $ 10.48
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSGA
HIGH YIELD BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest........................................................ $ 587
Dividends....................................................... 24
-----------
Total Investment Income....................................... 611
EXPENSES (Notes 2 and 4):
Advisory fees................................................... $ 22
Administrative fees............................................. 2
Custodian fees.................................................. 4
Distribution fees............................................... 10
Transfer agent fees............................................. 8
Professional fees............................................... 6
Registration fees............................................... 19
Shareholder servicing fees...................................... 2
Amortization of deferred organization expenses.................. 1
-----------
Expenses before reductions...................................... 74
Expense reductions (Note 4)..................................... (27)
-----------
Expenses, net................................................. 47
-----------
Net investment income............................................ 564
-----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments........................ 73
Net change in unrealized appreciation or depreciation of......... 709
investments...................................................... -----------
Net gain (loss) on investments................................... 782
-----------
Net increase (decrease) in net assets resulting from operations.. $ 1,346
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
HIGH YIELD BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED PERIOD
FEBRUARY 28, 1999 MAY 5, 1998* TO
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.............................................. $ 564 $ 193
Net realized gain (loss)........................................... 73 (7)
Net change in unrealized appreciation or depreciation.............. 709 (335)
----------------- ---------------
Net increase (decrease) in net assets resulting from
operations....................................................... 1,346 (149)
----------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.............................................. (502) (25)
Net realized gain on investments................................... (1) --
----------------- ---------------
Total Distributions to Shareholders.............................. (503) (25)
----------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share
transactions (Note 5).............................................. 6,298 12,082
----------------- ---------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS......................... 7,141 11,908
NET ASSETS
Beginning of period................................................ 11,908 --
----------------- ---------------
End of period (including undistributed net investment income of
$230 and $168, respectively)..................................... $ 19,049 $ 11,908
================= ===============
</TABLE>
* Commencement of operations.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
HIGH YIELD BOND FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1999* 1998**
---------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....................... $ 9.90 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)................................. .37 .18
Net realized and unrealized gain (loss) on investments.... .58 (.24)
---------- ----------
Total Income From Investment Operations................. .95 (.06)
---------- ----------
DISTRIBUTIONS:
Net investment income..................................... (.37) (.04)
---------- ----------
NET ASSET VALUE, END OF PERIOD............................. $ 10.48 $ 9.90
========== ==========
TOTAL RETURN (%)(b)........................................ 9.86 (.59)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted).................. 19,049 11,908
Ratios to average net assets (%)(c):
Operating expenses, net (d)............................. .65 .65
Operating expenses, gross (d)........................... 1.02 1.66
Net investment income................................... 7.81 6.38
Portfolio turnover rate (%)(c)............................ 283.58 173.64
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period May 5, 1998 (commencement of operations) to August 31, 1998.
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1998 are
annualized.
(d) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSGA
HIGH YIELD BOND FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. These financial statements report on one portfolio,
the SSgA High Yield Bond 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 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 9
<PAGE>
SSGA
HIGH YIELD BOND FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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 $6,600 incurred from May 5, 1998 to August 31, 1998, and
treat it as arising in fiscal year 1999.
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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------------- ---------------- ------------------ ----------------
<S> <C> <C> <C>
$ 19,118,749 $ 421,322 $ (48,071) $ 373,251
</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.
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-
10 Semiannual Report
<PAGE>
SSGA
HIGH YIELD BOND FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding US Government and Agency
obligations and short-term investments, aggregated to $21,527,599 and
$13,595,636, respectively.
For the period ended February 28, 1999, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $3,785,777 and $5,860,347, respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements. Under the securities lending arrangement, the
collateral received is recorded on the Fund's statement of assets and
liabilities along with the related obligation to return the collateral. In
those situations where the Company has relinquished control of securities
transferred, it derecognizes the securities and records a receivable from
the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be
in an amount at least equal to 102% (for loans of U.S. securities) or 105%
(for non-U.S. securities) of the market value of the loaned securities at
the inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
there were no outstanding securities on loan.
Semiannual Report 11
<PAGE>
SSGA
HIGH YIELD BOND FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 .30% of its average daily net assets. The Adviser has agreed to
reimburse the Fund for all expenses in excess of .65% 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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%for the period May
5, 1998 to December 31, 1998, and 0% thereafter, 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 charged 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%, .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 period ended February 28, 1999, the Fund was charged shareholder
servicing expenses of $1,806, $21 and $11 by the Adviser, SSBSI and
Commercial Banking. The Fund did not incur any expenses from RIS or
Solutions during this period.
12 Semiannual Report
<PAGE>
SSGA
HIGH YIELD BOND FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments that exceed the
maximum amount of allowable reimbursement may be carried forward for two
years following the year in which the expenditure was incurred so long as
the plan is in effect. The Fund's responsibility for any such expenses
carried forward shall terminate at the end of two years following the year
in which the expenditure was incurred. The Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance.
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, 1999
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Administration fees $ 640
Custodian fees 658
Distribution fees 442
Shareholder servicing fees 493
Transfer agent fees 540
Trustees' fees 49
--------
$ 2,822
--------
</TABLE>
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIOD MAY 5, 1998
FOR THE PERIOD ENDED (COMMENCEMENT OF OPERATIONS)
FEBRUARY 28, 1999 TO AUGUST 31, 1998
--------------------- ---------------------------
SHARES DOLLARS SHARES DOLLARS
---------- --------- ---------- -----------
<S> <C> <C> <C> <C>
Proceeds from shares sold...................... 685 $ 7,002 1,215 $ 12,208
Proceeds from reinvestment of
distributions................................. 1 4 -- --
Payments for shares redeemed................... (70) (708) (12) (126)
---------- --------- ---------- -------------
Total net increase (decrease).................. 616 $ 6,298 1,203 $ 12,082
========== ========= ========== =============
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .065% on the average daily unused amount of the
Aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually, is calculated based
on the market rates at the time of the
Semiannual Report 13
<PAGE>
SSGA
HIGH YIELD BOND FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
borrowing. The Fund may borrow up to a maximum of 33 1/3 percent of the
value of it's total assets under the agreement.
7. DIVIDENDS
On March 1, 1999, the Board of Trustees declared a dividend of $.1268 from
net investment income, payable on March 5, 1999 to shareholders of record
on March 2, 1999.
14 Semiannual Report
<PAGE>
SSGA HIGH YIELD BOND 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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 15
56
<PAGE>
SSGA (R) FUNDS
INTERNATIONAL GROWTH OPPORTUNITIES FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements............................................... 3
Financial Highlights............................................... 9
Notes to Financial Statements...................................... 10
Fund Management and Service Providers.............................. 16
</TABLE>
"SSgA (R)" is a registered trademark of State Street Corporation and is
licensed for use by the SSgA Funds.
This report is prepared from the books and records of the 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.
57
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ --------
<S> <C> <C>
COMMON STOCKS - 99.4%
AUSTRALIA - 2.2%
Telstra Corp., Ltd. NPV (a) 160,500 819
--------
CANADA - 3.1%
Newbridge Networks Corp. (a) 30,000 729
Royal Bank of Canada 8,910 432
--------
1,161
--------
DENMARK - 5.0%
Novo Nordisk AS - ADR 12,010 686
Royal Dutch Petroleum Co. 14,510 637
Tele Danmark Class B - ADR 9,010 543
--------
1,866
--------
FINLAND - 2.7%
Nokia Corp. - ADR 7,480 1,014
--------
FRANCE - 7.0%
Axa - ADR 14,640 974
Sodexho 4,070 668
Total Co. SA - ADR 18,950 978
--------
2,620
--------
GERMANY - 15.1%
Allianz AG (Regd) 2,130 647
Bayer AG - ADR 16,580 588
DaimlerChrysler AG (a) 9,700 911
Mannesmann AG - ADR 10,840 1,457
Muenchener Rueckversicherungs-
Gesellschaft AG 1,950 394
Muenchener Rueckversicherungs-
Gesellschaft AG NPV (a) 1,150 230
SAP AG - ADR 30,040 961
Volkswagen AG - ADR 36,090 473
--------
5,661
--------
IRELAND - 1.8%
Elan Corp. PLC - ADR (a) 8,610 660
--------
ITALY - 8.4%
Banco di Roma (a) 255,630 371
ENI SPA - ADR 14,060 830
Instituto Nazionale Delle
Assicurazioni - ADR 26,440 628
Istituto Bancario San Paolo di
Torino - ADR (a) 19,173 665
Unicredito Italiano 122,210 644
--------
3,138
--------
JAPAN - 19.9%
Bank of Tokyo
Mitsubishi, Ltd. - ADR 63,540 755
Canon, Inc. - ADR 24,580 521
Fuji Bank, Ltd. (The) - ADR 18,950 746
Fuji Photo Film Co., Ltd. - ADR 19,920 725
Honda Motor Co., Ltd. - ADR 11,040 838
Kyocera Corp. - ADR 16,560 790
NTT Data Corp. 150 866
NTT Mobile Communication
Network, Inc. (a) 11 447
Sony Corp. - ADR 9,110 680
Takeda Chemical Industries 32,000 1,100
--------
7,468
--------
NETHERLANDS - 6.6%
Koninklijke Ahold NV 20,100 773
Koninklijke KPN NV 17,000 893
Philips Electronics NV - ADR 7,995 557
United Pan-Europe Communications
NV - ADR (a) 6,800 256
--------
2,479
--------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ --------
<S> <C> <C>
SINGAPORE - 2.0%
Singapore Airlines, Ltd. 100,200 739
(Alien Market) --------
SPAIN - 5.3%
Endesa SA - ADR 35,050 924
Telefonica de Espana SA - ADR 7,581 1,042
--------
1,966
--------
SWEDEN - 4.1%
Astra AB Class A - ADR 28,870 572
Ericsson (LM) Telephone Co.
Class B - ADR 37,420 973
--------
1,545
--------
SWITZERLAND - 1.5%
Roche Holdings AG - ADR 4,540 575
--------
UNITED KINGDOM - 14.7%
Barclays PLC - ADR 7,090 766
BP Amoco PLC - ADR (a) 4,070 346
British Telecommunications
PLC - ADR 2,470 434
Diageo PLC - ADR 14,860 672
HSBC Holdings PLC 12,780 365
Royal & Sun Alliance Insurance
Group PLC 43,200 365
Smithkline Beecham PLC - ADR 8,750 622
Standard Chartered Bank Group
PLC 26,250 343
Unilever PLC - ADR 20,980 818
Vodafone Group PLC - ADR 4,220 769
--------
5,500
--------
TOTAL COMMON STOCKS
(cost $37,807) 37,211
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- --------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 1.3%
UNITED STATES - 1.3%
Federated Investors Prime Cash 511 511
Obligations Fund (b) --------
TOTAL SHORT-TERM INVESTMENTS
(cost $511) 511
--------
TOTAL INVESTMENTS - 100.7%
(identified cost $38,318)(c) 37,722
OTHER ASSETS AND LIABILITIES,
NET - (0.7%) (278)
--------
NET ASSETS - 100.0% 37,444
--------
</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
NPV - No Par Value
NV - Nonvoting
The accompanying notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
% OF VALUE
NET (000)
INDUSTRY DIVERSIFICATION ASSETS $
- ------------------------ -------- --------
<S> <C> <C>
Basic Industries 1.6 588
Capital Goods 1.5 557
Consumer Basics 13.4 5,035
Consumer Durables 7.7 2,902
Consumer Non-Durables 7.2 2,691
Consumer Services 3.7 1,406
Energy 7.5 2,790
Finance 24.1 9,019
General Business 5.4 2,004
Miscellaneous 7.5 2,809
Technology 9.2 3,453
Utilities 10.6 3,957
Short-Term Investments 1.3 511
-------- --------
Total Investments 100.7 37,722
Other Assets and Liabilities, Net (0.7) (278)
-------- --------
NET ASSETS 100.0 37,444
======== ========
</TABLE>
<TABLE>
<CAPTION>
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
- --------------------------- ------ ------
<S> <C> <C>
Europe 55.7 20,864
Canada 3.1 1,161
Japan 19.9 7,468
Pacific Basin 4.2 1,558
UK 16.5 6,160
Short-Term Investments 1.3 511
------ ------
Total Investments 100.7 37,722
Other Assets and Liabilities, Net (0.7) (278)
------ ------
NET ASSETS 100.0 37,444
====== ======
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $38,318)(Note 2)............ $ 37,722
Foreign currency exchange spot contracts (cost $236)(Note 2)....... 236
Receivables:
Dividends and interest............................................ 41
Fund shares sold.................................................. 1
Prepaid expenses................................................... 20
Short-term investments held as collateral for securities loaned,
at market (Note 3)................................................. 9,761
-----------
Total Assets.................................................... 47,781
LIABILITIES
Payables:
Investments purchased......................................$ 253
Fund shares redeemed....................................... 9
Accrued fees to affiliates and trustees (Note 4)........... 44
Other accrued expenses..................................... 34
Foreign currency exchange spot contracts (cost
$236)(Note 2)............................................... 236
Payable upon return of securities loaned, at market
(Note 3).................................................... 9,761
-------
Total Liabilities............................................... 10,337
--------
NET ASSETS......................................................... $ 37,444
========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income....... $ (40)
Accumulated net realized gain (loss)............................... (934)
Unrealized appreciation (depreciation) on:
Investments....................................................... (596)
Foreign currency-related transactions............................. (3)
Shares of beneficial interest...................................... 4
Additional paid-in capital......................................... 39,013
--------
NET ASSETS......................................................... $ 37,444
========
NET ASSET VALUE, offering and redemption price per share:
($37,443,696 divided by 3,848,743 shares of $.001 par value
shares of beneficial interest outstanding)...................... $ 9.73
========
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended
February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes withheld of $11)................. $ 170
Interest......................................................... 5
--------
Total Investment Income........................................ 175
EXPENSES (Notes 2 and 4):
Advisory fees......................................... $ 105
Administrative fees................................... 8
Custodian fees........................................ 18
Distribution fees..................................... 13
Transfer agent fees................................... 8
Professional fees..................................... 8
Registration fees..................................... 23
Shareholder servicing fees............................ 3
-------
Expenses before reductions............................ 186
Expense reductions (Note 4)........................... (32)
-------
Expenses, net.................................................. 154
--------
Net investment income............................................. 21
--------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments........................................... (901)
Foreign currency-related transactions................. 3 (898)
-------
Net change in unrealized appreciation or depreciation of:
Investments........................................... 4,314
Foreign currency-related transactions................. (3) 4,311
------- --------
Net gain (loss) on investments..................................... 3,413
--------
Net increase (decrease) in net assets resulting from operations.... $ 3,434
========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED PERIOD
FEBRUARY 28, 1999 MAY 1, 1998* TO
(UNAUDITED) AUGUST 31, 1998
----------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income..................................... $ 21 $ 80
Net realized gain (loss).................................. (898) (35)
Net change in unrealized appreciation or depreciation..... 4,311 (4,910)
------------------ -----------------
Net increase (decrease) in net assets resulting from
operations............................................. 3,434 (4,865)
------------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income..................................... (102) --
In excess of net investment income........................ (40) --
------------------ -----------------
Total Distributions to Shareholders..................... (142) --
------------------ -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share
transactions (Note 5)..................................... 11,186 27,831
------------------ -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS................ 14,478 22,966
NET ASSETS
Beginning of period....................................... 22,966 --
------------------ -----------------
End of period (including accumulated distributions in
excess of net investment
income of $40 and undistributed net investment
income of $81, respectively)............................ $ 37,444 $ 22,966
================== =================
</TABLE>
* Commencement of operations.
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1999* 1998**
------- --------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 8.42 $ 10.00
------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)............................... .01 .03
Net realized and unrealized gain (loss) on investments.. 1.35 (1.61)
------ --------
Total Income From Investment Operations............... 1.36 (1.58)
------ --------
DISTRIBUTIONS:
Net investment income................................... (.05) --
------ --------
NET ASSET VALUE, END OF PERIOD........................... $9.73 $8.42
====== ========
TOTAL RETURN (%)(b)...................................... 16.21 (15.80)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)................ 37,444 22,966
Ratios to average net assets (%)(c):
Operating expenses, net (d)........................... 1.10 1.10
Operating expenses, gross (d)......................... 1.33 1.66
Net investment income................................. .15 1.27
Portfolio turnover rate (%)(c).......................... 37.71 17.24
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period May 1, 1998 (commencement of operations) to August 31, 1998.
(a) For the period ended February 28, 1999, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1998 are
annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the Investment Company) is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. These financial statements report on one portfolio, the SSgA
International Growth Opportunities 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 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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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 $35,897 incurred from May 1, 1998 to August 31,1998, and
treat it as arising in fiscal year 1999.
10 Semiannual Report
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
The Fund's aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income tax
purposes as of February 28, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
<S> <C> <C> <C>
$38,318,372 $15,224 $ (611,596) $ (596,372)
</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, passive foreign investment companies, foreign
currency contracts and certain securities sold at a loss. Accordingly, the
Fund may periodically make reclassifications among certain of its capital
accounts without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has incurred expenses in connection
with its organization and initial registration. These costs have been
deferred and are being amortized over 60 months on a straight-line basis.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Fund are
maintained in US dollars. Foreign currency amounts and transactions of the
Fund are translated into US dollars on the following basis:
(a) Market value of investment securities, other assets and liabilities at
the closing rate of exchange on the valuation date.
(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.
Semiannual Report 11
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 contracts and are
generally limited to the amount of unrealized gain on the contracts, if any,
that are recognized in the accompanying 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
12 Semiannual Report
12 Semiannual Report
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments,
aggregated to $16,364,825 and $5,261,805, respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to loan
securities with a value up to 33 1/3% of its total assets to certain brokers.
The Fund receives cash (U.S. currency), U.S. Government or U.S. Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is secured by cash collateral, such collateral shall be invested
by State Street Bank and Trust Company in short-term instruments, money
market mutual funds, and such other short-term investments, provided the
investments meet certain quality and diversification requirements. Under the
securities lending arrangement, the collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral. In those situations where the Company has
relinquished control of securities transferred, it derecognizes the
securities and records a receivable from the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be in
an amount at least equal to 102% (for loans of U.S. securities) or 105% (for
non-U.S. securities) of the market value of the loaned securities at the
inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $9,411,775 and $9,761,367, 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. The Adviser voluntarily agreed to
reimburse the Fund for all expenses in excess of 1.10% of its average daily
net assets on an annual basis. As of February 28, 1999, 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the
Semiannual Report 13
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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% for the period May 1, 1998 to December 31, 1998,
and 0% thereafter, 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 charged 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 period ended February
28, 1999, the Fund was charged shareholder servicing expenses of $3,493, $171,
$43, $138, and $45 by 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 February 28, 1999.
14 Semiannual Report
<PAGE>
SSGA
INTERNATIONAL GROWTH OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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, 1999 WERE
AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $42,649
Administration fees 65
Custodian fees 168
Distribution fees 259
Shareholder servicing fees 301
Transfer agent fees 266
Trustees' fees 50
-------
$43,758
=======
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder was a record
owner of approximately 11% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIOD MAY 1, 1998
FOR THE PERIOD ENDED (COMMENCEMENT OF OPERATIONS)
FEBRUARY 28, 1999 TO AUGUST 31, 1998
--------------------- -----------------------------
SHARES DOLLARS SHARES DOLLARS
--------- ---------- --------- -----------
<S> <C> <C> <C> <C>
Proceeds from shares
sold................... 1,229 $ 12,190 2,739 $ 27,935
Proceeds from
reinvestment of
distributions.......... 5 44 -- --
Payments for shares
redeemed............... (112) (1,048) (11) (104)
--------- ---------- --------- -----------
Total net increase
(decrease)............. 1,122 $ 11,186 2,728 $ 27,831
========= ========== ========= ===========
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .065% on the average daily unused amount of the Aggregate
commitment, which is allocated among each of the Participants. Interest, at
the Federal Fund Rate plus .50% annually, is calculated based on the market
rates at the time of the borrowing. The Fund may borrow up to a maximum of 33
1/3 percent of the value of it's total assets under the agreement.
Semiannual Report 15
<PAGE>
SSGA INTERNATIONAL GROWTH OPPORTUNITIES 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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSGA(R) LIFE SOLUTIONS(SM) FUNDS
INCOME AND GROWTH FUND
BALANCED FUND
GROWTH FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Income and Growth Fund Financial Statements.......................... 2
Financial Highlights............................................... 6
Balanced Fund Financial Statements................................... 8
Financial Highlights............................................... 12
Growth Fund Financial Statements.................................... 14
Financial Highlights............................................... 18
Notes to Financial Statements........................................ 19
Fund Management and Service Providers................................ 27
</TABLE>
"SSgA (R)" is a registered trademark and "Life Solutions (SM)" is a registered
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, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
--------- --------
<S> <C> <C>
INVESTMENTS
DOMESTIC EQUITIES - 25.3%
SSgA Aggressive Equity Fund (Note 4)........................... 60,402 597
SSgA Matrix Equity Fund........................................ 256,042 4,255
SSgA S&P 500 Index Fund........................................ 64,676 1,441
SSgA Small Cap Fund............................................ 65,315 1,102
--------
7,395
--------
INTERNATIONAL EQUITIES - 9.0%
SSgA Active International Fund................................. 233,949 2,115
SSgA Emerging Markets Fund..................................... 67,957 525
--------
2,640
--------
BONDS - 62.9%
SSgA Bond Market Fund (Note 4)................................. 1,474,026 14,681
SSgA Intermediate Fund......................................... 376,770 3,662
--------
18,343
--------
SHORT-TERM ASSETS - 2.8%
SSgA Money Market Fund (a)..................................... 812,929 813
--------
TOTAL INVESTMENTS - 100.0% (identified cost $29,624)(b)................... 29,191
--------
OTHER ASSETS AND LIABILITIES
Deferred organization expenses (Note 2)................................... 24
Receivable from Adviser (Note 4).......................................... 8
Other assets.............................................................. 421
Liabilities (Note 4)...................................................... (463)
--------
TOTAL OTHER ASSETS AND LIABILITIES, NET - (0.0%).......................... (10)
--------
NET ASSETS - 100.0%....................................................... 29,181
========
</TABLE>
2 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
INCOME AND GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
$
--------
<S> <C>
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income......... (200)
Accumulated net realized gain (loss)................................. 157
Unrealized appreciation (depreciation) on investments................ (433)
Shares of beneficial interest........................................ 2
Additional paid-in capital........................................... 29,655
-------
NET ASSETS........................................................... 29,181
=======
NET ASSET VALUE, offering and redemption price per share:
($29,180,630 divided by 2,318,226 shares of $.001 par value
shares of beneficial interest outstanding)........................ 12.59
=======
</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 3
<PAGE>
SSGA LIFE SOLUTIONS
INCOME AND GROWTH FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income distributions from Underlying Funds................................. $ 631
EXPENSES (Notes 2 and 4):
Distribution fees................................................ $ 3
Transfer agent fees.............................................. 10
Fund accounting fees............................................. 8
Professional fees................................................ 5
Registration fees................................................ 16
Shareholder servicing fees....................................... 17
Amortization of deferred organization expenses................... 2
Miscellaneous.................................................... 6
------
Expenses before reductions....................................... 67
Expense reductions (Note 4)...................................... (8)
------
Expenses, net............................................................ 59
-------
Net investment income........................................................ 572
-------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments...................................................... (207)
Capital gain distributions from Underlying Funds................. 1,271 1,064
------
Net change in unrealized appreciation or depreciation of investments......... 300
-------
Net gain (loss) on investments............................................... 1,364
-------
Net increase (decrease) in net assets resulting from operations.............. $ 1,936
=======
</TABLE>
The accompanyimg notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
INCOME AND GROWTH FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
FEBRUARY 28, 1999 FISCAL YEAR ENDED
(UNAUDITED) AUGUST 31, 1998
------------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income................................................ $ 572 $ 585
Net realized gain (loss)............................................. 1,064 752
Net change in unrealized appreciation or depreciation................ 300 (956)
---------- -----------
Net increase (decrease) in net assets resulting from
operations......................................................... 1,936 381
---------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income................................................ (986) (483)
In excess of net investment income................................... (200) --
Net realized gain on investments..................................... (982) (376)
---------- -----------
Total Distributions to Shareholders................................ (2,168) (859)
---------- -----------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share
transactions (Note 5)................................................ 5,642 10,270
---------- -----------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS........................... 5,410 9,792
NET ASSETS
Beginning of period.................................................. 23,771 13,979
---------- -----------
End of period (including accumulated distributions in excess of
net investment income of $200 and undistributed net
investment income of $414, respectively)........................... $ 29,181 $ 23,771
========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSGA LIFE SOLUTIONS
INCOME AND GROWTH FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
-------------------------
1999* 1998 1997**
------ ------- -------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............... $12.65 $12.93 $12.68
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)......................... .27 .46 --
Net realized and unrealized gain (loss) on
investments..................................... .78 (.01) .25
------ ------ ------
Total Income From Investment Operations......... 1.05 .45 .25
------ ------ ------
DISTRIBUTIONS:
Net investment income............................. (.61) (.41) --
Net realized gain on investments.................. (.50) (.32) --
------ ------ ------
Total Distributions............................. (1.11) (.73) --
------ ------ ------
NET ASSET VALUE, END OF PERIOD..................... $12.59 $12.65 $12.93
====== ====== =======
TOTAL RETURN (%)(b)................................ 8.34 3.53 1.97
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted).......... 29,181 23,771 13,979
Ratios to average net assets (%)(c):
Operating expenses, net (d)..................... .45 .45 .35
Operating expenses, gross (d)................... .51 .72 1.14
Net investment income........................... 4.35 3.00 .16
Portfolio turnover rate (%)(c).................... 55.17 93.28 106.68
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to August 31,
1997.
(a) For the periods ended February 28, 1999 and August 31, 1998, average month-
end shares outstanding were used for these calculations.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1997 are
annualized.
(d) See Note 4 for current period amounts.
6 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
BALANCED FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
INVESTMENTS
DOMESTIC EQUITIES - 40.3%
SSgA Aggressive Equity Fund (Note 4).............. 312,301 3,086
SSgA Matrix Equity Fund........................... 1,435,634 23,860
SSgA S&P 500 Index Fund........................... 358,503 7,987
SSgA Small Cap Fund............................... 360,172 6,076
---------
41,009
---------
INTERNATIONAL EQUITIES - 14.1%
SSgA Active International Fund (Note 4)........... 1,274,946 11,526
SSgA Emerging Markets Fund........................ 364,206 2,812
---------
14,338
---------
BONDS - 42.8%
SSgA Bond Market Fund (Note 4).................... 3,498,136 34,841
SSgA Intermediate Fund (Note 4)................... 895,384 8,703
---------
43,544
---------
SHORT-TERM ASSETS - 2.8%
SSgA Money Market Fund (a)........................ 2,863,353 2,863
---------
TOTAL INVESTMENTS - 100.0%
(identified cost $103,156)(b)..................... 101,754
---------
OTHER ASSETS AND LIABILITIES
Deferred organization expenses (Note 2)........... 24
Other assets...................................... 188
Liabilities (Note 4).............................. (306)
---------
TOTAL OTHER ASSETS AND LIABILITIES, NET - (0.0%).. (94)
---------
NET ASSETS - 100.0%............................... 101,660
=========
</TABLE>
8 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
BALANCED FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
$
----------
<S> <C>
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment (1,185)
income...................................................
Accumulated net realized gain (loss)..................... 25
Unrealized appreciation (depreciation) on investments.... (1,402)
Shares of beneficial interest............................ 8
Additional paid-in capital............................... 104,214
----------
NET ASSETS............................................... 101,660
==========
NET ASSET VALUE, offering and redemption price per share:
($101,659,643 divided by 7,734,103 shares of $.001 par
value shares of beneficial interest outstanding)......... 13.14
==========
</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.
9 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
BALANCED FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Income distributions from Underlying Funds...................... $ 2,052
EXPENSES (Notes 2 and 4):
Distribution fees.................................... $ 10
Transfer agent fees.................................. 13
Fund accounting fees................................. 8
Professional fees.................................... 6
Registration fees.................................... 19
Shareholder servicing fees........................... 63
Amortization of defeered organization expenses....... 2
Miscellaneous........................................ 11
---------
Total Expenses............................................... 132
---------
Net investment income............................................. 1,920
---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments.......................................... (1,406)
Capital gain distributions from Underlying Funds..... 6,414 5,008
---------
Net change in unrealized appreciation or
depreciation of investments.......................... 4,020
---------
Net gain (loss) on investments......................... 9,028
---------
Net increase (decrease) in net assets resulting from
operations........................................... $ 10,948
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
BALANCED FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.............................................................. $ 1,920 $ 1,684
Net realized gain (loss)........................................................... 5,008 3,827
Net change in unrealized appreciation or depreciation.............................. 4,020 (6,414)
-------------- -------------
Net increase (decrease) in net assets resulting from operations................. 10,948 (903)
-------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.............................................................. (3,126) (2,063)
In excess of net investment income................................................. (1,185) --
Net realized gain on investments................................................... (5,336) (1,900)
-------------- -------------
Total Distributions to Shareholders.............................................. (9,647) (3,963)
-------------- -------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions (Note 5)........ 9,555 48,667
-------------- -------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ......................................... 10,856 43,801
NET ASSETS
Beginning of period................................................................ 90,804 47,003
-------------- -------------
End of period (including accumulated distributions in excess of
net investment income of $1,185 and undistributed net investment
income of $1,206, respectively)................................................. $ 101,660 $ 90,804
============== =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 11
<PAGE>
SSGA LIFE SOLUTIONS
BALANCED FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
-------------------------
1999* 1998 1997**
---------- ---------- ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.................................. $ 12.95 $ 13.98 $ 13.69
---------- ---------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)...................
Net realized and unrealized gain (loss) on........................... .26 .50 --
investments........................................................ 1.30 (.45) .29
---------- ---------- -----------
Total Income From Investment Operations............................ 1.56 .05 .29
---------- ---------- -----------
DISTRIBUTIONS:
Net investment income................................................ (.61) (.56) --
Net realized gain on investments..................................... (.76) (.52) --
---------- ---------- -----------
Total Distributions................................................ (1.37) (1.08) --
---------- ---------- -----------
NET ASSET VALUE, END OF PERIOD........................................ $ 13.14 $ 12.95 $ 13.98
========== ========== ===========
TOTAL RETURN (%)(b)................................................... 12.25 .33 2.12
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)............................. 101,660 90,804 47,003
Ratios to average net assets (%)(c):
Operating expenses, net (d)........................................ .27 .36 .35
Operating expenses, gross (d)...................................... .27 .36 .49
Net investment income.............................................. 3.97 2.07 .07
Portfolio turnover rate (%)(c)....................................... 53.11 101.40 51.61
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to August 31,
1997.
(a) For the periods ended February 28, 1999 and August 31, 1998, average
month-end shares outstanding were used for these calculations.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1997 are
annualized.
(d) See Note 4 for current period amounts.
12 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
GROWTH FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
INVESTMENTS
DOMESTIC EQUITIES - 55.4%
SSgA Aggressive Equity Fund (Note 4)............................. 266,084 2,629
SSgA Matrix Equity Fund.......................................... 1,266,493 21,048
SSgA S&P 500 Index Fund.......................................... 316,963 7,062
SSgA Small Cap Fund.............................................. 317,283 5,353
--------
36,092
--------
INTERNATIONAL EQUITIES - 19.1%
SSgA Active International Fund (Note 4).......................... 1,105,002 9,989
SSgA Emerging Markets Fund....................................... 315,887 2,439
--------
12,428
--------
BONDS - 22.8%
SSgA Bond Market Fund (Note 4)................................... 1,195,278 11,905
SSgA Intermediate Fund........................................... 307,232 2,986
--------
14,891
--------
SHORT-TERM ASSETS - 2.8%
SSgA Money Market Fund (a)....................................... 1,856,805 1,857
--------
TOTAL INVESTMENTS - 100.1% (identified cost $67,656)(b).......... 65,268
--------
OTHER ASSETS AND LIABILITIES
Deferred organization expenses (Note 2).......................... 24
Other assets..................................................... 99
Liabilities (Note 4)............................................. (214)
--------
TOTAL OTHER ASSETS AND LIABILITIES, NET - (0.1%)................. (91)
--------
NET ASSETS - 100.0% ............................................. 65,177
========
</TABLE>
14 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
GROWTH FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
$
--------
<S> <C>
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income............................. (950)
Accumulated net realized gain (loss)..................................................... 434
Unrealized appreciation (depreciation) on investments.................................... (2,388)
Shares of beneficial interest............................................................ 5
Additional paid-in capital............................................................... 68,076
------
NET ASSETS............................................................................... 65,177
======
NET ASSET VALUE, offering and redemption price per share:
($65,176,932 divided by 4,783,808 shares of $.001 par value
shares of beneficial interest outstanding)............................................ 13.62
======
</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 15
<PAGE>
SSGA LIFE SOLUTIONS
GROWTH FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income distributions from Underlying Funds...................................................... $ 1,028
EXPENSES (Notes 2 and 4):
Distribution fees...................................................................... $ 6
Transfer agent fees.................................................................... 16
Fund accounting fees................................................................... 12
Professional fees...................................................................... 6
Registration fees...................................................................... 19
Shareholder servicing fees............................................................. 39
Amortization of deferred organization expenses......................................... 2
Miscellaneous.......................................................................... 16
--------
Total Expenses............................................................................... 116
---------
Net investment income............................................................................. 912
---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments............................................................................ (552)
Capital gain distributions from Underlying Funds....................................... 4,854 4,302
--------
Net change in unrealized appreciation or depreciation of investments.............................. 3,517
Net gain (loss) on investments.................................................................... 7,819
---------
Net increase (decrease) in net assets resulting from operations................................... $ 8,731
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
16 Semiannual Report
<PAGE>
SSGA LIFE SOLUTIONS
GROWTH FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income............................................................. $ 912 $ 818
Net realized gain (loss).......................................................... 4,302 3,992
Net change in unrealized appreciation or depreciation............................. 3,517 (6,889)
------------ ------------
Net increase (decrease) in net assets resulting from operations................ 8,731 (2,079)
------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income............................................................. (1,390) (825)
In excess of net investment income................................................ (950) (1,350)
Net realized gain on investments.................................................. (3,927) (2,112)
------------ ------------
Total Distributions to Shareholders............................................ (6,267) (4,287)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions (Note 5)....... 9,281 16,195
------------ ------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ........................................ 11,745 9,829
NET ASSETS
Beginning of period............................................................... 53,432 43,603
------------ ------------
End of period (including accumulated distributions in excess of
net investment income of $950 and undistributed net investment
income of $478, respectively).................................................. $ 65,177 $ 53,432
============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 17
<PAGE>
SSGA LIFE SOLUTIONS
GROWTH FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
-------------------------
1999* 1998 1997**
-------- ----------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................................... $ 13.02 $ 14.79 $ 14.44
-------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)............................................ .20 .38 --
Net realized and unrealized gain (loss) on investments............... 1.87 (.75) .35
-------- ----------- -----------
Total Income From Investment Operations........................... 2.07 (.37) .35
-------- ----------- -----------
DISTRIBUTIONS:
Net investment income................................................ (.55) (.71) --
Net realized gain on investments..................................... (.92) (.69) --
-------- ----------- -----------
Total Distributions............................................... (1.47) (1.40) --
-------- ----------- -----------
NET ASSET VALUE, END OF PERIOD......................................... $ 13.62 $ 13.02 $ 14.79
======== =========== ===========
TOTAL RETURN (%)(b).................................................... 16.19 (2.68) 2.42
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)............................. 65,177 53,432 43,603
Ratios to average net assets (%)(c):
Operating expenses, net (d)....................................... .38 .41 .35
Operating expenses, gross (d)..................................... .38 .41 .54
Net investment income............................................. 3.03 1.52 .09
Portfolio turnover rate (%)(c)....................................... 45.20 67.66 39.49
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to August 31,
1997.
(a) For the periods ended February 28, 1999 and August 31, 1998, average
month-end shares outstanding were used for these calculations.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1997 are
annualized.
(d) See Note 4 for current period amounts.
18 Semiannual Report
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 27
<PAGE>
SSGA(R) FUNDS
MONEY MARKET FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Statements Financial ................................................ 3
Financial Highlights................................................. 12
Notes to Financial Statements........................................ 13
Fund Management and Service Providers................................ 17
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is
licensed for use by the SSgA Funds.
This report is prepared from the books and records of the 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
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- ------ --------- -------
<S> <C> <C> <C> <C>
CORPORATE BONDS AND NOTES - 18.8%
Abbey National Treasury Services PLC (a).......................... 25,000 4.785 07/26/99 24,991
Bank One Corp (a)................................................. 25,000 4.875 07/15/99 24,997
Comerica Bank (a)................................................. 25,000 5.108 06/10/99 24,995
Comerica Bank (a)................................................. 45,000 4.856 03/07/00 44,978
Deutsche Bank AG (a).............................................. 50,000 4.810 08/16/99 49,984
First Union National Bank (a)..................................... 85,000 5.030 11/17/99 85,000
First Union National Bank......................................... 60,000 5.300 03/01/00 60,000
First Union National Bank (a)..................................... 75,000 4.908 03/10/00 75,000
Fleet National Bank (a)........................................... 25,000 4.973 11/04/99 24,992
General Electric Capital Corp. (MTN)(a)........................... 25,000 4.860 05/04/99 25,000
General Electric Capital Corp. (MTN)(a)........................... 25,000 5.188 09/09/99 25,000
IBM Credit Corp. (MTN)(a)......................................... 25,000 4.890 07/06/99 24,992
IBM Credit Corp. (MTN)(a)......................................... 50,000 4.935 10/21/99 49,983
IBM Credit Corp. (MTN)(a)......................................... 20,000 4.936 10/22/99 19,993
JP Morgan & Co. (a)............................................... 50,000 4.965 04/05/99 49,999
JP Morgan & Co. (MTN)(a).......................................... 30,000 4.825 07/07/99 29,993
Key Bank N.A. (a)................................................. 75,000 5.000 10/21/99 75,000
Merrill Lynch & Co. (MTN)(a)...................................... 50,000 4.990 04/06/99 50,000
Merrill Lynch & Co. (MTN)(a)...................................... 25,000 4.920 08/13/99 24,999
Morgan Stanley Dean Witter (a).................................... 200,000 4.900 03/01/99 200,000
National City Bank, Indiana (a)................................... 25,000 4.825 03/08/99 25,000
National City Bank, Kentucky (a).................................. 25,000 4.825 03/08/99 25,000
Nationsbank N.A................................................... 75,000 5.000 01/05/00 74,988
Norwest Corp...................................................... 110,000 4.900 10/06/99 109,975
PepsiCo (a)....................................................... 50,000 4.810 08/19/99 49,974
PNC Bank, Pittsburgh (a).......................................... 25,000 4.809 07/02/99 24,993
PNC Bank, Pittsburgh (a).......................................... 40,000 4.810 08/16/99 39,986
PNC Bank, Pittsburgh (a).......................................... 50,000 4.869 01/31/00 49,982
STEERS-A37 (a).................................................... 46,326 4.936 11/10/25 46,327
Trust Investment Enhanced Return Securities (a)................... 50,000 4.965 03/10/15 49,954
US Bancorp (a).................................................... 24,000 4.925 10/07/99 23,996
Westpac Banking................................................... 50,000 5.010 02/04/00 49,982
Xerox Credit...................................................... 40,000 5.113 03/21/00 39,957
==========
TOTAL CORPORATE BONDS AND NOTES (cost $1,600,010).......................................................... 1,600,010
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
MONEY MARKET FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- ------ --------- ------
<S> <C> <C> <C> <C>
DOMESTIC CERTIFICATES OF DEPOSIT - 1.5%
First Tennessee Bank NA............................................ 50,000 4.900 04/19/99 50,000
Fleet National Bank................................................ 30,000 4.940 07/15/99 30,000
Fleet National Bank (a)............................................ 25,000 5.001 10/22/99 25,000
Nationsbank NA..................................................... 25,000 5.120 04/19/99 25,000
--------
TOTAL DOMESTIC CERTIFICATES OF DEPOSIT (cost $130,000)....................................................... 130,000
--------
EURODOLLAR CERTIFICATES OF DEPOSITS - 6.0%
Abbey National PLC................................................. 45,000 5.050 11/12/99 45,000
Bank of Nova Scotia................................................ 35,000 4.950 03/08/99 35,000
Bank of Scotland................................................... 50,000 5.170 03/09/99 50,000
Bank of Scotland................................................... 85,000 5.190 03/31/99 85,017
Bank of Scotland................................................... 30,000 4.930 04/12/99 30,000
Barclays Bank PLC.................................................. 50,000 4.950 03/08/99 50,000
Barclays Bank PLC.................................................. 25,000 5.040 01/12/00 25,000
Dresdner Bank...................................................... 70,000 4.910 04/12/99 69,999
National Bank of Australia......................................... 20,000 5.000 05/24/99 20,000
Svenska Handelsbanken.............................................. 25,000 4.960 04/07/99 25,000
Toronto Dominion................................................... 75,000 4.870 04/21/99 75,001
--------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (cost $510,017)..................................................... 510,017
--------
EURODOLLAR TIME DEPOSITS - 6.2%
Bayerische Vereinsbank Hypo........................................ 200,000 4.875 03/01/99 200,000
UBS AG............................................................. 322,417 4.875 03/01/99 322,417
--------
TOTAL EURODOLLAR TIME DEPOSITS (cost $522,417)............................................................... 522,417
--------
FOREIGN COMMERCIAL PAPER - 10.2%
Abbey National PLC................................................. 40,000 4.860 08/25/99 39,044
ABN AMRO Bank...................................................... 50,000 4.935 04/09/99 49,733
ANZ Delware........................................................ 100,000 5.035 03/10/99 99,874
ANZ Delware........................................................ 75,000 4.840 04/08/99 74,617
ANZ Delware........................................................ 75,000 4.860 04/13/99 74,565
ANZ Delware........................................................ 25,000 4.820 05/12/99 24,759
ANZ Delware........................................................ 30,000 4.820 05/17/99 29,691
Caisse Des Depots.................................................. 150,000 4.870 03/01/99 150,000
Commonwealth Bank of Australia..................................... 25,000 4.885 09/03/99 24,369
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
-------- ----- -------- -------
<S> <C> <C> <C> <C>
Commonwealth Bank of Australia................................... 75,000 5.035 03/11/99 74,895
Den Denske Corp.................................................. 70,000 4.830 04/12/99 69,606
Den Denske Corp.................................................. 60,000 4.810 04/22/99 59,583
Den Denske Corp.................................................. 20,000 4.885 09/01/99 19,500
Westpac Capital Corp............................................. 75,000 5.050 03/08/99 74,926
-------
865,162
TOTAL FOREIGN COMMERCIAL PAPER (cost $865,162).................................................. -------
DOMESTIC COMMERCIAL PAPER -
27.3%
Asset Securitization Cooperative Corp............................ 15,000 5.080 03/10/99 14,981
Asset Securitization Cooperative Corp............................ 45,000 4.870 03/25/99 44,854
Asset Securitization Cooperative Corp............................ 70,000 4.810 03/26/99 69,766
Asset Securitization Cooperative Corp............................ 26,500 4.840 03/29/99 26,400
AT&T............................................................. 100,000 4.850 03/30/99 99,609
Bank of New York................................................. 30,000 4.830 04/09/99 29,843
Delaware Funding Corp............................................ 40,000 4.830 03/09/99 39,957
Delaware Funding Corp............................................ 42,161 4.870 03/16/99 42,075
Delaware Funding Corp............................................ 35,000 4.820 04/09/99 34,817
du Pont (E.I.) de Nemours & Co................................... 75,000 4.810 05/13/99 74,268
Falcon Asset Securitization...................................... 35,000 5.150 03/05/99 34,980
Falcon Asset Securitization...................................... 26,135 4.860 03/11/99 26,100
Falcon Asset Securitization...................................... 57,410 4.840 04/12/99 57,086
Falcon Asset Securitization...................................... 45,000 4.890 04/20/99 44,694
First Tennessee Bank NA.......................................... 50,000 4.950 03/08/99 50,000
General Electric Capital Corp.................................... 75,000 4.900 03/01/99 75,000
General Electric Capital Corp.................................... 30,000 4.940 03/17/99 29,934
General Electric Capital Corp.................................... 20,000 4.810 04/12/99 19,888
General Electric Capital Corp.................................... 50,000 5.000 04/28/99 49,597
General Electric Capital Corp.................................... 30,000 4.800 05/06/99 29,736
General Electric Capital Corp.................................... 50,000 4.860 05/11/99 49,521
General Electric Capital Corp.................................... 50,000 4.830 05/21/99 49,457
General Electric Capital Corp.................................... 50,000 4.860 05/28/99 49,406
Gillette Co...................................................... 130,000 4.850 03/01/99 130,000
Goldman Sachs Group L.P.......................................... 300,000 4.900 03/01/99 300,000
JP Morgan & Co................................................... 80,000 4.860 03/09/99 79,914
KFW International, Inc........................................... 30,000 5.100 03/12/99 29,953
Old Line Funding Corp............................................ 40,000 4.870 03/03/99 39,989
Old Line Funding Corp............................................ 25,000 4.855 03/04/99 24,990
Old Line Funding Corp............................................ 26,559 4.855 03/05/99 26,545
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- ----- --------- ---------
<S> <C> <C> <C> <C>
Old Line Funding Corp.................................................... 20,000 4.860 03/05/99 19,989
Old Line Funding Corp.................................................... 25,000 4.870 04/07/99 24,875
Old Line Funding Corp.................................................... 38,020 4.850 04/08/99 37,825
Old Line Funding Corp.................................................... 50,000 4.880 04/08/99 49,742
Old Line Funding Corp.................................................... 13,979 4.880 05/26/99 13,816
Preferred Receivables Funding Corp....................................... 20,325 4.850 03/01/99 20,325
Preferred Receivables Funding Corp....................................... 20,300 4.850 03/19/99 20,251
Preferred Receivables Funding Corp....................................... 76,185 4.850 03/25/99 75,939
Preferred Receivables Funding Corp....................................... 61,500 4.860 04/14/99 61,135
Preferred Receivables Funding Corp....................................... 20,000 4.890 04/16/99 19,875
Preferred Receivables Funding Corp....................................... 27,050 4.810 04/19/99 26,873
Preferred Receivables Funding Corp....................................... 15,000 4.870 04/26/99 14,886
Thunder Bay Funding Corp................................................. 22,573 4.850 03/11/99 22,543
Thunder Bay Funding Corp................................................. 50,000 4.880 04/09/99 49,736
Thunder Bay Funding Corp................................................. 20,188 4.900 04/16/99 20,062
Thunder Bay Funding Corp................................................. 39,614 4.850 05/06/99 39,262
Thunder Bay Funding Corp................................................. 53,001 4.840 05/13/99 52,481
Walt Disney Corp......................................................... 33,000 4.920 03/26/99 32,887
Wells Fargo & Company.................................................... 40,000 4.860 06/02/99 39,498
---------
TOTAL DOMESTIC COMMERCIAL PAPER (cost $2,315,360)........................ 2,315,360
---------
TIME DEPOSITS - 10.2%
Marshal Ilsley........................................................... 200,000 4.875 03/01/99 200,000
National City Bank....................................................... 200,000 4.875 03/01/99 200,000
Republic National Bank of New York....................................... 170,000 4.875 03/01/99 170,000
Sun Trust................................................................ 300,000 4.875 03/01/99 300,000
---------
TOTAL TIME DEPOSITS (cost $870,000)...................................... 870,000
---------
UNITED STATES GOVERNMENT
AGENCIES - 1.6%
Federal Home Loan Bank (a)............................................... 50,000 4.755 09/08/99 49,986
Federal Home Loan Bank (a)............................................... 25,000 4.890 11/10/99 24,990
Federal Home Loan Bank................................................... 57,000 4.900 01/14/00 56,990
---------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $131,966).................. 131,966
---------
</TABLE>
6 Semiannual Report
<PAGE>
SSGA
MONEY MARKET FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- ----- --------- ---------
<S> <C> <C> <C> <C>
YANKEE CERTIFICATES OF DEPOSIT - 16.0%
Abbey National PLC (MTN)................................................... 55,000 5.075 01/13/00 54,988
Bank of Nova Scotia........................................................ 30,000 4.970 03/08/99 30,000
Bank of Nova Scotia........................................................ 20,000 5.070 04/06/99 20,000
Bank of Nova Scotia........................................................ 25,000 5.055 11/12/99 24,995
Bank of Nova Scotia........................................................ 25,000 5.000 01/06/00 24,993
Bank of Scotland........................................................... 35,000 5.080 04/01/99 35,001
Bank of Scotland (a)....................................................... 50,000 4.819 08/31/99 49,983
Barclays Bank PLC (a)...................................................... 50,000 4.798 06/01/99 49,991
Barclays Bank PLC (a)...................................................... 40,000 4.804 06/02/99 39,992
Barclays Bank PLC.......................................................... 40,000 5.230 03/01/00 39,973
Bayerische Landesbank (a).................................................. 70,000 4.798 05/10/99 69,989
Bayerische Landesbank (a).................................................. 100,000 4.804 06/29/99 99,974
Canadian Imperial Bank..................................................... 75,000 4.940 03/30/99 75,000
Canadian Imperial Bank..................................................... 20,000 5.120 04/06/99 20,000
Canadian Imperial Bank..................................................... 70,000 4.850 04/26/99 70,000
Canadian Imperial Bank..................................................... 50,000 5.025 01/27/00 49,985
Canadian Imperial Bank..................................................... 40,000 5.110 02/22/00 39,989
Canadian Imperial Bank..................................................... 25,000 5.120 02/23/00 24,991
Dresdner Bank AG........................................................... 50,000 4.850 04/26/99 50,000
National Bank of Canada.................................................... 25,000 5.220 03/03/99 25,000
National Bank of Canada.................................................... 25,000 5.210 03/05/99 25,000
National Westminster Bank PLC.............................................. 50,000 4.980 01/07/00 49,984
Royal Bank of Canada....................................................... 25,000 5.600 08/23/99 25,071
Svenska Handelsbanken...................................................... 19,000 5.210 02/25/99 18,992
Svenska Handelsbanken (a).................................................. 50,000 4.818 06/01/99 49,990
Svenska Handelsbanken...................................................... 40,000 5.065 02/08/00 39,987
Svenska Handelsbanken...................................................... 15,000 5.055 02/10/00 14,995
Svenska Handelsbanken...................................................... 25,000 5.285 03/01/00 24,986
Toronto Dominion........................................................... 35,000 4.980 01/07/00 34,988
Toronto Dominion........................................................... 20,000 5.150 02/28/00 19,992
Wachovia Bank NA (a)....................................................... 35,000 4.926 10/25/99 34,995
Westpac Banking............................................................ 75,000 5.125 03/18/99 75,006
Westpac Banking (MTN)...................................................... 50,000 5.610 08/17/99 50,137
---------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $1,358,967)......................................................... 1,358,967
---------
</TABLE>
Semiannual Report 7
<PAGE>
SSGA
MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- ----- --------- ---------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT TREASURIES - 2.9%
United States Treasury Bills..................................... 250.000 4.740 03/01/99 248,288
---------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $248,288)........................................... 248,288
---------
TOTAL INVESTMENTS - 100.7% (amortized cost $8,552,187).............................................. 8,552,187
---------
REPURCHASE AGREEMENT - 3.8%
Agreement with Merrill Lynch of $325,000
acquired February 26, 1999 at 4.800% to be repurchased at
$326,135 on March 1, 1999, collateralized by:
Various United States
Treasury Notes,
4.750% to 6.000%, due 12/14/01 to 10/15/08.......................................................... 325,000
---------
TOTAL REPURCHASE AGREEMENT (identified cost $325,000)............................................... 325,000
---------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENT - 104.5% (cost $8,877,187)(b)............................ 8,877,187
OTHER ASSETS AND LIABILITIES, NET - (4.5%).......................................................... (384,193)
---------
NET ASSETS - 100.0%................................................................................. 8,492,994
=========
</TABLE>
(a) Adjustable or floating rate security.
(b) The identified cost for Federal income tax purpose is the same as shown
above.
Abbreviations:
MTN - Medium Term Note
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSGA
MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28,1999(Unaudited)
ASSETS
Investments at amortized cost which approximates market (Note 2).. $ 8,552,187
Repurchase agreement (identified cost $325,000)(Note 2)........... 325,000
Cash.............................................................. 1,413
Interest receivable............................................... 24,128
Prepaid expense................................................... 43
------------
Total Assets................................................ 8,902,772
LIABILITIES
Payables:
Dividends........................................... $ 29,371
Investments purchased............................... 376,110
Accrued fees to affiliates and trustees (Note 4).... 4,289
Other accrued expenses.............................. 8
----------
Total Liabilities........................................... 409,778
------------
NET ASSETS........................................................ $ 8,492,994
============
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss).............................. $ (252)
Shares of beneficial interest..................................... 8,493
Additional paid-in capital........................................ 8,484,753
------------
NET ASSETS........................................................ $ 8,492,994
============
NET ASSET VALUE, offering and redemption price per share:
($8,492,993,596 divided by 8,493,245,472 shares of $.001 par
value shares of beneficial interest outstanding)............. $ 1.00
============
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSGA
MONEY MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
INVESTMENT INCOME:
Interest...................................................... $ 174,748
EXPENSES (Notes 2 and 4):
Advisory fees..................................... $ 8,320
Administrative fees............................... 1,100
Custodian fees.................................... 543
Distribution fees................................. 1,583
Transfer agent fees............................... 185
Professional fees................................. 8
Registration fees................................. 13
Shareholder servicing fees........................ 1,412
Trustees' fees.................................... 69
Miscellaneous..................................... 78
----------
Total Expenses............................................. 13,311
-----------
Net investment income............................................ 161,437
-----------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments........................ 1,666
-----------
Net increase in net assets resulting from operations............. $ 163,103
===========
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSGA
MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income............................ $ 161,437 $ 268,881
Net realized gain (loss)......................... 1,666 796
----------------- -----------------
Net increase in net assets resulting from operations 163,103 269,677
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income............................. (161,437) (268,881)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund
share transactions (Note 5) 3,014,002 1,198,365
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS......... 3,015,668 1,199,161
NET ASSETS
Beginning of period................................ 5,477,326 4,278,165
----------------- -----------------
End of period...................................... $ 8,492,994 $ 5,477,326
================= =================
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 11
<PAGE>
SSGA
MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
--------------------------------------------------------------
1999* 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<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......................... .0242 .0528 .0516 .0524 .0538 .0330
DISTRIBUTIONS:
Net investment income......................... (.0242) (.0528) (.0516) (.0524) (.0538) (.0330)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD................. $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ========== ========== ==========
TOTAL RETURN (%)(a)............................ 2.44 5.41 5.28 5.36 5.52 3.35
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)...... 8,492,994 5,477,326 4,278,165 3,475,409 2,752,895 3,020,796
Ratios to average net assets (%)(b):
Operating expenses.......................... .40 .41 .39 .39 .39 .36
Net investment income....................... 4.85 5.28 5.17 5.20 5.37 3.33
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 1999 are annualized.
12 Semiannual Report
<PAGE>
SSGA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. These financial statements report on one portfolio,
the SSgA Money Market Fund (the "Fund"). The Investment Company is a
registered and diversified open-end investment company, as defined in the
Investment Company Act of 1940, as amended (the "1940 Act"), that was
organized as a Massachusetts business trust on October 3, 1987 and operates
under a First Amended and Restated Master Trust Agreement, dated October
13, 1993, as amended (the "Agreement"). The Investment Company's Agreement
permits the Board of Trustees to issue an unlimited number of full and
fractional shares of beneficial interest at a $.001 par value.
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 fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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, 1998, the Fund had a net tax basis capital loss carryover of
$1,917,639, which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2003,
whichever occurs first.
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.
Semiannual Report 13
<PAGE>
SSGA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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.
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 period ended February 28, 1999, purchases,
sales, and maturities of investment securities, excluding US Government and
Agency obligations and repurchase agreements, for the Fund aggregated to
$114,577,038,825, $956,570,603, and $110,550,220,261, respectively.
For the period ended February 28, 1999, purchases, sales, and maturities of
US Government and Agency obligations, excluding repurchase agreements
aggregated to $1,431,682,191, $137,053,074, and $1,018,573,000,
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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10%, for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5%, for the
period January 1, 1998 to December 31, 1998 and 0% thereafter, of the
asset-based fee determined in (i)); (iii) out-of-pocket expenses; and (iv)
start-up costs for new funds.
14 Semiannual Report
<PAGE>
SSGA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 charged 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 period ended February 28, 1999, the Fund was charged
shareholder servicing expenses of $831,284, $201,018, $43,475, $108,438,
and $25,411, by 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, 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 15
<PAGE>
SSGA
MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1999
WERE AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $3,083,915
Administration fees 280,048
Custodian fees 122,197
Distribution fees 362,131
Shareholder servicing fees 418,900
Transfer agent fees 7,378
Trustees' fees 14,151
----------
$4,288,720
==========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder was a record
owner of approximately 22% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (ON A CONSTANT DOLLAR BASIS):
<TABLE>
<CAPTION>
(AMOUNTS IN THOUSANDS)
FOR THE PERIODS ENDED
----------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold.............. 47,898,882 73,966,529
Proceeds from reinvestment of
distributions........................ 133,739 238,349
Payments for shares redeemed........... (45,018,619) (73,006,513)
------------ ------------
Total net increase (decrease).......... 3,014,002 1,198,365
============ ============
</TABLE>
16 Semiannual Report
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant
Treasurer and Principal Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 17
<PAGE>
SSGA(R) FUNDS
REAL ESTATE EQUITY FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements................................. 3
Financial Highlights................................. 8
Notes to Financial Statements........................ 9
Fund Management and Service Providers ............... 14
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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
REAL ESTATE EQUITY FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
<S> <C> <C>
COMMON STOCKS (B) - 99.3%
APARTMENT - 17.6%
Apartment Investment & Management Co.
Class A 42,500 1,663
Archstone Communities Trust 71,500 1,399
Avalonbay Communities, Inc. 44,300 1,398
Equity Residential Properties Trust 29,300 1,201
Smith (Charles E.) Residential
Realty, Inc. 21,400 629
----------
6,290
----------
HEALTH CARE - 6.7%
Health Care Property Investors, Inc. 30,900 908
Healthcare Realty Trust, Inc. 77,207 1,496
----------
2,404
----------
HOTELS/LEISURE - 9.0%
FelCor Lodging Trust, Inc. 38,400 907
Host Marriott Corp. (a) 21,900 237
MeriStar Hospitality Corp. 32,900 586
Patriot American Hospitality, Inc. 43,469 236
Sunstone Hotel Investors, Inc. 158,600 1,269
----------
3,235
----------
LEASING - 7.6%
Captec Net Lease Realty, Inc. 102,100 1,327
Glenborough Realty Trust, Inc. 77,700 1,403
----------
2,730
----------
MANUFACTURED HOMES - 2.4%
Manufactured Home
Communities, Inc. 37,100 863
----------
OFFICE/INDUSTRIAL - 35.1%
Alexandria Real Estate
Equities, Inc. 36,700 1,073
Arden Realty Group, Inc. 24,800 580
Boston Properties, Inc. 30,200 976
Brandywine Realty Trust 39,100 643
CenterPoint Properties Corp. 3,600 115
Cornerstone Properties, Inc. 12,300 186
Corporate Office Properties Trust 80,900 637
Cousins Properties, Inc. 21,500 622
Duke Realty Investments, Inc. 22,500 491
Equity Office Properties Trust 63,100 1,625
First Industrial Realty Trust, Inc. 19,200 497
Mack-Cali Realty Corp. 21,900 634
ProLogis Trust 32,900 683
SL Green Realty Corp. 81,100 1,566
Spieker Properties, Inc. 33,800 1,208
Weeks Corp. 37,600 1,015
----------
12,551
----------
OUTLET CENTERS - 3.2%
Chelsea GCA Realty, Inc. 38,000 1,161
----------
REGIONAL MALLS - 5.0%
Simon Property Group, Inc. 70,200 1,786
----------
SELF STORAGE - 2.2%
Storage USA, Inc. 27,200 770
----------
SHOPPING CENTER - 10.5%
Equity One, Inc. 72,100 649
Developers Diversified
Realty Corp. 50,400 800
Kimco Realty Corp. 34,000 1,290
Realty Income Corp. 25,200 550
Weingarten Realty Investors 11,400 478
----------
3,767
----------
TOTAL COMMON STOCKS
(cost $38,045) 35,557
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(OOO) (OOO)
$ $
SHORT-TERM INVESTMENTS - 6.3%
AIM Short-Term Investment
Prime Portfolio (c) 1,619 1,619
Federated Investors Prime Cash
Obligations Fund (c) 618 618
-------
TOTAL SHORT-TERM INVESTMENTS
(cost $2,237) 2,237
-------
TOTAL INVESTMENTS - 105.6%
(identified cost $40,282)(d) 37,794
OTHER ASSETS AND LIABILITIES,
NET - (5.6%) (1,989)
-------
NET ASSETS - 100.0% 35,805
=======
(a) Nonincome-producing security.
(b) All common stocks held are Real Estate Investment
Trusts (REIT).
(c) At cost, which approximates market.
(d) See Note 2 for federal income tax information.
The accompanying notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28,1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investments at market (identified cost $40,282)(Note 2)................................... $ 37,794
Receivables:
Dividends................................................................................ 18
Fund shares sold......................................................................... 6
Deferred organization expenses (Note 2)................................................... 1
Prepaid expenses.......................................................................... 14
Short-term investments held as collateral for securities loaned,
at market (Note 3)........................................................................ 2,664
--------------
Total Assets........................................................................... 40,497
LIABILITIES
Payables:
Investments purchased..................................................... $ 1,964
Accrued fees to affiliates and trustees (Note 4).......................... 46
Other accrued expenses.................................................... 18
Payable upon return of securities loaned, at market (Note 3)............... 2,664
--------------
Total Liabilities...................................................................... 4,692
--------------
NET ASSETS................................................................................ $ 35,805
==============
NET ASSETS CONSIST OF:
Undistributed net investment income....................................................... $ 126
Accumulated net realized gain (loss)...................................................... (2,454)
Unrealized appreciation (depreciation) on investments..................................... (2,488)
Shares of beneficial interest............................................................. 5
Additional paid-in capital................................................................ 40,616
--------------
NET ASSETS................................................................................ $ 35,805
==============
NET ASSET VALUE, offering and redemption price per share:
($35,804,767 divided by 4,533,932 shares of $.001 par value
shares of beneficial interest outstanding)............................................. $ 7.90
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28,1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends............................................................................. $ 1,052
Interest.............................................................................. 5
-------------
Total Investment Income............................................................. 1,057
EXPENSES (Notes 2 and 4):
Advisory fees...........................................................$ 94
Administrative fees..................................................... 4
Custodian fees.......................................................... 10
Distribution fees....................................................... 10
Transfer agent fees..................................................... 9
Professional fees....................................................... 6
Registration fees....................................................... 18
Shareholder servicing fees.............................................. 4
-------------
Expenses before reductions.............................................. 155
Expense reductions (Note 4)............................................. (13)
-------------
Expenses, net....................................................................... 142
-------------
Net investment income.................................................................. 915
-------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments.............................................. (2,402)
Net change in unrealized appreciation or depreciation of
investments............................................................................ 1,658
-------------
Net gain (loss) on investments......................................................... (744)
-------------
Net increase (decrease) in net assets resulting from operations........................ $ 171
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED PERIOD
FEBRUARY 28, 1999 MAY 1, 1998* TO
(UNAUDITED) AUGUST 31, 1998
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.......................................................... $ 915 $ 340
Net realized gain (loss)....................................................... (2,402) (52)
Net change in unrealized appreciation or depreciation.......................... 1,658 (4,146)
--------------- --------------
Net increase (decrease) in net assets resulting from
operations................................................................. 171 (3,858)
--------------- --------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.......................................................... (1,055) (74)
--------------- --------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share
transactions (Note 5)......................................................... 18,231 22,390
--------------- --------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ..................................... 17,347 18,458
NET ASSETS
Beginning of period............................................................ 18,458 --
--------------- --------------
End of period (including undistributed net investment income of
$126 and $266, respectively)................................................ $ 35,805 $ 18,458
=============== ==============
</TABLE>
* Commencement of operations.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1999* 1998*
---------------- ---------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................................. $ 8.17 $ 10.00
---------------- ---------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)........................................... .25 .15
Net realized and unrealized gain (loss) on investments.............. (.20) (1.94)
---------------- ---------------
Total Income From Investment Operations........................... .05 (1.79)
---------------- ---------------
DISTRIBUTIONS:
Net investment income............................................... (.32) (.04)
---------------- ---------------
NET ASSET VALUE, END OF PERIOD....................................... $ 7.90 $ 8.17
================ ===============
TOTAL RETURN (%)(b).................................................. .51 (17.99)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)............................ 35,805 18,458
Ratios to average net assets (%)(c):
Operating expenses, net (d)....................................... 1.00 1.00
Operating expenses, gross (d)..................................... 1.09 1.38
Net investment income............................................. 6.42 5.21
Portfolio turnover rate (%)(c)...................................... 79.42 17.36
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period May 1, 1998 (commencement of operations) to August 31, 1998.
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1998 are
annualized.
(d) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. These financial statements report on one portfolio, the SSgA Real
Estate 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 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.
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 on the accrual basis. Distributions from Real
Estate Investment Trusts ("REITs") owned by the Real Estate Equity Fund may
have as their components dividend income, capital gains and/or returns of
capital. Distributions that are deemed to be capital gains or returns of
capital by the trusts are treated by the Fund, respectively, as an adjustment
to its realized capital gains or its cost of the investment. The exact amount
to be adjusted can be ascertained only at the end of each REIT's fiscal year
when finally determined and reported by the various trusts.
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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
Semiannual Report 9
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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. As
permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $34,688 incurred from May 1, 1998 to August 31, 1998, and
treat it as arising in fiscal year 1999.
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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 40,299,414 $ 27 $ (2,505,441) $ (2,505,414)
</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 REITs 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 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%.
10 Semiannual Report
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
3. SECURITIES TRANSACTIONS
Investment transactions: For the period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments,
aggregated to $29,518,885 and $11,122,341, respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to loan
securities with a value up to 33 1/3% of its total assets to certain brokers.
The Fund receives cash (U.S. currency), U.S. Government or U.S. Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is secured by cash collateral, such collateral shall be invested
by State Street Bank and Trust Company in short-term instruments, money
market mutual funds, and such other short-term investments, provided the
investments meet certain quality and diversification requirements. Under the
securities lending arrangement, the collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral. In those situations where the Company has
relinquished control of securities transferred, it derecognizes the
securities and records a receivable from the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be in
an amount at least equal to 102% (for loans of U.S. securities) or 105% (for
non-U.S. securities) of the market value of the loaned securities at the
inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $2,571,331 and $2,664,114, 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 an annual rate of
.65% of its average daily net assets. The Adviser voluntarily agreed to waive
up to the full amount of its Advisery fee to the extent that total expenses
exceed 1.00% 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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
Semiannual Report 11
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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% for the period May 1, 1998 to December 31, 1998, and 0% thereafter, 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 charged 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 period February 28,
1999, the Fund was charged shareholder servicing expenses of $3,561, $386 and
$429 by the Adviser, SSBSI, and Commercial Banking, respectively. The Fund
did not incur any expenses from RIS and 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, 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.
12 Semiannual Report
<PAGE>
SSGA
REAL ESTATE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1999 WERE
AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 43,327
Administration fees 808
Custodian fees 661
Distribution fees 226
Shareholder servicing fees 509
Transfer agent fees 552
Trustees' fees 70
-----------
$ 46,153
===========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, two shareholders were record
owners of approximately 34%, and 11%, respectively, of the total outstanding
shares of the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIOD MAY 1, 1998
FOR THE PERIOD ENDED (COMMENCEMENT OF OPERATIONS)
FEBRUARY 28, 1999 TO AUGUST 31, 1998
---------------------------- -------------------------------
SHARES DOLLARS SHARES DOLLARS
-------------- ------------ ------------- --------------
<S> <C> <C> <C> <C>
Proceeds from shares sold .............. 2,438 $ 19,559 2,260 $ 22,403
Proceeds from reinvestment of
distributions ......................... 67 551 4 34
Payments for shares redeemed ........... (230) (1,879) (5) (47)
-------------- ------------ ------------- --------------
Total net increase (decrease) .......... 2,275 $ 18,231 2,259 $ 22,390
============== ============ ============= ==============
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .065% on the average daily unused amount of the Aggregate
commitment, which is allocated among each of the Participants. Interest, at
the Federal Fund Rate plus .50% annually, is calculated based on the market
rates at the time of the borrowing. The Fund may borrow up to a maximum of 33
1/3 percent of the value of it's total assets under the agreement.
7. DIVIDEND
On March 1, 1999, the Board of Trustees declared a dividend of $.0276 from
net investment income, payable on March 5, 1999 to shareholders of record on
March 2, 1999.
Semiannual Report 13
<PAGE>
SSGA REAL ESTATE 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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
14 Semiannual Report
<PAGE>
SSGA(R) FUNDS
S&P 500 INDEX FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements.................................................. 3
Financial Highlights.................................................. 15
Notes to Financial Statements......................................... 16
Fund Management and Service Providers................................. 22
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ------------
<S> <C> <C>
COMMON STOCKS - 96.6%
BASIC INDUSTRIES - 3.3%
Air Products & Chemicals, Inc. 53,100 1,706
Alcan Aluminum, Ltd. 54,500 1,325
Alcoa, Inc. 85,200 3,451
Allegheny Teldyne, Inc. 44,277 913
ASARCO, Inc. 7,100 100
Barrick Gold Corp. 86,600 1,532
Battle Mountain Gold Co. 42,700 144
Bemis Co., Inc. 13,500 460
Bethlehem Steel Corp. (a) 30,200 266
Boise Cascade Corp. 14,600 454
Champion International Corp. 23,400 866
Crown Cork & Seal Co., Inc. 28,400 788
Cyprus Amax Minerals Co. 21,100 237
Dow Chemical Co. 51,600 5,076
du Pont (E.I.) de Nemours & Co. 265,100 13,603
Eastman Chemical Co. 18,425 869
Engelhard Corp. 32,825 585
FMC Corp. (a) 7,500 384
Freeport-McMoRan Copper & Gold, Inc.
Class B 37,000 349
Goodrich (B.F.) Co. 16,900 577
Great Lakes Chemical Corp. 14,900 580
Hercules, Inc. 25,000 692
Homestake Mining Co. 57,200 526
Illinois Tool Works, Inc. 58,100 3,994
Inco, Ltd. 35,500 448
International Paper Co. 71,572 3,006
Kimberly-Clark Corp. 125,836 5,946
Mead Corp. 23,300 709
Minnesota Mining & Manufacturing Co. 93,200 6,903
Monsanto Co. 145,500 6,629
Morton International, Inc. 28,800 1,040
Nalco Chemical Co. 15,200 428
Newmont Mining Corp. 37,067 639
Nucor Corp. 20,300 905
Owens-Illinois, Inc. (a) 35,800 857
Phelps Dodge Corp. 13,200 640
Placer Dome, Inc. 55,500 607
Potlatch Corp. 6,700 232
PPG Industries, Inc. 40,600 2,114
Praxair, Inc. 35,700 1,247
Reynolds Metals Co. 15,500 663
Rohm & Haas Co. 38,700 1,209
Sealed Air Corp. New (a) 18,843 956
Sigma Aldrich Corp. 22,400 591
Temple-Inland, Inc. 12,900 773
Union Camp Corp. 15,800 1,057
Union Carbide Corp. 31,300 1,377
USX-U.S. Steel Group 20,500 519
W.R. Grace & Co. New (a) 17,100 230
Westvaco Corp. 23,100 517
Willamette Industries, Inc. 25,800 940
Worthington Industries, Inc. 20,900 265
------------
80,924
------------
CAPITAL GOODS - 5.0%
Aeroquip-Vickers, Inc. 7,400 419
Ball Corp. 7,500 314
Boston Scientific Corp. (a) 92,000 2,438
Briggs & Stratton Corp. 5,200 254
Browning-Ferris Industries, Inc. 40,400 1,273
Case Corp. 16,900 330
Caterpillar, Inc. 83,100 3,786
Cooper Industries, Inc. 24,000 1,050
Crane Co. 14,700 403
Cummins Engine Co., Inc. 9,300 381
Deere & Co. 55,400 1,811
Dover Corp. 52,000 1,768
Emerson Electric Co. 102,000 5,859
Fluor Corp. 16,900 595
Foster Wheeler Corp. 7,200 90
General Electric Co. 767,200 76,960
Grainger (W.W.), Inc. 22,100 983
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ---------
<S> <C> <C>
Harnischfeger Industries, Inc. 9,500 73
Ingersoll-Rand Co. 38,200 1,815
ITT Industries, Inc. 24,100 941
Johnson Controls, Inc. 19,700 1,212
Milacron, Inc. 7,200 128
Millipore Corp. 10,700 298
NACCO Industries, Inc. Class A 1,500 132
National Service Industries, Inc. 8,900 286
Pall Corp. 27,300 578
Parker-Hannifin Corp. 24,850 923
Raychem Corp. 19,400 443
Raytheon Co. Class B 77,900 4,163
Timken Co. 14,000 247
Tyco International, Ltd. 150,058 11,169
---------
121,122
---------
CONSUMER BASICS - 20.5%
Abbott Laboratories 356,900 16,574
Albertson's, Inc. 58,700 3,346
Allergan, Inc. 15,200 1,239
ALZA Corp. (a) 21,100 1,106
American Home Products Corp. 309,800 18,433
American Stores Co. 63,800 2,153
Amgen, Inc. (a) 59,100 7,380
Archer-Daniels-Midland Co. 139,576 2,111
Bard (C.R.), Inc. 12,000 677
Bausch & Lomb, Inc. 13,000 784
Baxter International, Inc. 66,800 4,701
Becton, Dickinson & Co. 56,600 1,896
Bestfoods 66,300 3,112
Biomet, Inc. 26,100 958
Black & Decker Corp. 20,400 995
Bristol-Myers Squibb Co. 233,100 29,356
Campbell Soup Co. 103,900 4,175
Cardinal Health, Inc. 62,713 4,527
Clorox Co. 27,300 3,230
Coca-Cola Co. (The) 577,900 36,949
Coca-Cola Enterprises, Inc. 91,000 2,821
Colgate-Palmolive Co. 67,800 5,755
Columbia/HCA Healthcare Corp. 151,132 2,701
ConAgra, Inc. 114,600 3,452
Corning, Inc. 53,700 2,873
CVS Corp. 90,900 4,818
Fort James Corp. 51,200 1,530
Fred Meyer, Inc. (a) 35,900 2,307
General Mills, Inc. 35,600 2,872
Gillette Co. 261,200 14,007
Great Atlantic & Pacific
Tea Co., Inc. 8,600 271
HCR Manor Care, Inc. (a) 25,700 575
HEALTHSOUTH Corp. (a) 98,300 1,143
Heinz (H.J.) Co. 84,450 4,597
Hershey Foods Corp. 33,800 2,104
Humana, Inc. (a) 38,000 665
Johnson & Johnson 315,600 26,944
Kellogg Co. 94,100 3,482
Kroger Co. (a) 59,500 3,849
Lilly (Eli) & Co. 258,200 24,448
Mallinckrodt, Inc. 15,600 483
McKesson HBOC, Inc. 63,351 4,308
Medtronic, Inc. 135,700 9,584
Merck & Co., Inc. 558,200 45,633
PepsiCo, Inc. 345,600 13,003
Pfizer, Inc. 304,200 40,135
Pharmacia & Upjohn, Inc. 120,625 6,574
Philip Morris Cos., Inc. 571,700 22,368
Pioneer Hi-Bred International, Inc. 56,100 1,315
Procter & Gamble Co. 311,300 27,861
Quaker Oats Co. 31,600 1,726
Ralston-Purina Group 71,700 1,931
RJR Nabisco Holdings Corp. 75,400 2,059
Rubbermaid, Inc. 34,600 1,144
Safeway, Inc. (a) 112,900 6,520
Sara Lee Corp. 212,600 5,780
Schering-Plough Corp. 345,400 19,321
Snap-On Tools Corp. 12,600 356
St. Jude Medical, Inc. (a) 19,550 491
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ---------
<S> <C> <C>
Stanley Works 20,200 491
SYSCO Corp. 76,300 2,155
Tenet Healthcare Corp. (a) 71,400 1,406
Tupperware Corp. 11,300 198
Unilever NV 151,000 10,938
United Healthcare Corp. 42,600 2,101
UST Corp. 43,600 1,289
Warner-Lambert Co. 193,500 13,364
Winn-Dixie Stores, Inc. 34,700 1,520
Wrigley (Wm.), Jr. Co. 26,700 2,484
---------
501,454
---------
CONSUMER DURABLES - 1.7%
AutoZone, Inc. (a) 36,200 1,267
Cooper Tire & Rubber Co. 17,600 348
Dana Corp. 38,465 1,452
Danaher Corp. 31,700 1,530
Eaton Corp. 16,800 1,166
Fleetwood Enterprises, Inc. 7,000 227
Ford Motor Co. 284,500 16,874
General Motors Corp. 154,200 12,731
Genuine Parts Co. 40,650 1,217
Goodyear Tire & Rubber Co. 36,100 1,670
Maytag Corp. 20,700 1,160
PACCAR, Inc. 19,090 799
Tenneco, Inc. 39,500 1,183
Whirlpool Corp. 18,600 808
---------
42,432
---------
CONSUMER NON-DURABLES - 6.8%
Alberto Culver Co. Class B 12,800 307
Anheuser-Busch Cos., Inc. 111,000 8,512
Avon Products, Inc. 61,600 2,564
Brown-Forman Distillers, Inc.
Class B 15,500 1,022
Brunswick Corp. 21,200 452
Circuit City Stores, Inc. 23,800 1,291
Consolidated Stores Corp. (a) 25,442 641
Coors (Adolph) Co. Class B 8,300 494
Costco Cos., Inc. (a) 50,300 4,040
Dayton Hudson Corp. 104,400 6,532
Dillard's, Inc. Class A 25,000 622
Dollar General Corp. 42,675 1,278
Eastman Kodak Co. 75,200 4,977
Federated Department
Stores, Inc. (a) 46,800 1,781
Fortune Brands, Inc. 39,300 1,184
Fruit of the Loom, Inc. Class A (a) 13,700 174
Gap, Inc. 134,550 8,704
Hasbro, Inc. 29,500 1,092
Home Depot, Inc. (The) 346,298 20,670
Ikon Office Solutions, Inc. 35,600 503
International Flavors &
Fragrances, Inc. 25,600 1,054
JC Penney & Co., Inc. 59,000 2,131
Jostens, Inc. 7,314 171
Kmart Corp. (a) 116,100 2,032
Kohl's Corp. (a) 36,700 2,532
Limited, Inc. (The) 52,127 1,851
Liz Claiborne, Inc. 14,100 475
Longs Drug Stores, Inc. 9,300 337
Lowe's Cos., Inc. 81,500 4,834
Mattel, Inc. 67,907 1,791
May Department Stores Co. 54,300 3,217
Newell Co. 37,800 1,607
NIKE, Inc. Class B 66,500 3,566
Nordstrom, Inc. 34,600 1,393
Pep Boys - Manny, Moe & Jack 10,348 189
Polaroid Corp. 9,200 220
Reebok International, Ltd. (a) 13,100 211
Rite Aid Corp. 60,000 2,483
Russell Corp. 6,900 135
Seagram Co., Ltd. 91,600 4,248
Sears Roebuck & Co. 89,700 3,644
Springs Industries, Inc. 3,700 123
Staples, Inc. (a) 108,550 3,182
SuperValu, Inc. 26,500 638
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ---------
<S> <C> <C>
TJX Cos., Inc. 74,800 2,136
Toys "R" Us, Inc. (a) 60,700 857
V.F. Corp. 27,500 1,323
Wal-Mart Stores, Inc. 527,900 45,597
Walgreen Co. 231,700 7,413
---------
166,230
---------
CONSUMER SERVICES - 2.2%
AMR Corp. (a) 42,400 2,351
Carnival Corp. Class A NPV 138,300 6,154
Darden Restaurants, Inc. 32,300 711
Delta Air Lines, Inc. 33,000 2,007
Disney (Walt) Co. 481,786 16,953
Harrah's Entertainment, Inc. (a) 28,500 476
Hilton Hotels Corp. 60,600 958
King World Productions, Inc. (a) 16,700 442
Marriot International, Inc.
Class A 57,900 2,084
McDonald's Corp. 159,300 13,541
Mirage Resorts, Inc. (a) 41,800 815
Southwest Airlines Co. 79,125 2,384
Tricon Global Restaurants, Inc. (a) 36,210 2,245
USAirways Group, Inc. (a) 20,800 985
Wendy's International, Inc. 30,800 736
---------
52,842
---------
ENERGY - 5.0%
Amerada Hess Corp. 20,900 948
Anadarko Petroleum Corp. 27,900 767
Apache Corp. 22,300 445
Ashland, Inc. 18,700 832
Atlantic Richfield Co. 74,650 4,078
Baker Hughes, Inc. 75,980 1,368
Burlington Resources, Inc. 42,322 1,370
Chevron Corp. 153,800 11,823
Exxon Corp. 569,900 37,934
Halliburton Co. 102,100 2,884
Helmerich & Payne, Inc. 11,700 191
Kerr-McGee Corp. 10,200 291
McDermott International, Inc. 12,100 241
Mobil Corp. 183,500 15,265
Occidental Petroleum Corp. 78,100 1,176
ONEOK, Inc. 6,100 164
Oryx Energy Co. (a) 24,000 249
Phillips Petroleum Co. 59,700 2,310
Rowan Cos., Inc. (a) 16,600 143
Royal Dutch Petroleum Co. 503,600 22,095
Schlumberger, Ltd. 126,800 6,158
Sempra Energy 56,411 1,185
Sunoco, Inc. 20,555 626
Texaco, Inc. 124,200 5,783
Union Pacific Resources
Group, Inc. 56,818 508
Unocal Corp. 56,100 1,581
USX-Marathon Group 70,400 1,457
---------
121,872
---------
FINANCE - 15.8%
Aetna, Inc. 33,202 2,459
Allstate Corp. 190,588 7,147
American Express Co. 106,600 11,566
American General Corp. 58,587 4,291
American International Group, Inc. 289,756 33,014
AON Corp. 39,400 2,322
Associates First Capital Corp.
Class A 167,816 6,818
Bank of New York Co., Inc. 180,600 6,310
Bank One Corp. 275,668 14,817
BankAmerica Corp. 406,195 26,530
BankBoston Corp. 68,400 2,766
Bankers Trust New York Corp. 22,500 1,958
BB&T Corp. 68,300 2,587
Bear Stearns Cos., Inc. 26,670 1,142
Capital One Financial Corp. 15,400 1,965
Chase Manhattan Corp. 198,928 15,840
Chubb Corp. (The) 37,800 2,259
</TABLE>
6 Semiannual Report
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ---------
<S> <C> <C>
CIGNA Corp. 48,000 3,768
Cincinnati Financial Corp. 39,200 1,374
Citigroup, Inc. 532,950 31,311
Comerica, Inc. 36,150 2,395
Conseco, Inc. 73,045 2,187
Countrywide Credit Industries, Inc. 26,800 1,015
Dun & Bradstreet Corp. 38,800 1,329
Equifax, Inc. 34,200 1,291
Federal Home Loan
Mortgage Corp. 157,600 9,279
Federal National Mortgage
Association 243,900 17,073
Fifth Third Bancorp 62,050 4,099
First Union Corp. 233,412 12,444
Firstar Corp. 53,700 4,497
Fleet Financial Group, Inc. 131,650 5,653
Franklin Resources, Inc. 58,800 1,871
Golden West Financial Corp. 13,100 1,231
Hartford Financial Services
Group, Inc. (The) 54,200 2,930
Household International Corp. 112,699 4,578
Huntington Bancshares, Inc. 50,060 1,589
Jefferson-Pilot Corp. 24,275 1,646
KeyCorp 105,698 3,409
Lehman Brothers Holdings, Inc. 26,900 1,426
Lincoln National Corp. 23,800 2,254
Loews Corp. 26,700 2,088
Marsh & McLennan Cos., Inc. 59,550 4,217
MBIA, Inc. 23,600 1,453
MBNA Corp. 187,182 4,539
Mellon Bank Corp. 60,700 4,105
Mercantile Bancorp, Inc. 36,000 1,643
Merrill Lynch & Co., Inc. 84,200 6,462
MGIC Investment Corp. 25,400 865
Morgan (J.P.) & Co., Inc. 41,300 4,602
Morgan Stanley Dean Witter & Co. 136,156 12,322
National City Corp. 76,600 5,352
Northern Trust Corp. 25,500 2,279
Paychex, Inc. 38,000 1,610
PNC Bank Corp. 70,500 3,670
Progressive Corp. 17,600 2,262
Provident Cos., Inc. 31,400 1,028
Providian Financial Corp. 32,900 3,360
Regions Financial Corp. 51,400 1,944
Republic of New York Corp. 24,800 1,124
SAFECO Corp. 31,000 1,246
Schwab (Charles) Corp. 93,100 6,942
SLM Holding Corp. 38,500 1,651
SouthTrust Corp. 38,100 1,526
St. Paul Cos., Inc. 55,072 1,783
State Street Corp. 37,500 2,876
Summit Bancorp 40,300 1,557
SunTrust Banks, Inc. 74,000 5,027
Synovus Financial Corp. 62,300 1,484
Torchmark Corp. 33,300 1,107
Transamerica Financial Corp. 30,400 2,206
U.S. Bancorp 168,117 5,431
Union Planters Corp. 31,300 1,413
UNUM Corp. 31,900 1,427
Wachovia Corp. 47,400 4,032
Washington Mutual, Inc. 137,398 5,496
Wells Fargo Co. 380,759 13,993
---------
386,562
---------
GENERAL BUSINESS - 5.4%
American Greetings Corp. Class A 16,000 379
Automatic Data Processing, Inc. 139,900 5,561
Block (H&R) Co., Inc. 24,100 1,094
CBS Corp. (a) 164,000 6,048
Cendant Corp. (a) 197,110 3,265
Clear Channel
Communications, Inc. (a) 61,100 3,666
Comcast Corp. Special Class A 85,500 6,065
Computer Sciences Corp. 36,300 2,418
Deluxe Corp. 18,600 630
Donnelley (R.R.) & Sons Co. 31,500 1,079
Dow Jones & Co., Inc. 22,800 1,072
</TABLE>
Semiannual Report 7
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
------------ ----------
<S> <C> <C>
Ecolab, Inc. 29,800 1,188
First Data Corp. 102,800 3,932
Gannett Co., Inc. 65,100 4,134
Harcourt General, Inc. 16,500 756
IMS Health, Inc. 74,600 2,648
Interpublic Group Cos., Inc. 31,800 2,379
Knight-Ridder, Inc. 18,200 913
McGraw-Hill, Inc. 22,900 2,506
MediaOne Group, Inc. (a) 141,000 7,685
Meredith Corp. 13,700 462
Moore Corp., Ltd. 20,500 215
New York Times Co. Class A 42,200 1,308
Nextel Communications, Inc.
Class A (a) 67,600 2,032
Omnicom Group, Inc. 38,700 2,564
SBC Communications, Inc. 459,182 24,279
Service Corp. International 63,100 970
Tele-Communications, Inc.
Class A (a) 124,926 7,847
Time Warner, Inc. 288,400 18,602
Times Mirror Co. Series A 18,500 1,033
Tribune Co. 27,600 1,830
Viacom, Inc. Class B (a) 80,811 7,142
Waste Management, Inc. 133,359 6,518
---------
132,220
---------
SHELTER - 0.4%
Armstrong World Industries, Inc. 8,800 433
Centex Corp. 13,800 508
Georgia-Pacific Group 20,600 1,509
Kaufman & Broad Home Corp. 10,600 239
Louisiana Pacific Corp. 24,500 450
Masco Corp. 79,300 2,082
Owens Corning 11,500 366
Pulte Corp. 11,000 265
Sherwin-Williams Co. 39,700 955
Weyerhaeuser Co. 45,800 2,552
---------
9,359
---------
TECHNOLOGY - 19.9%
3Com Corp. (a) 83,325 2,620
Adobe Systems, Inc. 15,500 624
Advanced Micro Devices, Inc. (a) 32,700 585
AlliedSignal, Inc. 129,400 5,354
America Online, Inc. 215,400 19,157
AMP, Inc. 51,088 2,717
Andrew Corp. (a) 19,468 294
Apple Computer, Inc. (a) 31,700 1,102
Applied Materials, Inc. (a) 85,800 4,773
Ascend Communications, Inc. (a) 50,200 3,862
Autodesk, Inc. 11,800 473
Avery Dennison Corp. 27,600 1,482
BMC Software, Inc. (a) 50,100 2,048
Boeing Co. 232,076 8,253
Cabletron Systems, Inc. (a) 35,100 285
Ceridian Corp. (a) 16,200 1,160
Cisco Systems, Inc. (a) 370,250 36,215
COMPAQ Computer Corp. 399,829 14,094
Computer Associates
International, Inc. 124,362 5,223
Compuware Corp. (a) 42,800 2,394
Data General Corp. (a) 14,300 198
Dell Computer Corp. (a) 299,000 23,939
EG&G, Inc. 9,800 260
Electronic Data Systems Corp. 113,900 5,296
EMC Corp. (a) 118,300 12,111
Gateway 2000, Inc. (a) 36,400 2,646
General Dynamics Corp. 29,400 1,777
General Instrument Corp. (a) 38,600 1,129
Guidant Corp. 69,900 3,984
Harris Corp. 18,300 570
Hewlett-Packard Co. 243,900 16,204
Honeywell, Inc. 30,700 2,147
Intel Corp. 390,600 46,848
International Business
Machines Corp. 218,700 37,179
KLA Instruments Corp. (a) 20,100 1,036
Lockheed Martin Corp. 91,046 3,431
</TABLE>
8 Semiannual Report
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
----------- ----------
<S> <C> <C>
LSI Logic Corp. (a) 31,900 827
Lucent Technologies, Inc. 308,436 31,326
Micron Technology, Inc. (a) 57,500 3,313
Microsoft Corp. (a) 583,700 87,591
Motorola, Inc. 141,700 9,954
National Semiconductor Corp. (a) 38,600 405
Northern Telecom, Ltd. 151,480 8,795
Northrop Grumman Corp. 15,600 972
Novell, Inc. (a) 81,800 1,585
Oracle Systems Corp. (a) 228,937 12,778
Parametric Technology Corp. (a) 63,200 972
PeopleSoft, Inc. (a) 56,400 1,065
Perkin-Elmer Corp. 11,200 1,061
Pitney Bowes, Inc. 64,500 4,076
Rockwell International Corp. 44,400 1,973
Scientific-Atlanta, Inc. 19,100 620
Seagate Technology (a) 57,000 1,649
Shared Medical Systems 5,500 281
Silicon Graphics, Inc. (a) 43,500 693
Solectron Corp. (a) 54,600 2,440
Sun Microsystems, Inc. (a) 88,400 8,602
Tandy Corp. 23,000 1,279
Tektronix, Inc. 9,400 183
Tellabs, Inc. (a) 46,300 3,701
Texas Instruments, Inc. 90,600 8,080
Textron, Inc. 37,000 2,886
Thermo Electron Corp. (a) 37,100 512
Thomas & Betts Corp. 13,100 546
TRW, Inc. 27,800 1,314
Unisys Corp. (a) 59,300 1,768
United Technologies Corp. 53,600 6,640
Xerox Corp. 152,300 8,405
-----------
487,762
-----------
TRANSPORTATION - 0.6%
Burlington Northern, Inc. 111,507 3,694
CSX Corp. 50,200 1,970
FDX Corp. (a) 34,320 3,278
Laidlaw, Inc. 72,700 559
Navistar International Corp. (a) 15,150 651
Norfolk Southern Corp. 88,100 2,472
Ryder System, Inc. 17,600 475
Union Pacific Corp. 57,500 2,696
-----------
15,795
-----------
UTILITIES - 10.0%
AES Corp. (a) 41,500 1,543
Airtouch Communications, Inc. (a) 134,800 12,275
Alltel Corp. 63,700 3,814
Ameren Corp. 31,877 1,189
American Electric Power Co., Inc. 45,200 1,881
Ameritech Corp. 259,400 16,958
AT&T Corp. 423,500 34,780
Baltimore Gas & Electric Co. 35,800 917
Bell Atlantic Corp. 364,664 20,945
BellSouth Corp. 459,300 21,243
Carolina Power & Light Co. 34,300 1,368
Central & Southwest Corp. 48,000 1,191
Cinergy Corp. 38,126 1,113
Coastal Corp. 49,400 1,581
Columbia Energy Group 19,300 975
Consolidated Edison, Inc. 54,600 2,553
Consolidated Natural Gas Co. 22,800 1,253
Dominion Resources, Inc. 46,100 1,781
DTE Energy Co. 33,700 1,331
Duke Energy Corp. 86,274 4,907
Eastern Enterprises, Inc. 4,300 165
Edison International 81,900 2,088
Enron Corp. 77,100 5,012
Entergy Corp. 57,300 1,619
FirstEnergy Corp. 54,700 1,600
FPL Group, Inc. 42,400 2,181
Frontier Corp. 39,300 1,412
GPU, Inc. 29,700 1,184
GTE Corp. 227,200 14,740
MCI WorldCom, Inc. (a) 429,789 35,458
</TABLE>
Semiannual Report 9
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
----------- ----------
<S> <C> <C>
New Century Energies, Inc. 27,000 1,095
Niagara Mohawk Power Corp. (a) 46,100 674
NICOR, Inc. 12,300 470
Northern States Power Co. 35,400 914
PacifiCorp. 70,800 1,270
Peco Energy Co. 52,000 1,843
Peoples Energy Corp. 8,000 272
PG&E Corp. 87,800 2,766
PP&L Resources, Inc. 35,000 893
Public Service Enterprise
Group, Inc. 52,700 2,003
Reliant Energy, Inc. NPV (a) 66,110 1,773
Sonat, Inc. 25,600 648
Southern Co. 161,900 4,058
Sprint Corp. 100,000 8,580
Sprint Corp. (PCS Group) (a) 102,500 3,279
Texas Utilities Co. 65,530 2,780
U.S. West, Inc. NPV 116,759 6,225
Unicom Corp. 50,400 1,792
Williams Cos. (The) 100,180 3,707
-----------
244,099
-----------
TOTAL COMMON STOCKS
(cost $1,731,938) 2,362,673
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ---------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 4.5%
AIM Short-Term Investment
Prime Portfolio Class A (b) 79,683 79,683
Federated Investors Prime Cash
Obligations Fund (b) 26,400 26,400
United States Treasury Bills
4.405% due 03/18/99 (b)(c)(d) 5,400 5,389
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $111,472) 111,472
---------
TOTAL INVESTMENTS - 101.1%
(identified cost $1,843,410)(e) 2,474,145
OTHER ASSETS AND LIABILITIES,
NET - (1.1%) (27,860)
---------
NET ASSETS - 100.0% 2,446,285
=========
</TABLE>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Rate noted is yield-to-maturity.
(d) Held as collateral 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, 1999 (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 03/99 264 $ 1,112
------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased (S) $ 1,112
============
</TABLE>
(S) At February 28, 1999, United States Treasury Bills valued at $5,389 were
held as collateral in connection with futures contracts purchased by the
Fund.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 11
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $1,843,410)(Note 2)........................................ $ 2,474,145
Receivables:
Dividends....................................................................................... 3,449
Fund shares sold................................................................................ 7,522
Short-term investments held as collateral for securities loaned, at market (Note 3)............... 44,261
--------------
Total Assets................................................................................. 2,529,377
LIABILITIES
Payables:
Investments purchased............................................................ $ 35,841
Fund shares redeemed............................................................. 2,203
Accrued fees to affiliates and trustees (Note 4)................................. 348
Other accrued expenses........................................................... 43
Daily variation margin on futures contracts (Notes 2 and 3)...................... 396
Payable upon return of securities loaned, at market (Note 3)..................... 44,261
------------
Total Liabilities.............................................................................. 83,092
--------------
NET ASSETS........................................................................................ $ 2,446,285
==============
NET ASSETS CONSIST OF:
Undistributed net investment income............................................................... $ 6,177
Accumulated net realized gain (loss).............................................................. 43,412
Unrealized appreciation (depreciation) on:
Investments...................................................................................... 630,735
Futures contracts................................................................................ 1,112
Shares of beneficial interest..................................................................... 110
Additional paid-in capital........................................................................ 1,764,739
--------------
NET ASSETS........................................................................................ $ 2,446,285
==============
NET ASSET VALUE, offering and redemption price per share:
($2,446,285,056 divided by 109,809,478 shares of $.001 par value
shares of beneficial interest outstanding).................................................... $ 22.28
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
12 Semiannual Report
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes withheld of $69)................................................. $ 15,954
Interest......................................................................................... 149
--------------
Total Investment Income........................................................................ 16,103
EXPENSES (Notes 2 and 4):
Advisory fees...................................................................... $ 1,032
Administrative fees................................................................ 340
Custodian fees..................................................................... 200
Distribution fees.................................................................. 450
Transfer agent fees................................................................ 110
Professional fees.................................................................. 12
Registration fees.................................................................. 192
Shareholder servicing fees......................................................... 537
Trustees' fees..................................................................... 23
Miscellaneous...................................................................... 30
-------------
Expenses before reductions......................................................... 2,926
Expense reductions (Note 4)........................................................ (1,032)
-------------
Expenses, net.................................................................................. 1,894
--------------
Net investment income............................................................................. 14,209
--------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments........................................................................ 50,484
Futures contracts.................................................................. 5,815 56,299
-------------
Net change in unrealized appreciation or depreciation of:
Investments........................................................................ 429,566
Futures contracts.................................................................. 5,415 434,981
------------- --------------
Net gain (loss) on investments...................................................... 491,280
--------------
Net increase (decrease) in net assets resulting from operations..................... $ 505,489
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSGA
S&P 500 INDEX FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.......................................................... $ 14,209 $ 23,375
Net realized gain (loss)....................................................... 56,299 201,226
Net change in unrealized appreciation or depreciation.......................... 434,981 (163,674)
------------- -------------
Net increase (decrease) in net assets resulting from operations............. 505,489 60,927
------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.......................................................... (13,923) (23,141)
Net realized gain on investments............................................... (211,531) (51,231)
------------- -------------
Total Distributions to Shareholders......................................... (225,454) (74,372)
------------- -------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions (Note 5)..... 550,337 329,787
------------- -------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS...................................... 830,372 316,342
NET ASSETS
Beginning of period............................................................ 1,615,913 1,299,571
------------- -------------
End of period (including undistributed net investment income of
$6,177 and $5,891, respectively)............................................. $ 2,446,285 $ 1,615,913
============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSGA
S&P 500 INDEX FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
------------------------------------------------------
1999* 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................... $ 19.42 $ 18.96 $ 14.41 $ 12.81 $ 10.89 $ 10.72
---------- ---------- ---------- ---------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a).................................... .14 .31 .32 .32 .29 .26
Net realized and unrealized gain (loss)
on investments. .......................................... 5.29 1.18 5.22 1.98 1.95 .29
---------- ---------- ---------- ---------- -------- --------
Total Income From Investment Operations................... 5.43 1.49 5.54 2.30 2.24 .55
---------- ---------- ---------- ---------- -------- --------
DISTRIBUTIONS:
Net investment income........................................ (.15) (.32) (.32) (.31) (.29) (.26)
Net realized gain on investments............................. (2.42) (.71) (.67) (.39) (.03) (.12)
---------- ---------- ---------- ---------- -------- --------
Total Distributions....................................... (2.57) (1.03) (.99) (.70) (.32) (.38)
---------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE, END OF PERIOD................................. $ 22.28 $ 19.42 $ 18.96 $ 14.41 $ 12.81 $ 10.89
========== ========== ========== ========== ======== ========
TOTAL RETURN (%)(b)............................................ 30.16 7.91 40.30 18.46 21.11 5.29
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)..................... 2,446,285 1,615,913 1,299,571 704,683 545,200 361,712
Ratios to average net assets (%)(c):
Operating expenses, net (d)............................... .18 .17 .16 .18 .19 .15
Operating expenses, gross (d)............................. .28 .27 .26 .28 .29 .25
Net investment income. ................................... 1.38 1.50 2.00 2.32 2.76 2.69
Portfolio turnover rate (%)(c)............................... 11.64 26.17 7.54 28.72 38.56 7.97
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
(a) For the period ended February 28, 1999, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the period ended February 28, 1999 are annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 15
<PAGE>
SSGA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. 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.
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.
16 Semiannual Report
<PAGE>
SSGA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts business
trust, each fund is a separate corporate taxpayer and determines its net
investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
--------------- --------------- ---------------- ----------------
<S> <C> <C> <C>
$ 1,844,511,035 $ 886,557,837 $ (256,923,872) $ 629,633,965
</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.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
REPURCHASE AGREEMENTS: The Fund may engage in repurchase and tri-party
repurchase agreements with several financial institutions whereby the Fund,
through its custodian or third-party custodian, receives delivery of the
underlying securities. The market value of these securities (including accrued
interest) on acquisition date is required to be an amount equal to at least
102% of the repurchase price. The Fund's Adviser will monitor repurchase
agreements daily to determine that the market value (including accrued
interest) of the underlying securities remains equal to at least 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%.
Semiannual Report 17
<PAGE>
SSGA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments, futures
contracts and repurchase agreements, aggregated to $411,102,385, and
$116,893,287, respectively.
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
period ended February 28, 1999 were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
----------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
------------- --------------
<S> <C> <C>
Outstanding at August 31, 1998 125 $ 34,115,968
Contracts opened 1,142 323,337,979
Contracts closed (1,003) (277,023,402)
------------ --------------
Outstanding at February 28, 1999 264 $ 80,430,546
============ ==============
</TABLE>
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to loan
securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements.
18 Semiannual Report
<PAGE>
SSGA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
Under the securities lending arrangement, the collateral received is recorded
on the Fund's statement of assets and liabilities along with the related
obligation to return the collateral. In those situations where the Company
has relinquished control of securities transferred, it derecognizes the
securities and records a receivable from the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be in
an amount at least equal to 102% (for loans of U.S. securities) or 105% (for
non-U.S. securities) of the market value of the loaned securities at the
inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $42,795,732 and $44,260,555, 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
.10% of its average daily net assets. For the period September 1, 1998 to
December 30, 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. Beginning January 1, 1999,
the Adviser voluntarily agreed to waive up to the full amount of its advisory
fee to the extent that total expenses exceed .18% 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10%, for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5%, for the period
January 1, 1998 to December 31, 1998 and 0% thereafter, of the asset-based
fee determined in (i)); (iii) out-of-pocket expenses; and (iv) start-up costs
for new funds.
Semiannual Report 19
<PAGE>
SSGA
S&P 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 charged 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 period ended February 28, 1999, the
Fund was charged shareholder servicing expenses of $255,896, and $40,077,
$265, and $56,505, by 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, 1998.
AFFILIATED BROKERAGE: The Fund placed a portion of its portfolio transactions
with State Street Brokerage Services, Inc. ("SSBSI"), an affiliated broker
dealer of the Fund's Adviser. The commissions paid to SSBSI were $112,136 for
the period ended February 28, 1999.
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, 1999 (Unaudited)
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1999 WERE
AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Administration fees $ 80,540
Custodian fees 32,272
Distribution fees 5,848
Shareholder servicing fees 226,191
Transfer agent fees 1,705
Trustees' fees 1,890
----------
$ 348,446
==========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder was a record
owner of approximately 11% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
---------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
---------------------------------------------
SHARES DOLLARS SHARES DOLLARS
-------- ------- -------- ---------
<S> <C> <C> <C> <C>
Proceeds from shares sold 38,857 $830,561 60,545 $1,239,668
Proceeds from reinvestment of
distributions 11,277 218,209 3,678 71,888
Payments for shares redeemed (23,539) (498,433) (49,549) (981,769)
-------- -------- -------- ----------
Total net increase (decrease) 26,595 $550,337 14,674 $ 329,787
======== ======== ======== ==========
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .065% on the average daily unused amount of the Aggregate
commitment, which is allocated among each of the Participants. Interest, at
the Federal Fund Rate plus .50% annually, is calculated based on the market
rates at the time of the borrowing. The Fund may borrow up to a maximum of 33
1/3 percent of the value of its total assets under the agreement.
7. DIVIDENDS
On March 1, 1999, the Board of Trustees declared a dividend of $.0572 from
net investment income, payable on March 5, 1999 to shareholders of record on
March 2, 1999.
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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
22 Semiannual Report
<PAGE>
SSGA(R) FUNDS
SPECIAL EQUITY FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements................................................ 3
Financial Highlights................................................ 10
Notes to Financial Statements....................................... 11
Fund Management and Service Providers............................... 16
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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
SPECIAL EQUITY FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ------
COMMON STOCKS - 99.7%
BASIC INDUSTRIES - 2.5%
AK Steel Holding Corp. 4,700 103
Brady Corp. Class A 2,400 56
International Specialty
Products, Inc. (a) 3,000 26
Premark International, Inc. 4,300 137
Solutia, Inc. 3,200 58
------
380
------
CAPITAL GOODS - 5.7%
Brown & Sharpe
Manufacturing Co. (a) 3,900 28
D.R. Horton, Inc. 9,000 143
General Cable Corp. 2,850 54
Gleason Corp. 2,500 41
Harmon Industries, Inc. 2,200 44
Hussmann International, Inc. 10,300 145
Park Electrochemical Corp. 7,200 195
Simpson
Manufacturing Co., Inc. (a) 1,500 53
Terex Corp. (a) 6,700 173
------
876
------
CONSUMER BASICS - 7.7%
Apria Healthcare Group, Inc. (a) 18,700 167
Bergen Brunswig Corp. Class A 2,000 49
Biogen, Inc. (a) 1,900 182
Curative Health Services Inc. (a) 2,100 23
IBP, Inc. 4,500 101
International Home
Foods, Inc. New (a) 9,900 155
Medicis Pharmaceutical Corp. Class
A. (a) 1,950 74
Medtronic, Inc. 2,148 152
Michael Foods, Inc. 1,800 33
Omega Protein Corp. (a) 2,900 18
PacifiCare Health Systems, Inc.
Class B (a) 2,100 151
Priority Healthcare Corp.
Class B (a) 865 33
ResMed, Inc. (a) 1,600 50
------
1,188
------
CONSUMER DURABLES - 4.2%
Best Buy Co. (a) 3,100 288
Furniture Brands
International, Inc. (a) 3,700 79
La-Z-Boy Chair Co. 2,100 39
Linens 'N Things, Inc. (a) 2,500 90
Meritor Automotive, Inc. 4,800 76
O'Sullivan Industries
Holdings, Inc. (a) 5,300 55
Tower Automotive, Inc. (a) 1,600 30
------
657
------
CONSUMER NON-DURABLES - 10.3%
AMERCO (a) 2,200 48
American Eagle Outfitters, Inc. (a) 3,500 241
Bacou USA, Inc. (a) 4,300 90
Department 56, Inc. (a) 4,600 153
Finlay Enterprises, Inc. (a) 3,900 34
Footstar, Inc. (a) 2,300 59
Intimate Brands, Inc. Class A 4,900 193
Musicland Stores Corp. (a) 13,700 162
Nu Skin Enterprises, Inc.
Class A (a) 8,900 186
Quicksilver, Inc. (a) 5,800 197
ShopKo Stores, Inc. (a) 1,000 31
Zale Corp. (a) 6,300 208
------
1,602
------
CONSUMER SERVICES - 3.9%
Alaska Air Group, Inc. (a) 800 41
Amtran, Inc. (a) 5,400 116
Semiannual Report 3
<PAGE>
SSGA
SPECIAL EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ------
Galileo International, Inc. 5,200 263
Sonic Corp. (a) 7,950 190
------
610
------
ENERGY - 0.7%
Murphy Oil Corp. 1,400 48
PennzEnergy Co. 6,500 61
------
109
------
FINANCE - 17.3%
Affiliated Managers Group, Inc. (a) 3,200 83
Ambac Financial Group, Inc. 2,200 123
ARM Financial Group, Inc. Class A 7,600 118
City National Corp. 3,700 119
CORUS Bankshares, Inc. 1,900 62
Dime Bancorp, Inc. 2,500 62
Everest Reinsurance Holdings, Inc. 2,600 86
Fidelity National Financial 7,390 148
First American Financial Corp. 6,300 148
FirstFed Financial Corp. (a) 3,600 61
Flagstar Bancorp, Inc. 8,900 249
Gallagher (Arthur J.) & Co. 4,800 229
Golden State Bancorp, Inc. (a) 3,000 53
Hamilton Bancorp, Inc. (a) 7,500 173
Harbor Florida Bancshares, Inc. 5,700 65
Hibernia Corp. Class A 13,500 219
Investment Technology
Group, Inc. (a) 1,400 57
LandAmerica Financial Group, Inc. 2,800 101
North Fork Bancorp, Inc. 5,850 129
PFF Bancorp, Inc. (a) 4,100 70
Resource America, Inc. Class A 3,000 32
UnionBanCal Corp. 5,800 182
Webster Financial Corp. 3,800 117
--------
2,686
--------
GENERAL BUSINESS - 12.0%
Acclaim Entertainment, Inc. (a) 14,100 110
Advo Systems, Inc. (a) 2,200 44
Convergys Corp. NPV (a) 4,100 71
Cox Radio, Inc. Class A (a) 2,300 101
Hearst-Argyle Television, Inc. (a) 3,300 87
McClatchy Co. Class A 6,700 214
Merrill Corp. 3,100 52
Modis Professional
Services, Inc. (a) 3,000 41
Nielsen Media Research (a) 8,600 169
Pulitzer Publishing Co. 1,000 80
Reynolds & Reynolds Co. Class A 6,000 113
SABRE Group Holdings, Inc. (The),
Class A (a) 4,600 181
True North Communications, Inc. 4,500 105
United Stationers, Inc. (a) 6,400 116
Valassis Communications, Inc. (a) 3,600 173
Viad Corp. 7,800 206
--------
1,863
--------
MISCELLANEOUS - 5.1%
Apartment Investment & Management
Co. REIT Class A 3,600 141
Brandywine Realty Trust 1,600 26
Cabot Industrial Trust 2,900 55
CBL & Associates Properties, Inc. 1,200 30
Franchise Finance Corp.
of America 1,300 29
General Growth Properties, Inc. 1,100 37
Health Care REIT, Inc. 1,700 39
Host Marriott Corp. (a) 2,934 32
Kimco Realty Corp. REIT 900 34
Liberty Property Trust REIT 4,400 96
LNR Property Corp. 2,100 39
MGI Properties 1,000 28
4 Semiannual Report
<PAGE>
SSGA
SPECIAL EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ------
New Century Energies, Inc. 100 4
Pacific Gulf Properties, Inc. 1,900 38
Reckson Associates Realty Corp.
REIT 7,600 162
------
790
------
SHELTER - 3.9%
Champion Enterprises, Inc. (a) 2,700 53
Ryland Group, Inc. (The) 8,300 212
Universal Forest Products, Inc. 4,500 90
USG Corp. 3,900 195
Walter Industries, Inc. (a) 3,900 48
------
598
------
TECHNOLOGY - 16.8%
Avant! Corp. (a) 3,000 51
BMC Software, Inc. (a) 1,800 74
CHS Electronics, Inc. (a) 10,800 76
Compuware Corp. (a) 2,000 112
Cordant Technologies, Inc. 2,600 101
Data Processing Corp. (a) 6,300 120
Esterline Corp. (a) 3,500 60
Gentex Corp. (a) 2,600 56
Jabil Circuit, Inc. (a) 5,600 183
Keane, Inc. (a) 1,800 56
Learning Co., Inc. (The) (a) 5,800 169
Lexmark International Group, Inc.
Class A (a) 1,700 175
Metro Information
Services, Inc. (a) 7,300 158
NeoMagic Corp. (a) 3,800 42
Periphonics Corp. (a) 6,600 68
PMC - Sierra, Inc. (a) 3,200 226
Pomeroy Computer
Resources, Inc. (a) 9,100 205
Project Software &
Development, Inc. (a) 4,000 97
Sterling Software, Inc. (a) 3,700 94
Sundstrand Corp. 2,400 162
Tech Data Corp. (a) 3,600 61
USWeb Corp. (a) 5,600 188
Vitesse Semiconductor Corp. (a) 1,500 68
------
2,602
------
TRANSPORTATION - 3.2%
Airborne Freight Corp. 1,300 51
Hertz Corp. Class A 3,200 127
Landstar Systems, Inc. (a) 1,800 67
Rollins Truck Leasing Corp. 6,300 67
Swift Transportation Co, Inc. (a) 3,100 93
Trinity Industries, Inc. 2,500 83
------
488
------
UTILITIES - 6.4%
Allegheny Energy, Inc. 4,000 119
Calpine Corp. (a) 3,500 115
CellStar Corp. (a) 8,600 96
Cincinnati Bell, Inc. 4,100 81
Conectiv, Inc. 5,400 114
Dycom Industries, Inc. (a) 2,800 111
Kansas City Power & Light Co. 1,900 48
MCN Energy Group, Inc. 5,900 105
MDU Resources Group, Inc. 2,500 59
Powertel, Inc. (a) 2,300 29
Rochester Gas & Electric Corp. 2,900 77
Southwestern Energy Co. 7,100 39
------
993
------
TOTAL COMMON STOCKS
(cost $16,433) 15,442
------
Semiannual Report 5
<PAGE>
SSGA
SPECIAL EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ------
SHORT-TERM INVESTMENTS - 1.0%
AIM Short-Term Investment Prime
Portfolio Class A (b) 86 86
Federated Investors Prime Cash
Obligations Fund (b) 69 69
------
TOTAL SHORT-TERM INVESTMENTS
(cost $155) 155
------
TOTAL INVESTMENTS - 100.7%
(identified cost $16,588)(c) 15,597
OTHER ASSETS AND LIABILITIES,
NET - (0.7%) (104)
------
NET ASSETS - 100.0% 15,493
======
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
Abbreviations:
NPV - No Par Value
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
SPECIAL EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $16,588)(Note 2)........... $ 15,597
Dividends receivable.............................................. 8
Prepaid expenses.................................................. 22
Short-term investments held as collateral for
securities loaned, at market (Note 3)............................. 2,139
----------
Total Assets................................................... 17,766
LIABILITIES
Payables:
Investments purchased............................... $ 90
Accrued fees to affiliates and trustees (Note 4) 21
Other accrued expenses.............................. 23
Payable upon return of securities loaned, at market
(Note 3)............................................. 2,139
-------
Total Liabilities.............................................. 2,273
----------
NET ASSETS........................................................ $ 15,493
==========
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss).............................. $ (2,369)
Unrealized appreciation (depreciation) on investments............. (991)
Shares of beneficial interest..................................... 2
Additional paid-in capital........................................ 18,851
----------
NET ASSETS........................................................ $ 15,493
==========
NET ASSET VALUE, offering and redemption price per
share: ($15,493,153 divided by 1,893,487 shares of
$.001 par value shares of beneficial interest
outstanding)................................................... $ 8.18
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
SPECIAL EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 85
Interest........................................................... 1
-----------
Total Investment Income.......................................... 86
EXPENSES (Notes 2 and 4):
Advisory fees......................................... $ 56
Administrative fees................................... 2
Custodian fees........................................ 10
Distribution fees..................................... 12
Transfer agent fees................................... 6
Professional fees..................................... 5
Registration fees..................................... 20
Shareholder servicing fees............................ 2
-----------
Expenses before reductions............................ 113
Expense reductions (Note 4)........................... (31)
-----------
Expenses, net.................................................... 82
-----------
Net investment income............................................... 4
-----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments........................... (1,795)
Net change in unrealized appreciation or
depreciation of investments......................................... 3,617
-----------
Net gain (loss) on investments...................................... 1,822
-----------
Net increase (decrease) in net assets resulting
from operations..................................................... $ 1,826
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSGA
SPECIAL EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED PERIOD
FEBRUARY 28, 1999 MAY 1, 1998* TO
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income..................... $ 4 $ 14
Net realized gain (loss).................. (1,795) (574)
Net change in unrealized appreciation or
depreciation.............................. 3,617 (4,608)
----------------- ---------------
Net increase (decrease) in net assets
resulting from operations............... 1,826 (5,168)
----------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income..................... (18) --
----------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets
from Fund share transactions (Note 5)..... 539 18,314
----------------- ---------------
TOTAL NET INCREASE (DECREASE) IN NET
ASSETS..................................... 2,347 13,146
NET ASSETS
Beginning of period....................... 13,146 --
----------------- ---------------
End of period (including undistributed
net investment income of $14 at August
31, 1998)............................... $ 15,493 $ 13,146
================= ===============
</TABLE>
* Commencement of operations.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSGA
SPECIAL EQUITY FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1999* 1998**
--------- --------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.................... $ 7.17 $ 10.00
--------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a).............................. -- .01
Net realized and unrealized gain (loss) on investments. 1.02 (2.84)
--------- --------
Total Income From Investment Operations.............. 1.02 (2.83)
--------- --------
DISTRIBUTIONS:
Net investment income.................................. (.01) --
--------- --------
NET ASSET VALUE, END OF PERIOD.......................... $ 8.18 $ 7.17
========= ========
TOTAL RETURN (%)(b)..................................... 14.23 (28.30)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)............... 15,493 13,146
Ratios to average net assets (%)(c):
Operating expenses, net (d).......................... 1.10 1.10
Operating expenses, gross (d)........................ 1.52 1.55
Net investment income................................ .05 .24
Portfolio turnover rate (%)(c)......................... 140.22 88.36
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period May 1, 1998 (commencement of operations) to August 31, 1998.
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1998 are
annualized.
(d) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSGA
SPECIAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. These financial statements report on one portfolio,
the SSgA Special 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 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 on the accrual basis. Distributions from Real
Estate Investment Trusts ("REITs") owned by the Special Equity Fund may
have as their components dividend income, capital gains and/or returns of
capital. Distributions that are deemed to be capital gains or returns of
capital by the trusts are treated by the Fund, respectively, as an
adjustment to its realized capital gains or its cost of the investment. The
exact amount to be adjusted can be ascertained only at the end of each
REIT's fiscal year when finally determined and reported by the various
trusts.
Semiannual Report 11
<PAGE>
SSGA
SPECIAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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 $574,329 incurred from May 1, 1998 to August 31, 1998, and
treat it as arising in fiscal year 1999.
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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------- -------------- ---------------- ----------------
<S> <C> <C> <C>
$16,588,003 $ 14,857 $ (1,005,860) $ (991,003)
</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 REITs 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 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-
12 Semiannual Report
<PAGE>
SSGA
SPECIAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments and
futures contracts aggregated to $11,104,034 and $10,431,404, respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements. Under the securities lending arrangement, the
collateral received is recorded on the Fund's statement of assets and
liabilities along with the related obligation to return the collateral. In
those situations where the Company has relinquished control of securities
transferred, it derecognizes the securities and records a receivable from
the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be
in an amount at least equal to 102% (for loans of U.S. securities) or 105%
(for non-U.S. securities) of the market value of the loaned securities at
the inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $2,065,069 and $2,139,200, 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 an annual rate of
.75% of its average daily net assets. The Adviser voluntarily agreed to
reimburse the Fund for all expenses in excess of 1.10% of average daily net
assets on an annual basis. As of February 28, 1999, 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the
Semiannual Report 13
<PAGE>
SSGA
SPECIAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 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% for the
period May 1, 1998 to December 31, 1998, and 0% thereafter, 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 charged 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 period ended February 28, 1999, the Fund was charged
shareholder servicing expenses of $1,867 and $48 by the Adviser and SSBSI,
respectively. The Fund did not incur any expenses from RIS, Commercial
Banking, and 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, 1998.
14 Semiannual Report
<PAGE>
SSGA
SPECIAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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, 1999
WERE AS FOLLOWS:
Advisory fees $19,912
Administration fees 494
Custodian fees 275
Distribution fees 138
Shareholder servicing fees 379
Transfer agent fees 90
Trustees' fees 27
-------
$21,315
=======
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder (who was also
an affiliate of the Investment Company) was a record owner of approximately
95% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIOD MAY 1, 1998
FOR THE PERIOD ENDED (COMMENCEMENT OF OPERATIONS)
FEBRUARY 28, 1999 TO AUGUST 31, 1998
--------------------- ------------------------------
SHARES DOLLARS SHARES DOLLARS
--------- --------- ------------- ---------------
<S> <C> <C> <C> <C>
Proceeds from shares sold........ 86 $735 1,833 $18,319
Proceeds from reinvestment of
distributions................... 2 17 -- --
Payments for shares redeemed..... (27) (213) (1) (5)
---------- -------- ------------ --------------
Total net increase (decrease).... 61 $539 1,832 $18,314
========== ======== ============ ==============
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .065% on the average daily unused amount of the aggregate
commitment, which is allocated among each of the Participants. Interest, at the
Federal Fund Rate plus .50% annually, is calculated based on the market rates at
the time of the borrowing. The Fund may borrow up to a maximum of 33 1/3
percent of the value of it's total assets under the agreement.
Semiannual Report 15
<PAGE>
SSGA SPECIAL 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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSGA(R) FUNDS
TAX FREE MONEY MARKET FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements.......................................... 3
Financial Highlights.......................................... 15
Notes to Financial Statements................................. 16
Fund Management and Service Providers......................... 20
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
------- ------- ----------- --------
<S> <C> <C> <C> <C>
MUNICIPAL BONDS - 99.6%
ALABAMA - 5.3%
Mobile, Alabama Improvement Warrants (a)........ 500 5.200 08/15/99 505
Montgomery, Alabama Special Care
Facilities Financing Authority Revenue
Series E, weekly demand (a).................... 4,600 3.050 (2) 12/01/30 4,600
Montgomery, Alabama Special Care
Facilities Financing Authority Revenue
Series H, weekly demand (a).................... 7,095 3.050 (2) 12/01/30 7,095
University of Alabama Revenue Series A,
weekly demand.................................. 3,800 2.750 (2) 10/01/07 3,800
---------
16,000
---------
ALASKA - 1.2%
Alaska Industrial Development & Export
Authority Revenue Lot 5, monthly
demand.......................................... 2,165 3.000 (3) 07/01/03 2,165
Alaska Industrial Development & Export
Authority Revenue Lot 6, monthly
demand.......................................... 1,480 3.000 (3) 07/01/01 1,480
---------
3,645
---------
ARKANSAS - 1.0%
Arkansas, State of , Development
Financial Authority Health Care
Facilities Revenue Series B, weekly
demand......................................... 3,100 2.950 (2) 06/01/12 3,100
---------
COLORADO - 0.3%
Colorado Springs, Colorado General
Obligation (pre-refunded 09/01/99)(b).......... 1,000 7.000 09/01/07 1,019
---------
CONNECTICUT - 0.8%
Connecticut State Health & Educational
Facilities Authority Revenue
Series T-2, weekly demand...................... 2,500 2.650 (2) 07/01/27 2,500
---------
DISTRICT OF COLUMBIA - 1.6%
District of Columbia Revenue, weekly
demand (a)..................................... 1,900 2.950 (2) 10/01/15 1,900
District of Columbia Revenue Series B,
weekly demand ................................. 2,200 3.250 (2) 08/15/38 2,200
Metropolitan Washington D.C. Airports
Authority, Virginia General Airport
Revenue Series C, weekly demand................ 700 3.000 (2) 10/01/27 700
---------
4,800
---------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
------- ------- ----------- -------
<S> <C> <C> <C> <C>
FLORIDA - 5.2%
Dade County, Florida Industrial
Development Authority Revenue Series
A, weekly demand................................... 500 2.950 (2) 01/01/16 500
Dade County, Florida Industrial
Development Authority Revenue Series
B, weekly demand................................... 900 2.950 (2) 01/01/16 900
Dade County, Florida Industrial
Development Authority Revenue Series
C, weekly demand................................... 500 2.950 (2) 01/01/16 500
Dade County, Florida Industrial
Development Authority Revenue Series
D, weekly demand................................... 100 2.950 (2) 01/01/16 100
Florida State Board of Education
Capital Outlay General Obligation
Series SGA 67, daily demand........................ 6,700 3.250 (1) 06/01/22 6,700
Jacksonville, Florida Electric
Authority Revenue Series SGA 17,
weekly demand...................................... 2,000 3.120 (2) 10/01/20 2,000
Manatee County, Florida Pollution
Control Revenue, daily demand...................... 500 3.200 (1) 09/01/24 500
Putnam County, Florida Development
Authority Pollution Control Revenue,
monthly demand..................................... 400 3.200 (3) 09/01/24 400
Putnam County, Florida Development
Authority Pollution Control Revenue
Series H-4, semiannual demand...................... 3,000 3.300 (4) 03/15/14 3,000
St. Lucie County, Florida Pollution
Control Revenue, daily demand...................... 1,000 3.200 (1) 01/01/26 1,000
---------
15,600
---------
GEORGIA - 6.6%
Clayton County, Georgia Housing
Authority Multifamily Housing Revenue
Series A, weekly demand............................ 2,315 2.950 (2) 01/01/21 2,315
Clayton County, Georgia Housing
Authority Multifamily Housing Revenue
Series D, weekly demand............................ 2,200 2.950 (2) 01/01/21 2,200
De Kalb County, Georgia Housing
Authority Multifamily Housing Revenue,
weekly demand...................................... 5,500 2.950 (2) 06/15/25 5,500
Georgia Municipal Electric Authority
Series D, weekly demand............................ 9,000 2.950 (2) 01/01/22 9,000
Monroe County, Georgia Development
Authority Pollution Control Revenue,
daily demand....................................... 1,000 3.250 (1) 07/01/25 1,000
---------
20,015
---------
ILLINOIS - 1.2%
Illinois Finance Authority Economic
Development Revenue, weekly demand................. 700 3.050 (2) 12/01/09 700
Illinois Student Assistance Common
Student Loan Revenue Series A,
weekly demand (a).................................. 3,000 3.050 (2) 09/01/32 3,000
---------
3,700
---------
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
------- ------- ----------- -------
<S> <C> <C> <C> <C>
INDIANA - 2.1%
Indiana State Office Building Common
Capital Complex Revenue Series B (a)............... 3,000 7.100 07/01/99 3,040
Indianapolis, Indiana Local Public
Improvement Board Bank Notes Series G.............. 3,325 3.500 07/12/99 3,331
---------
6,371
---------
IOWA - 4.2%
Des Moines, Iowa Commercial Development
Revenue, semiannual demand......................... 2,700 2.900 (4) 04/01/15 2,700
Iowa Finance Authority Hospital
Facility Revenue Series B, weekly
demand (a)......................................... 10,000 3.000 (2) 01/01/28 10,000
---------
12,700
---------
KENTUCKY - 5.0%
Kentucky Asset and Liability Common
General Fund Revenue Tax and Revenue
Anticipation Notes Series A........................ 5,000 4.500 06/25/99 5,014
Kentucky Economic Development Finance
Authority Revenue Pooled Hospital Loan,
weekly demand...................................... 10,000 3.050 (2) 08/01/18 10,000
---------
15,014
---------
LOUISIANA - 1.1%
Ascension Parish, Louisiana Pollution
Control Revenue, weekly demand..................... 700 2.900 (2) 12/01/09 700
Louisiana Public Facilities Authority
Revenue Series B
(pre-refunded 06/01/99)(b)......................... 2,500 7.375 06/01/19 2,576
---------
3,276
---------
MARYLAND - 2.1%
Maryland, State of, Health & Higher
Educational Facilities Authority
Revenue (pre-refunded 07/01/99)(a)(b).............. 2,150 7.500 07/01/19 2,224
Maryland, State of, Health & Higher
Educational Facilities Authority
Revenue Series A, weekly demand.................... 4,000 2.950 (2) 04/01/35 4,000
---------
6,224
---------
MASSACHUSETTS - 6.2%
Massachusetts Municipal Wholesale
Electric Company Power Supply System
Revenue Series C, weekly demand (a)................ 6,335 2.800 (2) 07/01/19 6,335
Massachusetts, State of, General
Obligation Series C
(pre-refunded 06/01/99)(a)(b)...................... 1,000 7.000 06/01/09 1,030
Massachusetts, State of, Health &
Educational Facilities Authority
Revenue Series D, weekly demand.................... 1,000 2.800 (2) 10/01/27 1,000
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
------- ------- ----------- -------
<S> <C> <C> <C> <C>
Massachusetts, State of, Health &
Educational Facilities Authority
Revenue Series G-1, weekly demand (a).............. 1,000 2.600 (2) 01/01/19 1,000
Massachusetts, State of, Health &
Educational Facilities Authority
Revenue Series P-1, weekly demand.................. 800 2.800 (2) 07/01/27 800
Massachusetts, State of, Health &
Educational Facilities Authority
Revenue Series SGA 65, daily demand................ 6,560 3.250 (1) 07/01/26 6,560
Massachusetts, State of, Turnpike
Authority Bond Anticipation Notes
(escrowed to maturity)............................. 1,940 5.000 06/01/99 1,950
---------
18,675
---------
MICHIGAN - 0.5%
Detroit, Michigan General Obligation
(pre-refunded 05/01/99)(b)......................... 1,500 7.200 05/01/09 1,540
---------
MINNESOTA - 0.3%
Minnesota, State of, General Obligation............. 1,000 6.600 08/01/99 1,013
---------
MISSOURI - 7.5%
Kansas City, Missouri Industrial
Development Authority Multifamily
Housing Revenue, monthly demand.................... 2,220 2.900 (3) 12/01/15 2,220
Missouri, State of, Health &
Educational Facilities Authority Revenue
Series A, weekly demand............................ 1,900 2.900 (2) 09/01/10 1,900
Missouri, State of, Health &
Educational Facilities Authority Revenue
Series A, weekly demand............................ 1,000 2.950 (2) 12/01/19 1,000
Missouri, State of, Health &
Educational Facilities Authority Revenue
Series B, weekly demand............................ 1,100 2.950 (2) 06/01/14 1,100
Missouri, State of, Health &
Educational Facilities Authority Revenue
Series B, weekly demand............................ 1,000 2.950 (2) 12/01/16 1,000
Missouri, State of, Health &
Educational Facilities Authority Revenue
Series C, weekly demand............................ 3,200 2.950 (2) 06/01/19 3,200
Missouri, State of, Health &
Educational Facilities Authority Revenue
Series C, weekly demand............................ 1,200 2.950 (2) 12/01/19 1,200
Missouri, State of, Health &
Educational Facilities Authority Revenue
Series D, weekly demand............................ 1,000 2.950 (2) 06/01/19 1,000
Missouri, State of, Housing Development
Common Mortgage Revenue
Series B, monthly demand........................... 10,000 4.150 (3) 12/01/28 10,000
---------
22,620
---------
</TABLE>
6 Semiannual Report
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
------- ------- ----------- -------
<S> <C> <C> <C> <C>
NEBRASKA - 2.0%
Lancaster County, Nebraska Hospital
Authority Number 1 Hospital Revenue,
weekly demand (a)................................. 6,200 2.950 (2) 06/01/12 6,200
---------
NEVADA - 0.9%
Clark County, Nevada General Obligation
(a)............................................... 1,705 4.800 07/01/99 1,715
Nevada Housing Division Revenue, weekly
demand............................................ 700 3.100 (2) 10/01/27 700
Nevada Housing Division Revenue Series
E, weekly demand.................................. 400 3.100 (2) 10/01/30 400
---------
2,815
---------
NEW JERSEY - 0.7%
New Jersey Economic Development
Authority Pollution Control Revenue
Series A, weekly demand (a)....................... 1,000 2.550 (2) 03/01/12 1,000
New Jersey, State of, General
Obligation (pre-refunded 04/15/99)(b)............. 1,000 7.250 04/15/09 1,020
---------
2,020
---------
NEW MEXICO - 0.5%
Farmington, New Mexico Pollution
Control Revenue Series A, daily demand............ 1,600 3.250 (1) 05/01/24 1,600
---------
NEW YORK - 7.0%
Nassau County, New York Industrial
Development Agency Civic Facility
Revenue, daily demand............................. 1,600 3.150 (1) 07/01/19 1,600
New York, New York General Obligation
Series A-9, weekly demand......................... 2,550 2.800 (2) 08/01/18 2,550
New York, New York General Obligation
Series A-4, daily demand.......................... 500 3.200 (1) 08/01/23 500
New York, New York General Obligation
Series B, weekly demand........................... 500 2.900 (2) 08/15/24 500
New York, New York Municipal Trust
Series SGB 36, weekly demand (a).................. 3,600 3.100 (2) 06/01/22 3,600
New York, State of, Energy Research and
Development Authority Pollution
Control Revenue Series B, weekly
demand (a)........................................ 5,715 2.500 (2) 08/01/32 5,715
New York, State of, Local Assistance
Corporation Series A, weekly demand............... 6,585 2.800 (2) 04/01/22 6,585
---------
21,050
---------
NORTH CAROLINA - 1.0%
Charlotte, North Carolina Airport
Revenue Series A, weekly demand (a)............... 800 2.950 (2) 07/01/16 800
University of North Carolina School of
Medicine Ambulatory Care Clinic
Revenue, weekly demand............................ 2,200 3.000 (2) 07/01/12 2,200
---------
3,000
---------
</TABLE>
Semiannual Report 7
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY* $
------- ------- ----------- -------
<S> <C> <C> <C> <C>
OHIO - 4.0%
Clermont County, Ohio Hospital
Facilities Revenue Series B, weekly
demand............................................ 880 2.950 (2) 09/01/21 880
Franklin County, Ohio Hospital Revenue,
weekly demand..................................... 9,100 2.850 (2) 06/01/16 9,100
Ohio, State of, Water Development
Authority Revenue Series I (escrowed
to maturity) (a).................................. 1,000 7.000 06/01/99 1,010
University of Toledo, Ohio General
Revenue Series A (a).............................. 1,000 5.000 06/01/99 1,003
---------
11,993
---------
OKLAHOMA - 5.0%
Muskogee, Oklahoma Industrial Trust
Pollution Control Revenue Series A,
weekly demand..................................... 5,000 3.000 (2) 01/01/25 5,000
Oklahoma Housing Finance Agency Single
Family Revenue, monthly demand.................... 10,000 4.150 (3) 09/01/29 10,000
---------
15,000
---------
OREGON - 0.8%
Oregon, State of, General Obligation
Series D.......................................... 1,000 3.150 08/01/99 1,000
Western Lane Hospital District, Oregon
Hospital Facility Authority Revenue
(pre-refunded 08/01/99)(a)(b)..................... 1,450 7.125 08/01/17 1,502
---------
2,502
---------
PENNSYLVANIA - 2.7%
Dauphin County, Pennsylvania General
Obligation Series B, weekly demand................ 7,000 3.000 (2) 10/01/27 7,000
Pennsylvania State University Revenue
(pre-refunded 07/01/99)(b)........................ 1,000 6.750 07/01/03 1,031
---------
8,031
---------
SOUTH CAROLINA - 0.3%
Lexington, South Carolina Water & Sewer
Revenue Bond Anticipation Notes................... 1,000 3.500 10/15/99 1,003
---------
TENNESSEE - 3.9%
Knox County, Tennessee Health Education
& Housing Facilities Board Hospital
Facilities Revenue Series B, weekly
demand............................................ 2,800 2.950 (2) 09/01/14 2,800
Memphis, Tennessee General Obligation
Series B, weekly demand........................... 7,000 3.150 (2) 08/01/07 7,000
Metropolitan Government Nashville and
Davidson County, Tennessee General
Obligation (pre-refunded 12/01/99)(b)............. 1,000 6.200 12/01/09 1,043
Tennessee, State of, General Obligation
(pre-refunded 06/01/99)(b)........................ 1,000 6.750 06/01/09 1,025
---------
11,868
---------
</TABLE>
8 Semiannual Report
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- -------- ----------- --------
<S> <C> <C> <C> <C>
TEXAS - 10.0%
Brazos River Authority, Texas Pollution Control Revenue Series B,
daily demand................................................................... 1,200 3.300 (1) 02/01/32 1,200
Dallas-Fort Worth, Texas Regional Airport Revenue Series SGA 49,
daily demand (a)............................................................... 1,855 3.250 (1) 11/01/23 1,855
Harris County, Texas Industrial Development Corporation Revenue,
daily demand................................................................... 13,400 3.200 (1) 04/01/27 13,400
Lower Neches Valley, Texas Authority Revenue, semiannual demand................. 1,000 2.750 (4) 02/15/17 1,000
Panhandle Plains, Texas Higher Education Authority Revenue Series A,
weekly demand.................................................................. 1,500 3.050 (2) 06/01/21 1,500
Texas A&M University Revenue, weekly demand (a)................................. 3,330 3.050 (2) 05/15/16 3,330
Texas, State of, Tax & Revenue Anticipation Notes............................... 4,000 4.500 08/31/99 4,034
Travis County, Texas General Obligation Certificates............................ 3,990 4.750 03/01/99 3,990
---------
30,309
---------
UTAH - 1.6%
Intermountain Power Agency Utah Power Supply Revenue Series C (a)............... 1,500 5.500 07/01/99 1,512
Intermountain Power Agency Utah Power Supply Revenue Series E,
semiannual demand (a).......................................................... 2,000 3.375 (4) 07/01/14 2,000
Salt Lake City, Utah Revenue Class A, weekly demand............................. 1,400 3.000 (2) 01/01/20 1,400
---------
4,912
---------
VIRGINIA - 0.3%
Virginia, State of, Public School Authority Series A............................ 1,000 6.000 01/01/00 1,023
---------
WASHINGTON - 0.7%
Kent, Washington General Obligation Series SGA 27, weekly demand (a)............ 1,200 3.120 (2) 12/01/16 1,200
Port of Kalama, Washington Public Corporation Port, monthly demand.............. 1,050 2.850 (3) 01/01/04 1,050
---------
2,250
---------
WISCONSIN - 3.7%
University of Wisconsin Hospitals & Clinics Authority Revenue,
weekly demand (a).............................................................. 4,400 2.950 (2) 04/01/26 4,400
Wisconsin, State of, Revenue.................................................... 4,500 4.500 06/15/99 4,513
Wisconsin, State of, Revenue Series A........................................... 2,300 5.250 07/01/99 2,317
---------
11,230
---------
</TABLE>
Semiannual Report 9
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- -------- ----------- --------
<S> <C> <C> <C> <C>
WYOMING - 2.3%
Converse County, Wyoming Pollution Control Revenue, daily demand (a)............ 1,800 3.250 (1) 11/01/24 1,800
Lincoln County, Wyoming Pollution Control Revenue, daily demand................. 3,700 3.250 (1) 11/01/24 3,700
Sweetwater County, Wyoming Pollution Control Revenue, daily demand.............. 1,500 3.250 (1) 11/01/24 1,500
---------
7,000
---------
TOTAL INVESTMENTS - 99.6% (amortized cost $301,618)(c)........................................................ 301,618
OTHER ASSETS AND LIABILITIES, NET - 0.4%...................................................................... 1,224
---------
NET ASSETS - 100.0%........................................................................................... 302,842
=========
</TABLE>
(a) Bond is insured by AMBAC, FGIC, or MBIA.
(b) Pre-refunded: These bonds are collateralized by U.S. Government
Obligations, which are held in escrow by a trustee and are 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 cost for federal income tax purposes is the same as shown above.
* All securities with a maturity greater than thirteen months have a demand
feature, or an optional or mandatory put, or are pre-refunded, resulting in
an effective maturity of thirteen 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) Monthly
(4) Semiannual
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
QUALITY RATINGS AS A % OF MARKET VALUE
VMIG1, SP-1 or equivalent * 100%
ECONOMIC SECTOR EMPHASIS AS A % OF MARKET VALUE
<TABLE>
<S> <C>
Healthcare Revenue..................................... 26.70%
Housing Revenue........................................ 14.40
General Obligation..................................... 13.50
Electricity & Power Revenue............................ 9.71
Education Revenue...................................... 9.58
Industrial Revenue/Pollution Control Revenue........... 9.04
Pre-refunded........................................... 8.48
Airport Revenue........................................ 3.45
Utility Revenue........................................ 1.66
Bond Bank.............................................. 1.12
Highway Revenue........................................ 0.78
Public Agency Revenue.................................. 0.66
Miscellaneous.......................................... 0.40
Port Revenue........................................... 0.35
Stadium Revenue........................................ 0.17
--------
100.00%
========
</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 and interest."
The accompanying notes are an integral part of the financial statements.
Semiannual Report 11
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2)............................. $ 301,618
Cash......................................................................................... 190
Interest receivable.......................................................................... 1,742
Deferred organization expenses (Note 2)...................................................... 8
----------
Total Assets........................................................................... 303,558
LIABILITIES
Payables:
Dividends...................................................................... $ 524
Accrued fees to affiliates and trustees (Note 4)............................... 192
---------
Total Liabilities...................................................................... 716
----------
NET ASSETS................................................................................... $ 302,842
==========
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss)......................................................... $ 26
Shares of beneficial interest................................................................ 303
Additional paid-in capital................................................................... 302,513
----------
NET ASSETS................................................................................... $ 302,842
==========
NET ASSET VALUE, offering and redemption price per share:
($302,841,819 divided by 302,820,350 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>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest......................................................................... $ 4,587
EXPENSES (Notes 2 and 4):
Advisory fees......................................................... $ 354
Administrative fees................................................... 40
Custodian fees........................................................ 25
Distribution fees..................................................... 243
Transfer agent fees................................................... 8
Professional fees..................................................... 4
Registration fees..................................................... 7
Shareholder servicing fees............................................ 74
Trustees' fees........................................................ 3
Amortization of deferred organization expenses........................ 5
Miscellaneous......................................................... 9
-------
Total Expenses................................................................. 772
-------
Net investment income............................................................. 3,815
-------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments......................................... 54
-------
Net increase in net assets resulting from operations.............................. $ 3,869
=======
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 13
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.................................... $ 3,815 $ 6,800
Net realized gain (loss) from investments................ 54 8
--------- ---------
Net increase in net assets resulting from
operations........................................ 3,869 6,808
--------- ---------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income................................... (3,815) (6,800)
--------- ---------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund 42,704 96,574
share transactions (Note 5)............................. --------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS............... 42,758 96,582
NET ASSETS
Beginning of period..................................... 260,084 163,502
--------- ---------
End of period........................................... $ 302,842 $ 260,084
========= =========
</TABLE>
The accompanying notes are an integral part of the financial statements.
14 Semiannual Report
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
-------------------------------------
1999* 1998 1997 1996 1995**
------- ------ ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
OF PERIOD................................ ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................... .0132 .0304 .0295 .0302 .0251
DISTRIBUTIONS:
Net investment income................... (.0132) (.0304) (.0295) (.0302) (.0251)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........... $1.0000 $1.0000 $1.0000 $1.0000 $1.0000
======= ======= ======= ======= =======
TOTAL RETURN (%)(a)...................... 1.35 3.08 2.99 3.07 2.54
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
($000 omitted)........................ 302,842 260,084 163,502 45,061 42,607
Ratios to average net assets (%)(b):
Operating expenses, net............. .54 .56 .58 .57 .59
Operating expenses, gross........... .54 .56 .58 .57 .60
Net investment income............... 2.69 3.04 2.98 3.01 3.40
</TABLE>
* For the six months ended February 28, 1999 (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, 1999 and August 31, 1995 are
annualized.
Semiannual Report 15
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. These financial statements report on one portfolio, the SSgA Tax
Free Money Market Fund (the "Fund"). The Investment Company is a registered
and diversified open-end investment company, as defined in the Investment
Company Act of 1940, as amended (the "1940 Act"), that was organized as a
Massachusetts business trust on October 3, 1987 and operates under a First
Amended and Restated Master Trust Agreement, dated October 13, 1993, as
amended (the "Agreement"). The Investment Company's Agreement permits the
Board of Trustees to issue an unlimited number of full and fractional shares
of beneficial interest at a $.001 par value.
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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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, 1998, the Fund had a net tax basis capital loss carryovers of
$5,580, $10,856 and $11,279, which may be applied against any realized net
taxable gains in each succeeding year or until their expiration dates of
August 31, 2004, 2005 and 2006, respectively, whichever occurs first.
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.
16 Semiannual Report
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 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 period ended February 28, 1999, purchases,
sales and maturities of tax-exempt obligations were $723,242,347,
$650,179,789, and $30,210,000, 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10%, for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5%, for the period
January 1, 1998 to December 31, 1998 and 0% thereafter, 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
Semiannual Report 17
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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%, .050%, 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 period
ended February 28, 1999, the Fund was charged shareholder servicing expenses
of $35,418 and $31,254, by 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, 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, 1999 WERE
AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 120,042
Administration fees 4,193
Custodian fees 2,839
Distribution fees 42,685
Shareholder servicing fees 20,548
Transfer agent fees 750
Trustees' fees 658
-----------
$ 191,715
===========
</TABLE>
18 Semiannual Report
<PAGE>
SSGA
TAX FREE MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
BENEFICIAL INTEREST: As of February 28, 1999, three shareholders (two of
which were also affiliates of the Investment Company) were record owners of
approximately 53%, 17% and 13%, respectively, of the total outstanding shares
of the Fund.
5. FUND SHARE TRANSACTIONS (ON A CONSTANT DOLLAR BASIS):
<TABLE>
<CAPTION>
(AMOUNTS IN THOUSANDS)
FOR THE PERIODS ENDED
-----------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold.................... 410,262 963,989
Proceeds from reinvestment of
distributions.............................. 2,494 3,846
Payments for shares redeemed................. (370,052) (871,261)
----------------- ---------------
Total net increase (decrease)................ 42,704 96,574
================= ===============
</TABLE>
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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant
Treasurer and Principal Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
20 Semiannual Report
<PAGE>
SSGA(R) FUNDS
TAX FREE MONEY MARKET FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements................................................. 3
Financial Highlights................................................. 8
Notes to Financial Statements........................................ 9
Fund Management and Service Providers................................ 13
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is
licensed for use by the SSgA Funds.
This report is prepared from the books and records of the 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
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
--------- ---- -------- -----
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT AGENCIES -
66.9%
Federal Farm Credit Bank................ 22,000 4.760 01/18/00 21,959
Federal Home Loan Bank.................. 25,000 5.570 08/03/99 24,994
Federal Home Loan Bank (a).............. 50,000 4.755 09/08/99 49,987
Federal Home Loan Bank (a).............. 50,000 4.890 10/13/99 50,000
Federal Home Loan Bank (a).............. 40,000 4.890 11/16/99 39,980
Federal Home Loan Bank (a).............. 25,000 5.110 12/01/99 24,986
Federal Home Loan Bank.................. 60,000 4.900 01/14/00 59,997
Federal Home Loan Bank.................. 15,000 4.790 02/04/00 14,988
Federal Home Loan Bank Discount Corp.... 14,000 5.000 03/03/99 13,996
Federal Home Loan Bank Discount Corp.... 39,235 4.790 05/05/99 38,896
Federal Home Loan Mortgage Corp. (a).... 75,000 4.960 08/27/99 74,948
Federal Home Loan Mortgage Corp
Discount Notes......................... 50,000 4.730 03/19/99 49,882
Federal Home Loan Mortgage Corp
Discount Notes......................... 55,000 4.700 03/22/99 54,849
Federal Home Loan Mortgage Corp
Discount Notes......................... 24,300 4.730 03/22/99 24,233
Federal Home Loan Mortgage Corp
Discount Notes......................... 50,000 5.060 04/09/99 49,734
Federal Home Loan Mortgage Corp
Discount Notes......................... 50,000 4.760 04/14/99 49,709
Federal National Mortgage Association
(MTN).................................. 35,000 5.650 05/26/99 34,997
Federal National Mortgage Association
(MTN).................................. 26,000 6.190 06/07/99 26,081
Federal National Mortgage Association
(MTN)(a)............................... 50,000 4.981 06/15/99 49,987
Federal National Mortgage Association... 15,000 6.600 06/24/99 15,041
Federal National Mortgage Association
(MTN)(a)............................... 55,000 4.740 07/30/99 54,982
Federal National Mortgage Association
Discount Notes......................... 50,000 4.755 03/18/99 49,888
Federal National Mortgage Association
Discount Notes......................... 25,000 4.750 05/10/99 24,769
Student Loan Marketing Association
(MTN)(a)............................... 40,000 4.830 02/10/00 39,985
Student Loan Marketing Association
(MTN).................................. 15,000 4.845 02/10/00 14,978
----------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $953,846)......... 953,846
----------
UNITED STATES GOVERNMENT TREASURIES - 3.5%
United States Treasury Bills............ 50,000 4.730 04/22/99 49,659
----------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $49,659)........ 49,659
----------
TOTAL INVESTMENTS - 70.4% (amortized cost $1,003,505)........... 1,003,505
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
VALUE
(000)
$
-------
<S> <C>
REPURCHASE AGREEMENTS - 33.2%
Agreement with Donaldson, Lufkin, &
Jenrette of $150,000
acquired February 26, 1999 at 4.820% to be repurchased at
$150,060
on March 1, 1999, collateralized by:
Federal Home Loan Bank,
5.125% due 09/15/03, and
Various Federal Home Loan Mortgage
Corp. Securities,
5.125% due 10/15/08, and
Various Federal National Mortgage
Association Securities,
6.000% due 05/15/08............................................... 150,000
Agreement with Lehman Brothers, Inc. of
$222,412
acquired February 26, 1999 at 4.810% to be repurchased at
$222,501
on March 1, 1999, collateralized by:
United States Treasury Bonds,
10.370% due 11/15/12, and
Various United States Treasury
Notes,
5.500% to 7.875%, due 08/15/01 to 02/28/03....................... 222,412
Agreement with Merrill Lynch & Co.,
Inc. of $100,000
acquired February 26, 1999 at 4.800% to be repurchased at
$100,040
on March 1, 1999, collateralized by:
Various Federal National Mortgage
Association Securities,
6.000% due 05/15/08............................................... 100,000
---------
TOTAL REPURCHASE AGREEMENTS (identified cost $472,412)............ 472,412
---------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS - 103.6% (cost
$1,475,917)(b).................................................... 1,475,917
OTHER ASSETS AND LIABILITIES, NET - (3.6%)........................ (51,000)
---------
NET ASSETS - 100.0%............................................... 1,424,917
=========
</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 intergral part of the financial statements.
4 Semiannual Report
<PAGE>
SSGA
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2)............................ $ 1,003,505
Repurchase agreements (identified cost $472,412)(Note 2).................................... 472,412
Interest receivable......................................................................... 4,642
------------
Total Assets............................................................................. 1,480,559
LIABILITIES
Payables:
Dividends................................................................... $ 5,138
Investments purchased....................................................... 49,658
Accrued fees to affiliates and trustees (Note 4)............................ 837
Other accrued expenses...................................................... 9
-----------
Total Liabilities........................................................................ 55,642
------------
NET ASSETS.................................................................................. $ 1,424,917
============
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss)........................................................ $ 27
Shares of beneficial interest............................................................... 1,425
Additional paid-in capital.................................................................. 1,423,465
------------
NET ASSETS.................................................................................. $ 1,424,917
============
NET ASSET VALUE, offering and redemption price per share:
($1,424,917,381 divided by 1,424,890,197 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
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest....................................................................... $ 30,934
EXPENSES (Notes 2 and 4):
Advisory fees....................................................... $ 1,504
Administrative fees................................................. 187
Custodian fees...................................................... 154
Distribution fees................................................... 192
Transfer agent fees................................................. 41
Professional fees................................................... 4
Registration fees................................................... 6
Shareholder servicing fees.......................................... 387
Trustees' fees...................................................... 14
Miscellaneous....................................................... 11
----------
Total Expenses............................................................... 2,500
------------
Net investment income........................................................... 28,434
------------
Net increase in net assets resulting from operations............................ $ 28,434
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
US GOVERNMENT MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amount in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Fiscal Year
February 28, 1999 Ended
(Unaudited) August 31, 1998
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income..................................... $ 28,434 $ 44,869
Net realized gain (loss).................................. -- 25
----------------- -----------------
Net increase in net assets resulting from operations... 28,434 44,894
----------------- -----------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income..................................... (28,434) (44,869)
----------------- -----------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund
share transactions (Note 5)............................... 479,020 41,389
----------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ............... 479,020 41,414
NET ASSETS
Beginning of period....................................... 945,897 904,483
----------------- -----------------
End of period............................................. $ 1,424,917 $ 945,897
================= =================
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
US GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each oeriod and other performance information derieved from the financial
statements.
<TABLE>
<CAPTION>
Year Ended August 31,
----------------------------------------------------
1999* 1998 1997 1996 1995 1994
--------- --------- --------- -------- -------- ---------
<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....................... .0236 .0500 .0500 .0515 .0528 .0324
DISTRIBUTIONS:
Net investment income....................... (.0236) (.0500) (.0500) (.0515) (.0528) (.0324)
--------- --------- --------- -------- -------- ---------
NET ASSET VALUE, END OF PERIOD............... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========= ========= ========= ======== ======== =========
TOTAL RETURN (%)(a).......................... 2.38 5.33 5.19 5.27 5.38 3.30
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted).... 1,424,917 945,897 904,483 683,210 490,138 251,165
Ratios to average net assets (%)(b):
Operating expenses, net................... .42 .42 .44 .40 .42 .38
Operating expenses, gross................. .42 .42 .44 .40 .42 .39
Net investment income..................... 4.73 5.20 5.08 5.12 5.37 3.27
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period ended February 28, 19999 are annualized.
8 Semiannual Report
<PAGE>
SSGA
U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. These financial statements report on one portfolio, the SSgA US
Government Money Market Fund (the "Fund"). The Investment Company is a
registered and diversified open-end investment company, as defined in the
Investment Company Act of 1940, as amended (the "1940 Act"), that was
organized as a Massachusetts business trust on October 3, 1987 and operates
under a First Amended and Restated Master Trust Agreement, dated October 13,
1993, as amended (the "Agreement"). The Investment Company's Agreement
permits the Board of Trustees to issue an unlimited number of full and
fractional shares of beneficial interest at a $.001 par value.
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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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.
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.
Semiannual Report 9
<PAGE>
SSGA
U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 period ended February 28, 1999, purchases
and maturities of US Government and Agency obligations, excluding repurchase
agreements aggregated to $1,873,364,080 and $1,500,144,000 , 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10%, for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5%, for the period
January 1, 1998 to December 31, 1998 and 0% thereafter, 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.
10 Semiannual Report
<PAGE>
SSGA
U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 charged 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 .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 period
ended February 28, 1999, the Fund was charged shareholder servicing expenses
of $150,364, $12,590 and $135,581 by 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 carryover expenses subsequent to the
Distribution Plan's termination or noncontinuance. There were no carryover
expenses as of August 31, 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, 1999 WERE
AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 581,470
Administration fees 40,029
Custodian fees 1,848
Distribution fees 41,226
Shareholder servicing fees 164,661
Transfer agent fees 2,374
Trustees' fees 5,275
-----------
$ 836,883
===========
</TABLE>
Semiannual Report 11
<PAGE>
SSGA
U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder was a record
owner of approximately 25% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (ON A CONSTANT DOLLAR BASIS):
<TABLE>
<CAPTION>
(AMOUNTS IN THOUSANDS)
FOR THE PERIODS ENDED
-----------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold.......................... 5,443,812 8,260,765
Proceeds from reinvestment of distributions........ 20,618 32,317
Payments for shares redeemed....................... (4,985,410) (8,251,693)
----------------- ---------------
Total net increase (decrease)...................... 479,020 41,389
================= ===============
</TABLE>
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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant
Treasurer and Principal Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 13
<PAGE>
SSGA(R) FUNDS
US TREASURY MONEY MARKET FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
Page
Financial Statements...................................................... 3
Financial Highlights...................................................... 8
Notes to Financial Statements............................................. 9
Fund Management and Service Providers..................................... 13
"SSgA(R)" is a registered trademark of State Street Corporation and is
licensed for use by the SSgA Funds.
This report is prepared from the books and records of the 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
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
----------- ------- ---------- ----------
<S> <C> <C> <C> <C>
UNITED STATES GOVERNMENT TREASURIES - 34.0%
United States Treasury Bills....................................... 200,000 4.740 04/22/99 198,631
United States Treasury Notes....................................... 30,000 6.250 03/31/99 30,016
United States Treasury Notes....................................... 25,000 6.250 05/31/99 25,036
United States Treasury Notes....................................... 50,000 7.125 09/30/99 50,653
United States Treasury Notes....................................... 60,000 7.750 01/31/00 61,610
----------
TOTAL UNITED STATES GOVERNMENT TREASURIES (cost $365,946)................................................ 365,946
----------
TOTAL INVESTMENTS - 34.0% (amortized cost $365,946)...................................................... 365,946
----------
REPURCHASE AGREEMENTS - 84.5%
Agreement with Bear Stearns & Co.,
Inc. of $255,000 acquired February 26, 1999 at 4.770% to be repurchased at $255,101
on March 1, 1999, collateralized by:
Various United States Treasury Notes
5.750% to 8.500%, due 09/30/99 to 05/15/04....................................................... 255,000
Agreement with Deutsche Bank AG of $50,000 acquired February 26, 1999 at 4.730%
to be repurchased at $50,020
on March 1, 1999, collateralized by:
United States Treasury Bonds
9.125% due 05/15/18............................................................................... 50,000
Agreement with Donaldson, Lufkin & Jenrette Securities Corp. of $50,000
acquired February 26, 1999 at 4.700%
to be repurchased at $50,020
on March 1, 1999, collateralized by:
United States Treasury Notes
6.250% due 02/28/02............................................................................... 50,000
Agreement with Dresdner Bank AG of $49,845
acquired February 26, 1999 at 4.800% to be repurchased at $49,865
on March 1, 1999, collateralized by:
United States Treasury Notes
5.500% due 05/31/00............................................................................... 49,845
Agreement with Greenwich Capital Market, Inc. of $50,000
acquired February 26, 1999 at 4.750% to be repurchased at $50,020
on March 1, 1999, collateralized by:
United States Treasury Notes
13.750% due 08/15/04............................................................................... 50,000
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
VALUE
(000)
$
<S> <C>
Agreement with Lehman Brothers Securities, Inc. of $50,000
acquired February 26, 1999 at 4.730% to be repurchased at $50,020
on March 1, 1999, collateralized by:
United States Treasury Bonds
6.500% due 11/15/26........................................................................ 50,000
Agreement with JP Morgan of $50,000
acquired February 26, 1999 at 4.680% to be repurchased at $50,020
on March 1, 1999, collateralized by:
United States Treasury Notes
10.375% due 11/15/09........................................................................ 50,000
Agreement with Prudential, Inc. of $50,000
acquired February 26, 1999 at 4.750% to be repurchased at $50,020
on March 1, 1999, collateralized by:
United States Treasury Notes
6.375% due 07/15/99......................................................................... 50,000
Agreement with SBC Warburg, Inc. of $255,000
acquired February 26, 1999 at 4.750% to be repurchased at $255,101
on March 1, 1999, collateralized by:
Various United States Treasury Notes
5.500% to 6.375% due 8/15/02 to 01/31/03.................................................... 255,000
Agreement with Westdeutsche Landesbank of $50,000
acquired February 26, 1999 at 4.750% to be repurchased at $50,020
on March 1, 1999, collateralized by:
United States Treasury Bonds
8.500% due 2/15/20
United States Treasury Notes
5.750% due 09/30/99......................................................................... 50,000
---------
TOTAL REPURCHASE AGREEMENTS (identified cost $909,845)............................................. 909,845
---------
TOTAL INVESTMENTS AND REPURCHASE AGREEMENTS - 118.5% (cost
$1,275,791)(a)..................................................................................... 1,275,791
OTHER ASSETS AND LIABILITIES, NET - (18.5%)........................................................ (199,269)
---------
NET ASSETS - 100.0%................................................................................ 1,076,522
=========
</TABLE>
(a) The identified cost for federal income tax purposes is the same as shown
above.
The accompanying notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at amortized cost which approximates market
(Note 2)......................................................... $ 365,946
Repurchase agreements (identified cost $909,845)(Note 2)......... 909,845
Interest receivable.............................................. 3,394
Deferred organization expenses (Note 2).......................... 1
-----------
Total Assets.................................................. 1,279,186
LIABILITIES
Payables:
Dividends........................................ $ 3,696
Investments purchased............................ 198,631
Accrued fees to affiliates and trustees (Note 4). 291
Other accrued expenses........................... 46
-----------
Total Liabilities............................................. 202,664
-----------
NET ASSETS....................................................... $ 1,076,522
===========
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss)............................. $ 2
Shares of beneficial interest.................................... 1,077
Additional paid-in capital....................................... 1,075,443
-----------
NET ASSETS....................................................... $ 1,076,522
===========
NET ASSET VALUE, offering and redemption price per share:
($1,076,521,569 divided by 1,076,531,195 shares of $.001 par
value shares of beneficial interest outstanding)................ $ 1.00
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28,1999 (Unaudited)
INVESTMENT INCOME:
Interest........................................................ $ 26,182
EXPENSES (Notes 2 and 4):
Advisory fees................................... $ 1,307
Administrative fees............................. 163
Custodian fees.................................. 181
Distribution fees............................... 147
Transfer agent fees............................. 45
Professional fees............................... 9
Registration fees............................... 75
Shareholder servicing fees...................... 131
Trustees' fees.................................. 12
Amortization of deferred organization expenses.. 1
Miscellaneous................................... 25
-----------
Expenses before reductions...................... 2,096
Expense reductions (Note 4)..................... (1,050)
-----------
Expenses, net................................................ 1,046
-----------
Net investment income........................................... 25,136
-----------
Net increase in net assets resulting from operations............ $ 25,136
===========
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Fiscal Year
February 28, 1999 Ended
(Unaudited) August 31,1998
----------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.................. $ 25,136 $ 56,898
Net realized gain (loss)............... -- 44
----------------- -------------
Net increase in net assets
resulting from operations.......... 25,136 56,942
----------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income................... (25,136) (56,898)
----------------- -------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net
assets from Fund
share transactions (Note 5)............. 76,155 83,478
----------------- -------------
TOTAL NET INCREASE (DECREASE)
IN NET ASSETS.................... 76,155 83,522
NET ASSETS
Beginning of period..................... 1,000,367 916,845
----------------- -------------
End of period........................... $ 1,076,522 $ 1,000,367
================= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
-----------------------------------------------------
1999* 1998 1997 1996 1995 1994**
--------- --------- --------- --------- --------- ---------
<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................................ .0228 .0540 .0515 .0529 .0536 .0249
DISTRIBUTIONS:
Net investment income................................ (.0228) (.0540) (.0515) (.0529) (.0536) (.0249)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD........................ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========= ========= ========= ========= ========= =========
TOTAL RETURN (%)(a)................................... 2.42 5.53 5.36 5.42 5.48 2.51
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)............. 1,076,522 1,000,367 916,845 189,004 160,893 154,858
Ratios to average net assets (%)(b):
Operating expenses, net (c)........................ .20 .20 .20 .20 .13 .13
Operating expenses, gross (c)...................... .40 .39 .46 .38 .39 .38
Net investment income.............................. 4.81 5.40 5.28 5.29 5.38 3.28
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period December 31, 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, 1999 and August 31, 1994 are
annualized.
(c) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. 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 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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
distributed to each 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.
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.
Semiannual Report 9
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases
and maturities of US Government and Agency obligations, excluding repurchase
agreements aggregated to $311,485,354 and $120,000,000, 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, 1999, 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.
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10%, for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5%, for the period
January 1, 1998 to December 31, 1998 and 0% thereafter, of the asset-based
fee determined in (i)); (iii) out-of-pocket expenses; and (iv) start-up costs
for new funds.
10 Semiannual Report
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 charged 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 period ended February 28, 1999, the
Fund was charged shareholder servicing expenses of $130,714 by 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 carryover expenses subsequent to the
Distribution Plan's termination or noncontinuance. There were no carryover
expenses as of August 31, 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 its relative net
assets.
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1999 WERE
AS FOLLOWS:
Advisory fees $125,115
Administration fees 28,324
Custodian fees 48,174
Distribution fees 39,524
Shareholder servicing fees 19,929
Transfer agent fees 25,045
Trustees' fees 4,742
--------
$290,853
========
Semiannual Report 11
<PAGE>
SSGA
US TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
BENEFICIAL INTEREST: As of February 28, 1999, two shareholders (one of which
was also an affiliate of the Investment Company) were record owners of
approximately 62% and 15%, respectively, of the total outstanding shares of
the Fund.
5. FUND SHARE TRANSACTIONS (ON A CONSTANT DOLLAR BASIS):
<TABLE>
<CAPTION>
(AMOUNTS IN THOUSANDS)
FOR THE PERIODS ENDED
------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
----------------- ----------------
<S> <C> <C>
Proceeds from shares sold.......................... 4,555,706 9,616,163
Proceeds from reinvestment of distribution......... 4,685 16,817
Payments for shares redeemed....................... (4,484,236) (9,549,502)
----------------- ----------------
Total net increase (decrease)...................... 76,155 83,478
================= ================
</TABLE>
12 Semiannual Report
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 13
<PAGE>
SSGA(R) FUNDS
YIELD PLUS FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements.............................................. 3
Financial Highlights.............................................. 10
Notes to Financial Statements..................................... 11
Fund Management and Service Providers............................. 17
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- ----------
<S> <C> <C>
LONG-TERM INVESTMENTS - 94.9%
ASSET-BACKED SECURITIES - 27.1%
Advanta Mortgage Loan Trust
Series 1996-1 Class A5
6.350% due 10/25/21 5,000 4,952
Amresco Residential Securities
Mortgage Loan Trust (a)
Series 1997-3 Class A10
5.129% due 09/01/27 5,339 5,292
Series 1998-1 Class A7
5.139% due 10/25/27 4,411 4,388
Beneficial Mortgage Corp.
Series 1997-2 Class A
5.059% due 09/28/37 (a) 11,659 11,616
Capital One Master Trust
Series 1995-1 Class A
5.130% due 10/15/03 (a) 8,000 7,997
CIT RV Trust
Series 1996-A Class A
5.400% due 12/15/11 8,824 8,792
Contimortgage Home
Equity Loan Trust
Series 1996-1 Class A4
5.980% due 01/15/11 5,115 5,108
Series 1996-4 Class A4
6.370% due 10/15/11 3,690 3,684
Series 1998-3 Class A3
5.770% due 02/15/24 (a) 11,500 11,450
Delta Funding Home Equity Loan Trust
Series 1998-1 Class A2F
6.310% due 08/25/19 10,000 9,950
EQCC Home Equity Loan Trust
Series 1998-1 Class A1F
6.210% due 12/15/07 10,849 10,852
Ford Credit Auto Loan Master Trust
Series 1996-2 Class A
5.532% due 02/15/03 (a) 4,375 4,376
Ford Credit Grantor Trust
Series 1995-B Class A
5.900% due 10/15/00 611 612
General Electric Capital Mortgage
Services, Inc.
Series 1997-HE3 Class A3
6.520% due 08/25/13 6,500 6,511
Household Consumer Loan Trust
Series 1996-2 Class A2
5.258% due 08/15/06 (a) 2,000 1,981
IMC Home Equity Loan Trust
Series 1998-3 Class A3
6.160% due 05/20/14 10,000 9,988
Providian Master Trust
Series 1997-1 Class A
5.028% due 05/15/06 (a) 4,000 3,985
Saxon Asset Securities Trust
Series 1998-3 Class AF2
5.750% due 05/25/18 13,000 12,927
Series 1998-4 Class AF2
6.195% due 10/25/13 10,000 9,907
Saxon Asset Securities Trust
Step Up Bond
Series 1996-2 Class A6
5.176% due 11/25/26 (a) 5,647 5,617
Textron Financial Corp.
Receivables
Series 1997-A Class A
6.050% due 03/16/09 6,556 6,554
Series 1998-A Class A1
5.820% due 01/15/02 8,204 8,214
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
------------ ----------
<S> <C> <C>
The Money Store Home Equity Trust
Series 1994-A Class A3
5.525% due 09/15/18 2,082 2,069
Series 1998-A Class AF3
6.130% due 09/15/16 8,000 8,001
Series 1998-B Class AF2
6.115% due 06/15/10 3,500 3,506
Toyota Auto Receivables
Grantor Trust
Series 1996-A Class A
6.300% due 07/20/01 3,569 3,577
--------
171,906
--------
CORPORATE BONDS AND NOTES - 33.5%
Airtouch Communications, Inc.
7.125% due 07/15/01 5,000 5,134
BankBoston Corp. (a)
5.125% due 02/10/01 5,000 4,975
5.125% due 08/24/01 (MTN) 9,000 8,902
5.210% due 07/14/03 (MTN) 10,000 9,789
Beneficial Corp. (MTN)
5.152% due 11/15/01(a) 7,500 7,434
Boeing Capital Corp. (MTN)
5.350% due 03/27/02 (a) 12,500 12,360
CIT Group Holdings, Inc. (MTN)
6.125% due 12/15/00 5,750 5,780
Comdisco, Inc.
6.500% due 06/15/00 16,675 16,721
Commercial Credit Co., Inc.
5.550% due 02/15/01 10,000 9,967
Enron Corp.
5.734% due 03/30/00 (a) 12,500 12,501
Finova Capital Corp. (MTN)
5.180% due 08/14/01 (a) 12,000 11,881
Goldman Sachs Group
Series A (MTN)
5.500% due 05/23/00 (a) 2,500 2,510
Goldman Sachs Group L.P.
5.532% due 06/02/04 (a) 5,000 4,925
Heller Financial, Inc.
Series I (MTN)
5.319% due 01/19/01 (a) 20,000 19,997
Household Finance Corp. (MTN)
5.519% due 06/17/05 (a) 23,000 22,698
Merrill Lynch & Co.
Series B (MTN)(a)
5.344% due 02/01/02 14,000 14,046
5.400% due 06/24/03 8,500 8,405
Raytheon Co.
6.300% due 08/15/00 5,000 5,036
Texas Utilities
5.672% due 04/20/00 (a) 5,000 4,999
Transamerica Financial Corp.
5.469% due 09/17/01 (a) 15,700 15,578
Worldcom, Inc.
6.125% due 08/15/01 8,225 8,271
--------
211,909
--------
EURODOLLAR BONDS - 10.2%
Allied Irish Banks (MTN)
5.269% due 10/31/06 (a) 15,000 14,807
Bankers Trust Australia
5.326% due 06/02/08 (a) 13,000 12,740
Denmark Danske Bank
5.503% due 06/04/06 (a) 2,000 1,974
Lehman Brothers Holdings
PLC (MTN)(a)
5.500% due 02/20/01 5,000 4,931
5.576% due 09/03/02 7,300 7,099
Lloyds Bank PLC
5.312% due 06/29/49 (a)(f) 4,000 3,335
National Westminster Finance
5.062% due 04/18/05 (a) 20,000 19,548
--------
64,434
--------
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
-------- ---------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES - 24.1%
Federal Home Loan Mortgage Corp.
Participation Certificate
7.000% due 2000 500 504
6.066% due 2018 (a) 2,817 2,812
7.084% due 2020 (a) 8,123 8,281
7.244% due 2020 (a) 14,718 14,984
6.687% due 2023 (a) 1,261 1,269
6.944% due 2024 (a) 3,169 3,187
Federal Home Loan Mortgage Corp.
Strip
6.134% due 07/01/29 (a) 5,844 5,836
Federal National Mortgage Association
8.000% due 2004 6,986 7,098
6.300% due 2019 (a) 6,513 6,499
6.539% due 2019 (a) 1,287 1,286
6.786% due 2020 (a) 4,261 4,319
6.932% due 2022 (a) 14,097 14,312
6.624% due 2023 (a) 5,823 5,947
7.124% due 2024 (a) 5,307 5,416
7.115% due 2025 (a) 2,125 2,163
7.004% due 2030 (a) 12,511 12,821
Government National Mortgage
Association
8.000% due 2012 1,650 1,704
4.500% due 2028 (a) 31,520 31,274
4.500% due 2029 (a) 4,040 3,991
Government National Mortgage
Association
4.500% 30 Year TBA (g) 5,000 4,960
Westpac Securitisation Trust
Series 1998-1G Class A
5.796% due 07/19/29 (a) 14,296 14,190
--------
152,853
--------
TOTAL LONG-TERM INVESTMENTS
(cost $605,321) 601,102
--------
SHORT-TERM INVESTMENTS - 5.0%
AIM Short-Term Investment Co.
Prime Portfolio Class A (b) 28,003 28,003
Dean Witter Discover & Co. (MTN)
5.307% due 06/10/99 (a) 3,000 3,003
Federated Investors Prime Cash
Obligations Fund (b) 50 50
United States Treasury Bills
4.380% due 04/15/99 (c)(d) 350 348
--------
TOTAL SHORT-TERM INVESTMENTS
(cost $31,400) 31,404
--------
TOTAL INVESTMENTS - 99.9%
(identified cost $636,721)(e) 632,506
OTHER ASSETS AND LIABILITIES,
NET, INCLUDING OPTIONS 847
WRITTEN - 0.1% --------
NET ASSETS - 100.0% 633,353
========
</TABLE>
(a) Adjustable or floating-rate security.
(b) At cost, which approximates market.
(c) Rate noted is yielded-to-maturity
(d) Held as collateral in connecection with futures contracts purchased and
options written by the Fund.
(e) See Note 2 for federal income tax information.
(f) Perpetual floating rate note.
(g) Forward commitment. See Note 2.
Abbreviations:
MTN - Medium Term Note
TBA - To Be Announced Security
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSGA
YIELD PLUS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATON)
CONTRACTS (000)
----------- -------------
<S> <C> <C>
FUTURES CONTRACTS
(Notes 2 and 3)
Eurodollar Futures Contracts
Expiration date 06/00 100 $ (116)
--------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts Purchased (S) $ (116)
========
<CAPTION>
NOTIONAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- ----------
<S> <C> <C>
OPTIONS WRITTEN
(Notes 2 and 3)
Eurodollar Futures*
June 95.00 Put 250 (180)
--------
Total Liability for Options Written
(premiums received $67) (S) (180)
========
</TABLE>
(S) At February 28, 1999, United States Treasury Bills valued at $348 were held
as collateral in connection with open futures contracts purchased and
options written by the Fund.
* $100,000 notional amount represents 1 contract.
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
YIELD PLUS FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $636,721)(Note 2)............ $ 632,506
Receivables:
Dividends and interest............................................ 5,147
Fund shares sold.................................................. 1,483
Prepaid expenses.................................................... 11
---------
Total Assets.................................................. 639,147
LIABILITIES
Payables:
Dividends............................................ $ 147
Investments purchased (delayed settlement)(Note 2)... 4,985
Fund shares redeemed................................. 10
Accrued fees to affiliates and trustees (Note 4)..... 460
Other accrued expenses............................... 8
Daily variation margin on futures contracts (Notes
2 and 3)............................................. 4
Options written, at market value (premiums received
$67)(Notes 2 and 3)..................................... 180
--------
Total Liabilities............................................. 5,794
---------
NET ASSETS.......................................................... $ 633,353
=========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment.income........ $ (71)
Accumulated net realized gain (loss)................................ (2,332)
Unrealized appreciation (depreciation) on:
Investments...................................................... (4,215)
Futures contracts................................................ (116)
Options written.................................................. (113)
Shares of beneficial interest....................................... 64
Additional paid-in capital.......................................... 640,136
--------
NET ASSETS.......................................................... $ 633,353
=========
NET ASSET VALUE, offering and redemption price per share:
($633,353,021 divided by 63,925,254 shares of $.001 par value
shares of beneficial interest outstanding)....................... $ 9.91
========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
YIELD PLUS FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest.......................................................... $ 20,814
Dividends......................................................... 407
--------
Total Investment Income.......................................... 21,221
EXPENSES (Notes 2 and 4):
Advisory fees........................................ $ 904
Administrative fees.................................. 118
Custodian fees....................................... 62
Distribution fees.................................... 145
Transfer agent fees.................................. 43
Professional fees.................................... 14
Registration fees.................................... 18
Shareholder servicing fees........................... 174
Trustees' fees....................................... 8
Miscellaneous........................................ 17
--------
Total Expenses................................................... 1,503
--------
Net investment income............................................... 19,718
--------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments.......................................... (280)
Futures contracts.................................... (146) (426)
------- --------
Net change in unrealized appreciation or depreciation of:
Investments.......................................... (3,017)
Futures contracts.................................... (94)
Options written...................................... (113) (3,224)
------- --------
Net gain (loss) on investments................................... (3,650)
--------
Net increase (decrease) in net assets resulting from operations.. $ 16,068
========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 8
<PAGE>
SSGA
YIELD PLUS FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income............................. $ 19,718 $ 35,386
Net realized gain (loss).......................... (426) (353)
Net change in unrealized appreciation or.......... (3,224) (1,655)
depreciation...................................... ---------- ------------
Net increase (decrease) in net assets resulting
from operations................................. 16,068 33,378
---------- ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income............................. (19,643) (35,250)
In excess of net investment income................ (71) (136)
----------- ------------
Total Distributions to Shareholders............. (19,714) (35,386)
----------- ------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund
share transactions (Note 5)....................... (35,466) (165,582)
----------- ------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS........ (39,112) (167,590)
NET ASSETS
Beginning of period............................... 672,465 840,055
---------- ------------
End of period (including accumalated distributions
in excess of net investment income of $71 and $75,
respectively)................................... $633,353 $ 672,465
=========== =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSGA
YIELD PLUS FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
-----------------------------------------------
1999* 1998 1997 1996 1995 1994
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $. 9.97 $ 10.01 $ 10.00 $ 10.00 $ 9.99 $ 10.01
-------- -------- -------- -------- ---------- ----------
INCOME FROM INVESTMENTS
OPERATIONS:
Net investment income
(a).................. .27 .57 .54 .56 .56 .38
-------- -------- -------- -------- ---------- ----------
Net realized and
unrealized gain (loss)
on investments....... (.06) (.04) .01 -- .02 (.02)
-------- -------- -------- -------- ---------- ----------
Total Income From
Investment
Operations........... .21 .53 .55 .56 .58 .36
-------- -------- -------- -------- ---------- ----------
DISTRIBUTIONS:
Net investment income.. (.27) (.57) (.54) (.56) (.56) (.38)
Net realized gain on
investments.......... -- -- -- -- (.01) --
-------- -------- -------- -------- ---------- ----------
Total Distributions.. (.27) (.57) (.54) (.56) (.57) (.38)
-------- -------- -------- -------- ---------- ----------
NET ASSET VALUE, END
OF PERIOD.............. $. 9.91 $ 9.97 $ 10.01 $ 10.00 $ 10.00 $ 9.99
======== ======== ======== ======== ========== ==========
TOTAL RETURN (%)(b)..... 2.11 5.40 5.67 5.73 6.01 3.65
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period ($000
omitted)............. 633,353 672,465 840,055 933,485 1,447,097 1,358,464
Ratios to average net
assets (%)(c):
Operating expenses... .42 .41 .38 .36 .38 .35
Net investment
income............... 5.45 5.66 5.42 5.59 5.64 3.82
Portfolio turnover
rate (%)(c).......... 200.62 249.10 92.38 97.05 199.69 142.68
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the period ended February 28, 1999 are annualized.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 10
<PAGE>
SSGA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. 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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
Semiannual Report 11
<PAGE>
SSGA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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. At
February 28, 1999, the Fund had a net tax basis capital loss carryover of
$1,086,433 which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2004. As
permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $842,006 incurred from November 1, 1997 to August 31,1998,
and treat it as arising in fiscal year 1999.
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, 1999 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ -------------- --------------
$636,721,000 $1,084,571 $ (5,299,571) $ (4,215,000)
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.
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%.
12 Semiannual Report
<PAGE>
SSGA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the period ended February 28, 1999, purchases
and sales of investment securities, excluding US Government and Agency
obligations, short-term investments, and repurchase agreements aggregated to
$619,229,247 and $543,101,132, respectively.
For the period ended February 28, 1999, purchases and sales of US Government
and Agency obligations, excluding short-term investments, futures contracts
and repurchase agreements aggregated to $123,335,455 and $136,155,373,
respectively.
Semiannual Report 13
<PAGE>
SSGA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
period ended February 28, 1999, were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS FUTURES CONTRACTS
SOLD SHORT PURCHASED
-------------------------- ----------------------------
AGGREGATE AGGREGATE
NUMBER OF FACE VALUE OF NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1) CONTRACTS CONTRACTS (1)
--------- -------------- --------- ---------------
<S> <C> <C> <C> <C>
Outstanding at August 31, 1998 35 $ 8,271,130 -- $ --
Contracts opened 172 40,915,396 200 47,425,150
Contracts closed (207) (49,186,526) (100) (23,736,950)
--------- -------------- --------- ---------------
Outstanding at February 28, 1999 -- $ -- 100 $ 23,688,200
========= ============== ========= ===============
</TABLE>
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to loan
securities with a value up to 33 1/3% of its total assets to certain brokers.
The Fund receives cash (U.S. currency), U.S. Government or U.S. Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is secured by cash collateral, such collateral shall be invested
by State Street Bank and Trust Company in short-term instruments, money
market mutual funds, and such other short-term investments, provided the
investments meet certain quality and diversification requirements. Under the
securities lending arrangement, the collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral. In those situations where the Company has
relinquished control of securities transferred, it derecognizes the
securities and records a receivable from the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be in
an amount at least equal to 102% (for loans of U.S. securities) or 105% (for
non-U.S. securities) of the market value of the loaned securities at the
inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
there were no outstanding securities on loan.
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.
14 Semiannual Report
<PAGE>
SSGA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
ADMINISTRATOR: The Investment Company has an administration agreement with
Frank Russell Investment Management Company (the "Administrator"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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 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 10% for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5% for the period
January 1, 1998 to December 31, 1998 and 0% thereafter, 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 charged 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 period
ended February 28, 1999, the Fund was charged shareholder servicing expenses
of $90,388, $677, $19,849 and $47,865, by 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
Semiannual Report 15
<PAGE>
SSGA
YIELD PLUS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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, 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, 1999 WERE
AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 326,669
Administration fees 27,296
Custodian fees 41,822
Distribution fees 2,306
Shareholder servicing fees 41,145
Transfer agent fees 18,763
Trustees' fees 1,750
---------
$ 459,751
=========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, two shareholders (one of which
was also an affiliate of the Investment Company) were record owners of
approximately 50% and 12%, respectively, of the total outstanding shares of
the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
---------------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
----------------------- --------------------------
SHARES DOLLARS SHARES DOLLARS
---------- ----------- ---------- -------------
<S> <C> <C> <C> <C>
Proceeds from shares sold 62,551 $ 619,679 187,164 $ 1,870,329
Proceeds from reinvestment
of distributions 1,915 18,979 3,401 33,983
Payments for shares
redeemed (67,973) (674,124) (207,076) (2,069,894)
---------- ----------- ---------- -------------
Total net increase (decrease) (3,507) $ (35,466) (16,511) $ (165,582)
========== =========== ========== =============
</TABLE>
16 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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant
Treasurer and Principal Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 17
<PAGE>
SSGA(R) FUNDS
AGGRESSIVE EQUITY FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements 3
Financial Highlights 8
Notes to Financial Statements 9
Fund Management and Service Providers 14
</TABLE>
SSgA(R) is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
<S> <C> <C>
COMMON STOCKS - 98.6%
CAPITAL GOODS - 1.3%
Sanmina Corp. (a) 1,600 83
-----
CONSUMER BASICS - 22.2%
AmeriSource Health Corp.
Class A (a) 400 30
Amgen, Inc. (a) 1,200 150
Keebler Foods Co. (a) 3,200 125
Maxxim Medical, Inc. (a) 4,500 102
Medtronic, Inc. 1,900 134
PacifiCare Health Systems, Inc. Class B (a) 1,600 116
Priority Healthcare Corp.
Class B (a) 3,100 120
Quest Diagnostics, Inc. (a) 6,800 145
Safeway, Inc. (a) 2,400 139
Suiza Foods Corp. (a) 2,500 93
Sybron International Corp. (a) 4,400 108
Techne Corp. (a) 5,800 143
-----
1,405
-----
CONSUMER DURABLES - 4.6%
Best Buy Co. (a) 2,000 186
Smith (A.O.) Corp. 4,800 102
-----
288
-----
CONSUMER NON-DURABLES - 14.5%
Abercrombie & Fitch Co.
Class A (a) 1,300 99
Intimate Brands, Inc. Class A 4,000 157
Lowe's Cos., Inc. 2,600 154
Musicland Stores Corp. (a) 10,900 129
Nu Skin Enterprises, Inc.
Class A (a) 5,400 113
Shaw Industries, Inc. (a) 6,200 136
Zale Corp. (a) 3,900 129
-----
917
-----
CONSUMER SERVICES - 6.4%
Darden Restaurants, Inc. 6,900 152
Foodmaker, Inc. (a) 5,600 129
Galileo International, Inc. 2,500 126
-----
407
-----
ENERGY - 0.8%
BJ Services Co. (a) 3,600 51
-----
FINANCE - 10.0%
Countrywide Credit Industries, Inc. 2,500 95
Cullen Frost Bankers, Inc. 1,900 90
Edwards (A.G.), Inc. 3,400 111
Fidelity National Financial 4,500 90
GBC Bancorp 5,500 118
Texas Regional Bancshares, Inc.
Class A 5,200 131
-----
635
-----
GENERAL BUSINESS - 5.4%
Interim Services, Inc. (a) 6,200 118
Valassis Communications, Inc. (a) 2,400 115
Viad Corp. 4,200 111
-----
344
-----
SHELTER - 3.2%
Centex Construction Products, Inc. 3,000 107
Walter Industries, Inc. (a) 7,700 94
-----
201
-----
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
<S> <C> <C>
TECHNOLOGY - 21.8%
BMC Software, Inc. (a) 2,900 119
Cirrus Logic, Inc. (a) 11,900 96
Gateway 2000, Inc. (a) 2,500 182
Hewlett-Packard Co. 2,500 166
Intel Corp. 1,500 180
Linear Technology Corp. 2,600 114
Lucent Technologies, Inc. 1,100 112
Microsoft Corp. (a) 800 120
Progress Software Corp. (a) 3,600 111
Unisys Corp. (a) 1,300 38
Xilinx, Inc. (a) 2,000 138
-----
1,376
-----
TRANSPORTATION - 3.7%
Kansas City Southern
Industries, Inc. 2,700 126
MotivePower Industries, Inc. (a) 3,800 105
-----
231
-----
UTILITIES - 4.7%
AT&T Corp. 2,200 181
Century Telephone
Enterprises, Inc. 1,900 117
-----
298
-----
TOTAL COMMON STOCKS
(cost $6,378) 6,236
-----
SHORT-TERM INVESTMENTS - 0.8%
AIM Short-Term Investment Prime
Portfolio Class A (b) 32 32
Federated Investors Prime Cash
Obligations Fund (b) 21 21
-----
TOTAL SHORT-TERM INVESTMENTS
(cost $53) 53
-----
TOTAL INVESTMENTS - 99.4%
(identified cost $6,431)(c) 6,289
OTHER ASSETS AND LIABILITIES,
Net - 0.6% 35
-----
NET ASSETS - 100.0% 6,324
=====
</TABLE>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal tax information.
The accompanying notes are an integral part of the financial statements.
4 Semiannual Report
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $6,431)(Note 2) ............................. $ 6,289
Receivables:
Dividends ........................................................................ 3
Investments sold ................................................................. 21
From Advisor ..................................................................... 3
Prepaid expenses .................................................................... 30
Short-term investments held as collateral for securities loaned, at market (Note 3) 1,687
---------
Total Assets .................................................................. 8,033
LIABILITIES
Payables:
Investments purchased ............................................................ $ 14
Accrued fees to affiliates and trustees (Note 4) ................................. 5
Other accrued expenses ........................................................... 3
Payable upon return of securities loaned, at market (Note 3)......................... 1,687
----------
Total Liabilities ................................................................... $ 1,709
NET ASSETS .......................................................................... $ 6,324
NET ASSETS CONSIST OF:
Undistributed net investment income (loss) .......................................... $ (3)
Accumulated net realized gain (loss) ................................................ 79
Unrealized appreciation (depreciation) on investments ............................... (142)
Shares of beneficial interest ....................................................... 1
Additional paid-in capital .......................................................... 6,389
---------
NET ASSETS .......................................................................... $ 6,324
=========
NET ASSET VALUE, offering and redemption price per share:
($6,323,589 divided by 638,812 shares of $.001 par value
shares of beneficial interest outstanding) .................................... $ 9.90
=========
</TABLE>
The accompanying notes are an integral part of the statements.
Semiannual Report 5
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Period December 30, 1998 (Commencement of
Operations) to February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest ............. ........................................ $ 5
Dividends ..................................................... 3
----------
Total Investment Income ................................... 8
EXPENSES (Notes 2 and 4):
Advisory fees ................................................. $ 8
Custodian fees ................................................ 3
Transfer agent fees ........................................... 1
Professional fees ............................................. 2
Registration fees ............................................. 7
---------
Expenses before reductions .................................... 21
Expense reductions (Note 4) ................................... (10)
---------
Expenses, net ............................................... 11
----------
Net investment income (loss) .................................... (3)
----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments ...................... 79
Net change in unrealized appreciation or depreciation of
investments .................................................... (142)
----------
Net gain (loss) on investments ................................. (63)
----------
Net increase (decrease) in net assets resulting from operations. $ (66)
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
Statement of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1998*
TO
FEBRUARY 28, 1999
(UNAUDITED)
-----------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
<S> <C>
Net investment income (loss) .......................................... $ (3)
Net realized gain (loss) .............................................. 79
Net change in unrealized appreciation or depreciation ................. (142)
--------------
Net increase (decrease) in net assets resulting from operations ... (66)
--------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share transactions
(Note 5)............................................................... 6,390
--------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS .............................. 6,324
NET ASSETS ...............................................................
Beginning of period.................................................... --
--------------
End of period (including undistributed net investment loss of $3) ..... $ 6,324
==============
</TABLE>
* Commencement of operations.
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
1999*
------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................. $ 10.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a) .................... (.01)
Net realized and unrealized gain (loss) on
investments ........................................ (.09)
------------
Total Income From Investment Operations ......... (.10)
------------
NET ASSET VALUE, END OF PERIOD ....................... $ 9.90
============
TOTAL RETURN (%)(b) .................................. (1.00)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) ........... 6,324
Ratios to average net assets (%)(c):
Operating expenses, net (d) ...................... 1.10
Operating expenses, gross (d) .................... 2.09
Net investment income ............................ (.31)
Portfolio turnover rate (%)(e) ........................ --
</TABLE>
* For the period December 30, 1998 (commencement of operations) to February
28, 1999 (Unaudited).
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the period ended February 28, 1999 are annualized.
(d) See Note 4 for current period amounts.
(e) This rate is not meaningful due to the Fund's short period of operation.
8 Semiannual Report
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. These financial statements report on one portfolio,
the SSgA Aggressive 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 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.
Semiannual Report 9
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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, 1999 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------- -------------- ---------------- ----------------
$ 6,431,000 $ 309,363 $ (451,363) $ (142,000)
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 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 t ri-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%.
10 Semiannual Report
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the period December 30, 1998 to February 28,
1999, purchases and sales of investment securities, excluding short-term
investments and futures contracts aggregated to $7,827,313 and $1,527,293,
respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements. Under the securities lending arrangement, the
collateral received is recorded on the Fund's statement of assets and
liabilities along with the related obligation to return the collateral. In
those situations where the Company has relinquished control of securities
transferred, it derecognizes the securities and records a receivable from
the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be
in an amount at least equal to 102% (for loans of U.S. securities) or 105%
(for non-U.S. securities) of the market value of the loaned securities at
the inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $1,598,788 and $1,686,697, 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 an annual rate of
.75% of its average daily net assets. The Adviser has voluntarily agreed to
reimburse the Fund for all expenses in excess of 1.10% of average daily net
assets on an annual basis. As of February 28, 1999, 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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
Semiannual Report 11
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 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% for the period May 1, 1998 to December 31,
1998, and 0% thereafter, 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 charged 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. The Fund did not incur any expenses from the Adviser, SSBSI,
RIS, Commercial Banking, and 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.
12 Semiannual Report
<PAGE>
SSGA
AGGRESSIVE EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
AFFILIATED BROKERAGE: The Fund placed a portion of its portfolio
transactions with SSBSI, an affiliated broker dealer of the Fund's Adviser.
The commissions paid to SSBSI were $3,550 for the period ended February 28,
1999.
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,
1999 WERE AS FOLLOWS:
Administration fees $ 146
Custodian fees 2,559
Distribution fees 12
Shareholder servicing fees 261
Transfer agent fees 1,568
Trustees' fees 16
----------
$ 4,562
==========
Beneficial Interest: As of February 28, 1999, two shareholder were record
owners of approximately 49% and 42%, respectively, of the total outstanding
shares of the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
FOR THE PERIOD
DECEMBER 30, 1998
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28, 1999
---------------------------
SHARES DOLLARS
----------- -----------
Proceeds from shares sold.................... 641 $ 6,410
Proceeds from reinvestment of distributions.. - -
Payments for shares redeemed................. (2) (20)
----------- -----------
Total net increase (decrease)................ 639 $ 6,390
=========== ===========
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .065% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually, is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 33 1/3 percent of the value of it's total assets under the
agreement.
Semiannual Report 13
<PAGE>
SSGA AGGRESSIVE 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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant
Treasurer and Principal Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
14 Semiannual Report
<PAGE>
SSGA(R) FUNDS
GROWTH AND INCOME FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements.............................................. 3
Financial Highlights.............................................. 8
Notes to Financial Statements..................................... 9
Fund Management and Service Providers............................. 15
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ---------
<S> <C> <C>
COMMON STOCKS - 95.8%
BASIC INDUSTRIES - 3.2%
Air Products & Chemicals, Inc. 100,000 3,213
Illinois Tool Works, Inc. 56,000 3,850
---------
7,063
---------
CAPITAL GOODS - 3.9%
Emerson Electric Co. 48,000 2,757
General Electric Co. 60,000 6,019
---------
8,776
---------
CONSUMER BASICS - 18.9%
American Home Products Corp. 40,000 2,380
Bestfoods 136,000 6,383
Bristol-Myers Squibb Co. 37,000 4,660
Cardinal Health, Inc. 52,500 3,790
Lilly (Eli) & Co. 17,000 1,610
Merck & Co., Inc. 50,000 4,087
Pfizer, Inc. 45,000 5,937
Pharmacia & Upjohn, Inc. 130,000 7,085
Philip Morris Cos., Inc. 160,000 6,260
---------
42,192
---------
CONSUMER DURABLES - 2.3%
Ford Motor Co. 85,000 5,042
---------
CONSUMER NON-DURABLES - 7.3%
Avon Products, Inc. 144,000 5,994
Dayton Hudson Corp. 38,000 2,377
Home Depot, Inc. (The) 41,000 2,447
Wal-Mart Stores, Inc. 65,000 5,615
---------
16,433
---------
CONSUMER SERVICES - 3.1%
Carnival Corp. Class A 98,000 4,361
Disney (Walt) Co. 75,000 2,639
---------
7,000
---------
ENERGY - 4.7%
Atlantic Richfield Co. 50,000 2,731
Mobil Corp. 73,000 6,073
Royal Dutch Petroleum Co. 40,000 1,755
---------
10,559
---------
FINANCE - 14.9%
American Express Co. 25,000 2,713
American General Corp. 10,000 733
American International Group, Inc. 29,250 3,333
Associates First Capital Corp.
Class A 95,442 3,877
BankAmerica Corp. 90,000 5,878
Northern Trust Corp. 68,100 6,086
Price (T. Rowe) & Associates, Inc. 75,000 2,302
Wachovia Corp. 20,000 1,701
Wells Fargo Co. 180,000 6,615
---------
33,238
---------
GENERAL BUSINESS - 4.8%
Automatic Data Processing, Inc. 150,000 5,963
McGraw-Hill, Inc. 20,000 2,189
MediaOne Group, Inc. (a) 46,500 2,534
---------
10,686
---------
TECHNOLOGY - 18.6%
Applied Materials, Inc. (a) 63,000 3,504
Cisco Systems, Inc. (a) 70,750 6,920
COMPAQ Computer Corp. 25,000 881
EMC Corp. (a) 40,000 4,095
Intel Corp. 20,000 2,399
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
GROWTH AND INCOME FUND
STATEMENT OF NET ASSETS (CONTINUED)
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ---------
<S> <C> <C>
International Business
Machines Corp. 15,000 2,550
Linear Technology Corp. 108,600 4,751
Lucent Technologies, Inc. 66,000 6,703
Microsoft Corp. (a) 49,000 7,353
Motorola, Inc. 20,000 1,405
Sun Microsystems, Inc. (a) 10,000 973
---------
41,534
---------
TRANSPORTATION - 0.7%
Burlington Northern, Inc. 50,000 1,656
---------
UTILITIES - 13.4%
Airtouch Communications, Inc. (a) 50,000 4,553
Alltel Corp. 97,000 5,808
AT&T Corp. 19,000 1,560
Century Telephone
Enterprises, Inc. 75,000 4,631
Duke Energy Corp. 98,000 5,574
Edison International 35,000 892
MCI WorldCom, Inc. (a) 70,000 5,775
TECO Energy, Inc. 60,000 1,298
---------
30,091
---------
TOTAL COMMON STOCKS
(cost $164,802) 214,270
---------
SHORT-TERM INVESTMENTS - 3.7%
AIM Short-Term Investment Prime
Portfolio Class A (b) 4,234 4,234
Federated Government
Obligations Fund (b) 4,010 4,010
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $8,244) 8,244
---------
TOTAL INVESTMENTS - 99.5%
(identified cost $173,046)(c) 222,514
OTHER ASSETS AND LIABILITIES,
NET - 0.5% 1,163
---------
NET ASSETS - 100.0% 223,677
=========
</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.
4 Semiannual Report
<PAGE>
SSGA
GROWTH AND INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investments at market (identified cost $173,046)(Note 2)......... $ 222,514
Receivables:
Dividends....................................................... 365
Investments sold................................................ 213
Fund shares sold................................................ 1,104
Short-term investments held as collateral for securities
loaned, at market (Note 3)...................................... 40,868
---------
Total Assets.................................................. 265,064
LIABILITIES
Payables:
Investments purchased........................................... $ 80
Fund shares redeemed............................................ 66
Accrued fees to affiliates and trustees (Note 4)................ 343
Other accrued expenses.......................................... 30
Payable upon return of securities loaned, at market
(Note 3)........................................................ 40,868
---------
Total Liabilities............................................. 41,387
---------
NET ASSETS....................................................... $ 223,677
=========
NET ASSETS CONSIST OF:
Undistributed net investment income.............................. $ 213
Accumulated net realized gain (loss)............................. 4,448
Unrealized appreciation (depreciation) on investments............ 49,468
Shares of beneficial interest.................................... 11
Additional paid-in capital....................................... 169,537
---------
NET ASSETS....................................................... $ 223,677
=========
NET ASSET VALUE, offering and redemption price per share:
($223,676,923 divided by 10,514,319 shares of $.001 par value
shares of beneficial interest outstanding).................... $ 21.27
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 5
<PAGE>
SSGA
GROWTH AND INCOME FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 1,250
Interest.......................................................... 6
---------
Total Investment Income......................................... 1,256
EXPENSES (Notes 2 and 4):
Advisory fees..................................................... $ 718
Administrative fees............................................... 30
Custodian fees.................................................... 21
Distribution fees................................................. 54
Transfer agent fees............................................... 24
Professional fees................................................. 8
Registration fees................................................. 31
Shareholder servicing fees........................................ 100
Trustees' fees.................................................... 2
Miscellaneous..................................................... 3
---------
Expenses before reductions........................................ 991
Expense reductions (Note 4)....................................... (137)
---------
Expenses, net................................................... 854
---------
Net investment income.............................................. 402
---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments.......................... 4,744
Net change in unrealized appreciation or depreciation of
investments........................................................ 37,470
---------
Net gain (loss) on investments..................................... 42,214
---------
Net increase (decrease) in net assets resulting from operations. $ 42,616
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
GROWTH AND INCOME FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income........................................ $ 402 $ 563
Net realized gain (loss)..................................... 4,744 16,224
Net change in unrealized appreciation or
depreciation................................................. 37,470 (12,525)
----------------- ---------------
Net increase (decrease) in net assets resulting
from operations............................................ 42,616 4,262
----------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income........................................ (355) (530)
Net realized gain on investments............................. (16,521) (7,384)
----------------- ---------------
Total Distributions to Shareholders........................ (16,876) (7,914)
----------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund
share transactions (Note 5).................................. 86,311 43,542
----------------- ---------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS................... 112,051 39,890
NET ASSETS
Beginning of period.......................................... 111,626 71,736
----------------- ---------------
End of period (including undistributed net investment income
of $213 and $166, respectively)............................ $ 223,677 $ 111,626
================= ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
GROWTH AND INCOME FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
----------------------------------------------------
1999* 1998 1997 1996 1995 1994**
-------- -------- --------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD..................... $ 18.10 $ 18.08 $ 13.36 $ 11.95 $ 10.51 $ 10.00
-------- -------- --------- -------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income (a).... .05 .11 .12 .15 .18 .15
Net realized and
unrealized gain (loss)
on investments............. 5.57 1.83 5.18 1.46 1.44 .47
-------- -------- --------- -------- --------- ---------
Total Income From
Investment Operations.... 5.62 1.94 5.30 1.61 1.62 .62
-------- -------- --------- -------- --------- ---------
DISTRIBUTIONS:
Net investment income........ (.05) (.11) (.14) (.16) (.18) (.11)
Net realized gain on
investments................ (2.40) (1.81) (.44) (.04) -- --
-------- -------- --------- -------- --------- ---------
Total Distributions........ (2.45) (1.92) (.58) (.20) (.18) (.11)
-------- -------- --------- -------- --------- ---------
NET ASSET VALUE, END OF
PERIOD........................ $ 21.27 $ 18.10 $ 18.08 $ 13.36 $ 11.95 $ 10.51
======== ======== ========= ======== ========= =========
TOTAL RETURN (%)(b)........... 33.39 10.93 40.95 13.57 15.66 6.23
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
($000 omitted)............. 223,677 111,626 71,736 55,823 43,884 26,747
Ratios to average net assets
(%)(c):
Operating expenses, net
(d)...................... 1.01 .95 .95 .95 .95 .95
Operating expenses,
gross (d)................ 1.17 1.14 1.21 1.40 1.61 1.44
Net investment income...... .48 .57 .82 1.15 1.72 1.75
Portfolio turnover rate
(%)(c)..................... 49.83 66.44 29.88 38.34 39.32 36.48
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period September 1, 1993 (commencement of operations) to August 31,
1994.
(a) For the period ended February 28, 1999, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1994 are
annualized.
(d) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSGA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. 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.
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 fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be
Semiannual Report 9
<PAGE>
SSGA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ ------------- -------------
<S> <C> <C> <C>
$173,341,963 $88,626,315 $ (39,454,278) $49,172,037
</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.
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments
aggregated to $102,242,166, and $41,175,910, respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to
loan securities with a value up to 33 1/3% of its total assets to certain
10 Semiannual Report
<PAGE>
SSGA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements. Under the securities lending arrangement, the
collateral received is recorded on the Fund's statement of assets and
liabilities along with the related obligation to return the collateral. In
those situations where the Company has relinquished control of securities
transferred, it derecognizes the securities and records a receivable from
the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be
in an amount at least equal to 102% (for loans of U.S. securities) or 105%
(for non-U.S. securities) of the market value of the loaned securities at
the inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $39,345,950 and $40,867,967, 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 period September 1, 1998 to
December 31 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 January 1, 1999, the Adviser voluntarily agreed to reimburse
the Fund for all expenses in excess of 1.10% of average daily net asset on
an annual basis. As of February 28, 1999, 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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 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
Semiannual Report 11
<PAGE>
SSGA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
sum of certain distribution-related expenses incurred by the Investment
Company's Distributor on behalf of the Fund (up to a maximum of 10%, for
the period September 1, 1997 to December 31, 1997, up to a maximum of 5%
for the period January 1, 1998 to December 31, 1998 and 0% thereafter, 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 charged 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 period ended February 28, 1999, the Fund was charged
shareholder servicing expenses of $21,098, $4,458, $3,537, $2,075, and
$41,724 by 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, 1998.
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 $103,745, for the period ended February
28, 1999.
12 Semiannual Report
<PAGE>
SSGA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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, 1999
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $272,073
Administration fees 9,822
Custodian fees 6,427
Distribution fees 1,332
Shareholder servicing fees 41,831
Transfer agent fees 11,004
Trustees' fees 818
--------
$343,307
========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, two shareholders (one of
which was also an affiliate of the Investment Company) were record owners
of approximately 26% and 20%, respectively, of the total outstanding shares
of the Fund.
Semiannual Report 13
<PAGE>
SSGA
GROWTH AND INCOME FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIOD ENDED
------------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
---------------------- -----------------------
SHARES DOLLARS SHARES DOLLARS
--------- ---------- --------- ------------
<S> <C> <C> <C> <C>
Proceeds from shares sold................... 4,511 $ 91,916 2,967 $ 59,090
Proceeds from reinvestment of distributions. 883 15,783 429 7,666
Payments for shares redeemed................ (1,048) (21,388) (1,196) (23,214)
--------- ---------- --------- ------------
Total net increase (decrease)............... 4,346 86,311 2,200 $ 43,542
========= ========== ========= ============
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .065% on the average daily unused amount of the
Aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually, is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 33 1/3 percent of the value of its total assets under the
agreement.
7. DIVIDENDS
On March 1, 1999, the Board of Trustees declared a dividend of $.0201 from
net investment income, payable on March 5, 1999 to shareholders of record
on March 2, 1999.
14 Semiannual Report
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 15
<PAGE>
SSGA(R) FUNDS
EMERGING MARKETS FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements............................................. 3
Financial Highlights............................................. 20
Notes to Financial Statements.................................... 21
Fund Management and Service Providers............................ 28
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
----------- ----------
<S> <C> <C>
COMMON STOCKS - 85.5%
ARGENTINA - 2.4%
Acindar Industria Argentina de
Aceros SA Class B 220,257 188
Alpargatas (a) 728,007 69
Banco de Galicia 191,139 602
Celulosa Argentina (a) 232,719 29
Dalmine Siderca SA 313,796 276
Ledesma 359,967 176
Naviera Perez Companc Class B 233,690 951
Siderar SA Series A 24,252 36
Telecom Argentina Class B 114,329 616
Telefonica de Argentina Class B 200,250 585
YPF SA Class D 81,002 2,359
----------
5,887
----------
BRAZIL - 3.6%
Centrais Eletricas Brasileiras
SA NPV 117,675,000 1,532
Centrais Geradoras do Sul do
Brasil SA NPV (a) 66,847,000 34
Companhia Cervejaria
Brahma NPV 2,263,200 660
Companhia de Saneamento Basico do
Estado de Sao Paulo NPV 4,850,000 193
Companhia Siderurgica de Tubarao
NPV 13,300,000 36
Embratel Participacoes SA (a) 136,572,192 908
Santista Alimentos SA NPV (a) 56,288 13
Sider Nacional cia NPV 42,228,700 376
Souza Cruz NPV 133,000 833
Tele Celular Sul Participacoes SA
NPV 136,572,192 131
Tele Centro Oeste Celular
Participacoes SA NPV 136,572,192 91
Tele Centro Sul Participacoes SA
NPV (a) 136,572,192 510
Tele Leste Celular Participacoes
SA NPV 136,572,192 46
Tele Nordeste Celular
Participacoes SA NPV 136,572,192 86
Tele Norte Celular Participacoes
SA NPV 136,572,192 53
Tele Norte Leste Participacoes SA
NPV (a) 136,572,192 665
Tele Sudeste Celular Participacoes
SA NPV 136,572,192 240
Telecomunicacoes
Brasileiras NPV 136,572,192 14
Telecomunicacoes de Sao Paulo SA
NPV 3,500,000 192
Telemig Celular Participacoes SA
NPV (a) 136,572,192 99
Telesp Celular Participacoes
SA NPV 136,572,192 578
Telesp Participacoes SA NPV 159,436,192 1,390
----------
8,680
----------
CHILE - 3.2%
Banco de A. Edwards
Series A - ADR (a) 12,200 133
Banco Santander Chile
Series A - ADR 34,800 498
Chile Fund, Inc. 130,700 1,209
Chilquinta SA - ADR 4,550 42
Compania de Telecomunicaciones
de Chile SA - ADR 88,300 1,954
Embotelladora Andina SA Series A-
ADR 51,000 666
Enersis SA - ADR 56,100 1,367
Five Arrows Chile Investment Trust
(PTG)(a) 550,000 952
Gener SA - ADR 31,300 470
Laboratorio Chile SA - ADR 4,450 59
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
----------- ----------
<S> <C> <C>
Madeco SA - ADR 22,700 156
Santa Isabel SA - ADR 2,725 21
Sociedad Quimica Y Minera de Chile
SA - ADR 4,800 144
Vina Concha Y Toro SA - ADR 4,800 137
----------
7,808
----------
CHINA - 0.8%
Beijing Yanhua Petrochemical Co.,
Ltd. Class H 1,330,000 89
Beiren Printing Class H 60,000 3
China International Marine
Containers, Ltd. Series B 110,000 36
China Shipping Development Co.,
Ltd. Class H (a) 1,509,000 99
China Telecom
(Hong Kong), Ltd. - ADR (a) 5,700 201
Dong Fang Electric
Machinery, Ltd. Class H 64,000 3
Eastern Communications Co., Ltd.
Class B (a) 240,000 88
Guangshen Railway
Company, Ltd. 34,000 191
Guangzhou Shipyard Class H 122,000 5
Harbin Power Equipment
Class H 316,000 14
Huaneng Power International, Inc.
Series N - ADR (a) 23,900 209
Jilin Chemical
Industrial Co., Ltd. Class H 166,000 8
Luoyang Glasswork Class H (a) 268,000 6
Maanshan Iron & Steel
Class H (a) 2,662,000 91
Quingling Motors Co.
Class H 837,000 104
Shandong Huaneng Power Co., Ltd.
Series N - ADR 16,500 59
Shanghai Dazhong Taxi
Class B (a) 264,000 91
Shanghai Lujiazui Finance and
Trade Zone Development Co., Ltd.
Class B (a) 645,000 187
Shanghai
Petrochemical Co., Ltd. 15,000 122
Tan Chong International, Ltd. 3,213,000 307
Tsingtao Brewery Class H (a) 151,000 13
Wuxi Little Swan Co., Ltd. Series
B 101,160 39
Yizheng Chemical Fibre
Class H (a) 1,308,000 89
Zhenhai Refining & Chemical Co.,
Ltd. Series H 110,000 13
----------
2,067
----------
COLOMBIA - 2.7%
Banco de Bogota NPV 219,166 630
Banco Ganadero SA
Class B - ADR 38,100 667
Banco Industrial Colombiano 606,126 422
Bancolombia SA - ADR 21,000 81
Bavaria 382,470 1,589
Cementos Argos 384,231 835
Cementos Diamante SA - GDR 49,300 276
Cia Nacional de Chocolates 199,007 585
Coltabaco SA 249,614 447
Promigas SA 64,354 241
Suramericana de Inversiones SA 108,100 152
Valores Bavaria SA 482,100 554
----------
6,479
----------
EGYPT - 2.6%
Al Watany Bank of Egypt 13,000 173
Ameriyah Cement Co. 16,400 300
Commercial International Bank 31,070 338
Eastern Tobacco 9,800 288
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
EFG Hermes Securities Brokerage
SAE - GDR (a) 7,300 89
Egypt American Bank 12,600 194
Egypt International Pharmaceutical
Industries Co. 4,700 269
Helwan For Cement 12,200 226
Madinet NASR for Housing &
Development 6,270 226
MISR Elgadida for Housing and
Reconstruction 5,100 307
MISR International Bank
SAE - GDR 50,400 670
MISR International Bank
SAE - GDR (144A)(a) 125,500 1,694
National Societe Generale Bank 19,625 396
Paints & Chemicals
Industries Co. SAE 9,900 226
Suez Cement Co. - GDR (a) 22,700 397
Suez Cement Co. - GDR (144A) 22,700 400
---------
6,193
---------
ESTONIA - 0.2%
Estonian Telecom, Ltd.
Class A - GDR (a) 22,221 467
---------
GREECE - 8.5%
Aegek SA 61,420 524
Alpha Leasing SA (Regd) 19,946 354
Aluminum Co. of Greece Industrial
and Commercial (Regd) 3,420 252
Commercial Bank
of Greece (Regd) 15,192 1,868
Credit Bank (Regd) 16,200 1,862
Ergo Bank (Regd) 17,212 1,399
Ergo Bank SA Rights (a) 13,240 149
ETBA Leasing SA (Regd)(a) 45,180 525
Hellenic Bottling 33,840 1,130
Hellenic Petroleum SA (a) 88,562 798
Hellenic Telecommunication
Organization SA 66,931 1,765
Heracles General Cement Co. 19,300 488
Intracom SA (a) 9,460 666
Ionian Bank SA (Regd)(a) 3,060 179
Loulis Flour Mills SA (Regd) 59,237 358
Michaniki SA 93,480 814
Naoussa Spinning Mills 41,790 878
National Bank of Greece (Regd) 65,028 4,761
Nikas SA 49,280 805
Panafon Hellenic
Telecom SA (a) 2,421 77
Petzetakis SA (a) 27,450 218
Shelman SA 26,130 273
Strintzis Shipping 59,560 334
Titan Cement Co. 3,160 246
---------
20,723
---------
HUNGARY - 4.0%
BorsodChem Rt. 4,600 84
Danubius Hotel (Regd)(a) 9,935 187
Egis Gyogyszergyar 5,743 99
Magyar Olaj Es Gas 74,264 1,821
Magyar Tavkozlesi Rt. (Regd) 965,777 5,288
Mol Magyar Olaj-Es
Gazipari Rt. - GDS 10,300 250
OTP Bank Rt. 25,458 1,015
Pick Szeged - Rt. 6,902 205
Richter Gedeon, Ltd. 7,493 255
Richter Gedeon, Ltd. - GDR 6,300 214
Tisza Vegyi Kombinat Rt. 26,731 282
---------
9,700
---------
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
INDIA - 2.2%
Andhra Valley Power
Supply Co., Ltd. (a) 74,200 90
Arvind Mills, Ltd. 34,300 31
Bajaj Auto, Ltd. (a) 18,800 214
Bharat Heavy
Electricals, Ltd. (a) 34,200 192
Bharat Petroleum Corp., Ltd. 18,400 91
Bombay Fund NPV (a) 147,223 916
CESC, Ltd. 123,300 81
Crompton Greaves, Ltd. (a) 51,500 45
Dr. Reddy's Laboratories, Ltd. 5,500 75
Finolex Cables, Ltd. (a) 28,700 174
Gujarat State Fertilisers &
Chemicals, Ltd. (a) 72,200 63
Hindustan Lever, Ltd. 25,600 1,099
Industrial Development
Bank of India, Ltd. 124,100 93
ITC, Ltd. (a) 27,400 496
Madras Refineries, Ltd. (a) 105,300 85
Mahanagar Telephone
Nigam, Ltd. 25,100 94
Mahindra & Mahindra, Ltd. 12,500 69
Reliance Industries, Ltd. 96,200 318
Reliance Industries, Ltd. -
GDS (a) 50,000 338
State Bank of India 28,100 96
Tata Engineering &
Locomotive Co., Ltd. 72,850 311
Tata Iron and Steel Co., Ltd. 64,700 191
Videsh Sanchar Nigam, Ltd. 16,900 274
---------
5,436
---------
ISRAEL - 4.9%
Africa - Israel Investments, Ltd. 1,251 555
Agis Industries Ltd. (a) 96,600 472
Bank Hapoalim, Ltd. 520,636 1,009
Bank Leumi Le-Israel 512,518 764
Bezeq Israeli Telecommunication
Corp., Ltd. (a) 189,650 663
Clal Industries, Ltd. 121,344 588
Clal Israel, Ltd. 23,070 505
Dead Sea Works, Ltd. 355 1
Delek Israel Fuel Corp., Ltd. 22,118 607
Dor Energy 1988, Ltd. -
ADR (a) 33,820 103
ECI Telecom, Ltd. 29,100 1,068
Elco Holdings, Ltd. 134,240 700
Electric Wire & Cable 14,000 40
Electrochemical Industries 1952,
Ltd. (a) 39,713 27
IDB Development Corp., Ltd. 5,780 130
Industrial Buildings Corp. 112,496 139
Koor Industries 13,135 1,267
Leumi Insurance Holdings 178,080 99
Makhteshim-Agan
Industries, Ltd. (a) 310,584 657
Osem Investment, Ltd. 93,925 421
Supersol, Ltd. 220,551 560
Teva Pharmaceutical
Industries, Ltd. - ADR 36,800 1,489
---------
11,864
---------
MALAYSIA - 0.3% (f)
Amalgamated Steel Mills 546,000 46
Faber Group Berhad (a) 445,600 41
IGB Corp. Berhad 450,000 105
Lion Land Berhad 154,000 15
Tan Chong Motor Holdings 824,000 201
Westmont Industries Berhad (a) 1,219,000 243
---------
651
---------
</TABLE>
6 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
MEXICO - 12.9%
Alfa SA de CV Class A NPV 211,662 522
Altos Hornos de Mexico
SA - NPV (a) 499,000 412
Apasco SA de CV NPV 50,000 221
Carso Global Telecom
Series A1 NPV 597,000 2,554
Cemex SA de CV Class B NPV 331,737 1,024
Cemex SA de CV NPV 248,072 713
Cifra SA de CV
Series V NPV (a) 1,618,661 2,086
Controladora Comercial Mexicana SA
de CV NPV 842,000 704
Corporacion GEO, SA de CV Series B
NPV (a) 94,000 249
Cydsa SA Series A NPV 356,000 362
Desc SA de CV NPV 444,655 416
Desc Sociedad de Fomento
Industrial SA de CV
Series B NPV 731,000 698
Embotelladora Argos SA NPV 573,000 635
Empresa Nacional de
Electric - ADR 103,450 1,306
Empresas ICA Sociedad Controladora
SA de CV NPV 362,000 277
Empresas La Moderna SA de CV NPV
(a) 158,000 929
Fomento Economico Mexicano, SA de
CV Series B - ADR 19,400 510
Grupo Carso Series A NPV 284,000 946
Grupo Casa Autrey
SA de CV NPV 360,000 214
Grupo Cementos Chihuahua Series B
NPV 633,000 382
Grupo Continental SA 299,500 745
Grupo Financiero Banamex Accival
Series B NPV (a) 368,000 563
Grupo Financiero Bancomer Series B
NPV 1,662,000 393
Grupo Gigante SA
Series B NPV (a) 2,359,000 689
Grupo Herdez SA Class B NPV 1,408,000 451
Grupo Industrial Bimbo SA de CV
Series A NPV 382,000 761
Grupo Industrial Maseca
Series B NPV 482,000 412
Grupo Mexico SA Series B NPV 294,108 810
Grupo Modelo SA de CV
Series C NPV 288,000 641
Grupo Posadas SA
Series A NPV (a) 680,000 260
Grupo Simec SA de CV
Series B NPV (a) 620,000 32
Grupo Televisa SA NPV (a) 78,000 1,072
Industrias Penoles SA NPV 80,000 240
Kimberly-Clark, Mexico
Class A NPV 402,000 1,244
Organizacion Soriana SA de CV
Series B NPV 185,000 576
Sanluis Corporacion SA de
CV - CPO (Units) 202,000 228
Telefonos de Mexico SA
Series L - ADR 67,800 3,877
Telefonos de Mexico SA
Series L NPV 825,900 2,345
Tubos de Acero de Mexico
SA NPV 32,000 207
TV Azteca SA de CV - ADR 7,500 39
Vitro SA NPV 279,000 423
---------
31,168
---------
MOROCCO - 0.6%
Banque Marocaine Du
Commerce Exterieur - GDR 52,500 1,339
---------
</TABLE>
Semiannual Report 7
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
$
--------- ---------
PAKISTAN - 0.7% (f)
Crescent Textile Mills 49,722 9
Dandot Cement Co. (a) 35,000 1
Dewan Salmon Fibre (a) 27,451 9
Engro Chemical 106,288 177
Fauji Fertilizer 290,800 251
Hub Power Co. - GDR 1,360,800 341
Ici Pakistan (a) 1,244,000 198
Pakistan State Oil 113,163 147
Pakistan Telecom Corp.
Series A 1,466,400 508
Sui Northern Gas Pipelines (a) 162,958 30
Sui Southern Gas Co., Ltd. (a) 467,154 84
---------
1,755
---------
PERU - 0.5%
Banco Wiese 80,610 47
Banco Wiese - ADR 9,100 21
Cementos Lima SA 3,989 52
Cementos Norte Pacasmayo SA
Series T 31,151 28
Cerveceria Backus &
Johnston SA 230,470 84
Compania de Minas Buenaventura
Series B - ADR 6,400 86
Credicorp, Ltd. 46,200 407
Minas Buenaventura Series B 16,600 113
Minsur SA 55,599 97
Telefonica Del Peru SA
Class B - ADR 30,500 360
---------
1,295
---------
PHILIPPINES - 1.6%
Aboitiz Equity Ventures (a) 4,918,500 174
Alsons Cement Corp. 656,250 108
Ayala Corp. 706,570 231
Belle Corporation (a) 2,233,200 110
C & P Homes, Inc. (a) 1,071,000 18
EEI Corp. (a) 840,800 27
Far East Bank & Trust Co. 90,200 115
Filinvest Development Corp. (a) 463,100 22
Filinvest Land (a) 1,598,000 129
JG Summit Holdings, Inc.
Series B (a) 2,197,300 169
Manila Electric Co. Class B 118,980 370
Metro Pacific Corp. Class A (a) 1,042,720 51
Metropolitan Bank & Trust Co. 37,406 269
Petron Corp. 1,405,040 173
Philippine Long Distance Telephone
Co. - ADR 38,200 907
Robinson's Land Corp.
Class B (a) 2,264,400 128
San Miguel Corp. Class B 197,220 324
Security Bank Corp. (a) 254,686 98
SM Prime Holdings 1,309,900 252
Universal Robina 657,100 83
---------
3,758
---------
POLAND - 1.7%
Agora SA - GDR (a) 4,300 48
Bank Handlowy W. Warszawie 50,170 496
Bank Rozwoju Eksportu SA 17,225 293
Bank Slaski SA 7,750 338
Big Bank Gdanski SA 413,926 310
Debica SA 42,707 541
Elektrim Spolka Akcyjna SA 47,285 487
Exbud SA (a) 17,362 129
KGHM Polska Miedz SA 66,635 238
KGHM Polska Miedz SA - GDR 9,000 64
Okocimskie Zaklady Piwowarskie SA
(a) 52,468 279
Prokom Software SA 8,065 256
8 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
$
-------- ---------
Telekomunikacja Polska SA Series A
- GDR (a) 119,973 623
WBK 21,500 111
---------
4,213
---------
PORTUGAL - 1.7%
Banco Comercial Portuguese
SA (Regd) 37,471 1,128
BPI-SGPS SA (Regd) 6,183 215
Cimpor Cimentos de Portugal 4,900 137
Corticeira Amorim SGPS 6,600 82
Electricidade de Portugal SA 25,450 550
Jeronimo Martins SGPS SA (a) 17,433 712
Portugal Telecom SA 8,500 417
Sonae Investimentos SA 4,300 166
Soporcel-Sociedade Portuguesa de
Celulose SA (a) 12,900 167
Telecel-Comunicacaoes Pessoaissa 2,900 514
---------
4,088
---------
RUSSIA - 1.2%
AO Tatneft - ADR 21,000 38
Lukoil Oil Co. - ADR 54,200 1,138
Megionneftegaz (Regd)(a) 24,300 2
Mosenergo - ADR 95,100 185
Surgutneftegaz - ADR 256,400 1,269
Unified Energy Systems - GDR 83,400 364
---------
2,996
---------
SOUTH AFRICA - 10.7%
AECI, Ltd. 516,502 742
Amalgamated Banks
of South Africa 262,867 1,146
Anglo America Corp. SA 64,632 2,016
AngloGold, Ltd. 30,542 1,115
Anglovaal Industrial
Holdings, Ltd. (a) 79,000 320
Anglovaal Mining, Ltd. 79,000 293
Barlow, Ltd. 51,300 237
Bidvest Group, Ltd. 195,306 1,508
Billiton PLC 123,712 266
De Beers Centenary AG 98,644 1,701
Del Monte Royal Food, Ltd. (a) 1,008,639 340
Dimension Data
Holdings, Ltd. (a) 112,600 458
Edgars Stores, Ltd. 3,931 17
FirstRand, Ltd. 573,700 607
Foschini, Ltd. (a) 269,200 522
Gencor, Ltd. 492,200 1,129
Gold Fields
of South Africa, Ltd. 179,000 283
Impala Platinum Holdings, Ltd. 34,600 621
Investec Group, Ltd. 37,400 1,434
Iscor 3,094,551 530
Liberty Life Association
of Africa 139,900 1,927
Liberty Life Strategic 92,707 206
Murray & Roberts
Holdings, Ltd. 160,000 54
Nedcor, Ltd. 62,600 1,268
Persetel Holdings, Ltd. 97,500 764
Rembrandt Group, Ltd. 272,894 1,789
Reunert, Ltd. 527,500 647
RMB Holdings, Ltd. 109,300 180
Safmarine & Rennies
Holdings, Ltd. 260,400 147
Sanlam, Ltd. (a) 516,370 369
Sappi, Ltd. 189,132 675
Sasol NPV 151,646 591
South African Breweries 53,752 781
Standard Bank Investment
Corporation, Ltd. 196,500 558
Sun International
(South Africa), Ltd. 695,000 84
9 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
$
-------- ---------
Tiger Oats, Ltd. 44,400 381
Tongaat-Hulett Group, Ltd. 34,819 199
---------
25,905
---------
SOUTH KOREA - 9.0%
Daewoo Corp. (a) 165,920 424
Daewoo Electronics Co. (a) 60,000 265
Daewoo Heavy Industries (a) 65,000 219
Daewoo Securities (a) 50,000 580
Dongwon Securities 18,590 243
Hana Bank 46,000 429
Hanjin Heavy Industries (a) 40,000 163
Hansol Paper Co. (a) 55,827 516
Housing & Commercial Bank, Korea
(a) 38,000 589
Hyundai Merchant Marine (a) 56,330 698
Hyundai Merchant Marine Rights (a) 18,695 53
Hyundai Motor Co., Ltd. (a) 21,000 290
Isu Chemical Co., Ltd. (a) 31,840 385
Kookmin Bank 85,179 578
Koram Bank 38,000 239
Korea Chemical Co., Ltd. (a) 9,500 443
Korea Electric Power Corp. (a) 97,000 2,291
Korea Telecom Corp. (a) 24,000 706
LG Cable & Machinery 44,000 349
LG Chemical, LTD. 33,000 359
LG Electronics 76,000 767
LG Securities (a) 27,000 253
LG Securities Rights (a) 6,399 12
Namhae Chemical Corp. (a) 24,540 644
Nong Shim Co., Ltd. 9,950 500
Pohang Iron &
Steel Co., Ltd. (a) 18,540 964
Pohang Iron &
Steel Co., Ltd. - ADR 17,000 266
Samsung Display
Devices Co. (a) 14,170 573
Samsung Electronics, Ltd. (a) 42,665 3,006
Samsung Fire & Marine Insurance 2,000 638
Samsung Heavy Industries (a) 120,400 529
Seoul Horizon Trust (a) 5,000 33
Shinsegae Department
Store Co. (a) 32,820 676
Sindo Ricoh Co. (a) 18,070 576
SK Telecommunications Co., Ltd.
(a) 1,192 917
Ssangyong Cement Co., Ltd. (a) 75,021 462
Ssangyong Oil
Refining Co., Ltd. (a) 38,430 553
Tae Kwang Industry Co. (a) 900 268
Taehan Electric Wire Co. 60,000 335
---------
21,791
---------
SRI LANKA - 1.1%
Aitken Spence & Co., Ltd. 117,200 167
Asian Hotel Corp. (a) 176,200 16
Blue Diamond Jewel NPV (a) 260,136 4
Central Finance Co. 25,600 66
Colombo Dockyards, Ltd. 114,700 32
Development Finance Corp.
of Ceylon 393,866 660
Hayleys, Ltd. 162,522 295
John Keells Holdings, Ltd. 431,343 1,204
Lanka Ceramic (a) 46,300 10
Lanka Milk Food (a) 21,600 2
Lanka Orix Leasing Co., Ltd. 14,880 11
Merchant Bank of Sri Lanka (a) 162,800 11
National Development
Bank, Ltd. 94,000 165
Richard Pieris & Co., Ltd. 2,260 2
United Motor 32,160 14
---------
2,659
---------
TAIWAN - 2.3%
Acer, Inc. (a) 164,790 185
10 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
$
--------- ---------
Ambassador Hotel (a) 244,755 139
Cathay Life Insurance 159,336 527
Chia Hsin Flour (a) 32,320 10
China Development Corp. (a) 269,325 436
China Petrochemical
Development Corp. (a) 385,526 184
China Rebar (a) 26,205 8
China Steel Corp. (a) 561,495 312
Ensure Co., Ltd. (a) 125,840 51
Far Eastern Textile 386,861 294
Hua Nan Bank 235,078 416
Hualon Teijran (a) 29,184 7
Kao Hsing Chang Iron &
Steel (a) 18,711 8
Kwong Fong Industries (a) 20,556 7
Lealea Enterprise (a) 31,861 10
Lite-On Electronics, Inc. 175,200 278
Pacific Construction (a) 359,316 103
Pacific Electrical Wire &
Cable (a) 508,050 276
Prince Housing Development (a) 16,464 5
Taipei Business Bank (a) 68,315 74
Taiwan Semiconductor
Manufacturing Co. (a) 301,600 807
Tatung Co., Ltd. 567,260 530
Teco Electric & Machinery (a) 414,160 313
Tuntex Distinct 926,513 204
Walsin Lihwa Wire (a) 767,032 306
Yue Loong Motor 23,940 31
Yuen Foong Yu
Manufacturing (a) 17,405 7
---------
5,528
---------
THAILAND - 0.9%
Advanced Information Services
(Alien Market) 41,200 287
Bangchak Petroleum (a) 70,300 11
Bangkok Bank
(Alien Market)(a) 73,100 123
Bangkok Expressway PLC (Alien
Market)(a) 178,200 132
Bangkok Metropolitan Bank PLC
(Alien Market)(a) 1,052 73
Bank of Ayudhya
(Alien Market)(a) 67,150 20
Cogeneration PLC
(Alien Market)(a) 26,200 15
Electricity Generating PLC (Alien
Market)(a) 101,100 219
Finance One Public Co., Ltd.
(Alien Market)(a)(e) 158,300 --
First Bangkok City Bank PLC (Alien
Market)(a) 305,900 8
Industrial Finance Corp. of
Thailand (Alien Market) 135,800 37
Karat Sanitaryware PLC
(Alien Market)(a) 39,150 4
Krung Thai Bank PLC
(Alien Market)(a) 312,800 136
National Finance & Securities
(Alien Market)(a) 122,200 34
National Petrochemical PLC (Alien
Market)(a) 46,800 19
PTT Exploration & Production PLC
(Alien Market)(a) 26,300 172
Saha Union Corp. PLC
(Alien Market) 105,800 42
Shinawatra Computer Co., Ltd.
(Alien Market)(a) 21,600 60
Shinawatra Computer
Company, Ltd. Rights
(Alien Market)(a) 21,600 51
Shinawatra Satellite PLC
(Alien Market)(a) 66,700 33
Siam Cement Co.
(Alien Market)(a) 10,300 213
Semiannual Report 11
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
$
--------- ---------
Siam City Bank Public Co., Ltd.
(Alien Market)(a) 46,720 4
Siam Commercial Bank PLC (Alien
Market)(a) 79,200 33
TelecomAsia (Alien Market)(a) 467,800 226
Thai Airways International (Alien
Market)(a) 58,500 77
Thai Farmers Bank
(Alien Market)(a) 26,800 45
Thai Petrochemical Industry PLC
(Alien Market)(a) 686,900 109
Thai Telephone & Communication Co.
(Alien Market)(a) 409,900 55
Tipco Asphalt
Public Co., Ltd. (a) 17,100 30
Unicord PLC
(Alien Market)(a)(e) 348,600 --
United Communications Industries
(Alien Market)(a) 68,000 45
Univest Land PLC
(Alien Market)(a)(e) 281,600 --
---------
2,313
---------
TURKEY - 3.9%
Akbank 23,546,088 638
Aselsan Elektronik Sanayi Ve
Ticaret AS (a) 11,523,000 276
Cukurova Elektrik AS 240,000 305
Dogan Sirketler Grubu
Holding AS 50,953,000 489
Eczacibasi Ilac Sanayii ve Ticaret
AS (a) 4,126,000 192
Erciyas Biracilik Ve Malt Sanayii
AS 652,000 48
Eregli Demir Ve Celik Fabrikalari
(a) 2,951,000 32
Eregli Demir Ve Celik Fabrikalari
T.A.S. (a) 11,804,000 117
Eregli Demir Ve Celik Fabrikalari
T.A.S. Rights (a) 2,951,000 13
Haci Omer Sabanci Holding AS 50,588,000 1,185
Izmir Demir Celik
Sanayii AS (a) 27,929,090 53
Kepez Elektrik 193,000 207
Koc Holding AS 5,601,000 640
Mardin Cimento
Sanayii Ve Ticaret 10,235,000 194
Migros 373,000 484
Petrokimya Holdings 805,000 551
Raks Elektronik Sanayi ve Ticaret
AS (a) 10,710,000 88
T Sise Cam 14,141,212 192
Tofas Turk Otomobil
Fabrikasi (a) 12,735,450 133
Turk Hava Yollari A.O. (a) 2,860,000 155
Turkiye Garanti Bankasi AS (a) 18,300,000 671
Turkiye Is Bankasi 53,020,500 1,981
Yapi ve Kredi Bankasi AS 40,390,140 706
---------
9,350
---------
VENEZUELA - 1.3%
Banco Provincial SA 200,000 209
Banco Venezolano de Credito 31,126 141
Companhia Anonima Nacional
Telefonos de Venezuela - ADR 31,300 487
Corporacion Venezolana de Cementos 123,780 52
Electricidad de Caracas (Regd) 4,746,469 1,453
F.V.I. Fondo de Valores
Inmobiliarios S.A.C.A. Series B 2,750,410 43
Manufacturas de Papel CA 2,567,930 58
Mavesa SA 4,130,085 221
Semiannual Report 12
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
NUMBER MARKET
OF VALUE
SHARES (000)
$
----------- ---------
Siderurgica Venezolana Sivensa
S.A.C.A. - ADR 22,600 54
Venezolana de Cementos S.A.C.A. 928,351 379
---------
3,097
---------
TOTAL COMMON STOCKS
(cost $267,063) 207,210
---------
PREFERRED STOCKS - 5.6%
BRAZIL - 5.2%
Acos Villares SA NPV (a) 1,000,000 24
Banco Bradesco SA NPV 217,521,056 858
Banco do Estado de Sao Paulo NPV 45,123,600 1,196
Banco Itau SA NPV 3,083,000 1,062
Banco Nacional SA NPV (a)(e) 19,600,000 --
Caemi Mineracao e Metalurgia SA
NPV 8,192,000 160
Ceval Alimentos SA NPV (a) 61,288,800 108
Ceval Participacoes (a) 30,450,000 37
CIA Energetica De Minas Gerais 48,571,544 627
Companhia Energetica de Sao Paulo
NPV 38,683,800 432
Companhia Siderurgica
Belgo-Mineira NPV 15,306,000 260
Companhia Siderurgica de Tubarao 42,175,232 142
Companhia Vale Do Rio Doce Series
A NPV 158,765 1,993
Companmia Cervejaria
Brahma NPV 694,000 258
Copene Petroquimica do Nordestse
Series A (Regd) 4,168,341 332
Electrobras Series B NPV 6,501,000 87
Embratel Participacoes
SA NPV (a) 62,977,000 850
Petroleo Brasileiro SA NPV 18,292,500 1,420
Tele Centro Sul Participacoes SA
NPV (a) 36,029,000 283
Tele Norte Leste Participacoes SA
NPV (a) 65,629,000 639
Tele Sudeste Celular Participacoes
SA NPV 61,929,000 161
Telecomunicacoes de Minas Gerais
Class B NPV 1,000,000 16
Telecomunicacoes de Sao Paulo SA
NPV 596,458 55
Telecomunicacoes do Parana
SA NPV 1,640,000 202
Telecomunicacoes do Rio de Janeiro
SA NPV 7,900,000 128
Telesp Celular Participacoes
SA NPV 46,481,000 388
Telesp Celular SA Class B NPV 596,458 16
Telesp Participacoes SA NPV 40,300,000 660
UNIPAR SA Class B 580,226 83
Votorantim Celulose e Papel
SA - ADR 15,500,000 177
---------
12,654
---------
GREECE - 0.2%
Delta Dairy SA 23,084 388
---------
SOUTH KOREA - 0.2%
Daewoo Heavy Industries (a) 110,000 208
Samsung Electronic, Ltd. (a) 17,050 430
---------
638
---------
TOTAL PREFERRED STOCKS
(cost $22,266) 13,680
---------
Semiannual Report 13
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ---------
<S> <C> <C>
LONG-TERM INVESTMENTS - 0.3%
NETHERLANDS - 0.2%
BPH Finance BV (conv.)
3.000% due 05/22/02 385 424
---------
PHILIPPINES - 0.1%
Ayala Corp. (conv.)
3.000% due 06/08/00 232 277
---------
TOTAL LONG-TERM INVESTMENTS
(cost $1,377) 701
---------
SHORT-TERM INVESTMENTS - 3.5%
NETHERLANDS - 2.1%
Ing Bank NV
5.750% due 06/01/99 (c) 5,000 5,020
--------
UNITED STATES - 1.4%
AIM Short-Term Investment
Prime Portfolio Class A (b) 2,194 2,194
Federated Investors Prime Cash
Obligations Fund (b) 1,087 1,087
---------
3,281
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $8,281) 8,301
--------
TOTAL INVESTMENTS - 94.9%
(identified cost $298,987)(d) 229,892
OTHER ASSETS AND LIABILITIES,
12,426
NET - 5.1% --------
NET ASSETS - 100.0% 242,318
========
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Held as collateral in connection with an equity swap
agreement held by the Fund.
(d) See Note 2 for federal income tax information.
(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.
(f) The securities have been determined to be illiquid because
they are restricted or because there is an exceptionally low
trading volume in their primary trading market at February 28,
1999.
Abbreviations:
ADR - American Depository Receipt
GDR - Global Depository Receipt
GDS - Global Depository Share
LIBOR - London Interbank Offered Rate
NPV - No Par Value
NV - Nonvoting
144A - Represents private placement security for qualified buyers
according to rule 144A of the Securities Act of 1933.
Foreign Currency Abbreviations:
ARS - Argentina Peso
EUR - Eurodollar
MXN - Mexican peso
USD - United States dollar
</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, 1999 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
----------- ----------------
<S> <C> <C>
FUTURES CONTRACTS
(Note 2)
MSCI Index Futures
Contracts (Taiwan)
Expiration date 09/99 556 $ 36
---------------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts Purchased ((S)) $ 36
===============
</TABLE>
((S)) At February 28, 1999, $1,000 was held as collatereal in connection
with open futures contracts held by the Fund.
<TABLE>
<CAPTION>
UNREALIZED MARKET
% OF VALUE
NET (000)
INDUSTRY DIVERSIFICATION ASSETS $
- -------------------------- ----------- --------
<C> <C> <C>
Basic Industries 10.2 24,824
Capital Goods 7.6 18,308
Consumer Basics 8.2 19,864
Consumer Durables 1.5 3,434
Consumer Non-Durables 5.0 12,123
Consumer Services 0.3 805
Energy 5.7 13,889
Finance 23.6 57,074
General Business 1.7 4,179
Miscellaneous 2.8 6,747
Shelter 2.0 4,904
Technology 3.5 8,329
Transportation 0.6 1,471
Utilities 18.4 44,939
Long-term Investments 0.3 701
Short-Term Investments 3.5 8,301
------ --------
Total Investments 94.9 229,892
Other Assets and Liabilities, Net 5.1 12,426
------ --------
NET ASSETS 100.0 242,318
====== ========
<CAPTION>
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
- ---------------------------- -------- --------
<S> <C> <C>
Europe 17.6 42,575
Latin America 31.8 77,068
Middle East 11.7 28,405
Pacific Basin 16.3 39,405
Africa 13.7 33,437
Long-Term Investments 0.3 701
Short-Term Investments 3.5 8,301
------ --------
Total Investments 94.9 229,892
Other Assets and Liabilities, Net 5.1 12,426
------ --------
NET ASSETS 100.0 242,318
====== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 15
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT TERMINATION (DEPRECIATION)
UNDERLYING SECURITY (000) FLOATING RATE DATE (000)
- ----------------------------------- ---------- -------------------------- -------------- ----------------
<S> <C> <C> <C> <C>
Kuala Lumpur Composite Index (KLCI) $ 5,000 USD LIBOR-BBA minus 9.000% 06/04/99 $ 301
================
</TABLE>
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
(Note 2)
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- -------------- ------------- ------------ ----------------
<S> <C> <C> <C>
USD 2,610 MXN 25,992 03/01/99 $ 10
EUR 3,341 USD 3,688 03/01/99 $ 15
----------------
$ 25
================
</TABLE>
FOREIGN CURRENCY EXCHANGE CONTRACTS
(Note 2)
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- -------------- ------------- ------------ ----------------
<S> <C> <C> <C>
USD 4,700 ARS 4,822 04/22/99 $ 115
================
</TABLE>
The accompanying notes are an integral part of the financial statements.
16 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28,1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investments at market (identified cost $298,987)(Note 2)................ $ 229,892
Cash.................................................................... 1,034
Foreign currency holdings (identified cost $12,094)..................... 12,034
Forward foreign currency exchange contracts (cost $4,700)(Note 2)....... 4,815
Foreign currency exchange spot contracts (cost $6,288)(Note 2).......... 6,298
Receivables:
Dividends and interest............................................... 882
Investments sold..................................................... 1,561
Fund shares sold..................................................... 244
Daily variation margin on futures contracts (Notes 2 and 3).......... 1,549
Deferred organization expenses (Note 2)................................. 1
Prepaid expenses........................................................ 5
Short-term investments held as collateral for securities loaned, at
market (Note 3)......................................................... 22,922
Receivable for equity swaps (Note 2).................................... 301
---------
Total Assets......................................................... 281,538
LIABILITIES
Payables:
Investments purchased................................................ $ 3,550
Fund shares redeemed................................................. 299
Accrued fees to affiliates and trustees (Note 4)..................... 495
Daily variation margin on futures contracts (Notes 2 and 3)......... 981
Forward foreign currency exchange contracts (cost $4,700)(Note 2)....... 4,700
Foreign currency exchange spot contracts (cost $6,288)(Note 2).......... 6,273
Payable upon return of securities loaned, at market (Note 3)............ 22,922
---------
Total Liabilities.................................................... 39,220
---------
NET ASSETS.............................................................. $ 242,318
=========
NET ASSETS CONSIST OF:
Accumulated distributions in excess of net investment income............ $ (4,917)
Accumulated net realized gain (loss).................................... (20,407)
Unrealized appreciation (depreciation) on:
Investments.......................................................... (69,095)
Futures contracts.................................................... 36
Equity swaps......................................................... 301
Foreign currency-related transactions................................ (147)
Shares of beneficial interest........................................... 31
Additional paid-in capital.............................................. 336,516
---------
NET ASSETS.............................................................. $ 242,318
=========
NET ASSET VALUE, offering and redemption price per share:
($242,318,292 divided by 31,368,064 shares of $.001 par value
shares of beneficial interest outstanding)......................... $ 7.72
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 17
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF OPERATIONS
Amount in thousands For the Six Months Ended February 28th, 1999
(Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign taxes withheld of $348)...................... $3,344
Interest............................................................... 505
----------
Total Investment Income............................................. 3,849
EXPENSES (Notes 2 and 4):
Advisory fees.......................................................... $ 875
Administrative fees.................................................... 82
Custodian fees......................................................... 365
Distribution fees...................................................... 108
Transfer agent fees.................................................... 36
Professional fees...................................................... 15
Registration fees...................................................... 27
Shareholder servicing fees............................................. 31
Trustees' fees......................................................... 2
Amortization of deferred organization expenses......................... 2
Miscellaneous.......................................................... 3
---------
Expenses before reductions............................................. 1,546
Expense reductions (Note 4)............................................ (88)
---------
Expenses, net........................................................ 1,458
----------
Net investment income................................................... 2,391
----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments............................................................ (14,563)
Futures contracts...................................................... 947
Equity swaps........................................................... 10,125
Foreign currency-related transactions.................................. (170) (3,661)
---------
Net change in unrealized appreciation or depreciation of:
Investments............................................................ 36,520
Futures contracts...................................................... 206
Equity swaps........................................................... 10,351
Foreign currency-related transactions.................................. (95) 46,982
--------- ----------
Net gain (loss) on investments......................................... 43,321
----------
Net increase (decrease) in net assets resulting from operations......... $ 45,712
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
18 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
--------------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income............................................... $ 2,391 $ 4,927
Net realized gain (loss)............................................ (3,661) (18,814)
Net change in unrealized appreciation or
depreciation........................................................ 46,982 (135,151)
--------------------- --------------------
Net increase (decrease) in net assets resulting
from operations................................................... 45,712 (149,038)
--------------------- --------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income............................................... (3,631) (3,219)
In excess of net investment income.................................. (4,589) --
In excess of net realized gain on investments....................... -- (5,502)
--------------------- --------------------
Total Distributions to Shareholders............................... (8,220) (8,721)
--------------------- --------------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund
share transactions (Note 5)......................................... (1,544) 111,421
--------------------- --------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS.......................... 35,948 (46,338)
NET ASSETS
Beginning of period................................................. 206,370 252,708
--------------------- --------------------
End of period (including accumulated distributions in excess of
net investment income of $4,917 and undistributed
net investment
income of $912, respectively)..................................... $ 242,318 $ 206,370
===================== ====================
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 19
<PAGE>
SSGA
EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31,
------------------------------------------------------
1999* 1998 1997 1996 1995 1994**
-------- --------- --------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................... $ 6.52 $ 12.33 $ 10.87 $ 10.30 $ 11.45 $ 10.00
-------- --------- --------- --------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)........................... .08 .18 .12 .11 .14 .05
Net realized and unrealized gain (loss)
on investments...................................... 1.39 (5.58) 1.51 .68 (1.19) 1.40
-------- --------- --------- --------- --------- ----------
Total Income From Investment Operations............ 1.47 (5.40) 1.63 .79 (1.05) 1.45
-------- --------- --------- --------- --------- ----------
DISTRIBUTIONS:
Net investment income............................... (.27) (.15) (.11) (.12) (.10) --
Net realized gain on investments.................... -- (.26) (.06) (.10) -- --
-------- --------- --------- --------- --------- ----------
Total Distributions................................. (.27) (.41) (.17) (.22) (.10) --
-------- --------- --------- --------- --------- ----------
NET ASSET VALUE, END OF PERIOD......................... $ 7.72 $ 6.52 $ 12.33 $ 10.87 $ 10.30 $ 11.45
======== ========= ========= ========= ========= ==========
TOTAL RETURN (%)(b).................................... 22.70 (45.36) 15.12 7.83 (9.28) 14.50
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)............ 242,318 206,370 252,708 120,216 68,385 27,479
Ratios to average net assets (%)(c):
Operating expenses, net (d)......................... 1.25 1.25 1.25 1.28 1.50 1.50
Operating expenses, gross (d)....................... 1.33 1.38 1.51 1.67 1.90 2.45
Net investment income............................... 2.05 1.85 1.07 1.10 1.74 1.31
Portfolio turnover rate (%)(c)........................ 34.12 38.94 15.00 4.36 19.77 --
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period March 1, 1994 (commencement of operations) to August 31,
1994.
(a) For the period ended February 28, 1999, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1994 are
annualized.
(d) See Note 4 for current period amounts.
20 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as of
February 28, 1999. 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 fund is a separate corporate taxpayer and determines its
net investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
Semiannual Report 21
<PAGE>
SSGA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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. At
February 28, 1999, the Fund had a net tax basis capital loss carryover of
$62,851, which may be applied against any realized net taxable gains in each
year or until its expiration date of August 31, 2006, whichever occurs first.
As permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $7,746,217 incurred from November 1, 1997 to August 31, 1998,
and treat it as arising in fiscal year 1999.
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, 1999 are as follows:
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ -------------- --------------
$301,105,252 $7,937,630 $ (79,150,882) $ (71,213,252)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Income dividends and capital gain
distributions, if any, are recorded on the ex-dividend date. The Fund declares
and pays dividends annually. Capital gain distributions, if any, are generally
declared and paid annually. An additional distribution may be paid by the Fund
to avoid imposition of federal income tax on any remaining undistributed net
investment income and capital gains.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations which
may differ from generally accepted accounting principles ("GAAP"). As a result,
net investment income and net realized gain (or loss) on investment and foreign
currency-related transactions for a reporting period may differ significantly
from distributions during such period. The differences between tax regulations
and GAAP relate primarily to investments in options, futures, forward
contracts, passive foreign investment companies, foreign denominated
investments, and certain securities sold at a loss. Accordingly, the Fund may
periodically make reclassifications among certain of its capital accounts
without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the Fund. Expenses which
cannot be directly attributed are allocated among all funds based principally
on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: The Fund has incurred expenses in connection
with its organization and initial registration. These costs have been deferred
and are being amortized over 60 months on a straight-line basis.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Fund are
maintained in US dollars. Foreign currency amounts and transactions of the Fund
are translated into US dollars on the following basis:
(a) Market value of investment securities, other assets and liabilities at the
closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income at the closing rate
of exchange prevailing on the respective trade dates of such transactions.
22 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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"). 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
accompanying 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 forward contracts at February 28,
1999 are presented on the accompanying Statement of 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
Semiannual Report 23
<PAGE>
SSGA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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%.
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.
EQUITY SWAPS: The Fund has entered into an equity swap agreement in order to
efficiently participate in certain foreign markets. Pursuant to this
agreement, the Fund pays the swap counterparty based on the notional amount
and an agreed upon rate (i.e. the 12-month USD LIBOR BBA rate). During the
term of the agreement, changes in the underlying value of the swap are
recorded as unrealized gain (loss) and is 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 counterparty
or accrued interest income to be paid to the Fund, at the agreed upon date,
is recognized as unrealized gain (loss). The amount paid to the swap
counterparty representing capital depreciation on the underlying securities
and accrued interest expense and interest income is recorded as net realized
gain (loss). The Fund is exposed to credit risk in the event of non-
performance by the swap counterparty; however, the Fund does not anticipate
non-performance by the counterparty. The Fund has segregated certain short-
term investments (identified on the accompanying Statement of Net Assets) as
collateral for the notional amount and payment of liabilities under the
equity swap agreement.
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments and
futures contracts, aggregated to $70,358,435 and $34,054,797, respectively.
24 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for the
period ended February 28, 1999 were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
----------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
--------- ---------------
<S> <C> <C>
Outstanding at August 31, 1998 262 $ 6,458,289
Contracts opened 2,545 70,276,464
Contracts closed (2,251) (61,413,851)
--------- ---------------
Outstanding at February 28, 1999 556 $ 15,320,902
========= ===============
</TABLE>
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to loan
securities with a value up to 33 1/3% of its total assets to certain brokers.
The Fund receives cash (U.S. currency), U.S. Government or U.S. Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is secured by cash collateral, such collateral shall be invested
by State Street Bank and Trust Company in short-term instruments, money
market mutual funds, and such other short-term investments, provided the
investments meet certain quality and diversification requirements. Under the
securities lending arrangement, the collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral. In those situations where the Company has
relinquished control of securities transferred, it derecognizes the
securities and records a receivable from the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be in
an amount at least equal to 102% (for loans of U.S. securities) or 105% (for
non-U.S. securities) of the market value of the loaned securities at the
inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $21,434,757 and $22,921,983, 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. Effective November 1, 1995, the Adviser
voluntarily agreed to reimburse the Fund for all expenses in excess of 1.25%
of its average daily net assets on an annual basis. As of February 28, 1999,
the receivable due from the Adviser for expenses in excess of the
Semiannual Report 25
<PAGE>
SSGA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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 and services, including telephone service, utilities,
stationery supplies, and similar items. The Investment Company pays the
Administrator the following fees for services supplied by the Administrator
pursuant to the Administration Agreement: (i) an annual fee, payable monthly on
a pro rata basis, based on the following percentages of the average daily net
assets of all international funds; $0 up to and including $500 million - .07%,
over $500 million to and including $1 billion - .06%, over $1 billion to and
including $1.5 billion - .04%, over $1.5 billion - .03%; (ii) less an amount
equal to the sum of certain distribution-related expenses incurred by the
Investment Company's Distributor on behalf of the Fund (up to a maximum of 10%
for the period September 1, 1997 to December 31, 1997 up to a maximum of 5% for
January 1, 1998 to December 31, 1998 and 0% thereafter, 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 charged 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 period ended February 28,
1999, the Fund was charged shareholder servicing expenses of $28,451, $1,169,
$3,016, $196, and $1,534, by 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
26 Semiannual Report
<PAGE>
SSGA
EMERGING MARKETS FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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, 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, 1999 WERE
AS FOLLOWS:
<TABLE>
<S> <C>
Advisory fees $ 280,752
Administration fees 16,649
Custodian fees 175,922
Distribution fees 703
Shareholder servicing fees 1,330
Transfer agent fees 18,716
Trustees' fees 889
-----------
$ 494,961
===========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder was a record
owner of approximately 47% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
-------------------- -------------------
SHARES DOLLARS SHARES DOLLARS
-------- --------- ------- ----------
<S> <C> <C> <C> <C>
Proceeds from shares sold 13,193 $ 100,489 24,649 $ 244,575
Proceeds from reinvestment of
distributions 993 7,446 663 8,156
Payments for shares redeemed. (14,481) (109,479) (14,139) (141,310)
-------- --------- ------- ----------
Total net increase (decrease) (295) $ (1,544) 11,173 $ 111,421
======== ========= ======= ==========
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .065% on the average daily unused amount of the Aggregate
commitment, which is allocated among each of the Participants. Interest, at
the Federal Fund Rate plus .50% annually, is calculated based on the market
rates at the time of the borrowing. The Fund may borrow up to a maximum of 33
1/3 percent of the value of it's total assets under the agreement.
Semiannual Report 27
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
28 Semiannual Report
<PAGE>
SSGA(R) FUNDS
SMALL CAP FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements.................................................. 3
Financial Highlights.................................................. 10
Notes to Financial Statements......................................... 11
Fund Management and Service Providers................................. 17
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ----------
<S> <C> <C>
COMMON STOCKS - 99.4%
BASIC INDUSTRIES - 4.1%
AK Steel Holding Corp. 187,400 4,088
ARMCO, Inc. (a) 333,000 1,665
Octel Corp. (a) 245,400 3,298
Schulman (A.), Inc. 68,100 1,119
Waters Corp. (a) 74,000 6,887
----------
17,057
----------
CAPITAL GOODS - 8.7%
Applied Power, Inc., Class A 109,100 2,632
AptarGroup, Inc. 52,200 1,429
Ball Corp. 155,700 6,520
Briggs & Stratton Corp. 97,900 4,779
D.R. Horton, Inc. 211,500 3,371
General Cable Corp. 236,250 4,444
Hughes Supply, Inc. 29,900 604
Hussmann International, Inc. 62,700 886
JLG Industries, Inc. 70,800 996
Kuhlman Corp. 35,800 1,374
Manitowoc Co., Inc. 64,475 2,378
Superior TeleCom, Inc. 93,850 2,657
Terex Corp. (a) 148,400 3,803
----------
35,873
----------
CONSUMER BASICS - 12.6%
Alpharma, Inc. Class A 193,200 7,317
AmeriSource Health Corp.
Class A (a) 71,300 5,321
Barr Laboratories, Inc. (a) 114,800 4,248
Bindley Western Industries, Inc. 88,733 2,335
Cooper Companies, Inc. (a) 32,700 478
Dura Pharmaceuticals, Inc. (a) 174,600 2,455
Earthgrains Co. 186,000 4,569
Medicis Pharmaceutical Corp. Class
A. (a) 173,850 6,563
MedImmune, Inc. (a) 68,200 3,742
Pilgrim's Pride Corp. 54,100 1,031
Priority Healthcare Corp.
Class B (a) 39,752 1,540
Ralcorp Holdings, Inc. (a) 182,900 3,258
Renal Care Group, Inc. (a) 66,900 1,325
Smithfield Foods, Inc. (a) 127,900 3,357
Trigon Healthcare, Inc. (a) 83,200 2,917
Xomed Surgical Products, Inc. (a) 39,900 1,441
----------
51,897
----------
CONSUMER DURABLES - 4.0%
Arvin Industries, Inc. 59,900 2,171
Avis Rent A Car, Inc. (a) 125,000 2,867
Carlisle Cos., Inc. 40,900 1,692
La-Z-Boy Inc. 66,800 1,244
Linens 'N Things, Inc. (a) 177,000 6,372
Tower Automotive, Inc. (a) 111,900 2,084
----------
16,430
----------
CONSUMER NON-DURABLES - 9.1%
Action Performance
Companies, Inc. (a) 68,200 2,442
American Eagle Outfitters, Inc. (a) 39,800 2,739
Ames Department Stores, Inc. (a) 77,100 2,313
Canandaigua Brands Inc.
Class A (a) 69,800 3,726
Cato Corp. Class A 55,400 530
Coors (Adolph) Co. Class B 31,300 1,864
Department 56, Inc. (a) 70,000 2,323
Family Dollar Stores, Inc. 76,800 1,536
Michaels Stores, Inc. (a) 84,100 1,440
Mohawk Industries, Inc. (a) 98,200 3,192
Musicland Stores Corp. (a) 281,000 3,319
Ross Stores, Inc. 24,900 1,136
Shopko Stores, Inc. (a) 91,500 2,882
Talbots, Inc. 16,000 387
Zale Corp. (a) 231,900 7,682
----------
37,511
----------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
CONSUMER SERVICES - 5.2%
AAR Corp. 75,050 1,135
Alaska Air Group, Inc. (a) 104,400 5,292
Brinker International, Inc. (a) 198,800 5,753
CEC Entertainment, Inc. (a) 91,400 2,742
Foodmaker, Inc. (a) 70,900 1,631
Midwest Express Holdings, Inc. (a) 94,350 2,536
Ruby Tuesday, Inc. 41,100 765
Sonic Corp. (a) 56,800 1,360
----------
21,214
----------
ENERGY - 0.4%
AGL Resources, Inc. 1,628
85,400 ----------
FINANCE - 10.8%
CMAC Investment Corp. 24,200 1,000
Commerce Bancorp, Inc. 34,256 1,524
Commercial Federal Corp. 56,550 1,233
Cullen Frost Bankers, Inc. 75,500 3,572
Enhance Financial Services
Group, Inc. 42,600 1,009
Fidelity National Financial 189,363 3,787
Financial Security Assurance
Holdings, Ltd. 44,900 2,371
First American Financial Corp. 222,850 5,223
FirstFed Financial Corp. (a) 28,800 488
HUBCO, Inc. 82,600 2,700
Jefferies Group, Inc. 17,400 686
LandAmerica Financial Group, Inc. 85,400 3,069
Metris Companies, Inc. 115,866 4,903
Nationwide Financial Services, Inc.
Class A 124,200 5,643
Riggs National Corp. 40,000 735
Roslyn Bancorp, Inc. 53,000 861
Trustmark Corp. 129,800 2,750
UniCapital Corp. New (a) 114,000 663
Webster Financial Corp. 79,900 2,442
----------
44,659
----------
GENERAL BUSINESS - 9.2%
Acclaim Entertainment, Inc. (a) 620,500 4,828
Advo Systems, Inc. (a) 138,100 2,762
Computer Task Group, Inc. 98,900 2,003
Hollinger International, Inc.
Class A 141,500 1,751
Houghton Mifflin Co. 20,900 899
Interim Services, Inc. (a) 56,400 1,072
Lason, Inc. (a) 108,100 5,824
Level One
Communications, Inc. (a) 150,500 5,042
Media Arts Group, Inc. (a) 41,700 568
Personnel Group
of America, Inc. (a) 135,700 1,790
SABRE Group Holdings, Inc. (The),
Class A (a) 900 35
StaffMark, Inc. (a) 129,000 1,701
United Stationers, Inc. (a) 102,800 1,863
Valassis Communications, Inc. (a) 163,500 7,848
----------
37,986
----------
MISCELLANEOUS - 8.3%
Apartment Investment & Management
Co. Class A 32,700 1,279
Camden Property Trust 155,000 3,798
CareMatrix Corp. (a) 38,900 861
CBL & Associates Properties, Inc. 91,800 2,289
Consolidated Graphics, Inc. (a) 22,100 1,343
Equity Residential Properties Trust
REIT 25,016 1,026
First Industrial Realty Trust, Inc.
REIT 111,400 2,882
General Growth Properties, Inc. 118,100 3,986
HA-LO Industries, Inc. (a) 151,650 1,621
Health Care, Inc. REIT 75,400 1,748
Home Properties of New York, Inc. 15,000 368
Hospitality Properties Trust 79,800 2,055
JDN Realty Corp. 68,950 1,448
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ----------
<S> <C> <C>
Kimco Realty Corp. REIT 19,300 732
Liberty Property Trust 110,700 2,422
M.D.C. Holdings, Inc. 40,500 721
Mills Corp. 42,400 771
Reckson Associates Realty Corp. REIT 118,600 2,520
Summit Properties, Inc. REIT 51,100 846
Webb (Del E.) Corp. 74,500 1,676
----------
34,392
----------
SHELTER - 4.1%
Centex Construction Products, Inc. 68,200 2,434
Highwoods Properties, Inc. 34,800 833
Kaufman & Broad Home Corp. 277,200 6,237
NVR, Inc. (a) 32,600 1,402
Pulte Corp. 116,100 2,794
Ryland Group, Inc. (The) 43,300 1,104
Standard Pacific Corp. 158,100 1,956
----------
16,760
----------
TECHNOLOGY - 14.8%
Affiliated Computer Services, Inc.
Class A (a) 61,900 2,863
Alliant Techsystems, Inc. (a) 23,500 1,861
American Management
Systems, Inc. (a) 75,300 2,485
Applied Micro Circuits Corp.
New (a) 159,100 6,245
Avant! Corp. (a) 120,900 2,070
BE Aerospace, Inc. (a) 117,100 1,705
Brightpoint, Inc. (a) 412,500 6,136
CHS Electronics, Inc. (a) 404,900 2,834
Ciber, Inc. (a) 103,300 2,595
Cordant Technologies, Inc. 22,900 892
CSG Systems International, Inc. (a) 91,400 6,501
DII Group, Inc. (The) (a) 100,100 2,340
Informix Corp. (a) 342,300 2,974
InterVoice, Inc. (a) 161,800 1,760
Jack Henry & Assocociates, Inc. 39,800 1,423
Lattice Semiconductor Corp. (a) 17,600 700
Learning Co., Inc. (The) (a) 82,700 2,403
MAPICS, Inc. (a) 51,800 550
NeoMagic Corp. (a) 336,700 3,683
PMC - Sierra, Inc. (a) 66,200 4,675
Progress Software Corp. (a) 47,900 1,473
QuadraMed Corp. (a) 90,300 1,388
Xircom, Inc. (a) 46,600 1,584
----------
61,140
----------
TRANSPORTATION - 1.2%
M.S. Carriers, Inc. (a) 33,000 887
Rollins Truck Leasing Corp. 39,300 418
Swift Transportation Co, Inc. (a) 30,000 898
USFreightways Corp. 79,900 2,537
----------
4,740
----------
UTILITIES - 6.9%
Aliant Communications, Inc. 22,600 901
CellStar Corp. (a) 270,900 3,031
Conectiv, Inc. 78,600 1,665
Dycom Industries, Inc. (a) 187,350 7,435
Equitable Resources, Inc. 37,600 973
Idacorp, Inc. 38,500 1,196
MDU Resources Group, Inc. 67,650 1,590
Minnesota Power, Inc. 73,500 2,954
Pacific Gateway Exchange, Inc. (a) 63,300 1,583
Peoples Energy Corp. 24,500 831
Piedmont Natural Gas Co., Inc. 7,700 263
Rochester Gas & Electric Corp. 69,000 1,803
Southwest Gas Corp. 53,900 1,550
United Illuminating Co. 43,700 1,939
Washington Gas & Light Co. 38,100 912
----------
28,626
----------
TOTAL COMMON STOCKS
(cost $431,545) 409,913
----------
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
SMALL CAP FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 0.8%
AIM Short-Term Investment Prime
Portfolio Class A (b) 2,605 2,605
Federated Investors Prime Cash
Obligations Fund (b) 676 676
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $3,281) 3,281
----------
TOTAL INVESTMENTS - 100.2%
(identified cost $434,826)(c) 413,194
OTHER ASSETS AND LIABILITIES,
NET - (0.2%) (1,010)
----------
NET ASSETS - 100.0% 412,184
==========
</TABLE>
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
Abbreviations:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
SMALL CAP FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at market (identified cost $434,826)(Note 2)................. $ 413,194
Receivables:
Dividends............................................................... 294
Fund shares sold........................................................ 1,173
Prepaid expenses......................................................... 25
Short-term investments held as collateral for securities loaned,
at market (Note 3)....................................................... 76,952
----------
Total Assets.......................................................... 491,638
LIABILITIES
Payables:
Fund shares redeemed.................................................... $ 1,841
Accrued fees to affiliates and trustees (Note 4)........................ 650
Other accrued expenses.................................................. 11
Payable upon return of securities loaned, at market
(Note 3)................................................................. 76,952
----------
Total Liabilities..................................................... 79,454
----------
NET ASSETS............................................................... $ 412,184
==========
NET ASSETS CONSIST OF:
Undistributed net investment income...................................... $ 108
Accumulated net realized gain (loss)..................................... (62,052)
Unrealized appreciation (depreciation) on investments.................... (21,632)
Shares of beneficial interest............................................ 24
Additional paid-in capital............................................... 495,736
----------
NET ASSETS............................................................... $ 412,184
==========
NET ASSET VALUE, offering and redemption price per share:
($412,184,271 divided by 24,438,491 shares of $.001 par value
shares of beneficial interest outstanding)............................ $ 16.87
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
SMALL CAP FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends................................................. $ 2,686
Interest.................................................. 27
----------
Total Investment Income................................. 2,713
EXPENSES (Notes 2 and 4):
Advisory fees............................................. $ 1,526
Administrative fees....................................... 65
Custodian fees............................................ 41
Distribution fees......................................... 190
Transfer agent fees....................................... 65
Professional fees......................................... 6
Registration fees......................................... 35
Shareholder servicing fees................................ 220
Trustees' fees............................................ 5
Miscellaneous............................................. 6
----------
Total Expenses.......................................... 2,159
----------
Net investment income...................................... 554
----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from:
Investments............................................... (57,230)
Futures contracts......................................... 9 (57,221)
---------
Net change in unrealized appreciation or depreciation of
investments................................................ 73,149
----------
Net gain (loss) on investments............................. 15,928
----------
Net increase (decrease) in net assets resulting from operations.. $ 16,482
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSGA
SMALL CAP FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income........................................... $ 554 $ 333
Net realized gain (loss)........................................ (57,221) 2,269
Net change in unrealized appreciation or
depreciation.................................................... 73,149 (122,590)
----------------- ---------------
Net increase (decrease) in net assets resulting
from operations............................................... 16,482 (119,988)
----------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income........................................... (468) (448)
Net realized gain on investments................................ -- (10,718)
In excess of net realized gain on investments................... (24) (4,807)
----------------- ---------------
Total Distributions to Shareholders........................... (492) (15,973)
----------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund
share transactions (Note 5)..................................... 51,564 330,783
----------------- ---------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS...................... 67,554 194,822
NET ASSETS
Beginning of period............................................. 344,630 149,808
----------------- ---------------
End of period (including undistributed net investment income of
$108 and $22, respectively)................................... $ 412,184 $ 344,630
================= ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSGA
SMALL CAP FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
cash period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
--------------------------------------------------
1999* 1998 1997 1996 1995** 1994
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................... $ 15.96 $ 22.11 $ 17.44 $ 14.42 $ 11.88 $ 12.24
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a)................ .02 .02 .03 .04 .13 .21
Net realized and
unrealized gain on
investments............................ .91 (4.54) 5.87 3.25 3.19 .24
------- ------- ------- ------- ------- -------
Total Income From
Investment
Operations........................... .93 (4.52) 5.90 3.29 3.32 .45
------- ------- ------- ------- ------- -------
DISTRIBUTIONS:
Net investment income.................... (.02) (.04) (.01) (.07) (.15) (.21)
Net realized gain on
investments............................ -- (1.59) (1.22) (.20) (.63) (.60)
------- ------- ------- ------- ------- -------
Total Distributions.................... (.02) (1.63) (1.23) (.27) (.78) (.81)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD.................................... $ 16.87 $ 15.96 $ 22.11 $ 17.44 $ 14.42 $ 11.88
======= ======= ======= ======= ======= =======
TOTAL RETURN (%)(b)....................... 5.83 (22.32) 35.85 23.14 30.04 3.90
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period ($000 omitted).................. 412,184 344,630 149,808 55,208 23,301 25,716
Ratios to average net assets (%)(c):
Operating expenses,
net.................................. 1.06 1.04 1.00 1.00 .97 .30
Operating expenses,
gross................................ 1.06 1.04 1.09 1.18 1.58 .81
Net investment income.................. .27 .10 .18 .26 .81 1.73
Portfolio turnover rate (%)(c)........... 93.10 86.13 143.79 76.85 192.88 44.86
</TABLE>
* For the six months ended February 28, 1999 (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) For the period ended February 28, 1999, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the period ended February 28, 1999 are annualized.
10 Semiannual Report
<PAGE>
SSGA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 22 investment portfolios which are in operation as of February
28, 1999. 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.
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
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts business
trust, each fund is a separate corporate taxpayer and determines its net
investment income and capital gains (or losses) and the amounts to be
distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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 $4,883,568 incurred from November 1, 1997 to August 31, 1998, and treat
it as arising in the fiscal year 1999.
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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ -------------- ---------------
<S> <C> <C> <C>
$434,826,005 $2,732,848 $ (24,364,853) $ (21,632,005)
</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 futures and certain securities sold at a loss.
Accordingly, the Fund may periodically make reclassifications among certain of
its capital accounts without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the 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%.
12 Semiannual Report
<PAGE>
SSGA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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
Fund and the prices of futures contracts and the possibility of an illiquid
market. Changes in initial settlement value are accounted for as unrealized
appreciation (depreciation) until the contracts are terminated, at which time
realized gains and losses are recognized.
3. SECURITIES TRANSACTIONS
INVESTMENT TRANSACTIONS: For the period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments and
futures contracts aggregated to $234,187,940 and $187,216,823, respectively.
FUTURES TRANSACTIONS: The Fund's transactions in futures contracts for period
ended February 28, 1999, were as follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
----------------------------
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
---------- ----------------
<S> <C> <C>
Outstanding at August 31, 1998 -- $ --
Contracts opened 93 19,892,709
Contracts closed (93) (19,892,709)
---------- ----------------
Outstanding at February 28, 1999 -- $ --
========== ================
</TABLE>
(1) The aggregate face value of contracts is computed on the date each
contract was opened.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to loan
securities with a value up to 33 1/3% of its total assets to certain brokers.
The Fund receives cash (U.S. currency), U.S. Government or U.S. Government
agency obligations as collateral against the loaned securities. To the extent
that a loan is secured by cash collateral, such collateral shall be invested
by State Street Bank and Trust Company in short-term instruments, money
market mutual funds, and such other short-term investments, provided the
investments meet certain quality and diversification requirements. Under the
securities lending arrangement, the collateral received is recorded on the
Fund's statement of assets and liabilities along with the related obligation
to return the collateral. In those situations where the Company has
relinquished control of securities transferred, it derecognizes the
securities and records a receivable from the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be in
an amount at least equal to 102% (for loans of U.S. securities) or 105% (for
non-U.S. securities) of the market value of the loaned securities at the
inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed
Semiannual Report 13
<PAGE>
SSGA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
to be of good financial standing. As of February 28, 1999, the value of
outstanding securities on loan and the value of collateral amounted to
$73,007,686 and $76,952,433, 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. 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.
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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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 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 10% for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5% for the period
January 1, 1998 to December 31, 1998 and 0% thereafter, 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 charged 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
14 Semiannual Report
<PAGE>
SSGA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
Solutions, respectively, based upon the average daily value of all Fund shares
held by or for customers of these Agents. For the period ended February 28,
1999, the Fund was charged shareholder servicing expenses of $49,271, $2,807,
$98,345, $424, and $37,168, by 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, 1998.
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 $22,135 for the period ended February 28, 1999.
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, 1999 WERE AS
FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 557,754
Administration fees 13,805
Custodian fees 9,073
Distribution fees 825
Shareholder servicing fees 62,164
Transfer agent fees 4,142
Trustees' fees 2,023
---------
$ 649,786
=========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, two shareholders (one of which
was also an affiliate of the Investment Company) were record owners of
approximately 19% and 10%, respectively, of the total outstanding shares of the
Fund.
Semiannual Report 15
<PAGE>
SSGA
SMALL CAP FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
----------------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
----------------------- -----------------------
SHARES DOLLARS SHARES DOLLARS
----------------------- -----------------------
<S> <C> <C> <C> <C>
Proceeds from shares sold 14,541 $ 257,563 26,193 $ 567,051
Proceeds from reinvestment of
distributions 23 405 703 15,185
Payments for shares redeemed (11,717) (206,404) (12,081) (251,453)
----------------------- -----------------------
Total net increase (decrease) 2,847 $ 51,564 14,815 $ 330,783
======================= =======================
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. The Participants are charged an annual
commitment fee of .065% on the average daily unused amount of the aggregate
commitment, which is allocated among each of the Participants. Interest, at
the Federal Fund Rate plus 0.50% annually, is calculated based on the market
rates at the time of the borrowing. The Fund may borrow up to a maximum of 33
1/3 percent of the value of its total assets under the agreement.
16 Semiannual Report
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 17
<PAGE>
SSGA(R) FUNDS
PRIME MONEY MARKET FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements............................................... 3
Financial Highlights............................................... 11
Notes to Financial Statements...................................... 12
Fund Management and Service Providers.............................. 16
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
----------- ------- ---------- -------
<S> <C> <C> <C> <C>
CORPORATE BONDS AND NOTES -28.4%
Abbey National Treasury Services PLC (MTN)(a)................. 20,000 4.785 07/26/99 19,993
Abbey National Treasury Services PLC (MTN).................... 24,750 5.075 01/13/00 24,745
Bank One Corp. (MTN)(a)....................................... 25,000 4.876 07/15/99 24,997
Bayerishche Landesbank (MTN)(a)............................... 35,000 4.798 05/10/99 34,995
Bayerishche Landesbank (MTN)(a)............................... 25,000 4.804 06/29/99 24,994
Branch Banking & Trust (a).................................... 25,000 5.060 02/18/00 24,995
Comerica Bank, Michigan (MTN)(a).............................. 25,000 5.109 06/10/99 24,995
Comerica Bank, Michigan (MTN)(a).............................. 15,000 4.807 07/23/99 14,995
Comerica Bank, Michigan (MTN)(a).............................. 25,000 4.857 03/07/00 24,988
Deutsche Bank AG (MTN)(a)..................................... 25,000 4.811 08/16/99 24,992
First Union National Bank..................................... 25,000 5.300 03/01/00 25,000
First Union National Bank (a)................................. 50,000 4.908 03/10/00 50,000
Fleet National Bank (MTN)(a).................................. 20,000 4.800 05/11/99 19,997
General Electric Capital Corp. (MTN)(a)....................... 20,000 4.860 05/04/99 20,000
General Electric Capital Corp. (MTN)(a)....................... 10,000 5.114 06/09/99 9,999
General Electric Capital Corp. (MTN)(a)....................... 15,000 5.188 09/09/99 15,000
Household Financial Corp. (MTN)(a)............................ 20,000 5.210 07/26/99 20,000
IBM Corp. (MTN)(a)............................................ 50,000 4.935 10/21/99 49,983
IBM Credit Corp. (MTN)(a)..................................... 15,000 4.890 07/06/99 14,995
JP Morgan & Co., Inc. (MTN)................................... 20,000 5.750 03/10/99 20,000
JP Morgan & Co., Inc. (MTN)(a)................................ 20,000 4.825 07/07/99 19,995
Key Bank NA (MTN)(a).......................................... 50,000 5.000 10/21/99 50,000
Merrill Lynch & Co., Inc. (MTN)(a)............................ 25,000 4.920 08/13/99 24,999
Morgan Stanley Dean Witter (MTN)(a)........................... 5,000 5.440 03/01/99 5,000
National City Bank............................................ 35,000 4.825 03/08/99 35,000
Nationsbank Corp.............................................. 25,000 5.120 02/22/00 24,995
Nationsbank Corp. (MTN)(a).................................... 15,000 5.390 06/28/99 15,012
PNC Bank NA (MTN)(a).......................................... 25,000 4.809 07/02/99 24,993
PNC Bank NA (MTN)(a).......................................... 25,000 4.811 08/16/99 24,992
PNC Bank NA (MTN)(a).......................................... 25,000 4.869 01/31/00 24,991
STEERS-A37 (MTN)(a)........................................... 46,327 4.937 10/25/11 46,327
US Bancorp (MTN)(a)........................................... 25,000 4.925 10/07/99 24,996
Westpac Banking............................................... 25,000 5.010 02/04/00 24,991
Xerox Credit Corp. (MTN)...................................... 25,000 5.113 03/21/00 24,973
--------
TOTAL CORPORATE BONDS AND NOTES (cost $860,927)......................................................... 860,927
--------
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
PRIME MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
---------- ------- ---------- --------
<S> <C> <C> <C> <C>
DOMESTIC CERTIFICATES OF DEPOSIT - 3.3%
Fleet National Bank, Rhode Island............................... 20,000 4.940 07/15/99 20,000
Fleet National Bank, Rhode Island (a)........................... 15,000 5.001 10/22/99 15,000
Fleet National Bank, Rhode Island (a)........................... 15,000 4.974 11/04/99 14,995
Nationsbank Corp................................................ 30,000 4.940 07/06/99 30,000
Wachovia Bank (a)............................................... 20,000 4.927 10/25/99 19,997
-------
TOTAL DOMESTIC CERTIFICATES OF DEPOSIT (cost $99,992).............................................. 99,992
-------
EURODOLLAR CERTIFICATES OF DEPOSIT - 4.8%
Abbey National Treasury Services PLC............................ 30,000 5.050 11/12/99 30,000
Bank of Scotland................................................ 15,000 5.190 03/31/99 15,003
Bank of Scotland................................................ 35,000 4.930 04/12/99 35,000
Dresdner Bank................................................... 30,000 4.910 04/12/99 30,000
Svenska Handelsbanken........................................... 15,000 5.790 05/20/99 14,998
Toronto Dominion Bank........................................... 20,000 4.870 04/21/99 20,000
-------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (cost $145,001)........................................... 145,001
-------
YANKEE CERTIFICATES OF DEPOSIT - 14.6%
Bank of Montreal, Illinois...................................... 20,000 5.045 11/12/99 19,995
Bank of Nova Scotia............................................. 20,000 4.970 03/08/99 20,000
Bank of Nova Scotia............................................. 30,000 5.070 04/06/99 30,000
Bank of Scotland................................................ 15,000 5.080 04/01/99 15,000
Barclays Bank PLC............................................... 15,000 5.645 03/02/99 15,000
Barclays Bank PLC (a)........................................... 25,000 4.799 06/01/99 24,995
Barclays Bank PLC (a)........................................... 15,000 4.804 06/02/99 14,997
Canadian Imperial Bank.......................................... 20,000 4.940 03/30/99 20,000
Canadian Imperial Bank.......................................... 15,000 4.850 04/26/99 15,000
Canadian Imperial Bank.......................................... 19,000 5.000 01/27/00 18,992
Canadian Imperial Bank.......................................... 25,000 4.900 04/28/99 25,000
Den Danske Bank (a)............................................. 15,000 5.083 06/07/99 14,997
Deutsche Bank AG................................................ 25,000 4.920 04/12/99 25,001
Deutsche Bank AG................................................ 15,000 5.730 04/16/99 14,999
National Westminster Bank PLC................................... 25,000 4.980 01/07/99 24,992
National Westminster Bank PLC................................... 10,000 5.700 03/31/99 9,999
Royal Bank of Canada............................................ 15,000 5.600 08/23/99 14,995
Svenska Handelsbanken........................................... 15,000 5.790 05/07/99 14,998
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
PRIME MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
----------- ------- ---------- -------
<S> <C> <C> <C> <C>
Svenska Handelsbanken (a)........................................ 25,000 4.819 06/01/99 24,995
Svenska Handelsbanken............................................ 15,000 5.685 07/23/99 14,996
Svenska Handelsbanken............................................ 10,000 5.065 02/08/00 9,997
Svenska Handelsbanken............................................ 10,000 5.055 02/10/00 9,997
Svenska Handelsbanken............................................ 10,000 5.210 03/01/00 9,996
Toronto Dominion Bank............................................ 15,000 4.980 01/07/00 14,995
Westpac Banking.................................................. 10,000 5.670 03/26/99 10,000
Westpac Banking.................................................. 8,000 5.730 06/09/99 7,999
-------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (cost $441,935)............................................... 441,935
-------
DOMESTIC COMMERCIAL PAPER - 27.6%
Asset Securitization Cooperative Corp............................ 20,000 5.080 03/10/99 19,975
Asset Securitization Cooperative Corp............................ 15,000 4.870 03/25/99 14,951
Asset Securitization Cooperative Corp............................ 25,000 4.810 03/26/99 24,916
Asset Securitization Cooperative Corp............................ 20,000 4.840 03/29/99 19,925
Banc One Corp.................................................... 40,000 4.810 04/30/99 39,679
Delaware Funding Corp............................................ 15,000 4.830 03/09/99 14,984
Delaware Funding Corp............................................ 20,000 4.850 03/12/99 19,970
Dupont EI De Nemours & Co........................................ 25,000 4.810 05/13/99 24,756
Falcon Asset Securitization...................................... 15,000 5.150 03/05/99 14,991
Falcon Asset Securitization...................................... 20,000 4.860 03/10/99 19,976
Falcon Asset Securitization...................................... 22,000 4.850 03/12/99 21,967
Falcon Asset Securitization...................................... 10,000 4.850 03/16/99 9,980
Falcon Asset Securitization...................................... 18,590 4.850 03/25/99 18,530
Falcon Asset Securitization...................................... 28,000 4.850 03/26/99 27,906
General Electric Capital Corp.................................... 25,000 4.940 03/17/99 24,945
General Electric Capital Corp.................................... 15,000 4.810 04/12/99 14,916
General Electric Capital Corp.................................... 20,000 4.860 05/11/99 19,808
General Electric Capital Corp.................................... 20,000 4.830 05/21/99 19,783
Gillette Corp.................................................... 75,000 4.850 03/01/99 75,000
JP Morgan & Co., Inc............................................. 20,000 4.860 03/09/99 19,978
KFW International, Inc........................................... 20,000 5.100 03/12/99 19,969
Old Line Funding Corp............................................ 15,000 4.870 03/03/99 14,996
Old Line Funding Corp............................................ 20,000 4.860 03/05/99 19,989
Old Line Funding Corp............................................ 20,000 4.850 03/17/99 19,957
Old Line Funding Corp............................................ 25,000 4.870 04/07/99 24,875
Old Line Funding Corp............................................ 25,000 4.880 04/09/99 24,868
Old Line Funding Corp............................................ 10,000 4.880 05/26/99 9,884
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
PRIME MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DATE VALUE
(000) RATE OF (000)
$ % MATURITY $
----------- ------- ---------- -------
<S> <C> <C> <C> <C>
Preferred Receivables Funding Corp............................... 20,000 4.850 03/09/99 19,978
Preferred Receivables Funding Corp............................... 5,250 4.850 03/15/99 5,240
Preferred Receivables Funding Corp............................... 20,000 4.850 03/17/99 19,957
Preferred Receivables Funding Corp............................... 19,800 4.850 03/18/99 19,755
Preferred Receivables Funding Corp............................... 15,815 4.860 04/14/99 15,721
Preferred Receivables Funding Corp............................... 20,000 4.810 04/19/99 19,869
Prudential Funding Corp.......................................... 25,000 4.830 04/14/99 24,852
Thunder Bay Funding, Inc......................................... 47,085 4.870 03/12/99 47,015
Thunder Bay Funding, Inc......................................... 17,326 4.850 03/22/99 17,277
Thunder Bay Funding, Inc......................................... 21,144 4.850 04/15/99 21,016
Thunder Bay Funding, Inc......................................... 25,000 4.850 05/06/99 24,778
-------
TOTAL DOMESTIC COMMERCIAL PAPER (cost $836,932).................................................... 836,932
-------
FOREIGN COMMERCIAL PAPER - 9.8%
ANZ Delaware..................................................... 25,000 4.840 04/08/99 24,872
ANZ Delaware..................................................... 25,000 4.860 04/13/99 24,855
ANZ Delaware..................................................... 25,000 4.820 05/12/99 24,759
ANZ Delaware..................................................... 20,000 4.820 05/17/99 19,794
Caisse Des Depots................................................ 130,000 4.870 03/01/99 130,000
Den Danske Corp.................................................. 30,000 4.830 04/12/99 29,831
Den Danske Corp.................................................. 20,000 4.885 09/01/99 19,501
Westpac Capital Corp............................................. 25,000 5.050 03/08/99 24,975
-------
TOTAL FOREIGN COMMERCIAL PAPER (cost $298,587)..................................................... 298,587
-------
DOMESTIC TIME DEPOSITS - 10.0%
PNC Bank NA...................................................... 48,452 4.875 03/01/99 48,452
Republic National Bank, New York................................. 130,000 4.875 03/01/99 130,000
Suntrust Banks................................................... 125,000 4.750 03/01/99 125,000
-------
TOTAL DOMESTIC TIME DEPOSITS (cost $303,452)....................................................... 303,452
-------
UNITED STATES GOVERNMENT AGENCIES - 2.5%
Federal Home Loan Bank (a)....................................... 25,000 4.755 09/08/99 24,993
Federal Home Loan Bank (a)....................................... 25,000 4.890 11/10/99 24,990
Federal Home Loan Bank........................................... 25,000 4.900 01/14/00 24,995
-------
TOTAL UNITED STATES GOVERNMENT AGENCIES (cost $74,978)............................................. 74,978
-------
</TABLE>
6 Semiannual Report
<PAGE>
SSGA
PRIME MONEY MARKET FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
VALUE
(000)
$
-----------
<S> <C>
TOTAL INVESTMENTS - 101.0% (amortized cost $3,061,804)........... 3,061,804
OTHER ASSETS AND LIABILITIES, NET - (1.0%)....................... (25,791)
-----------
NET ASSETS - 100.0%.............................................. 3,036,013
===========
</TABLE>
(a) Adjustable or floating rate security.
(b) The identified cost for federal income tax purposes is the same as shown
above.
Abbreviations:
MTN - Medium Term Note
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
PRIME MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at amortized cost which approximates market (Note 2).. $ 3,061,804
Cash.............................................................. 717
Interest receivable............................................... 15,064
Deferred organization expenses (Note 2)........................... 1
-----------
Total Assets................................................... 3,077,586
LIABILITIES
Payables:
Dividends........................................................ $ 11,267
Investments purchased............................................ 29,496
Accrued fees to affiliates and trustees (Note 4)................. 693
Other accrued expenses........................................... 117
-----------
Total Liabilities.............................................. 41,573
-----------
NET ASSETS........................................................ $ 3,036,013
===========
NET ASSETS CONSIST OF:
Accumulated net realized gain (loss).............................. $ 30
Shares of beneficial interest..................................... 3,036
Additional paid-in capital........................................ 3,032,947
-----------
NET ASSETS........................................................ $ 3,036,013
===========
NET ASSET VALUE, offering and redemption price per share:
($3,036,012,780 divided by 3,035,994,519 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
PRIME MONEY MARKET FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28,
1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest............................................. $ 70,291
EXPENSES (Notes 2 and 4):
Advisory fees........................................ $ 1,997
Administrative fees.................................. 445
Custodian fees....................................... 279
Distribution fees.................................... 499
Transfer agent fees.................................. 92
Professional fees.................................... 15
Registration fees.................................... 74
Shareholder servicing fees........................... 358
Trustees' fees....................................... 25
Amortization of deferred organization expenses....... 2
Miscellaneous........................................ 41
--------
Expenses before reductions........................... 3,827
Expense reductions (Note 4).......................... (1,165)
--------
Expenses, net...................................... 2,662
--------
Net investment income................................. 67,629
--------
REALIZED GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments............. 37
--------
Net increase in net assets resulting from operations.. $ 67,666
========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSGA
PRIME MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income....................... $ 67,629 $ 94,592
Net realized gain (loss).................... 37 38
----------- -----------
Net increase in net assets resulting from
operations............................... 67,666 94,630
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income....................... (67,629) (94,592)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from
Fund share transactions (Note 5)........... 910,956 718,719
----------- -----------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS.. 910,993 718,757
NET ASSETS
Beginning of period......................... 2,125,020 1,406,263
----------- -----------
End of period............................... $ 3,036,013 $ 2,125,020
=========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
10 Semiannual Report
<PAGE>
SSGA
PRIME MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statement.
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31,
--------------------------------------------------------
1999* 1998 1997 1996 1995 1994**
-------- -------- -------- -------- -------- --------
<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............... .0234 .0544 .0528 .0546 .0567 .0207
DISTRIBUTIONS:
Net investment income............... (.0234) (.0544) (.0528) (.0546) (.0567) (.0207)
---------- ---------- ---------- ---------- ---------- --------
NET ASSET VALUE, END OF PERIOD....... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ========== ========== ========
TOTAL RETURN (%)(a).................. 2.55 5.63 5.52 5.60 5.82 2.09
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000
omitted)........................... 3,036,013 2,125,020 1,406,263 1,095,631 1,076,630 432,224
Ratios to average net assets (%)(b):
Operating expenses, net (c)....... .20 .20 .20 .20 .14 .16
Operating expenses, gross (c)..... .29 .28 .28 .25 .27 .32
Net investment income............. 5.08 5.48 5.40 5.44 5.76 4.00
</TABLE>
* For the six months ended February 28, 1999 (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, 1999 and August 31, 1994 are
annualized.
(c) See Note 4 for current period amounts.
Semiannual Report 11
<PAGE>
SSGA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. 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 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 fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be distributed to each 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, 1998, the Fund had a net tax basis capital loss carryover of
$48,676, which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2005,
whichever occurs first. As permitted by tax regulations, the Fund intends
to defer a net realized capital loss of $2,976 incurred from November 1,
1997 to August 31, 1998, and treat it as arising in fiscal year 1999.
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
12 Semiannual Report
<PAGE>
SSGA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases,
sales, and maturities of investment securities, excluding US Government and
Agency obligations and repurchase agreements, for the Fund aggregated to
$51,062,465,640, $567,917,622, and $49,448,346,631, respectively.
For the period ended February 128, 1999, purchases, sales and maturities of
US Government and Agency obligations, excluding repurchase agreements
aggregated to $252,347,582, $178,609,556, and $25,000,000, 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, 1999, the receivable due
from the Adviser for expenses in 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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
Semiannual Report 13
<PAGE>
SSGA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
Administration Agreement: (i) an annual fee, payable monthly on a pro rata
basis, based on the following percentages of the average daily net assets
of all domestic funds: $0 up to and including $500 million - .06%; over
$500 million to and including $1 billion - .05%; over $1 billion - .03%;
(ii) less an amount equal to the sum of certain distribution-related
expenses incurred by the Investment Company's Distributor on behalf of the
Fund (up to a maximum of 10%, for the period September 1, 1997 to December
31, 1997, up to a maximum of 5%, for the period January 1, 1998 to December
31, 1998 and 0% thereafter, 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 charged 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 period ended February 28, 1999, the
Fund was charged shareholder servicing expenses of $332,812 by 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 carryover expenses subsequent to
the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of August 31, 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.
14 Semiannual Report
<PAGE>
SSGA
PRIME MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
ACCRUED FEES PAYABLE TO AFFILIATES AND TRUSTEES AS OF FEBRUARY 28, 1999
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 186,498
Administration fees 114,243
Custodian fees 76,617
Distribution fees 187,776
Shareholder servicing fees 84,310
Transfer agent fees 39,932
Trustees' fees 3,783
----------
$ 693,159
==========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, one shareholder was a record
owner of approximately 47% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (ON A CONSTANT DOLLAR BASIS):
<TABLE>
<CAPTION>
(AMOUNTS IN THOUSANDS)
FOR THE PERIODS ENDED
------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
------------------ -----------------
<S> <C> <C>
Proceeds from shares sold........................... 23,605,311 29,224,823
Proceeds from reinvestment of distributions
Payments for shares redeemed........................ 58,438 77,726
(22,752,793) (28,583,830)
------------------ ------------------
Total net increase (decrease)....................... 910,956 718,719
================== ==================
</TABLE>
Semiannual Report 15
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
16 Semiannual Report
<PAGE>
SSGA(R) FUNDS
INTERMEDIATE FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Financial Statements.......................................... 3
Financial Highlights.......................................... 10
Notes to Financial Statements................................. 11
Fund Management and Service Providers......................... 17
</TABLE>
"SSgA(R)" is a registered trademark of State Street Corporation and is licensed
for use by the SSgA Funds.
This report is prepared from the books and records of the 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, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- --------
<S> <C> <C>
LONG-TERM INVESTMENTS - 94.1%
ASSET-BACKED SECURITIES - 5.1%
Chase Manhattan Auto Owner Trust
Series 1998-A Class A3
5.700% due 09/17/01 500 500
Series 1998-B Class A3
5.750% due 10/15/01 200 200
CIT RV Trust
Series 1996-B Class A2
6.400% due 02/15/07 171 172
Citibank Credit Card Master Trust I
Series 1998-6 Class A
5.850% due 04/10/03 830 832
Ford Credit Auto Loan Master Trust
Series 1996-1 Class A
5.500% due 02/15/03 370 368
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 10/15/01 370 370
Premier Auto Trust
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 08/06/01 500 501
USAA Auto Loan Grantor Trust
Series 1998-1 Class A
5.800% due 01/15/05 189 191
-------
4,090
-------
CORPORATE BONDS AND NOTES - 28.1%
Alltel Corp.
6.650% due 01/15/08 500 513
Associates Corp. of North America
5.500% due 02/15/02 500 496
Associates First Capital
7.375% due 08/15/01 1,000 1,034
Banc One, Milwaukee, N.A.
6.625% due 04/15/03 500 510
Branch Banking & Trust Co.
5.700% due 02/01/01 250 249
CIT Group, Inc. (MTN)
5.910% due 11/10/03 500 498
Coastal Corp.
6.375% due 02/01/09 300 294
Coca-Cola Enterprises, Inc.
5.750% due 11/01/08 100 97
Comcast Cable Communications
6.200% due 11/15/08 250 248
Commonwealth Edison Co.
7.625% due 01/15/07 250 270
Dana Corp.
6.250% due 03/01/04 200 200
Dayton Hudson Corp.
5.875% due 11/01/08 500 490
Delta Air Lines, Inc.
Series C (MTN)
6.650% due 03/15/04 100 100
Enron Corp.
9.650% due 05/15/01 150 161
6.500% due 08/01/02 750 753
9.125% due 04/01/03 200 218
EOP Operating, L.P.
6.500% due 01/15/04 250 247
Equitable Companies, Inc.
9.000% due 12/15/04 250 279
Equitable Life Assurance Society
6.950% due 12/01/05 500 511
Finova Capital Corp.
6.375% due 05/15/05 250 247
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
<S> <C> <C>
First Union National Bank
5.800% due 12/01/08 400 384
Fleet National Bank
5.750% due 01/15/09 500 480
Ford Motor Credit Co.
6.110% due 12/28/01 (MTN) 700 704
6.500% due 02/28/02 500 508
7.500% due 01/15/03 500 525
5.800% due 01/12/09 500 481
Gatx Capital Corp.
6.500% due 11/01/00 500 497
General Motors Acceptance Corp.
6.625% due 04/24/00 (MTN) 200 202
5.625% due 02/15/01 1,000 998
5.500% due 01/14/02 500 494
5.750% due 11/10/03 500 493
Georgia Power Co.
Series C
5.500% due 12/01/05 200 195
GTE Corp.
9.375% due 12/01/00 1,055 1,112
GTE North, Inc.
Series H
5.650% due 11/15/08 250 242
Integra Bank (MTN)
6.550% due 06/15/00 500 505
International Business
Machines Corp. (MTN)
5.250% due 12/01/03 500 487
International Lease Finance Corp.
6.625% due 08/15/00 500 506
Kemper Corp.
6.875% due 09/15/03 500 509
Kroger Co.
6.375% due 03/01/08 250 251
Mellon Financial Co.
5.750% due 11/15/03 500 494
Merrill Lynch & Co., Inc.
6.000% due 02/17/09 500 482
Morgan Stanley Dean
Witter & Co. (MTN)
5.625% due 01/20/04 500 488
News America Holdings, Inc.
7.450% due 06/01/00 200 204
8.500% due 02/15/05 300 330
7.375% due 10/17/08 200 212
Raytheon Co.
5.950% due 03/15/01 500 501
5.700% due 11/01/03 300 295
Salomon, Inc.
7.250% due 05/01/01 250 257
Simon Property Group, Inc.
7.125% due 02/09/09 150 147
Sola International, Inc.
6.875% due 03/15/08 100 91
Tele-Communications, Inc.
7.250% due 08/01/05 400 423
6.875% due 02/15/06 300 311
Time Warner, Inc.
8.110% due 08/15/06 552 607
USA Waste Services, Inc.
6.500% due 12/15/02 500 500
Worldcom, Inc.
6.400% due 08/15/05 300 302
------
22,632
------
EURODOLLAR BONDS - 7.1%
Alberta, Province of
4.875% due 10/29/03 300 289
American Express Master Trust
5.375% due 09/15/00 1,000 996
Hyder PLC
6.750% due 12/15/04 1,000 1,002
</TABLE>
4 Semiannual Report
<PAGE>
SSGA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- --------
<S> <C> <C>
Korea, Republic of
8.875% due 04/15/08 200 213
Ontario, Province of
7.375% due 01/27/03 500 527
7.625% due 06/22/04 1,000 1,078
5.500% due 10/01/08 500 482
Quebec, Province of Canada
5.750% due 02/15/09 250 242
Telekomunikacja Polska SA
7.125% due 12/10/03 500 487
Toyota Motor Credit Corp.
5.625% due 11/13/03 400 395
-----
5,711
-----
MORTGAGE-BACKED SECURITIES - 5.2%
Federal Home Loan Mortgage Corp.
5.950% due 01/19/06 500 504
Federal Home Loan Mortgage Corp.
Participation Certificate Group
4.500% due 2001 337 327
Federal National Mortgage
Association Pool
6.000% due 2009 441 438
5.500% due 2014 261 254
Federal National Mortgage
Association (a)
7.000% 30 Year TBA 2,650 2,682
-----
4,205
-----
UNITED STATES GOVERNMENT
AGENCIES - 7.6%
Federal Home Loan Bank
7.310% due 06/16/04 500 535
6.995% due 04/02/07 300 320
Federal National Mortgage
Association
5.450% due 10/10/03 500 495
5.250% due 01/15/09 250 239
Federal National Mortgage
Association (MTN)
6.790% due 06/02/04 500 523
6.480% due 06/28/04 650 671
6.550% due 11/21/07 1,000 1,007
6.170% due 01/15/08 320 316
6.270% due 02/05/08 220 219
6.270% due 02/13/08 500 497
6.480% due 04/02/08 750 747
State of Israel, United States
Government Guaranteed Notes
Series 7-B
5.700% due 02/15/03 500 498
-----
6,067
-----
UNITED STATES GOVERNMENT
TREASURIES - 36.7%
United States Treasury Bonds
10.000% due 05/15/10 320 394
12.000% due 08/15/13 450 656
United States Treasury
Interest Only Strips
Zero Coupon due 05/15/01 125 112
Zero Coupon due 05/15/05 675 484
Zero Coupon due 05/15/10 730 387
United States Treasury Notes
4.500% due 01/31/01 2,100 2,075
5.000% due 02/28/01 1,000 997
6.375% due 03/31/01 2,500 2,558
6.125% due 12/31/01 7,515 7,683
5.875% due 09/30/02 7,000 7,130
</TABLE>
Semiannual Report 5
<PAGE>
SSGA
INTERMEDIATE FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
---------- --------
<S> <C> <C>
5.750% due 12/31/02 1,425 1,440
5.500% due 05/31/03 500 503
5.250% due 08/15/03 525 524
5.750% due 08/15/03 250 254
4.750% due 02/15/04 2,345 2,296
7.250% due 08/15/04 975 1,061
5.875% due 11/15/05 185 189
4.750% due 11/15/08 790 757
------
29,500
------
YANKEE BONDS - 4.3%
British Sky Broadcasting PLC
6.875% due 02/23/09 250 246
Canadian National Railroad
6.625% due 05/15/03 500 508
Ireland, Republic of
7.125% due 07/15/02 600 621
Manitoba, Province of
8.000% due 04/15/02 500 532
Series CK
9.000% due 12/15/00 500 529
Quebec, Province of
7.000% due 01/30/07 200 210
Royal Caribbean Cruises, Ltd.
6.750% due 03/15/08 100 98
Tyco International Group SA
6.125% due 06/15/01 500 501
6.125% due 01/15/09 250 244
------
3,489
------
TOTAL LONG-TERM INVESTMENTS
(cost $76,402) 75,694
------
SHORT-TERM INVESTMENTS - 12.0%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) 3,698 3,698
Federal Home Loan Bank
Discount Notes
4.730% due 03/12/99 (b) 2,500 2,497
Federated Investors Prime Cash
Obligations Fund (b) 3,470 3,470
------
TOTAL SHORT-TERM INVESTMENTS
(cost $9,665) 9,665
------
TOTAL INVESTMENTS - 106.1%
(identified cost $86,067)(c) 85,359
OTHER ASSETS AND LIABILITIES,
NET - (6.1%) (4,889)
------
NET ASSETS - 100.0% 80,470
======
</TABLE>
(a) Forward commitment. See Note 2.
(b) At cost, which approximates market.
(c) See Note 2 for federal income tax information.
Abbreviations:
MTN - Medium Term Notes
TBA - To Be Announced Security
The accompanying notes are an integral part of the financial statements.
6 Semiannual Report
<PAGE>
SSGA
INTERMEDIATE FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investments at market (identified cost $86,067)(Note 2) $ 85,359
Receivables:
Dividends and interest.......................................... 996
Investments sold (regular settlement)........................... 1,045
Investments sold (delayed settlement)(Note 2)................... 1,231
Fund shares sold................................................ 59
--------
Total Assets.................................................. 88,690
LIABILITIES
Payables:
Investments purchased (regular settlement)...................... $ 4,152
Investments purchased (delayed settlement)(Note 2).............. 3,938
Fund shares redeemed............................................ 50
Accrued fees to affiliates and trustees (Note 4)................ 60
Other accrued expenses.......................................... 20
--------
Total Liabilities............................................. 8,220
--------
NET ASSETS....................................................... $ 80,470
========
NET ASSETS CONSIST OF:
Undistributed net investment income.............................. $ 550
Accumulated net realized gain (loss)............................. 518
Unrealized appreciation (depreciation) on investments............ (708)
Shares of beneficial interest.................................... 8
Additional paid-in capital....................................... 80,102
--------
NET ASSETS....................................................... $ 80,470
========
NET ASSET VALUE, offering and redemption price per share:
($80,469,837 divided by 8,280,696 shares of $.001 par value
shares of beneficial interest outstanding)................... $ 9.72
========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
INTERMEDIATE FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest........................................................ $ 1,986
Dividends....................................................... 88
--------
Total Investment Income....................................... 2,074
EXPENSES (Notes 2 and 4):
Advisory fees................................................... $ 300
Administrative fees............................................. 12
Custodian fees.................................................. 24
Distribution fees............................................... 15
Transfer agent fees............................................. 14
Professional fees............................................... 7
Registration fees............................................... 17
Shareholder servicing fees...................................... 28
Trustees' fees.................................................. 1
Miscellaneous................................................... 1
--------
Expenses before reductions...................................... 419
Expense reductions (Note 4)..................................... (194)
--------
Expenses, net................................................. 225
--------
Net investment income............................................ 1,849
--------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments........................ 1,025
Net change in unrealized appreciation or depreciation of
investments..................................................... (1,767)
--------
Net gain (loss) on investments................................... (742)
--------
Net increase (decrease) in net assets resulting from operations.. $ 1,107
========
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSGA
INTERMEDIATE FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income........................................ $ 1,849 $ 3,628
Net realized gain (loss)..................................... 1,025 835
Net change in unrealized appreciation or depreciation........ (1,767) 941
----------------- ---------------
Net increase (decrease) in net assets resulting from
operations................................................ 1,107 5,404
----------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income........................................ (2,291) (3,382)
Net realized gain on investments............................. (1,163) (10)
----------------- ---------------
Total Distributions to Shareholders........................ (3,454) (3,392)
----------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund share
transactions (Note 5)........................................ 6,126 20,845
----------------- ---------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS................... 3,779 22,857
NET ASSETS
Beginning of period.......................................... 76,691 53,834
----------------- ---------------
End of period (including undistributed net investment income
of $550 and $992, respectively)............................ $ 80,470 $ 76,691
================= ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 9
<PAGE>
SSGA
INTERMEDIATE FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information delivered from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
------------------------------------------------
1999* 1998 1997 1996 1995 1994**
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.04 $ 9.76 $ 9.57 $ 9.72 $ 9.37 $ 10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a).................... .24 .53 .54 .53 .56 .42
Net realized and unrealized gain (loss)
on investments............................. (.09) .28 .20 (.14) .34 (.76)
------- ------- ------- ------- ------- -------
Total Income From Investment Operations.... .15 .81 .74 .39 .90 (.34)
------- ------- ------- ------- ------- -------
DISTRIBUTIONS:
Net investment income........................ (.31) (.53) (.55) (.54) (.55) (.29)
Net realized gain on investments............. (.16) -- -- -- -- --
------- ------- ------- ------- ------- -------
Total Distributions........................ (.47) (.53) (.55) (.54) (.55) (.29)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD................ $ 9.72 $ 10.04 $ 9.76 $ 9.57 $ 9.72 $ 9.37
======= ======= ======= ======= ======= =======
TOTAL RETURN (%)(b)........................... 1.52 8.64 8.00 4.12 10.05 (3.42)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted)..... 80,470 76,691 53,834 41,518 33,893 19,963
Ratios to average net assets (%)(c):
Operating expenses, net (d)................ .60 .60 .60 .60 .60 .60
Operating expenses, gross (d).............. 1.12 1.13 1.30 1.38 1.67 1.51
Net investment income...................... 4.93 5.51 5.78 5.57 6.29 5.11
Portfolio turnover rate (%)(c)............... 295.13 244.58 242.76 221.73 26.31 15.70
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
** For the period September 1, 1993 (commencement of operations) to August 31,
1994.
(a) For the period ended February 28, 1999, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the periods ended February 28, 1999 and August 31, 1994 are
annualized.
(d) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSGA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. 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, 1999 (Unaudited)
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
It is 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, 1999 are as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ ------------- -------------
<S> <C> <C> <C>
$86,073,201 $ 21,051 $ (735,252) $ (714,201)
</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.
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%.
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"
12 Semiannual Report
<PAGE>
SSGA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding US Government and Agency
obligations and short-term investments, aggregated to $28,432,136, and
$29,670,791, respectively.
For the period ended February 28, 1999, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $79,514,867, and $78,450,603, respectively.
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements. Under the securities lending arrangement, the
collateral received is recorded on the Fund's statement of assets and
liabilities along with the related obligation to return the collateral. In
those situations where the Company has relinquished control of securities
transferred, it derecognizes the securities and records a receivable from
the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be
in an amount at least equal to 102% (for loans of U.S. securities) or 105%
(for non-U.S. securities) of the market value of the loaned securities at
the inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
there were no outstanding securities on loan.
Semiannual Report 13
<PAGE>
SSGA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 .80% of its average daily net assets. The Adviser voluntarily agrees to
reimburse the Fund for all expenses in excess of .60% of average daily net
assets on an annual basis. As of February 28, 1999, 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, under
which the Administrator supervises all non-portfolio investment aspects of
the Investment Company's operations and provides adequate office space and
all necessary office equipment and services, including telephone service,
utilities, stationery supplies, and similar items. The Investment Company
pays the Administrator the following fees for services supplied by the
Administrator pursuant to the Administration Agreement: (i) an annual fee,
payable monthly on a pro rata basis, based on the following percentages of
the average daily net assets of all domestic funds: $0 up to and including
$500 million - .06%; over $500 million to and including $1 billion - .05%;
over $1 billion - .03%; (ii) less an amount equal to the sum of certain
distribution-related expenses incurred by the Investment Company's
Distributor on behalf of the Fund (up to a maximum of 10% for the period
September 1, 1997 to December 31, 1997, up to a maximum of 5% for the
period January 1, 1998 to December 31, 1998 and 0% thereafter, 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 charged by the Distributor in connection with the distribution and
marketing of shares of the Investment Company and the servicing of investor
accounts.
14 Semiannual Report
<PAGE>
SSGA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (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 period ended February 28, 1999, the Fund was charged
shareholder servicing expenses of $7,750, $1,089, $1,288, $1,745, and
$11,400, by 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, 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, 1999
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 32,418
Administration fees 2,487
Custodian fees 7,956
Distribution fees 882
Shareholder servicing fees 9,263
Transfer agent fees 6,477
Trustees' fees 197
---------
$ 59,680
=========
</TABLE>
BENEFICIAL INTEREST: As of February 28, 1999, two shareholders, who were
also affiliates of the Investment Company, were record owners of
approximately 17% and 11%, respectively, of the total outstanding shares of
the Fund.
Semiannual Report 15
<PAGE>
SSGA
INTERMEDIATE FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
5. FUND SHARE TRANSACTIONS
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
------------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
--------------------- -------------------------
SHARES DOLLARS SHARES DOLLARS
---------- ---------- ----------- ------------
<S> <C> <C> <C> <C>
Proceeds from shares sold..... 2,933 $ 29,118 3,663 $ 35,837
Proceeds from reinvestment of
distributions................ 308 3,059 305 2,980
Payments for shares redeemed.. (2,599) (26,051) (1,842) (17,972)
---------- ---------- ----------- ------------
Total net increase (decrease). 642 $ 6,126 2,126 $ 20,845
========== ========== =========== ============
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .065% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually, is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 33 1/3 percent of the value of it's total assets under the
agreement.
7. DIVIDENDS
On March 1, 1999, the Board of Trustees declared a dividend of $.0660 from
net investment income, payable on March 5, 1999 to shareholders of record
on March 2, 1999.
16 Semiannual Report
<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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 17
<PAGE>
SSGA/(R)/ FUNDS
MATRIX EQUITY FUND
Semiannual Report
February 28, 1999 (Unaudited)
Table of Contents
Page
Financial Statements............................... 3
Financial Highlights............................... 9
Notes to Financial Statements...................... 10
Fund Management and Service Providers.............. 15
"SSgA/(R)/" is a registered trademark of State Street Corporation and is
licensed for use by the SSgA Funds.
This report is prepared from the books and records of the 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
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
COMMON STOCKS - 98.4%
BASIC INDUSTRIES - 3.2%
Alcoa, Inc. 148,800 6,027
Boise Cascade Corp. 45,400 1,410
FMC Corp. (a) 30,600 1,566
Premark International, Inc. 143,000 4,567
Solutia, Inc. 275,100 4,900
=========
18,470
=========
CAPITAL GOODS - 2.9%
General Electric Co. 165,700 16,622
=========
CONSUMER BASICS - 18.2%
Abbott Laboratories 19,300 896
Amgen, Inc. (a) 115,600 14,435
Becton, Dickinson & Co. 75,400 2,526
Bergen Brunswig Corp. Class A 247,600 6,051
Bristol-Myers Squibb Co. 82,600 10,402
Coca-Cola Co. (The) 98,800 6,317
General Mills, Inc. 45,900 3,704
General Nutrition Cos., Inc. (a) 300 4
IBP, Inc. 140,700 3,166
Interstate Bakeries Corp. 103,000 2,472
Johnson & Johnson 40,700 3,475
Kroger Co. (a) 74,000 4,787
Lilly (Eli) & Co. 24,800 2,348
Medtronic, Inc. 97,748 6,903
Merck & Co., Inc. 107,800 8,813
Pfizer, Inc. 56,900 7,507
Philip Morris Cos., Inc. 185,800 7,269
Procter & Gamble Co. 84,300 7,545
Quaker Oats Co. 49,500 2,704
Schering-Plough Corp. 29,300 1,639
Wellpoint Health Networks, Inc.
Class A (a) 9,200 726
=========
103,689
=========
CONSUMER DURABLES - 3.3%
Best Buy Co. (a) 76,500 7,095
Ford Motor Co. 194,200 11,519
=========
18,614
=========
CONSUMER NON-DURABLES - 8.8%
Anheuser-Busch Cos., Inc. 67,400 5,168
Dayton Hudson Corp. 57,300 3,585
Dillard's, Inc. Class A 260,200 6,472
Home Depot, Inc. (The) 17,000 1,015
Kmart Corp. (a) 329,700 5,770
May Department Stores Co. 114,200 6,766
TJX Cos., Inc. 214,400 6,124
Wal-Mart Stores, Inc. 176,900 15,280
=========
50,180
=========
CONSUMER SERVICES - 1.4%
Carnival Corp. Class A 84,000 3,738
Tricon Global Restaurants, Inc. (a) 72,700 4,507
=========
8,245
=========
ENERGY - 1.6%
Exxon Corp. 137,700 9,166
=========
FINANCE - 15.2%
Allstate Corp. 120,900 4,534
American International Group, Inc. 32,850 3,743
BankAmerica Corp. 72,106 4,709
Chase Manhattan Corp. 169,300 13,481
Citigroup, Inc. 222,000 13,043
Countrywide Credit Industries, Inc. 61,500 2,329
Federal National Mortgage
Association 183,300 12,831
Fleet Financial Group, Inc. 215,800 9,266
Hibernia Corp. 50,600 819
Lehman Brothers Holdings, Inc. 211,300 11,199
</TABLE>
Semiannual Report 3
<PAGE>
SSGA
MATRIX EQUITY FUND
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
February 28, 1999 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
<S> <C> <C>
Loews Corp. 113,400 8,866
UnionBanCal Corp. 55,800 1,754
--------
86,574
--------
GENERAL BUSINESS - 2.9%
America Online, Inc. 15,400 1,370
Donnelley (R.R.) & Sons Co. 106,900 3,661
SBC Communications, Inc. 61,838 3,270
Valassis Communications, Inc. (a) 118,000 5,664
Viacom, Inc. Class B (a) 26,200 2,315
--------
16,280
--------
MISCELLANEOUS - 0.2%
Meditrust Cos. 115,600 1,416
--------
SHELTER - 0.7%
USG Corp. 76,500 3,835
--------
TECHNOLOGY - 26.1%
Cisco Systems, Inc. (a) 57,300 5,605
COMPAQ Computer Corp. 28,700 1,012
Dell Computer Corp. (a) 33,000 2,642
Gateway 2000, Inc. (a) 54,900 3,991
General Dynamics Corp. 116,900 7,065
Guidant Corp. 52,600 2,998
Gulfstream Aerospace Corp. (a) 133,600 5,979
Intel Corp. 161,000 19,310
International Business
Machines Corp. 96,900 16,473
Lexmark International Group, Inc.
Class A (a) 98,200 10,133
Lucent Technologies, Inc. 158,600 16,108
Microsoft Corp. (a) 122,500 18,383
Oracle Systems Corp. (a) 186,700 10,420
Quantum Corp. (a) 369,400 6,049
Sterling Software, Inc. (a) 152,900 3,899
Sun Microsystems, Inc. (a) 87,700 8,534
Tech Data Corp. (a) 177,300 3,014
Unisys Corp. (a) 157,400 4,692
United Technologies Corp. 16,900 2,093
--------
148,400
--------
TRANSPORTATION - 1.1%
Burlington Northern, Inc. 58,800 1,948
Tidewater, Inc. 233,800 4,398
--------
6,346
--------
UTILITIES - 12.8%
AT&T Corp. 217,400 17,854
Bell Atlantic Corp. 183,498 10,540
BellSouth Corp. 150,800 6,974
Coastal Corp. 214,700 6,870
GPU, Inc. 204,000 8,134
MCI WorldCom, Inc. (a) 49,400 4,076
PP&L Resources, Inc. 179,200 4,570
Public Service Enterprise
Group, Inc. 110,100 4,184
U.S. West, Inc. 177,200 9,447
--------
72,649
--------
TOTAL COMMON STOCKS
(cost $468,257) 560,486
--------
</TABLE>
PRINCIPAL
AMOUNT
(000)
$
-----------
SHORT-TERM INVESTMENTS - 1.5%
AIM Short-Term Investment Prime
Portfolio Class A (b) 4,157 4,157
Federated Investors Prime Cash 4,569 4,569
Obligations Fund (b) ---------
TOTAL SHORT-TERM INVESTMENTS
(cost $8,726) 8,726
---------
4 Semiannual Report
<PAGE>
SSGA
MATRIX EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
February 28, 1999 (Unaudited)
PRINCIPAL
AMOUNT
(000)
$
--------
TOTAL INVESTMENTS - 99.9%
(identified cost $476,983)(c) 569,212
OTHER ASSETS AND LIABILITIES,
370
NET - 0.1% --------
NET ASSETS - 100.0% 569,582
========
(a) NON INCOME-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 statments.
Semiannual Report 5
<PAGE>
SSGA
MATRIX EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amount) February 28, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investments at market (identified cost $476,983)(Note 2).......... $ 569,212
Receivables:
Dividends........................................................ 471
Investments sold................................................. 5
Fund shares sold................................................. 668
Prepaid expenses.................................................. 4
Short-term investments held as collateral for securities loaned,
at market (Note 3)................................................ 62,723
----------
Total Assets................................................... 633,083
LIABILITIES
Payables:
Fund shares redeemed............................................. $ 78
Accrued fees to affiliates and trustees (Note 4)................. 700
Payable upon return of securities loaned, at market
(Note 3).......................................................... 62,723
----------
Total Liabilities.............................................. 63,501
----------
NET ASSETS........................................................ $ 569,582
==========
NET ASSETS CONSIST OF:
Undistributed net investment income............................... $ 604
Accumulated net realized gain (loss).............................. 17,727
Unrealized appreciation (depreciation) on investments............. 92,229
Shares of beneficial interest..................................... 34
Additional paid-in capital........................................ 458,988
----------
NET ASSETS........................................................ $ 569,582
==========
NET ASSET VALUE, offering and redemption price per share:
($569,581,637 divided by 34,280,389 shares of $.001 par value
shares of beneficial interest outstanding)..................... $ 16.62
==========
</TABLE>
The accompanying notes are an integral part of the financial statments.
6 Semiannual Report
<PAGE>
SSGA
MATRIX EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands For the Six Months Ended February 28, 1999 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 3,491
Interest......................................................... 4
----------
Total Investment Income........................................ 3,495
EXPENSES (Notes 2 and 4):
Advisory fees.................................................... $ 1,964
Administrative fees.............................................. 75
Custodian fees................................................... 39
Distribution fees................................................ 111
Transfer agent fees.............................................. 1
Professional fees................................................ 8
Registration fees................................................ 6
Shareholder servicing fees....................................... 279
Trustees' fees................................................... 6
Miscellaneous.................................................... 11
----------
Expenses before reductions....................................... 2,500
Expense reductions (Note 4)...................................... (536)
----------
Expenses, net.................................................. 1,964
----------
Net investment income............................................. 1,531
----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Notes 2 and 3)
Net realized gain (loss) from investments......................... 17,853
Net change in unrealized appreciation or depreciation of
investments....................................................... 94,951
----------
Net gain (loss) on investments.................................... 112,804
----------
Net increase (decrease) in net assets resulting from operations... $ 114,335
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
Semiannual Report 7
<PAGE>
SSGA
MATRIX EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED FISCAL YEAR
FEBRUARY 28, 1999 ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.................................................................. $ 1,531 $ 4,932
Net realized gain (loss)............................................................... 17,853 93,449
Net change in unrealized appreciation or depreciation.................................. 94,951 (86,774)
----------------- ---------------
Net increase (decrease) in net assets resulting from operations...................... 114,335 11,607
----------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income.................................................................. (1,965) (5,051)
Net realized gain on investments....................................................... (74,416) (74,385)
----------------- ---------------
Total Distributions to Shareholders.................................................. (76,381) (79,436)
----------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Net increase (decrease) in net assets from Fund
share transactions (Note 5)............................................................ 86,551 83,509
----------------- ---------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS............................................. 124,505 15,680
NET ASSETS
Beginning of period.................................................................... 445,077 429,397
----------------- ---------------
End of period (including undistributed net investment income of
$604 and $1,038, respectively)....................................................... $ 569,582 $ 445,077
================= ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
8 Semiannual Report
<PAGE>
SSGA
MATRIX EQUITY FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED AUGUST 31,
-----------------------------------------------------
1999* 1998 1997 1996 1995 1994
-------- --------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .......................... $ 15.68 $ 18.41 $ 14.13 $ 13.93 $ 12.06 $ 11.95
-------- --------- --------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (a) .................................... .05 .17 .21 .24 .28 .24
Net realized and unrealized gain (loss) on
investments ................................................ 3.54 .29 5.43 1.64 1.93 .28
-------- --------- --------- -------- -------- --------
Total Income From Investment Operations .................... 3.59 .46 5.64 1.88 2.21 .52
-------- --------- --------- -------- -------- --------
DISTRIBUTIONS:
Net investment income ........................................ (.07) (.19) (.22) (.24) (.28) (.23)
Net realized gain on investments ............................. (2.58) (3.00) (1.14) (1.44) (.06) (.18)
-------- --------- --------- -------- -------- --------
Total Distributions ........................................ (2.65) (3.19) (1.36) (1.68) (.34) (.41)
-------- --------- --------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD ................................ $ 16.62 $ 15.68 $ 18.41 $ 14.13 $ 13.93 $ 12.06
======== ========= ========= ======== ======== ========
TOTAL RETURN (%)(b) ........................................... 25.80 2.09 42.75 14.67 18.81 4.41
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period ($000 omitted) ..................... 569,582 445,077 429,397 261,888 198,341 130,764
Ratios to average net assets (%)(c):
Operating expenses, net (d) ................................ .75 .69 .58 .66 .68 .58
Operating expenses, gross (d) .............................. .95 .97 .96 1.04 1.06 .96
Net investment income ...................................... .58 .97 1.33 1.76 2.25 2.16
Portfolio turnover rate (%)(c) ............................... 134.14 133.63 117.27 150.68 129.98 127.20
</TABLE>
* For the six months ended February 28, 1999 (Unaudited).
(a) For the period ended February 28, 1999, average month-end shares outstanding
were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for the period ended February 28, 1999 are annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSGA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
February 28, 1999 (Unaudited)
1. ORGANIZATION
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 22 investment portfolios which are in operation as
of February 28, 1999. 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.
FEDERAL INCOME TAXES: Since the Investment Company is a Massachusetts
business trust, each fund is a separate corporate taxpayer and determines
its net investment income and capital gains (or losses) and the amounts to
be
10 Semiannual Report
<PAGE>
SSGA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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, 1999 are as follows::
NET
UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ -------------- --------------- --------------
$477,109,468 $1,419,536,593 (1,327,434,061) $92,102,532
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Income dividends and capital
gain distributions, if any, are recorded on the ex-dividend date. Dividends
are generally declared and paid quarterly. Capital gain distributions are
generally declared and paid annually. An additional distribution may be
paid by the Fund to avoid imposition of federal income tax on any remaining
undistributed net investment income and capital gains.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) from
investment transactions for a reporting period may differ significantly
from distributions during such period. The differences between tax
regulations and GAAP relate primarily to investments in options, futures
and certain securities sold at a loss. Accordingly, the Fund may
periodically make reclassifications among certain of its capital accounts
without impacting its net asset value.
EXPENSES: Most expenses can be directly attributed to the individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
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 period ended February 28, 1999, purchases
and sales of investment securities, excluding short-term investments,
aggregated to $353,604,932 and $346,302,746 respectively.
Semiannual Report 11
<PAGE>
SSGA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
SECURITIES LENDING: Effective December 17, 1998, the Investment Company
started its securities lending program. The program allows each Fund to
loan securities with a value up to 33 1/3% of its total assets to certain
brokers. The Fund receives cash (U.S. currency), U.S. Government or U.S.
Government agency obligations as collateral against the loaned securities.
To the extent that a loan is secured by cash collateral, such collateral
shall be invested by State Street Bank and Trust Company in short-term
instruments, money market mutual funds, and such other short-term
investments, provided the investments meet certain quality and
diversification requirements. Under the securities lending arrangement, the
collateral received is recorded on the Fund's statement of assets and
liabilities along with the related obligation to return the collateral. In
those situations where the Company has relinquished control of securities
transferred, it derecognizes the securities and records a receivable from
the counterparty.
Income generated from the investment of cash collateral, less negotiated
rebate fees paid to participating brokers and transaction costs, is divided
between the Fund and State Street Bank and Trust Company and is included as
interest income for the Fund. To the extent that a loan is secured by non-
cash collateral, brokers pay the Fund negotiated lenders' fees, which are
divided between the Fund and State Street Bank and Trust Company and are
included as interest income for the Fund. All collateral received will be
in an amount at least equal to 102% (for loans of U.S. securities) or 105%
(for non-U.S. securities) of the market value of the loaned securities at
the inception of each loan. Should the borrower of the securities fail
financially, there is a risk of delay in recovery of the securities or loss
of rights in the collateral. Consequently, loans are made only to borrowers
which are deemed to be of good financial standing. As of February 28, 1999,
the value of outstanding securities on loan and the value of collateral
amounted to $59,656,858 and $62,723,480, 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. Beginning January 1, 1998, the
Advisor voluntarily agreed to waive .25% of its advisory fee to the Fund.
As of January 1, 1999, the Advisor voluntarily agreed to waive .125% 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"), a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company, 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
12 Semiannual Report
<PAGE>
SSGA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
to a maximum of 10%, for the period September 1, 1997 to December 31, 1997,
up to a maximum of 5%, for the period January 1, 1998 to December 31, 1998
and 0% thereafter, 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 charged 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 period ended February 28, 1999, the Fund was charged
shareholder servicing expenses of $58,911, $1,694, $66,168 and $118,077, by
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, 1998.
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 $126,045 for the period ended February
28, 1999.
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
Semiannual Report 13
<PAGE>
SSGA
MATRIX EQUITY FUND
NOTES TO FINANCIAL STATEMENTS, CONTINUED
February 28, 1999 (Unaudited)
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, 1999
WERE AS FOLLOWS:
<TABLE>
<CAPTION>
<S> <C>
Advisory fees $ 590,197
Administration fees 10,177
Custodian fees 8,417
Distribution fees 2,228
Shareholder servicing fees 78,487
Transfer agent fees 4,031
Trustees' fees 6,113
------------
$ 699,650
============
</TABLE>
BENEFICIAL INTEREST: As of Februry 28, 1999, one shareholder was a record
owner of approximately 25% of the total outstanding shares of the Fund.
5. FUND SHARE TRANSACTIONS (amounts in thousands)
<TABLE>
<CAPTION>
FOR THE PERIODS ENDED
------------------------------------------------
FEBRUARY 28, 1999 AUGUST 31, 1998
------------------------------------------------
SHARES DOLLARS SHARES DOLLARS
------------------------------------------------
<S> <C> <C> <C> <C>
Proceeds from shares sold...... 7,560 $124,483 11,656 $208,056
Proceeds from reinvestment of
distributions................. 5,117 72,647 4,508 75,301
Payments for shares redeemed... (6,786) (110,579) (11,100) (199,848)
------------------------------------------------
Total net increase (decrease).. 5,891 $86,551 5,064 $83,509
================================================
</TABLE>
6. LINE OF CREDIT
The Fund and several affiliated Funds (the "Participants") share in a $50
million revolving credit facility for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require
the untimely disposition of securities. The Participants are charged an
annual commitment fee of .065% on the average daily unused amount of the
aggregate commitment, which is allocated among each of the Participants.
Interest, at the Federal Fund Rate plus .50% annually, is calculated based
on the market rates at the time of the borrowing. The Fund may borrow up to
a maximum of 33 1/3 percent of the value of its total assets under the
agreement.
7. DIVIDENDS
On March 1, 1999, the Board of Trustees declared a dividend of $.0157 from
net investment income, payable on March 5, 1999 to shareholders of record
on March 2, 1999.
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, Treasurer and CEO
Mark E. Swanson, Assistant Secretary, Assistant Treasurer and Principal
Accounting Officer
J. David Griswold, Vice President and Secretary
Deedra S. Walkey, Assistant Secretary
Rick J. Chase, Assistant Secretary
Carla L. Anderson, Assistant 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
PricewaterhouseCoopers LLP
One Post Office Square
Boston, Massachusetts 02109
Semiannual Report 15
